================================================================================
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: NOVEMBER 1, 2017 - APRIL 30, 2018
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
Semi-Annual Report
Six Months Ended: April 30, 2018 (Unaudited)
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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]
June 2018
Dear Fellow Shareholder,
Sound investment solutions based on financial science are at the heart of
Dimensional. Just as important is our commitment to serving our clients. We
take great pride in the many longstanding clients we have had the honor of
working with over the last four decades.
Delivering great investment experiences informs everything we do, from the
design of our strategies to the ways that we explain our approach and set
expectations. We place tremendous value on helping our clients understand what
they can expect from us. By being transparent about what we can deliver, and
following through with robust investment strategies, we help clients achieve
their financial goals.
David Booth, our founder, often speaks of his satisfaction and joy in helping
change the investor landscape for the better. We share this passion and, on
behalf of everyone at Dimensional, we thank you for trusting us with your
investments.
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
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
------
Letter to Shareholders
Definitions of Abbreviations and Footnotes........................... 1
DFA Investment Dimensions Group Inc.
Disclosure of Fund Expenses....................................... 3
Disclosure of Portfolio Holdings.................................. 9
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio......................... 12
U.S. Large Cap Equity Portfolio............................... 15
U.S. Large Cap Value Portfolio................................ 18
U.S. Targeted Value Portfolio................................. 19
U.S. Small Cap Value Portfolio................................ 22
U.S. Core Equity 1 Portfolio.................................. 25
U.S. Core Equity 2 Portfolio.................................. 28
U.S. Vector Equity Portfolio.................................. 31
U.S. Small Cap Portfolio...................................... 34
U.S. Micro Cap Portfolio...................................... 37
U.S. High Relative Profitability Portfolio.................... 40
DFA Real Estate Securities Portfolio.......................... 43
Large Cap International Portfolio............................. 45
International Core Equity Portfolio........................... 49
International Small Company Portfolio......................... 53
Global Small Company Portfolio................................ 54
Japanese Small Company Portfolio.............................. 55
Asia Pacific Small Company Portfolio.......................... 56
United Kingdom Small Company Portfolio........................ 57
Continental Small Company Portfolio........................... 58
DFA International Real Estate Securities Portfolio............ 59
DFA Global Real Estate Securities Portfolio................... 63
DFA International Small Cap Value Portfolio................... 65
International Vector Equity Portfolio......................... 69
International High Relative Profitability Portfolio........... 73
World ex U.S. Value Portfolio................................. 77
World ex U.S. Targeted Value Portfolio........................ 78
World ex U.S. Core Equity Portfolio........................... 83
World Core Equity Portfolio................................... 89
Selectively Hedged Global Equity Portfolio.................... 90
Emerging Markets Portfolio.................................... 92
Emerging Markets Small Cap Portfolio.......................... 93
Emerging Markets Value Portfolio.............................. 94
Emerging Markets Core Equity Portfolio........................ 95
Statements of Assets and Liabilities.............................. 99
Statements of Operations.......................................... 107
Statements of Changes in Net Assets............................... 115
Financial Highlights.............................................. 127
Notes to Financial Statements..................................... 150
Section 19(a) Notice.............................................. 187
i
TABLE OF CONTENTS
CONTINUED
Page
------
DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio
Consolidated Disclosure of Fund Expenses............................. 189
Consolidated Disclosure of Portfolio Holdings........................ 190
Consolidated Schedule of Investments................................. 191
Consolidated Statement of Assets and Liabilities..................... 205
Consolidated Statement of Operations................................. 206
Consolidated Statements of Changes in Net Assets..................... 207
Consolidated Financial Highlights.................................... 208
Consolidated Notes to Financial Statements........................... 209
Dimensional Investment Group Inc.
Disclosure of Fund Expenses.......................................... 222
Disclosure of Portfolio Holdings..................................... 224
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio................................ 225
U.S. Large Company Portfolio..................................... 226
Statements of Assets and Liabilities................................. 229
Statements of Operations............................................. 230
Statements of Changes in Net Assets.................................. 231
Financial Highlights................................................. 232
Notes to Financial Statements........................................ 235
Section 19(a) Notice................................................. 245
The DFA Investment Trust Company
Disclosure of Fund Expenses.......................................... 246
Disclosure of Portfolio Holdings..................................... 248
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series.................................. 250
The DFA International Value Series............................... 253
The Japanese Small Company Series................................ 257
The Asia Pacific Small Company Series............................ 260
The United Kingdom Small Company Series.......................... 262
The Continental Small Company Series............................. 265
The Canadian Small Company Series................................ 269
The Emerging Markets Series...................................... 272
The Emerging Markets Small Cap Series............................ 276
Statements of Assets and Liabilities................................. 280
Statements of Operations............................................. 282
Statements of Changes in Net Assets.................................. 284
Financial Highlights................................................. 287
Notes to Financial Statements........................................ 292
Dimensional Emerging Markets Value Fund
Disclosure of Fund Expenses.......................................... 305
Disclosure of Portfolio Holdings..................................... 306
Summary Schedule of Portfolio Holdings............................... 307
Statement of Assets and Liabilities.................................. 311
Statement of Operations.............................................. 312
Statements of Changes in Net Assets.................................. 313
Financial Highlights................................................. 314
Notes to Financial Statements........................................ 315
ii
TABLE OF CONTENTS
CONTINUED
Page
----
Voting Proxies on Fund Portfolio Securities........ 324
Board Approval of Investment Management Agreements. 325
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 Pounds
HKD Hong Kong Dollar
ILS Israeli New Shekel
JPY Japanese Yen
NOK Norwegian Krone
SEK Swedish Krona
SGD Singapore Dollar
USD United States Dollars
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Denominated in USD, unless otherwise noted.
## Rule 144A, Section 4(a)(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 Fund(s) 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.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
Enhanced U.S. Large Company Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,024.10 0.15% $0.75
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,024.05 0.15% $0.75
U.S. Large Cap Equity Portfolio
-------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,044.40 0.17% $0.86
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,023.95 0.17% $0.85
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Value Portfolio**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,036.20 0.27% $1.36
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.46 0.27% $1.35
U.S. Targeted Value Portfolio
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $1,024.10 0.47% $2.36
Class R2 Shares................. $1,000.00 $1,023.20 0.62% $3.11
Institutional Class Shares...... $1,000.00 $1,024.50 0.37% $1.86
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.46 0.47% $2.36
Class R2 Shares................. $1,000.00 $1,021.72 0.62% $3.11
Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
U.S. Small Cap Value Portfolio
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,010.80 0.52% $2.59
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.22 0.52% $2.61
U.S. Core Equity 1 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,041.90 0.18% $0.91
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.90 0.18% $0.90
U.S. Core Equity 2 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,037.20 0.21% $1.06
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.75 0.21% $1.05
U.S. Vector Equity Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,029.20 0.32% $1.61
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.21 0.32% $1.61
U.S. Small Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,020.10 0.37% $1.85
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
U.S. Micro Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,017.00 0.52% $2.60
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.22 0.52% $2.61
U.S. High Relative Profitability Portfolio
------------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,068.00 0.25% $1.28
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.55 0.25% $1.25
DFA Real Estate Securities Portfolio
------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $ 959.00 0.18% $0.87
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.90 0.18% $0.90
Large Cap International Portfolio
---------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,030.80 0.23% $1.16
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.65 0.23% $1.15
International Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,035.70 0.30% $1.51
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.31 0.30% $1.51
International Small Company Portfolio***
----------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,040.20 0.52% $2.63
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.22 0.52% $2.61
Global Small Company Portfolio***
---------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,033.00 0.31% $1.56
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.26 0.31% $1.56
Japanese Small Company Portfolio**
----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,060.90 0.53% $2.71
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.17 0.53% $2.66
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
Asia Pacific Small Company Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,037.90 0.54% $2.73
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,022.12 0.54% $2.71
United Kingdom Small Company Portfolio**
----------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,044.30 0.58% $2.94
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,021.92 0.58% $2.91
Continental Small Company Portfolio**
-------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,032.70 0.54% $2.72
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,022.12 0.54% $2.71
DFA International Real Estate Securities Portfolio
--------------------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,075.80 0.27% $1.39
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,023.46 0.27% $1.35
DFA Global Real Estate Securities Portfolio****
-----------------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,000.10 0.24% $1.19
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,023.60 0.24% $1.20
DFA International Small Cap Value Portfolio
-------------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,026.40 0.68% $3.42
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,021.42 0.68% $3.41
International Vector Equity Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,038.10 0.48% $2.43
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,022.41 0.48% $2.41
International High Relative Profitability Portfolio
---------------------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,025.70 0.34% $1.71
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,023.11 0.34% $1.71
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
World ex U.S. Value Portfolio***
--------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,051.10 0.51% $2.59
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.27 0.51% $2.56
World ex U.S. Targeted Value Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,035.00 0.66% $3.33
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.52 0.66% $3.31
World ex U.S. Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,040.90 0.39% $1.97
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.86 0.39% $1.96
World Core Equity Portfolio***
------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,040.40 0.35% $1.77
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.06 0.35% $1.76
Selectively Hedged Global Equity Portfolio***
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,033.80 0.34% $1.71
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.11 0.34% $1.71
Emerging Markets Portfolio**
----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,042.40 0.48% $2.43
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.41 0.48% $2.41
Emerging Markets Small Cap Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,060.20 0.71% $3.63
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.27 0.71% $3.56
Emerging Markets Value Portfolio**
----------------------------------
Actual Fund Return
Class R2 Shares.............................. $1,000.00 $1,068.30 0.81% $4.15
Institutional Class Shares................... $1,000.00 $1,069.50 0.56% $2.87
Hypothetical 5% Annual Return
Class R2 Shares.............................. $1,000.00 $1,020.78 0.81% $4.06
Institutional Class Shares................... $1,000.00 $1,022.02 0.56% $2.81
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
Emerging Markets Core Equity Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $1,047.50 0.53% $2.69
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,022.17 0.53% $2.66
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
** The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
***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 Fund(s) and/or Underlying Funds (Affiliated Investment
Companies).
****The Portfolio invests directly and indirectly through other funds. The
expenses shown reflect the direct expenses of the fund and the fund's
portion of the expenses of its Master Fund(s) and/or Underlying Funds
(Affiliated Investment Companies).
8
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 29, 2018. 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%
9
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.................................... 37.7%
Foreign Corporate............................ 24.7%
Foreign Government........................... 17.7%
Government................................... 18.3%
Supranational................................ 1.6%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Large Cap Equity Portfolio
Consumer Discretionary....................... 15.2%
Consumer Staples............................. 6.8%
Energy....................................... 5.8%
Financials................................... 14.5%
Health Care.................................. 13.6%
Industrials.................................. 12.1%
Information Technology....................... 23.3%
Materials.................................... 4.0%
Real Estate.................................. 0.2%
Telecommunication Services................... 2.3%
Utilities.................................... 2.2%
-----
100.0%
U.S. Targeted Value Portfolio
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 2.9%
Energy....................................... 11.8%
Financials................................... 26.2%
Health Care.................................. 5.4%
Industrials.................................. 19.8%
Information Technology....................... 10.8%
Materials.................................... 5.7%
Real Estate.................................. 0.5%
Telecommunication Services................... 0.6%
Utilities.................................... 0.3%
-----
100.0%
U.S. Small Cap Value Portfolio
Consumer Discretionary....................... 16.2%
Consumer Staples............................. 4.1%
Energy....................................... 11.8%
Financials................................... 26.6%
Health Care.................................. 4.7%
Industrials.................................. 17.1%
Information Technology....................... 12.4%
Materials.................................... 5.6%
Real Estate.................................. 0.4%
Telecommunication Services................... 1.0%
Utilities.................................... 0.1%
-----
100.0%
U.S. Core Equity 1 Portfolio
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 6.1%
Energy....................................... 5.6%
Financials................................... 15.9%
Health Care.................................. 11.9%
Industrials.................................. 13.5%
Information Technology....................... 21.7%
Materials.................................... 4.5%
Real Estate.................................. 0.3%
Telecommunication Services................... 1.9%
Utilities.................................... 2.6%
-----
100.0%
U.S. Core Equity 2 Portfolio
Consumer Discretionary....................... 15.2%
Consumer Staples............................. 5.5%
Energy....................................... 6.3%
Financials................................... 19.1%
Health Care.................................. 11.1%
Industrials.................................. 14.3%
Information Technology....................... 19.4%
Materials.................................... 4.7%
Real Estate.................................. 0.4%
Telecommunication Services................... 2.2%
Utilities.................................... 1.8%
-----
100.0%
U.S. Vector Equity Portfolio
Consumer Discretionary....................... 14.1%
Consumer Staples............................. 3.9%
Energy....................................... 8.1%
Financials................................... 25.5%
Health Care.................................. 8.3%
Industrials.................................. 16.3%
Information Technology....................... 14.6%
Materials.................................... 5.6%
Real Estate.................................. 0.5%
Telecommunication Services................... 2.1%
Utilities.................................... 1.0%
-----
100.0%
U.S. Small Cap Portfolio
Consumer Discretionary....................... 16.4%
Consumer Staples............................. 4.2%
Energy....................................... 6.3%
Financials................................... 20.9%
Health Care.................................. 8.8%
Industrials.................................. 19.3%
Information Technology....................... 13.4%
Materials.................................... 5.5%
Real Estate.................................. 0.7%
Telecommunication Services................... 1.0%
Utilities.................................... 3.5%
-----
100.0%
U.S. Micro Cap Portfolio
Consumer Discretionary....................... 14.7%
Consumer Staples............................. 3.6%
Energy....................................... 5.0%
Financials................................... 22.4%
Health Care.................................. 10.5%
Industrials.................................. 21.5%
Information Technology....................... 12.6%
Materials.................................... 5.2%
Real Estate.................................. 1.1%
Telecommunication Services................... 1.3%
Utilities.................................... 2.1%
-----
100.0%
U.S. High Relative Profitability Portfolio
Consumer Discretionary....................... 22.4%
Consumer Staples............................. 11.2%
Energy....................................... 1.1%
Financials................................... 3.6%
Health Care.................................. 9.0%
Industrials.................................. 19.7%
Information Technology....................... 25.7%
Materials.................................... 4.0%
Telecommunication Services................... 3.2%
Utilities.................................... 0.1%
-----
100.0%
10
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA Real Estate Securities Portfolio
Real Estate.................................. 100.0%
-----
100.0%
Large Cap International Portfolio
Consumer Discretionary....................... 13.7%
Consumer Staples............................. 10.1%
Energy....................................... 6.8%
Financials................................... 20.4%
Health Care.................................. 8.6%
Industrials.................................. 15.0%
Information Technology....................... 6.0%
Materials.................................... 10.2%
Real Estate.................................. 2.0%
Telecommunication Services................... 4.0%
Utilities.................................... 3.2%
-----
100.0%
International Core Equity Portfolio
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 7.2%
Energy....................................... 6.8%
Financials................................... 18.0%
Health Care.................................. 5.4%
Industrials.................................. 17.9%
Information Technology....................... 6.7%
Materials.................................... 13.2%
Real Estate.................................. 2.5%
Telecommunication Services................... 3.0%
Utilities.................................... 3.0%
-----
100.0%
DFA International Real Estate Securities Portfolio
Real Estate.................................. 100.0%
-----
100.0%
DFA Global Real Estate Securities Portfolio
Affiliated Investment Companies.............. 55.7%
Real Estate.................................. 44.3%
-----
100.0%
DFA International Small Cap Value Portfolio
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 4.8%
Energy....................................... 6.3%
Financials................................... 20.8%
Health Care.................................. 1.9%
Industrials.................................. 23.2%
Information Technology....................... 4.6%
Materials.................................... 16.7%
Real Estate.................................. 3.1%
Telecommunication Services................... 0.4%
Utilities.................................... 1.9%
-----
100.0%
International Vector Equity Portfolio
Consumer Discretionary....................... 16.1%
Consumer Staples............................. 6.4%
Energy....................................... 7.1%
Financials................................... 17.2%
Health Care.................................. 4.5%
Industrials.................................. 19.7%
Information Technology....................... 7.4%
Materials.................................... 14.6%
Real Estate.................................. 2.5%
Telecommunication Services................... 2.1%
Utilities.................................... 2.4%
-----
100.0%
International High Relative Profitability Portfolio
Consumer Discretionary....................... 18.8%
Consumer Staples............................. 12.8%
Energy....................................... 2.1%
Financials................................... 5.2%
Health Care.................................. 9.3%
Industrials.................................. 20.7%
Information Technology....................... 6.2%
Materials.................................... 14.0%
Real Estate.................................. 0.7%
Telecommunication Services................... 7.1%
Utilities.................................... 3.1%
-----
100.0%
World ex U.S. Targeted Value Portfolio
Consumer Discretionary....................... 15.9%
Consumer Staples............................. 5.4%
Energy....................................... 5.4%
Financials................................... 17.0%
Health Care.................................. 3.3%
Industrials.................................. 21.0%
Information Technology....................... 7.3%
Materials.................................... 16.6%
Real Estate.................................. 5.0%
Telecommunication Services................... 1.1%
Utilities.................................... 2.0%
-----
100.0%
World ex U.S. Core Equity Portfolio
Consumer Discretionary....................... 15.3%
Consumer Staples............................. 7.1%
Energy....................................... 6.6%
Financials................................... 17.7%
Health Care.................................. 5.0%
Industrials.................................. 16.3%
Information Technology....................... 9.6%
Materials.................................... 12.8%
Real Estate.................................. 3.3%
Telecommunication Services................... 3.2%
Utilities.................................... 3.1%
-----
100.0%
Emerging Markets Core Equity Portfolio
Consumer Discretionary....................... 11.3%
Consumer Staples............................. 7.7%
Energy....................................... 5.6%
Financials................................... 18.3%
Health Care.................................. 3.6%
Industrials.................................. 9.5%
Information Technology....................... 22.1%
Materials.................................... 11.4%
Real Estate.................................. 3.5%
Telecommunication Services................... 3.8%
Utilities.................................... 3.2%
-----
100.0%
11
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Face
Amount^ Value+
- ------- ------
(000)
BONDS -- (78.4%)
AUSTRALIA -- (7.3%)
Commonwealth Bank of Australia
5.000%, 10/15/19............................. 3,000 $ 3,083,483
2.400%, 11/02/20............................. 2,096 2,061,637
National Australia Bank, Ltd.
2.125%, 05/22/20............................. 5,586 5,479,171
2.500%, 01/12/21............................. 3,500 3,430,136
Westpac Banking Corp.
2.150%, 03/06/20............................. 2,204 2,169,444
2.300%, 05/26/20............................. 3,500 3,445,387
Other Securities................................. 5,758,908
-----------
TOTAL AUSTRALIA.................................. 25,428,166
-----------
AUSTRIA -- (1.8%)
Oesterreichische Kontrollbank AG
1.750%, 01/24/20............................. 5,000 4,923,132
Other Securities................................. 1,462,527
-----------
TOTAL AUSTRIA.................................... 6,385,659
-----------
CANADA -- (15.0%)
Alberta, Province of Canada
1.900%, 12/06/19............................. 3,600 3,553,088
British Columbia, Province of Canada
3.700%, 12/18/20............................. CAD 3,500 2,831,867
Canada Housing Trust No 1
## 2.000%, 12/15/19............................. CAD 4,000 3,120,028
## 1.200%, 06/15/20............................. CAD 4,000 3,063,328
CPPIB Capital, Inc.
1.400%, 06/04/20............................. CAD 6,200 4,759,506
Ontario, Province of Canada
4.400%, 04/14/20............................. 5,000 5,152,394
Province of Manitoba Canada
2.050%, 11/30/20............................. 3,000 2,934,775
Quebec, Province of Canada
4.500%, 12/01/19............................. CAD 2,500 2,024,105
4.500%, 12/01/20............................. CAD 4,500 3,708,719
Saskatchewan, Province of Canada
3.900%, 07/28/20............................. CAD 6,300 5,096,428
Toronto-Dominion Bank (The)
2.447%, 04/02/19............................. CAD 4,000 3,127,785
1.900%, 10/24/19............................. 2,200 2,169,530
2.563%, 06/24/20............................. CAD 3,000 2,341,727
Face
Amount^ Value+
- ------- ------
(000)
CANADA -- (Continued)
Other Securities................................... $ 8,328,307
-----------
TOTAL CANADA....................................... 52,211,587
-----------
DENMARK -- (0.4%)
Other Securities................................... 1,465,456
-----------
FRANCE -- (1.2%)
Total Capital SA
4.450%, 06/24/20............................. 2,200 2,268,994
Other Securities................................... 1,761,705
-----------
TOTAL FRANCE....................................... 4,030,699
-----------
GERMANY -- (3.9%)
EMD Finance LLC
## # 2.400%, 03/19/20 2,100 2,070,496
FMS Wertmanagement
1.750%, 01/24/20............................. 3,000 2,954,809
Other Securities................................... 8,474,062
-----------
TOTAL GERMANY...................................... 13,499,367
-----------
IRELAND -- (1.1%)
Medtronic, Inc.
2.500%, 03/15/20............................. 2,500 2,484,675
Other Securities................................... 1,191,838
-----------
TOTAL IRELAND...................................... 3,676,513
-----------
JAPAN -- (4.9%)
Toyota Credit Canada, Inc.
2.800%, 11/21/18............................. CAD 3,000 2,349,110
1.800%, 02/19/20............................. CAD 3,500 2,696,168
Toyota Motor Credit Corp.
1.550%, 10/18/19............................. 2,500 2,458,217
Other Securities................................... 9,574,527
-----------
TOTAL JAPAN........................................ 17,078,022
-----------
NETHERLANDS -- (3.7%)
Shell International Finance BV
1.375%, 09/12/19............................. 3,000 2,946,788
Other Securities................................... 10,063,503
-----------
TOTAL NETHERLANDS.................................. 13,010,291
-----------
NEW ZEALAND -- (0.6%)
ANZ New Zealand International Ltd.
2.600%, 09/23/19............................. 2,200 2,187,444
-----------
NORWAY -- (1.5%)
Statoil ASA
2.250%, 11/08/19............................. 4,461 4,422,058
-----------
Other Securities................................... 940,951
-----------
TOTAL NORWAY....................................... 5,363,009
-----------
12
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.5%)
Council Of Europe Development Bank
1.625%, 03/10/20............................. 3,000 $2,944,320
Other Securities................................. 2,278,251
----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 5,222,571
----------
SWEDEN -- (2.0%)
Other Securities................................. 6,782,772
----------
SWITZERLAND -- (0.3%)
Other Securities................................. 995,625
----------
UNITED KINGDOM -- (2.2%)
BP Capital Markets P.L.C.
2.315%, 02/13/20............................. 2,550 2,526,067
Other Securities................................. 4,953,135
----------
TOTAL UNITED KINGDOM............................. 7,479,202
----------
UNITED STATES -- (31.0%)
Apple, Inc.
1.100%, 08/02/19............................. 3,000 2,947,110
# 2.000%, 11/13/20............................. 2,500 2,451,100
Chevron Corp.
# 2.193%, 11/15/19............................. 3,500 3,470,233
1.961%, 03/03/20............................. 3,600 3,551,904
Citizens Bank NA
2.450%, 12/04/19............................. 2,200 2,177,850
Enterprise Products Operating LLC
# 5.250%, 01/31/20............................. 2,000 2,072,580
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 2,000 1,992,746
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
Humana, Inc.
2.625%, 10/01/19............................. 2,981 $ 2,967,980
JPMorgan Chase & Co.
4.950%, 03/25/20............................. 2,000 2,070,867
Microsoft Corp.
1.850%, 02/06/20............................. 3,000 2,959,834
Philip Morris International, Inc.
2.000%, 02/21/20............................. 3,000 2,948,873
Time Warner, Inc.
# 4.875%, 03/15/20............................. 2,000 2,065,687
Other Securities................................... 75,814,408
------------
TOTAL UNITED STATES................................ 107,491,172
------------
TOTAL BONDS........................................ 272,307,555
------------
U.S. TREASURY OBLIGATIONS -- (17.7%)
U.S. Treasury Notes
1.500%, 10/31/19............................. 19,000 18,742,461
1.125%, 03/31/20............................. 2,600 2,534,086
1.625%, 06/30/20............................. 21,300 20,895,633
1.625%, 07/31/20............................. 6,500 6,370,000
1.375%, 08/31/20............................. 8,000 7,786,250
1.750%, 10/31/20............................. 5,000 4,898,828
------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 61,227,258
------------
TOTAL INVESTMENT SECURITIES........................ 333,534,813
------------
Shares
- ------ -
SECURITIES LENDING COLLATERAL -- (3.9%)
(S)@ DFA Short Term Investment Fund............... 1,181,290 13,667,527
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $351,654,511).............................. $347,202,340
============
At April 30, 2018, 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 41,935,086 CAD 52,855,318 Royal Bank of Scotland 05/07/18 $763,958
USD 2,381,438 AUD 3,066,453 Citibank, N.A. 07/13/18 72,203
USD 2,589,788 EUR 2,081,307 State Street Bank and Trust 07/13/18 62,505
--------
Total Appreciation $898,666
CAD 998,295 USD 779,959 Citibank, N.A. 05/07/18 $ (2,347)
USD 816,935 CAD 1,049,104 Citibank, N.A. 05/07/18 (255)
--------
Total (Depreciation) $ (2,602)
--------
Total Appreciation
(Depreciation) $896,064
========
13
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index... 2,552 06/15/18 $345,147,790 $337,757,200 $(7,390,590)
------------ ------------ ------------
Total futures contracts.. $345,147,790 $337,757,200 $(7,390,590)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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.............................. -- $ 25,428,166 -- $ 25,428,166
Austria................................ -- 6,385,659 -- 6,385,659
Canada................................. -- 52,211,587 -- 52,211,587
Denmark................................ -- 1,465,456 -- 1,465,456
France................................. -- 4,030,699 -- 4,030,699
Germany................................ -- 13,499,367 -- 13,499,367
Ireland................................ -- 3,676,513 -- 3,676,513
Japan.................................. -- 17,078,022 -- 17,078,022
Netherlands............................ -- 13,010,291 -- 13,010,291
New Zealand............................ -- 2,187,444 -- 2,187,444
Norway................................. -- 5,363,009 -- 5,363,009
Supranational Organization Obligations. -- 5,222,571 -- 5,222,571
Sweden................................. -- 6,782,772 -- 6,782,772
Switzerland............................ -- 995,625 -- 995,625
United Kingdom......................... -- 7,479,202 -- 7,479,202
United States.......................... -- 107,491,172 -- 107,491,172
U.S. Treasury Obligations................ -- 61,227,258 -- 61,227,258
Securities Lending Collateral............ -- 13,667,527 -- 13,667,527
Futures Contracts**...................... $(7,390,590) -- -- (7,390,590)
Forward Currency Contracts**............. -- 896,064 -- 896,064
----------- ------------ -- ------------
TOTAL.................................... $(7,390,590) $348,098,404 -- $340,707,814
=========== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
14
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (97.0%)
Consumer Discretionary -- (14.7%)
* Amazon.com, Inc................... 22,705 $ 35,558,982 2.6%
Comcast Corp. Class A............. 334,263 10,492,516 0.8%
Home Depot, Inc. (The)............ 63,609 11,754,943 0.9%
McDonald's Corp................... 32,442 5,432,088 0.4%
Walt Disney Co. (The)............. 109,084 10,944,398 0.8%
Other Securities.................. 134,259,860 9.6%
------------ -----
Total Consumer Discretionary.......... 208,442,787 15.1%
------------ -----
Consumer Staples -- (6.6%)
Altria Group, Inc................. 103,210 5,791,113 0.4%
Coca-Cola Co. (The)............... 190,394 8,226,925 0.6%
PepsiCo, Inc...................... 76,921 7,764,406 0.5%
Philip Morris International, Inc.. 60,871 4,991,422 0.3%
Procter & Gamble Co. (The)........ 127,407 9,216,622 0.7%
Walmart, Inc...................... 108,793 9,623,829 0.7%
Other Securities.................. 48,167,043 3.6%
------------ -----
Total Consumer Staples................ 93,781,360 6.8%
------------ -----
Energy -- (5.6%)
Chevron Corp...................... 71,897 8,995,034 0.7%
Exxon Mobil Corp.................. 195,274 15,182,553 1.1%
Other Securities.................. 55,758,757 4.0%
------------ -----
Total Energy.......................... 79,936,344 5.8%
------------ -----
Financials -- (14.1%)
American Express Co............... 52,182 5,152,973 0.4%
Bank of America Corp.............. 408,684 12,227,825 0.9%
* Berkshire Hathaway, Inc. Class B.. 66,488 12,880,720 0.9%
Citigroup, Inc.................... 103,783 7,085,265 0.5%
JPMorgan Chase & Co............... 184,913 20,114,836 1.5%
Wells Fargo & Co.................. 245,495 12,755,920 0.9%
Other Securities.................. 129,420,566 9.4%
------------ -----
Total Financials...................... 199,638,105 14.5%
------------ -----
Health Care -- (13.2%)
AbbVie, Inc....................... 86,779 8,378,512 0.6%
Amgen, Inc........................ 43,564 7,601,047 0.6%
Gilead Sciences, Inc.............. 95,391 6,890,092 0.5%
Johnson & Johnson................. 151,793 19,200,297 1.4%
Merck & Co., Inc.................. 137,057 8,068,546 0.6%
Pfizer, Inc....................... 370,493 13,563,749 1.0%
UnitedHealth Group, Inc........... 50,475 11,932,290 0.9%
Other Securities.................. 111,034,715 7.9%
------------ -----
Total Health Care..................... 186,669,248 13.5%
------------ -----
Industrials -- (11.7%)
3M Co............................. 32,179 6,255,276 0.5%
Boeing Co. (The).................. 30,544 10,188,257 0.7%
Caterpillar, Inc.................. 34,271 4,947,362 0.4%
Honeywell International, Inc...... 42,603 6,163,802 0.4%
Union Pacific Corp................ 46,648 6,233,572 0.5%
United Technologies Corp.......... 46,145 5,544,322 0.4%
Other Securities.................. 126,987,246 9.2%
------------ -----
Total Industrials..................... 166,319,837 12.1%
------------ -----
15
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Information Technology -- (22.7%)
Accenture P.L.C. Class A...................................... 33,316 $ 5,037,379 0.4%
* Alphabet, Inc. Class A........................................ 12,945 13,185,518 1.0%
* Alphabet, Inc. Class C........................................ 13,746 13,984,218 1.0%
Apple, Inc.................................................... 258,898 42,785,483 3.1%
Broadcom, Inc................................................. 21,209 4,865,769 0.4%
Cisco Systems, Inc............................................ 251,175 11,124,541 0.8%
* Facebook, Inc. Class A........................................ 98,862 17,004,264 1.2%
Intel Corp.................................................... 291,056 15,024,311 1.1%
International Business Machines Corp.......................... 47,694 6,913,722 0.5%
Mastercard, Inc. Class A...................................... 50,743 9,045,955 0.7%
Microsoft Corp................................................ 373,443 34,924,389 2.5%
NVIDIA Corp................................................... 29,401 6,612,285 0.5%
Oracle Corp................................................... 156,044 7,126,529 0.5%
Texas Instruments, Inc........................................ 53,446 5,421,028 0.4%
# Visa, Inc. Class A............................................ 86,500 10,975,120 0.8%
Other Securities.............................................. 116,945,339 8.4%
-------------- ------
Total Information Technology........................................ 320,975,850 23.3%
-------------- ------
Materials -- (3.9%)
DowDuPont, Inc................................................ 94,441 5,972,449 0.4%
Other Securities.............................................. 48,926,692 3.6%
-------------- ------
Total Materials..................................................... 54,899,141 4.0%
-------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 2,564,884 0.2%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc..................................................... 410,018 13,407,589 1.0%
Verizon Communications, Inc................................... 264,901 13,072,864 0.9%
Other Securities.............................................. 4,603,596 0.3%
-------------- ------
Total Telecommunication Services.................................... 31,084,049 2.2%
-------------- ------
Utilities -- (2.1%)
Other Securities.............................................. 30,142,245 2.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 1,374,453,850 99.7%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 1,374,453,850
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 2,653,278 2,653,278 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund................................ 3,395,410 39,284,894 2.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,125,022,371)........................................... $1,416,392,022 102.7%
============== ======
16
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 208,442,787 -- -- $ 208,442,787
Consumer Staples............ 93,781,360 -- -- 93,781,360
Energy...................... 79,936,344 -- -- 79,936,344
Financials.................. 199,638,105 -- -- 199,638,105
Health Care................. 186,669,248 -- -- 186,669,248
Industrials................. 166,319,837 -- -- 166,319,837
Information Technology...... 320,975,850 -- -- 320,975,850
Materials................... 54,899,141 -- -- 54,899,141
Real Estate................. 2,564,884 -- -- 2,564,884
Telecommunication Services.. 31,084,049 -- -- 31,084,049
Utilities................... 30,142,245 -- -- 30,142,245
Temporary Cash Investments.... 2,653,278 -- -- 2,653,278
Securities Lending Collateral. -- $39,284,894 -- 39,284,894
-------------- ----------- -- --------------
TOTAL......................... $1,377,107,128 $39,284,894 -- $1,416,392,022
============== =========== == ==============
See accompanying Notes to Financial Statements.
17
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $24,839,634,018
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $24,839,634,018
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
18
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (86.6%)
Consumer Discretionary -- (13.9%)
#* AutoNation, Inc..................... 791,996 $ 36,582,295 0.3%
#* Deckers Outdoor Corp................ 376,752 35,135,892 0.3%
# Kohl's Corp......................... 1,425,417 88,546,904 0.8%
# Macy's, Inc......................... 2,032,105 63,137,502 0.6%
# PulteGroup, Inc..................... 1,217,718 36,969,918 0.3%
# Toll Brothers, Inc.................. 1,774,310 74,804,910 0.7%
* Urban Outfitters, Inc............... 906,835 36,518,245 0.3%
Other Securities.................... 1,356,547,048 12.6%
-------------- -----
Total Consumer Discretionary............ 1,728,242,714 15.9%
-------------- -----
Consumer Staples -- (2.5%)
#* Post Holdings, Inc.................. 611,801 48,681,006 0.4%
Other Securities.................... 260,048,246 2.4%
-------------- -----
Total Consumer Staples.................. 308,729,252 2.8%
-------------- -----
Energy -- (10.3%)
#* Callon Petroleum Co................. 2,486,901 34,592,793 0.3%
* CNX Resources Corp.................. 3,011,679 44,753,550 0.4%
# Helmerich & Payne, Inc.............. 829,460 57,688,943 0.5%
HollyFrontier Corp.................. 1,595,985 96,860,330 0.9%
# Murphy Oil Corp..................... 1,739,578 52,378,694 0.5%
Patterson-UTI Energy, Inc........... 1,888,794 40,457,967 0.4%
# PBF Energy, Inc. Class A............ 1,256,465 48,160,303 0.4%
* RSP Permian, Inc.................... 1,264,171 62,715,523 0.6%
# SM Energy Co........................ 1,522,010 36,452,139 0.3%
#* Whiting Petroleum Corp.............. 1,049,311 42,832,875 0.4%
Other Securities.................... 759,998,709 7.0%
-------------- -----
Total Energy............................ 1,276,891,826 11.7%
-------------- -----
Financials -- (22.7%)
Aspen Insurance Holdings, Ltd....... 806,149 34,221,025 0.3%
Associated Banc-Corp................ 1,554,959 41,128,666 0.4%
Assurant, Inc....................... 581,268 53,953,296 0.5%
Assured Guaranty, Ltd............... 1,416,140 51,391,721 0.5%
Hancock Holding Co.................. 721,035 35,222,560 0.3%
Hanover Insurance Group, Inc. (The). 298,277 34,257,113 0.3%
# Investors Bancorp, Inc.............. 3,443,442 46,038,820 0.4%
Legg Mason, Inc..................... 1,001,898 39,775,351 0.4%
Old Republic International Corp..... 1,967,382 40,134,593 0.4%
PacWest Bancorp..................... 1,150,140 58,933,174 0.5%
# People's United Financial, Inc...... 3,781,635 69,166,104 0.6%
# Prosperity Bancshares, Inc.......... 646,317 46,386,171 0.4%
TCF Financial Corp.................. 1,616,716 40,143,058 0.4%
Umpqua Holdings Corp................ 2,459,018 57,934,464 0.5%
Other Securities.................... 2,178,268,215 20.1%
-------------- -----
Total Financials........................ 2,826,954,331 26.0%
-------------- -----
Health Care -- (4.6%)
Other Securities.................... 577,768,604 5.3%
-------------- -----
Industrials -- (17.1%)
#* AECOM............................... 1,445,896 49,796,658 0.5%
AGCO Corp........................... 751,921 47,130,408 0.4%
19
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
# Air Lease Corp................................................ 1,039,808 $ 43,349,595 0.4%
ASGN, Inc..................................................... 434,885 35,064,778 0.3%
#* Genesee & Wyoming, Inc. Class A............................... 577,476 41,116,291 0.4%
Jacobs Engineering Group, Inc................................. 898,110 52,171,210 0.5%
* JetBlue Airways Corp.......................................... 2,730,345 52,395,321 0.5%
#* Kirby Corp.................................................... 461,002 39,323,471 0.4%
* KLX, Inc...................................................... 550,511 43,066,476 0.4%
* Quanta Services, Inc.......................................... 1,650,915 53,654,737 0.5%
Ryder System, Inc............................................. 538,529 36,313,010 0.3%
# Trinity Industries, Inc....................................... 1,591,772 50,729,774 0.5%
#* XPO Logistics, Inc............................................ 420,192 40,825,855 0.4%
Other Securities.............................................. 1,544,719,237 14.1%
--------------- ------
Total Industrials................................................... 2,129,656,821 19.6%
--------------- ------
Information Technology -- (9.4%)
* Arrow Electronics, Inc........................................ 1,008,605 75,383,138 0.7%
Avnet, Inc.................................................... 1,553,956 60,961,694 0.6%
#* Cree, Inc..................................................... 1,035,512 38,645,308 0.4%
Jabil, Inc.................................................... 1,470,618 39,118,439 0.4%
Other Securities.............................................. 954,150,282 8.7%
--------------- ------
Total Information Technology........................................ 1,168,258,861 10.8%
--------------- ------
Materials -- (4.9%)
Reliance Steel & Aluminum Co.................................. 763,341 67,112,941 0.6%
Other Securities.............................................. 548,113,389 5.1%
--------------- ------
Total Materials..................................................... 615,226,330 5.7%
--------------- ------
Real Estate -- (0.5%)
Other Securities.............................................. 55,612,230 0.5%
--------------- ------
Telecommunication Services -- (0.5%)
Other Securities.............................................. 62,223,867 0.6%
--------------- ------
Utilities -- (0.2%)
Other Securities.............................................. 28,530,269 0.3%
--------------- ------
TOTAL COMMON STOCKS................................................. 10,778,095,105 99.2%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 568,631 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 65,408 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 10,778,729,144
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 109,733,131 109,733,131 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund................................ 134,242,565 1,553,186,477 14.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,359,482,704).......................................... $12,441,648,752 114.5%
=============== ======
20
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index... 625 06/15/18 $85,559,011 $82,718,750 $(2,840,261)
----------- ----------- ------------
Total futures contracts.. $85,559,011 $82,718,750 $(2,840,261)
=========== =========== ============
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 1,728,242,714 -- -- $ 1,728,242,714
Consumer Staples............ 308,729,252 -- -- 308,729,252
Energy...................... 1,276,891,826 -- -- 1,276,891,826
Financials.................. 2,826,811,855 $ 142,476 -- 2,826,954,331
Health Care................. 577,768,604 -- -- 577,768,604
Industrials................. 2,129,656,821 -- -- 2,129,656,821
Information Technology...... 1,168,166,398 92,463 -- 1,168,258,861
Materials................... 615,226,330 -- -- 615,226,330
Real Estate................. 55,612,230 -- -- 55,612,230
Telecommunication Services.. 62,223,867 -- -- 62,223,867
Utilities................... 28,530,269 -- -- 28,530,269
Preferred Stocks
Consumer Discretionary...... 568,631 -- -- 568,631
Rights/Warrants............... -- 65,408 -- 65,408
Temporary Cash Investments.... 109,733,131 -- -- 109,733,131
Securities Lending Collateral. -- 1,553,186,477 -- 1,553,186,477
Futures Contracts**........... (2,840,261) -- -- (2,840,261)
--------------- -------------- -- ---------------
TOTAL......................... $10,885,321,667 $1,553,486,824 -- $12,438,808,491
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
21
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (87.4%)
Consumer Discretionary -- (14.1%)
Aaron's, Inc................................ 2,596,059 $ 108,437,384 0.7%
#* Adtalem Global Education, Inc............... 2,165,341 103,070,232 0.7%
# Guess?, Inc................................. 2,664,605 62,058,650 0.4%
* Meritage Homes Corp......................... 1,426,415 63,475,467 0.4%
* TopBuild Corp............................... 914,822 72,911,313 0.5%
#* TRI Pointe Group, Inc....................... 5,625,233 96,247,737 0.6%
Other Securities............................ 1,929,594,294 12.7%
-------------- -----
Total Consumer Discretionary.................... 2,435,795,077 16.0%
-------------- -----
Consumer Staples -- (3.6%)
* Darling Ingredients, Inc.................... 6,101,583 104,581,133 0.7%
# Fresh Del Monte Produce, Inc................ 1,800,679 88,503,373 0.6%
# Seaboard Corp............................... 18,335 73,469,262 0.5%
#* United Natural Foods, Inc................... 1,660,619 74,761,067 0.5%
Other Securities............................ 271,818,015 1.7%
-------------- -----
Total Consumer Staples.......................... 613,132,850 4.0%
-------------- -----
Energy -- (10.4%)
#* Callon Petroleum Co......................... 5,034,714 70,032,872 0.5%
* CNX Resources Corp.......................... 4,966,425 73,801,075 0.5%
# Delek US Holdings, Inc...................... 2,214,669 104,908,871 0.7%
# Nabors Industries, Ltd...................... 10,783,969 82,066,004 0.5%
#* Oasis Petroleum, Inc........................ 7,785,289 85,871,738 0.6%
# PBF Energy, Inc. Class A.................... 3,295,143 126,302,831 0.8%
#* PDC Energy, Inc............................. 1,770,319 94,782,879 0.6%
Other Securities............................ 1,146,446,810 7.5%
-------------- -----
Total Energy.................................... 1,784,213,080 11.7%
-------------- -----
Financials -- (23.3%)
American Equity Investment Life Holding Co.. 3,252,117 98,213,933 0.7%
Argo Group International Holdings, Ltd...... 1,245,707 72,811,574 0.5%
Associated Banc-Corp........................ 4,226,995 111,804,018 0.7%
CNO Financial Group, Inc.................... 4,510,009 96,694,593 0.6%
# Fulton Financial Corp....................... 5,614,623 94,887,129 0.6%
Hanover Insurance Group, Inc. (The)......... 1,090,668 125,263,220 0.8%
Iberiabank Corp............................. 838,432 62,840,478 0.4%
# Kemper Corp................................. 1,698,813 114,669,877 0.8%
MB Financial, Inc........................... 1,963,852 83,699,372 0.6%
Old National Bancorp........................ 4,545,920 78,189,824 0.5%
# Selective Insurance Group, Inc.............. 1,427,490 84,507,408 0.6%
# Sterling Bancorp............................ 3,083,401 73,230,774 0.5%
TCF Financial Corp.......................... 2,968,355 73,704,255 0.5%
Washington Federal, Inc..................... 3,007,914 95,501,269 0.6%
Wintrust Financial Corp..................... 796,176 71,217,943 0.5%
Other Securities............................ 2,670,960,026 17.5%
-------------- -----
Total Financials................................ 4,008,195,693 26.4%
-------------- -----
Health Care -- (4.1%)
* Magellan Health, Inc........................ 728,658 61,097,973 0.4%
Other Securities............................ 651,265,440 4.3%
-------------- -----
Total Health Care............................... 712,363,413 4.7%
-------------- -----
22
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (14.9%)
* Esterline Technologies Corp................................... 1,083,684 $ 77,862,695 0.5%
# GATX Corp..................................................... 1,411,679 92,097,938 0.6%
#* KLX, Inc...................................................... 1,100,879 86,121,764 0.6%
Korn/Ferry International...................................... 1,452,257 77,637,659 0.5%
Regal Beloit Corp............................................. 851,591 60,633,279 0.4%
SkyWest, Inc.................................................. 1,614,320 91,854,808 0.6%
* WESCO International, Inc...................................... 1,584,743 94,371,446 0.6%
Other Securities.............................................. 1,992,779,035 13.1%
--------------- ------
Total Industrials................................................... 2,573,358,624 16.9%
--------------- ------
Information Technology -- (10.9%)
* CACI International, Inc. Class A.............................. 849,691 128,345,826 0.9%
# Convergys Corp................................................ 3,490,621 81,540,907 0.5%
#* Cree, Inc..................................................... 3,059,460 114,179,047 0.8%
* Sanmina Corp.................................................. 2,625,575 77,454,462 0.5%
#* Tech Data Corp................................................ 1,125,586 85,825,932 0.6%
# Vishay Intertechnology, Inc................................... 4,923,147 86,893,545 0.6%
Other Securities.............................................. 1,297,120,591 8.4%
--------------- ------
Total Information Technology........................................ 1,871,360,310 12.3%
--------------- ------
Materials -- (4.9%)
# Carpenter Technology Corp..................................... 1,553,506 82,739,730 0.5%
# Commercial Metals Co.......................................... 4,169,164 87,594,136 0.6%
Domtar Corp................................................... 2,142,845 94,070,895 0.6%
Other Securities.............................................. 574,997,685 3.8%
--------------- ------
Total Materials..................................................... 839,402,446 5.5%
--------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 59,503,205 0.4%
--------------- ------
Telecommunication Services -- (0.9%)
Telephone & Data Systems, Inc................................. 3,122,933 85,349,759 0.6%
Other Securities.............................................. 71,083,165 0.4%
--------------- ------
Total Telecommunication Services.................................... 156,432,924 1.0%
--------------- ------
Utilities -- (0.0%)
Other Securities.............................................. 7,240,398 0.1%
--------------- ------
TOTAL COMMON STOCKS................................................. 15,060,998,020 99.0%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 417,915 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 56,421 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 15,061,472,356
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 134,660,691 $ 134,660,691 0.9%
--------------- ------
SECURITIES LENDING COLLATERAL -- (11.8%)
(S)@ DFA Short Term Investment Fund................................ 176,096,632 2,037,438,029 13.4%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $13,434,666,339).......................................... $17,233,571,076 113.3%
=============== ======
23
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index... 885 06/15/18 $121,151,559 $117,129,750 $(4,021,809)
------------ ------------ ------------
Total futures contracts.. $121,151,559 $117,129,750 $(4,021,809)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 2,435,795,077 -- -- $ 2,435,795,077
Consumer Staples............ 613,132,850 -- -- 613,132,850
Energy...................... 1,784,213,080 -- -- 1,784,213,080
Financials.................. 4,007,867,258 $ 328,435 -- 4,008,195,693
Health Care................. 712,363,413 -- -- 712,363,413
Industrials................. 2,573,358,624 -- -- 2,573,358,624
Information Technology...... 1,871,360,310 -- -- 1,871,360,310
Materials................... 839,402,446 -- -- 839,402,446
Real Estate................. 59,503,205 -- -- 59,503,205
Telecommunication Services.. 156,432,924 -- -- 156,432,924
Utilities................... 7,240,398 -- -- 7,240,398
Preferred Stocks
Consumer Discretionary...... 417,915 -- -- 417,915
Rights/Warrants............... -- 56,421 -- 56,421
Temporary Cash Investments.... 134,660,691 -- -- 134,660,691
Securities Lending Collateral. -- 2,037,438,029 -- 2,037,438,029
Futures Contracts**........... (4,021,809) -- -- (4,021,809)
--------------- -------------- -- ---------------
TOTAL......................... $15,191,726,382 $2,037,822,885 -- $17,229,549,267
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
24
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (92.4%)
Consumer Discretionary -- (14.7%)
* Amazon.com, Inc................... 312,662 $ 489,669,338 2.2%
* Booking Holdings, Inc............. 29,118 63,419,004 0.3%
Comcast Corp. Class A............. 4,173,235 130,997,847 0.6%
Home Depot, Inc. (The)............ 885,726 163,682,165 0.7%
McDonald's Corp................... 529,832 88,715,070 0.4%
Walt Disney Co. (The)............. 966,747 96,993,727 0.4%
Other Securities.................. 2,479,560,685 11.2%
-------------- -----
Total Consumer Discretionary.......... 3,513,037,836 15.8%
-------------- -----
Consumer Staples -- (5.6%)
Altria Group, Inc................. 1,416,780 79,495,526 0.4%
Coca-Cola Co. (The)............... 2,505,511 108,263,130 0.5%
Costco Wholesale Corp............. 310,004 61,120,389 0.3%
PepsiCo, Inc...................... 1,073,320 108,340,921 0.5%
Philip Morris International, Inc.. 761,282 62,425,124 0.3%
Procter & Gamble Co. (The)........ 1,258,280 91,023,975 0.4%
Walmart, Inc...................... 1,333,978 118,003,694 0.5%
Other Securities.................. 710,222,136 3.1%
-------------- -----
Total Consumer Staples................ 1,338,894,895 6.0%
-------------- -----
Energy -- (5.2%)
Chevron Corp...................... 1,001,579 125,307,549 0.6%
Exxon Mobil Corp.................. 2,655,973 206,501,901 0.9%
Other Securities.................. 900,208,862 4.0%
-------------- -----
Total Energy.......................... 1,232,018,312 5.5%
-------------- -----
Financials -- (14.7%)
American Express Co............... 625,797 61,797,454 0.3%
Bank of America Corp.............. 5,848,206 174,978,324 0.8%
* Berkshire Hathaway, Inc. Class B.. 1,055,728 204,526,185 0.9%
Citigroup, Inc.................... 1,617,623 110,435,122 0.5%
JPMorgan Chase & Co............... 2,252,093 244,982,677 1.1%
Wells Fargo & Co.................. 2,897,049 150,530,666 0.7%
Other Securities.................. 2,563,888,258 11.4%
-------------- -----
Total Financials...................... 3,511,138,686 15.7%
-------------- -----
Health Care -- (11.0%)
AbbVie, Inc....................... 1,199,781 115,838,856 0.5%
Amgen, Inc........................ 374,474 65,338,224 0.3%
Gilead Sciences, Inc.............. 965,652 69,749,044 0.3%
Johnson & Johnson................. 1,751,111 221,498,030 1.0%
Merck & Co., Inc.................. 1,345,902 79,233,251 0.4%
Pfizer, Inc....................... 4,353,406 159,378,194 0.7%
UnitedHealth Group, Inc........... 600,291 141,908,792 0.7%
Other Securities.................. 1,767,888,978 7.9%
-------------- -----
Total Health Care..................... 2,620,833,369 11.8%
-------------- -----
Industrials -- (12.5%)
3M Co............................. 445,147 86,532,125 0.4%
Boeing Co. (The).................. 423,046 141,111,224 0.6%
Honeywell International, Inc...... 436,883 63,208,232 0.3%
Union Pacific Corp................ 501,031 66,952,773 0.3%
United Technologies Corp.......... 520,789 62,572,798 0.3%
25
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Other Securities.............................................. $ 2,563,599,396 11.5%
--------------- ------
Total Industrials................................................... 2,983,976,548 13.4%
--------------- ------
Information Technology -- (20.0%)
Accenture P.L.C. Class A...................................... 466,581 70,547,047 0.3%
* Alphabet, Inc. Class A........................................ 118,161 120,356,431 0.6%
* Alphabet, Inc. Class C........................................ 124,279 126,432,755 0.6%
Apple, Inc.................................................... 3,913,148 646,686,839 2.9%
Cisco Systems, Inc............................................ 2,718,780 120,414,766 0.6%
* Facebook, Inc. Class A........................................ 1,237,400 212,832,800 1.0%
Intel Corp.................................................... 4,040,870 208,589,709 0.9%
International Business Machines Corp.......................... 653,350 94,709,616 0.4%
Mastercard, Inc. Class A...................................... 700,725 124,918,246 0.6%
Microsoft Corp................................................ 5,151,344 481,753,691 2.2%
NVIDIA Corp................................................... 392,995 88,384,576 0.4%
Oracle Corp................................................... 1,422,583 64,969,366 0.3%
Texas Instruments, Inc........................................ 718,388 72,866,095 0.3%
# Visa, Inc. Class A............................................ 1,135,441 144,064,754 0.7%
Other Securities.............................................. 2,203,281,936 9.6%
--------------- ------
Total Information Technology........................................ 4,780,808,627 21.4%
--------------- ------
Materials -- (4.2%)
DowDuPont, Inc................................................ 1,302,048 82,341,516 0.4%
Other Securities.............................................. 913,365,850 4.1%
--------------- ------
Total Materials..................................................... 995,707,366 4.5%
--------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 72,674,720 0.3%
--------------- ------
Telecommunication Services -- (1.8%)
AT&T, Inc..................................................... 5,436,136 177,761,647 0.8%
Verizon Communications, Inc................................... 3,128,172 154,375,288 0.7%
Other Securities.............................................. 84,398,112 0.4%
--------------- ------
Total Telecommunication Services.................................... 416,535,047 1.9%
--------------- ------
Utilities -- (2.4%)
Other Securities.............................................. 580,329,413 2.6%
--------------- ------
TOTAL COMMON STOCKS................................................. 22,045,954,819 98.9%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 367,953 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 183,574 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 22,046,506,346
---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 237,183,114 237,183,114 1.1%
--------------- ------
SECURITIES LENDING COLLATERAL -- (6.6%)
(S)@ DFA Short Term Investment Fund................................ 136,862,551 1,583,499,719 7.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,300,248,304).......................................... $23,867,189,179 107.1%
=============== ======
26
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index... 1,435 06/15/18 $195,761,763 $189,922,250 $(5,839,513)
------------ ------------ ------------
Total futures contracts.. $195,761,763 $189,922,250 $(5,839,513)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 3,513,037,611 $ 225 -- $ 3,513,037,836
Consumer Staples............ 1,338,894,895 -- -- 1,338,894,895
Energy...................... 1,232,018,312 -- -- 1,232,018,312
Financials.................. 3,511,103,275 35,411 -- 3,511,138,686
Health Care................. 2,620,833,369 -- -- 2,620,833,369
Industrials................. 2,983,976,548 -- -- 2,983,976,548
Information Technology...... 4,780,808,627 -- -- 4,780,808,627
Materials................... 995,707,366 -- -- 995,707,366
Real Estate................. 72,674,720 -- -- 72,674,720
Telecommunication Services.. 416,535,047 -- -- 416,535,047
Utilities................... 580,329,413 -- -- 580,329,413
Preferred Stocks
Consumer Discretionary...... 367,953 -- -- 367,953
Rights/Warrants............... -- 183,574 -- 183,574
Temporary Cash Investments.... 237,183,114 -- -- 237,183,114
Securities Lending Collateral. -- 1,583,499,719 -- 1,583,499,719
Futures Contracts**........... (5,839,513) -- -- (5,839,513)
--------------- -------------- -- ---------------
TOTAL......................... $22,277,630,737 $1,583,718,929 -- $23,861,349,666
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
27
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (92.0%)
Consumer Discretionary -- (14.0%)
* Amazon.com, Inc.................. 205,727 $ 322,195,227 1.3%
Best Buy Co., Inc................ 790,787 60,518,929 0.3%
Comcast Corp. Class A............ 5,784,188 181,565,661 0.8%
Home Depot, Inc. (The)........... 604,278 111,670,574 0.5%
Time Warner, Inc................. 819,384 77,677,603 0.3%
Walt Disney Co. (The)............ 1,012,945 101,628,772 0.4%
Other Securities................. 2,767,314,356 11.4%
-------------- -----
Total Consumer Discretionary......... 3,622,571,122 15.0%
-------------- -----
Consumer Staples -- (5.1%)
Altria Group, Inc................ 1,147,485 64,385,383 0.3%
Coca-Cola Co. (The).............. 2,039,354 88,120,486 0.4%
PepsiCo, Inc..................... 675,464 68,181,336 0.3%
Procter & Gamble Co. (The)....... 1,360,960 98,451,846 0.4%
Walmart, Inc..................... 1,744,789 154,344,035 0.6%
Other Securities................. 835,111,425 3.4%
-------------- -----
Total Consumer Staples............... 1,308,594,511 5.4%
-------------- -----
Energy -- (5.8%)
Chevron Corp..................... 1,188,328 148,671,716 0.6%
Exxon Mobil Corp................. 3,018,867 234,716,909 1.0%
Other Securities................. 1,122,574,292 4.7%
-------------- -----
Total Energy......................... 1,505,962,917 6.3%
-------------- -----
Financials -- (17.6%)
American Express Co.............. 809,859 79,973,576 0.3%
Bank of America Corp............. 6,763,707 202,370,113 0.9%
* Berkshire Hathaway, Inc. Class B. 986,197 191,055,945 0.8%
Citigroup, Inc................... 1,729,366 118,063,817 0.5%
Goldman Sachs Group, Inc. (The).. 284,073 67,703,118 0.3%
JPMorgan Chase & Co.............. 2,971,967 323,290,570 1.4%
U.S. Bancorp..................... 1,203,717 60,727,523 0.3%
Wells Fargo & Co................. 4,176,962 217,034,946 0.9%
Other Securities................. 3,304,535,070 13.6%
-------------- -----
Total Financials..................... 4,564,754,678 19.0%
-------------- -----
Health Care -- (10.2%)
AbbVie, Inc...................... 752,746 72,677,626 0.3%
CVS Health Corp.................. 988,292 69,012,430 0.3%
Gilead Sciences, Inc............. 1,079,751 77,990,415 0.3%
Johnson & Johnson................ 1,483,658 187,667,900 0.8%
Merck & Co., Inc................. 1,225,225 72,128,996 0.3%
Pfizer, Inc...................... 5,173,380 189,397,442 0.8%
UnitedHealth Group, Inc.......... 617,082 145,878,185 0.6%
Other Securities................. 1,839,914,780 7.6%
-------------- -----
Total Health Care.................... 2,654,667,774 11.0%
-------------- -----
Industrials -- (13.1%)
Boeing Co. (The)................. 269,827 90,003,494 0.4%
Caterpillar, Inc................. 431,816 62,336,958 0.3%
FedEx Corp....................... 275,432 68,086,790 0.3%
Union Pacific Corp............... 671,012 89,667,334 0.4%
United Technologies Corp......... 573,727 68,933,299 0.3%
28
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Other Securities.............................................. $ 3,021,506,427 12.4%
--------------- ------
Total Industrials................................................... 3,400,534,302 14.1%
--------------- ------
Information Technology -- (17.9%)
* Alphabet, Inc. Class A........................................ 95,859 97,640,060 0.4%
* Alphabet, Inc. Class C........................................ 100,881 102,629,268 0.4%
Apple, Inc.................................................... 3,188,839 526,987,533 2.2%
Cisco Systems, Inc............................................ 4,353,001 192,794,414 0.8%
* Facebook, Inc. Class A........................................ 743,377 127,860,844 0.5%
Intel Corp.................................................... 5,141,165 265,386,937 1.1%
International Business Machines Corp.......................... 558,581 80,971,902 0.3%
Mastercard, Inc. Class A...................................... 463,101 82,557,015 0.4%
* Micron Technology, Inc........................................ 1,627,340 74,825,093 0.3%
Microsoft Corp................................................ 3,767,654 352,351,002 1.5%
NVIDIA Corp................................................... 458,835 103,191,991 0.4%
Oracle Corp................................................... 1,640,590 74,925,745 0.3%
QUALCOMM, Inc................................................. 1,260,628 64,304,634 0.3%
# Visa, Inc. Class A............................................ 940,893 119,380,504 0.5%
Other Securities.............................................. 2,371,709,769 9.9%
--------------- ------
Total Information Technology........................................ 4,637,516,711 19.3%
--------------- ------
Materials -- (4.3%)
DowDuPont, Inc................................................ 1,209,038 76,459,563 0.3%
Other Securities.............................................. 1,034,082,315 4.3%
--------------- ------
Total Materials..................................................... 1,110,541,878 4.6%
--------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 94,651,218 0.4%
--------------- ------
Telecommunication Services -- (2.0%)
AT&T, Inc..................................................... 7,787,751 254,659,458 1.1%
Verizon Communications, Inc................................... 3,286,048 162,166,469 0.7%
Other Securities.............................................. 111,172,134 0.4%
--------------- ------
Total Telecommunication Services.................................... 527,998,061 2.2%
--------------- ------
Utilities -- (1.6%)
Other Securities.............................................. 419,211,449 1.7%
--------------- ------
TOTAL COMMON STOCKS................................................. 23,847,004,621 99.0%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 570,384 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 182,300 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 23,847,757,305
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 235,937,300 235,937,300 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (7.1%)
(S)@ DFA Short Term Investment Fund................................ 159,543,985 1,845,923,909 7.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,541,128,884).......................................... $25,929,618,514 107.6%
=============== ======
29
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index... 1,555 06/15/18 $212,253,911 $205,804,250 $(6,449,661)
------------ ------------ ------------
Total futures contracts.. $212,253,911 $205,804,250 $(6,449,661)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 3,622,570,606 $ 516 -- $ 3,622,571,122
Consumer Staples............ 1,308,594,511 -- -- 1,308,594,511
Energy...................... 1,505,962,917 -- -- 1,505,962,917
Financials.................. 4,564,695,309 59,369 -- 4,564,754,678
Health Care................. 2,654,667,774 -- -- 2,654,667,774
Industrials................. 3,400,534,302 -- -- 3,400,534,302
Information Technology...... 4,637,499,765 16,946 -- 4,637,516,711
Materials................... 1,110,541,878 -- -- 1,110,541,878
Real Estate................. 94,651,218 -- -- 94,651,218
Telecommunication Services.. 527,998,061 -- -- 527,998,061
Utilities................... 419,211,449 -- -- 419,211,449
Preferred Stocks
Consumer Discretionary...... 570,384 -- -- 570,384
Rights/Warrants............... -- 182,300 -- 182,300
Temporary Cash Investments.... 235,937,300 -- -- 235,937,300
Securities Lending Collateral. -- 1,845,923,909 -- 1,845,923,909
Futures Contracts**........... (6,449,661) -- -- (6,449,661)
--------------- -------------- -- ---------------
TOTAL......................... $24,076,985,812 $1,846,183,040 -- $25,923,168,852
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
30
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (89.5%)
Consumer Discretionary -- (12.6%)
* Charter Communications, Inc. Class A.......... 35,911 $ 9,742,295 0.2%
Comcast Corp. Class A......................... 487,867 15,314,145 0.3%
Ford Motor Co................................. 1,060,195 11,916,592 0.3%
General Motors Co............................. 390,610 14,351,011 0.3%
# Kohl's Corp................................... 177,964 11,055,124 0.2%
Lennar Corp. Class A.......................... 259,298 13,714,271 0.3%
Time Warner, Inc.............................. 94,912 8,997,658 0.2%
* Urban Outfitters, Inc......................... 199,203 8,021,905 0.2%
Walt Disney Co. (The)......................... 118,253 11,864,323 0.3%
Other Securities.............................. 557,351,536 11.6%
-------------- -----
Total Consumer Discretionary...................... 662,328,860 13.9%
-------------- -----
Consumer Staples -- (3.5%)
Procter & Gamble Co. (The).................... 116,144 8,401,857 0.2%
Walmart, Inc.................................. 198,213 17,533,922 0.4%
Other Securities.............................. 156,071,240 3.2%
-------------- -----
Total Consumer Staples............................ 182,007,019 3.8%
-------------- -----
Energy -- (7.3%)
Andeavor...................................... 137,631 19,037,120 0.4%
Chevron Corp.................................. 211,373 26,444,876 0.6%
Exxon Mobil Corp.............................. 261,711 20,348,030 0.4%
HollyFrontier Corp............................ 182,118 11,052,741 0.2%
Valero Energy Corp............................ 104,590 11,602,169 0.3%
Other Securities.............................. 293,854,623 6.2%
-------------- -----
Total Energy...................................... 382,339,559 8.1%
-------------- -----
Financials -- (22.8%)
# Ally Financial, Inc........................... 307,805 8,033,710 0.2%
American Financial Group, Inc................. 69,889 7,912,833 0.2%
Bank of America Corp.......................... 1,187,298 35,523,956 0.8%
* Berkshire Hathaway, Inc. Class B.............. 47,977 9,294,584 0.2%
Citigroup, Inc................................ 312,527 21,336,218 0.5%
First American Financial Corp................. 149,802 7,656,380 0.2%
First Horizon National Corp................... 423,869 7,756,803 0.2%
Goldman Sachs Group, Inc. (The)............... 44,550 10,617,601 0.2%
Hartford Financial Services Group, Inc. (The). 171,851 9,252,458 0.2%
JPMorgan Chase & Co........................... 550,713 59,906,560 1.3%
Lincoln National Corp......................... 111,851 7,901,155 0.2%
Morgan Stanley................................ 171,784 8,867,490 0.2%
PNC Financial Services Group, Inc. (The)...... 54,544 7,942,152 0.2%
Principal Financial Group, Inc................ 157,281 9,314,181 0.2%
Regions Financial Corp........................ 533,364 9,973,907 0.2%
# Sterling Bancorp.............................. 377,574 8,967,382 0.2%
Wells Fargo & Co.............................. 846,080 43,962,317 0.9%
Other Securities.............................. 926,755,927 19.2%
-------------- -----
Total Financials.................................. 1,200,975,614 25.3%
-------------- -----
Health Care -- (7.4%)
Johnson & Johnson............................. 114,841 14,526,238 0.3%
Merck & Co., Inc.............................. 149,737 8,815,017 0.2%
Pfizer, Inc................................... 426,044 15,597,471 0.3%
UnitedHealth Group, Inc....................... 74,301 17,564,756 0.4%
31
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Other Securities.............................................. $ 336,043,803 7.1%
-------------- ------
Total Health Care................................................... 392,547,285 8.3%
-------------- ------
Industrials -- (14.6%)
Trinity Industries, Inc....................................... 252,771 8,055,812 0.2%
#* XPO Logistics, Inc............................................ 99,123 9,630,791 0.2%
Other Securities.............................................. 749,059,644 15.7%
-------------- ------
Total Industrials................................................... 766,746,247 16.1%
-------------- ------
Information Technology -- (13.0%)
* Alphabet, Inc. Class A........................................ 10,540 10,735,833 0.2%
* Alphabet, Inc. Class C........................................ 11,067 11,258,791 0.2%
Apple, Inc.................................................... 285,245 47,139,589 1.0%
Cisco Systems, Inc............................................ 479,871 21,253,487 0.5%
Intel Corp.................................................... 578,019 29,837,341 0.6%
* Micron Technology, Inc........................................ 295,915 13,606,172 0.3%
Microsoft Corp................................................ 278,222 26,019,321 0.6%
MKS Instruments, Inc.......................................... 79,909 8,182,682 0.2%
Other Securities.............................................. 518,956,645 10.9%
-------------- ------
Total Information Technology........................................ 686,989,861 14.5%
-------------- ------
Materials -- (5.0%)
Reliance Steel & Aluminum Co.................................. 96,442 8,479,181 0.2%
Other Securities.............................................. 255,929,062 5.4%
-------------- ------
Total Materials..................................................... 264,408,243 5.6%
-------------- ------
Real Estate -- (0.5%)
Other Securities.............................................. 25,085,628 0.5%
-------------- ------
Telecommunication Services -- (1.9%)
AT&T, Inc..................................................... 1,702,949 55,686,432 1.2%
Verizon Communications, Inc................................... 270,126 13,330,718 0.3%
Other Securities.............................................. 32,614,068 0.6%
-------------- ------
Total Telecommunication Services.................................... 101,631,218 2.1%
-------------- ------
Utilities -- (0.9%)
Other Securities.............................................. 46,651,705 1.0%
-------------- ------
TOTAL COMMON STOCKS................................................. 4,711,711,239 99.2%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 354,876 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 24,642 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 4,712,090,757
--------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 42,523,470 42,523,470 0.9%
-------------- ------
SECURITIES LENDING COLLATERAL -- (9.7%)
(S)@ DFA Short Term Investment Fund................................ 43,975,305 508,794,277 10.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,693,793,226)........................................... $5,263,408,504 110.8%
============== ======
32
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, U.S. Vector 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(R) Emini Index... 273 06/15/18 $37,192,248 $36,131,550 $(1,060,698)
----------- ----------- ------------
Total futures contracts.. $37,192,248 $36,131,550 $(1,060,698)
=========== =========== ============
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 662,328,860 -- -- $ 662,328,860
Consumer Staples............ 182,007,019 -- -- 182,007,019
Energy...................... 382,339,559 -- -- 382,339,559
Financials.................. 1,200,951,541 $ 24,073 -- 1,200,975,614
Health Care................. 392,547,285 -- -- 392,547,285
Industrials................. 766,746,247 -- -- 766,746,247
Information Technology...... 686,989,861 -- -- 686,989,861
Materials................... 264,408,243 -- -- 264,408,243
Real Estate................. 25,085,628 -- -- 25,085,628
Telecommunication Services.. 101,631,218 -- -- 101,631,218
Utilities................... 46,651,705 -- -- 46,651,705
Preferred Stocks
Consumer Discretionary...... 354,876 -- -- 354,876
Rights/Warrants............... -- 24,642 -- 24,642
Temporary Cash Investments.... 42,523,470 -- -- 42,523,470
Securities Lending Collateral. -- 508,794,277 -- 508,794,277
Futures Contracts**........... (1,060,698) -- -- (1,060,698)
-------------- ------------ -- --------------
TOTAL......................... $4,753,504,814 $508,842,992 -- $5,262,347,806
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
33
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (84.0%)
Consumer Discretionary -- (13.8%)
American Eagle Outfitters, Inc.......... 1,963,139 $ 40,597,715 0.2%
#* Deckers Outdoor Corp.................... 639,202 59,611,979 0.4%
#* Five Below, Inc......................... 539,274 38,078,137 0.2%
ILG, Inc................................ 1,237,829 42,247,104 0.3%
# New York Times Co. (The) Class A........ 1,575,565 36,946,999 0.2%
# Texas Roadhouse, Inc.................... 629,062 40,310,293 0.2%
#* Urban Outfitters, Inc................... 1,037,098 41,763,936 0.2%
#* Visteon Corp............................ 330,397 41,114,603 0.2%
# Wendy's Co. (The)....................... 2,441,546 40,871,480 0.2%
Other Securities........................ 2,462,338,581 14.1%
-------------- -----
Total Consumer Discretionary................ 2,843,880,827 16.2%
-------------- -----
Consumer Staples -- (3.5%)
Other Securities........................ 725,010,505 4.1%
-------------- -----
Energy -- (5.3%)
# Delek US Holdings, Inc.................. 848,460 40,191,550 0.2%
#* Matador Resources Co.................... 1,114,338 36,483,426 0.2%
# PBF Energy, Inc. Class A................ 1,320,944 50,631,784 0.3%
#* PDC Energy, Inc......................... 705,692 37,782,750 0.2%
#* SRC Energy, Inc......................... 3,217,843 35,524,987 0.2%
#* Whiting Petroleum Corp.................. 902,306 36,832,131 0.2%
Other Securities........................ 847,193,187 4.9%
-------------- -----
Total Energy................................ 1,084,639,815 6.2%
-------------- -----
Financials -- (17.6%)
Aspen Insurance Holdings, Ltd........... 871,501 36,995,217 0.2%
Associated Banc-Corp.................... 1,647,398 43,573,677 0.3%
# BancorpSouth Bank....................... 1,522,695 50,325,070 0.3%
Cathay General Bancorp.................. 1,533,107 61,339,611 0.4%
# Columbia Banking System, Inc............ 1,055,984 42,461,117 0.2%
Evercore, Inc. Class A.................. 494,814 50,099,917 0.3%
FirstCash, Inc.......................... 672,030 58,265,001 0.3%
Fulton Financial Corp................... 2,145,209 36,254,032 0.2%
* Green Dot Corp. Class A................. 636,314 38,694,254 0.2%
# Interactive Brokers Group, Inc. Class A. 640,652 47,536,378 0.3%
Popular, Inc............................ 764,532 35,390,186 0.2%
Primerica, Inc.......................... 482,119 46,645,013 0.3%
# Selective Insurance Group, Inc.......... 763,279 45,186,117 0.3%
# Sterling Bancorp........................ 2,509,716 59,605,755 0.3%
TCF Financial Corp...................... 2,155,314 53,516,447 0.3%
UMB Financial Corp...................... 486,895 37,286,419 0.2%
# Valley National Bancorp................. 2,903,022 36,432,926 0.2%
Other Securities........................ 2,842,386,551 16.2%
-------------- -----
Total Financials............................ 3,621,993,688 20.7%
-------------- -----
Health Care -- (7.4%)
Cantel Medical Corp..................... 383,723 43,003,837 0.3%
# Chemed Corp............................. 137,239 42,299,805 0.3%
* Haemonetics Corp........................ 455,907 35,578,982 0.2%
Other Securities........................ 1,398,004,039 7.9%
-------------- -----
Total Health Care........................... 1,518,886,663 8.7%
-------------- -----
34
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (16.2%)
* ASGN, Inc..................................................... 506,767 $ 40,860,623 0.2%
#* Cimpress NV................................................... 314,031 45,160,798 0.3%
Insperity, Inc................................................ 449,144 36,043,806 0.2%
#* KLX, Inc...................................................... 562,905 44,036,058 0.3%
# Terex Corp.................................................... 1,116,268 40,766,107 0.2%
Other Securities.............................................. 3,124,014,195 17.8%
--------------- ------
Total Industrials................................................... 3,330,881,587 19.0%
--------------- ------
Information Technology -- (11.2%)
* CACI International, Inc. Class A.............................. 241,640 36,499,722 0.2%
#* Ciena Corp.................................................... 1,408,658 36,272,943 0.2%
#* Conduent, Inc................................................. 1,942,896 37,808,756 0.2%
#* Cree, Inc..................................................... 1,214,607 45,329,133 0.3%
Entegris, Inc................................................. 1,229,681 39,595,728 0.2%
MKS Instruments, Inc.......................................... 349,516 35,790,438 0.2%
* Silicon Laboratories, Inc..................................... 421,780 39,183,362 0.2%
* Zynga, Inc. Class A........................................... 10,461,381 36,091,764 0.2%
Other Securities.............................................. 2,012,047,161 11.5%
--------------- ------
Total Information Technology........................................ 2,318,619,007 13.2%
--------------- ------
Materials -- (4.7%)
Other Securities.............................................. 959,156,562 5.5%
--------------- ------
Real Estate -- (0.6%)
Other Securities.............................................. 127,466,427 0.7%
--------------- ------
Telecommunication Services -- (0.8%)
Other Securities.............................................. 166,880,395 1.0%
--------------- ------
Utilities -- (2.9%)
ALLETE, Inc................................................... 475,869 36,361,150 0.2%
WGL Holdings, Inc............................................. 421,322 35,854,502 0.2%
Other Securities.............................................. 534,552,009 3.1%
--------------- ------
Total Utilities..................................................... 606,767,661 3.5%
--------------- ------
TOTAL COMMON STOCKS................................................. 17,304,183,137 98.8%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 1,709,186 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 29,845 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 17,305,922,168
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 169,289,827 169,289,827 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (15.2%)
(S)@ DFA Short Term Investment Fund................................ 269,966,850 3,123,516,458 17.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,354,354,169).......................................... $20,598,728,453 117.6%
=============== ======
35
U.S. SMALL CAP PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index... 1,113 06/15/18 $151,164,635 $147,305,550 $(3,859,085)
------------ ------------ ------------
Total futures contracts.. $151,164,635 $147,305,550 $(3,859,085)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 2,843,879,477 $ 1,350 -- $ 2,843,880,827
Consumer Staples............ 725,010,505 -- -- 725,010,505
Energy...................... 1,084,639,815 -- -- 1,084,639,815
Financials.................. 3,621,858,586 135,102 -- 3,621,993,688
Health Care................. 1,518,886,663 -- -- 1,518,886,663
Industrials................. 3,330,881,587 -- -- 3,330,881,587
Information Technology...... 2,318,577,147 41,860 -- 2,318,619,007
Materials................... 959,156,562 -- -- 959,156,562
Real Estate................. 127,466,427 -- -- 127,466,427
Telecommunication Services.. 166,880,395 -- -- 166,880,395
Utilities................... 606,767,661 -- -- 606,767,661
Preferred Stocks
Consumer Discretionary...... 1,709,186 -- -- 1,709,186
Rights/Warrants............... -- 29,845 -- 29,845
Temporary Cash Investments.... 169,289,827 -- -- 169,289,827
Securities Lending Collateral. -- 3,123,516,458 -- 3,123,516,458
Futures Contracts**........... (3,859,085) -- -- (3,859,085)
--------------- -------------- -- ---------------
TOTAL......................... $17,471,144,753 $3,123,724,615 -- $20,594,869,368
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
36
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (86.2%)
Consumer Discretionary -- (12.7%)
# Caleres, Inc............................ 493,103 $ 16,139,261 0.3%
Callaway Golf Co........................ 1,105,362 19,078,548 0.3%
#* Cavco Industries, Inc................... 96,967 16,518,328 0.3%
La-Z-Boy, Inc........................... 558,862 16,095,226 0.3%
#* Shutterfly, Inc......................... 213,257 17,256,756 0.3%
# Sonic Corp.............................. 605,445 15,687,080 0.2%
Other Securities........................ 837,176,853 12.8%
-------------- -----
Total Consumer Discretionary................ 937,952,052 14.5%
-------------- -----
Consumer Staples -- (3.1%)
# Calavo Growers, Inc..................... 186,492 17,474,300 0.3%
Inter Parfums, Inc...................... 301,212 15,422,054 0.2%
# MGP Ingredients, Inc.................... 188,068 18,015,034 0.3%
#* USANA Health Sciences, Inc.............. 166,462 17,570,064 0.3%
# WD-40 Co................................ 144,160 19,014,704 0.3%
Other Securities........................ 141,297,795 2.2%
-------------- -----
Total Consumer Staples...................... 228,793,951 3.6%
-------------- -----
Energy -- (4.3%)
Other Securities........................ 317,128,604 4.9%
-------------- -----
Financials -- (19.3%)
# Ameris Bancorp.......................... 332,383 17,184,201 0.3%
#* BofI Holding, Inc....................... 403,609 16,257,371 0.3%
Boston Private Financial Holdings, Inc.. 956,143 15,346,095 0.2%
FBL Financial Group, Inc. Class A....... 215,835 16,781,171 0.3%
First Financial Bancorp................. 841,680 26,049,996 0.4%
* Green Dot Corp. Class A................. 285,832 17,381,444 0.3%
Horace Mann Educators Corp.............. 410,677 18,357,262 0.3%
# Independent Bank Corp................... 207,836 15,026,543 0.2%
Infinity Property & Casualty Corp....... 121,048 15,978,336 0.3%
# Walker & Dunlop, Inc.................... 339,012 19,360,975 0.3%
Other Securities........................ 1,256,342,503 19.3%
-------------- -----
Total Financials............................ 1,434,065,897 22.2%
-------------- -----
Health Care -- (9.1%)
#* Amedisys, Inc........................... 228,635 15,110,487 0.2%
CONMED Corp............................. 269,310 17,513,229 0.3%
* Emergent BioSolutions, Inc.............. 301,686 15,645,436 0.3%
#* Integer Holdings Corp................... 281,395 15,448,585 0.2%
#* LHC Group, Inc.......................... 288,756 21,489,222 0.3%
* Merit Medical Systems, Inc.............. 398,201 19,312,748 0.3%
#* Omnicell, Inc........................... 390,314 16,822,533 0.3%
Other Securities........................ 551,355,567 8.5%
-------------- -----
Total Health Care........................... 672,697,807 10.4%
-------------- -----
Industrials -- (18.5%)
# Albany International Corp. Class A...... 261,344 15,458,498 0.2%
#* Axon Enterprise, Inc.................... 376,999 15,826,418 0.2%
* Chart Industries, Inc................... 336,140 19,072,584 0.3%
Comfort Systems USA, Inc................ 378,197 15,959,913 0.3%
Exponent, Inc........................... 240,120 20,746,368 0.3%
Forward Air Corp........................ 306,722 16,559,921 0.3%
37
U.S. MICRO CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Insperity, Inc.......................................... 250,532 $ 20,105,193 0.3%
Kaman Corp.............................................. 281,442 17,066,643 0.3%
Korn/Ferry International................................ 291,758 15,597,383 0.2%
SkyWest, Inc............................................ 302,118 17,190,514 0.3%
Other Securities........................................ 1,197,489,189 18.5%
-------------- ------
Total Industrials............................................. 1,371,072,624 21.2%
-------------- ------
Information Technology -- (10.9%)
Cabot Microelectronics Corp............................. 169,883 17,234,630 0.3%
* ExlService Holdings, Inc................................ 265,274 15,335,490 0.2%
Methode Electronics, Inc................................ 408,852 16,313,195 0.3%
* Virtusa Corp............................................ 358,465 17,256,505 0.3%
Other Securities........................................ 742,560,349 11.4%
-------------- ------
Total Information Technology.................................. 808,700,169 12.5%
-------------- ------
Materials -- (4.5%)
* Ferro Corp.............................................. 883,136 19,437,823 0.3%
Innospec, Inc........................................... 254,933 18,533,629 0.3%
# Kaiser Aluminum Corp.................................... 167,047 16,460,811 0.3%
Quaker Chemical Corp.................................... 104,311 15,332,674 0.2%
Other Securities........................................ 263,636,016 4.1%
-------------- ------
Total Materials............................................... 333,400,953 5.2%
-------------- ------
Real Estate -- (0.9%)
Other Securities........................................ 68,999,839 1.1%
-------------- ------
Telecommunication Services -- (1.1%)
Shenandoah Telecommunications Co........................ 497,484 18,780,021 0.3%
#* Vonage Holdings Corp.................................... 1,577,569 17,637,221 0.3%
Other Securities........................................ 46,517,466 0.7%
-------------- ------
Total Telecommunication Services.............................. 82,934,708 1.3%
-------------- ------
Utilities -- (1.8%)
# American States Water Co................................ 338,714 18,873,144 0.3%
# California Water Service Group.......................... 430,087 16,665,871 0.3%
Other Securities........................................ 97,526,792 1.5%
-------------- ------
Total Utilities............................................... 133,065,807 2.1%
-------------- ------
TOTAL COMMON STOCKS........................................... 6,388,812,411 99.0%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities........................................ 1,599,809 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES................................... 6,390,412,220
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market
Fund, 1.630%........................................... 68,450,273 68,450,273 1.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (12.9%)
(S)@ DFA Short Term Investment Fund.......................... 82,356,253 952,861,850 14.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,135,363,364)..................................... $7,411,724,343 114.8%
============== ======
38
U.S. MICRO CAP PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index... 441 06/15/18 $59,244,846 $58,366,350 $(878,496)
----------- ----------- ----------
Total futures contracts.. $59,244,846 $58,366,350 $(878,496)
=========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 937,940,573 $ 11,479 -- $ 937,952,052
Consumer Staples............ 228,793,951 -- -- 228,793,951
Energy...................... 317,128,604 -- -- 317,128,604
Financials.................. 1,433,958,382 107,515 -- 1,434,065,897
Health Care................. 672,697,807 -- -- 672,697,807
Industrials................. 1,371,072,624 -- -- 1,371,072,624
Information Technology...... 808,679,091 21,078 -- 808,700,169
Materials................... 333,400,953 -- -- 333,400,953
Real Estate................. 68,999,839 -- -- 68,999,839
Telecommunication Services.. 82,934,708 -- -- 82,934,708
Utilities................... 133,065,807 -- -- 133,065,807
Preferred Stocks
Consumer Discretionary...... 1,599,809 -- -- 1,599,809
Temporary Cash Investments.... 68,450,273 -- -- 68,450,273
Securities Lending Collateral. -- 952,861,850 -- 952,861,850
Futures Contracts**........... (878,496) -- -- (878,496)
-------------- ------------ -- --------------
TOTAL......................... $6,457,843,925 $953,001,922 -- $7,410,845,847
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
39
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.5%)
Consumer Discretionary -- (21.6%)
* Amazon.com, Inc............... 9,882 $15,476,497 4.1%
Best Buy Co., Inc............. 26,735 2,046,030 0.5%
* Booking Holdings, Inc......... 1,900 4,138,200 1.1%
Comcast Corp. Class A......... 207,454 6,511,981 1.7%
General Motors Co............. 58,674 2,155,683 0.6%
Home Depot, Inc. (The)........ 44,398 8,204,750 2.2%
Lowe's Cos., Inc.............. 34,554 2,848,286 0.8%
NIKE, Inc. Class B............ 50,188 3,432,357 0.9%
Starbucks Corp................ 59,694 3,436,584 0.9%
Target Corp................... 27,551 2,000,203 0.5%
TJX Cos., Inc. (The).......... 25,534 2,166,560 0.6%
Other Securities.............. 31,781,151 8.3%
----------- -----
Total Consumer Discretionary...... 84,198,282 22.2%
----------- -----
Consumer Staples -- (10.8%)
Altria Group, Inc............. 99,762 5,597,646 1.5%
Coca-Cola Co. (The)........... 139,399 6,023,431 1.6%
Costco Wholesale Corp......... 19,530 3,850,535 1.0%
Kroger Co. (The).............. 72,175 1,818,088 0.5%
PepsiCo, Inc.................. 61,999 6,258,179 1.7%
Walmart, Inc.................. 69,502 6,148,147 1.6%
Other Securities.............. 12,317,409 3.2%
----------- -----
Total Consumer Staples............ 42,013,435 11.1%
----------- -----
Energy -- (1.0%)
Other Securities.............. 4,121,758 1.1%
----------- -----
Financials -- (3.5%)
American Express Co........... 34,262 3,383,372 0.9%
Marsh & McLennan Cos., Inc.... 23,613 1,924,459 0.5%
Other Securities.............. 8,209,319 2.1%
----------- -----
Total Financials.................. 13,517,150 3.5%
----------- -----
Health Care -- (8.6%)
AbbVie, Inc................... 60,005 5,793,483 1.5%
Amgen, Inc.................... 37,225 6,495,018 1.7%
* Biogen, Inc................... 10,164 2,780,870 0.7%
Gilead Sciences, Inc.......... 73,848 5,334,041 1.4%
Humana, Inc................... 6,719 1,976,595 0.5%
Other Securities.............. 11,354,102 3.1%
----------- -----
Total Health Care................. 33,734,109 8.9%
----------- -----
Industrials -- (19.1%)
3M Co......................... 25,546 4,965,887 1.3%
Boeing Co. (The).............. 21,469 7,161,200 1.9%
Caterpillar, Inc.............. 31,722 4,579,388 1.2%
Deere & Co.................... 14,542 1,967,969 0.5%
Delta Air Lines, Inc.......... 37,804 1,974,125 0.5%
FedEx Corp.................... 10,904 2,695,469 0.7%
Honeywell International, Inc.. 32,412 4,689,368 1.2%
Lockheed Martin Corp.......... 6,780 2,175,295 0.6%
Northrop Grumman Corp......... 6,106 1,966,376 0.5%
Union Pacific Corp............ 38,372 5,127,650 1.4%
40
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
* United Continental Holdings, Inc.............................. 30,505 $ 2,060,308 0.5%
United Parcel Service, Inc. Class B........................... 24,946 2,831,371 0.7%
Waste Management, Inc......................................... 22,100 1,796,509 0.5%
Other Securities.............................................. 30,354,202 8.1%
------------ ------
Total Industrials................................................... 74,345,117 19.6%
------------ ------
Information Technology -- (24.8%)
Accenture P.L.C. Class A...................................... 27,652 4,180,982 1.1%
Apple, Inc.................................................... 89,989 14,871,582 3.9%
Applied Materials, Inc........................................ 53,426 2,653,669 0.7%
Automatic Data Processing, Inc................................ 18,107 2,138,075 0.6%
International Business Machines Corp.......................... 43,611 6,321,851 1.7%
Mastercard, Inc. Class A...................................... 35,826 6,386,701 1.7%
* Micron Technology, Inc........................................ 63,854 2,936,007 0.8%
Microsoft Corp................................................ 154,653 14,463,149 3.8%
NVIDIA Corp................................................... 22,785 5,124,347 1.3%
Texas Instruments, Inc........................................ 44,597 4,523,474 1.2%
Visa, Inc. Class A............................................ 73,493 9,324,792 2.5%
Other Securities.............................................. 23,754,179 6.2%
------------ ------
Total Information Technology........................................ 96,678,808 25.5%
------------ ------
Materials -- (3.9%)
LyondellBasell Industries NV Class A.......................... 17,345 1,833,887 0.5%
Other Securities.............................................. 13,293,706 3.5%
------------ ------
Total Materials..................................................... 15,127,593 4.0%
------------ ------
Telecommunication Services -- (3.1%)
Verizon Communications, Inc................................... 210,719 10,398,982 2.7%
Other Securities.............................................. 1,531,510 0.4%
------------ ------
Total Telecommunication Services.................................... 11,930,492 3.1%
------------ ------
Utilities -- (0.1%)
Other Securities.............................................. 360,251 0.1%
------------ ------
TOTAL COMMON STOCKS................................................. 376,026,995 99.1%
------------ ------
TOTAL INVESTMENT SECURITIES......................................... 376,026,995
------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 2,636,478 2,636,478 0.7%
------------ ------
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund................................ 954,395 11,042,353 2.9%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $376,352,979)............................................. $389,705,826 102.7%
============ ======
41
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 84,198,282 -- -- $ 84,198,282
Consumer Staples............ 42,013,435 -- -- 42,013,435
Energy...................... 4,121,758 -- -- 4,121,758
Financials.................. 13,517,150 -- -- 13,517,150
Health Care................. 33,734,109 -- -- 33,734,109
Industrials................. 74,345,117 -- -- 74,345,117
Information Technology...... 96,678,808 -- -- 96,678,808
Materials................... 15,127,593 -- -- 15,127,593
Telecommunication Services.. 11,930,492 -- -- 11,930,492
Utilities................... 360,251 -- -- 360,251
Temporary Cash Investments.... 2,636,478 -- -- 2,636,478
Securities Lending Collateral. -- $11,042,353 -- 11,042,353
------------ ----------- -- ------------
TOTAL......................... $378,663,473 $11,042,353 -- $389,705,826
============ =========== == ============
See accompanying Notes to Financial Statements.
42
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (92.5%)
Real Estate -- (92.5%)
# Alexandria Real Estate Equities, Inc.......... 892,956 $ 111,235,529 1.3%
American Campus Communities, Inc.............. 1,255,493 49,102,331 0.6%
# American Homes 4 Rent Class A................. 2,283,779 46,132,336 0.6%
American Tower Corp........................... 3,246,594 442,705,558 5.3%
Apartment Investment & Management Co. Class A. 1,491,202 60,542,801 0.7%
AvalonBay Communities, Inc.................... 1,294,940 211,075,220 2.5%
Boston Properties, Inc........................ 1,477,060 179,329,855 2.1%
Brixmor Property Group, Inc................... 2,888,376 43,007,919 0.5%
Camden Property Trust......................... 831,494 71,009,588 0.9%
Crown Castle International Corp............... 2,723,366 274,705,928 3.3%
CubeSmart..................................... 1,710,433 50,355,148 0.6%
DCT Industrial Trust, Inc..................... 894,750 58,668,757 0.7%
# Digital Realty Trust, Inc..................... 1,902,197 201,043,201 2.4%
Douglas Emmett, Inc........................... 1,423,845 53,066,703 0.6%
Duke Realty Corp.............................. 3,372,012 91,381,525 1.1%
Equinix, Inc.................................. 720,471 303,166,992 3.6%
Equity LifeStyle Properties, Inc.............. 780,714 69,608,460 0.8%
Equity Residential............................ 3,456,874 213,323,695 2.5%
Essex Property Trust, Inc..................... 629,004 150,765,969 1.8%
# Extra Space Storage, Inc...................... 1,196,092 107,157,882 1.3%
Federal Realty Investment Trust............... 683,759 79,213,480 1.0%
Forest City Realty Trust, Inc. Class A........ 2,292,067 45,978,864 0.6%
Gaming and Leisure Properties, Inc............ 1,870,000 64,084,900 0.8%
GGP, Inc...................................... 5,475,114 109,447,529 1.3%
HCP, Inc...................................... 4,450,308 103,959,195 1.2%
# Healthcare Trust of America, Inc. Class A..... 1,788,675 44,698,988 0.5%
Host Hotels & Resorts, Inc.................... 7,137,258 139,604,766 1.7%
Hudson Pacific Properties, Inc................ 1,467,570 48,239,026 0.6%
# Iron Mountain, Inc............................ 2,406,163 81,665,172 1.0%
Kilroy Realty Corp............................ 928,148 66,520,367 0.8%
# Kimco Realty Corp............................. 4,041,002 58,634,939 0.7%
Liberty Property Trust........................ 1,442,711 60,334,174 0.7%
# Macerich Co. (The)............................ 1,318,443 75,968,686 0.9%
Mid-America Apartment Communities, Inc........ 1,102,863 100,867,850 1.2%
# National Retail Properties, Inc............... 1,396,299 53,115,214 0.6%
# Omega Healthcare Investors, Inc............... 1,865,077 48,454,700 0.6%
Prologis, Inc................................. 4,905,234 318,398,739 3.8%
# Public Storage................................ 1,417,866 286,097,001 3.4%
# Realty Income Corp............................ 2,544,343 128,514,765 1.5%
# Regency Centers Corp.......................... 1,577,470 92,834,109 1.1%
* SBA Communications Corp....................... 1,053,536 168,808,073 2.0%
Simon Property Group, Inc..................... 2,848,508 445,335,741 5.3%
# SL Green Realty Corp.......................... 968,768 94,687,384 1.1%
Sun Communities, Inc.......................... 707,995 66,445,331 0.8%
UDR, Inc...................................... 2,540,787 91,849,450 1.1%
Ventas, Inc................................... 3,366,639 173,112,577 2.1%
VEREIT, Inc................................... 9,261,049 62,975,133 0.8%
Vornado Realty Trust.......................... 1,639,064 111,505,524 1.3%
Welltower, Inc................................ 3,448,237 184,273,785 2.2%
# WP Carey, Inc................................. 959,557 61,267,714 0.7%
Other Securities.............................. 1,950,571,884 23.3%
-------------- -----
TOTAL COMMON STOCKS............................... 8,204,850,457 97.9%
-------------- -----
TOTAL INVESTMENT SECURITIES....................... 8,204,850,457
--------------
43
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market
Fund, 1.630%........................................... 76,303,834 $ 76,303,834 0.9%
-------------- ------
SECURITIES LENDING COLLATERAL -- (6.6%)
(S)@ DFA Short Term Investment Fund.......................... 51,017,424 590,271,592 7.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,089,203,943)..................................... $8,871,425,883 105.8%
============== ======
At April 30, 2018, 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(R) Emini Index... 528 06/15/18 $72,290,792 $69,880,800 $(2,409,992)
----------- ----------- ------------
Total futures contracts.. $72,290,792 $69,880,800 $(2,409,992)
=========== =========== ============
Summary of the Portfolio's investments as of April 30, 2018, 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................. $8,204,850,457 -- -- $8,204,850,457
Temporary Cash Investments.... 76,303,834 -- -- 76,303,834
Securities Lending Collateral. -- $590,271,592 -- 590,271,592
Futures Contracts**........... (2,409,992) -- -- (2,409,992)
-------------- ------------ -- --------------
TOTAL......................... $8,278,744,299 $590,271,592 -- $8,869,015,891
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
44
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.0%)
AUSTRALIA -- (5.1%)
BHP Billiton, Ltd................... 842,811 $ 19,662,146 0.4%
# Commonwealth Bank of Australia...... 461,654 24,857,495 0.5%
CSL, Ltd............................ 133,309 17,075,421 0.3%
# National Australia Bank, Ltd........ 666,762 14,494,762 0.3%
# Westpac Banking Corp................ 807,067 17,336,155 0.4%
Other Securities.................... 178,889,335 3.6%
------------ ----
TOTAL AUSTRALIA......................... 272,315,314 5.5%
------------ ----
AUSTRIA -- (0.3%)
Other Securities.................... 14,406,459 0.3%
------------ ----
BELGIUM -- (1.0%)
# Anheuser-Busch InBev SA/NV.......... 240,375 23,877,301 0.5%
Other Securities.................... 28,459,651 0.5%
------------ ----
TOTAL BELGIUM........................... 52,336,952 1.0%
------------ ----
CANADA -- (7.8%)
Royal Bank of Canada................ 239,620 18,222,280 0.4%
Other Securities.................... 399,694,111 8.0%
------------ ----
TOTAL CANADA............................ 417,916,391 8.4%
------------ ----
DENMARK -- (1.5%)
Novo Nordisk A.S. Class B........... 483,626 22,743,922 0.5%
Other Securities.................... 55,869,431 1.1%
------------ ----
TOTAL DENMARK........................... 78,613,353 1.6%
------------ ----
FINLAND -- (1.0%)
Other Securities.................... 52,495,498 1.0%
------------ ----
FRANCE -- (8.8%)
Air Liquide SA...................... 118,456 15,396,474 0.3%
Airbus SE........................... 171,642 20,147,867 0.4%
BNP Paribas SA...................... 281,596 21,739,002 0.4%
# L'Oreal SA.......................... 68,023 16,379,233 0.3%
LVMH Moet Hennessy Louis Vuitton SE. 84,168 29,291,458 0.6%
# Sanofi.............................. 238,754 18,876,431 0.4%
Total SA............................ 478,047 30,046,060 0.6%
# Vinci SA............................ 150,019 14,999,446 0.3%
Other Securities.................... 307,379,559 6.2%
------------ ----
TOTAL FRANCE............................ 474,255,530 9.5%
------------ ----
GERMANY -- (7.1%)
Allianz SE.......................... 70,671 16,715,374 0.3%
BASF SE............................. 243,976 25,384,094 0.5%
Bayer AG............................ 185,881 22,216,414 0.4%
Daimler AG.......................... 326,426 25,662,975 0.5%
Deutsche Telekom AG................. 950,035 16,629,046 0.3%
SAP SE.............................. 205,747 22,859,640 0.5%
Siemens AG.......................... 165,969 21,077,208 0.4%
Other Securities.................... 229,217,980 4.7%
------------ ----
TOTAL GERMANY........................... 379,762,731 7.6%
------------ ----
45
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.8%)
AIA Group, Ltd........................ 3,407,600 $ 30,454,394 0.6%
Other Securities...................... 120,519,004 2.4%
-------------- -----
TOTAL HONG KONG........................... 150,973,398 3.0%
-------------- -----
IRELAND -- (0.5%)
Other Securities...................... 27,898,520 0.6%
-------------- -----
ISRAEL -- (0.4%)
Other Securities...................... 20,540,578 0.4%
-------------- -----
ITALY -- (2.1%)
Enel SpA.............................. 2,271,536 14,409,989 0.3%
Other Securities...................... 99,293,342 2.0%
-------------- -----
TOTAL ITALY............................... 113,703,331 2.3%
-------------- -----
JAPAN -- (21.8%)
KDDI Corp............................. 545,800 14,651,234 0.3%
Keyence Corp.......................... 26,902 16,404,281 0.3%
SoftBank Group Corp................... 255,888 19,552,066 0.4%
Sony Corp............................. 358,400 16,739,465 0.3%
Sumitomo Mitsui Financial Group, Inc.. 341,940 14,251,458 0.3%
Toyota Motor Corp..................... 456,923 29,961,512 0.6%
Other Securities...................... 1,057,813,532 21.3%
-------------- -----
TOTAL JAPAN............................... 1,169,373,548 23.5%
-------------- -----
NETHERLANDS -- (2.9%)
# Unilever NV........................... 268,265 15,379,248 0.3%
Other Securities...................... 138,851,932 2.8%
-------------- -----
TOTAL NETHERLANDS......................... 154,231,180 3.1%
-------------- -----
NEW ZEALAND -- (0.3%)
Other Securities...................... 13,775,753 0.3%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 41,208,006 0.8%
-------------- -----
PORTUGAL -- (0.2%)
Other Securities...................... 8,251,850 0.2%
-------------- -----
SINGAPORE -- (1.1%)
Other Securities...................... 61,548,842 1.2%
-------------- -----
SPAIN -- (2.7%)
# Banco Santander SA.................... 3,760,684 24,297,484 0.5%
Other Securities...................... 118,997,784 2.4%
-------------- -----
TOTAL SPAIN............................... 143,295,268 2.9%
-------------- -----
SWEDEN -- (2.3%)
Other Securities...................... 125,563,588 2.5%
-------------- -----
SWITZERLAND -- (6.0%)
Nestle SA............................. 825,815 63,975,951 1.3%
Novartis AG........................... 437,543 33,679,563 0.7%
Roche Holding AG...................... 205,182 45,588,846 0.9%
Other Securities...................... 181,053,529 3.6%
-------------- -----
TOTAL SWITZERLAND......................... 324,297,889 6.5%
-------------- -----
46
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (14.5%)
# Anglo American P.L.C............................ 599,142 $ 14,097,362 0.3%
# AstraZeneca P.L.C. Sponsored ADR................ 461,956 16,413,297 0.3%
BP P.L.C. Sponsored ADR......................... 841,441 37,519,832 0.8%
British American Tobacco P.L.C.................. 330,890 18,148,482 0.4%
Diageo P.L.C. Sponsored ADR..................... 128,576 18,252,649 0.4%
# GlaxoSmithKline P.L.C. Sponsored ADR............ 428,638 17,192,670 0.3%
Glencore P.L.C.................................. 2,981,961 14,364,087 0.3%
HSBC Holdings P.L.C............................. 1,761,358 17,536,040 0.4%
# HSBC Holdings P.L.C. Sponsored ADR.............. 582,677 29,285,346 0.6%
Royal Dutch Shell P.L.C. Class A................ 491,594 17,103,142 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 352,746 24,656,964 0.5%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 369,024 26,724,718 0.5%
Unilever P.L.C. Sponsored ADR................... 274,641 15,371,657 0.3%
Vodafone Group P.L.C............................ 6,474,624 18,894,314 0.4%
Other Securities................................ 492,811,076 9.8%
-------------- ------
TOTAL UNITED KINGDOM.................................. 778,371,636 15.6%
-------------- ------
TOTAL COMMON STOCKS................................... 4,875,135,615 97.8%
-------------- ------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Other Securities................................ 28,971,363 0.6%
-------------- ------
TOTAL PREFERRED STOCKS................................ 28,971,363 0.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
TOTAL INVESTMENT SECURITIES........................... 4,904,106,978
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (8.5%)
(S)@ DFA Short Term Investment Fund.................. 39,421,614 456,108,075 9.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,434,854,446)............................. $5,360,215,053 107.5%
============== ======
At April 30, 2018, 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 06/15/18 $ 8,606,123 $ 8,612,625 $ 6,502
S&P 500(R) Emini Index... 229 06/15/18 31,349,302 30,308,150 (1,041,152)
----------- ----------- -----------
Total futures contracts.. $39,955,425 $38,920,775 $(1,034,650)
=========== =========== ===========
47
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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................... $ 4,973,360 $ 267,341,954 -- $ 272,315,314
Austria..................... -- 14,406,459 -- 14,406,459
Belgium..................... 928,442 51,408,510 -- 52,336,952
Canada...................... 417,916,391 -- -- 417,916,391
Denmark..................... 2,839,260 75,774,093 -- 78,613,353
Finland..................... 703,730 51,791,768 -- 52,495,498
France...................... 10,142,432 464,113,098 -- 474,255,530
Germany..................... 18,260,085 361,502,646 -- 379,762,731
Hong Kong................... 1,065,385 149,908,013 -- 150,973,398
Ireland..................... 6,618,862 21,279,658 -- 27,898,520
Israel...................... 5,507,725 15,032,853 -- 20,540,578
Italy....................... 7,542,944 106,160,387 -- 113,703,331
Japan....................... 39,326,028 1,130,047,520 -- 1,169,373,548
Netherlands................. 40,214,980 114,016,200 -- 154,231,180
New Zealand................. -- 13,775,753 -- 13,775,753
Norway...................... 1,213,874 39,994,132 -- 41,208,006
Portugal.................... -- 8,251,850 -- 8,251,850
Singapore................... -- 61,548,842 -- 61,548,842
Spain....................... 12,204,543 131,090,725 -- 143,295,268
Sweden...................... -- 125,563,588 -- 125,563,588
Switzerland................. 17,852,772 306,445,117 -- 324,297,889
United Kingdom.............. 254,862,090 523,509,546 -- 778,371,636
Preferred Stocks
Germany..................... -- 28,971,363 -- 28,971,363
Securities Lending Collateral. -- 456,108,075 -- 456,108,075
Futures Contracts**........... (1,034,650) -- -- (1,034,650)
------------ -------------- -- --------------
TOTAL......................... $841,138,253 $4,518,042,150 -- $5,359,180,403
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
48
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.8%)
AUSTRALIA -- (5.4%)
# Australia & New Zealand Banking Group, Ltd... 2,805,657 $ 56,399,836 0.2%
# BHP Billiton, Ltd............................ 4,074,214 95,048,347 0.3%
# Commonwealth Bank of Australia............... 1,329,108 71,565,056 0.3%
# National Australia Bank, Ltd................. 2,691,791 58,516,939 0.2%
Other Securities............................. 1,396,391,017 4.8%
-------------- ----
TOTAL AUSTRALIA.................................. 1,677,921,195 5.8%
-------------- ----
AUSTRIA -- (0.6%)
Other Securities............................. 187,110,155 0.7%
-------------- ----
BELGIUM -- (1.2%)
Other Securities............................. 382,942,533 1.3%
-------------- ----
CANADA -- (7.6%)
# Bank of Montreal............................. 835,416 63,433,137 0.2%
# Bank of Nova Scotia (The).................... 964,105 59,253,893 0.2%
# Royal Bank of Canada......................... 699,021 53,160,547 0.2%
Teck Resources, Ltd. Class B................. 2,119,223 53,256,074 0.2%
Other Securities............................. 2,144,024,373 7.4%
-------------- ----
TOTAL CANADA..................................... 2,373,128,024 8.2%
-------------- ----
DENMARK -- (1.5%)
Other Securities............................. 472,035,115 1.6%
-------------- ----
FINLAND -- (1.7%)
Nokia Oyj.................................... 8,533,346 51,201,900 0.2%
UPM-Kymmene Oyj.............................. 1,735,959 61,941,789 0.2%
Other Securities............................. 430,522,558 1.5%
-------------- ----
TOTAL FINLAND.................................... 543,666,247 1.9%
-------------- ----
FRANCE -- (7.0%)
BNP Paribas SA............................... 1,121,695 86,594,018 0.3%
Cie Generale des Etablissements Michelin SCA. 509,793 71,688,554 0.3%
Orange SA.................................... 3,886,424 70,653,710 0.3%
# Peugeot SA................................... 2,249,431 55,389,037 0.2%
Total SA..................................... 1,939,637 121,909,456 0.4%
Other Securities............................. 1,776,186,017 6.0%
-------------- ----
TOTAL FRANCE..................................... 2,182,420,792 7.5%
-------------- ----
GERMANY -- (6.7%)
Allianz SE................................... 278,374 65,842,078 0.2%
BASF SE...................................... 1,224,687 127,420,607 0.4%
Bayer AG..................................... 427,990 51,153,173 0.2%
Bayerische Motoren Werke AG.................. 633,323 70,414,044 0.3%
Daimler AG................................... 1,829,754 143,851,691 0.5%
Deutsche Telekom AG.......................... 4,893,747 85,658,257 0.3%
E.ON SE...................................... 5,371,567 58,817,351 0.2%
Other Securities............................. 1,489,111,264 5.1%
-------------- ----
TOTAL GERMANY.................................... 2,092,268,465 7.2%
-------------- ----
49
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.6%)
AIA Group, Ltd........................ 8,634,000 $ 77,163,762 0.3%
Other Securities...................... 722,061,555 2.5%
-------------- -----
TOTAL HONG KONG........................... 799,225,317 2.8%
-------------- -----
IRELAND -- (0.5%)
Other Securities...................... 154,474,043 0.5%
-------------- -----
ISRAEL -- (0.6%)
Other Securities...................... 181,181,345 0.6%
-------------- -----
ITALY -- (3.1%)
Fiat Chrysler Automobiles NV.......... 2,878,006 63,945,750 0.2%
Other Securities...................... 912,292,606 3.2%
-------------- -----
TOTAL ITALY............................... 976,238,356 3.4%
-------------- -----
JAPAN -- (22.8%)
Hitachi, Ltd.......................... 7,235,425 52,808,156 0.2%
Honda Motor Co., Ltd.................. 2,640,923 90,810,608 0.3%
Mitsubishi UFJ Financial Group, Inc... 9,776,100 65,512,990 0.2%
Nissan Motor Co., Ltd................. 4,846,600 50,988,496 0.2%
Sumitomo Mitsui Financial Group, Inc.. 1,276,170 53,188,520 0.2%
Toyota Motor Corp..................... 2,741,740 179,782,316 0.6%
Toyota Motor Corp. Sponsored ADR...... 408,823 53,547,637 0.2%
Other Securities...................... 6,567,716,069 22.6%
-------------- -----
TOTAL JAPAN............................... 7,114,354,792 24.5%
-------------- -----
NETHERLANDS -- (2.6%)
Akzo Nobel NV......................... 677,388 61,343,103 0.2%
Koninklijke Ahold Delhaize NV......... 2,136,192 51,534,512 0.2%
Other Securities...................... 706,673,647 2.4%
-------------- -----
TOTAL NETHERLANDS......................... 819,551,262 2.8%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities...................... 119,004,835 0.4%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 265,625,885 0.9%
-------------- -----
PORTUGAL -- (0.2%)
Other Securities...................... 73,383,353 0.3%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities...................... 315,521,217 1.1%
-------------- -----
SPAIN -- (2.3%)
# Banco Santander SA.................... 13,286,562 85,843,433 0.3%
Iberdrola SA.......................... 7,957,435 61,478,656 0.2%
Other Securities...................... 561,700,522 1.9%
-------------- -----
TOTAL SPAIN............................... 709,022,611 2.4%
-------------- -----
SWEDEN -- (2.4%)
Other Securities...................... 751,148,381 2.6%
-------------- -----
SWITZERLAND -- (5.0%)
Nestle SA............................. 2,417,067 187,250,366 0.7%
Novartis AG Sponsored ADR............. 953,193 73,100,371 0.3%
50
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Zurich Insurance Group AG....................... 181,779 $ 58,066,650 0.2%
Other Securities................................ 1,246,489,022 4.2%
--------------- ------
TOTAL SWITZERLAND..................................... 1,564,906,409 5.4%
--------------- ------
UNITED KINGDOM -- (14.8%)
# Anglo American P.L.C............................ 3,796,420 89,326,915 0.3%
BP P.L.C. Sponsored ADR......................... 4,304,042 191,917,233 0.7%
British American Tobacco P.L.C.................. 1,150,327 63,092,535 0.2%
# HSBC Holdings P.L.C. Sponsored ADR.............. 3,553,561 178,601,976 0.6%
Lloyds Banking Group P.L.C...................... 62,991,647 55,870,241 0.2%
# Rio Tinto P.L.C. Sponsored ADR.................. 1,670,448 91,791,118 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 1,546,368 108,091,123 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 1,716,768 124,328,339 0.4%
# Tesco P.L.C..................................... 23,595,438 76,424,108 0.3%
Vodafone Group P.L.C............................ 31,621,343 92,277,727 0.3%
# Vodafone Group P.L.C. Sponsored ADR............. 1,906,729 56,076,892 0.2%
Other Securities................................ 3,516,132,226 12.1%
--------------- ------
TOTAL UNITED KINGDOM.................................. 4,643,930,433 16.0%
--------------- ------
TOTAL COMMON STOCKS................................... 28,399,060,765 97.9%
--------------- ------
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Volkswagen AG................................... 399,360 82,361,934 0.3%
Other Securities................................ 85,840,577 0.3%
--------------- ------
TOTAL GERMANY......................................... 168,202,511 0.6%
--------------- ------
TOTAL PREFERRED STOCKS................................ 168,202,511 0.6%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities................................ 2,233 0.0%
--------------- ------
NORWAY -- (0.0%)
Other Securities................................ 125 0.0%
--------------- ------
SINGAPORE -- (0.0%)
Other Securities................................ 15,492 0.0%
--------------- ------
SPAIN -- (0.0%)
Other Securities................................ 13,772 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................................. 31,622 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES........................... 28,567,295,898
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (8.6%)
(S)@ DFA Short Term Investment Fund.................. 233,241,383 2,698,602,797 9.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $25,935,076,285)............................ $31,265,897,695 107.8%
=============== ======
51
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index.. 1,860 06/15/18 $251,813,603 $246,171,000 $(5,642,603)
------------ ------------ ------------
Total futures contracts. $251,813,603 $246,171,000 $(5,642,603)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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................... $ 43,684,275 $ 1,634,236,920 -- $ 1,677,921,195
Austria..................... 79,464 187,030,691 -- 187,110,155
Belgium..................... 13,348,409 369,594,124 -- 382,942,533
Canada...................... 2,373,124,353 3,671 -- 2,373,128,024
Denmark..................... 27,942,584 444,092,531 -- 472,035,115
Finland..................... 5,427,655 538,238,592 -- 543,666,247
France...................... 77,443,747 2,104,977,045 -- 2,182,420,792
Germany..................... 82,198,856 2,010,069,609 -- 2,092,268,465
Hong Kong................... 1,549,313 797,676,004 -- 799,225,317
Ireland..................... 21,398,846 133,075,197 -- 154,474,043
Israel...................... 24,667,932 156,513,413 -- 181,181,345
Italy....................... 21,576,510 954,661,846 -- 976,238,356
Japan....................... 127,232,257 6,987,122,535 -- 7,114,354,792
Netherlands................. 123,512,065 696,039,197 -- 819,551,262
New Zealand................. 145,245 118,859,590 -- 119,004,835
Norway...................... 17,906,825 247,719,060 -- 265,625,885
Portugal.................... 267,194 73,116,159 -- 73,383,353
Singapore................... 68,509 315,452,708 -- 315,521,217
Spain....................... 28,194,894 680,827,717 -- 709,022,611
Sweden...................... 3,984,792 747,163,589 -- 751,148,381
Switzerland................. 110,881,642 1,454,024,767 -- 1,564,906,409
United Kingdom.............. 1,081,111,093 3,562,819,340 -- 4,643,930,433
Preferred Stocks
Germany..................... -- 168,202,511 -- 168,202,511
Rights/Warrants
Hong Kong................... -- 2,233 -- 2,233
Norway...................... -- 125 -- 125
Singapore................... -- 15,492 -- 15,492
Spain....................... -- 13,772 -- 13,772
Securities Lending Collateral. -- 2,698,602,797 -- 2,698,602,797
Futures Contracts**........... (5,642,603) -- -- (5,642,603)
-------------- --------------- -- ---------------
TOTAL......................... $4,180,103,857 $27,080,151,235 -- $31,260,255,092
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
52
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company........................ $ 5,379,291,977
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company........................ 3,726,507,128
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company........................ 2,344,886,043
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company........................ 1,599,373,548
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company........................ 1,150,258,282
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES... $14,200,316,978
===============
At April 30, 2018, 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(R) Emini Index... 920 06/15/18 $124,432,709 $121,762,000 $(2,670,709)
------------ ------------ ------------
Total futures contracts.. $124,432,709 $121,762,000 $(2,670,709)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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. $14,200,316,978 -- -- $14,200,316,978
Futures Contracts**............. (2,670,709) -- -- (2,670,709)
--------------- -- -- ---------------
TOTAL........................... $14,197,646,269 -- -- $14,197,646,269
=============== == == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
53
GLOBAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Shares Value+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Small Cap Portfolio of
DFA Investment Dimensions Group Inc..................... 363,667 $12,953,808
Investment in The Continental Small Company Series of
The DFA Investment Trust Company........................ 3,616,556
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company........................ 3,207,640
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company........................ 2,463,789
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company........................ 1,583,287
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company........................ 1,027,017
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company........................ 716,076
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $24,409,630)................................... $25,568,173
===========
Summary of the Fund's investments as of April 30, 2018, 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. $25,568,173 -- -- $25,568,173
----------- -- -- -----------
TOTAL........................... $25,568,173 -- -- $25,568,173
=========== == == ===========
See accompanying Notes to Financial Statements.
54
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company.................... $715,031,790
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $715,031,790
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
55
ASIA PACIFIC SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company...................... $372,785,993
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY... $372,785,993
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
56
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company........................ $42,909,045
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY..... $42,909,045
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
57
CONTINENTAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company..................... $757,212,687
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.. $757,212,687
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
58
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.1%)
AUSTRALIA -- (16.7%)
Dexus Property Group........ 12,740,966 $ 90,607,946 1.6%
Goodman Group............... 23,286,809 158,432,599 2.7%
Mirvac Group................ 26,223,393 44,007,554 0.8%
Scentre Group............... 66,397,764 200,687,918 3.5%
Stockland................... 30,823,367 95,811,604 1.7%
Vicinity Centres............ 41,773,566 76,486,309 1.3%
Westfield Corp.............. 25,068,383 173,226,976 3.0%
Other Securities............ 170,035,281 2.8%
-------------- -----
TOTAL AUSTRALIA................. 1,009,296,187 17.4%
-------------- -----
BELGIUM -- (2.0%)
Cofinimmo SA................ 274,020 36,375,170 0.6%
Other Securities............ 85,669,672 1.5%
-------------- -----
TOTAL BELGIUM................... 122,044,842 2.1%
-------------- -----
CANADA -- (4.9%)
# RioCan REIT................. 1,965,677 35,747,932 0.6%
Other Securities............ 258,652,789 4.5%
-------------- -----
TOTAL CANADA.................... 294,400,721 5.1%
-------------- -----
CHINA -- (0.2%)
Other Securities............ 14,495,662 0.3%
-------------- -----
FRANCE -- (10.7%)
Fonciere Des Regions........ 450,998 50,438,971 0.9%
Gecina SA................... 577,669 100,139,077 1.7%
ICADE....................... 466,762 46,384,208 0.8%
# Klepierre SA................ 2,896,190 118,537,464 2.0%
Unibail-Rodamco SE(B1YY4B3). 978,160 234,826,670 4.1%
Unibail-Rodamco SE(7076242). 293,585 70,516,643 1.2%
Other Securities............ 23,781,173 0.4%
-------------- -----
TOTAL FRANCE.................... 644,624,206 11.1%
-------------- -----
GERMANY -- (2.2%)
Alstria Office REIT-AG...... 2,109,189 31,731,047 0.5%
GPT Group (The)............. 24,107,185 87,415,302 1.5%
Other Securities............ 15,019,082 0.3%
-------------- -----
TOTAL GERMANY................... 134,165,431 2.3%
-------------- -----
GREECE -- (0.0%)
Other Securities............ 1,061,526 0.0%
-------------- -----
HONG KONG -- (4.9%)
Link REIT................... 26,860,905 237,399,958 4.1%
Other Securities............ 58,696,060 1.0%
-------------- -----
TOTAL HONG KONG................. 296,096,018 5.1%
-------------- -----
IRELAND -- (0.3%)
Other Securities............ 15,131,233 0.3%
-------------- -----
59
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ITALY -- (0.4%)
Other Securities...................... $ 24,072,879 0.4%
-------------- -----
JAPAN -- (20.1%)
Activia Properties, Inc............... 7,073 31,342,643 0.5%
Advance Residence Investment Corp..... 16,863 43,443,640 0.8%
# Daiwa House REIT Investment Corp...... 18,683 44,541,933 0.8%
GLP J-Reit............................ 30,929 33,247,621 0.6%
Japan Hotel REIT Investment Corp...... 51,518 38,979,170 0.7%
Japan Prime Realty Investment Corp.... 10,800 39,169,297 0.7%
Japan Real Estate Investment Corp..... 15,302 79,277,510 1.4%
Japan Retail Fund Investment Corp..... 33,214 62,269,492 1.1%
# Kenedix Office Investment Corp........ 5,790 35,517,805 0.6%
Nippon Building Fund, Inc............. 16,810 94,456,949 1.6%
Nippon Prologis REIT, Inc............. 21,927 46,212,536 0.8%
Nomura Real Estate Master Fund, Inc... 46,705 65,286,730 1.1%
Orix JREIT, Inc....................... 32,087 48,910,756 0.8%
United Urban Investment Corp.......... 38,320 58,857,200 1.0%
Other Securities...................... 496,021,185 8.5%
-------------- -----
TOTAL JAPAN............................... 1,217,534,467 21.0%
-------------- -----
MALAYSIA -- (0.5%)
Other Securities...................... 29,322,105 0.5%
-------------- -----
MEXICO -- (1.7%)
# Fibra Uno Administracion S.A. de C.V.. 36,621,185 60,643,518 1.0%
Other Securities...................... 42,097,640 0.8%
-------------- -----
TOTAL MEXICO.............................. 102,741,158 1.8%
-------------- -----
NETHERLANDS -- (1.2%)
Other Securities...................... 74,611,742 1.3%
-------------- -----
NEW ZEALAND -- (0.8%)
Other Securities...................... 48,490,940 0.8%
-------------- -----
SINGAPORE -- (8.1%)
Ascendas REIT......................... 30,695,600 61,578,128 1.1%
CapitaLand Commercial Trust........... 32,667,249 44,629,892 0.8%
CapitaLand Mall Trust................. 31,558,300 49,835,815 0.9%
Mapletree Commercial Trust............ 25,626,537 31,237,454 0.5%
Suntec REIT........................... 33,882,500 49,804,106 0.9%
Other Securities...................... 250,432,368 4.2%
-------------- -----
TOTAL SINGAPORE........................... 487,517,763 8.4%
-------------- -----
SOUTH AFRICA -- (3.9%)
# Growthpoint Properties, Ltd........... 31,668,977 73,924,033 1.3%
Hyprop Investments, Ltd............... 3,324,050 30,347,165 0.5%
Redefine Properties, Ltd.............. 70,206,030 67,468,919 1.2%
Other Securities...................... 62,707,722 1.0%
-------------- -----
TOTAL SOUTH AFRICA........................ 234,447,839 4.0%
-------------- -----
SPAIN -- (1.6%)
Merlin Properties Socimi SA........... 5,201,113 80,252,173 1.4%
Other Securities...................... 16,245,438 0.3%
-------------- -----
TOTAL SPAIN............................... 96,497,611 1.7%
-------------- -----
60
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (0.2%)
Other Securities............... $ 11,449,928 0.2%
-------------- ------
TURKEY -- (0.4%)
Other Securities............... 24,996,876 0.4%
-------------- ------
UNITED KINGDOM -- (13.3%)
British Land Co. P.L.C. (The).. 13,250,011 122,362,572 2.1%
Derwent London P.L.C........... 1,518,004 66,579,009 1.1%
Great Portland Estates P.L.C... 4,044,340 38,970,871 0.7%
Hammerson P.L.C................ 10,495,798 79,121,418 1.4%
# Intu Properties P.L.C.......... 12,733,927 34,217,769 0.6%
Land Securities Group P.L.C.... 9,631,416 130,748,225 2.3%
# Segro P.L.C.................... 14,352,829 127,363,410 2.2%
Shaftesbury P.L.C.............. 3,398,008 47,278,949 0.8%
Other Securities............... 159,844,460 2.7%
-------------- ------
TOTAL UNITED KINGDOM................. 806,486,683 13.9%
-------------- ------
TOTAL COMMON STOCKS.................. 5,689,485,817 98.1%
-------------- ------
TOTAL INVESTMENT SECURITIES.......... 5,689,485,817
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (5.9%)
(S)@ DFA Short Term Investment Fund. 30,638,137 354,483,247 6.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,514,151,669)............ $6,043,969,064 104.2%
============== ======
At April 30, 2018, 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(R) Emini Index... 370 06/15/18 $48,304,593 $48,969,500 $664,907
----------- ----------- --------
Total futures contracts.. $48,304,593 $48,969,500 $664,907
=========== =========== ========
61
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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................... $ 56,028 $1,009,240,159 -- $1,009,296,187
Belgium..................... -- 122,044,842 -- 122,044,842
Canada...................... 294,400,721 -- -- 294,400,721
China....................... -- 14,495,662 -- 14,495,662
France...................... 70,516,643 574,107,563 -- 644,624,206
Germany..................... -- 134,165,431 -- 134,165,431
Greece...................... -- 1,061,526 -- 1,061,526
Hong Kong................... -- 296,096,018 -- 296,096,018
Ireland..................... -- 15,131,233 -- 15,131,233
Italy....................... -- 24,072,879 -- 24,072,879
Japan....................... -- 1,217,534,467 -- 1,217,534,467
Malaysia.................... -- 29,322,105 -- 29,322,105
Mexico...................... 102,741,158 -- -- 102,741,158
Netherlands................. -- 74,611,742 -- 74,611,742
New Zealand................. -- 48,490,940 -- 48,490,940
Singapore................... -- 487,517,763 -- 487,517,763
South Africa................ -- 234,447,839 -- 234,447,839
Spain....................... -- 96,497,611 -- 96,497,611
Taiwan...................... 2,364,127 9,085,801 -- 11,449,928
Turkey...................... -- 24,996,876 -- 24,996,876
United Kingdom.............. -- 806,486,683 -- 806,486,683
Securities Lending Collateral. -- 354,483,247 -- 354,483,247
Futures Contracts**........... 664,907 -- -- 664,907
------------ -------------- -- --------------
TOTAL......................... $470,743,584 $5,573,890,387 -- $6,044,633,971
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
62
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (43.1%)
UNITED STATES -- (43.1%)
# Alexandria Real Estate Equities, Inc.......... 352,445 $ 43,904,074 0.6%
American Campus Communities, Inc.............. 476,932 18,652,811 0.3%
# American Homes 4 Rent Class A................. 894,639 18,071,716 0.3%
American Tower Corp........................... 1,524,978 207,946,000 2.9%
# Apartment Investment & Management Co. Class A. 549,057 22,291,714 0.3%
# AvalonBay Communities, Inc.................... 473,237 77,137,631 1.1%
Boston Properties, Inc........................ 528,226 64,131,919 0.9%
Camden Property Trust......................... 322,978 27,582,321 0.4%
# Crown Castle International Corp............... 1,391,266 140,337,001 2.0%
# CubeSmart..................................... 655,345 19,293,357 0.3%
DCT Industrial Trust, Inc..................... 339,254 22,244,885 0.3%
Digital Realty Trust, Inc..................... 705,690 74,584,355 1.0%
# Douglas Emmett, Inc........................... 564,085 21,023,448 0.3%
Duke Realty Corp.............................. 1,243,551 33,700,232 0.5%
# Equinix, Inc.................................. 271,508 114,247,851 1.6%
Equity LifeStyle Properties, Inc.............. 292,766 26,103,017 0.4%
# Equity Residential............................ 1,261,671 77,857,717 1.1%
# Essex Property Trust, Inc..................... 226,314 54,245,203 0.8%
Extra Space Storage, Inc...................... 439,044 39,333,952 0.6%
# Federal Realty Investment Trust............... 254,941 29,534,915 0.4%
Gaming and Leisure Properties, Inc............ 718,705 24,630,020 0.3%
GGP, Inc...................................... 2,007,174 40,123,408 0.6%
HCP, Inc...................................... 1,635,956 38,215,932 0.5%
# Host Hotels & Resorts, Inc.................... 2,515,703 49,207,151 0.7%
Hudson Pacific Properties, Inc................ 558,331 18,352,340 0.3%
Iron Mountain, Inc............................ 942,393 31,984,818 0.4%
# Kilroy Realty Corp............................ 343,891 24,646,668 0.3%
# Kimco Realty Corp............................. 1,488,059 21,591,736 0.3%
Lamar Advertising Co. Class A................. 292,582 18,640,399 0.3%
Liberty Property Trust........................ 514,612 21,521,074 0.3%
# Macerich Co. (The)............................ 417,053 24,030,594 0.3%
Mid-America Apartment Communities, Inc........ 396,028 36,220,677 0.5%
National Retail Properties, Inc............... 536,905 20,423,866 0.3%
# Omega Healthcare Investors, Inc............... 695,403 18,066,570 0.3%
Prologis, Inc................................. 1,801,015 116,903,884 1.6%
Public Storage................................ 536,910 108,337,700 1.5%
# Realty Income Corp............................ 974,074 49,200,478 0.7%
# Regency Centers Corp.......................... 532,093 31,313,649 0.4%
#* SBA Communications Corp....................... 399,258 63,973,109 0.9%
# Simon Property Group, Inc..................... 1,054,164 164,808,000 2.3%
# SL Green Realty Corp.......................... 332,157 32,465,025 0.5%
Sun Communities, Inc.......................... 278,287 26,117,235 0.4%
# UDR, Inc...................................... 932,108 33,695,704 0.5%
Ventas, Inc................................... 1,220,604 62,763,458 0.9%
# VEREIT, Inc................................... 3,381,590 22,994,812 0.3%
# Vornado Realty Trust.......................... 595,616 40,519,756 0.6%
Welltower, Inc................................ 1,274,686 68,119,220 1.0%
# WP Carey, Inc................................. 379,214 24,212,814 0.3%
Other Securities.............................. 795,646,161 10.8%
-------------- -----
TOTAL COMMON STOCKS............................... 3,160,950,377 44.2%
-------------- -----
63
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
AFFILIATED INVESTMENT COMPANIES -- (54.2%)
UNITED STATES -- (54.2%)
DFA International Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc.......................... 476,534,331 $2,492,274,551 34.9%
DFA Real Estate Securities Portfolio of DFA Investment
Dimensions Group Inc..................................... 45,252,203 1,483,819,724 20.8%
-------------- ------
TOTAL UNITED STATES............................................. 3,976,094,275 55.7%
-------------- ------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES...................................................... 3,976,094,275 55.7%
-------------- ------
TOTAL INVESTMENT SECURITIES..................................... 7,137,044,652
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (2.7%)
(S)@ DFA Short Term Investment Fund............................ 16,900,562 195,539,503 2.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,783,552,540)....................................... $7,332,584,155 102.6%
============== ======
Summary of the Portfolio's investments as of April 30, 2018, 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................. $3,160,950,377 -- -- $3,160,950,377
Affiliated Investment Companies
United States................. 3,976,094,275 -- -- 3,976,094,275
Securities Lending Collateral... -- $195,539,503 -- 195,539,503
-------------- ------------ -- --------------
TOTAL........................... $7,137,044,652 $195,539,503 -- $7,332,584,155
============== ============ == ==============
See accompanying Notes to Financial Statements.
64
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.9%)
AUSTRALIA -- (6.3%)
Beach Energy, Ltd................ 45,369,328 $ 53,508,636 0.3%
Cleanaway Waste Management, Ltd.. 49,607,719 58,911,384 0.4%
Downer EDI, Ltd.................. 14,055,450 72,340,258 0.5%
# Metcash, Ltd..................... 22,580,986 60,948,548 0.4%
OZ Minerals, Ltd................. 7,698,143 53,124,661 0.3%
WorleyParsons, Ltd............... 4,370,365 53,269,395 0.3%
Other Securities................. 723,084,566 4.4%
-------------- ----
TOTAL AUSTRALIA...................... 1,075,187,448 6.6%
-------------- ----
AUSTRIA -- (1.0%)
Wienerberger AG.................. 2,684,294 67,638,559 0.4%
Other Securities................. 110,841,762 0.7%
-------------- ----
TOTAL AUSTRIA........................ 178,480,321 1.1%
-------------- ----
BELGIUM -- (1.4%)
Ackermans & van Haaren NV........ 332,154 59,935,741 0.4%
Other Securities................. 170,765,314 1.0%
-------------- ----
TOTAL BELGIUM........................ 230,701,055 1.4%
-------------- ----
CANADA -- (7.3%)
# Canadian Western Bank............ 2,378,567 63,115,992 0.4%
* IAMGOLD Corp..................... 10,460,281 57,191,614 0.4%
Other Securities................. 1,125,239,507 6.9%
-------------- ----
TOTAL CANADA......................... 1,245,547,113 7.7%
-------------- ----
DENMARK -- (1.5%)
Jyske Bank A.S................... 1,224,516 73,323,500 0.5%
Sydbank A.S...................... 1,624,758 60,064,321 0.4%
Other Securities................. 120,827,280 0.7%
-------------- ----
TOTAL DENMARK........................ 254,215,101 1.6%
-------------- ----
FINLAND -- (2.3%)
# Kesko Oyj Class B................ 1,598,059 93,837,658 0.6%
Metsa Board Oyj.................. 5,022,622 56,275,033 0.4%
Other Securities................. 245,453,110 1.4%
-------------- ----
TOTAL FINLAND........................ 395,565,801 2.4%
-------------- ----
FRANCE -- (4.1%)
Rexel SA......................... 6,155,587 95,422,366 0.6%
Other Securities................. 612,454,090 3.8%
-------------- ----
TOTAL FRANCE......................... 707,876,456 4.4%
-------------- ----
GERMANY -- (6.5%)
Aareal Bank AG................... 1,761,663 88,116,624 0.6%
Aurubis AG....................... 1,158,293 103,509,990 0.6%
# K+S AG........................... 3,048,592 89,536,076 0.6%
Leoni AG......................... 845,772 52,968,412 0.3%
Rheinmetall AG................... 981,706 128,290,590 0.8%
Salzgitter AG.................... 1,310,505 71,967,212 0.5%
65
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY -- (Continued)
Other Securities.............. $ 583,106,729 3.5%
-------------- -----
TOTAL GERMANY..................... 1,117,495,633 6.9%
-------------- -----
GREECE -- (0.0%)
Other Securities.............. 2,074 0.0%
-------------- -----
HONG KONG -- (3.1%)
Other Securities.............. 536,685,914 3.3%
-------------- -----
IRELAND -- (0.3%)
Other Securities.............. 53,230,804 0.3%
-------------- -----
ISRAEL -- (0.6%)
Other Securities.............. 110,349,956 0.7%
-------------- -----
ITALY -- (4.7%)
# A2A SpA....................... 26,795,521 53,878,933 0.3%
#* Banco BPM SpA................. 21,480,343 77,916,524 0.5%
# BPER Banca.................... 14,472,034 83,539,576 0.5%
# Unione di Banche Italiane SpA. 25,149,018 129,535,502 0.8%
Unipol Gruppo SpA............. 13,259,468 71,019,477 0.5%
Other Securities.............. 381,908,463 2.3%
-------------- -----
TOTAL ITALY....................... 797,798,475 4.9%
-------------- -----
JAPAN -- (26.3%)
Other Securities.............. 4,480,810,154 27.6%
-------------- -----
NETHERLANDS -- (2.2%)
APERAM SA..................... 1,372,656 66,881,872 0.4%
ASR Nederland NV.............. 1,185,307 55,903,541 0.4%
# Boskalis Westminster.......... 2,223,100 65,857,690 0.4%
SBM Offshore NV............... 5,517,816 92,584,645 0.6%
Other Securities.............. 99,433,428 0.5%
-------------- -----
TOTAL NETHERLANDS................. 380,661,176 2.3%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities.............. 62,708,840 0.4%
-------------- -----
NORWAY -- (0.9%)
Other Securities.............. 153,017,985 0.9%
-------------- -----
PORTUGAL -- (0.4%)
Other Securities.............. 66,938,364 0.4%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities.............. 163,979,947 1.0%
-------------- -----
SPAIN -- (2.6%)
# Acciona SA.................... 827,998 69,258,969 0.4%
# Acerinox SA................... 3,881,667 54,512,294 0.3%
Other Securities.............. 322,600,636 2.0%
-------------- -----
TOTAL SPAIN....................... 446,371,899 2.7%
-------------- -----
SWEDEN -- (1.8%)
Other Securities.............. 300,272,081 1.9%
-------------- -----
66
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (3.8%)
GAM Holding AG.................. 3,576,356 $ 57,086,570 0.4%
Helvetia Holding AG............. 145,920 86,678,146 0.5%
Other Securities................ 499,670,336 3.1%
--------------- ------
TOTAL SWITZERLAND...................... 643,435,052 4.0%
--------------- ------
UNITED KINGDOM -- (14.4%)
Beazley P.L.C................... 9,204,078 74,758,477 0.5%
Bellway P.L.C................... 2,984,036 135,971,483 0.8%
Bodycote P.L.C.................. 4,114,367 50,655,576 0.3%
Bovis Homes Group P.L.C......... 4,858,289 82,661,663 0.5%
Centamin P.L.C.................. 32,079,579 69,318,610 0.4%
Close Brothers Group P.L.C...... 2,519,808 53,054,940 0.3%
# Greene King P.L.C............... 8,226,218 61,802,948 0.4%
GVC Holdings P.L.C.............. 4,115,032 50,370,441 0.3%
Hiscox, Ltd..................... 6,782,867 138,699,753 0.9%
Man Group P.L.C................. 27,961,852 69,447,443 0.4%
Meggitt P.L.C................... 11,584,537 75,048,709 0.5%
National Express Group P.L.C.... 9,362,195 50,521,852 0.3%
Phoenix Group Holdings.......... 7,519,815 81,230,266 0.5%
Redrow P.L.C.................... 7,158,893 61,688,867 0.4%
TP ICAP P.L.C................... 9,708,212 62,888,057 0.4%
Vesuvius P.L.C.................. 7,316,120 59,083,781 0.4%
Other Securities................ 1,285,093,572 7.9%
--------------- ------
TOTAL UNITED KINGDOM................... 2,462,296,438 15.2%
--------------- ------
TOTAL COMMON STOCKS.................... 15,863,628,087 97.7%
--------------- ------
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities................ 13,893,015 0.1%
--------------- ------
TOTAL PREFERRED STOCKS................. 13,893,015 0.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities................ 1,530 0.0%
--------------- ------
SPAIN -- (0.0%)
Other Securities................ 69,340 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS.................. 70,870 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............ 15,877,591,971
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (7.0%)
(S)@ DFA Short Term Investment Fund.. 103,157,323 1,193,530,223 7.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $13,876,072,692)............. $17,071,122,194 105.1%
=============== ======
67
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index... 1,042 06/15/18 $142,458,860 $137,908,700 $(4,550,160)
------------ ------------ ------------
Total futures contracts.. $142,458,860 $137,908,700 $(4,550,160)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, 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................... -- $ 1,075,187,448 -- $ 1,075,187,448
Austria..................... -- 178,480,321 -- 178,480,321
Belgium..................... -- 230,701,055 -- 230,701,055
Canada...................... $1,245,546,756 357 -- 1,245,547,113
Denmark..................... -- 254,215,101 -- 254,215,101
Finland..................... -- 395,565,801 -- 395,565,801
France...................... -- 707,876,456 -- 707,876,456
Germany..................... -- 1,117,495,633 -- 1,117,495,633
Greece...................... -- 2,074 -- 2,074
Hong Kong................... 78,021 536,607,893 -- 536,685,914
Ireland..................... -- 53,230,804 -- 53,230,804
Israel...................... -- 110,349,956 -- 110,349,956
Italy....................... -- 797,798,475 -- 797,798,475
Japan....................... 14,540,988 4,466,269,166 -- 4,480,810,154
Netherlands................. -- 380,661,176 -- 380,661,176
New Zealand................. -- 62,708,840 -- 62,708,840
Norway...................... -- 153,017,985 -- 153,017,985
Portugal.................... -- 66,938,364 -- 66,938,364
Singapore................... -- 163,979,947 -- 163,979,947
Spain....................... -- 446,371,899 -- 446,371,899
Sweden...................... -- 300,272,081 -- 300,272,081
Switzerland................. -- 643,435,052 -- 643,435,052
United Kingdom.............. -- 2,462,296,438 -- 2,462,296,438
Preferred Stocks
Germany..................... -- 13,893,015 -- 13,893,015
Rights/Warrants
Hong Kong................... -- 1,530 -- 1,530
Spain....................... -- 69,340 -- 69,340
Securities Lending Collateral. -- 1,193,530,223 -- 1,193,530,223
Futures Contracts**........... (4,550,160) -- -- (4,550,160)
-------------- --------------- -- ---------------
TOTAL......................... $1,255,615,605 $15,810,956,429 -- $17,066,572,034
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
68
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.3%)
AUSTRALIA -- (5.6%)
# Australia & New Zealand Banking Group, Ltd.. 214,260 $ 4,307,094 0.2%
BHP Billiton, Ltd........................... 314,531 7,337,772 0.3%
BlueScope Steel, Ltd........................ 393,906 4,840,893 0.2%
Woodside Petroleum, Ltd..................... 195,034 4,726,354 0.2%
Other Securities............................ 139,615,336 5.1%
------------ ----
TOTAL AUSTRALIA................................. 160,827,449 6.0%
------------ ----
AUSTRIA -- (0.8%)
Other Securities............................ 23,177,227 0.9%
------------ ----
BELGIUM -- (1.6%)
Ageas....................................... 107,511 5,751,022 0.2%
# Umicore SA.................................. 107,492 5,978,548 0.2%
Other Securities............................ 34,628,250 1.3%
------------ ----
TOTAL BELGIUM................................... 46,357,820 1.7%
------------ ----
CANADA -- (7.5%)
Teck Resources, Ltd. Class B................ 221,978 5,578,307 0.2%
Other Securities............................ 212,649,799 7.9%
------------ ----
TOTAL CANADA.................................... 218,228,106 8.1%
------------ ----
DENMARK -- (1.7%)
Other Securities............................ 48,904,333 1.8%
------------ ----
FINLAND -- (2.1%)
# Neste Oyj................................... 50,237 4,230,283 0.2%
Stora Enso Oyj Class R...................... 218,840 4,316,532 0.2%
UPM-Kymmene Oyj............................. 258,374 9,219,197 0.4%
Other Securities............................ 42,371,181 1.4%
------------ ----
TOTAL FINLAND................................... 60,137,193 2.2%
------------ ----
FRANCE -- (6.1%)
BNP Paribas SA.............................. 73,561 5,678,854 0.2%
Cie de Saint-Gobain......................... 98,275 5,141,848 0.2%
Renault SA.................................. 41,368 4,483,526 0.2%
# Total SA.................................... 192,243 12,082,797 0.5%
* Ubisoft Entertainment SA.................... 48,372 4,621,848 0.2%
Other Securities............................ 146,050,235 5.3%
------------ ----
TOTAL FRANCE.................................... 178,059,108 6.6%
------------ ----
GERMANY -- (6.0%)
Allianz SE.................................. 24,707 5,843,794 0.2%
Daimler AG.................................. 89,896 7,067,448 0.3%
Deutsche Lufthansa AG....................... 152,127 4,421,603 0.2%
E.ON SE..................................... 588,434 6,443,209 0.3%
# K+S AG...................................... 156,431 4,594,324 0.2%
RWE AG...................................... 247,438 5,914,195 0.2%
Uniper SE................................... 144,960 4,482,042 0.2%
Other Securities............................ 136,063,408 4.9%
------------ ----
TOTAL GERMANY................................... 174,830,023 6.5%
------------ ----
69
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.6%)
Other Securities..................... $ 75,508,045 2.8%
------------ -----
IRELAND -- (0.5%)
Other Securities..................... 15,304,490 0.6%
------------ -----
ISRAEL -- (0.7%)
Other Securities..................... 20,345,529 0.7%
------------ -----
ITALY -- (3.3%)
Assicurazioni Generali SpA........... 303,243 6,119,126 0.2%
#* Banco BPM SpA........................ 1,218,177 4,418,743 0.2%
Eni SpA.............................. 211,731 4,139,003 0.2%
Fiat Chrysler Automobiles NV......... 304,185 6,758,616 0.3%
# Unione di Banche Italiane SpA........ 841,967 4,336,735 0.2%
Other Securities..................... 70,903,492 2.5%
------------ -----
TOTAL ITALY.............................. 96,675,715 3.6%
------------ -----
JAPAN -- (23.7%)
Honda Motor Co., Ltd................. 138,023 4,746,050 0.2%
Mitsubishi Chemical Holdings Corp.... 464,080 4,390,012 0.2%
Mitsubishi UFJ Financial Group, Inc.. 817,300 5,477,007 0.2%
Toyota Motor Corp.................... 73,263 4,804,027 0.2%
# Toyota Motor Corp. Sponsored ADR..... 36,827 4,823,600 0.2%
Other Securities..................... 663,268,374 24.5%
------------ -----
TOTAL JAPAN.............................. 687,509,070 25.5%
------------ -----
NETHERLANDS -- (2.4%)
Koninklijke Ahold Delhaize NV........ 219,005 5,283,381 0.2%
Other Securities..................... 63,576,873 2.3%
------------ -----
TOTAL NETHERLANDS........................ 68,860,254 2.5%
------------ -----
NEW ZEALAND -- (0.5%)
Other Securities..................... 13,634,778 0.5%
------------ -----
NORWAY -- (1.0%)
Other Securities..................... 27,419,536 1.0%
------------ -----
PORTUGAL -- (0.4%)
Other Securities..................... 10,528,248 0.4%
------------ -----
SINGAPORE -- (1.0%)
Other Securities..................... 30,092,910 1.1%
------------ -----
SPAIN -- (2.0%)
# Banco Santander SA................... 955,782 6,175,232 0.2%
Repsol SA............................ 237,537 4,532,880 0.2%
Other Securities..................... 48,383,103 1.8%
------------ -----
TOTAL SPAIN.............................. 59,091,215 2.2%
------------ -----
SWEDEN -- (2.4%)
# Boliden AB........................... 124,690 4,320,462 0.2%
Other Securities..................... 65,695,085 2.4%
------------ -----
TOTAL SWEDEN............................. 70,015,547 2.6%
------------ -----
70
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (5.0%)
Baloise Holding AG.............................. 26,119 $ 4,139,989 0.2%
Clariant AG..................................... 182,599 4,215,352 0.2%
Nestle SA....................................... 110,012 8,522,638 0.3%
Novartis AG Sponsored ADR....................... 73,269 5,619,000 0.2%
Other Securities................................ 123,624,985 4.5%
-------------- ------
TOTAL SWITZERLAND..................................... 146,121,964 5.4%
-------------- ------
UNITED KINGDOM -- (14.4%)
Anglo American P.L.C............................ 450,994 10,611,551 0.4%
Aviva P.L.C..................................... 570,076 4,141,981 0.2%
BP P.L.C. Sponsored ADR......................... 244,019 10,880,814 0.4%
# HSBC Holdings P.L.C. Sponsored ADR.............. 234,122 11,766,972 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 161,774 11,307,989 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 102,022 7,388,433 0.3%
Vodafone Group P.L.C............................ 1,755,059 5,121,631 0.2%
Vodafone Group P.L.C. Sponsored ADR............. 142,624 4,194,577 0.2%
WM Morrison Supermarkets P.L.C.................. 1,351,214 4,506,519 0.2%
Other Securities................................ 349,161,101 12.8%
-------------- ------
TOTAL UNITED KINGDOM.................................. 419,081,568 15.5%
-------------- ------
TOTAL COMMON STOCKS................................... 2,650,710,128 98.2%
-------------- ------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Volkswagen AG................................... 25,998 5,361,693 0.2%
Other Securities................................ 8,606,006 0.3%
-------------- ------
TOTAL GERMANY......................................... 13,967,699 0.5%
-------------- ------
TOTAL PREFERRED STOCKS................................ 13,967,699 0.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
FRANCE -- (0.0%)
Other Securities................................ 1,052 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities................................ 414 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities................................ 6,440 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................................ 1,625 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................. 9,531 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES........................... 2,664,687,358
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (8.2%)
(S)@ DFA Short Term Investment Fund.................. 20,491,503 237,086,694 8.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,333,369,304)............................. $2,901,774,052 107.5%
============== ======
71
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, International Vector 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(R) Emini Index... 60 06/15/18 $8,009,005 $7,941,000 $(68,005)
---------- ---------- ---------
Total futures contracts.. $8,009,005 $7,941,000 $(68,005)
========== ========== =========
Summary of the Portfolio's investments as of April 30, 2018, 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................... $ 3,646,289 $ 157,181,160 -- $ 160,827,449
Austria..................... -- 23,177,227 -- 23,177,227
Belgium..................... 643,314 45,714,506 -- 46,357,820
Canada...................... 218,225,554 2,552 -- 218,228,106
Denmark..................... -- 48,904,333 -- 48,904,333
Finland..................... -- 60,137,193 -- 60,137,193
France...................... 647,457 177,411,651 -- 178,059,108
Germany..................... 4,266,222 170,563,801 -- 174,830,023
Hong Kong................... 350,204 75,157,841 -- 75,508,045
Ireland..................... 2,436,445 12,868,045 -- 15,304,490
Israel...................... 1,149,267 19,196,262 -- 20,345,529
Italy....................... 609,064 96,066,651 -- 96,675,715
Japan....................... 10,704,308 676,804,762 -- 687,509,070
Netherlands................. 8,588,622 60,271,632 -- 68,860,254
New Zealand................. 6,399 13,628,379 -- 13,634,778
Norway...................... 299,057 27,120,479 -- 27,419,536
Portugal.................... -- 10,528,248 -- 10,528,248
Singapore................... 25,979 30,066,931 -- 30,092,910
Spain....................... 2,375,809 56,715,406 -- 59,091,215
Sweden...................... 205,269 69,810,278 -- 70,015,547
Switzerland................. 8,973,046 137,148,918 -- 146,121,964
United Kingdom.............. 63,641,630 355,439,938 -- 419,081,568
Preferred Stocks
Germany..................... -- 13,967,699 -- 13,967,699
Rights/Warrants
France...................... -- 1,052 -- 1,052
Hong Kong................... -- 414 -- 414
Singapore................... -- 6,440 -- 6,440
Spain....................... -- 1,625 -- 1,625
Securities Lending Collateral. -- 237,086,694 -- 237,086,694
Futures Contracts**........... (68,005) -- -- (68,005)
------------ -------------- -- --------------
TOTAL......................... $326,725,930 $2,574,980,117 -- $2,901,706,047
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
72
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.2%)
AUSTRALIA -- (5.4%)
BHP Billiton, Ltd............................ 90,976 $ 2,122,402 1.2%
CSL, Ltd..................................... 9,082 1,163,305 0.6%
Other Securities............................. 7,052,849 3.9%
----------- -----
TOTAL AUSTRALIA.................................. 10,338,556 5.7%
----------- -----
AUSTRIA -- (0.2%)
Other Securities............................. 420,593 0.2%
----------- -----
BELGIUM -- (1.2%)
Other Securities............................. 2,264,815 1.2%
----------- -----
CANADA -- (7.7%)
Canadian National Railway Co................. 16,843 1,301,627 0.7%
Royal Bank of Canada......................... 27,874 2,119,818 1.2%
Other Securities............................. 11,169,996 6.1%
----------- -----
TOTAL CANADA..................................... 14,591,441 8.0%
----------- -----
DENMARK -- (1.6%)
Novo Nordisk A.S. Class B.................... 40,249 1,892,827 1.0%
# Pandora A.S.................................. 7,293 810,172 0.5%
Other Securities............................. 253,463 0.1%
----------- -----
TOTAL DENMARK.................................... 2,956,462 1.6%
----------- -----
FINLAND -- (0.9%)
Other Securities............................. 1,667,987 0.9%
----------- -----
FRANCE -- (9.8%)
Air Liquide SA............................... 9,703 1,261,160 0.7%
Airbus SE.................................... 10,892 1,278,537 0.7%
Cie Generale des Etablissements Michelin SCA. 8,785 1,235,372 0.7%
# Danone SA.................................... 11,530 933,997 0.5%
LVMH Moet Hennessy Louis Vuitton SE.......... 5,988 2,083,895 1.1%
Orange SA.................................... 54,631 993,171 0.6%
# Vinci SA..................................... 11,541 1,153,911 0.6%
Other Securities............................. 9,593,231 5.3%
----------- -----
TOTAL FRANCE..................................... 18,533,274 10.2%
----------- -----
GERMANY -- (7.3%)
Adidas AG.................................... 3,892 956,534 0.5%
BASF SE...................................... 21,794 2,267,522 1.2%
Deutsche Post AG............................. 23,879 1,036,454 0.6%
Deutsche Telekom AG.......................... 100,280 1,755,262 1.0%
E.ON SE...................................... 88,762 971,922 0.5%
Fresenius SE & Co. KGaA...................... 11,058 842,114 0.5%
Other Securities............................. 6,115,959 3.4%
----------- -----
TOTAL GERMANY.................................... 13,945,767 7.7%
----------- -----
HONG KONG -- (2.7%)
Other Securities............................. 5,189,284 2.9%
----------- -----
73
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (0.5%)
Other Securities............. $ 915,142 0.5%
----------- -----
ISRAEL -- (0.3%)
Other Securities............. 580,467 0.3%
----------- -----
ITALY -- (2.3%)
Enel SpA..................... 187,070 1,186,720 0.6%
Fiat Chrysler Automobiles NV. 47,136 1,047,304 0.6%
Other Securities............. 2,157,862 1.2%
----------- -----
TOTAL ITALY...................... 4,391,886 2.4%
----------- -----
JAPAN -- (21.9%)
Hitachi, Ltd................. 143,000 1,043,694 0.6%
KDDI Corp.................... 50,300 1,350,233 0.7%
NTT DOCOMO, Inc.............. 33,300 860,272 0.5%
Panasonic Corp............... 59,900 886,948 0.5%
Seven & I Holdings Co., Ltd.. 20,000 881,216 0.5%
SoftBank Group Corp.......... 23,900 1,826,168 1.0%
Sony Corp.................... 32,900 1,536,631 0.8%
Other Securities............. 33,294,130 18.3%
----------- -----
TOTAL JAPAN...................... 41,679,292 22.9%
----------- -----
NETHERLANDS -- (3.0%)
# Unilever NV.................. 40,262 2,299,766 1.3%
Wolters Kluwer NV............ 15,178 821,278 0.5%
Other Securities............. 2,612,810 1.3%
----------- -----
TOTAL NETHERLANDS................ 5,733,854 3.1%
----------- -----
NEW ZEALAND -- (0.2%)
Other Securities............. 394,323 0.2%
----------- -----
NORWAY -- (0.9%)
Other Securities............. 1,692,479 0.9%
----------- -----
PORTUGAL -- (0.1%)
Other Securities............. 166,566 0.1%
----------- -----
SINGAPORE -- (1.2%)
Other Securities............. 2,189,656 1.2%
----------- -----
SPAIN -- (2.8%)
Amadeus IT Group SA.......... 14,806 1,080,243 0.6%
Telefonica SA................ 119,259 1,215,306 0.7%
Other Securities............. 3,075,947 1.7%
----------- -----
TOTAL SPAIN...................... 5,371,496 3.0%
----------- -----
SWEDEN -- (2.2%)
Other Securities............. 4,176,998 2.3%
----------- -----
SWITZERLAND -- (6.5%)
ABB, Ltd..................... 57,558 1,341,997 0.7%
Givaudan SA.................. 431 959,427 0.5%
Nestle SA.................... 14,560 1,127,964 0.6%
Roche Holding AG............. 14,655 3,256,156 1.8%
Sika AG...................... 116 841,722 0.5%
Other Securities............. 4,790,864 2.7%
----------- -----
TOTAL SWITZERLAND................ 12,318,130 6.8%
----------- -----
74
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (15.5%)
# AstraZeneca P.L.C. Sponsored ADR..... 60,961 $ 2,165,944 1.2%
BAE Systems P.L.C.................... 163,796 1,374,284 0.8%
BHP Billiton P.L.C................... 55,363 1,180,472 0.6%
Diageo P.L.C. Sponsored ADR.......... 13,935 1,978,213 1.1%
Experian P.L.C....................... 38,077 872,427 0.5%
Ferguson P.L.C....................... 11,727 897,667 0.5%
# GlaxoSmithKline P.L.C. Sponsored ADR. 48,811 1,957,809 1.1%
Reckitt Benckiser Group P.L.C........ 11,886 932,433 0.5%
# Rio Tinto P.L.C. Sponsored ADR....... 32,080 1,762,796 1.0%
Rolls-Royce Holdings P.L.C........... 84,192 972,346 0.5%
SSE P.L.C............................ 50,414 956,786 0.5%
Unilever P.L.C. Sponsored ADR........ 24,670 1,380,780 0.8%
Other Securities..................... 12,946,036 7.0%
------------ ------
TOTAL UNITED KINGDOM....................... 29,377,993 16.1%
------------ ------
TOTAL COMMON STOCKS........................ 178,896,461 98.2%
------------ ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG........................ 5,598 1,154,503 0.6%
Other Securities..................... 434,789 0.3%
------------ ------
TOTAL GERMANY.............................. 1,589,292 0.9%
------------ ------
TOTAL PREFERRED STOCKS..................... 1,589,292 0.9%
------------ ------
TOTAL INVESTMENT SECURITIES................ 180,485,753
------------
Value+
------
SECURITIES LENDING COLLATERAL -- (4.9%)
(S)@ DFA Short Term Investment Fund....... 809,879 9,370,296 5.1%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $185,756,401).................... $189,856,049 104.2%
============ ======
75
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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................... -- $ 10,338,556 -- $ 10,338,556
Austria..................... -- 420,593 -- 420,593
Belgium..................... -- 2,264,815 -- 2,264,815
Canada...................... $14,591,441 -- -- 14,591,441
Denmark..................... -- 2,956,462 -- 2,956,462
Finland..................... -- 1,667,987 -- 1,667,987
France...................... -- 18,533,274 -- 18,533,274
Germany..................... -- 13,945,767 -- 13,945,767
Hong Kong................... -- 5,189,284 -- 5,189,284
Ireland..................... 56,152 858,990 -- 915,142
Israel...................... 136,615 443,852 -- 580,467
Italy....................... 551,324 3,840,562 -- 4,391,886
Japan....................... -- 41,679,292 -- 41,679,292
Netherlands................. 2,299,766 3,434,088 -- 5,733,854
New Zealand................. -- 394,323 -- 394,323
Norway...................... -- 1,692,479 -- 1,692,479
Portugal.................... -- 166,566 -- 166,566
Singapore................... -- 2,189,656 -- 2,189,656
Spain....................... -- 5,371,496 -- 5,371,496
Sweden...................... -- 4,176,998 -- 4,176,998
Switzerland................. 241,148 12,076,982 -- 12,318,130
United Kingdom.............. 9,508,420 19,869,573 -- 29,377,993
Preferred Stocks
Germany..................... -- 1,589,292 -- 1,589,292
Securities Lending Collateral. -- 9,370,296 -- 9,370,296
----------- ------------ -- ------------
TOTAL......................... $27,384,866 $162,471,183 -- $189,856,049
=========== ============ == ============
See accompanying Notes to Financial Statements.
76
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $156,959,869
Investment in Dimensional Emerging Markets Value Fund....... 66,834,652
Investment in DFA International Small Cap Value Portfolio
of DFA Investment Dimensions Group Inc.................... 1,096,735 25,115,232
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES (Cost $203,583,877).......................... $248,909,753
============
Summary of the Portfolio's investments as of April 30, 2018, 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. $248,909,753 -- -- $248,909,753
------------ -- -- ------------
TOTAL........................... $248,909,753 -- -- $248,909,753
============ == == ============
See accompanying Notes to Financial Statements.
77
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (97.9%)
AUSTRALIA -- (4.3%)
BlueScope Steel, Ltd............................... 94,666 $ 1,163,393 0.2%
Incitec Pivot, Ltd................................. 293,099 834,077 0.2%
Other Securities................................... 20,659,663 3.9%
----------- ----
TOTAL AUSTRALIA........................................ 22,657,133 4.3%
----------- ----
AUSTRIA -- (0.7%)
* Raiffeisen Bank International AG................... 27,085 914,283 0.2%
Other Securities................................... 2,889,710 0.5%
----------- ----
TOTAL AUSTRIA.......................................... 3,803,993 0.7%
----------- ----
BELGIUM -- (1.1%)
Ageas.............................................. 32,566 1,742,037 0.3%
Other Securities................................... 3,826,512 0.8%
----------- ----
TOTAL BELGIUM.......................................... 5,568,549 1.1%
----------- ----
BRAZIL -- (1.7%)
Other Securities................................... 9,021,961 1.7%
----------- ----
CANADA -- (5.5%)
Crescent Point Energy Corp......................... 97,460 853,947 0.2%
Other Securities................................... 28,094,697 5.3%
----------- ----
TOTAL CANADA........................................... 28,948,644 5.5%
----------- ----
CHILE -- (0.3%)
Other Securities................................... 1,737,780 0.3%
----------- ----
CHINA -- (8.5%)
China Conch Venture Holdings, Ltd.................. 307,500 954,651 0.2%
China National Building Material Co., Ltd. Class H. 962,200 1,124,132 0.2%
Other Securities................................... 43,090,911 8.2%
----------- ----
TOTAL CHINA............................................ 45,169,694 8.6%
----------- ----
COLOMBIA -- (0.1%)
Other Securities................................... 646,205 0.1%
----------- ----
DENMARK -- (1.1%)
Jyske Bank A.S..................................... 14,411 862,925 0.2%
Other Securities................................... 5,077,960 0.9%
----------- ----
TOTAL DENMARK.......................................... 5,940,885 1.1%
----------- ----
FINLAND -- (1.5%)
Neste Oyj.......................................... 17,647 1,485,992 0.3%
Stora Enso Oyj Class R............................. 81,990 1,617,220 0.3%
Other Securities................................... 4,914,982 0.9%
----------- ----
TOTAL FINLAND.......................................... 8,018,194 1.5%
----------- ----
FRANCE -- (3.7%)
Arkema SA.......................................... 10,891 1,426,662 0.3%
Eiffage SA......................................... 14,431 1,717,744 0.3%
Faurecia SA........................................ 10,990 897,431 0.2%
78
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FRANCE -- (Continued)
Rexel SA.................................... 76,137 $ 1,180,257 0.2%
Other Securities............................ 14,150,499 2.7%
----------- -----
TOTAL FRANCE.................................... 19,372,593 3.7%
----------- -----
GERMANY -- (4.7%)
Aurubis AG.................................. 9,473 846,548 0.2%
Freenet AG.................................. 31,600 1,003,106 0.2%
K+S AG...................................... 44,982 1,321,106 0.3%
Lanxess AG.................................. 19,336 1,432,301 0.3%
Rheinmetall AG.............................. 8,598 1,123,598 0.2%
RWE AG...................................... 51,929 1,241,193 0.2%
Uniper SE................................... 33,621 1,039,533 0.2%
Other Securities............................ 16,798,469 3.1%
----------- -----
TOTAL GERMANY................................... 24,805,854 4.7%
----------- -----
HONG KONG -- (2.0%)
Other Securities............................ 10,524,085 2.0%
----------- -----
INDIA -- (3.6%)
Other Securities............................ 18,853,080 3.6%
----------- -----
INDONESIA -- (0.6%)
Other Securities............................ 3,143,663 0.6%
----------- -----
IRELAND -- (0.6%)
Bank of Ireland Group P.L.C................. 327,707 2,939,987 0.6%
Other Securities............................ 204,318 0.0%
----------- -----
TOTAL IRELAND................................... 3,144,305 0.6%
----------- -----
ISRAEL -- (0.4%)
Other Securities............................ 2,381,603 0.5%
----------- -----
ITALY -- (2.8%)
* Banco BPM SpA............................... 326,062 1,182,740 0.2%
Mediobanca Banca di Credito Finanziario SpA. 100,271 1,215,035 0.2%
Unione di Banche Italiane SpA............... 221,622 1,141,512 0.2%
Other Securities............................ 11,243,851 2.2%
----------- -----
TOTAL ITALY..................................... 14,783,138 2.8%
----------- -----
JAPAN -- (18.0%)
SBI Holdings, Inc........................... 33,900 854,798 0.2%
Other Securities............................ 94,538,402 17.9%
----------- -----
TOTAL JAPAN..................................... 95,393,200 18.1%
----------- -----
MALAYSIA -- (0.9%)
Other Securities............................ 4,900,980 0.9%
----------- -----
MEXICO -- (0.7%)
Other Securities............................ 3,935,668 0.7%
----------- -----
NETHERLANDS -- (1.4%)
Aegon NV.................................... 286,779 2,101,742 0.4%
Other Securities............................ 5,105,364 1.0%
----------- -----
TOTAL NETHERLANDS............................... 7,207,106 1.4%
----------- -----
79
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
NEW ZEALAND -- (0.4%)
Other Securities............................. $ 1,907,583 0.4%
----------- ----
NORWAY -- (0.7%)
Other Securities............................. 3,899,923 0.7%
----------- ----
PHILIPPINES -- (0.3%)
Other Securities............................. 1,426,122 0.3%
----------- ----
POLAND -- (0.4%)
Other Securities............................. 2,375,812 0.4%
----------- ----
PORTUGAL -- (0.2%)
Other Securities............................. 1,195,602 0.2%
----------- ----
SINGAPORE -- (0.7%)
Other Securities............................. 3,604,482 0.7%
----------- ----
SOUTH AFRICA -- (1.8%)
Other Securities............................. 9,368,373 1.8%
----------- ----
SOUTH KOREA -- (5.9%)
# Hyundai Engineering & Construction Co., Ltd.. 18,025 1,067,499 0.2%
Other Securities............................. 30,207,636 5.7%
----------- ----
TOTAL SOUTH KOREA................................ 31,275,135 5.9%
----------- ----
SPAIN -- (1.7%)
Banco de Sabadell SA......................... 912,089 1,784,856 0.4%
Other Securities............................. 7,173,709 1.3%
----------- ----
TOTAL SPAIN...................................... 8,958,565 1.7%
----------- ----
SWEDEN -- (1.5%)
Other Securities............................. 7,892,080 1.5%
----------- ----
SWITZERLAND -- (3.2%)
Baloise Holding AG........................... 8,350 1,323,516 0.3%
Swiss Life Holding AG........................ 4,696 1,642,749 0.3%
Other Securities............................. 14,093,984 2.6%
----------- ----
TOTAL SWITZERLAND................................ 17,060,249 3.2%
----------- ----
TAIWAN -- (4.9%)
Other Securities............................. 26,146,692 5.0%
----------- ----
THAILAND -- (0.9%)
Other Securities............................. 4,723,007 0.9%
----------- ----
TURKEY -- (0.4%)
Other Securities............................. 2,125,302 0.4%
----------- ----
UNITED KINGDOM -- (10.7%)
Barratt Developments P.L.C................... 181,829 1,394,275 0.3%
BBA Aviation P.L.C........................... 185,969 815,079 0.2%
Bellway P.L.C................................ 25,648 1,168,684 0.2%
Berkeley Group Holdings P.L.C................ 18,024 1,009,055 0.2%
GKN P.L.C.................................... 201,823 1,281,506 0.3%
GVC Holdings P.L.C........................... 92,865 1,136,727 0.2%
Investec P.L.C............................... 112,326 888,585 0.2%
J Sainsbury P.L.C............................ 302,330 1,282,836 0.3%
80
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Johnson Matthey P.L.C........... 24,288 $ 1,097,689 0.2%
Marks & Spencer Group P.L.C..... 291,779 1,153,706 0.2%
Meggitt P.L.C................... 160,012 1,036,614 0.2%
Pearson P.L.C................... 145,585 1,669,078 0.3%
Phoenix Group Holdings.......... 75,948 820,403 0.2%
Royal Mail P.L.C................ 180,633 1,440,540 0.3%
Taylor Wimpey P.L.C............. 389,086 1,024,672 0.2%
Travis Perkins P.L.C............ 50,961 887,421 0.2%
* Tullow Oil P.L.C................ 300,389 940,060 0.2%
UBM P.L.C....................... 66,479 885,064 0.2%
WM Morrison Supermarkets P.L.C.. 349,221 1,164,709 0.2%
Other Securities................ 35,770,073 6.5%
------------ ------
TOTAL UNITED KINGDOM.................. 56,866,776 10.8%
------------ ------
TOTAL COMMON STOCKS................... 518,784,016 98.4%
------------ ------
PREFERRED STOCKS -- (0.6%)
BRAZIL -- (0.5%)
Other Securities................ 2,548,215 0.5%
------------ ------
COLOMBIA -- (0.0%)
Other Securities................ 137,995 0.1%
------------ ------
GERMANY -- (0.1%)
Other Securities................ 661,944 0.1%
------------ ------
MALAYSIA -- (0.0%)
Other Securities................ 2,488 0.0%
------------ ------
TOTAL PREFERRED STOCKS................ 3,350,642 0.7%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities................ 12,819 0.0%
------------ ------
MALAYSIA -- (0.0%)
Other Securities................ 88 0.0%
------------ ------
SPAIN -- (0.0%)
Other Securities................ 76 0.0%
------------ ------
THAILAND -- (0.0%)
Other Securities................ 1,673 0.0%
------------ ------
TOTAL RIGHTS/WARRANTS................. 14,656 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES........... 522,149,314
------------
Value+
------
SECURITIES LENDING COLLATERAL -- (1.5%)
(S)@ DFA Short Term Investment Fund.. 701,642 8,117,997 1.5%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $458,412,058)............... $530,267,311 100.6%
============ ======
81
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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................... -- $ 22,657,133 -- $ 22,657,133
Austria..................... -- 3,803,993 -- 3,803,993
Belgium..................... -- 5,568,549 -- 5,568,549
Brazil...................... $ 9,021,961 -- -- 9,021,961
Canada...................... 28,948,644 -- -- 28,948,644
Chile....................... 13,680 1,724,100 -- 1,737,780
China....................... 917,161 44,252,533 -- 45,169,694
Colombia.................... 646,205 -- -- 646,205
Denmark..................... -- 5,940,885 -- 5,940,885
Finland..................... -- 8,018,194 -- 8,018,194
France...................... -- 19,372,593 -- 19,372,593
Germany..................... -- 24,805,854 -- 24,805,854
Hong Kong................... -- 10,524,085 -- 10,524,085
India....................... 9,391 18,843,689 -- 18,853,080
Indonesia................... -- 3,143,663 -- 3,143,663
Ireland..................... -- 3,144,305 -- 3,144,305
Israel...................... -- 2,381,603 -- 2,381,603
Italy....................... -- 14,783,138 -- 14,783,138
Japan....................... 233,334 95,159,866 -- 95,393,200
Malaysia.................... -- 4,900,980 -- 4,900,980
Mexico...................... 3,935,668 -- -- 3,935,668
Netherlands................. -- 7,207,106 -- 7,207,106
New Zealand................. -- 1,907,583 -- 1,907,583
Norway...................... -- 3,899,923 -- 3,899,923
Philippines................. -- 1,426,122 -- 1,426,122
Poland...................... -- 2,375,812 -- 2,375,812
Portugal.................... -- 1,195,602 -- 1,195,602
Singapore................... -- 3,604,482 -- 3,604,482
South Africa................ 960,757 8,407,616 -- 9,368,373
South Korea................. -- 31,275,135 -- 31,275,135
Spain....................... -- 8,958,565 -- 8,958,565
Sweden...................... -- 7,892,080 -- 7,892,080
Switzerland................. -- 17,060,249 -- 17,060,249
Taiwan...................... -- 26,146,692 -- 26,146,692
Thailand.................... 4,719,800 3,207 -- 4,723,007
Turkey...................... -- 2,125,302 -- 2,125,302
United Kingdom.............. -- 56,866,776 -- 56,866,776
Preferred Stocks
Brazil...................... 2,548,215 -- -- 2,548,215
Colombia.................... 137,995 -- -- 137,995
Germany..................... -- 661,944 -- 661,944
Malaysia.................... 2,488 -- -- 2,488
Rights/Warrants
Indonesia................... -- 12,819 -- 12,819
Malaysia.................... -- 88 -- 88
Spain....................... -- 76 -- 76
Thailand.................... -- 1,673 -- 1,673
Securities Lending Collateral. -- 8,117,997 -- 8,117,997
----------- ------------ -- ------------
TOTAL......................... $52,095,299 $478,172,012 -- $530,267,311
=========== ============ == ============
See accompanying Notes to Financial Statements.
82
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.3%)
AUSTRALIA -- (3.9%)
BHP Billiton, Ltd................................... 487,213 $ 11,366,313 0.4%
National Australia Bank, Ltd........................ 212,836 4,626,849 0.2%
Other Securities.................................... 119,348,356 3.6%
------------ ----
TOTAL AUSTRALIA......................................... 135,341,518 4.2%
------------ ----
AUSTRIA -- (0.5%)
Other Securities.................................... 17,284,336 0.5%
------------ ----
BELGIUM -- (0.9%)
Other Securities.................................... 32,400,060 1.0%
------------ ----
BRAZIL -- (1.3%)
Vale SA............................................. 470,432 6,535,717 0.2%
Other Securities.................................... 38,084,028 1.2%
------------ ----
TOTAL BRAZIL............................................ 44,619,745 1.4%
------------ ----
CANADA -- (5.7%)
# Bank of Montreal.................................... 92,353 7,012,363 0.2%
Bank of Nova Scotia (The)........................... 84,789 5,211,132 0.2%
Canadian Imperial Bank of Commerce.................. 51,431 4,477,069 0.2%
Royal Bank of Canada................................ 72,182 5,489,441 0.2%
Other Securities.................................... 174,124,013 5.2%
------------ ----
TOTAL CANADA............................................ 196,314,018 6.0%
------------ ----
CHILE -- (0.3%)
Other Securities.................................... 10,924,805 0.3%
------------ ----
CHINA -- (7.3%)
China Construction Bank Corp. Class H............... 9,249,000 9,689,794 0.3%
China Mobile, Ltd................................... 525,000 5,001,407 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 6,595,000 5,789,625 0.2%
Ping An Insurance Group Co. of China, Ltd. Class H.. 618,000 6,038,725 0.2%
Tencent Holdings, Ltd............................... 209,100 10,279,959 0.3%
Other Securities.................................... 214,638,015 6.5%
------------ ----
TOTAL CHINA............................................. 251,437,525 7.7%
------------ ----
COLOMBIA -- (0.1%)
Other Securities.................................... 3,668,321 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 1,247,672 0.0%
------------ ----
DENMARK -- (1.1%)
Other Securities.................................... 38,631,168 1.2%
------------ ----
EGYPT -- (0.0%)
Other Securities.................................... 137,699 0.0%
------------ ----
FINLAND -- (1.3%)
UPM-Kymmene Oyj..................................... 158,274 5,647,469 0.2%
83
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FINLAND -- (Continued)
Other Securities............................. $ 38,201,753 1.2%
------------ ----
TOTAL FINLAND.................................... 43,849,222 1.4%
------------ ----
FRANCE -- (5.3%)
BNP Paribas SA............................... 87,601 6,762,732 0.2%
Cie Generale des Etablissements Michelin SCA. 40,141 5,644,743 0.2%
Engie SA..................................... 289,657 5,081,012 0.2%
Orange SA.................................... 374,142 6,801,759 0.2%
# Peugeot SA................................... 201,421 4,959,705 0.2%
Total SA..................................... 188,568 11,851,817 0.4%
Other Securities............................. 141,829,867 4.2%
------------ ----
TOTAL FRANCE..................................... 182,931,635 5.6%
------------ ----
GERMANY -- (4.8%)
Allianz SE................................... 27,023 6,391,583 0.2%
BASF SE...................................... 66,555 6,924,609 0.2%
Bayerische Motoren Werke AG.................. 59,850 6,654,236 0.2%
Daimler AG................................... 174,048 13,683,314 0.4%
Deutsche Telekom AG.......................... 449,901 7,874,893 0.3%
Other Securities............................. 122,935,973 3.8%
------------ ----
TOTAL GERMANY.................................... 164,464,608 5.1%
------------ ----
GREECE -- (0.0%)
Other Securities............................. 639,508 0.0%
------------ ----
HONG KONG -- (2.0%)
AIA Group, Ltd............................... 1,173,600 10,488,695 0.3%
Other Securities............................. 58,370,910 1.8%
------------ ----
TOTAL HONG KONG.................................. 68,859,605 2.1%
------------ ----
HUNGARY -- (0.1%)
Other Securities............................. 2,945,208 0.1%
------------ ----
INDIA -- (2.7%)
Other Securities............................. 94,650,455 2.9%
------------ ----
INDONESIA -- (0.6%)
Other Securities............................. 19,023,178 0.6%
------------ ----
IRELAND -- (0.4%)
Other Securities............................. 13,990,839 0.4%
------------ ----
ISRAEL -- (0.4%)
Other Securities............................. 15,291,545 0.5%
------------ ----
ITALY -- (2.3%)
Eni SpA...................................... 244,153 4,772,801 0.2%
Fiat Chrysler Automobiles NV................. 275,811 6,128,181 0.2%
Other Securities............................. 68,391,293 2.0%
------------ ----
TOTAL ITALY...................................... 79,292,275 2.4%
------------ ----
JAPAN -- (16.8%)
Hitachi, Ltd................................. 698,000 5,094,392 0.2%
Honda Motor Co., Ltd......................... 259,300 8,916,273 0.3%
Mitsubishi UFJ Financial Group, Inc.......... 879,000 5,890,480 0.2%
84
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
JAPAN -- (Continued)
Nissan Motor Co., Ltd......... 450,000 $ 4,734,210 0.2%
Toyota Motor Corp............. 222,288 14,575,945 0.5%
Other Securities.............. 542,877,164 16.5%
------------ -----
TOTAL JAPAN....................... 582,088,464 17.9%
------------ -----
MALAYSIA -- (0.6%)
Other Securities.............. 21,325,233 0.7%
------------ -----
MEXICO -- (0.7%)
Other Securities.............. 23,875,201 0.7%
------------ -----
NETHERLANDS -- (1.9%)
Other Securities.............. 65,049,806 2.0%
------------ -----
NEW ZEALAND -- (0.3%)
Other Securities.............. 10,593,152 0.3%
------------ -----
NORWAY -- (0.6%)
Other Securities.............. 22,102,686 0.7%
------------ -----
PERU -- (0.0%)
Other Securities.............. 512,301 0.0%
------------ -----
PHILIPPINES -- (0.2%)
Other Securities.............. 8,371,006 0.3%
------------ -----
POLAND -- (0.3%)
Other Securities.............. 10,552,125 0.3%
------------ -----
PORTUGAL -- (0.2%)
Other Securities.............. 5,988,189 0.2%
------------ -----
RUSSIA -- (0.2%)
Other Securities.............. 7,434,007 0.2%
------------ -----
SINGAPORE -- (0.8%)
Other Securities.............. 28,150,084 0.9%
------------ -----
SOUTH AFRICA -- (1.9%)
Other Securities.............. 66,534,396 2.1%
------------ -----
SOUTH KOREA -- (4.0%)
Samsung Electronics Co., Ltd.. 8,883 22,012,074 0.7%
Other Securities.............. 116,930,634 3.6%
------------ -----
TOTAL SOUTH KOREA................. 138,942,708 4.3%
------------ -----
SPAIN -- (1.7%)
# Banco Santander SA............ 1,234,394 7,975,322 0.3%
Iberdrola SA.................. 669,625 5,173,486 0.2%
Other Securities.............. 46,595,153 1.3%
------------ -----
TOTAL SPAIN....................... 59,743,961 1.8%
------------ -----
SWEDEN -- (1.8%)
Other Securities.............. 63,089,538 1.9%
------------ -----
SWITZERLAND -- (3.8%)
Nestle SA..................... 200,030 15,496,339 0.5%
85
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Novartis AG............................................ 111,773 $ 8,603,648 0.3%
Roche Holding AG....................................... 25,011 5,557,128 0.2%
# Zurich Insurance Group AG.............................. 14,341 4,581,023 0.2%
Other Securities....................................... 95,470,600 2.8%
-------------- -----
TOTAL SWITZERLAND.......................................... 129,708,738 4.0%
-------------- -----
TAIWAN -- (3.6%)
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 134,422 5,168,526 0.2%
Other Securities....................................... 117,866,394 3.6%
-------------- -----
TOTAL TAIWAN............................................... 123,034,920 3.8%
-------------- -----
THAILAND -- (0.7%)
Other Securities....................................... 24,143,237 0.8%
-------------- -----
TURKEY -- (0.3%)
Other Securities....................................... 9,503,595 0.3%
-------------- -----
UNITED KINGDOM -- (10.9%)
Anglo American P.L.C................................... 344,308 8,101,309 0.3%
BP P.L.C. Sponsored ADR................................ 472,008 21,046,837 0.7%
British American Tobacco P.L.C......................... 89,071 4,885,320 0.2%
# HSBC Holdings P.L.C. Sponsored ADR..................... 275,801 13,861,758 0.4%
# Rio Tinto P.L.C. Sponsored ADR......................... 156,348 8,591,323 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A........ 161,107 11,261,379 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B........ 106,451 7,709,181 0.3%
Tesco P.L.C............................................ 1,976,348 6,401,263 0.2%
Vodafone Group P.L.C................................... 4,040,579 11,791,259 0.4%
Other Securities....................................... 285,024,006 8.4%
-------------- -----
TOTAL UNITED KINGDOM....................................... 378,673,635 11.6%
-------------- -----
TOTAL COMMON STOCKS........................................ 3,197,361,927 98.3%
-------------- -----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.5%)
Other Securities....................................... 15,748,206 0.5%
-------------- -----
CHILE -- (0.0%)
Other Securities....................................... 235,500 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities....................................... 677,744 0.0%
-------------- -----
GERMANY -- (0.4%)
Volkswagen AG.......................................... 33,924 6,996,310 0.2%
Other Securities....................................... 7,492,826 0.2%
-------------- -----
TOTAL GERMANY.............................................. 14,489,136 0.4%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities....................................... 7,736 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities....................................... 43,309 0.0%
-------------- -----
TOTAL PREFERRED STOCKS..................................... 31,201,631 0.9%
-------------- -----
86
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities................ $ 31,339 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 9,477 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities................ 2,418 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 858 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ 539 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 44,631 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 3,228,608,189
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (6.8%)
(S)@ DFA Short Term Investment Fund.. 20,305,579 234,935,550 7.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,958,380,448).............. $3,463,543,739 106.4%
============== ======
Summary of the Portfolio's investments as of April 30, 2018, 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...... $ 1,030,325 $134,311,193 -- $135,341,518
Austria........ -- 17,284,336 -- 17,284,336
Belgium........ 128,561 32,271,499 -- 32,400,060
Brazil......... 44,619,745 -- -- 44,619,745
Canada......... 196,314,018 -- -- 196,314,018
Chile.......... 1,941,398 8,983,407 -- 10,924,805
China.......... 26,744,437 224,693,088 -- 251,437,525
Colombia....... 3,668,321 -- -- 3,668,321
Czech Republic. -- 1,247,672 -- 1,247,672
Denmark........ 250,847 38,380,321 -- 38,631,168
Egypt.......... -- 137,699 -- 137,699
Finland........ 123,956 43,725,266 -- 43,849,222
France......... 1,894,984 181,036,651 -- 182,931,635
Germany........ 1,802,715 162,661,893 -- 164,464,608
Greece......... -- 639,508 -- 639,508
Hong Kong...... 115,218 68,744,387 -- 68,859,605
Hungary........ -- 2,945,208 -- 2,945,208
India.......... 964,685 93,685,770 -- 94,650,455
Indonesia...... 164,956 18,858,222 -- 19,023,178
Ireland........ 1,978,816 12,012,023 -- 13,990,839
Israel......... 1,207,307 14,084,238 -- 15,291,545
Italy.......... 116,599 79,175,676 -- 79,292,275
Japan.......... 3,424,843 578,663,621 -- 582,088,464
Malaysia....... -- 21,325,233 -- 21,325,233
87
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Mexico...................... $ 23,874,883 $ 318 -- $ 23,875,201
Netherlands................. 8,464,271 56,585,535 -- 65,049,806
New Zealand................. -- 10,593,152 -- 10,593,152
Norway...................... 189,542 21,913,144 -- 22,102,686
Peru........................ 512,196 105 -- 512,301
Philippines................. 56,684 8,314,322 -- 8,371,006
Poland...................... -- 10,552,125 -- 10,552,125
Portugal.................... -- 5,988,189 -- 5,988,189
Russia...................... 1,964,958 5,469,049 -- 7,434,007
Singapore................... 5,549 28,144,535 -- 28,150,084
South Africa................ 4,274,765 62,259,631 -- 66,534,396
South Korea................. 1,314,677 137,628,031 -- 138,942,708
Spain....................... 489,394 59,254,567 -- 59,743,961
Sweden...................... 61,064 63,028,474 -- 63,089,538
Switzerland................. 3,314,404 126,394,334 -- 129,708,738
Taiwan...................... 7,262,952 115,771,968 -- 123,034,920
Thailand.................... 24,140,754 2,483 -- 24,143,237
Turkey...................... 20,760 9,482,835 -- 9,503,595
United Kingdom.............. 91,557,996 287,115,639 -- 378,673,635
Preferred Stocks
Brazil...................... 15,748,206 -- -- 15,748,206
Chile....................... -- 235,500 -- 235,500
Colombia.................... 677,744 -- -- 677,744
Germany..................... -- 14,489,136 -- 14,489,136
Malaysia.................... 7,736 -- -- 7,736
South Korea................. 43,309 -- -- 43,309
Rights/Warrants
Indonesia................... -- 31,339 -- 31,339
Malaysia.................... -- 9,477 -- 9,477
Singapore................... -- 2,418 -- 2,418
Spain....................... -- 858 -- 858
Taiwan...................... -- 539 -- 539
Securities Lending Collateral. -- 234,935,550 -- 234,935,550
------------ -------------- -- --------------
TOTAL......................... $470,473,575 $2,993,070,164 -- $3,463,543,739
============ ============== == ==============
See accompanying Notes to Financial Statements.
88
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Shares Value+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 15,561,034 $352,301,817
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 17,580,020 256,844,085
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 3,765,368 87,733,079
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $588,257,876)............................................. $696,878,981
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.630%
(Cost $267,641).................................................... 267,641 267,641
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $588,525,517)............................................. $697,146,622
============
Summary of the Fund's investments as of April 30, 2018, 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. $696,878,981 -- -- $696,878,981
Temporary Cash Investments...... 267,641 -- -- 267,641
------------ -- -- ------------
TOTAL........................... $697,146,622 -- -- $697,146,622
============ == == ============
89
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 7,965,673 $169,828,142
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 9,657,130 141,090,674
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 3,341,936 77,867,107
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $302,834,979)................................. $388,785,923
------------
At April 30, 2018, 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)
------------------ ----------------- ---------------------------- ---------- --------------
USD 233,488 SEK 1,954,643 Citibank, N.A. 05/08/18 $ 10,188
USD 398,244 CAD 501,217 Citibank, N.A. 05/08/18 7,819
USD 1,301,912 GBP 913,476 Citibank, N.A. 05/08/18 44,002
USD 1,970,466 JPY 211,355,752 Bank of America Corp. 05/08/18 36,363
USD 3,187,926 SEK 26,430,989 JP Morgan 05/08/18 168,426
USD 18,533,923 GBP 13,123,487 Citibank, N.A. 05/08/18 462,102
USD 29,525,807 JPY 3,132,921,419 UBS AG 05/08/18 856,641
USD 80,340 NOK 624,669 Citibank, N.A. 05/09/18 2,458
USD 86,787 NOK 692,455 Citibank, N.A. 05/09/18 453
USD 420,414 CHF 415,758 Citibank, N.A. 05/09/18 677
USD 1,046,008 NOK 8,181,694 State Street Bank and Trust 05/09/18 25,938
USD 6,661,380 CHF 6,369,092 Bank of America Corp. 05/09/18 231,331
USD 61,858 ILS 217,297 Citibank, N.A. 05/10/18 1,451
USD 728,076 ILS 2,563,589 Citibank, N.A. 05/10/18 15,417
USD 2,046,637 EUR 1,651,551 Bank of America Corp. 05/15/18 50,534
USD 34,667,677 EUR 27,982,255 State Street Bank and Trust 05/15/18 847,679
USD 13,422,250 HKD 105,226,612 Citibank, N.A. 05/16/18 10,184
USD 1,353,962 SGD 1,791,000 Citibank, N.A. 05/25/18 2,708
USD 2,213,095 DKK 13,506,000 Bank of America Corp. 05/25/18 20,379
----------
Total Appreciation $2,794,750
----------
USD $ 1,143,723 GBP 831,580 Citibank, N.A. 05/08/18 $ (1,612)
USD 6,483,307 CAD 8,365,463 State Street Bank and Trust 05/08/18 (33,018)
----------
Total (Depreciation) $ (34,630)
----------
Total Appreciation
(Depreciation) $2,760,120
==========
90
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index... 184 06/15/18 $25,147,330 $24,352,400 $(794,930)
----------- ----------- ----------
Total futures contracts.. $25,147,330 $24,352,400 $(794,930)
=========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2018, 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. $388,785,923 -- -- $388,785,923
Forward Currency Contracts**.... -- $2,760,120 -- 2,760,120
Futures Contracts**............. (794,930) -- -- (794,930)
------------ ---------- -- ------------
TOTAL........................... $387,990,993 $2,760,120 -- $390,751,113
============ ========== == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
91
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company.................... $6,290,336,232
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $6,290,336,232
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
92
EMERGING MARKETS SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company..................... $7,825,210,634
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.. $7,825,210,634
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
93
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund. $19,926,153,185
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $19,926,153,185
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
94
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.8%)
BRAZIL -- (5.6%)
Ambev SA ADR........................................ 14,628,396 $ 96,839,982 0.3%
Vale SA............................................. 17,379,974 241,460,192 0.8%
Other Securities.................................... 1,396,621,236 4.7%
-------------- -----
TOTAL BRAZIL............................................ 1,734,921,410 5.8%
-------------- -----
CHILE -- (1.3%)
Other Securities.................................... 412,363,932 1.4%
-------------- -----
CHINA -- (16.3%)
#* Alibaba Group Holding, Ltd. Sponsored ADR........... 1,332,164 237,844,561 0.8%
* Baidu, Inc. Sponsored ADR........................... 248,303 62,299,223 0.2%
China Construction Bank Corp. Class H............... 230,905,302 241,909,906 0.8%
China Mobile, Ltd................................... 10,380,500 98,889,723 0.3%
China Mobile, Ltd. Sponsored ADR.................... 1,997,961 94,823,229 0.3%
China Overseas Land & Investment, Ltd............... 18,064,033 60,525,918 0.2%
China Petroleum & Chemical Corp. Class H............ 65,522,400 63,809,567 0.2%
Geely Automobile Holdings, Ltd...................... 22,910,000 60,253,976 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 185,963,725 163,254,028 0.6%
NetEase, Inc. ADR................................... 260,601 66,992,699 0.2%
# Ping An Insurance Group Co. of China, Ltd. Class H.. 17,734,000 173,286,004 0.6%
Tencent Holdings, Ltd............................... 10,436,500 513,088,426 1.7%
Other Securities.................................... 3,206,963,120 10.9%
-------------- -----
TOTAL CHINA............................................. 5,043,940,380 17.0%
-------------- -----
COLOMBIA -- (0.4%)
Other Securities.................................... 113,440,751 0.4%
-------------- -----
CZECH REPUBLIC -- (0.1%)
Other Securities.................................... 43,658,908 0.2%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 16,915,595 0.1%
-------------- -----
GREECE -- (0.2%)
Other Securities.................................... 72,806,953 0.2%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 63,667 0.0%
-------------- -----
HUNGARY -- (0.4%)
Other Securities.................................... 116,149,022 0.4%
-------------- -----
INDIA -- (12.2%)
HDFC Bank, Ltd...................................... 2,994,559 86,934,726 0.3%
Housing Development Finance Corp., Ltd.............. 3,454,134 97,126,681 0.3%
Infosys, Ltd........................................ 6,276,859 112,537,944 0.4%
# Infosys, Ltd. Sponsored ADR......................... 3,708,004 65,520,431 0.2%
Reliance Industries, Ltd............................ 7,506,986 107,907,753 0.4%
Tata Consultancy Services, Ltd...................... 1,982,224 104,543,093 0.4%
Other Securities.................................... 3,191,696,637 10.7%
-------------- -----
TOTAL INDIA............................................. 3,766,267,265 12.7%
-------------- -----
95
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
INDONESIA -- (2.4%)
Bank Rakyat Indonesia Persero Tbk PT................... 287,069,600 $ 66,189,188 0.2%
Other Securities....................................... 680,239,249 2.3%
-------------- -----
TOTAL INDONESIA............................................ 746,428,437 2.5%
-------------- -----
MALAYSIA -- (3.0%)
Public Bank Bhd........................................ 11,077,811 67,031,488 0.2%
Other Securities....................................... 864,247,503 2.9%
-------------- -----
TOTAL MALAYSIA............................................. 931,278,991 3.1%
-------------- -----
MEXICO -- (3.0%)
# America Movil S.A.B. de C.V. Series L ADR.............. 3,833,735 70,885,760 0.3%
Grupo Mexico S.A.B. de C.V. Series B................... 23,616,486 78,191,044 0.3%
Other Securities....................................... 784,539,529 2.5%
-------------- -----
TOTAL MEXICO............................................... 933,616,333 3.1%
-------------- -----
PERU -- (0.1%)
Other Securities....................................... 39,875,755 0.1%
-------------- -----
PHILIPPINES -- (1.1%)
Other Securities....................................... 328,294,418 1.1%
-------------- -----
POLAND -- (1.4%)
Other Securities....................................... 429,669,059 1.5%
-------------- -----
RUSSIA -- (1.2%)
Sberbank of Russia PJSC Sponsored ADR.................. 4,081,901 60,356,021 0.2%
Other Securities....................................... 304,457,689 1.0%
-------------- -----
TOTAL RUSSIA............................................... 364,813,710 1.2%
-------------- -----
SOUTH AFRICA -- (7.4%)
Barclays Africa Group, Ltd............................. 5,592,618 81,916,609 0.3%
Bidvest Group, Ltd. (The).............................. 3,138,801 61,486,417 0.2%
FirstRand, Ltd......................................... 23,983,632 128,444,985 0.4%
MTN Group, Ltd......................................... 12,034,830 120,789,886 0.4%
Naspers, Ltd. Class N.................................. 577,437 140,674,933 0.5%
Sasol, Ltd............................................. 2,004,055 71,639,674 0.3%
Shoprite Holdings, Ltd................................. 3,413,393 67,912,216 0.2%
# Standard Bank Group, Ltd............................... 8,348,277 143,177,844 0.5%
Other Securities....................................... 1,451,773,804 4.8%
-------------- -----
TOTAL SOUTH AFRICA......................................... 2,267,816,368 7.6%
-------------- -----
SOUTH KOREA -- (17.3%)
LG Chem, Ltd........................................... 230,246 77,069,944 0.3%
# LG Electronics, Inc.................................... 892,670 84,641,890 0.3%
# Lotte Chemical Corp.................................... 154,753 59,591,788 0.2%
Samsung Electronics Co., Ltd........................... 482,484 1,195,595,273 4.0%
SK Holdings Co., Ltd................................... 261,617 71,612,157 0.3%
# SK Hynix, Inc.......................................... 3,141,984 247,098,130 0.9%
Other Securities....................................... 3,589,018,432 11.9%
-------------- -----
TOTAL SOUTH KOREA.......................................... 5,324,627,614 17.9%
-------------- -----
TAIWAN -- (14.7%)
ASE Industrial Holdings Co., Ltd....................... 22,471,387 60,989,045 0.2%
Hon Hai Precision Industry Co., Ltd.................... 55,950,504 155,619,704 0.5%
Taiwan Semiconductor Manufacturing Co., Ltd............ 41,147,652 313,435,568 1.1%
# Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 10,645,186 409,307,402 1.4%
96
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (Continued)
Uni-President Enterprises Corp.. 26,707,734 $ 64,276,545 0.2%
# United Microelectronics Corp.... 124,264,441 67,012,321 0.2%
Other Securities................ 3,458,472,518 11.6%
--------------- ------
TOTAL TAIWAN.......................... 4,529,113,103 15.2%
--------------- ------
THAILAND -- (3.3%)
PTT PCL......................... 72,022,800 128,938,156 0.5%
Other Securities................ 876,184,309 2.9%
--------------- ------
TOTAL THAILAND........................ 1,005,122,465 3.4%
--------------- ------
TURKEY -- (1.3%)
Other Securities................ 403,271,923 1.4%
--------------- ------
TOTAL COMMON STOCKS................... 28,624,456,059 96.3%
--------------- ------
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA............... 6,392,532 63,082,277 0.2%
Banco Bradesco SA ADR........... 10,092,312 98,904,657 0.3%
Itau Unibanco Holding SA........ 11,379,145 165,691,421 0.6%
Itau Unibanco Holding SA ADR.... 6,510,406 94,596,199 0.3%
Other Securities................ 289,923,116 1.0%
--------------- ------
TOTAL BRAZIL.......................... 712,197,670 2.4%
--------------- ------
CHILE -- (0.0%)
Other Securities................ 6,877,903 0.0%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities................ 21,322,666 0.1%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 337,188 0.0%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 802,506 0.0%
--------------- ------
TOTAL PREFERRED STOCKS................ 741,537,933 2.5%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities................ 785,720 0.0%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 247,097 0.0%
--------------- ------
TAIWAN -- (0.0%)
Other Securities................ 10,287 0.0%
--------------- ------
THAILAND -- (0.0%)
Other Securities................ 113,815 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................. 1,156,919 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES........... 29,367,150,911
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (4.8%)
(S)@ DFA Short Term Investment Fund.. 128,046,537 1,481,498,432 5.0%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $24,421,259,111)............ $30,848,649,343 103.8%
=============== ======
97
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, 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 06/15/18 $ 39,377,522 $ 37,446,500 $(1,931,022)
S&P 500(R) Emini Index......... 1,590 06/15/18 218,065,219 210,436,500 (7,628,719)
------------ ------------ -----------
Total futures contracts........ $257,442,741 $247,883,000 $(9,559,741)
============ ============ ===========
Summary of the Portfolio's investments as of April 30, 2018, 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...................... $1,734,921,410 -- -- $ 1,734,921,410
Chile....................... 127,748,697 $ 284,615,235 -- 412,363,932
China....................... 834,923,624 4,209,016,756 -- 5,043,940,380
Colombia.................... 113,440,751 -- -- 113,440,751
Czech Republic.............. -- 43,658,908 -- 43,658,908
Egypt....................... 1,201,603 15,713,992 -- 16,915,595
Greece...................... -- 72,806,953 -- 72,806,953
Hong Kong................... 63,667 -- -- 63,667
Hungary..................... 313,544 115,835,478 -- 116,149,022
India....................... 118,552,523 3,647,714,742 -- 3,766,267,265
Indonesia................... 25,573,480 720,854,957 -- 746,428,437
Malaysia.................... -- 931,278,991 -- 931,278,991
Mexico...................... 933,581,144 35,189 -- 933,616,333
Peru........................ 39,874,052 1,703 -- 39,875,755
Philippines................. 6,148,881 322,145,537 -- 328,294,418
Poland...................... -- 429,669,059 -- 429,669,059
Russia...................... 67,008,973 297,804,737 -- 364,813,710
South Africa................ 127,894,141 2,139,922,227 -- 2,267,816,368
South Korea................. 112,709,338 5,211,918,276 -- 5,324,627,614
Taiwan...................... 499,048,365 4,030,064,738 -- 4,529,113,103
Thailand.................... 1,004,807,641 314,824 -- 1,005,122,465
Turkey...................... 2,521,709 400,750,214 -- 403,271,923
Preferred Stocks
Brazil...................... 712,197,670 -- -- 712,197,670
Chile....................... -- 6,877,903 -- 6,877,903
Colombia.................... 21,322,666 -- -- 21,322,666
Malaysia.................... 337,188 -- -- 337,188
South Korea................. 802,506 -- -- 802,506
Rights/Warrants
Indonesia................... -- 785,720 -- 785,720
Malaysia.................... -- 247,097 -- 247,097
Taiwan...................... -- 10,287 -- 10,287
Thailand.................... -- 113,815 -- 113,815
Securities Lending Collateral. -- 1,481,498,432 -- 1,481,498,432
Futures Contracts**........... (9,559,741) -- -- (9,559,741)
-------------- --------------- -- ---------------
TOTAL......................... $6,475,433,832 $24,363,655,770 -- $30,839,089,602
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Enhanced U.S.
Large U.S. Large Cap
Company Equity U.S. Large Cap U.S. Targeted
Portfolio Portfolio* Value Portfolio Value Portfolio*
-------------- -------------- --------------- ----------------
ASSETS:
Investments in Affiliated Investment
Company at Value....................... -- -- $ 24,839,634 --
Investments at Value (including
$13,344, $46,513, $0 and $2,271,688 of
securities on loan, respectively)...... $ 333,535 $ 1,374,454 -- $ 10,778,729
Temporary Cash Investments at Value &
Cost................................... -- 2,653 -- 109,733
Collateral from Securities on Loan
Invested in Affiliate at Value
(including cost of $13,667, $39,284,
$0 and $1,553,156)..................... 13,668 39,285 -- 1,553,186
Segregated Cash for Futures Contracts... -- -- -- 3,625
Foreign Currencies at Value............. -- -- -- 114
Cash.................................... 2,049 -- -- --
Receivables:
Investment Securities/Affiliated
Investment Company Sold.............. 802 -- -- 8,732
Dividends, Interest and Tax Reclaims... 2,275 1,157 -- 3,092
Securities Lending Income.............. 2 20 -- 745
Fund Shares Sold....................... 614 1,676 18,353 6,848
Unrealized Gain on Forward Currency
Contracts.............................. 899 -- -- --
Prepaid Expenses and Other Assets....... 20 26 143 94
-------------- -------------- -------------- --------------
Total Assets........................ 353,864 1,419,271 24,858,130 12,464,898
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....... 13,667 39,288 -- 1,553,309
Investment Securities/Affiliated
Investment Company Purchased......... -- 858 -- 28,836
Fund Shares Redeemed................... 126 320 11,562 10,590
Due to Advisor......................... 33 170 3,080 3,145
Futures Margin Variation............... 3,113 -- -- 763
Unrealized Loss on Forward Currency
Contracts.............................. 3 -- -- --
Accrued Expenses and Other Liabilities.. 34 62 730 604
-------------- -------------- -------------- --------------
Total Liabilities................... 16,976 40,698 15,372 1,597,247
-------------- -------------- -------------- --------------
NET ASSETS.............................. $ 336,888 $ 1,378,573 $ 24,842,758 $ 10,867,651
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Class R1 Shares -- based on net assets
of $0; $0; $0 and $54,383 and shares
outstanding of 0; 0; 0 and 2,216,810,
respectively........................... N/A N/A N/A $ 24.53
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED............. N/A N/A N/A 200,000,000
============== ============== ============== ==============
Class R2 Shares -- based on net assets
of $0; $0; $0 and $162,517 and shares
outstanding of 0; 0; 0 and
6,659,347, respectively................ N/A N/A N/A $ 24.40
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED............. N/A N/A N/A 200,000,000
============== ============== ============== ==============
Institutional Class Shares -- based on
net assets of $336,888; $1,378,573;
$24,842,758 and $10,650,751 and shares
outstanding of 26,415,122; 83,502,723;
652,299,557 and 433,977,742,
respectively........................... $ 12.75 $ 16.51 $ 38.08 $ 24.54
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED............. 1,000,000,000 1,000,000,000 4,000,000,000 1,500,000,000
============== ============== ============== ==============
Investments at Cost..................... $ 337,987 $ 1,083,086 N/A $ 8,696,593
============== ============== ============== ==============
Foreign Currencies at Cost.............. $ -- $ -- $ -- $ 117
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital......................... $ 330,109 $ 1,092,971 $ 16,933,003 $ 8,455,102
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)..................... 911 1,949 53,279 6,449
Accumulated Net Realized Gain (Loss).... 16,832 (7,716) 490,761 326,736
Net Unrealized Foreign Exchange Gain
(Loss)................................. 891 -- -- --
Net Unrealized Appreciation
(Depreciation)......................... (11,855) 291,369 7,365,715 2,079,364
-------------- -------------- -------------- --------------
NET ASSETS.............................. $ 336,888 $ 1,378,573 $ 24,842,758 $ 10,867,651
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector
U.S. Small Cap Equity 1 Equity 2 Equity
Value Portfolio* Portfolio* Portfolio* Portfolio*
---------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $2,971,663,
$2,647,129, $2,943,460 and $802,757 of securities
on loan, respectively).............................. $ 15,061,472 $ 22,046,506 $ 23,847,757 $ 4,712,091
Temporary Cash Investments at Value & Cost........... 134,661 237,183 235,937 42,523
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $2,037,398,
$1,583,470, $1,845,897 and $508,786)................ 2,037,438 1,583,500 1,845,924 508,794
Segregated Cash for Futures Contracts................ 5,133 8,323 9,019 --
Foreign Currencies at Value.......................... 90 25 44 18
Cash................................................. -- -- -- 2,310
Receivables:
Investment Securities Sold......................... 24,124 487 6,276 251
Dividends and Interest............................. 3,527 15,735 16,880 2,787
Securities Lending Income.......................... 873 828 929 254
Fund Shares Sold................................... 14,118 23,794 13,059 2,931
Prepaid Expenses and Other Assets.................... 139 191 242 53
-------------- -------------- -------------- --------------
Total Assets.................................... 17,281,575 23,916,572 25,976,067 5,272,012
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 2,037,485 1,583,611 1,845,999 508,823
Investment Securities Purchased.................... 21,060 30,559 24,691 7,695
Fund Shares Redeemed............................... 7,935 7,779 9,394 2,710
Due to Advisor..................................... 6,269 3,119 3,977 1,180
Futures Margin Variation........................... 1,080 1,751 1,897 1,060
Accrued Expenses and Other Liabilities............... 967 945 1,172 291
-------------- -------------- -------------- --------------
Total Liabilities............................... 2,074,796 1,627,764 1,887,130 521,759
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 15,206,779 $ 22,288,808 $ 24,088,937 $ 4,750,253
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$15,206,779; $22,288,808; $24,088,937 and
$4,750,253 and shares outstanding of
405,319,759; 984,350,731; 1,130,060,587 and
250,967,407, respectively........................... $ 37.52 $ 22.64 $ 21.32 $ 18.93
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 3,400,000,000 3,000,000,000 4,600,000,000 2,000,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 11,262,607 $ 14,479,595 $ 15,459,295 $ 3,142,485
============== ============== ============== ==============
Foreign Currencies at Cost........................... $ 92 $ 26 $ 45 $ 19
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 10,769,616 $ 14,585,766 $ 15,491,424 $ 3,035,527
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 5,682 27,919 30,938 4,730
Accumulated Net Realized Gain (Loss)................. 636,540 113,954 184,461 141,433
Net Unrealized Appreciation (Depreciation)........... 3,794,941 7,561,169 8,382,114 1,568,563
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 15,206,779 $ 22,288,808 $ 24,088,937 $ 4,750,253
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(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 $4,559,007,
$1,282,270, $12,936, $793,444 and $483,880 of
securities on loan, respectively)....................... $ 17,305,922 $ 6,390,412 $ 376,027 $ 8,204,850
Temporary Cash Investments at Value & Cost............... 169,290 68,450 2,636 76,304
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $3,123,478, $952,845,
$11,042, $590,266 and $456,114)......................... 3,123,516 952,862 11,042 590,272
Segregated Cash for Futures Contracts.................... 6,455 2,558 -- 3,062
Foreign Currencies at Value.............................. 62 41 -- --
Cash..................................................... -- -- -- --
Receivables:
Investment Securities Sold............................. 27,528 9,770 39 --
Dividends, Interest and Tax Reclaims................... 3,853 1,853 358 6,360
Securities Lending Income.............................. 1,561 558 6 140
Fund Shares Sold....................................... 78,129 3,075 2,963 122,143
Deferred Offering Costs.................................. -- -- 2 --
Prepaid Expenses and Other Assets........................ 120 61 79 79
-------------- -------------- ------------ --------------
Total Assets......................................... 20,716,436 7,429,640 393,152 9,003,210
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 3,123,859 952,896 11,045 590,383
Investment Securities Purchased........................ 55,225 13,405 2,346 11,434
Fund Shares Redeemed................................... 6,919 2,173 312 10,583
Due to Advisor......................................... 5,055 2,676 53 1,080
Futures Margin Variation............................... 1,358 538 -- 644
Unrealized Loss on Foreign Currency Contracts............ -- -- -- --
Accrued Expenses and Other Liabilities................... 871 424 13 493
-------------- -------------- ------------ --------------
Total Liabilities.................................... 3,193,287 972,112 13,769 614,617
-------------- -------------- ------------ --------------
NET ASSETS............................................... $ 17,523,149 $ 6,457,528 $ 379,383 $ 8,388,593
============== ============== ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$17,523,149; $6,457,528; $379,383; $8,388,593 and
$4,985,826 and shares outstanding of 491,972,850;
293,041,638; 32,693,326; 255,816,678 and
207,506,655, respectively............................... $ 35.62 $ 22.04 $ 11.60 $ 32.79
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED.............................. 2,000,000,000 3,000,000,000 500,000,000 1,700,000,000
============== ============== ============ ==============
Investments at Cost...................................... $ 13,061,586 $ 4,114,069 $ 362,675 $ 6,422,634
============== ============== ============ ==============
Foreign Currencies at Cost............................... $ 64 $ 42 $ -- $ --
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 12,868,213 $ 3,978,224 $ 365,762 $ 6,648,088
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 9,380 2,513 445 46,682
Accumulated Net Realized Gain (Loss)..................... 404,975 201,285 (176) (86,019)
Net Unrealized Foreign Exchange Gain (Loss).............. -- -- -- --
Net Unrealized Appreciation (Depreciation)............... 4,240,581 2,275,506 13,352 1,779,842
-------------- -------------- ------------ --------------
NET ASSETS............................................... $ 17,523,149 $ 6,457,528 $ 379,383 $ 8,388,593
============== ============== ============ ==============
Large Cap
International
Portfolio*
--------------
ASSETS:
Investments at Value (including $4,559,007,
$1,282,270, $12,936, $793,444 and $483,880 of
securities on loan, respectively)....................... $ 4,904,107
Temporary Cash Investments at Value & Cost............... --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $3,123,478, $952,845,
$11,042, $590,266 and $456,114)......................... 456,108
Segregated Cash for Futures Contracts.................... 1,711
Foreign Currencies at Value.............................. 14,535
Cash..................................................... 43,039
Receivables:
Investment Securities Sold............................. 9,020
Dividends, Interest and Tax Reclaims................... 23,646
Securities Lending Income.............................. 512
Fund Shares Sold....................................... 3,602
Deferred Offering Costs.................................. --
Prepaid Expenses and Other Assets........................ 40
--------------
Total Assets......................................... 5,456,320
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 456,108
Investment Securities Purchased........................ 11,454
Fund Shares Redeemed................................... 1,347
Due to Advisor......................................... 813
Futures Margin Variation............................... 315
Unrealized Loss on Foreign Currency Contracts............ 3
Accrued Expenses and Other Liabilities................... 454
--------------
Total Liabilities.................................... 470,494
--------------
NET ASSETS............................................... $ 4,985,826
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$17,523,149; $6,457,528; $379,383; $8,388,593 and
$4,985,826 and shares outstanding of 491,972,850;
293,041,638; 32,693,326; 255,816,678 and
207,506,655, respectively............................... $ 24.03
==============
NUMBER OF SHARES AUTHORIZED.............................. 1,500,000,000
==============
Investments at Cost...................................... $ 3,978,740
==============
Foreign Currencies at Cost............................... $ 14,781
==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 4,073,459
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 34,034
Accumulated Net Realized Gain (Loss)..................... (45,387)
Net Unrealized Foreign Exchange Gain (Loss).............. (377)
Net Unrealized Appreciation (Depreciation)............... 924,097
--------------
NET ASSETS............................................... $ 4,985,826
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(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................................................... -- $ 14,200,317 $ 25,568 $ 715,032
Investments at Value (including $2,855,742, $0, $0,
$0 and $0 of securities on loan, respectively).......... $ 28,567,295 -- -- --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $2,698,580, $0, $0, $0
and $0)................................................. 2,698,603 -- -- --
Segregated Cash for Futures Contracts.................... 10,788 5,336 -- --
Foreign Currencies at Value.............................. 25,387 -- -- --
Cash..................................................... 329,995 122,869 151 --
Receivables:
Investment Securities Sold............................. 27,825 -- -- --
Dividends, Interest and Tax Reclaims................... 138,054 -- -- --
Securities Lending Income.............................. 4,825 -- -- --
Fund Shares Sold....................................... 20,475 8,397 76 50
Unrealized Gain on Foreign Currency Contracts............ 10 -- -- --
Prepaid Expenses and Other Assets........................ 335 77 15 15
-------------- -------------- ------------ --------------
Total Assets......................................... 31,823,592 14,336,996 25,810 715,097
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 2,698,677 -- -- --
Investment Securities Purchased........................ 82,523 -- 108 --
Fund Shares Redeemed................................... 16,177 5,512 -- 8
Due to Advisor......................................... 6,489 4,721 2 235
Futures Margin Variation............................... 2,269 1,122 -- --
Unrealized Loss on Foreign Currency Contracts............ 21 -- -- --
Accrued Expenses and Other Liabilities................... 2,098 505 4 18
-------------- -------------- ------------ --------------
Total Liabilities.................................... 2,808,254 11,860 114 261
-------------- -------------- ------------ --------------
NET ASSETS............................................... $ 29,015,338 $ 14,325,136 $ 25,696 $ 714,836
============== ============== ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$29,015,338; $14,325,136; $25,696; $714,836 and
$372,669 and shares outstanding of 1,985,487,769;
670,483,485; 2,201,400; 24,169,292 and
15,772,002, respectively................................ $ 14.61 $ 21.37 $ 11.67 $ 29.58
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED.............................. 7,000,000,000 3,000,000,000 100,000,000 1,000,000,000
============== ============== ============ ==============
Investments in Affiliated Investment Companies at
Cost.................................................... N/A N/A $ 24,410 N/A
============== ============== ============ ==============
Investments at Cost...................................... $ 23,236,496 N/A N/A N/A
============== ============== ============ ==============
Foreign Currencies at Cost............................... $ 25,424 $ -- $ -- $ --
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 23,766,903 $ 11,121,777 $ 24,038 $ 526,431
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 173,702 (29,089) 42 (8,691)
Accumulated Net Realized Gain (Loss)..................... (247,970) 294,894 459 10,770
Net Unrealized Foreign Exchange Gain (Loss).............. (2,521) (1,592) (1) (184)
Net Unrealized Appreciation (Depreciation)............... 5,325,224 2,939,146 1,158 186,510
-------------- -------------- ------------ --------------
NET ASSETS............................................... $ 29,015,338 $ 14,325,136 $ 25,696 $ 714,836
============== ============== ============ ==============
Asia Pacific
Small
Company
Portfolio
--------------
ASSETS:
Investments in Affiliated Investment Companies at
Value................................................... $ 372,786
Investments at Value (including $2,855,742, $0, $0,
$0 and $0 of securities on loan, respectively).......... --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $2,698,580, $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....................................... 15
Unrealized Gain on Foreign Currency Contracts............ --
Prepaid Expenses and Other Assets........................ 12
--------------
Total Assets......................................... 372,813
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... --
Investment Securities Purchased........................ --
Fund Shares Redeemed................................... 11
Due to Advisor......................................... 123
Futures Margin Variation............................... --
Unrealized Loss on Foreign Currency Contracts............ --
Accrued Expenses and Other Liabilities................... 10
--------------
Total Liabilities.................................... 144
--------------
NET ASSETS............................................... $ 372,669
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$29,015,338; $14,325,136; $25,696; $714,836 and
$372,669 and shares outstanding of 1,985,487,769;
670,483,485; 2,201,400; 24,169,292 and
15,772,002, respectively................................ $ 23.63
==============
NUMBER OF SHARES AUTHORIZED.............................. 1,000,000,000
==============
Investments in Affiliated Investment Companies at
Cost.................................................... N/A
==============
Investments at Cost...................................... N/A
==============
Foreign Currencies at Cost............................... $ --
==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 363,709
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ (5,837)
Accumulated Net Realized Gain (Loss)..................... (4,049)
Net Unrealized Foreign Exchange Gain (Loss).............. (4)
Net Unrealized Appreciation (Depreciation)............... 18,850
--------------
NET ASSETS............................................... $ 372,669
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA
United Continental International DFA Global
Kingdom Small Small Real Estate Real Estate
Company Company Securities Securities
Portfolio Portfolio Portfolio* Portfolio*
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................... $ 42,909 $ 757,213 -- $ 3,976,094
Investments at Value (including $0, $0, $364,886,
$189,924 and $1,366,440 of securities on loan,
respectively)....................................... -- -- $ 5,689,486 3,160,950
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$354,482, $195,531 and $1,193,519).................. -- -- 354,483 195,540
Segregated Cash for Futures Contracts................ -- -- 2,146 --
Foreign Currencies at Value.......................... -- -- 24,546 --
Cash................................................. -- -- 40,468 8,041
Receivables:
Investment Securities/Affiliated Investment
Company Sold...................................... -- -- 2,322 --
Dividends, Interest and Tax Reclaims............... -- -- 28,214 2,554
Securities Lending Income.......................... -- -- 354 50
Fund Shares Sold................................... 31 10,274 14,909 7,310
Unrealized Gain on Foreign Currency Contracts........ -- -- 3 --
Prepaid Expenses and Other Assets.................... 11 21 57 98
-------------- -------------- -------------- --------------
Total Assets..................................... 42,951 767,508 6,156,988 7,350,637
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... -- -- 354,521 195,574
Investment Securities/Affiliated Investment
Company Purchased................................. -- -- -- 3,700
Fund Shares Redeemed............................... 4 2 2,597 5,493
Due to Advisor..................................... 15 250 1,183 528
Futures Margin Variation........................... -- -- 397 --
Unrealized Loss on Foreign Currency Contracts........ -- -- -- --
Accrued Expenses and Other Liabilities............... 4 12 469 226
-------------- -------------- -------------- --------------
Total Liabilities................................ 23 264 359,167 205,521
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 42,928 $ 767,244 $ 5,797,821 $ 7,145,116
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$42,928; $767,244; $5,797,821; $7,145,116 and
$16,241,192 and shares outstanding of
1,367,279; 26,571,452; 1,109,093,705;
679,696,180 and 709,371,328, respectively........... $ 31.40 $ 28.87 $ 5.23 $ 10.51
============== ============== ============== ==============
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................................................ N/A N/A $ -- $ 3,349,138
============== ============== ============== ==============
Investments at Cost.................................. N/A N/A $ 5,159,669 $ 3,238,884
============== ============== ============== ==============
Foreign Currencies at Cost........................... $ -- $ -- $ 24,960 $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 33,085 $ 614,773 $ 5,937,529 $ 6,616,063
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 45 5,013 (396,721) 43,116
Accumulated Net Realized Gain (Loss)................. 59 11,799 (272,808) (63,094)
Net Unrealized Foreign Exchange Gain (Loss).......... -- 63 (262) --
Net Unrealized Appreciation (Depreciation)........... 9,739 135,596 530,083 549,031
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 42,928 $ 767,244 $ 5,797,821 $ 7,145,116
============== ============== ============== ==============
DFA
International
Small Cap
Value Portfolio*
----------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................... --
Investments at Value (including $0, $0, $364,886,
$189,924 and $1,366,440 of securities on loan,
respectively)....................................... $ 15,877,592
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$354,482, $195,531 and $1,193,519).................. 1,193,530
Segregated Cash for Futures Contracts................ 6,044
Foreign Currencies at Value.......................... 84,559
Cash................................................. 95,517
Receivables:
Investment Securities/Affiliated Investment
Company Sold...................................... 139,154
Dividends, Interest and Tax Reclaims............... 93,251
Securities Lending Income.......................... 3,022
Fund Shares Sold................................... 9,717
Unrealized Gain on Foreign Currency Contracts........ 1
Prepaid Expenses and Other Assets.................... 137
--------------
Total Assets..................................... 17,502,524
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 1,193,550
Investment Securities/Affiliated Investment
Company Purchased................................. 50,164
Fund Shares Redeemed............................... 5,883
Due to Advisor..................................... 8,652
Futures Margin Variation........................... 1,271
Unrealized Loss on Foreign Currency Contracts........ 1
Accrued Expenses and Other Liabilities............... 1,811
--------------
Total Liabilities................................ 1,261,332
--------------
NET ASSETS........................................... $ 16,241,192
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$42,928; $767,244; $5,797,821; $7,145,116 and
$16,241,192 and shares outstanding of
1,367,279; 26,571,452; 1,109,093,705;
679,696,180 and 709,371,328, respectively........... $ 22.90
==============
NUMBER OF SHARES AUTHORIZED.......................... 4,600,000,000
==============
Investments in Affiliated Investment Companies at
Cost................................................ $ --
==============
Investments at Cost.................................. $ 12,682,554
==============
Foreign Currencies at Cost........................... $ 85,853
==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 12,430,241
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. (120,527)
Accumulated Net Realized Gain (Loss)................. 745,243
Net Unrealized Foreign Exchange Gain (Loss).......... (3,030)
Net Unrealized Appreciation (Depreciation)........... 3,189,265
--------------
NET ASSETS........................................... $ 16,241,192
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
International
International High Relative
Vector Equity Profitability World ex U.S.
Portfolio* Portfolio* Value Portfolio
-------------- ------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value............. -- -- $ 248,910
Investments at Value (including $259,380, $9,312, $0 and $12,037
of securities on loan, respectively)............................... $ 2,664,687 $ 180,486 --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $237,085, $9,369, $0 and $8,118)................ 237,087 9,370 --
Foreign Currencies at Value......................................... 3,264 305 --
Cash................................................................ 17,086 1,534 --
Receivables:
Investment Securities Sold........................................ 5,201 130 --
Dividends, Interest and Tax Reclaims.............................. 13,361 683 --
Securities Lending Income......................................... 505 4 --
Fund Shares Sold.................................................. 1,965 820 103
Unrealized Gain on Foreign Currency Contracts....................... 1 -- --
Deferred Offering Costs............................................. -- 2 --
Prepaid Expenses and Other Assets................................... 30 38 13
-------------- ------------ --------------
Total Assets.................................................... 2,943,187 193,372 249,026
-------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 237,091 9,370 --
Investment Securities Purchased................................... 5,009 1,646 --
Fund Shares Redeemed.............................................. 1,028 58 66
Due to Advisor.................................................... 993 38 69
Line of Credit.................................................... -- -- 18
Futures Margin Variation.......................................... 68 -- --
Unrealized Loss on Foreign Currency Contracts....................... 1 -- --
Accrued Expenses and Other Liabilities.............................. 259 32 5
-------------- ------------ --------------
Total Liabilities............................................... 244,449 11,144 158
-------------- ------------ --------------
NET ASSETS.......................................................... $ 2,698,738 $ 182,228 $ 248,868
============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of $2,698,738;
$182,228; $248,868 and $527,259 and shares outstanding of
197,969,384; 16,744,402; 18,918,396 and 34,612,068,
respectively....................................................... $ 13.63 $ 10.88 $ 13.15
============== ============ ==============
NUMBER OF SHARES AUTHORIZED......................................... 1,500,000,000 500,000,000 1,000,000,000
============== ============ ==============
Investments in Affiliated Investment Companies at Cost.............. $ -- $ -- $ 203,584
============== ============ ==============
Investments at Cost................................................. $ 2,096,284 $ 176,387 N/A
============== ============ ==============
Foreign Currencies at Cost.......................................... $ 3,290 $ 309 $ --
============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 2,076,142 $ 177,342 $ 197,871
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 5,525 1,021 1,383
Accumulated Net Realized Gain (Loss)................................ 49,041 (219) 4,338
Net Unrealized Foreign Exchange Gain (Loss)......................... (281) (12) (50)
Net Unrealized Appreciation (Depreciation).......................... 568,311 4,096 45,326
-------------- ------------ --------------
NET ASSETS.......................................................... $ 2,698,738 $ 182,228 $ 248,868
============== ============ ==============
World ex U.S.
Targeted Value
Portfolio*
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value............. --
Investments at Value (including $259,380, $9,312, $0 and $12,037
of securities on loan, respectively)............................... $ 522,149
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $237,085, $9,369, $0 and $8,118)................ 8,118
Foreign Currencies at Value......................................... 2,664
Cash................................................................ 1,161
Receivables:
Investment Securities Sold........................................ 1,849
Dividends, Interest and Tax Reclaims.............................. 2,146
Securities Lending Income......................................... 48
Fund Shares Sold.................................................. 300
Unrealized Gain on Foreign Currency Contracts....................... --
Deferred Offering Costs............................................. --
Prepaid Expenses and Other Assets................................... 21
--------------
Total Assets.................................................... 538,456
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 8,119
Investment Securities Purchased................................... 2,632
Fund Shares Redeemed.............................................. 81
Due to Advisor.................................................... 253
Line of Credit.................................................... --
Futures Margin Variation.......................................... --
Unrealized Loss on Foreign Currency Contracts....................... --
Accrued Expenses and Other Liabilities.............................. 112
--------------
Total Liabilities............................................... 11,197
--------------
NET ASSETS.......................................................... $ 527,259
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of $2,698,738;
$182,228; $248,868 and $527,259 and shares outstanding of
197,969,384; 16,744,402; 18,918,396 and 34,612,068,
respectively....................................................... $ 15.23
==============
NUMBER OF SHARES AUTHORIZED......................................... 1,000,000,000
==============
Investments in Affiliated Investment Companies at Cost.............. $ --
==============
Investments at Cost................................................. $ 450,294
==============
Foreign Currencies at Cost.......................................... $ 2,690
==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 433,014
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 2,605
Accumulated Net Realized Gain (Loss)................................ 19,865
Net Unrealized Foreign Exchange Gain (Loss)......................... (54)
Net Unrealized Appreciation (Depreciation).......................... 71,829
--------------
NET ASSETS.......................................................... $ 527,259
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Selectively
World ex U.S. World Core Hedged Global
Core Equity Equity Equity
Portfolio* Portfolio Portfolio
-------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value........... -- $ 696,879 $ 388,786
Investments at Value (including $275,673, $0, $0 and $0 of
securities on loan, respectively)................................ $ 3,228,608 -- --
Temporary Cash Investments at Value & Cost........................ -- 268 --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $234,933, $0, $0 and $0)...................... 234,936 -- --
Segregated Cash for Futures Contracts............................. -- -- 1,067
Foreign Currencies at Value....................................... 5,637 -- --
Cash.............................................................. 9,588 -- 21,725
Receivables:
Investment Securities/Affiliated Investment Companies Sold...... 2,951 -- --
Dividends, Interest and Tax Reclaims............................ 12,063 1 --
Securities Lending Income....................................... 531 -- --
Fund Shares Sold................................................ 2,494 358 458
Unrealized Gain on Forward Currency Contracts..................... -- -- 2,795
Unrealized Gain on Foreign Currency Contracts..................... 1 -- --
Prepaid Expenses and Other Assets................................. 61 27 15
-------------- -------------- --------------
Total Assets.................................................. 3,496,870 697,533 414,846
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 234,949 -- --
Investment Securities/Affiliated Investment Companies
Purchased...................................................... 3,756 33 259
Fund Shares Redeemed............................................ 2,991 51 134
Due to Advisor.................................................. 933 37 13
Futures Margin Variation........................................ -- -- 224
Unrealized Loss on Forward Currency Contracts..................... -- -- 35
Unrealized Loss on Foreign Currency Contracts..................... 3 -- --
Accrued Expenses and Other Liabilities............................ 532 10 10
-------------- -------------- --------------
Total Liabilities............................................. 243,164 131 675
-------------- -------------- --------------
NET ASSETS........................................................ $ 3,253,706 $ 697,402 $ 414,171
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of $3,253,706;
$697,402; $414,171 and $6,262,102 and shares outstanding of
259,188,664; 42,110,941; 24,926,634 and 204,430,684,
respectively..................................................... $ 12.55 $ 16.56 $ 16.62
============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................................... 1,500,000,000 1,000,000,000 1,000,000,000
============== ============== ==============
Investments in Affiliated Investment Companies at Cost............ $ -- $ 588,258 $ 302,835
============== ============== ==============
Investments at Cost............................................... $ 2,723,448 $ -- $ --
============== ============== ==============
Foreign Currencies at Cost........................................ $ 5,680 $ -- $ --
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 2,727,738 $ 588,132 $ 327,560
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)........................................... 14,559 (34) (1,066)
Accumulated Net Realized Gain (Loss).............................. 6,527 683 (249)
Net Unrealized Foreign Exchange Gain (Loss)....................... (238) -- 2,760
Net Unrealized Appreciation (Depreciation)........................ 505,120 108,621 85,166
-------------- -------------- --------------
NET ASSETS........................................................ $ 3,253,706 $ 697,402 $ 414,171
============== ============== ==============
Emerging
Markets
Portfolio
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value........... $ 6,290,336
Investments at Value (including $275,673, $0, $0 and $0 of
securities on loan, respectively)................................ --
Temporary Cash Investments at Value & Cost........................ --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $234,933, $0, $0 and $0)...................... --
Segregated Cash for Futures Contracts............................. --
Foreign Currencies at Value....................................... --
Cash.............................................................. --
Receivables:
Investment Securities/Affiliated Investment Companies Sold...... --
Dividends, Interest and Tax Reclaims............................ --
Securities Lending Income....................................... --
Fund Shares Sold................................................ 6,932
Unrealized Gain on Forward Currency Contracts..................... --
Unrealized Gain on Foreign Currency Contracts..................... --
Prepaid Expenses and Other Assets................................. 48
--------------
Total Assets.................................................. 6,297,316
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ --
Investment Securities/Affiliated Investment Companies
Purchased...................................................... --
Fund Shares Redeemed............................................ 33,325
Due to Advisor.................................................. 1,659
Futures Margin Variation........................................ --
Unrealized Loss on Forward Currency Contracts..................... --
Unrealized Loss on Foreign Currency Contracts..................... --
Accrued Expenses and Other Liabilities............................ 230
--------------
Total Liabilities............................................. 35,214
--------------
NET ASSETS........................................................ $ 6,262,102
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of $3,253,706;
$697,402; $414,171 and $6,262,102 and shares outstanding of
259,188,664; 42,110,941; 24,926,634 and 204,430,684,
respectively..................................................... $ 30.63
==============
NUMBER OF SHARES AUTHORIZED....................................... 1,500,000,000
==============
Investments in Affiliated Investment Companies at Cost............ N/A
==============
Investments at Cost............................................... N/A
==============
Foreign Currencies at Cost........................................ $ --
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 4,086,213
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)........................................... 3,312
Accumulated Net Realized Gain (Loss).............................. (137,689)
Net Unrealized Foreign Exchange Gain (Loss)....................... (54)
Net Unrealized Appreciation (Depreciation)........................ 2,310,320
--------------
NET ASSETS........................................................ $ 6,262,102
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Emerging Emerging
Markets Small Markets Value
Cap Portfolio Portfolio
-------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value........................... $ 7,825,211 $ 19,926,153
Investments at Value (including $0, $0 and $2,428,598 of securities on loan,
respectively).................................................................... -- --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost
of $0, $0 and $1,481,465)........................................................ -- --
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................................................................ 15,463 4,552
Unrealized Gain on Foreign Currency Contracts..................................... -- --
Prepaid Expenses and Other Assets................................................. 51 73
-------------- --------------
Total Assets................................................................. 7,840,725 19,930,778
-------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................ -- --
Investment Securities Purchased................................................. -- --
Fund Shares Redeemed............................................................ 1,507 82,819
Due to Advisor.................................................................. 2,917 6,591
Futures Margin Variation........................................................ -- --
Accrued Expenses and Other Liabilities............................................ 191 741
-------------- --------------
Total Liabilities............................................................ 4,615 90,151
-------------- --------------
NET ASSETS........................................................................ $ 7,836,110 $ 19,840,627
============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $29,362 and $0 and shares
outstanding of 0; 923,044 and 0, respectively.................................... N/A $ 31.81
============== ==============
NUMBER OF SHARES AUTHORIZED....................................................... N/A 200,000,000
============== ==============
Institutional Class Shares -- based on net assets of $7,836,110; $19,811,265
and $29,708,499 and shares outstanding of 326,868,247; 618,322,616 and
1,275,092,734, respectively...................................................... $ 23.97 $ 32.04
============== ==============
NUMBER OF SHARES AUTHORIZED....................................................... 1,500,000,000 3,000,000,000
============== ==============
Investments at Cost............................................................... N/A N/A
============== ==============
Foreign Currencies at Cost........................................................ $ -- $ --
============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................... $ 6,385,914 $ 17,416,333
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)............................................................... (43,421) (93,976)
Accumulated Net Realized Gain (Loss).............................................. 231,739 (1,040,575)
Net Unrealized Foreign Exchange Gain (Loss)....................................... (159) 62
Net Unrealized Appreciation (Depreciation)........................................ 1,262,037 3,558,783
-------------- --------------
NET ASSETS........................................................................ $ 7,836,110 $ 19,840,627
============== ==============
Emerging
Markets Core
Equity
Portfolio*
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value........................... --
Investments at Value (including $0, $0 and $2,428,598 of securities on loan,
respectively).................................................................... $ 29,367,151
Collateral from Securities on Loan Invested in Affiliate at Value (including cost
of $0, $0 and $1,481,465)........................................................ 1,481,498
Segregated Cash for Futures Contracts............................................. 10,912
Foreign Currencies at Value....................................................... 159,401
Cash.............................................................................. 167,963
Receivables:
Investment Securities Sold...................................................... 6,819
Dividends, Interest and Tax Reclaims............................................ 28,272
Securities Lending Income....................................................... 7,215
Fund Shares Sold................................................................ 26,809
Unrealized Gain on Foreign Currency Contracts..................................... 1
Prepaid Expenses and Other Assets................................................. 231
--------------
Total Assets................................................................. 31,256,272
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................ 1,481,586
Investment Securities Purchased................................................. 39,671
Fund Shares Redeemed............................................................ 7,250
Due to Advisor.................................................................. 11,529
Futures Margin Variation........................................................ 2,249
Accrued Expenses and Other Liabilities............................................ 5,488
--------------
Total Liabilities............................................................ 1,547,773
--------------
NET ASSETS........................................................................ $ 29,708,499
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $29,362 and $0 and shares
outstanding of 0; 923,044 and 0, respectively.................................... N/A
==============
NUMBER OF SHARES AUTHORIZED....................................................... N/A
==============
Institutional Class Shares -- based on net assets of $7,836,110; $19,811,265
and $29,708,499 and shares outstanding of 326,868,247; 618,322,616 and
1,275,092,734, respectively...................................................... $ 23.30
==============
NUMBER OF SHARES AUTHORIZED....................................................... 5,000,000,000
==============
Investments at Cost............................................................... $ 22,939,794
==============
Foreign Currencies at Cost........................................................ $ 159,963
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................... $ 24,005,758
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)............................................................... 32,981
Accumulated Net Realized Gain (Loss).............................................. (747,330)
Net Unrealized Foreign Exchange Gain (Loss)....................................... (274)
Net Unrealized Appreciation (Depreciation)........................................ 6,417,364
--------------
NET ASSETS........................................................................ $ 29,708,499
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
Enhanced
U.S. Large U.S. Large U.S. Large U.S. Targeted
Company Cap Equity Cap Value Value
Portfolio# Portfolio# Portfolio* Portfolio#
---------- ---------- ---------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment Company:
Dividends........................................................... -- -- $274,025 --
Interest............................................................ -- -- 1,488 --
Income from Securities Lending...................................... -- -- 1,051 --
Expenses Allocated from Affiliated Investment Company............... -- -- (13,541) --
-------- ------- -------- ---------
Total Net Investment Income Received from Affiliated Investment
Company........................................................... -- -- 263,023 --
-------- ------- -------- ---------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $45,
respectively)....................................................... -- $11,743 -- $ 76,711
Non Cash Income...................................................... -- -- -- 5,335
Interest............................................................. $ 3,423 -- -- --
Income from Securities Lending....................................... 8 100 -- 5,703
-------- ------- -------- ---------
Total Investment Income............................................ 3,431 11,843 -- 87,749
-------- ------- -------- ---------
Fund Expenses
Investment Management Fees........................................... 347 989 31,056 18,924
Accounting & Transfer Agent Fees..................................... 15 47 441 325
S&P 500(R) Fees...................................................... 4 -- -- --
Custodian Fees....................................................... 4 8 -- 67
Shareholder Servicing Fees
Class R1 Shares..................................................... -- -- -- 29
Class R2 Shares..................................................... -- -- -- 195
Filing Fees.......................................................... 14 23 152 100
Shareholders' Reports................................................ 6 10 231 160
Directors'/Trustees' Fees & Expenses................................. 1 5 95 42
Professional Fees.................................................... 2 8 58 63
Other................................................................ 5 18 56 128
-------- ------- -------- ---------
Total Expenses..................................................... 398 1,108 32,089 20,033
-------- ------- -------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... (137) -- (12,423) --
-------- ------- -------- ---------
Net Expenses......................................................... 261 1,108 19,666 20,033
-------- ------- -------- ---------
Net Investment Income (Loss)......................................... 3,170 10,735 243,357 67,716
-------- ------- -------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................................ (1,122) 3,202 -- 324,706
Affiliated Investment Companies Shares Sold......................... (1) (5) -- (162)
Transactions Allocated from Affiliated Investment Company........... -- -- 497,515 --
Futures............................................................. 32,203 21 -- 8,335
Foreign Currency Transactions....................................... (17) -- -- 1
Forward Currency Contracts.......................................... 310 -- -- --
In-Kind Redemptions................................................. -- -- -- 16,160
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... (3,397) 37,104 -- (144,015)
Affiliated Investment Companies Shares.............................. 2 1 -- 5
Transactions Allocated from Affiliated Investment Company........... -- -- 105,827 --
Futures............................................................. (21,933) -- -- (3,740)
Translation of Foreign Currency Denominated Amounts................. 4 -- -- --
-------- ------- -------- ---------
Net Realized and Unrealized Gain (Loss).............................. 6,049 40,323 603,342 201,290
-------- ------- -------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations........ $ 9,219 $51,058 $846,699 $ 269,006
======== ======= ======== =========
----------
* 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.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
U.S. Small U.S. Core U.S. Core U.S. Vector
Cap Value Equity 1 Equity 2 Equity
Portfolio# Portfolio# Portfolio# Portfolio#
---------- ---------- ---------- -----------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $95, $27, $31 and $11,
respectively)...................................................... $ 109,030 $185,301 $200,648 $ 39,152
Income from Securities Lending...................................... 5,830 5,011 6,076 1,751
--------- -------- -------- --------
Total Investment Income.......................................... 114,860 190,312 206,724 40,903
--------- -------- -------- --------
Expenses
Investment Management Fees.......................................... 37,707 18,598 23,648 7,157
Accounting & Transfer Agent Fees.................................... 528 622 709 163
Custodian Fees...................................................... 96 106 116 29
Filing Fees......................................................... 115 160 185 45
Shareholders' Reports............................................... 208 142 163 57
Directors'/Trustees' Fees & Expenses................................ 59 83 90 19
Professional Fees................................................... 89 124 135 29
Other............................................................... 184 251 272 62
--------- -------- -------- --------
Total Expenses................................................... 38,986 20,086 25,318 7,561
--------- -------- -------- --------
Net Investment Income (Loss)........................................ 75,874 170,226 181,406 33,342
--------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................................... 643,656 104,160 174,206 139,689
Affiliated Investment Companies Shares Sold....................... (171) (183) (162) (46)
Futures........................................................... 14,383 17,432 18,482 1,242
Foreign Currency Transactions..................................... 3 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (563,438) 592,027 456,197 (31,996)
Affiliated Investment Companies Shares............................ (29) 13 (15) (18)
Futures........................................................... (9,360) (12,650) (14,032) (1,061)
--------- -------- -------- --------
Net Realized and Unrealized Gain (Loss)............................. 85,044 700,799 634,676 107,810
--------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations....... $ 160,918 $871,025 $816,082 $141,152
========= ======== ======== ========
----------
**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.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
U.S. High DFA Real
U.S. Small U.S. Micro Relative Estate Large Cap
Cap Cap Profitability Securities International
Portfolio# Portfolio# Portfolio# Portfolio# Portfolio#
---------- ---------- ------------- ---------- -------------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $49, $5, $0,
$0 and $7,015, respectively)............................. $ 115,320 $ 40,286 $2,238 $ 175,759 $ 68,198
Non Cash Income........................................... 6,759 -- -- -- --
Income from Securities Lending............................ 10,570 4,029 23 642 1,534
--------- --------- ------ --------- --------
Total Investment Income................................ 132,649 44,315 2,261 176,401 69,732
--------- --------- ------ --------- --------
Fund Expenses
Investment Management Fees................................ 30,208 15,930 271 6,966 4,831
Accounting & Transfer Agent Fees.......................... 556 261 9 272 207
Custodian Fees............................................ 106 41 6 42 229
Filing Fees............................................... 90 50 55 71 35
Shareholders' Reports..................................... 177 70 2 135 73
Directors'/Trustees' Fees & Expenses...................... 66 25 1 33 19
Professional Fees......................................... 99 37 1 50 32
Organizational & Offering Costs........................... -- -- 19 -- --
Other..................................................... 207 77 3 99 77
--------- --------- ------ --------- --------
Total Expenses......................................... 31,509 16,491 367 7,668 5,503
--------- --------- ------ --------- --------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)................................................. -- -- (28) (292) 40
Fees Paid Indirectly (Note C)............................. -- -- -- -- (60)
--------- --------- ------ --------- --------
Net Expenses.............................................. 31,509 16,491 339 7,376 5,483
--------- --------- ------ --------- --------
Net Investment Income (Loss).............................. 101,140 27,824 1,922 169,025 64,249
--------- --------- ------ --------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ 460,896 204,682 213 (5,888) (3,936)
Affiliated Investment Companies Shares Sold............. (369) (70) -- (57) (55)
Futures................................................. 14,625 4,412 (37) 6,473 3,576
Foreign Currency Transactions........................... 1 -- -- -- 484
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. (231,363) (129,113) 3,832 (506,291) 83,514
Affiliated Investment Companies Shares.................. (15) (6) 1 (1) 41
Futures................................................. (9,693) (1,811) -- (4,754) (2,046)
Translation of Foreign Currency Denominated
Amounts................................................ -- -- -- -- (375)
--------- --------- ------ --------- --------
Net Realized and Unrealized Gain (Loss)................... 234,082 78,094 4,009 (510,518) 81,203
--------- --------- ------ --------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. $ 335,222 $ 105,918 $5,931 $(341,493) $145,452
========= ========= ====== ========= ========
----------
**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.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
International Japanese
International Small Global Small Small
Core Equity Company Company Company
Portfolio# Portfolio*# Portfolio*# Portfolio*#
------------- ------------- ------------ -----------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $14,541,
$10, $756 and $105, respectively).............................. -- $162,144 $ 109 $ 6,808
Income from Securities Lending.................................. -- 19,715 20 1,133
Expenses Allocated from Affiliated Investment Companies......... -- (8,407) (8) (427)
Income Distributions Received from Affiliated Investment
Companies....................................................... -- 935 52 --
-------- -------- ----- -------
Total Net Investment Income Received from Affiliated
Investment Companies.......................................... -- 174,387 173 7,514
-------- -------- ----- -------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $36,164, $0, $0, $0
and $0, respectively)........................................... $362,996 -- -- --
Income from Securities Lending................................... 18,704 -- -- --
-------- -------- ----- -------
Total Investment Income........................................ 381,700 -- -- --
-------- -------- ----- -------
Fund Expenses
Investment Management Fees....................................... 36,719 27,983 45 1,706
Accounting & Transfer Agent Fees................................. 859 151 2 4
Custodian Fees................................................... 1,315 2 2 --
Filing Fees...................................................... 228 53 9 10
Shareholders' Reports............................................ 230 203 1 4
Directors'/Trustees' Fees & Expenses............................. 103 54 -- 3
Professional Fees................................................ 171 32 1 2
Organizational & Offering Costs.................................. -- -- 7 --
Other............................................................ 398 36 -- 2
-------- -------- ----- -------
Total Expenses................................................. 40,023 28,514 67 1,731
-------- -------- ----- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)....................... 785 -- (43) (341)
Fees Paid Indirectly (Note C).................................... (377) -- -- --
-------- -------- ----- -------
Net Expenses..................................................... 40,431 28,514 24 1,390
-------- -------- ----- -------
Net Investment Income (Loss)..................................... 341,269 145,873 149 6,124
-------- -------- ----- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies....................................................... -- -- 333 --
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................... 48,836 -- -- --
Affiliated Investment Companies Shares Sold..................... (130) -- (3) --
Transactions Allocated from Affiliated Investment Company....... -- 321,930 136 17,300
Futures......................................................... 33,099 11,806 2 --
Foreign Currency Transactions................................... 395 (230) -- (93)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... 510,914 29 -- --
Affiliated Investment Companies Shares.......................... (17) -- (308) --
Transactions Allocated from Affiliated Investment Company....... -- 60,840 170 16,128
Futures......................................................... (14,558) (5,581) -- --
Translation of Foreign Currency Denominated Amounts............. (2,401) (1,397) (1) (115)
-------- -------- ----- -------
Net Realized and Unrealized Gain (Loss).......................... 576,138 387,397 329 33,220
-------- -------- ----- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................................ $917,407 $533,270 $ 478 $39,344
======== ======== ===== =======
Asia Pacific
Small
Company
Portfolio*#
------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $14,541,
$10, $756 and $105, respectively).............................. $ 6,031
Income from Securities Lending.................................. 640
Expenses Allocated from Affiliated Investment Companies......... (226)
Income Distributions Received from Affiliated Investment
Companies....................................................... --
-------
Total Net Investment Income Received from Affiliated
Investment Companies.......................................... 6,445
-------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $36,164, $0, $0, $0
and $0, respectively)........................................... --
Income from Securities Lending................................... --
-------
Total Investment Income........................................ --
-------
Fund Expenses
Investment Management Fees....................................... 887
Accounting & Transfer Agent Fees................................. 3
Custodian Fees................................................... --
Filing Fees...................................................... 10
Shareholders' Reports............................................ 3
Directors'/Trustees' Fees & Expenses............................. 1
Professional Fees................................................ 1
Organizational & Offering Costs.................................. --
Other............................................................ 1
-------
Total Expenses................................................. 906
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)....................... (177)
Fees Paid Indirectly (Note C).................................... --
-------
Net Expenses..................................................... 729
-------
Net Investment Income (Loss)..................................... 5,716
-------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies....................................................... --
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................... --
Affiliated Investment Companies Shares Sold..................... --
Transactions Allocated from Affiliated Investment Company....... 973
Futures......................................................... --
Foreign Currency Transactions................................... (27)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... --
Affiliated Investment Companies Shares.......................... --
Transactions Allocated from Affiliated Investment Company....... 5,128
Futures......................................................... --
Translation of Foreign Currency Denominated Amounts............. (3)
-------
Net Realized and Unrealized Gain (Loss).......................... 6,071
-------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................................ $11,787
=======
----------
* 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.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
United DFA DFA
Kingdom Continental International DFA Global International
Small Small Real Estate Real Estate Small Cap
Company Company Securities Securities Value
Portfolio*# Portfolio*# Portfolio# Portfolio# Portfolio#
----------- ----------- ------------- ----------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $1, $1,155,
$0, $0 and $0, respectively)................................ $ 720 $ 7,266 -- -- --
Income from Securities Lending............................... 11 1,050 -- -- --
Expenses Allocated from Affiliated Investment Company........ (25) (429) -- -- --
Income Distributions Received from Affiliated Investment
Companies.................................................... -- -- -- $ 198,065 --
------ ------- -------- --------- ---------
Total Net Investment Income Received from Affiliated
Investment Company......................................... 706 7,887 -- 198,065 --
------ ------- -------- --------- ---------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $14,173,
$0 and $15,848, respectively)................................ -- -- $131,553 96 $ 182,995
Non Cash Income............................................... -- -- -- -- 11,168
Income from Securities Lending................................ -- -- 1,807 296 13,567
------ ------- -------- --------- ---------
Total Fund Investment Income................................ -- -- 133,360 392 207,730
------ ------- -------- --------- ---------
Fund Expenses
Investment Management Fees.................................... 109 1,760 7,151 6,913 52,595
Accounting & Transfer Agent Fees.............................. 2 5 208 110 581
Custodian Fees................................................ -- -- 275 18 1,169
Filing Fees................................................... 8 43 66 86 105
Shareholders' Reports......................................... 2 3 64 151 194
Directors'/Trustees' Fees & Expenses.......................... -- 3 23 27 64
Professional Fees............................................. 1 1 39 22 107
Other......................................................... -- 2 103 27 258
------ ------- -------- --------- ---------
Total Expenses.............................................. 122 1,817 7,929 7,354 55,073
------ ------- -------- --------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................... (20) (352) -- (3,830) --
Fees Paid Indirectly (Note C)................................. -- -- (75) -- (248)
------ ------- -------- --------- ---------
Net Expenses.................................................. 102 1,465 7,854 3,524 54,825
------ ------- -------- --------- ---------
Net Investment Income (Loss).................................. 604 6,422 125,506 194,933 152,905
------ ------- -------- --------- ---------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated
Investment Companies......................................... -- -- -- 5,030 --
Net Realized Gain (Loss) on:
Investment Securities Sold**................................. -- -- (50,919) 1 749,846
Affiliated Investment Companies Shares Sold.................. -- -- (65) (19,596) (73)
Transactions Allocated from Affiliated Investment
Company..................................................... 1,483 12,710 -- -- --
Futures...................................................... -- -- 2,020 -- 15,893
Foreign Currency Transactions................................ 7 (14) 382 -- (1,918)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... -- -- 337,116 (180,268) (478,067)
Affiliated Investment Companies Shares....................... -- -- 6 (6,034) (35)
Transactions Allocated from Affiliated Investment
Company..................................................... (210) 3,041 -- -- --
Futures...................................................... -- -- 215 -- (10,499)
Translation of Foreign Currency Denominated Amounts.......... (6) (74) (152) -- (2,956)
------ ------- -------- --------- ---------
Net Realized and Unrealized Gain (Loss)....................... 1,274 15,663 288,603 (200,867) 272,191
------ ------- -------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations..................................................... $1,878 $22,085 $414,109 $ (5,934) $ 425,096
====== ======= ======== ========= =========
----------
* 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.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
International World ex U.S.
International High Relative World ex U.S. Targeted
Vector Equity Profitability Value Value
Portfolio# Portfolio# Portfolio*# Portfolio#
------------- ------------- ------------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $0, $339 and $0,
respectively)...................................................... -- -- $ 3,202 --
Income from Securities Lending...................................... -- -- 103 --
Expenses Allocated from Affiliated Investment Companies............. -- -- (223) --
Income Distributions Received from Affiliated Investment
Companies........................................................... -- -- 478 --
------- ------ ------- -------
Total Net Investment Income Received from Affiliated Investment
Companies......................................................... -- -- 3,560 --
------- ------ ------- -------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $3,246, $206, $0 and
$501, respectively)................................................. $33,521 $1,913 -- $ 5,417
Income from Securities Lending....................................... 2,197 22 -- 167
------- ------ ------- -------
Total Investment Income............................................ 35,718 1,935 -- 5,584
------- ------ ------- -------
Fund Expenses
Investment Management Fees........................................... 5,882 166 594 1,445
Accounting & Transfer Agent Fees..................................... 109 9 4 22
Custodian Fees....................................................... 143 10 -- 119
Filing Fees.......................................................... 38 31 12 21
Shareholders' Reports................................................ 40 1 2 5
Directors'/Trustees' Fees & Expenses................................. 10 -- 1 2
Professional Fees.................................................... 19 1 2 14
Organizational & Offering Costs...................................... -- 18 -- --
Other................................................................ 44 3 1 10
------- ------ ------- -------
Total Expenses..................................................... 6,285 239 616 1,638
------- ------ ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C).................................. -- (5) (276) --
Fees Paid Indirectly (Note C)........................................ (11) (5) -- (4)
------- ------ ------- -------
Net Expenses......................................................... 6,274 229 340 1,634
------- ------ ------- -------
Net Investment Income (Loss)......................................... 29,444 1,706 3,220 3,950
------- ------ ------- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies........................................................... -- -- 773 --
Net Realized Gain (Loss) on:
Investment Securities Sold**........................................ 50,228 (35) -- 19,944
Affiliated Investment Companies Shares Sold......................... (9) -- (70) (1)
Transactions Allocated from Affiliated Investment Company........... -- -- 4,407 --
Futures............................................................. (17) 24 -- 22
Foreign Currency Transactions....................................... 229 29 27 (16)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 16,281 375 (6,349) (7,442)
Affiliated Investment Companies Shares.............................. (5) 1 5,791 --
Transactions Allocated from Affiliated Investment Company........... -- -- 4,540 --
Futures............................................................. (68) -- -- --
Translation of Foreign Currency Denominated Amounts................. (265) (11) (15) (51)
------- ------ ------- -------
Net Realized and Unrealized Gain (Loss).............................. 66,374 383 9,104 12,456
------- ------ ------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................................ $95,818 $2,089 $12,324 $16,406
======= ====== ======= =======
----------
* 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.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(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 $5,092,
respectively)....................................................... -- -- -- $ 52,504
Interest............................................................. -- -- -- 22
Income from Securities Lending....................................... -- -- -- 2,617
Expenses Allocated from Affiliated Investment Companies.............. -- -- -- (4,740)
Income Distributions Received from Affiliated Investment Companies.... -- $ 5,028 $ 3,043 --
-------- ------- ------- --------
Total Net Investment Income Received from Affiliated Investment
Companies.......................................................... -- 5,028 3,043 50,403
-------- ------- ------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $3,792, $0, $0 and $0,
respectively)........................................................ $ 36,469 -- -- --
Income from Securities Lending........................................ 2,270 -- -- --
-------- ------- ------- --------
Total Fund Investment Income........................................ 38,739 -- -- --
-------- ------- ------- --------
Fund Expenses
Investment Management Fees............................................ 4,924 996 620 13,430
Accounting & Transfer Agent Fees...................................... 113 5 6 50
Custodian Fees........................................................ 414 -- 1 --
Filing Fees........................................................... 45 19 18 41
Shareholders' Reports................................................. 37 3 4 95
Directors'/Trustees' Fees & Expenses.................................. 11 2 2 25
Professional Fees..................................................... 31 2 1 16
Other................................................................. 50 7 1 16
-------- ------- ------- --------
Total Expenses...................................................... 5,625 1,034 653 13,673
-------- ------- ------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)........................................ 377 (773) (550) (3,198)
Fees Paid Indirectly (Note C)......................................... (37) -- -- --
-------- ------- ------- --------
Net Expenses.......................................................... 5,965 261 103 10,475
-------- ------- ------- --------
Net Investment Income (Loss).......................................... 32,774 4,767 2,940 39,928
-------- ------- ------- --------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies............................................................ -- 1,843 1,607 --
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... 11,474 1 (1) --
Affiliated Investment Companies Shares Sold.......................... (13) 3,184 2,281 --
Transactions Allocated from Affiliated Investment Company............ -- -- -- 85,126
Futures.............................................................. 657 145 2,531 --
Foreign Currency Transactions........................................ (137) -- -- 994
Forward Currency Contracts........................................... -- -- (3,348) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 69,738 -- 5 --
Affiliated Investment Companies Shares............................... (1) 15,802 8,108 --
Transactions Allocated from Affiliated Investment Company............ -- -- -- 130,204
Futures.............................................................. -- -- (1,801) --
Translation of Foreign Currency Denominated Amounts.................. (227) -- -- (43)
Forward Currency Contracts........................................... -- -- 1,336 --
-------- ------- ------- --------
Net Realized and Unrealized Gain (Loss)............................... 81,491 20,975 10,718 216,281
-------- ------- ------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations......... $114,265 $25,742 $13,658 $256,209
======== ======= ======= ========
----------
* 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.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(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 $5,515, $21,127 and $0, respectively).. $ 53,376 $ 168,355 --
Interest........................................................................... 4 11 --
Income from Securities Lending..................................................... 28,514 14,367 --
Expenses Allocated from Affiliated Investment Companies............................ (9,832) (15,103) --
-------- ---------- ----------
Total Net Investment Income Received from Affiliated Investment Companies......... 72,062 167,630 --
-------- ---------- ----------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0 and $29,574, respectively)....... -- -- $ 232,611
Income from Securities Lending...................................................... -- -- 36,025
-------- ---------- ----------
Total Investment Income........................................................... -- -- 268,636
-------- ---------- ----------
Fund Expenses
Investment Management Fees.......................................................... 24,976 49,752 67,829
Accounting & Transfer Agent Fees.................................................... 92 96 922
Custodian Fees...................................................................... -- -- 5,193
Shareholder Servicing Fees
Class R2 Shares.................................................................... -- 40 --
Filing Fees......................................................................... 36 59 189
Shareholders' Reports............................................................... 68 159 281
Directors'/Trustees' Fees & Expenses................................................ 29 77 109
Professional Fees................................................................... 18 48 200
Other............................................................................... 17 46 412
-------- ---------- ----------
Total Expenses.................................................................... 25,236 50,277 75,135
-------- ---------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor (Note C)................................................................... (7,685) -- 1,257
Institutional Class Shares......................................................... -- (9,934) --
Class R2 Shares.................................................................... -- (16) --
Fees Paid Indirectly (Note C)....................................................... -- -- (220)
-------- ---------- ----------
Net Expenses........................................................................ 17,551 40,327 76,172
-------- ---------- ----------
Net Investment Income (Loss)........................................................ 54,511 127,303 192,464
-------- ---------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................................... -- -- 74,060
Affiliated Investment Companies Shares Sold........................................ -- -- (124)
Transactions Allocated from Affiliated Investment Company.......................... 245,328 293,095 --
Futures............................................................................ -- -- 18,221
Foreign Currency Transactions...................................................... (77) 1,005 (1,498)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... -- -- 1,009,322
Affiliated Investment Companies Shares............................................. -- -- (27)
Transactions Allocated from Affiliated Investment Company.......................... 140,406 899,083 --
Futures............................................................................ -- -- (15,447)
Translation of Foreign Currency Denominated Amounts................................ (79) (97) (165)
-------- ---------- ----------
Net Realized and Unrealized Gain (Loss)............................................. 385,578 1,193,086 1,084,342
-------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations....................... $440,089 $1,320,389 $1,276,806
======== ========== ==========
----------
* 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 $5, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Enhanced U.S. Large U.S. Large Cap Equity U.S. Large Cap Value
Company Portfolio Portfolio Portfolio
-------------------- ---------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- -------- ----------- ---------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................... $ 3,170 $ 3,676 $ 10,735 $ 18,142 $ 243,357 $ 427,035
Net Realized Gain (Loss) on:
Investment Securities Sold*.......................... (1,122) (319) 3,202 273 -- --
Affiliated Investment Companies Shares Sold.......... (1) 1 (5) -- -- --
Transactions Allocated from Affiliated Investment
Company............................................. -- -- -- -- 497,515 1,154,160
Futures.............................................. 32,203 39,159 21 9 -- 18,720
Foreign Currency Transactions........................ (17) (11) -- -- -- --
Forward Currency Contracts........................... 310 (132) -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... (3,397) (1,062) 37,104 200,016 -- --
Affiliated Investment Companies Shares Sold.......... 2 (1) 1 (7) -- --
Transactions Allocated from Affiliated Investment
Company............................................. -- -- -- -- 105,827 2,764,575
Futures.............................................. (21,933) 14,290 -- -- -- 10,896
Translation of Foreign Currency Denominated
Amounts............................................. 4 (9) -- -- -- --
Forward Currency Contracts........................... -- 896 -- -- -- --
-------- -------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations.................................... 9,219 56,488 51,058 218,433 846,699 4,375,386
-------- -------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares........................... (3,136) (2,502) (9,993) (18,564) (212,674) (403,733)
Net Short-Term Gains:
Institutional Class Shares........................... (19,355) (2,722) -- -- (44,063) --
Net Long-Term Gains:
Institutional Class Shares........................... (29,522) (4,088) -- -- (1,084,239) (446,140)
-------- -------- ---------- ---------- ----------- -----------
Total Distributions................................. (52,013) (9,312) (9,993) (18,564) (1,340,976) (849,873)
-------- -------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued......................................... 74,855 101,630 242,886 343,508 2,951,422 5,277,113
Shares Issued in Lieu of Cash Distributions........... 51,982 8,734 9,246 17,598 1,264,013 793,913
Shares Redeemed....................................... (69,502) (73,606) (127,507) (199,415) (2,611,271) (3,536,921)
-------- -------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions....................................... 57,335 36,758 124,625 161,691 1,604,164 2,534,105
-------- -------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets............. 14,541 83,934 165,690 361,560 1,109,887 6,059,618
Net Assets
Beginning of Period................................... 322,347 238,413 1,212,883 851,323 23,732,871 17,673,253
-------- -------- ---------- ---------- ----------- -----------
End of Period......................................... $336,888 $322,347 $1,378,573 $1,212,883 $24,842,758 $23,732,871
======== ======== ========== ========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued......................................... 5,484 7,516 14,352 23,434 75,093 144,495
Shares Issued in Lieu of Cash Distributions........... 4,009 681 562 1,194 32,811 22,018
Shares Redeemed....................................... (5,247) (5,541) (7,539) (13,683) (66,580) (97,162)
-------- -------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed....................................... 4,246 2,656 7,375 10,945 41,324 69,351
======== ======== ========== ========== =========== ===========
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income).................... $ 911 $ 877 $ 1,949 $ 1,207 $ 53,279 $ 22,596
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
115
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
------------------------ ------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017
----------- ----------- ----------- -----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 67,716 $ 109,197 $ 75,874 $ 118,233
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... 324,706 454,563 643,656 690,721
Affiliated Investment Companies Shares
Sold.......................................... (162) (1) (171) 22
Futures........................................ 8,335 17,659 14,383 26,310
Foreign Currency Transactions.................. 1 6 3 --
In-Kind Redemptions............................ 16,160 -- -- 79,386
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency..... (144,015) 1,335,548 (563,438) 2,156,333
Affiliated Investment Companies Shares
Sold.......................................... 5 (188) (29) (216)
Futures........................................ (3,740) 2,939 (9,360) 9,284
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 269,006 1,919,723 160,918 3,080,073
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares................................ (293) (506) -- --
Class R2 Shares................................ (707) (1,483) -- --
Institutional Class Shares..................... (58,873) (103,014) (64,499) (113,837)
Net Short-Term Gains:
Class R1 Shares................................ (139) (75) -- --
Class R2 Shares................................ (385) (304) -- --
Institutional Class Shares..................... (26,704) (15,806) (36,882) --
Net Long-Term Gains:
Class R1 Shares................................ (2,222) (1,310) -- --
Class R2 Shares................................ (6,156) (5,296) -- --
Institutional Class Shares..................... (427,245) (275,712) (653,833) (533,287)
----------- ----------- ----------- -----------
Total Distributions........................... (522,724) (403,506) (755,214) (647,124)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................... 1,163,195 3,081,447 1,384,531 2,978,426
Shares Issued in Lieu of Cash Distributions..... 492,413 373,214 693,470 585,631
Shares Redeemed................................. (1,274,670) (2,298,736) (1,442,793) (3,444,324)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................. 380,938 1,155,925 635,208 119,733
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets....... 127,220 2,672,142 40,912 2,552,682
Net Assets
Beginning of Period............................. 10,740,431 8,068,289 15,165,867 12,613,185
----------- ----------- ----------- -----------
End of Period................................... $10,867,651 $10,740,431 $15,206,779 $15,165,867
=========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................... 46,664 128,009 36,381 80,463
Shares Issued in Lieu of Cash Distributions..... 20,120 15,383 18,503 15,504
Shares Redeemed................................. (50,889) (95,985) (37,706) (92,936)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................. 15,895 47,407 17,178 3,031
=========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 6,449 $ (1,394) $ 5,682 $ (5,694)
U.S. Core Equity 1 Portfolio
---------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 170,226 $ 299,067
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... 104,160 96,159
Affiliated Investment Companies Shares
Sold.......................................... (183) (35)
Futures........................................ 17,432 15,613
Foreign Currency Transactions.................. -- 3
In-Kind Redemptions............................ -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency..... 592,027 3,505,095
Affiliated Investment Companies Shares
Sold.......................................... 13 (188)
Futures........................................ (12,650) 10,034
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 871,025 3,925,748
----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares................................ -- --
Class R2 Shares................................ -- --
Institutional Class Shares..................... (156,797) (310,434)
Net Short-Term Gains:
Class R1 Shares................................ -- --
Class R2 Shares................................ -- --
Institutional Class Shares..................... (2,527) --
Net Long-Term Gains:
Class R1 Shares................................ -- --
Class R2 Shares................................ -- --
Institutional Class Shares..................... (116,824) (71,615)
----------- -----------
Total Distributions........................... (276,148) (382,049)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................... 2,393,768 4,637,048
Shares Issued in Lieu of Cash Distributions..... 269,875 368,386
Shares Redeemed................................. (1,732,454) (2,746,550)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................. 931,189 2,258,884
----------- -----------
Total Increase (Decrease) in Net Assets....... 1,526,066 5,802,583
Net Assets
Beginning of Period............................. 20,762,742 14,960,159
----------- -----------
End of Period................................... $22,288,808 $20,762,742
=========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................... 104,319 229,289
Shares Issued in Lieu of Cash Distributions..... 12,043 18,264
Shares Redeemed................................. (75,270) (135,531)
----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................. 41,092 112,022
=========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 27,919 $ 14,490
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
116
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
--------------------------- ---------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017
----------- ----------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 181,406 $ 320,409 $ 33,342 $ 59,721
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 174,206 192,862 139,689 167,995
Affiliated Investment Companies Shares
Sold...................................... (162) 31 (46) 5
Futures.................................... 18,482 19,381 1,242 5,443
Foreign Currency Transactions.............. -- 5 -- 2
In-Kind Redemptions........................ -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 456,197 3,702,303 (31,996) 706,848
Affiliated Investment Companies Shares
Sold...................................... (15) (261) (18) (57)
Futures.................................... (14,032) 11,212 (1,061) 835
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 816,082 4,245,942 141,152 940,792
----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (166,055) (322,547) (29,038) (55,773)
Net Short-Term Gains:
Institutional Class Shares................. (3,799) -- -- (202)
Net Long-Term Gains:
Institutional Class Shares................. (214,753) (122,469) (164,690) (101,959)
----------- ----------- ---------- ----------
Total Distributions....................... (384,607) (445,016) (193,728) (157,934)
----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................... 2,450,301 4,120,340 416,241 873,587
Shares Issued in Lieu of Cash Distributions. 378,126 439,092 191,639 155,990
Shares Redeemed............................. (1,686,383) (2,695,986) (529,054) (911,079)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 1,142,044 1,863,446 78,826 118,498
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 1,573,519 5,664,372 26,250 901,356
Net Assets
Beginning of Period......................... 22,515,418 16,851,046 4,724,003 3,822,647
----------- ----------- ---------- ----------
End of Period............................... $24,088,937 $22,515,418 $4,750,253 $4,724,003
=========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................... 113,035 212,849 21,594 48,648
Shares Issued in Lieu of Cash Distributions. 17,875 22,777 10,103 8,720
Shares Redeemed............................. (77,888) (139,061) (27,329) (50,704)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 53,022 96,565 4,368 6,664
=========== =========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 30,938 $ 15,587 $ 4,730 $ 426
U.S. Small Cap Portfolio
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 101,140 $ 160,232
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 460,896 610,335
Affiliated Investment Companies Shares
Sold...................................... (369) (107)
Futures.................................... 14,625 18,310
Foreign Currency Transactions.............. 1 15
In-Kind Redemptions........................ -- 125,200
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (231,363) 2,387,599
Affiliated Investment Companies Shares
Sold...................................... (15) (345)
Futures.................................... (9,693) 10,124
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 335,222 3,311,363
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (90,524) (155,568)
Net Short-Term Gains:
Institutional Class Shares................. (41,529) (12,822)
Net Long-Term Gains:
Institutional Class Shares................. (608,203) (343,192)
----------- -----------
Total Distributions....................... (740,256) (511,582)
----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 1,719,775 3,737,913
Shares Issued in Lieu of Cash Distributions. 703,323 484,150
Shares Redeemed............................. (1,426,702) (3,067,256)
----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 996,396 1,154,807
----------- -----------
Total Increase (Decrease) in Net
Assets................................... 591,362 3,954,588
Net Assets
Beginning of Period......................... 16,931,787 12,977,199
----------- -----------
End of Period............................... $17,523,149 $16,931,787
=========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................... 47,600 109,356
Shares Issued in Lieu of Cash Distributions. 19,729 14,119
Shares Redeemed............................. (39,519) (89,947)
----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 27,810 33,528
=========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 9,380 $ (1,236)
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
117
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
May 16,
Six Months Year Six Months 2017(a) Six Months Year
Ended Ended Ended to Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- -------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 27,824 $ 43,746 $ 1,922 $ 672 $ 169,025 $ 190,490
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... 204,682 283,405 213 43 (5,888) 47,672
Affiliated Investment Companies Shares
Sold.......................................... (70) 12 -- (1) (57) (67)
Futures........................................ 4,412 9,052 (37) (394) 6,473 8,131
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency..... (129,113) 1,119,931 3,832 9,520 (506,291) 183,941
Affiliated Investment Companies Shares
Sold.......................................... (6) (105) 1 (1) (1) (61)
Futures........................................ (1,811) 2,595 -- -- (4,754) 3,862
---------- ----------- -------- -------- ---------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 105,918 1,458,636 5,931 9,839 (341,493) 433,968
---------- ----------- -------- -------- ---------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares..................... (24,910) (43,959) (1,608) (541) (168,977) (217,478)
Net Short-Term Gains:
Institutional Class Shares..................... (20,845) -- -- -- (6,434) --
Net Long-Term Gains:
Institutional Class Shares..................... (260,406) (255,837) -- -- (20,143) (66,384)
---------- ----------- -------- -------- ---------- -----------
Total Distributions........................... (306,161) (299,796) (1,608) (541) (195,554) (283,862)
---------- ----------- -------- -------- ---------- -----------
Capital Share Transactions (1):
Shares Issued................................... 531,591 757,322 254,331 134,388 1,212,762 1,766,337
Shares Issued in Lieu of Cash Distributions..... 282,199 276,724 1,608 541 155,008 217,675
Shares Redeemed................................. (462,749) (1,014,479) (21,952) (3,154) (723,306) (1,113,122)
---------- ----------- -------- -------- ---------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................. 351,041 19,567 233,987 131,775 644,464 870,890
---------- ----------- -------- -------- ---------- -----------
Total Increase (Decrease) in Net Assets....... 150,798 1,178,407 238,310 141,073 107,417 1,020,996
Net Assets
Beginning of Period............................. 6,306,730 5,128,323 141,073 -- 8,281,176 7,260,180
---------- ----------- -------- -------- ---------- -----------
End of Period................................... $6,457,528 $ 6,306,730 $379,383 $141,073 $8,388,593 $ 8,281,176
========== =========== ======== ======== ========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................... 23,917 36,173 21,518 13,154 36,204 50,891
Shares Issued in Lieu of Cash Distributions..... 12,848 13,144 139 52 4,471 6,384
Shares Redeemed................................. (20,805) (48,215) (1,868) (302) (21,545) (32,116)
---------- ----------- -------- -------- ---------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................. 15,960 1,102 19,789 12,904 19,130 25,159
========== =========== ======== ======== ========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 2,513 $ (401) $ 445 $ 131 $ 46,682 $ 46,634
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Large Cap International International Core Equity International Small
Portfolio Portfolio Company Portfolio
---------------------- ------------------------ ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ----------- ----------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 64,249 $ 111,927 $ 341,269 $ 550,178 $ 145,873 $ 254,211
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (3,936) 157,652 48,836 (29,889) -- --
Affiliated Investment Companies Shares
Sold...................................... (55) 51 (130) 10 -- --
Transactions Allocated from Affiliated
Investment Company........................ -- -- -- -- 321,930 422,014
Futures.................................... 3,576 4,534 33,099 22,487 11,806 11,549
Foreign Currency Transactions.............. 484 (583) 395 (2,708) (230) (1,764)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 83,514 608,562 510,914 4,344,669 29 --
Affiliated Investment Companies Shares
Sold...................................... 41 (72) (17) (168) -- --
Transactions Allocated from Affiliated
Investment Company........................ -- -- -- -- 60,840 2,134,951
Futures.................................... (2,046) 1,881 (14,558) 11,863 (5,581) 5,699
Translation of Foreign Currency
Denominated Amounts....................... (375) 330 (2,401) 1,409 (1,397) 864
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 145,452 884,282 917,407 4,897,851 533,270 2,827,524
---------- ---------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (42,538) (111,606) (224,746) (533,126) (194,323) (205,687)
Net Short-Term Gains:
Institutional Class Shares................. -- -- -- -- (48,543) (18,854)
Net Long-Term Gains:
Institutional Class Shares................. -- -- -- -- (375,728) (251,076)
---------- ---------- ----------- ----------- ----------- -----------
Total Distributions....................... (42,538) (111,606) (224,746) (533,126) (618,594) (475,617)
---------- ---------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 525,484 960,010 4,634,083 6,327,731 1,315,338 2,235,300
Shares Issued in Lieu of Cash Distributions. 37,830 99,282 213,369 506,159 592,894 456,455
Shares Redeemed............................. (403,492) (636,653) (1,968,743) (2,737,658) (988,062) (1,940,733)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 159,822 422,639 2,878,709 4,096,232 920,170 751,022
---------- ---------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... 262,736 1,195,315 3,571,370 8,460,957 834,846 3,102,929
Net Assets
Beginning of Period......................... 4,723,090 3,527,775 25,443,968 16,983,011 13,490,290 10,387,361
---------- ---------- ----------- ----------- ----------- -----------
End of Period............................... $4,985,826 $4,723,090 $29,015,338 $25,443,968 $14,325,136 $13,490,290
========== ========== =========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................... 21,944 45,425 317,676 496,127 61,300 116,685
Shares Issued in Lieu of Cash Distributions. 1,610 4,623 15,037 39,374 28,767 25,675
Shares Redeemed............................. (16,857) (29,985) (135,069) (213,878) (46,325) (99,987)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 6,697 20,063 197,644 321,623 43,742 42,373
========== ========== =========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 34,034 $ 12,323 $ 173,702 $ 57,179 $ (29,089) $ 19,361
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Global Small Company Japanese Small Company Asia Pacific Small Company
Portfolio Portfolio Portfolio
------------------- -------------------- -------------------------
Period
Jan. 18,
Six Months 2017(a) Six Months Year Six Months Year
Ended to Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- -------- ----------- -------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 149 $ 134 $ 6,124 $ 8,388 $ 5,716 $ 9,516
Capital Gain Distributions Received from Affiliated
Investment Companies................................ 333 -- -- -- -- --
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold*........ (3) (6) -- -- -- --
Transactions Allocated from Affiliated Investment
Company............................................ 136 105 17,300 28,171 973 9,656
Futures............................................. 2 1 -- -- -- --
Foreign Currency Transactions....................... -- -- (93) (465) (27) (119)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.......... -- (3) -- -- -- --
Affiliated Investment Companies Shares Sold......... (308) 1,299 -- -- -- --
Transactions Allocated from Affiliated Investment
Company............................................ 170 -- 16,128 99,585 5,128 22,259
Futures............................................. -- -- -- 1 -- --
Translation of Foreign Currency Denominated
Amounts............................................ (1) -- (115) 87 (3) (1)
------- ------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 478 1,530 39,344 135,767 11,787 41,311
------- ------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (250) -- (15,937) (9,568) (13,370) (8,894)
Net Short-Term Gains:
Institutional Class Shares.......................... (19) -- -- -- -- --
Net Long-Term Gains:
Institutional Class Shares.......................... (81) -- -- -- -- --
------- ------- -------- -------- -------- --------
Total Distributions................................ (350) -- (15,937) (9,568) (13,370) (8,894)
------- ------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................ 10,931 14,416 96,497 99,301 79,292 64,454
Shares Issued in Lieu of Cash Distributions.......... 350 -- 14,541 8,825 12,188 8,101
Shares Redeemed...................................... (734) (925) (67,587) (95,760) (49,381) (24,394)
------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 10,547 13,491 43,451 12,366 42,099 48,161
------- ------- -------- -------- -------- --------
Total Increase (Decrease) in Net Assets............ 10,675 15,021 66,858 138,565 40,516 80,578
Net Assets
Beginning of Period.................................. 15,021 -- 647,978 509,413 332,153 251,575
------- ------- -------- -------- -------- --------
End of Period........................................ $25,696 $15,021 $714,836 $647,978 $372,669 $332,153
======= ======= ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 932 1,388 3,301 4,150 3,312 2,864
Shares Issued in Lieu of Cash Distributions.......... 31 -- 505 401 527 408
Shares Redeemed...................................... (63) (86) (2,322) (4,002) (2,074) (1,095)
------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 900 1,302 1,484 549 1,765 2,177
======= ======= ======== ======== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ 42 $ 143 $ (8,691) $ 1,122 $ (5,837) $ 1,817
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
120
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
------------------- ------------------------ --------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- -------- ----------- -------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 604 $ 1,220 $ 6,422 $ 7,573 $ 125,506 $ 198,330
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... -- -- -- -- (50,919) (21,413)
Affiliated Investment Companies Shares
Sold.......................................... -- -- -- -- (65) 21
Transactions Allocated from Affiliated
Investment Company............................ 1,483 1,725 12,710 14,907 -- --
Futures........................................ -- -- -- -- 2,020 6,597
Foreign Currency Transactions.................. 7 6 (14) 89 382 439
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency..... -- -- -- -- 337,116 60,643
Affiliated Investment Companies Shares
Sold.......................................... -- -- -- -- 6 (17)
Transactions Allocated from Affiliated
Investment Company............................ (210) 7,588 3,041 94,661 -- --
Futures........................................ -- -- -- -- 215 754
Translation of Foreign Currency Denominated
Amounts....................................... (6) 4 (74) 24 (152) 254
------- ------- -------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 1,878 10,543 22,085 117,254 414,109 245,608
------- ------- -------- -------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares..................... (592) (1,322) (1,647) (7,715) (241,977) (326,892)
Net Short-Term Gains:
Institutional Class Shares..................... (558) -- -- -- -- --
Net Long-Term Gains:
Institutional Class Shares..................... (2,308) (1,684) (4,962) -- -- --
------- ------- -------- -------- ---------- ----------
Total Distributions........................... (3,458) (3,006) (6,609) (7,715) (241,977) (326,892)
------- ------- -------- -------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 1,752 12,269 166,848 209,825 583,589 1,720,625
Shares Issued in Lieu of Cash Distributions..... 2,979 2,618 6,204 7,180 238,291 320,016
Shares Redeemed................................. (5,400) (9,570) (13,631) (26,314) (693,944) (643,227)
------- ------- -------- -------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions................................. (669) 5,317 159,421 190,691 127,936 1,397,414
------- ------- -------- -------- ---------- ----------
Total Increase (Decrease) in Net Assets....... (2,249) 12,854 174,897 300,230 300,068 1,316,130
Net Assets
Beginning of Period............................. 45,177 32,323 592,347 292,117 5,497,753 4,181,623
------- ------- -------- -------- ---------- ----------
End of Period................................... $42,928 $45,177 $767,244 $592,347 $5,797,821 $5,497,753
======= ======= ======== ======== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................... 56 435 5,841 8,148 112,882 347,476
Shares Issued in Lieu of Cash Distributions..... 100 95 224 280 46,632 69,418
Shares Redeemed................................. (172) (335) (471) (1,053) (134,934) (132,019)
------- ------- -------- -------- ---------- ----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................. (16) 195 5,594 7,375 24,580 284,875
======= ======= ======== ======== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 45 $ 33 $ 5,013 $ 238 $ (396,721) $ (280,250)
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Global Real Estate DFA International Small International Vector Equity
Securities Portfolio Cap Value Portfolio Portfolio
----------------------- ------------------------ --------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 194,933 $ 228,639 $ 152,905 $ 269,343 $ 29,444 $ 51,389
Capital Gain Distributions Received from
Affiliated Investment Companies............ 5,030 14,569 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 1 17,657 749,846 551,715 50,228 10,627
Affiliated Investment Companies Shares
Sold...................................... (19,596) 2,178 (73) 14 (9) (1)
Futures.................................... -- 149 15,893 14,572 (17) 158
Foreign Currency Transactions.............. -- 3 (1,918) (1,896) 229 (413)
In-Kind Redemptions........................ -- -- -- 82,012 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (180,268) 43,892 (478,067) 2,598,933 16,281 459,554
Affiliated Investment Companies Shares
Sold...................................... (6,034) (5,082) (35) (118) (5) (16)
Futures.................................... -- -- (10,499) 9,407 (68) --
Translation of Foreign Currency
Denominated Amounts....................... -- -- (2,956) 1,459 (265) 168
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ (5,934) 302,005 425,096 3,525,441 95,818 521,466
---------- ----------- ----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (211,357) (227,401) (314,984) (195,408) (28,049) (50,390)
Net Short-Term Gains:
Institutional Class Shares................. (798) (2,070) (31,970) (3,853) (160) --
Net Long-Term Gains:
Institutional Class Shares................. (43,342) (13,530) (477,828) (410,189) (10,130) (4,041)
---------- ----------- ----------- ----------- ---------- ----------
Total Distributions....................... (255,497) (243,001) (824,782) (609,450) (38,339) (54,431)
---------- ----------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................... 1,212,495 2,695,188 1,262,574 1,958,045 258,481 447,784
Shares Issued in Lieu of Cash Distributions. 245,163 233,500 745,108 544,816 38,001 53,927
Shares Redeemed............................. (804,893) (1,122,865) (1,529,275) (2,266,110) (185,075) (295,368)
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 652,765 1,805,823 478,407 236,751 111,407 206,343
---------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 391,334 1,864,827 78,721 3,152,742 168,886 673,378
Net Assets
Beginning of Period......................... 6,753,782 4,888,955 16,162,471 13,009,729 2,529,852 1,856,474
---------- ----------- ----------- ----------- ---------- ----------
End of Period............................... $7,145,116 $ 6,753,782 $16,241,192 $16,162,471 $2,698,738 $2,529,852
========== =========== =========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................... 114,456 251,258 54,710 93,807 18,930 37,714
Shares Issued in Lieu of Cash Distributions. 22,410 23,234 33,533 28,186 2,881 4,561
Shares Redeemed............................. (76,731) (105,800) (66,264) (108,244) (13,573) (24,782)
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 60,135 168,692 21,979 13,749 8,238 17,493
========== =========== =========== =========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 43,116 $ 59,540 $ (120,527) $ 41,552 $ 5,525 $ 4,130
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
122
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,
Six Months 2017(a) Six Months Year Six Months Year
Ended to Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- -------- ----------- -------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 1,706 $ 426 $ 3,220 $ 5,730 $ 3,950 $ 7,583
Capital Gain Distributions Received from Affiliated
Investment Companies................................ -- -- 773 653 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... (35) (165) -- -- 19,944 17,468
Affiliated Investment Companies Shares Sold......... -- -- (70) 599 (1) --
Transactions Allocated from Affiliated
Investment Company................................. -- -- 4,407 1,111 -- --
Futures............................................. 24 (72) -- 262 22 --
Foreign Currency Transactions....................... 29 19 27 (26) (16) (26)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.......... 375 3,720 (6,349) -- (7,442) 65,446
Affiliated Investment Companies Shares Sold......... 1 -- 5,791 (148) -- (1)
Transactions Allocated from Affiliated
Investment Company................................. -- -- 4,540 41,263 -- --
Futures............................................. -- -- -- 99 -- --
Translation of Foreign Currency Denominated
Amounts............................................ (11) (1) (15) 13 (51) 19
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 2,089 3,927 12,324 49,556 16,406 90,489
-------- ------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (831) (299) (3,864) (4,532) (2,551) (7,684)
Net Long-Term Gains:
Institutional Class Shares.......................... -- -- -- -- (8,307) --
-------- ------- -------- -------- -------- --------
Total Distributions................................ (831) (299) (3,864) (4,532) (10,858) (7,684)
-------- ------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................ 119,444 65,210 34,825 44,260 77,564 132,580
Shares Issued in Lieu of Cash Distributions.......... 831 299 3,861 4,529 10,833 7,665
Shares Redeemed...................................... (7,098) (1,344) (44,829) (35,416) (33,190) (37,758)
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 113,177 64,165 (6,143) 13,373 55,207 102,487
-------- ------- -------- -------- -------- --------
Total Increase (Decrease) in Net Assets............ 114,435 67,793 2,317 58,397 60,755 185,292
Net Assets
Beginning of Period.................................. 67,793 -- 246,551 188,154 466,504 281,212
-------- ------- -------- -------- -------- --------
End of Period........................................ $182,228 $67,793 $248,868 $246,551 $527,259 $466,504
======== ======= ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 10,970 6,451 2,644 3,780 5,078 9,799
Shares Issued in Lieu of Cash Distributions.......... 78 29 306 407 736 558
Shares Redeemed...................................... (653) (130) (3,434) (3,040) (2,185) (2,738)
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 10,395 6,350 (484) 1,147 3,629 7,619
======== ======= ======== ======== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ 1,021 $ 146 $ 1,383 $ 2,027 $ 2,605 $ 1,206
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
World ex U.S. Core Equity
Portfolio World Core Equity Portfolio
------------------------ --------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017
----------- ---------- ----------- --------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 32,774 $ 54,316 $ 4,767 $ 8,719
Capital Gain Distributions Received from Affiliated
Investment Companies................................ -- -- 1,843 898
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... 11,474 7,525 1 3
Affiliated Investment Companies Shares
Sold............................................... (13) (4) 3,184 (418)
Futures............................................. 657 68 145 --
Foreign Currency Transactions....................... (137) (263) -- --
Forward Currency Contracts.......................... -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.......... 69,738 443,948 -- (1)
Affiliated Investment Companies Shares
Sold............................................... (1) (14) 15,802 90,087
Futures............................................. -- -- -- --
Translation of Foreign Currency Denominated
Amounts............................................ (227) 105 -- --
Forward Currency Contracts.......................... -- -- -- --
---------- ---------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 114,265 505,681 25,742 99,288
---------- ---------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (22,576) (52,690) (4,797) (8,966)
Net Short-Term Gains:
Institutional Class Shares.......................... -- -- -- (67)
Net Long-Term Gains:
Institutional Class Shares.......................... -- -- (1,076) (1,231)
---------- ---------- -------- --------
Total Distributions................................ (22,576) (52,690) (5,873) (10,264)
---------- ---------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................ 610,154 1,011,672 197,664 124,892
Shares Issued in Lieu of Cash Distributions.......... 21,509 50,176 5,600 10,005
Shares Redeemed...................................... (275,013) (365,917) (72,622) (47,259)
---------- ---------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 356,649 695,931 130,642 87,638
---------- ---------- -------- --------
Total Increase (Decrease) in Net Assets............ 448,339 1,148,922 150,511 176,662
Net Assets
Beginning of Period.................................. 2,805,367 1,656,445 546,891 370,229
---------- ---------- -------- --------
End of Period........................................ $3,253,706 $2,805,367 $697,402 $546,891
========== ========== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 48,494 92,982 11,987 8,416
Shares Issued in Lieu of Cash Distributions.......... 1,775 4,555 344 690
Shares Redeemed...................................... (21,902) (33,482) (4,272) (3,225)
---------- ---------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 28,367 64,055 8,059 5,881
========== ========== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ 14,559 $ 4,361 $ (34) $ (4)
Selectively Hedged Global
Equity Portfolio
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 2,940 $ 6,540
Capital Gain Distributions Received from Affiliated
Investment Companies................................ 1,607 894
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... (1) --
Affiliated Investment Companies Shares
Sold............................................... 2,281 (555)
Futures............................................. 2,531 2,398
Foreign Currency Transactions....................... -- --
Forward Currency Contracts.......................... (3,348) (1,466)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.......... 5 5
Affiliated Investment Companies Shares
Sold............................................... 8,108 64,639
Futures............................................. (1,801) 1,354
Translation of Foreign Currency Denominated
Amounts............................................ -- --
Forward Currency Contracts.......................... 1,336 775
-------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 13,658 74,584
-------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (6,606) (6,477)
Net Short-Term Gains:
Institutional Class Shares.......................... (1,478) (260)
Net Long-Term Gains:
Institutional Class Shares.......................... (3,086) (2,369)
-------- --------
Total Distributions................................ (11,170) (9,106)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................ 68,631 90,620
Shares Issued in Lieu of Cash Distributions.......... 11,131 9,105
Shares Redeemed...................................... (70,283) (52,903)
-------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 9,479 46,822
-------- --------
Total Increase (Decrease) in Net Assets............ 11,967 112,300
Net Assets
Beginning of Period.................................. 402,204 289,904
-------- --------
End of Period........................................ $414,171 $402,204
======== ========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 4,094 6,000
Shares Issued in Lieu of Cash Distributions.......... 679 649
Shares Redeemed...................................... (4,190) (3,520)
-------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 583 3,129
======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ (1,066) $ 2,600
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets Small Emerging Markets Value
Emerging Markets Portfolio Cap Portfolio Portfolio
------------------------ ----------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- ----------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 39,928 $ 106,884 $ 54,511 $ 146,645 $ 127,303 $ 398,400
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated
Investment Company*....................... 85,126 (9,141) 245,328 173,759 293,095 (258,290)
Futures.................................... -- 8,254 -- 9,252 -- 19,890
Foreign Currency Transactions.............. 994 (31) (77) 78 1,005 2,920
Change in Unrealized Appreciation
(Depreciation) of:
Transactions Allocated from Affiliated
Investment Company........................ 130,204 1,198,559 140,406 931,907 899,083 3,745,161
Futures.................................... -- 1,186 -- 854 -- 3,766
Translation of Foreign Currency
Denominated Amounts....................... (43) (71) (79) (194) (97) (53)
----------- ----------- ---------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 256,209 1,305,640 440,089 1,262,301 1,320,389 3,911,794
----------- ----------- ---------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares............................ -- -- -- -- (375) (847)
Institutional Class Shares................. (34,123) (107,522) (104,901) (147,304) (227,276) (339,766)
Net Short-Term Gains:
Institutional Class Shares................. -- -- (27,396) (10,357) -- --
Net Long-Term Gains:
Institutional Class Shares................. -- -- (145,194) (117,099) -- --
----------- ----------- ---------- ----------- ----------- -----------
Total Distributions....................... (34,123) (107,522) (277,491) (274,760) (227,651) (340,613)
----------- ----------- ---------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 870,610 1,476,279 746,481 1,554,965 1,373,081 2,459,482
Shares Issued in Lieu of Cash Distributions. 31,675 100,892 264,108 259,430 216,745 322,816
Shares Redeemed............................. (1,495,183) (1,057,775) (586,794) (1,011,728) (2,256,365) (3,341,295)
----------- ----------- ---------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... (592,898) 519,396 423,795 802,667 (666,539) (558,997)
----------- ----------- ---------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... (370,812) 1,717,514 586,393 1,790,208 426,199 3,012,184
Net Assets
Beginning of Period......................... 6,632,914 4,915,400 7,249,717 5,459,509 19,414,428 16,402,244
----------- ----------- ---------- ----------- ----------- -----------
End of Period............................... $ 6,262,102 $ 6,632,914 $7,836,110 $ 7,249,717 $19,840,627 $19,414,428
=========== =========== ========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................... 28,329 56,711 30,931 75,223 42,877 90,920
Shares Issued in Lieu of Cash Distributions. 1,074 3,823 11,543 13,320 7,204 11,717
Shares Redeemed............................. (49,442) (39,854) (24,229) (47,673) (71,182) (122,531)
----------- ----------- ---------- ----------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... (20,039) 20,680 18,245 40,870 (21,101) (19,894)
=========== =========== ========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 3,312 $ (2,493) $ (43,421) $ 6,969 $ (93,976) $ 6,372
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $144 and $144,
respectively.
See accompanying Notes to Financial Statements.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets Core
Equity Portfolio
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................................. $ 192,464 $ 463,779
Net Realized Gain (Loss) on:
Investment Securities Sold*................................................ 74,060 (87,713)
Affiliated Investment Companies Shares Sold................................ (124) (17)
Futures.................................................................... 18,221 29,430
Foreign Currency Transactions.............................................. (1,498) (3,967)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................. 1,009,322 4,549,390
Affiliated Investment Companies Shares Sold................................ (27) (115)
Futures.................................................................... (15,447) 9,334
Translation of Foreign Currency Denominated Amounts........................ (165) (275)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations........... 1,276,806 4,959,846
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................................................. (165,807) (449,166)
----------- -----------
Total Distributions....................................................... (165,807) (449,166)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................................ 3,498,439 6,836,743
Shares Issued in Lieu of Cash Distributions.................................. 156,581 422,561
Shares Redeemed.............................................................. (2,143,242) (3,397,228)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions................... 1,511,778 3,862,076
----------- -----------
Total Increase (Decrease) in Net Assets................................... 2,622,777 8,372,756
Net Assets
Beginning of Period.......................................................... 27,085,722 18,712,966
----------- -----------
End of Period................................................................ $29,708,499 $27,085,722
=========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................................................ 148,809 342,803
Shares Issued in Lieu of Cash Distributions.................................. 7,041 20,857
Shares Redeemed.............................................................. (91,153) (170,351)
----------- -----------
Net Increase (Decrease) from Shares Issued and Redeemed................... 64,697 193,309
=========== ===========
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... $ 32,981 $ 6,324
----------
* Net of foreign capital gain taxes withheld of $5 and $0, respectively.
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio
-------------------------------------------------------------- --------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2018 2017 2016 2015 2014 2013 2018
------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period.......... $ 14.54 $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 15.93
-------- -------- -------- -------- -------- -------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.12 0.18 0.10 0.07 0.07 0.07 0.13
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.26 2.63 0.45 0.53 1.94 2.42 0.58
-------- -------- -------- -------- -------- -------- ----------
Total from Investment Operations........... 0.38 2.81 0.55 0.60 2.01 2.49 0.71
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.13) (0.13) (0.08) (0.05) (0.06) (0.08) (0.13)
Net Realized Gains.......................... (2.04) (0.36) (0.79) (1.66) -- -- --
-------- -------- -------- -------- -------- -------- ----------
Total Distributions........................ (2.17) (0.49) (0.87) (1.71) (0.06) (0.08) (0.13)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 12.75 $ 14.54 $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 16.51
============================================= =========== ======== ======== ======== ======== ======== ===========
Total Return.................................. 2.41%(D) 23.53% 4.75% 5.25% 17.18% 26.99% 4.44%(D)
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $336,888 $322,347 $238,413 $203,641 $216,719 $212,840 $1,378,573
Ratio of Expenses to Average Net Assets....... 0.15%(E) 0.18% 0.23% 0.24% 0.23% 0.24% 0.17%(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))................................. 0.23%(E) 0.24% 0.24% 0.24% 0.23% 0.24% 0.17%(E)
Ratio of Net Investment Income to Average
Net Assets................................... 1.83%(E) 1.36% 0.80% 0.53% 0.55% 0.63% 1.63%(E)
Portfolio Turnover Rate....................... 48%(D) 122% 119% 223% 202% 139% 3%(D)
------------------------------------------------------------------------------------------------------------------------------
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.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio
-------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 38.84 $ 32.63 $ 33.27 $ 33.75 $ 29.72 $ 22.34
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.38 0.74 0.70 0.69 0.56 0.47
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 1.03 6.99 0.71 (0.32) 4.02 7.38
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations..... 1.41 7.73 1.41 0.37 4.58 7.85
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.34) (0.70) (0.70) (0.66) (0.55) (0.47)
Net Realized Gains..................... (1.83) (0.82) (1.35) (0.19) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (2.17) (1.52) (2.05) (0.85) (0.55) (0.47)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 38.08 $ 38.84 $ 32.63 $ 33.27 $ 33.75 $ 29.72
======================================= =========== =========== =========== =========== =========== ===========
Total Return............................ 3.59%(D) 24.11% 4.58% 1.16% 15.49% 35.52%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $24,842,758 $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%(E) 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%(E) 0.37% 0.37% 0.30% 0.27% 0.27%
Ratio of Net Investment Income to
Average Net Assets..................... 1.96%(E) 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.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares
-----------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 25.15 $ 21.26 $ 21.58 $ 23.19 $ 22.63 $17.28
------- ------- ------- ------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.14 0.25 0.24 0.26 0.18 0.27
Net Gains (Losses) on Securities (Realized and Unrealized). 0.46 4.66 0.60 (0.61) 1.86 6.28
------- ------- ------- ------- ------- ------
Total from Investment Operations.......................... 0.60 4.91 0.84 (0.35) 2.04 6.55
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.13) (0.24) (0.27) (0.25) (0.16) (0.22)
Net Realized Gains......................................... (1.09) (0.78) (0.89) (1.01) (1.32) (0.98)
------- ------- ------- ------- ------- ------
Total Distributions....................................... (1.22) (1.02) (1.16) (1.26) (1.48) (1.20)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 24.53 $ 25.15 $ 21.26 $ 21.58 $ 23.19 $22.63
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 2.41%(D) 23.32% 4.21% (1.33)% 9.47% 40.39%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $54,383 $54,960 $35,661 $40,159 $16,971 $9,470
Ratio of Expenses to Average Net Assets...................... 0.47%(E) 0.47% 0.47% 0.47% 0.47% 0.47%
Ratio of Net Investment Income to Average Net Assets......... 1.16%(E) 1.03% 1.16% 1.15% 0.79% 1.42%
Portfolio Turnover Rate...................................... 9% (D) 23% 28% 15% 10% 16%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R2 Shares
-------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 25.03 $ 21.16 $ 21.51 $ 23.12 $ 22.57 $ 17.26
-------- -------- -------- -------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.12 0.21 0.20 0.23 0.15 0.19
Net Gains (Losses) on Securities (Realized and Unrealized). 0.46 4.65 0.60 (0.61) 1.84 6.31
-------- -------- -------- -------- ------- -------
Total from Investment Operations.......................... 0.58 4.86 0.80 (0.38) 1.99 6.50
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.12) (0.21) (0.26) (0.22) (0.12) (0.21)
Net Realized Gains......................................... (1.09) (0.78) (0.89) (1.01) (1.32) (0.98)
-------- -------- -------- -------- ------- -------
Total Distributions....................................... (1.21) (0.99) (1.15) (1.23) (1.44) (1.19)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 24.40 $ 25.03 $ 21.16 $ 21.51 $ 23.12 $ 22.57
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 2.32%(D) 23.17% 4.04% (1.49)% 9.30% 40.10%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $162,517 $156,809 $147,945 $135,412 $82,977 $23,305
Ratio of Expenses to Average Net Assets...................... 0.62%(E) 0.62% 0.62% 0.63% 0.62% 0.62%
Ratio of Net Investment Income to Average Net Assets......... 1.01%(E) 0.90% 1.00% 1.02% 0.64% 0.95%
Portfolio Turnover Rate...................................... 9%(D) 23% 28% 15% 10% 16%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares
----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 25.16 $ 21.26 $ 21.56 $ 23.16 $ 22.60 $ 17.28
----------- ----------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.16 0.27 0.25 0.29 0.21 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.45 4.67 0.60 (0.61) 1.85 6.31
----------- ----------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 0.61 4.94 0.85 (0.32) 2.06 6.55
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.14) (0.26) (0.26) (0.27) (0.18) (0.25)
Net Realized Gains..................... (1.09) (0.78) (0.89) (1.01) (1.32) (0.98)
----------- ----------- ---------- ---------- ---------- ----------
Total Distributions.................. (1.23) (1.04) (1.15) (1.28) (1.50) (1.23)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 24.54 $ 25.16 $ 21.26 $ 21.56 $ 23.16 $ 22.60
======================================= =========== =========== ========== ========== ========== ==========
Total Return............................ 2.45%(D) 23.46% 4.29% (1.20)% 9.58% 40.40%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $10,650,751 $10,528,662 $7,884,683 $6,987,896 $5,490,959 $4,180,974
Ratio of Expenses to Average Net Assets. 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to
Average Net Assets..................... 1.26%(E) 1.13% 1.24% 1.28% 0.90% 1.25%
Portfolio Turnover Rate................. 9%(D) 23% 28% 15% 10% 16%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Value Portfolio
-------------------------------------------------------
Six Months Year Year Year
Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015
----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 39.07 $ 32.75 $ 33.08 $ 35.82
----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.19 0.31 0.32 0.41
Net Gains (Losses) on Securities (Realized and Unrealized). (3.71) 7.71 1.06 (1.44)
----------- ----------- ----------- -----------
Total from Investment Operations.......................... (3.52) 8.02 1.38 (1.03)
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... 0.17 (0.30) (0.33) (0.38)
Net Realized Gains......................................... 1.80 (1.40) (1.38) (1.33)
----------- ----------- ----------- -----------
Total Distributions....................................... 1.97 (1.70) (1.71) (1.71)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 37.52 $ 39.07 $ 32.75 $ 33.08
============================================================= =========== =========== =========== ===========
Total Return................................................. 1.08%(D) 24.67% 4.49% (2.83)%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $15,206,779 $15,165,867 $12,613,185 $11,680,262
Ratio of Expenses to Average Net Assets...................... 0.52%(E) 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 1.01%(E) 0.83% 1.01% 1.18%
Portfolio Turnover Rate...................................... 9%(D) 24% 19% 17%
----------------------------------------------------------------------------------------------------------------------
------------------------
Year Year
Ended Ended
Oct. 31, Oct. 31,
2014 2013
--------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... $ 34.48 $ 26.57
----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.23 0.39
Net Gains (Losses) on Securities (Realized and Unrealized). 2.93 9.41
----------- ----------
Total from Investment Operations.......................... 3.16 9.80
--------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.22) (0.37)
Net Realized Gains......................................... (1.60) (1.52)
----------- ----------
Total Distributions....................................... (1.82) (1.89)
--------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 35.82 $ 34.48
============================================================= =========== ==========
Total Return................................................. 9.49% 39.35%
--------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $11,512,306 $9,526,981
Ratio of Expenses to Average Net Assets...................... 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 0.66% 1.28%
Portfolio Turnover Rate...................................... 9% 14%
--------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio
------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 22.01 $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.18 0.33 0.33 0.31 0.27 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.16 4.12 0.30 0.26 2.02 3.62
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment Operations....... 0.34 4.45 0.63 0.57 2.29 3.87
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... 0.16 (0.35) (0.32) (0.30) (0.25) (0.24)
Net Realized Gains...................... 0.13 (0.09) (0.21) (0.08) (0.07) --
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions.................... 0.29 (0.44) (0.53) (0.38) (0.32) (0.24)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 22.64 $ 22.01 $ 18.00 $ 17.90 $ 17.71 $ 15.74
========================================== =========== =========== =========== =========== =========== ==========
Total Return.............................. 4.19%(D) 24.93% 3.68% 3.26% 14.72% 32.32%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $22,288,808 $20,762,742 $14,960,159 $13,275,774 $10,780,830 $7,566,179
Ratio of Expenses to Average Net
Assets................................... 0.18%(E) 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average
Net Assets............................... 1.56%(E) 1.64% 1.88% 1.71% 1.61% 1.79%
Portfolio Turnover Rate................... 1%(D) 3% 4% 4% 5% 1%
---------------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 Portfolio
------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 20.90 $ 17.19 $ 17.26 $ 17.34 $ 15.62 $ 11.99
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.16 0.31 0.31 0.30 0.26 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.09) 3.83 0.25 0.02 1.86 3.73
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment Operations....... 0.07 4.14 0.56 0.32 2.12 3.97
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... 0.15 (0.31) (0.30) (0.28) (0.24) (0.24)
Net Realized Gains...................... 0.20 (0.12) (0.33) (0.12) (0.16) (0.10)
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions.................... 0.35 (0.43) (0.63) (0.40) (0.40) (0.34)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 21.32 $ 20.90 $ 17.19 $ 17.26 $ 17.34 $ 15.62
========================================== =========== =========== =========== =========== =========== ==========
Total Return.............................. 3.72%(D) 24.36% 3.47% 1.92% 13.78% 33.66%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $24,088,937 $22,515,418 $16,851,046 $15,200,564 $12,919,176 $9,989,564
Ratio of Expenses to Average Net
Assets................................... 0.21%(E) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average
Net Assets............................... 1.53%(E) 1.59% 1.87% 1.68% 1.55% 1.74%
Portfolio Turnover Rate................... 2%(D) 5% 4% 5% 6% 3%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
133
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Vector Equity Portfolio
---------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 19.16 $ 15.93 $ 16.22 $ 17.04 $ 15.62
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.13 0.24 0.25 0.25 0.21
Net Gains (Losses) on Securities (Realized and Unrealized). (1.15) 3.65 0.24 (0.30) 1.62
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... (1.02) 3.89 0.49 (0.05) 1.83
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... 0.12 (0.23) (0.25) (0.24) (0.19)
Net Realized Gains......................................... 0.67 (0.43) (0.53) (0.53) (0.22)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... 0.79 (0.66) (0.78) (0.77) (0.41)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 18.93 $ 19.16 $ 15.93 $ 16.22 $ 17.04
============================================================= =========== ========== ========== ========== ==========
Total Return................................................. 2.92%(D) 24.73% 3.28% (0.18)% 11.91%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $4,750,253 $4,724,003 $3,822,647 $3,651,529 $3,501,319
Ratio of Expenses to Average Net Assets...................... 0.32%(E) 0.32% 0.32% 0.32% 0.32%
Ratio of Net Investment Income to Average Net Assets......... 1.40%(E) 1.36% 1.64% 1.50% 1.26%
Portfolio Turnover Rate...................................... 5%(D) 10% 10% 10% 10%
------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2013
-------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... $ 11.61
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.20
Net Gains (Losses) on Securities (Realized and Unrealized). 4.03
----------
Total from Investment Operations.......................... 4.23
-------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.20)
Net Realized Gains......................................... (0.02)
----------
Total Distributions....................................... (0.22)
-------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 15.62
============================================================= ==========
Total Return................................................. 36.80%
-------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $2,893,842
Ratio of Expenses to Average Net Assets...................... 0.32%
Ratio of Net Investment Income to Average Net Assets......... 1.50%
Portfolio Turnover Rate...................................... 3%
-------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 36.48 $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11
----------- ----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.21 0.35 0.34 0.35 0.26 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.52 7.17 0.77 0.33 2.27 8.13
----------- ----------- ----------- ----------- ---------- ----------
Total from Investment Operations............... 0.73 7.52 1.11 0.68 2.53 8.48
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.19) (0.35) (0.35) (0.33) (0.24) (0.36)
Net Realized Gains.............................. (1.40) (0.83) (1.46) (0.89) (0.94) (1.20)
----------- ----------- ----------- ----------- ---------- ----------
Total Distributions............................ (1.59) (1.18) (1.81) (1.22) (1.18) (1.56)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 35.62 $ 36.48 $ 30.14 $ 30.84 $ 31.38 $ 30.03
================================================= =========== =========== =========== =========== ========== ==========
Total Return...................................... 2.01%(D) 25.21% 3.89% 2.34% 8.67% 39.03%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $17,523,149 $16,931,787 $12,977,199 $10,616,542 $9,247,716 $7,446,827
Ratio of Expenses to Average Net Assets........... 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average
Net Assets....................................... 1.17%(E) 1.04% 1.16% 1.10% 0.86% 1.33%
Portfolio Turnover Rate........................... 6%(D) 14% 10% 11% 9% 10%
----------------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio
-------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 22.76 $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.10 0.16 0.16 0.16 0.14 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.28 5.12 0.60 0.02 1.35 5.57
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 0.38 5.28 0.76 0.18 1.49 5.76
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.09) (0.16) (0.16) (0.16) (0.13) (0.20)
Net Realized Gains.............................. (1.01) (0.94) (1.02) (1.12) (0.90) (0.76)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................ (1.10) (1.10) (1.18) (1.28) (1.03) (0.96)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 22.04 $ 22.76 $ 18.58 $ 19.00 $ 20.10 $ 19.64
================================================= ========== ========== ========== ========== ========== ==========
Total Return...................................... 1.70%(D) 28.91% 4.32% 1.11% 7.88% 41.34%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $6,457,528 $6,306,730 $5,128,323 $5,007,091 $5,029,027 $4,695,831
Ratio of Expenses to Average Net Assets........... 0.52%(E) 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average
Net Assets....................................... 0.87%(E) 0.75% 0.88% 0.82% 0.69% 1.16%
Portfolio Turnover Rate........................... 6%(D) 15% 15% 14% 12% 11%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. High Relative Profitability Portfolio
------------------------------------- ---------------
Period
Six Months May 16, Six Months
Ended 2017(a) to Ended
April 30, Oct. 31, April 30,
2018 2017 2018
-------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period.............................. $ 10.93 $ 10.00 $ 34.99
-------- -------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... -- 0.07 0.69
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.74 0.91 (2.08)
-------- -------- ----------
Total from Investment Operations.. 0.74 0.98 (1.39)
-------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.07) (0.05) (0.70)
Net Realized Gains.................. -- -- (0.11)
-------- -------- ----------
Total Distributions............... (0.07) (0.05) (0.81)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 11.60 $ 10.93 $ 32.79
=================================== ==================== ================== ===========
Total Return (D)..................... 6.80% 9.84% (4.10)%(D)
-------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $379,383 $141,073 $8,388,593
Ratio of Expenses to Average Net
Assets (E).......................... 0.25% 0.23%(C) 0.18%(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)) (E).................... 0.27% 0.35%(C) 0.19%(E)
Ratio of Net Investment Income to
Average Net Assets (E).............. 1.42% 1.45%(C) 4.12%(E)
Portfolio Turnover Rate (D).......... 4% 0% 1%(D)
-------------------------------------------------------------------------------------------------
DFA Real Estate Securities Portfolio
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period.............................. $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.84 1.09 0.90 0.72 0.67
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 1.12 1.18 0.95 4.62 1.95
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.. 1.96 2.27 1.85 5.34 2.62
-------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.98) (0.99) (1.05) (0.87) (0.68)
Net Realized Gains.................. (0.31) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............... (1.29) (0.99) (1.05) (0.87) (0.68)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 34.99 $ 34.32 $ 33.04 $ 32.24 $ 27.77
=================================== ========== ========== ========== ========== ==========
Total Return (D)..................... 5.86% 6.89% 5.89% 19.80% 10.28%
-------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $8,281,176 $7,260,180 $6,553,192 $6,607,759 $4,677,418
Ratio of Expenses to Average Net
Assets (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)) (E).................... 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets (E).............. 2.43% 3.15% 2.75% 2.48% 2.42%
Portfolio Turnover Rate (D).......... 1% 3% 4% 0% 1%
-------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
136
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Large Cap International Portfolio
---------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 22.20 $ 18.33
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.32 0.58 0.57 0.58 0.75 0.58
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.40 4.00 (0.86) (1.24) (0.62) 3.90
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 0.72 4.58 (0.29) (0.66) 0.13 4.48
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.21) (0.58) (0.55) (0.57) (0.74) (0.61)
Net Realized Gains.......................... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.21) (0.58) (0.55) (0.57) (0.74) (0.61)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 24.03 $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 22.20
============================================= =========== ========== ========== ========== ========== ==========
Total Return.................................. 3.08%(D) 23.79% (1.30)% (3.10)% 0.47% 24.85%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $4,985,826 $4,723,090 $3,527,775 $3,150,334 $3,127,847 $2,755,114
Ratio of Expenses to Average Net Assets....... 0.23%(E) 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))................................. 0.23%(E) 0.25% 0.28% 0.29% 0.28% 0.29%
Ratio of Net Investment Income to Average
Net Assets................................... 2.66%(E) 2.72% 2.95% 2.71% 3.35% 2.90%
Portfolio Turnover Rate....................... 3%(D) 10% 10% 10% 4% 5%
----------------------------------------------------------------------------------------------------------------------------
International Core Equity Portfolio
--------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 14.23 $ 11.58 $ 11.69 $ 12.15 $ 12.57 $ 10.10
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.18 0.34 0.32 0.32 0.38 0.31
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.32 2.63 (0.15) (0.45) (0.43) 2.47
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment Operations........... 0.50 2.97 0.17 (0.13) (0.05) 2.78
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.12) (0.32) (0.28) (0.33) (0.37) (0.31)
Net Realized Gains.......................... -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions........................ (0.12) (0.32) (0.28) (0.33) (0.37) (0.31)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 14.61 $ 14.23 $ 11.58 $ 11.69 $ 12.15 $ 12.57
============================================= =========== =========== =========== =========== =========== ==========
Total Return.................................. 3.57%(D) 26.02% 1.62% (1.10)% (0.55)% 27.98%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $29,015,338 $25,443,968 $16,983,011 $14,420,568 $12,294,542 $9,508,466
Ratio of Expenses to Average Net Assets....... 0.30%(E) 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))................................. 0.29%(E) 0.32% 0.38% 0.38% 0.38% 0.39%
Ratio of Net Investment Income to Average
Net Assets................................... 2.51%(E) 2.62% 2.83% 2.63% 3.01% 2.80%
Portfolio Turnover Rate....................... 2%(D) 6% 2% 4% 7% 3%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
137
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Small Company Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 21.52 $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28
----------- ----------- ----------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.22 0.41 0.43 0.41 0.42 0.42
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.61 4.13 0.48 0.12 (0.62) 4.16
----------- ----------- ----------- ---------- ---------- ----------
Total from Investment
Operations................. 0.83 4.54 0.91 0.53 (0.20) 4.58
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.31) (0.34) (0.51) (0.42) (0.42) (0.37)
Net Realized Gains............ (0.67) (0.46) (0.40) (0.57) (0.54) (0.09)
----------- ----------- ----------- ---------- ---------- ----------
Total Distributions......... (0.98) (0.80) (0.91) (0.99) (0.96) (0.46)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 21.37 $ 21.52 $ 17.78 $ 17.78 $ 18.24 $ 19.40
============================== =========== =========== =========== ========== ========== ==========
Total Return................... 4.02%(D) 26.54% 5.43% 3.30% (1.09)% 30.66%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $14,325,136 $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%(E) 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%(E) 0.53% 0.53% 0.54% 0.53% 0.54%
Ratio of Net Investment
Income to Average Net Assets.. 2.09%(E) 2.14% 2.47% 2.30% 2.15% 2.47%
---------------------------------------------------------------------------------------------------------------
Global Small Company
Portfolio
----------------------
Period
Six Months Jan. 18,
Ended 2017(a) to
April 30, Oct. 31,
2018 2017
-------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 11.53 $ 10.00
------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.09 0.14
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.29 1.39
------- -------
Total from Investment
Operations................. 0.38 1.53
-------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.17) --
Net Realized Gains............ (0.07) --
------- -------
Total Distributions......... (0.24) --
-------------------------------------------------------------
Net Asset Value, End of Period. $ 11.67 $ 11.53
============================== =========== ==========
Total Return................... 3.30%(D) 15.30%(D)
-------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $25,696 $15,021
Ratio of Expenses to Average
Net Assets (B)................ 0.49%(E) 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)..... 0.93%(E) 1.14%(C)(E)
Ratio of Net Investment
Income to Average Net Assets.. 1.52%(E) 1.74%(C)(E)
-------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
138
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Japanese Small Company Portfolio
-------------------------------------------------------------- -------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2018 2017 2016 2015 2014 2013 2018
----------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period............... $ 28.56 $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 23.71
-------- -------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.26 0.37 0.32 0.25 0.24 0.26 0.38
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.46 5.61 2.51 1.36 0.13 4.21 0.50
-------- -------- -------- -------- -------- -------- --------
Total from Investment Operations................ 1.72 5.98 2.83 1.61 0.37 4.47 0.88
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.70) (0.43) (0.28) (0.30) (0.55) (0.13) (0.96)
Net Realized Gains............................... -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total Distributions............................. (0.70) (0.43) (0.28) (0.30) (0.55) (0.13) (0.96)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 29.58 $ 28.56 $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 23.63
=================================================== =========== ======== ======== ======== ======== ======== ===========
Total Return....................................... 6.09%(D) 26.56% 14.04% 8.62% 2.00% 30.06% 3.79%(D)
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $714,836 $647,978 $509,413 $463,997 $508,190 $414,132 $372,669
Ratio of Expenses to Average Net Assets (B)........ 0.53%(E) 0.54% 0.54% 0.54% 0.55% 0.56% 0.54%(E)
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by
Advisor) (B)...................................... 0.63%(E) 0.64% 0.64% 0.57% 0.55% 0.56% 0.64%(E)
Ratio of Net Investment Income to Average
Net Assets........................................ 1.79%(E) 1.50% 1.57% 1.27% 1.25% 1.51% 3.22%(E)
----------------------------------------------------------------------------------------------------------------------------------
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 Period............... $ 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 Period..................... $ 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 Period (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.
139
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
United Kingdom Small Company Portfolio
---------------------------------------------------------- ----------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2018 2017 2016 2015 2014 2013 2018
------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period...... $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 28.24
------- ------- ------- ------- ------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.43 0.87 1.18 1.06 0.95 0.88 0.26
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.87 6.67 (6.55) 1.95 (0.65) 9.17 0.65
------- ------- ------- ------- ------- ------- --------
Total from Investment Operations....... 1.30 7.54 (5.37) 3.01 0.30 10.05 0.91
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.44) (0.93) (1.29) (1.05) (0.93) (0.90) (0.07)
Net Realized Gains...................... (2.13) (1.15) (1.63) (2.38) (0.41) -- (0.21)
------- ------- ------- ------- ------- ------- --------
Total Distributions.................... (2.57) (2.08) (2.92) (3.43) (1.34) (0.90) (0.28)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 31.40 $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 28.87
========================================== =========== ======== ======== ======== ======== ======== ===========
Total Return.............................. 4.43%(D) 29.28% (16.20)% 9.43% 0.73% 36.81% 3.27%(D)
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $42,928 $45,177 $32,323 $35,637 $35,050 $37,096 $767,244
Ratio of Expenses to Average Net
Assets (B)............................... 0.58%(E) 0.59% 0.59% 0.58% 0.58% 0.59% 0.54%(B)(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly)) (B).................... 0.68%(E) 0.71% 0.71% 0.62% 0.62% 0.63% 0.64%(B)(E)
Ratio of Net Investment Income to Average
Net Assets............................... 2.77%(E) 2.93% 3.87% 2.99% 2.50% 2.79% 1.82%(E)
------------------------------------------------------------------------------------------------------------------------
Continental 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...... $ 21.48 $ 20.74 $ 19.34 $ 20.26 $ 14.51
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.45 0.43 0.43 0.42 0.37
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 6.73 0.72 1.38 (0.90) 5.78
-------- -------- -------- -------- --------
Total from Investment Operations....... 7.18 1.15 1.81 (0.48) 6.15
-----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.42) (0.41) (0.41) (0.44) (0.40)
Net Realized Gains...................... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions.................... (0.42) (0.41) (0.41) (0.44) (0.40)
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 28.24 $ 21.48 $ 20.74 $ 19.34 $ 20.26
========================================== ======== ======== ======== ======== ========
Total Return.............................. 33.68% 5.70% 9.37% (2.68)% 42.99%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $592,347 $292,117 $278,024 $168,961 $170,806
Ratio of Expenses to Average Net
Assets (B)............................... 0.56%(B) 0.54%(B) 0.55%(B) 0.56%(B) 0.58%(B)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly)) (B).................... 0.66%(B) 0.64%(B) 0.58%(B) 0.56%(B) 0.58%(B)
Ratio of Net Investment Income to Average
Net Assets............................... 1.78% 2.08% 2.09% 1.97% 2.16%
-----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Real Estate Securities Portfolio
--------------------------------------------------------------------------
Period
Six Months July 10, Year Year Year Year
Ended 2017(a) to Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 5.07 $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.11 0.21 0.20 0.19 0.22 0.22
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.27 0.04 (0.15) (0.22) 0.19 0.25
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 0.38 0.25 0.05 (0.03) 0.41 0.47
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.22) (0.41) (0.09) (0.33) (0.26) (0.66)
Net Realized Gains...................... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.22) (0.41) (0.09) (0.33) (0.26) (0.66)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 5.23 $ 5.07 $ 5.23 $ 5.27 $ 5.63 $ 5.48
========================================== =========== ========== ========== ========== ========== ==========
Total Return.............................. 7.58%(D) 5.46% 1.05% (0.37)% 8.21% 9.24%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $5,797,821 $5,497,753 $4,181,623 $3,540,092 $3,088,376 $2,158,977
Ratio of Expenses to Average Net
Assets................................... 0.27%(E) 0.28% 0.28% 0.32% 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))........................ 0.28%(E) 0.28% 0.28% 0.32% 0.38% 0.39%
Ratio of Net Investment Income to Average
Net Assets............................... 4.39%(E) 4.19% 3.71% 3.64% 4.14% 4.07%
Portfolio Turnover Rate................... 3% 1% 1% 2% 1% 5%
-----------------------------------------------------------------------------------------------------------------------
DFA Global Real Estate Securities Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 10.90 $ 10.84 $ 10.59 $ 10.63 $ 9.59
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.30 0.43 0.27 0.44 0.31
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.28) 0.15 0.23 (0.09) 1.05
---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 0.02 0.58 0.50 0.35 1.36
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.34) (0.49) (0.25) (0.39) (0.32)
Net Realized Gains...................... (0.07) (0.03) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.41) (0.52) (0.25) (0.39) (0.32)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 10.51 $ 10.90 $ 10.84 $ 10.59 $ 10.63
========================================== =========== ========== ========== ========== ==========
Total Return.............................. 0.01%(D) 5.82% 4.87% 3.44% 14.98%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $7,145,116 $6,753,782 $4,888,955 $4,059,916 $3,305,472
Ratio of Expenses to Average Net
Assets................................... 0.24%(B)(E) 0.24%(B) 0.24%(B) 0.27%(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))........................ 0.35%(B)(E) 0.37%(B) 0.38%(B) 0.45%(B) 0.55%(B)
Ratio of Net Investment Income to Average
Net Assets............................... 5.64%(E) 4.03% 2.45% 4.16% 3.21%
Portfolio Turnover Rate................... 3%(D) 2% 2% 1% N/A
-------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2013
---------------------------------------------------------
Net Asset Value, Beginning of Period...... $ 9.33
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.49
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.37
----------
Total from Investment Operations....... 0.86
---------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.60)
Net Realized Gains...................... --
----------
Total Distributions.................... (0.60)
---------------------------------------------------------
Net Asset Value, End of Period............ $ 9.59
========================================== ==========
Total Return.............................. 9.74%
---------------------------------------------------------
Net Assets, End of Period (thousands)..... $2,082,707
Ratio of Expenses to Average Net
Assets................................... 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))........................ 0.55%(B)
Ratio of Net Investment Income to Average
Net Assets............................... 5.18%
Portfolio Turnover Rate................... N/A
---------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
141
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Small Cap Value Portfolio
-------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 23.51 $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.22 0.39 0.44 0.38 0.37 0.37
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.37 4.72 0.29 0.22 (0.34) 5.21
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations........... 0.59 5.11 0.73 0.60 0.03 5.58
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.46) (0.29) (0.58) (0.37) (0.35) (0.36)
Net Realized Gains.......................... (0.74) (0.62) (0.28) (0.34) (0.30) (0.21)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions........................ (1.20) (0.91) (0.86) (0.71) (0.65) (0.57)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 22.90 $ 23.51 $ 19.31 $ 19.44 $ 19.55 $ 20.17
============================================= =========== =========== =========== =========== =========== ===========
Total Return.................................. 2.64%(D) 27.49% 4.09% 3.31% 0.13% 37.79%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $16,241,192 $16,162,471 $13,009,729 $12,577,575 $11,684,771 $11,148,899
Ratio of Expenses to Average Net Assets....... 0.68%(E) 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%(E) 0.68% 0.68% 0.69% 0.68% 0.69%
Ratio of Net Investment Income to Average
Net Assets................................... 1.89%(E) 1.85% 2.38% 1.94% 1.78% 2.16%
Portfolio Turnover Rate....................... 11%(D) 21% 19% 18% 8% 9%
--------------------------------------------------------------------------------------------------------------------------------
International Vector Equity Portfolio
---------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 13.33 $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.15 0.28 0.28 0.28 0.32 0.26
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.35 2.57 0.05 (0.41) (0.43) 2.44
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 0.50 2.85 0.33 (0.13) (0.11) 2.70
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.15) (0.28) (0.27) (0.27) (0.30) (0.25)
Net Realized Gains.......................... (0.05) (0.02) (0.04) (0.10) (0.08) (0.03)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.20) (0.30) (0.31) (0.37) (0.38) (0.28)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 13.63 $ 13.33 $ 10.78 $ 10.76 $ 11.26 $ 11.75
============================================= =========== ========== ========== ========== ========== ==========
Total Return.................................. 3.81%(D) 26.83% 3.21% (1.14)% (1.05)% 29.52%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $2,698,738 $2,529,852 $1,856,474 $1,594,914 $1,305,553 $1,090,774
Ratio of Expenses to Average Net Assets....... 0.48%(E) 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))................................. 0.48%(E) 0.49% 0.49% 0.50% 0.49% 0.51%
Ratio of Net Investment Income to Average
Net Assets................................... 2.25%(E) 2.36% 2.73% 2.50% 2.64% 2.51%
Portfolio Turnover Rate....................... 7%(D) 5% 4% 8% 8% 2%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
142
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International High Relative
Profitability Portfolio
---------------------- ----------------
Period
Six Months May 16, Six Months
Ended 2017(a) to Ended
April 30, Oct. 31, April 30,
2018 2017 2018
------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period........................ $ 10.68 $ 10.00 $ 12.71
-------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.14 0.08 0.16
Net Gains (Losses) on Securities (Realized and Unrealized). 0.13 0.66 0.48
-------- ------- --------
Total from Investment Operations......................... 0.27 0.74 0.64
------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.07) (0.06) (0.20)
Net Realized Gains......................................... -- -- --
-------- ------- --------
Total Distributions...................................... (0.07) (0.06) (0.20)
------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 10.88 $ 10.68 $ 13.15
=========================================================== =========== ========== ===========
Total Return................................................ 2.57%(D) 7.38%(D) 5.11%(D)
------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $182,228 $67,793 $248,868
Ratio of Expenses to Average Net Assets..................... 0.35%(E) 0.31%(C)(E) 0.51%(B)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................. 0.36%(E) 0.65%(C)(E) 0.73%(B)(E)
Ratio of Net Investment Income to Average Net Assets........ 2.57%(E) 1.76%(C)(E) 2.54%(E)
Portfolio Turnover Rate..................................... 3%(D) 2% N/A
------------------------------------------------------------------------------------------------------------
World ex U.S. 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 Period........................ $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.31 0.31 0.30 0.42 0.29
Net Gains (Losses) on Securities (Realized and Unrealized). 2.33 0.03 (1.18) (0.50) 2.02
-------- -------- -------- -------- --------
Total from Investment Operations......................... 2.64 0.34 (0.88) (0.08) 2.31
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.24) (0.31) (0.27) (0.42) (0.32)
Net Realized Gains......................................... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions...................................... (0.24) (0.31) (0.27) (0.42) (0.32)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 12.71 $ 10.31 $ 10.28 $ 11.43 $ 11.93
=========================================================== ======== ======== ======== ======== ========
Total Return................................................ 25.97% 3.54% (7.77)% (0.81)% 23.61%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $246,551 $188,154 $155,301 $113,951 $117,587
Ratio of Expenses to Average Net Assets..................... 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)................................. 0.75%(B) 0.76%(B) 0.75%(B) 0.76%(B) 0.76%(B)
Ratio of Net Investment Income to Average Net Assets........ 2.69% 3.20% 2.69% 3.54% 2.61%
Portfolio Turnover Rate..................................... 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.
143
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World ex U.S. Targeted Value Portfolio
---------------------------------------------------------------
Period
Six Months Year Year Year Year Nov. 1,
Ended Ended Ended Ended Ended 2012(a) to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 15.06 $ 12.04 $ 11.44 $ 12.08 $ 12.46 $ 10.00
-------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.12 0.28 0.25 0.23 0.23 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.39 3.01 0.55 (0.58) (0.22) 2.46
-------- -------- -------- -------- -------- -------
Total from Investment Operations................ 0.51 3.29 0.80 (0.35) 0.01 2.66
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.08) (0.27) (0.20) (0.26) (0.24) (0.20)
Net Realized Gains............................... (0.26) -- -- (0.03) (0.15) --
-------- -------- -------- -------- -------- -------
Total Distributions............................. (0.34) (0.27) (0.20) (0.29) (0.39) (0.20)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 15.23 $ 15.06 $ 12.04 $ 11.44 $ 12.08 $ 12.46
=================================================== =========== ======== ======== ======== ======== ==========
Total Return....................................... 3.50%(D) 27.61% 7.18% (2.88)% 0.06% 26.90%(D)
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $527,259 $466,504 $281,212 $227,731 $151,096 $96,010
Ratio of Expenses to Average Net Assets............ 0.66%(E) 0.67% 0.76% 0.65% 0.69% 0.79%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding
(Fees Paid Indirectly)) (B)....................... 0.66%(E) 0.67% 0.77% 1.06% 1.17% 1.27%(C)(E)
Ratio of Net Investment Income to Average
Net Assets........................................ 1.59%(E) 2.04% 2.18% 1.95% 1.84% 1.78%(C)(E)
Portfolio Turnover Rate............................ 11%(D) 17% 28% 1% N/A N/A
---------------------------------------------------------------------------------------------------------------------------
World ex U.S. Core Equity Portfolio
--------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 12.15 $ 9.93 $ 9.83 $ 10.49 $ 10.77
---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.13 0.27 0.26 0.26 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.36 2.21 0.08 (0.72) (0.27)
---------- ---------- ---------- ---------- --------
Total from Investment Operations................ 0.49 2.48 0.34 (0.46) 0.01
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.09) (0.26) (0.24) (0.20) (0.28)
Net Realized Gains............................... -- -- -- -- (0.01)
---------- ---------- ---------- ---------- --------
Total Distributions............................. (0.09) (0.26) (0.24) (0.20) (0.29)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 12.55 $ 12.15 $ 9.93 $ 9.83 $ 10.49
=================================================== =========== ========== ========== ========== ========
Total Return....................................... 4.09%(D) 25.33% 3.58% (4.50)% (0.04)%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $3,253,706 $2,805,367 $1,656,445 $1,170,828 $406,648
Ratio of Expenses to Average Net Assets............ 0.39%(E) 0.40% 0.47% 0.47% 0.47%
Ratio of Expenses to Average Net Assets (Excluding
(Fees Paid Indirectly)) (B)....................... 0.37%(E) 0.40% 0.47% 0.52% 0.88%
Ratio of Net Investment Income to Average
Net Assets........................................ 2.13%(E) 2.48% 2.67% 2.54% 2.59%
Portfolio Turnover Rate............................ 2%(D) 4% 1% 1% N/A
-------------------------------------------------------------------------------------------------------------------
----------
Period
April 9,
2013(a) to
Oct. 31,
2013
--------------------------------------------------------------------
Net Asset Value, Beginning of Period............... $ 10.00
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.18
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.77
--------
Total from Investment Operations................ 0.95
--------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.18)
Net Realized Gains............................... --
--------
Total Distributions............................. (0.18)
--------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 10.77
=================================================== ==========
Total Return....................................... 9.62%(D)
--------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $129,720
Ratio of Expenses to Average Net Assets............ 0.47%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding
(Fees Paid Indirectly)) (B)....................... 0.97%(C)(E)
Ratio of Net Investment Income to Average
Net Assets........................................ 3.12%(C)(E)
Portfolio Turnover Rate............................ N/A
--------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
144
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World Core Equity Portfolio
-------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.................... $ 16.06 $ 13.14 $ 12.94 $ 13.33 $ 12.71 $10.24
-------- -------- -------- -------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.12 0.29 0.27 0.26 0.17 0.23
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 0.53 2.98 0.20 (0.35) 0.87 2.47
-------- -------- -------- -------- ------- ------
Total from Investment Operations..................... 0.65 3.27 0.47 (0.09) 1.04 2.70
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.12) (0.30) (0.26) (0.26) (0.24) (0.23)
Net Realized Gains.................................... (0.03) (0.05) (0.01) (0.04) (0.18) --
-------- -------- -------- -------- ------- ------
Total Distributions.................................. (0.15) (0.35) (0.27) (0.30) (0.42) (0.23)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 16.56 $ 16.06 $ 13.14 $ 12.94 $ 13.33 $12.71
======================================================== =========== ======== ======== ======== ======== ========
Total Return............................................ 4.04%(D) 25.14% 3.73% (0.61)% 8.36% 26.77%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $697,402 $546,891 $370,229 $202,655 $75,707 $1,728
Ratio of Expenses to Average Net Assets (B)............. 0.35%(E) 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%(E) 0.60% 0.64% 0.65% 0.97% 5.71%
Ratio of Net Investment Income to Average Net Assets.... 1.44%(E) 1.95% 2.14% 1.95% 1.27% 2.01%
------------------------------------------------------------------------------------------------------------------------
Selectively Hedged Global Equity Portfolio
--------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.................... $ 16.52 $ 13.67 $ 13.50 $ 14.20 $ 13.63 $ 10.87
-------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.12 0.29 0.26 0.27 0.27 0.24
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 0.44 2.98 0.30 (0.34) 0.76 2.65
-------- -------- -------- -------- -------- -------
Total from Investment Operations..................... 0.56 3.27 0.56 (0.07) 1.03 2.89
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.27) (0.30) (0.35) (0.42) (0.32) (0.10)
Net Realized Gains.................................... (0.19) (0.12) (0.04) (0.21) (0.14) (0.03)
-------- -------- -------- -------- -------- -------
Total Distributions.................................. (0.46) (0.42) (0.39) (0.63) (0.46) (0.13)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 16.62 $ 16.52 $ 13.67 $ 13.50 $ 14.20 $ 13.63
======================================================== =========== ======== ======== ======== ======== ========
Total Return............................................ 3.38%(D) 24.54% 4.32% (0.34)% 7.83% 26.86%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $414,171 $402,204 $289,904 $245,106 $147,276 $91,348
Ratio of Expenses to Average Net Assets (B)............. 0.34%(E) 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).................. 0.61%(E) 0.62% 0.64% 0.66% 0.69% 0.72%
Ratio of Net Investment Income to Average Net Assets.... 1.42%(E) 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.
145
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 29.55 $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.19 0.49 0.45 0.49 0.56 0.52
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.72 5.43 1.95 (4.54) (0.20) 1.17
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations................ 0.91 5.92 2.40 (4.05) 0.36 1.69
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ 0.17 (0.49) (0.45) (0.42) (0.53) (0.50)
Net Realized Gains............................... -- -- -- -- (0.16) (0.28)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................. 0.17 (0.49) (0.45) (0.42) (0.69) (0.78)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 30.63 $ 29.55 $ 24.12 $ 22.17 $ 26.64 $ 26.97
=================================================== =========== ========== ========== ========== ========== ==========
Total Return....................................... 4.24%(D) 24.83% 11.01% (15.24)% 1.33% 6.58%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $6,262,102 $6,632,914 $4,915,400 $4,321,530 $4,073,698 $3,655,740
Ratio of Expenses to Average Net Assets (B)........ 0.48%(E) 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)...................................... 0.58%(E) 0.60% 0.66% 0.60% 0.56% 0.57%
Ratio of Net Investment Income to Average
Net Assets........................................ 1.25%(E) 1.88% 2.04% 1.97% 2.11% 1.97%
--------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Small Cap Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 23.49 $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.17 0.49 0.45 0.43 0.43 0.40
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.20 3.58 2.04 (2.53) 0.62 1.37
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations................ 1.37 4.07 2.49 (2.10) 1.05 1.77
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.34) (0.51) (0.47) (0.41) (0.40) (0.39)
Net Realized Gains............................... (0.55) (0.46) (0.14) (0.40) (0.33) (0.61)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................. (0.89) (0.97) (0.61) (0.81) (0.73) (1.00)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 23.97 $ 23.49 $ 20.39 $ 18.51 $ 21.42 $ 21.10
=================================================== =========== ========== ========== ========== ========== ==========
Total Return....................................... 6.02%(D) 21.00% 13.96% (9.88)% 5.12% 8.92%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $7,836,110 $7,249,717 $5,459,509 $4,845,174 $4,860,603 $4,041,863
Ratio of Expenses to Average Net Assets (B)........ 0.71%(E) 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)...................................... 0.91%(E) 0.93% 0.92% 0.78% 0.72% 0.75%
Ratio of Net Investment Income to Average
Net Assets........................................ 1.42%(E) 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.
146
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares
------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 30.13 $ 24.71 $ 22.18 $ 27.79 $ 29.27 $ 28.21
------- ------- ------- ------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.16 0.31 0.46 0.49 0.59 0.47
Net Gains (Losses) on Securities (Realized and Unrealized). 1.87 5.60 2.75 (5.61) (1.10) 1.68
------- ------- ------- ------- ------- --------
Total from Investment Operations......................... 2.03 5.91 3.21 (5.12) (0.51) 2.15
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.35) (0.49) (0.68) (0.49) (0.55) (0.50)
Net Realized Gains......................................... -- -- -- -- (0.42) (0.59)
------- ------- ------- ------- ------- --------
Total Distributions...................................... (0.35) (0.49) (0.68) (0.49) (0.97) (1.09)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 31.81 $ 30.13 $ 24.71 $ 22.18 $ 27.79 $ 29.27
=========================================================== =========== ======== ======== ======== ======== ========
Total Return................................................ 6.83%(D) 24.11% 14.98% (18.49)% (1.75)% 7.75%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $29,362 $31,198 $97,923 $74,076 $99,066 $106,070
Ratio of Expenses to Average Net Assets (B)................. 0.81%(E) 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%(E) 0.91% 0.91% 0.84% 0.80% 0.82%
Ratio of Net Investment Income to Average Net Assets........ 1.03%(E) 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.
147
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Institutional Class Shares
---------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 30.32 $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.20 0.61 0.51 0.54 0.66 0.55
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 1.88 5.40 2.77 (5.60) (1.10) 1.67
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations................. 2.08 6.01 3.28 (5.06) (0.44) 2.22
------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.36) (0.53) (0.66) (0.53) (0.61) (0.57)
Net Realized Gains............ -- -- -- -- (0.42) (0.59)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions......... (0.36) (0.53) (0.66) (0.53) (1.03) (1.16)
------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 32.04 $ 30.32 $ 24.84 $ 22.22 $ 27.81 $ 29.28
============================== =========== =========== =========== =========== =========== ===========
Total Return................... 6.95%(D) 24.41% 15.23% (18.27)% (1.51)% 8.01%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $19,811,265 $19,383,230 $16,304,321 $14,834,888 $18,647,276 $19,162,837
Ratio of Expenses to Average
Net Assets (B)................ 0.56%(E) 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)........................... 0.66%(E) 0.67% 0.66% 0.59% 0.55% 0.57%
Ratio of Net Investment
Income to Average Net Assets.. 1.28%(E) 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.
148
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio
--------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.15 0.42 0.37 0.39 0.42 0.39
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.63 3.95 1.59 (3.29) (0.03) 1.07
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations................. 0.78 4.37 1.96 (2.90) 0.39 1.46
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... 0.14 (0.39) (0.37) (0.37) (0.40) (0.37)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions......... 0.14 (0.39) (0.37) (0.37) (0.40) (0.37)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 23.30 $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 20.09
============================== =========== =========== =========== =========== =========== ===========
Total Return................... 4.75%(D) 24.02% 11.87% (14.49)% 1.89% 7.75%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $29,708,499 $27,085,722 $18,712,966 $14,856,878 $15,727,547 $13,020,962
Ratio of Expenses to Average
Net Assets.................... 0.53%(E) 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))....... 0.52%(E) 0.56% 0.61% 0.62% 0.61% 0.63%
Ratio of Net Investment
Income to Average Net Assets.. 1.33%(E) 2.08% 2.20% 2.06% 2.10% 1.97%
Portfolio Turnover Rate........ 2%(D) 4% 3% 5% 2% 1%
-----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
149
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of one hundred and
two 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 all of
its assets in the Dimensional Emerging Markets Value Fund ("DEM") (each such
series within DFAITC and DEM, a "Master Fund"). International Small Company
Portfolio invests in five Master Funds within DFAITC. Global Small Company
Portfolio invests in six Master Funds within DFAITC and one underlying fund
within the Fund (each such underlying fund within the Fund, an "Underlying
Fund"). DFA Global Real Estate Securities Portfolio invests in two 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 Underlying Funds within the Fund. At April 30, 2018, 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 04/30/18
------------ ----------------------- -----------
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 19%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2%
Continental Small Company Portfolio The Continental Small Company Series 12%
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 04/30/18
------------- ----------------------- -----------
International Small Company Portfolio The Continental Small Company Series 87%
The Japanese Small Company Series 84%
The United Kingdom Small Company Series 97%
The Asia Pacific Small Company Series 81%
The Canadian Small Company Series 97%
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 Canadian Small Company Series --
The Emerging Markets Small Cap Series --
The United Kingdom Small Company Series --
150
Percentage
Ownership
Fund of Funds Master/Underlying Funds at 04/30/18
------------- ----------------------- -----------
DFA Global Real Estate Securities Portfolio* DFA Real Estate Securities Portfolio 18%
DFA International Real Estate Securities Portfolio 43%
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 2%
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 --
Emerging Markets Core Equity Portfolio --
* DFA Global Real Estate Securities Portfolio invests in two Underlying Funds
as indicated and securities listed on its Summary Schedule of Investments.
To achieve its investment objective, each Feeder Fund and Fund of Funds
invests primarily in corresponding Master and/or Underlying Funds as indicated
above. The DFA Global Real Estate Securities Portfolio may pursue its
investment objective by investing its assets in its 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
151
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 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 ask 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.
152
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 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(s). 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 six months ended April 30, 2018, 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 ask 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
153
(unless the Director files an amended Notice selecting a different distribution
date). As of April 30, 2018, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities/affiliated investment companies and foreign currency are accounted
for on the basis of identified cost. Dividend income and distributions to
shareholders are recorded on the ex-dividend date. Distributions received on
securities and from the investment in affiliated investment companies 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(s) within
DFAITC or DEM, which are treated as partnerships for federal income tax
purposes.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned or
throughout the holding period. Some countries require governmental approval for
the repatriation of investment income, capital or the proceeds of sales earned
by foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging
Markets Value Portfolio, World ex U.S. Core Portfolio and Emerging Markets Core
Equity Portfolio are subject to a 15% tax on short-term capital gains for
investments in India. Such taxes are due upon sale of individual securities.
The capital gains taxes are recognized when the capital gains are earned.
C. Investment Advisor and Administrator:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to all Portfolios.
For the six months ended April 30, 2018, 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%
154
DFA Real Estate Securities Portfolio................ 0.17%
Large Cap International Portfolio................... 0.20%
International Core Equity Portfolio................. 0.27%
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................. 0.32%
World Core Equity Portfolio......................... 0.30%
Selectively Hedged Global Equity Portfolio.......... 0.30%
Emerging Markets Portfolio.......................... 0.42%
Emerging Markets Small Cap Portfolio................ 0.65%
Emerging Markets Value Portfolio.................... 0.50%
Emerging Markets Core Equity Portfolio.............. 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, 2019 and may
only be terminated by the Fund's Board of Directors prior to that date. The Fee
Waiver Agreement for such Portfolios shall continue in effect from year to year
thereafter unless terminated by the Fund or the Advisor. The Fee Waiver
Agreement with respect to the total management fees paid by the Feeder Funds,
as described in the notes below, will remain in effect permanently, unless
terminated by a Feeder Fund. For the six months ended April 30, 2018, 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 six months ended April 30, 2018, are also
reflected below (amounts in thousands). The Fund, on behalf of the non-feeder
Portfolios listed, 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. With respect to each Fee Waiver Agreement,
prior year expenses can be recaptured only if the current expense ratio is less
than the prior year expense cap that was in place when such prior year expenses
were waived. With respect to the World ex U.S. Value Portfolio, World ex U.S.
Targeted Value Portfolio, World Core Equity Portfolio and Selectively Hedged
Global Equity Portfolio, the Advisor shall also not be reimbursed for any
management fees previously waived to offset a Portfolio's proportionate share
of the management fees paid by such Portfolio through its investment in other
funds managed by the Advisor.
Previously Net Waived
Recovery Waived Fees/ Fees/Expenses
of Previously Expenses Assumed (Recovered
Expense Waived Fees/ Assumed Previously Waived
Limitation Expenses Subject to Future Fees/Expenses
Institutional Class Shares Amount Assumed Recovery Assumed)
-------------------------- ---------- ------------- ----------------- ------------------
Enhanced U.S. Large Company Portfolio (1). 0.15% $ 1 $294 $ 137
U.S. Large Cap Equity Portfolio (1)....... 0.19% -- -- --
U.S. Large Cap Value Portfolio (2)........ 0.25% -- -- 12,423
155
Previously Net Waived
Recovery Waived Fees/ Fees/Expenses
of Previously Expenses Assumed (Recovered
Expense Waived Fees/ Assumed Previously Waived
Limitation Expenses Subject to Future Fees/Expenses
Institutional Class Shares Amount Assumed Recovery Assumed)
-------------------------- ---------- ------------- ----------------- ------------------
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% -- $ 84 $ 28
DFA Real Estate Securities Portfolio (1)............ 0.18% $ 1 2,165 292
Large Cap International Portfolio (1)............... 0.24% 40 -- (40)
International Core Equity Portfolio (1)............. 0.30% 828 1,807 (785)
International Small Company Portfolio (5)........... 0.45% -- -- --
Global Small Company Portfolio (4).................. 0.49% -- 101 43
Japanese Small Company Portfolio (6)................ 0.47% -- -- 341
Asia Pacific Small Company Portfolio (6)............ 0.47% -- -- 177
United Kingdom Small Company
Portfolio (6)..................................... 0.47% 2 19 20
Continental Small Company Portfolio (6)............. 0.47% -- -- 352
DFA International Real Estate Securities
Portfolio (7)..................................... 0.29% -- -- --
DFA Global Real Estate Securities
Portfolio (8)..................................... 0.24% -- 20,739 3,830
International Vector Equity Portfolio (1)........... 0.60% -- -- --
International High Relative Profitability Portfolio
(4)............................................... 0.35% 11 67 5
World ex U.S. Value Portfolio (9)................... 0.60% -- -- 276
World ex U.S. Targeted Value Portfolio (10)......... 0.80% -- -- --
World ex U.S. Core Equity Portfolio (11)............ 0.39% 377 549 (377)
World Core Equity Portfolio (12).................... 0.35% 120 11 773
Selectively Hedged Global Equity
Portfolio (13).................................... 0.40% -- -- 550
Emerging Markets Portfolio (14)..................... 0.49% -- -- 3,198
Emerging Markets Small Cap Portfolio (2)............ 0.65% -- -- 7,685
Emerging Markets Value Portfolio (2)................ 0.50% -- -- 9,934
Emerging Markets Core Equity Portfolio (1).......... 0.54% 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% -- -- 16
(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
156
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.
(6) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of each Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
each Portfolio, including the proportionate share of the management fees a
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in the Money Market Series, to 0.50% of the
average net assets of a class of a Portfolio on an annualized basis (the
"Permanent Fee Waiver"). In addition to the Permanent Fee Waiver, the Advisor
has contractually agreed to further waive all or a portion of its management
fee and to assume the other direct expenses of a class of each Portfolio
(excluding expenses incurred through its investment in other
157
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 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 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
158
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
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 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 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 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 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
159
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 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.
160
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 six months ended April 30, 2018, expenses
reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
Large Cap International Portfolio................... $ 60
International Core Equity Portfolio................. 377
DFA International Real Estate Securities Portfolio.. 75
DFA International Small Cap Value Portfolio......... 248
International Vector Equity Portfolio............... 11
International High Relative Profitability Portfolio. 5
World ex U.S. Targeted Value Portfolio.............. 4
World ex U.S. Core Equity Portfolio................. 37
Emerging Markets Core Equity Portfolio.............. 220
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $158 (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 April 30, 2018, 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.................... 13
U.S. Large Cap Value Portfolio..................... 532
U.S. Targeted Value Portfolio...................... 194
U.S. Small Cap Value Portfolio..................... 433
U.S. Core Equity 1 Portfolio....................... 338
U.S. Core Equity 2 Portfolio....................... 433
U.S. Vector Equity Portfolio....................... 113
U.S. Small Cap Portfolio........................... 316
U.S. Micro Cap Portfolio........................... 200
U.S. High Relative Profitability Portfolio......... 1
DFA Real Estate Securities Portfolio............... 198
Large Cap International Portfolio.................. 114
International Core Equity Portfolio................ 429
International Small Company Portfolio.............. 338
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................ 10
DFA International Real Estate Securities Portfolio. 94
161
DFA Global Real Estate Securities Portfolio......... $ 95
DFA International Small Cap Value Portfolio......... 465
International Vector Equity Portfolio............... 41
International High Relative Profitability Portfolio. --
World ex U.S. Value Portfolio....................... 4
World ex U.S. Targeted Value Portfolio.............. 5
World ex U.S. Core Equity Portfolio................. 25
World Core Equity Portfolio......................... 5
Selectively Hedged Global Equity Portfolio.......... 5
Emerging Markets Portfolio.......................... 155
Emerging Markets Small Cap Portfolio................ 142
Emerging Markets Value Portfolio.................... 602
Emerging Markets Core Equity Portfolio.............. 445
E. Purchases and Sales of Securities:
For the six months ended April 30, 2018, the Portfolios' transactions
related to investment securities, other than short-term securities and in-kind
redemptions (amounts in thousands), were as follows:
U.S. Government Other Investment
Securities Securities
----------------- ---------------------
Purchases Sales Purchases Sales
--------- ------- ---------- ----------
Enhanced U.S. Large Company Portfolio............... $66,323 $66,535 $ 120,581 $ 97,279
U.S. Large Cap Equity Portfolio..................... -- -- 168,308 42,196
U.S. Targeted Value Portfolio....................... -- -- 1,080,513 992,217
U.S. Small Cap Value Portfolio...................... -- -- 1,517,253 1,370,833
U.S. Core Equity 1 Portfolio........................ -- -- 1,234,473 324,160
U.S. Core Equity 2 Portfolio........................ -- -- 1,635,912 556,622
U.S. Vector Equity Portfolio........................ -- -- 241,499 309,542
U.S. Small Cap Portfolio............................ -- -- 1,597,387 1,004,901
U.S. Micro Cap Portfolio............................ -- -- 554,826 381,215
U.S. High Relative Profitability Portfolio.......... -- -- 242,949 10,040
DFA Real Estate Securities Portfolio................ -- -- 599,039 63,668
Large Cap International Portfolio................... -- -- 343,851 158,613
International Core Equity Portfolio................. -- -- 3,373,311 494,393
DFA International Real Estate Securities Portfolio.. -- -- 197,714 220,320
DFA Global Real Estate Securities Portfolio......... -- -- 782,826 185,457
DFA International Small Cap Value Portfolio......... -- -- 1,766,468 2,023,911
International Vector Equity Portfolio............... -- -- 268,257 173,692
International High Relative Profitability Portfolio. -- -- 116,674 4,429
World ex U.S. Targeted Value Portfolio.............. -- -- 101,025 53,324
World ex U.S. Core Equity Portfolio................. -- -- 411,945 58,992
Emerging Markets Core Equity Portfolio.............. -- -- 2,193,632 714,598
162
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
Enhanced U.S. Large
Company Portfolio
DFA Short Term
Investment Fund...... $ 3,027 $ 58,489 $ 47,849 $ (1) $ 2 $ 13,668 1,181 $ 74
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $ 3,027 $ 58,489 $ 47,849 $ (1) $ 2 $ 13,668 1,181 $ 74
========== ========== ========== ===== ==== ========== ======= =======
U.S. Large Cap Equity
Portfolio
DFA Short Term
Investment Fund...... $ 41,253 $ 92,863 $ 94,827 $ (5) $ 1 $ 39,285 3,395 $ 306
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $ 41,253 $ 92,863 $ 94,827 $ (5) $ 1 $ 39,285 3,395 $ 306
========== ========== ========== ===== ==== ========== ======= =======
U.S. Targeted Value
Portfolio
DFA Short Term
Investment Fund...... $1,670,768 $3,769,964 $3,887,389 $(162) $ 5 $1,553,186 134,243 $12,360
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $1,670,768 $3,769,964 $3,887,389 $(162) $ 5 $1,553,186 134,243 $12,360
========== ========== ========== ===== ==== ========== ======= =======
U.S. Small Cap Value
Portfolio
DFA Short Term
Investment Fund...... $1,834,294 $4,474,199 $4,270,855 $(171) $(29) $2,037,438 176,097 $15,002
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $1,834,294 $4,474,199 $4,270,855 $(171) $(29) $2,037,438 176,097 $15,002
========== ========== ========== ===== ==== ========== ======= =======
U.S. Core Equity 1
Portfolio
DFA Short Term
Investment Fund...... $1,640,846 $4,064,573 $4,121,749 $(183) $ 13 $1,583,500 136,863 $12,574
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $1,640,846 $4,064,573 $4,121,749 $(183) $ 13 $1,583,500 136,863 $12,574
========== ========== ========== ===== ==== ========== ======= =======
U.S. Core Equity 2
Portfolio
DFA Short Term
Investment Fund...... $2,291,391 $4,555,097 $5,000,387 $(162) $(15) $1,845,924 159,544 $15,182
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $2,291,391 $4,555,097 $5,000,387 $(162) $(15) $1,845,924 159,544 $15,182
========== ========== ========== ===== ==== ========== ======= =======
U.S. Vector Equity
Portfolio
DFA Short Term
Investment Fund...... $ 572,203 $1,203,411 $1,266,756 $ (46) $(18) $ 508,794 43,975 $ 4,066
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $ 572,203 $1,203,411 $1,266,756 $ (46) $(18) $ 508,794 43,975 $ 4,066
========== ========== ========== ===== ==== ========== ======= =======
U.S. Small Cap
Portfolio
DFA Short Term
Investment Fund...... $3,582,679 $5,762,226 $6,221,005 $(369) $(15) $3,123,516 269,967 $25,151
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $3,582,679 $5,762,226 $6,221,005 $(369) $(15) $3,123,516 269,967 $25,151
========== ========== ========== ===== ==== ========== ======= =======
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
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................. --
==
163
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
U.S. Micro Cap
Portfolio
DFA Short Term
Investment Fund......... $1,087,256 $1,763,178 $1,897,496 $ (70) $ (6) $ 952,862 82,356 $ 7,839
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $1,087,256 $1,763,178 $1,897,496 $ (70) $ (6) $ 952,862 82,356 $ 7,839
========== ========== ========== ======== ======== ========== ======= ========
U.S. High Relative
Profitability Portfolio
DFA Short Term
Investment Fund......... $ 8,012 $ 42,125 $ 39,096 -- $ 1 $ 11,042 954 $ 75
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 8,012 $ 42,125 $ 39,096 -- $ 1 $ 11,042 954 $ 75
========== ========== ========== ======== ======== ========== ======= ========
DFA Real Estate
Securities Portfolio
DFA Short Term
Investment Fund......... $ 416,958 $1,771,580 $1,598,208 $ (57) $ (1) $ 590,272 51,017 $ 3,309
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 416,958 $1,771,580 $1,598,208 $ (57) $ (1) $ 590,272 51,017 $ 3,309
========== ========== ========== ======== ======== ========== ======= ========
Large Cap International
Portfolio
DFA Short Term
Investment Fund......... $ 273,686 $ 971,623 $ 789,187 $ (55) $ 41 $ 456,108 39,422 $ 2,654
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 273,686 $ 971,623 $ 789,187 $ (55) $ 41 $ 456,108 39,422 $ 2,654
========== ========== ========== ======== ======== ========== ======= ========
International Core
Equity Portfolio
DFA Short Term
Investment Fund......... $1,710,859 $3,851,953 $2,864,062 $ (130) $ (17) $2,698,603 233,241 $ 16,682
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $1,710,859 $3,851,953 $2,864,062 $ (130) $ (17) $2,698,603 233,241 $ 16,682
========== ========== ========== ======== ======== ========== ======= ========
Global Small Company
Portfolio
DFA US Small Cap
Portfolio............... $ 7,573 $ 5,801 $ 163 $ (3) $ (254) $ 12,954 364 $ 50
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 7,573 $ 5,801 $ 163 $ (3) $ (254) $ 12,954 364 $ 50
========== ========== ========== ======== ======== ========== ======= ========
DFA International Real
Estate Securities
Portfolio
DFA Short Term
Investment Fund......... $ 185,600 $1,260,487 $1,091,545 $ (65) $ 6 $ 354,483 30,638 $ 2,045
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 185,600 $1,260,487 $1,091,545 $ (65) $ 6 $ 354,483 30,638 $ 2,045
========== ========== ========== ======== ======== ========== ======= ========
DFA Global Real Estate
Securities Portfolio
DFA International Real
Estate Securities
Portfolio............... $2,368,488 $ 235,277 $ 185,457 $(19,536) $ 93,503 $2,492,275 476,534 $104,259
DFA Real Estate
Securities Portfolio.... 1,583,375 -- -- -- (99,555) 1,483,820 45,252 31,541
DFA Short Term
Investment Fund......... 107,840 1,085,743 998,001 (60) 18 195,540 16,901 2,018
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $4,059,703 $1,321,020 $1,183,458 $(19,596) $ (6,034) $4,171,635 538,687 $137,818
========== ========== ========== ======== ======== ========== ======= ========
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
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
DFA US Small Cap
Portfolio............... $ 333
------
Total.................... $ 333
======
DFA International Real
Estate Securities
Portfolio
DFA Short Term
Investment Fund......... --
------
Total.................... --
======
DFA Global Real Estate
Securities Portfolio
DFA International Real
Estate Securities
Portfolio............... --
DFA Real Estate
Securities Portfolio.... $5,030
DFA Short Term
Investment Fund......... --
------
Total.................... $5,030
======
164
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
DFA International Small
Cap Value Portfolio
DFA Short Term
Investment Fund.......... $910,021 $1,607,184 $1,323,567 $ (73) $ (35) $1,193,530 103,157 $8,384
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $910,021 $1,607,184 $1,323,567 $ (73) $ (35) $1,193,530 103,157 $8,384
======== ========== ========== ====== ======= ========== ======= ======
International Vector
Equity Portfolio
DFA Short Term
Investment Fund.......... $169,224 $ 320,458 $ 252,581 $ (9) $ (5) $ 237,087 20,492 $1,610
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $169,224 $ 320,458 $ 252,581 $ (9) $ (5) $ 237,087 20,492 $1,610
======== ========== ========== ====== ======= ========== ======= ======
International High
Relative Profitability
Portfolio
DFA Short Term
Investment Fund.......... $ 1,943 $ 57,014 $ 49,588 -- $ 1 $ 9,370 810 $ 44
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $ 1,943 $ 57,014 $ 49,588 -- $ 1 $ 9,370 810 $ 44
======== ========== ========== ====== ======= ========== ======= ======
World ex U.S. Value
Portfolio
DFA International Small
Cap Value Portfolio...... $ 24,824 $ 4,613 $ 3,694 $ (70) $ (558) $ 25,115 1,097 $ 478
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $ 24,824 $ 4,613 $ 3,694 $ (70) $ (558) $ 25,115 1,097 $ 478
======== ========== ========== ====== ======= ========== ======= ======
World ex U.S. Targeted
Value Portfolio
DFA Short Term
Investment Fund.......... $ 7,173 $ 17,532 $ 16,586 $ (1) -- $ 8,118 702 $ 36
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $ 7,173 $ 17,532 $ 16,586 $ (1) -- $ 8,118 702 $ 36
======== ========== ========== ====== ======= ========== ======= ======
World ex U.S. Core
Equity Portfolio
DFA Short Term
Investment Fund.......... $158,025 $ 324,052 $ 247,127 $ (13) $ (1) $ 234,936 20,306 $1,391
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $158,025 $ 324,052 $ 247,127 $ (13) $ (1) $ 234,936 20,306 $1,391
======== ========== ========== ====== ======= ========== ======= ======
World Core Equity
Portfolio
U.S. Core Equity 1
Portfolio................ $276,439 $ 88,934 $ 21,858 $1,378 $ 7,409 $ 352,302 15,561 $2,443
International Core Equity
Portfolio................ 203,505 64,456 18,075 1,335 5,623 256,844 17,580 2,096
Emerging Markets Core
Equity Portfolio......... 66,399 24,363 6,270 471 2,770 87,733 3,765 478
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $546,343 $ 177,753 $ 46,203 $3,184 $15,802 $ 696,879 36,906 $5,017
======== ========== ========== ====== ======= ========== ======= ======
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
DFA International Small
Cap Value Portfolio
DFA Short Term
Investment Fund.......... --
------
Total..................... --
======
International Vector
Equity Portfolio
DFA Short Term
Investment Fund.......... --
------
Total..................... --
======
International High
Relative Profitability
Portfolio
DFA Short Term
Investment Fund.......... --
------
Total..................... --
======
World ex U.S. Value
Portfolio
DFA International Small
Cap Value Portfolio...... $ 773
------
Total..................... $ 773
======
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..................... --
======
World Core Equity
Portfolio
U.S. Core Equity 1
Portfolio................ $1,843
International Core Equity
Portfolio................ --
Emerging Markets Core
Equity Portfolio......... --
------
Total..................... $1,843
======
165
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
Selectively Hedged
Global Equity
Portfolio
U.S. Core Equity 2
Portfolio................ $ 165,111 $ 20,951 $ 19,700 $ 790 $2,676 $ 169,828 7,966 $ 1,201
International Core Equity
Portfolio................ 139,217 14,227 16,134 955 2,826 141,091 9,657 1,233
Emerging Markets Core
Equity Portfolio......... 73,349 10,166 8,790 536 2,606 77,867 3,342 453
---------- ---------- ---------- ------ ------ ---------- ------- -------
Total..................... $ 377,677 $ 45,344 $ 44,624 $2,281 $8,108 $ 388,786 20,965 $ 2,887
========== ========== ========== ====== ====== ========== ======= =======
Emerging Markets
Core Equity Portfolio
DFA Short Term
Investment Fund.......... $1,102,540 $2,517,992 $2,138,883 $ (124) $ (27) $1,481,498 128,047 $10,949
---------- ---------- ---------- ------ ------ ---------- ------- -------
Total..................... $1,102,540 $2,517,992 $2,138,883 $ (124) $ (27) $1,481,498 128,047 $10,949
========== ========== ========== ====== ====== ========== ======= =======
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
Selectively Hedged
Global Equity
Portfolio
U.S. Core Equity 2
Portfolio................ $1,607
International Core Equity
Portfolio................ --
Emerging Markets Core
Equity Portfolio......... --
------
Total..................... $1,607
======
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)
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)
166
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
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
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
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
167
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
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
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
168
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
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.
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)
169
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
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
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
170
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 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 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........ -- -- -- -- --
171
2018 2019 2020 Unlimited Total
------- ------- ------ ---------- ----------
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
At April 30, 2018, 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)
----------- ------------ ------------ --------------
Enhanced U.S. Large Company Portfolio. $ 367,092 $ 949 $(27,333) $ (26,384)
U.S. Large Cap Equity Portfolio....... 1,125,457 323,348 (32,413) 290,935
U.S. Large Cap Value Portfolio........ 17,498,370 7,341,264 -- 7,341,264
172
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
U.S. Targeted Value Portfolio....................... $10,383,018 $2,707,644 $ (651,854) $2,055,790
U.S. Small Cap Value Portfolio...................... 13,479,674 4,592,520 (842,645) 3,749,875
U.S. Core Equity 1 Portfolio........................ 16,307,868 8,133,526 (580,044) 7,553,482
U.S. Core Equity 2 Portfolio........................ 17,549,547 9,117,379 (743,757) 8,373,622
U.S. Vector Equity Portfolio........................ 3,693,630 1,814,525 (245,807) 1,568,718
U.S. Small Cap Portfolio............................ 16,427,975 5,118,403 (951,509) 4,166,894
U.S. Micro Cap Portfolio............................ 5,145,723 2,597,350 (332,227) 2,265,123
U.S. High Relative Profitability Portfolio.......... 376,354 25,620 (12,268) 13,352
DFA Real Estate Securities Portfolio................ 7,175,747 2,046,341 (353,072) 1,693,269
Large Cap International Portfolio................... 4,463,649 1,127,723 (232,192) 895,531
International Core Equity Portfolio................. 26,073,259 6,643,852 (1,456,856) 5,186,996
International Small Company Portfolio............... 11,438,947 2,866,677 (107,978) 2,758,699
Global Small Company Portfolio...................... 24,573 1,025 (30) 995
Japanese Small Company Portfolio.................... 545,523 169,509 -- 169,509
Asia Pacific Small Company Portfolio................ 364,288 8,498 -- 8,498
United Kingdom Small Company Portfolio.............. 33,558 9,351 -- 9,351
Continental Small Company Portfolio................. 629,768 127,445 -- 127,445
DFA International Real Estate Securities Portfolio.. 6,048,620 178,087 (182,073) (3,986)
DFA Global Real Estate Securities Portfolio......... 6,832,075 739,512 (239,003) 500,509
DFA International Small Cap Value Portfolio......... 14,144,562 3,978,227 (1,056,217) 2,922,010
International Vector Equity Portfolio............... 2,354,061 713,333 (165,688) 547,645
International High Relative Profitability Portfolio. 185,757 9,511 (5,412) 4,099
World ex U.S. Value Portfolio....................... 205,984 42,926 -- 42,926
World ex U.S. Targeted Value Portfolio.............. 458,717 98,633 (27,083) 71,550
World ex U.S. Core Equity Portfolio................. 2,971,503 638,795 (146,754) 492,041
World Core Equity Portfolio......................... 593,015 104,132 -- 104,132
Selectively Hedged Global Equity Portfolio.......... 307,514 84,066 (829) 83,237
Emerging Markets Portfolio.......................... 4,016,362 2,273,974 -- 2,273,974
Emerging Markets Small Cap Portfolio................ 6,656,739 1,168,472 -- 1,168,472
Emerging Markets Value Portfolio.................... 16,570,910 3,355,243 -- 3,355,243
Emerging Markets Core Equity Portfolio.............. 24,544,520 8,507,086 (2,212,516) 6,294,570
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.
173
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Ended Year Ended
April 30, 2018 Oct. 31, 2017
-------------------- ---------------------
(Unaudited)
Amount Shares Amount Shares
----------- ------- ----------- --------
U.S. Targeted Value Portfolio
Class R1 Shares
Shares Issued........................................ $ 15,872 630 $ 24,436 1,012
Shares Issued in Lieu of Cash Distributions.......... 2,654 108 1,891 78
Shares Redeemed...................................... (17,662) (706) (13,915) (583)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R1 Shares............ $ 864 32 $ 12,412 507
=========== ======= =========== ========
Class R2 Shares
Shares Issued........................................ $ 25,555 1,035 $ 59,748 2,511
Shares Issued in Lieu of Cash Distributions.......... 7,248 298 7,083 293
Shares Redeemed...................................... (23,516) (939) (83,900) (3,530)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ 9,287 394 $ (17,069) (726)
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,121,768 44,999 $ 2,997,263 124,486
Shares Issued in Lieu of Cash Distributions.......... 482,511 19,714 364,240 15,012
Shares Redeemed...................................... (1,233,492) (49,244) (2,200,921) (91,872)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 370,787 15,469 $ 1,160,582 47,626
=========== ======= =========== ========
Six Months Ended Year Ended
April 30, 2018 Oct. 31, 2017
-------------------- ---------------------
(Unaudited)
Amount Shares Amount Shares
----------- ------- ----------- --------
Emerging Markets Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 3,911 123 $ 21,637 832
Shares Issued in Lieu of Cash Distributions.......... 375 13 847 33
Shares Redeemed...................................... (7,851) (248) (100,936) (3,793)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ (3,565) (112) $ (78,452) (2,928)
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,369,170 42,754 $ 2,437,845 90,088
Shares Issued in Lieu of Cash Distributions.......... 216,370 7,191 321,969 11,684
Shares Redeemed...................................... (2,248,514) (70,934) (3,240,359) (118,738)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ (662,974) (20,989) $ (480,545) (16,966)
=========== ======= =========== ========
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
174
markets. These markets are generally smaller, less liquid and more volatile
than the major securities markets in the United States of America.
Consequently, acquisition and disposition of international securities held by
the Portfolios may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. Forward Currency Contracts: The Portfolios listed below may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk) or to transfer balances from one currency to another currency. 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 Selectively Hedged Global Equity
Portfolio's currency exposure with respect to a foreign market will be based
primarily on the Portfolio's existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the
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 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 listed 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 Portfolio. 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 six months ended April 30, 2018 (amounts in
thousands):
Forward
Currency
Contracts Futures
--------- -------
Enhanced U.S. Large Company Portfolio. 45,046 340,329
U.S. Targeted Value Portfolio......... -- 86,759
U.S. Small Cap Value Portfolio........ -- 125,293
U.S. Core Equity 1 Portfolio.......... -- 171,523
U.S. Core Equity 2 Portfolio.......... -- 184,351
U.S. Vector Equity Portfolio.......... -- 33,947
175
Forward
Currency
Contracts Futures
--------- --------
U.S. Small Cap Portfolio............................ -- $133,708
U.S. Micro Cap Portfolio............................ -- 55,769
DFA Real Estate Securities Portfolio................ -- 77,649
Large Cap International Portfolio................... -- 42,839
International Core Equity Portfolio................. -- 187,088
International Small Company Portfolio............... -- 118,827
DFA International Real Estate Securities Portfolio.. -- 29,568
DFA International Small Cap Value Portfolio......... -- 146,367
International Vector Equity Portfolio............... -- 1,144
International High Relative Profitability Portfolio. -- 77
Selectively Hedged Global Equity Portfolio.......... $206,262 24,256
Emerging Markets Core Equity Portfolio.............. -- 237,432
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 April 30, 2018:
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 April 30, 2018 (amounts in
thousands):
Asset Derivatives Value
----------------------------------
Total Value Forward
at Currency Equity
April 30, 2018 Contracts Contracts*
-------------- --------- ----------
Enhanced U.S. Large Company Portfolio.............. $ 899 $ 899 --
Large Cap International Portfolio.................. 7 -- $ 7
DFA International Real Estate Securities Portfolio. 665 -- 665
Selectively Hedged Global Equity Portfolio......... 2,795 2,795 --
Liability Derivatives Value
----------------------------------
Total Value Forward
at Currency Equity
April 30, 2018 Contracts Contracts*
-------------- --------- ----------
Enhanced U.S. Large Company Portfolio.............. $(7,394) $ (3) $(7,391)
U.S. Targeted Value Portfolio...................... (2,840) -- (2,840)
U.S. Small Cap Value Portfolio..................... (4,022) -- (4,022)
U.S. Core Equity 1 Portfolio....................... (5,840) -- (5,840)
U.S. Core Equity 2 Portfolio....................... (6,450) -- (6,450)
U.S. Vector Equity Portfolio....................... (1,061) -- (1,061)
U.S. Small Cap Portfolio........................... (3,859) -- (3,859)
U.S. Micro Cap Portfolio........................... (878) -- (878)
DFA Real Estate Securities Portfolio............... (2,410) -- (2,410)
Large Cap International Portfolio.................. (1,041) -- (1,041)
International Core Equity Portfolio................ (5,643) -- (5,643)
176
Liability Derivatives Value
----------------------------------
Total Value Forward
at Currency Equity
April 30, 2018 Contracts Contracts*
-------------- --------- ----------
International Small Company Portfolio...... $(2,671) -- $(2,671)
DFA International Small Cap Portfolio...... (4,550) -- (4,550)
International Vector Equity Portfolio...... (68) -- (68)
Selectively Hedged Global Equity Portfolio. (830) $(35) (795)
Emerging Markets Core Equity Portfolio..... (9,560) -- (9,560)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the six months ended
April 30, 2018:
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 for the six months ended April 30, 2018 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives
---------------------------
Forward
Currency Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio............... $32,513 $310 $32,203
U.S. Large Cap Equity Portfolio..................... 21 -- 21*
U.S. Targeted Value Portfolio....................... 8,335 -- 8,335
U.S. Small Cap Value Portfolio...................... 14,383 -- 14,383
U.S. Core Equity 1 Portfolio........................ 17,432 -- 17,432
U.S. Core Equity 2 Portfolio........................ 18,482 -- 18,482
U.S. Vector Equity Portfolio........................ 1,242 -- 1,242
U.S. Small Cap Portfolio............................ 14,625 -- 14,625
U.S. Micro Cap Portfolio............................ 4,412 -- 4,412
U.S. High Relative Profitability Portfolio.......... (37) -- (37)*
DFA Real Estate Securities Portfolio................ 6,473 -- 6,473
Large Cap International Portfolio................... 3,576 -- 3,576
International Core Equity Portfolio................. 33,099 -- 33,099
International Small Company Portfolio............... 11,806 -- 11,806
Global Small Company Portfolio...................... 2 -- 2*
DFA International Real Estate Securities Portfolio.. 2,020 -- 2,020
DFA International Small Cap Value Portfolio......... 15,893 -- 15,893
International Vector Equity Portfolio............... (17) -- (17)
International High Relative Profitability Portfolio. 24 -- 24*
World ex U.S. Targeted Value Portfolio.............. 22 -- 22*
World ex U.S. Core Equity Portfolio................. 657 -- 657*
World Core Equity Portfolio......................... 145 -- 145*
177
Realized Gain (Loss) on
Derivatives
----------------------------
Forward
Currency Equity
Total Contracts Contracts
-------- --------- ---------
Selectively Hedged Global Equity Portfolio......... $ (817) $(3,348) $ 2,531
Emerging Markets Core Equity Portfolio............. 18,221 -- 18,221
Change in Unrealized
Appreciation (Depreciation) on
Derivatives
----------------------------
Forward
Currency Equity
Total Contracts Contracts
-------- --------- ---------
Enhanced U.S. Large Company Portfolio.............. $(21,933) -- $(21,933)
U.S. Targeted Value Portfolio...................... (3,740) -- (3,740)
U.S. Small Cap Value Portfolio..................... (9,360) -- (9,360)
U.S. Core Equity 1 Portfolio....................... (12,650) -- (12,650)
U.S. Core Equity 2 Portfolio....................... (14,032) -- (14,032)
U.S. Vector Equity Portfolio....................... (1,061) -- (1,061)
U.S. Small Cap Portfolio........................... (9,693) -- (9,693)
U.S. Micro Cap Portfolio........................... (1,811) -- (1,811)
DFA Real Estate Securities Portfolio............... (4,754) -- (4,754)
Large Cap International Portfolio.................. (2,046) -- (2,046)
International Core Equity Portfolio................ (14,558) -- (14,558)
International Small Company Portfolio.............. (5,581) -- (5,581)
DFA International Real Estate Securities Portfolio. 215 -- 215
DFA International Small Cap Value Portfolio........ (10,499) -- (10,499)
International Vector Equity Portfolio.............. (68) -- (68)
Selectively Hedged Global Equity Portfolio......... (465) $ 1,336 (1,801)
Emerging Markets Core Equity Portfolio............. (15,447) -- (15,447)
* As of April 30, 2018, there were no futures contracts outstanding. During the
six months ended April 30, 2018, the Portfolio had limited activity in futures
contracts.
Offsetting of Derivative Assets and Derivative Liabilities
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and 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."
178
The following table presents the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of April 30, 2018
(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
Citibank, N.A...... $ 72 $ 72 $ (3) -- $ 69 $ 3 $ 3 $ (3) -- --
Royal Bank of
Scotland.......... 764 764 -- -- 764 -- -- -- -- --
State Street Bank
and Trust......... 63 63 -- -- 63 -- -- -- -- --
----- ----- ---- -- ----- --- --- ---- -- --
$ 899 $ 899 $ (3) -- $ 896 $ 3 $ 3 $ (3) -- --
===== ===== ==== == ===== === === ==== == ==
Selectively Hedged
Global Equity
Portfolio
Bank of America
Corp.............. $ 339 $ 339 -- -- $ 339 -- -- -- -- --
Citibank, N.A...... 557 557 $ (2) -- 555 $ 2 $ 2 $ (2) -- --
JP Morgan.......... 168 168 -- -- 168 -- -- -- -- --
State Street Bank
and Trust......... 874 874 (33) -- 841 33 33 (33) -- --
UBS AG............. 857 857 -- -- 857 -- -- -- -- --
----- ----- ---- -- ----- --- --- ---- -- --
$2795 $2795 $(35) -- $2760 $35 $35 $(35) -- --
===== ===== ==== == ===== === === ==== == ==
(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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar
179
terms was in effect through January 5, 2018. 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 4, 2019.
For the six months ended April 30, 2018, 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............ 2.01% $ 3,828 9 $ 2 $ 13,401
U.S. Vector Equity Portfolio............... 1.91% 4,459 3 1 4,459
U.S. High Relative Profitability Portfolio. 2.16% 2,653 4 1 2,990
Global Small Company Portfolio............. 1.91% 69 2 -- 69
DFA International Real Estate Securities
Portfolio................................ 2.16% 78,412 7 33 150,457
DFA Global Real Estate Securities
Portfolio................................ 2.17% 2,111 2 -- 3,392
International Vector Equity Portfolio...... 2.14% 1,073 3 -- 2,030
International High Relative Profitability
Portfolio................................ 2.16% 339 4 -- 491
World ex U.S. Value Portfolio.............. 2.27% 112 11 -- 307
World ex U.S. Targeted Value Portfolio..... 2.05% 171 4 -- 221
World ex U.S. Core Equity Portfolio........ 2.04% 9,216 2 1 16,115
World Core Equity Portfolio................ 2.24% 4,981 15 5 15,818
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that each Portfolio's available
line of credit was utilized.
At April 30, 2018, the World ex U.S. Value Portfolio had loans outstanding
in the amount of $18 (in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolios did not utilize the interfund lending program during the six
months ended April 30, 2018.
J. Affiliated Trades:
Cross trades for the six months ended April 30, 2018, 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.
180
For the six months ended April 30, 2018, 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...................... $ 26,705 $ 15,033 $ (1,449)
U.S. Targeted Value Portfolio........................ 69,628 154,720 38,206
U.S. Small Cap Value Portfolio....................... 71,694 202,733 72,487
U.S. Core Equity 1 Portfolio......................... 106,730 78,168 2,800
U.S. Core Equity 2 Portfolio......................... 86,924 179,637 3,616
U.S. Vector Equity Portfolio......................... 16,917 51,470 23,166
U.S. Small Cap Portfolio............................. 221,262 55,824 20,015
U.S. Micro Cap Portfolio............................. 41,344 76,851 34,628
U.S. High Relative Profitability Portfolio........... 5,666 1,848 (250)
DFA Real Estate Securities Portfolio................. -- 558 (33)
Large Cap International Portfolio.................... 42,845 22,701 2,473
International Core Equity Portfolio.................. 192,425 58,297 (11,656)
DFA Global Real Estate Securities Portfolio.......... 305 -- --
DFA International Small Cap Value Portfolio.......... 32,984 330,070 100,064
International Vector Equity Portfolio................ 17,243 14,008 3,591
International High Relative Profitability Portfolio.. 4,946 526 (79)
World ex U.S. Targeted Value Portfolio............... 4,194 4,889 1,489
World ex U.S. Core Equity Portfolio.................. 16,243 4,426 536
Emerging Markets Core Equity Portfolio............... 4,300 9,522 1,428
K. Securities Lending:
As of April 30, 2018, 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..................... $ $8,522
U.S. Targeted Value Portfolio....................... 799,056
U.S. Small Cap Value Portfolio...................... 1,044,236
U.S. Core Equity 1 Portfolio........................ 1,143,269
U.S. Core Equity 2 Portfolio........................ 1,189,232
U.S. Vector Equity Portfolio........................ 320,972
U.S. Small Cap Portfolio............................ 1,589,031
U.S. Micro Cap Portfolio............................ 379,433
U.S. High Relative Profitability Portfolio.......... 2,263
DFA Real Estate Securities Portfolio................ 226,221
Large Cap International Portfolio................... 54,270
International Core Equity Portfolio................. 304,208
DFA International Real Estate Securities Portfolio.. 31,175
DFA International Small Cap Value Portfolio......... 258,270
International Vector Equity Portfolio............... 39,814
International High Relative Profitability Portfolio. 352
World ex U.S. Targeted Value Portfolio.............. 5,729
World ex U.S. Core Equity Portfolio................. 57,740
Emerging Markets Core Equity Portfolio.............. 1,090,378
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
181
by collateral in an amount (i) equal to at least 100% of the current market
value of the loaned securities with respect to securities of the U.S.
government or its agencies, (ii) generally equal to 102% of the current market
value of the loaned securities with respect to U.S. securities, and
(iii) generally equal to 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolio's collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, a Portfolio
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
Subject to their stated investment policies, each Portfolio will generally
invest the cash collateral received for the loaned securities in the Money
Market Series, an affiliated registered money market fund advised by the
Advisor for which the Advisor receives a management fee of 0.05% of the average
daily net assets of the Money Market Series. 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 April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
------------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
-------------- -------- ------------ -------- --------------
Securities Lending
Transactions
Enhanced U.S. Large Company
Portfolio
Bonds.......................... $ 13,667,527 -- -- -- $ 13,667,527
U.S. Large Cap Equity Portfolio
Common Stocks.................. 39,284,894 -- -- -- 39,284,894
U.S. Targeted Value Portfolio
Common Stocks, Preferred
Stocks....................... 1,533,186,477 -- -- -- 1,533,186,477
U.S. Small Cap Value Portfolio
Common Stocks.................. 2,037,438,029 -- -- -- 2,037,438,029
U.S. Core Equity 1 Portfolio
Common Stocks, Rights/
Warrants..................... 1,583,499,719 -- -- -- 1,583,499,719
U.S. Core Equity 2 Portfolio
Common Stocks, Rights/
Warrants..................... 1,845,923,909 -- -- -- 1,845,923,909
U.S. Vector Equity Portfolio
Common Stocks, Rights/
Warrants..................... 508,794,277 -- -- -- 508,794,277
182
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
------------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
-------------- -------- ------------ -------- --------------
U.S. Small Cap Portfolio
Common Stocks................... $3,123,516,458 -- -- -- $3,123,516,458
U.S. Micro Cap Portfolio
Common Stocks, Preferred
Stocks........................ 952,861,850 -- -- -- 952,861,850
U.S. High Relative Profitability
Portfolio
Common Stocks................... 11,042,353 -- -- -- 11,042,353
DFA Real Estate Securities
Portfolio
Common Stocks................... 590,271,592 -- -- -- 590,271,592
Large Cap International
Portfolio
Common Stocks................... 456,108,075 -- -- -- 456,108,075
International Core Equity
Portfolio
Common Stocks, Preferred
Stocks........................ 2,698,602,797 -- -- -- 2,698,602,797
DFA International Real Estate
Securities Portfolio
Common Stocks................... 354,483,247 -- -- -- 354,483,247
DFA Global Real Estate
Securities Portfolio
Common Stocks................... 195,539,503 -- -- -- 195,539,503
DFA International Small Cap
Value Portfolio
Common Stocks................... 1,193,530,223 -- -- -- 1,193,530,223
International Vector Equity
Portfolio
Common Stocks................... 237,086,694 -- -- -- 237,086,694
International High Relative
Profitability Portfolio
Common Stocks................... 9,370,296 -- -- -- 9,370,296
World ex U.S. Targeted Value
Portfolio
Common Stocks................... 8,117,997 -- -- -- 8,117,997
World ex U.S. Core Equity
Portfolio
Common Stocks................... 234,935,550 -- -- -- 234,935,550
Emerging Markets Core Equity
Portfolio
Common Stocks................... 1,481,498,432 -- -- -- 1,481,498,432
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.
183
M. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
N. In-Kind Redemptions:
During the six months ended April 30, 2018, the following Portfolio realized
net gains (losses) on in-kind redemptions as follows:
U.S. Targeted Value Portfolio. $16,160
O. Recently Issued Accounting Standards:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
P. Other:
At April 30, 2018, 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 62%
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.................... 6 91%
U.S. Targeted Value Portfolio -- Class R2 Shares.................... 8 86%
U.S. Targeted Value Portfolio -- Institutional Class Shares......... 3 58%
U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 4 68%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 6 84%
U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 5 81%
U.S. Vector Equity Portfolio -- Institutional Class Shares.......... 5 91%
U.S. Small Cap Portfolio -- Institutional Class Shares.............. 3 53%
U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 4 76%
U.S. High Relative Profitability Portfolio -- Institutional
Class Shares...................................................... 3 95%
DFA Real Estate Securities Portfolio -- Institutional Class Shares.. 4 76%
Large Cap International Portfolio -- Institutional Class Shares..... 3 63%
International Core Equity Portfolio -- Institutional Class Shares... 4 71%
International Small Company Portfolio -- Institutional Class Shares. 3 60%
Global Small Company Portfolio -- Institutional Class Shares........ 4 96%
Japanese Small Company Portfolio -- Institutional Class Shares...... 4 86%
184
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
Asia Pacific Small Company Portfolio -- Institutional
Class Shares....................................................... 3 91%
United Kingdom Small Company Portfolio -- Institutional
Class Shares....................................................... 4 94%
Continental Small Company Portfolio -- Institutional Class Shares.... 2 88%
DFA International Real Estate Securities Portfolio -- Institutional
Class Shares....................................................... 5 94%
DFA Global Real Estate Securities Portfolio -- Institutional
Class Shares....................................................... 3 67%
DFA International Small Cap Value Portfolio -- Institutional
Class Shares....................................................... 4 71%
International Vector Equity Portfolio -- Institutional Class Shares.. 4 89%
International High Relative Profitability Portfolio -- Institutional
Class Shares....................................................... 3 94%
World ex U.S. Value Portfolio -- Institutional Class Shares.......... 5 88%
World ex U.S. Targeted Value Portfolio -- Institutional
Class Shares....................................................... 3 95%
World ex U.S. Core Equity Portfolio -- Institutional Class Shares.... 3 71%
World Core Equity Portfolio -- Institutional Class Shares............ 5 79%
Selectively Hedged Global Equity Portfolio -- Institutional
Class Shares....................................................... 4 95%
Emerging Markets Portfolio -- Institutional Class Shares............. 3 52%
Emerging Markets Small Cap Portfolio -- Institutional
Class Shares....................................................... 3 54%
Emerging Markets Value Portfolio -- Class R2 Shares.................. 2 91%
Emerging Markets Value Portfolio -- Institutional Class Shares....... 2 36%
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
185
Supreme Court of the United States (the "Supreme Court") to review the Second
Circuit's ruling, and that petition is pending. Additionally, the individual
creditor plaintiffs have moved the Second Circuit to review its prior ruling in
light of a recent decision by the Supreme Court (in an unrelated case)
regarding the scope of the Bankruptcy Code's safe harbor for securities
transactions; such review is pending.
On January 6, 2017, the Court granted the shareholder defendants' 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). Additionally, the Trustee has requested
leave from the District Court to file an amended complaint to assert new claims
against the shareholder defendants in light of the recent Supreme Court
decision addressing the scope of the Bankruptcy Code's safe harbor for
securities transactions; that request is pending.
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. 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.
186
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 Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of a Portfolio's fiscal year. As
a result, shareholders should not use the information provided in this notice
for tax reporting purposes.
Estimated % Breakdown of Distribution Sources
--------------------------------------------
Net income for Accumulated
the current or undistributed
preceding net profits Paid-in
fiscal year, from the sale surplus
and accumulated of securities or other
undistributed net or other capital
Portfolio Name income properties source
-------------- ----------------- ------------- --------
Enhanced U.S. Large Company Portfolio
December 15, 2017....................... 59% 0% 41%
U.S. Large Cap Equity Portfolio
December 15, 2017....................... 71% 0% 29%
U.S. Large Cap Value Portfolio
December 15, 2017....................... 95% 0% 5%
U.S. Targeted Value Portfolio
December 15, 2017....................... 67% 0% 33%
U.S. Small Cap Value Portfolio
December 15, 2017....................... 49% 0% 51%
U.S. Core Equity 1 Portfolio
December 14, 2017....................... 64% 0% 36%
U.S. Core Equity 2 Portfolio
December 14, 2017....................... 60% 0% 40%
U.S. Vector Equity Portfolio
December 15, 2017....................... 60% 0% 40%
U.S. Small Cap Portfolio
December 15, 2017....................... 72% 0% 28%
U.S. Micro Cap Portfolio
December 15, 2017....................... 56% 0% 44%
U.S. High Relative Profitability Portfolio
December 15, 2017....................... 92% 0% 8%
Large Cap International Portfolio
December 14, 2017....................... 62% 0% 38%
International Core Equity Portfolio
December 14, 2017....................... 44% 0% 56%
International Small Company Portfolio
December 15, 2017....................... 19% 0% 81%
Global Small Company Portfolio
December 15, 2017....................... 73% 0% 27%
Japanese Small Company Portfolio
December 15, 2017....................... 7% 0% 93%
Asia Pacific Small Company Portfolio
December 15, 2017....................... 27% 0% 73%
United Kingdom Small Company Portfolio
December 15, 2017....................... 22% 0% 78%
187
Estimated % Breakdown of Distribution Sources
--------------------------------------------
Net income for Accumulated
the current or undistributed
preceding net profits Paid-in
fiscal year, from the sale surplus
and accumulated of securities or other
undistributed net or other capital
Portfolio Name income properties source
-------------- ----------------- ------------- --------
Continental Small Company Portfolio
December 15, 2017................................ 27% 0% 73%
DFA International Real Estate Securities Portfolio
December 14, 2017................................ 0% 0% 100%
DFA International Small Cap Value Portfolio
December 14, 2017................................ 20% 0% 80%
International Vector Equity Portfolio
December 14, 2017................................ 28% 0% 72%
International High Relative Profitability Portfolio
December 15, 2017................................ 83% 0% 17%
World ex U.S. Value Portfolio
December 15, 2017................................ 76% 0% 24%
World Ex U.S. Targeted Value Portfolio
December 15, 2017................................ 81% 0% 19%
World ex U.S. Core equity Portfolio
December 15, 2017................................ 35% 0% 65%
World Core Equity Portfolio
December 15, 2017................................ 99% 0% 1%
Selectively Hedged Global Equity Portfolio
December 15, 2017................................ 79% 0% 21%
Emerging Markets Portfolio
December 15, 2017................................ 0% 0% 100%
Emerging Markets Small Cap Portfolio
December 15, 2017................................ 16% 0% 84%
Emerging Markets Value Portfolio
December 15, 2017................................ 4% 0% 96%
Emerging Markets Core Equity Portfolio
December 14, 2017................................ 12% 0% 88%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
188
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
DFA Commodity Strategy Portfolio
--------------------------------
Actual Fund Return............... $1,000.00 $1,046.70 0.32% $1.62
Hypothetical 5% Annual Return.... $1,000.00 $1,023.21 0.32% $1.61
----------
* DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (181), then divided by the
number of days in the year (365) to reflect the six-month period.
189
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 29, 2018. 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.................................... 49.5%
Government................................... 24.0%
Foreign Corporate............................ 20.7%
Foreign Government........................... 5.4%
Supranational................................ 0.4%
-----
100.0%
190
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Face
Amount^ Value+
- ------- ------
(000)
BONDS -- (71.6%)
AUSTRALIA -- (5.4%)
Australia & New Zealand Banking Group, Ltd.
3.250%, 06/03/20............................. AUD 1,665 $ 1,267,086
Commonwealth Bank of Australia
2.300%, 09/06/19............................. 10,100 10,018,418
5.000%, 10/15/19............................. 10,000 10,278,277
7.250%, 02/05/20............................. AUD 12,000 9,752,851
## 2.250%, 03/10/20............................. 5,000 4,921,084
2.300%, 03/12/20............................. 7,000 6,906,831
5.000%, 03/19/20............................. 5,000 5,167,464
# 2.400%, 11/02/20............................. 2,246 2,209,178
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 4,500 4,508,077
Macquarie Group, Ltd.
## 6.250%, 01/14/21............................. 4,842 5,153,655
National Australia Bank, Ltd.
## 2.400%, 12/09/19............................. 9,500 9,422,648
2.125%, 05/22/20............................. 745 730,752
2.625%, 07/23/20............................. 4,052 4,009,558
2.000%, 11/12/20............................. EUR 4,150 5,256,448
Westpac Banking Corp.
7.250%, 02/11/20............................. AUD 9,700 7,888,543
2.150%, 03/06/20............................. 5,000 4,921,606
2.300%, 05/26/20............................. 18,774 18,481,057
------------
TOTAL AUSTRALIA.................................. 110,893,533
------------
AUSTRIA -- (0.1%)
Oesterreichische Kontrollbank AG
1.875%, 01/20/21............................. 1,500 1,462,527
------------
BELGIUM -- (0.5%)
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21............................. 10,000 9,883,499
------------
CANADA -- (8.8%)
Alberta, Province of Canada
1.900%, 12/06/19............................. 5,000 4,934,845
Bank of Montreal
# 2.375%, 01/25/19............................. 9,620 9,610,987
British Columbia, Province of Canada
4.650%, 12/18/18............................. CAD 10,000 7,939,639
Canada Housing Trust No 1
## 2.350%, 12/15/18............................. CAD 30,000 23,482,223
CPPIB Capital, Inc.
1.400%, 06/04/20............................. CAD 6,000 4,605,974
Nutrien, Ltd.
6.500%, 05/15/19............................. 1,446 1,499,592
Face
Amount^ Value+
- ------- ------
(000)
CANADA -- (Continued)
Ontario, Province of Canada
3.000%, 09/28/20............................. EUR 23,500 $ 30,588,802
Province of Ontario Canada
# 1.650%, 09/27/19............................. 6,103 6,019,145
Quebec, Province of Canada
4.500%, 12/01/18............................. CAD 10,000 7,921,259
Royal Bank of Canada
2.890%, 10/11/18............................. CAD 30,000 23,476,615
2.980%, 05/07/19............................. CAD 7,000 5,497,667
# 1.500%, 07/29/19............................. 4,625 4,552,302
2.150%, 03/06/20............................. 5,708 5,621,326
2.350%, 10/30/20............................. 5,913 5,805,404
Toronto-Dominion Bank (The)
2.447%, 04/02/19............................. CAD 17,000 13,293,088
2.125%, 07/02/19............................. 19,850 19,723,058
# 2.500%, 12/14/20............................. 1,000 984,370
------------
TOTAL CANADA...................................... 175,556,296
------------
FINLAND -- (0.3%)
Municipality Finance P.L.C.
1.250%, 04/18/19............................. 5,000 4,939,250
1.750%, 05/21/19............................. 1,150 1,140,565
------------
TOTAL FINLAND..................................... 6,079,815
------------
FRANCE -- (2.3%)
BNP Paribas SA
2.375%, 05/21/20............................. 2,720 2,690,595
BPCE SA
# 2.650%, 02/03/21............................. 330 323,995
Credit Agricole SA
### 2.750%, 06/10/20............................. 5,000 4,950,735
Electricite de France SA
## 2.350%, 10/13/20............................. 5,000 4,916,180
Orange SA
1.625%, 11/03/19............................. 2,000 1,962,240
Societe Generale SA
## 2.625%, 09/16/20............................. 2,000 1,971,643
Total Capital Canada, Ltd.
1.875%, 07/09/20............................. EUR 3,500 4,404,264
Total Capital International SA
2.100%, 06/19/19............................. 13,208 13,130,633
UNEDIC ASSEO
0.0%, 11/25/20............................... EUR 8,800 10,688,236
------------
TOTAL FRANCE...................................... 45,038,521
------------
GERMANY -- (3.3%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 1,500 1,485,477
191
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
GERMANY -- (Continued)
BMW US Capital LLC
## 2.000%, 04/11/21............................. 3,000 $ 2,892,590
Daimler Finance North America LLC
## 2.700%, 08/03/20............................. 2,000 1,976,621
Deutsche Bank AG
2.950%, 08/20/20............................. 7,018 6,906,066
# 3.125%, 01/13/21............................. 3,889 3,818,353
Deutsche Telekom International Finance BV
## 1.500%, 09/19/19............................. 3,000 2,941,448
EMD Finance LLC
## 2.400%, 03/19/20............................. 1,150 1,133,843
FMS Wertmanagement AoeR
0.0%, 10/20/20............................... EUR 24,000 29,199,760
State of North Rhine- Westphalia Germany
1.625%, 01/22/20............................. 3,650 3,581,019
Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. 10,000 9,929,484
## 2.400%, 05/22/20............................. 2,000 1,966,919
-----------
TOTAL GERMANY.................................... 65,831,580
-----------
IRELAND -- (0.5%)
Allergan Funding SCS
# 3.000%, 03/12/20............................. 5,000 4,965,990
Medtronic, Inc.
2.500%, 03/15/20............................. 4,750 4,720,883
-----------
TOTAL IRELAND.................................... 9,686,873
-----------
ITALY -- (0.1%)
Intesa Sanpaolo SpA
3.875%, 01/15/19............................. 2,570 2,584,520
-----------
JAPAN -- (2.2%)
American Honda Finance Corp.
2.250%, 08/15/19............................. 2,000 1,986,549
MUFG Bank, Ltd.
## 2.350%, 09/08/19............................. 850 842,458
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 1,034 1,033,537
Sumitomo Mitsui Banking Corp.
# 2.450%, 01/10/19............................. 3,500 3,496,390
2.650%, 07/23/20............................. 3,760 3,713,033
Toyota Credit Canada, Inc.
2.800%, 11/21/18............................. CAD 10,000 7,830,367
Toyota Motor Credit Corp.
2.000%, 10/24/18............................. 4,149 4,141,516
1.400%, 05/20/19............................. 5,168 5,108,869
2.125%, 07/18/19............................. 1,080 1,072,989
# 1.550%, 10/18/19............................. 10,000 9,832,870
2.150%, 03/12/20............................. 5,550 5,477,882
-----------
TOTAL JAPAN...................................... 44,536,460
-----------
Face
Amount^ Value+
- ------- ------
(000)
NETHERLANDS -- (3.5%)
Bank Nederlandse Gemeenten NV
## 1.750%, 10/05/20............................. 24,800 $24,169,956
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 9,665 9,642,697
ING Bank NV
## 2.500%, 10/01/19............................. 3,000 2,976,737
LyondellBasell Industries NV
5.000%, 04/15/19............................. 1,022 1,036,752
Nederlandse Waterschapsbank NV
1.625%, 03/04/20............................. 4,362 4,276,505
Shell International Finance BV
# 1.900%, 08/10/18............................. 4,000 3,997,641
2.000%, 11/15/18............................. 2,350 2,343,434
4.300%, 09/22/19............................. 12,204 12,486,633
# 4.375%, 03/25/20............................. 9,400 9,671,524
-----------
TOTAL NETHERLANDS................................ 70,601,879
-----------
NORWAY -- (0.8%)
Kommunalbanken A.S.
1.750%, 05/28/19............................. 5,000 4,958,470
1.625%, 01/15/20............................. 5,450 5,355,546
Statoil ASA
# 2.900%, 11/08/20............................. 5,192 5,191,729
-----------
TOTAL NORWAY..................................... 15,505,745
-----------
SPAIN -- (1.4%)
Iberdrola Finance Ireland DAC
## 5.000%, 09/11/19............................. 2,000 2,048,889
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 4,992 4,933,143
Santander UK Group Holdings P.L.C.
2.875%, 10/16/20............................. 9,000 8,900,145
3.125%, 01/08/21............................. 1,808 1,792,957
Telefonica Emisiones SAU
# 5.134%, 04/27/20............................. 2,200 2,285,953
5.462%, 02/16/21............................. 8,000 8,460,624
-----------
TOTAL SPAIN...................................... 28,421,711
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (2.5%)
Asian Development Bank
2.800%, 01/19/21............................. AUD 2,000 1,518,293
Council Of Europe Development Bank
1.750%, 11/14/19............................. 7,000 6,912,990
European Investment Bank
6.000%, 08/06/20............................. AUD 3,500 2,843,530
2.800%, 01/15/21............................. AUD 9,000 6,838,541
192
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
International Bank for Reconstruction &
Development
0.125%, 10/23/20............................. EUR 20,100 $ 24,561,017
2.800%, 01/13/21............................. AUD 11,000 8,351,931
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 51,026,302
------------
SWEDEN -- (5.7%)
Kommuninvest I Sverige AB
0.750%, 02/16/20............................. SEK 300,000 34,839,625
Nordea Bank AB
2.375%, 04/04/19............................. 15,000 14,949,686
Svensk Exportkredit AB
1.875%, 06/17/19............................. 17,000 16,869,610
Svenska Handelsbanken AB
# 2.250%, 06/17/19............................. 5,000 4,967,510
## 5.125%, 03/30/20............................. 6,708 6,952,681
2.250%, 08/27/20............................. EUR 1,500 1,907,139
Sweden Government Bond
5.000%, 12/01/20............................. SEK 250,000 32,669,400
------------
TOTAL SWEDEN..................................... 113,155,651
------------
SWITZERLAND -- (0.9%)
Novartis Capital Corp.
# 4.400%, 04/24/20............................. 9,500 9,789,085
UBS AG
# 2.375%, 08/14/19............................. 1,500 1,491,675
2.350%, 03/26/20............................. 6,000 5,914,620
------------
TOTAL SWITZERLAND................................ 17,195,380
------------
UNITED KINGDOM -- (1.3%)
Aon Corp.
5.000%, 09/30/20............................. 1,000 1,039,211
Aon P.L.C.
2.800%, 03/15/21............................. 2,680 2,631,143
AstraZeneca P.L.C.
# 1.750%, 11/16/18............................. 6,958 6,932,956
Barclays P.L.C.
2.875%, 06/08/20............................. 5,000 4,944,380
GlaxoSmithKline Capital, Inc.
5.650%, 05/15/18............................. 1,028 1,029,326
HSBC USA, Inc.
# 2.750%, 08/07/20............................. 10,000 9,946,725
------------
TOTAL UNITED KINGDOM............................. 26,523,741
------------
UNITED STATES -- (31.9%)
21st Century Fox America, Inc.
4.500%, 02/15/21............................. 3,624 3,740,437
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
3M Co.
# 1.625%, 06/15/19............................. 3,200 $ 3,161,140
AbbVie, Inc.
# 2.500%, 05/14/20............................. 11,317 11,181,667
American Express Credit Corp.
2.375%, 05/26/20............................. 6,210 6,131,010
American International Group, Inc.
2.300%, 07/16/19............................. 1,500 1,487,330
3.375%, 08/15/20............................. 1,835 1,837,063
6.400%, 12/15/20............................. 7,000 7,539,177
Amgen, Inc.
2.200%, 05/11/20............................. 9,990 9,827,872
Anthem, Inc.
4.350%, 08/15/20............................. 1,128 1,156,891
2.500%, 11/21/20............................. 11,465 11,272,128
Apple, Inc.
1.900%, 02/07/20............................. 31,000 30,611,570
2.000%, 05/06/20............................. 4,522 4,459,470
AT&T, Inc.
2.300%, 03/11/19............................. 575 573,785
5.200%, 03/15/20............................. 6,000 6,221,216
Autodesk, Inc.
3.125%, 06/15/20............................. 1,355 1,349,878
AutoZone, Inc.
2.500%, 04/15/21............................. 2,045 2,002,337
Bank of America Corp.
2.600%, 01/15/19............................. 4,000 3,999,278
2.625%, 10/19/20............................. 1,670 1,650,024
Bank of New York Mellon Corp. (The)
# 2.100%, 01/15/19............................. 1,000 997,415
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 2,800 2,787,115
Branch Banking & Trust Co.
2.300%, 10/15/18............................. 1,000 999,131
Burlington Northern Santa Fe LLC
4.700%, 10/01/19............................. 250 256,346
CA, Inc.
5.375%, 12/01/19............................. 5,245 5,431,801
Capital One Bank USA NA
2.300%, 06/05/19............................. 1,242 1,232,463
Capital One NA/Mclean
# 2.400%, 09/05/19............................. 6,536 6,477,347
Cardinal Health, Inc.
4.625%, 12/15/20............................. 2,150 2,214,514
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 5,534 5,533,186
7.050%, 10/01/18............................. 5,000 5,090,984
CBS Corp.
2.300%, 08/15/19............................. 1,500 1,485,321
Celgene Corp.
2.875%, 02/19/21............................. 8,000 7,902,839
193
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
Chevron Corp.
# 2.193%, 11/15/19............................. 15,000 $14,872,427
# 1.961%, 03/03/20............................. 8,000 7,893,120
# 2.427%, 06/24/20............................. 3,650 3,627,408
Cisco Systems, Inc.
2.125%, 03/01/19............................. 10,000 9,977,435
1.400%, 09/20/19............................. 12,935 12,733,626
Citigroup, Inc.
2.050%, 12/07/18............................. 7,281 7,259,541
2.550%, 04/08/19............................. 750 748,765
2.650%, 10/26/20............................. 1,325 1,306,669
Coca-Cola Co. (The)
2.600%, 06/09/20............................. AUD 3,350 2,525,407
Comcast Corp.
5.700%, 05/15/18............................. 732 732,871
Comerica, Inc.
2.125%, 05/23/19............................. 4,000 3,975,688
CVS Health Corp.
2.250%, 12/05/18............................. 4,500 4,489,613
Danaher Corp.
# 1.650%, 09/15/18............................. 324 322,989
Discovery Communications LLC
## 2.750%, 11/15/19............................. 1,500 1,491,300
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20............................. 2,000 1,980,116
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 9,625 9,856,369
Eastman Chemical Co.
2.700%, 01/15/20............................. 3,883 3,859,930
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 10,927 11,007,493
Enterprise Products Operating LLC
1.650%, 05/07/18............................. 825 824,876
5.200%, 09/01/20............................. 3,839 4,008,969
Eversource Energy
2.500%, 03/15/21............................. 3,350 3,285,734
Exelon Corp.
# 2.850%, 06/15/20............................. 1,205 1,192,941
Exelon Generation Co. LLC
# 4.000%, 10/01/20............................. 4,282 4,341,840
Exxon Mobil Corp.
# 1.912%, 03/06/20............................. 3,950 3,897,116
2.222%, 03/01/21............................. 3,000 2,951,066
Fidelity National Information Services, Inc.
3.625%, 10/15/20............................. 1,214 1,226,138
Fifth Third Bancorp
# 2.875%, 07/27/20............................. 4,000 3,983,489
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 1,500 1,501,453
# 2.551%, 10/05/18............................. 5,000 5,000,236
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 2,937 $ 2,870,864
General Electric Co.
# 4.375%, 09/16/20............................. 7,000 7,185,394
General Mills, Inc.
2.200%, 10/21/19............................. 3,500 3,455,743
General Motors Financial Co., Inc.
# 3.150%, 01/15/20............................. 7,000 6,992,937
4.200%, 03/01/21............................. 500 508,822
Gilead Sciences, Inc.
1.850%, 09/04/18............................. 3,558 3,552,299
Goldman Sachs Group, Inc. (The)
7.500%, 02/15/19............................. 4,082 4,235,465
2.300%, 12/13/19............................. 600 593,998
# 2.600%, 04/23/20............................. 2,075 2,056,312
6.000%, 06/15/20............................. 8,000 8,459,239
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 585 573,927
## 2.400%, 06/15/20............................. 2,600 2,548,964
## 2.850%, 01/15/21............................. 6,000 5,914,969
Harris Corp.
2.700%, 04/27/20............................. 1,205 1,194,864
Hewlett Packard Enterprise Co.
3.600%, 10/15/20............................. 7,000 7,049,828
Huntington Bancshares, Inc.
# 2.600%, 08/02/18............................. 2,600 2,600,605
Integrys Energy Group, Inc.
4.170%, 11/01/20............................. 4,060 4,145,023
Intercontinental Exchange, Inc.
2.750%, 12/01/20............................. 2,347 2,325,455
International Business Machines Corp.
2.250%, 02/19/21............................. 3,615 3,552,068
John Deere Capital Corp.
# 2.800%, 03/04/21............................. 1,000 989,583
JPMorgan Chase & Co.
6.300%, 04/23/19............................. 3,500 3,623,389
# 2.750%, 06/23/20............................. 6,650 6,608,685
KeyBank NA
2.350%, 03/08/19............................. 7,000 6,986,471
KeyCorp
2.900%, 09/15/20............................. 3,128 3,105,793
Kraft Heinz Foods Co.
2.800%, 07/02/20............................. 14,365 14,259,848
Kroger Co. (The)
2.300%, 01/15/19............................. 1,000 996,942
1.500%, 09/30/19............................. 1,565 1,531,694
L3 Technologies, Inc.
# 4.750%, 07/15/20............................. 1,273 1,316,392
Lam Research Corp.
2.750%, 03/15/20............................. 1,098 1,094,575
194
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
LG&E & KU Energy LLC
# 3.750%, 11/15/20............................. 1,244 $ 1,256,635
Marriott International, Inc.
# 2.875%, 03/01/21............................. 1,000 989,922
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 4,417 4,410,441
McDonald's Corp.
# 2.100%, 12/07/18............................. 8,000 7,996,469
McKesson Corp.
2.284%, 03/15/19............................. 4,500 4,484,493
Merck & Co., Inc.
1.850%, 02/10/20............................. 22,500 22,173,776
Microsoft Corp.
# 1.100%, 08/08/19............................. 4,930 4,842,317
1.850%, 02/12/20............................. 7,000 6,905,162
Molson Coors Brewing Co.
2.250%, 03/15/20............................. 12,857 12,633,072
Mondelez International, Inc.
## 1.625%, 10/28/19............................. 2,000 1,960,347
Monsanto Co.
1.850%, 11/15/18............................. 6,700 6,670,367
Morgan Stanley
7.300%, 05/13/19............................. 6,000 6,271,331
Nasdaq, Inc.
5.550%, 01/15/20............................. 1,850 1,921,817
NextEra Energy Capital Holdings, Inc.
2.700%, 09/15/19............................. 1,500 1,493,354
NiSource, Inc.
6.800%, 01/15/19............................. 307 315,412
Omnicom Group, Inc.
4.450%, 08/15/20............................. 2,190 2,248,278
Oracle Corp.
# 2.250%, 10/08/19............................. 29,780 29,642,283
PACCAR Financial Corp.
1.750%, 08/14/18............................. 1,900 1,896,647
Pfizer, Inc.
# 1.500%, 06/15/18............................. 1,000 999,348
# 2.100%, 05/15/19............................. 30,877 30,734,339
Philip Morris International, Inc.
5.650%, 05/16/18............................. 2,751 2,754,606
# 1.875%, 01/15/19............................. 2,500 2,487,670
2.000%, 02/21/20............................. 1,250 1,228,697
PNC Bank NA
2.300%, 06/01/20............................. 2,400 2,362,680
2.600%, 07/21/20............................. 3,600 3,561,940
Provident Cos., Inc.
7.000%, 07/15/18............................. 3,298 3,327,436
QUALCOMM, Inc.
1.400%, 05/18/18............................. 1,000 999,641
Regions Financial Corp.
3.200%, 02/08/21............................. 4,400 4,380,216
Republic Services, Inc.
5.500%, 09/15/19............................. 1,167 1,207,562
Reynolds American, Inc.
2.300%, 06/12/18............................. 1,606 1,605,671
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,500 $ 1,496,647
3.000%, 12/15/20............................. 5,070 5,040,580
Ryder System, Inc.
2.550%, 06/01/19............................. 1,500 1,493,091
Sempra Energy
2.850%, 11/15/20............................. 6,000 5,928,745
Southern Co. (The)
# 2.450%, 09/01/18............................. 2,324 2,322,128
Southern Power Co.
2.375%, 06/01/20............................. 1,645 1,616,924
Southwest Airlines Co.
2.750%, 11/06/19............................. 5,480 5,452,969
State Street Corp.
# 2.550%, 08/18/20............................. 3,366 3,339,793
Stryker Corp.
# 2.000%, 03/08/19............................. 8,000 7,957,247
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 7,735 7,716,443
Target Corp.
2.300%, 06/26/19............................. 376 374,638
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 1,000 1,040,090
Thermo Fisher Scientific, Inc.
2.400%, 02/01/19............................. 2,529 2,523,361
Time Warner, Inc.
# 4.875%, 03/15/20............................. 2,985 3,083,038
4.700%, 01/15/21............................. 9,000 9,315,560
Total System Services, Inc.
2.375%, 06/01/18............................. 5,500 5,498,312
UnitedHealth Group, Inc.
# 1.625%, 03/15/19............................. 3,000 2,974,611
US Bank NA
2.125%, 10/28/19............................. 5,000 4,950,605
Verizon Communications, Inc.
# 2.625%, 02/21/20............................. 1,288 1,281,432
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 470 468,355
Walt Disney Co. (The)
1.500%, 09/17/18............................. 255 254,530
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 1,021 1,011,247
--------------
TOTAL UNITED STATES.............................. 638,717,783
--------------
TOTAL BONDS...................................... 1,432,701,816
--------------
U.S. TREASURY OBLIGATIONS -- (26.1%)
U.S. Treasury Notes
0.750%, 02/15/19............................. 126,000 124,548,046
++ 1.625%, 07/31/20............................. 304,000 297,920,000
1.375%, 08/31/20............................. 103,000 100,247,969
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 522,716,015
--------------
TOTAL INVESTMENT SECURITIES...................... 1,955,417,831
--------------
195
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Shares Value+
------ ------
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund............... 4,015,285 $ 46,456,849
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,025,097,732)............................ $2,001,874,680
==============
At April 30, 2018, 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)
------------------ --------------- ---------------------------- ------------------ --------------
USD 71,945,964 SEK 601,306,453 JP Morgan 07/05/18 $2,935,694
USD 96,503,226 CAD 121,297,809 JP Morgan 07/13/18 1,869,765
USD 42,506,320 AUD 55,246,248 JP Morgan 07/20/18 900,126
USD 109,114,022 EUR 88,964,273 State Street Bank and Trust 07/26/18 978,183
----------
Total Appreciation $6,683,768
==========
At April 30, 2018, 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 Futures......... 81 05/31/18 $ 5,326,963 $ 6,049,890 $ 722,927
Coffee 'c' Futures.......... 39 07/19/18 1,738,720 1,795,950 57,230
Copper Futures.............. 63 07/27/18 4,799,321 4,841,550 42,229
Corn Futures................ 250 07/13/18 4,893,842 5,009,375 115,533
Cotton No.2 Futures......... 27 07/09/18 1,091,595 1,131,840 40,245
Gasoline Rbob Futures....... 35 06/29/18 2,881,641 3,126,396 244,755
Gold 100 Oz Futures......... 65 06/27/18 8,654,262 8,574,800 (79,462)
Kc Hrw Wheat Futures........ 43 07/13/18 1,095,956 1,155,625 59,669
LME Nickel Futures.......... 97 05/14/18 7,839,849 7,915,782 75,933
LME Nickel Futures.......... 26 07/16/18 2,074,276 2,128,074 53,798
LME Prime Aluminium Futures. 217 05/14/18 11,873,539 12,279,487 405,948
LME Prime Aluminium Futures. 59 07/16/18 3,038,479 3,335,712 297,233
LME Zinc Futures............ 97 05/14/18 8,450,636 7,587,219 (863,417)
LME Zinc Futures............ 26 07/16/18 2,102,299 2,032,875 (69,424)
Lean Hogs Futures........... 52 06/14/18 1,616,053 1,512,160 (103,893)
Live Cattle Futures......... 65 06/29/18 2,898,404 2,758,600 (139,804)
Natural Gas Futures......... 209 06/27/18 5,941,710 5,852,000 (89,710)
Ny Harb Ulsd Futures........ 31 06/29/18 2,570,299 2,790,577 220,278
Silver Futures.............. 30 07/27/18 2,465,818 2,460,150 (5,668)
Soybean Futures............. 88 07/13/18 4,554,363 4,613,400 59,037
Soybean Meal Futures........ 68 07/13/18 2,606,653 2,677,840 71,187
Soybean Oil Futures......... 97 07/13/18 1,854,032 1,782,084 (71,948)
Sugar #11 Futures........... 150 06/29/18 2,088,293 1,974,000 (114,293)
Wheat Futures (cbt)......... 108 07/13/18 2,564,694 2,756,700 192,006
Wti Crude Futures........... 85 06/20/18 5,360,914 5,820,800 459,886
------------ ------------ ----------
Total....................... $100,382,611 $101,962,886 $1,580,275
------------ ------------ ----------
196
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Short position contracts:
LME Nickel Futures......... (97) 05/14/18 $ (7,819,125) $ (7,915,782) $ (96,657)
LME Prime Aluminum Futures. (217) 05/14/18 (11,241,223) (12,279,487) (1,038,264)
LME Zinc Futures........... (97) 05/14/18 (8,232,008) (7,587,219) 644,789
------------ ------------ -----------
Total...................... $(27,292,356) $(27,782,488) $ (490,132)
------------ ------------ -----------
Total futures contracts.... $ 73,090,255 $ 74,180,398 $ 1,090,143
============ ============ ===========
At April 30, 2018, DFA Commodity Strategy Portfolio had entered into the
following outstanding Total Return Swaps:
Payments
received Upfront Upfront Unrealized
Notional (paid) by Expiration Premiums Premiums Market Appreciation
Reference Entity Counterparty Amount the Fund Date Paid Received Value (Depreciation)
---------------- ------------------ --------------- ------------------- ---------- -------- -------- ---------- --------------
Citi Custom 3 Month
CIVICS H USD UST 13-Week
Total Return Bill High Discount
Index (1) CITIBANK, N.A. USD 271,780,677 Rate plus 0.14% 06/29/18 -- -- $ 86,867 $ 86,867
Citi Commodities 3 Month USD UST
Pre-Roll RS 13-Week Bill
Total Return High Discount Rate
Index (2) CITIBANK, N.A. USD 224,629,339 plus 0.18% 06/29/18 -- -- 36,779 36,779
Credit Suisse 3 Month USD UST
Custom 57 13-Week Bill
Total Return Credit Suisse High Discount Rate
Index (3) International USD 196,367,488 plus 0.14% 05/31/18 -- -- 84,931 84,931
Credit Suisse 3 Month USD UST
Custom 57R 13-Week Bill
Total Return Credit Suisse High Discount Rate
Index (4) International USD 238,632,772 plus 0.19% 05/31/18 -- -- 64,690 64,690
Deutsche Bank 3 Month USD UST
Benchmark 2 13-Week Bill
Flex Index Deutsche Bank AG, High Discount Rate
002 (5) London Branch USD 170,378,905 plus 0.14% 05/31/18 -- -- 73,749 73,749
Deutsche Bank
Bloomberg
Roll Select 3 Month USD UST
Commodity 13-Week Bill
Pre-Roll Deutsche Bank AG, High Discount Rate
Index (6) London Branch USD 60,425,712 plus 0.17% 05/31/18 -- -- 17,446 17,446
BofA Merrill
Lynch
Commodity 3 Month USD UST
MLBXPPDM 13-Week Bill
Total Return Bank of America, High Discount Rate
Index (7) N.A. USD 245,935,013 plus 0.14% 06/29/18 -- -- 78,259 78,259
BofA Merrill
Lynch 3 Month USD UST
MLBXRSDM 13-Week Bill
Total Return Bank of America, High Discount Rate
Index (8) N.A. USD 177,034,032 plus 0.18% 06/29/18 -- -- 29,005 29,005
UBS UBSIB190 3 Month USD UST
Custom 13-Week Bill
Strategy (9) High Discount Rate
UBS AG USD 273,639,724 plus 0.14% 07/29/18 -- -- 510,804 510,804
UBS UBSIDRST 3 Month USD UST
Custom 13-Week Bill
Strategy (10) High Discount Rate
UBS AG USD 108,605,668 plus 0.17% 07/29/18 -- -- 189,360 189,360
-- -- ---------- ----------
Total -- -- $1,171,890 $1,171,890
== == ========== ==========
197
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
(1) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 6.75% 18,351,982
CBOT Soybean Future...................... 6.21% 16,878,622
CBOT Soybean Meal Future................. 3.58% 9,737,401
CBOT Soybean Oil Future.................. 2.40% 6,535,676
CBOT Wheat Future........................ 3.73% 10,127,368
CME Lean Hogs Future..................... 2.13% 5,782,761
CME Live Cattle Future................... 3.65% 9,909,296
COMEX Copper Future...................... 6.57% 17,867,072
COMEX Gold 100 Troy Ounces Future........ 11.55% 31,394,555
COMEX Silver Future...................... 3.36% 9,138,426
ICE Brent Crude Oil Future............... 8.07% 21,920,665
KCBT Hard Red Winter Wheat Future........ 1.55% 4,203,531
LME Nickel Future........................ 2.90% 7,890,652
LME Primary Aluminum Future.............. 4.47% 12,143,167
LME Zinc Future.......................... 2.78% 7,558,064
NYBOT CSC C Coffee Future................ 2.40% 6,530,259
NYBOT CSC Number 11 World Sugar Future... 2.66% 7,225,659
NYBOT CTN Number 2 Cotton Future......... 1.51% 4,096,670
NYMEX Henry Hub Natural Gas Future....... 7.89% 21,434,936
NYMEX Light Sweet Crude Oil Future....... 7.87% 21,401,679
NYMEX NY Harbor ULSD Future.............. 3.71% 10,081,529
NYMEX Reformulated Gasoline Blend Future. 4.26% 11,570,707
-----------
Total Notional Amount.................... 271,780,677
===========
(2) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future.................. 7.08% 15,907,079
CBOT Soybean Future............... 6.25% 14,043,282
CBOT Soybean Meal Future.......... 3.49% 7,849,954
CBOT Soybean Oil Future........... 2.43% 5,457,304
CBOT Wheat Future................. 3.76% 8,456,376
CME Lean Hogs Future.............. 1.83% 4,106,315
CME Live Cattle Future............ 3.68% 8,274,285
COMEX Copper Future............... 6.74% 15,137,444
COMEX Gold 100 Troy Ounces Future. 11.67% 26,214,526
COMEX Silver Future............... 3.40% 7,630,607
ICE Brent Crude Oil Future........ 8.03% 18,040,191
KCBT Hard Red Winter Wheat Future. 1.68% 3,779,327
LME Nickel Future................. 2.95% 6,625,179
LME Primary Aluminum Future....... 4.48% 10,070,077
LME Zinc Future................... 2.80% 6,288,299
198
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
NYBOT CSC C Coffee Future................ 2.43% 5,452,781
NYBOT CSC Number 11 World Sugar Future... 2.69% 6,033,442
NYBOT CTN Number 2 Cotton Future......... 1.43% 3,214,277
NYMEX Henry Hub Natural Gas Future....... 7.94% 17,834,299
NYMEX Light Sweet Crude Oil Future....... 7.60% 17,074,527
NYMEX NY Harbor ULSD Future.............. 3.75% 8,418,100
NYMEX Reformulated Gasoline Blend Future. 3.88% 8,721,668
-----------
Total Notional Amount.................... 224,629,339
===========
(3) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 6.75% 13,254,805
CBOT Soybean Future...................... 6.21% 12,194,421
CBOT Soybean Meal Future................. 3.58% 7,029,956
CBOT Soybean Oil Future.................. 2.40% 4,712,820
CBOT Wheat Future........................ 3.73% 7,324,507
CME Lean Hogs Future..................... 2.13% 4,182,628
CME Live Cattle Future................... 3.65% 7,167,413
COMEX Copper Future...................... 6.57% 12,901,344
COMEX Gold 100 Troy Ounces Future........ 11.55% 22,680,445
COMEX Silver Future...................... 3.36% 6,597,948
ICE Brent Crude Oil Future............... 8.07% 15,846,856
KCBT Hard Red Winter Wheat Future........ 1.55% 3,043,696
LME Nickel Future........................ 2.90% 5,694,657
LME Primary Aluminum Future.............. 4.47% 8,777,627
LME Zinc Future.......................... 2.78% 5,459,016
NYBOT CSC C Coffee Future................ 2.40% 4,712,820
NYBOT CSC Number 11 World Sugar Future... 2.66% 5,223,375
NYBOT CTN Number 2 Cotton Future......... 1.51% 2,965,149
NYMEX Henry Hub Natural Gas Future....... 7.89% 15,493,395
NYMEX Light Sweet Crude Oil Future....... 7.87% 15,454,121
NYMEX NY Harbor ULSD Future.............. 3.71% 7,285,234
NYMEX Reformulated Gasoline Blend Future. 4.26% 8,365,255
-----------
Total Notional Amount.................... 196,367,488
===========
(4) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......... 7.08% 16,895,200
CBOT Soybean Future...... 6.25% 14,914,548
CBOT Soybean Meal Future. 3.49% 8,328,284
199
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Soybean Oil Future.................. 2.43% 5,798,776
CBOT Wheat Future........................ 3.76% 8,972,592
CME Lean Hogs Future..................... 1.83% 4,366,980
CME Live Cattle Future................... 3.68% 8,781,686
COMEX Copper Future...................... 6.74% 16,083,849
COMEX Gold 100 Troy Ounces Future........ 11.68% 27,872,308
COMEX Silver Future...................... 3.40% 8,113,514
ICE Brent Crude Oil Future............... 8.03% 19,162,212
KCBT Hard Red Winter Wheat Future........ 1.68% 4,009,030
LME Nickel Future........................ 2.95% 7,039,667
LME Primary Aluminum Future.............. 4.48% 10,690,748
LME Zinc Future.......................... 2.80% 6,681,718
NYBOT CSC C Coffee Future................ 2.43% 5,798,776
NYBOT CSC Number 11 World Sugar Future... 2.69% 6,419,222
NYBOT CTN Number 2 Cotton Future......... 1.43% 3,412,449
NYMEX Henry Hub Natural Gas Future....... 7.94% 18,947,442
NYMEX Light Sweet Crude Oil Future....... 7.60% 18,136,091
NYMEX NY Harbor ULSD Future.............. 3.75% 8,948,729
NYMEX Reformulated Gasoline Blend Future. 3.88% 9,258,951
-----------
Total Notional Amount.................... 238,632,772
===========
(5) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 6.73% 11,463,361
CBOT Soybean Future...................... 6.27% 10,680,940
CBOT Soybean Meal Future................. 3.60% 6,140,000
CBOT Soybean Oil Future.................. 2.42% 4,120,236
CBOT Wheat Future........................ 3.65% 6,212,126
CME Lean Hogs Future..................... 2.14% 3,649,288
CME Live Cattle Future................... 3.70% 6,311,030
COMEX Copper Future...................... 6.58% 11,207,051
COMEX Gold 100 Troy Ounces Future........ 11.61% 19,786,456
COMEX Silver Future...................... 3.39% 5,774,047
ICE Brent Crude Oil Future............... 7.98% 13,601,429
KCBT Hard Red Winter Wheat Future........ 1.53% 2,606,126
LME Nickel Future........................ 2.96% 5,043,296
LME Primary Aluminum Future.............. 4.41% 7,514,927
LME Zinc Future.......................... 2.78% 4,739,367
NYBOT CSC C Coffee Future................ 2.40% 4,088,723
NYBOT CSC Number 11 World Sugar Future... 2.61% 4,450,064
NYBOT CTN Number 2 Cotton Future......... 1.52% 2,593,953
NYMEX Henry Hub Natural Gas Future....... 7.93% 13,517,588
NYMEX Light Sweet Crude Oil Future....... 7.83% 13,345,642
NYMEX NY Harbor ULSD Future.............. 3.69% 6,284,413
NYMEX Reformulated Gasoline Blend Future. 4.25% 7,248,842
-----------
Total Notional Amount.................... 170,378,905
===========
200
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
(6) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 7.07% 4,274,993
CBOT Soybean Future...................... 6.28% 3,795,917
CBOT Soybean Meal Future................. 3.50% 2,117,293
CBOT Soybean Oil Future.................. 2.44% 1,477,234
CBOT Wheat Future........................ 3.69% 2,227,242
CME Lean Hogs Future..................... 1.83% 1,106,698
CME Live Cattle Future................... 3.74% 2,262,703
COMEX Copper Future...................... 6.75% 4,078,950
COMEX Gold 100 Troy Ounces Future........ 11.74% 7,094,066
COMEX Silver Future...................... 3.43% 2,070,177
ICE Brent Crude Oil Future............... 7.95% 4,806,779
KCBT Hard Red Winter Wheat Future........ 1.67% 1,007,473
LME Nickel Future........................ 3.01% 1,817,690
LME Primary Aluminum Future.............. 4.42% 2,670,151
LME Zinc Future.......................... 2.80% 1,691,456
NYBOT CSC C Coffee Future................ 2.43% 1,465,936
NYBOT CSC Number 11 World Sugar Future... 2.64% 1,595,488
NYBOT CTN Number 2 Cotton Future......... 1.44% 872,348
NYMEX Henry Hub Natural Gas Future....... 8.00% 4,836,136
NYMEX Light Sweet Crude Oil Future....... 7.56% 4,567,339
NYMEX NY Harbor ULSD Future.............. 3.73% 2,253,160
NYMEX Reformulated Gasoline Blend Future. 3.87% 2,336,483
----------
Total Notional Amount.................... 60,425,712
==========
(7) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future.................. 6.75% 16,606,754
CBOT Soybean Future............... 6.21% 15,273,507
CBOT Soybean Meal Future.......... 3.58% 8,811,398
CBOT Soybean Oil Future........... 2.40% 5,914,149
CBOT Wheat Future................. 3.73% 9,164,281
CME Lean Hogs Future.............. 2.13% 5,232,835
CME Live Cattle Future............ 3.65% 8,966,947
COMEX Copper Future............... 6.57% 16,167,958
COMEX Gold 100 Troy Ounces Future. 11.55% 28,409,011
COMEX Silver Future............... 3.36% 8,269,385
ICE Brent Crude Oil Future........ 8.07% 19,836,064
KCBT Hard Red Winter Wheat Future. 1.55% 3,803,786
LME Nickel Future................. 2.90% 7,140,271
201
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
LME Primary Aluminum Future.............. 4.47% 10,988,382
LME Zinc Future.......................... 2.78% 6,839,311
NYBOT CSC C Coffee Future................ 2.40% 5,909,248
NYBOT CSC Number 11 World Sugar Future... 2.66% 6,538,517
NYBOT CTN Number 2 Cotton Future......... 1.51% 3,707,087
NYMEX Henry Hub Natural Gas Future....... 7.89% 19,396,527
NYMEX Light Sweet Crude Oil Future....... 7.87% 19,366,432
NYMEX NY Harbor ULSD Future.............. 3.71% 9,122,801
NYMEX Reformulated Gasoline Blend Future. 4.26% 10,470,362
-----------
Total Notional Amount.................... 245,935,013
===========
(8) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 7.08% 12,536,628
CBOT Soybean Future...................... 6.25% 11,067,738
CBOT Soybean Meal Future................. 3.49% 6,186,676
CBOT Soybean Oil Future.................. 2.43% 4,300,990
CBOT Wheat Future........................ 3.76% 6,664,607
CME Lean Hogs Future..................... 1.83% 3,236,253
CME Live Cattle Future................... 3.68% 6,521,098
COMEX Copper Future...................... 6.74% 11,930,066
COMEX Gold 100 Troy Ounces Future........ 11.67% 20,660,094
COMEX Silver Future...................... 3.40% 6,013,806
ICE Brent Crude Oil Future............... 8.03% 14,217,768
KCBT Hard Red Winter Wheat Future........ 1.68% 2,978,549
LME Nickel Future........................ 2.95% 5,221,411
LME Primary Aluminum Future.............. 4.48% 7,936,391
LME Zinc Future.......................... 2.80% 4,955,911
NYBOT CSC C Coffee Future................ 2.43% 4,297,425
NYBOT CSC Number 11 World Sugar Future... 2.69% 4,755,054
NYBOT CTN Number 2 Cotton Future......... 1.43% 2,533,224
NYMEX Henry Hub Natural Gas Future....... 7.94% 14,055,501
NYMEX Light Sweet Crude Oil Future....... 7.60% 13,456,712
NYMEX NY Harbor ULSD Future.............. 3.75% 6,634,442
NYMEX Reformulated Gasoline Blend Future. 3.88% 6,873,688
-----------
Total Notional Amount.................... 177,034,032
===========
202
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
(9) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 6.75% 18,470,681
CBOT Soybean Future...................... 6.21% 16,993,027
CBOT Soybean Meal Future................. 3.58% 9,796,302
CBOT Soybean Oil Future.................. 2.40% 6,567,353
CBOT Wheat Future........................ 3.73% 10,206,762
CME Lean Hogs Future..................... 2.13% 5,828,526
CME Live Cattle Future................... 3.65% 9,987,850
COMEX Copper Future...................... 6.57% 17,978,130
COMEX Gold 100 Troy Ounces Future........ 11.55% 31,605,388
COMEX Silver Future...................... 3.36% 9,194,295
ICE Brent Crude Oil Future............... 8.07% 22,082,726
KCBT Hard Red Winter Wheat Future........ 1.55% 4,241,416
LME Nickel Future........................ 2.90% 7,935,552
LME Primary Aluminum Future.............. 4.47% 12,231,696
LME Zinc Future.......................... 2.78% 7,607,184
NYBOT CSC C Coffee Future................ 2.40% 6,567,353
NYBOT CSC Number 11 World Sugar Future... 2.66% 7,278,817
NYBOT CTN Number 2 Cotton Future......... 1.51% 4,131,960
NYMEX Henry Hub Natural Gas Future....... 7.89% 21,590,174
NYMEX Light Sweet Crude Oil Future....... 7.87% 21,535,446
NYMEX NY Harbor ULSD Future.............. 3.71% 10,152,034
NYMEX Reformulated Gasoline Blend Future. 4.26% 11,657,052
-----------
Total Notional Amount.................... 273,639,724
===========
(10) The following table represents the individual positions within the
Total Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future.................. 7.08% 7,689,281
CBOT Soybean Future............... 6.25% 6,787,854
CBOT Soybean Meal Future.......... 3.49% 3,790,338
CBOT Soybean Oil Future........... 2.43% 2,639,118
CBOT Wheat Future................. 3.76% 4,083,573
CME Lean Hogs Future.............. 1.83% 1,987,484
CME Live Cattle Future............ 3.68% 3,996,689
COMEX Copper Future............... 6.74% 7,320,022
COMEX Gold 100 Troy Ounces Future. 11.68% 12,685,141
COMEX Silver Future............... 3.40% 3,692,593
ICE Brent Crude Oil Future........ 8.03% 8,721,035
KCBT Hard Red Winter Wheat Future. 1.68% 1,824,575
LME Nickel Future................. 2.95% 3,203,867
LME Primary Aluminum Future....... 4.48% 4,865,534
203
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
LME Zinc Future.......................... 2.80% 3,040,959
NYBOT CSC C Coffee Future................ 2.43% 2,639,118
NYBOT CSC Number 11 World Sugar Future... 2.69% 2,921,492
NYBOT CTN Number 2 Cotton Future......... 1.43% 1,553,061
NYMEX Henry Hub Natural Gas Future....... 7.94% 8,623,290
NYMEX Light Sweet Crude Oil Future....... 7.60% 8,254,031
NYMEX NY Harbor ULSD Future.............. 3.75% 4,072,713
NYMEX Reformulated Gasoline Blend Future. 3.88% 4,213,900
-----------
Total Notional Amount.................... 108,605,668
===========
Summary of the Portfolio's investments as of April 30, 2018, 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.............................. -- $ 110,893,533 -- $ 110,893,533
Austria................................ -- 1,462,527 -- 1,462,527
Belgium................................ -- 9,883,499 -- 9,883,499
Canada................................. -- 175,556,296 -- 175,556,296
Finland................................ -- 6,079,815 -- 6,079,815
France................................. -- 45,038,521 -- 45,038,521
Germany................................ -- 65,831,580 -- 65,831,580
Ireland................................ -- 9,686,873 -- 9,686,873
Italy.................................. -- 2,584,520 -- 2,584,520
Japan.................................. -- 44,536,460 -- 44,536,460
Netherlands............................ -- 70,601,879 -- 70,601,879
Norway................................. -- 15,505,745 -- 15,505,745
Spain.................................. -- 28,421,711 -- 28,421,711
Supranational Organization Obligations. -- 51,026,302 -- 51,026,302
Sweden................................. -- 113,155,651 -- 113,155,651
Switzerland............................ -- 17,195,380 -- 17,195,380
United Kingdom......................... -- 26,523,741 -- 26,523,741
United States.......................... -- 638,717,783 -- 638,717,783
U.S. Treasury Obligations................ -- 522,716,015 -- 522,716,015
Securities Lending Collateral............ -- 46,456,849 -- 46,456,849
Swap Agreements**........................ -- 1,171,890 -- 1,171,890
Futures Contracts**...................... $1,090,143 -- -- 1,090,143
Forward Currency Contracts**............. -- 6,683,768 -- 6,683,768
---------- -------------- -- --------------
TOTAL.................................... $1,090,143 $2,009,730,338 -- $2,010,820,481
========== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
204
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investments at Value (including $45,404 of securities on loan)................................ $ 1,955,418
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $46,455). 46,457
Segregated Cash for Swaps Contracts........................................................... 27,366
Foreign Currencies at Value................................................................... 2
Cash.......................................................................................... 83,531
Receivables:
Interest.................................................................................... 12,111
Securities Lending Income................................................................... 8
Fund Shares Sold............................................................................ 2,643
Unrealized Gain on Swap Contracts............................................................. 1,172
Unrealized Gain on Forward Currency Contracts................................................. 6,684
Prepaid Expenses and Other Assets............................................................. 33
--------------
Total Assets............................................................................. 2,135,425
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 46,486
Investment Securities Purchased............................................................. 13,663
Fund Shares Redeemed........................................................................ 1,205
Due to Advisor.............................................................................. 499
Futures Margin Variation.................................................................... 428
Segregated Cash for Swap Contracts.......................................................... 21,504
Accrued Expenses and Other Liabilities........................................................ 114
--------------
Total Liabilities......................................................................... 83,899
--------------
NET ASSETS.................................................................................... $ 2,051,526
==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)....................................................... 336,570,731
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................... $ 6.10
==============
Investments at Cost........................................................................... $ 1,978,643
==============
Foreign Currencies at Cost.................................................................... $ 2
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................... $ 1,979,456
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........ 46
Accumulated Net Realized Gain (Loss).......................................................... 86,375
Net Unrealized Foreign Exchange Gain (Loss)................................................... 6,617
Net Unrealized Appreciation (Depreciation).................................................... (20,968)
--------------
NET ASSETS.................................................................................... $ 2,051,526
==============
(1) NUMBER OF SHARES AUTHORIZED............................................................... 1,800,000,000
==============
See accompanying Notes to Financial Statements.
205
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO#
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
Investment Income
Interest.......................................................................................... $ 15,028
Income from Securities Lending.................................................................... 32
--------
Total Investment Income........................................................................ 15,060
--------
Expenses
Investment Management Fees........................................................................ 3,357
Accounting & Transfer Agent Fees.................................................................. 56
Custodian Fees.................................................................................... 26
Filing Fees....................................................................................... 42
Shareholders' Reports............................................................................. 34
Directors'/Trustees' Fees & Expenses.............................................................. 7
Professional Fees................................................................................. 15
Other............................................................................................. 20
--------
Total Expenses................................................................................. 3,557
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D). (606)
Fees Paid Indirectly (Note D)..................................................................... (4)
--------
Net Expenses...................................................................................... 2,947
--------
Net Investment Income (Loss)...................................................................... 12,113
--------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................................... (3,773)
Affiliated Investment Companies Shares Sold..................................................... (9)
Futures......................................................................................... 5,574
Swap Contracts.................................................................................. 85,411
Foreign Currency Transactions................................................................... (11)
Forward Currency Contracts...................................................................... 942
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... (16,500)
Affiliated Investment Companies Shares.......................................................... 4
Futures......................................................................................... (1,957)
Swap Contracts.................................................................................. (3,317)
Translation of Foreign Currency Denominated Amounts............................................. (42)
Forward Currency Contracts...................................................................... 3,680
--------
Net Realized and Unrealized Gain (Loss)........................................................... 70,002
--------
Net Increase (Decrease) in Net Assets Resulting from Operations..................................... $ 82,115
========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
206
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Commodity Strategy
Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................................................... $ 12,113 $ 19,526
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................................ (3,773) (2,466)
Affiliated Investment Companies Shares Sold........................................ (9) (22)
Futures............................................................................ 5,574 (4,294)
Swap Contracts..................................................................... 85,411 11,651
Foreign Currency Transactions...................................................... (11) (42)
Forward Currency Contracts......................................................... 942 49
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... (16,500) (8,171)
Affiliated Investment Companies Shares Sold........................................ 4 (4)
Futures............................................................................ (1,957) 4,164
Swap Contracts..................................................................... (3,317) 26,047
Translation of Foreign Currency Denominated Amounts................................ (42) (30)
Forward Currency Contracts......................................................... 3,680 3,005
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 82,115 49,413
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares......................................................... (42,351) (22,518)
Net Short-Term Gains:
Institutional Class Shares......................................................... -- (875)
Net Long-Term Gains:
---------- ----------
Total Distributions................................................................ (42,351) (23,393)
---------- ----------
Capital Share Transactions (1):
Shares Issued........................................................................ 501,160 723,399
Shares Issued in Lieu of Cash Distributions.......................................... 38,383 22,385
Shares Redeemed...................................................................... (256,102) (641,580)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions............................ 283,441 104,204
---------- ----------
Total Increase (Decrease) in Net Assets............................................ 323,205 130,224
Net Assets
Beginning of Period.................................................................. 1,728,321 1,598,097
---------- ----------
End of Period........................................................................ $2,051,526 $1,728,321
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................................................................ 83,760 123,067
Shares Issued in Lieu of Cash Distributions.......................................... 6,746 3,816
Shares Redeemed...................................................................... (43,040) (109,656)
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed............................ 47,466 17,227
========== ==========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 46 $ 30,284
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
207
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Commodity Strategy Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 5.98 $ 5.88 $ 5.93 $ 8.00 $ 8.30 $ 9.40
---------- ---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.04 0.07 0.05 0.05 0.06 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.23 0.11 (0.07) (2.05) (0.31) (1.10)
---------- ---------- ---------- ---------- ---------- --------
Total from Investment Operations..... 0.27 0.18 (0.02) (2.00) (0.25) (1.04)
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.15) (0.08) (0.03) (0.06) (0.04) (0.04)
Net Realized Gains..................... -- -- -- (0.01) (0.01) (0.02)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions.................. (0.15) (0.08) (0.03) (0.07) (0.05) (0.06)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 6.10 $ 5.98 $ 5.88 $ 5.93 $ 8.00 $ 8.30
======================================= =========== ========== ========== ========== ========== ========
Total Return............................ 4.67%(D) 3.15% (0.26)% (25.16)% (3.08)% (11.15)%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $2,051,526 $1,728,321 $1,598,097 $1,207,071 $1,194,191 $786,314
Ratio of Expenses to Average Net Assets. 0.32%(E) 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%(E) 0.39% 0.40% 0.40% 0.39% 0.40%
Ratio of Net Investment Income to
Average Net Assets..................... 1.32%(E) 1.17% 0.95% 0.77% 0.65% 0.66%
Portfolio Turnover Rate................. 41%(D) 102% 159% 124% 104% 64%
---------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
208
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of one hundred and two 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. These
valuations are generally categorized as Level 2 in the hierarchy.
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.
209
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
agreements will be valued at the price provided by an independent third-party
pricing service or source. If a price is not available from an independent
third-party pricing service or source, the swap agreement will be valued in
good faith at fair value in accordance with procedures adopted by the Board.
These securities are generally categorized as Level 2 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolio's investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Schedule
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolio.
2. Deferred Compensation Plan: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, 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-
210
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 Subsidiary
pursues its investment goal by investing in commodities, commodities-related
instruments, derivatives and other investments. The Subsidiary (unlike the
Portfolio) may invest without limitation in these instruments. However, the
Subsidiary is otherwise subject to the same fundamental, non-fundamental and
certain other investment restrictions as the Portfolio. The portion of the
Portfolio's or Subsidiary's assets exposed to any particular commodity,
derivative or other investment will vary based on market conditions, but from
time to time some exposure could be substantial.
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Portfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
The Subsidiary is classified as a controlled foreign corporation under
Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of April 30, 2018, the Portfolio held a $427,583,917 investment in the
Subsidiary, representing 20.84% of the Portfolio's total assets. The
accompanying consolidated financial statements include all assets, liabilities,
revenues and expenses of the Portfolio and its wholly-owned Subsidiary.
Intercompany balances and transactions have been eliminated in consolidation.
D. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the six months ended April 30, 2018, 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, 2019, 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. Prior year
expenses can be recaptured only if the current expense ratio is less than the
prior year expense cap that was in place when such prior year expenses were
waived. At April 30, 2018, 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.
211
For the six months ended April 30, 2018, approximately $606 (in thousands)
of the Subsidiary's management fees were waived pursuant to the Subsidiary fee
waiver agreement.
Earned Income Credit:
In addition, the Portfolio has entered into an arrangement with its
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of the
Portfolio's net assets. During the six months ended April 30, 2018, expenses
reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
DFA Commodity Strategy Portfolio. $4
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $158 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statement of Operations.
E. Deferred Compensation:
At April 30, 2018, 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. $27
F. Purchases and Sales of Securities:
For the six months ended April 30, 2018, the Portfolio's transactions
related to investment securities, other than short-term securities and in-kind
redemptions (amounts in thousands), were as follows:
U.S. Government Other Investment
Securities Securities
------------------ ------------------
Purchases Sales Purchases Sales
--------- -------- --------- --------
DFA Commodity Strategy Portfolio. $504,671 $531,203 $550,734 $193,565
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- --------- ---------- ------------ ------------- ---------- ------------ -----------
DFA Commodity Strategy
Portfolio
DFA Short Term Investment
Fund..................... $42,409 $137,244 $133,191 $(9) $4 $46,457 4,015 $277
------- -------- -------- --- -- ------- ----- ----
Total..................... $42,409 $137,244 $133,191 $(9) $4 $46,457 4,015 $277
======= ======== ======== === == ======= ===== ====
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
DFA Commodity Strategy
Portfolio
DFA Short Term Investment
Fund..................... --
--
Total..................... --
==
212
G. Federal Income Taxes:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 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
213
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
During the year ended October 31, 2017, the Portfolio did not utilize
capital loss carryforwards to offset realized capital gains for federal income
tax purposes.
At April 30, 2018, 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 Commodity Strategy Portfolio. $2,034,333 $4,602 $(28,115) $(23,513)
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
214
change in unrealized appreciation or depreciation from translation of
foreign-currency-denominated amounts. When the contract is closed or offset
with the same counterparty, the Portfolio records a realized gain or loss equal
to the change in the value of the contract when it was opened and the value at
the time it was closed or offset. This is presented in the Statement of
Operations as a net realized gain or loss on foreign currency transactions.
3. Commodity-Linked Derivatives: The Portfolio and the Subsidiary invest
in commodity-linked derivative instruments, such as swap agreements, commodity
options, futures, options on futures, and structured notes. The prices of
commodity-linked derivative instruments may move in different directions than
investments in traditional equity securities, fixed income securities and
commodity spot prices.
4. Swap Agreements: The Portfolio may enter into swap agreements with
respect to commodities, interest rates and indexes of commodities or
securities, specific securities and commodities, and mortgage, credit and
event-linked swaps, and, to the extent the Portfolio may invest in
foreign-currency-denominated securities, the Portfolio may enter into swap
agreements with respect to foreign currencies.
The Portfolio may enter into swap transactions for any legal purpose
consistent with its investment objective and policies, such as for the purpose
of attempting to obtain or preserve a particular return or spread at a lower
cost than obtaining a return or spread through purchases and/or sales of
instruments in other markets, to seek to increase total return (speculation),
to protect against currency fluctuations, as a duration management technique,
to protect against any increase in the price of securities the Portfolio
anticipates purchasing at a later date, or to gain exposure to certain markets
in the most economical way possible.
A swap agreement may be negotiated bilaterally and traded over-the-counter
between the two parties (for an uncleared swap), while other swaps must be
transacted through a futures commission merchant ("FCM") and 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
215
as a creditor. The Portfolio will enter into swap agreements only with
counterparties that meet certain standards of creditworthiness as determined by
the Advisor's Investment Committee. To the extent that the Portfolio cannot
dispose of a swap in the ordinary course of business within seven days at
approximately the value at which the Portfolio has valued the swap, the
Portfolio will treat the swap as illiquid and subject to its overall limit on
illiquid investments of 15% of the Portfolio's net assets.
The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and
implementing rules adopted by the Commodity Futures Trading Commission ("CFTC")
currently require the clearing and exchange-trading of the most common types of
credit default index swaps and interest rate swaps, and it is expected that
additional categories of swaps will in the future be designated as subject to
mandatory clearing and trade execution requirements. Central clearing is
intended to reduce counterparty credit risk and increase liquidity, but central
clearing does not eliminate these risks completely. There is also a risk of
loss by the Portfolio of the initial and variation margin deposits in the event
of bankruptcy of the FCM with which the Portfolio has an open position, or the
central counterparty in a swap contract. The assets of the Portfolio may not be
fully protected in the event of the bankruptcy of the FCM or central
counterparty because the Portfolio might be limited to recovering only a pro
rata share of all available funds and margin segregated on behalf of an FCM's
customers.
Futures Activities:
The Portfolio may enter into commodity, foreign currency, interest rate and
commodity or securities index futures contracts and purchase and write (sell)
related options traded on exchanges designated by the CFTC or, consistent with
CFTC regulations, on foreign exchanges.
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.
216
6. Options on Futures Contracts: The Portfolio may purchase and write put
and call options on foreign currency, interest rate and stock and commodity
index futures contracts and may enter into closing transactions with respect to
such options to terminate existing positions. There is no guarantee that such
closing transactions can be effected; the ability to establish and close out
positions on such options will be subject to the existence of a liquid market.
An option on a currency, interest rate or commodity or securities index
futures contract, as contrasted with the direct investment in such a contract,
gives the purchaser the right, in return for the premium paid, to assume a
position in a futures contract at a specified exercise price at any time prior
to the expiration date of the option. The writer of the option is required upon
exercise to assume an offsetting futures position (a short position if the
option is a call and a long position if the option is a put). Upon exercise of
an option, the delivery of the futures position by the writer of the option to
the holder of the option will be accompanied by delivery of the accumulated
balance in the writer's futures margin account, which represents the amount by
which the market price of the futures contract exceeds, in the case of a call,
or is less than, in the case of a put, the exercise price of the option on the
futures contract. The potential loss related to the purchase of an option on a
futures contract is limited to the premium paid for the option (plus
transaction costs). The value of the option changes daily, and that change is
reflected in the net asset value of the Portfolio.
The Portfolio may enter into options and futures transactions for several
purposes, including generating current income to offset expenses or increase
return, and as hedges to reduce investment risk, generally by making an
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 six months ended April 30, 2018 (amounts in
thousands):
Forward
Currency Swap
Contracts Futures Contracts
--------- ------- ---------
DFA Commodity Strategy Portfolio. 270,425 104,129 1,768,710
The following is a summary of the location of derivatives on the Portfolio's
Statement of Assets and Liabilities as of April 30, 2018:
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 April 30, 2018 (amounts in
thousands):
Asset Derivatives Value
---------------------------------------------
Total Value Forward Commodity
at Currency Futures Swap
April 30, 2018 Contracts Contracts* Contracts
-------------- --------- ---------- ---------
DFA Commodity Strategy Portfolio. $11,619 $6,684 $3,763 $1,172
217
Liability Derivatives Value
---------------------------
Total Value Forward Commodity
at Currency Futures Swap
April 30, 2018 Contracts Contracts* Contracts
-------------- --------- ---------- ---------
DFA Commodity Strategy Portfolio. $(2,673) -- $(2,673) --
* 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 Portfolio's Statement of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings for the six months ended April 30,
2018:
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 for the six months ended April 30, 2018 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives
-----------------------
Forward Commodity
Currency Futures Swap
Total Contracts Contracts Contracts
------- --------- --------- ---------
DFA Commodity Strategy Portfolio. $91,927 $ 942 $ 5,574 $85,411
Change in Unrealized
Appreciation (Depreciation)
on Derivatives
-----------------------
Forward Commodity
Currency Futures Swap
Total Contracts Contracts Contracts
------- --------- --------- ---------
DFA Commodity Strategy Portfolio. $(1,594) $3,680 $(1,957) $(3,317)
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.
218
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
"Statement of assets and liabilities."
The following table presents the Portfolio's gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolio as of April 30, 2018
(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
Assets and Instruments Collateral Amount Liabilities and Instruments Collateral
Description (a) Liabilities (b) Received (c) (a) Liabilities (d) Pledged
----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ----------
Assets Liabilities
---------------------------------------------------- ----------------------------------------------
DFA Commodity
Strategy Portfolio
JP Morgan.............. $5,706 $5,706 -- -- $5,706 -- -- -- --
State Street Bank
and Trust............. 978 978 -- -- 978 -- -- -- --
Citibank, N.A.......... 124 124 -- -- 124 -- -- -- --
Credit Suisse.......... 150 150 -- -- 150 -- -- -- --
Deutsche Bank AG,
London Branch......... 91 91 -- -- 91 -- -- -- --
Merrill Lynch Capital
Services, Inc......... 107 107 -- -- 107 -- -- -- --
UBS AG................. 700 700 -- -- 700 -- -- -- --
------ ------ -- -- ------ -- -- -- --
$7,856 $7,856 -- -- $7,856 -- -- -- --
====== ====== == == ====== == == == ==
Net
Amount
Description (e)
----------- ------
-------
DFA Commodity
Strategy Portfolio
JP Morgan.............. --
State Street Bank
and Trust............. --
Citibank, N.A.......... --
Credit Suisse.......... --
Deutsche Bank AG,
London Branch......... --
Merrill Lynch Capital
Services, Inc......... --
UBS AG................. --
--
--
==
(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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
219
There were no borrowings by the Portfolio under the lines of credit during
the six months ended April 30, 2018.
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 six
months ended April 30, 2018.
J. Securities Lending:
As of April 30, 2018, 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.
220
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
--------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
------------- -------- ------------ -------- -----------
Securities Lending Transactions
DFA Commodity Strategy Portfolio
Bonds, U.S. Treasury Obligations. $46,456,849 -- -- -- $46,456,849
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
M. Other:
At April 30, 2018, 4 shareholders held 66% 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.
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). 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.
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.
221
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,047.90 0.68% $3.45
Institutional Class Shares......... $1,000.00 $1,049.40 0.43% $2.18
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.42 0.68% $3.41
Institutional Class Shares......... $1,000.00 $1,022.66 0.43% $2.16
222
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Company Portfolio
----------------------------
Actual Fund Return............ $1,000.00 $1,037.50 0.08% $0.40
Hypothetical 5% Annual Return. $1,000.00 $1,024.40 0.08% $0.40
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
223
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 29, 2018. They are available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
FEEDER FUND
Affiliated Investment Company
-----------------------------
DFA International Value Portfolio. 100.0%
DOMESTIC EQUITY PORTFOLIO
U.S. Large Company Portfolio
Consumer Discretionary....................... 12.9%
Consumer Staples............................. 7.0%
Energy....................................... 6.2%
Financials................................... 14.7%
Health Care.................................. 14.1%
Industrials.................................. 9.9%
Information Technology....................... 24.8%
Materials.................................... 2.9%
Real Estate.................................. 2.7%
Telecommunication Services................... 1.9%
Utilities.................................... 2.9%
-----
100.0%
224
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $10,432,935,162
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $10,432,935,162
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
225
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (97.8%)
Consumer Discretionary -- (12.7%)
* Amazon.com, Inc................... 146,080 $ 228,780,270 2.8%
* Booking Holdings, Inc............. 17,740 38,637,720 0.5%
Comcast Corp. Class A............. 1,685,108 52,895,540 0.6%
Home Depot, Inc. (The)............ 424,543 78,455,546 1.0%
McDonald's Corp................... 289,822 48,527,796 0.6%
* Netflix, Inc...................... 157,765 49,295,252 0.6%
Walt Disney Co. (The)............. 546,671 54,847,501 0.7%
Other Securities.................. 511,126,518 6.1%
-------------- -----
Total Consumer Discretionary.......... 1,062,566,143 12.9%
-------------- -----
Consumer Staples -- (6.8%)
Altria Group, Inc................. 690,921 38,767,577 0.5%
Coca-Cola Co. (The)............... 1,395,809 60,312,907 0.7%
PepsiCo, Inc...................... 517,030 52,189,008 0.6%
Philip Morris International, Inc.. 564,656 46,301,792 0.6%
Procter & Gamble Co. (The)........ 916,528 66,301,635 0.8%
Walmart, Inc...................... 527,727 46,682,730 0.6%
Other Securities.................. 261,079,554 3.1%
-------------- -----
Total Consumer Staples................ 571,635,203 6.9%
-------------- -----
Energy -- (6.1%)
Chevron Corp...................... 694,485 86,887,018 1.1%
Exxon Mobil Corp.................. 1,540,486 119,772,786 1.4%
Other Securities.................. 305,599,435 3.7%
-------------- -----
Total Energy.......................... 512,259,239 6.2%
-------------- -----
Financials -- (14.4%)
Bank of America Corp.............. 3,478,216 104,068,223 1.3%
* Berkshire Hathaway, Inc. Class B.. 699,705 135,553,850 1.6%
Citigroup, Inc.................... 934,365 63,789,099 0.8%
JPMorgan Chase & Co............... 1,247,711 135,726,003 1.6%
Wells Fargo & Co.................. 1,596,006 82,928,472 1.0%
Other Securities.................. 681,447,893 8.3%
-------------- -----
Total Financials...................... 1,203,513,540 14.6%
-------------- -----
Health Care -- (13.8%)
Abbott Laboratories............... 632,965 36,794,255 0.4%
AbbVie, Inc....................... 579,544 55,954,973 0.7%
Amgen, Inc........................ 243,024 42,402,828 0.5%
Johnson & Johnson................. 975,387 123,376,702 1.5%
Medtronic P.L.C................... 492,714 39,481,173 0.5%
Merck & Co., Inc.................. 980,218 57,705,434 0.7%
Pfizer, Inc....................... 2,164,204 79,231,508 1.0%
UnitedHealth Group, Inc........... 351,800 83,165,520 1.0%
Other Securities.................. 641,326,928 7.8%
-------------- -----
Total Health Care..................... 1,159,439,321 14.1%
-------------- -----
Industrials -- (9.7%)
3M Co............................. 216,498 42,085,046 0.5%
Boeing Co. (The).................. 201,112 67,082,919 0.8%
General Electric Co............... 3,156,608 44,413,475 0.5%
Honeywell International, Inc...... 273,395 39,554,789 0.5%
226
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Union Pacific Corp............................................ 286,206 $ 38,245,708 0.5%
Other Securities.............................................. 580,000,115 7.1%
-------------- ------
Total Industrials................................................... 811,382,052 9.9%
-------------- ------
Information Technology -- (24.2%)
* Adobe Systems, Inc............................................ 178,752 39,611,443 0.5%
* Alphabet, Inc. Class A........................................ 108,519 110,535,283 1.3%
* Alphabet, Inc. Class C........................................ 110,654 112,571,634 1.4%
Apple, Inc.................................................... 1,844,691 304,853,635 3.7%
Cisco Systems, Inc............................................ 1,751,440 77,571,278 0.9%
* Facebook, Inc. Class A........................................ 871,053 149,821,116 1.8%
Intel Corp.................................................... 1,701,445 87,828,591 1.1%
International Business Machines Corp.......................... 311,454 45,148,372 0.6%
Mastercard, Inc. Class A...................................... 335,617 59,830,443 0.7%
Microsoft Corp................................................ 2,799,311 261,791,565 3.2%
NVIDIA Corp................................................... 219,952 49,467,205 0.6%
Oracle Corp................................................... 1,098,635 50,174,660 0.6%
Texas Instruments, Inc........................................ 357,663 36,277,758 0.4%
# Visa, Inc. Class A............................................ 655,356 83,151,569 1.0%
Other Securities.............................................. 563,776,035 6.9%
-------------- ------
Total Information Technology........................................ 2,032,410,587 24.7%
-------------- ------
Materials -- (2.8%)
DowDuPont, Inc................................................ 850,719 53,799,470 0.7%
Other Securities.............................................. 180,124,095 2.1%
-------------- ------
Total Materials..................................................... 233,923,565 2.8%
-------------- ------
Real Estate -- (2.7%)
Other Securities.............................................. 225,491,475 2.7%
-------------- ------
Telecommunication Services -- (1.8%)
AT&T, Inc..................................................... 2,232,238 72,994,183 0.9%
Verizon Communications, Inc................................... 1,500,749 74,061,963 0.9%
Other Securities.............................................. 6,617,453 0.1%
-------------- ------
Total Telecommunication Services.................................... 153,673,599 1.9%
-------------- ------
Utilities -- (2.8%)
Other Securities.............................................. 238,680,024 2.9%
-------------- ------
TOTAL COMMON STOCKS................................................. 8,204,974,748 99.6%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 8,204,974,748
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 27,525,395 27,525,395 0.3%
-------------- ------
SECURITIES LENDING COLLATERAL -- (1.9%)
(S)@ DFA Short Term Investment Fund................................ 13,351,146 154,472,760 1.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,790,445,865)........................................... $8,386,972,903 101.8%
============== ======
227
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
At April 30, 2018, 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(R) Emini Index.. 261 06/15/18 $34,859,996 $34,543,350 $(316,646)
----------- ----------- ----------
Total futures contracts. $34,859,996 $34,543,350 $(316,646)
=========== =========== ==========
Summary of the Fund's investments as of April 30, 2018, 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...... $1,062,566,143 -- -- $1,062,566,143
Consumer Staples............ 571,635,203 -- -- 571,635,203
Energy...................... 512,259,239 -- -- 512,259,239
Financials.................. 1,203,513,540 -- -- 1,203,513,540
Health Care................. 1,159,439,321 -- -- 1,159,439,321
Industrials................. 811,382,052 -- -- 811,382,052
Information Technology...... 2,032,410,587 -- -- 2,032,410,587
Materials................... 233,923,565 -- -- 233,923,565
Real Estate................. 225,491,475 -- -- 225,491,475
Telecommunication Services.. 153,673,599 -- -- 153,673,599
Utilities................... 238,680,024 -- -- 238,680,024
Temporary Cash Investments.... 27,525,395 -- -- 27,525,395
Securities Lending Collateral. -- $154,472,760 -- 154,472,760
Futures Contracts**........... (316,646) -- -- (316,646)
-------------- ------------ -- --------------
TOTAL......................... $8,232,183,497 $154,472,760 -- $8,386,656,257
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
228
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. Large
DFA International Company
Value Portfolio Portfolio *
----------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value....................................... $ 10,432,935 --
Investments at Value (including $0 and $368,928 of securities on loan, respectively)........ -- $ 8,204,975
Temporary Cash Investments at Value & Cost.................................................. -- 27,525
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0 and
$154,469).................................................................................. -- 154,473
Segregated Cash for Futures Contracts....................................................... -- 1,514
Receivables:
Dividends, Interest and Tax Reclaims...................................................... -- 7,114
Securities Lending Income................................................................. -- 55
Fund Shares Sold.......................................................................... 5,380 5,550
Prepaid Expenses and Other Assets........................................................... 81 90
-------------- ------------
Total Assets........................................................................... 10,438,396 8,401,296
-------------- ------------
LIABILITIES:
Payables:
Due to Custodian.......................................................................... -- 23
Upon Return of Securities Loaned.......................................................... -- 154,469
Fund Shares Redeemed...................................................................... 4,251 3,449
Due to Advisor............................................................................ 1,702 398
Futures Margin Variation.................................................................. -- 320
Accrued Expenses and Other Liabilities...................................................... 426 762
-------------- ------------
Total Liabilities...................................................................... 6,379 159,421
-------------- ------------
NET ASSETS.................................................................................. $ 10,432,017 $ 8,241,875
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $3,578 and $0 and shares outstanding of
173,174 and 0, respectively................................................................ $ 20.66 N/A
============== ============
NUMBER OF SHARES AUTHORIZED................................................................. 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $10,428,439 and $8,241,875 and
shares outstanding of 503,298,410 and 400,639,495, respectively............................ $ 20.72 $ 20.57
============== ============
NUMBER OF SHARES AUTHORIZED................................................................. 1,500,000,000 900,000,000
============== ============
Investments at Cost......................................................................... N/A $ 3,608,452
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................. $ 8,460,001 $ 3,783,273
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income).................................................................................... 84,460 15,171
Accumulated Net Realized Gain (Loss)........................................................ 208,713 (152,788)
Net Unrealized Foreign Exchange Gain (Loss)................................................. (990) --
Net Unrealized Appreciation (Depreciation).................................................. 1,679,833 4,596,219
-------------- ------------
NET ASSETS.................................................................................. $ 10,432,017 $ 8,241,875
============== ============
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
229
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
DFA U.S.
International Large
Value Company
Portfolio*# Portfolio#
------------- ----------
Investment Income
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $17,490 and $0, respectively)............... $169,618 --
Income from Securities Lending.......................................................... 3,558 --
Expenses Allocated from Affiliated Investment Company................................... (10,884) --
-------- --------
Total Net Investment Income Received from Affiliated Investment Companies.............. 162,292 --
-------- --------
Fund Investment Income
Dividends................................................................................. -- $ 80,102
Income from Securities Lending............................................................ -- 341
-------- --------
Total Investment Income................................................................ -- 80,443
-------- --------
Fund Expenses
Investment Management Fees................................................................ 20,332 2,477
Accounting & Transfer Agent Fees.......................................................... 183 237
S&P 500(R) Fees........................................................................... -- 51
Custodian Fees............................................................................ -- 48
Shareholder Servicing Fees................................................................
Class R2 Shares......................................................................... 5 --
Filing Fees............................................................................... 98 81
Shareholders' Reports..................................................................... 150 68
Directors'/Trustees' Fees & Expenses...................................................... 39 32
Professional Fees......................................................................... 62 84
Other..................................................................................... 27 101
-------- --------
Total Expenses......................................................................... 20,896 3,179
-------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. -- 124
Institutional Class Shares.............................................................. (10,162) --
Class R2 Shares......................................................................... (4) --
-------- --------
Net Expenses.............................................................................. 10,730 3,303
-------- --------
Net Investment Income (Loss).............................................................. 151,562 77,140
-------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ -- 16,089
Affiliated Investment Companies Shares Sold............................................. -- (25)
Transactions Allocated from Affiliated Investment Company............................... 283,028 --
Futures................................................................................. -- 2,397
Foreign Currency Transactions........................................................... 1,424 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. -- 212,151
Affiliated Investment Companies Shares.................................................. -- (8)
Transactions Allocated from Affiliated Investment Company............................... 52,541 --
Futures................................................................................. -- (400)
Translation of Foreign Currency Denominated Amounts..................................... (950) --
-------- --------
Net Realized and Unrealized Gain (Loss)................................................... 336,043 230,204
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............................. $487,605 $307,344
======== ========
----------
* 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.
230
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value U.S. Large Company
Portfolio Portfolio
------------------------ -----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017
----------- ----------- ----------- -----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................................. $ 151,562 $ 267,641 $ 77,140 $ 146,387
Net Realized Gain (Loss) on:
Investment Securities Sold*................................. -- -- 16,089 25,596
Affiliated Investment Companies Shares Sold................. -- -- (25) 21
Transactions Allocated from Affiliated Investment Company... 283,028 104,748 -- --
Futures..................................................... -- 12,673 2,397 4,571
Foreign Currency Transactions............................... 1,424 (1,987) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- 1,639,175 212,151 1,352,486
Affiliated Investment Companies Shares Sold................. -- -- (8) (37)
Transactions Allocated from Affiliated Investment Company... 52,541 -- -- --
Futures..................................................... -- 2,759 (400) 181
Translation of Foreign Currency Denominated Amounts......... (950) 803 -- --
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 487,605 2,025,812 307,344 1,529,205
----------- ----------- ---------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares............................................. (32) (109) -- --
Institutional Class Shares.................................. (97,696) (277,230) (70,019) (154,814)
Net Short-Term Gains:
Institutional Class Shares.................................. -- -- (2,185) (124)
Net Long-Term Gains:
Institutional Class Shares.................................. -- -- (19,860) (38,779)
----------- ----------- ---------- -----------
Total Distributions........................................ (97,728) (277,339) (92,064) (193,717)
----------- ----------- ---------- -----------
Capital Share Transactions (1):
Shares Issued................................................. 940,226 1,967,887 753,520 1,555,398
Shares Issued in Lieu of Cash Distributions................... 95,034 269,559 84,534 171,570
Shares Redeemed............................................... (834,259) (1,418,753) (807,637) (1,432,214)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Capital Share Transactions.... 201,001 818,693 30,417 294,754
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................... 590,878 2,567,166 245,697 1,630,242
Net Assets
Beginning of Period........................................... 9,841,139 7,273,973 7,996,178 6,365,936
----------- ----------- ---------- -----------
End of Period................................................. $10,432,017 $ 9,841,139 $8,241,875 $ 7,996,178
=========== =========== ========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................................. 45,710 109,955 36,130 84,803
Shares Issued in Lieu of Cash Distributions................... 4,758 14,996 4,134 9,395
Shares Redeemed............................................... (40,542) (77,571) (38,526) (77,231)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 9,926 47,380 1,738 16,967
=========== =========== ========== ===========
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income)...................................... $ 84,460 $ 30,626 $ 15,171 $ 8,050
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
231
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio-Class R2 Shares
-----------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $19.89 $16.27 $16.93 $ 18.48 $ 19.46 $15.72
------ ------ ------ ------- ------- ------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.27 0.55 0.53 0.51 0.74 0.49
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.68 3.61 (0.65) (1.55) (0.93) 3.77
------ ------ ------ ------- ------- ------
Total from Investment
Operations................. 0.95 4.16 (0.12) (1.04) (0.19) 4.26
--------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.18) (0.54) (0.54) (0.51) (0.79) (0.52)
------ ------ ------ ------- ------- ------
Total Distributions......... (0.18) (0.54) (0.54) (0.51) (0.79) (0.52)
--------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $20.66 $19.89 $16.27 $ 16.93 $ 18.48 $19.46
============================== =========== ======== ======== ======== ======== ========
Total Return................... 4.79%(D) 25.99% (0.43)% (5.78)% (1.21)% 27.61%
--------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $3,578 $3,508 $3,308 $10,404 $11,200 $5,517
Ratio of Expenses to Average
Net Assets(B)................. 0.68%(E) 0.68% 0.68% 0.68% 0.68% 0.69%
Ratio of Expenses to Average
Net Assets (Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor)(B). 0.88%(E) 0.88% 0.88% 0.73% 0.68% 0.69%
Ratio of Net Investment
Income to Average Net Assets.. 2.65%(E) 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.
232
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio-Institutional Class Shares
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 19.94 $ 16.30 $ 16.92 $ 18.47 $ 19.45 $ 15.72
----------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.30 0.56 0.55 0.56 0.84 0.52
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.68 3.66 (0.63) (1.56) (0.98) 3.78
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 0.98 4.22 (0.08) (1.00) (0.14) 4.30
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.20) (0.58) (0.54) (0.55) (0.84) (0.57)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.20) (0.58) (0.54) (0.55) (0.84) (0.57)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 20.72 $ 19.94 $ 16.30 $ 16.92 $ 18.47 $ 19.45
============================== =========== ========== ========== ========== ========== ==========
Total Return................... 4.94%(D) 26.36% (0.20)% (5.58)% (0.97)% 27.90%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $10,428,439 $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%(E) 0.43% 0.43% 0.43% 0.43% 0.43%
Ratio of Expenses to Average
Net Assets (Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor
and (Fees Paid Indirectly))
(B)........................... 0.63%(E) 0.63% 0.63% 0.49% 0.43% 0.43%
Ratio of Net Investment
Income to Average Net Assets.. 2.98%(E) 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.
233
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Company Portfolio
-------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 20.05 $ 16.67 $ 16.42 $ 15.94 $ 13.87 $ 11.15
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.19 0.37 0.35 0.33 0.29 0.27
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.57 3.50 0.38 0.47 2.07 2.71
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 0.76 3.87 0.73 0.80 2.36 2.98
----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.18) (0.39) (0.34) (0.32) (0.29) (0.26)
Net Realized Gains............ (0.06) (0.10) (0.14) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.24) (0.49) (0.48) (0.32) (0.29) (0.26)
----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 20.57 $ 20.05 $ 16.67 $ 16.42 $ 15.94 $ 13.87
============================== =========== ========== ========== ========== ========== ==========
Total Return................... 3.75%(D) 23.55% 4.54% 5.09% 17.17% 27.10%
----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $8,241,875 $7,996,178 $6,365,936 $5,810,743 $5,668,374 $4,917,336
Ratio of Expenses to Average
Net Assets.................... 0.08%(E) 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%(E) 0.08% 0.08% 0.09% 0.08% 0.10%
Ratio of Net Investment
Income to Average Net Assets.. 1.87%(E) 1.99% 2.17% 2.05% 1.95% 2.13%
Portfolio Turnover Rate........ 3%(D) 7% 9% 2% 3% 3%
----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
234
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of twelve
portfolios, two of which, DFA International Value Portfolio and U.S. Large
Company Portfolio (the "Portfolios"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
The Portfolios are investment companies, and accordingly, follow the accounting
and reporting guidance under Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
series of The DFA Investment Trust Company. At April 30, 2018, the Feeder Fund
owned 78% 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 ask 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
235
adopted by the Board of Directors of the Fund. Fair value pricing may also be
used if events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Portfolio may differ from the quoted
or published prices for the same securities on their primary markets or
exchanges. These securities are generally categorized as Level 2 in the
hierarchy.
Futures contracts held by U.S. Large Company Portfolio are valued using the
settlement price established each day on the exchange on which they are traded.
These valuations are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Summary
Schedule of Portfolio Holdings/Schedule of Investments. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. Deferred Compensation Plan: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, 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.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the six months ended April 30, 2018, the U.S.
Large Company Portfolio's and the Feeder Fund's investment
236
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, 2019, and may only be
terminated by the Fund's Board of Directors prior to that date and shall
continue in effect from year to year thereafter unless terminated by the Fund
or the Advisor. The Fee Waiver Agreement with respect to the total management
fees paid by the Feeder Fund, as described in the notes below, will remain in
effect permanently, unless terminated by the Feeder Fund. For the six months
ended April 30, 2018, 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 six months ended April 30,
2018, 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. Prior year expenses can be recaptured only if the current expense
ratio is less than the prior year expense cap that was in place when such prior
year expenses were waived.
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% -- -- $10,162
U.S. Large Company Portfolio (2)...... 0.08% $152 $675 (124)
Class R2 Shares
---------------
DFA International Value Portfolio (1). 0.79% -- -- 4
(1) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the DFA
International Value Portfolio to the extent necessary to limit the total
management fees paid to the Advisor by the Portfolio, including the
proportionate share of the management fees the Portfolio pays indirectly
through its investment in other funds managed by the Advisor, except for the
fees paid indirectly through its investment of securities lending cash
collateral in The DFA Short Term Investment Fund, to 0.40% of the average net
assets of a class of the Portfolio on an annualized basis (the "Permanent Fee
Waiver"). In addition to the Permanent Fee Waiver, the Advisor has
contractually agreed (including for the time period prior to July 21, 2015) to
assume the direct expenses of Class R2 shares of the Portfolio (excluding
management fees and custodian fees), to the extent necessary to limit the
annualized expenses of Class R2 shares of the Portfolio (excluding the expenses
the Portfolio incurs indirectly through investment in other investment
companies) to the rate listed above (the "Annualized Expense Ratio"). At any
time that the annualized expenses of Class R2 shares of the Portfolio are less
than the Annualized Expense Ratio identified above, the Advisor retains the
right to recover any fees previously waived and/or expenses previously assumed
to the extent that the amount of such recovery does not cause the annualized
expense ratio of Class R2 shares of the Portfolio to exceed the Annualized
Expense Ratio identified above. Except, the Portfolio is not obligated to
reimburse the Advisor for fees waived in connection with the Permanent Fee
Waiver.
(2) Effective August 1, 2013, the Advisor has contractually agreed to waive
all or a portion of its management fee to the extent necessary to reduce the
ordinary operating expenses (excluding expenses incurred through investment in
other investment companies) ("Portfolio Expenses") of the U.S. Large Company
Portfolio so that the Portfolio Expenses, on an annualized basis, do not exceed
the rate listed above as a percentage of the Portfolio's average net assets
(the "Annualized Expense Ratio"). At any time that the annualized Portfolio
Expenses of the Portfolio are less than the Annualized Expense Ratio identified
above, the Advisor retains the right to recover any fees previously waived
and/or expenses previously assumed to the extent that the amount of such
recovery will not cause the annualized Portfolio Expenses of the Portfolio to
exceed the applicable Annualized Expense Ratio identified above.
237
Prior to August 1, 2013, the Advisor contractually agreed to waive all or a
portion of its administration fee to the extent necessary to reduce the
Portfolio Expenses of the Portfolio so that such Portfolio Expenses did not
exceed 0.10% of the Portfolio's average net assets on an annualized basis.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $16 (in thousands). The total related amounts paid by each
Portfolio are included in Other Expenses on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2018, 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. $289
U.S. Large Company Portfolio...... 324
E. Purchases and Sales of Securities:
For the six months ended April 30, 2018, U.S. Large Company Portfolio's
transactions related to investment securities, other than short-term
securities, in-kind redemptions and U.S. government securities (amounts in
thousands), were as follows:
Purchases Sales
--------- --------
U.S. Large Company Portfolio. $254,160 $230,900
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized Capital Gain
Gain/(Loss) Dividend Distributions
on Sales of Change in Income from from
Affiliated Unrealized Affiliated Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies Companies
---------- --------- ---------- ------------ ------------- ---------- ------------ ----------- -------------
U.S. Large Company
Portfolio
DFA Short Term
Investment Fund... $185,593 $707,778 $738,865 $(25) $(8) $154,473 13,351 $1,554 $--
-------- -------- -------- ---- --- -------- ------ ------ ---
Total.............. $185,593 $707,778 $738,865 $(25) $(8) $154,473 13,351 $1,554 $--
======== ======== ======== ==== === ======== ====== ====== ===
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income, accumulated net realized gains or losses, or unrealized
appreciation, as appropriate, in the period that the differences arise.
Accordingly, the following permanent differences as of
238
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 (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. $ 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 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...... -- --
239
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 (amount in thousands):
DFA International Value Portfolio. $122,423
At April 30, 2018, 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. $8,795,765 $1,637,170 -- $1,637,170
U.S. Large Company Portfolio...... 3,961,688 4,529,677 $(104,709) 4,424,968
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):
Six Months Ended Year Ended
April 30, 2018 Oct. 31, 2017
------------------ --------------------
(Unaudited)
Amount Shares Amount Shares
--------- ------- ----------- -------
DFA International Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 722 34 $ 3,212 182
Shares Issued in Lieu of Cash Distributions.......... 32 2 109 6
Shares Redeemed...................................... (803) (39) (3,910) (215)
--------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares $ (49) (3) $ (589) (27)
========= ======= =========== =======
Institutional Class Shares
Shares Issued........................................ $ 939,504 45,676 $ 1,964,675 109,773
Shares Issued in Lieu of Cash Distributions.......... 95,002 4,756 269,450 14,990
Shares Redeemed...................................... (833,456) (40,503) (1,414,843) (77,356)
--------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares $ 201,050 9,929 $ 819,282 47,407
========= ======= =========== =======
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.
240
1. Futures Contracts: The U.S. Large Company 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.
Upon entering into a futures contract, the Portfolio deposits cash or pledges
U.S. government securities to a broker, equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolio as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized 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 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.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amount in
thousands):
Futures
-------
U.S. Large Company Portfolio. 23,077
The following is a summary of the location of derivatives on the U.S. Large
Company Portfolio's Statements of Assets and Liabilities as of April 30, 2018:
Location on the
Statements of Assets and
Liabilities
------------------------
Derivative Type Liability Derivatives
--------------- ------------------------
Equity contracts Payables: Futures
Margin Variation
The following is a summary of the U.S. Large Company Portfolio's derivative
instrument holdings categorized by primary risk exposure as of April 30, 2018
(amounts in thousands):
Liability Derivatives Value
--------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
U.S. Large Company Portfolio. $(317) $(317)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location of realized and change in
unrealized gains and losses on the Portfolio's Statements of Operations for the
Portfolio's derivative instrument holdings for the six months ended April 30,
2018:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
241
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's direct investment in derivative instrument
holdings categorized by primary risk exposure for the six months ended
April 30, 2018 (amounts in thousands):
Realized Gain (Loss) on
Derivatives
----------------------
Equity
Total Contracts
------ ---------
U.S. Large Company Portfolio. $2,397 $2,397
Change in Unrealized
Appreciation (Depreciation)
on Derivatives
----------------------
Equity
Total Contracts
------ ---------
U.S. Large Company Portfolio. $ (400) $ (400)
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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
For the six months ended April 30, 2018, 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. 2.21% $7,080 21 $9 $30,765
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that the Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by the Portfolios under the lines of
credit as of April 30, 2018.
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.
242
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The U.S. Large Company Portfolio did not utilize the interfund lending
program during the six months ended April 30, 2018.
J. Securities Lending:
As of April 30, 2018, 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 as follows (amount in thousands).
Market
Value
--------
U.S. Large Company Portfolio. $223,666
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.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
---------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
------------- -------- ------------ -------- ------------
Securities Lending Transactions
U.S. Large Company Portfolio
Common Stocks................... $154,472,760 -- -- -- $154,472,760
243
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
N. Other:
At April 30, 2018, the following number of shareholders held the following
approximate percentages of the Portfolios' outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
DFA International Value Portfolio-Class R2 Shares............ 4 98%
DFA International Value Portfolio-Institutional Class Shares. 4 73%
U.S. Large Company Portfolio................................. 4 76%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). 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.
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.
244
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 Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of a Portfolio's fiscal year. As
a result, shareholders should not use the information provided in this notice
for tax reporting purposes.
Estimated % Breakdown of Distribution Sources
--------------------------------------------
Net income for Accumulated
the current or undistributed
preceding net profits Paid-in
fiscal year, from the sale surplus
and accumulated of securities or other
undistributed net or other capital
Portfolio Name income properties source
-------------- ----------------- ------------- --------
DFA International Value Portfolio
December 15, 2017.............. 66% 0% 34%
U.S. Large Company Portfolio
December 14, 2017.............. 71% 0% 29%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
245
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,036.70 0.11% $0.56
Hypothetical 5% Annual Return...... $1,000.00 $1,024.25 0.11% $0.55
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,050.80 0.21% $1.07
Hypothetical 5% Annual Return...... $1,000.00 $1,023.75 0.21% $1.05
246
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
The Japanese Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $1,062.50 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
The Asia Pacific Small Company Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,039.70 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
The United Kingdom Small Company Series
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,046.80 0.11% $0.56
Hypothetical 5% Annual Return........... $1,000.00 $1,024.25 0.11% $0.55
The Continental Small Company Series
------------------------------------
Actual Fund Return...................... $1,000.00 $1,035.10 0.12% $0.61
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60
The Canadian Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $1,004.50 0.12% $0.60
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60
The Emerging Markets Series
---------------------------
Actual Fund Return...................... $1,000.00 $1,044.20 0.15% $0.76
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
The Emerging Markets Small Cap Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,062.70 0.26% $1.33
Hypothetical 5% Annual Return........... $1,000.00 $1,023.51 0.26% $1.30
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
247
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 29, 2018. 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....................... 12.3%
Consumer Staples............................. 5.1%
Energy....................................... 13.7%
Financials................................... 24.4%
Health Care.................................. 14.5%
Industrials.................................. 7.7%
Information Technology....................... 14.2%
Materials.................................... 3.9%
Real Estate.................................. 0.2%
Telecommunication Services................... 3.9%
Utilities.................................... 0.1%
-----
100.0%
The DFA International Value Series
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 2.3%
Energy....................................... 16.2%
Financials................................... 30.0%
Health Care.................................. 2.6%
Industrials.................................. 8.1%
Information Technology....................... 2.7%
Materials.................................... 13.4%
Real Estate.................................. 2.7%
Telecommunication Services................... 4.0%
Utilities.................................... 2.0%
-----
100.0%
The Japanese Small Company Series
Consumer Discretionary....................... 19.7%
Consumer Staples............................. 8.7%
Energy....................................... 0.9%
Financials................................... 8.6%
Health Care.................................. 5.0%
Industrials.................................. 28.8%
Information Technology....................... 13.7%
Materials.................................... 11.0%
Real Estate.................................. 2.1%
Telecommunication Services................... 0.1%
Utilities.................................... 1.4%
-----
100.0%
248
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
The Asia Pacific Small Company Series
Consumer Discretionary....................... 21.9%
Consumer Staples............................. 7.2%
Energy....................................... 3.7%
Financials................................... 9.9%
Health Care.................................. 6.1%
Industrials.................................. 16.9%
Information Technology....................... 8.2%
Materials.................................... 14.8%
Real Estate.................................. 6.3%
Telecommunication Services................... 2.7%
Utilities.................................... 2.3%
-----
100.0%
The United Kingdom Small Company Series
Consumer Discretionary....................... 23.6%
Consumer Staples............................. 4.4%
Energy....................................... 4.9%
Financials................................... 16.0%
Health Care.................................. 3.6%
Industrials.................................. 26.1%
Information Technology....................... 9.3%
Materials.................................... 7.1%
Real Estate.................................. 2.6%
Telecommunication Services................... 0.9%
Utilities.................................... 1.5%
-----
100.0%
The Continental Small Company Series
Consumer Discretionary....................... 13.4%
Consumer Staples............................. 5.5%
Energy....................................... 3.5%
Financials................................... 13.0%
Health Care.................................. 6.9%
Industrials.................................. 25.7%
Information Technology....................... 10.8%
Materials.................................... 9.2%
Real Estate.................................. 5.6%
Telecommunication Services................... 2.8%
Utilities.................................... 3.6%
-----
100.0%
The Canadian Small Company Series
Consumer Discretionary....................... 7.5%
Consumer Staples............................. 4.9%
Energy....................................... 22.5%
Financials................................... 8.2%
Health Care.................................. 1.6%
Industrials.................................. 12.1%
Information Technology....................... 4.8%
Materials.................................... 29.0%
Real Estate.................................. 4.0%
Utilities.................................... 5.4%
-----
100.0%
The Emerging Markets Series
Consumer Discretionary....................... 9.0%
Consumer Staples............................. 8.1%
Energy....................................... 7.1%
Financials................................... 22.1%
Health Care.................................. 2.6%
Industrials.................................. 7.0%
Information Technology....................... 24.1%
Materials.................................... 10.2%
Real Estate.................................. 2.2%
Telecommunication Services................... 4.9%
Utilities.................................... 2.7%
-----
100.0%
The Emerging Markets Small Cap Series
Consumer Discretionary....................... 16.7%
Consumer Staples............................. 8.0%
Energy....................................... 1.3%
Financials................................... 8.6%
Health Care.................................. 7.1%
Industrials.................................. 15.2%
Information Technology....................... 16.5%
Materials.................................... 13.1%
Real Estate.................................. 7.7%
Telecommunication Services................... 0.8%
Utilities.................................... 5.0%
-----
100.0%
249
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.9%)
Consumer Discretionary -- (11.9%)
* Charter Communications, Inc. Class A..... 962,932 $ 261,233,822 0.9%
Comcast Corp. Class A.................... 21,576,111 677,274,124 2.3%
Ford Motor Co............................ 16,051,999 180,424,469 0.6%
General Motors Co........................ 6,055,833 222,491,304 0.8%
Royal Caribbean Cruises, Ltd............. 1,271,015 137,511,113 0.5%
Time Warner, Inc......................... 3,836,070 363,659,436 1.3%
Other Securities......................... 1,680,203,335 5.8%
-------------- -----
Total Consumer Discretionary................. 3,522,797,603 12.2%
-------------- -----
Consumer Staples -- (4.9%)
Mondelez International, Inc. Class A..... 3,576,652 141,277,754 0.5%
Tyson Foods, Inc. Class A................ 1,959,828 137,383,943 0.5%
Walgreens Boots Alliance, Inc............ 3,030,389 201,369,349 0.7%
Walmart, Inc............................. 5,689,778 503,317,762 1.7%
Other Securities......................... 475,589,016 1.7%
-------------- -----
Total Consumer Staples....................... 1,458,937,824 5.1%
-------------- -----
Energy -- (13.3%)
Andeavor................................. 1,297,132 179,419,298 0.6%
Chevron Corp............................. 5,879,241 735,551,842 2.5%
ConocoPhillips........................... 2,949,628 193,200,634 0.7%
Exxon Mobil Corp......................... 13,357,412 1,038,538,783 3.6%
Marathon Petroleum Corp.................. 2,321,313 173,889,557 0.6%
Occidental Petroleum Corp................ 2,538,795 196,147,302 0.7%
Valero Energy Corp....................... 2,730,237 302,865,190 1.1%
Other Securities......................... 1,095,405,202 3.8%
-------------- -----
Total Energy................................. 3,915,017,808 13.6%
-------------- -----
Financials -- (23.6%)
Bank of America Corp..................... 20,209,612 604,671,591 2.1%
Bank of New York Mellon Corp. (The)...... 4,465,867 243,434,410 0.8%
* Berkshire Hathaway, Inc. Class B......... 995,133 192,787,116 0.7%
Capital One Financial Corp............... 2,121,634 192,262,473 0.7%
Citigroup, Inc........................... 5,962,612 407,067,521 1.4%
Goldman Sachs Group, Inc. (The).......... 1,092,193 260,302,358 0.9%
JPMorgan Chase & Co...................... 11,108,809 1,208,416,243 4.2%
Morgan Stanley........................... 5,338,744 275,585,965 1.0%
PNC Financial Services Group, Inc. (The). 1,331,289 193,848,991 0.7%
Travelers Cos., Inc. (The)............... 1,165,331 153,357,560 0.5%
Wells Fargo & Co......................... 18,696,506 971,470,452 3.4%
Other Securities......................... 2,273,627,768 7.8%
-------------- -----
Total Financials............................. 6,976,832,448 24.2%
-------------- -----
Health Care -- (14.1%)
Abbott Laboratories...................... 4,212,247 244,857,918 0.9%
Aetna, Inc............................... 1,816,031 325,160,351 1.1%
Anthem, Inc.............................. 1,376,563 324,855,102 1.1%
CVS Health Corp.......................... 4,700,064 328,205,469 1.1%
Danaher Corp............................. 1,838,784 184,466,811 0.6%
* Express Scripts Holding Co............... 2,740,464 207,453,125 0.7%
Humana, Inc.............................. 674,755 198,499,426 0.7%
Medtronic P.L.C.......................... 4,282,974 343,194,707 1.2%
Pfizer, Inc.............................. 20,880,631 764,439,901 2.7%
250
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc................................. 1,050,474 $ 220,967,206 0.8%
Other Securities.............................................. 1,009,820,121 3.5%
--------------- ------
Total Health Care................................................... 4,151,920,137 14.4%
--------------- ------
Industrials -- (7.5%)
Delta Air Lines, Inc.......................................... 2,950,569 154,078,713 0.5%
Norfolk Southern Corp......................................... 1,385,379 198,760,325 0.7%
Stanley Black & Decker, Inc................................... 1,078,968 152,771,079 0.5%
Other Securities.............................................. 1,698,906,222 5.9%
--------------- ------
Total Industrials................................................... 2,204,516,339 7.6%
--------------- ------
Information Technology -- (13.7%)
Cisco Systems, Inc............................................ 18,075,606 800,568,590 2.8%
Hewlett Packard Enterprise Co................................. 8,708,938 148,487,393 0.5%
HP, Inc....................................................... 9,619,949 206,732,704 0.7%
Intel Corp.................................................... 23,083,456 1,191,567,999 4.1%
* Micron Technology, Inc........................................ 5,266,057 242,133,301 0.8%
QUALCOMM, Inc................................................. 5,066,475 258,440,890 0.9%
Other Securities.............................................. 1,201,389,237 4.2%
--------------- ------
Total Information Technology........................................ 4,049,320,114 14.0%
--------------- ------
Materials -- (3.8%)
DowDuPont, Inc................................................ 2,259,347 142,881,104 0.5%
# Nucor Corp.................................................... 2,491,419 153,521,239 0.5%
Other Securities.............................................. 815,715,009 2.8%
--------------- ------
Total Materials..................................................... 1,112,117,352 3.8%
--------------- ------
Real Estate -- (0.1%)
Other Securities.............................................. 45,272,636 0.2%
--------------- ------
Telecommunication Services -- (3.8%)
AT&T, Inc..................................................... 29,042,432 949,687,527 3.3%
Other Securities.............................................. 167,564,793 0.6%
--------------- ------
Total Telecommunication Services.................................... 1,117,252,320 3.9%
--------------- ------
Utilities -- (0.1%)
Other Securities.............................................. 44,808,268 0.2%
--------------- ------
TOTAL COMMON STOCKS................................................. 28,598,792,849 99.2%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 28,598,792,849
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 272,826,637 272,826,637 0.9%
--------------- ------
SECURITIES LENDING COLLATERAL -- (2.2%)
(S)@ DFA Short Term Investment Fund................................ 54,572,766 631,406,902 2.2%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $20,591,542,665).......................................... $29,503,026,388 102.3%
=============== ======
251
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
At April 30, 2018, 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(R) Emini Index... 1,505 06/15/18 $206,026,096 $199,186,750 $(6,839,346)
------------ ------------ ------------
Total futures contracts.. $206,026,096 $199,186,750 $(6,839,346)
============ ============ ============
Summary of the Series' investments as of April 30, 2018, 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...... $ 3,522,797,603 -- -- $ 3,522,797,603
Consumer Staples............ 1,458,937,824 -- -- 1,458,937,824
Energy...................... 3,915,017,808 -- -- 3,915,017,808
Financials.................. 6,976,832,448 -- -- 6,976,832,448
Health Care................. 4,151,920,137 -- -- 4,151,920,137
Industrials................. 2,204,516,339 -- -- 2,204,516,339
Information Technology...... 4,049,320,114 -- -- 4,049,320,114
Materials................... 1,112,117,352 -- -- 1,112,117,352
Real Estate................. 45,272,636 -- -- 45,272,636
Telecommunication Services.. 1,117,252,320 -- -- 1,117,252,320
Utilities................... 44,808,268 -- -- 44,808,268
Temporary Cash Investments.... 272,826,637 -- -- 272,826,637
Securities Lending Collateral. -- $631,406,902 -- 631,406,902
Futures Contracts**........... (6,839,346) -- -- (6,839,346)
--------------- ------------ -- ---------------
TOTAL......................... $28,864,780,140 $631,406,902 -- $29,496,187,042
=============== ============ == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
252
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.2%)
AUSTRALIA -- (4.8%)
# Australia & New Zealand Banking Group, Ltd.. 8,219,619 $ 165,232,302 1.2%
BHP Billiton, Ltd........................... 3,664,796 85,496,933 0.6%
Woodside Petroleum, Ltd..................... 3,201,265 77,577,820 0.6%
Other Securities............................ 356,421,158 2.7%
-------------- -----
TOTAL AUSTRALIA................................. 684,728,213 5.1%
-------------- -----
AUSTRIA -- (0.1%)
Other Securities............................ 7,304,994 0.1%
-------------- -----
BELGIUM -- (1.0%)
Other Securities............................ 144,540,784 1.1%
-------------- -----
CANADA -- (7.7%)
Bank of Montreal............................ 1,689,557 128,288,063 1.0%
Suncor Energy, Inc.......................... 3,796,659 145,189,439 1.1%
Other Securities............................ 821,480,453 6.1%
-------------- -----
TOTAL CANADA.................................... 1,094,957,955 8.2%
-------------- -----
DENMARK -- (1.4%)
Other Securities............................ 203,035,875 1.5%
-------------- -----
FINLAND -- (1.0%)
Other Securities............................ 146,499,413 1.1%
-------------- -----
FRANCE -- (9.5%)
# AXA SA...................................... 2,859,375 81,774,218 0.6%
BNP Paribas SA.............................. 2,405,711 185,719,103 1.4%
Engie SA.................................... 5,673,142 99,515,295 0.7%
Orange SA................................... 6,230,588 113,269,720 0.8%
# Peugeot SA.................................. 3,133,702 77,162,951 0.6%
Renault SA.................................. 1,007,824 109,229,481 0.8%
Societe Generale SA......................... 1,362,535 74,569,829 0.6%
# Total SA.................................... 6,569,447 412,900,822 3.1%
Other Securities............................ 203,036,038 1.5%
-------------- -----
TOTAL FRANCE.................................... 1,357,177,457 10.1%
-------------- -----
GERMANY -- (6.5%)
Bayerische Motoren Werke AG................. 1,225,665 136,271,744 1.0%
Daimler AG.................................. 3,375,856 265,403,214 2.0%
RWE AG...................................... 3,077,276 73,552,210 0.5%
Other Securities............................ 452,725,601 3.4%
-------------- -----
TOTAL GERMANY................................... 927,952,769 6.9%
-------------- -----
HONG KONG -- (2.5%)
CK Hutchison Holdings, Ltd.................. 7,657,984 90,554,557 0.7%
Other Securities............................ 268,619,568 2.0%
-------------- -----
TOTAL HONG KONG................................. 359,174,125 2.7%
-------------- -----
IRELAND -- (0.2%)
Other Securities............................ 33,112,899 0.2%
-------------- -----
253
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ISRAEL -- (0.3%)
Other Securities...................... $ 40,711,469 0.3%
-------------- -----
ITALY -- (1.8%)
# UniCredit SpA......................... 4,747,111 102,916,952 0.8%
Other Securities...................... 158,283,451 1.1%
-------------- -----
TOTAL ITALY............................... 261,200,403 1.9%
-------------- -----
JAPAN -- (21.5%)
Hitachi, Ltd.......................... 10,604,000 77,393,891 0.6%
Honda Motor Co., Ltd.................. 4,474,100 153,846,114 1.1%
Mitsubishi Corp....................... 2,342,100 64,584,694 0.5%
# Mitsubishi UFJ Financial Group, Inc... 12,800,606 85,781,239 0.6%
Mizuho Financial Group, Inc........... 33,555,400 60,709,660 0.5%
Nissan Motor Co., Ltd................. 6,443,700 67,790,734 0.5%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 118,958,037 0.9%
Toyota Motor Corp..................... 5,457,190 357,840,739 2.7%
Other Securities...................... 2,084,028,371 15.5%
-------------- -----
TOTAL JAPAN............................... 3,070,933,479 22.9%
-------------- -----
NETHERLANDS -- (3.6%)
* ArcelorMittal......................... 1,780,735 60,355,602 0.5%
ING Groep NV.......................... 5,655,087 95,291,100 0.7%
# Koninklijke Ahold Delhaize NV......... 4,888,298 117,927,633 0.9%
Koninklijke DSM NV.................... 656,841 67,886,329 0.5%
Other Securities...................... 171,679,129 1.2%
-------------- -----
TOTAL NETHERLANDS......................... 513,139,793 3.8%
-------------- -----
NEW ZEALAND -- (0.2%)
Other Securities...................... 20,081,392 0.2%
-------------- -----
NORWAY -- (0.7%)
Other Securities...................... 103,076,050 0.8%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities...................... 5,196,727 0.0%
-------------- -----
SINGAPORE -- (0.9%)
Other Securities...................... 123,478,766 0.9%
-------------- -----
SPAIN -- (2.5%)
# Banco Santander SA.................... 30,929,715 199,834,457 1.5%
Repsol SA............................. 6,302,748 120,274,102 0.9%
Other Securities...................... 38,205,058 0.3%
-------------- -----
TOTAL SPAIN............................... 358,313,617 2.7%
-------------- -----
SWEDEN -- (2.4%)
Nordea Bank AB........................ 7,285,616 74,099,452 0.6%
Other Securities...................... 262,761,933 1.9%
-------------- -----
TOTAL SWEDEN.............................. 336,861,385 2.5%
-------------- -----
SWITZERLAND -- (6.9%)
Cie Financiere Richemont SA........... 863,598 82,092,467 0.6%
Novartis AG........................... 2,466,298 189,841,544 1.4%
# Swatch Group AG (The)................. 139,269 66,873,827 0.5%
Swiss Re AG........................... 692,371 65,961,648 0.5%
254
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
UBS Group AG.................................... 3,568,514 $ 59,897,119 0.5%
Zurich Insurance Group AG....................... 429,441 137,178,664 1.0%
Other Securities................................ 385,461,627 2.9%
--------------- ------
TOTAL SWITZERLAND..................................... 987,306,896 7.4%
--------------- ------
UNITED KINGDOM -- (15.6%)
# Anglo American P.L.C............................ 5,924,428 139,397,348 1.0%
BP P.L.C. Sponsored ADR......................... 8,549,806 381,235,850 2.8%
Glencore P.L.C.................................. 16,161,461 77,849,658 0.6%
HSBC Holdings P.L.C............................. 16,748,580 166,748,482 1.3%
# HSBC Holdings P.L.C. Sponsored ADR.............. 2,762,772 138,856,920 1.0%
Lloyds Banking Group P.L.C...................... 175,809,723 155,933,876 1.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 3,259,405 227,832,383 1.7%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 3,591,667 260,108,524 1.9%
Vodafone Group P.L.C............................ 58,351,986 170,283,365 1.3%
Vodafone Group P.L.C. Sponsored ADR............. 4,011,201 117,969,429 0.9%
Other Securities................................ 393,702,731 2.9%
--------------- ------
TOTAL UNITED KINGDOM.................................. 2,229,918,566 16.6%
--------------- ------
TOTAL COMMON STOCKS................................... 13,008,703,027 97.0%
--------------- ------
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Volkswagen AG................................... 652,333 134,533,773 1.0%
Other Securities................................ 34,501,288 0.3%
--------------- ------
TOTAL GERMANY......................................... 169,035,061 1.3%
--------------- ------
TOTAL PREFERRED STOCKS................................ 169,035,061 1.3%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
TOTAL INVESTMENT SECURITIES........................... 13,177,738,088
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (7.6%)
(S)@ DFA Short Term Investment Fund.................. 94,025,959 1,087,880,349 8.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,070,115,739)............................ $14,265,618,437 106.4%
=============== ======
At April 30, 2018, 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... 92 06/15/18 $ 9,315,658 $ 9,321,900 $ 6,242
S&P 500(R) Emini Index... 784 06/15/18 105,455,996 103,762,400 (1,693,596)
------------ ------------ ------------
Total futures contracts.. $114,771,654 $113,084,300 $(1,687,354)
============ ============ ============
255
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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................... $ 4,556,253 $ 680,171,960 -- $ 684,728,213
Austria..................... -- 7,304,994 -- 7,304,994
Belgium..................... -- 144,540,784 -- 144,540,784
Canada...................... 1,094,957,955 -- -- 1,094,957,955
Denmark..................... -- 203,035,875 -- 203,035,875
Finland..................... 2,263,361 144,236,052 -- 146,499,413
France...................... -- 1,357,177,457 -- 1,357,177,457
Germany..................... 77,629,919 850,322,850 -- 927,952,769
Hong Kong................... -- 359,174,125 -- 359,174,125
Ireland..................... 7,026,350 26,086,549 -- 33,112,899
Israel...................... -- 40,711,469 -- 40,711,469
Italy....................... 39,948,100 221,252,303 -- 261,200,403
Japan....................... 74,745,755 2,996,187,724 -- 3,070,933,479
Netherlands................. 49,423,303 463,716,490 -- 513,139,793
New Zealand................. -- 20,081,392 -- 20,081,392
Norway...................... 287,960 102,788,090 -- 103,076,050
Portugal.................... -- 5,196,727 -- 5,196,727
Singapore................... -- 123,478,766 -- 123,478,766
Spain....................... 459,204 357,854,413 -- 358,313,617
Sweden...................... 705,997 336,155,388 -- 336,861,385
Switzerland................. 57,868,765 929,438,131 -- 987,306,896
United Kingdom.............. 1,221,085,825 1,008,832,741 -- 2,229,918,566
Preferred Stocks
Germany..................... -- 169,035,061 -- 169,035,061
Securities Lending Collateral. -- 1,087,880,349 -- 1,087,880,349
Futures Contracts**........... (1,687,354) -- -- (1,687,354)
-------------- --------------- -- ---------------
TOTAL......................... $2,629,271,393 $11,634,659,690 -- $14,263,931,083
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
256
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.1%)
Consumer Discretionary -- (18.6%)
Aoyama Trading Co., Ltd............... 315,300 $ 12,143,526 0.3%
HIS Co., Ltd.......................... 282,100 10,294,918 0.2%
Wacoal Holdings Corp.................. 361,700 10,950,759 0.3%
Other Securities...................... 831,441,555 18.7%
-------------- -----
Total Consumer Discretionary.............. 864,830,758 19.5%
-------------- -----
Consumer Staples -- (8.2%)
Megmilk Snow Brand Co., Ltd........... 358,200 10,783,752 0.2%
Morinaga Milk Industry Co., Ltd....... 262,300 11,520,934 0.3%
Nippon Suisan Kaisha, Ltd............. 2,033,400 11,020,177 0.3%
# Sapporo Holdings, Ltd................. 439,100 12,563,724 0.3%
Takara Holdings, Inc.................. 930,900 11,229,578 0.3%
Other Securities...................... 325,530,582 7.2%
-------------- -----
Total Consumer Staples.................... 382,648,747 8.6%
-------------- -----
Energy -- (0.8%)
Other Securities...................... 39,099,899 0.9%
-------------- -----
Financials -- (8.1%)
77 Bank, Ltd. (The)................... 496,152 12,258,679 0.3%
Hokuhoku Financial Group, Inc......... 705,600 10,438,321 0.2%
Nishi-Nippon Financial Holdings, Inc.. 861,100 10,340,057 0.2%
Tokai Tokyo Financial Holdings, Inc... 1,447,500 10,484,771 0.2%
Other Securities...................... 334,757,668 7.6%
-------------- -----
Total Financials.......................... 378,279,496 8.5%
-------------- -----
Health Care -- (4.7%)
Miraca Holdings, Inc.................. 300,200 11,686,763 0.3%
Sawai Pharmaceutical Co., Ltd......... 282,700 12,217,051 0.3%
Ship Healthcare Holdings, Inc......... 303,400 10,534,977 0.2%
Other Securities...................... 183,892,596 4.1%
-------------- -----
Total Health Care......................... 218,331,387 4.9%
-------------- -----
Industrials -- (27.2%)
GS Yuasa Corp......................... 2,274,000 12,240,868 0.3%
Hanwa Co., Ltd........................ 244,200 10,669,600 0.3%
Japan Steel Works, Ltd. (The)......... 410,300 13,439,428 0.3%
#* Kawasaki Kisen Kaisha, Ltd............ 531,800 12,297,994 0.3%
Kokuyo Co., Ltd....................... 558,125 10,080,496 0.2%
Maeda Corp............................ 885,600 10,929,941 0.3%
Nagase & Co., Ltd..................... 623,200 10,642,476 0.3%
Nichias Corp.......................... 800,000 10,133,152 0.2%
Nikkon Holdings Co., Ltd.............. 392,500 10,443,629 0.2%
Nishi-Nippon Railroad Co., Ltd........ 441,200 12,251,255 0.3%
Nisshinbo Holdings, Inc............... 980,380 13,815,979 0.3%
Penta-Ocean Construction Co., Ltd..... 1,921,500 15,142,998 0.4%
Pilot Corp............................ 221,600 12,097,686 0.3%
TechnoPro Holdings, Inc............... 241,800 14,068,468 0.3%
Ushio, Inc............................ 746,200 10,518,755 0.2%
Other Securities...................... 1,087,036,531 24.3%
-------------- -----
Total Industrials......................... 1,265,809,256 28.5%
-------------- -----
257
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Information Technology -- (12.9%)
Amano Corp............................ 436,200 $ 10,811,606 0.3%
Citizen Watch Co., Ltd................ 1,505,500 11,217,204 0.3%
Ibiden Co., Ltd....................... 633,978 10,469,488 0.2%
Nihon Unisys, Ltd..................... 497,075 10,316,778 0.2%
Taiyo Yuden Co., Ltd.................. 773,000 13,708,734 0.3%
Tokyo Seimitsu Co., Ltd............... 265,700 10,091,658 0.2%
Topcon Corp........................... 567,800 11,269,655 0.3%
Other Securities...................... 523,928,176 11.7%
-------------- ------
Total Information Technology................ 601,813,299 13.5%
-------------- ------
Materials -- (10.3%)
ADEKA Corp............................ 580,700 10,311,777 0.2%
Fuji Seal International, Inc.......... 277,600 10,357,959 0.2%
Nippon Light Metal Holdings Co., Ltd.. 4,026,200 10,762,124 0.2%
# Nippon Paper Industries Co., Ltd...... 700,500 13,416,101 0.3%
NOF Corp.............................. 449,100 13,400,373 0.3%
Rengo Co., Ltd........................ 1,205,500 10,363,112 0.2%
Sumitomo Bakelite Co., Ltd............ 1,249,000 11,265,667 0.3%
# Sumitomo Osaka Cement Co., Ltd........ 2,623,000 12,008,178 0.3%
Tokuyama Corp......................... 462,998 13,790,562 0.3%
Toyobo Co., Ltd....................... 586,200 11,418,851 0.3%
Other Securities...................... 364,467,755 8.2%
-------------- ------
Total Materials............................. 481,562,459 10.8%
-------------- ------
Real Estate -- (1.9%)
Leopalace21 Corp...................... 1,702,800 14,768,257 0.3%
Other Securities...................... 75,823,997 1.7%
-------------- ------
Total Real Estate........................... 90,592,254 2.0%
-------------- ------
Telecommunication Services -- (0.1%)
Other Securities...................... 6,470,744 0.2%
-------------- ------
Utilities -- (1.3%)
#* Hokuriku Electric Power Co............ 1,293,400 13,198,577 0.3%
Nippon Gas Co., Ltd................... 254,700 12,505,163 0.3%
Other Securities...................... 34,430,273 0.8%
-------------- ------
Total Utilities............................. 60,134,013 1.4%
-------------- ------
TOTAL COMMON STOCKS......................... 4,389,572,312 98.8%
-------------- ------
TOTAL INVESTMENT SECURITIES................. 4,389,572,312
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (5.9%)
(S)@ DFA Short Term Investment Fund........ 23,599,833 273,050,068 6.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,525,312,761)................... $4,662,622,380 104.9%
============== ======
258
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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...... -- $ 864,830,758 -- $ 864,830,758
Consumer Staples............ -- 382,648,747 -- 382,648,747
Energy...................... -- 39,099,899 -- 39,099,899
Financials.................. $7,018,645 371,260,851 -- 378,279,496
Health Care................. -- 218,331,387 -- 218,331,387
Industrials................. -- 1,265,809,256 -- 1,265,809,256
Information Technology...... -- 601,813,299 -- 601,813,299
Materials................... -- 481,562,459 -- 481,562,459
Real Estate................. -- 90,592,254 -- 90,592,254
Telecommunication Services.. -- 6,470,744 -- 6,470,744
Utilities................... -- 60,134,013 -- 60,134,013
Securities Lending Collateral. -- 273,050,068 -- 273,050,068
---------- -------------- -- --------------
TOTAL......................... $7,018,645 $4,655,603,735 -- $4,662,622,380
========== ============== == ==============
See accompanying Notes to Financial Statements.
259
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.6%)
AUSTRALIA -- (51.6%)
# Adelaide Brighton, Ltd....................... 3,364,087 $ 16,230,411 0.8%
ALS, Ltd..................................... 2,475,697 14,448,074 0.7%
Altium, Ltd.................................. 756,548 11,489,185 0.6%
Ansell, Ltd.................................. 966,611 18,885,588 1.0%
Beach Energy, Ltd............................ 16,720,311 19,719,954 1.0%
# carsales.com, Ltd............................ 1,702,940 18,278,249 0.9%
Cleanaway Waste Management, Ltd.............. 13,779,656 16,363,957 0.8%
CSR, Ltd..................................... 3,680,857 15,530,958 0.8%
Downer EDI, Ltd.............................. 4,034,426 20,764,288 1.1%
DuluxGroup, Ltd.............................. 3,101,823 18,034,478 0.9%
Fairfax Media, Ltd........................... 19,821,806 10,609,859 0.5%
# Healthscope, Ltd............................. 8,543,532 15,565,749 0.8%
Iluka Resources, Ltd......................... 1,760,123 15,451,894 0.8%
# Independence Group NL........................ 3,049,253 11,730,613 0.6%
# IOOF Holdings, Ltd........................... 2,368,404 15,905,535 0.8%
# JB Hi-Fi, Ltd................................ 962,791 18,562,184 0.9%
Link Administration Holdings, Ltd............ 2,142,675 13,332,454 0.7%
Macquarie Atlas Roads Group.................. 3,516,909 17,004,838 0.9%
# Metcash, Ltd................................. 6,611,120 17,844,135 0.9%
Mineral Resources, Ltd....................... 1,168,088 15,641,803 0.8%
# Monadelphous Group, Ltd...................... 813,595 9,840,232 0.5%
nib holdings, Ltd............................ 2,972,376 12,425,083 0.6%
Northern Star Resources, Ltd................. 4,806,957 22,941,083 1.2%
Nufarm, Ltd.................................. 1,720,608 11,760,789 0.6%
Orora, Ltd................................... 7,096,268 17,797,679 0.9%
OZ Minerals, Ltd............................. 2,198,276 15,170,239 0.8%
# Perpetual, Ltd............................... 356,426 10,752,872 0.5%
Primary Health Care, Ltd..................... 3,326,526 9,483,692 0.5%
Regis Resources, Ltd......................... 3,227,165 11,388,171 0.6%
* Saracen Mineral Holdings, Ltd................ 7,247,386 10,187,827 0.5%
Sims Metal Management, Ltd................... 1,382,214 16,705,016 0.9%
Sirtex Medical, Ltd.......................... 549,789 11,498,229 0.6%
Spark Infrastructure Group................... 9,880,226 17,420,897 0.9%
St Barbara, Ltd.............................. 4,165,437 13,288,919 0.7%
Steadfast Group, Ltd......................... 4,895,617 10,080,408 0.5%
WorleyParsons, Ltd........................... 1,474,136 17,967,912 0.9%
Other Securities............................. 578,745,404 29.2%
-------------- -----
TOTAL AUSTRALIA.................................. 1,118,848,658 56.7%
-------------- -----
CANADA -- (0.0%)
Other Securities............................. 103,199 0.0%
-------------- -----
CHINA -- (0.0%)
Other Securities............................. 157,406 0.0%
-------------- -----
HONG KONG -- (24.2%)
Dah Sing Financial Holdings, Ltd............. 1,526,544 10,193,764 0.5%
# Haitong International Securities Group, Ltd.. 17,520,259 10,213,217 0.5%
Hopewell Holdings, Ltd....................... 3,604,500 12,786,298 0.7%
# IGG, Inc..................................... 7,730,000 11,625,114 0.6%
Luk Fook Holdings International, Ltd......... 3,329,000 13,914,340 0.7%
# Man Wah Holdings, Ltd........................ 13,457,600 9,952,949 0.5%
NagaCorp, Ltd................................ 12,782,000 13,214,612 0.7%
260
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (Continued)
Orient Overseas International, Ltd... 1,123,000 $ 10,677,992 0.6%
Vitasoy International Holdings, Ltd.. 5,663,000 15,017,627 0.8%
# VTech Holdings, Ltd.................. 961,000 11,701,390 0.6%
Other Securities..................... 405,251,111 20.4%
-------------- ------
TOTAL HONG KONG............................ 524,548,414 26.6%
-------------- ------
NEW ZEALAND -- (5.3%)
* a2 Milk Co., Ltd..................... 1,446,358 12,291,996 0.6%
SKYCITY Entertainment Group, Ltd..... 4,994,656 14,191,767 0.7%
Other Securities..................... 88,385,662 4.5%
-------------- ------
TOTAL NEW ZEALAND.......................... 114,869,425 5.8%
-------------- ------
SINGAPORE -- (9.5%)
# Singapore Post, Ltd.................. 10,888,300 10,963,590 0.6%
# Singapore Press Holdings, Ltd........ 6,191,500 12,651,933 0.7%
Other Securities..................... 182,634,843 9.2%
-------------- ------
TOTAL SINGAPORE............................ 206,250,366 10.5%
-------------- ------
TOTAL COMMON STOCKS........................ 1,964,777,468 99.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities..................... 3,946 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities..................... 38,864 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS...................... 42,810 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES................ 1,964,820,278
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (9.4%)
(S)@ DFA Short Term Investment Fund....... 17,704,883 204,845,502 10.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,060,735,021).................. $2,169,665,780 110.0%
============== ======
Summary of the Series' investments as of April 30, 2018, 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................... $ 99,886 $1,118,748,772 -- $1,118,848,658
Canada...................... 103,199 -- -- 103,199
China....................... -- 157,406 -- 157,406
Hong Kong................... 128,772 524,419,642 -- 524,548,414
New Zealand................. -- 114,869,425 -- 114,869,425
Singapore................... 469,566 205,780,800 -- 206,250,366
Rights/Warrants
Hong Kong................... -- 3,946 -- 3,946
Singapore................... -- 38,864 -- 38,864
Securities Lending Collateral. -- 204,845,502 -- 204,845,502
-------- -------------- -- --------------
TOTAL......................... $801,423 $2,168,864,357 -- $2,169,665,780
======== ============== == ==============
See accompanying Notes to Financial Statements.
261
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (97.0%)
Consumer Discretionary -- (22.9%)
B&M European Value Retail SA....... 2,954,304 $ 16,463,263 0.7%
Bellway P.L.C...................... 675,617 30,785,368 1.3%
Bovis Homes Group P.L.C............ 921,633 15,681,182 0.7%
Cineworld Group P.L.C.............. 6,296,220 22,477,551 0.9%
GVC Holdings P.L.C................. 2,345,568 28,711,150 1.2%
Inchcape P.L.C..................... 2,461,419 24,590,456 1.0%
#* Ocado Group P.L.C.................. 2,765,277 20,440,094 0.8%
Playtech P.L.C..................... 1,474,852 16,450,648 0.7%
SSP Group P.L.C.................... 2,417,539 21,633,485 0.9%
# UBM P.L.C.......................... 2,225,114 29,624,081 1.2%
WH Smith P.L.C..................... 673,112 18,041,546 0.7%
William Hill P.L.C................. 5,282,292 21,246,242 0.9%
Other Securities................... 302,609,280 12.4%
------------ -----
Total Consumer Discretionary........... 568,754,346 23.4%
------------ -----
Consumer Staples -- (4.3%)
Tate & Lyle P.L.C.................. 2,817,200 22,249,665 0.9%
Tesco P.L.C........................ 5,861,451 18,984,864 0.8%
Other Securities................... 65,870,184 2.7%
------------ -----
Total Consumer Staples................. 107,104,713 4.4%
------------ -----
Energy -- (4.8%)
John Wood Group P.L.C.............. 3,309,790 25,799,665 1.1%
* Tullow Oil P.L.C................... 8,835,314 27,649,865 1.1%
Other Securities................... 65,352,825 2.7%
------------ -----
Total Energy........................... 118,802,355 4.9%
------------ -----
Financials -- (15.5%)
Beazley P.L.C...................... 3,286,678 26,695,454 1.1%
Close Brothers Group P.L.C......... 915,384 19,273,549 0.8%
Hiscox, Ltd........................ 1,587,870 32,469,620 1.3%
IG Group Holdings P.L.C............ 2,208,193 25,214,234 1.0%
Intermediate Capital Group P.L.C... 1,629,822 24,284,252 1.0%
Man Group P.L.C.................... 10,116,211 25,125,124 1.0%
NEX Group P.L.C.................... 1,743,102 23,653,967 1.0%
Phoenix Group Holdings............. 2,255,130 24,360,281 1.0%
TP ICAP P.L.C...................... 3,202,107 20,742,675 0.9%
Other Securities................... 162,692,366 6.7%
------------ -----
Total Financials....................... 384,511,522 15.8%
------------ -----
Health Care -- (3.5%)
* BTG P.L.C.......................... 1,825,868 17,117,430 0.7%
* Indivior P.L.C..................... 4,027,574 24,941,106 1.0%
Other Securities................... 44,708,861 1.9%
------------ -----
Total Health Care...................... 86,767,397 3.6%
------------ -----
Industrials -- (25.3%)
Babcock International Group P.L.C.. 1,882,719 19,003,545 0.8%
Balfour Beatty P.L.C............... 4,202,276 16,970,478 0.7%
BBA Aviation P.L.C................. 6,343,089 27,801,029 1.1%
* Cobham P.L.C....................... 12,959,557 20,467,992 0.8%
Hays P.L.C......................... 8,695,434 21,428,303 0.9%
HomeServe P.L.C.................... 1,540,342 15,656,085 0.6%
262
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
Howden Joinery Group P.L.C........... 3,999,301 $ 26,175,263 1.1%
IMI P.L.C............................ 1,419,616 21,277,233 0.9%
Meggitt P.L.C........................ 4,445,188 28,797,493 1.2%
Melrose Industries P.L.C............. 8,100,948 25,401,717 1.0%
Rotork P.L.C......................... 4,717,139 21,273,445 0.9%
Spirax-Sarco Engineering P.L.C....... 250,249 19,837,162 0.8%
Travis Perkins P.L.C................. 1,220,434 21,252,306 0.9%
Other Securities..................... 342,734,866 14.1%
-------------- ------
Total Industrials.......................... 628,076,917 25.8%
-------------- ------
Information Technology -- (9.0%)
Auto Trader Group P.L.C.............. 5,234,600 25,435,555 1.0%
Electrocomponents P.L.C.............. 2,859,505 23,905,253 1.0%
Halma P.L.C.......................... 1,169,892 19,629,613 0.8%
Rightmove P.L.C...................... 329,562 20,668,224 0.9%
Spectris P.L.C....................... 627,408 23,149,499 1.0%
Other Securities..................... 111,204,181 4.5%
-------------- ------
Total Information Technology............... 223,992,325 9.2%
-------------- ------
Materials -- (6.8%)
* KAZ Minerals P.L.C................... 1,451,372 18,338,051 0.8%
RPC Group P.L.C...................... 2,358,548 25,592,298 1.1%
Victrex P.L.C........................ 539,936 19,440,693 0.8%
Other Securities..................... 106,464,211 4.3%
-------------- ------
Total Materials............................ 169,835,253 7.0%
-------------- ------
Real Estate -- (2.5%)
Capital & Counties Properties P.L.C.. 4,280,670 16,941,983 0.7%
Other Securities..................... 45,290,342 1.9%
-------------- ------
Total Real Estate.......................... 62,232,325 2.6%
-------------- ------
Telecommunication Services -- (0.9%)
Other Securities..................... 21,469,248 0.9%
-------------- ------
Utilities -- (1.5%)
Pennon Group P.L.C................... 2,281,292 21,675,055 0.9%
Other Securities..................... 15,444,635 0.6%
-------------- ------
Total Utilities............................ 37,119,690 1.5%
-------------- ------
TOTAL COMMON STOCKS........................ 2,408,666,091 99.1%
-------------- ------
TOTAL INVESTMENT SECURITIES................ 2,408,666,091
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.0%)
(S)@ DFA Short Term Investment Fund....... 6,488,674 75,073,955 3.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,060,140,625).................. $2,483,740,046 102.2%
============== ======
263
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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...... -- $568,754,346 -- $568,754,346
Consumer Staples............ $22,516 107,082,197 -- 107,104,713
Energy...................... -- 118,802,355 -- 118,802,355
Financials.................. -- 384,511,522 -- 384,511,522
Health Care................. -- 86,767,397 -- 86,767,397
Industrials................. -- 628,076,917 -- 628,076,917
Information Technology...... -- 223,992,325 -- 223,992,325
Materials................... -- 169,835,253 -- 169,835,253
Real Estate................. -- 62,232,325 -- 62,232,325
Telecommunication Services.. -- 21,469,248 -- 21,469,248
Utilities................... -- 37,119,690 -- 37,119,690
Securities Lending Collateral. -- 75,073,955 -- 75,073,955
------- -------------- -- --------------
TOTAL......................... $22,516 $2,483,717,530 -- $2,483,740,046
======= ============== == ==============
See accompanying Notes to Financial Statements.
264
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (88.7%)
AUSTRIA -- (2.8%)
Other Securities.......... $188,663,585 3.1%
------------ -----
BELGIUM -- (4.1%)
* Ablynx NV................. 382,567 20,622,770 0.3%
Ackermans & van Haaren NV. 144,400 26,056,350 0.4%
# Umicore SA................ 703,600 39,133,206 0.6%
Other Securities.......... 195,503,315 3.3%
------------ -----
TOTAL BELGIUM................. 281,315,641 4.6%
------------ -----
DENMARK -- (4.3%)
# Ambu A.S. Class B......... 919,394 21,321,851 0.4%
# GN Store Nord A.S......... 927,706 32,593,996 0.5%
Jyske Bank A.S............ 434,014 25,988,575 0.4%
Topdanmark A.S............ 491,266 23,104,078 0.4%
Other Securities.......... 193,956,718 3.1%
------------ -----
TOTAL DENMARK................. 296,965,218 4.8%
------------ -----
FINLAND -- (6.0%)
Amer Sports Oyj........... 814,164 24,904,626 0.4%
Elisa Oyj................. 834,271 36,876,820 0.6%
# Huhtamaki Oyj............. 626,788 25,494,491 0.4%
# Kesko Oyj Class B......... 466,452 27,389,954 0.4%
Metso Oyj................. 757,257 26,913,175 0.4%
Nokian Renkaat Oyj........ 811,148 32,455,519 0.5%
Other Securities.......... 236,783,611 3.9%
------------ -----
TOTAL FINLAND................. 410,818,196 6.6%
------------ -----
FRANCE -- (12.0%)
Altran Technologies SA.... 1,370,725 21,158,074 0.4%
# Edenred................... 1,178,862 40,612,334 0.7%
Euronext NV............... 291,850 20,921,019 0.3%
Ingenico Group SA......... 301,300 26,355,632 0.4%
Lagardere SCA............. 768,346 21,975,546 0.4%
Orpea..................... 178,098 22,822,558 0.4%
Rexel SA.................. 1,773,993 27,499,995 0.5%
# Rubis SCA................. 579,892 45,119,200 0.7%
Teleperformance........... 159,146 25,575,132 0.4%
* Ubisoft Entertainment SA.. 328,788 31,415,035 0.5%
Other Securities.......... 537,174,059 8.6%
------------ -----
TOTAL FRANCE.................. 820,628,584 13.3%
------------ -----
GERMANY -- (14.2%)
Aareal Bank AG............ 425,534 21,284,786 0.3%
Aurubis AG................ 242,477 21,668,776 0.4%
Freenet AG................ 889,655 28,241,073 0.5%
Hugo Boss AG.............. 332,465 31,167,160 0.5%
# K+S AG.................... 1,279,181 37,569,097 0.6%
Lanxess AG................ 482,578 35,746,624 0.6%
LEG Immobilien AG......... 360,131 41,524,226 0.7%
Rheinmetall AG............ 272,395 35,596,925 0.6%
Siltronic AG.............. 142,539 22,824,292 0.4%
265
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY -- (Continued)
Other Securities..................... $693,392,516 11.1%
------------ -----
TOTAL GERMANY............................ 969,015,475 15.7%
------------ -----
IRELAND -- (1.2%)
Kingspan Group P.L.C................. 708,796 32,086,423 0.5%
Other Securities..................... 48,075,296 0.8%
------------ -----
TOTAL IRELAND............................ 80,161,719 1.3%
------------ -----
ISRAEL -- (2.1%)
Other Securities..................... 145,089,682 2.4%
------------ -----
ITALY -- (10.5%)
A2A SpA.............................. 10,221,563 20,552,947 0.3%
#* Banco BPM SpA........................ 9,509,050 34,492,565 0.6%
FinecoBank Banca Fineco SpA.......... 2,273,171 27,068,385 0.5%
Moncler SpA.......................... 473,723 21,351,584 0.4%
Prysmian SpA......................... 1,022,877 30,069,544 0.5%
# Unione di Banche Italiane SpA........ 6,849,336 35,278,999 0.6%
Other Securities..................... 547,736,548 8.7%
------------ -----
TOTAL ITALY.............................. 716,550,572 11.6%
------------ -----
NETHERLANDS -- (5.7%)
Aalberts Industries NV............... 666,015 32,792,511 0.5%
# Koninklijke Vopak NV................. 448,556 22,120,611 0.4%
Other Securities..................... 335,568,484 5.4%
------------ -----
TOTAL NETHERLANDS........................ 390,481,606 6.3%
------------ -----
NORWAY -- (2.2%)
Other Securities..................... 148,234,073 2.4%
------------ -----
PORTUGAL -- (1.1%)
* Banco Comercial Portugues SA Class R. 67,440,721 22,576,043 0.3%
Other Securities..................... 51,786,897 0.9%
------------ -----
TOTAL PORTUGAL........................... 74,362,940 1.2%
------------ -----
SPAIN -- (5.7%)
Cellnex Telecom SA................... 909,420 24,389,943 0.4%
Enagas SA............................ 1,074,890 31,242,704 0.5%
Other Securities..................... 335,547,233 5.4%
------------ -----
TOTAL SPAIN.............................. 391,179,880 6.3%
------------ -----
SWEDEN -- (6.6%)
Other Securities..................... 447,338,307 7.2%
------------ -----
SWITZERLAND -- (10.1%)
# ams AG............................... 316,689 26,119,536 0.4%
Georg Fischer AG..................... 25,509 31,709,139 0.5%
Helvetia Holding AG.................. 43,900 26,077,101 0.4%
PSP Swiss Property AG................ 253,922 23,725,683 0.4%
Temenos Group AG..................... 177,013 22,273,170 0.4%
VAT Group AG......................... 139,293 20,543,121 0.3%
Other Securities..................... 537,486,469 8.7%
------------ -----
TOTAL SWITZERLAND........................ 687,934,219 11.1%
------------ -----
266
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (0.1%)
Other Securities............... $ 5,991,571 0.1%
-------------- ------
TOTAL COMMON STOCKS.................. 6,054,731,268 98.0%
-------------- ------
PREFERRED STOCKS -- (0.7%)
GERMANY -- (0.7%)
Other Securities............... 47,892,061 0.8%
-------------- ------
TOTAL PREFERRED STOCKS............... 47,892,061 0.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
ISRAEL -- (0.0%)
Other Securities............... 8,942 0.0%
-------------- ------
NORWAY -- (0.0%)
Other Securities............... 219 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............... 27,315 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS 36,476 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......... 6,102,659,805
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (10.6%)
(S)@ DFA Short Term Investment Fund. 62,244,594 720,169,955 11.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,135,530,755)............ $6,822,829,760 110.4%
============== ======
Summary of the Series' investments as of April 30, 2018, 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........ -- $188,663,585 -- $188,663,585
Belgium........ $ 7,612,207 273,703,434 -- 281,315,641
Denmark........ -- 296,965,218 -- 296,965,218
Finland........ -- 410,818,196 -- 410,818,196
France......... -- 820,628,584 -- 820,628,584
Germany........ -- 969,015,475 -- 969,015,475
Ireland........ -- 80,161,719 -- 80,161,719
Israel......... -- 145,089,682 -- 145,089,682
Italy.......... -- 716,550,572 -- 716,550,572
Netherlands.... 13,950,141 376,531,465 -- 390,481,606
Norway......... 555,976 147,678,097 -- 148,234,073
Portugal....... -- 74,362,940 -- 74,362,940
Spain.......... -- 391,179,880 -- 391,179,880
Sweden......... -- 447,338,307 -- 447,338,307
Switzerland.... -- 687,934,219 -- 687,934,219
United Kingdom. -- 5,991,571 -- 5,991,571
Preferred Stocks
Germany........ -- 47,892,061 -- 47,892,061
267
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Investments in Securities (Market Value)
-------------------------------------------------
Level 1 Level 2 Level 3 Total
----------- -------------- ------- --------------
Rights/Warrants
Israel...................... -- $ 8,942 -- $ 8,942
Norway...................... -- 219 -- 219
Spain....................... -- 27,315 -- 27,315
Securities Lending Collateral. -- 720,169,955 -- 720,169,955
----------- -------------- -- --------------
TOTAL......................... $22,118,324 $6,800,711,436 -- $6,822,829,760
=========== ============== == ==============
See accompanying Notes to Financial Statements.
268
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (86.0%)
Consumer Discretionary -- (6.4%)
# Enercare, Inc............................ 615,359 $ 8,320,131 0.7%
* Great Canadian Gaming Corp............... 343,338 9,797,815 0.8%
* Stars Group, Inc. (The).................. 292,985 9,113,923 0.8%
Other Securities......................... 60,742,551 5.1%
------------ -----
Total Consumer Discretionary................. 87,974,420 7.4%
------------ -----
Consumer Staples -- (4.2%)
Cott Corp................................ 883,470 12,633,287 1.1%
Jean Coutu Group PJC, Inc. (The) Class A. 416,076 7,968,619 0.7%
Premium Brands Holdings Corp............. 142,762 13,410,588 1.1%
Other Securities......................... 23,519,696 2.0%
------------ -----
Total Consumer Staples....................... 57,532,190 4.9%
------------ -----
Energy -- (19.4%)
Enerplus Corp............................ 1,226,018 14,227,710 1.2%
# Gibson Energy, Inc....................... 814,301 10,508,951 0.9%
* Gran Tierra Energy, Inc.................. 2,733,152 9,004,426 0.8%
#* Kelt Exploration, Ltd.................... 1,174,340 7,426,801 0.6%
* MEG Energy Corp.......................... 1,516,583 7,843,071 0.7%
Mullen Group, Ltd........................ 651,427 7,382,112 0.6%
* NuVista Energy, Ltd...................... 1,310,626 8,605,146 0.7%
* Parex Resources, Inc..................... 879,102 15,124,704 1.3%
# Parkland Fuel Corp....................... 465,525 10,808,287 0.9%
Whitecap Resources, Inc.................. 1,866,514 13,519,670 1.1%
Other Securities......................... 160,925,270 13.7%
------------ -----
Total Energy................................. 265,376,148 22.5%
------------ -----
Financials -- (7.1%)
# Canadian Western Bank.................... 601,480 15,960,453 1.3%
# Genworth MI Canada, Inc.................. 313,480 10,132,342 0.9%
# Laurentian Bank of Canada................ 268,259 10,302,466 0.9%
TMX Group, Ltd........................... 188,458 11,366,632 1.0%
Other Securities......................... 49,316,888 4.1%
------------ -----
Total Financials............................. 97,078,781 8.2%
------------ -----
Health Care -- (1.4%)
Other Securities......................... 18,685,127 1.6%
------------ -----
Industrials -- (10.4%)
# Maxar Technologies, Ltd.................. 184,215 8,335,910 0.7%
New Flyer Industries, Inc................ 240,620 11,051,335 0.9%
Russel Metals, Inc....................... 396,906 9,020,380 0.8%
Stantec, Inc............................. 356,516 9,071,520 0.8%
TFI International, Inc................... 526,553 15,243,565 1.3%
Toromont Industries, Ltd................. 213,413 9,346,324 0.8%
Transcontinental, Inc. Class A........... 431,276 9,082,677 0.8%
Other Securities......................... 71,157,866 5.9%
------------ -----
Total Industrials............................ 142,309,577 12.0%
------------ -----
269
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Information Technology -- (4.1%)
* Celestica, Inc...................... 755,063 $ 8,691,796 0.8%
* Descartes Systems Group, Inc. (The). 493,188 14,577,269 1.2%
Other Securities.................... 32,909,635 2.8%
-------------- ------
Total Information Technology.............. 56,178,700 4.8%
-------------- ------
Materials -- (24.9%)
Alamos Gold, Inc. Class A........... 2,373,124 12,827,195 1.1%
* B2Gold Corp......................... 4,734,158 13,605,704 1.2%
* Canfor Corp......................... 476,770 10,950,541 0.9%
* Centerra Gold, Inc.................. 1,552,135 9,477,581 0.8%
* Detour Gold Corp.................... 1,073,245 7,757,088 0.7%
HudBay Minerals, Inc................ 1,655,086 11,562,850 1.0%
* IAMGOLD Corp........................ 3,203,040 17,512,630 1.5%
* Interfor Corp....................... 467,908 8,749,929 0.7%
Kirkland Lake Gold, Ltd............. 798,455 13,929,975 1.2%
* New Gold, Inc....................... 3,603,151 8,446,968 0.7%
OceanaGold Corp..................... 3,704,860 9,983,890 0.8%
Pan American Silver Corp............ 1,044,715 16,843,024 1.4%
* SSR Mining, Inc..................... 735,305 7,530,870 0.6%
Stella-Jones, Inc................... 269,206 9,755,952 0.8%
# Tahoe Resources, Inc................ 1,771,325 8,925,949 0.8%
Yamana Gold, Inc.................... 3,815,269 10,964,868 0.9%
Other Securities.................... 162,556,886 13.8%
-------------- ------
Total Materials........................... 341,381,900 28.9%
-------------- ------
Real Estate -- (3.4%)
Colliers International Group, Inc... 193,437 13,138,861 1.1%
FirstService Corp................... 184,286 12,917,746 1.1%
Other Securities.................... 20,670,867 1.8%
-------------- ------
Total Real Estate......................... 46,727,474 4.0%
-------------- ------
Utilities -- (4.7%)
Capital Power Corp.................. 617,409 11,723,534 1.0%
# Superior Plus Corp.................. 849,685 8,232,471 0.7%
TransAlta Corp...................... 1,769,559 9,316,733 0.8%
Other Securities.................... 34,487,348 2.9%
-------------- ------
Total Utilities........................... 63,760,086 5.4%
-------------- ------
TOTAL COMMON STOCKS....................... 1,177,004,403 99.7%
-------------- ------
TOTAL INVESTMENT SECURITIES............... 1,177,004,403
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (14.0%)
(S)@ DFA Short Term Investment Fund...... 16,501,424 190,921,477 16.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,482,580,550)................. $1,367,925,880 115.9%
============== ======
270
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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...... $ 87,967,366 $ 7,054 -- $ 87,974,420
Consumer Staples............ 57,532,190 -- -- 57,532,190
Energy...................... 265,376,139 9 -- 265,376,148
Financials.................. 97,078,781 -- -- 97,078,781
Health Care................. 18,685,127 -- -- 18,685,127
Industrials................. 142,309,577 -- -- 142,309,577
Information Technology...... 56,178,700 -- -- 56,178,700
Materials................... 341,380,158 1,742 -- 341,381,900
Real Estate................. 46,727,474 -- -- 46,727,474
Utilities................... 63,760,086 -- -- 63,760,086
Securities Lending Collateral. -- 190,921,477 -- 190,921,477
-------------- ------------ -- --------------
TOTAL......................... $1,176,995,598 $190,930,282 -- $1,367,925,880
============== ============ == ==============
See accompanying Notes to Financial Statements.
271
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (93.4%)
BRAZIL -- (5.1%)
Ambev SA ADR........................................ 5,984,451 $ 39,617,066 0.6%
* Petroleo Brasileiro SA.............................. 2,706,971 19,031,941 0.3%
Vale SA............................................. 3,260,013 45,291,394 0.7%
Vale SA Sponsored ADR............................... 1,665,739 23,053,821 0.4%
Other Securities.................................... 208,234,446 3.3%
-------------- -----
TOTAL BRAZIL............................................ 335,228,668 5.3%
-------------- -----
CHILE -- (1.4%)
Other Securities.................................... 91,983,558 1.4%
-------------- -----
CHINA -- (16.5%)
#* Alibaba Group Holding, Ltd. Sponsored ADR........... 524,851 93,706,898 1.5%
* Baidu, Inc. Sponsored ADR........................... 106,675 26,764,758 0.4%
Bank of China, Ltd. Class H......................... 38,183,181 20,727,017 0.3%
China Construction Bank Corp. Class H............... 51,616,590 54,076,560 0.9%
China Mobile, Ltd. Sponsored ADR.................... 902,501 42,832,697 0.7%
China Overseas Land & Investment, Ltd............... 5,600,000 18,763,536 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 44,476,185 39,044,799 0.6%
# Ping An Insurance Group Co. of China, Ltd. Class H.. 3,690,000 36,056,465 0.6%
Tencent Holdings, Ltd............................... 3,704,000 182,099,318 2.9%
Other Securities.................................... 569,302,297 8.8%
-------------- -----
TOTAL CHINA............................................. 1,083,374,345 17.0%
-------------- -----
COLOMBIA -- (0.4%)
Other Securities.................................... 29,163,315 0.5%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 11,320,543 0.2%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 7,867,478 0.1%
-------------- -----
GREECE -- (0.3%)
Other Securities.................................... 16,993,952 0.3%
-------------- -----
HUNGARY -- (0.5%)
Other Securities.................................... 29,526,615 0.5%
-------------- -----
INDIA -- (11.7%)
HDFC Bank, Ltd...................................... 1,383,984 40,178,293 0.6%
Hindustan Unilever, Ltd............................. 992,915 22,261,640 0.4%
Housing Development Finance Corp., Ltd.............. 1,536,141 43,194,699 0.7%
Infosys, Ltd........................................ 1,805,229 32,365,991 0.5%
ITC, Ltd............................................ 4,651,621 19,622,074 0.3%
Maruti Suzuki India, Ltd............................ 138,331 18,190,216 0.3%
Reliance Industries, Ltd............................ 3,162,713 45,461,821 0.7%
Tata Consultancy Services, Ltd...................... 702,461 37,048,009 0.6%
Other Securities.................................... 511,920,870 8.0%
-------------- -----
TOTAL INDIA............................................. 770,243,613 12.1%
-------------- -----
INDONESIA -- (2.4%)
Other Securities.................................... 155,146,804 2.4%
-------------- -----
272
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (3.0%)
Public Bank Bhd.............................. 3,656,014 $ 22,122,427 0.4%
Other Securities............................. 173,447,644 2.7%
-------------- -----
TOTAL MALAYSIA................................... 195,570,071 3.1%
-------------- -----
MEXICO -- (3.7%)
America Movil S.A.B. de C.V. Series L........ 48,207,854 44,593,821 0.7%
Grupo Mexico S.A.B. de C.V. Series B......... 6,360,255 21,057,958 0.3%
Wal-Mart de Mexico S.A.B. de C.V............. 7,198,435 20,014,844 0.3%
Other Securities............................. 159,968,651 2.5%
-------------- -----
TOTAL MEXICO..................................... 245,635,274 3.8%
-------------- -----
PERU -- (0.3%)
Credicorp, Ltd............................... 78,885 18,339,974 0.3%
Other Securities............................. 2,784,756 0.0%
-------------- -----
TOTAL PERU....................................... 21,124,730 0.3%
-------------- -----
PHILIPPINES -- (1.2%)
Other Securities............................. 81,363,316 1.3%
-------------- -----
POLAND -- (1.6%)
Other Securities............................. 103,007,068 1.6%
-------------- -----
RUSSIA -- (1.5%)
Sberbank of Russia PJSC Sponsored ADR........ 1,818,206 26,884,454 0.4%
Other Securities............................. 71,830,889 1.1%
-------------- -----
TOTAL RUSSIA..................................... 98,715,343 1.5%
-------------- -----
SOUTH AFRICA -- (8.0%)
Barclays Africa Group, Ltd................... 2,048,355 30,002,817 0.5%
FirstRand, Ltd............................... 4,821,116 25,819,616 0.4%
MTN Group, Ltd............................... 3,210,942 32,227,237 0.5%
Naspers, Ltd. Class N........................ 341,078 83,093,265 1.3%
# Sasol, Ltd. Sponsored ADR.................... 776,248 27,580,091 0.4%
Standard Bank Group, Ltd..................... 2,064,368 35,405,121 0.6%
Other Securities............................. 288,655,212 4.5%
-------------- -----
TOTAL SOUTH AFRICA............................... 522,783,359 8.2%
-------------- -----
SOUTH KOREA -- (17.4%)
#* Celltrion, Inc............................... 86,084 21,595,636 0.3%
Hana Financial Group, Inc.................... 480,370 21,344,370 0.3%
# Hyundai Motor Co............................. 144,321 21,525,156 0.3%
KB Financial Group, Inc...................... 319,263 18,138,931 0.3%
NAVER Corp................................... 37,790 25,199,972 0.4%
POSCO........................................ 70,065 24,141,643 0.4%
Samsung Electronics Co., Ltd................. 98,259 243,485,802 3.8%
Samsung Electronics Co., Ltd. GDR............ 52,509 64,281,135 1.0%
SK Hynix, Inc................................ 821,484 64,604,772 1.0%
Other Securities............................. 634,128,095 10.0%
-------------- -----
TOTAL SOUTH KOREA................................ 1,138,445,512 17.8%
-------------- -----
TAIWAN -- (14.0%)
ASE Industrial Holdings Co., Ltd............. 7,079,781 19,215,061 0.3%
Hon Hai Precision Industry Co., Ltd.......... 17,063,653 47,460,530 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd.. 23,066,808 175,707,670 2.8%
273
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR. 1,815,491 $ 69,805,629 1.1%
Other Securities........................................... 609,575,734 9.4%
-------------- ------
TOTAL TAIWAN..................................................... 921,764,624 14.4%
-------------- ------
THAILAND -- (3.0%)
PTT PCL.................................................... 16,434,000 29,420,817 0.5%
Other Securities........................................... 168,588,601 2.6%
-------------- ------
TOTAL THAILAND................................................... 198,009,418 3.1%
-------------- ------
TURKEY -- (1.1%)
Other Securities........................................... 72,770,566 1.1%
-------------- ------
TOTAL COMMON STOCKS.............................................. 6,130,038,172 96.0%
-------------- ------
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA.......................................... 2,718,984 26,831,262 0.4%
Itau Unibanco Holding SA................................... 4,057,827 59,085,909 0.9%
* Petroleo Brasileiro SA..................................... 2,860,161 18,753,682 0.3%
Other Securities........................................... 47,573,680 0.8%
-------------- ------
TOTAL BRAZIL..................................................... 152,244,533 2.4%
-------------- ------
CHILE -- (0.0%)
Other Securities........................................... 874,139 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities........................................... 5,970,079 0.1%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities........................................... 90,595 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities........................................... 280,119 0.0%
-------------- ------
TOTAL PREFERRED STOCKS........................................... 159,459,465 2.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
MALAYSIA -- (0.0%)
Other Securities........................................... 34,866 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES...................................... 6,289,532,503
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (4.2%)
(S)@ DFA Short Term Investment Fund............................. 23,593,302 272,974,500 4.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,166,657,005)........................................ $6,562,507,003 102.8%
============== ======
274
THE EMERGING MARKETS SERIES
CONTINUED
At April 30, 2018, 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 06/15/18 $39,273,725 $37,446,500 $(1,827,225)
S&P 500(R) Emini Index......... 54 06/15/18 6,989,630 7,146,900 157,270
----------- ----------- ------------
Total futures contracts........ $46,263,355 $44,593,400 $(1,669,955)
=========== =========== ============
Summary of the Series' investments as of April 30, 2018, 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...................... $ 335,228,668 -- -- $ 335,228,668
Chile....................... 45,788,299 $ 46,195,259 -- 91,983,558
China....................... 270,654,834 812,719,511 -- 1,083,374,345
Colombia.................... 29,163,315 -- -- 29,163,315
Czech Republic.............. -- 11,320,543 -- 11,320,543
Egypt....................... 660,723 7,206,755 -- 7,867,478
Greece...................... -- 16,993,952 -- 16,993,952
Hungary..................... -- 29,526,615 -- 29,526,615
India....................... 30,293,727 739,949,886 -- 770,243,613
Indonesia................... 5,361,928 149,784,876 -- 155,146,804
Malaysia.................... -- 195,570,071 -- 195,570,071
Mexico...................... 245,635,274 -- -- 245,635,274
Peru........................ 21,124,730 -- -- 21,124,730
Philippines................. 1,771,538 79,591,778 -- 81,363,316
Poland...................... -- 103,007,068 -- 103,007,068
Russia...................... 7,053,643 91,661,700 -- 98,715,343
South Africa................ 55,434,585 467,348,774 -- 522,783,359
South Korea................. 29,636,122 1,108,809,390 -- 1,138,445,512
Taiwan...................... 101,175,018 820,589,606 -- 921,764,624
Thailand.................... 198,009,418 -- -- 198,009,418
Turkey...................... 638,699 72,131,867 -- 72,770,566
Preferred Stocks
Brazil...................... 152,244,533 -- -- 152,244,533
Chile....................... -- 874,139 -- 874,139
Colombia.................... 5,970,079 -- -- 5,970,079
Malaysia.................... 90,595 -- -- 90,595
South Korea................. 280,119 -- -- 280,119
Rights/Warrants
Malaysia.................... -- 34,866 -- 34,866
Securities Lending Collateral. -- 272,974,500 -- 272,974,500
Futures Contracts**........... (1,669,955) -- -- (1,669,955)
-------------- -------------- -- --------------
TOTAL......................... $1,534,545,892 $5,026,291,156 -- $6,560,837,048
============== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
275
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.0%)
BRAZIL -- (6.4%)
* B2W Cia Digital.................................... 1,578,484 $ 13,021,866 0.2%
BR Malls Participacoes SA.......................... 7,687,922 23,964,406 0.3%
EDP - Energias do Brasil SA........................ 3,335,614 13,225,530 0.2%
Equatorial Energia SA.............................. 1,951,558 39,636,147 0.5%
Estacio Participacoes SA........................... 3,387,190 30,843,618 0.4%
Iguatemi Empresa de Shopping Centers SA............ 1,216,795 12,399,972 0.2%
Localiza Rent a Car SA............................. 2,339,234 18,623,326 0.2%
Qualicorp SA....................................... 2,251,805 15,651,819 0.2%
Sul America SA..................................... 2,893,754 17,858,801 0.2%
Transmissora Alianca de Energia Eletrica SA........ 2,532,218 15,389,050 0.2%
Via Varejo SA...................................... 1,547,219 13,139,348 0.2%
Other Securities................................... 317,074,309 4.0%
-------------- -----
TOTAL BRAZIL........................................... 530,828,192 6.8%
-------------- -----
CHILE -- (1.6%)
Engie Energia Chile SA............................. 5,751,282 12,401,303 0.2%
Parque Arauco SA................................... 6,109,643 19,078,415 0.3%
Other Securities................................... 102,734,902 1.2%
-------------- -----
TOTAL CHILE............................................ 134,214,620 1.7%
-------------- -----
CHINA -- (16.2%)
China Conch Venture Holdings, Ltd.................. 5,373,000 16,680,779 0.2%
China Everbright, Ltd.............................. 6,106,000 13,436,651 0.2%
China Jinmao Holdings Group, Ltd................... 27,318,300 15,464,229 0.2%
China Medical System Holdings, Ltd................. 5,765,500 14,118,415 0.2%
# China National Building Material Co., Ltd. Class H. 29,402,450 34,350,703 0.5%
China Resources Cement Holdings, Ltd............... 17,538,000 18,398,730 0.2%
CIFI Holdings Group Co., Ltd....................... 19,426,000 15,296,956 0.2%
Huaneng Renewables Corp., Ltd. Class H............. 29,660,000 13,172,080 0.2%
Kingboard Chemical Holdings, Ltd................... 3,756,421 15,282,210 0.2%
#* Kingdee International Software Group Co., Ltd...... 15,099,200 14,657,689 0.2%
KWG Property Holding, Ltd.......................... 10,848,950 14,613,994 0.2%
Shenzhen International Holdings, Ltd............... 7,775,367 16,988,384 0.2%
# SSY Group, Ltd..................................... 13,919,152 14,064,422 0.2%
Yuexiu Property Co., Ltd........................... 54,806,284 12,330,407 0.2%
Other Securities................................... 1,110,706,437 14.0%
-------------- -----
TOTAL CHINA............................................ 1,339,562,086 17.1%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities................................... 19,138,493 0.2%
-------------- -----
GREECE -- (0.3%)
Other Securities................................... 29,630,140 0.4%
-------------- -----
HONG KONG -- (0.0%)
Other Securities................................... 660,612 0.0%
-------------- -----
HUNGARY -- (0.1%)
Other Securities................................... 7,507,336 0.1%
-------------- -----
INDIA -- (13.4%)
Biocon, Ltd........................................ 1,280,367 12,727,828 0.2%
Federal Bank, Ltd.................................. 8,667,989 12,719,189 0.2%
276
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
INDIA -- (Continued)
IIFL Holdings, Ltd.................................. 1,460,861 $ 16,736,051 0.2%
MindTree, Ltd....................................... 861,247 13,930,546 0.2%
Tata Global Beverages, Ltd.......................... 2,778,424 12,344,622 0.2%
Other Securities.................................... 1,040,894,019 13.2%
-------------- -----
TOTAL INDIA............................................. 1,109,352,255 14.2%
-------------- -----
INDONESIA -- (2.7%)
Indah Kiat Pulp & Paper Corp. Tbk PT................ 15,829,900 14,945,460 0.2%
Other Securities.................................... 206,540,754 2.6%
-------------- -----
TOTAL INDONESIA......................................... 221,486,214 2.8%
-------------- -----
MALAYSIA -- (3.1%)
Other Securities.................................... 254,515,726 3.3%
-------------- -----
MEXICO -- (2.3%)
# Alsea S.A.B. de C.V................................. 5,090,080 18,896,552 0.3%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V.. 2,460,734 12,979,936 0.2%
# Regional S.A.B. de C.V.............................. 2,045,326 13,018,659 0.2%
Other Securities.................................... 144,063,228 1.7%
-------------- -----
TOTAL MEXICO............................................ 188,958,375 2.4%
-------------- -----
PHILIPPINES -- (1.1%)
Other Securities.................................... 92,272,728 1.2%
-------------- -----
POLAND -- (1.1%)
Other Securities.................................... 89,164,781 1.1%
-------------- -----
SOUTH AFRICA -- (6.2%)
AVI, Ltd............................................ 3,142,173 28,740,982 0.4%
Barloworld, Ltd..................................... 2,208,890 29,832,763 0.4%
Clicks Group, Ltd................................... 2,253,417 38,526,490 0.5%
Foschini Group, Ltd. (The).......................... 1,107,552 19,055,950 0.3%
JSE, Ltd............................................ 831,201 13,043,960 0.2%
Pick n Pay Stores, Ltd.............................. 2,687,210 17,396,231 0.2%
SPAR Group, Ltd. (The).............................. 1,306,934 22,142,969 0.3%
Truworths International, Ltd........................ 1,797,580 14,696,255 0.2%
Other Securities.................................... 331,732,560 4.1%
-------------- -----
TOTAL SOUTH AFRICA...................................... 515,168,160 6.6%
-------------- -----
SOUTH KOREA -- (16.5%)
# Cosmax, Inc......................................... 86,687 12,656,309 0.2%
Fila Korea, Ltd..................................... 101,983 12,387,329 0.2%
Other Securities.................................... 1,342,540,647 17.1%
-------------- -----
TOTAL SOUTH KOREA....................................... 1,367,584,285 17.5%
-------------- -----
TAIWAN -- (16.0%)
* Macronix International.............................. 8,930,820 14,187,462 0.2%
Walsin Technology Corp.............................. 2,159,793 13,576,606 0.2%
Other Securities.................................... 1,295,870,244 16.5%
-------------- -----
TOTAL TAIWAN............................................ 1,323,634,312 16.9%
-------------- -----
THAILAND -- (3.3%)
Other Securities.................................... 275,864,290 3.5%
-------------- -----
277
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TURKEY -- (1.5%)
Other Securities............................... $ 127,874,059 1.6%
-------------- ------
TOTAL COMMON STOCKS.................................. 7,627,416,664 97.4%
-------------- ------
PREFERRED STOCKS -- (1.4%)
BRAZIL -- (1.3%)
Cia Energetica de Minas Gerais................. 6,467,029 15,617,454 0.2%
Usinas Siderurgicas de Minas Gerais SA Class A. 4,124,699 12,833,758 0.2%
Other Securities............................... 81,019,411 1.0%
-------------- ------
TOTAL BRAZIL......................................... 109,470,623 1.4%
-------------- ------
CHILE -- (0.0%)
Other Securities............................... 1,711,091 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities............................... 3,703,646 0.1%
-------------- ------
TOTAL PREFERRED STOCKS............................... 114,885,360 1.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities............................... 607,922 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities............................... 135,341 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities............................... 11,812 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities............................... 136,457 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................ 891,532 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......................... 7,743,193,556
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (6.6%)
(S)@ DFA Short Term Investment Fund................. 47,054,399 544,419,393 7.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,029,209,424)............................ $8,287,612,949 105.9%
============== ======
At April 30, 2018, 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 06/15/18 $39,381,028 $37,446,500 $(1,934,528)
S&P 500(R) Emini Index......... 107 06/15/18 14,770,707 14,161,450 (609,257)
----------- ----------- ------------
Total futures contracts........ $54,151,735 $51,607,950 $(2,543,785)
=========== =========== ============
278
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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...................... $ 530,828,192 -- -- $ 530,828,192
Chile....................... 630,711 $ 133,583,909 -- 134,214,620
China....................... 64,649,621 1,274,912,465 -- 1,339,562,086
Colombia.................... 19,138,493 -- -- 19,138,493
Greece...................... -- 29,630,140 -- 29,630,140
Hong Kong................... 2,081 658,531 -- 660,612
Hungary..................... -- 7,507,336 -- 7,507,336
India....................... 825,665 1,108,526,590 -- 1,109,352,255
Indonesia................... 1,101,770 220,384,444 -- 221,486,214
Malaysia.................... -- 254,515,726 -- 254,515,726
Mexico...................... 188,930,114 28,261 -- 188,958,375
Philippines................. -- 92,272,728 -- 92,272,728
Poland...................... -- 89,164,781 -- 89,164,781
South Africa................ 7,263,561 507,904,599 -- 515,168,160
South Korea................. -- 1,367,584,285 -- 1,367,584,285
Taiwan...................... 83,171 1,323,551,141 -- 1,323,634,312
Thailand.................... 275,502,166 362,124 -- 275,864,290
Turkey...................... -- 127,874,059 -- 127,874,059
Preferred Stocks
Brazil...................... 109,470,623 -- -- 109,470,623
Chile....................... -- 1,711,091 -- 1,711,091
Colombia.................... 3,703,646 -- -- 3,703,646
Rights/Warrants
Indonesia................... -- 607,922 -- 607,922
Malaysia.................... -- 135,341 -- 135,341
Taiwan...................... -- 11,812 -- 11,812
Thailand.................... -- 136,457 -- 136,457
Securities Lending Collateral. -- 544,419,393 -- 544,419,393
Futures Contracts**........... (2,543,785) -- -- (2,543,785)
-------------- -------------- -- --------------
TOTAL......................... $1,199,586,029 $7,085,483,135 -- $8,285,069,164
============== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
279
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
The Japanese The Asia
The U.S. Large The DFA Small Pacific Small
Cap Value International Company Company
Series* Value Series* Series* Series*
-------------- ------------- ------------ -------------
ASSETS:
Investments at Value (including $1,160,315, $1,077,124,
$335,897 and $321,847 of securities on loan,
respectively).................................................... $28,598,793 $13,177,738 $4,389,572 $1,964,820
Temporary Cash Investments at Value & Cost........................ 272,827 -- -- --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $631,384, $1,087,839, $273,047 and
$204,847)........................................................ 631,407 1,087,880 273,050 204,846
Segregated Cash for Futures Contracts............................. 8,729 4,961 -- --
Foreign Currencies at Value....................................... -- 126,795 10,733 4,470
Cash.............................................................. -- 40,636 8,408 783
Receivables:
Investment Securities Sold...................................... 21,567 44,997 7,050 2,314
Dividends, Interest and Tax Reclaims............................ 30,837 77,607 36,635 3,374
Securities Lending Income....................................... 198 1,163 1,202 682
Unrealized Gain on Foreign Currency Contracts..................... -- 4 -- 7
Prepaid Expenses and Other Assets................................. 26 14 4 2
----------- ----------- ---------- ----------
Total Assets................................................. 29,564,384 14,561,795 4,726,654 2,181,298
----------- ----------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 631,403 1,087,898 273,083 204,846
Investment Securities Purchased................................. 76,946 61,664 8,698 2,880
Due to Advisor.................................................. 2,385 2,190 366 163
Futures Margin Variation........................................ 1,836 995 -- --
Unrealized Loss on Foreign Currency Contracts..................... -- 2 -- 9
Accrued Expenses and Other Liabilities............................ 1,373 1,056 504 213
----------- ----------- ---------- ----------
Total Liabilities............................................ 713,943 1,153,805 282,651 208,111
----------- ----------- ---------- ----------
NET ASSETS........................................................ $28,850,441 $13,407,990 $4,444,003 $1,973,187
=========== =========== ========== ==========
Investments at Cost............................................... $19,687,331 $10,982,277 $3,252,265 $1,855,888
=========== =========== ========== ==========
Foreign Currencies at Cost........................................ $ -- $ 129,029 $ 10,745 $ 4,548
=========== =========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
280
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(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 $70,044,
$791,835, $186,345, $418,132 and
$1,075,660 of securities on loan,
respectively).................................. $2,408,666 $6,102,660 $1,177,004 $6,289,533 $7,743,194
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $75,072,
$720,155, $190,918, $272,961 and
$544,414)...................................... 75,074 720,170 190,921 272,974 544,419
Segregated Cash for Futures Contracts........... -- -- -- 2,003 2,311
Foreign Currencies at Value..................... 3,659 11,587 1,936 29,077 74,667
Cash............................................ 2,976 12,213 971 49,849 6,788
Receivables:
Investment Securities Sold.................... 2,748 47,319 1,938 6,795 9,076
Dividends, Interest and Tax Reclaims.......... 15,401 19,265 839 5,645 8,644
Securities Lending Income..................... 67 2,214 391 584 5,330
Unrealized Gain on Foreign Currency
Contracts...................................... -- -- -- -- 1
Prepaid Expenses and Other Assets............... 2 5 1 6 7
---------- ---------- ---------- ---------- ----------
Total Assets............................... 2,508,593 6,915,433 1,374,001 6,656,466 8,394,437
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............. 75,078 720,230 190,909 272,984 544,408
Investment Securities Purchased............... 3,832 11,356 2,549 34 17,768
Due to Advisor................................ 199 511 96 526 1,297
Futures Margin Variation...................... -- -- -- 375 439
Unrealized Loss on Foreign Currency
Contracts...................................... -- 1 -- -- 13
Accrued Expenses and Other Liabilities.......... 163 651 93 1,386 2,094
---------- ---------- ---------- ---------- ----------
Total Liabilities.......................... 79,272 732,749 193,647 275,305 566,019
---------- ---------- ---------- ---------- ----------
NET ASSETS...................................... $2,429,321 $6,182,684 $1,180,354 $6,381,161 $7,828,418
========== ========== ========== ========== ==========
Investments at Cost............................. $1,985,069 $4,415,376 $1,291,663 $3,893,696 $6,484,795
========== ========== ========== ========== ==========
Foreign Currencies at Cost...................... $ 3,663 $ 11,800 $ 1,937 $ 29,392 $ 76,186
========== ========== ========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
281
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
The Japanese The Asia
The U.S. The DFA Small Pacific Small
Large Cap International Company Company
Value Series# Value Series# Series# Series#
------------- ------------- ------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $22,518,
$4,689 and $559, respectively)........................... $ 320,493 $205,749 $ 42,243 $25,554
Non Cash Income........................................... -- 12,718 -- 6,858
Income from Securities Lending............................ 1,222 4,583 7,025 3,466
---------- -------- -------- -------
Total Investment Income................................ 321,715 223,050 49,268 35,878
---------- -------- -------- -------
Expenses
Investment Management Fees................................ 14,450 13,103 2,116 963
Accounting & Transfer Agent Fees.......................... 598 277 90 45
Custodian Fees............................................ 130 515 356 179
Directors'/Trustees' Fees & Expenses...................... 111 51 16 7
Professional Fees......................................... 175 87 27 13
Other..................................................... 285 181 57 28
---------- -------- -------- -------
Total Expenses......................................... 15,749 14,214 2,662 1,235
---------- -------- -------- -------
Fees Paid Indirectly (Note C)............................. -- (183) (17) (7)
---------- -------- -------- -------
Net Expenses.............................................. 15,749 14,031 2,645 1,228
---------- -------- -------- -------
Net Investment Income (Loss).............................. 305,966 209,019 46,623 34,650
---------- -------- -------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ 577,939 356,134 106,917 8,134
Affiliated Investment Companies Shares Sold............. (38) (139) (132) (65)
Futures................................................. 21,852 5,965 -- (70)
Foreign Currency Transactions........................... -- 1,833 (578) (136)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 121,705 77,200 96,597 28,127
Affiliated Investment Companies Shares.................. (14) 55 73 39
Futures................................................. (14,899) (4,571) -- --
Translation of Foreign Currency Denominated Amounts..... -- (1,219) (713) (18)
---------- -------- -------- -------
Net Realized and Unrealized Gain (Loss)................... 706,545 435,258 202,164 36,011
---------- -------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. $1,012,511 $644,277 $248,787 $70,661
========== ======== ======== =======
----------
**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.
282
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
The United The
Kingdom Continental The Canadian The Emerging
Small Small Small The Emerging Markets
Company Company Company Markets Small Cap
Series# Series# Series# Series# Series#
---------- ----------- ------------ ------------ ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of
$43, $9,589, $1,795, $5,166 and $5,517,
respectively)................................... $ 39,151 $ 60,298 $ 10,262 $ 53,281 $ 53,398
Income from Securities Lending................... 567 8,943 2,695 2,654 28,523
-------- -------- -------- -------- --------
Total Investment Income....................... 39,718 69,241 12,957 55,935 81,921
-------- -------- -------- -------- --------
Expenses
Investment Management Fees....................... 1,176 3,031 586 3,243 7,689
Accounting & Transfer Agent Fees................. 51 130 24 139 164
Custodian Fees................................... 60 439 41 1,326 1,820
Directors'/Trustees' Fees & Expenses............. 9 23 5 26 29
Professional Fees................................ 16 39 8 57 81
Other............................................ 32 86 18 102 105
-------- -------- -------- -------- --------
Total Expenses................................ 1,344 3,748 682 4,893 9,888
-------- -------- -------- -------- --------
Fees Paid Indirectly (Note C).................... (8) (46) (6) (85) (53)
-------- -------- -------- -------- --------
Net Expenses..................................... 1,336 3,702 676 4,808 9,835
-------- -------- -------- -------- --------
Net Investment Income (Loss)..................... 38,382 65,539 12,281 51,127 72,086
-------- -------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**................... 66,080 160,869 15,485 85,707 241,330
Affiliated Investment Companies Shares
Sold.......................................... (10) (115) (18) (22) (17)
Futures........................................ -- 161 -- 2,701 4,060
Foreign Currency Transactions.................. 398 (114) 82 1,008 (77)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign
Currency...................................... 4,292 (23,983) (20,928) 132,049 144,158
Affiliated Investment Companies Shares......... -- 81 (4) 9 (30)
Futures........................................ -- -- -- (2,333) (3,676)
Translation of Foreign Currency Denominated
Amounts....................................... (318) (569) 14 (43) (79)
-------- -------- -------- -------- --------
Net Realized and Unrealized Gain (Loss).......... 70,442 136,330 (5,369) 219,076 385,669
-------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................... $108,824 $201,869 $ 6,912 $270,203 $457,755
======== ======== ======== ======== ========
----------
**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.
283
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International Value The Japanese Small
Series Series Company Series
------------------------ -------------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......... $ 305,966 $ 540,980 $ 209,019 $ 373,063 $ 46,623 $ 65,529
Net Realized Gain (Loss) on:
Investment Securities Sold*........ 577,939 1,415,252 356,134 133,582 106,917 174,661
Affiliated Investment Companies
Shares Sold....................... (38) (4) (139) 55 (132) 70
Futures............................ 21,852 22,013 5,965 16,570 -- --
Foreign Currency
Transactions...................... -- -- 1,833 (2,679) (578) (2,843)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.................. 121,705 3,199,777 77,200 2,126,222 96,597 616,328
Affiliated Investment Companies
Shares............................ (14) (95) 55 (73) 73 (116)
Futures............................ (14,899) 11,932 (4,571) 3,736 -- --
Translation of Foreign Currency
Denominated Amounts............... -- -- (1,219) 1,069 (713) 489
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations....................... 1,012,511 5,189,855 644,277 2,651,545 248,787 854,118
----------- ----------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions........................ 1,218,206 2,626,519 401,774 995,812 309,788 195,960
Withdrawals.......................... (1,056,822) (1,056,396) (370,211) (644,747) (103,621) (193,623)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest......... 161,384 1,570,123 31,563 351,065 206,167 2,337
----------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets....................... 1,173,895 6,759,978 675,840 3,002,610 454,954 856,455
Net Assets
Beginning of Period.................. 27,676,546 20,916,568 12,732,150 9,729,540 3,989,049 3,132,594
----------- ----------- ----------- ----------- ---------- ----------
End of Period........................ $28,850,441 $27,676,546 $13,407,990 $12,732,150 $4,444,003 $3,989,049
=========== =========== =========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
284
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific Small The United Kingdom Small The Continental Small
Company Series Company Series Company Series
---------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 34,650 $ 63,045 $ 38,382 $ 68,684 $ 65,539 $ 114,873
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 8,134 57,205 66,080 68,209 160,869 217,209
Affiliated Investment Companies
Shares Sold.......................... (65) 63 (10) 2 (115) 32
Futures............................... (70) -- -- -- 161 --
Foreign Currency Transactions......... (136) (697) 398 330 (114) 992
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 28,127 131,297 4,292 383,963 (23,983) 1,106,864
Affiliated Investment Companies
Shares............................... 39 (85) -- (8) 81 (119)
Translation of Foreign Currency
Denominated Amounts.................. (18) (7) (318) 206 (569) 303
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 70,661 250,821 108,824 521,386 201,869 1,440,154
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 162,182 110,964 33,320 158,197 332,232 303,976
Withdrawals............................. (75,361) (101,816) (42,735) (33,136) (102,476) (140,996)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 86,821 9,148 (9,415) 125,061 229,756 162,980
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 157,482 259,969 99,409 646,447 431,625 1,603,134
Net Assets
Beginning of Period..................... 1,815,705 1,555,736 2,329,912 1,683,465 5,751,059 4,147,925
---------- ---------- ---------- ---------- ---------- ----------
End of Period........................... $1,973,187 $1,815,705 $2,429,321 $2,329,912 $6,182,684 $5,751,059
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
285
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Canadian Small The Emerging Markets The Emerging Markets
Company Series Series Small Cap Series
---------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 12,281 $ 24,738 $ 51,127 $ 128,502 $ 72,086 $ 176,036
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 15,485 (39,064) 85,707 (7,795) 241,330 173,946
Affiliated Investment Companies
Shares Sold.......................... (18) 21 (22) (8) (17) 23
Futures............................... -- -- 2,701 8,355 4,060 9,284
Foreign Currency Transactions......... 82 (26) 1,008 (35) (77) 79
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (20,928) 137,860 132,049 1,213,036 144,158 923,325
Affiliated Investment Companies
Shares............................... (4) (28) 9 (19) (30) (73)
Futures............................... -- -- (2,333) 929 (3,676) 843
Translation of Foreign Currency
Denominated Amounts.................. 14 (7) (43) (69) (79) (193)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 6,912 123,494 270,203 1,342,896 457,755 1,283,270
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 17,823 269,073 299,372 738,457 351,521 959,649
Withdrawals............................. (34,603) (135,609) (911,621) (355,877) (234,315) (505,109)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ (16,780) 133,464 (612,249) 382,580 117,206 454,540
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. (9,868) 256,958 (342,046) 1,725,476 574,961 1,737,810
Net Assets
Beginning of Period..................... 1,190,222 933,264 6,723,207 4,997,731 7,253,457 5,515,647
---------- ---------- ---------- ---------- ---------- ----------
End of Period........................... $1,180,354 $1,190,222 $6,381,161 $6,723,207 $7,828,418 $7,253,457
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
286
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series
----------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------------
(Unaudited)
---------------------------------------------------------------------------------------------------------------------------------
Total Return............................................. 3.67%(D) 24.31% 4.75% 1.32% 15.67%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................... $28,850,441 $27,676,546 $20,916,568 $19,094,057 $18,376,682
Ratio of Expenses to Average Net Assets.................. 0.11%(E) 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets..... 2.12%(E) 2.19% 2.39% 2.20% 1.90%
Portfolio Turnover Rate.................................. 6%(D) 15% 15% 16% 15%
---------------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series
----------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------------
(Unaudited)
---------------------------------------------------------------------------------------------------------------------------------
Total Return............................................. 5.08%(D) 26.53% (0.10)% (5.35)% (0.72)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................... $13,407,990 $12,732,150 $ 9,729,540 $ 9,227,905 $ 9,343,666
Ratio of Expenses to Average Net Assets.................. 0.21%(E) 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding (Fees
Paid Indirectly))....................................... 0.22%(E) 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets..... 3.19%(E) 3.33% 3.72% 3.31% 4.50%
Portfolio Turnover Rate.................................. 10%(D) 17% 17% 21% 17%
---------------------------------------------------------------------------------------------------------------------------------
-------------
Year
Ended
Oct. 31,
2013
------------
----------------------------------------------------------------------
Total Return............................................. 35.68%
----------------------------------------------------------------------
Net Assets, End of Period (thousands).................... $14,838,988
Ratio of Expenses to Average Net Assets.................. 0.11%
Ratio of Net Investment Income to Average Net Assets..... 1.98%
Portfolio Turnover Rate.................................. 15%
----------------------------------------------------------------------
-------------
Year
Ended
Oct. 31,
2013
------------
----------------------------------------------------------------------
Total Return............................................. 28.18%
----------------------------------------------------------------------
Net Assets, End of Period (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 accompanying Notes to Financial Statements.
287
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Japanese Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 6.25%(D) 27.10% 14.53% 9.04% 2.46%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $4,444,003 $3,989,049 $3,132,594 $2,631,688 $2,505,409
Ratio of Expenses to Average Net Assets....................... 0.13%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.13%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets.......... 2.20%(E) 1.90% 1.99% 1.69% 1.71%
Portfolio Turnover Rate....................................... 6%(D) 13% 10% 6% 9%
--------------------------------------------------------------------------------------------------------------------------------
The Asia Pacific Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 3.97%(D) 16.21% 16.69% (11.83)% (3.46)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $1,973,187 $1,815,705 $1,555,736 $1,228,274 $1,453,786
Ratio of Expenses to Average Net Assets....................... 0.13%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.13%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets.......... 3.60%(E) 3.82% 4.00% 4.17% 3.96%
Portfolio Turnover Rate....................................... 8%(D) 14% 10% 7% 7%
--------------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 30.62%
--------------------------------------------------------------------------
Net Assets, End of Period (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%
--------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 10.97%
--------------------------------------------------------------------------
Net Assets, End of Period (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 accompanying Notes to Financial Statements.
288
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 4.68%(D) 29.87% (15.82)% 9.95% 1.22%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $2,429,321 $2,329,912 $1,683,465 $2,084,113 $1,995,898
Ratio of Expenses to Average Net Assets....................... 0.11%(E) 0.12% 0.12% 0.11% 0.11%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.11%(E) 0.12% 0.12% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets.......... 3.26%(E) 3.40% 4.36% 3.44% 2.98%
Portfolio Turnover Rate....................................... 6%(D) 9% 15% 10% 8%
--------------------------------------------------------------------------------------------------------------------------------
The Continental Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 3.51%(D) 34.27% 6.10% 9.81% (2.25)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $6,182,684 $5,751,085 $4,147,925 $3,653,743 $3,152,277
Ratio of Expenses to Average Net Assets....................... 0.12%(E) 0.12% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.12%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets.......... 2.16%(E) 2.33% 2.49% 2.44% 2.40%
Portfolio Turnover Rate....................................... 6%(D) 13% 9% 14% 13%
--------------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 37.42%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $1,988,287
Ratio of Expenses to Average Net Assets....................... 0.12%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.12%
Ratio of Net Investment Income to Average Net Assets.......... 3.29%
Portfolio Turnover Rate....................................... 17%
--------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 43.67%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $3,217,766
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.......... 2.67%
Portfolio Turnover Rate....................................... 13%
--------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
289
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Canadian Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 0.45%(D) 12.10% 20.77% (25.00)% (3.83)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $1,180,354 $1,190,222 $ 933,264 $ 623,132 $ 849,429
Ratio of Expenses to Average Net Assets....................... 0.12%(E) 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.12%(E) 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets.......... 2.09%(E) 2.14% 2.52% 2.73% 2.42%
Portfolio Turnover Rate....................................... 9%(D) 22% 8% 18% 5%
--------------------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 4.42%(D) 25.26% 11.44% (14.86)% 1.74%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $6,381,161 $6,723,207 $4,997,731 $4,403,555 $4,185,451
Ratio of Expenses to Average Net Assets....................... 0.15%(E) 0.15% 0.15% 0.16% 0.15%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.15%(E) 0.15% 0.15% 0.16% 0.15%
Ratio of Net Investment Income to Average Net Assets.......... 1.58%(E) 2.23% 2.45% 2.39% 2.51%
Portfolio Turnover Rate....................................... 5%(D) 8% 5% 9% 5%
--------------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 5.71%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $ 741,204
Ratio of Expenses to Average Net Assets....................... 0.13%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.13%
Ratio of Net Investment Income to Average Net Assets.......... 2.99%
Portfolio Turnover Rate....................................... 14%
--------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 6.99%
--------------------------------------------------------------------------
Net Assets, End of Period (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 accompanying Notes to Financial Statements.
290
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series
---------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
----------------------------------------------------------------
(Unaudited)
-------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 6.27%(D) 21.55% 14.45% (9.42)% 5.60%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $7,828,418 $7,253,457 $5,515,647 $4,898,307 $4,921,438
Ratio of Expenses to Average Net Assets....................... 0.26%(E) 0.27% 0.26% 0.26% 0.26%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.26%(E) 0.27% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to Average Net Assets.......... 1.88%(E) 2.78% 2.89% 2.62% 2.48%
Portfolio Turnover Rate....................................... 7%(D) 15% 18% 18% 9%
-------------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 9.41%
--------------------------------------------------------------------------
Net Assets, End of Period (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 accompanying Notes to Financial Statements.
291
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports. The Series are investment
companies, and accordingly, follow the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
Domestic Equity Portfolio International Equity Portfolios
------------------------- -------------------------------
The U.S. Large Cap Value Series The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Domestic Equity Portfolio and the International
Equity Portfolios, including over-the-counter securities, are valued at the
last quoted sale price of the day. International equity securities are subject
to a fair value factor, as described later in this note. Securities held by the
Domestic Equity Portfolio and the International Equity Portfolios that are
listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If
there is no last reported sale price or NOCP for the day, the Domestic Equity
Portfolio and the International Equity Portfolios value the securities within
the range of the most recent quoted bid and ask 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.
292
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Domestic Equity Portfolio and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Trustees of
the International Equity Portfolios has determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Equity Portfolios utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). When an
International Equity Portfolio uses fair value pricing, the values assigned to
the International Equity Portfolio's foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2018, 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 ask 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.
293
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2018, 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.
294
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2018, the Series'
investment management fees were accrued daily and paid monthly to the Advisor
based on the following effective annual rates of average daily net assets:
The U.S. Large Cap Value Series......... 0.10%
The DFA International Value Series...... 0.20%
The Japanese Small Company Series....... 0.10%
The Asia Pacific Small Company Series... 0.10%
The United Kingdom Small Company Series. 0.10%
The Continental Small Company Series.... 0.10%
The Canadian Small Company Series....... 0.10%
The Emerging Markets Series............. 0.10%
The Emerging Markets Small Cap Series... 0.20%
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of each Series' net assets.
During the six months ended April 30, 2018, expenses reduced were as follows
(amounts in thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series...... $183
The Japanese Small Company Series....... 17
The Asia Pacific Small Company Series... 7
The United Kingdom Small Company Series. 8
The Continental Small Company Series.... 46
The Canadian Small Company Series....... 6
The Emerging Markets Series............. 85
The Emerging Markets Small Cap Series... 53
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2018, the total related amounts paid by the
Trust to the CCO were $43 (in thousands). The total related amounts paid by
each of the Series are included in Other Expenses on the Statement of
Operations.
D. Deferred Compensation:
At April 30, 2018, 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......... $652
The DFA International Value Series...... 392
The Japanese Small Company Series....... 99
The Asia Pacific Small Company Series... 50
The United Kingdom Small Company Series. 64
The Continental Small Company Series.... 129
The Canadian Small Company Series....... 31
295
The Emerging Markets Series........... $161
The Emerging Markets Small Cap Series. 144
E. Purchases and Sales of Securities:
For the six months ended April 30, 2018, the Series' transactions related to
investment securities, other than short-term securities, in-kind redemptions
and U.S. government securities (amounts in thousands), were as follows:
Purchases Sales
---------- ----------
The U.S. Large Cap Value Series......... $2,176,121 $1,607,330
The DFA International Value Series...... 1,499,991 1,347,535
The Japanese Small Company Series....... 502,519 261,864
The Asia Pacific Small Company Series... 268,467 147,506
The United Kingdom Small Company Series. 187,781 147,491
The Continental Small Company Series.... 595,328 343,964
The Canadian Small Company Series....... 117,488 104,770
The Emerging Markets Series............. 342,805 893,878
The Emerging Markets Small Cap Series... 726,676 547,606
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
The U.S. Large Cap
Value Series
DFA Short Term
Investment Fund...... $522,421 $2,517,135 $2,408,097 $ (38) $(14) $ 631,407 54,572 $4,585
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $522,421 $2,517,135 $2,408,097 $ (38) $(14) $ 631,407 54,572 $4,585
The DFA International
Value Series
DFA Short Term
Investment Fund...... $593,861 $3,705,546 $3,211,443 $(139) $ 55 $1,087,880 94,026 $6,824
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $593,861 $3,705,546 $3,211,443 $(139) $ 55 $1,087,880 94,026 $6,824
The Japanese Small
Company Series
DFA Short Term
Investment Fund...... $399,385 $ 709,510 $ 835,786 $(132) $ 73 $ 273,050 23,600 $3,136
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $399,385 $ 709,510 $ 835,786 $(132) $ 73 $ 273,050 23,600 $3,136
The Asia Pacific
Small Company
Series
DFA Short Term
Investment Fund...... $257,951 $ 272,557 $ 325,636 $ (65) $ 39 $ 204,846 17,705 $1,773
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $257,951 $ 272,557 $ 325,636 $ (65) $ 39 $ 204,846 17,705 $1,773
The United Kingdom
Small Company
Series
DFA Short Term
Investment Fund...... $ 53,700 $ 258,299 $ 236,915 $ (10) $ -- $ 75,074 6,489 $ 554
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $ 53,700 $ 258,299 $ 236,915 $ (10) $ -- $ 75,074 6,489 $ 554
Capital Gain
Distributions
from
Affiliated
Investment
Companies
-------------
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................. --
296
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
The Continental Small
Company Series
DFA Short Term
Investment Fund...... $470,885 $1,106,444 $857,125 $(115) $ 81 $720,170 62,245 $4,176
-------- ---------- -------- ----- ---- -------- ------ ------
Total................. $470,885 $1,106,444 $857,125 $(115) $ 81 $720,170 62,245 $4,176
The Canadian Small
Company Series
DFA Short Term
Investment Fund...... $212,919 $ 401,106 $423,082 $ (18) $ (4) $190,921 16,501 $1,512
-------- ---------- -------- ----- ---- -------- ------ ------
Total................. $212,919 $ 401,106 $423,082 $ (18) $ (4) $190,921 16,501 $1,512
The Emerging Markets
Series
DFA Short Term
Investment Fund...... $202,669 $ 936,105 $865,787 $ (22) $ 9 $272,974 23,593 $1,948
-------- ---------- -------- ----- ---- -------- ------ ------
Total................. $202,669 $ 936,105 $865,787 $ (22) $ 9 $272,974 23,593 $1,948
The Emerging Markets
Small Cap Series
DFA Short Term
Investment Fund...... $584,551 $ 439,190 $479,275 $ (17) $(30) $544,419 47,054 $4,264
-------- ---------- -------- ----- ---- -------- ------ ------
Total................. $584,551 $ 439,190 $479,275 $ (17) $(30) $544,419 47,054 $4,264
Capital Gain
Distributions
from
Affiliated
Investment
Companies
-------------
The Continental Small
Company Series
DFA Short Term
Investment Fund...... --
--
Total................. --
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 April 30, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
The U.S. Large Cap Value Series......... $20,772,833 $9,324,903 $(601,549) $8,723,354
The DFA International Value Series...... 12,176,736 2,525,492 (438,297) 2,087,195
The Japanese Small Company Series....... 3,525,313 1,333,694 (196,385) 1,137,309
The Asia Pacific Small Company Series... 2,060,735 462,783 (353,852) 108,931
The United Kingdom Small Company Series. 2,060,141 664,558 (240,959) 423,599
The Continental Small Company Series.... 5,135,531 2,112,853 (425,554) 1,687,299
The Canadian Small Company Series....... 1,482,581 201,987 (316,642) (114,655)
The Emerging Markets Series............. 4,229,544 2,569,546 (238,253) 2,331,293
The Emerging Markets Small Cap Series... 7,079,407 2,098,490 (892,828) 1,205,662
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'
297
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.
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 listed 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 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) or to transfer balances from one currency to another currency.
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 April 30, 2018, the Series had no outstanding forward
currency contracts.
298
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amounts in
thousands):
Futures
-------
The U.S. Large Cap Value Series....... 197,143
The DFA International Value Series.... 105,057
The Asia Pacific Small Company Series. 1,169
The Emerging Markets Series........... 47,171
The Emerging Markets Small Cap Series. 49,079
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of April 30, 2018:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Equity contracts......... Receivables: Futures Payables: Futures Margin
Margin Variation Variation
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
Asset Derivatives Value
--------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
The DFA International Value Series.... $ 6 $ 6
The Emerging Markets Series........... 157 157
Liability Derivatives Value
--------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
The U.S. Large Cap Value Series....... $(6,839) $(6,839)
The DFA International Value Series.... (1,694) (1,694)
The Emerging Markets Series........... (1,827) (1,827)
The Emerging Markets Small Cap Series. (2,544) (2,544)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2018:
Location of Gain (Loss)
Derivative Type on Derivatives
--------------- ------------------------
Equity contracts Net Realized Gain (Loss)
on: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2018 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives
--------------------
Equity
Total Contracts
------- ---------
The U.S. Large Cap Value Series....... $21,852 $21,852
The DFA International Value Series.... 5,965 5,965
The Asia Pacific Small Company Series. (70) (70)*
The Continental Small Company Series.. 161 161*
The Emerging Markets Series........... 2,701 2,701
The Emerging Markets Small Cap Series. 4,060 4,060
299
Change in Unrealized
Appreciation (Depreciation)
on Derivatives
--------------------------
Equity
Total Contracts
-------- ---------
The U.S. Large Cap Value Series....... $(14,899) $(14,899)
The DFA International Value Series.... (4,571) (4,571)
The Emerging Markets Series........... (2,333) (2,333)
The Emerging Markets Small Cap Series. (3,676) (3,676)
* As of April 30, 2018, there were no futures contracts outstanding. During the
six months ended April 30, 2018, 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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
For the six months ended April 30, 2018, 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. 1.95% $ 2,738 6 $ 1 $ 4,310
The Asia Pacific Small Company
Series.......................... 2.13% 2,039 12 1 8,338
The United Kingdom Small Company
Series.......................... 2.17% 2,955 1 -- 2,955
The Canadian Small Company Series. 2.17% 103 3 -- 225
The Emerging Markets Series....... 2.01% 24,676 8 11 117,083
The Emerging Markets Small Cap
Series.......................... 1.99% 2,946 6 1 5,012
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 2018.
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
300
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. lnterfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Series did not utilize the interfund lending program during the six
months ended April 30, 2018.
I. Affiliated Trades:
Cross trades for the six months ended April 30, 2018, if any, were executed by
the Series pursuant to procedures adopted by the Board of Trustees of the Trust
to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940
(the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common trustees and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the six months ended April 30, 2018, 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....... $217,124 $63,445 $(6,312)
The DFA International Value Series.... 65,940 42,328 8,941
The Japanese Small Company Series..... 57,689 6,013 2,585
The Asia Pacific Small Company Series. 25,214 27,668 6,599
The Continental Small Company Series.. 35,178 12,904 5,559
The Canadian Small Company Series..... 21,416 5,453 606
The Emerging Markets Series........... 3,611 2,284 73
The Emerging Markets Small Cap Series. 11,171 3,655 1,954
J. Securities Lending:
As of April 30, 2018, 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....... $563,472
The DFA International Value Series.... 46,750
The Japanese Small Company Series..... 81,683
The Asia Pacific Small Company Series. 146,034
The Continental Small Company Series.. 118,443
The Canadian Small Company Series..... 7,225
The Emerging Markets Series........... 165,940
The Emerging Markets Small Cap Series. 603,672
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
301
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 April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
------------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
-------------- -------- ------------ -------- --------------
Securities Lending Transactions
The U.S. Large Cap Value Series
Common Stocks................... $ 631,406,902 -- -- -- $ 631,406,902
The DFA International Value
Series
Common Stocks................... 1,087,880,349 -- -- -- 1,087,880,349
The Japanese Small Company
Series
Common Stocks................... 273,050,068 -- -- -- 273,050,068
The Asia Pacific Small Company
Series
Common Stocks................... 204,845,502 -- -- -- 204,845,502
The United Kingdom Small
Company Series
Common Stocks................... 75,073,955 -- -- -- 75,073,955
The Continental Small Company
Series
Common Stocks, Preferred
Stocks, Rights/Warrants....... 720,169,955 -- -- -- 720,169,955
The Canadian Small Company
Series
Common Stocks................... 190,921,477 -- -- -- 190,921,477
The Emerging Markets Series
Common Stocks................... 272,974,500 -- -- -- 272,974,500
302
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
---------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
------------- -------- ------------ -------- ------------
The Emerging Markets Small Cap
Series
Common Stocks.................. $544,419,393 -- -- -- $544,419,393
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
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 (the
"Supreme Court") to review the Second Circuit's ruling, and that petition is
pending. Additionally, the individual creditor plaintiffs have moved the Second
Circuit to review its prior ruling in light of a recent decision by the Supreme
Court (in an unrelated case) regarding the scope of the Bankruptcy Code's safe
harbor for securities transactions; such review is pending.
On January 6, 2017, the Court granted the shareholder defendants' 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
303
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). Additionally, the Trustee has
requested leave from the District Court to file an amended complaint to assert
new claims against the shareholder defendants in light of the recent Supreme
Court decision addressing the scope of the Bankruptcy Code's safe harbor for
securities transactions; that request is pending.
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.
304
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
Dimensional Emerging Markets Value Fund
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,071.60 0.15% $0.77
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
305
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on March 29, 2018. 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....................... 8.4%
Consumer Staples............................. 3.2%
Energy....................................... 14.9%
Financials................................... 28.6%
Health Care.................................. 0.6%
Industrials.................................. 9.4%
Information Technology....................... 7.9%
Materials.................................... 18.1%
Real Estate.................................. 4.1%
Telecommunication Services................... 3.3%
Utilities.................................... 1.5%
-----
100.0%
306
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.2%)
BRAZIL -- (6.8%)
#* Petroleo Brasileiro SA Sponsored ADR................ 14,614,044 $ 205,911,880 1.0%
Vale SA............................................. 25,779,178 358,150,437 1.8%
Vale SA Sponsored ADR............................... 20,975,325 290,298,496 1.4%
Other Securities.................................... 553,050,789 2.8%
-------------- -----
TOTAL BRAZIL............................................ 1,407,411,602 7.0%
-------------- -----
CHILE -- (1.7%)
Other Securities.................................... 345,989,652 1.7%
-------------- -----
CHINA -- (17.1%)
Bank of China, Ltd. Class H......................... 398,265,817 216,191,056 1.1%
China Construction Bank Corp. Class H............... 446,135,101 467,397,237 2.3%
China Mobile, Ltd................................... 15,402,000 146,726,990 0.7%
China Overseas Land & Investment, Ltd............... 28,630,000 95,928,580 0.5%
China Petroleum & Chemical Corp. ADR................ 1,159,521 113,099,659 0.6%
China Petroleum & Chemical Corp. Class H............ 113,421,575 110,456,601 0.6%
China Resources Land, Ltd........................... 22,442,000 84,285,980 0.4%
#* China Unicom Hong Kong, Ltd. ADR.................... 6,768,426 94,961,017 0.5%
CNOOC, Ltd.......................................... 94,498,000 159,863,492 0.8%
Industrial & Commercial Bank of China, Ltd. Class H. 506,891,996 444,990,871 2.2%
PetroChina Co., Ltd. Class H........................ 147,646,000 108,795,781 0.6%
Other Securities.................................... 1,515,164,913 7.4%
-------------- -----
TOTAL CHINA............................................. 3,557,862,177 17.7%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities.................................... 40,350,803 0.2%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 40,665,071 0.2%
-------------- -----
GREECE -- (0.0%)
Other Securities.................................... 5,349,240 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 65,561 0.0%
-------------- -----
HUNGARY -- (0.3%)
Other Securities.................................... 63,731,408 0.3%
-------------- -----
INDIA -- (11.4%)
Axis Bank, Ltd...................................... 11,051,055 85,472,655 0.4%
Bharti Airtel, Ltd.................................. 13,689,037 83,764,411 0.4%
ICICI Bank, Ltd. Sponsored ADR...................... 10,946,768 93,156,995 0.5%
Larsen & Toubro, Ltd................................ 4,214,051 88,344,821 0.5%
Reliance Industries, Ltd............................ 34,030,289 489,161,967 2.4%
Vedanta, Ltd........................................ 19,014,264 84,414,582 0.4%
Other Securities.................................... 1,434,506,606 7.1%
-------------- -----
TOTAL INDIA............................................. 2,358,822,037 11.7%
-------------- -----
INDONESIA -- (2.4%)
Other Securities.................................... 502,750,632 2.5%
-------------- -----
MALAYSIA -- (2.8%)
Other Securities.................................... 583,316,226 2.9%
-------------- -----
307
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MEXICO -- (3.5%)
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 1,097,422 $ 106,076,810 0.5%
# Grupo Financiero Banorte S.A.B. de C.V.............. 18,991,148 118,767,978 0.6%
Grupo Mexico S.A.B. de C.V. Series B................ 39,241,344 129,922,871 0.7%
Other Securities.................................... 372,976,815 1.8%
-------------- -----
TOTAL MEXICO............................................ 727,744,474 3.6%
-------------- -----
PHILIPPINES -- (0.9%)
Other Securities.................................... 189,658,929 0.9%
-------------- -----
POLAND -- (1.3%)
Other Securities.................................... 269,523,084 1.3%
-------------- -----
RUSSIA -- (1.8%)
Gazprom PJSC Sponsored ADR.......................... 28,411,094 131,102,709 0.7%
Lukoil PJSC Sponsored ADR(BYZDW2900)................ 1,526,223 101,731,481 0.5%
Lukoil PJSC Sponsored ADR(BYZF386).................. 1,600,191 105,436,585 0.5%
Other Securities.................................... 36,120,727 0.2%
-------------- -----
TOTAL RUSSIA............................................ 374,391,502 1.9%
-------------- -----
SOUTH AFRICA -- (7.0%)
Barclays Africa Group, Ltd.......................... 7,309,742 107,067,795 0.5%
# MTN Group, Ltd...................................... 18,433,110 185,007,454 0.9%
Sasol, Ltd.......................................... 3,950,582 141,222,873 0.7%
Standard Bank Group, Ltd............................ 17,066,487 292,700,255 1.5%
Other Securities.................................... 729,030,620 3.6%
-------------- -----
TOTAL SOUTH AFRICA...................................... 1,455,028,997 7.2%
-------------- -----
SOUTH KOREA -- (17.3%)
Hana Financial Group, Inc........................... 3,234,305 143,710,459 0.7%
Hyundai Mobis Co., Ltd.............................. 619,429 143,449,561 0.7%
Hyundai Motor Co.................................... 1,477,708 220,396,859 1.1%
# KB Financial Group, Inc. ADR........................ 2,869,877 161,861,062 0.8%
LG Electronics, Inc................................. 1,598,413 151,559,589 0.8%
POSCO............................................... 622,870 214,616,504 1.1%
POSCO Sponsored ADR................................. 1,500,406 127,309,449 0.7%
Shinhan Financial Group Co., Ltd.................... 3,787,146 168,628,970 0.9%
SK Innovation Co., Ltd.............................. 879,496 161,164,347 0.8%
Other Securities.................................... 2,102,719,099 10.3%
-------------- -----
TOTAL SOUTH KOREA....................................... 3,595,415,899 17.9%
-------------- -----
TAIWAN -- (15.2%)
Cathay Financial Holding Co., Ltd................... 59,491,000 106,712,274 0.5%
# China Steel Corp.................................... 113,803,320 90,053,315 0.5%
CTBC Financial Holding Co., Ltd..................... 156,118,073 111,337,628 0.6%
First Financial Holding Co., Ltd.................... 127,821,158 87,878,011 0.5%
Fubon Financial Holding Co., Ltd.................... 90,265,471 154,431,296 0.8%
Hon Hai Precision Industry Co., Ltd................. 40,073,240 111,458,974 0.6%
Mega Financial Holding Co., Ltd..................... 123,127,796 108,698,083 0.6%
# United Microelectronics Corp........................ 201,966,681 108,914,955 0.6%
Other Securities.................................... 2,267,280,569 10.9%
-------------- -----
TOTAL TAIWAN............................................ 3,146,765,105 15.6%
-------------- -----
THAILAND -- (3.1%)
PTT PCL............................................. 143,475,500 256,855,695 1.3%
Other Securities.................................... 396,403,372 2.0%
-------------- -----
TOTAL THAILAND.......................................... 653,259,067 3.3%
-------------- -----
308
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TURKEY -- (1.2%)
Other Securities..................... $ 242,515,502 1.2%
--------------- ------
TOTAL COMMON STOCKS........................ 19,560,616,968 97.1%
--------------- ------
PREFERRED STOCKS -- (2.1%)
BRAZIL -- (2.0%)
* Petroleo Brasileiro SA............... 12,781,490 83,806,470 0.4%
#* Petroleo Brasileiro SA Sponsored ADR. 17,627,348 231,799,626 1.2%
Other Securities..................... 96,696,336 0.4%
--------------- ------
TOTAL BRAZIL............................... 412,302,432 2.0%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities..................... 17,072,504 0.1%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities..................... 498,903 0.0%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities..................... 2,391,478 0.0%
--------------- ------
TOTAL PREFERRED STOCKS..................... 432,265,317 2.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities..................... 1,253,777 0.0%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities..................... 157,009 0.0%
--------------- ------
TAIWAN -- (0.0%)
Other Securities..................... 26,921 0.0%
--------------- ------
THAILAND -- (0.0%)
Other Securities..................... 7,415 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS...................... 1,445,122 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES................ 19,994,327,407
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund....... 67,284,012 778,476,021 3.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,115,459,128)................. $20,772,803,428 103.1%
=============== ======
At April 30, 2018, 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 06/15/18 $39,371,948 $37,446,500 $(1,925,448)
S&P 500(R) Emini Index......... 65 06/15/18 8,570,821 8,602,750 31,929
----------- ----------- -----------
Total futures contracts........ $47,942,769 $46,049,250 $(1,893,519)
=========== =========== ===========
309
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of April 30, 2018, 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...................... $1,407,411,602 -- -- $ 1,407,411,602
Chile....................... 81,310,717 $ 264,678,935 -- 345,989,652
China....................... 316,497,901 3,241,364,276 -- 3,557,862,177
Colombia.................... 40,350,803 -- -- 40,350,803
Czech Republic.............. -- 40,665,071 -- 40,665,071
Greece...................... -- 5,349,240 -- 5,349,240
Hong Kong................... -- 65,561 -- 65,561
Hungary..................... -- 63,731,408 -- 63,731,408
India....................... 120,302,218 2,238,519,819 -- 2,358,822,037
Indonesia................... 2,037,387 500,713,245 -- 502,750,632
Malaysia.................... -- 583,316,226 -- 583,316,226
Mexico...................... 727,744,474 -- -- 727,744,474
Philippines................. -- 189,658,929 -- 189,658,929
Poland...................... -- 269,523,084 -- 269,523,084
Russia...................... 125,160,865 249,230,637 -- 374,391,502
South Africa................ 145,965,571 1,309,063,426 -- 1,455,028,997
South Korea................. 400,116,462 3,195,299,437 -- 3,595,415,899
Taiwan...................... 36,673,338 3,110,091,767 -- 3,146,765,105
Thailand.................... 653,200,259 58,808 -- 653,259,067
Turkey...................... -- 242,515,502 -- 242,515,502
Preferred Stocks
Brazil...................... 412,302,432 -- -- 412,302,432
Colombia.................... 17,072,504 -- -- 17,072,504
Malaysia.................... 498,903 -- -- 498,903
South Korea................. 2,391,478 -- -- 2,391,478
Rights/Warrants
Indonesia................... -- 1,253,777 -- 1,253,777
Malaysia.................... -- 157,009 -- 157,009
Taiwan...................... -- 26,921 -- 26,921
Thailand.................... -- 7,415 -- 7,415
Securities Lending Collateral. -- 778,476,021 -- 778,476,021
Futures Contracts**........... (1,893,519) -- -- (1,893,519)
-------------- --------------- -- ---------------
TOTAL......................... $4,487,143,395 $16,283,766,514 -- $20,770,909,909
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
310
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
ASSETS:
Investments at Value (including $1,259,869 of securities on loan)*............................. $19,994,327
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $778,436). 778,476
Segregated Cash for Futures Contracts.......................................................... 2,067
Foreign Currencies at Value.................................................................... 43,403
Cash........................................................................................... 44,086
Receivables:
Investment Securities Sold................................................................... 63,052
Dividends, Interest and Tax Reclaims......................................................... 1,532
Securities Lending Income.................................................................... 2,768
Prepaid Expenses and Other Assets.............................................................. 19
-----------
Total Assets.............................................................................. 20,929,730
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 778,510
Investment Securities Purchased.............................................................. 434
Due to Advisor............................................................................... 1,666
Futures Margin Variation..................................................................... 969
Accrued Expenses and Other Liabilities......................................................... 5,230
-----------
Total Liabilities......................................................................... 786,809
-----------
NET ASSETS..................................................................................... $20,142,921
===========
Investments at Cost............................................................................ $16,337,023
===========
Foreign Currencies at Cost..................................................................... $ 43,595
===========
----------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
311
DIMENSIONAL EMERGING MARKETS VALUE FUND#
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $21,354).......... $ 170,166
Income from Securities Lending................................ 14,518
----------
Total Investment Income.................................... 184,684
----------
Expenses
Investment Management Fees.................................... 10,057
Accounting & Transfer Agent Fees.............................. 443
Custodian Fees................................................ 4,174
Directors'/Trustees' Fees & Expenses.......................... 78
Professional Fees............................................. 257
Other......................................................... 347
----------
Total Expenses............................................. 15,356
----------
Fees Paid Indirectly (Note C)................................. (93)
----------
Net Expenses.................................................. 15,263
----------
Net Investment Income (Loss).................................. 169,421
----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 290,670
Affiliated Investment Companies Shares Sold................. (92)
Futures..................................................... 5,564
Foreign Currency Transactions............................... 1,015
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 913,973
Affiliated Investment Companies Shares...................... 21
Futures..................................................... (5,274)
Translation of Foreign Currency Denominated Amounts......... (99)
----------
Net Realized and Unrealized Gain (Loss)....................... 1,205,778
----------
Net Increase (Decrease) in Net Assets Resulting from Operations. $1,375,199
==========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
312
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional Emerging
Markets Value Fund
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 169,421 $ 475,435
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 290,670 (259,529)
Affiliated Investment Companies Shares Sold......................... (92) 1
Futures............................................................. 5,564 20,081
Foreign Currency Transactions....................................... 1,015 2,950
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 913,973 3,780,573
Affiliated Investment Companies Shares Sold......................... 21 (79)
Futures............................................................. (5,274) 3,775
Translation of Foreign Currency Denominated Amounts................. (99) (53)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 1,375,199 4,023,154
----------- -----------
Transactions in Interest:
Contributions......................................................... 567,350 842,290
Withdrawals........................................................... (1,411,839) (1,900,740)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.............. (844,489) (1,058,450)
----------- -----------
Total Increase (Decrease) in Net Assets............................ 530,710 2,964,704
Net Assets
Beginning of Period................................................... 19,612,211 16,647,507
----------- -----------
End of Period......................................................... $20,142,921 $19,612,211
=========== ===========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
313
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
Dimensional Emerging Markets Value Fund
---------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------
(Unaudited)
-----------------------------------------------------------------------------------------------------------------------------
Total Return.............................. 7.16%(D) 24.89% 15.80% (17.95)% (1.09)% 8.43%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $20,142,921 $19,612,211 $16,647,507 $15,088,058 $18,927,517 $19,427,286
Ratio of Expenses to Average Net Assets... 0.15%(E) 0.16% 0.16% 0.15% 0.15% 0.16%
Ratio of Expenses to Average Net Assets
(Excluding (Fees Paid Indirectly))....... 0.15%(E) 0.16% 0.16% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average
Net Assets............................... 1.68%(E) 2.64% 2.72% 2.54% 2.76% 2.32%
Portfolio Turnover Rate................... 5%(D) 14% 12% 14% 12% 6%
-----------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
314
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Emerging Markets Value Fund (the "Fund") is an open-end
management investment company registered under the Investment Company Act of
1940. The Fund meets the definition as an investment company and follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies." The Fund consists of one series.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Fund utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
Securities held by the Fund, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq
Official Closing Price ("NOCP"). If there is no last reported sale price or
NOCP for the day, the Fund values the securities within the range of the most
recent quoted bid and ask 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
315
securities exchanges and the time the Fund prices its shares at the close of
the NYSE, the Fund will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the Fund's foreign investments since the last closing prices of
the foreign investments were calculated on their primary foreign securities
markets or exchanges. For these purposes, the Board of Trustees of the Fund has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the Fund utilizes data furnished by an independent pricing service (and that
data draws upon, among other information, the market values of foreign
investments). When the Fund uses fair value pricing, the values assigned to the
foreign investments may not be the quoted or published prices of the
investments on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Fund are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund's investments by each major
security type, industry and/or country is disclosed previously in this note. A
valuation hierarchy table has been included at the end of the Summary Schedule
of Portfolio Holdings. The inputs or methodology used for valuing securities
are not necessarily an indication of the risk associated with investing in
those securities.
For the six months ended April 30, 2018, 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 ask prices for the U.S. dollar as quoted by generally recognized
reliable sources. Dividend and interest income and certain expenses are
translated to U.S. dollars at the rate of exchange on their respective accrual
dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Fund does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Fund
and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Fund may elect
participation in The Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses. At April 30,
2018, 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 $620 (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
316
first deferral election. If a Trustee who elects to defer fees fails to
designate in the Notice a time or date as of which payment of the Trustee's
deferred fee account shall commence, payment of such amount shall commence as
of the first business day of January following the year in which the Trustee
ceases to be a member of the Board (unless the Trustee files an amended Notice
selecting a different distribution date). As of April 30, 2018, none of the
Trustees have requested or received a distribution of proceeds of a deferred
fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Fund estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to the Fund are directly charged.
The Fund may be subject to taxes imposed by countries in which it invests,
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Fund's investments in Chile are subject to governmental taxes on
investment income. Such taxes are due when currencies are repatriated from the
country. The Fund accrues for taxes on income as the income is earned.
The Fund is subject to a 15% tax on short-term capital gains for investments
in India. Such taxes are due upon sale of individual securities. The capital
gains taxes are recognized when the capital gains are earned.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Fund. For the six months ended April 30, 2018, 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 six months ended April 30, 2018, expenses reduced were $93 (amount
in thousands).
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Fund; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For
the six months ended April 30, 2018, the total related amounts paid by the Fund
to the CCO were $8 (in thousands). The total related amounts paid by the Fund
are included in Other Expenses on the Statement of Operations.
D. Purchases and Sales of Securities:
For the six months ended April 30, 2018, the Fund's transactions related to
investment securities, other than short-term securities, in-kind redemptions
and U.S. government securities (amounts in thousands), were as follows:
Purchases Sales
---------- ----------
Dimensional Emerging Markets Value Fund. $1,096,902 $1,726,689
317
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
Dimensional Emerging
Markets Value Fund
DFA Short Term
Investment Fund..... $591,907 $2,111,738 $1,925,098 $(92) $21 $778,476 67,284 $6
-------- ---------- ---------- ---- --- -------- ------ --
Total................ $591,907 $2,111,738 $1,925,098 $(92) $21 $778,476 67,284 $6
======== ========== ========== ==== === ======== ====== ==
Capital Gain
Distributions
from
Affiliated
Investment
Companies
-------------
Dimensional Emerging
Markets Value Fund
DFA Short Term
Investment Fund..... $ --
----
Total................ $ --
====
E. Federal Income Taxes:
No provision for federal income taxes is required since the Fund is treated
as a partnership for federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
At April 30, 2018, 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)
----------- ------------ ------------ --------------
Dimensional Emerging Markets Value Fund. $17,250,881 $5,263,190 $(1,743,161) $3,520,029
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.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Fund.
318
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) or to transfer
balances from one currency to another currency.
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 April 30, 2018, the Fund had no outstanding forward
currency contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amounts in
thousands):
Futures
-------
Dimensional Emerging Markets Value Fund. 106,035
The following is a summary of the location of derivatives on the Fund's
Statements of Assets and Liabilities as of April 30, 2018:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Equity contracts Receivables: Futures Payables: Futures
Margin Variation Margin Variation
319
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
Asset Derivatives Value
- --------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
Dimensional Emerging Markets Value Fund. $ 32 $ 32
Liability Derivatives Value
--------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
Dimensional Emerging Markets Value Fund. $(1,925) $(1,925)
* 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 Fund's Statements of
Operations of realized and change in unrealized gains and losses from the
Fund's derivative instrument holdings through the six months ended April 30,
2018:
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 for the six months ended April 30, 2018 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives
------------------------
Equity
Total Contracts
------- ---------
Dimensional Emerging Markets Value Fund. $ 5,564 $ 5,564
Change in Unrealized
Appreciation (Depreciation) on
Derivatives
------------------------
Equity
Total Contracts
------- ---------
Dimensional Emerging Markets Value Fund. $(5,274) $(5,274)
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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment
320
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 4, 2019.
For the six months ended April 30, 2018, borrowings by the Fund under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
Dimensional Emerging Markets Value
Fund............................. 2.28% $27,068 23 $35 $106,083
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, 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 April 30, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Fund may
participate in an interfund lending program among certain portfolios managed by
the Advisor (portfolios that operate as feeder funds do not participate in the
program). The program allows the participating portfolios to borrow money from
and loan money to each other for temporary or emergency purposes, subject to
the conditions in the Order. A loan can only be made through the program if the
interfund loan rate on that day is more favorable to both the borrowing and
lending portfolios as compared to rates available through short-term bank loans
or investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objectives and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice.
The Fund did not utilize the interfund lending program during the six months
ended April 30, 2018.
H. Affiliated Trades:
Cross trades for the six months ended April 30, 2018, 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 six months ended April 30, 2018, cross trades by the Fund under Rule
17a-7 were as follows (amounts in thousands):
Realized
Gain
Portfolio Purchases Sales (Loss)
--------- --------- ------ --------
Dimensional Emerging Markets Value Fund. $4,372 $6,150 $554
I. Securities Lending:
As of April 30, 2018, 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 as
follows (amount in thousands):
Market
Value
--------
Dimensional Emerging Markets Value Fund. $605,495
321
The Fund invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Fund's
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Fund or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Fund could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policy, the Fund will generally invest the
cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average 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 April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
---------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
------------- -------- ------------ -------- ------------
Securities Lending Transactions
Dimensional Emerging Markets
Value Fund
Common Stocks................... $778,476,021 -- -- -- $778,476,021
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call
322
date. The ASU is effective for annual periods beginning after December 15,
2018, and interim periods within those annual periods. At this time, management
is evaluating the implications of these changes on the financial statements.
L. Other:
The Fund is subject to claims and suits that arise from time to time in the
ordinary course of business (for example, in The Tribune Company Bankruptcy,
certain creditors have filed actions against all shareholders of The Tribune
Company who tendered shares when the Tribune Company went private in 2007 in a
leveraged buy-out transaction, seeking the return of proceeds received by the
shareholders). 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.
M. 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.
323
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.
324
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2017 (the "Meeting"), the Boards
of Directors of DFA Investment Dimensions Group Inc. and Dimensional Investment
Group Inc., and the Boards of Trustees of The DFA Investment Trust Company and
Dimensional Emerging Markets Value Fund (together, the "Board") considered the
continuation of the investment management agreements for each portfolio/series
(collectively, the "Funds") and, if applicable, a Fund's sub-advisory
agreements. For certain Funds, Dimensional Fund Advisors Ltd. or DFA Australia
Limited serves as a sub-advisor. (The investment management agreements and the
sub-advisory agreements are referred to as the "Management Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members sent
to the Advisor a request for information, which identified the information that
the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering the
continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the Advisor
to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment global advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Morningstar
Reports, which compared the performance of each Fund with other funds in its
respective peer group and investment category. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board determined, among other things, that after
considering each Fund's investment strategies and the expectations of its
shareholder base, the performance of each Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering the
reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
The Board considered the profitability of each Fund to the Advisor by reviewing
the profitability analysis provided by the Advisor, including information about
its fee revenues and income. The Board reviewed the overall profitability of
the Advisor, and the compensation that it received for providing services to
each Fund. The Board considered the profitability to the Advisor of managing
and servicing the Funds and the Advisor's unregistered clients, such as
collective trusts, group trusts and separate accounts. Upon closely examining
the Advisor's profitability, the Board concluded, among other things, that it
was reasonable.
The Board also discussed whether economies of scale are realized by the Advisor
with respect to each Fund as it grows larger, and the extent to which this is
reflected in the level of management fees charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of management fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single factor
identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
325
DFA043018-001S
[LOGO] 00211511
[LOGO]
Semi-Annual Report
SIX MONTHS ENDED: APRIL 30, 2018 (UNAUDITED)
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II
[LOGO]
June 2018
Dear Fellow Shareholder,
Sound investment solutions based on financial science are at the heart of
Dimensional. Just as important is our commitment to serving our clients. We
take great pride in the many longstanding clients we have had the honor of
working with over the last four decades.
Delivering great investment experiences informs everything we do, from the
design of our strategies to the ways that we explain our approach and set
expectations. We place tremendous value on helping our clients understand what
they can expect from us. By being transparent about what we can deliver, and
following through with robust investment strategies, we help clients achieve
their financial goals.
David Booth, our founder, often speaks of his satisfaction and joy in helping
change the investor landscape for the better. We share this passion and, on
behalf of everyone at Dimensional, we thank you for trusting us with your
investments.
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.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES......... 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses..................... 2
Disclosure of Portfolio Holdings................ 3
Schedule of Investments
U.S. Large Cap Value Portfolio II........... 4
Statement of Assets and Liabilities............. 5
Statement of Operations......................... 6
Statement of Changes in Net Assets.............. 7
Financial Highlights............................ 8
Notes to Financial Statements................... 9
Section 19(a) Notice............................ 15
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses..................... 16
Disclosure of Portfolio Holdings................ 17
Summary Schedule of Portfolio Holdings 18
The U.S. Large Cap Value Series............. 18
Statement of Assets and Liabilities............. 21
Statement of Operations......................... 22
Statement of Changes in Net Assets.............. 23
Financial Highlights............................ 24
Notes to Financial Statements................... 25
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........ 33
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS. 34
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULE OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
--------------------------------------------------------------
Investment Abbreviations
P.L.C. Public Limited Company
Investment Footnotes
+ 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 Fund.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table 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 APRIL 30, 2018
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP VALUE PORTFOLIO II**
-----------------------------------
Actual Fund Return.................. $1,000.00 $1,036.50 0.14% $0.71
Hypothetical 5% Annual Return....... $1,000.00 $1,024.10 0.14% $0.70
----------
* 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 (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
2
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 29, 2018. 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 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%
3
U.S. LARGE CAP VALUE PORTFOLIO II
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company.................... $180,690,728
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $180,690,728
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
4
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. LARGE CAP
VALUE PORTFOLIO II
------------------
ASSETS:
Investments in Affiliated Investment Company at Value.................................. $ 180,691
Receivables:
Prepaid Expenses and Other Assets...................................................... 9
------------
Total Assets...................................................................... 180,700
------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 10
Due to Advisor....................................................................... 1
Accrued Expenses and Other Liabilities................................................. 12
------------
Total Liabilities................................................................. 23
------------
NET ASSETS............................................................................. $ 180,677
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 9,915,758
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 18.22
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 98,884
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 418
Accumulated Net Realized Gain (Loss)................................................... 4,984
Net Unrealized Appreciation (Depreciation)............................................. 76,391
NET ASSETS............................................................................. $ 180,677
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000
============
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP
VALUE PORTFOLIO II*#
--------------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends............................................................................... $2,045
Income from Securities Lending.......................................................... 8
Expenses Allocated from Affiliated Investment Company................................... (100)
------
Total Investment Income................................................................ 1,953
------
FUND EXPENSES
Investment Management Fees................................................................ 101
Accounting & Transfer Agent Fees.......................................................... 2
Filing Fees............................................................................... 10
Shareholders' Reports..................................................................... 5
Directors'/Trustees' Fees & Expenses...................................................... 1
Legal Fees................................................................................ 1
Other..................................................................................... 1
------
Total Expenses......................................................................... 121
------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. (92)
------
Net Expenses.............................................................................. 29
------
NET INVESTMENT INCOME (LOSS).............................................................. 1,924
------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company**............................. 5,070
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company............................... (542)
------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... 4,528
------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $6,452
======
----------
* 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.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP
VALUE PORTFOLIO II
--------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
----------- --------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................................................... $ 1,924 $ 3,660
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company*......................... 5,070 13,422
Futures............................................................................ -- 155
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company.......................... (542) 18,516
Futures............................................................................ -- 29
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 6,452 35,782
-------- --------
Distributions From:
Net Investment Income................................................................ (1,853) (3,645)
Net Short-Term Gains................................................................. (809) --
Net Long-Term Gains.................................................................. (12,879) (4,824)
-------- --------
Total Distributions............................................................... (15,541) (8,469)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................................................ 10,850 16,134
Shares Issued in Lieu of Cash Distributions.......................................... 15,542 8,469
Shares Redeemed...................................................................... (13,491) (26,222)
-------- --------
Net Increase (Decrease) from Capital Share Transactions........................... 12,901 (1,619)
-------- --------
Total Increase (Decrease) in Net Assets........................................... 3,812 25,694
NET ASSETS
Beginning of Period.................................................................. 176,865 151,171
-------- --------
End of Period........................................................................ $180,677 $176,865
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................................ 570 896
Shares Issued in Lieu of Cash Distributions.......................................... 842 477
Shares Redeemed...................................................................... (712) (1,466)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 700 (93)
======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ 418 $ 347
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
-------------
SIX MONTHS
ENDED
APRIL 30,
2018
-------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period........................................ $ 19.19
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.20
Net Gains (Losses) on Securities (Realized and Unrealized)................ (0.49)
--------
Total from Investment Operations......................................... (0.29)
-------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.19)
Net Realized Gains........................................................ (0.49)
--------
Total Distributions...................................................... (0.68)
-------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................................. $ 18.22
============================================================================ ===========
Total Return................................................................ 3.65%(C)
-------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................................... $180,677
Ratio of Expenses to Average Net Assets (B)................................. 0.14%(D)
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor (B)........ 0.24%(D)
Ratio of Net Investment Income to Average Net Assets (B).................... 2.09%(D)
-------------------------------------------------------------------------------------------
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 Period........................................ $ 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 Period.............................................. $ 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 Period (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%
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twelve portfolios, one of
which, U.S. Large Cap Value 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 U.S. Large Cap Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At April 30, 2018, the Portfolio owned 1% of the Series. The financial
statements of the Series are included elsewhere in this report and should be
read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolio.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio;
9
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, 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.
During the six months ended April 30, 2018, the Portfolio's investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.11% of the Portfolio's average daily net assets.
Waived fees during the six months ended April 30, 2018 are reflected below
(amount in thousands).
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of the Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by the
Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market Series"), to the rate listed below as a percentage of the average
net assets of a class of the Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
NET WAIVED
PREVIOUSLY FEES/EXPENSES
RECOVERY WAIVED FEES/ ASSUMED (RECOVERED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED PREVIOUSLY WAIVED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE FEES/EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
-------------------------- ---------- ---------------- ----------------- ------------------
U.S. Large Cap Value Portfolio II. 0.11% -- -- $92
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $16 (in thousands). The total related amount paid by the
Portfolio is included in Other Expenses on the Statement of Operations.
10
D. DEFERRED COMPENSATION:
At April 30, 2018, 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
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)
--------------- -------------- --------------
U.S. Large Cap Value Portfolio II. -- $2 $(2)
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
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
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 did not have any capital loss carryforwards available to offset
future realized capital gains.
11
At April 30, 2018, 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. $103,140 $77,551 -- $77,551
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 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. Upon entering
into a futures contract, the Portfolio deposits cash or pledges U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Portfolio as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
Portfolio records a realized 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.
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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
12
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
There were no borrowings by the Portfolio under the lines of credit during
the six months ended April 30, 2018.
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
J. OTHER:
At April 30, 2018, the following number of shareholders held the following
approximate percentages of the Portfolio's 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%
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The 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
13
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 (the
"Supreme Court") to review the Second Circuit's ruling, and that petition is
pending. Additionally, the individual creditor plaintiffs have moved the Second
Circuit to review its prior ruling in light of a recent decision by the Supreme
Court (in an unrelated case) regarding the scope of the Bankruptcy Code's safe
harbor for securities transactions; such review is pending. On January 6, 2017,
the Court granted the shareholder defendants' 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). Additionally, the Trustee has requested leave from the
District Court to file an amended complaint to assert new claims against the
shareholder defendants in light of the recent Supreme Court decision addressing
the scope of the Bankruptcy Code's safe harbor for securities transactions;
that request is pending.
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:
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.
14
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 Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------
NET INCOME
FOR THE
CURRENT OR ACCUMULATED
PRECEDING UNDISTRIBUTED
FISCAL YEAR, NET PROFITS PAID-IN
AND FROM THE SALE SURPLUS OR
ACCUMULATED OF SECURITIES OTHER
UNDISTRIBUTED OR OTHER CAPITAL
PORTFOLIO NAME NET INCOME PROPERTIES SOURCE
-------------- ------------- ------------- ----------
U.S. Large Cap Value Portfolio II
December 15, 2017.............. 95% 0% 5%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
15
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table 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 Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2018
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
-
Actual Fund Return............ $1,000.00 $1,036.70 0.11% $0.56
Hypothetical 5% Annual Return. $1,000.00 $1,024.25 0.11% $0.55
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
16
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 29, 2018. 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 EQUITY PORTFOLIO
THE U.S. LARGE CAP VALUE SERIES
Consumer Discretionary....................... 12.3%
Consumer Staples............................. 5.1%
Energy....................................... 13.7%
Financials................................... 24.4%
Health Care.................................. 14.5%
Industrials.................................. 7.7%
Information Technology....................... 14.2%
Materials.................................... 3.9%
Real Estate.................................. 0.2%
Telecommunication Services................... 3.9%
Utilities.................................... 0.1%
-----
100.0%
17
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.9%)
Consumer Discretionary -- (11.9%)
* Charter Communications, Inc. Class A..... 962,932 $ 261,233,822 0.9%
Comcast Corp. Class A.................... 21,576,111 677,274,124 2.3%
Ford Motor Co............................ 16,051,999 180,424,469 0.6%
General Motors Co........................ 6,055,833 222,491,304 0.8%
Royal Caribbean Cruises, Ltd............. 1,271,015 137,511,113 0.5%
Time Warner, Inc......................... 3,836,070 363,659,436 1.3%
Other Securities......................... 1,680,203,335 5.8%
-------------- ------
Total Consumer Discretionary................. 3,522,797,603 12.2%
-------------- ------
Consumer Staples -- (4.9%)
Mondelez International, Inc. Class A..... 3,576,652 141,277,754 0.5%
Tyson Foods, Inc. Class A................ 1,959,828 137,383,943 0.5%
Walgreens Boots Alliance, Inc............ 3,030,389 201,369,349 0.7%
Walmart, Inc............................. 5,689,778 503,317,762 1.7%
Other Securities......................... 475,589,016 1.7%
-------------- ------
Total Consumer Staples....................... 1,458,937,824 5.1%
-------------- ------
Energy -- (13.3%)
Andeavor................................. 1,297,132 179,419,298 0.6%
Chevron Corp............................. 5,879,241 735,551,842 2.5%
ConocoPhillips........................... 2,949,628 193,200,634 0.7%
Exxon Mobil Corp......................... 13,357,412 1,038,538,783 3.6%
Marathon Petroleum Corp.................. 2,321,313 173,889,557 0.6%
Occidental Petroleum Corp................ 2,538,795 196,147,302 0.7%
Valero Energy Corp....................... 2,730,237 302,865,190 1.1%
Other Securities......................... 1,095,405,202 3.8%
-------------- ------
Total Energy................................. 3,915,017,808 13.6%
-------------- ------
Financials -- (23.6%)
Bank of America Corp..................... 20,209,612 604,671,591 2.1%
Bank of New York Mellon Corp. (The)...... 4,465,867 243,434,410 0.8%
* Berkshire Hathaway, Inc. Class B......... 995,133 192,787,116 0.7%
Capital One Financial Corp............... 2,121,634 192,262,473 0.7%
Citigroup, Inc........................... 5,962,612 407,067,521 1.4%
Goldman Sachs Group, Inc. (The).......... 1,092,193 260,302,358 0.9%
JPMorgan Chase & Co...................... 11,108,809 1,208,416,243 4.2%
Morgan Stanley........................... 5,338,744 275,585,965 1.0%
PNC Financial Services Group, Inc. (The). 1,331,289 193,848,991 0.7%
Travelers Cos., Inc. (The)............... 1,165,331 153,357,560 0.5%
Wells Fargo & Co......................... 18,696,506 971,470,452 3.4%
Other Securities......................... 2,273,627,768 7.8%
-------------- ------
Total Financials............................. 6,976,832,448 24.2%
-------------- ------
Health Care -- (14.1%)
Abbott Laboratories...................... 4,212,247 244,857,918 0.9%
Aetna, Inc............................... 1,816,031 325,160,351 1.1%
Anthem, Inc.............................. 1,376,563 324,855,102 1.1%
CVS Health Corp.......................... 4,700,064 328,205,469 1.1%
Danaher Corp............................. 1,838,784 184,466,811 0.6%
* Express Scripts Holding Co............... 2,740,464 207,453,125 0.7%
Humana, Inc.............................. 674,755 198,499,426 0.7%
Medtronic P.L.C.......................... 4,282,974 343,194,707 1.2%
Pfizer, Inc.............................. 20,880,631 764,439,901 2.7%
18
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc................................. 1,050,474 $ 220,967,206 0.8%
Other Securities.............................................. 1,009,820,121 3.5%
--------------- ------
Total Health Care................................................... 4,151,920,137 14.4%
--------------- ------
Industrials -- (7.5%)
Delta Air Lines, Inc.......................................... 2,950,569 154,078,713 0.5%
Norfolk Southern Corp......................................... 1,385,379 198,760,325 0.7%
Stanley Black & Decker, Inc................................... 1,078,968 152,771,079 0.5%
Other Securities.............................................. 1,698,906,222 5.9%
--------------- ------
Total Industrials................................................... 2,204,516,339 7.6%
--------------- ------
Information Technology -- (13.7%)
Cisco Systems, Inc............................................ 18,075,606 800,568,590 2.8%
Hewlett Packard Enterprise Co................................. 8,708,938 148,487,393 0.5%
HP, Inc....................................................... 9,619,949 206,732,704 0.7%
Intel Corp.................................................... 23,083,456 1,191,567,999 4.1%
* Micron Technology, Inc........................................ 5,266,057 242,133,301 0.8%
QUALCOMM, Inc................................................. 5,066,475 258,440,890 0.9%
Other Securities.............................................. 1,201,389,237 4.2%
--------------- ------
Total Information Technology........................................ 4,049,320,114 14.0%
--------------- ------
Materials -- (3.8%)
DowDuPont, Inc................................................ 2,259,347 142,881,104 0.5%
# Nucor Corp.................................................... 2,491,419 153,521,239 0.5%
Other Securities.............................................. 815,715,009 2.8%
--------------- ------
Total Materials..................................................... 1,112,117,352 3.8%
--------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 45,272,636 0.2%
--------------- ------
Telecommunication Services -- (3.8%)
AT&T, Inc..................................................... 29,042,432 949,687,527 3.3%
Other Securities.............................................. 167,564,793 0.6%
--------------- ------
Total Telecommunication Services.................................... 1,117,252,320 3.9%
--------------- ------
Utilities -- (0.1%)
Other Securities.............................................. 44,808,268 0.2%
--------------- ------
TOTAL COMMON STOCKS................................................. 28,598,792,849 99.2%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 28,598,792,849
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 272,826,637 272,826,637 0.9%
--------------- ------
SECURITIES LENDING COLLATERAL -- (2.2%)
(S)@ DFA Short Term Investment Fund................................ 54,572,766 631,406,902 2.2%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $20,591,542,665).......................................... $29,503,026,388 102.3%
=============== ======
19
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
At April 30, 2018, 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(R) Emini Index.. 1,505 06/15/18 $206,026,096 $199,186,750 $(6,839,346)
------------ ------------ ------------
TOTAL FUTURES CONTRACTS. $206,026,096 $199,186,750 $(6,839,346)
============ ============ ============
Summary of the Series' investments as of April 30, 2018, 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...... $3,522,797,603 -- -- $3,522,797,603
Consumer Staples............ 1,458,937,824 -- -- 1,458,937,824
Energy...................... 3,915,017,808 -- -- 3,915,017,808
Financials.................. 6,976,832,448 -- -- 6,976,832,448
Health Care................. 4,151,920,137 -- -- 4,151,920,137
Industrials................. 2,204,516,339 -- -- 2,204,516,339
Information Technology...... 4,049,320,114 -- -- 4,049,320,114
Materials................... 1,112,117,352 -- -- 1,112,117,352
Real Estate................. 45,272,636 -- -- 45,272,636
Telecommunication Services.. 1,117,252,320 -- -- 1,117,252,320
Utilities................... 44,808,268 -- -- 44,808,268
Temporary Cash Investments.... 272,826,637 -- -- 272,826,637
Securities Lending Collateral. -- $631,406,902 -- 631,406,902
Futures Contracts**........... (6,839,346) -- -- (6,839,346)
--------------- ------------ -- ---------------
TOTAL......................... $28,864,780,140 $631,406,902 -- $29,496,187,042
=============== ============ == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
20
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S.
LARGE CAP
VALUE SERIES*
-------------
ASSETS:
Investments at Value (including $1,160,315 of securities on loan, respectively)................ $28,598,793
Temporary Cash Investments at Value & Cost..................................................... 272,827
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $631,384). 631,407
Segregated Cash for Futures Contracts.......................................................... 8,729
Receivables:
Investment Securities Sold................................................................... 21,567
Dividends and Interest....................................................................... 30,837
Securities Lending Income.................................................................... 198
Prepaid Expenses and Other Assets.............................................................. 26
-----------
Total Assets.............................................................................. 29,564,384
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 631,403
Investment Securities Purchased.............................................................. 76,946
Due to Advisor............................................................................... 2,385
Futures Margin Variation..................................................................... 1,836
Accrued Expenses and Other Liabilities......................................................... 1,373
-----------
Total Liabilities......................................................................... 713,943
-----------
NET ASSETS..................................................................................... $28,850,441
===========
Investments at Cost............................................................................ $19,687,331
===========
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
21
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S.
LARGE CAP
VALUE SERIES#
-------------
INVESTMENT INCOME
Dividends..................................................... $ 320,493
Income from Securities Lending................................ 1,222
----------
Total Investment Income.................................... 321,715
----------
EXPENSES
Investment Management Fees.................................... 14,450
Accounting & Transfer Agent Fees.............................. 598
Custodian Fees................................................ 130
Directors'/Trustees' Fees & Expenses.......................... 111
Professional Fees............................................. 175
Other......................................................... 285
----------
Total Expenses............................................. 15,749
----------
Net Expenses.................................................. 15,749
----------
NET INVESTMENT INCOME (LOSS).................................. 305,966
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 577,939
Affiliated Investment Companies Shares Sold................. (38)
Futures..................................................... 21,852
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................... 121,705
Affiliated Investment Companies Shares...................... (14)
Futures..................................................... (14,899)
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 706,545
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $1,012,511
==========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
22
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP
VALUE SERIES
------------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 305,966 $ 540,980
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 577,939 1,415,252
Affiliated Investment Companies Shares Sold......................... (38) (4)
Futures............................................................. 21,852 22,013
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... 121,705 3,199,777
Affiliated Investment Companies Shares Sold......................... (14) (95)
Futures............................................................. (14,899) 11,932
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 1,012,511 5,189,855
----------- -----------
Transactions in Interest:
Contributions......................................................... 1,218,206 2,626,519
Withdrawals........................................................... (1,056,822) (1,056,396)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.............. 161,384 1,570,123
----------- -----------
Total Increase (Decrease) in Net Assets............................ 1,173,895 6,759,978
----------- -----------
NET ASSETS
Beginning of Period................................................... 27,676,546 20,916,568
----------- -----------
End of Period......................................................... $28,850,441 $27,676,546
=========== ===========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
23
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014
--------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Total Return......................................... 3.67%(D) 24.31% 4.75% 1.32% 15.67%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $28,850,441 $27,676,546 $20,916,568 $19,094,057 $18,376,682
Ratio of Expenses to Average Net Assets.............. 0.11%(E) 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets. 2.12%(E) 2.19% 2.39% 2.20% 1.90%
Portfolio Turnover Rate.............................. 6%(D) 15% 15% 16% 15%
--------------------------------------------------------------------------------------------------------------------------
------------
YEAR
ENDED
OCT. 31,
2013
------------------------------------------------------------------
Total Return......................................... 35.68%
------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $14,838,988
Ratio of Expenses to Average Net Assets.............. 0.11%
Ratio of Net Investment Income to Average Net Assets. 1.98%
Portfolio Turnover Rate.............................. 15%
------------------------------------------------------------------
See accompanying Notes to Financial Statements.
24
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, one of which, The U.S. Large
Cap Value 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 ask 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.
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.
25
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2018, none of the Trustees have requested
or received a distribution of proceeds of a deferred fee account.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities 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.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2018, the 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 U.S. Large
Cap Value 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 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 the Series' net assets.
During the six months ended April 30, 2018, there were no fees paid indirectly.
26
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2018, the total related amounts paid by the
Trust to the CCO were $43 (in thousands). The total related amount paid by the
Series is included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2018, 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 (amount in thousands):
The U.S. Large Cap Value Series. $652
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2018, the Series made the following
purchases and sales of investment securities, other than short-term securities,
in-kind redemptions and U.S. government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series. $2,176,121 $1,607,330
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
NET REALIZED
GAIN/ DIVIDEND
(LOSS) ON INCOME
SALES OF CHANGE IN FROM
PROCEEDS AFFILIATED UNREALIZED SHARES AFFILIATED
BALANCE AT PURCHASES FROM INVESTMENT APPRECIATION/ BALANCE AT AS OF INVESTMENT
10/31/17 AT COST SALES COMPANIES DEPRECIATION 04/30/18 04/30/18 COMPANIES
---------- ---------- ---------- ------------ ------------- ---------- -------- ----------
THE U.S. LARGE CAP VALUE SERIES
DFA Short Term Investment
Fund..................... $522,421 $2,517,135 $2,408,097 $(38) $(14) $631,407 54,572 $4,585
-------- ---------- ---------- ---- ---- -------- ------ ------
TOTAL..................... $522,421 $2,517,135 $2,408,097 $(38) $(14) $631,407 54,572 $4,585
======== ========== ========== ==== ==== ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
COMPANIES
-------------
THE U.S. LARGE CAP VALUE SERIES
DFA Short Term Investment
Fund..................... --
--
TOTAL..................... --
==
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to its partners.
At April 30, 2018, 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. $20,772,833 $9,324,903 $(601,549) $8,723,354
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.
27
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.
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:
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
1. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, does not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series records a realized gain or loss, which is presented in the Statements of
Operations as a net realized gain or loss on futures, equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
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 six months ended April 30, 2018 (amounts in
thousands):
FUTURES
-------
The U.S. Large Cap Value Series. 197,143
The following is a summary of the location of derivatives on the Series'
Statement of Assets and Liabilities as of April 30, 2018:
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
----------------------------------------------------
DERIVATIVE TYPE LIABILITY DERIVATIVES
--------------- ----------------------------------------------------
Equity contracts Payables: Futures
Margin Variation
28
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE AT EQUITY
APRIL 30, 2018 CONTRACTS*
- -------------- ----------
The U.S. Large Cap Value Series. $(6,839) $(6,839)
* 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 Series' Statement of
Operations of realized and change in unrealized gains and losses from the
Series' derivative investment holdings for the six months ended April 30, 2018:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2018 (amounts in
thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES
----------------------------------
TOTAL EQUITY CONTRACTS
-------- ----------------
The U.S. Large Cap Value Series. $ 21,852 $ 21,852
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
----------------------------------
TOTAL EQUITY CONTRACTS
-------- ----------------
The U.S. Large Cap Value Series. $(14,899) $(14,899)
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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
There were no borrowings by the Series under the lines of credit during the
six months ended April 30, 2018.
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
29
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not utilize the interfund lending program during the six
months ended April 30, 2018.
I. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2018, if any, were executed by
the Series pursuant to procedures adopted by the Board of Trustees of the Trust
to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940
(the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common trustees and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the six months ended April 30, 2018, 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. $217,124 $63,445 $(6,312)
J. SECURITIES LENDING:
As of April 30, 2018, the Series had securities on loan to brokers/dealers,
for which the Series received cash collateral. In addition, the Series received
non-cash collateral consisting of short-and/or long-term U.S. Treasuries and
U.S. government agency securities as follows (amounts in thousands):
MARKET
VALUE
--------
The U.S. Large Cap Value Series. $563,472
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Series could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in the Money Market
Series, an affiliated registered money market fund advised by the Advisor for
30
which the Advisor receives a management fee of 0.05% of the average daily net
assets of the Money Market Series. Income received from the Money Market Series
is netted with fees for securities lending and collateral investment expenses,
and other payments to and from borrowers of securities. The Series also may
invest the cash collateral received for the loaned securities in securities of
the U.S. government or its agencies, repurchase agreements collateralized by
securities of the U.S. government or its agencies, and affiliated and
unaffiliated registered and unregistered money market funds. For purposes of
this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, the Series will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or other distributions on the
loaned securities. However, dividend income received from loaned securities may
not be eligible to be taxed at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2018
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
SECURITIES LENDING TRANSACTIONS
THE U.S. LARGE CAP VALUE SERIES
Common Stocks. $631,406,902 -- -- -- $631,406,902
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
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
31
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 (the "Supreme Court") to review the Second
Circuit's ruling, and that petition is pending. Additionally, the individual
creditor plaintiffs have moved the Second Circuit to review its prior ruling in
light of a recent decision by the Supreme Court (in an unrelated case)
regarding the scope of the Bankruptcy Code's safe harbor for securities
transactions; such review is pending. On January 6, 2017, the Court granted the
shareholder defendants' 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).
Additionally, the Trustee has requested leave from the District Court to file
an amended complaint to assert new claims against the shareholder defendants in
light of the recent Supreme Court decision addressing the scope of the
Bankruptcy Code's safe harbor for securities transactions; that request is
pending.
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.
32
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
33
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2017 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. and the Board of Trustees of The
DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment management agreements (the "Management
Agreements") for each portfolio or series (collectively, the "Funds").
Prior to the Meeting, independent counsel to the Independent Board Members sent
to the Advisor a request for information, which identified the information that
the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering the
continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the Advisor
to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
global investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Morningstar
Reports, which compared the performance of each Fund with other funds in its
respective peer group and investment category. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board determined, among other things, that after
considering each Fund's investment strategies and the expectations of its
shareholder base, the performance of each Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering the
reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
The Board considered the profitability of each Fund to the Advisor by reviewing
the profitability analysis provided by the Advisor, including information about
its fee revenues and income. The Board reviewed the overall profitability of
the Advisor, and the compensation that it received for providing services to
each Fund. The Board considered the profitability to the Advisor of managing
and servicing the Funds and the Advisor's unregistered clients, such as
collective trusts, group trusts and separate accounts. Upon closely examining
the Advisor's profitability, the Board concluded, among other things, that it
was reasonable.
The Board also discussed whether economies of scale are realized by the Advisor
with respect to each Fund as it grows larger, and the extent to which this is
reflected in the level of management fees charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of management fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single factor
identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
34
DFA043018-009S
[LOGO] 00211523
[LOGO]
Semi-Annual Report
SIX MONTHS ENDED: APRIL 30, 2018 (UNAUDITED)
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III
DFA INTERNATIONAL VALUE PORTFOLIO III
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
[LOGO]
June 2018
Dear Fellow Shareholder,
Sound investment solutions based on financial science are at the heart of
Dimensional. Just as important is our commitment to serving our clients. We
take great pride in the many longstanding clients we have had the honor of
working with over the last four decades.
Delivering great investment experiences informs everything we do, from the
design of our strategies to the ways that we explain our approach and set
expectations. We place tremendous value on helping our clients understand what
they can expect from us. By being transparent about what we can deliver, and
following through with robust investment strategies, we help clients achieve
their financial goals.
David Booth, our founder, often speaks of his satisfaction and joy in helping
change the investor landscape for the better. We share this passion and, on
behalf of everyone at Dimensional, we thank you for trusting us with your
investments.
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.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................ 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses............................ 2
Disclosure of Portfolio Holdings....................... 4
Schedules of Investments
U.S. Large Cap Value Portfolio III................. 5
DFA International Value Portfolio III.............. 6
Tax-Managed U.S. Marketwide Value Portfolio II..... 7
Statements of Assets and Liabilities................... 8
Statements of Operations............................... 9
Statements of Changes in Net Assets.................... 10
Financial Highlights................................... 11
Notes to Financial Statements.......................... 13
Section 19(a) Notice................................... 21
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses............................ 22
Disclosure of Portfolio Holdings....................... 24
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series.................... 25
The DFA International Value Series................. 28
The Tax-Managed U.S. Marketwide Value Series....... 32
Statements of Assets and Liabilities................... 35
Statements of Operations............................... 36
Statements of Changes in Net Assets.................... 37
Financial Highlights................................... 38
Notes to Financial Statements.......................... 39
VOTING PROXIES ON FUND PORTFOLIO SECURITIES............... 49
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS........ 50
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 Fund.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP VALUE PORTFOLIO III**
------------------------------------
Actual Fund Return...................... $1,000.00 $1,036.70 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
DFA INTERNATIONAL VALUE PORTFOLIO III**
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,050.40 0.24% $1.22
Hypothetical 5% Annual Return........... $1,000.00 $1,023.60 0.24% $1.20
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II**
------------------------------------------------
Actual Fund Return............................... $1,000.00 $1,037.00 0.22% $1.11
Hypothetical 5% Annual Return.................... $1,000.00 $1,023.70 0.22% $1.10
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 29, 2018. 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 III................ 100.0%
DFA International Value Portfolio III............. 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II.... 100.0%
4
U.S. LARGE CAP VALUE PORTFOLIO III
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $3,830,116,457
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $3,830,116,457
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
DFA INTERNATIONAL VALUE PORTFOLIO III
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $2,681,532,397
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $2,681,532,397
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
6
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company...................... $1,828,106,668
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $1,828,106,668
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
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
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED U.S.
U.S. LARGE CAP DFA INTERNATIONAL MARKETWIDE VALUE
VALUE PORTFOLIO III VALUE PORTFOLIO III PORTFOLIO II
------------------- ------------------- ----------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 3,830,116 $ 2,681,532 $ 1,828,107
Receivables:
Fund Shares Sold.................................................. 2,121 1,734 1,017
Prepaid Expenses and Other Assets................................... 51 34 25
------------ ------------ ------------
Total Assets................................................... 3,832,288 2,683,300 1,829,149
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.............................................. 2,122 1,405 274
Due to Advisor.................................................... 28 12 --
Accrued Expenses and Other Liabilities.............................. 148 101 72
------------ ------------ ------------
Total Liabilities.............................................. 2,298 1,518 346
------------ ------------ ------------
NET ASSETS.......................................................... $ 3,829,990 $ 2,681,782 $ 1,828,803
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 145,638,100 152,710,894 64,988,309
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 26.30 $ 17.56 $ 28.14
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 2,264,085 $ 2,147,141 $ 905,079
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 8,855 22,444 4,189
Accumulated Net Realized Gain (Loss)................................ 93,600 38,381 33,736
Net Unrealized Foreign Exchange Gain (Loss)......................... -- (218) --
Net Unrealized Appreciation (Depreciation).......................... 1,463,450 474,034 885,799
------------ ------------ ------------
NET ASSETS.......................................................... $ 3,829,990 $ 2,681,782 $ 1,828,803
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 700,000,000 500,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S.
U.S. LARGE CAP DFA INTERNATIONAL MARKETWIDE VALUE
VALUE PORTFOLIO III*# VALUE PORTFOLIO III*# PORTFOLIO II*#
--------------------- --------------------- ----------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $4,513, $0 and
$1, respectively)............................................ $ 42,496 $ 41,148 $20,261
Non Cash Income............................................... -- 2,543 --
Income from Securities Lending................................ 162 917 119
Expenses Allocated from Affiliated Investment Company......... (2,087) (2,789) (1,939)
-------- -------- -------
Total Investment Income...................................... 40,571 41,819 18,441
-------- -------- -------
FUND EXPENSES
Investment Management Fees...................................... 2,107 2,736 1,852
Accounting & Transfer Agent Fees................................ 44 41 20
Filing Fees..................................................... 36 27 23
Shareholders' Reports........................................... 28 27 14
Directors'/Trustees' Fees & Expenses............................ 15 11 7
Audit Fees...................................................... 3 2 2
Legal Fees...................................................... 22 15 11
Other........................................................... 10 9 5
-------- -------- -------
Total Expenses............................................... 2,265 2,868 1,934
-------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)...................... (1,915) (2,606) (1,852)
-------- -------- -------
Net Expenses.................................................... 350 262 82
-------- -------- -------
NET INVESTMENT INCOME (LOSS).................................... 40,221 41,557 18,359
-------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment
Company**.................................................... 95,092 70,732 33,668
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment
Company...................................................... (872) 15,486 15,349
-------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 94,220 86,218 49,017
-------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $134,441 $127,775 $67,376
======== ======== =======
----------
* 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.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S.
U.S. LARGE CAP DFA INTERNATIONAL MARKETWIDE VALUE
VALUE PORTFOLIO III VALUE PORTFOLIO III PORTFOLIO II
---------------------- ---------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ----------- ---------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 40,221 $ 74,686 $ 41,557 $ 76,149 $ 18,359 $ 34,235
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment
Company*............................................ 95,092 244,528 70,732 26,797 33,668 62,503
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment
Company............................................. (872) 412,783 15,486 445,803 15,349 242,561
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.......................... 134,441 731,997 127,775 548,749 67,376 339,299
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income................................. (35,803) (71,340) (26,374) (76,159) (16,776) (33,385)
Net Short-Term Gains.................................. (9,612) (313) -- -- -- --
Net Long-Term Gains................................... (227,655) (107,951) -- -- (60,996) (56,923)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions................................. (273,070) (179,604) (26,374) (76,159) (77,772) (90,308)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................................... 303,637 459,795 143,294 257,528 79,772 123,118
Shares Issued in Reorganization....................... 58,077 -- 71,080 -- -- --
Shares Issued in Lieu of Cash Distributions........... 207,906 138,620 20,385 58,612 77,283 89,811
Shares Redeemed....................................... (309,962) (503,197) (195,862) (314,373) (133,293) (171,020)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions....................................... 259,658 95,218 38,897 1,767 23,762 41,909
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets............. 121,029 647,611 140,298 474,357 13,366 290,900
NET ASSETS
Beginning of Period................................... 3,708,961 3,061,350 2,541,484 2,067,127 1,815,437 1,524,537
---------- ---------- ---------- ---------- ---------- ----------
End of Period......................................... $3,829,990 $3,708,961 $2,681,782 $2,541,484 $1,828,803 $1,815,437
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 11,195 17,961 8,234 16,980 2,770 4,591
Shares Issued in Reorganization....................... 2,097 -- 3,991 -- -- --
Shares Issued in Lieu of Cash Distributions........... 7,814 5,491 1,204 3,841 2,719 3,399
Shares Redeemed....................................... (11,380) (19,761) (11,171) (20,190) (4,641) (6,428)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares Issued
and Redeemed....................................... 9,726 3,691 2,258 631 848 1,562
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 8,855 $ 4,437 $ 22,444 $ 7,263 $ 4,189 $ 2,606
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO III
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 27.29 $ 23.15 $ 23.91 $ 25.30 $ 22.75 $ 17.11
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.28 0.56 0.53 0.53 0.46 0.39
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.74 4.94 0.49 (0.26) 3.01 5.64
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 1.02 5.50 1.02 0.27 3.47 6.03
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.26) (0.53) (0.54) (0.50) (0.44) (0.39)
Net Realized Gains..................... (1.75) (0.83) (1.24) (1.16) (0.48) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (2.01) (1.36) (1.78) (1.66) (0.92) (0.39)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 26.30 $ 27.29 $ 23.15 $ 23.91 $ 25.30 $ 22.75
======================================= =========== ========== ========== ========== ========== ==========
Total Return............................ 3.67%(C) 24.32% 4.69% 1.34% 15.62% 35.65%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $3,829,990 $3,708,961 $3,061,350 $3,003,155 $2,992,619 $2,648,111
Ratio of Expenses to Average Net
Assets (B)............................. 0.13%(D) 0.13% 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%(D) 0.23% 0.23% 0.16% 0.13% 0.13%
Ratio of Net Investment Income to
Average Net Assets..................... 2.10%(D) 2.17% 2.38% 2.18% 1.89% 1.97%
--------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO III
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 16.89 $ 13.80 $ 14.65 $ 16.26 $ 17.84 $ 14.69
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.28 0.50 0.49 0.52 0.78 0.50
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.57 3.10 (0.56) (1.38) (0.88) 3.48
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 0.85 3.60 (0.07) (0.86) (0.10) 3.98
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.18) (0.51) (0.47) (0.49) (0.76) (0.51)
Net Realized Gains..................... -- -- (0.31) (0.26) (0.72) (0.32)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.18) (0.51) (0.78) (0.75) (1.48) (0.83)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 17.56 $ 16.89 $ 13.80 $ 14.65 $ 16.26 $ 17.84
======================================= =========== ========== ========== ========== ========== ==========
Total Return............................ 5.04%(C) 26.50% (0.09)% (5.41)% (0.73)% 28.15%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $2,681,782 $2,541,484 $2,067,127 $1,926,577 $1,836,655 $1,725,850
Ratio of Expenses to Average Net
Assets (B)............................. 0.24%(D) 0.24% 0.24% 0.25% 0.24% 0.25%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)......... 0.44%(D) 0.44% 0.44% 0.30% 0.24% 0.25%
Ratio of Net Investment Income to
Average Net Assets..................... 3.19%(D) 3.30% 3.70% 3.29% 4.48% 3.15%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.... $ 28.30 $ 24.36 $ 24.61 $ 24.42 $ 21.53 $ 16.13
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.28 0.54 0.48 0.45 0.37 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.77 4.84 0.16 0.24 2.88 5.39
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 1.05 5.38 0.64 0.69 3.25 5.73
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.26) (0.53) (0.48) (0.43) (0.36) (0.33)
Net Realized Gains..................... (0.95) (0.91) (0.41) (0.07) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (1.21) (1.44) (0.89) (0.50) (0.36) (0.33)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 28.14 $ 28.30 $ 24.36 $ 24.61 $ 24.42 $ 21.53
======================================= =========== ========== ========== ========== ========== ==========
Total Return............................ 3.70%(C) 22.59% 2.78% 2.88% 15.18% 35.90%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $1,828,803 $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%(D) 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%(D) 0.42% 0.42% 0.28% 0.22% 0.23%
Ratio of Net Investment Income to
Average Net Assets..................... 1.98%(D) 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.
12
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twelve 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."
U.S. Large Cap Value Portfolio III, DFA International Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invest their
assets in The DFA International Value Series, The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding series of The DFA Investment Trust Company. At April 30,
2018, U.S. Large Cap Value Portfolio III, DFA International Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 13%, 20% 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.
On February 26, 2018, U.S. Large Cap Value Portfolio III (the "Acquiring
Portfolio") acquired substantially all of the assets of LWAS/DFA U.S High Book
to Market Portfolio (the "Target Portfolio") pursuant to a plan of
reorganization approved by the Board of Directors of the Fund (the
"Reorganization"). Shareholder approval of the Reorganization was not required.
The purpose of the Reorganization was to combine the Portfolios since they had
identical investment objectives and fundamental investment restrictions, and
each Portfolio invested substantially all of its assets in The U.S. Large Cap
Value Series, a series of The DFA Investment Trust Company.
The reorganization was accomplished by a tax-free exchange of 2,096,628
shares of Acquiring Portfolio for 3,100,842 shares of LWAS/DFA U.S. High Book
to Market Portfolio. LWAS/DFA U.S. High Book to Market Portfolio had net assets
immediately before the Reorganization, of $58,076,685, including $39,022,601 of
unrealized appreciation, which were combined with the Acquiring Portfolio's net
assets. Immediately before the Reorganization, the Acquiring Portfolio's net
assets were $3,932,306,830, and immediately after the Reorganization, the
Acquiring Portfolio's net assets were $3,990,383,515. The Acquiring Portfolio
is the accounting survivor, and accordingly, its historical performance and
financial information is presented in the financial statements for periods
prior to February 26, 2018.
Assuming that the Reorganization had been completed on November 1, 2017, the
Acquiring Portfolio's pro forma results of operations for the period ended
April 30, 2018 would have been as follows (amounts in thousands):
Net Investment Income........................................... $ 40,616
Net Realized Gain (Loss)........................................ 96,256
Change in Unrealized Appreciation (Depreciation)................ 38,151
Net Increase (Decrease) in Net Assets Resulting from Operations. 175,023
Because the combined Portfolios have been managed as a single Portfolio
since the Reorganization was completed, it is not practical to separate the
results of operations of the Target Portfolio that have been included in
Acquiring Portfolio's statement of operations since February 26, 2018.
13
On February 26, 2018, DFA International Value Portfolio III (the "Acquiring
Portfolio") acquired substantially all of the assets of LWAS/DFA International
High Book to Market Portfolio and DFA International Value Portfolio II (the
"Target Portfolios") pursuant to a plan of reorganization approved by the
Boards of Directors of the Fund and DFA Investment Dimensions Group Inc. (the
"Reorganization"). Shareholder approval of the Reorganization was not required.
The purpose of the Reorganization was to combine the Portfolios since they had
identical investment objectives and fundamental investment restrictions, and
each Portfolio invested substantially all of its assets in The DFA
International Value Series, a series of The DFA Investment Trust Company.
The reorganization was accomplished by a tax-free exchange of 3,991,043
shares of Acquiring Portfolio for 6,619,712 shares of LWAS/DFA International
High Book to Market Portfolio and 2,954,751 shares of DFA International Value
Portfolio II. The LWAS/DFA International High Book to Market Portfolio and DFA
International Value Portfolio II had net assets immediately before the
Reorganization, of $58,035,479 and $13,079,678, including $13,258,662 and
$(437,627) of unrealized appreciation (depreciation), respectively, which were
combined with the Acquiring Portfolio's net assets. Immediately before the
Reorganization, the Acquiring Portfolio's net assets were $2,653,744,258, and
immediately after the Reorganization, the Acquiring Portfolio's net assets were
$2,724,859,416. The Acquiring Portfolio is the accounting survivor and
accordingly, its historical performance and financial information is presented
in the financial statements for periods prior to February 26, 2018.
Assuming that the Reorganization had been completed on November 1, 2017, the
Acquiring Portfolio's pro forma results of operations for the period ended
April 30, 2018 would have been as follows (amounts in thousands):
Net Investment Income........................................... $ 41,878
Net Realized Gain (Loss)........................................ 72,110
Change in Unrealized Appreciation (Depreciation)................ 28,307
Net Increase (Decrease) in Net Assets Resulting from Operations. 142,295
Because the combined Portfolios have been managed as a single Portfolio
since the Reorganization was completed, it is not practical to separate the
results of operations of the Target Portfolios that have been included in
Acquiring Portfolio's statement of operations since February 26, 2018.
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)
14
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
During the six months ended April 30, 2018 the U.S. Large Cap Value
Portfolio III's, DFA International 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 0.11%,
0.21%, and 0.20%, respectively, of each Portfolio's average daily net assets.
Waived fees during the six months ended April 30, 2018 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
15
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.
NET WAIVED
PREVIOUSLY FEES/EXPENSES
RECOVERY WAIVED FEES/ ASSUMED (RECOVERED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED PREVIOUSLY WAIVED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE FEES/EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
-------------------------- ---------- ---------------- ----------------- ------------------
U.S. Large Cap Value Portfolio III.... 0.11% -- -- $1,915
DFA International Value Portfolio III. 0.21% -- -- 2,606
Tax-Managed U.S. Marketwide Value
Portfolio II........................ 0.20% -- -- 1,852
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $16 (in thousands). The total related amounts paid by each
of the Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2018, 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 III............. $114
DFA International Value Portfolio III.......... 82
Tax-Managed U.S. Marketwide Value Portfolio II. 52
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)
--------------- -------------- --------------
U.S. Large Cap Value Portfolio III............. $12,105 $(2,798) $(9,307)
DFA International Value Portfolio III.......... 1,390 (1,364) (26)
Tax-Managed U.S. Marketwide Value Portfolio II. 1,983 (608) (1,375)
16
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 TAX
SHORT-TERM LONG-TERM EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
------------- ------------- ------ --------
U.S. Large Cap Value Portfolio III
2016........................................... $69,978 $154,996 -- $224,974
2017........................................... 71,653 107,951 -- 179,604
DFA International Value Portfolio III
2016........................................... 67,960 41,316 -- 109,276
2017........................................... 76,159 -- -- 76,159
Tax-Managed U.S. Marketwide Value Portfolio II
2016........................................... 29,848 24,937 -- 54,785
2017........................................... 33,385 56,923 -- 90,308
At October 31, 2017, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
U.S. Large Cap Value Portfolio III............. $(3,192) $(8,913) $(12,105)
DFA International Value Portfolio III.......... (1,376) -- (1,376)
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)
-------------- ------------- ------------- -------------- -------------
U.S. Large Cap Value Portfolio III.... $14,238 $227,654 -- $1,423,810 $1,665,702
DFA International Value Portfolio III. 13,250 -- $(26,378) 433,647 420,519
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
--------- -------
U.S. Large Cap Value Portfolio III............. -- --
DFA International Value Portfolio III.......... $26,378 $26,378
Tax-Managed U.S. Marketwide Value Portfolio II. -- --
17
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 (amount in thousands):
DFA International Value Portfolio III. $28,625
At April 30, 2018, 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 III............. $2,391,635 $1,438,481 -- $1,438,481
DFA International Value Portfolio III.......... 2,233,511 448,021 -- 448,021
Tax-Managed U.S. Marketwide Value Portfolio II. 1,679,721 148,386 -- 148,386
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in any of the Portfolios' financial statements. The
Portfolios are not aware of any tax positions for which it is more likely than
not that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months. The Portfolios' federal tax returns for the
prior three fiscal years remain subject to examination by the Internal Revenue
Service.
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. Upon entering
into a futures contract, the Portfolio deposits cash or pledges U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Portfolio as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
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.
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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its
18
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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
There were no borrowings by the Portfolios under the lines of credit during
the six months ended April 30, 2018.
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
J. OTHER:
At April 30, 2018, 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
------------ --------------
U.S. Large Cap Value Portfolio III............. 5 96%
DFA International Value Portfolio III.......... 5 97%
Tax-Managed U.S. Marketwide Value Portfolio II. 3 98%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New
19
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 (the
"Supreme Court") to review the Second Circuit's ruling, and that petition is
pending. Additionally, the individual creditor plaintiffs have moved the Second
Circuit to review its prior ruling in light of a recent decision by the Supreme
Court (in an unrelated case) regarding the scope of the Bankruptcy Code's safe
harbor for securities transactions; such review is pending. On January 6, 2017,
the Court granted the shareholder defendants' 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). Additionally, the Trustee has requested leave from the
District Court to file an amended complaint to assert new claims against the
shareholder defendants in light of the recent Supreme Court decision addressing
the scope of the Bankruptcy Code's safe harbor for securities transactions;
that request is pending.
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:
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.
20
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 Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------
NET INCOME
FOR THE
CURRENT OR ACCUMULATED
PRECEDING UNDISTRIBUTED
FISCAL YEAR, NET PROFITS PAID-IN
AND FROM THE SALE SURPLUS OR
ACCUMULATED OF SECURITIES OTHER
UNDISTRIBUTED OR OTHER CAPITAL
PORTFOLIO NAME NET INCOME PROPERTIES SOURCE
-------------- ------------- ------------- ----------
U.S. Large Cap Value Portfolio III
December 15, 2017........................... 94% 0% 6%
DFA International Value Portfolio III
December 15, 2017........................... 66% 0% 34%
Tax-Managed U.S. Marketwide Value Portfolio II
December 15, 2017........................... 96% 0% 4%
DFA International Value Portfolio II
December 15, 2017........................... 33% 0% 67%
February 23, 2018........................... 0% 0% 100%
LWAS/DFA International High Book to Market Portfolio
December 15, 2017........................... 56% 0% 44%
February 23, 2018........................... 0% 0% 100%
LWAS/DFA U.S. High Book to Market Portfolio
December 15, 2017........................... 93% 0% 7%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
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 APRIL 30, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................. $1,000.00 $1,036.70 0.11% $0.56
Hypothetical 5% Annual Return...... $1,000.00 $1,024.25 0.11% $0.55
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,050.80 0.21% $1.07
Hypothetical 5% Annual Return...... $1,000.00 $1,023.70 0.21% $1.05
22
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,036.70 0.21% $1.06
Hypothetical 5% Annual Return................ $1,000.00 $1,023.75 0.21% $1.05
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
23
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 29, 2018. 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....................... 12.3%
Consumer Staples............................. 5.1%
Energy....................................... 13.7%
Financials................................... 24.4%
Health Care.................................. 14.5%
Industrials.................................. 7.7%
Information Technology....................... 14.2%
Materials.................................... 3.9%
Real Estate.................................. 0.2%
Telecommunication Services................... 3.9%
Utilities.................................... 0.1%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 2.3%
Energy....................................... 16.2%
Financials................................... 30.0%
Health Care.................................. 2.6%
Industrials.................................. 8.1%
Information Technology....................... 2.7%
Materials.................................... 13.4%
Real Estate.................................. 2.7%
Telecommunication Services................... 4.0%
Utilities.................................... 2.0%
-----
100.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Consumer Discretionary....................... 13.7%
Consumer Staples............................. 5.7%
Energy....................................... 13.7%
Financials................................... 24.0%
Health Care.................................. 13.9%
Industrials.................................. 11.0%
Information Technology....................... 12.8%
Materials.................................... 1.9%
Telecommunication Services................... 3.3%
-----
100.0%
24
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.9%)
Consumer Discretionary -- (11.9%)
* Charter Communications, Inc. Class A..... 962,932 $ 261,233,822 0.9%
Comcast Corp. Class A.................... 21,576,111 677,274,124 2.3%
Ford Motor Co............................ 16,051,999 180,424,469 0.6%
General Motors Co........................ 6,055,833 222,491,304 0.8%
Royal Caribbean Cruises, Ltd............. 1,271,015 137,511,113 0.5%
Time Warner, Inc......................... 3,836,070 363,659,436 1.3%
Other Securities......................... 1,680,203,335 5.8%
---------------- ------
Total Consumer Discretionary................. 3,522,797,603 12.2%
---------------- ------
Consumer Staples -- (4.9%)
Mondelez International, Inc. Class A..... 3,576,652 141,277,754 0.5%
Tyson Foods, Inc. Class A................ 1,959,828 137,383,943 0.5%
Walgreens Boots Alliance, Inc............ 3,030,389 201,369,349 0.7%
Walmart, Inc............................. 5,689,778 503,317,762 1.7%
Other Securities......................... 475,589,016 1.7%
---------------- ------
Total Consumer Staples....................... 1,458,937,824 5.1%
---------------- ------
Energy -- (13.3%)
Andeavor................................. 1,297,132 179,419,298 0.6%
Chevron Corp............................. 5,879,241 735,551,842 2.5%
ConocoPhillips........................... 2,949,628 193,200,634 0.7%
Exxon Mobil Corp......................... 13,357,412 1,038,538,783 3.6%
Marathon Petroleum Corp.................. 2,321,313 173,889,557 0.6%
Occidental Petroleum Corp................ 2,538,795 196,147,302 0.7%
Valero Energy Corp....................... 2,730,237 302,865,190 1.1%
Other Securities......................... 1,095,405,202 3.8%
---------------- ------
Total Energy................................. 3,915,017,808 13.6%
---------------- ------
Financials -- (23.6%)
Bank of America Corp..................... 20,209,612 604,671,591 2.1%
Bank of New York Mellon Corp. (The)...... 4,465,867 243,434,410 0.8%
* Berkshire Hathaway, Inc. Class B......... 995,133 192,787,116 0.7%
Capital One Financial Corp............... 2,121,634 192,262,473 0.7%
Citigroup, Inc........................... 5,962,612 407,067,521 1.4%
Goldman Sachs Group, Inc. (The).......... 1,092,193 260,302,358 0.9%
JPMorgan Chase & Co...................... 11,108,809 1,208,416,243 4.2%
Morgan Stanley........................... 5,338,744 275,585,965 1.0%
PNC Financial Services Group, Inc. (The). 1,331,289 193,848,991 0.7%
Travelers Cos., Inc. (The)............... 1,165,331 153,357,560 0.5%
Wells Fargo & Co......................... 18,696,506 971,470,452 3.4%
Other Securities......................... 2,273,627,768 7.8%
---------------- ------
Total Financials............................. 6,976,832,448 24.2%
---------------- ------
Health Care -- (14.1%)
Abbott Laboratories...................... 4,212,247 244,857,918 0.9%
Aetna, Inc............................... 1,816,031 325,160,351 1.1%
Anthem, Inc.............................. 1,376,563 324,855,102 1.1%
CVS Health Corp.......................... 4,700,064 328,205,469 1.1%
Danaher Corp............................. 1,838,784 184,466,811 0.6%
* Express Scripts Holding Co............... 2,740,464 207,453,125 0.7%
Humana, Inc.............................. 674,755 198,499,426 0.7%
Medtronic P.L.C.......................... 4,282,974 343,194,707 1.2%
Pfizer, Inc.............................. 20,880,631 764,439,901 2.7%
25
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc................................. 1,050,474 $ 220,967,206 0.8%
Other Securities.............................................. 1,009,820,121 3.5%
---------------- ------
Total Health Care................................................... 4,151,920,137 14.4%
---------------- ------
Industrials -- (7.5%)
Delta Air Lines, Inc.......................................... 2,950,569 154,078,713 0.5%
Norfolk Southern Corp......................................... 1,385,379 198,760,325 0.7%
Stanley Black & Decker, Inc................................... 1,078,968 152,771,079 0.5%
Other Securities.............................................. 1,698,906,222 5.9%
---------------- ------
Total Industrials................................................... 2,204,516,339 7.6%
---------------- ------
Information Technology -- (13.7%)
Cisco Systems, Inc............................................ 18,075,606 800,568,590 2.8%
Hewlett Packard Enterprise Co................................. 8,708,938 148,487,393 0.5%
HP, Inc....................................................... 9,619,949 206,732,704 0.7%
Intel Corp.................................................... 23,083,456 1,191,567,999 4.1%
* Micron Technology, Inc........................................ 5,266,057 242,133,301 0.8%
QUALCOMM, Inc................................................. 5,066,475 258,440,890 0.9%
Other Securities.............................................. 1,201,389,237 4.2%
---------------- ------
Total Information Technology........................................ 4,049,320,114 14.0%
---------------- ------
Materials -- (3.8%)
DowDuPont, Inc................................................ 2,259,347 142,881,104 0.5%
# Nucor Corp.................................................... 2,491,419 153,521,239 0.5%
Other Securities.............................................. 815,715,009 2.8%
---------------- ------
Total Materials..................................................... 1,112,117,352 3.8%
---------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 45,272,636 0.2%
---------------- ------
Telecommunication Services -- (3.8%)
AT&T, Inc..................................................... 29,042,432 949,687,527 3.3%
Other Securities.............................................. 167,564,793 0.6%
---------------- ------
Total Telecommunication Services.................................... 1,117,252,320 3.9%
---------------- ------
Utilities -- (0.1%)
Other Securities.............................................. 44,808,268 0.2%
---------------- ------
TOTAL COMMON STOCKS................................................. 28,598,792,849 99.2%
---------------- ------
TOTAL INVESTMENT SECURITIES......................................... 28,598,792,849
----------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 272,826,637 272,826,637 0.9%
---------------- ------
SECURITIES LENDING COLLATERAL -- (2.2%)
(S)@ DFA Short Term Investment Fund................................ 54,572,766 631,406,902 2.2%
---------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $20,591,542,665).......................................... $ 29,503,026,388 102.3%
================ ======
26
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
At April 30, 2018, 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(R) Emini Index... 1,505 06/15/18 $206,026,096 $199,186,750 $(6,839,346)
------------ ------------ ------------
TOTAL FUTURES CONTRACTS.. $206,026,096 $199,186,750 $(6,839,346)
============ ============ ============
Summary of the Series' investments as of April 30, 2018, 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...... $3,522,797,603 -- -- $3,522,797,603
Consumer Staples............ 1,458,937,824 -- -- 1,458,937,824
Energy...................... 3,915,017,808 -- -- 3,915,017,808
Financials.................. 6,976,832,448 -- -- 6,976,832,448
Health Care................. 4,151,920,137 -- -- 4,151,920,137
Industrials................. 2,204,516,339 -- -- 2,204,516,339
Information Technology...... 4,049,320,114 -- -- 4,049,320,114
Materials................... 1,112,117,352 -- -- 1,112,117,352
Real Estate................. 45,272,636 -- -- 45,272,636
Telecommunication Services.. 1,117,252,320 -- -- 1,117,252,320
Utilities................... 44,808,268 -- -- 44,808,268
Temporary Cash Investments.... 272,826,637 -- -- 272,826,637
Securities Lending Collateral. -- $631,406,902 -- 631,406,902
Futures Contracts**........... (6,839,346) -- -- (6,839,346)
--------------- ------------ -- ---------------
TOTAL......................... $28,864,780,140 $631,406,902 -- $29,496,187,042
=============== ============ == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
27
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.2%)
AUSTRALIA -- (4.8%)
# Australia & New Zealand Banking Group, Ltd.. 8,219,619 $ 165,232,302 1.2%
BHP Billiton, Ltd........................... 3,664,796 85,496,933 0.6%
Woodside Petroleum, Ltd..................... 3,201,265 77,577,820 0.6%
Other Securities............................ 356,421,158 2.7%
---------------- ------
TOTAL AUSTRALIA................................. 684,728,213 5.1%
---------------- ------
AUSTRIA -- (0.1%)
Other Securities............................ 7,304,994 0.1%
---------------- ------
BELGIUM -- (1.0%)
Other Securities............................ 144,540,784 1.1%
---------------- ------
CANADA -- (7.7%)
Bank of Montreal............................ 1,689,557 128,288,063 1.0%
Suncor Energy, Inc.......................... 3,796,659 145,189,439 1.1%
Other Securities............................ 821,480,453 6.1%
---------------- ------
TOTAL CANADA.................................... 1,094,957,955 8.2%
---------------- ------
DENMARK -- (1.4%)
Other Securities............................ 203,035,875 1.5%
---------------- ------
FINLAND -- (1.0%)
Other Securities............................ 146,499,413 1.1%
---------------- ------
FRANCE -- (9.5%)
# AXA SA...................................... 2,859,375 81,774,218 0.6%
BNP Paribas SA.............................. 2,405,711 185,719,103 1.4%
Engie SA.................................... 5,673,142 99,515,295 0.7%
Orange SA................................... 6,230,588 113,269,720 0.8%
# Peugeot SA.................................. 3,133,702 77,162,951 0.6%
Renault SA.................................. 1,007,824 109,229,481 0.8%
Societe Generale SA......................... 1,362,535 74,569,829 0.6%
# Total SA.................................... 6,569,447 412,900,822 3.1%
Other Securities............................ 203,036,038 1.5%
---------------- ------
TOTAL FRANCE.................................... 1,357,177,457 10.1%
---------------- ------
GERMANY -- (6.5%)
Bayerische Motoren Werke AG................. 1,225,665 136,271,744 1.0%
Daimler AG.................................. 3,375,856 265,403,214 2.0%
RWE AG...................................... 3,077,276 73,552,210 0.5%
Other Securities............................ 452,725,601 3.4%
---------------- ------
TOTAL GERMANY................................... 927,952,769 6.9%
---------------- ------
HONG KONG -- (2.5%)
CK Hutchison Holdings, Ltd.................. 7,657,984 90,554,557 0.7%
Other Securities............................ 268,619,568 2.0%
---------------- ------
TOTAL HONG KONG................................. 359,174,125 2.7%
---------------- ------
IRELAND -- (0.2%)
Other Securities............................ 33,112,899 0.2%
---------------- ------
28
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
ISRAEL -- (0.3%)
Other Securities...................... $ 40,711,469 0.3%
---------------- ------
ITALY -- (1.8%)
# UniCredit SpA......................... 4,747,111 102,916,952 0.8%
Other Securities...................... 158,283,451 1.1%
---------------- ------
TOTAL ITALY............................... 261,200,403 1.9%
---------------- ------
JAPAN -- (21.5%)
Hitachi, Ltd.......................... 10,604,000 77,393,891 0.6%
Honda Motor Co., Ltd.................. 4,474,100 153,846,114 1.1%
Mitsubishi Corp....................... 2,342,100 64,584,694 0.5%
# Mitsubishi UFJ Financial Group, Inc... 12,800,606 85,781,239 0.6%
Mizuho Financial Group, Inc........... 33,555,400 60,709,660 0.5%
Nissan Motor Co., Ltd................. 6,443,700 67,790,734 0.5%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 118,958,037 0.9%
Toyota Motor Corp..................... 5,457,190 357,840,739 2.7%
Other Securities...................... 2,084,028,371 15.5%
---------------- ------
TOTAL JAPAN............................... 3,070,933,479 22.9%
---------------- ------
NETHERLANDS -- (3.6%)
* ArcelorMittal......................... 1,780,735 60,355,602 0.5%
ING Groep NV.......................... 5,655,087 95,291,100 0.7%
# Koninklijke Ahold Delhaize NV......... 4,888,298 117,927,633 0.9%
Koninklijke DSM NV.................... 656,841 67,886,329 0.5%
Other Securities...................... 171,679,129 1.2%
---------------- ------
TOTAL NETHERLANDS......................... 513,139,793 3.8%
---------------- ------
NEW ZEALAND -- (0.2%)
Other Securities...................... 20,081,392 0.2%
---------------- ------
NORWAY -- (0.7%)
Other Securities...................... 103,076,050 0.8%
---------------- ------
PORTUGAL -- (0.1%)
Other Securities...................... 5,196,727 0.0%
---------------- ------
SINGAPORE -- (0.9%)
Other Securities...................... 123,478,766 0.9%
---------------- ------
SPAIN -- (2.5%)
# Banco Santander SA.................... 30,929,715 199,834,457 1.5%
Repsol SA............................. 6,302,748 120,274,102 0.9%
Other Securities...................... 38,205,058 0.3%
---------------- ------
TOTAL SPAIN............................... 358,313,617 2.7%
---------------- ------
SWEDEN -- (2.4%)
Nordea Bank AB........................ 7,285,616 74,099,452 0.6%
Other Securities...................... 262,761,933 1.9%
---------------- ------
TOTAL SWEDEN.............................. 336,861,385 2.5%
---------------- ------
SWITZERLAND -- (6.9%)
Cie Financiere Richemont SA........... 863,598 82,092,467 0.6%
Novartis AG........................... 2,466,298 189,841,544 1.4%
# Swatch Group AG (The)................. 139,269 66,873,827 0.5%
Swiss Re AG........................... 692,371 65,961,648 0.5%
29
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
UBS Group AG.................................... 3,568,514 $ 59,897,119 0.5%
Zurich Insurance Group AG....................... 429,441 137,178,664 1.0%
Other Securities................................ 385,461,627 2.9%
---------------- ------
TOTAL SWITZERLAND..................................... 987,306,896 7.4%
---------------- ------
UNITED KINGDOM -- (15.6%)
# Anglo American P.L.C............................ 5,924,428 139,397,348 1.0%
BP P.L.C. Sponsored ADR......................... 8,549,806 381,235,850 2.8%
Glencore P.L.C.................................. 16,161,461 77,849,658 0.6%
HSBC Holdings P.L.C............................. 16,748,580 166,748,482 1.3%
# HSBC Holdings P.L.C. Sponsored ADR.............. 2,762,772 138,856,920 1.0%
Lloyds Banking Group P.L.C...................... 175,809,723 155,933,876 1.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 3,259,405 227,832,383 1.7%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 3,591,667 260,108,524 1.9%
Vodafone Group P.L.C............................ 58,351,986 170,283,365 1.3%
Vodafone Group P.L.C. Sponsored ADR............. 4,011,201 117,969,429 0.9%
Other Securities................................ 393,702,731 2.9%
---------------- ------
TOTAL UNITED KINGDOM.................................. 2,229,918,566 16.6%
---------------- ------
TOTAL COMMON STOCKS................................... 13,008,703,027 97.0%
---------------- ------
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Volkswagen AG................................... 652,333 134,533,773 1.0%
Other Securities................................ 34,501,288 0.3%
---------------- ------
TOTAL GERMANY......................................... 169,035,061 1.3%
---------------- ------
TOTAL PREFERRED STOCKS................................ 169,035,061 1.3%
---------------- ------
RIGHTS/WARRANTS -- (0.0%)
TOTAL INVESTMENT SECURITIES........................... 13,177,738,088
----------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (7.6%)
(S)@ DFA Short Term Investment Fund.................. 94,025,959 1,087,880,349 8.1%
---------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,070,115,739)............................ $ 14,265,618,437 106.4%
================ ======
At April 30, 2018, 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... 92 06/15/18 $ 9,315,658 $ 9,321,900 $ 6,242
S&P 500(R) Emini Index... 784 06/15/18 105,455,996 103,762,400 (1,693,596)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS.. $114,771,654 $113,084,300 $(1,687,354)
============ ============ ===========
30
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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................... $4,556,253 $680,171,960 -- $684,728,213
Austria..................... -- 7,304,994 -- 7,304,994
Belgium..................... -- 144,540,784 -- 144,540,784
Canada...................... 1,094,957,955 -- -- 1,094,957,955
Denmark..................... -- 203,035,875 -- 203,035,875
Finland..................... 2,263,361 144,236,052 -- 146,499,413
France...................... -- 1,357,177,457 -- 1,357,177,457
Germany..................... 77,629,919 850,322,850 -- 927,952,769
Hong Kong................... -- 359,174,125 -- 359,174,125
Ireland..................... 7,026,350 26,086,549 -- 33,112,899
Israel...................... -- 40,711,469 -- 40,711,469
Italy....................... 39,948,100 221,252,303 -- 261,200,403
Japan....................... 74,745,755 2,996,187,724 -- 3,070,933,479
Netherlands................. 49,423,303 463,716,490 -- 513,139,793
New Zealand................. -- 20,081,392 -- 20,081,392
Norway...................... 287,960 102,788,090 -- 103,076,050
Portugal.................... -- 5,196,727 -- 5,196,727
Singapore................... -- 123,478,766 -- 123,478,766
Spain....................... 459,204 357,854,413 -- 358,313,617
Sweden...................... 705,997 336,155,388 -- 336,861,385
Switzerland................. 57,868,765 929,438,131 -- 987,306,896
United Kingdom.............. 1,221,085,825 1,008,832,741 -- 2,229,918,566
Preferred Stocks
Germany..................... -- 169,035,061 -- 169,035,061
Securities Lending Collateral. -- 1,087,880,349 -- 1,087,880,349
Futures Contracts**........... (1,687,354) -- -- (1,687,354)
-------------- --------------- -- ---------------
TOTAL......................... $2,629,271,393 $11,634,659,690 -- $14,263,931,083
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
31
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (97.7%)
Consumer Discretionary -- (13.4%)
* Charter Communications, Inc. Class A... 339,394 $ 92,074,198 1.4%
Comcast Corp. Class A.................. 7,135,970 223,998,098 3.3%
Ford Motor Co.......................... 2,868,969 32,247,212 0.5%
General Motors Co...................... 1,095,598 40,252,270 0.6%
Royal Caribbean Cruises, Ltd........... 322,500 34,891,275 0.5%
Time Warner, Inc....................... 1,534,860 145,504,728 2.2%
Twenty-First Century Fox, Inc. Class A. 987,646 36,108,338 0.6%
Other Securities....................... 324,608,850 4.6%
--------------- ------
Total Consumer Discretionary............... 929,684,969 13.7%
--------------- ------
Consumer Staples -- (5.6%)
Archer-Daniels-Midland Co.............. 813,476 36,915,541 0.6%
Mondelez International, Inc. Class A... 2,081,099 82,203,410 1.2%
Walgreens Boots Alliance, Inc.......... 702,679 46,693,020 0.7%
Walmart, Inc........................... 1,266,497 112,034,325 1.7%
Other Securities....................... 109,746,507 1.5%
--------------- ------
Total Consumer Staples..................... 387,592,803 5.7%
--------------- ------
Energy -- (13.4%)
Chevron Corp........................... 1,121,044 140,253,815 2.1%
ConocoPhillips......................... 1,489,306 97,549,543 1.4%
Exxon Mobil Corp....................... 2,900,873 225,542,876 3.3%
Marathon Petroleum Corp................ 903,936 67,713,846 1.0%
Occidental Petroleum Corp.............. 484,588 37,439,269 0.6%
Phillips 66............................ 775,455 86,315,896 1.3%
Schlumberger, Ltd...................... 577,687 39,606,221 0.6%
Valero Energy Corp..................... 605,899 67,212,376 1.0%
Other Securities....................... 171,272,416 2.4%
--------------- ------
Total Energy............................... 932,906,258 13.7%
--------------- ------
Financials -- (23.4%)
American International Group, Inc...... 665,461 37,265,816 0.6%
Bank of America Corp................... 5,929,137 177,399,779 2.6%
Bank of New York Mellon Corp. (The).... 750,997 40,936,846 0.6%
Capital One Financial Corp............. 372,872 33,789,661 0.5%
Citigroup, Inc......................... 1,870,326 127,687,156 1.9%
Goldman Sachs Group, Inc. (The)........ 209,155 49,847,911 0.7%
JPMorgan Chase & Co.................... 2,748,095 298,937,774 4.4%
MetLife, Inc........................... 949,912 45,282,305 0.7%
Morgan Stanley......................... 1,102,617 56,917,090 0.8%
Prudential Financial, Inc.............. 497,625 52,907,490 0.8%
Wells Fargo & Co....................... 3,633,493 188,796,296 2.8%
Other Securities....................... 518,122,072 7.6%
--------------- ------
Total Financials........................... 1,627,890,196 24.0%
--------------- ------
Health Care -- (13.6%)
Abbott Laboratories.................... 915,297 53,206,215 0.8%
Aetna, Inc............................. 558,462 99,992,621 1.5%
Anthem, Inc............................ 504,640 119,089,994 1.8%
CVS Health Corp........................ 1,510,745 105,495,323 1.6%
Danaher Corp........................... 405,225 40,652,172 0.6%
* Express Scripts Holding Co............. 493,239 37,338,192 0.6%
Humana, Inc............................ 198,071 58,268,527 0.9%
32
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Medtronic P.L.C............................................... 814,175 $ 65,239,843 1.0%
Pfizer, Inc................................................... 3,696,959 135,345,669 2.0%
Thermo Fisher Scientific, Inc................................. 435,609 91,630,353 1.4%
Other Securities.............................................. 139,276,765 1.7%
--------------- ------
Total Health Care................................................... 945,535,674 13.9%
--------------- ------
Industrials -- (10.8%)
CSX Corp...................................................... 1,055,544 62,688,758 0.9%
Norfolk Southern Corp......................................... 545,229 78,224,005 1.2%
Union Pacific Corp............................................ 563,195 75,259,748 1.1%
United Technologies Corp...................................... 384,209 46,162,711 0.7%
Other Securities.............................................. 485,146,991 7.1%
--------------- ------
Total Industrials................................................... 747,482,213 11.0%
--------------- ------
Information Technology -- (12.5%)
Activision Blizzard, Inc...................................... 849,537 56,366,780 0.8%
Cisco Systems, Inc............................................ 4,715,767 208,861,320 3.1%
Intel Corp.................................................... 4,978,195 256,974,426 3.8%
* Micron Technology, Inc........................................ 842,584 38,742,012 0.6%
QUALCOMM, Inc................................................. 688,597 35,125,333 0.5%
Other Securities.............................................. 272,999,995 4.0%
--------------- ------
Total Information Technology........................................ 869,069,866 12.8%
--------------- ------
Materials -- (1.8%)
Other Securities.............................................. 126,567,953 1.9%
--------------- ------
Real Estate -- (0.0%)
Other Securities.............................................. 2,861,596 0.0%
--------------- ------
Telecommunication Services -- (3.2%)
AT&T, Inc..................................................... 6,281,506 205,405,246 3.0%
Other Securities.............................................. 15,509,266 0.2%
--------------- ------
Total Telecommunication Services.................................... 220,914,512 3.2%
--------------- ------
Utilities -- (0.0%)
Other Securities.............................................. 2,979,480 0.0%
--------------- ------
TOTAL COMMON STOCKS................................................. 6,793,485,520 99.9%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 2,519 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 6,793,488,039
---------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 1,407,061 1,407,061 0.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund................................ 13,800,329 159,669,803 2.4%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,823,041,241)........................................... $ 6,954,564,903 102.3%
=============== ======
33
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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...... $929,402,539 $282,430 -- $929,684,969
Consumer Staples............ 387,592,803 -- -- 387,592,803
Energy...................... 932,906,258 -- -- 932,906,258
Financials.................. 1,627,869,931 20,265 -- 1,627,890,196
Health Care................. 945,535,674 -- -- 945,535,674
Industrials................. 747,482,213 -- -- 747,482,213
Information Technology...... 869,069,866 -- -- 869,069,866
Materials................... 126,567,953 -- -- 126,567,953
Real Estate................. 2,861,596 -- -- 2,861,596
Telecommunication Services.. 220,914,512 -- -- 220,914,512
Utilities................... 2,979,480 -- -- 2,979,480
Rights/Warrants............... -- 2,519 -- 2,519
Temporary Cash Investments.... 1,407,061 -- -- 1,407,061
Securities Lending Collateral. -- 159,669,803 -- 159,669,803
-------------- ------------ -- --------------
TOTAL......................... $6,794,589,886 $159,975,017 -- $6,954,564,903
============== ============ == ==============
See accompanying Notes to Financial Statements.
34
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA
LARGE CAP INTERNATIONAL THE TAX-MANAGED
VALUE VALUE U.S. MARKETWIDE
SERIES* SERIES* VALUE SERIES*
----------- ------------- ---------------
ASSETS:
Investments at Value (including $1,160,315, $1,077,124 and $272,528 of
securities on loan)......................................................... $28,598,793 $13,177,738 $6,793,488
Temporary Cash Investments at Value & Cost................................... 272,827 -- 1,407
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $631,384, $1,087,839 and $159,663).................................. 631,407 1,087,880 159,670
Segregated Cash for Futures Contracts........................................ 8,729 4,961 --
Foreign Currencies at Value.................................................. -- 126,795 --
Cash......................................................................... -- 40,636 --
Receivables:
Investment Securities Sold................................................. 21,567 44,997 3,932
Dividends, Interest and Tax Reclaims....................................... 30,837 77,607 6,825
Securities Lending Income.................................................. 198 1,163 72
Unrealized Gain on Foreign Currency Contracts................................ -- 4 --
Prepaid Expenses and Other Assets............................................ 26 14 6
----------- ----------- ----------
Total Assets............................................................ 29,564,384 14,561,795 6,965,400
----------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................... 631,403 1,087,898 159,661
Investment Securities Purchased............................................ 76,946 61,664 8,818
Due to Advisor............................................................. 2,385 2,190 1,124
Futures Margin Variation................................................... 1,836 995 --
Unrealized Loss on Foreign Currency Contracts................................ -- 2 --
Accrued Expenses and Other Liabilities....................................... 1,373 1,056 369
----------- ----------- ----------
Total Liabilities....................................................... 713,943 1,153,805 169,972
----------- ----------- ----------
NET ASSETS................................................................... $28,850,441 $13,407,990 $6,795,428
=========== =========== ==========
Investments at Cost.......................................................... $19,687,331 $10,982,277 $3,661,971
=========== =========== ==========
Foreign Currencies at Cost................................................... $ -- $ 129,029 $ --
=========== =========== ==========
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
35
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE U.S.
LARGE CAP THE DFA THE TAX-MANAGED
VALUE INTERNATIONAL U.S. MARKETWIDE
SERIES# VALUE SERIES# VALUE SERIES#
---------- ------------- ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $22,518 and $4,
respectively)................................................... $ 320,493 $205,749 $ 74,999
Non Cash Income.................................................. -- 12,718 --
Income from Securities Lending................................... 1,222 4,583 440
---------- -------- --------
Total Investment Income....................................... 321,715 223,050 75,439
---------- -------- --------
EXPENSES
Investment Management Fees....................................... 14,450 13,103 6,862
Accounting & Transfer Agent Fees................................. 598 277 142
Custodian Fees................................................... 130 515 33
Directors'/Trustees' Fees & Expenses............................. 111 51 27
Professional Fees................................................ 175 87 42
Other............................................................ 285 181 75
---------- -------- --------
Total Expenses................................................ 15,749 14,214 7,181
---------- -------- --------
Fees Paid Indirectly (Note C).................................... -- (183) --
---------- -------- --------
Net Expenses..................................................... 15,749 14,031 7,181
---------- -------- --------
NET INVESTMENT INCOME (LOSS)..................................... 305,966 209,019 68,258
---------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... 577,939 356,134 117,773
Affiliated Investment Companies Shares Sold.................... (38) (139) (24)
Futures........................................................ 21,852 5,965 697
Foreign Currency Transactions.................................. -- 1,833 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 121,705 77,200 59,996
Affiliated Investment Companies Shares......................... (14) 55 2
Futures........................................................ (14,899) (4,571) --
Translation of Foreign Currency Denominated Amounts............ -- (1,219) --
---------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).......................... 706,545 435,258 178,444
---------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $1,012,511 $644,277 $246,702
========== ======== ========
----------
**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.
36
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
------------------------ ------------------------ ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............... $ 305,966 $ 540,980 $ 209,019 $ 373,063 $ 68,258 $ 126,408
Net Realized Gain (Loss) on:
Investment Securities Sold*............... 577,939 1,415,252 356,134 133,582 117,773 218,751
Affiliated Investment Companies Shares
Sold..................................... (38) (4) (139) 55 (24) 22
Futures................................... 21,852 22,013 5,965 16,570 697 77
Foreign Currency Transactions............. -- -- 1,833 (2,679) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. 121,705 3,199,777 77,200 2,126,222 59,996 896,370
Affiliated Investment Companies Shares
Sold..................................... (14) (95) 55 (73) 2 (29)
Futures................................... (14,899) 11,932 (4,571) 3,736 -- --
Translation of Foreign Currency
Denominated Amounts...................... -- -- (1,219) 1,069 -- --
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... 1,012,511 5,189,855 644,277 2,651,545 246,702 1,241,599
----------- ----------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions.............................. 1,218,206 2,626,519 401,774 995,812 97,907 176,018
Withdrawals................................ (1,056,822) (1,056,396) (370,211) (644,747) (216,277) (288,925)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest................ 161,384 1,570,123 31,563 351,065 (118,370) (112,907)
----------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets.................................. 1,173,895 6,759,978 675,840 3,002,610 128,332 1,128,692
NET ASSETS
Beginning of Period........................ 27,676,546 20,916,568 12,732,150 9,729,540 6,667,096 5,538,404
----------- ----------- ----------- ----------- ---------- ----------
End of Period.............................. $28,850,441 $27,676,546 $13,407,990 $12,732,150 $6,795,428 $6,667,096
=========== =========== =========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
37
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014
--------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Total Return......................................... 3.67%(C) 24.31% 4.75% 1.32% 15.67%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $28,850,441 $27,676,546 $20,916,568 $19,094,057 $18,376,682
Ratio of Expenses to Average Net Assets.............. 0.11%(D) 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets. 2.12%(D) 2.19% 2.39% 2.20% 1.90%
Portfolio Turnover Rate.............................. 6%(C) 15% 15% 16% 15%
--------------------------------------------------------------------------------------------------------------------------
------------
YEAR
ENDED
OCT. 31,
2013
------------------------------------------------------------------
Total Return......................................... 35.68%
------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $14,838,988
Ratio of Expenses to Average Net Assets.............. 0.11%
Ratio of Net Investment Income to Average Net Assets. 1.98%
Portfolio Turnover Rate.............................. 15%
------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014
------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Total Return............................................. 5.08%(C) 26.53% (0.10)% (5.35)% (0.72)%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................... $13,407,990 $12,732,150 $9,729,540 $9,227,905 $9,343,666
Ratio of Expenses to Average Net Assets.................. 0.21%(D) 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding (Fees
Paid Indirectly))....................................... 0.22%(D) 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets..... 3.19%(D) 3.33% 3.72% 3.31% 4.50%
Portfolio Turnover Rate.................................. 10%(C) 17% 17% 21% 17%
------------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2013
---------------------------------------------------------------------
Total Return............................................. 28.18%
---------------------------------------------------------------------
Net Assets, End of Period (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%
---------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Total Return......................................... 3.67%(C) 22.61% 2.79% 2.93% 15.17% 35.92%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $6,795,428 $6,667,096 $5,538,404 $5,348,412 $5,143,977 $4,389,755
Ratio of Expenses to Average Net Assets.............. 0.21%(D) 0.21% 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to Average Net Assets. 1.99%(D) 2.02% 2.05% 1.82% 1.61% 1.82%
Portfolio Turnover Rate.............................. 3%(C) 7% 9% 6% 2% 5%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
38
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, three of which, The 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 ask 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
39
day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset value of the International Series is computed. Due to
the time differences between the closings of the relevant foreign securities
exchanges and the time the International Series prices its shares at the close
of the NYSE, the International Series will fair value its foreign investments
when it is determined that the market quotations for the foreign investments
are either unreliable or not readily available. The fair value prices will
attempt to reflect the impact of the U.S. financial markets' perceptions and
trading activities on International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). When the
International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2018, 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 ask 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.
40
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2018, none of the Trustees have requested
or received a distribution of proceeds of a deferred fee account.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Series estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to a
Series are directly charged. Common expenses of the Trust or the Series are
allocated using methods approved by the Board of Trustees, generally based on
average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series. For the six months ended April 30, 2018, 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%, respectively, 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 six months ended April 30, 2018,
expenses reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series. $183
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2018, the total related amounts paid by the
Trust to the CCO were $43 (in thousands). The total related amounts paid by
each of the Series are included in Other Expenses on the Statement of
Operations.
41
D. DEFERRED COMPENSATION:
At April 30, 2018, 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.............. $652
The DFA International Value Series........... 392
The Tax-Managed U.S. Marketwide Value Series. 184
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2018, the Series made the following
purchases and sales of investment securities, other than short-term securities,
in-kind redemptions and U.S. government securities (amounts in thousands):
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series.............. $2,176,121 $1,607,330
The DFA International Value Series........... 1,499,991 1,347,535
The Tax-Managed U.S. Marketwide Value Series. 197,163 221,958
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
NET REALIZED CAPITAL GAIN
GAIN/(LOSS) DIVIDEND DISTRIBUTIONS
ON SALES OF CHANGE IN INCOME FROM FROM
AFFILIATED UNREALIZED SHARES AFFILIATED AFFILIATED
BALANCE AT PURCHASES PROCEEDS INVESTMENT APPRECIATION/ BALANCE AT AS OF INVESTMENT INVESTMENT
10/31/17 AT COST FROM SALES COMPANIES DEPRECIATION 04/30/18 04/30/18 COMPANIES COMPANIES
---------- ---------- ---------- ------------ ------------- ---------- -------- ----------- -------------
THE U.S. LARGE CAP
VALUE SERIES
DFA Short Term
Investment
Fund.............. $522,421 $2,517,135 $2,408,097 $ (38) $(14) $ 631,407 54,572 $4,585 --
-------- ---------- ---------- ----- ---- ---------- ------ ------ --
TOTAL.............. $522,421 $2,517,135 $2,408,097 $ (38) $(14) $ 631,407 54,572 $4,585 --
======== ========== ========== ===== ==== ========== ====== ====== ==
THE DFA
INTERNATIONAL
VALUE SERIES
DFA Short Term
Investment
Fund.............. $593,861 $3,705,546 $3,211,443 $(139) $ 55 $1,087,880 94,026 $ 4 --
-------- ---------- ---------- ----- ---- ---------- ------ ------ --
TOTAL.............. $593,861 $3,705,546 $3,211,443 $(139) $ 55 $1,087,880 94,026 $ 4 --
======== ========== ========== ===== ==== ========== ====== ====== ==
THE TAX-MANAGED
U.S. MARKETWIDE
VALUE SERIES
DFA Short Term
Investment
Fund.............. $108,958 $ 697,612 $ 646,878 $ (24) $ 2 $ 159,670 13,800 $ -- --
-------- ---------- ---------- ----- ---- ---------- ------ ------ --
TOTAL.............. $108,958 $ 697,612 $ 646,878 $ (24) $ 2 $ 159,670 13,800 $ -- --
======== ========== ========== ===== ==== ========== ====== ====== ==
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.
42
At April 30, 2018, 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.............. $20,772,833 $9,324,903 $(601,549) $8,723,354
The DFA International Value Series........... 12,176,736 2,525,483 (438,297) 2,087,195
The Tax-Managed U.S. Marketwide Value Series. 3,823,041 3,226,161 (94,637) 3,131,524
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 International Series and the U.S. Large Cap
Value Series listed 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
43
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.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amounts in
thousands):
FUTURES
-------
The U.S. Large Cap Value Series.... 197,143
The DFA International Value Series. 105,057
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of April 30, 2018:
LOCATION ON THE STATEMENTS OF ASSETS AND
LIABILITIES
---------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------------ ------------------------
Equity contracts Receivables: Futures Payables: Futures
Margin Variation Margin Variation
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
ASSET DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2018 CONTRACTS*
-------------- ----------
The DFA International Value Series. $ 6 $ 6
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2018 CONTRACTS*
-------------- ----------
The U.S. Large Cap Value Series.... $(6,839) $(6,839)
The DFA International Value Series. (1,694) (1,694)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Series' Statements of
Operations of realized and change in unrealized gains and losses from the
Series' derivative investment holdings for the six months ended April 30, 2018:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Equity contracts. Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
44
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2018 (amounts in
thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
-----------------------------
EQUITY
TOTAL CONTRACTS
-------- ---------
The U.S. Large Cap Value Series............... $ 21,852 $ 21,852
The DFA International Value Series............ 5,965 5,965
The Tax-Managed U.S. Marketwide Value Series*. 697 697
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
EQUITY
TOTAL CONTRACTS
-------- ---------
The U.S. Large Cap Value Series............... $(14,899) $(14,899)
The DFA International Value Series............ (4,571) (4,571)
* As of April 30, 2018, there were no futures contracts outstanding. During the
six months ended April 30, 2018, 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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
For the six months ended April 30, 2018, 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.............................. 2.28% $2,064 31 $4 $6,229
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 2018.
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
45
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not utilize the interfund lending program during the six
months ended April 30, 2018.
I. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2018, if any, were executed
by the Series pursuant to procedures adopted by the Board of Trustees of the
Trust to ensure compliance with Rule 17a-7 under the Investment Company Act of
1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common trustees and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the six months ended April 30, 2018, 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.............. $217,124 $63,445 $(6,312)
The DFA International Value Series........... 65,940 42,328 8,941
The Tax-Managed U.S. Marketwide Value Series. 60,355 1,369 411
J. SECURITIES LENDING:
As of April 30, 2018, 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. Treasuries and U.S. government agency securities as
follows (amounts in thousands):
MARKET
VALUE
--------
The U.S. Large Cap Value Series.............. $563,472
The DFA International Value Series........... 46,750
The Tax-Managed U.S. Marketwide Value Series. 122,459
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.
46
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 April 30, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2018
------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
SECURITIES LENDING TRANSACTIONS
THE U.S. LARGE CAP VALUE SERIES
Common Stocks................... $ 631,406,902 -- -- -- $ 631,406,902
THE DFA INTERNATIONAL VALUE
SERIES
Common Stocks................... 1,087,880,349 -- -- -- 1,087,880,349
THE TAX-MANAGED U.S.
MARKETWIDE VALUE SERIES
Common Stocks................... 159,669,803 -- -- -- 159,669,803
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
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.
47
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 (the "Supreme Court") to
review the Second Circuit's ruling, and that petition is pending. Additionally,
the individual creditor plaintiffs have moved the Second Circuit to review its
prior ruling in light of a recent decision by the Supreme Court (in an
unrelated case) regarding the scope of the Bankruptcy Code's safe harbor for
securities transactions; such review is pending. On January 6, 2017, the Court
granted the shareholder defendants' 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). Additionally, the Trustee has requested leave from the District
Court to file an amended complaint to assert new claims against the shareholder
defendants in light of the recent Supreme Court decision addressing the scope
of the Bankruptcy Code's safe harbor for securities transactions; that request
is pending.
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.
48
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.
49
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2017 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. and the Board of Trustees of The
DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment management agreements (the "Management
Agreements") for each portfolio or series (collectively, the "Funds") and the
sub-advisory agreements for The DFA International Value Series. Dimensional
Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors to The DFA
International Value Series. (The investment management agreements and the
sub-advisory agreements are referred to as the "Management Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.").
Prior to the Meeting, independent counsel to the Independent Board Members sent
to the Advisor a request for information, which identified the information that
the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering the
continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the Advisor
to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
global investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Morningstar
Reports, which compared the performance of each Fund with other funds in its
respective peer group and investment category. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board determined, among other things, that after
considering each Fund's investment strategies and the expectations of its
shareholder base, the performance of each Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering the
reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
The Board considered the profitability of each Fund to the Advisor by reviewing
the profitability analysis provided by the Advisor, including information about
its fee revenues and income. The Board reviewed the overall profitability of
the Advisor, and the compensation that it received for providing services to
each Fund. The Board considered the profitability to the Advisor of managing
and servicing the Funds and the Advisor's unregistered clients, such as
collective trusts, group trusts and separate accounts. Upon closely examining
the Advisor's profitability, the Board concluded, among other things, that it
was reasonable.
The Board also discussed whether economies of scale are realized by the Advisor
with respect to each Fund as it grows larger, and the extent to which this is
reflected in the level of management fees charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of management fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single factor
identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
50
DFA043018-008S
[LOGO] 00211504
[LOGO]
Semi-Annual Report
SIX MONTHS ENDED: APRIL 30, 2018 (UNAUDITED)
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II
[LOGO]
June 2018
Dear Fellow Shareholder,
Sound investment solutions based on financial science are at the heart of
Dimensional. Just as important is our commitment to serving our clients. We
take great pride in the many longstanding clients we have had the honor of
working with over the last four decades.
Delivering great investment experiences informs everything we do, from the
design of our strategies to the ways that we explain our approach and set
expectations. We place tremendous value on helping our clients understand what
they can expect from us. By being transparent about what we can deliver, and
following through with robust investment strategies, we help clients achieve
their financial goals.
David Booth, our founder, often speaks of his satisfaction and joy in helping
change the investor landscape for the better. We share this passion and, on
behalf of everyone at Dimensional, we thank you for trusting us with your
investments.
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.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES......... 1
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses..................... 2
Disclosure of Portfolio Holdings................ 3
Schedule of Investments
Emerging Markets Portfolio II............... 4
Statement of Assets and Liabilities............. 5
Statement of Operations......................... 6
Statement of Changes in Net Assets.............. 7
Financial Highlights............................ 8
Notes to Financial Statements................... 9
Section 19(a) Notice............................ 15
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses..................... 16
Disclosure of Portfolio Holdings................ 17
Summary Schedule of Portfolio Holdings
The Emerging Markets Series................. 18
Statement of Assets and Liabilities............. 22
Statement of Operations......................... 23
Statement of Changes in Net Assets.............. 24
Financial Highlights............................ 25
Notes to Financial Statements................... 26
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........ 35
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS. 36
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 Fund.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table 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 APRIL 30, 2018
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
EMERGING MARKETS PORTFOLIO II**
-------------------------------
Actual Fund Return.............. $1,000.00 $1,043.10 0.34% $1.72
Hypothetical 5% Annual Return... $1,000.00 $1,023.11 0.34% $1.71
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
2
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 29, 2018. 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 Schedules of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
Emerging Markets Portfolio II. 100.0%
3
EMERGING MARKETS PORTFOLIO II
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
VALUE+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $90,824,738
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $90,824,738
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
4
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING
MARKETS
PORTFOLIO II
------------
ASSETS:
Investment in Affiliated Investment Company at Value................................... $ 90,825
Prepaid Expenses and Other Assets...................................................... 8
------------
Total Assets...................................................................... 90,833
------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 322
Due to Advisor....................................................................... 11
Accrued Expenses and Other Liabilities................................................. 10
------------
Total Liabilities................................................................. 343
------------
NET ASSETS............................................................................. $ 90,490
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 3,088,279
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 29.30
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 6,670
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). (63)
Accumulated Net Realized Gain (Loss)................................................... 2,865
Net Unrealized Foreign Exchange Gain (Loss)............................................ 2
Net Unrealized Appreciation (Depreciation)............................................. 81,016
------------
NET ASSETS............................................................................. $ 90,490
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000
============
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
EMERGING
MARKETS
PORTFOLIO II*#
--------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $74)................................................ $ 753
Income from Securities Lending.................................................................. 37
Expenses Allocated from Affiliated Investment Company........................................... (67)
------
Total Investment Income........................................................................ 723
------
FUND EXPENSES
Investment Management Fees........................................................................ 112
Accounting & Transfer Agent Fees.................................................................. 2
Filing Fees....................................................................................... 11
Shareholders' Reports............................................................................. 2
Other............................................................................................. 2
------
Total Expenses................................................................................. 129
------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C). (45)
------
Net Expenses...................................................................................... 84
------
NET INVESTMENT INCOME (LOSS)...................................................................... 639
------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company**..................................... 3,278
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company....................................... (482)
------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................... 2,796
------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................... $3,435
======
----------
* 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.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS PORTFOLIO II
-----------------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
----------- --------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................................. $ 639 $ 1,492
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company*................. 3,278 1,433
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company.................. (482) 14,205
------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations........... 3,435 17,130
------- --------
Distributions From:
Net Investment Income........................................................ (1,653) (1,837)
------- --------
Total Distributions....................................................... (1,653) (1,837)
------- --------
Capital Share Transactions (1):
Shares Issued................................................................ 11,090 17,147
Shares Issued in Lieu of Cash Distributions.................................. 1,653 1,837
Shares Redeemed.............................................................. (7,334) (34,308)
------- --------
Net Increase (Decrease) from Capital Share Transactions................... 5,409 (15,324)
------- --------
Total Increase (Decrease) in Net Assets................................... 7,191 (31)
NET ASSETS
Beginning of Period.......................................................... 83,299 83,330
------- --------
End of Period................................................................ $90,490 $ 83,299
------- --------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................ 369 689
Shares Issued in Lieu of Cash Distributions.................................. 59 84
Shares Redeemed.............................................................. (248) (1,417)
------- --------
Net Increase (Decrease) from Shares Issued and Redeemed................... 180 (644)
======= ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)....................................................................... $ (63) $ 951
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO II
------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period........................ $ 28.65 $ 23.46 $ 21.80 $ 26.34 $ 26.65 $ 25.49
------- ------- ------- ------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.21 0.49 0.48 0.53 0.59 0.56
Net Gains (Losses) on Securities (Realized and Unrealized). 1.00 5.22 1.85 (4.45) (0.22) 1.16
------- ------- ------- ------- -------- --------
Total from Investment Operations......................... 1.21 5.71 2.33 (3.92) 0.37 1.72
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.56) (0.52) (0.67) (0.62) (0.68) (0.56)
------- ------- ------- ------- -------- --------
Total Distributions...................................... (0.56) (0.52) (0.67) (0.62) (0.68) (0.56)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 29.30 $ 28.65 $ 23.46 $ 21.80 $ 26.34 $ 26.65
=========================================================== =========== ======== ======== ======== ======== ========
Total Return................................................ 4.31%(C) 25.04% 11.26% (15.02)% 1.53% 6.80%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $90,490 $83,299 $83,330 $82,418 $104,987 $112,140
Ratio of Expenses to Average Net Assets (B)................. 0.34%(D) 0.34% 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%(D) 0.44% 0.44% 0.36% 0.34% 0.35%
Ratio of Net Investment Income to Average Net Assets (B).... 1.42%(D) 1.95% 2.25% 2.18% 2.29% 2.17%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twelve 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
April 30, 2018, 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 six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolio.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio;
9
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to the Portfolio
are directly charged. Common expenses of the Fund or the Portfolio are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
For the six months ended April 30, 2018, the investment management fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.25% of average daily net assets for the Portfolio. Waived fees/expenses
assumed during the six months ended April 30, 2018 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% -- -- $45
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 six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $16 (in thousands). The total related amount paid by the
Portfolio is included in Other Expenses on the Statement of Operations.
10
D. DEFERRED COMPENSATION:
At April 30, 2018, 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 (amount in thousands):
Emerging Markets Portfolio II. $6
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 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
11
enactment. As of October 31, 2017, the Portfolio had the following capital loss
carryforwards available to offset future realized capital gains (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 (amount in thousands):
Emerging Markets Portfolio II. $1,393
At April 30, 2018, 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. $8,380 $82,445 -- $82,445
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 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. Upon entering
into a futures contract, the Portfolio deposits cash or pledges U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Portfolio as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
Portfolio records a realized 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.
12
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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
There were no borrowings by the Portfolio under the lines of credit during
the six months ended April 30, 2018.
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
J. OTHER:
At April 30, 2018, 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.
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filled actions against all shareholders of
The Tribune Company who tendered shared when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, or 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.
13
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.
14
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 Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------
NET INCOME
FOR THE
CURRENT OR ACCUMULATED
PRECEDING UNDISTRIBUTED
FISCAL YEAR, NET PROFITS PAID-IN
AND FROM THE SALE SURPLUS OR
ACCUMULATED OF SECURITIES OTHER
PORTFOLIO NAME UNDISTRIBUTED OR OTHER CAPITAL
-------------- NET INCOME PROPERTIES SOURCE
Emerging Markets Portfolio II
December 15, 2017.......... 60% 0% 40%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
15
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2018
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return............ $1,000.00 $1,044.20 0.15% $0.76
Hypothetical 5% Annual Return. $1,000.00 $1,024.05 0.15% $0.75
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
16
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 29, 2018. 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....................... 9.0%
Consumer Staples............................. 8.1%
Energy....................................... 7.1%
Financials................................... 22.1%
Health Care.................................. 2.6%
Industrials.................................. 7.0%
Information Technology....................... 24.1%
Materials.................................... 10.2%
Real Estate.................................. 2.2%
Telecommunication Services................... 4.9%
Utilities.................................... 2.7%
-----
100.0%
17
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (93.4%)
BRAZIL -- (5.1%)
Ambev SA ADR........................................ 5,984,451 $ 39,617,066 0.6%
* Petroleo Brasileiro SA.............................. 2,706,971 19,031,941 0.3%
Vale SA............................................. 3,260,013 45,291,394 0.7%
Vale SA Sponsored ADR............................... 1,665,739 23,053,821 0.4%
Other Securities.................................... 208,234,446 3.3%
-------------- -----
TOTAL BRAZIL............................................ 335,228,668 5.3%
-------------- -----
CHILE -- (1.4%)
Other Securities.................................... 91,983,558 1.4%
-------------- -----
CHINA -- (16.5%)
#* Alibaba Group Holding, Ltd. Sponsored ADR........... 524,851 93,706,898 1.5%
* Baidu, Inc. Sponsored ADR........................... 106,675 26,764,758 0.4%
Bank of China, Ltd. Class H......................... 38,183,181 20,727,017 0.3%
China Construction Bank Corp. Class H............... 51,616,590 54,076,560 0.9%
China Mobile, Ltd. Sponsored ADR.................... 902,501 42,832,697 0.7%
China Overseas Land & Investment, Ltd............... 5,600,000 18,763,536 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 44,476,185 39,044,799 0.6%
# Ping An Insurance Group Co. of China, Ltd. Class H.. 3,690,000 36,056,465 0.6%
Tencent Holdings, Ltd............................... 3,704,000 182,099,318 2.9%
Other Securities.................................... 569,302,297 8.8%
-------------- -----
TOTAL CHINA............................................. 1,083,374,345 17.0%
-------------- -----
COLOMBIA -- (0.4%)
Other Securities.................................... 29,163,315 0.5%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 11,320,543 0.2%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 7,867,478 0.1%
-------------- -----
GREECE -- (0.3%)
Other Securities.................................... 16,993,952 0.3%
-------------- -----
HUNGARY -- (0.5%)
Other Securities.................................... 29,526,615 0.5%
-------------- -----
INDIA -- (11.7%)
HDFC Bank, Ltd...................................... 1,383,984 40,178,293 0.6%
Hindustan Unilever, Ltd............................. 992,915 22,261,640 0.4%
Housing Development Finance Corp., Ltd.............. 1,536,141 43,194,699 0.7%
Infosys, Ltd........................................ 1,805,229 32,365,991 0.5%
ITC, Ltd............................................ 4,651,621 19,622,074 0.3%
Maruti Suzuki India, Ltd............................ 138,331 18,190,216 0.3%
Reliance Industries, Ltd............................ 3,162,713 45,461,821 0.7%
Tata Consultancy Services, Ltd...................... 702,461 37,048,009 0.6%
Other Securities.................................... 511,920,870 8.0%
-------------- -----
TOTAL INDIA............................................. 770,243,613 12.1%
-------------- -----
INDONESIA -- (2.4%)
Other Securities.................................... 155,146,804 2.4%
-------------- -----
18
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (3.0%)
Public Bank Bhd.............................. 3,656,014 $ 22,122,427 0.4%
Other Securities............................. 173,447,644 2.7%
-------------- -----
TOTAL MALAYSIA................................... 195,570,071 3.1%
-------------- -----
MEXICO -- (3.7%)
America Movil S.A.B. de C.V. Series L........ 48,207,854 44,593,821 0.7%
Grupo Mexico S.A.B. de C.V. Series B......... 6,360,255 21,057,958 0.3%
Wal-Mart de Mexico S.A.B. de C.V............. 7,198,435 20,014,844 0.3%
Other Securities............................. 159,968,651 2.5%
-------------- -----
TOTAL MEXICO..................................... 245,635,274 3.8%
-------------- -----
PERU -- (0.3%)
Credicorp, Ltd............................... 78,885 18,339,974 0.3%
Other Securities............................. 2,784,756 0.0%
-------------- -----
TOTAL PERU....................................... 21,124,730 0.3%
-------------- -----
PHILIPPINES -- (1.2%)
Other Securities............................. 81,363,316 1.3%
-------------- -----
POLAND -- (1.6%)
Other Securities............................. 103,007,068 1.6%
-------------- -----
RUSSIA -- (1.5%)
Sberbank of Russia PJSC Sponsored ADR........ 1,818,206 26,884,454 0.4%
Other Securities............................. 71,830,889 1.1%
-------------- -----
TOTAL RUSSIA..................................... 98,715,343 1.5%
-------------- -----
SOUTH AFRICA -- (8.0%)
Barclays Africa Group, Ltd................... 2,048,355 30,002,817 0.5%
FirstRand, Ltd............................... 4,821,116 25,819,616 0.4%
MTN Group, Ltd............................... 3,210,942 32,227,237 0.5%
Naspers, Ltd. Class N........................ 341,078 83,093,265 1.3%
# Sasol, Ltd. Sponsored ADR.................... 776,248 27,580,091 0.4%
Standard Bank Group, Ltd..................... 2,064,368 35,405,121 0.6%
Other Securities............................. 288,655,212 4.5%
-------------- -----
TOTAL SOUTH AFRICA............................... 522,783,359 8.2%
-------------- -----
SOUTH KOREA -- (17.4%)
#* Celltrion, Inc............................... 86,084 21,595,636 0.3%
Hana Financial Group, Inc.................... 480,370 21,344,370 0.3%
# Hyundai Motor Co............................. 144,321 21,525,156 0.3%
KB Financial Group, Inc...................... 319,263 18,138,931 0.3%
NAVER Corp................................... 37,790 25,199,972 0.4%
POSCO........................................ 70,065 24,141,643 0.4%
Samsung Electronics Co., Ltd................. 98,259 243,485,802 3.8%
Samsung Electronics Co., Ltd. GDR............ 52,509 64,281,135 1.0%
SK Hynix, Inc................................ 821,484 64,604,772 1.0%
Other Securities............................. 634,128,095 10.0%
-------------- -----
TOTAL SOUTH KOREA................................ 1,138,445,512 17.8%
-------------- -----
TAIWAN -- (14.0%)
ASE Industrial Holdings Co., Ltd............. 7,079,781 19,215,061 0.3%
Hon Hai Precision Industry Co., Ltd.......... 17,063,653 47,460,530 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd.. 23,066,808 175,707,670 2.8%
19
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd.
Sponsored ADR............................... 1,815,491 $ 69,805,629 1.1%
Other Securities............................. 609,575,734 9.4%
-------------- ------
TOTAL TAIWAN....................................... 921,764,624 14.4%
-------------- ------
THAILAND -- (3.0%)
PTT PCL...................................... 16,434,000 29,420,817 0.5%
Other Securities............................. 168,588,601 2.6%
-------------- ------
TOTAL THAILAND..................................... 198,009,418 3.1%
-------------- ------
TURKEY -- (1.1%)
Other Securities............................. 72,770,566 1.1%
-------------- ------
TOTAL COMMON STOCKS................................ 6,130,038,172 96.0%
-------------- ------
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA............................ 2,718,984 26,831,262 0.4%
Itau Unibanco Holding SA..................... 4,057,827 59,085,909 0.9%
* Petroleo Brasileiro SA....................... 2,860,161 18,753,682 0.3%
Other Securities............................. 47,573,680 0.8%
-------------- ------
TOTAL BRAZIL....................................... 152,244,533 2.4%
-------------- ------
CHILE -- (0.0%)
Other Securities............................. 874,139 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities............................. 5,970,079 0.1%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities............................. 90,595 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities............................. 280,119 0.0%
-------------- ------
TOTAL PREFERRED STOCKS............................. 159,459,465 2.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
MALAYSIA -- (0.0%)
Other Securities............................. 34,866 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES........................ 6,289,532,503
--------------
- - -
VALUE+
------
SECURITIES LENDING COLLATERAL -- (4.2%)
(S)@ DFA Short Term Investment Fund............... 23,593,302 272,974,500 4.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,166,657,005).......................... $6,562,507,003 102.8%
============== ======
20
THE EMERGING MARKETS SERIES
CONTINUED
At April 30, 2018, 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 06/15/18 $39,273,725 $37,446,500 $(1,827,225)
S&P 500(R) Emini Index......... 54 06/15/18 6,989,630 7,146,900 157,270
----------- ----------- -----------
TOTAL FUTURES CONTRACTS........ $46,263,355 $44,593,400 $(1,669,955)
=========== =========== ===========
Summary of the Series' investments as of April 30, 2018, 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...................... $ 335,228,668 -- -- $ 335,228,668
Chile....................... 45,788,299 $ 46,195,259 -- 91,983,558
China....................... 270,654,834 812,719,511 -- 1,083,374,345
Colombia.................... 29,163,315 -- -- 29,163,315
Czech Republic.............. -- 11,320,543 -- 11,320,543
Egypt....................... 660,723 7,206,755 -- 7,867,478
Greece...................... -- 16,993,952 -- 16,993,952
Hungary..................... -- 29,526,615 -- 29,526,615
India....................... 30,293,727 739,949,886 -- 770,243,613
Indonesia................... 5,361,928 149,784,876 -- 155,146,804
Malaysia.................... -- 195,570,071 -- 195,570,071
Mexico...................... 245,635,274 -- -- 245,635,274
Peru........................ 21,124,730 -- -- 21,124,730
Philippines................. 1,771,538 79,591,778 -- 81,363,316
Poland...................... -- 103,007,068 -- 103,007,068
Russia...................... 7,053,643 91,661,700 -- 98,715,343
South Africa................ 55,434,585 467,348,774 -- 522,783,359
South Korea................. 29,636,122 1,108,809,390 -- 1,138,445,512
Taiwan...................... 101,175,018 820,589,606 -- 921,764,624
Thailand.................... 198,009,418 -- -- 198,009,418
Turkey...................... 638,699 72,131,867 -- 72,770,566
Preferred Stocks
Brazil...................... 152,244,533 -- -- 152,244,533
Chile....................... -- 874,139 -- 874,139
Colombia.................... 5,970,079 -- -- 5,970,079
Malaysia.................... 90,595 -- -- 90,595
South Korea................. 280,119 -- -- 280,119
Rights/Warrants
Malaysia.................... -- 34,866 -- 34,866
Securities Lending Collateral. -- 272,974,500 -- 272,974,500
Futures Contracts**........... (1,669,955) -- -- (1,669,955)
-------------- -------------- -- --------------
TOTAL......................... $1,534,545,892 $5,026,291,156 -- $6,560,837,048
============== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
21
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS SERIES*
---------------
ASSETS:
Investments at Value (including $418,132 of securities on loan, respectively).................. $6,289,533
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $272,961). 272,974
Segregated Cash for Futures Contracts.......................................................... 2,003
Foreign Currencies at Value.................................................................... 29,077
Cash........................................................................................... 49,849
Receivables:
Investment Securities Sold................................................................... 6,795
Dividends, Interest and Tax Reclaims......................................................... 5,645
Securities Lending Income.................................................................... 584
Prepaid Expenses and Other Assets.............................................................. 6
----------
Total Assets.............................................................................. 6,656,466
----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 272,984
Investment Securities Purchased.............................................................. 34
Due to Advisor............................................................................... 526
Futures Margin Variation..................................................................... 375
Accrued Expenses and Other Liabilities......................................................... 1,386
----------
Total Liabilities......................................................................... 275,305
----------
NET ASSETS..................................................................................... $6,381,161
==========
Investments at Cost............................................................................ $3,893,696
==========
Foreign Currencies at Cost..................................................................... $ 29,392
==========
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
22
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS
SERIES#
------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $5,166)........... $ 53,281
Income from Securities Lending................................ 2,654
--------
Total Investment Income.................................... 55,935
--------
EXPENSES
Investment Management Fees.................................... 3,243
Accounting & Transfer Agent Fees.............................. 139
Custodian Fees................................................ 1,326
Directors'/Trustees' Fees & Expenses.......................... 26
Professional Fees............................................. 57
Other......................................................... 102
--------
Total Expenses............................................. 4,893
--------
Fees Paid Indirectly (Note C)................................. (85)
--------
Net Expenses.................................................. 4,808
--------
NET INVESTMENT INCOME (LOSS).................................. 51,127
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 85,707
Affiliated Investment Companies Shares Sold................. (22)
Futures..................................................... 2,701
Foreign Currency Transactions............................... 1,008
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 132,049
Affiliated Investment Companies Shares...................... 9
Futures..................................................... (2,333)
Translation of Foreign Currency Denominated Amounts......... (43)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 219,076
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $270,203
========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
23
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE EMERGING MARKETS SERIES
---------------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
- ----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 51,127 $ 128,502
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 85,707 (7,795)
Affiliated Investment Companies Shares Sold......................... (22) (8)
Futures............................................................. 2,701 8,355
Foreign Currency Transactions....................................... 1,008 (35)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 132,049 1,213,036
Affiliated Investment Companies Shares Sold......................... 9 (19)
Futures............................................................. (2,333) 929
Translation of Foreign Currency Denominated Amounts................. (43) (69)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 270,203 1,342,896
---------- ----------
Transactions in Interest:
Contributions......................................................... 299,372 738,457
Withdrawals........................................................... (911,621) (355,877)
---------- ----------
Net Increase (Decrease) from Transactions in Interest.............. (612,249) 382,580
---------- ----------
Total Increase (Decrease) in Net Assets............................ (342,046) 1,725,476
NET ASSETS
Beginning of Period................................................... 6,723,207 4,997,731
---------- ----------
End of Period......................................................... $6,381,161 $6,723,207
========== ==========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
24
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SERIES
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Total Return...................................... 4.42%(C) 25.26% 11.44% (14.86)% 1.74% 6.99%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $6,381,161 $6,723,207 $4,997,731 $4,403,555 $4,185,451 $3,766,160
Ratio of Expenses to Average Net Assets........... 0.15%(D) 0.15% 0.15% 0.16% 0.15% 0.16%
Ratio of Expenses to Average Net Assets
(Excluding (Fees Paid Indirectly))............... 0.15%(D) 0.15% 0.15% 0.16% 0.15% 0.16%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.58%(D) 2.23% 2.45% 2.39% 2.51% 2.38%
Portfolio Turnover Rate........................... 5%(C) 8% 5% 9% 5% 4%
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, one of which, The Emerging
Markets Series (the "Series"), is presented in this report. The remaining
portfolios are presented in separate reports. The Series is an investment
company, and accordingly, follows the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series values the securities within the range of the
most recent quoted bid and ask 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
26
net asset value of the Series is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time the
Series prices its shares at the close of the NYSE, the Series will fair value
its foreign investments when it is determined that the market quotations for
the foreign investments are either unreliable or not readily available. The
fair value prices will attempt to reflect the impact of the U.S. financial
markets' perceptions and trading activities on the Series' foreign investments
since the last closing prices of the foreign investments were calculated on
their primary foreign securities markets or exchanges. For these purposes, the
Board of Trustees of the 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 Series utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Series uses fair value
pricing, the values assigned to the foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2018, 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 ask 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
27
Trustee's deferred compensation until a date specified by such Trustee in the
Notice, which date may not be sooner than the earlier of: (i) the first
business day of January following the year in which such Trustee ceases to be a
member of the Board of Trustees of the Trust; and (ii) five years following the
effective date of the Trustee's first deferral election. If a Trustee who
elects to defer fees fails to designate in the Notice a time or date as of
which payment of the Trustee's deferred fee account shall commence, payment of
such amount shall commence as of the first business day of January following
the year in which the Trustee ceases to be a member of the Board (unless the
Trustee files an amended Notice selecting a different distribution date). As of
April 30, 2018, none of the Trustees have requested or received a distribution
of proceeds of a deferred fee account.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Series estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board, generally based on average net
assets.
The Series may be subject to taxes imposed by countries in which it invests,
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series is subject to a 15% tax on short-term capital
gains for investments in India. Such taxes are due upon sale of individual
securities. The capital gains taxes are recognized when the capital gains are
earned.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2018, investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.10% of average daily net assets for The Emerging
Markets Series.
EARNED INCOME CREDIT:
In addition, the Series has entered into arrangements with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of its custody expenses. Custody expense in the accompanying financial
statements is presented before reduction for credits. The impact of such
credits is generally less than one basis point of the Series' net assets.
During the six months ended April 30, 2018, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The Emerging Markets Series. $85
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2018, the total related amounts paid by the
Trust to the CCO were $43 (in thousands). The total related amount paid by the
Series is included in Other Expenses on the Statement of Operations.
28
D. DEFERRED COMPENSATION:
At April 30, 2018, 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. $161
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2018, the Series made the following
purchases and sales of investment securities, other than short-term securities,
in-kind redemptions and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- --------
The Emerging Markets Series. $342,805 $893,878
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
NET REALIZED CAPITAL GAIN
GAIN/(LOSS) DIVIDEND DISTRIBUTIONS
ON SALES OF CHANGE IN INCOME FROM FROM
BALANCE AFFILIATED UNREALIZED AFFILIATED AFFILIATED
AT PURCHASES PROCEEDS INVESTMENT APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT INVESTMENT
10/31/17 AT COST FROM SALES COMPANIES DEPRECIATION 04/30/18 04/30/18 COMPANIES COMPANIES
-------- --------- ---------- ------------ ------------- ---------- ------------ ----------- -------------
THE EMERGING MARKETS SERIES
DFA Short Term
Investment Fund. $202,669 $936,105 $865,787 $(22) $9 $272,974 23,593 $1,948 --
-------- -------- -------- ---- -- -------- ------ ------ --
TOTAL............ $202,669 $936,105 $865,787 $(22) $9 $272,974 23,593 $1,948 --
======== ======== ======== ==== == ======== ====== ====== ==
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to its partners.
At April 30, 2018, 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. $4,229,544 $2,569,546 $(238,253) $2,331,293
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.
29
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 six months ended April 30, 2018 (amount in
thousands):
FUTURES
-------
The Emerging Markets Series. 47,171
30
The following is a summary of the location of derivatives on the Series'
Statement of Assets and Liabilities as of April 30, 2018:
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
-----------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- --------------------- ---------------------
Equity contracts Receivables: Futures Payables: Futures
Margin Variation Margin Variation
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
ASSET DERIVATIVES VALUE
---------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2018 CONTRACTS*
- -------------- ----------
The Emerging Markets Series. $ 157 $ 157
LIABILITY DERIVATIVES VALUE
---------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2018 CONTRACTS*
- -------------- ----------
The Emerging Markets Series. $1,827 $1,827
* 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' Statement of
Operations of realized and change in unrealized gains and losses from Series'
derivative instrument holdings for the six months ended April 30, 2018:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Equity contracts Net Realized Gain (Loss) on:
Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2018 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
------------------------
EQUITY
TOTAL CONTRACTS
------- ---------
The Emerging Markets Series. $ 2,701 $ 2,701
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------
EQUITY
TOTAL CONTRACTS
------- ---------
The Emerging Markets Series. $(2,333) $(2,333)
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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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
31
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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
For the six months ended April 30, 2018, 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. 2.01% $24,676 8 $11 $117,083
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that the Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not utilize the interfund lending program during the six
months ended April 30, 2018.
I. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2018, if any, were executed by
the Series pursuant to procedures adopted by the Board of Trustees of the Trust
to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940
(the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common trustees and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the six months ended April 30, 2018, cross trades by the Series under
Rule 17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------ --------------------
The Emerging Markets Series. $3,611 $2,284 $73
32
J. SECURITIES LENDING:
As of April 30, 2018, the Series had securities on loan to brokers/dealers,
for which the 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 Emerging Markets Series. $165,940
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Series could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in the Money Market
Series, an affiliated registered money market fund advised by the Advisor for
which the Advisor receives a management fee of 0.05% of the average daily net
assets of the Money Market Series. 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, the Series will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or other distributions on the
loaned securities. However, dividend income received from loaned securities may
not be eligible to be taxed at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2018
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
THE EMERGING MARKETS SERIES
Common Stocks................... $272,974,500 -- -- -- $272,974,500
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
33
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
M. OTHER
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filled actions against all shareholders of
The Tribune Company who tendered shared when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, or 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.
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.
34
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.
35
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2017 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. and the Board of Trustees of The
DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment management agreements (the "Management
Agreements") for Emerging Markets Portfolio II and The Emerging Markets Series
(collectively, the "Funds") and the sub-advisory agreements for The Emerging
Markets Series. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve
as sub-advisors to The Emerging Markets Series. (The investment management
agreements and the sub-advisory agreements are referred to as the "Management
Agreements," and the Advisor and sub-advisors are referred to as the
"Advisor.").
Prior to the Meeting, independent counsel to the Independent Board Members sent
to the Advisor a request for information, which identified the information that
the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering the
continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the Advisor
to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
global investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Morningstar
Reports, which compared the performance of each Fund with other funds in its
respective peer group and investment category. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board determined, among other things, that after
considering each Fund's investment strategies and the expectations of its
shareholder base, the performance of each Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering the
reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
The Board considered the profitability of each Fund to the Advisor by reviewing
the profitability analysis provided by the Advisor, including information about
its fee revenues and income. The Board reviewed the overall profitability of
the Advisor, and the compensation that it received for providing services to
each Fund. The Board considered the profitability to the Advisor of managing
and servicing the Funds and the Advisor's unregistered clients, such as
collective trusts, group trusts and separate accounts. Upon closely examining
the Advisor's profitability, the Board concluded, among other things, that it
was reasonable.
The Board also discussed whether economies of scale are realized by the Advisor
with respect to each Fund as it grows larger, and the extent to which this is
reflected in the level of management fees charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of management fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single factor
identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
36
DFA043018-011S
[LOGO] 00211503
[LOGO]
Semi-Annual Report
SIX MONTHS ENDED: APRIL 30, 2018 (UNAUDITED)
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME PORTFOLIO DFA LTIP PORTFOLIO
DFA TWO-YEAR GLOBAL FIXED INCOME DFA INFLATION-PROTECTED SECURITIES
PORTFOLIO PORTFOLIO
DFA SELECTIVELY HEDGED GLOBAL FIXED DFA SHORT-DURATION REAL RETURN
INCOME PORTFOLIO PORTFOLIO
DFA FIVE-YEAR GLOBAL FIXED INCOME DFA MUNICIPAL REAL RETURN PORTFOLIO
PORTFOLIO DFA CALIFORNIA MUNICIPAL REAL RETURN
DFA WORLD EX U.S. GOVERNMENT FIXED PORTFOLIO
INCOME PORTFOLIO DFA MUNICIPAL BOND PORTFOLIO
DFA SHORT-TERM GOVERNMENT PORTFOLIO DFA SHORT-TERM MUNICIPAL BOND
DFA INTERMEDIATE GOVERNMENT FIXED PORTFOLIO
INCOME PORTFOLIO DFA INTERMEDIATE-TERM MUNICIPAL BOND
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
PORTFOLIO DFA CALIFORNIA SHORT-TERM MUNICIPAL
DFA INTERMEDIATE-TERM EXTENDED BOND PORTFOLIO
QUALITY PORTFOLIO DFA CALIFORNIA INTERMEDIATE-TERM
DFA TARGETED CREDIT PORTFOLIO MUNICIPAL BOND PORTFOLIO
DFA GLOBAL CORE PLUS FIXED INCOME DFA NY MUNICIPAL BOND PORTFOLIO
PORTFOLIO DFA MN MUNICIPAL BOND PORTFOLIO
DFA INVESTMENT GRADE PORTFOLIO
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA TWO-YEAR FIXED INCOME PORTFOLIO DFA TWO-YEAR GOVERNMENT PORTFOLIO
[LOGO]
June 2018
Dear Fellow Shareholder,
Sound investment solutions based on financial science are at the heart of
Dimensional. Just as important is our commitment to serving our clients. We
take great pride in the many longstanding clients we have had the honor of
working with over the last four decades.
Delivering great investment experiences informs everything we do, from the
design of our strategies to the ways that we explain our approach and set
expectations. We place tremendous value on helping our clients understand what
they can expect from us. By being transparent about what we can deliver, and
following through with robust investment strategies, we help clients achieve
their financial goals.
David Booth, our founder, often speaks of his satisfaction and joy in helping
change the investor landscape for the better. We share this passion and, on
behalf of everyone at Dimensional, we thank you for trusting us with your
investments.
Sincerely,
/s/ David P. Butler /s/ Gerard O'Reilly
David Butler Gerard O'Reilly
Co-Chief Executive Officer Co-Chief Executive Officer and Chief
Investment Officer
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
------
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Disclosure of Fund Expenses....................................... 3
Disclosure of Portfolio Holdings.................................. 8
Schedules of Investments
DFA One-Year Fixed Income Portfolio........................... 10
DFA Two-Year Global Fixed Income Portfolio.................... 15
DFA Selectively Hedged Global Fixed Income Portfolio.......... 21
DFA Five-Year Global Fixed Income Portfolio................... 28
DFA World ex U.S. Government Fixed Income Portfolio........... 37
DFA Short-Term Government Portfolio........................... 40
DFA Intermediate Government Fixed Income Portfolio............ 42
DFA Short-Term Extended Quality Portfolio..................... 44
DFA Intermediate-Term Extended Quality Portfolio.............. 54
DFA Targeted Credit Portfolio................................. 61
DFA Global Core Plus Fixed Income Portfolio................... 70
DFA Investment Grade Portfolio................................ 86
DFA Diversified Fixed Income Portfolio........................ 101
DFA LTIP Portfolio............................................ 102
DFA Inflation-Protected Securities Portfolio.................. 103
DFA Short-Duration Real Return Portfolio...................... 104
DFA Municipal Real Return Portfolio........................... 114
DFA California Municipal Real Return Portfolio................ 124
DFA Municipal Bond Portfolio.................................. 128
DFA Short-Term Municipal Bond Portfolio....................... 138
DFA Intermediate-Term Municipal Bond Portfolio................ 149
DFA California Short-Term Municipal Bond Portfolio............ 162
DFA California Intermediate-Term Municipal Bond Portfolio..... 170
DFA NY Municipal Bond Portfolio............................... 179
DFA MN Municipal Bond Portfolio............................... 183
Statements of Assets and Liabilities.............................. 186
Statements of Operations.......................................... 193
Statements of Changes in Net Assets............................... 200
Financial Highlights.............................................. 207
Notes to Financial Statements..................................... 220
Section 19(a) Notice.............................................. 245
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses....................................... 246
Disclosure of Portfolio Holdings.................................. 247
Schedules of Investments
DFA Two-Year Fixed Income Portfolio........................... 248
DFA Two-Year Government Portfolio............................. 250
Statements of Assets and Liabilities.............................. 251
Statements of Operations.......................................... 252
Statements of Changes in Net Assets............................... 253
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
Financial Highlights............................ 254
Notes to Financial Statements................... 255
Section 19(a) Notice............................ 261
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........ 262
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS. 263
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.
ii
DFA INVESTMENT DIMENSIONS GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Abbreviations
AGM Assured Guaranty Municipal Corporation
AMBAC American Municipal Bond Assurance Corporation
ASSURED GTY Assured Guaranty
CP Certificate Participation
CPI Consumer Price Index
ETM Escrowed to Maturity
FGIC Federal Guaranty Insurance Corporation
GO General Obligation
GO OF AUTH General Obligation of Authority
NATL-RE Credit rating enhanced by guaranty or insurance from National Public Finance
Guarantee Corp.
P.L.C. Public Limited Company
PSF-GTD Public School Fund Guarantee
RB Revenue Bond
SA Special Assessment
SCH BD RES FD School Board Resolution Fund
SCH BD GTY School Bond Guaranty
SCSDE South Carolina State Department of Education
SD CRED PROG School District Credit Program
ST AID WITHHLDG State Aid Withholding
AUD Australian Dollars
CAD Canadian Dollars
DKK Danish Krone
EUR Euro
GBP British Pounds
JPY Japanese Yen
NOK Norwegian Krone
SEK Swedish Krona
SGD Singapore Dollars
USD United States Dollars
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
Investment Footnotes
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
^ Denominated in USD, unless otherwise noted.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2018.
(currency) Pre-refunded bonds are collateralized by U.S. Government or other eligible securities which are held in
escrow and used to pay principal and interest and retire the bonds at the earliest refunding date
(payment date) and/or whose interest rates vary with changes in a designated base rate (such as the
prime interest rate).
## Rule 144A, Section 4(2), or other security which is restricted as to resale to institutional investors. The
Fund's Advisor has deemed this security to be liquid based upon procedures approved by the Board of
Trustees.
^^^ Face Amount of security is not adjusted for inflation.
++ Security pledged as collateral for Swap Agreements.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Underlying Funds.
(C) Because of commencement of operations and related preliminary transaction costs, these ratios
are not necessarily indicative of future ratios.
(D) Non-Annualized
(E) Annualized
N/A Does not apply to this fund.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
DFA ONE-YEAR FIXED INCOME PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares......... $1,000.00 $1,002.00 0.17% $0.84
Hypothetical 5% Annual Return
Institutional Class Shares......... $1,000.00 $1,023.95 0.17% $0.85
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $ 999.20 0.17% $0.84
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.95 0.17% $0.85
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
----------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,000.60 0.17% $0.84
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.95 0.17% $0.85
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
-------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $ 992.20 0.27% $1.33
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.46 0.27% $1.35
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
---------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $1,004.60 0.20% $0.99
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.80 0.20% $1.00
DFA SHORT-TERM GOVERNMENT PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $ 988.10 0.19% $0.94
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.85 0.19% $0.95
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $ 972.90 0.12% $0.59
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,024.20 0.12% $0.60
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
-----------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $ 992.80 0.22% $1.09
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.70 0.22% $1.10
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
------------------------------------------------
Actual Fund Return
Institutional Class Shares.......................... $1,000.00 $ 965.30 0.22% $1.07
Hypothetical 5% Annual Return
Institutional Class Shares.......................... $1,000.00 $1,023.70 0.22% $1.10
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
DFA TARGETED CREDIT PORTFOLIO
-----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 987.70 0.20% $0.99
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.80 0.20% $1.00
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO**
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 958.70 0.27% $0.79
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,014.13 0.27% $0.81
DFA INVESTMENT GRADE PORTFOLIO
------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 973.50 0.22% $1.08
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.70 0.22% $1.10
DFA DIVERSIFIED FIXED INCOME PORTFOLIO***
-----------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 986.00 0.15% $0.74
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,024.05 0.15% $0.75
DFA LTIP PORTFOLIO
------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,018.30 0.15% $0.75
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,024.05 0.15% $0.75
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
--------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 996.00 0.12% $0.59
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,024.20 0.12% $0.60
DFA SHORT-DURATION REAL RETURN PORTFOLIO
----------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,001.90 0.23% $1.14
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.65 0.23% $1.15
DFA MUNICIPAL REAL RETURN PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 993.90 0.22% $1.09
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.70 0.22% $1.10
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO****
--------------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $ 987.50 0.30% $1.47
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.18 0.30% $1.50
DFA MUNICIPAL BOND PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $ 986.40 0.22% $1.08
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.70 0.22% $1.10
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $ 997.20 0.21% $1.04
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.75 0.21% $1.05
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
----------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $ 984.40 0.22% $1.08
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.70 0.22% $1.10
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $ 995.80 0.21% $1.04
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.75 0.21% $1.05
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $ 984.90 0.22% $1.08
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.70 0.22% $1.10
DFA NY MUNICIPAL BOND PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $ 991.80 0.24% $1.19
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,023.60 0.24% $1.20
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
DFA MN MUNICIPAL BOND PORTFOLIO
-------------------------------
Actual Fund Return
Institutional Class Shares..... $1,000.00 $ 983.80 0.31% $1.52
Hypothetical 5% Annual Return
Institutional Class Shares..... $1,000.00 $1,023.26 0.31% $1.56
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
** DFA Global Core Plus Fixed Income Portfolio commenced operations on
January 11, 2018. 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 (109), then divided by the
number of days in the year (365) to reflect the period. The "Ending Account
Value" is derived from the fund's share class actual return since inception.
The "Hypothetical 5% Annual Return" information reflects the 181 day period
for the period ended April 30, 2018 to allow for comparability.
***DFA Diversified Fixed Income Portfolio invests directly and indirectly
through other funds. The expenses shown reflect the direct expenses of the
Portfolio and the Portfolio's portion of the expenses of its Underlying
Funds (Affiliated Investment Companies).
****DFA California Municipal Real Return Portfolio commenced operations on
November 1, 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 (180), then divided by the
number of days in the year (365) to reflect the period. The "Ending Account
Value" is derived from the fund's share class actual return since
inception. The "Hypothetical 5% Annual Return" information reflects the 181
day period for the period ended April 30, 2018 to allow for comparability.
7
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 29, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin,
Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they
may be reviewed and copied at the SEC's Public Reference Room in Washington,
D.C. (call 1-800-732-0330 for information on the operation of the Public
Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
FIXED INCOME PORTFOLIOS
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Corporate.................................... 19.4%
Government................................... 17.2%
Foreign Corporate............................ 21.8%
Foreign Government........................... 34.6%
Supranational................................ 7.0%
-----
100.0%
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Corporate.................................... 16.9%
Government................................... 18.0%
Foreign Corporate............................ 23.8%
Foreign Government........................... 37.6%
Supranational................................ 3.7%
-----
100.0%
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
Corporate.................................... 56.8%
Government................................... 4.3%
Foreign Corporate............................ 25.2%
Foreign Government........................... 10.3%
Supranational................................ 3.4%
-----
100.0%
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Corporate.................................... 32.4%
Government................................... 1.5%
Foreign Corporate............................ 31.7%
Foreign Government........................... 25.9%
Supranational................................ 8.5%
-----
100.0%
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
Government................................... 5.0%
Foreign Corporate............................ 1.4%
Foreign Government........................... 82.5%
Supranational................................ 11.1%
-----
100.0%
DFA SHORT-TERM GOVERNMENT PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
Corporate.................................... 59.0%
Government................................... 2.3%
Foreign Corporate............................ 23.8%
Foreign Government........................... 10.8%
Supranational................................ 4.1%
-----
100.0%
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
Corporate.................................... 76.3%
Government................................... 6.6%
Foreign Corporate............................ 16.1%
Foreign Government........................... 0.6%
Supranational................................ 0.4%
-----
100.0%
DFA TARGETED CREDIT PORTFOLIO
Corporate.................................... 77.5%
Foreign Corporate............................ 22.5%
-----
100.0%
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
Corporate.................................... 39.8%
Foreign Corporate............................ 35.7%
Foreign Government........................... 10.7%
Government................................... 8.8%
Supranational................................ 5.0%
-----
100.0%
DFA INVESTMENT GRADE PORTFOLIO
Corporate.................................... 46.5%
Government................................... 40.5%
Foreign Corporate............................ 11.1%
Foreign Government........................... 1.5%
Supranational................................ 0.4%
-----
100.0%
8
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
Affiliated Investment Companies.............. 80.2%
Government................................... 19.8%
-----
100.0%
DFA LTIP PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
Government................................... 100.0%
-----
100.0%
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Corporate.................................... 60.1%
Government................................... 6.6%
Foreign Corporate............................ 21.6%
Foreign Government........................... 8.6%
Supranational................................ 3.1%
-----
100.0%
DFA MUNICIPAL REAL RETURN PORTFOLIO
Muni Insured................................. 0.1%
Muni G.O. Local.............................. 55.0%
Muni G.O. State.............................. 28.5%
Muni Revenue................................. 16.3%
Muni Pre-Refunded............................ 0.1%
-----
100.0%
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
Muni Insured................................. 3.9%
Muni G.O. Local.............................. 31.3%
Muni G.O. State.............................. 20.5%
Muni Revenue................................. 31.1%
Muni Pre-Refunded............................ 13.2%
-----
100.0%
DFA MUNICIPAL BOND PORTFOLIO
Muni Insured................................. 0.2%
Muni G.O. Local.............................. 57.8%
Muni G.O. State.............................. 21.2%
Muni Revenue................................. 18.8%
Muni Pre-Refunded............................ 2.0%
-----
100.0%
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni Insured................................. 1.0%
Muni G.O. Local.............................. 44.2%
Muni G.O. State.............................. 33.2%
Muni Revenue................................. 20.9%
Muni Pre-Refunded............................ 0.7%
-----
100.0%
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
Corporate.................................... 0.2%
Muni Insured................................. 0.6%
Muni G.O. Local.............................. 51.6%
Muni G.O. State.............................. 31.8%
Muni Revenue................................. 15.2%
Muni Pre-Refunded............................ 0.6%
-----
100.0%
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni Insured................................. 2.3%
Muni G.O. Local.............................. 40.7%
Muni G.O. State.............................. 18.6%
Muni Revenue................................. 22.2%
Muni Pre-Refunded............................ 16.2%
-----
100.0%
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND
PORTFOLIO
Muni Insured................................. 9.1%
Muni G.O. Local.............................. 43.6%
Muni G.O. State.............................. 19.3%
Muni Revenue................................. 21.1%
Muni Pre-Refunded............................ 6.9%
-----
100.0%
DFA NY MUNICIPAL BOND PORTFOLIO
Muni Insured................................. 1.1%
Muni G.O. Local.............................. 51.4%
Muni G.O. State.............................. 2.0%
Muni Revenue................................. 29.3%
Muni Pre-Refunded............................ 16.2%
-----
100.0%
DFA MN MUNICIPAL BOND PORTFOLIO
Muni Insured................................. 29.1%
Muni G.O. Local.............................. 23.5%
Muni G.O. State.............................. 17.2%
Muni Revenue................................. 23.2%
Muni Pre-Refunded............................ 7.0%
-----
100.0%
9
DFA ONE-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (6.0%)
Federal Home Loan Bank
1.375%, 05/28/19............................. $ 20,000 $ 19,792,980
2.000%, 09/13/19............................. 74,000 73,579,384
# 1.500%, 10/21/19............................. 68,000 67,062,620
# 1.375%, 11/15/19............................. 7,500 7,382,625
# 2.125%, 02/11/20............................. 34,500 34,263,433
1.875%, 03/13/20............................. 10,000 9,881,760
# 4.125%, 03/13/20............................. 80,000 82,259,200
2.375%, 03/30/20............................. 10,000 9,969,540
Federal Home Loan Mortgage Corp.
1.250%, 10/02/19............................. 113,600 111,714,581
Federal National Mortgage Association
1.125%, 12/14/18............................. 41,000 40,738,379
1.750%, 09/12/19............................. 16,573 16,426,793
1.000%, 10/24/19............................. 32,000 31,321,568
------------
TOTAL AGENCY OBLIGATIONS........................... 504,392,863
------------
BONDS -- (74.4%)
African Development Bank
1.125%, 09/20/19............................. 19,000 18,628,740
# 1.375%, 02/12/20............................. 25,438 24,884,545
Agence Francaise de Developpement
1.375%, 08/02/19............................. 15,600 15,349,324
1.625%, 01/21/20............................. 16,170 15,849,478
Alberta, Province of Canada
1.900%, 12/06/19............................. 53,000 52,309,355
ANZ New Zealand International Ltd.
## # 2.250%, 02/01/19............................. 3,905 3,890,889
2.600%, 09/23/19............................. 11,984 11,915,602
## 2.600%, 09/23/19............................. 22,849 22,718,591
Apple, Inc.
# 1.550%, 02/08/19............................. 23,384 23,240,155
# 1.700%, 02/22/19............................. 4,000 3,977,129
# 2.100%, 05/06/19............................. 5,000 4,987,950
# 1.500%, 09/12/19............................. 102,300 100,835,491
# 1.800%, 11/13/19............................. 55,641 54,964,962
# 1.900%, 02/07/20............................. 5,413 5,345,175
Apple, Inc. Floating Rate Note 3M USD LIBOR +
0.080%, FRN
(r) 1.871%, 02/08/19............................. 29,550 29,558,939
(r) 2.089%, 05/06/19............................. 15,600 15,652,142
Australia & New Zealand Banking Group, Ltd.
2.000%, 11/16/18............................. 12,359 12,316,874
2.250%, 06/13/19............................. 4,150 4,129,415
1.600%, 07/15/19............................. 9,250 9,107,020
## 2.250%, 12/19/19............................. 60,000 59,495,512
FACE
AMOUNT VALUE+
------ ------
(000)
Australia & New Zealand Banking Group, Ltd. Floating
Rate Note 3M USD LIBOR + 0.750%, FRN
(r)## 2.600%, 11/16/18............................. $45,630 $45,774,889
#(r)## 2.931%, 09/23/19............................. 3,145 3,166,528
Bank Nederlandse Gemeenten NV
1.375%, 01/28/19............................. 35,910 35,630,117
## 1.500%, 02/15/19............................. 12,082 11,992,352
1.500%, 02/15/19............................. 20,600 20,447,478
1.875%, 06/11/19............................. 64,646 64,158,828
## # 1.750%, 10/30/19............................. 7,500 7,403,198
1.750%, 10/30/19............................. 42,880 42,326,548
1.625%, 11/25/19............................. 17,750 17,461,758
## 2.500%, 02/28/20............................. 26,000 25,880,868
2.500%, 02/28/20............................. 12,208 12,152,063
Bank of Nova Scotia Floating Rate Note 3M USD LIBOR
+ 0.380%, FRN
(r) 2.364%, 02/28/19............................. 75,000 75,122,413
Bank of Nova Scotia (The)
# 2.050%, 10/30/18............................. 42,000 41,927,083
Berkshire Hathaway Finance Corp. Floating Rate Note
3M USD LIBOR + 0.250%, FRN
#(r) 2.587%, 01/11/19............................. 5,900 5,911,540
(r) 2.815%, 03/15/19............................. 7,000 7,039,956
(r) 2.099%, 08/15/19............................. 11,030 11,049,550
Caisse d'Amortissement de la Dette Sociale
## 1.500%, 01/28/19............................. 18,200 18,068,414
1.500%, 01/28/19............................. 36,512 36,256,051
## 1.750%, 09/24/19............................. 8,000 7,903,104
1.750%, 09/24/19............................. 41,830 41,323,355
1.875%, 01/13/20............................. 48,600 47,921,593
Chevron Corp.
# 1.790%, 11/16/18............................. 22,287 22,224,205
# 1.686%, 02/28/19............................. 12,240 12,161,056
1.561%, 05/16/19............................. 25,400 25,158,954
1.991%, 03/03/20............................. 9,500 9,376,203
Chevron Corp. Floating Rate Note 3M USD LIBOR +
0.500%, FRN
(r) 2.350%, 05/16/18............................. 15,192 15,195,084
(r) 2.360%, 11/16/18............................. 5,000 5,012,719
#(r) 2.074%, 02/28/19............................. 15,350 15,360,745
(r) 2.249%, 11/15/19............................. 6,950 6,992,992
Cisco Systems, Inc.
2.125%, 03/01/19............................. 34,580 34,501,969
1.400%, 09/20/19............................. 23,787 23,416,681
Commonwealth Bank of Australia
## 1.375%, 09/06/18............................. 30,990 30,878,595
2.500%, 09/20/18............................. 56,868 56,901,799
1.750%, 11/02/18............................. 3,200 3,185,717
# 2.250%, 03/13/19............................. 7,400 7,375,932
2.300%, 09/06/19............................. 13,969 13,856,167
10
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Commonwealth Bank of Australia Floating Rate Note
3M USD LIBOR + 0.790%, FRN
(r)## 3.148%, 11/02/18............................. $ 20,325 $ 20,398,468
(r) 3.185%, 03/15/19............................. 25,115 25,307,632
(r) 2.575%, 09/06/19............................. 13,094 13,166,534
(r) 2.434%, 11/07/19............................. 4,819 4,846,386
Cooperatieve Rabobank UA
# 2.250%, 01/14/19............................. 55,738 55,609,378
# 1.375%, 08/09/19............................. 45,920 45,021,085
2.250%, 01/14/20............................. 16,470 16,267,535
## # 4.750%, 01/15/20............................. 4,750 4,883,266
4.750%, 01/15/20............................. 9,332 9,593,819
Cooperatieve Rabobank UA Floating Rate Note 3M USD
LIBOR + 0.510%, FRN
(r) 2.310%, 08/09/19............................. 3,419 3,436,249
Council Of Europe Development Bank
1.500%, 05/17/19............................. 58,200 57,613,344
1.750%, 11/14/19............................. 4,280 4,226,800
# 1.875%, 01/27/20............................. 29,349 28,969,517
1.625%, 03/10/20............................. 9,532 9,355,086
CPPIB Capital, Inc.
## 1.250%, 09/20/19............................. 4,850 4,750,284
Dexia Credit Local SA
2.250%, 01/30/19............................. 9,706 9,681,689
Erste Abwicklungsanstalt
1.375%, 10/30/19............................. 15,400 15,102,333
European Bank for Reconstruction & Development
# 1.750%, 11/26/19............................. 21,051 20,787,020
European Investment Bank
1.875%, 03/15/19............................. 33,900 33,747,847
2.125%, 03/15/19............................. 10,172 10,148,391
# 1.250%, 05/15/19............................. 49,500 48,894,662
# 1.125%, 08/15/19............................. 32,000 31,441,792
# 1.250%, 12/16/19............................. 18,000 17,617,320
# 1.625%, 03/16/20............................. 58,151 57,082,185
Export Development Canada
1.750%, 08/19/19............................. 105,550 104,488,167
1.000%, 09/13/19............................. 23,335 22,854,066
## # 2.300%, 02/10/20............................. 82,050 81,545,772
Exxon Mobil Corp.
1.708%, 03/01/19............................. 18,500 18,408,109
Finland Government International Bond
1.750%, 09/10/19............................. 6,300 6,235,211
FMS Wertmanagement
1.000%, 08/16/19............................. 123,000 120,610,110
FMS Wertmanagement
# 1.750%, 01/24/20............................. 29,500 29,055,625
2.250%, 02/03/20............................. 22,400 22,227,520
# 1.750%, 03/17/20............................. 6,500 6,387,536
FMS Wertmanagement AoeR
1.500%, 08/09/19............................. 5,000 4,933,865
FACE
AMOUNT VALUE+
------ ------
(000)
General Electric Co.
6.000%, 08/07/19............................. $ 6,644 $ 6,896,478
General Electric Co.
5.625%, 05/01/18............................. 53,827 53,827,000
# 2.300%, 01/14/19............................. 2,500 2,493,059
General Electric Co. Floating Rate Note 3M USD
LIBOR + 0.270%, FRN
(r) 2.064%, 08/07/18............................. 5,000 5,000,207
Inter-American Development Bank
1.125%, 09/12/19............................. 21,247 20,855,333
1.750%, 10/15/19............................. 9,500 9,395,348
Inter-American Development Bank Floating Rate
Note 1M USD LIBOR + 0.040%, FRN
(r) 1.938%, 11/26/18............................. 5,051 5,049,833
International Bank for Reconstruction &
Development
# 1.875%, 03/15/19............................. 50,000 49,780,300
0.875%, 08/15/19............................. 18,000 17,634,078
1.875%, 10/07/19............................. 49,532 49,082,200
Kommunalbanken A.S.
2.125%, 03/15/19............................. 77,140 76,899,323
1.750%, 05/28/19............................. 42,700 42,345,334
1.500%, 09/09/19............................. 5,000 4,928,010
1.500%, 10/22/19............................. 34,768 34,203,368
1.625%, 01/15/20............................. 32,140 31,582,982
Kommunekredit
1.125%, 08/23/19............................. 63,700 62,498,363
Kommuninvest I Sverige AB
1.125%, 10/09/18............................. 10,705 10,650,233
1.000%, 11/13/18............................. 28,000 27,800,388
1.125%, 09/17/19............................. 17,200 16,853,678
2.000%, 11/12/19............................. 17,950 17,780,731
1.750%, 03/19/20............................. 31,044 30,508,056
Kreditanstalt fuer Wiederaufbau
# 1.875%, 04/01/19............................. 39,800 39,602,042
# 1.500%, 09/09/19............................. 50,500 49,800,396
# 1.250%, 09/30/19............................. 89,000 87,337,706
4.000%, 01/27/20............................. 4,100 4,194,196
1.500%, 04/20/20............................. 10,000 9,770,179
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.625%, 02/01/19............................. 18,125 18,017,156
Landwirtschaftliche Rentenbank
# 1.750%, 04/15/19............................. 12,500 12,419,500
Manitoba, Province of Canada
1.750%, 05/30/19............................. 24,440 24,217,352
Merck & Co., Inc. Floating Rate Note 3M USD LIBOR
+ 0.360%, FRN
(r) 2.233%, 05/18/18............................. 19,430 19,433,206
Microsoft Corp.
# 1.300%, 11/03/18............................. 6,709 6,683,878
# 4.200%, 06/01/19............................. 5,000 5,090,593
Municipality Finance P.L.C.
## 1.250%, 09/10/18............................. 99,500 99,139,213
11
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
1.250%, 09/10/18............................. $ 48,520 $ 48,344,066
1.250%, 04/18/19............................. 25,150 24,844,427
1.750%, 05/21/19............................. 29,350 29,109,213
1.500%, 03/23/20............................. 12,567 12,289,420
National Australia Bank, Ltd.
# 2.000%, 01/14/19............................. 4,500 4,479,626
## 2.250%, 07/01/19............................. 12,000 11,920,123
1.375%, 07/12/19............................. 70,400 69,201,550
# 2.250%, 01/10/20............................. 8,700 8,582,369
National Australia Bank, Ltd. Floating Rate Note 3M
USD LIBOR + 0.640%, FRN
(r)## 3.002%, 07/23/18............................. 310 310,401
(r) 3.002%, 07/23/18............................. 8,750 8,761,323
(r) 3.128%, 01/14/19............................. 2,500 2,510,759
(r)## 2.602%, 07/25/19............................. 50,000 50,011,619
(r)## 2.224%, 08/29/19............................. 41,600 41,630,531
(r)## 2.928%, 01/10/20............................. 16,080 16,171,685
Nederlandse Waterschapsbank NV
## 1.500%, 01/23/19............................. 82,950 82,397,387
1.875%, 03/13/19............................. 67,703 67,330,295
## 1.750%, 09/05/19............................. 16,000 15,811,280
1.750%, 09/05/19............................. 40,400 39,923,482
1.250%, 09/09/19............................. 6,850 6,726,056
## 1.250%, 09/09/19............................. 6,050 5,940,531
1.625%, 03/04/20............................. 15,750 15,441,300
Nestle Holdings, Inc.
2.125%, 01/14/20............................. 8,912 8,807,703
Nordea Bank AB
## 1.875%, 09/17/18............................. 3,118 3,111,017
2.375%, 04/04/19............................. 3,969 3,955,687
Nordea Bank AB Floating Rate Note 3M USD LIBOR +
0.840%, FRN
(r)## 3.018%, 09/17/18............................. 14,410 14,451,949
#(r) 3.018%, 09/17/18............................. 3,000 3,008,733
(r) 2.244%, 11/07/18............................. 20,000 20,030,517
(r) 2.375%, 03/07/19............................. 100,000 100,100,007
(r) 2.618%, 04/10/19............................. 37,000 37,020,433
Novartis Capital Corp.
# 1.800%, 02/14/20............................. 6,551 6,441,921
NRW Bank
1.250%, 10/01/18............................. 4,954 4,931,197
1.875%, 07/01/19............................. 16,907 16,760,585
1.250%, 07/29/19............................. 11,734 11,535,156
2.000%, 09/23/19............................. 14,600 14,462,599
1.875%, 01/27/20............................. 14,333 14,124,082
Oesterreichische Kontrollbank AG
1.625%, 03/12/19............................. 6,000 5,956,818
1.125%, 04/26/19............................. 41,526 40,979,131
# 1.750%, 01/24/20............................. 48,852 48,100,971
# 1.375%, 02/10/20............................. 51,882 50,737,483
Ontario, Province of Canada
# 2.000%, 09/27/18............................. 54,780 54,701,210
# 1.625%, 01/18/19............................. 15,000 14,911,794
# 2.000%, 01/30/19............................. 33,297 33,186,702
FACE
AMOUNT VALUE+
------ ------
(000)
# 1.250%, 06/17/19............................. $39,780 $39,200,405
# 4.000%, 10/07/19............................. 16,209 16,511,136
4.400%, 04/14/20............................. 42,900 44,207,542
Oracle Corp.
# 2.375%, 01/15/19............................. 4,100 4,103,878
Oracle Corp. Floating Rate Note 3M USD LIBOR +
0.580%, FRN
(r) 2.928%, 01/15/19............................. 1,000 1,003,073
Pfizer, Inc.
# 1.200%, 06/01/18............................. 43,760 43,729,806
# 2.100%, 05/15/19............................. 27,242 27,116,134
Procter & Gamble Co. (The)
# 1.750%, 10/25/19............................. 3,866 3,822,093
Province of Ontario Canada
# 1.650%, 09/27/19............................. 10,500 10,355,730
Quebec, Province of Canada Floating Rate Note 3M
USD LIBOR + 0.280%, FRN
#(r) 2.642%, 07/21/19............................. 80,786 80,993,252
Roche Holdings, Inc. Floating Rate Note 3M USD
LIBOR + 0.340%, FRN
(r)## 2.642%, 09/30/19............................. 39,640 39,825,919
Royal Bank of Canada
# 2.200%, 07/27/18............................. 15,318 15,312,947
# 2.150%, 03/15/19............................. 14,818 14,760,992
1.625%, 04/15/19............................. 15,252 15,106,545
# 1.500%, 07/29/19............................. 31,832 31,331,651
# 2.125%, 03/02/20............................. 77,755 76,477,661
2.150%, 03/06/20............................. 47,922 47,194,318
Royal Bank of Canada Floating Rate Note 3M USD
LIBOR + 0.400%, FRN
(r) 2.759%, 10/31/18............................. 31,000 31,052,098
(r) 2.788%, 01/10/19............................. 2,400 2,406,178
Shell International Finance BV
1.625%, 11/10/18............................. 27,970 27,900,116
2.000%, 11/15/18............................. 9,543 9,516,339
# 1.375%, 05/10/19............................. 19,990 19,763,913
1.375%, 09/12/19............................. 43,105 42,340,432
# 4.300%, 09/22/19............................. 6,987 7,148,813
4.375%, 03/25/20............................. 6,500 6,687,756
Shell International Finance BV Floating Rate Note
3M USD LIBOR + 0.580%, FRN
(r) 2.391%, 11/10/18............................. 21,560 21,619,919
(r) 2.421%, 09/12/19............................. 15,370 15,438,357
State of North Rhine-Westphalia Germany
1.375%, 01/30/19............................. 3,500 3,469,715
1.875%, 06/17/19............................. 16,500 16,368,280
1.625%, 07/25/19............................. 17,200 16,993,273
1.250%, 09/16/19............................. 12,000 11,771,592
1.625%, 01/22/20............................. 55,400 54,352,995
12
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
State of North Rhine-Westphalia Germany Floating
Rate Note 3M USD LIBOR + 0.170%, FRN
(r) 2.090%, 11/23/18............................. $ 48,200 $ 48,239,717
Statoil ASA
1.150%, 05/15/18............................. 8,200 8,196,870
2.250%, 11/08/19............................. 27,060 26,823,781
Statoil ASA Floating Rate Note 3M USD LIBOR +
0.290%, FRN
(r) 2.129%, 05/15/18............................. 5,835 5,835,644
Svensk Exportkredit AB
1.250%, 04/12/19............................. 6,500 6,426,884
1.875%, 06/17/19............................. 43,600 43,265,588
1.125%, 08/28/19............................. 5,000 4,905,128
Svensk Exportkredit AB Floating Rate Note 3M USD
LIBOR + 0.100%, FRN
(r) 2.412%, 10/04/18............................. 19,630 19,642,730
Svenska Handelsbanken Floating Rate Note 3M USD
LIBOR + 0.400%, FRN
(r) 2.211%, 02/12/19............................. 149,500 149,788,626
(r) 2.582%, 01/22/20............................. 23,200 23,149,124
Svenska Handelsbanken AB
# 2.500%, 01/25/19............................. 33,223 33,186,442
2.250%, 06/17/19............................. 19,710 19,581,927
# 1.500%, 09/06/19............................. 2,109 2,069,292
Svenska Handelsbanken AB Floating Rate Note 3M
USD LIBOR + 0.490%, FRN
(r) 2.668%, 06/17/19............................. 1,580 1,585,842
(r) 2.515%, 09/06/19............................. 9,086 9,123,942
Swedbank AB
## 2.375%, 02/27/19............................. 15,000 14,945,955
Toronto-Dominion Bank (The)
# 2.625%, 09/10/18............................. 34,926 34,955,234
1.950%, 01/22/19............................. 36,548 36,400,337
# 2.125%, 07/02/19............................. 7,218 7,171,840
1.450%, 08/13/19............................. 3,773 3,709,349
# 1.900%, 10/24/19............................. 90,974 89,714,010
# 2.250%, 11/05/19............................. 13,746 13,631,488
Toronto-Dominion Bank (The) Floating Rate Note 3M
USD LIBOR + 0.840%, FRN
(r) 3.202%, 01/22/19............................. 5,000 5,025,793
(r) 2.470%, 08/13/19............................. 9,500 9,551,511
Total Capital International SA
# 2.125%, 01/10/19............................. 12,350 12,306,023
Total Capital International SA Floating Rate Note
3M USD LIBOR + 0.350%, FRN
(r) 2.528%, 06/19/19............................. 4,633 4,648,750
Toyota Motor Credit Corp.
2.000%, 10/24/18............................. 6,865 6,852,616
1.700%, 01/09/19............................. 42,001 41,785,392
2.100%, 01/17/19............................. 19,561 19,520,307
1.700%, 02/19/19............................. 9,318 9,261,003
FACE
AMOUNT VALUE+
------ ------
(000)
1.400%, 05/20/19............................. $ 33,361 $ 32,979,294
# 2.125%, 07/18/19............................. 2,613 2,596,038
# 2.200%, 01/10/20............................. 32,571 32,231,435
2.150%, 03/12/20............................. 15,060 14,864,308
Toyota Motor Credit Corp. Floating Rate Note 3M USD
LIBOR + 0.230%, FRN
(r) 2.069%, 08/15/18............................. 30,000 30,016,048
(r) 2.591%, 01/09/19............................. 22,158 22,194,587
(r) 2.743%, 01/17/19............................. 14,300 14,324,640
(r) 2.705%, 02/19/19............................. 7,347 7,388,891
USAA Capital Corp. Floating Rate Note 3M USD LIBOR
+ 0.230%, FRN
(r)## 2.588%, 02/01/19............................. 42,955 42,998,905
Walmart Inc
# 1.750%, 10/09/19............................. 9,000 8,910,695
Westpac Banking Corp.
# 1.950%, 11/23/18............................. 17,521 17,488,147
# 2.250%, 01/17/19............................. 79,463 79,315,959
1.600%, 08/19/19............................. 16,970 16,700,677
Westpac Banking Corp. Floating Rate Note 3M USD
LIBOR + 0.740%, FRN
(r) 3.099%, 07/30/18............................. 38,084 38,146,666
(r) 2.660%, 11/23/18............................. 22,189 22,269,954
(r)## 2.174%, 04/26/19............................. 21,000 21,006,084
(r) 2.530%, 05/13/19............................. 5,500 5,531,125
--------------
TOTAL BONDS......................................... 6,253,338,708
--------------
U.S. TREASURY OBLIGATIONS -- (7.9%)
U.S. Treasury Notes
0.750%, 02/15/19............................. 15,000 14,827,148
2.750%, 02/15/19............................. 20,000 20,081,250
1.500%, 02/28/19............................. 55,000 54,660,547
# 0.875%, 09/15/19............................. 100,000 97,949,219
1.000%, 10/15/19............................. 70,000 68,586,328
1.375%, 12/15/19............................. 50,000 49,150,391
# 1.875%, 12/31/19............................. 115,000 113,930,859
# 1.250%, 01/31/20............................. 10,000 9,794,141
# 1.375%, 02/15/20............................. 25,000 24,519,531
1.250%, 02/29/20............................. 30,000 29,340,234
1.625%, 03/15/20............................. 80,000 78,753,125
# 1.375%, 03/31/20............................. 50,000 48,964,844
# 1.500%, 04/15/20............................. 50,000 49,046,875
--------------
TOTAL U.S. TREASURY OBLIGATIONS..................... 659,604,492
--------------
TOTAL INVESTMENT SECURITIES......................... 7,417,336,063
--------------
CERTIFICATES OF DEPOSIT -- (0.5%)
Nordea Bank AB
1.610%, 05/02/18............................. 40,000 39,998,960
--------------
13
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
COMMERCIAL PAPER -- (5.8%)
Caisse des Depots et Consignations
2.000%, 06/04/18............................. $50,000 $49,906,083
2.155%, 07/24/18............................. 25,000 24,869,254
Erste Abwicklungsanstalt
2.200%, 06/21/18............................. 30,000 29,911,167
2.230%, 06/21/18............................. 55,000 54,837,139
2.250%, 06/22/18............................. 35,000 34,894,110
Export Development Canada
2.000%, 06/04/18............................. 15,000 14,972,977
Landesbank Hessen-Thuringen
2.160%, 06/11/18............................. 30,000 29,933,010
Nestle Capital Corp.
1.940%, 06/05/18............................. 50,000 49,911,200
Oesterreichische Kontrollbank AG
1.700%, 05/04/18............................. 25,000 24,995,192
1.900%, 06/28/18............................. 50,000 49,834,882
FACE
AMOUNT VALUE+
------ ------
(000)
PSP Capital, Inc.
2.060%, 06/14/18............................. $ 50,000 $ 49,878,437
2.050%, 06/19/18............................. 50,000 49,863,195
2.100%, 07/16/18............................. 25,000 24,885,944
--------------
TOTAL COMMERCIAL PAPER............................. 488,692,590
--------------
SHARES
------ -
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government
Money Market Fund, 1.630%................... 79,175,729 79,175,729
--------------
SECURITIES LENDING COLLATERAL -- (4.5%)
(S)@ DFA Short Term Investment Fund............... 32,743,849 378,846,334
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,445,188,240)............................ $8,404,049,676
==============
Summary of the Portfolio's investments as of April 30, 2018, 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............ -- $ 504,392,863 -- $ 504,392,863
Bonds......................... -- 6,253,338,708 -- 6,253,338,708
U.S. Treasury Obligations..... -- 659,604,492 -- 659,604,492
Certificates of Deposit....... -- 39,998,960 -- 39,998,960
Commercial Paper.............. -- 488,692,590 -- 488,692,590
Temporary Cash Investments.... $79,175,729 -- -- 79,175,729
Securities Lending Collateral. -- 378,846,334 -- 378,846,334
----------- -------------- -- --------------
TOTAL......................... $79,175,729 $8,324,873,947 -- $8,404,049,676
=========== ============== == ==============
See accompanying Notes to Financial Statements.
14
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (89.9%)
AUSTRALIA -- (8.5%)
ANZ New Zealand International Ltd.
## 2.600%, 09/23/19............................. 750 $ 745,719
Australia & New Zealand Banking Group, Ltd.
# 2.250%, 06/13/19............................. 59,108 58,814,814
1.600%, 07/15/19............................. 8,565 8,432,608
2.050%, 09/23/19............................. 1,168 1,154,413
## 2.250%, 12/19/19............................. 12,000 11,899,102
# 2.250%, 11/09/20............................. 16,895 16,517,016
Commonwealth Bank of Australia
1.750%, 11/02/18............................. 4,630 4,609,334
1.625%, 02/04/19............................. EUR 2,253 2,759,367
2.250%, 03/13/19............................. 1,004 1,000,735
4.250%, 04/24/19............................. AUD 1,500 1,149,311
2.300%, 09/06/19............................. 11,019 10,929,995
5.000%, 10/15/19............................. 12,500 12,847,847
## 2.250%, 03/10/20............................. 10,000 9,842,167
## 2.050%, 09/18/20............................. 41,500 40,429,724
2.400%, 11/02/20............................. 25,800 25,377,017
National Australia Bank, Ltd.
4.250%, 05/20/19............................. AUD 26,850 20,592,366
# 2.250%, 07/01/19............................. 18,070 17,949,719
## 2.250%, 07/01/19............................. 18,482 18,358,976
1.375%, 07/12/19............................. 37,849 37,204,680
## 2.400%, 12/09/19............................. 2,492 2,471,709
# 2.250%, 01/10/20............................. 4,300 4,241,860
2.125%, 05/22/20............................. 14,706 14,424,756
# 2.625%, 07/23/20............................. 6,100 6,036,107
2.500%, 01/12/21............................. 10,000 9,800,390
Western Australian Treasury Corp.
2.500%, 07/22/20............................. AUD 10,000 7,565,291
Westpac Banking Corp.
2.250%, 01/17/19............................. 89,010 88,845,293
4.500%, 02/25/19............................. AUD 8,000 6,125,657
# 1.650%, 05/13/19............................. 6,200 6,125,073
1.600%, 08/19/19............................. 4,975 4,896,044
2.150%, 03/06/20............................. 5,000 4,921,606
2.300%, 05/26/20............................. 10,000 9,843,964
------------
TOTAL AUSTRALIA.................................. 465,912,660
------------
AUSTRIA -- (2.9%)
Oesterreichische Kontrollbank AG
# 1.750%, 01/24/20............................. 78,908 77,694,903
1.375%, 02/10/20............................. 50,518 49,403,573
# 1.875%, 01/20/21............................. 15,860 15,463,786
Republic of Austria Government Bond
## 0.250%, 10/18/19............................. EUR 12,400 15,142,127
------------
TOTAL AUSTRIA.................................... 157,704,389
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
BELGIUM -- (0.1%)
Dexia Credit Local SA
2.250%, 01/30/19............................. 5,944 $ 5,929,112
------------
CANADA -- (19.4%)
Alberta, Province of Canada
2.000%, 06/01/19............................. CAD 81,000 63,232,930
4.000%, 12/01/19............................. CAD 31,000 24,906,959
1.900%, 12/06/19............................. 33,700 33,260,854
## 1.750%, 08/26/20............................. 15,000 14,607,837
1.750%, 08/26/20............................. 15,800 15,404,463
Bank of Montreal
# 2.100%, 12/12/19............................. 6,015 5,936,585
Bank of Nova Scotia (The)
# 1.950%, 01/15/19............................. 8,363 8,327,278
2.050%, 06/05/19............................. 10,000 9,920,661
# 1.650%, 06/14/19............................. 15,000 14,808,628
British Columbia, Province of Canada
3.700%, 12/18/20............................. CAD 42,500 34,386,950
Canada Housing Trust No 1
## 1.950%, 06/15/19............................. CAD 143,000 111,603,372
## 3.750%, 03/15/20............................. CAD 30,000 24,129,912
## 1.450%, 06/15/20............................. CAD 10,000 7,698,586
## 1.250%, 12/15/20............................. CAD 15,000 11,429,651
Canadian Government Bond
0.750%, 08/01/19............................. CAD 55,000 42,309,241
CPPIB Capital, Inc.
1.100%, 06/10/19............................. CAD 45,000 34,771,214
## 1.250%, 09/20/19............................. 3,600 3,525,984
1.400%, 06/04/20............................. CAD 27,500 21,110,713
Export Development Canada
1.750%, 08/19/19............................. 18,000 17,818,920
## # 2.300%, 02/10/20............................. 10,000 9,938,546
Ontario, Province of Canada
4.400%, 06/02/19............................. CAD 41,000 32,826,185
2.100%, 09/08/19............................. CAD 72,000 56,226,676
4.000%, 10/07/19............................. 543 553,122
4.200%, 06/02/20............................. CAD 67,500 54,811,714
2.550%, 02/12/21............................. 10,000 9,886,035
Quebec, Province of Canada
4.500%, 12/01/19............................. CAD 31,000 25,098,906
4.500%, 12/01/20............................. CAD 77,000 63,460,306
Royal Bank of Canada
2.980%, 05/07/19............................. CAD 14,500 11,388,025
1.500%, 07/29/19............................. 838 824,828
2.125%, 03/02/20............................. 55,000 54,096,474
2.150%, 03/06/20............................. 18,715 18,430,818
1.920%, 07/17/20............................. CAD 42,000 32,308,875
2.500%, 01/19/21............................. 12,831 12,598,111
2.860%, 03/04/21............................. CAD 7,000 5,484,801
2.030%, 03/15/21............................. CAD 30,000 22,975,427
Toronto-Dominion Bank (The)
2.447%, 04/02/19............................. CAD 42,000 32,841,746
2.125%, 07/02/19............................. 3,153 3,132,836
# 1.450%, 08/13/19............................. 5,659 5,563,532
15
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
1.900%, 10/24/19............................. 29,675 $ 29,264,001
# 2.250%, 11/05/19............................. 23,000 22,808,398
1.693%, 04/02/20............................. CAD 35,000 26,898,438
2.563%, 06/24/20............................. CAD 40,000 31,223,023
# 2.550%, 01/25/21............................. 5,000 4,925,093
--------------
TOTAL CANADA..................................... 1,066,756,654
--------------
DENMARK -- (1.2%)
Kommunekredit
1.125%, 08/23/19............................. 61,900 60,732,318
1.750%, 01/10/20............................. 1,500 1,478,160
1.625%, 06/12/20............................. 4,500 4,396,370
--------------
TOTAL DENMARK.................................... 66,606,848
--------------
FINLAND -- (1.2%)
Finland Government International Bond
1.750%, 09/10/19............................. 6,200 6,136,239
Municipality Finance P.L.C.
1.250%, 04/18/19............................. 800 790,280
1.750%, 05/21/19............................. 35,300 35,010,399
1.500%, 03/23/20............................. 25,529 24,965,115
--------------
TOTAL FINLAND.................................... 66,902,033
--------------
FRANCE -- (7.1%)
Agence Francaise de Developpement
1.250%, 05/25/19............................. EUR 8,500 10,435,677
1.375%, 08/02/19............................. 19,800 19,481,834
1.625%, 01/21/20............................. 100,516 98,523,572
Caisse d'Amortissement de la Dette Sociale
## 1.750%, 09/24/19............................. 9,000 8,890,992
1.750%, 09/24/19............................. 42,445 41,930,906
1.875%, 01/13/20............................. 41,200 40,624,889
Dexia Credit Local SA
0.040%, 12/11/19............................. EUR 5,000 6,071,588
2.000%, 01/22/21............................. EUR 31,050 39,675,798
French Republic Government Bond OAT
0.0%, 02/25/21............................... EUR 56,500 68,891,616
IXIS Corporate & Investment Bank SA
5.875%, 02/24/20............................. GBP 4,000 5,963,173
Sanofi
1.875%, 09/04/20............................. EUR 3,000 3,769,247
Total Capital Canada, Ltd.
1.875%, 07/09/20............................. EUR 1,300 1,635,869
Total Capital International SA
# 2.125%, 01/10/19............................. 15,212 15,157,832
2.100%, 06/19/19............................. 6,623 6,584,205
Total Capital SA
# 4.450%, 06/24/20............................. 3,750 3,867,603
4.125%, 01/28/21............................. 6,000 6,160,043
FACE
AMOUNT^ VALUE+
------- ------
(000)
FRANCE -- (Continued)
UNEDIC ASSEO
0.0%, 11/25/20............................... EUR 13,000 $ 15,789,441
------------
TOTAL FRANCE..................................... 393,454,285
------------
GERMANY -- (8.0%)
Erste Abwicklungsanstalt
1.375%, 10/30/19............................. 26,600 26,085,848
--%, 02/25/21................................ EUR 3,000 3,641,674
FMS Wertmanagement
1.000%, 08/16/19............................. 71,500 70,110,755
FMS Wertmanagement
1.750%, 01/24/20............................. 29,450 29,006,378
FMS Wertmanagement AoeR
0.0%, 10/20/20............................... EUR 2,000 2,433,313
Kreditanstalt fuer Wiederaufbau
1.500%, 09/09/19............................. 104,600 103,150,919
1.250%, 09/30/19............................. 36,500 35,818,273
4.000%, 01/27/20............................. 5,000 5,114,873
6.000%, 08/20/20............................. AUD 14,500 11,794,389
1.375%, 02/01/21............................. GBP 1,000 1,388,097
NRW Bank
1.875%, 07/01/19............................. 16,264 16,123,154
1.250%, 07/29/19............................. 14,108 13,868,926
2.000%, 09/23/19............................. 12,000 11,887,068
1.875%, 01/27/20............................. 23,000 22,664,752
State of North Rhine-Westphalia Germany
1.875%, 06/17/19............................. 3,800 3,769,664
1.625%, 07/25/19............................. 22,700 22,427,169
1.250%, 09/16/19............................. 13,800 13,537,331
1.625%, 01/22/20............................. 48,650 47,730,563
------------
TOTAL GERMANY.................................... 440,553,146
------------
JAPAN -- (2.4%)
Toyota Credit Canada, Inc.
2.250%, 05/23/19............................. CAD 12,238 9,543,724
Toyota Motor Credit Corp.
1.700%, 01/09/19............................. 29,443 29,291,857
2.100%, 01/17/19............................. 6,359 6,345,771
# 1.700%, 02/19/19............................. 6,967 6,924,384
# 1.400%, 05/20/19............................. 25,596 25,303,139
# 2.125%, 07/18/19............................. 3,331 3,309,377
# 2.200%, 01/10/20............................. 14,459 14,308,260
# 2.150%, 03/12/20............................. 29,198 28,818,596
4.500%, 06/17/20............................. 4,500 4,649,304
4.250%, 01/11/21............................. 5,000 5,155,054
------------
TOTAL JAPAN...................................... 133,649,466
------------
LUXEMBOURG -- (0.3%)
European Financial Stability Facility
0.100%, 01/19/21............................. EUR 7,000 8,538,051
--%, 03/29/21................................ EUR 3,000 3,646,528
16
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
LUXEMBOURG -- (Continued)
Nestle Finance International, Ltd.
1.250%, 05/04/20............................. EUR 1,979 $ 2,452,530
------------
TOTAL LUXEMBOURG................................... 14,637,109
------------
NETHERLANDS -- (8.4%)
Bank Nederlandse Gemeenten NV
## 1.750%, 10/30/19............................. 7,500 7,403,197
1.750%, 10/30/19............................. 32,320 31,902,846
1.625%, 11/25/19............................. 2,800 2,754,531
1.375%, 12/09/19............................. GBP 15,133 20,985,510
## # 2.500%, 02/28/20............................. 17,000 16,922,106
1.750%, 03/24/20............................. 47,892 47,002,550
2.125%, 12/14/20............................. 15,000 14,727,000
4.375%, 02/16/21............................. 14,566 15,135,531
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 70,043 69,881,368
1.375%, 08/09/19............................. 1,320 1,294,160
# 2.250%, 01/14/20............................. 22,845 22,564,167
4.750%, 01/15/20............................. 5,000 5,140,280
## 4.750%, 01/15/20............................. 4,750 4,883,266
4.500%, 01/11/21............................. 2,962 3,060,370
4.125%, 01/12/21............................. EUR 500 669,862
4.625%, 01/13/21............................. GBP 850 1,268,175
2.500%, 01/19/21............................. 21,650 21,276,368
Nederlandse Waterschapsbank NV
1.750%, 09/05/19............................. 11,000 10,870,255
## 1.750%, 09/05/19............................. 26,700 26,385,073
1.250%, 09/09/19............................. 2,430 2,386,032
1.000%, 12/09/19............................. GBP 4,180 5,762,153
1.625%, 03/04/20............................. 39,199 38,430,700
Shell International Finance BV
# 1.375%, 05/10/19............................. 14,857 14,688,967
# 1.375%, 09/12/19............................. 41,375 40,641,118
4.300%, 09/22/19............................. 4,000 4,092,636
4.375%, 03/25/20............................. 14,278 14,690,428
2.250%, 11/10/20............................. 16,618 16,381,246
------------
TOTAL NETHERLANDS.................................. 461,199,895
------------
NEW ZEALAND -- (0.1%)
ANZ New Zealand International Ltd.
2.600%, 09/23/19............................. 4,823 4,795,473
------------
NORWAY -- (2.2%)
Kommunalbanken A.S.
2.125%, 03/15/19............................. 3,678 3,666,525
1.500%, 09/09/19............................. 6,500 6,406,413
1.500%, 10/22/19............................. 35,878 35,295,341
1.625%, 01/15/20............................. 3,000 2,948,007
Statoil ASA
2.250%, 11/08/19............................. 56,499 56,005,795
2.000%, 09/10/20............................. EUR 500 632,402
2.900%, 11/08/20............................. 10,673 10,672,443
5.625%, 03/11/21............................. EUR 2,476 3,460,281
------------
TOTAL NORWAY....................................... 119,087,207
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
SINGAPORE -- (2.7%)
Singapore Government Bond
2.500%, 06/01/19............................. SGD 115,000 $ 87,536,942
1.625%, 10/01/19............................. SGD 82,500 62,138,303
------------
TOTAL SINGAPORE.................................. 149,675,245
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (7.5%)
African Development Bank
1.125%, 09/20/19............................. 20,000 19,609,200
1.375%, 02/12/20............................. 24,438 23,906,302
1.875%, 03/16/20............................. 14,250 14,048,025
Asian Development Bank
2.800%, 01/19/21............................. AUD 9,000 6,832,321
Council Of Europe Development Bank
1.750%, 11/14/19............................. 3,779 3,732,027
1.250%, 12/23/19............................. GBP 3,000 4,155,168
1.625%, 03/10/20............................. 71,306 69,982,561
European Bank for Reconstruction & Development
1.750%, 11/26/19............................. 22,505 22,222,787
European Investment Bank
1.250%, 12/16/19............................. 9,000 8,808,660
2.250%, 03/07/20............................. GBP 6,700 9,453,026
# 1.625%, 03/16/20............................. 81,819 80,315,167
2.800%, 01/15/21............................. AUD 4,000 3,039,351
4.000%, 02/16/21............................. 15,000 15,482,031
# 2.000%, 03/15/21............................. 20,000 19,570,101
Inter-American Development Bank
# 1.125%, 09/12/19............................. 23,280 22,850,857
1.750%, 10/15/19............................. 2,500 2,472,460
International Bank for Reconstruction & Development
# 0.875%, 08/15/19............................. 19,850 19,446,469
1.875%, 10/07/19............................. 59,001 58,465,212
2.800%, 01/13/21............................. AUD 10,000 7,592,665
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 411,984,390
------------
SWEDEN -- (8.6%)
Kommuninvest I Sverige AB
1.125%, 09/17/19............................. 14,700 14,404,015
2.000%, 11/12/19............................. 54,200 53,688,894
1.750%, 03/19/20............................. 50,260 49,392,311
2.500%, 12/01/20............................. SEK 308,000 37,395,058
Nordea Bank AB
2.375%, 04/04/19............................. 6,986 6,962,567
## 1.625%, 09/30/19............................. 16,000 15,696,075
Svensk Exportkredit AB
1.250%, 04/12/19............................. 3,645 3,603,999
1.875%, 06/17/19............................. 71,258 70,711,451
1.125%, 08/28/19............................. 9,250 9,074,487
17
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWEDEN -- (Continued)
1.750%, 08/28/20............................. 27,971 $ 27,295,468
# 1.750%, 03/10/21............................. 20,000 19,373,459
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 86,287 86,192,052
4.500%, 04/10/19............................. AUD 2,500 1,917,767
2.250%, 06/17/19............................. 42,545 42,268,548
1.500%, 09/06/19............................. 21,261 20,860,702
1.950%, 09/08/20............................. 2,500 2,431,055
# 2.400%, 10/01/20............................. 4,000 3,929,369
3.000%, 11/20/20............................. GBP 1,000 1,435,025
Swedbank AB
## # 2.375%, 02/27/19............................. 7,579 7,551,693
------------
TOTAL SWEDEN....................................... 474,183,995
------------
UNITED STATES -- (9.3%)
Apple, Inc.
# 2.100%, 05/06/19............................. $ 8,148 8,128,364
2.850%, 08/28/19............................. AUD 3,680 2,784,415
1.500%, 09/12/19............................. 88,350 87,085,196
# 1.800%, 11/13/19............................. 5,000 4,939,250
# 1.550%, 02/07/20............................. 9,900 9,728,644
1.900%, 02/07/20............................. 22,408 22,127,228
2.000%, 11/13/20............................. 3,267 3,203,097
# 2.250%, 02/23/21............................. 18,600 18,285,557
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 3,909 3,891,012
0.250%, 01/17/21............................. EUR 1,074 1,303,353
Chevron Corp.
1.686%, 02/28/19............................. 4,670 4,639,880
1.561%, 05/16/19............................. 31,115 30,819,719
# 2.193%, 11/15/19............................. 31,566 31,297,535
1.961%, 03/03/20............................. 4,150 4,094,556
1.991%, 03/03/20............................. 21,089 20,814,183
Cisco Systems, Inc.
2.125%, 03/01/19............................. 6,497 6,482,339
1.400%, 09/20/19............................. 33,306 32,787,488
4.450%, 01/15/20............................. 38,004 39,089,394
# 2.450%, 06/15/20............................. 9,935 9,876,471
# 2.200%, 02/28/21............................. 2,725 2,675,128
Coca-Cola Co. (The)
1.875%, 10/27/20............................. 4,077 3,984,693
Exxon Mobil Corp.
# 1.912%, 03/06/20............................. 19,700 19,436,249
# 2.222%, 03/01/21............................. 5,000 4,918,443
Merck & Co., Inc.
1.850%, 02/10/20............................. 18,426 18,158,845
Microsoft Corp.
# 4.200%, 06/01/19............................. 5,650 5,752,370
1.850%, 02/06/20............................. 12,000 11,839,338
# 1.850%, 02/12/20............................. 14,000 13,810,325
Nestle Holdings, Inc.
2.125%, 01/14/20............................. 5,500 5,435,634
1.750%, 12/09/20............................. GBP 2,400 3,350,792
Novartis Capital Corp.
# 1.800%, 02/14/20............................. 7,805 7,675,041
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Oracle Corp.
2.250%, 01/10/21............................. EUR 22,330 $ 28,580,946
Pfizer, Inc.
2.100%, 05/15/19............................. 24,850 24,735,186
Procter & Gamble Co. (The)
4.125%, 12/07/20............................. EUR 2,791 3,735,163
# 1.850%, 02/02/21............................. 8,890 8,653,566
Walmart Inc
1.750%, 10/09/19............................. 8,900 8,811,688
--------------
TOTAL UNITED STATES.............................. 512,931,088
--------------
TOTAL BONDS...................................... 4,945,962,995
--------------
AGENCY OBLIGATIONS -- (5.4%)
Federal Home Loan Bank
2.000%, 09/13/19............................. 35,000 34,801,060
# 1.500%, 10/21/19............................. 29,000 28,600,235
1.375%, 11/15/19............................. 5,000 4,921,750
2.125%, 02/11/20............................. 5,000 4,965,715
1.875%, 03/13/20............................. 24,000 23,716,224
4.125%, 03/13/20............................. 39,900 41,026,776
2.375%, 03/30/20............................. 32,100 32,002,223
Federal Home Loan Mortgage Corp.
1.250%, 10/02/19............................. 56,300 55,365,589
Federal National Mortgage Association
1.750%, 09/12/19............................. 7,000 6,938,246
1.000%, 10/24/19............................. 25,000 24,469,975
# 1.500%, 02/28/20............................. 42,000 41,246,814
--------------
TOTAL AGENCY OBLIGATIONS......................... 298,054,607
--------------
U.S. TREASURY OBLIGATIONS -- (1.6%)
U.S. Treasury Notes
1.000%, 10/15/19............................. 10,000 9,798,047
1.250%, 01/31/20............................. 15,000 14,691,211
1.250%, 02/29/20............................. 20,000 19,560,156
1.375%, 03/31/20............................. 20,000 19,585,938
1.500%, 04/15/20............................. 25,000 24,523,437
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 88,158,789
--------------
TOTAL INVESTMENT SECURITIES...................... 5,332,176,391
--------------
18
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
SHARES VALUE+
- ------ ------
SECURITIES LENDING COLLATERAL -- (3.1%)
(S)@ DFA Short Term Investment Fund............... 14,693,669 $ 170,005,749
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,548,227,723)............................ $5,502,182,140
==============
At April 30, 2018, DFA Two-Year Global Fixed Income Portfolio had entered into
the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
USD 22,947,816 SGD 30,221,608 UBS AG 05/14/18 $ 151,401
USD 22,114,797 SGD 28,981,472 JP Morgan 05/17/18 252,561
USD 11,199,769 SGD 14,762,707 Citibank, N.A. 05/25/18 61,769
USD 19,470,198 SGD 25,536,710 State Street Bank and Trust 07/03/18 185,128
USD 88,864,360 EUR 72,029,035 State Street Bank and Trust 07/03/18 1,468,674
USD 88,744,291 EUR 71,909,139 State Street Bank and Trust 07/05/18 1,480,610
USD 131,997,623 CAD 168,477,186 State Street Bank and Trust 07/06/18 575,071
USD 55,950,159 GBP 39,347,321 UBS AG 07/10/18 1,596,655
USD 89,550,160 CAD 112,824,515 Bank of America Corp. 07/10/18 1,532,817
USD 96,666,882 CAD 121,588,668 HSBC Bank 07/11/18 1,810,431
USD 121,164,612 CAD 152,465,478 JP Morgan 07/13/18 2,214,930
USD 24,409,149 CAD 31,268,947 JP Morgan 07/16/18 12,396
USD 88,278,376 CAD 110,689,466 JP Morgan 07/16/18 1,915,907
USD 8,765,517 AUD 11,284,706 State Street Bank and Trust 07/17/18 267,152
USD 127,822,023 CAD 160,808,579 State Street Bank and Trust 07/19/18 2,347,670
USD 74,514,776 AUD 96,853,567 HSBC Bank 07/20/18 1,573,927
USD 125,456,379 CAD 158,845,954 Morgan Stanley 07/20/18 1,510,839
USD 15,531,076 SGD 20,500,030 State Street Bank and Trust 07/23/18 42,187
USD 21,551,508 SGD 28,450,210 Citibank, N.A. 07/24/18 55,305
USD 39,330,617 SEK 334,220,926 UBS AG 07/25/18 913,019
USD 51,832,752 EUR 42,310,392 State Street Bank and Trust 07/26/18 404,582
-----------
TOTAL APPRECIATION $20,373,031
AUD 15,099,888 USD 11,403,511 UBS AG 07/20/18 $ (31,719)
CAD 10,438,926 USD 8,319,898 Citibank, N.A. 07/06/18 (176,895)
CAD 303,420 USD 236,754 Citibank, N.A. 07/19/18 (4)
USD 22,714,970 SGD 30,136,133 Citibank, N.A. 07/25/18 (55,619)
USD 15,164,946 SGD 20,085,107 Bank of America Corp. 07/26/18 (11,545)
-----------
TOTAL (DEPRECIATION) $ (275,782)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $20,097,249
===========
19
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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.............................. -- $465,912,660 -- $465,912,660
Austria................................ -- 157,704,389 -- 157,704,389
Belgium................................ -- 5,929,112 -- 5,929,112
Canada................................. -- 1,066,756,654 -- 1,066,756,654
Denmark................................ -- 66,606,848 -- 66,606,848
Finland................................ -- 66,902,033 -- 66,902,033
France................................. -- 393,454,285 -- 393,454,285
Germany................................ -- 440,553,146 -- 440,553,146
Japan.................................. -- 133,649,466 -- 133,649,466
Luxembourg............................. -- 14,637,109 -- 14,637,109
Netherlands............................ -- 461,199,895 -- 461,199,895
New Zealand............................ -- 4,795,473 -- 4,795,473
Norway................................. -- 119,087,207 -- 119,087,207
Singapore.............................. -- 149,675,245 -- 149,675,245
Supranational Organization Obligations. -- 411,984,390 -- 411,984,390
Sweden................................. -- 474,183,995 -- 474,183,995
United States.......................... -- 512,931,088 -- 512,931,088
Agency Obligations....................... -- 298,054,607 -- 298,054,607
U.S. Treasury Obligations................ -- 88,158,789 -- 88,158,789
Securities Lending Collateral............ -- 170,005,749 -- 170,005,749
Forward Currency Contracts**............. -- 20,097,249 -- 20,097,249
-- -------------- -- --------------
TOTAL.................................... -- $5,522,279,389 -- $5,522,279,389
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
20
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (90.1%)
AUSTRALIA -- (6.8%)
ASB Finance, Ltd.
0.500%, 06/10/22............................. EUR 2,000 $ 2,411,649
Australia & New Zealand Banking Group, Ltd.
# 2.700%, 11/16/20............................. 7,000 6,922,458
3.300%, 03/07/22............................. AUD 2,000 1,515,779
2.625%, 11/09/22............................. 6,667 6,409,504
Commonwealth Bank of Australia
2.300%, 03/12/20............................. 1,310 1,292,564
2.900%, 07/12/21............................. AUD 2,000 1,500,948
3.250%, 01/17/22............................. AUD 1,000 757,369
## 2.750%, 03/10/22............................. 2,000 1,950,399
3.250%, 03/31/22............................. AUD 6,000 4,534,174
0.500%, 07/11/22............................. EUR 5,725 6,927,840
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 4,475 4,483,032
National Australia Bank, Ltd.
## 2.400%, 12/09/19............................. 15,000 14,877,865
2.625%, 01/14/21............................. 1,905 1,875,583
3.000%, 05/12/21............................. AUD 1,000 753,869
1.875%, 07/12/21............................. 1,350 1,292,708
0.875%, 01/20/22............................. EUR 1,112 1,368,059
2.500%, 05/22/22............................. 3,968 3,828,304
0.350%, 09/07/22............................. EUR 1,500 1,801,817
Westpac Banking Corp.
4.875%, 11/19/19............................. 5,000 5,143,957
0.250%, 01/17/22............................. EUR 8,500 10,215,481
-----------
TOTAL AUSTRALIA.................................. 79,863,359
-----------
AUSTRIA -- (0.6%)
Republic of Austria Government Bond
## 0.0%, 09/20/22............................... EUR 6,100 7,389,128
-----------
BELGIUM -- (0.8%)
Anheuser-Busch InBev Finance, Inc.
2.625%, 01/17/23............................. 3,327 3,202,135
Dexia Credit Local SA
0.625%, 01/21/22............................. EUR 1,250 1,540,520
0.250%, 06/02/22............................. EUR 2,000 2,425,415
1.125%, 06/15/22............................. GBP 2,000 2,716,002
-----------
TOTAL BELGIUM.................................... 9,884,072
-----------
CANADA -- (5.8%)
Bank of Montreal
1.900%, 08/27/21............................. 4,000 3,827,520
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 5,000 4,960,330
# 2.800%, 07/21/21............................. 420 414,757
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Goldcorp, Inc.
3.625%, 06/09/21............................. 500 $ 500,074
Province of British Columbia Canada
3.250%, 12/18/21............................. CAD 5,000 4,013,201
Province of Ontario Canada
2.500%, 09/10/21............................. 15,000 14,730,040
Province of Quebec Canada
0.875%, 05/24/22............................. GBP 4,730 6,374,370
Quebec, Province of Canada
4.500%, 12/01/18............................. CAD 9,000 7,129,133
Royal Bank of Canada
2.150%, 03/06/20............................. 7,197 7,087,716
2.750%, 02/01/22............................. 5,614 5,499,886
1.968%, 03/02/22............................. CAD 8,000 6,051,513
Toronto-Dominion Bank (The)
1.994%, 03/23/22............................. CAD 10,000 7,577,086
-----------
TOTAL CANADA..................................... 68,165,626
-----------
DENMARK -- (0.4%)
Danske Bank A.S.
## 2.800%, 03/10/21............................. 5,000 4,931,194
-----------
FINLAND -- (1.4%)
Finland Government Bond
## 1.625%, 09/15/22............................. EUR 12,000 15,579,688
OP Corporate Bank P.L.C.
0.750%, 03/03/22............................. EUR 725 889,077
0.375%, 10/11/22............................. EUR 500 601,538
-----------
TOTAL FINLAND.................................... 17,070,303
-----------
FRANCE -- (5.3%)
BPCE SA
1.125%, 12/14/22............................. EUR 1,800 2,237,703
Caisse d'Amortissement de la Dette Sociale
0.125%, 11/25/22............................. EUR 3,500 4,241,544
Credit Agricole SA
## 2.750%, 06/10/20............................. 5,000 4,950,735
Electricite de France SA
## 2.350%, 10/13/20............................. 5,300 5,211,150
French Republic Government Bond OAT
--%, 05/25/22................................ EUR 10,400 12,617,650
2.250%, 10/25/22............................. EUR 8,500 11,329,857
Societe Generale SA
## 2.500%, 04/08/21............................. 4,200 4,094,181
Total Capital Canada, Ltd.
1.125%, 03/18/22............................. EUR 1,500 1,872,909
21
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
FRANCE -- (Continued)
Total Capital SA
4.450%, 06/24/20............................. 8,000 $ 8,250,887
4.125%, 01/28/21............................. 4,000 4,106,695
Unedic Asseo
0.875%, 10/25/22............................. EUR 3,400 4,253,941
-----------
TOTAL FRANCE....................................... 63,167,252
-----------
GERMANY -- (5.7%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 5,000 4,951,590
BMW US Capital LLC
## # 2.000%, 04/11/21............................. 2,365 2,280,325
Deutsche Bank AG
2.950%, 08/20/20............................. 1,000 984,050
1.500%, 01/20/22............................. EUR 1,000 1,227,179
FMS Wertmanagement AoeR
1.625%, 11/20/18............................. 6,800 6,772,663
0.875%, 02/14/22............................. GBP 2,000 2,722,340
Kreditanstalt fuer Wiederaufbau
1.500%, 04/20/20............................. 14,000 13,678,250
0.875%, 03/15/22............................. GBP 12,110 16,470,200
2.900%, 06/06/22............................. AUD 1,000 757,781
--%, 12/15/22................................ EUR 2,000 2,410,190
NRW Bank
--%, 08/10/22................................ EUR 5,000 6,023,652
--%, 11/11/22................................ EUR 5,000 6,010,532
Volkswagen Group of America Finance LLC
## 2.400%, 05/22/20............................. 3,625 3,565,041
-----------
TOTAL GERMANY...................................... 67,853,793
-----------
IRELAND -- (0.7%)
Allergan Finance LLC
3.250%, 10/01/22............................. 2,800 2,711,712
Allergan Funding SCS
3.450%, 03/15/22............................. 6,000 5,898,159
-----------
TOTAL IRELAND...................................... 8,609,871
-----------
ITALY -- (1.0%)
Intesa Sanpaolo SpA
0.875%, 06/27/22............................. EUR 3,000 3,653,096
## # 3.125%, 07/14/22............................. 4,550 4,383,334
Italy Buoni Poliennali Del Tesoro
1.450%, 09/15/22............................. EUR 2,900 3,645,539
-----------
TOTAL ITALY........................................ 11,681,969
-----------
JAPAN -- (4.1%)
American Honda Finance Corp.
# 2.450%, 09/24/20............................. 3,300 3,261,879
Mitsubishi UFJ Financial Group, Inc.
0.680%, 01/26/23............................. EUR 1,790 2,157,998
FACE
AMOUNT^ VALUE+
------- ------
(000)
JAPAN -- (Continued)
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 4,000 $ 3,906,016
MUFG Bank, Ltd.
## 2.350%, 09/08/19............................. $ 3,000 2,973,382
MUFG Union Bank NA
# 2.625%, 09/26/18............................. 2,245 2,244,639
Nissan Motor Acceptance Corp.
## 2.550%, 03/08/21............................. 3,500 3,424,952
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 3,000 2,882,837
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 4,000 3,027,377
Toyota Motor Credit Corp.
# 1.900%, 04/08/21............................. 20,928 20,300,368
2.600%, 01/11/22............................. 3,152 3,085,129
0.750%, 07/21/22............................. EUR 500 613,729
-----------
TOTAL JAPAN...................................... 47,878,306
-----------
LUXEMBOURG -- (0.7%)
European Financial Stability Facility
0.500%, 01/20/23............................. EUR 6,500 8,008,121
-----------
NETHERLANDS -- (5.0%)
Bank Nederlandse Gemeenten NV
1.875%, 06/11/19............................. 5,000 4,962,320
1.750%, 03/24/20............................. 10,000 9,814,280
1.000%, 03/15/22............................. GBP 1,000 1,362,382
0.500%, 08/26/22............................. EUR 5,000 6,151,030
Cooperatieve Rabobank UA
0.125%, 10/11/21............................. EUR 900 1,083,940
2.750%, 01/10/22............................. 810 792,001
4.000%, 01/11/22............................. EUR 980 1,346,096
4.750%, 06/06/22............................. EUR 1,367 1,944,882
ING Bank NV
## 2.750%, 03/22/21............................. 5,000 4,931,618
Mylan, Inc.
# 2.550%, 03/28/19............................. 4,400 4,382,761
Shell International Finance BV
# 4.375%, 03/25/20............................. 10,000 10,288,855
# 2.250%, 11/10/20............................. 4,606 4,540,379
1.750%, 09/12/21............................. 7,000 6,711,581
Volkswagen International Finance NV
0.875%, 01/16/23............................. EUR 300 365,250
-----------
TOTAL NETHERLANDS................................ 58,677,375
-----------
NORWAY -- (1.1%)
Kommunalbanken A.S.
2.250%, 01/25/22............................. 13,250 12,899,312
-----------
22
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SPAIN -- (0.7%)
Banco Santander SA
# 3.848%, 04/12/23............................. 3,000 $ 2,976,136
Santander UK P.L.C.
2.375%, 03/16/20............................. 2,000 1,974,033
Spain Government Bond
## 5.400%, 01/31/23............................. EUR 2,500 3,753,781
-----------
TOTAL SPAIN...................................... 8,703,950
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.7%)
Asian Development Bank
1.375%, 01/15/19............................. 6,000 5,959,857
European Financial Stability Facility
0.0%, 11/17/22............................... EUR 21,960 26,485,316
European Investment Bank
# 1.875%, 03/15/19............................. 10,000 9,955,117
1.750%, 06/17/19............................. 5,000 4,959,750
4.250%, 12/07/21............................. GBP 220 335,321
5.000%, 08/22/22............................. AUD 1,000 822,993
European Stability Mechanism
0.0%, 10/18/22............................... EUR 17,350 20,925,434
International Bank for Reconstruction &
Development
0.750%, 12/07/21............................. GBP 5,000 6,790,783
International Finance Corp.
2.800%, 08/15/22............................. AUD 4,500 3,401,511
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 79,636,082
-----------
SWEDEN -- (7.8%)
Kommuninvest I Sverige AB
0.250%, 06/01/22............................. SEK 269,000 30,689,282
Nordea Bank AB
0.300%, 06/30/22............................. EUR 5,000 6,019,788
Skandinaviska Enskilda Banken AB
0.300%, 02/17/22............................. EUR 1,250 1,509,112
1.250%, 08/05/22............................. GBP 2,000 2,708,287
Svenska Handelsbanken AB
2.400%, 10/01/20............................. 15,145 14,877,572
0.250%, 02/28/22............................. EUR 4,600 5,542,471
Sweden Government Bond
3.500%, 06/01/22............................. SEK 231,000 30,381,895
-----------
TOTAL SWEDEN..................................... 91,728,407
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWITZERLAND -- (0.4%)
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22............................. EUR 1,000 $ 1,234,058
UBS AG
2.375%, 08/14/19............................. 667 663,298
UBS Group Funding Switzerland AG
1.750%, 11/16/22............................. EUR 2,000 2,524,159
-----------
TOTAL SWITZERLAND................................ 4,421,515
-----------
UNITED KINGDOM -- (1.8%)
Anglo American Capital P.L.C.
## 3.750%, 04/10/22............................. 3,733 3,698,395
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 5,000 4,916,662
Barclays P.L.C.
# 2.750%, 11/08/19............................. 8,000 7,944,936
BP Capital Markets P.L.C.
2.315%, 02/13/20............................. 856 847,966
British Telecommunications P.L.C.
0.500%, 06/23/22............................. EUR 400 482,207
HSBC USA, Inc.
2.350%, 03/05/20............................. 2,825 2,790,477
Unilever Capital Corp.
4.250%, 02/10/21............................. 1,000 1,032,805
-----------
TOTAL UNITED KINGDOM............................. 21,713,448
-----------
UNITED STATES -- (33.3%)
Abbott Laboratories
2.000%, 03/15/20............................. $ 6,774 6,650,655
AbbVie, Inc.
2.500%, 05/14/20............................. 1,422 1,404,995
Activision Blizzard, Inc.
2.600%, 06/15/22............................. 5,000 4,825,992
Air Products & Chemicals, Inc.
3.000%, 11/03/21............................. 3,990 3,964,738
Altria Group, Inc.
2.850%, 08/09/22............................. 5,700 5,552,418
Ameren Corp.
2.700%, 11/15/20............................. 1,000 986,242
American Express Credit Corp.
# 2.250%, 08/15/19............................. 2,500 2,485,288
American Honda Finance Corp.
1.375%, 11/10/22............................. EUR 2,000 2,515,044
AmerisourceBergen Corp.
# 3.500%, 11/15/21............................. 5,000 5,009,650
Amgen, Inc.
2.200%, 05/22/19............................. 575 572,234
See accompanying Notes to Financial Statements.
23
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Apache Corp.
6.900%, 09/15/18............................. 4,890 $ 4,967,113
Apple, Inc.
2.250%, 02/23/21............................. 12,050 11,846,288
2.850%, 05/06/21............................. 11,176 11,138,257
AutoZone, Inc.
2.875%, 01/15/23............................. 3,000 2,894,113
Bank of America Corp.
2.600%, 01/15/19............................. 1,670 1,669,699
2.650%, 04/01/19............................. 1,000 1,000,223
Biogen, Inc.
2.900%, 09/15/20............................. 5,000 4,976,017
Booking Holdings, Inc.
0.800%, 03/10/22............................. EUR 1,900 2,320,325
Boston Scientific Corp.
6.000%, 01/15/20............................. 1,433 1,496,304
Bristol-Myers Squibb Co.
# 1.750%, 03/01/19............................. 1,200 1,192,149
Capital One NA/Mclean
2.950%, 07/23/21............................. 4,495 4,418,568
CBS Corp.
2.300%, 08/15/19............................. 1,417 1,403,133
Celgene Corp.
2.250%, 05/15/19............................. 1,300 1,291,774
3.550%, 08/15/22............................. 1,777 1,763,396
Chevron Corp.
# 2.419%, 11/17/20............................. 10,000 9,937,167
2.100%, 05/16/21............................. 2,200 2,145,797
# 2.498%, 03/03/22............................. 3,000 2,937,296
Cigna Corp.
4.500%, 03/15/21............................. 1,000 1,024,696
Cisco Systems, Inc.
2.200%, 02/28/21............................. 5,000 4,908,491
Citizens Bank NA
# 2.550%, 05/13/21............................. 2,836 2,774,206
Comerica, Inc.
2.125%, 05/23/19............................. 700 695,745
Conagra Brands, Inc.
3.200%, 01/25/23............................. 2,000 1,962,412
CVS Health Corp.
2.250%, 08/12/19............................. 600 595,020
# 2.800%, 07/20/20............................. 2,665 2,648,568
Discovery Communications LLC
## 2.750%, 11/15/19............................. 6,000 5,965,201
Dominion Energy, Inc.
2.500%, 12/01/19............................. 4,667 4,610,961
Dow Chemical Co. (The)
3.000%, 11/15/22............................. 1,000 973,737
Dr Pepper Snapple Group, Inc.
2.700%, 11/15/22............................. 1,000 950,810
DTE Energy Co.
2.400%, 12/01/19............................. 2,210 2,179,852
E*TRADE Financial Corp.
2.950%, 08/24/22............................. 4,000 3,874,975
eBay, Inc.
# 2.200%, 08/01/19............................. 5,500 5,465,306
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Exelon Generation Co. LLC
4.250%, 06/15/22............................. 1,000 $ 1,023,673
Express Scripts Holding Co.
2.250%, 06/15/19............................. 2,865 2,842,056
Exxon Mobil Corp.
# 1.912%, 03/06/20............................. 5,009 4,941,938
2.222%, 03/01/21............................. 2,800 2,754,328
Fifth Third Bancorp
2.300%, 03/01/19............................. 2,270 2,262,090
Fifth Third Bank
2.375%, 04/25/19............................. 453 452,010
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 1,387 1,388,343
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20............................. 3,000 2,973,438
GATX Corp.
2.500%, 03/15/19............................. 3,000 2,991,082
GE Capital International Funding Co., Unlimited Co.
2.342%, 11/15/20............................. 12,715 12,428,682
General Electric Co.
0.375%, 05/17/22............................. EUR 4,523 5,429,529
General Motors Financial Co., Inc.
3.450%, 01/14/22............................. 5,000 4,944,584
Gilead Sciences, Inc.
# 2.550%, 09/01/20............................. 2,118 2,101,840
Goldman Sachs Group, Inc. (The)
2.625%, 04/25/21............................. 500 489,351
5.250%, 07/27/21............................. 5,000 5,285,863
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 5,000 4,905,363
Hershey Co. (The)
4.125%, 12/01/20............................. 300 308,567
Humana, Inc.
2.625%, 10/01/19............................. 1,455 1,448,645
Huntington Bancshares, Inc.
2.600%, 08/02/18............................. 4,400 4,401,024
International Business Machines Corp.
2.500%, 01/27/22............................. 5,000 4,870,640
Johnson & Johnson
# 1.650%, 03/01/21............................. 4,452 4,323,412
0.250%, 01/20/22............................. EUR 4,200 5,092,125
Kellogg Co.
0.800%, 11/17/22............................. EUR 450 546,976
KeyCorp
2.900%, 09/15/20............................. 2,142 2,126,793
Kroger Co. (The)
2.300%, 01/15/19............................. 1,700 1,694,801
L3 Technologies, Inc.
4.750%, 07/15/20............................. 1,553 1,605,936
Legg Mason, Inc.
2.700%, 07/15/19............................. 5,425 5,395,469
24
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Lockheed Martin Corp.
# 2.500%, 11/23/20............................. 3,500 $ 3,458,502
Marathon Petroleum Corp.
3.400%, 12/15/20............................. 3,500 3,513,337
Marriott International, Inc.
6.750%, 05/15/18............................. 1,000 1,001,545
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19............................. 2,200 2,181,590
Mastercard, Inc.
1.100%, 12/01/22............................. EUR 1,000 1,239,015
Mead Johnson Nutrition Co.
3.000%, 11/15/20............................. 2,800 2,792,750
Merck & Co., Inc.
# 3.875%, 01/15/21............................. 6,244 6,386,968
MetLife, Inc.
# 4.750%, 02/08/21............................. 2,300 2,391,778
Microsoft Corp.
1.850%, 02/12/20............................. 2,000 1,972,904
1.550%, 08/08/21............................. 1,178 1,128,788
Mondelez International Holdings Netherlands BV
## 2.000%, 10/28/21............................. 6,000 5,712,257
Monsanto Co.
2.125%, 07/15/19............................. 2,500 2,477,449
Morgan Stanley
7.300%, 05/13/19............................. 1,800 1,881,399
# 2.375%, 07/23/19............................. 1,365 1,358,582
Mosaic Co. (The)
3.750%, 11/15/21............................. 6,000 5,985,739
National Oilwell Varco, Inc.
# 2.600%, 12/01/22............................. 4,000 3,810,943
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 3,850 3,821,034
Nordstrom, Inc.
4.750%, 05/01/20............................. 5,225 5,373,341
Nuveen Finance LLC
## 2.950%, 11/01/19............................. 3,474 3,461,733
NVIDIA Corp.
# 2.200%, 09/16/21............................. 575 557,884
Omnicom Group, Inc.
4.450%, 08/15/20............................. 1,000 1,026,611
3.625%, 05/01/22............................. 2,000 2,001,314
ONEOK Partners L.P.
3.375%, 10/01/22............................. 1,000 983,002
Oracle Corp.
1.900%, 09/15/21............................. 20,000 19,297,011
Pacific Gas & Electric Co.
3.500%, 10/01/20............................. 100 100,212
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.375%, 02/01/22............................. 361 357,187
PepsiCo, Inc.
4.500%, 01/15/20............................. 451 464,872
Pfizer, Inc.
0.250%, 03/06/22............................. EUR 13,680 16,506,566
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Procter & Gamble Co. (The)
2.150%, 08/11/22............................. 7,369 $ 7,096,636
2.000%, 08/16/22............................. EUR 400 517,498
Progress Energy, Inc.
4.400%, 01/15/21............................. 1,500 1,535,488
Regions Financial Corp.
2.750%, 08/14/22............................. 1,500 1,446,026
Republic Services, Inc.
3.800%, 05/15/18............................. 233 233,117
Roper Technologies, Inc.
2.800%, 12/15/21............................. 1,000 977,352
Santander Holdings USA, Inc.
# 3.400%, 01/18/23............................. 6,525 6,320,251
Sherwin-Williams Co. (The)
# 2.750%, 06/01/22............................. 2,000 1,936,376
Southern Co. (The)
2.750%, 06/15/20............................. 5,000 4,953,889
Southwest Airlines Co.
2.750%, 11/06/19............................. 5,000 4,975,336
State Street Corp.
2.550%, 08/18/20............................. 2,000 1,984,429
Stryker Corp.
2.625%, 03/15/21............................. 2,400 2,367,288
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 1,070 1,058,982
Time Warner, Inc.
4.875%, 03/15/20............................. 2,635 2,721,543
4.000%, 01/15/22............................. 3,470 3,525,381
Union Pacific Corp.
1.800%, 02/01/20............................. 844 829,121
4.000%, 02/01/21............................. 1,470 1,504,025
UnitedHealth Group, Inc.
2.300%, 12/15/19............................. 710 705,075
Verizon Communications, Inc.
4.600%, 04/01/21............................. 1,197 1,244,525
3.125%, 03/16/22............................. 3,650 3,608,334
Viacom, Inc.
4.500%, 03/01/21............................. 6,000 6,159,496
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 1,590 1,584,435
Wells Fargo & Co.
2.150%, 01/30/20............................. 750 740,086
1.500%, 09/12/22............................. EUR 300 375,128
Wisconsin Electric Power Co.
1.700%, 06/15/18............................. 535 534,552
Xerox Corp.
4.070%, 03/17/22............................. 2,900 2,879,913
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 2,210 2,188,890
--------------
TOTAL UNITED STATES.............................. 394,270,898
--------------
TOTAL BONDS...................................... 1,066,553,981
--------------
25
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
U.S. TREASURY OBLIGATIONS -- (8.0%)
U.S. Treasury Notes
0.750%, 02/15/19............................. 75,500 $ 74,629,980
1.500%, 05/31/19............................. 20,000 19,826,563
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 94,456,543
--------------
TOTAL INVESTMENT SECURITIES...................... 1,161,010,524
--------------
SHARES VALUE+
------ ------
SECURITIES LENDING COLLATERAL -- (1.9%)
(S)@ DFA Short Term Investment Fund............... 1,893,506 $ 21,907,864
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,196,172,461)............................ $1,182,918,388
==============
At April 30, 2018, DFA Selectively Hedged Global Fixed Income Portfolio had
entered into the following forward currency contracts and the net unrealized
forward currency gain (loss) is reflected in the accompanying financial
statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ------------------ --------------
USD 102,909,839 EUR 83,248,385 State Street Bank and Trust 05/08/18 $2,344,038
USD 28,054,966 CAD 35,969,608 Bank of America Corp. 06/11/18 15,047
USD 65,674,821 SEK 533,978,795 State Street Bank and Trust 06/12/18 4,511,211
USD 14,479,081 AUD 18,856,236 Citibank, N.A. 06/28/18 280,634
USD 40,254,866 GBP 28,715,057 State Street Bank and Trust 07/23/18 564,330
USD 138,152,812 EUR 112,141,246 State Street Bank and Trust 07/23/18 1,877,033
----------
TOTAL APPRECIATION $9,592,293
==========
26
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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.......... -- $ 79,863,359 -- $ 79,863,359
Austria............ -- 7,389,128 -- 7,389,128
Belgium............ -- 9,884,072 -- 9,884,072
Canada............. -- 68,165,626 -- 68,165,626
Denmark............ -- 4,931,194 -- 4,931,194
Finland............ -- 17,070,303 -- 17,070,303
France............. -- 63,167,252 -- 63,167,252
Germany............ -- 67,853,793 -- 67,853,793
Ireland............ -- 8,609,871 -- 8,609,871
Italy.............. -- 11,681,969 -- 11,681,969
Japan.............. -- 47,878,306 -- 47,878,306
Luxembourg......... -- 8,008,121 -- 8,008,121
Netherlands........ -- 58,677,375 -- 58,677,375
Norway............. -- 12,899,312 -- 12,899,312
Spain.............. -- 8,703,950 -- 8,703,950
Supranational
Organization
Obligations...... -- 79,636,082 -- 79,636,082
Sweden............. -- 91,728,407 -- 91,728,407
Switzerland........ -- 4,421,515 -- 4,421,515
United Kingdom..... -- 21,713,448 -- 21,713,448
United States...... -- 394,270,898 -- 394,270,898
U.S. Treasury
Obligations........ -- 94,456,543 -- 94,456,543
Securities Lending
Collateral......... -- 21,907,864 -- 21,907,864
Forward Currency
Contracts**........ -- 9,592,293 -- 9,592,293
-- -------------- -- --------------
TOTAL............... -- $1,192,510,681 -- $1,192,510,681
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
27
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (99.6%)
AUSTRALIA -- (9.6%)
ANZ New Zealand International, Ltd.
0.625%, 06/01/21............................. EUR 1,000 $ 1,222,475
0.400%, 03/01/22............................. EUR 34,282 41,357,243
ASB Finance, Ltd.
0.500%, 06/10/22............................. EUR 41,239 49,726,996
Australia & New Zealand Banking Group, Ltd.
2.300%, 06/01/21............................. 17,866 17,354,453
2.550%, 11/23/21............................. 61,184 59,496,558
2.625%, 05/19/22............................. 5,000 4,849,342
2.625%, 11/09/22............................. 98,167 94,375,552
Commonwealth Bank of Australia
2.550%, 03/15/21............................. 35,750 35,098,118
2.900%, 07/12/21............................. AUD 15,000 11,257,109
## 2.000%, 09/06/21............................. 45,774 43,946,924
3.250%, 01/17/22............................. AUD 43,460 32,915,236
## 2.750%, 03/10/22............................. 102,078 99,546,388
3.250%, 03/31/22............................. AUD 21,000 15,869,610
0.500%, 07/11/22............................. EUR 16,950 20,511,246
National Australia Bank, Ltd.
2.625%, 01/14/21............................. 8,550 8,417,970
3.000%, 05/12/21............................. AUD 14,343 10,812,747
1.875%, 07/12/21............................. 31,520 30,182,336
2.800%, 01/10/22............................. 180,432 176,857,972
0.875%, 01/20/22............................. EUR 9,168 11,279,104
3.250%, 03/24/22............................. AUD 17,600 13,313,163
2.500%, 05/22/22............................. 115,430 111,366,220
0.350%, 09/07/22............................. EUR 27,190 32,660,940
South Australian Government Financing Authority
1.500%, 09/22/22............................. AUD 20,000 14,352,752
Western Australian Treasury Corp.
2.750%, 10/20/22............................. AUD 199,000 150,396,925
Westpac Banking Corp.
2.100%, 05/13/21............................. 1,633 1,581,168
# 2.000%, 08/19/21............................. 43,841 42,114,004
2.800%, 01/11/22............................. 206,009 202,263,330
0.250%, 01/17/22............................. EUR 11,762 14,135,822
2.500%, 06/28/22............................. 35,211 33,901,028
2.625%, 12/14/22............................. GBP 5,416 7,750,112
--------------
TOTAL AUSTRALIA.................................. 1,388,912,843
--------------
AUSTRIA -- (3.1%)
Oesterreichische Kontrollbank AG
0.750%, 03/07/22............................. GBP 8,000 10,794,600
FACE
AMOUNT^ VALUE+
------- ------
(000)
AUSTRIA -- (Continued)
Republic of Austria Government Bond
## 0.0%, 09/20/22............................... EUR 357,100 $432,566,785
------------
TOTAL AUSTRIA.................................... 443,361,385
------------
BELGIUM -- (1.9%)
Dexia Credit Local SA
0.875%, 09/07/21............................. GBP 4,600 6,226,850
1.875%, 09/15/21............................. 10,742 10,328,702
0.625%, 01/21/22............................. EUR 28,750 35,431,955
0.250%, 06/02/22............................. EUR 29,400 35,653,610
1.125%, 06/15/22............................. GBP 20,100 27,295,821
2.375%, 09/20/22............................. 2,700 2,610,209
Kingdom of Belgium Government Bond
4.250%, 09/28/22............................. EUR 109,909 158,213,194
------------
TOTAL BELGIUM.................................... 275,760,341
------------
CANADA -- (16.7%)
Alberta, Province of Canada
1.350%, 09/01/21............................. CAD 226,500 170,813,053
Bank of Montreal
1.900%, 08/27/21............................. 84,774 81,118,545
Bank of Nova Scotia (The)
# 2.450%, 03/22/21............................. 38,422 37,588,052
# 2.700%, 03/07/22............................. 188,023 183,210,124
British Columbia, Province of Canada
# 2.000%, 10/23/22............................. 6,000 5,737,745
Canada Housing Trust No. 1
## 1.750%, 06/15/22............................. CAD 97,000 73,796,152
CPPIB Capital, Inc.
## 2.250%, 01/25/22............................. 103,442 100,690,320
2.250%, 01/25/22............................. 58,150 56,603,141
Export Development Canada
2.700%, 10/24/22............................. AUD 65,725 49,333,063
Province of British Columbia Canada
3.250%, 12/18/21............................. CAD 63,000 50,566,338
Province of Manitoba Canada
1.550%, 09/05/21............................. CAD 29,600 22,459,068
2.125%, 05/04/22............................. 61,500 59,112,303
Province of Ontario Canada
2.400%, 02/08/22............................. 187,269 182,406,643
1.350%, 03/08/22............................. CAD 55,000 41,124,810
3.150%, 06/02/22............................. CAD 216,950 173,336,959
28
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Province of Quebec Canada
4.250%, 12/01/21............................. CAD 58,000 $ 48,079,987
2.375%, 01/31/22............................. 202,636 197,534,114
0.875%, 05/24/22............................. GBP 11,551 15,566,669
3.500%, 12/01/22............................. CAD 144,700 117,495,566
Royal Bank of Canada
2.500%, 01/19/21............................. 52,368 51,417,497
2.030%, 03/15/21............................. CAD 60,000 45,950,855
# 2.750%, 02/01/22............................. 76,944 75,379,980
1.968%, 03/02/22............................. CAD 279,434 211,374,807
2.000%, 03/21/22............................. CAD 30,000 22,703,688
Toronto-Dominion Bank (The)
2.125%, 04/07/21............................. 123,746 120,103,008
# 1.800%, 07/13/21............................. 41,938 40,131,719
2.621%, 12/22/21............................. CAD 57,179 44,418,769
1.994%, 03/23/22............................. CAD 174,267 132,043,610
--------------
TOTAL CANADA..................................... 2,410,096,585
--------------
DENMARK -- (0.3%)
Kommunekredit
0.0%, 09/08/22............................... EUR 33,405 40,109,809
--------------
FINLAND -- (3.4%)
Finland Government Bond
--%, 04/15/22................................ EUR 20,000 24,279,226
## 1.625%, 09/15/22............................. EUR 310,500 403,124,419
1.500%, 04/15/23............................. EUR 3,000 3,883,496
Municipality Finance P.L.C.
1.250%, 12/07/22............................. GBP 7,284 9,990,675
OP Corporate Bank P.L.C.
0.750%, 03/03/22............................. EUR 23,001 28,206,417
2.500%, 05/20/22............................. GBP 2,550 3,632,372
0.375%, 10/11/22............................. EUR 15,600 18,768,004
--------------
TOTAL FINLAND.................................... 491,884,609
--------------
FRANCE -- (8.1%)
Agence Francaise de Developpement
0.125%, 04/30/22............................. EUR 48,200 58,251,472
0.500%, 10/25/22............................. EUR 13,600 16,655,845
Caisse d'Amortissement de la Dette Sociale
1.875%, 02/12/22............................. 78,500 75,294,845
0.125%, 11/25/22............................. EUR 287,000 347,806,615
Dexia Credit Local SA
0.750%, 01/25/23............................. EUR 6,000 7,406,798
French Republic Government Bond OAT
3.000%, 04/25/22............................. EUR 15,500 21,083,312
--%, 05/25/22................................ EUR 312,500 379,136,104
2.250%, 10/25/22............................. EUR 18,000 23,992,639
--%, 03/25/23................................ EUR 5,000 6,023,616
FACE
AMOUNT^ VALUE+
------- ------
(000)
FRANCE -- (Continued)
Sanofi
1.125%, 03/10/22............................. EUR 5,200 $ 6,492,777
Total Capital Canada, Ltd.
1.125%, 03/18/22............................. EUR 19,600 24,472,680
Total Capital International SA
# 2.750%, 06/19/21............................. 12,984 12,860,833
2.125%, 11/19/21............................. EUR 4,000 5,171,777
# 2.875%, 02/17/22............................. 33,380 33,002,734
Unedic Asseo
0.875%, 10/25/22............................. EUR 127,900 160,023,235
UNEDIC ASSEO
2.250%, 04/05/23............................. EUR 2,000 2,662,236
--------------
TOTAL FRANCE..................................... 1,180,337,518
--------------
GERMANY -- (7.5%)
Bayerische Landesbodenkreditanstalt
2.500%, 02/09/22............................. EUR 19,829 26,201,614
Bundesobligation
0.0%, 10/07/22............................... EUR 54,000 65,665,942
FMS Wertmanagement AoeR
0.875%, 02/14/22............................. GBP 29,700 40,426,755
Kreditanstalt fuer Wiederaufbau
5.500%, 02/09/22............................. AUD 2,300 1,907,280
# 2.125%, 03/07/22............................. 51,500 50,035,336
0.875%, 03/15/22............................. GBP 39,750 54,061,970
--%, 04/28/22................................ EUR 42,000 50,848,469
2.900%, 06/06/22............................. AUD 18,000 13,640,059
0.625%, 07/04/22............................. EUR 25,500 31,638,003
--%, 12/15/22................................ EUR 31,800 38,322,024
Landeskreditbank Baden- Wuerttemberg Foerderbank
0.875%, 03/07/22............................. GBP 5,485 7,434,402
Landwirtschaftliche Rentenbank
5.500%, 03/29/22............................. AUD 32,000 26,610,028
1.250%, 05/20/22............................. EUR 69,600 88,456,295
2.700%, 09/05/22............................. AUD 75,620 56,830,313
NRW Bank
--%, 08/10/22................................ EUR 33,000 39,756,104
--%, 11/11/22................................ EUR 122,540 147,306,105
0.125%, 03/10/23............................. EUR 20,000 23,956,894
State of North Rhine- Westphalia Germany
4.375%, 04/29/22............................. EUR 20,000 28,381,660
--%, 12/05/22................................ EUR 117,200 140,956,349
0.375%, 02/16/23............................. EUR 104,620 127,831,900
0.125%, 03/16/23............................. EUR 21,260 25,634,494
--------------
TOTAL GERMANY.................................... 1,085,901,996
--------------
29
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
JAPAN -- (2.6%)
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 42,366 $ 32,064,458
2.350%, 07/18/22............................. CAD 34,200 26,120,601
Toyota Motor Credit Corp.
# 1.900%, 04/08/21............................. 128,749 124,887,811
2.750%, 05/17/21............................. 38,695 38,327,426
2.600%, 01/11/22............................. 88,874 86,988,502
# 3.300%, 01/12/22............................. 11,825 11,851,793
2.800%, 07/13/22............................. 26,645 26,202,005
0.750%, 07/21/22............................. EUR 27,550 33,816,452
--------------
TOTAL JAPAN...................................... 380,259,048
--------------
LUXEMBOURG -- (0.1%)
European Financial Stability Facility
0.500%, 01/20/23............................. EUR 15,000 18,480,278
--------------
NETHERLANDS -- (9.8%)
Bank Nederlandse Gemeenten NV
## 2.375%, 02/01/22............................. 94,000 91,827,472
1.000%, 03/15/22............................. GBP 19,030 25,926,124
1.000%, 06/17/22............................. GBP 7,000 9,522,091
0.500%, 08/26/22............................. EUR 39,664 48,794,888
2.250%, 08/30/22............................. EUR 4,445 5,873,731
0.250%, 02/22/23............................. EUR 20,000 24,279,564
Cooperatieve Rabobank UA
4.500%, 01/11/21............................. 20,691 21,378,162
2.500%, 01/19/21............................. 56,391 55,417,814
0.125%, 10/11/21............................. EUR 18,733 22,561,609
# 2.750%, 01/10/22............................. 164,370 160,717,478
4.000%, 01/11/22............................. EUR 25,728 35,339,140
3.875%, 02/08/22............................. 57,132 58,052,274
4.750%, 06/06/22............................. EUR 35,519 50,534,202
0.500%, 12/06/22............................. EUR 15,763 19,087,988
Nederlandse Waterschapsbank NV
0.875%, 12/20/21............................. GBP 510 692,517
3.000%, 03/28/22............................. EUR 29,000 39,085,102
1.875%, 04/14/22............................. 81,795 78,306,116
0.500%, 10/27/22............................. EUR 19,920 24,462,186
0.500%, 01/19/23............................. EUR 4,400 5,399,979
Netherlands Government Bond
3.750%, 01/15/23............................. EUR 197,000 280,885,146
Shell International Finance BV
# 2.125%, 05/11/20............................. 53,215 52,529,145
2.250%, 11/10/20............................. 75,035 73,965,990
# 1.875%, 05/10/21............................. 75,440 73,037,520
# 1.750%, 09/12/21............................. 58,805 56,382,071
1.250%, 03/15/22............................. EUR 34,106 42,747,153
1.000%, 04/06/22............................. EUR 48,086 59,724,581
# 2.375%, 08/21/22............................. 1,628 1,574,439
--------------
TOTAL NETHERLANDS................................ 1,418,104,482
--------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
NORWAY -- (1.2%)
Kommunalbanken A.S.
2.250%, 01/25/22............................. 90,000 $ 87,617,970
2.250%, 01/25/22............................. 39,250 38,202,037
1.125%, 11/30/22............................. GBP 3,764 5,134,171
Statoil ASA
# 3.150%, 01/23/22............................. 15,600 15,591,610
0.875%, 02/17/23............................. EUR 19,954 24,555,481
--------------
TOTAL NORWAY..................................... 171,101,269
--------------
SINGAPORE -- (0.1%)
Temasek Financial I, Ltd.
0.500%, 03/01/22............................. EUR 1,802 2,204,266
4.625%, 07/26/22............................. GBP 4,200 6,514,133
--------------
TOTAL SINGAPORE.................................. 8,718,399
--------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.6%)
African Development Bank
5.250%, 03/23/22............................. AUD 2,000 1,647,904
Asian Development Bank
2.750%, 01/19/22............................. AUD 11,000 8,309,613
5.000%, 03/09/22............................. AUD 11,600 9,476,924
1.000%, 12/15/22............................. GBP 17,333 23,590,228
Council Of Europe Development Bank
0.375%, 10/27/22............................. EUR 39,747 48,675,674
European Financial Stability Facility
2.250%, 09/05/22............................. EUR 15,600 20,705,776
--%, 11/17/22................................ EUR 281,238 339,192,952
European Investment Bank
5.000%, 08/22/22............................. AUD 29,319 24,129,330
2.250%, 10/14/22............................. EUR 20,022 26,609,304
2.500%, 10/31/22............................. GBP 31,000 44,969,728
1.625%, 03/15/23............................. EUR 39,000 50,514,125
European Stability Mechanism
0.0%, 10/18/22............................... EUR 358,538 432,424,394
Inter-American Development Bank
3.750%, 07/25/22............................. AUD 28,176 22,092,758
International Bank for Reconstruction & Development
0.750%, 12/07/21............................. GBP 5,500 7,469,861
2.600%, 09/20/22............................. AUD 53,347 39,976,534
1.000%, 12/19/22............................. GBP 33,850 46,094,904
International Finance Corp.
2.800%, 08/15/22............................. AUD 102,500 77,478,871
Nordic Investment Bank
2.125%, 02/01/22............................. 19,000 18,468,680
--------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 1,241,827,560
--------------
30
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWEDEN -- (8.7%)
Kommuninvest I Sverige AB
1.000%, 09/15/21............................. SEK 270,000 $ 31,771,732
0.250%, 06/01/22............................. SEK 2,880,000 328,569,268
0.750%, 02/22/23............................. SEK 365,000 42,241,237
Nordea Bank AB
4.875%, 01/14/21............................. 600 623,843
2.000%, 02/17/21............................. EUR 5,333 6,786,647
## # 2.250%, 05/27/21............................. 71,041 68,889,203
2.375%, 06/02/22............................. GBP 9,480 13,443,257
0.300%, 06/30/22............................. EUR 6,300 7,584,933
3.250%, 07/05/22............................. EUR 13,403 18,113,260
Skandinaviska Enskilda Banken AB
0.750%, 08/24/21............................. EUR 7,400 9,112,675
0.300%, 02/17/22............................. EUR 31,728 38,304,875
1.250%, 08/05/22............................. GBP 5,351 7,246,022
Svensk Exportkredit AB
2.375%, 03/09/22............................. 83,582 81,681,329
Svenska Handelsbanken AB
# 2.450%, 03/30/21............................. 13,524 13,214,675
# 1.875%, 09/07/21............................. 54,502 52,028,966
2.375%, 01/18/22............................. GBP 1,000 1,418,592
0.250%, 02/28/22............................. EUR 61,916 74,601,659
2.625%, 08/23/22............................. EUR 10,905 14,409,198
2.750%, 12/05/22............................. GBP 5,000 7,247,007
1.125%, 12/14/22............................. EUR 53,008 65,977,625
Sweden Government Bond
3.500%, 06/01/22............................. SEK 2,833,000 372,605,669
--------------
TOTAL SWEDEN....................................... 1,255,871,672
--------------
SWITZERLAND -- (0.6%)
Nestle Finance International, Ltd.
2.125%, 09/10/21............................. EUR 8,723 11,254,652
0.750%, 11/08/21............................. EUR 5,762 7,111,993
1.750%, 09/12/22............................. EUR 12,765 16,400,137
Nestle Holdings, Inc.
2.375%, 01/18/22............................. 23,872 23,251,209
Novartis Capital Corp.
# 2.400%, 05/17/22............................. 24,915 24,199,547
--------------
TOTAL SWITZERLAND.................................. 82,217,538
--------------
UNITED KINGDOM -- (0.1%)
Transport for London
2.250%, 08/09/22............................. GBP 9,919 14,104,118
--------------
UNITED STATES -- (17.2%)
3M Co.
0.375%, 02/15/22............................. EUR 54,527 66,327,732
Apple, Inc.
# 2.250%, 02/23/21............................. 46,671 45,882,002
# 2.850%, 05/06/21............................. 14,915 14,864,629
# 1.550%, 08/04/21............................. 1,125 1,074,848
# 2.500%, 02/09/22............................. 98,478 96,499,498
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
# 2.300%, 05/11/22............................. 41,500 $ 40,203,392
3.700%, 08/28/22............................. AUD 6,700 5,194,237
# 2.100%, 09/12/22............................. 5,415 5,190,115
1.000%, 11/10/22............................. EUR 22,061 27,497,493
Berkshire Hathaway, Inc.
# 2.200%, 03/15/21............................. 78,352 76,970,035
3.400%, 01/31/22............................. 39,959 40,521,966
0.750%, 03/16/23............................. EUR 9,778 11,906,435
Chevron Corp.
# 2.100%, 05/16/21............................. 63,875 62,301,258
# 2.411%, 03/03/22............................. 12,500 12,181,507
# 2.498%, 03/03/22............................. 78,872 77,223,467
Cisco Systems, Inc.
# 2.200%, 02/28/21............................. 49,558 48,651,004
1.850%, 09/20/21............................. 98,393 94,603,918
Coca-Cola Co. (The)
# 1.550%, 09/01/21............................. 41,859 39,934,745
# 3.300%, 09/01/21............................. 27,889 28,203,481
# 2.200%, 05/25/22............................. 30,592 29,597,653
1.125%, 09/22/22............................. EUR 18,126 22,636,591
0.750%, 03/09/23............................. EUR 25,090 30,727,735
Colgate-Palmolive Co.
2.300%, 05/03/22............................. 30,897 30,030,546
Exxon Mobil Corp.
# 2.222%, 03/01/21............................. 62,386 61,368,397
# 2.397%, 03/06/22............................. 8,717 8,519,994
GE Capital European Funding Unlimited Co.
4.350%, 11/03/21............................. EUR 2,462 3,391,091
0.800%, 01/21/22............................. EUR 7,300 8,927,381
GE Capital International Funding Co., Unlimited Co.
# 2.342%, 11/15/20............................. 45,178 44,160,677
General Electric Co.
0.375%, 05/17/22............................. EUR 31,000 37,213,222
0.375%, 05/17/22............................. EUR 27,162 32,605,985
# 2.700%, 10/09/22............................. 9,197 8,872,090
International Business Machines Corp.
2.250%, 02/19/21............................. 14,122 13,876,156
# 2.500%, 01/27/22............................. 176,310 171,748,520
Johnson & Johnson
0.250%, 01/20/22............................. EUR 38,073 46,160,114
# 2.250%, 03/03/22............................. 60,800 59,163,276
Merck & Co., Inc.
1.125%, 10/15/21............................. EUR 20,598 25,639,888
# 2.350%, 02/10/22............................. 87,933 85,614,665
Microsoft Corp.
2.125%, 12/06/21............................. EUR 9,419 12,149,818
# 2.400%, 02/06/22............................. 8,922 8,720,671
2.375%, 02/12/22............................. 63,194 61,627,846
Oracle Corp.
# 2.800%, 07/08/21............................. 108,678 108,151,618
1.900%, 09/15/21............................. 221,610 213,820,533
# 2.500%, 05/15/22............................. 61,818 60,323,900
31
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Pfizer, Inc.
# 1.950%, 06/03/21............................. 117,677 $114,471,216
# 2.200%, 12/15/21............................. 61,477 59,995,528
0.250%, 03/06/22............................. EUR 88,008 106,192,240
Procter & Gamble Co. (The)
# 1.700%, 11/03/21............................. 53,050 50,854,540
2.000%, 11/05/21............................. EUR 4,957 6,368,701
2.300%, 02/06/22............................. 12,000 11,697,978
# 2.150%, 08/11/22............................. 114,947 110,698,467
2.000%, 08/16/22............................. EUR 13,733 17,767,000
Toyota Motor Credit Corp.
2.375%, 02/01/23............................. EUR 7,704 10,131,718
US Bank NA
2.850%, 01/23/23............................. 8,784 8,634,729
Walmart, Inc.
1.900%, 04/08/22............................. EUR 5,000 6,401,739
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
1.900%, 04/08/22............................. EUR 3,500 $ 4,481,218
---------------
TOTAL UNITED STATES................................ 2,487,975,203
---------------
TOTAL BONDS........................................ 14,395,024,653
---------------
TOTAL INVESTMENT SECURITIES........................ 14,395,024,653
---------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (0.4%)
(S)@ DFA Short Term Investment Fund................... 4,953,440 57,311,297
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $14,663,701,561)............................... $14,452,335,950
===============
At April 30, 2018, DFA Five-Year Global Fixed Income Portfolio had entered into
the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ----------------------------- ---------- --------------
CAD 151,305,843 USD 117,629,422 HSBC Bank 05/02/18 $ 216,969
EUR 114,159,861 USD 137,728,164 JP Morgan 05/02/18 131,246
EUR 15,000,000 USD 18,095,850 Barclays Capital 05/02/18 18,145
USD 7,169,626 SEK 60,663,387 Citibank, N.A. 05/02/18 241,933
Morgan Stanley and Co.
USD 11,667,634 SEK 97,892,900 International 05/02/18 488,370
USD 13,069,142 SEK 109,104,462 Bank of America Corp. 05/02/18 609,530
USD 16,600,088 EUR 13,503,408 State Street Bank and Trust 05/02/18 293,377
USD 21,218,757 CAD 26,703,418 State Street Bank and Trust 05/02/18 420,476
USD 23,797,098 EUR 19,326,869 JP Morgan 05/02/18 457,977
USD 29,489,059 EUR 23,980,674 ANZ Securities 05/02/18 530,005
USD 42,353,766 EUR 34,000,000 HSBC Bank 05/02/18 1,295,377
USD 47,549,028 EUR 38,348,910 JP Morgan 05/02/18 1,238,897
USD 84,278,357 SEK 689,888,729 State Street Bank and Trust 05/02/18 5,493,807
USD 15,405,950 EUR 12,395,138 JP Morgan 05/03/18 437,586
USD 22,000,885 EUR 17,868,032 JP Morgan 05/03/18 423,456
USD 23,399,611 EUR 18,997,806 State Street Bank and Trust 05/03/18 457,867
USD 25,089,504 EUR 20,251,338 UBS AG 05/03/18 633,995
USD 31,721,038 EUR 25,343,505 JP Morgan 05/03/18 1,116,230
USD 43,859,631 EUR 35,503,723 UBS AG 05/03/18 985,347
Morgan Stanley and Co.
USD 109,895,789 SEK 904,590,922 International 05/03/18 6,592,480
USD 11,271,114 EUR 9,113,427 National Australia Bank Ltd. 05/04/18 264,975
USD 13,307,724 EUR 10,759,542 UBS AG 05/04/18 313,598
USD 27,788,406 EUR 22,478,819 UBS AG 05/04/18 641,098
USD 95,179,564 EUR 76,872,600 National Australia Bank Ltd. 05/04/18 2,341,761
USD 144,863,365 EUR 117,321,736 UBS AG 05/07/18 3,146,130
USD 7,284,122 EUR 5,845,009 JP Morgan 05/08/18 223,228
USD 42,257,429 EUR 33,905,947 State Street Bank and Trust 05/08/18 1,298,332
USD 52,958,745 EUR 42,771,864 Barclays Capital 05/08/18 1,289,434
32
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ----------------------------- ---------- --------------
USD 54,792,635 EUR 44,236,937 State Street Bank and Trust 05/08/18 $1,353,485
USD 56,258,821 EUR 45,495,055 JP Morgan 05/09/18 1,296,002
USD 84,044,778 EUR 67,971,772 State Street Bank and Trust 05/09/18 1,927,717
Morgan Stanley and Co.
USD 9,247,111 GBP 6,487,855 International 05/10/18 312,166
USD 131,707,716 GBP 93,779,685 State Street Bank and Trust 05/10/18 2,556,203
USD 143,642,128 EUR 115,875,562 UBS AG 05/10/18 3,642,471
USD 140,069,045 EUR 113,194,425 UBS AG 05/11/18 3,298,902
USD 3,228,411 SGD 4,246,227 JP Morgan 05/14/18 25,446
USD 4,227,185 SGD 5,566,829 Citibank, N.A. 05/14/18 28,079
USD 6,261,678 SGD 8,262,473 JP Morgan 05/14/18 29,225
USD 14,735,740 EUR 12,000,000 State Street Bank and Trust 05/14/18 233,304
USD 60,635,638 EUR 48,765,446 Bank of America Corp. 05/14/18 1,700,824
USD 71,901,747 EUR 58,162,695 JP Morgan 05/14/18 1,610,016
USD 9,827,174 EUR 8,000,000 State Street Bank and Trust 05/15/18 158,190
USD 138,856,159 EUR 112,187,189 Citibank, N.A. 05/15/18 3,264,137
USD 6,617,596 EUR 5,360,048 JP Morgan 05/16/18 138,854
USD 12,533,241 EUR 10,216,145 State Street Bank and Trust 05/16/18 184,887
USD 19,271,998 EUR 15,548,059 Citibank, N.A. 05/16/18 478,907
USD 24,590,138 EUR 20,000,000 State Street Bank and Trust 05/16/18 415,943
USD 25,057,737 EUR 20,361,764 Citibank, N.A. 05/16/18 446,274
USD 51,948,481 EUR 41,890,068 State Street Bank and Trust 05/16/18 1,315,547
USD 141,985,924 EUR 115,056,921 Barclays Capital 05/17/18 2,905,523
USD 150,770,703 EUR 122,236,182 Barclays Capital 05/18/18 3,001,434
USD 6,077,229 EUR 4,895,385 UBS AG 05/21/18 158,006
USD 6,747,431 EUR 5,465,753 State Street Bank and Trust 05/21/18 138,551
USD 7,448,460 EUR 6,000,000 UBS AG 05/21/18 193,599
USD 7,851,972 EUR 6,489,769 JP Morgan 05/21/18 4,910
USD 11,453,960 EUR 9,161,966 UBS AG 05/21/18 375,828
USD 30,740,133 EUR 25,000,000 State Street Bank and Trust 05/21/18 511,545
USD 77,414,915 EUR 62,598,678 Citibank, N.A. 05/21/18 1,724,130
USD 7,917,571 EUR 6,433,158 State Street Bank and Trust 05/22/18 138,402
USD 30,739,342 EUR 25,000,000 State Street Bank and Trust 05/22/18 508,585
USD 31,835,853 EUR 25,751,787 UBS AG 05/22/18 696,012
USD 75,451,907 EUR 61,000,000 State Street Bank and Trust 05/22/18 1,688,859
USD 141,236,245 EUR 113,924,315 Citibank, N.A. 05/23/18 3,465,623
USD 145,758,175 EUR 117,004,543 UBS AG 05/24/18 4,252,424
USD 146,953,381 EUR 118,218,344 State Street Bank and Trust 05/25/18 3,969,390
Morgan Stanley and Co.
USD 146,161,613 EUR 117,632,980 International 06/25/18 3,529,727
USD 145,244,304 EUR 117,367,427 Bank of America Corp. 06/26/18 2,922,330
USD 54,723,647 SEK 474,997,863 Bank of America Corp. 06/27/18 245,988
USD 147,108,691 EUR 117,964,708 National Australia Bank Ltd. 06/27/18 4,050,305
USD 57,472,014 SEK 498,519,205 Bank of America Corp. 06/28/18 291,787
USD 148,128,313 EUR 119,583,204 Bank of America Corp. 06/28/18 3,094,834
USD 12,333,558 EUR 10,000,000 JP Morgan 07/02/18 201,191
USD 136,185,009 EUR 110,363,494 State Street Bank and Trust 07/02/18 2,287,972
USD 146,443,396 EUR 118,485,010 JP Morgan 07/03/18 2,680,833
USD 65,257,691 EUR 52,794,285 JP Morgan 07/05/18 1,190,401
USD 79,656,989 EUR 64,552,551 State Street Bank and Trust 07/05/18 1,320,726
USD 140,402,057 AUD 182,564,865 Bank of America Corp. 07/05/18 2,927,550
USD 7,977,689 CAD 10,221,581 State Street Bank and Trust 07/06/18 4,228
USD 87,546,386 AUD 113,857,632 JP Morgan 07/06/18 1,808,955
USD 105,519,702 SEK 912,976,296 Citibank, N.A. 07/06/18 731,769
USD 106,109,835 CAD 135,435,973 Citibank, N.A. 07/06/18 461,458
33
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ----------------- ---------------------------- ---------- --------------
USD 145,892,006 EUR 118,332,584 State Street Bank and Trust 07/06/18 $2,281,136
USD 1,602,458 EUR 1,290,703 State Street Bank and Trust 07/09/18 35,671
USD 3,458,797 EUR 2,800,000 Citibank, N.A. 07/09/18 59,872
USD 3,475,515 EUR 2,813,551 UBS AG 07/09/18 60,140
USD 8,778,451 EUR 7,055,885 State Street Bank and Trust 07/09/18 213,299
USD 10,219,453 EUR 8,240,620 State Street Bank and Trust 07/09/18 216,150
USD 10,887,252 EUR 8,931,285 State Street Bank and Trust 07/09/18 45,549
USD 45,113,767 EUR 36,761,574 UBS AG 07/09/18 488,826
USD 57,266,828 EUR 46,306,018 State Street Bank and Trust 07/09/18 1,055,869
USD 115,213,606 CAD 145,591,090 JP Morgan 07/09/18 1,636,557
USD 136,674,274 GBP 96,049,881 UBS AG 07/09/18 3,999,351
USD 70,683,705 EUR 56,712,019 UBS AG 07/10/18 1,835,567
USD 71,044,971 EUR 57,000,000 UBS AG 07/10/18 1,847,225
USD 9,569,568 EUR 7,686,184 Citibank, N.A. 07/11/18 237,854
USD 39,403,410 EUR 32,003,601 State Street Bank and Trust 07/11/18 548,180
USD 76,790,798 EUR 61,935,405 UBS AG 07/11/18 1,595,685
USD 121,189,152 CAD 152,442,744 Citibank, N.A. 07/11/18 2,262,133
USD 126,105,928 SEK 1,054,863,096 UBS AG 07/11/18 4,985,481
USD 138,468,087 GBP 97,163,510 State Street Bank and Trust 07/11/18 4,242,303
USD 10,994,660 EUR 8,850,807 JP Morgan 07/12/18 248,160
USD 14,572,122 EUR 12,000,000 Citibank, N.A. 07/12/18 1,925
USD 17,420,783 EUR 14,225,954 Citibank, N.A. 07/12/18 147,871
USD 26,751,506 EUR 21,984,154 UBS AG 07/12/18 58,718
USD 76,769,349 EUR 61,936,719 State Street Bank and Trust 07/12/18 1,566,833
USD 14,234,251 SEK 119,043,403 Barclays Capital 07/13/18 563,431
USD 36,815,424 CAD 46,116,171 JP Morgan 07/13/18 836,762
USD 98,917,456 SEK 826,849,726 Citibank, N.A. 07/13/18 3,962,900
USD 100,204,705 CAD 125,956,322 JP Morgan 07/13/18 1,936,791
USD 141,129,648 EUR 113,764,286 ANZ Securities 07/13/18 2,988,309
USD 6,509,040 CAD 8,341,315 State Street Bank and Trust 07/16/18 954
USD 103,065,357 CAD 129,687,283 Citibank, N.A. 07/16/18 1,880,354
USD 147,937,354 EUR 118,871,654 State Street Bank and Trust 07/16/18 3,560,801
USD 23,689,861 CAD 30,157,051 UBS AG 07/17/18 160,148
USD 73,024,028 AUD 93,990,594 State Street Bank and Trust 07/17/18 2,240,934
USD 101,051,130 CAD 126,671,067 JP Morgan 07/17/18 2,217,401
USD 142,864,876 EUR 114,855,400 State Street Bank and Trust 07/17/18 3,355,519
USD 39,853,916 SEK 332,343,400 State Street Bank and Trust 07/18/18 1,673,033
USD 40,776,529 SEK 340,000,000 State Street Bank and Trust 07/18/18 1,716,027
USD 40,792,331 SEK 340,000,000 State Street Bank and Trust 07/18/18 1,731,829
USD 73,066,142 AUD 94,016,230 Barclays Capital 07/18/18 2,263,196
USD 112,155,667 CAD 140,660,703 State Street Bank and Trust 07/18/18 2,404,402
USD 147,800,001 EUR 118,502,004 UBS AG 07/18/18 3,850,167
USD 73,958,694 AUD 95,045,999 Citibank, N.A. 07/19/18 2,379,684
USD 147,633,278 EUR 118,537,254 JP Morgan 07/19/18 3,629,497
USD 73,544,603 AUD 95,583,849 HSBC Bank 07/20/18 1,559,984
Morgan Stanley and Co.
USD 140,574,966 CAD 178,104,940 International 07/20/18 1,601,877
USD 147,468,077 EUR 119,041,742 Citibank, N.A. 07/20/18 2,840,247
USD 100,012,646 CAD 127,636,139 JP Morgan 07/23/18 413,550
USD 144,577,876 EUR 117,283,097 State Street Bank and Trust 07/23/18 2,053,640
USD 143,801,594 EUR 116,918,367 State Street Bank and Trust 07/24/18 1,709,600
USD 117,412,735 SEK 997,648,139 Citibank, N.A. 07/25/18 2,736,355
USD 144,244,394 EUR 117,571,596 State Street Bank and Trust 07/25/18 1,347,478
USD 82,179,541 AUD 108,531,542 Citibank, N.A. 07/26/18 440,176
USD 106,540,242 SEK 909,271,105 UBS AG 07/26/18 2,014,338
34
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
USD 138,734,905 EUR 113,194,160 State Street Bank and Trust 07/26/18 $ 1,147,702
------------
TOTAL APPRECIATION $198,388,521
Morgan Stanley and Co.
EUR 118,359,542 USD 142,935,717 International 05/03/18 $ (4,774)
EUR 12,000,000 USD 14,493,120 Citibank, N.A. 05/03/18 (1,924)
GBP 5,117,084 USD 7,146,760 Bank of America Corp. 07/11/18 (77,804)
SEK 500,000,000 USD 57,400,339 Bank of America Corp. 05/02/18 (300,877)
SEK 457,549,478 USD 52,495,893 Bank of America Corp. 05/02/18 (244,235)
SEK 904,590,922 USD 104,023,795 Citibank, N.A. 05/03/18 (720,486)
SGD 8,835,276 USD 6,705,783 JP Morgan 05/14/18 (41,260)
SGD 4,895,816 USD 3,719,753 Bank of America Corp. 05/14/18 (26,798)
SGD 2,396,566 USD 1,820,938 Citibank, N.A. 05/14/18 (13,188)
SGD 1,947,871 USD 1,489,204 Citibank, N.A. 05/14/18 (19,908)
USD 96,729,035 CAD 124,602,425 State Street Bank and Trust 05/02/18 (319,075)
USD 138,231,883 EUR 114,159,861 JP Morgan 06/22/18 (153,568)
USD 23,012,429 CAD 29,511,311 HSBC Bank 06/28/18 (3,634)
USD 119,104,155 CAD 153,016,431 HSBC Bank 06/29/18 (237,610)
Morgan Stanley and Co.
USD 143,531,445 EUR 118,359,542 International 06/29/18 (30,129)
USD 18,194,149 EUR 15,000,000 Barclays Capital 07/11/18 (17,190)
USD 19,544,859 CAD 25,077,286 UBS AG 07/23/18 (23,854)
------------
TOTAL (DEPRECIATION) $ (2,236,314)
------------
TOTAL APPRECIATION
(DEPRECIATION) $196,152,207
============
35
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- --------------- ------- ---------------
Bonds
Australia.......... -- $ 1,388,912,843 -- $ 1,388,912,843
Austria............ -- 443,361,385 -- 443,361,385
Belgium............ -- 275,760,341 -- 275,760,341
Canada............. -- 2,410,096,585 -- 2,410,096,585
Denmark............ -- 40,109,809 -- 40,109,809
Finland............ -- 491,884,609 -- 491,884,609
France............. -- 1,180,337,518 -- 1,180,337,518
Germany............ -- 1,085,901,996 -- 1,085,901,996
Japan.............. -- 380,259,048 -- 380,259,048
Luxembourg......... -- 18,480,278 -- 18,480,278
Netherlands........ -- 1,418,104,482 -- 1,418,104,482
Norway............. -- 171,101,269 -- 171,101,269
Singapore.......... -- 8,718,399 -- 8,718,399
Supranational
Organization
Obligations...... -- 1,241,827,560 -- 1,241,827,560
Sweden............. -- 1,255,871,672 -- 1,255,871,672
Switzerland........ -- 82,217,538 -- 82,217,538
United Kingdom..... -- 14,104,118 -- 14,104,118
United States...... -- 2,487,975,203 -- 2,487,975,203
Securities Lending
Collateral......... -- 57,311,297 -- 57,311,297
Forward Currency
Contracts**........ -- 196,152,207 -- 196,152,207
-- --------------- -- ---------------
TOTAL............... -- $14,648,488,157 -- $14,648,488,157
== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
36
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
BONDS -- (99.6%)
AUSTRALIA -- (0.4%)
Australia Government Bond
3.250%, 04/21/29............................. AUD 5,000 $ 3,921,930
------------
AUSTRIA -- (3.9%)
Austria Government Bond
## 4.850%, 03/15/26............................. EUR 3,950 6,401,365
## 0.750%, 10/20/26............................. EUR 18,100 22,162,773
Republic of Austria Government Bond
## 0.750%, 02/20/28............................. EUR 8,500 10,292,311
------------
TOTAL AUSTRIA.................................... 38,856,449
------------
BELGIUM -- (3.9%)
Belgium Government Bond
## 1.000%, 06/22/31............................. EUR 31,300 37,604,344
Kingdom of Belgium Government Bond
## 0.800%, 06/22/27............................. EUR 1,300 1,584,304
------------
TOTAL BELGIUM.................................... 39,188,648
------------
CANADA -- (11.7%)
Alberta, Province of Canada
2.900%, 09/20/29............................. CAD 10,300 7,880,128
3.500%, 06/01/31............................. CAD 5,000 4,058,803
British Columbia, Province of Canada
5.700%, 06/18/29............................. CAD 21,958 21,555,079
Manitoba, Province of Canada
3.250%, 09/05/29............................. CAD 32,700 25,757,601
Ontario, Province of Canada
1.875%, 05/21/24............................. EUR 4,300 5,607,044
6.500%, 03/08/29............................. CAD 9,600 9,861,019
Quebec, Province of Canada
0.875%, 05/04/27............................. EUR 24,763 29,771,077
Saskatchewan, Province of Canada
6.400%, 09/05/31............................. CAD 13,000 13,750,972
------------
TOTAL CANADA..................................... 118,241,723
------------
DENMARK -- (3.9%)
Denmark Government Bond
0.500%, 11/15/27............................. DKK 244,500 39,335,028
------------
FINLAND -- (3.9%)
Finland Government Bond
## 2.750%, 07/04/28............................. EUR 26,850 38,878,318
------------
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
FRANCE -- (23.7%)
Agence Francaise de Developpement
0.250%, 07/21/26.............................. EUR 4,000 $ 4,623,107
0.875%, 05/25/31.............................. EUR 5,500 6,349,559
Caisse d'Amortissement de la Dette Sociale
4.000%, 12/15/25.............................. EUR 8,200 12,495,536
Dexia Credit Local SA
1.000%, 10/18/27.............................. EUR 32,450 39,173,286
France Government Bond OAT
3.500%, 04/25/26.............................. EUR 14,800 22,135,418
2.750%, 10/25/27.............................. EUR 58,700 84,397,558
French Republic Government Bond OAT
3.500%, 04/25/26.............................. EUR 6,347 9,492,804
SNCF Mobilites Group
5.375%, 03/18/27.............................. GBP 8,031 13,996,998
SNCF Reseau
3.125%, 10/25/28.............................. EUR 6,600 9,671,165
5.250%, 12/07/28.............................. GBP 13,923 24,771,142
Unedic Asseo
1.500%, 04/20/32.............................. EUR 9,000 11,351,410
------------
TOTAL FRANCE....................................... 238,457,983
------------
GERMANY -- (7.7%)
Deutsche Bahn Finance BV
3.125%, 07/24/26.............................. GBP 15,550 23,467,350
Kreditanstalt fuer Wiederaufbau
2.050%, 02/16/26.............................. JPY 399,000 4,239,744
2.050%, 02/16/26.............................. JPY 36,000 382,533
0.500%, 09/15/27.............................. EUR 29,900 35,344,357
State of North Rhine- Westphalia Germany
0.500%, 02/16/27.............................. EUR 12,000 14,214,588
------------
TOTAL GERMANY...................................... 77,648,572
------------
NETHERLANDS -- (4.1%)
Bank Nederlandse Gemeenten NV
0.625%, 06/19/27.............................. EUR 10,125 12,039,349
Nederlandse Waterschapsbank NV
0.500%, 04/29/30.............................. EUR 2,500 2,803,992
Netherlands Government Bond
5.500%, 01/15/28.............................. EUR 15,250 26,942,730
------------
TOTAL NETHERLANDS.................................. 41,786,071
------------
37
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
NORWAY -- (4.9%)
Kommunalbanken A.S.
0.625%, 04/20/26............................. EUR 14,000 $ 16,758,160
Norway Government Bond
## 1.500%, 02/19/26............................. NOK 270,000 32,965,222
------------
TOTAL NORWAY..................................... 49,723,382
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (16.9%)
Asian Development Bank
2.350%, 06/21/27............................. JPY 2,660,000 29,338,885
European Financial Stability Facility
0.875%, 07/26/27............................. EUR 32,000 39,035,920
European Investment Bank
1.250%, 05/12/25............................. SEK 50,000 5,839,619
1.250%, 05/12/25............................. SEK 25,000 2,919,810
1.900%, 01/26/26............................. JPY 1,721,000 18,066,800
2.150%, 01/18/27............................. JPY 145,000 1,571,038
6.000%, 12/07/28............................. GBP 1,300 2,512,741
5.625%, 06/07/32............................. GBP 1,800 3,603,816
European Stability Mechanism
0.750%, 03/15/27............................. EUR 32,500 39,524,387
European Union
3.000%, 09/04/26............................. EUR 9,925 14,378,976
2.875%, 04/04/28............................. EUR 9,460 13,760,273
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 170,552,265
------------
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
SWEDEN -- (3.7%)
Sweden Government Bond
2.250%, 06/01/32............................. SEK 282,000 $ 37,239,014
--------------
UNITED KINGDOM -- (10.9%)
Network Rail Infrastructure Finance P.L.C.
4.375%, 12/09/30............................. GBP 1,200 2,111,314
United Kingdom Gilt
4.750%, 12/07/30............................. GBP 56,450 105,415,766
4.250%, 06/07/32............................. GBP 1,400 2,547,440
--------------
TOTAL UNITED KINGDOM............................. 110,074,520
--------------
TOTAL BONDS...................................... 1,003,903,903
--------------
U.S. TREASURY OBLIGATIONS -- (0.4%)
U.S. Treasury Bonds
5.375%, 02/15/31............................. 2,850 3,575,971
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $979,235,460)............................ $1,007,479,874
==============
At April 30, 2018, DFA World ex U.S. Government Fixed Income Portfolio had
entered into the following forward currency contracts and the net unrealized
forward currency gain (loss) is reflected in the accompanying financial
statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
USD 73,984,989 GBP 52,557,322 Citibank, N.A. 05/08/18 $1,610,438
USD 40,407,535 NOK 315,563,244 JP Morgan 07/06/18 978,877
USD 37,023 EUR 29,840 Citibank, N.A. 07/11/18 795
USD 3,298,784 EUR 2,656,828 UBS AG 07/11/18 73,158
USD 139,548,320 EUR 112,569,289 State Street Bank and Trust 07/11/18 2,879,151
USD 6,162,247 EUR 5,071,872 State Street Bank and Trust 07/13/18 3,590
USD 140,986,015 EUR 113,302,972 State Street Bank and Trust 07/13/18 3,404,839
USD 4,088,331 AUD 5,263,523 Bank of America Corp. 07/17/18 124,440
USD 116,709,745 GBP 81,718,394 State Street Bank and Trust 07/17/18 3,788,717
USD 6,962,721 EUR 5,718,717 UBS AG 07/19/18 15,395
USD 85,829,090 CAD 107,975,682 State Street Bank and Trust 07/19/18 1,578,742
USD 141,153,922 EUR 113,280,015 UBS AG 07/19/18 3,536,844
USD 11,133,038 EUR 9,061,181 UBS AG 07/20/18 124,304
USD 140,315,371 EUR 113,270,462 UBS AG 07/20/18 2,699,264
USD 40,161,567 DKK 242,740,250 State Street Bank and Trust 07/23/18 564,086
38
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ----------------- --------------- ---------- --------------
USD 54,759,015 JPY 5,887,389,159 Citibank, N.A. 07/23/18 $ 596,323
USD 47,106,898 SEK 400,516,645 UBS AG 07/25/18 1,068,824
-----------
TOTAL APPRECIATION $23,047,787
EUR 2,067,765 USD 2,547,228 JP Morgan 07/20/18 $ (35,031)
GBP 3,748,387 USD 5,343,266 JP Morgan 07/17/18 (163,628)
NOK 50,263,097 USD 6,322,921 UBS AG 07/06/18 (42,701)
-----------
TOTAL (DEPRECIATION) $ (241,360)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $22,806,427
===========
Summary of the Portfolio's investments as of April 30, 2018, 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.............................. -- $ 3,921,930 -- $ 3,921,930
Austria................................ -- 38,856,449 -- 38,856,449
Belgium................................ -- 39,188,648 -- 39,188,648
Canada................................. -- 118,241,723 -- 118,241,723
Denmark................................ -- 39,335,028 -- 39,335,028
Finland................................ -- 38,878,318 -- 38,878,318
France................................. -- 238,457,983 -- 238,457,983
Germany................................ -- 77,648,572 -- 77,648,572
Netherlands............................ -- 41,786,071 -- 41,786,071
Norway................................. -- 49,723,382 -- 49,723,382
Supranational Organization Obligations. -- 170,552,265 -- 170,552,265
Sweden................................. -- 37,239,014 -- 37,239,014
United Kingdom......................... -- 110,074,520 -- 110,074,520
U.S. Treasury Obligations................ -- 3,575,971 -- 3,575,971
Forward Currency Contracts**............. -- 22,806,427 -- 22,806,427
-- -------------- -- --------------
TOTAL.................................... -- $1,030,286,301 -- $1,030,286,301
== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
39
DFA SHORT-TERM GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
---------- --------------
(000)
U.S. TREASURY OBLIGATIONS -- (73.3%)
U.S. Treasury Notes
1.750%, 09/30/19.................................................... $ 209,090 $ 207,170,619
3.625%, 02/15/20................................................... 134,000 136,690,468
1.875%, 06/30/20................................................... 102,000 100,593,516
2.000%, 09/30/20................................................... 127,000 125,293,438
1.750%, 10/31/20................................................... 60,000 58,785,937
1.625%, 11/30/20................................................... 181,000 176,616,406
3.625%, 02/15/21................................................... 112,000 115,031,875
1.250%, 03/31/21................................................... 141,000 135,552,774
1.375%, 04/30/21................................................... 147,500 142,124,317
3.125%, 05/15/21................................................... 54,000 54,729,843
1.125%, 06/30/21................................................... 94,000 89,608,438
1.125%, 07/31/21................................................... 90,000 85,661,719
1.125%, 08/31/21................................................... 51,000 48,463,945
1.250%, 10/31/21................................................... 39,000 37,127,695
1.875%, 02/28/22................................................... 28,000 27,139,219
1.875%, 03/31/22................................................... 27,000 26,146,758
1.750%, 05/31/22................................................... 45,000 43,284,375
1.750%, 06/30/22................................................... 62,000 59,582,968
--------------
TOTAL U.S. TREASURY OBLIGATIONS...................................... 1,669,604,310
--------------
AGENCY OBLIGATIONS -- (26.4%)
Federal Home Loan Bank
2.000%, 09/13/19.................................................... 31,540 31,360,727
2.375%, 12/13/19................................................... 25,000 24,943,000
4.125%, 03/13/20................................................... 22,950 23,598,108
1.375%, 02/18/21................................................... 20,000 19,315,880
1.750%, 03/12/21................................................... 10,000 9,733,510
2.375%, 03/12/21................................................... 16,000 15,857,168
1.875%, 06/11/21................................................... 20,000 19,491,220
1.125%, 07/14/21................................................... 20,000 19,048,180
2.375%, 09/10/21................................................... 33,000 32,642,115
1.875%, 11/29/21................................................... 54,000 52,447,338
2.625%, 12/10/21................................................... 10,000 9,943,880
2.250%, 03/11/22................................................... 66,435 65,067,103
2.500%, 03/11/22................................................... 31,635 31,321,276
2.125%, 06/10/22................................................... 51,150 49,785,983
2.000%, 09/09/22................................................... 40,315 38,946,386
1.875%, 12/09/22................................................... 10,000 9,574,670
2.500%, 12/09/22................................................... 92,000 90,498,284
5.250%, 12/09/22................................................... 9,000 9,959,157
2.125%, 03/10/23................................................... 25,250 24,401,827
Tennessee Valley Authority
3.875%, 02/15/21.................................................... 22,000 22,692,670
--------------
TOTAL AGENCY OBLIGATIONS............................................. 600,628,482
--------------
TOTAL INVESTMENT SECURITIES.......................................... 2,270,232,792
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund, 1.630%. 6,202,147 6,202,147
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,333,263,502)............................................... $2,276,434,939
==============
40
DFA SHORT-TERM GOVERNMENT PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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.. -- $1,669,604,310 -- $1,669,604,310
Agency Obligations......... -- 600,628,482 -- 600,628,482
Temporary Cash Investments. $6,202,147 -- -- 6,202,147
---------- -------------- -- --------------
TOTAL...................... $6,202,147 $2,270,232,792 -- $2,276,434,939
========== ============== == ==============
See accompanying Notes to Financial Statements.
41
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
-------- --------------
(000)
AGENCY OBLIGATIONS -- (29.8%)
Federal Farm Credit Bank
5.350%, 08/07/20......... $ 4,693 $ 4,972,844
3.650%, 12/21/20......... 30,822 31,576,183
5.250%, 03/02/21......... 4,273 4,565,807
5.220%, 02/22/22......... 3,503 3,803,883
5.210%, 12/19/22......... 14,851 16,324,902
5.250%, 03/06/23......... 4,203 4,642,029
5.220%, 05/15/23......... 33,694 37,276,178
3.500%, 12/20/23......... 6,000 6,159,300
Federal Home Loan Bank
3.375%, 06/12/20......... 2,965 3,012,923
2.875%, 09/11/20......... 5,295 5,317,160
4.625%, 09/11/20......... 17,970 18,802,245
3.125%, 12/11/20......... 4,205 4,247,079
5.250%, 12/11/20......... 5,290 5,640,727
1.750%, 03/12/21......... 28,330 27,575,034
5.000%, 03/12/21......... 3,645 3,879,031
2.250%, 06/11/21......... 49,035 48,182,477
3.625%, 06/11/21......... 7,030 7,219,676
5.625%, 06/11/21......... 25,905 28,107,314
2.375%, 09/10/21......... 27,565 27,266,058
3.000%, 09/10/21......... 21,875 22,076,250
2.625%, 12/10/21......... 75,370 74,947,024
5.000%, 12/10/21......... 31,875 34,232,921
2.250%, 03/11/22......... 7,005 6,860,767
2.500%, 03/11/22......... 7,705 7,628,590
5.250%, 06/10/22......... 5,780 6,343,920
5.750%, 06/10/22......... 13,660 15,238,536
2.000%, 09/09/22......... 11,365 10,979,181
5.375%, 09/30/22......... 44,400 49,100,006
5.250%, 12/09/22......... 10,510 11,630,082
2.125%, 03/10/23......... 10,000 9,664,090
4.750%, 03/10/23......... 34,465 37,324,492
3.250%, 06/09/23......... 24,520 24,942,234
2.500%, 12/08/23......... 25,000 24,425,150
3.250%, 03/08/24......... 20,000 20,279,820
2.875%, 06/14/24......... 61,000 60,673,223
5.375%, 08/15/24......... 29,950 33,983,307
5.365%, 09/09/24......... 1,400 1,587,433
2.875%, 09/13/24......... 71,500 70,898,256
2.750%, 12/13/24......... 20,000 19,651,160
4.375%, 03/13/26......... 14,080 15,156,219
5.750%, 06/12/26......... 8,080 9,591,437
3.000%, 09/11/26......... 45,885 45,351,908
2.500%, 12/10/27......... 39,130 36,763,457
Tennessee Valley Authority
3.875%, 02/15/21......... 74,241 76,578,478
1.875%, 08/15/22......... 89,450 86,030,237
2.875%, 09/15/24......... 117,875 116,624,110
6.750%, 11/01/25......... 47,282 58,766,278
2.875%, 02/01/27......... 135,706 131,666,439
7.125%, 05/01/30......... 15,000 20,585,670
--------------
TOTAL AGENCY
OBLIGATIONS............... 1,428,151,525
--------------
FACE
AMOUNT VALUE+
----------- --------------
(000)
U.S. TREASURY OBLIGATIONS -- (69.8%)
U.S. Treasury Bonds
8.125%, 08/15/21............ $ 46,911 $ 54,951,604
7.250%, 08/15/22............ 65,541 77,524,919
6.250%, 08/15/23............ 100,259 117,162,158
7.500%, 11/15/24............ 92,352 117,853,928
6.875%, 08/15/25............ 75,630 95,402,478
6.000%, 02/15/26............ 88,833 107,931,609
6.750%, 08/15/26............ 98,183 125,907,935
6.625%, 02/15/27............ 98,828 127,201,802
5.250%, 11/15/28............ 95,132 114,797,689
5.250%, 02/15/29............ 98,750 119,580,441
6.125%, 08/15/29............ 102,528 133,546,725
6.250%, 05/15/30............ 107,289 142,782,913
5.375%, 02/15/31............ 100,000 125,472,656
U.S. Treasury Notes
2.000%, 10/31/21............ 64,843 63,330,646
1.500%, 02/28/23............ 94,000 88,528,907
1.500%, 03/31/23............ 89,000 83,708,672
1.250%, 07/31/23............ 77,000 71,113,711
1.625%, 10/31/23............ 74,000 69,473,281
2.750%, 11/15/23............ 87,000 86,605,781
2.750%, 02/15/24............ 105,538 104,932,180
2.500%, 05/15/24............ 75,000 73,447,266
2.125%, 07/31/24............ 11,000 10,524,766
2.250%, 11/15/24............ 85,500 82,210,254
2.250%, 12/31/24............ 45,000 43,221,094
2.500%, 01/31/25............ 50,000 48,761,719
2.000%, 02/15/25............ 80,000 75,525,000
2.125%, 05/15/25............ 80,000 75,971,875
2.000%, 08/15/25............ 144,000 135,281,249
2.250%, 11/15/25............ 112,000 106,850,625
1.625%, 02/15/26............ 109,000 99,083,555
1.625%, 05/15/26............ 103,000 93,331,679
1.500%, 08/15/26............ 183,000 163,642,031
2.000%, 11/15/26............ 129,300 120,087,375
2.250%, 02/15/27............ 70,000 66,229,297
2.250%, 08/15/27............ 131,000 123,580,079
--------------
TOTAL U.S. TREASURY
OBLIGATIONS.................. 3,345,557,899
--------------
TOTAL INVESTMENT
SECURITIES................... 4,773,709,424
--------------
SHARES
-----------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional
U.S. Government Money
Market Fund, 1.630%........ 21,392,379 21,392,379
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,984,526,274)....... $4,795,101,803
==============
42
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------------- ------- --------------
Agency Obligations.. -- $1,428,151,525 -- $1,428,151,525
U.S. Treasury
Obligations........ -- 3,345,557,899 -- 3,345,557,899
Temporary Cash
Investments........ $21,392,379 -- -- 21,392,379
----------- -------------- -- --------------
TOTAL............... $21,392,379 $4,773,709,424 -- $4,795,101,803
=========== ============== == ==============
See accompanying Notes to Financial Statements.
43
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
AGENCY OBLIGATIONS -- (0.2%)
Federal Home Loan Bank
# 1.375%, 02/18/21............................. 5,000 $ 4,828,970
Tennessee Valley Authority
1.750%, 10/15/18............................. 8,303 8,286,984
-----------
TOTAL AGENCY OBLIGATIONS......................... 13,115,954
-----------
BONDS -- (96.6%)
21st Century Fox America, Inc.
5.650%, 08/15/20............................. 4,210 4,426,496
4.500%, 02/15/21............................. 7,638 7,883,405
Abbott Laboratories
# 2.000%, 03/15/20............................. 13,567 13,319,964
4.125%, 05/27/20............................. 3,000 3,059,746
# 2.800%, 09/15/20............................. 2,490 2,474,136
AbbVie, Inc.
# 2.500%, 05/14/20............................. 24,891 24,593,343
Advance Auto Parts, Inc.
5.750%, 05/01/20............................. 2,825 2,952,897
Aetna, Inc.
2.200%, 03/15/19............................. 2,696 2,681,711
2.750%, 11/15/22............................. 2,000 1,925,446
Agence Francaise de Developpement
1.625%, 01/21/20............................. 25,000 24,504,450
Agilent Technologies, Inc.
5.000%, 07/15/20............................. 1,690 1,757,043
Air Products & Chemicals, Inc.
3.000%, 11/03/21............................. 5,000 4,968,343
Alberta, Province of Canada
1.900%, 12/06/19............................. 10,000 9,869,690
1.750%, 08/26/20............................. 15,000 14,624,490
1.350%, 09/01/21............................. CAD 20,000 15,082,830
Allergan Finance LLC
3.250%, 10/01/22............................. 9,500 9,200,451
Allergan Funding SCS
# 3.450%, 03/15/22............................. 9,749 9,583,526
Alphabet, Inc.
3.625%, 05/19/21............................. 1,000 1,023,521
Altria Group, Inc.
2.625%, 01/14/20............................. 1,025 1,018,703
Amazon.com, Inc.
# 2.600%, 12/05/19............................. 10,518 10,511,005
Ameren Corp.
2.700%, 11/15/20............................. 1,000 986,242
American Express Co.
2.500%, 08/01/22............................. 1,220 1,170,198
American Express Credit Corp.
2.600%, 09/14/20............................. 13,925 13,786,079
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
American Honda Finance Corp.
1.375%, 11/10/22............................. EUR 5,000 $ 6,287,609
American International Group, Inc.
# 2.300%, 07/16/19............................. 9,017 8,940,839
3.375%, 08/15/20............................. 3,000 3,003,373
6.400%, 12/15/20............................. 11,283 12,152,076
Ameriprise Financial, Inc.
5.300%, 03/15/20............................. 6,957 7,223,871
AmerisourceBergen Corp.
# 3.500%, 11/15/21............................. 2,000 2,003,860
Amgen, Inc.
# 2.200%, 05/22/19............................. 10,625 10,573,894
# 3.450%, 10/01/20............................. 4,990 5,038,353
4.100%, 06/15/21............................. 5,000 5,115,288
Amphenol Corp.
2.550%, 01/30/19............................. 452 451,471
Anglo American Capital P.L.C.
## 3.750%, 04/10/22............................. 3,143 3,113,864
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21............................. 5,000 4,941,749
Anthem, Inc.
# 2.250%, 08/15/19............................. 8,485 8,400,272
ANZ New Zealand International, Ltd.
0.400%, 03/01/22............................. EUR 9,750 11,762,240
AP Moeller - Maersk A.S.
## 2.875%, 09/28/20............................. 3,000 2,961,180
Apache Corp.
6.900%, 09/15/18............................. 200 203,154
3.250%, 04/15/22............................. 19,465 19,206,607
Apple, Inc.
2.100%, 05/06/19............................. 27,000 26,934,932
# 2.000%, 05/06/20............................. 1,782 1,757,359
2.250%, 02/23/21............................. 4,000 3,932,378
# 2.850%, 05/06/21............................. 29,000 28,902,062
# 1.550%, 08/04/21............................. 10,000 9,554,200
# 2.500%, 02/09/22............................. 12,191 11,946,073
2.300%, 05/11/22............................. 11,657 11,292,794
Applied Materials, Inc.
# 2.625%, 10/01/20............................. 1,590 1,576,443
Arizona Public Service Co.
8.750%, 03/01/19............................. 1,788 1,877,145
ASB Finance, Ltd.
0.500%, 06/10/22............................. EUR 2,200 2,652,814
Asian Development Bank
1.750%, 09/11/18............................. 7,409 7,396,877
1.875%, 04/12/19............................. 17,884 17,789,894
1.625%, 03/16/21............................. 6,000 5,807,492
Associated Banc-Corp
2.750%, 11/15/19............................. 447 443,337
44
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- ------- ------
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AstraZeneca P.L.C.
2.375%, 11/16/20............................. 23,256 $22,868,377
AT&T, Inc.
# 5.800%, 02/15/19............................. 3,751 3,837,251
# 4.600%, 02/15/21............................. 8,793 9,061,951
# 3.800%, 03/15/22............................. 11,600 11,708,966
Australia & New Zealand Banking Group, Ltd.
2.250%, 06/13/19............................. 35,154 34,979,630
2.700%, 11/16/20............................. 1,000 988,923
3.300%, 03/07/22............................. AUD 19,300 14,627,267
2.625%, 05/19/22............................. 10,000 9,698,683
Autodesk, Inc.
# 3.125%, 06/15/20............................. 14,337 14,282,800
Banco Santander SA
# 3.848%, 04/12/23............................. 25,400 25,197,952
Bank Nederlandse Gemeenten NV
4.375%, 02/16/21............................. 11,000 11,430,100
1.625%, 04/19/21............................. 46,168 44,496,441
## 2.375%, 02/01/22............................. 19,000 18,560,872
2.375%, 02/01/22............................. 41,400 40,443,163
2.500%, 01/23/23............................. 10,000 9,751,000
Bank of America Corp.
# 2.650%, 04/01/19............................. 4,255 4,255,948
# 2.625%, 10/19/20............................. 5,000 4,940,430
# 5.700%, 01/24/22............................. 12,571 13,598,023
Bank of Montreal
1.900%, 08/27/21............................. 32,954 31,533,024
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19............................. 2,309 2,375,602
# 2.150%, 02/24/20............................. 15,585 15,378,513
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 1,788 1,773,814
2.350%, 10/21/20............................. 1,315 1,288,946
2.450%, 03/22/21............................. 37,679 36,861,178
2.700%, 03/07/22............................. 2,605 2,538,319
Barclays P.L.C.
# 2.750%, 11/08/19............................. 26,424 26,242,124
1.500%, 04/01/22............................. EUR 1,764 2,187,996
BAT International Finance P.L.C.
## # 3.250%, 06/07/22............................. 7,350 7,226,849
Baxalta, Inc.
2.875%, 06/23/20............................. 4,024 3,982,234
Bayer U.S. Finance LLC
## # 2.375%, 10/08/19............................. 5,616 5,561,626
BB&T Corp.
2.050%, 05/10/21............................. 3,500 3,381,844
Beam Suntory, Inc.
1.750%, 06/15/18............................. 16,605 16,585,388
Berkshire Hathaway Finance Corp.
# 2.900%, 10/15/20............................. 3,000 3,015,260
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 18,152 18,068,470
2.200%, 03/15/21............................. 8,295 8,148,694
FACE
AMOUNT^ VALUE+
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(000)
Biogen, Inc.
2.900%, 09/15/20............................. 19,046 $18,954,645
3.625%, 09/15/22............................. 2,500 2,499,979
BlackRock, Inc.
5.000%, 12/10/19............................. 2,193 2,269,085
4.250%, 05/24/21............................. 2,850 2,949,861
BMW US Capital LLC
0.625%, 04/20/22............................. EUR 2,000 2,445,950
BNP Paribas SA
2.875%, 10/24/22............................. EUR 5,000 6,685,960
Booking Holdings, Inc.
0.800%, 03/10/22............................. EUR 7,866 9,606,146
Boston Scientific Corp.
2.850%, 05/15/20............................. 9,273 9,186,145
BP Capital Markets P.L.C.
# 2.315%, 02/13/20............................. 14,259 14,125,174
BPCE SA
2.250%, 01/27/20............................. 13,175 12,959,035
1.125%, 12/14/22............................. EUR 2,500 3,107,921
British Telecommunications P.L.C.
0.500%, 06/23/22............................. EUR 1,600 1,928,828
Buckeye Partners L.P.
2.650%, 11/15/18............................. 889 889,089
Caisse d'Amortissement de la Dette Sociale
2.000%, 04/17/20............................. 17,000 16,756,679
2.000%, 03/22/21............................. 25,435 24,794,038
0.125%, 11/25/22............................. EUR 26,900 32,599,296
Canada Housing Trust No. 1
## 1.750%, 06/15/22............................. CAD 20,000 15,215,702
Canadian Pacific Railway Co.
7.250%, 05/15/19............................. 2,576 2,693,148
Capital One Bank USA NA
# 2.300%, 06/05/19............................. 4,471 4,436,667
Capital One Financial Corp.
2.450%, 04/24/19............................. 7,383 7,361,014
CBS Corp.
# 2.300%, 08/15/19............................. 14,110 13,971,921
# 3.375%, 03/01/22............................. 5,000 4,952,701
Celgene Corp.
3.550%, 08/15/22............................. 7,000 6,946,411
Chevron Corp.
1.718%, 06/24/18............................. 633 632,482
1.961%, 03/03/20............................. 18,198 17,954,875
1.991%, 03/03/20............................. 1,500 1,480,453
# 2.419%, 11/17/20............................. 37,151 36,917,568
2.100%, 05/16/21............................. 25,500 24,871,735
# 2.498%, 03/03/22............................. 10,030 9,820,359
Chubb INA Holdings, Inc.
2.300%, 11/03/20............................. 8,000 7,854,560
2.875%, 11/03/22............................. 3,000 2,940,967
Cisco Systems, Inc.
# 2.125%, 03/01/19............................. 2,144 2,139,162
4.450%, 01/15/20............................. 4,896 5,035,830
45
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# 2.450%, 06/15/20............................. 3,395 $ 3,374,999
2.200%, 02/28/21............................. 57,736 56,679,333
# 1.850%, 09/20/21............................. 20,960 20,152,837
Citigroup, Inc.
2.500%, 09/26/18............................. 10,282 10,280,836
2.550%, 04/08/19............................. 1,942 1,938,802
Citizens Bank NA
2.450%, 12/04/19............................. 2,175 2,153,102
2.650%, 05/26/22............................. 7,635 7,374,178
CNA Financial Corp.
5.875%, 08/15/20............................. 1,000 1,056,354
Coca-Cola Co. (The)
# 1.875%, 10/27/20............................. 16,673 16,295,510
# 3.150%, 11/15/20............................. 1,020 1,030,260
1.550%, 09/01/21............................. 2,500 2,385,075
# 3.300%, 09/01/21............................. 14,000 14,157,866
# 2.200%, 05/25/22............................. 20,425 19,761,116
Coca-Cola European Partners US LLC
3.500%, 09/15/20............................. 4,591 4,619,469
Comerica, Inc.
2.125%, 05/23/19............................. 2,057 2,044,498
Commonwealth Bank of Australia
2.500%, 09/20/18............................. 4,634 4,636,754
2.250%, 03/13/19............................. 2,000 1,993,495
# 2.300%, 09/06/19............................. 37,525 37,221,896
## 2.250%, 03/10/20............................. 5,000 4,921,084
2.300%, 03/12/20............................. 4,500 4,440,105
# 2.400%, 11/02/20............................. 10,000 9,836,053
2.900%, 07/12/21............................. AUD 5,000 3,752,370
## 2.000%, 09/06/21............................. 5,000 4,800,424
3.250%, 01/17/22............................. AUD 5,000 3,786,843
## 2.750%, 03/10/22............................. 11,500 11,214,791
3.250%, 03/31/22............................. AUD 3,200 2,418,226
Constellation Brands, Inc.
2.700%, 05/09/22............................. 4,935 4,763,797
3.200%, 02/15/23............................. 3,944 3,859,233
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 7,577 7,559,515
2.500%, 01/19/21............................. 15,935 15,659,996
0.125%, 10/11/21............................. EUR 2,750 3,312,039
2.750%, 01/10/22............................. 5,928 5,796,272
4.000%, 01/11/22............................. EUR 2,500 3,433,918
# 3.875%, 02/08/22............................. 17,836 18,123,300
4.750%, 06/06/22............................. EUR 3,000 4,268,212
0.500%, 12/06/22............................. EUR 3,496 4,233,433
Corning, Inc.
4.250%, 08/15/20............................. 2,850 2,911,802
Costco Wholesale Corp.
1.700%, 12/15/19............................. 2 1,969
CPPIB Capital, Inc.
## 2.250%, 01/25/22............................. 25,400 24,724,330
2.250%, 01/25/22............................. 36,750 35,772,406
Credit Suisse AG
# 2.300%, 05/28/19............................. 9,827 9,784,005
FACE
AMOUNT^ VALUE+
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(000)
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22............................. EUR 10,220 $12,612,075
CVS Health Corp.
# 2.250%, 12/05/18............................. 1,672 1,668,141
# 2.250%, 08/12/19............................. 5,370 5,325,429
Daimler Finance North America LLC
## 2.250%, 03/02/20............................. 9,750 9,597,813
Daiwa Securities Group, Inc.
## 3.129%, 04/19/22............................. 10,000 9,791,766
Danone SA
## 2.077%, 11/02/21............................. 5,000 4,786,400
Danske Bank A.S.
## 2.750%, 09/17/20............................. 15,822 15,633,820
Deutsche Bank AG
# 2.500%, 02/13/19............................. 1,650 1,643,191
2.500%, 02/13/19............................. 5,942 5,917,513
# 3.125%, 01/13/21............................. 4,900 4,810,988
1.500%, 01/20/22............................. EUR 6,000 7,363,071
2.375%, 01/11/23............................. EUR 9,700 12,282,289
Deutsche Telekom International Finance BV
6.000%, 07/08/19............................. 3,774 3,911,778
## 1.950%, 09/19/21............................. 2,535 2,421,017
Dexia Credit Local SA
0.625%, 01/21/22............................. EUR 750 924,312
0.250%, 06/02/22............................. EUR 8,000 9,701,663
0.750%, 01/25/23............................. EUR 1,200 1,481,360
Discovery Communications LLC
## # 2.750%, 11/15/19............................. 19,864 19,748,791
# 3.300%, 05/15/22............................. 6,000 5,906,006
## # 3.500%, 06/15/22............................. 10,000 9,890,669
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20............................. 5,000 4,950,290
Dominion Energy, Inc.
2.500%, 12/01/19............................. 7,881 7,786,368
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 7,657 7,841,061
Dr Pepper Snapple Group, Inc.
2.700%, 11/15/22............................. 2,000 1,901,619
Dr. Pepper Snapple Group, Inc.
2.600%, 01/15/19............................. 939 937,774
2.000%, 01/15/20............................. 747 733,047
DTE Energy Co.
2.400%, 12/01/19............................. 18,342 18,091,782
Duke Energy Corp.
5.050%, 09/15/19............................. 586 601,626
DXC Technology Co.
4.450%, 09/18/22............................. 1,250 1,273,354
E*TRADE Financial Corp.
# 2.950%, 08/24/22............................. 4,060 3,933,099
46
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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AMOUNT^ VALUE+
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(000)
Eastman Chemical Co.
2.700%, 01/15/20............................. 3,756 $ 3,733,684
eBay, Inc.
2.200%, 08/01/19............................. 4,184 4,157,608
# 3.800%, 03/09/22............................. 1,636 1,653,911
EI du Pont de Nemours & Co.
4.625%, 01/15/20............................. 1,289 1,325,925
4.250%, 04/01/21............................. 3,035 3,122,853
2.800%, 02/15/23............................. 1,000 966,254
Electricite de France SA
## 2.350%, 10/13/20............................. 1,500 1,474,854
Electronic Arts, Inc.
3.700%, 03/01/21............................. 11,879 12,003,108
EMD Finance LLC
## 2.400%, 03/19/20............................. 1,755 1,730,343
Enbridge, Inc.
# 2.900%, 07/15/22............................. 18,189 17,560,538
Enterprise Products Operating LLC
# 5.250%, 01/31/20............................. 1,788 1,852,887
ERAC USA Finance LLC
## 2.350%, 10/15/19............................. 7,283 7,205,253
European Financial Stability Facility
--%, 11/17/22................................ EUR 47,387 57,152,079
0.500%, 01/20/23............................. EUR 31,000 38,192,575
European Investment Bank
1.875%, 03/15/19............................. 4,471 4,450,933
1.625%, 03/16/20............................. 10,000 9,816,200
# 1.375%, 06/15/20............................. 6,000 5,838,480
# 2.875%, 09/15/20............................. 9,000 9,029,754
# 1.625%, 12/15/20............................. 8,000 7,775,276
# 2.000%, 03/15/21............................. 5,000 4,892,525
1.375%, 09/15/21............................. 48,000 45,749,613
European Stability Mechanism
0.0%, 10/18/22............................... EUR 14,800 17,849,938
Eversource Energy
2.500%, 03/15/21............................. 5,500 5,394,488
Exelon Corp.
# 2.850%, 06/15/20............................. 1,399 1,385,000
2.450%, 04/15/21............................. 447 433,559
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 7,064 7,038,380
Export Development Canada
1.375%, 10/21/21............................. 12,800 12,169,204
Express Scripts Holding Co.
2.250%, 06/15/19............................. 9,876 9,796,909
3.900%, 02/15/22............................. 1,000 1,003,730
Exxon Mobil Corp.
# 1.819%, 03/15/19............................. 21,614 21,504,045
1.912%, 03/06/20............................. 8,143 8,033,979
2.222%, 03/01/21............................. 45,395 44,654,544
2.397%, 03/06/22............................. 1,035 1,011,609
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
FedEx Corp.
2.300%, 02/01/20............................. 4,340 $ 4,292,086
1.000%, 01/11/23............................. EUR 5,000 6,141,369
Fidelity National Information Services, Inc.
# 3.625%, 10/15/20............................. 6,415 6,479,137
2.250%, 08/15/21............................. 2,500 2,410,275
Fifth Third Bancorp
2.300%, 03/01/19............................. 9,444 9,411,090
FMS Wertmanagement
1.375%, 06/08/21............................. 10,000 9,564,397
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 17,685 17,702,127
# 2.459%, 03/27/20............................. 5,365 5,284,408
# 3.157%, 08/04/20............................. 11,533 11,478,470
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20............................. 6,500 6,442,448
French Republic Government Bond OAT
2.250%, 10/25/22............................. EUR 50,800 67,712,557
GATX Corp.
2.500%, 03/15/19............................. 6,103 6,084,857
GE Capital European Funding Unlimited Co.
4.350%, 11/03/21............................. EUR 2,463 3,392,468
0.800%, 01/21/22............................. EUR 1,750 2,140,126
GE Capital International Funding Co., Unlimited
Co.
# 2.342%, 11/15/20............................. 56,970 55,687,143
General Electric Co.
0.375%, 05/17/22............................. EUR 13,519 16,228,566
0.375%, 05/17/22............................. EUR 8,200 9,843,498
General Motors Financial Co., Inc.
# 3.200%, 07/06/21............................. 12,709 12,557,189
# 3.450%, 01/14/22............................. 14,123 13,966,473
Gilead Sciences, Inc.
# 4.500%, 04/01/21............................. 1,198 1,240,218
GlaxoSmithKline Capital, Inc.
2.800%, 03/18/23............................. 700 681,440
Goldcorp, Inc.
# 3.625%, 06/09/21............................. 4,553 4,553,674
Goldman Sachs Group, Inc. (The)
7.500%, 02/15/19............................. 8,000 8,300,764
2.550%, 10/23/19............................. 5,500 5,475,091
2.750%, 09/15/20............................. 10,000 9,904,465
2.625%, 04/25/21............................. 502 491,309
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 21,047 20,648,635
Harris Corp.
2.700%, 04/27/20............................. 4,247 4,211,276
47
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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AMOUNT^ VALUE+
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(000)
Hartford Financial Services Group, Inc. (The)
5.500%, 03/30/20............................. 4,600 $ 4,792,050
Hershey Co. (The)
4.125%, 12/01/20............................. 700 719,990
Hewlett Packard Enterprise Co.
3.600%, 10/15/20............................. 10,000 10,071,182
HSBC USA, Inc.
2.375%, 11/13/19............................. 2,683 2,654,751
2.350%, 03/05/20............................. 5,500 5,432,788
Humana, Inc.
2.625%, 10/01/19............................. 3,845 3,828,206
Huntington Bancshares, Inc.
# 2.600%, 08/02/18............................. 16,084 16,087,743
Iberdrola Finance Ireland DAC
## 5.000%, 09/11/19............................. 6,662 6,824,848
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 2,236 2,314,624
ING Bank NV
## 2.750%, 03/22/21............................. 6,000 5,917,942
Integrys Holding, Inc.
4.170%, 11/01/20............................. 1,000 1,020,942
Intel Corp.
# 3.300%, 10/01/21............................. 5,000 5,047,898
Inter-American Development Bank
# 1.875%, 06/16/20............................. 7,000 6,899,333
2.125%, 11/09/20............................. 35,000 34,526,380
International Bank for Reconstruction & Development
# 1.375%, 05/24/21............................. 5,000 4,792,845
2.250%, 06/24/21............................. 6,000 5,898,588
2.600%, 09/20/22............................. AUD 12,000 8,992,416
International Business Machines Corp.
2.250%, 02/19/21............................. 4,000 3,930,366
2.500%, 01/27/22............................. 5,000 4,870,640
International Finance Corp.
0.875%, 06/15/18............................. 2,490 2,486,838
Intesa Sanpaolo SpA
0.875%, 06/27/22............................. EUR 18,581 22,626,062
## # 3.125%, 07/14/22............................. 1,420 1,367,985
Italy Buoni Poliennali Del Tesoro
1.450%, 09/15/22............................. EUR 21,500 27,027,269
Japan Finance Organization for Municipalities
2.500%, 09/12/18............................. 6,886 6,883,108
2.125%, 03/06/19............................. 4,472 4,447,449
Jersey Central Power & Light Co.
7.350%, 02/01/19............................. 7,492 7,727,093
FACE
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- ------- ------
(000)
John Deere Capital Corp.
2.050%, 03/10/20............................. 20,620 $ 20,309,734
Johnson & Johnson
# 1.650%, 03/01/21............................. 9,000 8,740,051
2.250%, 03/03/22............................. 5,000 4,865,401
JPMorgan Chase & Co.
6.300%, 04/23/19............................. 894 925,517
2.550%, 10/29/20............................. 11,000 10,840,364
4.350%, 08/15/21............................. 4,994 5,160,038
Kellogg Co.
0.800%, 11/17/22............................. EUR 2,250 2,734,880
KeyCorp
2.900%, 09/15/20............................. 11,259 11,179,068
5.100%, 03/24/21............................. 8,008 8,401,687
Kommunalbanken A.S.
1.750%, 05/28/19............................. 17,884 17,735,455
1.625%, 02/10/21............................. 15,000 14,507,025
2.250%, 01/25/22............................. 30,000 29,205,990
Kommunekredit
0.0%, 09/08/22............................... EUR 1,750 2,101,247
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 9,471 9,381,688
1.000%, 09/15/21............................. SEK 360,000 42,362,310
0.250%, 06/01/22............................. SEK 903,000 103,020,156
Kreditanstalt fuer Wiederaufbau
# 1.875%, 04/01/19............................. 6,259 6,227,869
1.500%, 04/20/20............................. 22,500 21,982,902
# 2.125%, 03/07/22............................. 20,000 19,431,199
2.900%, 06/06/22............................. AUD 20,000 15,155,622
--%, 12/15/22................................ EUR 40,228 48,478,566
Kroger Co. (The)
2.300%, 01/15/19............................. 11,572 11,536,609
3.400%, 04/15/22............................. 10,000 9,928,570
L3 Technologies, Inc.
4.750%, 07/15/20............................. 4,650 4,808,502
Laboratory Corp. of America Holdings
# 2.625%, 02/01/20............................. 7,623 7,553,250
Lam Research Corp.
2.750%, 03/15/20............................. 8,942 8,914,108
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.375%, 07/21/21............................. 5,000 4,761,435
Landwirtschaftliche Rentenbank
2.700%, 09/05/22............................. AUD 21,360 16,052,572
Legg Mason, Inc.
2.700%, 07/15/19............................. 9,258 9,207,603
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 2,500 2,599,483
Lincoln National Corp.
6.250%, 02/15/20............................. 3,215 3,380,491
4.850%, 06/24/21............................. 1,270 1,326,507
48
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
Lloyds Bank P.L.C.
2.700%, 08/17/20............................. 1,600 $ 1,586,707
Lloyds Banking Group P.L.C.
3.100%, 07/06/21............................. 6,750 6,699,420
# 3.000%, 01/11/22............................. 16,162 15,852,303
Lockheed Martin Corp.
2.500%, 11/23/20............................. 7,500 7,411,076
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 20,235 20,271,321
Manitoba, Province of Canada
2.100%, 09/06/22............................. 20,000 19,127,240
Manufacturers & Traders Trust Co.
2.250%, 07/25/19............................. 530 525,365
2.100%, 02/06/20............................. 28,367 27,902,040
Marriott International, Inc.
6.750%, 05/15/18............................. 4,264 4,270,590
# 3.000%, 03/01/19............................. 2,835 2,838,851
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19............................. 4,471 4,433,586
2.350%, 03/06/20............................. 1,000 985,640
2.750%, 01/30/22............................. 4,650 4,532,849
Mastercard, Inc.
1.100%, 12/01/22............................. EUR 15,162 18,785,951
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 3,464 3,458,856
McDonald's Corp.
3.500%, 07/15/20............................. 4,928 4,984,086
Merck & Co., Inc.
1.850%, 02/10/20............................. 4,450 4,385,480
Microsoft Corp.
# 1.625%, 12/06/18............................. 7,227 7,199,419
1.850%, 02/12/20............................. 21,640 21,346,816
# 3.000%, 10/01/20............................. 5,000 5,040,483
2.000%, 11/03/20............................. 33,993 33,415,659
1.550%, 08/08/21............................. 20,978 20,101,630
# 2.400%, 02/06/22............................. 20,000 19,548,691
2.375%, 02/12/22............................. 11,883 11,588,500
Mitsubishi UFJ Financial Group, Inc.
# 2.950%, 03/01/21............................. 1,725 1,709,742
0.680%, 01/26/23............................. EUR 10,060 12,128,189
Mizuho Bank, Ltd.
## # 2.450%, 04/16/19............................. 1,575 1,569,266
## 2.700%, 10/20/20............................. 11,960 11,784,549
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 5,000 4,882,519
Molson Coors Brewing Co.
2.100%, 07/15/21............................. 3,000 2,874,667
Mondelez International Holdings Netherlands BV
## 2.000%, 10/28/21............................. 13,012 12,387,982
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
Monsanto Co.
1.850%, 11/15/18............................. 24,511 $24,402,593
2.125%, 07/15/19............................. 2,236 2,215,830
Morgan Stanley
7.300%, 05/13/19............................. 2,315 2,419,689
MUFG Bank, Ltd.
## 2.350%, 09/08/19............................. 4,570 4,529,452
Municipality Finance P.L.C.
1.500%, 03/23/20............................. 10,000 9,779,120
1.375%, 09/21/21............................. 7,500 7,121,063
2.375%, 03/15/22............................. 10,000 9,766,900
Mylan NV
3.750%, 12/15/20............................. 4,065 4,077,450
Mylan, Inc.
# 2.550%, 03/28/19............................. 9,089 9,053,390
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 15,626 15,521,987
## 2.400%, 12/09/19............................. 8,492 8,422,855
# 2.625%, 07/23/20............................. 5,339 5,283,078
2.625%, 01/14/21............................. 2,000 1,969,116
3.000%, 05/12/21............................. AUD 6,000 4,523,216
1.875%, 07/12/21............................. 5,500 5,266,588
2.800%, 01/10/22............................. 24,500 24,014,700
2.500%, 05/22/22............................. 42,800 41,293,201
0.350%, 09/07/22............................. EUR 7,800 9,369,449
Nederlandse Waterschapsbank NV
1.875%, 03/13/19............................. 53,652 53,356,646
1.625%, 03/04/20............................. 30,000 29,412,000
1.875%, 04/14/22............................. 5,000 4,786,730
Nestle Holdings, Inc.
1.875%, 03/09/21............................. 10,000 9,693,520
NetApp, Inc.
# 3.375%, 06/15/21............................. 8,650 8,599,849
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 9,378 9,307,443
Nissan Motor Acceptance Corp.
## 2.550%, 03/08/21............................. 16,249 15,900,585
Noble Energy, Inc.
4.150%, 12/15/21............................. 4,000 4,065,659
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 16,440 16,432,640
Nordea Bank AB
1.625%, 05/15/18............................. 1,923 1,922,731
2.375%, 04/04/19............................. 15,005 14,954,669
## 2.500%, 09/17/20............................. 6,000 5,907,333
Nordic Investment Bank
# 1.875%, 06/14/19............................. 9,471 9,402,809
2.125%, 02/01/22............................. 7,500 7,290,269
Nordstrom, Inc.
# 4.750%, 05/01/20............................. 13,135 13,507,910
Norfolk Southern Corp.
3.000%, 04/01/22............................. 1,352 1,336,899
49
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
NRW Bank
1.875%, 07/01/19............................. 2,884 $ 2,859,025
Nuveen Finance LLC
## 2.950%, 11/01/19............................. 9,568 9,534,214
NVIDIA Corp.
2.200%, 09/16/21............................. 1,830 1,775,527
Occidental Petroleum Corp.
4.100%, 02/01/21............................. 542 556,190
Omnicom Group, Inc.
4.450%, 08/15/20............................. 550 564,636
Ontario, Province of Canada
4.400%, 04/14/20............................. 28,000 28,853,407
OP Corporate Bank P.L.C.
0.375%, 10/11/22............................. EUR 325 391,000
Oracle Corp.
2.800%, 07/08/21............................. 6,536 6,504,343
# 1.900%, 09/15/21............................. 97,577 94,147,223
# 2.500%, 05/15/22............................. 5,000 4,879,153
Pacific Gas & Electric Co.
3.500%, 10/01/20............................. 900 901,911
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.050%, 01/09/20............................. 828 827,404
## # 3.375%, 02/01/22............................. 10,000 9,894,370
Pernod Ricard SA
## 5.750%, 04/07/21............................. 620 660,827
## 4.450%, 01/15/22............................. 5,327 5,507,973
Perrigo Finance Unlimited Co.
3.500%, 03/15/21............................. 5,056 5,035,922
Pfizer, Inc.
2.100%, 05/15/19............................. 2,000 1,990,759
1.950%, 06/03/21............................. 27,847 27,088,386
# 2.200%, 12/15/21............................. 15,000 14,638,530
0.250%, 03/06/22............................. EUR 11,200 13,514,147
Phillips 66 Partners L.P.
2.646%, 02/15/20............................. 6,873 6,791,718
PNC Bank NA
2.400%, 10/18/19............................. 11,500 11,417,627
2.300%, 06/01/20............................. 200 196,890
2.600%, 07/21/20............................. 4,800 4,749,254
Procter & Gamble Co. (The)
# 1.850%, 02/02/21............................. 8,670 8,439,417
Progress Energy, Inc.
4.875%, 12/01/19............................. 4,672 4,785,318
Progressive Corp. (The)
3.750%, 08/23/21............................. 706 718,190
Province of British Columbia Canada
2.650%, 09/22/21............................. 26,337 26,075,187
Province of Manitoba Canada
2.050%, 11/30/20............................. 3,800 3,717,382
2.125%, 05/04/22............................. 10,000 9,611,757
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
Province of Ontario Canada
1.875%, 05/21/20............................. 15,000 $14,713,793
2.500%, 09/10/21............................. 59,530 58,458,619
1.350%, 03/08/22............................. CAD 20,000 14,954,476
2.250%, 05/18/22............................. 5,000 4,827,853
3.150%, 06/02/22............................. CAD 19,000 15,180,467
Province of Quebec Canada
3.500%, 07/29/20............................. 53,000 53,781,220
2.750%, 08/25/21............................. 10,000 9,910,136
2.375%, 01/31/22............................. 40,718 39,692,819
Prudential Financial, Inc.
# 2.350%, 08/15/19............................. 6,000 5,963,271
5.375%, 06/21/20............................. 1,700 1,776,686
# 4.500%, 11/15/20............................. 7,000 7,227,583
PSEG Power LLC
2.450%, 11/15/18............................. 6,831 6,816,112
5.125%, 04/15/20............................. 11,108 11,493,360
Puget Energy, Inc.
6.500%, 12/15/20............................. 3,363 3,610,270
QUALCOMM, Inc.
2.250%, 05/20/20............................. 8,235 8,104,155
3.000%, 05/20/22............................. 2,425 2,364,806
Regions Financial Corp.
3.200%, 02/08/21............................. 10,500 10,452,789
2.750%, 08/14/22............................. 6,401 6,170,677
Republic of Austria Government Bond
## 0.0%, 09/20/22............................... EUR 4,000 4,845,329
Republic Services, Inc.
5.500%, 09/15/19............................. 4,473 4,628,472
3.550%, 06/01/22............................. 2,000 2,001,080
Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,500 1,496,647
2.800%, 12/15/21............................. 1,000 977,352
Royal Bank of Canada
2.125%, 03/02/20............................. 22,338 21,971,037
2.150%, 03/06/20............................. 665 654,902
2.350%, 10/30/20............................. 7,428 7,292,837
2.500%, 01/19/21............................. 12,750 12,518,582
2.750%, 02/01/22............................. 24,000 23,512,158
1.968%, 03/02/22............................. CAD 10,000 7,564,391
Ryder System, Inc.
2.650%, 03/02/20............................. 7,000 6,937,671
3.400%, 03/01/23............................. 3,000 2,967,601
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 3,000 2,964,629
Santander UK Group Holdings P.L.C.
3.125%, 01/08/21............................. 15,000 14,875,200
Santander UK P.L.C.
2.375%, 03/16/20............................. 2,824 2,787,334
Sempra Energy
2.850%, 11/15/20............................. 5,400 5,335,870
50
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
Shell International Finance BV
2.000%, 11/15/18............................. 10,526 $10,496,592
4.300%, 09/22/19............................. 4,471 4,574,544
4.375%, 03/25/20............................. 1,250 1,286,107
2.125%, 05/11/20............................. 17,155 16,933,900
2.250%, 11/10/20............................. 18,999 18,728,325
# 1.875%, 05/10/21............................. 32,626 31,586,985
1.750%, 09/12/21............................. 27,855 26,707,297
Sherwin-Williams Co. (The)
2.750%, 06/01/22............................. 2,000 1,936,376
Skandinaviska Enskilda Banken AB
1.250%, 08/05/22............................. GBP 2,000 2,708,287
Societe Generale SA
## 2.625%, 09/16/20............................. 17,000 16,758,964
## 2.500%, 04/08/21............................. 4,200 4,094,181
Solvay Finance America LLC
## 3.400%, 12/03/20............................. 10,000 10,004,267
Southern Co. (The)
2.750%, 06/15/20............................. 9,683 9,593,701
Southern Power Co.
1.000%, 06/20/22............................. EUR 14,310 17,543,298
Southwest Airlines Co.
2.750%, 11/06/19............................. 17,072 16,987,788
2.650%, 11/05/20............................. 4,500 4,443,372
Spain Government Bond
## 5.400%, 01/31/23............................. EUR 17,000 25,525,713
Starbucks Corp.
# 2.100%, 02/04/21............................. 1,770 1,728,223
State of North Rhine- Westphalia Germany
1.625%, 01/22/20............................. 18,950 18,591,864
State Street Corp.
# 2.550%, 08/18/20............................. 10,138 10,059,069
Statoil ASA
1.150%, 05/15/18............................. 11,682 11,677,540
2.250%, 11/08/19............................. 7,500 7,434,529
# 2.900%, 11/08/20............................. 2,780 2,779,855
3.150%, 01/23/22............................. 2,692 2,690,552
Stryker Corp.
2.625%, 03/15/21............................. 6,121 6,037,570
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 5,865 5,858,950
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21............................. 4,000 3,962,073
2.058%, 07/14/21............................. 10,000 9,609,458
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 5,055 5,042,873
# 2.900%, 03/03/21............................. 14,765 14,612,964
Svensk Exportkredit AB
1.750%, 08/28/20............................. 6,000 5,855,093
# 2.375%, 03/09/22............................. 10,000 9,772,598
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 16,661 $ 16,642,667
2.250%, 06/17/19............................. 8,942 8,883,896
2.400%, 10/01/20............................. 3,720 3,654,313
2.450%, 03/30/21............................. 1,930 1,885,856
0.250%, 02/28/22............................. EUR 13,000 15,663,505
2.625%, 08/23/22............................. EUR 3,000 3,964,016
Swedbank AB
0.300%, 09/06/22............................. EUR 12,020 14,425,716
Sweden Government Bond
3.500%, 06/01/22............................. SEK 1,085,000 142,702,842
Sysco Corp.
2.600%, 10/01/20............................. 16,190 16,005,536
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 74 76,967
Telefonica Emisiones SAU
5.877%, 07/15/19............................. 1,000 1,034,309
5.134%, 04/27/20............................. 10,180 10,577,728
Temasek Financial I, Ltd.
0.500%, 03/01/22............................. EUR 2,700 3,302,730
Thomson Reuters Corp.
3.950%, 09/30/21............................. 6,115 6,145,588
Time Warner, Inc.
4.700%, 01/15/21............................. 7,900 8,176,992
Toronto-Dominion Bank (The)
2.125%, 07/02/19............................. 31,297 31,096,853
2.500%, 12/14/20............................. 20,000 19,687,394
2.125%, 04/07/21............................. 18,138 17,604,031
1.800%, 07/13/21............................. 18,605 17,803,677
1.994%, 03/23/22............................. CAD 15,000 11,365,629
Total Capital International SA
# 2.100%, 06/19/19............................. 27,483 27,322,017
# 2.750%, 06/19/21............................. 6,000 5,943,084
# 2.875%, 02/17/22............................. 7,000 6,920,885
Total Capital SA
4.125%, 01/28/21............................. 10,000 10,266,738
Total System Services, Inc.
2.375%, 06/01/18............................. 4,011 4,009,769
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 10,000 7,568,441
2.350%, 07/18/22............................. CAD 10,000 7,637,603
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 19,526 19,485,380
# 2.125%, 07/18/19............................. 11,845 11,768,109
4.500%, 06/17/20............................. 9,300 9,608,562
# 1.900%, 04/08/21............................. 40,243 39,036,110
2.750%, 05/17/21............................. 8,500 8,419,256
2.600%, 01/11/22............................. 5,988 5,860,962
3.300%, 01/12/22............................. 1,484 1,487,362
0.750%, 07/21/22............................. EUR 2,080 2,553,111
Tyson Foods, Inc.
2.650%, 08/15/19............................. 17,802 17,724,323
51
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UBS AG
# 2.375%, 08/14/19............................. 2,178 $ 2,165,913
2.350%, 03/26/20............................. 6,079 5,992,496
UBS Group Funding Switzerland AG
1.750%, 11/16/22............................. EUR 8,052 10,162,263
Unedic Asseo
0.875%, 10/25/22............................. EUR 27,300 34,156,641
Union Pacific Corp.
2.250%, 02/15/19............................. 1,189 1,185,362
UnitedHealth Group, Inc.
4.700%, 02/15/21............................. 2,040 2,121,011
Unum Group
3.000%, 05/15/21............................. 1,000 985,081
US Bank NA
# 2.125%, 10/28/19............................. 3,432 3,398,095
USAA Capital Corp.
## 2.000%, 06/01/21............................. 5,000 4,830,364
Valero Energy Corp.
9.375%, 03/15/19............................. 5,009 5,286,679
Verizon Communications, Inc.
3.500%, 11/01/21............................. 750 755,995
3.125%, 03/16/22............................. 7,858 7,768,299
Viacom, Inc.
2.750%, 12/15/19............................. 3,297 3,266,182
Vodafone Group P.L.C.
5.450%, 06/10/19............................. 1,732 1,778,408
# 4.375%, 03/16/21............................. 4,525 4,655,848
# 2.500%, 09/26/22............................. 4,411 4,204,202
Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. 6,310 6,265,504
## 2.400%, 05/22/20............................. 5,911 5,813,229
Volkswagen International Finance NV
0.875%, 01/16/23............................. EUR 4,200 5,113,508
Walgreen Co.
3.100%, 09/15/22............................. 4,127 4,030,497
Walgreens Boots Alliance, Inc.
# 3.300%, 11/18/21............................. 4,000 3,983,760
Walt Disney Co. (The)
2.150%, 09/17/20............................. 6,482 6,370,769
WEC Energy Group, Inc.
2.450%, 06/15/20............................. 14,176 13,974,571
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
Wells Fargo & Co.
2.125%, 04/22/19............................. 4,083 $ 4,063,865
# 2.600%, 07/22/20............................. 8,000 7,916,058
1.500%, 09/12/22............................. EUR 2,700 3,376,150
Western Australian Treasury Corp.
2.750%, 10/20/22............................. AUD 27,000 20,405,613
Westpac Banking Corp.
# 4.875%, 11/19/19............................. 3,645 3,749,945
# 2.600%, 11/23/20............................. 29,052 28,657,585
2.100%, 05/13/21............................. 7,632 7,389,759
2.800%, 01/11/22............................. 15,512 15,229,960
2.500%, 06/28/22............................. 9,789 9,424,815
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 1,484 1,483,612
Wyndham Worldwide Corp.
# 4.250%, 03/01/22............................. 2,967 2,914,234
Xcel Energy, Inc.
2.400%, 03/15/21............................. 4,070 3,979,325
Xerox Corp.
4.070%, 03/17/22............................. 10,246 10,175,031
Xilinx, Inc.
2.125%, 03/15/19............................. 1,795 1,788,151
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 4,632 4,587,755
Zoetis, Inc.
3.450%, 11/13/20............................. 12,400 12,452,114
--------------
TOTAL BONDS........................................ 5,766,585,930
--------------
U.S. TREASURY OBLIGATIONS -- (0.4%)
U.S. Treasury Notes
1.250%, 10/31/21............................. 25,000 23,799,805
--------------
TOTAL INVESTMENT SECURITIES........................ 5,803,501,689
--------------
SHARES
- ------ -
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund................... 14,668,629 169,716,042
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,079,954,189)................................ $5,973,217,731
==============
52
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
At April 30, 2018, DFA Short-Term Extended Quality 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.. 79,064,744 SEK 647,175,880 JP Morgan 05/02/18 $ 5,157,956
USD.. 81,381,303 SEK 669,921,752 Citibank, N.A. 05/03/18 4,876,960
USD.. 74,492,771 SEK 646,074,312 Bank of America Corp. 06/27/18 394,299
USD.. 145,484,292 EUR 117,406,143 Bank of America Corp. 06/28/18 3,091,207
USD.. 74,963,528 SEK 625,746,808 Citibank, N.A. 07/03/18 3,159,519
USD.. 69,958,604 SEK 584,598,050 JP Morgan 07/05/18 2,865,911
USD.. 77,885,684 SEK 673,868,575 Citibank, N.A. 07/06/18 541,622
USD.. 134,667,491 EUR 108,045,830 State Street Bank and Trust 07/10/18 3,500,334
USD.. 97,682,592 EUR 78,814,674 State Street Bank and Trust 07/11/18 1,994,539
USD.. 74,429,364 EUR 60,000,000 State Street Bank and Trust 07/12/18 1,578,380
USD.. 77,446,148 EUR 62,430,672 State Street Bank and Trust 07/13/18 1,638,028
USD.. 2,848,921 GBP 1,982,266 State Street Bank and Trust 07/16/18 109,892
USD.. 97,349,436 CAD 122,106,177 State Street Bank and Trust 07/17/18 2,077,413
USD.. 92,212,994 AUD 119,831,103 JP Morgan 07/20/18 1,967,660
USD.. 144,518,558 EUR 117,811,388 State Street Bank and Trust 07/25/18 1,330,198
-----------
TOTAL APPRECIATION $34,283,918
SEK.. 647,175,880 USD 74,312,695 Bank of America Corp. 05/02/18 $ (405,906)
SEK.. 669,921,752 USD 77,040,755 Citibank N.A. 05/03/18 (536,412)
-----------
TOTAL (DEPRECIATION) $ (942,318)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $33,341,600
===========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Agency Obligations............ -- $ 13,115,954 -- $ 13,115,954
Bonds......................... -- 5,766,585,930 -- 5,766,585,930
U.S. Treasury Obligations..... -- 23,799,805 -- 23,799,805
Securities Lending Collateral. -- 169,716,042 -- 169,716,042
Forward Currency Contracts**.. -- 33,341,600 -- 33,341,600
-- -------------- -- --------------
TOTAL......................... -- $6,006,559,331 -- $6,006,559,331
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
53
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (3.5%)
Federal Farm Credit Bank
2.630%, 08/03/26............................. $ 3,173 $ 3,050,364
5.770%, 01/05/27............................. 1,058 1,263,458
Federal Home Loan Mortgage Corp.
6.750%, 09/15/29............................. 8,814 11,683,697
6.750%, 03/15/31............................. 1,000 1,355,157
6.250%, 07/15/32............................. 4,000 5,305,876
Federal National Mortgage Association
6.250%, 05/15/29............................. 17,628 22,436,971
7.125%, 01/15/30............................. 3,526 4,825,038
6.625%, 11/15/30............................. 7,000 9,353,827
Tennessee Valley Authority
7.125%, 05/01/30............................. 7,608 10,441,052
-----------
TOTAL AGENCY OBLIGATIONS........................... 69,715,440
-----------
BONDS -- (86.8%)
21st Century Fox America, Inc.
3.700%, 09/15/24............................. 2,468 2,458,890
3M Co.
# 2.875%, 10/15/27............................. 27,127 25,647,909
Abbott Laboratories
# 2.950%, 03/15/25............................. 6,870 6,515,841
AbbVie, Inc.
3.600%, 05/14/25............................. 9,500 9,216,773
Activision Blizzard, Inc.
3.400%, 06/15/27............................. 600 568,299
Adobe Systems, Inc.
3.250%, 02/01/25............................. 1,058 1,040,324
Advance Auto Parts, Inc.
4.500%, 12/01/23............................. 1,500 1,535,408
Aetna, Inc.
# 3.500%, 11/15/24............................. 4,942 4,819,865
Affiliated Managers Group, Inc.
3.500%, 08/01/25............................. 1,410 1,362,794
Aflac, Inc.
# 3.625%, 11/15/24............................. 1,099 1,096,654
3.250%, 03/17/25............................. 6,064 5,892,393
Ahold Finance USA LLC
6.875%, 05/01/29............................. 388 459,833
Airbus SE
## # 3.150%, 04/10/27............................. 1,000 959,207
Alabama Power Co.
2.800%, 04/01/25............................. 1,410 1,325,478
Albemarle Corp.
4.150%, 12/01/24............................. 3,335 3,387,153
Alimentation Couche-Tard, Inc.
## 3.550%, 07/26/27............................. 1,185 1,120,435
Allergan Funding SCS
# 3.800%, 03/15/25............................. 9,592 9,194,346
FACE
AMOUNT VALUE+
------ ------
(000)
Alphabet, Inc.
1.998%, 08/15/26............................. $ 4,000 $ 3,571,945
American Express Credit Corp.
# 3.300%, 05/03/27............................. 8,500 8,124,640
American Honda Finance Corp.
2.300%, 09/09/26............................. 1,500 1,369,037
American International Group, Inc.
3.750%, 07/10/25............................. 2,000 1,957,521
3.900%, 04/01/26............................. 5,000 4,880,122
American Water Capital Corp.
3.850%, 03/01/24............................. 1,166 1,180,902
Ameriprise Financial, Inc.
# 3.700%, 10/15/24............................. 7,090 7,096,267
2.875%, 09/15/26............................. 1,000 931,470
AmerisourceBergen Corp.
3.400%, 05/15/24............................. 673 655,180
3.450%, 12/15/27............................. 4,000 3,733,140
Amgen, Inc.
# 3.125%, 05/01/25............................. 2,763 2,639,091
2.600%, 08/19/26............................. 3,000 2,702,246
Analog Devices, Inc.
3.900%, 12/15/25............................. 4,502 4,475,229
Andeavor
5.125%, 12/15/26............................. 350 369,104
Anglo American Capital P.L.C.
## 4.750%, 04/10/27............................. 5,000 4,992,700
## 4.000%, 09/11/27............................. 4,600 4,334,915
Anheuser-Busch InBev Finance, Inc.
# 3.650%, 02/01/26............................. 8,000 7,810,531
Anthem, Inc.
3.500%, 08/15/24............................. 3,491 3,392,617
3.650%, 12/01/27............................. 555 527,743
4.101%, 03/01/28............................. 5,000 4,893,810
ANZ New Zealand International Ltd.
## 3.450%, 07/17/27............................. 15,000 14,402,859
Aon P.L.C.
3.500%, 06/14/24............................. 3,750 3,674,135
AP Moller - Maersk A.S.
## 3.750%, 09/22/24............................. 1,000 965,653
## 3.875%, 09/28/25............................. 1,914 1,844,419
Apple, Inc.
3.250%, 02/23/26............................. 1,000 973,431
3.350%, 02/09/27............................. 13,200 12,909,474
3.200%, 05/11/27............................. 13,405 12,926,104
# 3.000%, 06/20/27............................. 6,800 6,459,828
# 2.900%, 09/12/27............................. 551 517,899
3.000%, 11/13/27............................. 11,000 10,391,267
Applied Materials, Inc.
3.300%, 04/01/27............................. 1,111 1,075,153
Archer-Daniels-Midland Co.
2.500%, 08/11/26............................. 5,613 5,098,941
Arizona Public Service Co.
3.150%, 05/15/25............................. 3,349 3,241,996
54
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Arrow Electronics, Inc.
3.875%, 01/12/28............................. $ 5,330 $ 5,012,486
Assurant, Inc.
4.000%, 03/15/23............................. 3,526 3,515,812
AstraZeneca P.L.C.
3.375%, 11/16/25............................. 8,300 8,060,875
AT&T, Inc.
3.950%, 01/15/25............................. 1,087 1,076,183
3.400%, 05/15/25............................. 8,182 7,774,843
Australia & New Zealand Banking Group, Ltd.
3.700%, 11/16/25............................. 5,000 4,986,965
Autodesk, Inc.
4.375%, 06/15/25............................. 6,017 6,099,764
# 3.500%, 06/15/27............................. 5,375 5,060,301
Automatic Data Processing, Inc.
3.375%, 09/15/25............................. 2,000 1,984,131
AutoZone, Inc.
3.250%, 04/15/25............................. 3,133 3,001,997
Avnet, Inc.
4.625%, 04/15/26............................. 5,850 5,768,939
AXIS Specialty Finance P.L.C.
4.000%, 12/06/27............................. 1,000 946,880
Banco Santander SA
# 3.800%, 02/23/28............................. 5,800 5,484,401
Bank of America Corp. Floating Rate Note
(r)## 3.419%, 12/20/28............................. 2,918 2,736,752
Bank of New York Mellon Corp. (The)
# 3.000%, 02/24/25............................. 1,410 1,348,673
Barclays P.L.C.
3.650%, 03/16/25............................. 6,080 5,798,563
4.375%, 01/12/26............................. 2,700 2,665,942
BAT International Finance P.L.C.
3.950%, 06/15/25............................. 1,500 1,477,927
Baxter International, Inc.
2.600%, 08/15/26............................. 5,578 5,020,986
Bayer U.S. Finance LLC
## # 3.375%, 10/08/24............................. 8,831 8,579,529
Beam Suntory, Inc.
3.250%, 06/15/23............................. 2,195 2,124,830
Bed Bath & Beyond, Inc.
# 3.749%, 08/01/24............................. 610 520,883
Berkshire Hathaway, Inc.
# 3.125%, 03/15/26............................. 30,552 29,406,547
Biogen, Inc.
4.050%, 09/15/25............................. 8,000 8,012,261
BlackRock, Inc.
3.200%, 03/15/27............................. 17,645 16,943,450
BMW U.S. Capital LLC
## 2.800%, 04/11/26............................. 5,500 5,128,686
## # 3.300%, 04/06/27............................. 4,000 3,847,913
BNP Paribas SA
## # 3.500%, 11/16/27............................. 8,631 8,122,418
Boeing Co. (The)
2.500%, 03/01/25............................. 3,526 3,299,850
FACE
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Boston Scientific Corp.
4.125%, 10/01/23............................. $ 811 $ 824,147
BP Capital Markets P.L.C.
3.535%, 11/04/24............................. 1,234 1,229,904
3.017%, 01/16/27............................. 7,000 6,601,064
BPCE SA
4.000%, 04/15/24............................. 3,000 3,005,394
British Columbia, Province of Canada
6.500%, 01/15/26............................. 4,363 5,262,581
Brown & Brown, Inc.
4.200%, 09/15/24............................. 5,261 5,309,176
Buckeye Partners L.P.
# 4.150%, 07/01/23............................. 1,058 1,055,246
# 3.950%, 12/01/26............................. 2,275 2,140,026
Bunge, Ltd. Finance Corp.
3.750%, 09/25/27............................. 5,000 4,733,050
Burlington Northern Santa Fe LLC
3.000%, 04/01/25............................. 2,357 2,276,859
7.000%, 12/15/25............................. 472 572,133
CA, Inc.
4.700%, 03/15/27............................. 7,900 7,944,824
Campbell Soup Co.
3.300%, 03/19/25............................. 4,229 4,041,458
4.150%, 03/15/28............................. 5,571 5,398,184
Canadian Natural Resources, Ltd.
7.200%, 01/15/32............................. 2,950 3,671,638
Canadian Pacific Railway Co.
2.900%, 02/01/25............................. 1,666 1,572,932
3.700%, 02/01/26............................. 2,115 2,070,726
Capital One Financial Corp.
3.750%, 04/24/24............................. 1,939 1,904,111
3.750%, 03/09/27............................. 2,000 1,896,483
Cardinal Health, Inc.
# 3.410%, 06/15/27............................. 9,000 8,357,783
CBS Corp.
3.500%, 01/15/25............................. 1,058 1,016,772
# 4.000%, 01/15/26............................. 1,000 979,132
2.900%, 01/15/27............................. 6,600 5,899,872
Celgene Corp.
3.625%, 05/15/24............................. 1,763 1,723,265
CenterPoint Energy Resources Corp.
4.000%, 04/01/28............................. 3,000 2,969,004
Charles Schwab Corp. (The)
3.000%, 03/10/25............................. 4,689 4,500,015
Chevron Corp.
2.954%, 05/16/26............................. 25,893 24,735,436
Cigna Corp.
3.250%, 04/15/25............................. 5,750 5,426,978
Cincinnati Financial Corp.
6.920%, 05/15/28............................. 900 1,107,098
Cisco Systems, Inc.
# 2.500%, 09/20/26............................. 3,000 2,774,388
Citigroup, Inc.
3.750%, 06/16/24............................. 1,410 1,400,941
3.300%, 04/27/25............................. 6,231 5,967,102
55
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FACE
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(000)
Clorox Co. (The)
3.500%, 12/15/24............................. $ 1,763 $ 1,758,294
CME Group, Inc.
3.000%, 03/15/25............................. 471 454,207
CMS Energy Corp.
3.600%, 11/15/25............................. 2,800 2,735,068
CNA Financial Corp.
4.500%, 03/01/26............................. 6,830 6,995,344
Coca-Cola Co. (The)
# 2.250%, 09/01/26............................. 3,500 3,167,310
# 2.900%, 05/25/27............................. 8,000 7,591,959
Comcast Corp.
3.375%, 08/15/25............................. 1,234 1,198,083
# 3.150%, 03/01/26............................. 4,000 3,805,235
7.050%, 03/15/33............................. 2,000 2,580,988
Commonwealth Bank of Australia
## 2.850%, 05/18/26............................. 18,373 17,015,180
ConocoPhillips Co.
# 4.950%, 03/15/26............................. 5,000 5,384,169
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24............................. 705 691,478
Cox Communications, Inc.
## # 3.850%, 02/01/25............................. 5,741 5,676,488
Credit Agricole SA
# 3.875%, 04/15/24............................. 5,678 5,717,056
Credit Suisse AG
3.625%, 09/09/24............................. 6,299 6,240,420
CSX Corp.
3.400%, 08/01/24............................. 3,000 2,951,354
CVS Health Corp.
# 3.375%, 08/12/24............................. 5,243 5,061,321
3.875%, 07/20/25............................. 3,210 3,156,288
Daimler Finance North America LLC
## 3.250%, 08/01/24............................. 1,128 1,094,080
8.500%, 01/18/31............................. 7,188 10,245,145
Deere & Co.
# 5.375%, 10/16/29............................. 650 740,150
Deutsche Bank AG
3.700%, 05/30/24............................. 5,781 5,508,912
4.100%, 01/13/26............................. 3,000 2,884,692
Discovery Communications LLC
3.250%, 04/01/23............................. 353 341,656
## 3.900%, 11/15/24............................. 5,961 5,826,756
3.450%, 03/15/25............................. 4,263 4,069,554
# 4.900%, 03/11/26............................. 4,000 4,100,148
Dominion Energy Gas Holdings LLC
3.600%, 12/15/24............................. 1,763 1,732,842
Dominion Energy, Inc.
3.625%, 12/01/24............................. 705 693,316
3.900%, 10/01/25............................. 4,000 3,953,389
Dover Corp.
3.150%, 11/15/25............................. 2,100 2,022,831
Dow Chemical Co. (The)
3.500%, 10/01/24............................. 4,106 4,012,958
FACE
AMOUNT VALUE+
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(000)
Dr Pepper Snapple Group, Inc.
3.400%, 11/15/25............................. $ 1,660 $ 1,564,693
DTE Energy Co.
2.850%, 10/01/26............................. 945 858,071
Duke Energy Corp.
3.750%, 04/15/24............................. 1,000 996,675
DXC Technology Co.
4.450%, 09/18/22............................. 1,763 1,795,939
4.750%, 04/15/27............................. 8,000 8,202,406
Eastman Chemical Co.
3.800%, 03/15/25............................. 3,023 3,024,711
eBay, Inc.
3.600%, 06/05/27............................. 2,000 1,894,797
Ecolab, Inc.
2.700%, 11/01/26............................. 2,000 1,844,392
Electricite de France SA
3.625%, 10/13/25............................. 2,000 1,971,294
## 3.625%, 10/13/25............................. 5,797 5,713,794
Electronic Arts, Inc.
4.800%, 03/01/26............................. 2,200 2,314,118
Enbridge, Inc.
# 4.000%, 10/01/23............................. 2,068 2,068,306
# 3.500%, 06/10/24............................. 705 681,360
# 3.700%, 07/15/27............................. 3,000 2,825,160
Enel Finance International NV
## 3.500%, 04/06/28............................. 5,000 4,626,423
Energy Transfer Partners L.P.
4.750%, 01/15/26............................. 4,000 3,991,446
# 4.200%, 04/15/27............................. 2,000 1,906,592
Enterprise Products Operating LLC
3.750%, 02/15/25............................. 2,000 1,983,055
3.700%, 02/15/26............................. 6,000 5,867,726
EOG Resources, Inc.
3.150%, 04/01/25............................. 6,478 6,217,068
EQT Corp.
3.900%, 10/01/27............................. 4,400 4,185,912
ERAC USA Finance LLC
## 3.850%, 11/15/24............................. 2,058 2,051,296
Exelon Corp.
3.950%, 06/15/25............................. 795 788,512
3.400%, 04/15/26............................. 5,400 5,159,807
Express Scripts Holding Co.
3.500%, 06/15/24............................. 4,596 4,401,454
3.400%, 03/01/27............................. 3,500 3,220,645
Exxon Mobil Corp.
# 3.043%, 03/01/26............................. 20,686 20,001,587
FedEx Corp.
3.200%, 02/01/25............................. 2,062 1,988,552
Fidelity National Information Services, Inc.
5.000%, 10/15/25............................. 278 293,277
Fifth Third Bancorp
3.950%, 03/14/28............................. 2,943 2,912,071
FMR LLC
## 4.950%, 02/01/33............................. 1,000 1,093,658
Ford Motor Credit Co. LLC
4.375%, 08/06/23............................. 4,583 4,615,430
56
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
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(000)
3.664%, 09/08/24............................. $ 3,950 $ 3,786,644
GATX Corp.
3.250%, 03/30/25............................. 2,820 2,652,601
3.250%, 09/15/26............................. 2,200 2,034,035
General Dynamics Corp.
2.125%, 08/15/26............................. 6,500 5,780,312
General Electric Co.
6.750%, 03/15/32............................. 21,373 26,207,404
General Mills, Inc.
# 4.200%, 04/17/28............................. 3,000 2,953,322
General Motors Financial Co., Inc.
5.250%, 03/01/26............................. 7,000 7,277,179
# 4.350%, 01/17/27............................. 3,000 2,919,654
Georgia Power Co.
3.250%, 04/01/26............................. 3,000 2,867,842
Georgia-Pacific LLC
# 7.750%, 11/15/29............................. 4,960 6,637,929
Gilead Sciences, Inc.
3.650%, 03/01/26............................. 2,000 1,976,098
Goldman Sachs Group, Inc. (The)
4.000%, 03/03/24............................. 6,346 6,367,073
3.750%, 05/22/25............................. 2,000 1,953,450
3.750%, 02/25/26............................. 1,100 1,064,907
Halliburton Co.
# 3.800%, 11/15/25............................. 4,124 4,092,045
Harley-Davidson, Inc.
# 3.500%, 07/28/25............................. 5,980 5,809,222
Hasbro, Inc.
3.500%, 09/15/27............................. 2,820 2,595,590
Hewlett Packard Enterprise Co.
# 4.900%, 10/15/25............................. 8,542 8,776,163
Home Depot, Inc. (The)
3.350%, 09/15/25............................. 1,403 1,382,824
Honeywell International, Inc.
2.500%, 11/01/26............................. 1,000 914,701
HSBC Holdings P.L.C.
# 4.300%, 03/08/26............................. 4,000 4,055,780
HSBC USA, Inc.
3.500%, 06/23/24............................. 5,760 5,667,377
Humana, Inc.
3.850%, 10/01/24............................. 4,074 4,073,071
ING Groep NV
# 3.950%, 03/29/27............................. 6,550 6,434,934
Ingersoll-Rand Luxembourg Finance SA
3.550%, 11/01/24............................. 4,280 4,224,375
Inter-American Development Bank
6.750%, 07/15/27............................. 1,058 1,314,802
Intercontinental Exchange, Inc.
# 3.750%, 12/01/25............................. 5,750 5,757,935
International Business Machines Corp.
# 3.300%, 01/27/27............................. 3,191 3,098,214
International Paper Co.
3.650%, 06/15/24............................. 1,058 1,040,809
3.800%, 01/15/26............................. 578 562,897
FACE
AMOUNT VALUE+
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(000)
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24............................. $ 2,151 $ 2,163,114
Intesa Sanpaolo SpA
# 5.250%, 01/12/24............................. 3,526 3,680,181
## 3.875%, 07/14/27............................. 7,500 7,037,759
ITC Holdings Corp.
3.650%, 06/15/24............................. 4,288 4,227,916
Janus Capital Group, Inc.
4.875%, 08/01/25............................. 2,000 2,071,085
Jefferies Group LLC / Jefferies Group Capital
Finance, Inc.
4.850%, 01/15/27............................. 3,000 2,991,657
JM Smucker Co. (The)
# 3.500%, 03/15/25............................. 5,000 4,855,005
Johnson & Johnson
2.450%, 03/01/26............................. 14,500 13,460,907
2.900%, 01/15/28............................. 3,000 2,838,460
6.950%, 09/01/29............................. 1,000 1,304,875
Johnson Controls International P.L.C.
3.625%, 07/02/24............................. 541 535,079
JPMorgan Chase & Co.
3.900%, 07/15/25............................. 4,820 4,789,889
Juniper Networks, Inc.
4.500%, 03/15/24............................. 2,327 2,364,528
Kellogg Co.
3.250%, 04/01/26............................. 6,741 6,353,053
7.450%, 04/01/31............................. 300 380,858
KeyBank NA
# 3.300%, 06/01/25............................. 2,000 1,938,565
Kohl's Corp.
4.750%, 12/15/23............................. 781 804,399
Koninklijke KPN NV
8.375%, 10/01/30............................. 4,000 5,350,467
Kraft Heinz Foods Co.
# 3.950%, 07/15/25............................. 8,000 7,868,340
Kroger Co. (The)
# 7.500%, 04/01/31............................. 7,725 9,635,937
L3 Technologies, Inc.
3.950%, 05/28/24............................. 1,361 1,355,550
Laboratory Corp. of America Holdings
3.600%, 09/01/27............................. 3,100 2,958,412
Legg Mason, Inc.
3.950%, 07/15/24............................. 2,609 2,577,066
4.750%, 03/15/26............................. 3,205 3,300,308
Lincoln National Corp.
3.350%, 03/09/25............................. 8,425 8,124,614
Lloyds Banking Group P.L.C.
3.750%, 01/11/27............................. 5,000 4,778,177
# 4.375%, 03/22/28............................. 4,000 3,975,710
Lockheed Martin Corp.
2.900%, 03/01/25............................. 2,468 2,341,814
Loews Corp.
# 3.750%, 04/01/26............................. 5,500 5,456,166
57
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
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(000)
Lowe's Cos., Inc.
# 3.375%, 09/15/25............................. $ 3,551 $ 3,489,360
LYB International Finance II BV
# 3.500%, 03/02/27............................. 2,000 1,888,706
Macquarie Bank, Ltd.
## # 3.900%, 01/15/26............................. 5,000 4,954,992
Manufacturers & Traders Trust Co.
2.900%, 02/06/25............................. 6,527 6,239,667
Marathon Petroleum Corp.
3.625%, 09/15/24............................. 4,513 4,431,867
Marriott International, Inc.
4.000%, 04/15/28............................. 2,000 1,954,304
Marsh & McLennan Cos., Inc.
3.500%, 06/03/24............................. 1,000 984,634
3.500%, 03/10/25............................. 1,500 1,468,468
Maxim Integrated Products, Inc.
3.450%, 06/15/27............................. 2,950 2,826,847
McDonald's Corp.
# 3.700%, 01/30/26............................. 9,000 8,974,304
McKesson Corp.
3.796%, 03/15/24............................. 201 199,513
Mead Johnson Nutrition Co.
# 4.125%, 11/15/25............................. 4,200 4,265,940
Medtronic, Inc.
3.500%, 03/15/25............................. 1,000 989,072
Merck Sharp & Dohme Corp.
6.400%, 03/01/28............................. 6,591 7,997,579
Microsoft Corp.
2.700%, 02/12/25............................. 1,058 1,012,424
2.400%, 08/08/26............................. 10,000 9,182,384
3.300%, 02/06/27............................. 22,100 21,621,217
Mitsubishi UFJ Financial Group, Inc.
# 3.850%, 03/01/26............................. 4,000 3,977,111
# 3.677%, 02/22/27............................. 2,000 1,962,593
Molson Coors Brewing Co.
3.000%, 07/15/26............................. 2,000 1,830,913
Monsanto Co.
# 3.375%, 07/15/24............................. 897 870,027
5.500%, 08/15/25............................. 3,984 4,308,059
Morgan Stanley
3.875%, 01/27/26............................. 3,000 2,953,947
3.625%, 01/20/27............................. 6,000 5,780,634
Mosaic Co. (The)
# 4.250%, 11/15/23............................. 1,939 1,942,211
# 4.050%, 11/15/27............................. 4,000 3,776,793
Motorola Solutions, Inc.
# 3.500%, 03/01/23............................. 1,763 1,724,869
MPLX L.P.
4.125%, 03/01/27............................. 5,000 4,873,508
MUFG Bank, Ltd.
3.250%, 09/08/24............................. 1,763 1,714,864
Mylan NV
3.950%, 06/15/26............................. 7,000 6,644,082
Mylan, Inc.
4.200%, 11/29/23............................. 2,468 2,470,542
FACE
AMOUNT VALUE+
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(000)
Nasdaq, Inc.
4.250%, 06/01/24............................. $ 1,551 $ 1,563,609
National Australia Bank, Ltd.
## 3.500%, 01/10/27............................. 14,790 14,346,493
National Oilwell Varco, Inc.
2.600%, 12/01/22............................. 6,068 5,781,200
Nationwide Building Society
## 3.900%, 07/21/25............................. 7,000 7,000,861
NextEra Energy Capital Holdings, Inc.
3.550%, 05/01/27............................. 2,000 1,919,444
NIKE, Inc.
2.375%, 11/01/26............................. 13,135 11,988,111
Noble Energy, Inc.
3.900%, 11/15/24............................. 1,426 1,415,725
# 3.850%, 01/15/28............................. 2,000 1,925,910
Nordstrom, Inc.
# 4.000%, 03/15/27............................. 4,412 4,230,770
# 6.950%, 03/15/28............................. 282 314,366
Norfolk Southern Corp.
5.640%, 05/17/29............................. 2,048 2,287,217
Novartis Capital Corp.
3.100%, 05/17/27............................. 24,278 23,243,764
Nutrien, Ltd.
3.000%, 04/01/25............................. 1,500 1,400,468
Nuveen Finance LLC
## 4.125%, 11/01/24............................. 5,360 5,374,465
O'Reilly Automotive, Inc.
3.600%, 09/01/27............................. 3,900 3,700,065
Occidental Petroleum Corp.
3.400%, 04/15/26............................. 5,280 5,160,248
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.650%, 11/01/24............................. 705 690,952
ONEOK, Inc.
4.000%, 07/13/27............................. 3,915 3,800,486
Oracle Corp.
2.650%, 07/15/26............................. 3,000 2,775,276
# 3.250%, 11/15/27............................. 22,400 21,495,081
# 3.250%, 05/15/30............................. 7,966 7,509,086
Pacific Gas & Electric Co.
3.500%, 06/15/25............................. 2,362 2,273,092
Parker-Hannifin Corp.
3.300%, 11/21/24............................. 3,356 3,319,692
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.400%, 11/15/26............................. 4,000 3,749,704
PepsiCo, Inc.
3.500%, 07/17/25............................. 4,721 4,703,659
Pernod Ricard SA
## # 3.250%, 06/08/26............................. 3,000 2,870,987
Perrigo Finance Unlimited Co.
3.900%, 12/15/24............................. 6,115 5,996,781
# 4.375%, 03/15/26............................. 3,000 2,980,166
Pfizer, Inc.
# 2.750%, 06/03/26............................. 13,770 12,924,680
3.000%, 12/15/26............................. 11,817 11,305,986
58
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Philip Morris International, Inc.
3.250%, 11/10/24............................. $ 2,179 $ 2,114,721
Phillips 66 Partners L.P.
3.550%, 10/01/26............................. 4,550 4,290,560
PNC Bank NA
3.300%, 10/30/24............................. 1,763 1,722,978
2.950%, 02/23/25............................. 4,407 4,193,084
Precision Castparts Corp.
# 3.250%, 06/15/25............................. 1,000 977,317
Principal Financial Group, Inc.
3.400%, 05/15/25............................. 1,177 1,142,502
3.100%, 11/15/26............................. 300 281,052
Procter & Gamble Co. (The)
# 2.850%, 08/11/27............................. 15,000 14,141,295
Province of Quebec Canada
7.500%, 09/15/29............................. 2,000 2,727,396
PSEG Power LLC
4.300%, 11/15/23............................. 2,122 2,157,551
QUALCOMM, Inc.
# 3.450%, 05/20/25............................. 7,026 6,723,549
Quest Diagnostics, Inc.
# 3.500%, 03/30/25............................. 582 566,367
Reinsurance Group of America, Inc.
4.700%, 09/15/23............................. 2,115 2,176,011
3.950%, 09/15/26............................. 4,358 4,277,470
Rio Tinto Finance USA, Ltd.
7.125%, 07/15/28............................. 865 1,094,823
Roche Holdings, Inc.
## 2.625%, 05/15/26............................. 13,132 12,214,271
## # 2.375%, 01/28/27............................. 7,900 7,156,852
Rockwell Automation, Inc.
2.875%, 03/01/25............................. 705 671,267
Rolls-Royce P.L.C.
## 3.625%, 10/14/25............................. 4,000 3,953,078
Royal Bank of Scotland Group P.L.C.
# 4.800%, 04/05/26............................. 1,000 1,018,965
Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27............................. 2,560 3,125,193
3.700%, 03/15/28............................. 296 278,898
Santander Holdings USA, Inc.
4.500%, 07/17/25............................. 9,000 9,059,982
# 4.400%, 07/13/27............................. 2,000 1,957,264
Sempra Energy
3.550%, 06/15/24............................. 3,596 3,538,271
3.750%, 11/15/25............................. 1,000 983,870
Shell International Finance BV
# 2.500%, 09/12/26............................. 15,600 14,432,653
Shell International Finance BV
# 2.875%, 05/10/26............................. 19,051 18,102,465
Sherwin-Williams Co. (The)
3.450%, 08/01/25............................. 5,503 5,334,035
3.950%, 01/15/26............................. 2,200 2,199,921
Siemens Financieringsmaatschappij NV
## 6.125%, 08/17/26............................. 2,080 2,422,767
FACE
AMOUNT VALUE+
------ ------
(000)
Solvay Finance America LLC
## 4.450%, 12/03/25............................. $ 3,000 $ 3,069,796
Southern California Edison Co.
6.650%, 04/01/29............................. 525 633,843
Southern Power Co.
4.150%, 12/01/25............................. 2,000 2,021,206
Southwest Airlines Co.
3.000%, 11/15/26............................. 2,000 1,875,600
Spectra Energy Partners L.P.
4.750%, 03/15/24............................. 2,563 2,628,148
StanCorp Financial Group, Inc.
5.000%, 08/15/22............................. 1,763 1,844,905
Standard Chartered P.L.C.
## 4.050%, 04/12/26............................. 1,962 1,913,478
State Street Corp.
3.300%, 12/16/24............................. 7,551 7,425,236
Statoil ASA
## # 6.500%, 12/01/28............................. 5,000 6,069,628
Stryker Corp.
3.375%, 05/15/24............................. 282 278,092
3.375%, 11/01/25............................. 6,000 5,865,504
Sumitomo Mitsui Financial Group, Inc.
3.784%, 03/09/26............................. 4,000 3,958,653
# 3.544%, 01/17/28............................. 6,000 5,808,497
Suncor Energy, Inc.
3.600%, 12/01/24............................. 4,007 3,949,921
Sysco Corp.
3.750%, 10/01/25............................. 700 695,742
3.300%, 07/15/26............................. 12,345 11,787,853
Tapestry, Inc.
# 4.250%, 04/01/25............................. 8,534 8,383,370
Target Corp.
# 2.500%, 04/15/26............................. 9,730 8,876,535
TD Ameritrade Holding Corp.
3.625%, 04/01/25............................. 3,526 3,510,380
TechnipFMC P.L.C.
## 3.450%, 10/01/22............................. 1,741 1,690,849
Telefonica Europe BV
8.250%, 09/15/30............................. 7,275 9,712,179
Thomson Reuters Corp.
4.300%, 11/23/23............................. 2,820 2,855,193
3.850%, 09/29/24............................. 365 357,781
Time Warner, Inc.
3.550%, 06/01/24............................. 2,468 2,411,216
3.600%, 07/15/25............................. 3,500 3,380,362
3.800%, 02/15/27............................. 2,000 1,933,276
TJX Cos., Inc. (The)
2.250%, 09/15/26............................. 1,975 1,759,260
Total System Services, Inc.
4.800%, 04/01/26............................. 5,970 6,202,916
Toyota Motor Credit Corp.
3.200%, 01/11/27............................. 20,213 19,515,517
3.050%, 01/11/28............................. 14,430 13,691,991
Travelers Property Casualty Corp.
6.375%, 03/15/33............................. 375 465,455
59
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
UBS Group Funding Switzerland AG
## 4.125%, 09/24/25............................. $9,500 $ 9,444,137
UniCredit SpA
## 4.625%, 04/12/27............................. 1,000 999,063
Union Pacific Corp.
3.250%, 01/15/25............................. 8,761 8,586,761
United Technologies Corp.
7.500%, 09/15/29............................. 5,114 6,551,888
UnitedHealth Group, Inc.
# 3.750%, 07/15/25............................. 5,333 5,327,298
Unum Group
4.000%, 03/15/24............................. 705 706,902
3.875%, 11/05/25............................. 9,000 8,728,714
Valero Energy Corp.
7.500%, 04/15/32............................. 1,500 1,935,227
Verizon Communications, Inc.
# 3.500%, 11/01/24............................. 3,500 3,436,988
# 3.376%, 02/15/25............................. 4,916 4,772,220
# 4.125%, 03/16/27............................. 3,200 3,192,837
Viacom, Inc.
4.250%, 09/01/23............................. 353 354,843
# 3.875%, 04/01/24............................. 3,711 3,632,927
Visa, Inc.
3.150%, 12/14/25............................. 2,250 2,191,957
Vodafone Group P.L.C.
7.875%, 02/15/30............................. 8,125 10,358,676
Walgreens Boots Alliance, Inc.
3.450%, 06/01/26............................. 9,000 8,434,371
Walt Disney Co. (The)
# 3.150%, 09/17/25............................. 3,526 3,456,740
WEC Energy Group, Inc.
3.550%, 06/15/25............................. 6,200 6,085,004
Wells Fargo & Co.
3.000%, 02/19/25............................. 3,526 3,309,833
3.000%, 04/22/26............................. 5,000 4,613,000
Westpac Banking Corp.
2.850%, 05/13/26............................. 1,500 1,389,641
FACE
AMOUNT VALUE+
------ ------
(000)
2.700%, 08/19/26............................. $ 10,595 $ 9,692,257
3.350%, 03/08/27............................. 7,000 6,694,262
WestRock MWV LLC
8.200%, 01/15/30............................. 4,885 6,542,351
7.950%, 02/15/31............................. 3,112 4,128,952
Whirlpool Corp.
3.700%, 05/01/25............................. 2,468 2,430,621
Williams Partners L.P.
4.000%, 09/15/25............................. 3,000 2,913,468
3.750%, 06/15/27............................. 2,771 2,604,000
Wisconsin Electric Power Co.
3.100%, 06/01/25............................. 1,763 1,704,031
Wyndham Worldwide Corp.
# 3.900%, 03/01/23............................. 3,904 3,698,402
Xerox Corp.
# 3.800%, 05/15/24............................. 2,276 2,204,936
Zimmer Biomet Holdings, Inc.
3.550%, 04/01/25............................. 3,000 2,887,234
Zoetis, Inc.
3.000%, 09/12/27............................. 1,500 1,386,472
--------------
TOTAL BONDS........................................ 1,736,528,056
--------------
U.S. TREASURY OBLIGATIONS -- (1.0%)
U.S. Treasury Bonds
5.375%, 02/15/31............................. 15,200 19,071,844
--------------
TOTAL INVESTMENT SECURITIES........................ 1,825,315,340
--------------
SHARES
------ -
SECURITIES LENDING COLLATERAL -- (8.7%)
(S)@ DFA Short Term Investment Fund............... 15,060,577 174,250,875
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,078,088,527)............................ $1,999,566,215
==============
Summary of the Portfolio's investments as of April 30, 2018, 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............ -- $ 69,715,440 -- $ 69,715,440
Bonds......................... -- 1,736,528,056 -- 1,736,528,056
U.S. Treasury Obligations..... -- 19,071,844 -- 19,071,844
Securities Lending Collateral. -- 174,250,875 -- 174,250,875
-- -------------- -- --------------
TOTAL......................... -- $1,999,566,215 -- $1,999,566,215
== ============== == ==============
See accompanying Notes to Financial Statements.
60
DFA TARGETED CREDIT PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (92.6%)
AUSTRALIA -- (2.9%)
Australia & New Zealand Banking Group, Ltd.
2.625%, 05/19/22............................. 1,000 $ 969,868
BHP Billiton Finance USA, Ltd.
2.875%, 02/24/22............................. 929 917,850
BHP Billiton Finance, Ltd.
0.750%, 10/28/22............................. EUR 2,554 3,127,651
Commonwealth Bank of Australia
## 2.750%, 03/10/22............................. 991 966,423
FMG Resources August 2006 Pty, Ltd.
# 4.750%, 05/15/22............................. 1,300 1,288,950
Macquarie Group, Ltd.
## 6.000%, 01/14/20............................. 1,150 1,199,188
National Australia Bank, Ltd.
2.800%, 01/10/22............................. 1,000 980,192
2.500%, 05/22/22............................. 5,500 5,306,369
Origin Energy Finance, Ltd.
## 3.500%, 10/09/18............................. 835 835,585
Westpac Banking Corp.
2.500%, 06/28/22............................. 2,500 2,406,991
-----------
TOTAL AUSTRALIA.................................. 17,999,067
-----------
BELGIUM -- (0.6%)
Anheuser-Busch InBev SA
0.875%, 03/17/22............................. EUR 3,272 4,039,261
-----------
CANADA -- (4.7%)
Bank of Montreal
# 1.900%, 08/27/21............................. 1,000 956,880
Bank of Nova Scotia (The)
4.375%, 01/13/21............................. 1,300 1,339,662
2.700%, 03/07/22............................. 2,000 1,948,805
0.375%, 04/06/22............................. EUR 1,000 1,204,242
Canadian Imperial Bank of Commerce
2.550%, 06/16/22............................. 2,000 1,930,743
2.300%, 07/11/22............................. CAD 3,000 2,286,888
Canadian National Railway Co.
2.850%, 12/15/21............................. 565 560,363
Canadian Natural Resources, Ltd.
3.450%, 11/15/21............................. 2,800 2,800,700
Cenovus Energy, Inc.
5.700%, 10/15/19............................. 800 824,400
3.000%, 08/15/22............................. 800 765,812
Enbridge, Inc.
2.900%, 07/15/22............................. 2,167 2,092,126
3.190%, 12/05/22............................. CAD 1,000 774,859
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Goldcorp, Inc.
3.625%, 06/09/21............................. 1,700 $ 1,700,252
Husky Energy, Inc.
7.250%, 12/15/19............................. 925 982,012
Kinross Gold Corp.
# 5.125%, 09/01/21............................. 1,250 1,280,050
Province of Ontario Canada
2.250%, 05/18/22............................. 1,000 965,571
Rogers Communications, Inc.
4.000%, 06/06/22............................. CAD 2,500 2,026,909
Teck Resources, Ltd.
4.750%, 01/15/22............................. 1,000 1,014,380
3.750%, 02/01/23............................. 1,000 968,750
Toronto-Dominion Bank (The)
2.125%, 04/07/21............................. 1,000 970,561
# 1.800%, 07/13/21............................. 1,000 956,930
Videotron, Ltd.
# 5.000%, 07/15/22............................. 1,350 1,378,687
-----------
TOTAL CANADA....................................... 29,729,582
-----------
DENMARK -- (0.5%)
AP Moeller - Maersk A.S.
## 2.875%, 09/28/20............................. 1,000 987,060
Danske Bank A.S.
## 2.750%, 09/17/20............................. 1,500 1,482,160
## 2.800%, 03/10/21............................. 700 690,367
-----------
TOTAL DENMARK...................................... 3,159,587
-----------
FINLAND -- (0.3%)
Nokia Oyj
3.375%, 06/12/22............................. 1,728 1,668,384
-----------
FRANCE -- (3.7%)
Air Liquide Finance SA
0.500%, 06/13/22............................. EUR 3,700 4,505,195
BNP Paribas SA
5.000%, 01/15/21............................. 531 556,955
0.500%, 06/01/22............................. EUR 2,800 3,398,348
BPCE SA
# 2.650%, 02/03/21............................. 700 687,261
2.750%, 12/02/21............................. 1,000 976,078
1.125%, 12/14/22............................. EUR 1,200 1,491,802
Danone SA
## # 2.077%, 11/02/21............................. 2,770 2,651,666
Electricite de France SA
3.875%, 01/18/22............................. EUR 1,200 1,640,412
Orange SA
5.375%, 07/08/19............................. 200 205,558
# 4.125%, 09/14/21............................. 900 926,390
Pernod Ricard SA
## 5.750%, 04/07/21............................. 2,000 2,131,700
61
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
FRANCE -- (Continued)
Societe Generale SA
## 2.625%, 09/16/20............................. 1,000 $ 985,821
## 2.500%, 04/08/21............................. 1,000 974,805
4.250%, 07/13/22............................. EUR 1,500 2,101,354
-----------
TOTAL FRANCE....................................... 23,233,345
-----------
GERMANY -- (4.1%)
BMW Finance NV
1.250%, 09/05/22............................. EUR 600 751,658
BMW US Capital LLC
## # 2.000%, 04/11/21............................. 2,335 2,251,399
0.625%, 04/20/22............................. EUR 750 917,231
Daimler Canada Finance, Inc.
2.230%, 12/16/21............................. CAD 2,000 1,521,212
Daimler Finance North America LLC
## 2.850%, 01/06/22............................. 2,500 2,442,950
Deutsche Bank AG
2.950%, 08/20/20............................. 1,000 984,050
3.125%, 01/13/21............................. 500 490,917
1.500%, 01/20/22............................. EUR 1,700 2,086,203
Deutsche Telekom International Finance BV
## 1.950%, 09/19/21............................. 1,500 1,432,554
4.250%, 07/13/22............................. EUR 800 1,122,565
EMD Finance LLC
## 2.950%, 03/19/22............................. 3,288 3,219,906
Siemens Financieringsmaatschappij NV
## 1.700%, 09/15/21............................. 1,000 953,050
2.900%, 05/27/22............................. 1,500 1,474,339
T-Mobile USA, Inc.
# 4.000%, 04/15/22............................. 1,239 1,238,226
Volkswagen Leasing GmbH
2.125%, 04/04/22............................. EUR 900 1,151,583
2.375%, 09/06/22............................. EUR 1,800 2,326,302
ZF North America Capital, Inc.
## 4.500%, 04/29/22............................. 1,099 1,121,530
-----------
TOTAL GERMANY...................................... 25,485,675
-----------
IRELAND -- (1.8%)
Allergan Finance LLC
3.250%, 10/01/22............................. 1,000 968,469
Allergan Funding SCS
3.450%, 03/15/22............................. 3,000 2,949,080
Eaton Corp.
2.750%, 11/02/22............................. 1,500 1,452,659
Ireland Government Bond
0.0%, 10/18/22............................... EUR 3,900 4,695,500
Perrigo Finance Unlimited Co.
3.500%, 03/15/21............................. 1,180 1,175,314
-----------
TOTAL IRELAND...................................... 11,241,022
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
ITALY -- (1.4%)
Enel Finance International NV
5.000%, 09/14/22............................. EUR 622 $ 899,775
Intesa Sanpaolo SpA
# 3.875%, 01/15/19............................. 475 477,684
0.875%, 06/27/22............................. EUR 1,000 1,217,699
## # 3.125%, 07/14/22............................. 2,000 1,926,740
Italy Buoni Poliennali Del Tesoro
1.200%, 04/01/22............................. EUR 2,820 3,516,448
0.950%, 03/01/23............................. EUR 400 490,092
-----------
TOTAL ITALY........................................ 8,528,438
-----------
JAPAN -- (4.3%)
Beam Suntory, Inc.
1.750%, 06/15/18............................. 200 199,764
Daiwa Securities Group, Inc.
## 3.129%, 04/19/22............................. 1,500 1,468,765
Honda Canada Finance, Inc.
2.268%, 07/15/22............................. CAD 5,500 4,185,346
Japan Bank for International Cooperation
2.000%, 11/04/21............................. 2,000 1,926,110
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 800 781,203
2.953%, 02/28/22............................. 3,500 3,417,905
MUFG Bank, Ltd.
0.875%, 03/11/22............................. EUR 2,068 2,539,166
Nissan Motor Acceptance Corp.
## 2.550%, 03/08/21............................. 1,100 1,076,413
## 2.650%, 07/13/22............................. 1,000 963,583
## 2.600%, 09/28/22............................. 1,000 959,377
SoftBank Group Corp.
## 4.500%, 04/15/20............................. 1,510 1,549,637
Sumitomo Mitsui Banking Corp.
1.000%, 01/19/22............................. EUR 1,000 1,234,191
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 1,000 960,946
Toyota Motor Credit Corp.
2.600%, 01/11/22............................. 5,776 5,653,460
-----------
TOTAL JAPAN........................................ 26,915,866
-----------
LUXEMBOURG -- (0.2%)
ArcelorMittal
5.125%, 06/01/20............................. 1,243 1,280,290
-----------
NETHERLANDS -- (1.5%)
Heineken NV
## # 3.400%, 04/01/22............................. 1,011 1,014,493
ING Bank NV
## 2.750%, 03/22/21............................. 1,500 1,479,486
4.500%, 02/21/22............................. EUR 1,000 1,400,694
62
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
NETHERLANDS -- (Continued)
ING Groep NV
0.750%, 03/09/22............................. EUR 1,600 $ 1,950,329
LyondellBasell Industries NV
# 6.000%, 11/15/21............................. 1,677 1,802,472
Mylan NV
3.750%, 12/15/20............................. 885 887,710
Shell International Finance BV
# 1.875%, 05/10/21............................. 1,000 968,154
-----------
TOTAL NETHERLANDS................................ 9,503,338
-----------
SPAIN -- (1.7%)
Banco Santander SA
3.848%, 04/12/23............................. 3,000 2,976,136
Iberdrola Finance Ireland DAC
## 5.000%, 09/11/19............................. 99 101,420
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 800 790,568
Santander UK Group Holdings P.L.C.
2.875%, 08/05/21............................. 1,000 977,809
Santander UK P.L.C.
2.375%, 03/16/20............................. 130 128,312
Spain Government Bond
0.450%, 10/31/22............................. EUR 3,000 3,663,247
Telefonica Emisiones SAU
5.134%, 04/27/20............................. 200 207,814
5.462%, 02/16/21............................. 1,185 1,253,230
2.242%, 05/27/22............................. EUR 400 518,157
-----------
TOTAL SPAIN...................................... 10,616,693
-----------
SWEDEN -- (0.3%)
Telefonaktiebolaget LM Ericsson
# 4.125%, 05/15/22............................. 2,000 1,979,853
-----------
SWITZERLAND -- (0.6%)
ABB Finance USA, Inc.
2.875%, 05/08/22............................. 500 490,994
Credit Suisse AG
3.000%, 10/29/21............................. 1,457 1,441,767
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22............................. EUR 1,600 1,974,493
-----------
TOTAL SWITZERLAND................................ 3,907,254
-----------
UNITED KINGDOM -- (5.8%)
Anglo American Capital P.L.C.
## 4.125%, 04/15/21............................. 200 201,656
3.500%, 03/28/22............................. EUR 1,800 2,401,633
## 3.750%, 04/10/22............................. 1,000 990,730
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED KINGDOM -- (Continued)
Aon P.L.C.
2.800%, 03/15/21............................. 1,500 $ 1,472,655
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 2,250 2,212,498
2.375%, 06/12/22............................. 1,500 1,437,493
BAE Systems Holdings, Inc.
## 2.850%, 12/15/20............................. 1,650 1,630,540
Barclays P.L.C.
2.750%, 11/08/19............................. 1,000 993,117
1.500%, 04/01/22............................. EUR 1,100 1,364,397
BAT International Finance P.L.C.
3.625%, 11/09/21............................. EUR 700 938,350
1.000%, 05/23/22............................. EUR 1,333 1,630,401
## # 3.250%, 06/07/22............................. 1,000 983,245
Baxalta, Inc.
2.875%, 06/23/20............................. 400 395,848
BP Capital Markets P.L.C.
# 3.561%, 11/01/21............................. 2,000 2,025,684
1.373%, 03/03/22............................. EUR 2,146 2,692,523
British Telecommunications P.L.C.
0.500%, 06/23/22............................. EUR 3,100 3,737,105
CNH Industrial Capital LLC
3.875%, 10/15/21............................. 1,000 1,002,580
# 4.375%, 04/05/22............................. 250 253,750
Coca-Cola European Partners P.L.C.
0.750%, 02/24/22............................. EUR 1,846 2,258,837
Coca-Cola European Partners US LLC
4.500%, 09/01/21............................. 270 278,646
GlaxoSmithKline Capital P.L.C.
# 2.850%, 05/08/22............................. 1,000 984,029
HSBC Holdings P.L.C.
4.000%, 03/30/22............................. 700 714,018
Lloyds Banking Group P.L.C.
3.100%, 07/06/21............................. 1,000 992,507
# 3.000%, 01/11/22............................. 600 588,503
Sky P.L.C.
## 2.625%, 09/16/19............................. 750 745,793
TechnipFMC P.L.C.
## 3.450%, 10/01/22............................. 1,000 971,194
Unilever NV
0.500%, 02/03/22............................. EUR 1,125 1,370,415
Vodafone Group P.L.C.
2.500%, 09/26/22............................. 1,000 953,118
-----------
TOTAL UNITED KINGDOM............................... 36,221,265
-----------
UNITED STATES -- (58.2%)
Abbott Laboratories
4.125%, 05/27/20............................. $ 1,000 1,019,915
63
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
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(000)
UNITED STATES -- (Continued)
AbbVie, Inc.
# 2.900%, 11/06/22............................. 2,500 $2,433,086
Activision Blizzard, Inc.
2.600%, 06/15/22............................. 600 579,119
Advance Auto Parts, Inc.
5.750%, 05/01/20............................. 985 1,029,594
Aetna, Inc.
4.125%, 06/01/21............................. 916 933,543
Agilent Technologies, Inc.
# 5.000%, 07/15/20............................. 435 452,257
Ally Financial, Inc.
7.500%, 09/15/20............................. 500 541,250
# 4.125%, 02/13/22............................. 850 844,687
Altria Group, Inc.
2.850%, 08/09/22............................. 2,000 1,948,217
Amazon.com, Inc.
# 3.300%, 12/05/21............................. 1,000 1,007,300
Ameren Corp.
2.700%, 11/15/20............................. 1,525 1,504,019
American Express Co.
2.500%, 08/01/22............................. 2,500 2,397,947
American Express Credit Corp.
# 2.250%, 05/05/21............................. 1,000 974,279
0.625%, 11/22/21............................. EUR 700 853,579
American International Group, Inc.
4.875%, 06/01/22............................. 1,750 1,830,138
AmerisourceBergen Corp.
3.500%, 11/15/21............................. 1,257 1,259,426
Amgen, Inc.
4.100%, 06/15/21............................. 1,000 1,023,058
1.250%, 02/25/22............................. EUR 1,500 1,868,176
Andeavor Logistics L.P. / Tesoro Logistics
Finance Corp.
5.500%, 10/15/19............................. 500 514,350
Anixter, Inc.
5.125%, 10/01/21............................. 1,175 1,204,375
Anthem, Inc.
3.125%, 05/15/22............................. 3,000 2,933,173
Anthem, Inc.
4.350%, 08/15/20............................. 200 205,123
Apache Corp.
3.250%, 04/15/22............................. 2,359 2,327,685
2.625%, 01/15/23............................. 500 475,007
Apple, Inc.
2.300%, 05/11/22............................. 500 484,378
2.100%, 09/12/22............................. 2,000 1,916,940
Arconic, Inc.
# 5.870%, 02/23/22............................. 1,200 1,249,500
Arrow Electronics, Inc.
3.500%, 04/01/22............................. 700 687,540
Ashland LLC
# 4.750%, 08/15/22............................. 1,920 1,936,800
FACE
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(000)
UNITED STATES -- (Continued)
AT&T, Inc.
# 4.600%, 02/15/21............................. 600 $ 618,352
5.000%, 03/01/21............................. 1,200 1,255,306
3.875%, 08/15/21............................. 300 304,914
1.450%, 06/01/22............................. EUR 400 500,355
Autodesk, Inc.
3.125%, 06/15/20............................. 750 747,165
AutoZone, Inc.
2.500%, 04/15/21............................. 1,695 1,659,638
Avnet, Inc.
4.875%, 12/01/22............................. 3,000 3,087,629
Baker Hughes a GE Co. LLC
3.200%, 08/15/21............................. 309 309,535
Ball Corp.
4.375%, 12/15/20............................. 500 508,125
5.000%, 03/15/22............................. 750 777,187
Bank of America Corp.
# 2.625%, 10/19/20............................. 120 118,565
5.700%, 01/24/22............................. 1,000 1,081,698
3.228%, 06/22/22............................. CAD 1,000 785,677
1.625%, 09/14/22............................. EUR 1,050 1,321,416
Bank of New York Mellon Corp. (The)
2.450%, 11/27/20............................. 301 296,538
2.600%, 02/07/22............................. 1,000 976,571
Baxter International, Inc.
1.700%, 08/15/21............................. 1,500 1,422,971
BB&T Corp.
2.750%, 04/01/22............................. 2,000 1,955,019
Becton Dickinson and Co.
# 3.125%, 11/08/21............................. 2,700 2,655,865
Bemis Co., Inc.
4.500%, 10/15/21............................. 500 516,514
Best Buy Co., Inc.
# 5.500%, 03/15/21............................. 2,000 2,101,295
Biogen, Inc.
3.625%, 09/15/22............................. 2,000 1,999,983
Booking Holdings, Inc.
0.800%, 03/10/22............................. EUR 2,900 3,541,549
Boston Scientific Corp.
3.375%, 05/15/22............................. 2,500 2,478,625
Burlington Northern Santa Fe LLC
3.450%, 09/15/21............................. 1,000 1,005,277
CA, Inc.
5.375%, 12/01/19............................. 700 724,931
Capital One Financial Corp.
# 4.750%, 07/15/21............................. 1,900 1,973,853
3.200%, 01/30/23............................. 2,000 1,938,685
Carpenter Technology Corp.
5.200%, 07/15/21............................. 1,420 1,462,832
Caterpillar Financial Services Corp.
1.700%, 08/09/21............................. 1,000 955,262
64
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
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(000)
UNITED STATES -- (Continued)
Caterpillar, Inc.
# 3.900%, 05/27/21............................. 1,000 $1,023,053
CBS Corp.
3.375%, 03/01/22............................. 1,000 990,540
Celgene Corp.
3.550%, 08/15/22............................. 2,371 2,352,849
Charles Schwab Corp. (The)
4.450%, 07/22/20............................. 200 206,023
Chevron Corp.
2.100%, 05/16/21............................. 657 640,813
2.498%, 03/03/22............................. 1,000 979,099
Choice Hotels International, Inc.
5.750%, 07/01/22............................. 1,350 1,427,625
Church & Dwight Co., Inc.
2.875%, 10/01/22............................. 2,000 1,955,025
Cigna Corp.
4.000%, 02/15/22............................. 2,400 2,434,781
CIT Group, Inc.
5.375%, 05/15/20............................. 542 559,615
Citigroup, Inc.
2.700%, 03/30/21............................. 1,100 1,082,371
1.375%, 10/27/21............................. EUR 400 500,381
3.390%, 11/18/21............................. CAD 2,000 1,583,457
Citizens Bank NA
# 2.550%, 05/13/21............................. 1,600 1,565,137
2.650%, 05/26/22............................. 1,000 965,839
CMS Energy Corp.
5.050%, 03/15/22............................. 500 525,578
CNA Financial Corp.
5.875%, 08/15/20............................. 515 544,022
5.750%, 08/15/21............................. 720 766,988
CNO Financial Group, Inc.
4.500%, 05/30/20............................. 1,400 1,407,000
Comcast Corp.
3.125%, 07/15/22............................. 1,000 992,883
Conagra Brands, Inc.
3.200%, 01/25/23............................. 1,643 1,612,121
Consolidated Edison, Inc.
2.000%, 05/15/21............................. 1,860 1,792,473
Constellation Brands, Inc.
2.700%, 05/09/22............................. 2,475 2,389,138
Corning, Inc.
4.250%, 08/15/20............................. 1,000 1,021,685
Cox Communications, Inc.
## 3.250%, 12/15/22............................. 2,192 2,137,093
CVS Health Corp.
2.800%, 07/20/20............................. 500 496,917
4.125%, 05/15/21............................. 800 816,993
2.125%, 06/01/21............................. 500 482,406
2.750%, 12/01/22............................. 1,000 960,418
DCP Midstream Operating L.P.
# 4.950%, 04/01/22............................. 1,200 1,218,000
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(000)
UNITED STATES -- (Continued)
Dell, Inc.
4.625%, 04/01/21............................. 500 $ 505,625
DH Europe Finance SA
1.700%, 01/04/22............................. EUR 1,600 2,025,475
Discovery Communications LLC
5.625%, 08/15/19............................. 398 410,828
## 2.750%, 11/15/19............................. 575 571,665
## 2.800%, 06/15/20............................. 550 543,625
# 4.375%, 06/15/21............................. 2,176 2,219,970
Dominion Energy, Inc.
4.450%, 03/15/21............................. 850 872,081
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 1,387 1,420,341
Dr Pepper Snapple Group, Inc.
2.700%, 11/15/22............................. 1,000 950,810
DTE Energy Co.
2.400%, 12/01/19............................. 700 690,451
Duke Energy Corp.
2.400%, 08/15/22............................. 1,775 1,692,744
E*TRADE Financial Corp.
2.950%, 08/24/22............................. 3,500 3,390,603
Eastman Chemical Co.
4.500%, 01/15/21............................. 34 34,937
eBay, Inc.
# 2.875%, 08/01/21............................. 1,500 1,477,647
2.600%, 07/15/22............................. 500 481,344
2.750%, 01/30/23............................. 416 399,636
Ecolab, Inc.
4.350%, 12/08/21............................. 1,224 1,269,831
2.375%, 08/10/22............................. 1,175 1,131,530
Edgewell Personal Care Co.
# 4.700%, 05/24/22............................. 850 828,410
Edgewell Personal Care Co.
# 4.700%, 05/19/21............................. 900 891,090
Edison International
2.400%, 09/15/22............................. 2,454 2,326,788
Electronic Arts, Inc.
3.700%, 03/01/21............................. 1,962 1,982,498
EMC Corp.
2.650%, 06/01/20............................. 1,000 974,261
Energy Transfer Partners L.P.
# 3.600%, 02/01/23............................. 2,500 2,429,636
Enterprise Products Operating LLC
# 5.250%, 01/31/20............................. 400 414,516
2.850%, 04/15/21............................. 1,500 1,478,977
Eversource Energy
2.500%, 03/15/21............................. 900 882,734
Exelon Corp.
5.150%, 12/01/20............................. 300 310,405
65
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
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(000)
UNITED STATES -- (Continued)
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 150 $ 149,456
# 4.000%, 10/01/20............................. 1,000 1,013,975
# 3.400%, 03/15/22............................. 1,000 990,832
4.250%, 06/15/22............................. 500 511,836
Express Scripts Holding Co.
# 3.300%, 02/25/21............................. 2,000 1,989,891
3.900%, 02/15/22............................. 500 501,865
Fidelity National Information Services, Inc.
2.250%, 08/15/21............................. 2,000 1,928,220
Fifth Third Bancorp
3.500%, 03/15/22............................. 2,000 1,998,284
Ford Credit Canada Co.
2.766%, 06/22/22............................. CAD 2,500 1,896,783
Ford Motor Credit Co. LLC
3.200%, 01/15/21............................. 800 792,759
3.336%, 03/18/21............................. 1,500 1,488,996
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20............................. 500 495,573
Gap, Inc. (The)
# 5.950%, 04/12/21............................. 1,296 1,363,494
GATX Corp.
2.500%, 07/30/19............................. 500 495,845
General Electric Co.
0.375%, 05/17/22............................. EUR 3,000 3,601,280
# 2.700%, 10/09/22............................. 1,500 1,447,008
General Mills, Inc.
3.150%, 12/15/21............................. 985 976,268
General Motors Financial Co., Inc.
# 3.200%, 07/06/21............................. 2,800 2,766,554
3.450%, 01/14/22............................. 800 791,133
Gilead Sciences, Inc.
# 4.400%, 12/01/21............................. 2,005 2,080,927
Goldman Sachs Group, Inc. (The)
5.375%, 03/15/20............................. 500 520,521
2.625%, 04/25/21............................. 1,000 978,703
5.250%, 07/27/21............................. 750 792,879
5.750%, 01/24/22............................. 957 1,029,650
Graphic Packaging International LLC
4.750%, 04/15/21............................. 1,210 1,222,100
Great Plains Energy, Inc.
4.850%, 06/01/21............................. 915 943,495
Harley-Davidson Financial Services, Inc.
## 2.550%, 06/09/22............................. 3,000 2,864,754
Harris Corp.
2.700%, 04/27/20............................. 1,570 1,556,794
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22............................. 400 423,773
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(000)
UNITED STATES -- (Continued)
Hasbro, Inc.
3.150%, 05/15/21............................. 1,384 $1,377,217
Hewlett Packard Enterprise Co.
3.600%, 10/15/20............................. 236 237,680
Huntington Bancshares, Inc.
3.150%, 03/14/21............................. 1,500 1,493,363
2.300%, 01/14/22............................. 400 384,404
Huntington National Bank (The)
2.400%, 04/01/20............................. 500 493,192
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 400 414,065
International Business Machines Corp.
0.500%, 09/07/21............................. EUR 700 854,683
JPMorgan Chase & Co.
2.550%, 10/29/20............................. 400 394,195
2.750%, 08/24/22............................. EUR 2,868 3,790,791
Kellogg Co.
4.000%, 12/15/20............................. 800 816,821
0.800%, 11/17/22............................. EUR 2,500 3,038,755
KeyBank NA
2.300%, 09/14/22............................. 550 525,275
KeyCorp
2.900%, 09/15/20............................. 700 695,030
Kraft Heinz Foods Co.
3.500%, 06/06/22............................. 2,900 2,884,768
Kroger Co. (The)
3.300%, 01/15/21............................. 1,167 1,167,836
3.400%, 04/15/22............................. 975 968,036
# 2.800%, 08/01/22............................. 1,500 1,450,483
L Brands, Inc.
5.625%, 02/15/22............................. 1,450 1,504,520
L3 Technologies, Inc.
4.750%, 07/15/20............................. 1,000 1,034,086
4.950%, 02/15/21............................. 164 170,054
Laboratory Corp. of America Holdings
3.200%, 02/01/22............................. 900 887,644
Legg Mason, Inc.
2.700%, 07/15/19............................. 823 818,520
Leidos Holdings, Inc.
4.450%, 12/01/20............................. 1,100 1,102,750
Lennar Corp.
## 6.625%, 05/01/20............................. 600 630,000
## 8.375%, 01/15/21............................. 500 553,750
4.125%, 01/15/22............................. 1,400 1,394,750
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 2,400 2,495,504
## 4.950%, 05/01/22............................. 615 642,961
Lincoln National Corp.
6.250%, 02/15/20............................. 300 315,442
4.850%, 06/24/21............................. 880 919,154
66
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
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(000)
UNITED STATES -- (Continued)
Lowe's Cos., Inc.
3.750%, 04/15/21............................. 2,000 $2,039,495
Macy's Retail Holdings, Inc.
# 3.450%, 01/15/21............................. 1,500 1,489,652
Manufacturers & Traders Trust Co.
2.500%, 05/18/22............................. 2,300 2,218,192
Marathon Petroleum Corp.
3.400%, 12/15/20............................. 2,100 2,108,002
Marriott International, Inc.
2.875%, 03/01/21............................. 800 791,938
Marsh & McLennan Cos., Inc.
2.750%, 01/30/22............................. 2,260 2,203,062
Mattel, Inc.
2.350%, 05/06/19............................. 800 784,000
# 2.350%, 08/15/21............................. 1,900 1,704,870
Mead Johnson Nutrition Co.
# 3.000%, 11/15/20............................. 919 916,620
Meritage Homes Corp.
7.150%, 04/15/20............................. 1,300 1,378,000
MetLife, Inc.
# 4.750%, 02/08/21............................. 1,441 1,498,501
MGM Resorts International
# 7.750%, 03/15/22............................. 1,500 1,663,125
Molson Coors Brewing Co.
2.100%, 07/15/21............................. 2,000 1,916,444
Mondelez International Holdings Netherlands BV
## 2.000%, 10/28/21............................. 3,000 2,856,129
Morgan Stanley
2.500%, 04/21/21............................. 1,000 976,958
5.500%, 07/28/21............................. 200 212,500
3.125%, 08/05/21............................. CAD 1,600 1,254,965
# 2.625%, 11/17/21............................. 1,500 1,459,859
Mosaic Co. (The)
3.750%, 11/15/21............................. 2,000 1,995,246
Murphy Oil Corp.
4.000%, 06/01/22............................. 500 488,750
National Oilwell Varco, Inc.
# 2.600%, 12/01/22............................. 1,500 1,429,104
NetApp, Inc.
3.375%, 06/15/21............................. 2,000 1,988,404
Newfield Exploration Co.
# 5.750%, 01/30/22............................. 1,900 1,995,000
Newmont Mining Corp.
3.500%, 03/15/22............................. 1,000 994,961
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21............................. 1,000 1,030,039
Noble Energy, Inc.
4.150%, 12/15/21............................. 1,676 1,703,511
Nordstrom, Inc.
4.750%, 05/01/20............................. 1,000 1,028,391
# 4.000%, 10/15/21............................. 1,000 1,011,998
FACE
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(000)
UNITED STATES -- (Continued)
Northrop Grumman Corp.
2.550%, 10/15/22............................. 3,000 $2,889,895
NuStar Logistics L.P.
6.750%, 02/01/21............................. 1,083 1,123,612
NVIDIA Corp.
2.200%, 09/16/21............................. 993 963,442
Occidental Petroleum Corp.
3.125%, 02/15/22............................. 476 474,529
Omnicom Group, Inc.
3.625%, 05/01/22............................. 1,400 1,400,920
ONEOK, Inc.
4.250%, 02/01/22............................. 1,066 1,083,909
Oracle Corp.
# 2.500%, 05/15/22............................. 4,250 4,147,280
2.500%, 10/15/22............................. 1,951 1,893,878
Pacific Gas & Electric Co.
3.500%, 10/01/20............................. 500 501,062
4.250%, 05/15/21............................. 797 813,565
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.375%, 02/01/22............................. 2,104 2,081,775
## 4.250%, 01/17/23............................. 1,209 1,233,569
Philip Morris International, Inc.
2.375%, 08/17/22............................. 2,291 2,195,886
2.500%, 08/22/22............................. 2,000 1,923,956
Phillips 66
4.300%, 04/01/22............................. 1,500 1,552,202
Plains All American Pipeline L.P. / PAA Finance
Corp.
2.850%, 01/31/23............................. 1,500 1,405,257
PNC Bank NA
2.550%, 12/09/21............................. 1,000 973,968
PolyOne Corp.
# 5.250%, 03/15/23............................. 1,400 1,433,250
Procter & Gamble Co. (The)
2.150%, 08/11/22............................. 1,500 1,444,559
Progress Energy, Inc.
4.400%, 01/15/21............................. 1,100 1,126,025
PulteGroup, Inc.
# 4.250%, 03/01/21............................. 1,475 1,482,522
QEP Resources, Inc.
# 5.375%, 10/01/22............................. 1,500 1,500,000
QUALCOMM, Inc.
3.000%, 05/20/22............................. 1,145 1,116,579
2.600%, 01/30/23............................. 1,800 1,703,497
Quest Diagnostics, Inc.
2.700%, 04/01/19............................. 200 199,993
Radian Group, Inc.
7.000%, 03/15/21............................. 1,205 1,289,350
Regions Financial Corp.
3.200%, 02/08/21............................. 1,300 1,294,155
2.750%, 08/14/22............................. 1,000 964,018
Republic Services, Inc.
3.550%, 06/01/22............................. 1,000 1,000,540
Reynolds American, Inc.
6.875%, 05/01/20............................. 500 534,255
67
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Rockies Express Pipeline LLC
## 5.625%, 04/15/20............................. 1,100 $1,138,841
Rockwell Collins, Inc.
2.800%, 03/15/22............................. 2,000 1,941,550
Roper Technologies, Inc.
3.000%, 12/15/20............................. 1,200 1,192,976
2.800%, 12/15/21............................. 1,000 977,352
Ryder System, Inc.
3.450%, 11/15/21............................. 900 899,535
3.400%, 03/01/23............................. 2,000 1,978,401
Santander Holdings USA, Inc.
3.400%, 01/18/23............................. 1,000 968,621
SCANA Corp.
6.250%, 04/01/20............................. 550 570,642
# 4.750%, 05/15/21............................. 1,000 1,012,990
Sealed Air Corp.
## # 6.500%, 12/01/20............................. 1,449 1,535,940
Sherwin-Williams Co. (The)
2.750%, 06/01/22............................. 1,000 968,188
Southern Co. (The)
2.750%, 06/15/20............................. 250 247,694
Southern Power Co.
2.500%, 12/15/21............................. 898 870,877
1.000%, 06/20/22............................. EUR 950 1,164,649
State Street Corp.
1.950%, 05/19/21............................. 500 483,980
Stryker Corp.
2.625%, 03/15/21............................. 2,086 2,057,568
SunTrust Bank
2.450%, 08/01/22............................. 2,750 2,639,958
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 150 148,455
Symantec Corp.
# 4.200%, 09/15/20............................. 1,000 1,011,426
Target Corp.
# 2.900%, 01/15/22............................. 1,750 1,742,817
Thermo Fisher Scientific, Inc.
4.500%, 03/01/21............................. 830 858,187
2.150%, 07/21/22............................. EUR 500 643,599
Time Warner Cable LLC
4.125%, 02/15/21............................. 100 100,854
Time Warner Cable, Inc.
5.000%, 02/01/20............................. 1,100 1,128,936
Time Warner, Inc.
2.100%, 06/01/19............................. 105 104,052
Toll Brothers Finance Corp.
5.875%, 02/15/22............................. 1,100 1,163,250
Total System Services, Inc.
3.800%, 04/01/21............................. 234 235,047
Travelers Cos., Inc. (The)
3.900%, 11/01/20............................. 250 254,337
TRI Pointe Group, Inc.
4.875%, 07/01/21............................. 1,100 1,111,000
FACE
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(000)
UNITED STATES -- (Continued)
Tupperware Brands Corp.
4.750%, 06/01/21............................. 1,700 $1,737,683
Tyson Foods, Inc.
4.500%, 06/15/22............................. 1,000 1,034,391
United Continental Holdings, Inc.
6.000%, 12/01/20............................. 1,000 1,049,800
4.250%, 10/01/22............................. 1,000 974,000
UnitedHealth Group, Inc.
# 2.125%, 03/15/21............................. 1,200 1,167,764
# 2.875%, 12/15/21............................. 500 493,701
Unum Group
3.000%, 05/15/21............................. 1,000 985,081
US Bancorp
# 2.625%, 01/24/22............................. 1,000 979,707
Verizon Communications, Inc.
# 3.450%, 03/15/21............................. 215 216,748
3.500%, 11/01/21............................. 500 503,997
2.375%, 02/17/22............................. EUR 2,500 3,241,976
VF Corp.
3.500%, 09/01/21............................. 1,040 1,054,799
Viacom, Inc.
2.750%, 12/15/19............................. 598 592,410
Walgreen Co.
3.100%, 09/15/22............................. 500 488,308
Walgreens Boots Alliance, Inc.
# 3.300%, 11/18/21............................. 1,000 995,940
Waste Management, Inc.
4.600%, 03/01/21............................. 1,288 1,334,535
Wells Fargo & Co.
2.500%, 03/04/21............................. 2,000 1,958,914
2.094%, 04/25/22............................. CAD 3,000 2,256,490
1.500%, 09/12/22............................. EUR 750 937,819
Western Gas Partners L.P.
2.600%, 08/15/18............................. 700 699,409
5.375%, 06/01/21............................. 175 181,042
# 4.000%, 07/01/22............................. 800 792,593
Western Union Co. (The)
5.253%, 04/01/20............................. 1,000 1,033,315
Whirlpool Corp.
4.850%, 06/15/21............................. 436 454,196
Williams Cos., Inc. (The)
# 7.875%, 09/01/21............................. 1,200 1,332,000
Williams Partners L.P.
4.000%, 11/15/21............................. 1,848 1,863,229
WR Berkley Corp.
4.625%, 03/15/22............................. 975 1,007,145
WR Grace & Co.
## # 5.125%, 10/01/21............................. 1,300 1,335,477
Wyndham Worldwide Corp.
4.250%, 03/01/22............................. 2,400 2,357,318
Xcel Energy, Inc.
2.400%, 03/15/21............................. 2,000 1,955,442
68
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Xilinx, Inc.
3.000%, 03/15/21............................. 989 $ 979,524
Zimmer Biomet Holdings, Inc.
# 3.150%, 04/01/22............................. 1,345 1,319,647
------------
TOTAL UNITED STATES.............................. 363,975,237
------------
TOTAL BONDS...................................... 579,484,157
------------
TOTAL INVESTMENT SECURITIES...................... 579,484,157
------------
SHARES VALUE+
------ ------
SECURITIES LENDING COLLATERAL -- (7.4%)
(S) DFA Short Term Investment Fund............... 4,011,795 $ 46,416,474
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $635,998,157)............................. $625,900,631
============
At April 30, 2018, DFA Targeted Credit 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.. 81,205,537 EUR 65,869,316 State Street Bank and Trust 07/06/18 $1,265,173
USD.. 711,421 CAD 905,439 Citibank, N.A. 07/10/18 5,064
USD.. 18,314,931 CAD 23,072,765 Citibank, N.A. 07/10/18 315,266
USD.. 19,506,809 EUR 15,900,883 State Street Bank and Trust 07/25/18 180,822
----------
TOTAL APPRECIATION $1,766,325
==========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Bonds
Australia................... -- $ 17,999,067 -- $ 17,999,067
Belgium..................... -- 4,039,261 -- 4,039,261
Canada...................... -- 29,729,582 -- 29,729,582
Denmark..................... -- 3,159,587 -- 3,159,587
Finland..................... -- 1,668,384 -- 1,668,384
France...................... -- 23,233,345 -- 23,233,345
Germany..................... -- 25,485,675 -- 25,485,675
Ireland..................... -- 11,241,022 -- 11,241,022
Italy....................... -- 8,528,438 -- 8,528,438
Japan....................... -- 26,915,866 -- 26,915,866
Luxembourg.................. -- 1,280,290 -- 1,280,290
Netherlands................. -- 9,503,338 -- 9,503,338
Spain....................... -- 10,616,693 -- 10,616,693
Sweden...................... -- 1,979,853 -- 1,979,853
Switzerland................. -- 3,907,254 -- 3,907,254
United Kingdom.............. -- 36,221,265 -- 36,221,265
United States............... -- 363,975,237 -- 363,975,237
Securities Lending Collateral. -- 46,416,474 -- 46,416,474
Forward Currency Contracts**.. -- 1,766,325 -- 1,766,325
-- ------------ -- ------------
TOTAL......................... -- $627,666,956 -- $627,666,956
== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
69
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (91.2%)
AUSTRALIA -- (3.7%)
Australia & New Zealand Banking Group, Ltd.
0.750%, 09/29/26............................. EUR 3,000 $ 3,530,146
BHP Billiton Finance USA, Ltd.
2.875%, 02/24/22............................. 13 12,844
BHP Billiton Finance, Ltd.
3.250%, 09/24/27............................. EUR 1,800 2,563,357
Commonwealth Bank of Australia
5.000%, 03/19/20............................. 9 9,301
## 2.850%, 05/18/26............................. 266 246,342
## 3.150%, 09/19/27............................. 10 9,383
Macquarie Bank, Ltd.
## 3.900%, 01/15/26............................. 289 286,399
National Australia Bank, Ltd.
3.000%, 02/10/23............................. AUD 2,000 1,485,975
0.625%, 09/18/24............................. EUR 4,000 4,752,871
## 3.500%, 01/10/27............................. 351 340,475
Westpac Banking Corp.
4.875%, 11/19/19............................. 106 109,052
0.625%, 11/22/24............................. EUR 1,000 1,186,137
2.850%, 05/13/26............................. 104 96,348
2.700%, 08/19/26............................. 23 21,040
3.350%, 03/08/27............................. 319 305,067
-----------
TOTAL AUSTRALIA.................................. 14,954,737
-----------
AUSTRIA -- (0.0%)
Oesterreichische Kontrollbank AG
1.125%, 05/29/18............................. 23 22,984
-----------
BELGIUM -- (0.6%)
Anheuser-Busch InBev Finance, Inc.
2.625%, 01/17/23............................. 58 55,823
3.650%, 02/01/26............................. 35 34,171
Anheuser-Busch InBev SA
2.700%, 03/31/26............................. EUR 1,000 1,348,439
2.250%, 05/24/29............................. GBP 600 791,112
Anheuser-Busch InBev Worldwide, Inc.
4.375%, 02/15/21............................. 5 5,159
2.500%, 07/15/22............................. 24 23,170
-----------
TOTAL BELGIUM.................................... 2,257,874
-----------
CANADA -- (4.8%)
Alimentation Couche-Tard, Inc.
1.875%, 05/06/26............................. EUR 700 863,592
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 13 $ 12,897
4.375%, 01/13/21............................. 37 38,129
2.620%, 12/02/26............................. CAD 2,000 1,502,675
British Columbia, Province of Canada
6.500%, 01/15/26............................. 93 112,175
Canadian Natural Resources, Ltd.
3.420%, 12/01/26............................. CAD 1,000 759,484
Canadian Pacific Railway Co.
2.900%, 02/01/25 535 505,113
3.700%, 02/01/26............................. 45 44,058
Cenovus Energy, Inc.
3.000%, 08/15/22............................. 719 688,273
Enbridge, Inc.
4.000%, 10/01/23............................. 34 34,005
3.500%, 06/10/24............................. 15 14,497
Goldcorp, Inc.
3.625%, 06/09/21............................. 46 46,007
Husky Energy, Inc.
3.600%, 03/10/27............................. CAD 2,000 1,538,861
Manitoba, Province of Canada
6.300%, 03/05/31............................. CAD 5,000 5,183,107
Nutrien, Ltd.
3.625%, 03/15/24............................. 540 532,300
3.000%, 04/01/25............................. 40 37,346
Ontario, Province of Canada
2.400%, 06/02/26............................. CAD 4,000 3,009,619
Province of Manitoba Canada
2.050%, 11/30/20............................. 131 128,152
Province of Ontario Canada
1.650%, 09/27/19............................. 6 5,918
3.150%, 06/02/22............................. CAD 233 186,160
2.450%, 06/29/22............................. 13 12,630
Quebec, Province of Canada
2.625%, 02/13/23............................. 52 50,769
Rogers Communications, Inc.
3.000%, 03/15/23............................. 21 20,538
4.100%, 10/01/23............................. 15 15,336
4.000%, 03/13/24............................. CAD 2,000 1,618,786
Royal Bank of Canada
2.200%, 07/27/18............................. 13 12,996
2.350%, 10/30/20............................. 58 56,945
Suncor Energy, Inc.
3.600%, 12/01/24............................. 87 85,761
Teck Resources, Ltd.
4.750%, 01/15/22............................. 700 710,066
3.750%, 02/01/23............................. 200 193,750
70
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Thomson Reuters Corp.
4.300%, 11/23/23............................. 60 $ 60,749
3.850%, 09/29/24............................. 256 250,936
Toronto-Dominion Bank (The)
2.125%, 07/02/19............................. 43 42,725
2.125%, 04/07/21............................. 163 158,201
1.994%, 03/23/22............................. CAD 58 43,947
TransCanada PipeLines, Ltd.
3.800%, 10/01/20............................. 15 15,230
2.500%, 08/01/22............................. 38 36,554
Videotron, Ltd.
5.000%, 07/15/22............................. 921 940,571
-----------
TOTAL CANADA..................................... 19,568,858
-----------
DENMARK -- (1.4%)
Denmark Government Bond
0.500%, 11/15/27............................. DKK 18,000 2,895,830
Kommunekredit
--%, 09/08/22................................ EUR 256 307,383
2.900%, 11/27/26............................. AUD 3,500 2,530,337
-----------
TOTAL DENMARK.................................... 5,733,550
-----------
FINLAND -- (0.2%)
Nokia Oyj
4.375%, 06/12/27............................. 1,000 927,500
-----------
FRANCE -- (6.4%)
Agence Francaise de Developpement
0.250%, 07/21/26............................. EUR 500 577,888
Air Liquide Finance SA
1.000%, 03/08/27............................. EUR 1,100 1,324,089
BNP Paribas SA
2.450%, 03/17/19............................. 7 6,995
3.250%, 03/03/23............................. 22 21,823
1.500%, 11/17/25............................. EUR 1,200 1,461,998
Credit Agricole SA
2.375%, 05/20/24............................. EUR 1,000 1,317,556
Electricite de France SA
## 3.625%, 10/13/25............................. 40 39,426
5.875%, 07/18/31............................. GBP 1,200 2,122,631
Orange SA
0.875%, 02/03/27............................. EUR 500 585,763
8.125%, 11/20/28............................. GBP 464 956,016
Pernod Ricard SA
1.500%, 05/18/26............................. EUR 800 990,340
## 3.250%, 06/08/26............................. 173 165,560
Sanofi
1.750%, 09/10/26............................. EUR 2,000 2,566,478
0.500%, 01/13/27............................. EUR 2,300 2,654,726
SNCF Reseau
5.250%, 12/07/28............................. GBP 3,350 5,960,161
Societe Generale SA
1.125%, 01/23/25............................. EUR 1,200 1,430,019
FACE
AMOUNT^ VALUE+
------- ------
(000)
FRANCE -- (Continued)
Total Capital International SA
2.125%, 01/10/19............................. 10 $ 9,964
2.100%, 06/19/19............................. 26 25,848
3.750%, 04/10/24............................. 112 113,231
0.625%, 10/04/24............................. EUR 1,000 1,200,371
2.500%, 03/25/26............................. EUR 2,000 2,699,623
-----------
TOTAL FRANCE..................................... 26,230,506
-----------
GERMANY -- (4.4%)
BMW U.S. Capital LLC
## 2.800%, 04/11/26............................. 194 180,903
## 3.300%, 04/06/27............................. 58 55,795
Daimler AG
1.000%, 11/15/27............................. EUR 1,300 1,520,849
Daimler Finance North America LLC
8.500%, 01/18/31............................. 104 148,232
Deutsche Bank AG
2.500%, 02/13/19............................. 40 39,835
2.950%, 08/20/20............................. 2 1,968
3.125%, 01/13/21............................. 23 22,582
3.700%, 05/30/24............................. 113 107,682
1.125%, 03/17/25............................. EUR 1,900 2,207,944
Deutsche Telekom International Finance BV
1.125%, 05/22/26............................. EUR 1,000 1,197,108
EMD Finance LLC
## 2.950%, 03/19/22............................. 60 58,757
Kreditanstalt fuer Wiederaufbau
1.875%, 04/01/19............................. 9 8,955
2.050%, 02/16/26............................. JPY 789,000 8,383,854
NRW Bank
1.875%, 07/01/19............................. 24 23,792
T-Mobile USA, Inc.
4.000%, 04/15/22............................. 800 799,500
Volkswagen International Finance NV
1.875%, 03/30/27............................. EUR 2,000 2,454,736
ZF North America Capital, Inc.
## 4.500%, 04/29/22............................. 870 887,835
-----------
TOTAL GERMANY.................................... 18,100,327
-----------
IRELAND -- (0.3%)
Allergan Finance LLC
3.250%, 10/01/22............................. 88 85,225
Allergan Funding SCS
3.450%, 03/15/22............................. 150 147,454
3.800%, 03/15/25............................. 529 507,069
Eaton Corp.
2.750%, 11/02/22............................. 34 32,927
Johnson Controls International P.L.C.
3.625%, 07/02/24............................. 11 10,880
71
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
IRELAND -- (Continued)
Medtronic, Inc.
3.125%, 03/15/22............................. 13 $ 12,943
3.500%, 03/15/25............................. 23 22,749
Perrigo Finance Unlimited Co.
4.375%, 03/15/26............................. 500 496,694
----------
TOTAL IRELAND.................................... 1,315,941
----------
ITALY -- (1.2%)
Enel Finance International NV
1.375%, 06/01/26............................. EUR 1,000 1,213,382
Eni SpA
1.500%, 01/17/27............................. EUR 1,000 1,216,635
Italy Buoni Poliennali Del Tesoro
1.250%, 12/01/26............................. EUR 2,100 2,477,723
----------
TOTAL ITALY...................................... 4,907,740
----------
JAPAN -- (0.2%)
American Honda Finance Corp.
2.300%, 09/09/26............................. 130 118,650
Beam Suntory, Inc.
1.750%, 06/15/18............................. 23 22,973
3.250%, 06/15/23............................. 47 45,498
Mitsubishi UFJ Financial Group, Inc.
3.677%, 02/22/27............................. 35 34,345
MUFG Americas Holdings Corp.
3.500%, 06/18/22............................. 64 63,766
Nissan Motor Acceptance Corp.
## 2.125%, 03/03/20............................. 20 19,663
Nomura Holdings, Inc.
6.700%, 03/04/20............................. 16 16,941
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21............................. 23 22,782
3.784%, 03/09/26............................. 58 57,400
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 58 43,897
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 10 9,979
3.300%, 01/12/22............................. 30 30,068
2.625%, 01/10/23............................. 75 72,717
3.200%, 01/11/27............................. 315 304,130
----------
TOTAL JAPAN...................................... 862,809
----------
LUXEMBOURG -- (0.4%)
DH Europe Finance SA
1.200%, 06/30/27............................. EUR 1,300 1,547,840
----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
NETHERLANDS -- (6.6%)
Ahold Finance USA LLC
6.875%, 05/01/29............................. 8 $ 9,481
Bank Nederlandse Gemeenten NV
2.500%, 01/23/23............................. 74 72,157
BMW Finance NV
1.125%, 01/10/28............................. EUR 750 892,947
Cooperatieve Rabobank UA
3.875%, 02/08/22............................. 83 84,337
2.375%, 05/22/23............................. EUR 2,300 3,030,166
1.250%, 03/23/26............................. EUR 2,500 3,064,997
E.ON International Finance BV
6.375%, 06/07/32............................. GBP 1,150 2,171,206
Heineken NV
## 2.750%, 04/01/23............................. 26 25,137
1.375%, 01/29/27............................. EUR 1,200 1,464,456
Iberdrola International BV
0.375%, 09/15/25............................. EUR 1,400 1,606,655
ING Groep NV
1.375%, 01/11/28............................. EUR 2,100 2,484,700
Koninklijke KPN NV
5.750%, 09/17/29............................. GBP 1,500 2,561,993
LYB International Finance II BV
3.500%, 03/02/27............................. 35 33,052
LyondellBasell Industries NV
5.750%, 04/15/24............................. 500 541,844
Mylan NV
2.250%, 11/22/24............................. EUR 1,000 1,244,247
3.950%, 06/15/26............................. 173 164,204
Mylan, Inc.
4.200%, 11/29/23............................. 52 52,054
Sensata Technologies BV
## 5.000%, 10/01/25............................. 500 498,750
Shell International Finance BV
2.500%, 09/12/26............................. 131 121,197
Shell International Finance BV
2.250%, 11/10/20............................. 54 53,231
3.400%, 08/12/23............................. 123 123,357
3.250%, 05/11/25............................. 334 328,274
2.875%, 05/10/26............................. 348 330,673
1.625%, 01/20/27............................. EUR 4,708 5,950,267
-----------
TOTAL NETHERLANDS................................ 26,909,382
-----------
NORWAY -- (0.1%)
Statoil ASA
1.150%, 05/15/18............................. 16 15,994
2.450%, 01/17/23............................. 102 98,062
2.650%, 01/15/24............................. 81 77,754
-----------
TOTAL NORWAY..................................... 191,810
-----------
72
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SPAIN -- (0.6%)
Santander Holdings USA, Inc.
4.500%, 07/17/25............................. 206 $ 207,373
Santander UK P.L.C.
2.375%, 03/16/20............................. 4 3,948
4.000%, 03/13/24............................. 103 103,914
Telefonica Emisiones SAU
5.462%, 02/16/21............................. 10 10,576
1.715%, 01/12/28............................. EUR 1,200 1,448,540
Telefonica Europe BV
8.250%, 09/15/30............................. 500 667,504
-----------
TOTAL SPAIN...................................... 2,441,855
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.5%)
Asian Development Bank
1.750%, 09/11/18............................. 10 9,984
1.875%, 04/12/19............................. 24 23,874
2.350%, 06/21/27............................. JPY 980,000 10,809,063
European Financial Stability Facility
--%, 11/17/22................................ EUR 231 278,602
0.400%, 05/31/26............................. EUR 5,000 5,937,677
European Investment Bank
1.875%, 03/15/19............................. 6 5,973
3.250%, 01/29/24............................. 37 37,447
1.900%, 01/26/26............................. JPY 28,300 297,089
2.150%, 01/18/27............................. JPY 850,000 9,209,531
Inter-American Development Bank
3.000%, 02/21/24............................. 20 19,920
7.000%, 06/15/25............................. 45 55,072
International Finance Corp.
0.875%, 06/15/18............................. 3 2,996
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 26,687,228
-----------
SWEDEN -- (2.8%)
Kommuninvest I Sverige AB
0.250%, 06/01/22............................. SEK 3,460 394,740
Nordea Bank AB
1.000%, 02/22/23............................. EUR 4,000 4,945,710
Svenska Handelsbanken AB
0.250%, 02/28/22............................. EUR 110 132,537
Sweden Government Bond
3.500%, 06/01/22............................. SEK 4,895 643,807
0.750%, 05/12/28............................. SEK 26,400 3,025,961
2.250%, 06/01/32............................. SEK 12,000 1,584,639
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/22............................. 900 890,934
-----------
TOTAL SWEDEN..................................... 11,618,328
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWITZERLAND -- (3.5%)
ABB Finance USA, Inc.
2.875%, 05/08/22............................. 45 $ 44,189
Chubb INA Holdings, Inc.
2.875%, 11/03/22............................. 22 21,567
2.700%, 03/13/23............................. 35 33,872
3.350%, 05/15/24............................. 60 59,215
Credit Suisse AG
1.500%, 04/10/26............................. EUR 700 868,329
Novartis Capital Corp.
3.400%, 05/06/24............................. 71 70,724
3.100%, 05/17/27............................. 878 840,598
Novartis Finance SA
1.625%, 11/09/26............................. EUR 3,300 4,193,100
1.125%, 09/30/27............................. EUR 5,000 6,053,293
UBS Group Funding Switzerland AG
1.250%, 09/01/26............................. EUR 1,800 2,133,866
-----------
TOTAL SWITZERLAND................................ 14,318,753
-----------
UNITED KINGDOM -- (8.2%)
Anglo American Capital P.L.C.
1.625%, 09/18/25............................. EUR 1,000 1,209,674
Aon Corp.
5.000%, 09/30/20............................. 9 9,353
Aon P.L.C.
4.000%, 11/27/23............................. 47 47,692
3.500%, 06/14/24............................. 107 104,835
2.875%, 05/14/26............................. EUR 1,400 1,835,747
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 34 33,433
3.375%, 11/16/25............................. 87 84,494
1.250%, 05/12/28............................. EUR 1,200 1,440,834
BAE Systems Holdings, Inc.
## 2.850%, 12/15/20............................. 14 13,835
Barclays Bank P.L.C.
2.250%, 06/10/24............................. EUR 500 653,846
Barclays P.L.C.
3.250%, 02/12/27............................. GBP 1,157 1,581,717
BAT International Finance P.L.C.
4.000%, 09/04/26............................. GBP 520 784,402
1.250%, 03/13/27............................. EUR 1,000 1,154,002
Baxalta, Inc.
2.875%, 06/23/20............................. 5 4,948
BP Capital Markets P.L.C.
3.245%, 05/06/22............................. 33 32,912
3.535%, 11/04/24............................. 26 25,914
1.077%, 06/26/25............................. EUR 1,200 1,451,461
3.119%, 05/04/26............................. 35 33,482
3.017%, 01/16/27............................. 127 119,762
British Telecommunications P.L.C.
1.000%, 11/21/24............................. EUR 1,200 1,427,357
3.125%, 11/21/31............................. GBP 700 950,353
73
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED KINGDOM -- (Continued)
CNH Industrial Capital LLC
4.375%, 04/05/22............................. 406 $ 412,090
Diageo Investment Corp.
2.875%, 05/11/22............................. 2 1,967
GlaxoSmithKline Capital P.L.C.
1.000%, 09/12/26............................. EUR 1,500 1,778,653
GlaxoSmithKline Capital, Inc.
2.800%, 03/18/23............................. 63 61,330
HSBC Holdings P.L.C.
4.000%, 03/30/22............................. 59 60,182
2.625%, 08/16/28............................. GBP 1,564 2,121,491
HSBC USA, Inc.
3.500%, 06/23/24............................. 147 144,636
Lloyds Banking Group P.L.C.
1.500%, 09/12/27............................. EUR 2,100 2,494,666
Nationwide Building Society
3.250%, 01/20/28............................. GBP 1,000 1,455,537
Rio Tinto Finance P.L.C.
4.000%, 12/11/29............................. GBP 1,000 1,583,569
Rolls-Royce P.L.C.
## 3.625%, 10/14/25............................. 520 513,900
3.375%, 06/18/26............................. GBP 800 1,185,675
Santander UK P.L.C.
3.875%, 10/15/29............................. GBP 1,000 1,539,106
Sky P.L.C.
2.500%, 09/15/26............................. EUR 2,000 2,610,517
TechnipFMC P.L.C.
## 3.450%, 10/01/22............................. 49 47,589
Unilever NV
1.000%, 02/14/27............................. EUR 1,500 1,782,439
Vodafone Group P.L.C.
5.450%, 06/10/19............................. 1 1,027
4.375%, 03/16/21............................. 11 11,318
2.500%, 09/26/22............................. 113 107,702
1.125%, 11/20/25............................. EUR 500 590,228
1.500%, 07/24/27............................. EUR 350 413,825
4.200%, 12/13/27............................. AUD 1,800 1,326,468
7.875%, 02/15/30............................. 77 98,168
-----------
TOTAL UNITED KINGDOM............................. 33,342,136
-----------
UNITED STATES -- (39.3%)
21st Century Fox America, Inc.
3.700%, 09/15/24............................. $ 168 167,380
3M Co.
2.875%, 10/15/27............................. 168 158,840
Abbott Laboratories
2.000%, 03/15/20............................. 84 82,470
2.800%, 09/15/20............................. 2 1,987
3.250%, 04/15/23............................. 37 36,327
2.950%, 03/15/25............................. 146 138,473
AbbVie, Inc.
2.900%, 11/06/22............................. 33 32,117
3.600%, 05/14/25............................. 1,000 970,187
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Activision Blizzard, Inc.
3.400%, 06/15/27............................. 52 $ 49,253
Adobe Systems, Inc.
3.250%, 02/01/25............................. 22 21,632
Advance Auto Parts, Inc.
4.500%, 12/01/23............................. 14 14,330
AECOM
5.875%, 10/15/24............................. 500 520,675
5.125%, 03/15/27............................. 700 672,665
Aetna, Inc.
2.200%, 03/15/19............................. 4 3,979
2.750%, 11/15/22............................. 97 93,384
3.500%, 11/15/24............................. 63 61,443
Affiliated Managers Group, Inc.
3.500%, 08/01/25............................. 30 28,996
Aflac, Inc.
2.400%, 03/16/20............................. 13 12,829
3.250%, 03/17/25............................. 129 125,349
Air Products & Chemicals, Inc.
2.750%, 02/03/23............................. 11 10,754
Alabama Power Co.
2.800%, 04/01/25............................. 30 28,202
Albemarle Corp.
4.150%, 12/01/24............................. 86 87,345
Allstate Corp. (The)
3.150%, 06/15/23............................. 59 58,141
Ally Financial, Inc.
4.125%, 02/13/22............................. 750 745,312
Alphabet, Inc.
3.375%, 02/25/24............................. 53 53,228
1.998%, 08/15/26............................. 86 76,797
Altria Group, Inc.
4.750%, 05/05/21............................. 2 2,083
2.850%, 08/09/22............................. 46 44,809
Amazon.com, Inc.
3.800%, 12/05/24............................. 57 57,950
Ameren Corp.
2.700%, 11/15/20............................. 12 11,835
American Express Credit Corp.
2.250%, 05/05/21............................. 2 1,949
3.300%, 05/03/27............................. 131 125,215
American International Group, Inc.
3.300%, 03/01/21............................. 17 16,932
4.875%, 06/01/22............................. 17 17,778
4.125%, 02/15/24............................. 118 118,783
3.750%, 07/10/25............................. 95 92,982
3.900%, 04/01/26............................. 46 44,897
1.875%, 06/21/27............................. EUR 375 451,396
American Water Capital Corp.
3.850%, 03/01/24............................. 25 25,320
74
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Ameriprise Financial, Inc.
4.000%, 10/15/23............................. 43 $ 44,029
2.875%, 09/15/26............................. 65 60,546
AmerisourceBergen Corp.
3.400%, 05/15/24............................. 433 421,535
Amgen, Inc.
4.100%, 06/15/21............................. 82 83,891
3.625%, 05/22/24............................. 75 74,712
3.125%, 05/01/25............................. 37 35,341
2.600%, 08/19/26............................. 28 25,221
4.000%, 09/13/29............................. GBP 1,336 2,056,760
Analog Devices, Inc.
3.900%, 12/15/25............................. 35 34,792
3.500%, 12/05/26............................. 23 21,984
Anixter, Inc.
5.500%, 03/01/23............................. 590 612,125
Anthem, Inc.
3.125%, 05/15/22............................. 25 24,443
Anthem, Inc.
4.350%, 08/15/20............................. 13 13,333
3.500%, 08/15/24............................. 58 56,365
3.650%, 12/01/27............................. 1,000 950,889
Apache Corp.
3.250%, 04/15/22............................. 95 93,739
Apple, Inc.
2.250%, 02/23/21............................. 58 57,019
2.400%, 05/03/23............................. 334 320,718
3.450%, 05/06/24............................. 227 227,133
2.500%, 02/09/25............................. 53 49,737
0.875%, 05/24/25............................. EUR 4,000 4,847,015
3.250%, 02/23/26............................. 233 226,810
2.450%, 08/04/26............................. 200 183,464
3.350%, 02/09/27............................. 393 384,350
3.000%, 06/20/27............................. 64 60,798
3.000%, 11/13/27............................. 81 76,518
3.050%, 07/31/29............................. GBP 3,300 4,906,875
Applied Materials, Inc.
4.300%, 06/15/21............................. 7 7,235
3.300%, 04/01/27............................. 59 57,096
Archer-Daniels-Midland Co.
2.500%, 08/11/26............................. 58 52,688
Arconic, Inc.
5.900%, 02/01/27............................. 1,200 1,239,750
Arizona Public Service Co.
8.750%, 03/01/19............................. 2 2,100
3.150%, 05/15/25............................. 71 68,731
Arrow Electronics, Inc.
3.875%, 01/12/28............................. 45 42,319
Ashland LLC
4.750%, 08/15/22............................. 900 907,875
Assurant, Inc.
4.000%, 03/15/23............................. 75 74,783
AT&T, Inc.
3.000%, 02/15/22............................. 74 72,778
3.800%, 03/15/22............................. 59 59,554
3.950%, 01/15/25............................. 115 113,856
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
3.400%, 05/15/25............................. 253 $ 240,410
1.800%, 09/05/26............................. EUR 800 976,639
4.375%, 09/14/29............................. GBP 500 768,388
Autodesk, Inc.
3.125%, 06/15/20............................. 31 30,883
4.375%, 06/15/25............................. 35 35,481
3.500%, 06/15/27............................. 36 33,892
Automatic Data Processing, Inc.
3.375%, 09/15/25............................. 144 142,857
AutoZone, Inc.
2.875%, 01/15/23............................. 140 135,059
3.125%, 07/15/23............................. 15 14,600
3.250%, 04/15/25............................. 72 68,989
3.125%, 04/21/26............................. 1,187 1,104,185
Avnet, Inc.
4.625%, 04/15/26............................. 65 64,099
Baker Hughes a GE Co. LLC
3.200%, 08/15/21............................. 2 2,003
Ball Corp.
5.000%, 03/15/22............................. 645 668,381
Baltimore Gas & Electric Co.
2.800%, 08/15/22............................. 38 37,117
2.400%, 08/15/26............................. 8 7,256
Bank of America Corp.
3.300%, 01/11/23............................. 52 51,382
4.000%, 04/01/24............................. 72 72,966
7.000%, 07/31/28............................. GBP 1,000 1,910,203
Bank of America Corp. Floating Rate Note
## 3.419%, 12/20/28............................. 184 172,571
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19............................. 5 5,144
3.650%, 02/04/24............................. 123 123,508
3.000%, 02/24/25............................. 330 315,647
2.800%, 05/04/26............................. 64 59,858
Baxter International, Inc.
1.700%, 08/15/21............................. 10 9,486
2.600%, 08/15/26............................. 49 44,107
Bed Bath & Beyond, Inc.
3.749%, 08/01/24............................. 7 5,977
Bemis Co., Inc.
4.500%, 10/15/21............................. 7 7,231
Berkshire Hathaway Energy Co.
2.400%, 02/01/20............................. 4 3,967
Berkshire Hathaway Finance Corp.
1.300%, 05/15/18............................. 2 1,999
3.000%, 05/15/22............................. 11 10,948
Berkshire Hathaway, Inc.
2.200%, 03/15/21............................. 22 21,612
3.750%, 08/15/21............................. 30 30,711
3.400%, 01/31/22............................. 37 37,521
75
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
3.000%, 02/11/23............................. 41 $ 40,776
3.125%, 03/15/26............................. 387 372,491
Biogen, Inc.
2.900%, 09/15/20............................. 172 171,175
BlackRock, Inc.
4.250%, 05/24/21............................. 23 23,806
3.200%, 03/15/27............................. 287 275,589
Boeing Co. (The)
8.750%, 08/15/21............................. 11 12,960
2.500%, 03/01/25............................. 75 70,190
2.600%, 10/30/25............................. 42 39,513
Booking Holdings, Inc.
2.375%, 09/23/24............................. EUR 1,000 1,292,378
3.600%, 06/01/26............................. 108 104,587
1.800%, 03/03/27............................. EUR 800 977,641
Boston Scientific Corp.
4.125%, 10/01/23............................. 17 17,276
Brinker International, Inc.
3.875%, 05/15/23............................. 1,250 1,181,250
Bristol-Myers Squibb Co.
2.000%, 08/01/22............................. 79 75,461
Brown & Brown, Inc.
4.200%, 09/15/24............................. 54 54,494
Brown-Forman Corp.
2.600%, 07/07/28............................. GBP 1,100 1,525,585
Buckeye Partners L.P.
4.150%, 07/01/23............................. 22 21,943
3.950%, 12/01/26............................. 87 81,838
Burlington Northern Santa Fe LLC
3.000%, 04/01/25............................. 50 48,300
7.000%, 12/15/25............................. 10 12,121
CA, Inc.
4.700%, 03/15/27............................. 205 206,163
Campbell Soup Co.
4.250%, 04/15/21............................. 12 12,324
2.500%, 08/02/22............................. 23 21,944
3.300%, 03/19/25............................. 47 44,916
4.150%, 03/15/28............................. 2,050 1,986,408
Capital One Financial Corp.
4.750%, 07/15/21............................. 23 23,894
3.750%, 04/24/24............................. 54 53,028
Cardinal Health, Inc.
4.625%, 12/15/20............................. 7 7,210
3.200%, 06/15/22............................. 45 44,181
3.410%, 06/15/27............................. 67 62,219
Caterpillar, Inc.
2.600%, 06/26/22............................. 30 29,241
3.400%, 05/15/24............................. 21 20,916
CBS Corp.
3.375%, 03/01/22............................. 27 26,745
3.500%, 01/15/25............................. 28 26,909
2.900%, 01/15/27............................. 269 240,464
7.875%, 07/30/30............................. 13 16,304
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Celgene Corp.
4.000%, 08/15/23............................. 96 $ 96,643
3.625%, 05/15/24............................. 52 50,828
CenterPoint Energy Resources Corp.
4.500%, 01/15/21............................. 18 18,473
CF Industries, Inc.
3.450%, 06/01/23............................. 1,048 995,600
Charles Schwab Corp. (The)
3.000%, 03/10/25............................. 99 95,010
Chemours Co. (The)
5.375%, 05/15/27............................. 1,000 990,000
Chevron Corp.
2.355%, 12/05/22............................. 52 50,218
3.191%, 06/24/23............................. 184 182,824
2.954%, 05/16/26............................. 133 127,054
Choice Hotels International, Inc.
5.750%, 07/01/22............................. 388 410,310
Chubb INA Holdings, Inc.
1.550%, 03/15/28............................. EUR 1,400 1,687,918
Cigna Corp.
4.000%, 02/15/22............................. 9 9,130
Cisco Systems, Inc.
3.625%, 03/04/24............................. 22 22,335
2.500%, 09/20/26............................. 1,000 924,796
CIT Group, Inc.
5.000%, 08/01/23............................. 800 812,000
5.250%, 03/07/25............................. 400 408,500
Citigroup, Inc.
4.500%, 01/14/22............................. 17 17,609
3.875%, 10/25/23............................. 33 33,132
3.750%, 06/16/24............................. 30 29,807
3.300%, 04/27/25............................. 90 86,188
5.150%, 05/21/26............................. GBP 1,323 2,167,795
Clorox Co. (The)
3.500%, 12/15/24............................. 37 36,901
CME Group, Inc.
3.000%, 03/15/25............................. 33 31,823
CMS Energy Corp.
3.875%, 03/01/24............................. 20 20,032
3.600%, 11/15/25............................. 37 36,142
3.000%, 05/15/26............................. 58 54,446
CNA Financial Corp.
5.750%, 08/15/21............................. 49 52,198
4.500%, 03/01/26............................. 75 76,816
CNO Financial Group, Inc.
5.250%, 05/30/25............................. 922 928,915
Coca-Cola Co. (The)
1.875%, 10/27/20............................. 215 210,132
3.300%, 09/01/21............................. 20 20,226
3.200%, 11/01/23............................. 252 251,315
2.250%, 09/01/26............................. 147 133,027
2.900%, 05/25/27............................. 275 260,974
76
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Colgate-Palmolive Co.
1.950%, 02/01/23............................. 81 $ 76,886
Comcast Cable Communications Holdings, Inc.
9.455%, 11/15/22............................. 35 43,792
Comcast Corp.
3.600%, 03/01/24............................. 51 50,816
3.375%, 08/15/25............................. 49 47,574
3.150%, 03/01/26............................. 102 97,033
Conagra Brands, Inc.
3.200%, 01/25/23............................. 54 52,985
ConocoPhillips Co.
2.400%, 12/15/22............................. 22 21,006
3.350%, 11/15/24............................. 52 50,993
4.950%, 03/15/26............................. 173 186,292
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24............................. 15 14,712
Continental Resources, Inc.
4.500%, 04/15/23............................. 800 810,000
Corning, Inc.
3.700%, 11/15/23............................. 32 31,770
Cox Communications, Inc.
## 3.250%, 12/15/22............................. 26 25,349
## 3.850%, 02/01/25............................. 79 78,112
CSX Corp.
4.250%, 06/01/21............................. 9 9,249
CVS Health Corp.
2.800%, 07/20/20............................. 22 21,864
2.125%, 06/01/21............................. 15 14,472
3.375%, 08/12/24............................. 174 167,971
3.875%, 07/20/25............................. 104 102,260
Danaher Corp.
3.350%, 09/15/25............................. 17 16,835
Deere & Co.
5.375%, 10/16/29............................. 5 5,693
Discovery Communications LLC
## 2.800%, 06/15/20............................. 6 5,930
3.300%, 05/15/22............................. 16 15,749
## 3.500%, 06/15/22............................. 90 89,016
3.250%, 04/01/23............................. 7 6,775
## 3.900%, 11/15/24............................. 63 61,581
3.450%, 03/15/25............................. 66 63,005
Dollar General Corp.
3.250%, 04/15/23............................. 79 77,522
4.150%, 11/01/25............................. 13 13,123
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20............................. 84 83,165
3.600%, 12/15/24............................. 37 36,367
Dominion Energy, Inc.
3.625%, 12/01/24............................. 15 14,751
3.900%, 10/01/25............................. 117 115,637
Dow Chemical Co. (The)
3.000%, 11/15/22............................. 31 30,186
3.500%, 10/01/24............................. 87 85,029
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Dr Pepper Snapple Group, Inc.
3.400%, 11/15/25............................. 20 $ 18,852
DTE Energy Co.
2.400%, 12/01/19............................. 25 24,659
3.850%, 12/01/23............................. 11 11,056
2.850%, 10/01/26............................. 500 454,006
Duke Energy Corp.
3.050%, 08/15/22............................. 131 128,501
3.750%, 04/15/24............................. 67 66,777
DXC Technology Co.
4.450%, 09/18/22............................. 37 37,691
Eastman Chemical Co.
2.700%, 01/15/20............................. 5 4,970
3.600%, 08/15/22............................. 3 2,995
3.800%, 03/15/25............................. 51 51,029
1.875%, 11/23/26............................. EUR 1,000 1,249,268
Eaton Vance Corp.
3.500%, 04/06/27............................. 17 16,554
eBay, Inc.
3.800%, 03/09/22............................. 87 87,952
2.600%, 07/15/22............................. 31 29,843
3.600%, 06/05/27............................. 115 108,951
Ecolab, Inc.
2.700%, 11/01/26............................. 52 47,954
Edgewell Personal Care Co.
4.700%, 05/24/22............................. 1,185 1,154,901
EI du Pont de Nemours & Co.
4.625%, 01/15/20............................. 2 2,057
EMC Corp.
3.375%, 06/01/23............................. 1,255 1,170,875
Emerson Electric Co.
3.150%, 06/01/25............................. 62 60,641
Energy Transfer Partners L.P.
4.750%, 01/15/26............................. 67 66,857
Enterprise Products Operating LLC
5.200%, 09/01/20............................. 6 6,266
3.900%, 02/15/24............................. 24 24,103
3.750%, 02/15/25............................. 23 22,805
3.700%, 02/15/26............................. 62 60,633
EOG Resources, Inc.
4.100%, 02/01/21............................. 20 20,389
2.625%, 03/15/23............................. 44 42,034
3.150%, 04/01/25............................. 79 75,818
EQT Corp.
3.900%, 10/01/27............................. 500 475,672
ERAC USA Finance LLC
## 3.850%, 11/15/24............................. 1,388 1,383,478
Eversource Energy
2.500%, 03/15/21............................. 6 5,885
2.800%, 05/01/23............................. 55 52,889
Exelon Corp.
2.450%, 04/15/21............................. 15 14,549
77
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
3.950%, 06/15/25............................. 27 $ 26,780
3.400%, 04/15/26............................. 1,225 1,170,512
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 10 9,964
Express Scripts Holding Co.
3.900%, 02/15/22............................. 56 56,209
3.500%, 06/15/24............................. 97 92,894
3.400%, 03/01/27............................. 174 160,112
Exxon Mobil Corp.
3.176%, 03/15/24............................. 385 383,594
3.043%, 03/01/26............................. 58 56,081
FedEx Corp.
2.625%, 08/01/22............................. 51 49,506
4.000%, 01/15/24............................. 99 101,315
3.200%, 02/01/25............................. 44 42,433
1.625%, 01/11/27............................. EUR 1,000 1,220,651
Fidelity National Information Services, Inc.
2.250%, 08/15/21............................. 45 43,385
5.000%, 10/15/25............................. 35 36,923
Gap, Inc. (The)
5.950%, 04/12/21............................. 315 331,405
GATX Corp.
3.250%, 03/30/25............................. 60 56,438
3.250%, 09/15/26............................. 32 29,586
General Dynamics Corp.
2.250%, 11/15/22............................. 56 53,508
2.125%, 08/15/26............................. 86 76,478
General Electric Co.
0.375%, 05/17/22............................. EUR 135 162,058
3.375%, 03/11/24............................. 37 36,066
0.875%, 05/17/25............................. EUR 500 588,730
6.750%, 03/15/32............................. 221 270,988
General Mills, Inc.
3.150%, 12/15/21............................. 9 8,920
General Motors Financial Co., Inc.
2.250%, 09/06/24............................. GBP 950 1,277,767
5.250%, 03/01/26............................. 208 216,236
4.350%, 01/17/27............................. 58 56,447
Georgia Power Co.
2.850%, 05/15/22............................. 21 20,514
3.250%, 03/30/27............................. 154 146,414
Gilead Sciences, Inc.
2.050%, 04/01/19............................. 2 1,990
4.400%, 12/01/21............................. 17 17,644
3.700%, 04/01/24............................. 124 124,963
3.650%, 03/01/26............................. 57 56,319
Goldman Sachs Group, Inc. (The)
5.250%, 07/27/21............................. 26 27,486
4.000%, 03/03/24............................. 250 250,830
3.750%, 05/22/25............................. 87 84,975
1.625%, 07/27/26............................. EUR 1,175 1,421,851
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Goodyear Tire & Rubber Co. (The)
4.875%, 03/15/27............................. 1,239 $1,160,014
Great Plains Energy, Inc.
4.850%, 06/01/21............................. 29 29,903
Halliburton Co.
3.500%, 08/01/23............................. 75 74,665
3.800%, 11/15/25............................. 29 28,775
Hanesbrands, Inc.
## 4.875%, 05/15/26............................. 1,300 1,254,500
Harley-Davidson, Inc.
3.500%, 07/28/25............................. 42 40,801
Harris Corp.
2.700%, 04/27/20............................. 6 5,950
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22............................. 79 83,695
Hewlett Packard Enterprise Co.
4.900%, 10/15/25............................. 35 35,959
Home Depot, Inc. (The)
2.700%, 04/01/23............................. 15 14,621
3.350%, 09/15/25............................. 43 42,382
Honeywell International, Inc.
2.500%, 11/01/26............................. 102 93,299
Hormel Foods Corp.
4.125%, 04/15/21............................. 17 17,463
Humana, Inc.
3.850%, 10/01/24............................. 91 90,979
Huntington Bancshares, Inc.
3.150%, 03/14/21............................. 18 17,920
2.300%, 01/14/22............................. 38 36,518
Hyatt Hotels Corp.
3.375%, 07/15/23............................. 23 22,585
Illinois Tool Works, Inc.
1.950%, 03/01/19............................. 4 3,982
3.500%, 03/01/24............................. 75 75,611
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 3 3,105
Intel Corp.
2.700%, 12/15/22............................. 11 10,775
International Business Machines Corp.
2.250%, 02/19/21............................. 231 226,979
3.625%, 02/12/24............................. 112 112,207
3.300%, 01/27/27............................. 306 297,149
1.750%, 03/07/28............................. EUR 1,000 1,264,079
International Paper Co.
3.650%, 06/15/24............................. 92 90,505
3.800%, 01/15/26............................. 12 11,686
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24............................. 546 549,075
ITC Holdings Corp.
3.650%, 06/15/24............................. 113 111,417
78
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Janus Capital Group, Inc.
4.875%, 08/01/25............................. 106 $ 109,768
Jefferies Group LLC / Jefferies Group Capital
Finance, Inc.
4.850%, 01/15/27............................. 57 56,841
JM Smucker Co. (The)
3.500%, 03/15/25............................. 58 56,318
John Deere Capital Corp.
2.550%, 01/08/21............................. 112 110,218
3.350%, 06/12/24............................. 672 664,580
Johnson & Johnson
1.650%, 03/01/21............................. 17 16,509
3.375%, 12/05/23............................. 75 75,742
2.450%, 03/01/26............................. 38 35,277
2.950%, 03/03/27............................. 700 669,825
JPMorgan Chase & Co.
4.350%, 08/15/21............................. 23 23,765
3.625%, 05/13/24............................. 142 140,932
3.900%, 07/15/25............................. 129 128,194
Juniper Networks, Inc.
4.600%, 03/15/21............................. 30 30,644
4.500%, 03/15/24............................. 49 49,790
Kellogg Co.
1.250%, 03/10/25............................. EUR 500 603,211
3.250%, 04/01/26............................. 661 622,959
7.450%, 04/01/31............................. 61 77,441
KeyCorp
2.900%, 09/15/20............................. 17 16,879
5.100%, 03/24/21............................. 16 16,787
Kimberly-Clark Corp.
1.900%, 05/22/19............................. 6 5,962
2.400%, 06/01/23............................. 22 21,121
Kohl's Corp.
4.750%, 12/15/23............................. 17 17,509
Kraft Heinz Foods Co.
3.500%, 06/06/22............................. 107 106,438
3.950%, 07/15/25............................. 135 132,778
4.125%, 07/01/27............................. GBP 1,600 2,385,476
Kroger Co. (The)
3.850%, 08/01/23............................. 39 39,043
7.500%, 04/01/31............................. 90 112,263
L Brands, Inc.
5.625%, 02/15/22............................. 950 985,720
L3 Technologies, Inc.
4.750%, 07/15/20............................. 6 6,205
3.950%, 05/28/24............................. 29 28,884
Laboratory Corp. of America Holdings
4.000%, 11/01/23............................. 45 45,419
Lam Research Corp.
3.800%, 03/15/25............................. 1,000 992,373
Legg Mason, Inc.
3.950%, 07/15/24............................. 55 54,327
4.750%, 03/15/26............................. 23 23,684
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Lennar Corp.
4.750%, 05/30/25............................. 465 $ 452,213
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 78 81,104
2.750%, 05/04/26............................. EUR 1,700 2,196,228
Lockheed Martin Corp.
2.900%, 03/01/25............................. 552 523,777
3.550%, 01/15/26............................. 56 55,137
Loews Corp.
2.625%, 05/15/23............................. 44 42,171
3.750%, 04/01/26............................. 125 124,004
Lowe's Cos., Inc.
3.120%, 04/15/22............................. 3 3,004
3.375%, 09/15/25............................. 61 59,941
Macy's Retail Holdings, Inc.
3.625%, 06/01/24............................. 750 718,020
Magellan Midstream Partners L.P.
4.250%, 02/01/21............................. 18 18,350
Marathon Petroleum Corp.
3.625%, 09/15/24............................. 96 94,274
Marriott International, Inc.
2.875%, 03/01/21............................. 12 11,879
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19............................. 6 5,950
3.500%, 06/03/24............................. 97 95,510
MasterCard, Inc.
3.375%, 04/01/24............................. 21 21,026
Mattel, Inc.
2.350%, 05/06/19............................. 7 6,860
Maxim Integrated Products, Inc.
3.450%, 06/15/27............................. 69 66,119
McDonald's Corp.
2.200%, 05/26/20............................. 9 8,877
3.500%, 07/15/20............................. 57 57,649
2.625%, 01/15/22............................. 22 21,597
2.875%, 12/17/25............................. EUR 600 815,912
5.875%, 04/23/32............................. GBP 750 1,374,519
McKesson Corp.
3.796%, 03/15/24............................. 51 50,623
3.125%, 02/17/29............................. GBP 1,670 2,332,956
Mead Johnson Nutrition Co.
4.125%, 11/15/25............................. 69 70,083
Merck & Co., Inc.
2.800%, 05/18/23............................. 161 157,207
2.750%, 02/10/25............................. 136 129,943
Meritage Homes Corp.
6.000%, 06/01/25............................. 1,000 1,031,250
MetLife, Inc.
3.600%, 04/10/24............................. 189 189,014
3.000%, 03/01/25............................. 1,500 1,424,168
MGM Resorts International
7.750%, 03/15/22............................. 850 942,437
4.625%, 09/01/26............................. 105 99,356
79
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Microsoft Corp.
1.625%, 12/06/18............................. 11 $ 10,958
3.000%, 10/01/20............................. 12 12,097
2.000%, 11/03/20............................. 100 98,302
3.625%, 12/15/23............................. 109 111,015
2.700%, 02/12/25............................. 22 21,052
3.125%, 11/03/25............................. 36 35,119
2.400%, 08/08/26............................. 346 317,710
3.300%, 02/06/27............................. 288 281,761
Mobil Corp.
8.625%, 08/15/21............................. 15 17,620
Molson Coors Brewing Co.
3.500%, 05/01/22............................. 33 32,848
1.250%, 07/15/24............................. EUR 1,200 1,447,373
3.000%, 07/15/26............................. 87 79,645
Monsanto Co.
1.850%, 11/15/18............................. 34 33,850
2.125%, 07/15/19............................. 3 2,973
5.500%, 08/15/25............................. 26 28,115
Morgan Stanley
2.500%, 04/21/21............................. 29 28,332
5.500%, 07/28/21............................. 10 10,625
3.875%, 04/29/24............................. 140 140,115
3.875%, 01/27/26............................. 192 189,053
1.375%, 10/27/26............................. EUR 2,550 3,027,636
Mosaic Co. (The)
4.250%, 11/15/23............................. 46 46,076
4.050%, 11/15/27............................. 1,000 944,198
Motorola Solutions, Inc.
3.750%, 05/15/22............................. 37 36,789
3.500%, 03/01/23............................. 37 36,200
Murphy Oil Corp.
4.000%, 06/01/22............................. 1,100 1,075,250
Nasdaq, Inc.
4.250%, 06/01/24............................. 33 33,268
National Oilwell Varco, Inc.
2.600%, 12/01/22............................. 94 89,557
National Rural Utilities Cooperative Finance
Corp.
8.000%, 03/01/32............................. 32 44,511
NetApp, Inc.
3.250%, 12/15/22............................. 13 12,697
Newell Brands, Inc.
4.000%, 06/15/22............................. 76 75,700
Newfield Exploration Co.
5.375%, 01/01/26............................. 800 827,200
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21............................. 10 10,300
3.550%, 05/01/27............................. 59 56,624
NIKE, Inc.
2.375%, 11/01/26............................. 328 299,361
NiSource, Inc.
3.850%, 02/15/23............................. 27 27,172
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Noble Energy, Inc.
4.150%, 12/15/21............................. 20 $ 20,328
3.900%, 11/15/24............................. 18 17,870
Nordstrom, Inc.
4.750%, 05/01/20............................. 16 16,454
4.000%, 10/15/21............................. 11 11,132
4.000%, 03/15/27............................. 148 141,921
Norfolk Southern Corp.
2.903%, 02/15/23............................. 52 50,699
Northern Trust Corp.
3.375%, 08/23/21............................. 22 22,225
Northrop Grumman Corp.
3.250%, 08/01/23............................. 12 11,830
NuStar Logistics L.P.
5.625%, 04/28/27............................. 730 691,449
Nuveen Finance LLC
## 4.125%, 11/01/24............................. 32 32,086
O'Reilly Automotive, Inc.
3.800%, 09/01/22............................. 8 8,120
3.600%, 09/01/27............................. 500 474,367
Occidental Petroleum Corp.
2.700%, 02/15/23............................. 5 4,852
3.400%, 04/15/26............................. 85 83,072
3.000%, 02/15/27............................. 1,376 1,303,088
Ohio Power Co.
5.375%, 10/01/21............................. 27 28,767
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.650%, 11/01/24............................. 38 37,243
ONE Gas, Inc.
2.070%, 02/01/19............................. 6 5,978
ONEOK, Inc.
4.000%, 07/13/27............................. 77 74,748
Oracle Corp.
2.500%, 10/15/22............................. 22 21,356
2.950%, 05/15/25............................. 325 311,273
2.650%, 07/15/26............................. 465 430,168
3.250%, 11/15/27............................. 56 53,738
Pacific Gas & Electric Co.
3.850%, 11/15/23............................. 37 36,985
3.750%, 02/15/24............................. 76 75,159
3.500%, 06/15/25............................. 50 48,118
Packaging Corp. of America
4.500%, 11/01/23............................. 45 46,270
Parker-Hannifin Corp.
3.300%, 11/21/24............................. 71 70,232
PepsiCo, Inc.
2.150%, 10/14/20............................. 75 73,822
2.750%, 03/05/22............................. 33 32,582
2.750%, 03/01/23............................. 52 50,932
3.500%, 07/17/25............................. 75 74,725
Pfizer, Inc.
3.000%, 06/15/23............................. 22 21,912
3.400%, 05/15/24............................. 75 74,702
3.000%, 12/15/26............................. 492 470,724
80
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Philip Morris International, Inc.
3.250%, 11/10/24............................. 68 $ 65,994
Phillips 66
4.300%, 04/01/22............................. 49 50,705
Phillips 66 Partners L.P.
3.550%, 10/01/26............................. 752 709,121
Plains All American Pipeline L.P. / PAA Finance
Corp.
4.650%, 10/15/25............................. 800 800,712
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20............................. 3 3,077
3.300%, 03/08/22............................. 9 8,963
PolyOne Corp.
5.250%, 03/15/23............................. 1,000 1,023,750
PPG Industries, Inc.
3.750%, 03/15/28............................. 750 742,822
PPL Capital Funding, Inc.
3.400%, 06/01/23............................. 57 55,953
Praxair, Inc.
2.200%, 08/15/22............................. 9 8,624
Precision Castparts Corp.
2.500%, 01/15/23............................. 91 87,937
3.250%, 06/15/25............................. 362 353,789
Principal Financial Group, Inc.
3.125%, 05/15/23............................. 52 50,765
3.100%, 11/15/26............................. 53 49,652
Private Export Funding Corp.
4.300%, 12/15/21............................. 11 11,532
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 18 17,521
2.450%, 11/03/26............................. 13 11,980
2.850%, 08/11/27............................. 150 141,413
1.800%, 05/03/29............................. GBP 4,800 6,332,200
Progress Energy, Inc.
4.875%, 12/01/19............................. 6 6,146
4.400%, 01/15/21............................. 27 27,639
7.000%, 10/30/31............................. 630 801,046
Progressive Corp. (The)
3.750%, 08/23/21............................. 51 51,881
Prudential Financial, Inc.
4.500%, 11/15/20............................. 4 4,130
3.500%, 05/15/24............................. 1,712 1,705,650
PSEG Power LLC
2.450%, 11/15/18............................. 6 5,987
5.125%, 04/15/20............................. 26 26,902
4.300%, 11/15/23............................. 68 69,139
Puget Energy, Inc.
6.000%, 09/01/21............................. 92 98,703
PulteGroup, Inc.
4.250%, 03/01/21............................. 500 502,550
5.000%, 01/15/27............................. 500 487,000
QEP Resources, Inc.
5.375%, 10/01/22............................. 750 750,000
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
QUALCOMM, Inc.
2.250%, 05/20/20............................. 6 $ 5,905
3.450%, 05/20/25............................. 1,631 1,560,790
Quest Diagnostics, Inc.
3.500%, 03/30/25............................. 4 3,893
Radian Group, Inc.
7.000%, 03/15/21............................. 96 102,720
4.500%, 10/01/24............................. 1,200 1,146,000
Raytheon Co.
3.125%, 10/15/20............................. 47 47,202
2.500%, 12/15/22............................. 16 15,491
Reinsurance Group of America, Inc.
5.000%, 06/01/21............................. 11 11,438
4.700%, 09/15/23............................. 45 46,298
3.950%, 09/15/26............................. 111 108,949
Republic Services, Inc.
5.500%, 09/15/19............................. 2 2,070
3.550%, 06/01/22............................. 52 52,028
Reynolds American, Inc.
6.875%, 05/01/20............................. 47 50,220
Rockwell Automation, Inc.
2.875%, 03/01/25............................. 67 63,794
Roper Technologies, Inc.
3.000%, 12/15/20............................. 15 14,912
Ryder System, Inc.
2.450%, 09/03/19............................. 1 993
SCANA Corp.
4.125%, 02/01/22............................. 23 22,660
Sealed Air Corp.
## 4.875%, 12/01/22............................. 900 913,500
Sempra Energy
2.850%, 11/15/20............................. 62 61,264
4.050%, 12/01/23............................. 49 49,832
3.550%, 06/15/24............................. 76 74,780
Sherwin-Williams Co. (The)
3.450%, 08/01/25............................. 53 51,373
Southern Co. (The)
3.250%, 07/01/26............................. 56 52,564
Southern Power Co.
4.150%, 12/01/25............................. 17 17,180
1.850%, 06/20/26............................. EUR 1,200 1,481,103
Southwest Airlines Co.
2.650%, 11/05/20............................. 60 59,245
3.000%, 11/15/26............................. 107 100,345
Spectra Energy Partners L.P.
4.750%, 03/15/24............................. 22 22,559
StanCorp Financial Group, Inc.
5.000%, 08/15/22............................. 37 38,719
Starbucks Corp.
3.850%, 10/01/23............................. 14 14,343
State Street Corp.
4.375%, 03/07/21............................. 24 24,898
1.950%, 05/19/21............................. 28 27,103
3.300%, 12/16/24............................. 163 160,285
3.550%, 08/18/25............................. 96 95,401
81
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Stryker Corp.
2.625%, 03/15/21............................. 10 $ 9,864
3.375%, 05/15/24............................. 6 5,917
3.375%, 11/01/25............................. 109 106,557
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 40 39,588
Sysco Corp.
2.600%, 10/01/20............................. 35 34,601
3.300%, 07/15/26............................. 23 21,962
Tapestry, Inc.
4.250%, 04/01/25............................. 196 192,540
Target Corp.
2.900%, 01/15/22............................. 42 41,828
2.500%, 04/15/26............................. 52 47,439
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 2 2,080
2.950%, 04/01/22............................. 21 20,635
3.625%, 04/01/25............................. 86 85,619
Texas Instruments, Inc.
2.250%, 05/01/23............................. 8 7,668
Thermo Fisher Scientific, Inc.
2.000%, 04/15/25............................. EUR 1,000 1,271,433
Time Warner, Inc.
4.750%, 03/29/21............................. 13 13,512
4.000%, 01/15/22............................. 13 13,207
3.550%, 06/01/24............................. 52 50,804
3.600%, 07/15/25............................. 998 963,886
3.800%, 02/15/27............................. 653 631,215
Toll Brothers Finance Corp.
4.875%, 03/15/27............................. 500 486,250
4.350%, 02/15/28............................. 800 740,000
Total System Services, Inc.
4.800%, 04/01/26............................. 69 71,692
Travelers Cos., Inc. (The)
3.900%, 11/01/20............................. 69 70,197
TRI Pointe Group, Inc. / TRI Pointe Homes, Inc.
5.875%, 06/15/24............................. 1,300 1,317,875
Tyson Foods, Inc.
4.500%, 06/15/22............................. 65 67,235
U.S. Bancorp
2.350%, 01/29/21............................. 9 8,836
Under Armour, Inc.
3.250%, 06/15/26............................. 750 665,729
Union Pacific Corp.
2.250%, 02/15/19............................. 4 3,988
2.750%, 04/15/23............................. 7 6,780
3.250%, 01/15/25............................. 111 108,792
United Continental Holdings, Inc.
4.250%, 10/01/22............................. 1,400 1,363,600
United Technologies Corp.
3.100%, 06/01/22............................. 2 1,977
7.500%, 09/15/29............................. 7 8,968
UnitedHealth Group, Inc.
2.750%, 02/15/23............................. 101 98,069
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
2.875%, 03/15/23............................. 67 $ 65,367
3.750%, 07/15/25............................. 137 136,854
Unum Group
4.000%, 03/15/24............................. 59 59,159
3.875%, 11/05/25............................. 23 22,307
Valero Energy Corp.
3.400%, 09/15/26............................. 46 43,933
VeriSign, Inc.
5.250%, 04/01/25............................. 1,007 1,030,292
Verizon Communications, Inc.
3.500%, 11/01/24............................. 14 13,748
3.376%, 02/15/25............................. 194 188,326
2.625%, 08/15/26............................. 24 21,530
1.375%, 10/27/26............................. EUR 1,000 1,197,934
Viacom, Inc.
2.750%, 12/15/19............................. 3 2,972
4.500%, 03/01/21............................. 22 22,585
4.250%, 09/01/23............................. 7 7,037
3.875%, 04/01/24............................. 57 55,801
Visa, Inc.
3.150%, 12/14/25............................. 170 165,615
Wal-Mart Stores, Inc.
2.550%, 04/08/26............................. EUR 1,300 1,753,469
Walgreen Co.
3.100%, 09/15/22............................. 80 78,129
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21............................. 150 149,391
3.450%, 06/01/26............................. 35 32,800
2.125%, 11/20/26............................. EUR 1,700 2,111,838
Walmart, Inc.
2.550%, 04/11/23............................. 79 76,614
3.300%, 04/22/24............................. 78 77,998
5.750%, 12/19/30............................. GBP 1,100 2,064,677
Walt Disney Co. (The)
3.150%, 09/17/25............................. 75 73,527
Waste Management, Inc.
4.600%, 03/01/21............................. 21 21,759
3.500%, 05/15/24............................. 58 57,506
3.125%, 03/01/25............................. 40 38,354
WEC Energy Group, Inc.
2.450%, 06/15/20............................. 19 18,730
3.550%, 06/15/25............................. 52 51,036
Wells Fargo & Co.
2.600%, 07/22/20............................. 3 2,969
3.500%, 03/08/22............................. 102 101,824
3.000%, 02/19/25............................. 190 178,352
3.000%, 04/22/26............................. 32 29,523
2.000%, 04/27/26............................. EUR 800 1,010,492
1.375%, 10/26/26............................. EUR 500 599,468
Western Gas Partners L.P.
4.000%, 07/01/22............................. 700 693,519
Western Power Distribution South West P.L.C.
5.875%, 03/25/27............................. GBP 900 1,546,921
82
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Western Union Co. (The)
5.253%, 04/01/20............................. 27 $ 27,900
WestRock MWV LLC
8.200%, 01/15/30............................. 180 241,069
Whirlpool Corp.
4.700%, 06/01/22............................. 22 22,906
3.700%, 05/01/25............................. 145 142,804
Whirlpool Finance Luxembourg Sarl
1.250%, 11/02/26............................. EUR 1,200 1,447,960
Williams Cos., Inc. (The)
7.875%, 09/01/21............................. 498 552,780
Williams Partners L.P.
4.000%, 09/15/25............................. 136 132,077
3.750%, 06/15/27............................. 16 15,036
Wisconsin Electric Power Co.
3.100%, 06/01/25............................. 37 35,762
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 2 1,999
WR Grace & Co.
## 5.125%, 10/01/21............................. 810 832,105
Wyndham Worldwide Corp.
3.900%, 03/01/23............................. 88 83,366
Xerox Corp.
4.070%, 03/17/22............................. 13 12,910
3.800%, 05/15/24............................. 50 48,439
Xilinx, Inc.
3.000%, 03/15/21............................. 11 10,895
Zimmer Biomet Holdings, Inc.
3.550%, 04/01/25............................. 731 703,523
Zoetis, Inc.
3.000%, 09/12/27............................. 62 57,308
------------
TOTAL UNITED STATES.............................. 160,387,093
------------
TOTAL BONDS...................................... 372,327,251
------------
AGENCY OBLIGATIONS -- (4.2%)
Federal Farm Credit Bank
5.320%, 09/03/19............................. 74 76,793
5.150%, 11/15/19............................. 61 63,434
4.670%, 05/07/20............................. 19 19,779
5.350%, 08/07/20............................. 23 24,372
3.650%, 12/21/20............................. 152 155,719
5.250%, 03/02/21............................. 21 22,439
5.220%, 02/22/22............................. 17 18,460
5.210%, 12/19/22............................. 73 80,245
4.800%, 02/13/23............................. 7 7,584
5.250%, 03/06/23............................. 21 23,194
5.220%, 05/15/23............................. 166 183,648
2.630%, 08/03/26............................. 67 64,411
5.770%, 01/05/27............................. 22 26,272
Federal Home Loan Bank
1.500%, 03/08/19............................. 130 129,167
1.875%, 03/08/19............................. 195 194,363
5.375%, 05/15/19............................. 195 201,087
1.625%, 06/14/19............................. 185 183,453
FACE
AMOUNT^ VALUE+
------- ------
(000)
4.125%, 03/13/20............................. 310 $ 318,754
3.000%, 03/18/20............................. 65 65,518
3.375%, 06/12/20............................. 100 101,616
2.875%, 09/11/20............................. 50 50,209
4.625%, 09/11/20............................. 90 94,168
3.125%, 12/11/20............................. 20 20,200
5.250%, 12/11/20............................. 25 26,658
1.750%, 03/12/21............................. 140 136,269
5.000%, 03/12/21............................. 20 21,284
2.250%, 06/11/21............................. 240 235,827
3.625%, 06/11/21............................. 35 35,944
5.625%, 06/11/21............................. 130 141,052
2.375%, 09/10/21............................. 135 133,536
3.000%, 09/10/21............................. 110 111,012
5.000%, 12/10/21............................. 155 166,466
2.250%, 03/11/22............................. 35 34,279
2.500%, 03/11/22............................. 40 39,603
5.250%, 06/10/22............................. 30 32,927
5.750%, 06/10/22............................. 65 72,511
2.000%, 09/09/22............................. 55 53,133
5.375%, 09/30/22............................. 220 243,288
5.250%, 12/09/22............................. 50 55,329
4.750%, 03/10/23............................. 170 184,105
3.250%, 06/09/23............................. 120 122,066
2.500%, 12/08/23............................. 115 112,356
3.250%, 03/08/24............................. 345 349,827
2.875%, 06/14/24............................. 55 54,705
5.375%, 08/15/24............................. 65 73,753
2.875%, 09/13/24............................. 760 753,604
2.750%, 12/13/24............................. 880 864,651
4.375%, 03/13/26............................. 70 75,351
5.750%, 06/12/26............................. 140 166,188
Federal Home Loan Mortgage Corp.
6.750%, 09/15/29............................. 216 286,326
6.750%, 03/15/31............................. 260 352,341
6.250%, 07/15/32............................. 243 322,332
Federal National Mortgage Association
1.500%, 06/22/20............................. 53 51,824
1.250%, 05/06/21............................. 58 55,667
2.000%, 01/05/22............................. 266 258,509
2.375%, 01/19/23............................. 450 440,018
2.625%, 09/06/24............................. 1,769 1,728,777
2.125%, 04/24/26............................. 730 679,752
1.875%, 09/24/26............................. 1,171 1,059,845
6.250%, 05/15/29............................. 616 784,047
7.125%, 01/15/30............................. 75 102,631
7.250%, 05/15/30............................. 249 345,649
6.625%, 11/15/30............................. 1,288 1,721,104
Tennessee Valley Authority
1.750%, 10/15/18............................. 37 36,929
1.875%, 08/15/22............................. 442 425,102
2.875%, 09/15/24............................. 646 639,145
6.750%, 11/01/25............................. 296 367,895
83
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
2.875%, 02/01/27............................. 196 $ 190,166
7.125%, 05/01/30............................. 498 683,444
-----------
TOTAL AGENCY OBLIGATIONS......................... 16,952,112
-----------
U.S. TREASURY OBLIGATIONS -- (4.6%)
U.S. Treasury Bonds
7.500%, 11/15/24............................. 577 736,201
6.875%, 08/15/25............................. 466 588,086
6.000%, 02/15/26............................. 516 626,819
6.625%, 02/15/27............................. 522 671,485
6.125%, 11/15/27............................. 344 434,251
5.250%, 11/15/28............................. 426 513,821
5.250%, 02/15/29............................. 1,165 1,410,379
6.125%, 08/15/29............................. 299 389,329
6.250%, 05/15/30............................. 300 399,778
5.375%, 02/15/31............................. 1,282 1,608,559
FACE
AMOUNT^ VALUE+
------- ------
(000)
U.S. Treasury Notes
2.125%, 12/31/22............................. 289 $ 280,445
1.250%, 07/31/23............................. 462 426,682
2.750%, 02/15/24............................. 828 822,848
2.500%, 05/15/24............................. 1,132 1,108,368
2.250%, 11/15/24............................. 791 760,661
2.000%, 02/15/25............................. 289 272,551
2.125%, 05/15/25............................. 1,270 1,206,433
2.000%, 08/15/25............................. 1,952 1,833,625
2.250%, 11/15/25............................. 805 767,989
1.625%, 02/15/26............................. 751 682,404
1.625%, 05/15/26............................. 1,467 1,329,116
1.500%, 08/15/26............................. 1,213 1,084,419
2.250%, 11/15/27............................. 982 924,677
------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 18,878,926
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $417,036,206)............................ $408,158,289
============
At April 30, 2018, DFA Global Core Plus Fixed Income Portfolio had entered into
the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ----------------- --------------------------- ------------------ --------------
USD 1,175,096 EUR 966,106 State Street Bank and Trust 07/06/18 $ 2,610
USD 2,215,165 EUR 1,786,630 State Street Bank and Trust 07/06/18 46,874
USD 2,354,528 EUR 1,938,905 Citibank, N.A. 07/06/18 1,433
USD 143,781,323 EUR 116,070,716 State Street Bank and Trust 07/06/18 2,915,502
USD 1,049,488 JPY 113,834,150 Citibank, N.A. 07/11/18 3,109
USD 5,561,375 AUD 7,176,485 State Street Bank and Trust 07/11/18 157,108
USD 14,362,658 CAD 18,067,784 Citibank, N.A. 07/11/18 267,217
USD 28,531,676 JPY 3,040,385,072 State Street Bank and Trust 07/11/18 584,044
USD 3,002,101 DKK 18,020,388 Citibank, N.A. 07/13/18 64,777
USD 5,950,587 SEK 49,825,296 Citibank, N.A. 07/13/18 228,702
USD 59,406,528 GBP 41,505,764 State Street Bank and Trust 07/13/18 2,063,330
----------
TOTAL APPRECIATION $6,334,706
DKK 190,980 USD 31,388 Citibank, N.A. 07/13/18 $ (258)
SEK 615,957 USD 72,410 Citibank, N.A. 07/13/18 (1,674)
----------
TOTAL (DEPRECIATION) $ (1,932)
----------
TOTAL APPRECIATION
(DEPRECIATION) $6,332,774
==========
84
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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.......... -- $14,954,737 -- $ 14,954,737
Austria............ -- 22,984 -- 22,984
Belgium............ -- 2,257,874 -- 2,257,874
Canada............. -- 19,568,858 -- 19,568,858
Denmark............ -- 5,733,550 -- 5,733,550
Finland............ -- 927,500 -- 927,500
France............. -- 26,230,506 -- 26,230,506
Germany............ -- 18,100,327 -- 18,100,327
Ireland............ -- 1,315,941 -- 1,315,941
Italy.............. -- 4,907,740 -- 4,907,740
Japan.............. -- 862,809 -- 862,809
Luxembourg......... -- 1,547,840 -- 1,547,840
Netherlands........ -- 26,909,382 -- 26,909,382
Norway............. -- 191,810 -- 191,810
Spain.............. -- 2,441,855 -- 2,441,855
Supranational
Organization
Obligations...... -- 26,687,228 -- 26,687,228
Sweden............. -- 11,618,328 -- 11,618,328
Switzerland........ -- 14,318,753 -- 14,318,753
United Kingdom..... -- 33,342,136 -- 33,342,136
United States...... -- 160,387,093 -- 160,387,093
Agency Obligations.. -- 16,952,112 -- 16,952,112
U.S. Treasury
Obligations........ -- 18,878,926 -- 18,878,926
Forward Currency
Contracts**........ -- 6,332,774 -- 6,332,774
-- ------------ -- ------------
TOTAL............... -- $414,491,063 -- $414,491,063
== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
85
DFA INVESTMENT GRADE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (52.5%)
AUSTRALIA -- (1.7%)
ANZ New Zealand International Ltd.
## 3.450%, 07/17/27............................. 6,000 $ 5,761,144
Australia & New Zealand Banking Group, Ltd.
3.700%, 11/16/25............................. 6,110 6,094,071
BHP Billiton Finance USA, Ltd.
# 2.875%, 02/24/22............................. 1,077 1,064,074
Commonwealth Bank of Australia
2.300%, 09/06/19............................. 558 553,493
5.000%, 03/19/20............................. 784 810,259
2.400%, 11/02/20............................. 6,605 6,496,713
## 2.850%, 05/18/26............................. 22,784 21,100,194
## # 3.150%, 09/19/27............................. 890 835,106
Macquarie Bank, Ltd.
## # 3.900%, 01/15/26............................. 24,711 24,488,560
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 1,849 1,836,692
3.375%, 01/14/26............................. 3,000 2,898,118
## 3.500%, 01/10/27............................. 29,999 29,099,422
Westpac Banking Corp.
# 4.875%, 11/19/19............................. 9,051 9,311,591
2.850%, 05/13/26............................. 8,933 8,275,776
2.700%, 08/19/26............................. 1,977 1,808,550
# 3.350%, 03/08/27............................. 27,267 26,076,063
------------
TOTAL AUSTRALIA.................................... 146,509,826
------------
AUSTRIA -- (0.0%)
Oesterreichische Kontrollbank AG
1.125%, 05/29/18............................. 1,941 1,939,622
------------
BELGIUM -- (0.1%)
Anheuser-Busch InBev Finance, Inc.
# 2.625%, 01/17/23............................. 3,471 3,340,730
3.650%, 02/01/26............................. 2,965 2,894,778
Anheuser-Busch InBev Worldwide, Inc.
# 4.375%, 02/15/21............................. 385 397,214
# 2.500%, 07/15/22............................. 2,011 1,941,433
Solvay Finance America LLC
## 4.450%, 12/03/25............................. 200 204,653
------------
TOTAL BELGIUM...................................... 8,778,808
------------
CANADA -- (1.5%)
Alberta, Province of Canada
## # 1.750%, 08/26/20............................. 10,000 9,738,558
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
Alimentation Couche-Tard, Inc.
## 3.550%, 07/26/27............................. 2,000 $ 1,891,030
Bank of Montreal
2.375%, 01/25/19............................. 32 31,970
Bank of Nova Scotia (The)
2.050%, 06/05/19............................. 1,149 1,139,884
4.375%, 01/13/21............................. 3,200 3,297,630
British Columbia, Province of Canada
# 6.500%, 01/15/26............................. 7,918 9,550,566
Canadian Natural Resources, Ltd.
3.850%, 06/01/27............................. 3,898 3,766,654
Canadian Pacific Railway Co.
2.900%, 02/01/25............................. 3,024 2,855,069
3.700%, 02/01/26............................. 4,880 4,777,845
Enbridge, Inc.
# 4.000%, 10/01/23............................. 2,898 2,898,428
3.500%, 06/10/24............................. 1,280 1,237,079
# 3.700%, 07/15/27............................. 1,000 941,720
Goldcorp, Inc.
# 3.625%, 06/09/21............................. 3,975 3,975,589
Nutrien, Ltd.
3.625%, 03/15/24............................. 3,460 3,410,661
3.000%, 04/01/25............................. 3,460 3,230,412
Province of Manitoba Canada
2.050%, 11/30/20............................. 11,169 10,926,167
Province of Ontario Canada
# 1.650%, 09/27/19............................. 523 515,814
3.150%, 06/02/22............................. CAD 19,927 15,921,114
2.450%, 06/29/22............................. 1,088 1,057,006
Quebec, Province of Canada
2.625%, 02/13/23............................. 4,480 4,373,988
Rogers Communications, Inc.
3.000%, 03/15/23............................. 1,765 1,726,215
4.100%, 10/01/23............................. 1,248 1,275,954
Royal Bank of Canada
2.350%, 10/30/20............................. 4,942 4,852,073
Suncor Energy, Inc.
3.600%, 12/01/24............................. 7,406 7,300,503
Thomson Reuters Corp.
4.300%, 11/23/23............................. 5,120 5,183,896
3.850%, 09/29/24............................. 662 648,906
Toronto-Dominion Bank (The)
2.125%, 07/02/19............................. 3,660 3,636,594
2.125%, 04/07/21............................. 13,987 13,575,233
1.994%, 03/23/22............................. CAD 4,942 3,744,596
86
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
CANADA -- (Continued)
TransCanada PipeLines, Ltd.
3.800%, 10/01/20............................. 1,280 $ 1,299,589
# 2.500%, 08/01/22............................. 3,272 3,147,537
------------
TOTAL CANADA....................................... 131,928,280
------------
DENMARK -- (0.4%)
Danske Bank A.S.
## 2.750%, 09/17/20............................. 1,058 1,045,417
## 2.800%, 03/10/21............................. 6,530 6,440,140
Kommunekredit
0.0%, 09/08/22............................... EUR 21,894 26,288,404
------------
TOTAL DENMARK...................................... 33,773,961
------------
FRANCE -- (0.8%)
Airbus SE
## 3.150%, 04/10/27............................. 7,500 7,194,052
BNP Paribas SA
# 2.450%, 03/17/19............................. 592 591,568
# 3.250%, 03/03/23............................. 1,920 1,904,547
BPCE SA
4.000%, 04/15/24............................. 10,914 10,933,623
Credit Agricole SA
## 2.750%, 06/10/20............................. 1,125 1,113,915
# 3.875%, 04/15/24............................. 8,591 8,650,093
Electricite de France SA
## 3.625%, 10/13/25............................. 3,460 3,410,338
Pernod Ricard SA
## 4.450%, 01/15/22............................. 6,474 6,693,940
## # 3.250%, 06/08/26............................. 14,827 14,189,375
Total Capital International SA
2.125%, 01/10/19............................. 843 839,998
2.100%, 06/19/19............................. 2,226 2,212,961
3.750%, 04/10/24............................. 9,600 9,705,494
------------
TOTAL FRANCE....................................... 67,439,904
------------
GERMANY -- (0.9%)
Bayer U.S. Finance LLC
## # 2.375%, 10/08/19............................. 4,739 4,693,117
Bayer U.S. Finance LLC
## # 3.375%, 10/08/24............................. 12,544 12,186,797
BMW U.S. Capital LLC
## 2.800%, 04/11/26............................. 18,030 16,812,766
## 3.300%, 04/06/27............................. 4,942 4,754,097
Daimler Finance North America LLC
## 3.250%, 08/01/24............................. 2,072 2,009,693
8.500%, 01/18/31............................. 8,896 12,679,579
Deutsche Bank AG
# 2.500%, 02/13/19............................. 2,405 2,395,076
2.500%, 02/13/19............................. 1,058 1,053,640
2.950%, 08/20/20............................. 136 133,831
# 3.125%, 01/13/21............................. 1,977 1,941,086
3.700%, 05/30/24............................. 9,641 9,187,238
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (Continued)
EMD Finance LLC
## 2.950%, 03/19/22............................. 5,120 $ 5,013,965
Kreditanstalt fuer Wiederaufbau
1.875%, 04/01/19............................. 732 728,359
NRW Bank
1.875%, 07/01/19............................. 2,092 2,073,883
Siemens Financieringsmaatschappij NV
## 6.125%, 08/17/26............................. 3,821 4,450,669
Volkswagen Group of America Finance LLC
## 2.400%, 05/22/20............................. 699 687,438
-----------
TOTAL GERMANY.................................... 80,801,234
-----------
IRELAND -- (0.4%)
Allergan Finance LLC
3.250%, 10/01/22............................. 7,562 7,323,559
Allergan Funding SCS
3.450%, 03/15/22............................. 12,881 12,662,365
# 3.800%, 03/15/25............................. 2,471 2,368,560
Johnson Controls International P.L.C.
3.625%, 07/02/24............................. 983 972,242
Medtronic, Inc.
3.125%, 03/15/22............................. 1,143 1,138,001
3.500%, 03/15/25............................. 1,977 1,955,396
Perrigo Finance Unlimited Co.
3.500%, 03/15/21............................. 843 839,652
# 3.500%, 12/15/21............................. 1,594 1,576,944
3.900%, 12/15/24............................. 3,885 3,809,893
# 4.375%, 03/15/26............................. 5,000 4,966,944
-----------
TOTAL IRELAND.................................... 37,613,556
-----------
ITALY -- (0.3%)
Intesa Sanpaolo SpA
# 5.250%, 01/12/24............................. 7,664 7,999,122
## 3.875%, 07/14/27............................. 7,300 6,850,086
UniCredit SpA
## 4.625%, 04/12/27............................. 6,170 6,164,219
-----------
TOTAL ITALY...................................... 21,013,427
-----------
JAPAN -- (1.1%)
American Honda Finance Corp.
2.300%, 09/09/26............................. 11,110 10,140,004
Beam Suntory, Inc.
1.750%, 06/15/18............................. 1,941 1,938,708
3.250%, 06/15/23............................. 3,983 3,855,671
Japan Bank for International Cooperation
1.750%, 07/31/18............................. 491 490,273
87
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
JAPAN -- (Continued)
Japan Finance Organization for Municipalities
2.500%, 09/12/18............................. 814 $ 813,658
2.125%, 03/06/19............................. 528 525,101
Mitsubishi UFJ Financial Group, Inc.
# 3.677%, 02/22/27............................. 2,965 2,909,543
Mizuho Financial Group, Inc.
## 2.632%, 04/12/21............................. 3,700 3,613,064
MUFG Americas Holdings Corp.
3.500%, 06/18/22............................. 5,472 5,452,034
MUFG Bank, Ltd.
3.250%, 09/08/24............................. 3,237 3,148,618
Nissan Motor Acceptance Corp.
## 2.125%, 03/03/20............................. 1,680 1,651,712
Nomura Holdings, Inc.
6.700%, 03/04/20............................. 1,394 1,475,942
Sumitomo Mitsui Banking Corp.
3.950%, 07/19/23............................. 5,931 6,007,030
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21............................. 1,977 1,958,254
3.784%, 03/09/26............................. 4,942 4,890,916
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 4,942 3,740,324
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 892 890,144
3.300%, 01/12/22............................. 2,605 2,610,902
# 2.625%, 01/10/23............................. 3,999 3,877,251
# 3.200%, 01/11/27............................. 26,976 26,045,148
# 3.050%, 01/11/28............................. 11,550 10,959,286
-----------
TOTAL JAPAN...................................... 96,993,583
-----------
LIBERIA -- (0.0%)
Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27............................. 1,000 1,220,778
3.700%, 03/15/28............................. 1,500 1,413,335
-----------
TOTAL LIBERIA.................................... 2,634,113
-----------
NETHERLANDS -- (1.9%)
Ahold Finance USA LLC
6.875%, 05/01/29............................. 704 834,337
Bank Nederlandse Gemeenten NV
2.500%, 01/23/23............................. 6,400 6,240,640
Cooperatieve Rabobank UA
3.875%, 02/08/22............................. 7,090 7,204,205
# 3.375%, 05/21/25............................. 17,522 17,101,330
FACE
AMOUNT^ VALUE+
------- ------
(000)
NETHERLANDS -- (Continued)
Enel Finance International NV
## # 3.500%, 04/06/28............................. 2,800 $ 2,590,797
Heineken NV
## 2.750%, 04/01/23............................. 2,219 2,145,315
ING Bank NV
## 2.050%, 08/15/21............................. 5,000 4,790,824
ING Groep NV
3.950%, 03/29/27............................. 10,000 9,824,326
LYB International Finance II BV
# 3.500%, 03/02/27............................. 4,166 3,934,174
LyondellBasell Industries NV
5.750%, 04/15/24............................. 5,827 6,314,656
Mylan NV
3.950%, 06/15/26............................. 17,157 16,284,645
Mylan, Inc.
4.200%, 11/29/23............................. 4,480 4,484,614
Nederlandse Waterschapsbank NV
1.875%, 03/13/19............................. 1,348 1,340,579
Shell International Finance BV
# 2.500%, 09/12/26............................. 11,169 10,333,224
Shell International Finance BV
2.250%, 11/10/20............................. 4,646 4,579,809
# 3.400%, 08/12/23............................. 10,559 10,589,675
# 3.250%, 05/11/25............................. 31,117 30,583,526
# 2.875%, 05/10/26............................. 29,810 28,325,782
------------
TOTAL NETHERLANDS.................................. 167,502,458
------------
NORWAY -- (0.2%)
Kommunalbanken A.S.
1.750%, 05/28/19............................. 2,116 2,098,424
Statoil ASA
1.150%, 05/15/18............................. 1,366 1,365,478
2.450%, 01/17/23............................. 8,692 8,356,412
# 2.650%, 01/15/24............................. 6,950 6,671,455
------------
TOTAL NORWAY....................................... 18,491,769
------------
SPAIN -- (0.5%)
Banco Santander SA
3.800%, 02/23/28............................. 7,000 6,619,105
Iberdrola Finance Ireland DAC
## 5.000%, 09/11/19............................. 713 730,429
Santander Holdings USA, Inc.
4.500%, 07/17/25............................. 17,590 17,707,231
Santander UK P.L.C.
2.375%, 03/16/20............................. 330 325,715
4.000%, 03/13/24............................. 8,788 8,866,026
88
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SPAIN -- (Continued)
Telefonica Emisiones SAU
5.462%, 02/16/21............................. 829 $ 876,732
# 4.570%, 04/27/23............................. 7,532 7,847,419
Telefonica Europe BV
8.250%, 09/15/30............................. 3,000 4,005,022
------------
TOTAL SPAIN...................................... 46,977,679
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.5%)
Asian Development Bank
1.750%, 09/11/18............................. 867 865,581
1.875%, 04/12/19............................. 2,092 2,080,992
European Financial Stability Facility
0.0%, 11/17/22............................... EUR 19,769 23,842,814
European Investment Bank
1.875%, 03/15/19............................. 523 520,653
# 3.250%, 01/29/24............................. 3,200 3,238,675
Inter-American Development Bank
3.000%, 02/21/24............................. 1,730 1,723,082
7.000%, 06/15/25............................. 3,840 4,699,473
6.750%, 07/15/27............................. 1,942 2,413,370
International Finance Corp.
0.875%, 06/15/18............................. 292 291,629
Nordic Investment Bank
1.875%, 06/14/19............................. 529 525,191
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 40,201,460
------------
SWEDEN -- (1.2%)
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 529 524,012
0.250%, 06/01/22............................. SEK 296,540 33,831,226
Nordea Bank AB
1.625%, 05/15/18............................. 227 226,968
Svensk Exportkredit AB
1.875%, 06/17/19............................. 1,164 1,155,072
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 578 577,364
0.250%, 02/28/22............................. EUR 9,390 11,313,870
Sweden Government Bond
3.500%, 06/01/22............................. SEK 419,105 55,122,096
------------
TOTAL SWEDEN..................................... 102,750,608
------------
SWITZERLAND -- (1.0%)
ABB Finance USA, Inc.
2.875%, 05/08/22............................. 3,884 3,814,038
Chubb INA Holdings, Inc.
# 2.875%, 11/03/22............................. 1,852 1,815,557
# 2.700%, 03/13/23............................. 2,965 2,869,461
3.350%, 05/15/24............................. 5,120 5,052,975
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWITZERLAND -- (Continued)
Credit Suisse AG
2.300%, 05/28/19............................. 162 $ 161,291
# 3.000%, 10/29/21............................. 3,011 2,979,520
# 3.625%, 09/09/24............................. 16,929 16,771,562
Novartis Capital Corp.
# 3.400%, 05/06/24............................. 6,080 6,056,336
3.100%, 05/17/27............................. 10,983 10,515,127
Roche Holdings, Inc.
## 2.625%, 05/15/26............................. 1,000 930,115
## # 2.375%, 01/28/27............................. 14,000 12,683,029
UBS AG
2.375%, 08/14/19............................. 148 147,179
UBS Group Funding Switzerland AG
## 4.125%, 09/24/25............................. 20,990 20,866,573
-----------
TOTAL SWITZERLAND.................................. 84,662,763
-----------
UNITED KINGDOM -- (1.9%)
Anglo American Capital P.L.C.
## 4.750%, 04/10/27............................. 3,275 3,270,218
## 4.000%, 09/11/27............................. 8,200 7,727,457
Aon Corp.
5.000%, 09/30/20............................. 810 841,761
Aon P.L.C.
4.000%, 11/27/23............................. 4,000 4,058,892
3.500%, 06/14/24............................. 9,147 8,961,949
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 2,916 2,867,397
3.375%, 11/16/25............................. 7,484 7,268,385
AXIS Specialty Finance P.L.C.
4.000%, 12/06/27............................. 2,800 2,651,263
BAE Systems Holdings, Inc.
## 2.850%, 12/15/20............................. 1,239 1,224,387
Barclays P.L.C.
2.750%, 11/08/19............................. 626 621,691
3.650%, 03/16/25............................. 14,330 13,666,679
4.375%, 01/12/26............................. 9,970 9,844,238
Baxalta, Inc.
2.875%, 06/23/20............................. 471 466,111
BP Capital Markets P.L.C.
# 3.245%, 05/06/22............................. 2,848 2,840,408
3.535%, 11/04/24............................. 2,240 2,232,566
3.119%, 05/04/26............................. 5,915 5,658,503
3.017%, 01/16/27............................. 11,773 11,102,047
Diageo Investment Corp.
2.875%, 05/11/22............................. 131 128,867
GlaxoSmithKline Capital, Inc.
# 2.800%, 03/18/23............................. 5,387 5,244,170
HSBC Holdings P.L.C.
# 3.400%, 03/08/21............................. 4,100 4,110,285
4.000%, 03/30/22............................. 5,009 5,109,307
# 4.300%, 03/08/26............................. 2,000 2,027,890
89
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED KINGDOM -- (Continued)
HSBC USA, Inc.
2.375%, 11/13/19............................. 317 $ 313,662
3.500%, 06/23/24............................. 12,593 12,390,500
Lloyds Banking Group P.L.C.
# 3.750%, 01/11/27............................. 4,750 4,539,269
# 4.375%, 03/22/28............................. 4,000 3,975,710
Nationwide Building Society
## 3.900%, 07/21/25............................. 4,600 4,600,566
Rolls-Royce P.L.C.
## 3.625%, 10/14/25............................. 9,100 8,993,252
Royal Bank of Scotland Group P.L.C.
# 4.800%, 04/05/26............................. 4,800 4,891,032
Standard Chartered P.L.C.
## 4.050%, 04/12/26............................. 4,380 4,271,678
TechnipFMC P.L.C.
## 3.450%, 10/01/22............................. 4,235 4,113,008
Vodafone Group P.L.C.
5.450%, 06/10/19............................. 82 84,197
# 4.375%, 03/16/21............................. 902 928,083
2.500%, 09/26/22............................. 9,656 9,203,304
7.875%, 02/15/30............................. 7,107 9,060,814
------------
TOTAL UNITED KINGDOM............................. 169,289,546
------------
UNITED STATES -- (38.1%)
21st Century Fox America, Inc.
3.700%, 09/15/24............................. $ 14,364 14,310,982
3M Co.
2.875%, 10/15/27............................. 14,390 13,605,390
Abbott Laboratories
# 2.000%, 03/15/20............................. 7,212 7,080,679
2.800%, 09/15/20............................. 130 129,172
3.250%, 04/15/23............................. 3,200 3,141,803
2.950%, 03/15/25............................. 12,469 11,826,203
AbbVie, Inc.
# 2.900%, 11/06/22............................. 2,800 2,725,056
3.600%, 05/14/25............................. 18,850 18,288,019
Activision Blizzard, Inc.
3.400%, 06/15/27............................. 4,448 4,212,991
Adobe Systems, Inc.
3.250%, 02/01/25............................. 1,920 1,887,923
Advance Auto Parts, Inc.
4.500%, 12/01/23............................. 1,186 1,213,996
Aetna, Inc.
2.200%, 03/15/19............................. 339 337,203
2.750%, 11/15/22............................. 8,320 8,009,856
# 3.500%, 11/15/24............................. 5,359 5,226,559
Affiliated Managers Group, Inc.
3.500%, 08/01/25............................. 3,410 3,295,834
Aflac, Inc.
# 2.400%, 03/16/20............................. 1,087 1,072,709
3.250%, 03/17/25............................. 11,007 10,695,510
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Agilent Technologies, Inc.
5.000%, 07/15/20............................. 17 $ 17,674
Air Products & Chemicals, Inc.
2.750%, 02/03/23............................. 976 954,180
Alabama Power Co.
2.800%, 04/01/25............................. 2,560 2,406,541
Albemarle Corp.
4.150%, 12/01/24............................. 7,365 7,480,174
Allstate Corp. (The)
3.150%, 06/15/23............................. 5,073 4,999,137
Alphabet, Inc.
# 3.375%, 02/25/24............................. 4,494 4,513,299
# 1.998%, 08/15/26............................. 7,385 6,594,704
Altria Group, Inc.
4.750%, 05/05/21............................. 208 216,673
2.850%, 08/09/22............................. 3,950 3,847,729
Amazon.com, Inc.
3.800%, 12/05/24............................. 4,864 4,945,106
Ameren Corp.
2.700%, 11/15/20............................. 988 974,407
American Express Credit Corp.
# 2.250%, 05/05/21............................. 148 144,193
3.300%, 05/03/27............................. 16,929 16,181,415
American International Group, Inc.
3.300%, 03/01/21............................. 1,483 1,477,045
4.875%, 06/01/22............................. 1,425 1,490,255
4.125%, 02/15/24............................. 10,069 10,135,801
3.750%, 07/10/25............................. 8,747 8,561,220
3.900%, 04/01/26............................. 5,374 5,245,155
American Water Capital Corp.
# 3.850%, 03/01/24............................. 2,115 2,142,031
2.950%, 09/01/27............................. 584 546,657
Ameriprise Financial, Inc.
5.300%, 03/15/20............................. 129 133,948
4.000%, 10/15/23............................. 3,722 3,811,102
2.875%, 09/15/26............................. 6,175 5,751,827
AmerisourceBergen Corp.
3.400%, 05/15/24............................. 1,223 1,190,617
Amgen, Inc.
4.100%, 06/15/21............................. 6,993 7,154,242
# 3.625%, 05/22/24............................. 6,399 6,374,428
# 3.125%, 05/01/25............................. 3,200 3,056,494
2.600%, 08/19/26............................. 4,147 3,735,405
Analog Devices, Inc.
3.900%, 12/15/25............................. 4,965 4,935,476
# 3.500%, 12/05/26............................. 1,977 1,889,655
Anthem, Inc.
3.125%, 05/15/22............................. 2,177 2,128,506
Anthem, Inc.
4.350%, 08/15/20............................. 1,087 1,114,841
3.500%, 08/15/24............................. 4,986 4,845,485
3.650%, 12/01/27............................. 2,000 1,901,778
90
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Apache Corp.
3.250%, 04/15/22............................. 8,142 $ 8,033,917
Apple, Inc.
2.250%, 02/23/21............................. 4,942 4,858,453
# 2.400%, 05/03/23............................. 23,000 22,085,341
# 3.450%, 05/06/24............................. 19,459 19,470,422
# 2.500%, 02/09/25............................. 4,560 4,279,293
# 3.250%, 02/23/26............................. 19,942 19,412,170
2.450%, 08/04/26............................. 17,090 15,676,999
3.350%, 02/09/27............................. 33,607 32,867,325
3.000%, 06/20/27............................. 11,436 10,863,910
# 3.000%, 11/13/27............................. 26,919 25,429,320
Applied Materials, Inc.
4.300%, 06/15/21............................. 640 661,491
3.300%, 04/01/27............................. 6,750 6,532,210
Archer-Daniels-Midland Co.
# 2.500%, 08/11/26............................. 4,942 4,489,394
Arizona Public Service Co.
8.750%, 03/01/19............................. 210 220,470
# 3.150%, 05/15/25............................. 9,580 9,273,910
Arrow Electronics, Inc.
# 3.875%, 01/12/28............................. 5,185 4,876,124
Associated Banc-Corp
2.750%, 11/15/19............................. 53 52,566
Assurant, Inc.
4.000%, 03/15/23............................. 6,399 6,380,511
AT&T, Inc.
# 3.000%, 02/15/22............................. 6,325 6,220,571
3.800%, 03/15/22............................. 5,056 5,103,494
3.950%, 01/15/25............................. 9,885 9,786,634
3.400%, 05/15/25............................. 23,617 22,441,759
Autodesk, Inc.
# 3.125%, 06/15/20............................. 372 370,594
4.375%, 06/15/25............................. 3,015 3,056,472
3.500%, 06/15/27............................. 7,789 7,332,965
Automatic Data Processing, Inc.
3.375%, 09/15/25............................. 12,356 12,257,960
AutoZone, Inc.
2.875%, 01/15/23............................. 11,988 11,564,876
# 3.125%, 07/15/23............................. 1,270 1,236,117
3.250%, 04/15/25............................. 6,203 5,943,628
3.125%, 04/21/26............................. 988 919,069
Avnet, Inc.
# 4.625%, 04/15/26............................. 5,560 5,482,958
Baker Hughes a GE Co. LLC
3.200%, 08/15/21............................. 183 183,317
Baltimore Gas & Electric Co.
2.800%, 08/15/22............................. 3,218 3,143,214
2.400%, 08/15/26............................. 692 627,614
Bank of America Corp.
4.000%, 04/01/24............................. 6,120 6,202,089
# 3.875%, 08/01/25............................. 2,350 2,327,401
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Bank of America Corp. Floating Rate Note
(r)## 3.419%, 12/20/28............................. 15,341 $14,388,113
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19............................. 386 397,134
3.650%, 02/04/24............................. 10,524 10,567,445
3.000%, 02/24/25............................. 2,560 2,448,655
2.800%, 05/04/26............................. 6,436 6,019,493
Baxter International, Inc.
1.700%, 08/15/21............................. 890 844,296
2.600%, 08/15/26............................. 4,201 3,781,492
Bed Bath & Beyond, Inc.
# 3.749%, 08/01/24............................. 527 450,008
Bemis Co., Inc.
4.500%, 10/15/21............................. 640 661,138
Berkshire Hathaway Energy Co.
2.400%, 02/01/20............................. 316 313,404
Berkshire Hathaway Finance Corp.
1.300%, 05/15/18............................. 155 154,946
3.000%, 05/15/22............................. 976 971,349
Berkshire Hathaway, Inc.
# 2.200%, 03/15/21............................. 1,924 1,890,065
# 3.750%, 08/15/21............................. 2,560 2,620,650
3.400%, 01/31/22............................. 3,200 3,245,083
3.000%, 02/11/23............................. 3,491 3,471,915
# 3.125%, 03/15/26............................. 33,128 31,885,968
Biogen, Inc.
2.900%, 09/15/20............................. 14,678 14,607,597
# 4.050%, 09/15/25............................. 7,000 7,010,729
BlackRock, Inc.
4.250%, 05/24/21............................. 1,977 2,046,272
3.200%, 03/15/27............................. 24,563 23,586,397
Boeing Co. (The)
8.750%, 08/15/21............................. 977 1,151,039
2.500%, 03/01/25............................. 6,399 5,988,583
2.600%, 10/30/25............................. 3,568 3,356,683
Booking Holdings, Inc.
3.600%, 06/01/26............................. 10,484 10,152,716
Boston Scientific Corp.
4.125%, 10/01/23............................. 1,472 1,495,863
Bristol-Myers Squibb Co.
# 2.000%, 08/01/22............................. 4,244 4,053,870
Brown & Brown, Inc.
4.200%, 09/15/24............................. 4,660 4,702,672
Buckeye Partners L.P.
# 4.150%, 07/01/23............................. 1,920 1,915,002
3.950%, 12/01/26............................. 7,413 6,973,193
Bunge, Ltd. Finance Corp.
3.750%, 09/25/27............................. 4,400 4,165,084
Burlington Northern Santa Fe LLC
# 3.000%, 04/01/25............................. 4,279 4,133,509
7.000%, 12/15/25............................. 858 1,040,022
91
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
CA, Inc.
# 4.700%, 03/15/27............................. 17,502 $17,601,304
Campbell Soup Co.
4.250%, 04/15/21............................. 1,024 1,051,688
2.500%, 08/02/22............................. 1,939 1,849,980
3.300%, 03/19/25............................. 4,045 3,865,618
# 4.150%, 03/15/28............................. 9,628 9,329,333
Capital One Bank USA NA
2.300%, 06/05/19............................. 529 524,938
Capital One Financial Corp.
4.750%, 07/15/21............................. 1,956 2,032,030
3.750%, 04/24/24............................. 4,607 4,524,104
3.750%, 03/09/27............................. 5,000 4,741,208
Cardinal Health, Inc.
4.625%, 12/15/20............................. 640 659,204
3.200%, 06/15/22............................. 3,840 3,770,138
# 3.410%, 06/15/27............................. 10,718 9,953,191
Caterpillar, Inc.
2.600%, 06/26/22............................. 2,531 2,466,941
# 3.400%, 05/15/24............................. 1,823 1,815,685
CBS Corp.
# 3.375%, 03/01/22............................. 2,276 2,254,470
# 3.500%, 01/15/25............................. 2,364 2,271,880
2.900%, 01/15/27............................. 26,061 23,296,449
7.875%, 07/30/30............................. 1,137 1,425,967
Celgene Corp.
4.000%, 08/15/23............................. 8,237 8,292,176
3.625%, 05/15/24............................. 4,433 4,333,089
CenterPoint Energy Resources Corp.
4.500%, 01/15/21............................. 1,549 1,589,702
4.000%, 04/01/28............................. 4,800 4,750,407
Charles Schwab Corp. (The)
3.000%, 03/10/25............................. 12,777 12,262,036
Chevron Corp.
# 3.191%, 06/24/23............................. 15,766 15,665,213
2.954%, 05/16/26............................. 11,356 10,848,322
Cigna Corp.
4.000%, 02/15/22............................. 743 753,768
Cincinnati Financial Corp.
6.920%, 05/15/28............................. 4,000 4,920,437
Cisco Systems, Inc.
# 3.625%, 03/04/24............................. 1,920 1,949,206
Citigroup, Inc.
4.500%, 01/14/22............................. 1,472 1,524,700
3.875%, 10/25/23............................. 2,843 2,854,351
3.750%, 06/16/24............................. 2,560 2,543,553
# 3.300%, 04/27/25............................. 7,679 7,353,776
Clorox Co. (The)
3.500%, 12/15/24............................. 3,200 3,191,459
CME Group, Inc.
# 3.000%, 03/15/25............................. 2,833 2,731,993
CMS Energy Corp.
3.875%, 03/01/24............................. 1,725 1,727,795
3.600%, 11/15/25............................. 3,163 3,089,650
3.000%, 05/15/26............................. 4,942 4,639,153
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
CNA Financial Corp.
# 4.500%, 03/01/26............................. 6,457 $ 6,613,314
Coca-Cola Co. (The)
# 1.875%, 10/27/20............................. 18,435 18,017,617
# 3.300%, 09/01/21............................. 1,696 1,715,124
# 3.200%, 11/01/23............................. 21,537 21,478,487
2.250%, 09/01/26............................. 12,603 11,405,032
# 2.900%, 05/25/27............................. 23,535 22,334,593
Colgate-Palmolive Co.
# 1.950%, 02/01/23............................. 6,926 6,574,245
Comcast Cable Communications Holdings, Inc.
9.455%, 11/15/22............................. 2,956 3,698,509
Comcast Corp.
3.600%, 03/01/24............................. 4,324 4,308,428
# 3.375%, 08/15/25............................. 4,217 4,094,260
3.150%, 03/01/26............................. 8,698 8,274,483
Conagra Brands, Inc.
3.200%, 01/25/23............................. 4,643 4,555,739
ConocoPhillips Co.
2.400%, 12/15/22............................. 1,920 1,833,259
3.350%, 11/15/24............................. 4,480 4,393,222
4.950%, 03/15/26............................. 14,827 15,966,216
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24............................. 1,280 1,255,449
Corning, Inc.
3.700%, 11/15/23............................. 2,710 2,690,525
Costco Wholesale Corp.
3.000%, 05/18/27............................. 19,000 18,064,819
Cox Communications, Inc.
## 3.250%, 12/15/22............................. 2,224 2,168,292
## # 3.850%, 02/01/25............................. 6,790 6,713,700
CSX Corp.
4.250%, 06/01/21............................. 748 768,653
CVS Health Corp.
# 2.800%, 07/20/20............................. 1,913 1,901,205
# 2.125%, 06/01/21............................. 1,285 1,239,784
3.375%, 08/12/24............................. 14,857 14,342,180
3.875%, 07/20/25............................. 8,894 8,745,178
Danaher Corp.
3.350%, 09/15/25............................. 1,483 1,468,626
Deere & Co.
# 5.375%, 10/16/29............................. 467 531,769
Discovery Communications LLC
## 2.800%, 06/15/20............................. 544 537,695
3.300%, 05/15/22............................. 1,408 1,385,943
## 3.500%, 06/15/22............................. 7,694 7,609,881
3.250%, 04/01/23............................. 640 619,433
## 3.900%, 11/15/24............................. 5,376 5,254,931
3.450%, 03/15/25............................. 5,671 5,413,662
Dollar General Corp.
# 3.250%, 04/15/23............................. 6,733 6,607,059
4.150%, 11/01/25............................. 1,104 1,114,428
92
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Dominion Energy Gas Holdings LLC
# 2.800%, 11/15/20............................. 7,166 $ 7,094,756
3.600%, 12/15/24............................. 3,200 3,145,261
Dominion Energy, Inc.
3.625%, 12/01/24............................. 1,280 1,258,786
3.900%, 10/01/25............................. 10,013 9,896,322
Dow Chemical Co. (The)
3.000%, 11/15/22............................. 2,694 2,623,247
3.500%, 10/01/24............................. 7,452 7,283,137
Dr Pepper Snapple Group, Inc.
3.400%, 11/15/25............................. 5,885 5,547,120
Dr. Pepper Snapple Group, Inc.
2.000%, 01/15/20............................. 88 86,356
DTE Energy Co.
2.400%, 12/01/19............................. 2,145 2,115,738
3.850%, 12/01/23............................. 960 964,877
2.850%, 10/01/26............................. 1,000 908,012
Duke Energy Corp.
3.050%, 08/15/22............................. 11,244 11,029,475
# 3.750%, 04/15/24............................. 5,705 5,686,031
DXC Technology Co.
4.450%, 09/18/22............................. 3,200 3,259,787
Eastman Chemical Co.
# 2.700%, 01/15/20............................. 439 436,392
4.500%, 01/15/21............................. 88 90,425
3.600%, 08/15/22............................. 297 296,461
3.800%, 03/15/25............................. 9,527 9,532,394
Eaton Corp.
4.000%, 11/02/32............................. 2,600 2,550,044
Eaton Vance Corp.
3.500%, 04/06/27............................. 8,762 8,532,079
eBay, Inc.
# 3.800%, 03/09/22............................. 7,413 7,494,157
2.600%, 07/15/22............................. 2,688 2,587,705
# 3.600%, 06/05/27............................. 13,375 12,671,454
Ecolab, Inc.
4.350%, 12/08/21............................. 1,072 1,112,139
# 2.700%, 11/01/26............................. 4,448 4,101,927
EI du Pont de Nemours & Co.
4.625%, 01/15/20............................. 150 154,297
Electronic Arts, Inc.
4.800%, 03/01/26............................. $ 15,000 15,778,080
Emerson Electric Co.
3.150%, 06/01/25............................. 5,312 5,195,605
Energy Transfer Partners L.P.
# 4.750%, 01/15/26............................. 5,733 5,720,741
Enterprise Products Operating LLC
5.200%, 09/01/20............................. 480 501,252
3.900%, 02/15/24............................. 2,080 2,088,887
# 3.750%, 02/15/25............................. 1,977 1,960,250
3.700%, 02/15/26............................. 5,276 5,159,687
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
EOG Resources, Inc.
4.100%, 02/01/21............................. 1,722 $ 1,755,458
# 2.625%, 03/15/23............................. 3,756 3,588,214
3.150%, 04/01/25............................. 6,718 6,447,401
EQT Corp.
3.900%, 10/01/27............................. 14,255 13,561,402
ERAC USA Finance LLC
## # 3.850%, 11/15/24............................. 6,590 6,568,532
Eversource Energy
2.500%, 03/15/21............................. 494 484,523
2.800%, 05/01/23............................. 4,743 4,560,980
Exelon Corp.
2.450%, 04/15/21............................. 370 358,874
3.950%, 06/15/25............................. 2,323 2,304,042
# 3.400%, 04/15/26............................. 20,540 19,626,377
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 326 324,818
Express Scripts Holding Co.
3.900%, 02/15/22............................. 4,767 4,784,781
3.500%, 06/15/24............................. 8,342 7,988,888
# 3.400%, 03/01/27............................. 14,920 13,729,150
Exxon Mobil Corp.
# 3.176%, 03/15/24............................. 32,923 32,802,794
3.043%, 03/01/26............................. 4,942 4,778,490
FedEx Corp.
# 2.625%, 08/01/22............................. 4,357 4,229,374
# 4.000%, 01/15/24............................. 8,491 8,689,565
3.200%, 02/01/25............................. 3,744 3,610,639
3.400%, 02/15/28............................. 5,250 5,023,109
Fidelity National Information Services, Inc.
2.250%, 08/15/21............................. 3,855 3,716,644
5.000%, 10/15/25............................. 4,265 4,499,373
Fifth Third Bancorp
3.500%, 03/15/22............................. 56 55,952
# 3.950%, 03/14/28............................. 21,032 20,810,967
Ford Motor Credit Co. LLC
2.459%, 03/27/20............................. 635 625,461
3.200%, 01/15/21............................. 1,200 1,189,139
# 3.219%, 01/09/22............................. 8,750 8,570,627
# 4.375%, 08/06/23............................. 8,417 8,476,559
3.664%, 09/08/24............................. 4,875 4,673,390
GATX Corp.
3.250%, 03/30/25............................. 5,120 4,816,070
# 3.250%, 09/15/26............................. 6,368 5,887,607
General Dynamics Corp.
# 2.250%, 11/15/22............................. 4,800 4,586,426
2.125%, 08/15/26............................. 7,339 6,526,417
General Electric Co.
0.375%, 05/17/22............................. EUR 11,546 13,860,125
# 3.375%, 03/11/24............................. 3,200 3,119,247
6.750%, 03/15/32............................. 26,911 32,998,056
General Mills, Inc.
# 3.150%, 12/15/21............................. 748 741,369
# 4.200%, 04/17/28............................. 8,600 8,466,190
93
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
General Motors Co.
# 4.200%, 10/01/27............................. 2,000 $ 1,913,995
General Motors Financial Co., Inc.
# 5.250%, 03/01/26............................. 17,826 18,531,856
# 4.350%, 01/17/27............................. 4,942 4,809,643
Georgia Power Co.
2.850%, 05/15/22............................. 1,830 1,787,688
3.250%, 04/01/26............................. 3,000 2,867,842
3.250%, 03/30/27............................. 14,966 14,228,822
Georgia-Pacific LLC
7.750%, 11/15/29............................. 1,000 1,338,292
Gilead Sciences, Inc.
2.050%, 04/01/19............................. 175 174,154
# 4.400%, 12/01/21............................. 1,414 1,467,547
# 3.700%, 04/01/24............................. 10,612 10,694,432
3.650%, 03/01/26............................. 8,806 8,700,761
Goldman Sachs Group, Inc. (The)
6.000%, 06/15/20............................. 42 44,411
5.250%, 07/27/21............................. 2,240 2,368,067
4.000%, 03/03/24............................. 21,404 21,475,075
# 3.750%, 05/22/25............................. 7,413 7,240,463
3.750%, 02/25/26............................. 2,000 1,936,195
Great Plains Energy, Inc.
4.850%, 06/01/21............................. 2,466 2,542,795
Halliburton Co.
3.500%, 08/01/23............................. 6,399 6,370,377
# 3.800%, 11/15/25............................. 2,441 2,422,086
Harley-Davidson, Inc.
3.500%, 07/28/25............................. 5,593 5,433,274
Harris Corp.
2.700%, 04/27/20............................. 497 492,819
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22............................. 6,737 7,137,392
Hasbro, Inc.
3.500%, 09/15/27............................. 3,300 3,037,392
Hewlett Packard Enterprise Co.
# 4.900%, 10/15/25............................. 2,965 3,046,280
Home Depot, Inc. (The)
# 2.700%, 04/01/23............................. 1,280 1,247,616
3.350%, 09/15/25............................. 3,642 3,589,625
Honeywell International, Inc.
# 2.500%, 11/01/26............................. 9,698 8,870,768
Hormel Foods Corp.
4.125%, 04/15/21............................. 1,479 1,519,280
Humana, Inc.
3.850%, 10/01/24............................. 7,825 7,823,215
Huntington Bancshares, Inc.
3.150%, 03/14/21............................. 1,582 1,575,000
2.300%, 01/14/22............................. 3,292 3,163,645
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Hyatt Hotels Corp.
3.375%, 07/15/23............................. 1,936 $ 1,901,079
Illinois Tool Works, Inc.
1.950%, 03/01/19............................. 310 308,588
3.500%, 03/01/24............................. 6,399 6,451,131
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 261 270,178
Intel Corp.
# 2.700%, 12/15/22............................. 931 911,978
# 3.150%, 05/11/27............................. 2,500 2,408,357
4.000%, 12/15/32............................. 3,200 3,264,298
International Business Machines Corp.
2.250%, 02/19/21............................. 19,769 19,424,850
3.375%, 08/01/23............................. 4,409 4,394,362
# 3.625%, 02/12/24............................. 9,600 9,617,760
# 3.300%, 01/27/27............................. 26,154 25,397,003
International Paper Co.
3.650%, 06/15/24............................. 7,850 7,722,449
3.800%, 01/15/26............................. 3,050 2,970,304
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24............................. 3,903 3,924,980
ITC Holdings Corp.
3.650%, 06/15/24............................. 9,714 9,577,887
Janus Capital Group, Inc.
4.875%, 08/01/25............................. 9,046 9,367,519
Jefferies Group LLC / Jefferies Group Capital
Finance, Inc.
4.850%, 01/15/27............................. 4,843 4,829,531
JM Smucker Co. (The)
3.500%, 03/15/25............................. 6,042 5,866,788
John Deere Capital Corp.
2.550%, 01/08/21............................. 9,591 9,438,390
3.350%, 06/12/24............................. 6,195 6,126,596
Johnson & Johnson
1.650%, 03/01/21............................. 1,483 1,440,166
3.375%, 12/05/23............................. 6,399 6,462,271
2.450%, 03/01/26............................. 3,212 2,981,823
JPMorgan Chase & Co.
4.350%, 08/15/21............................. 1,986 2,052,030
# 3.625%, 05/13/24............................. 12,131 12,039,788
3.900%, 07/15/25............................. 13,351 13,267,595
Juniper Networks, Inc.
4.600%, 03/15/21............................. 2,560 2,614,925
4.500%, 03/15/24............................. 4,224 4,292,122
Kellogg Co.
3.250%, 04/01/26............................. 13,739 12,948,315
# 3.400%, 11/15/27............................. 14,600 13,701,952
7.450%, 04/01/31............................. 5,259 6,676,437
KeyBank NA
2.500%, 12/15/19............................. 153 151,980
KeyCorp
2.900%, 09/15/20............................. 1,449 1,438,713
# 5.100%, 03/24/21............................. 1,395 1,463,581
94
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
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(000)
UNITED STATES -- (Continued)
Kimberly-Clark Corp.
1.900%, 05/22/19............................. 491 $ 487,890
2.400%, 06/01/23............................. 1,920 1,843,253
Kohl's Corp.
4.750%, 12/15/23............................. 1,417 1,459,453
Kraft Heinz Foods Co.
3.500%, 06/06/22............................. 9,148 9,099,950
3.950%, 07/15/25............................. 11,515 11,325,492
Kroger Co. (The)
# 3.850%, 08/01/23............................. 3,341 3,344,723
7.500%, 04/01/31............................. 7,660 9,554,858
L3 Technologies, Inc.
4.750%, 07/15/20............................. 544 562,543
3.950%, 05/28/24............................. 2,469 2,459,113
Laboratory Corp. of America Holdings
4.000%, 11/01/23............................. 3,840 3,875,760
3.600%, 09/01/27............................. 2,500 2,385,816
Lam Research Corp.
3.800%, 03/15/25............................. 4,094 4,062,775
Legg Mason, Inc.
3.950%, 07/15/24............................. 4,736 4,678,032
4.750%, 03/15/26............................. 2,007 2,066,683
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 6,665 6,930,222
Lincoln National Corp.
6.250%, 02/15/20............................. 117 123,023
Lockheed Martin Corp.
2.900%, 03/01/25............................. 4,480 4,250,942
3.550%, 01/15/26............................. 4,800 4,726,020
Loews Corp.
2.625%, 05/15/23............................. 3,761 3,604,653
# 3.750%, 04/01/26............................. 10,670 10,584,963
Lowe's Cos., Inc.
3.120%, 04/15/22............................. 292 $ 292,354
# 3.375%, 09/15/25............................. 5,183 5,093,031
Magellan Midstream Partners L.P.
4.250%, 02/01/21............................. 1,516 1,545,441
Manufacturers & Traders Trust Co.
2.100%, 02/06/20............................. 893 878,363
2.900%, 02/06/25............................. 8,028 7,674,589
Marathon Petroleum Corp.
3.625%, 09/15/24............................. 8,191 8,043,746
Marriott International, Inc.
# 2.875%, 03/01/21............................. 1,009 998,831
4.000%, 04/15/28............................. 7,900 7,719,501
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19............................. 523 518,624
3.500%, 06/03/24............................. 8,320 8,192,155
MasterCard, Inc.
# 3.375%, 04/01/24............................. 1,787 1,789,189
Mastercard, Inc.
# 2.950%, 11/21/26............................. 2,700 2,582,133
FACE
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(000)
UNITED STATES -- (Continued)
Maxim Integrated Products, Inc.
3.450%, 06/15/27............................. 5,931 $ 5,683,399
McDonald's Corp.
# 2.200%, 05/26/20............................. 802 790,997
# 3.500%, 07/15/20............................. 4,915 4,970,938
# 2.625%, 01/15/22............................. 1,856 1,822,006
McKesson Corp.
3.796%, 03/15/24............................. 4,348 4,315,823
Mead Johnson Nutrition Co.
4.125%, 11/15/25............................. 5,931 6,024,116
Merck & Co., Inc.
2.800%, 05/18/23............................. 13,759 13,434,869
# 2.750%, 02/10/25............................. 11,609 11,091,974
MetLife, Inc.
3.600%, 04/10/24............................. 16,140 16,141,155
Microsoft Corp.
1.625%, 12/06/18............................. 962 958,329
1.850%, 02/12/20............................. 122 120,347
# 3.000%, 10/01/20............................. 1,033 1,041,364
# 2.000%, 11/03/20............................. 8,600 8,453,937
# 3.625%, 12/15/23............................. 9,289 9,460,751
2.700%, 02/12/25............................. 1,920 1,837,290
3.125%, 11/03/25............................. 3,109 3,032,942
2.400%, 08/08/26............................. 29,634 27,211,076
3.300%, 02/06/27............................. 24,692 24,157,063
Mobil Corp.
8.625%, 08/15/21............................. 1,288 1,513,005
Molson Coors Brewing Co.
# 3.500%, 05/01/22............................. 2,787 2,774,130
3.000%, 07/15/26............................. 15,466 14,158,447
Monsanto Co.
1.850%, 11/15/18............................. 2,925 2,912,063
2.125%, 07/15/19............................. 261 258,646
5.500%, 08/15/25............................. 2,240 2,422,202
Morgan Stanley
7.300%, 05/13/19............................. 235 245,627
# 2.500%, 04/21/21............................. 2,471 2,414,063
5.500%, 07/28/21............................. 865 919,064
3.875%, 04/29/24............................. 11,982 11,991,850
3.875%, 01/27/26............................. 16,453 16,200,431
3.625%, 01/20/27............................. 1,500 1,445,159
Mosaic Co. (The)
4.250%, 11/15/23............................. 3,965 3,971,566
4.050%, 11/15/27............................. 6,000 5,665,189
Motorola Solutions, Inc.
3.750%, 05/15/22............................. 3,200 3,181,737
3.500%, 03/01/23............................. 3,200 3,130,789
MPLX L.P.
4.125%, 03/01/27............................. 6,448 6,284,876
Nasdaq, Inc.
# 4.250%, 06/01/24............................. 2,816 2,838,894
National Oilwell Varco, Inc.
2.600%, 12/01/22............................. 8,023 7,643,799
95
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
National Rural Utilities Cooperative Finance
Corp.
8.000%, 03/01/32............................. 2,708 $ 3,766,758
NetApp, Inc.
3.250%, 12/15/22............................. 1,088 1,062,657
Newell Brands, Inc.
4.000%, 06/15/22............................. 6,483 6,457,375
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21............................. 828 852,872
# 3.550%, 05/01/27............................. 20,641 19,809,620
NIKE, Inc.
# 2.375%, 11/01/26............................. 28,083 25,630,920
NiSource, Inc.
3.850%, 02/15/23............................. 2,335 2,349,843
Noble Energy, Inc.
4.150%, 12/15/21............................. 1,717 1,745,184
3.900%, 11/15/24............................. 1,556 1,544,788
3.850%, 01/15/28............................. 1,000 962,955
Nordstrom, Inc.
4.750%, 05/01/20............................. 1,337 1,374,958
# 4.000%, 10/15/21............................. 960 971,518
# 4.000%, 03/15/27............................. 12,652 12,132,297
Norfolk Southern Corp.
2.903%, 02/15/23............................. 4,480 4,367,904
Northern Trust Corp.
3.375%, 08/23/21............................. 1,920 1,939,655
Northrop Grumman Corp.
3.250%, 08/01/23............................. 988 973,991
Nuveen Finance LLC
## 4.125%, 11/01/24............................. 2,748 2,755,416
O'Reilly Automotive, Inc.
3.800%, 09/01/22............................. 722 732,866
# 3.600%, 09/01/27............................. 18,580 17,627,489
Occidental Petroleum Corp.
2.700%, 02/15/23............................. 420 407,598
# 3.400%, 04/15/26............................. 7,291 7,125,639
3.000%, 02/15/27............................. 7,118 6,740,829
Ohio Power Co.
5.375%, 10/01/21............................. 2,308 2,459,028
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.650%, 11/01/24............................. 3,257 3,192,099
ONE Gas, Inc.
2.070%, 02/01/19............................. 491 489,202
ONEOK, Inc.
# 4.000%, 07/13/27............................. 6,623 6,429,276
Oracle Corp.
2.950%, 05/15/25............................. 27,858 26,681,325
2.650%, 07/15/26............................. 39,785 36,804,783
3.250%, 11/15/27............................. 26,794 25,711,572
Pacific Gas & Electric Co.
3.850%, 11/15/23............................. 3,200 3,198,716
3.750%, 02/15/24............................. 6,502 6,430,021
3.500%, 06/15/25............................. 4,288 4,126,596
2.950%, 03/01/26............................. 2,000 1,842,156
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Packaging Corp. of America
# 4.500%, 11/01/23............................. 3,888 $ 3,997,724
Parker-Hannifin Corp.
3.300%, 11/21/24............................. 6,093 6,027,081
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.400%, 11/15/26............................. 1,000 937,426
PepsiCo, Inc.
# 2.150%, 10/14/20............................. 6,428 6,327,027
2.750%, 03/05/22............................. 2,810 2,774,427
# 2.750%, 03/01/23............................. 4,480 4,387,979
3.500%, 07/17/25............................. 13,489 13,439,453
Pfizer, Inc.
3.000%, 06/15/23............................. 1,920 1,912,354
# 3.400%, 05/15/24............................. 6,399 6,373,534
# 3.000%, 12/15/26............................. 42,108 40,287,081
Philip Morris International, Inc.
# 3.250%, 11/10/24............................. 7,098 6,888,614
Phillips 66
4.300%, 04/01/22............................. 4,235 4,382,384
Phillips 66 Partners L.P.
# 3.550%, 10/01/26............................. 21,603 20,371,204
PNC Bank NA
3.300%, 10/30/24............................. 3,788 3,702,008
2.950%, 02/23/25............................. 8,093 7,700,166
# 3.250%, 06/01/25............................. 8,000 7,737,913
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20............................. 267 273,872
# 3.300%, 03/08/22............................. 795 791,696
PPG Industries, Inc.
3.750%, 03/15/28............................. 3,357 3,324,871
PPL Capital Funding, Inc.
3.400%, 06/01/23............................. 4,857 4,767,748
3.100%, 05/15/26............................. 9,200 8,556,729
Praxair, Inc.
2.200%, 08/15/22............................. 800 766,569
Precision Castparts Corp.
2.500%, 01/15/23............................. 7,769 7,507,483
3.250%, 06/15/25............................. 30,987 30,284,112
Principal Financial Group, Inc.
3.125%, 05/15/23............................. 4,444 4,338,475
3.400%, 05/15/25............................. 5,700 5,532,931
3.100%, 11/15/26............................. 4,547 4,259,808
Private Export Funding Corp.
# 4.300%, 12/15/21............................. 900 943,537
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 1,515 1,474,708
2.450%, 11/03/26............................. 1,077 992,503
# 2.850%, 08/11/27............................. 12,850 12,114,376
96
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
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(000)
UNITED STATES -- (Continued)
Progress Energy, Inc.
4.875%, 12/01/19............................. 547 $ 560,267
4.400%, 01/15/21............................. 1,225 1,253,982
7.750%, 03/01/31............................. 2,500 3,349,171
Progressive Corp. (The)
3.750%, 08/23/21 4,352 4,427,141
Prudential Financial, Inc.
# 4.500%, 11/15/20............................. 357 368,607
# 3.500%, 05/15/24............................. 9,600 9,564,395
PSEG Power LLC
2.450%, 11/15/18............................. 523 521,860
5.125%, 04/15/20............................. 2,243 2,320,814
4.300%, 11/15/23............................. 5,815 5,912,423
Puget Energy, Inc.
6.000%, 09/01/21............................. 7,900 8,475,578
QUALCOMM, Inc.
2.250%, 05/20/20............................. 537 528,468
# 3.450%, 05/20/25............................. 11,243 10,759,019
Quest Diagnostics, Inc.
3.500%, 03/30/25............................. 384 373,686
Raytheon Co.
# 3.125%, 10/15/20............................. 4,003 4,020,183
2.500%, 12/15/22............................. 383 370,827
Reinsurance Group of America, Inc.
5.000%, 06/01/21............................. 960 998,202
4.700%, 09/15/23............................. 3,840 3,950,771
3.950%, 09/15/26............................. 9,489 9,313,657
Republic Services, Inc.
5.500%, 09/15/19............................. 129 133,484
3.550%, 06/01/22............................. 4,488 4,490,423
Reynolds American, Inc.
6.875%, 05/01/20............................. 4,048 4,325,325
Rockwell Automation, Inc.
2.875%, 03/01/25............................. 5,738 5,463,445
Roper Technologies, Inc.
3.000%, 12/15/20............................. 1,285 1,277,479
Ryder System, Inc.
# 2.450%, 09/03/19............................. 120 119,180
Santander Holdings USA, Inc.
4.400%, 07/13/27............................. 2,000 1,957,264
Sempra Energy
2.850%, 11/15/20............................. 5,338 5,274,607
4.050%, 12/01/23............................. 4,205 4,276,409
3.550%, 06/15/24............................. 6,528 6,423,202
Sherwin-Williams Co. (The)
# 3.450%, 08/01/25............................. 6,794 6,585,396
Southern Co. (The)
3.250%, 07/01/26............................. 7,804 7,325,147
Southern Power Co.
4.150%, 12/01/25............................. 1,433 1,448,194
Southwest Airlines Co.
2.650%, 11/05/20............................. 5,140 5,075,318
3.000%, 11/15/26............................. 9,166 8,595,875
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Southwest Gas Corp.
3.700%, 04/01/28............................. 2,900 $ 2,878,685
Spectra Energy Partners L.P.
4.750%, 03/15/24............................. 1,915 1,963,677
StanCorp Financial Group, Inc.
5.000%, 08/15/22............................. 3,200 3,348,665
Starbucks Corp.
3.850%, 10/01/23............................. 1,231 1,261,118
State Street Corp.
4.375%, 03/07/21............................. 2,096 2,174,432
1.950%, 05/19/21............................. 2,356 2,280,514
3.300%, 12/16/24............................. 13,947 13,714,709
3.550%, 08/18/25............................. 8,254 8,202,484
Stryker Corp.
2.625%, 03/15/21............................. 896 883,787
3.375%, 05/15/24............................. 512 504,904
3.375%, 11/01/25............................. 10,289 10,058,362
SunTrust Bank
2.750%, 05/01/23............................. 3,172 3,049,188
SunTrust Banks, Inc.
2.900%, 03/03/21............................. 3,460 3,424,372
Sysco Corp.
2.600%, 10/01/20............................. 2,965 2,931,218
3.300%, 07/15/26............................. 15,704 14,995,256
Tapestry, Inc.
4.250%, 04/01/25............................. 16,805 16,508,382
Target Corp.
2.900%, 01/15/22............................. 3,559 3,544,392
# 2.500%, 04/15/26............................. 4,468 4,076,090
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 210 218,419
# 2.950%, 04/01/22............................. 1,785 1,754,013
# 3.625%, 04/01/25............................. 7,358 7,325,403
Texas Instruments, Inc.
2.250%, 05/01/23............................. 657 629,712
Time Warner, Inc.
# 4.750%, 03/29/21............................. 1,089 1,131,911
4.000%, 01/15/22............................. 1,152 1,170,386
# 3.550%, 06/01/24............................. 4,480 4,376,924
3.600%, 07/15/25............................. 10,695 10,329,419
3.800%, 02/15/27............................. 5,417 5,236,278
Total System Services, Inc.
4.800%, 04/01/26............................. 5,931 6,162,395
Travelers Cos., Inc. (The)
3.900%, 11/01/20............................. 5,931 6,033,882
Tyson Foods, Inc.
4.500%, 06/15/22............................. 5,527 5,717,079
U.S. Bancorp
# 2.350%, 01/29/21............................. 806 791,355
U.S. Bank NA
2.800%, 01/27/25............................. 5,950 5,634,068
Unilever Capital Corp.
2.000%, 07/28/26............................. 1,900 1,677,362
97
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Union Pacific Corp.
2.250%, 02/15/19............................. 332 $ 330,984
2.750%, 04/15/23............................. 640 619,896
3.250%, 01/15/25............................. 9,515 9,325,766
United Parcel Service, Inc.
# 3.050%, 11/15/27............................. 1,085 1,030,427
United Technologies Corp.
# 3.100%, 06/01/22............................. 158 156,197
7.500%, 09/15/29............................. 615 787,918
UnitedHealth Group, Inc.
2.750%, 02/15/23............................. 8,672 8,420,315
# 2.875%, 03/15/23............................. 5,760 5,619,629
3.750%, 07/15/25............................. 11,730 11,717,458
3.100%, 03/15/26............................. 1,290 1,230,860
Unum Group
4.000%, 03/15/24............................. 5,051 5,064,628
3.875%, 11/05/25............................. 1,977 1,917,407
Valero Energy Corp.
9.375%, 03/15/19............................. 73 77,047
3.400%, 09/15/26............................. 7,918 7,562,148
Verizon Communications, Inc.
# 3.500%, 11/01/24............................. 1,186 1,164,648
3.376%, 02/15/25............................. 18,194 17,661,874
# 2.625%, 08/15/26............................. 2,026 1,817,452
4.125%, 03/16/27............................. 2,000 1,995,523
Viacom, Inc.
2.750%, 12/15/19............................. 293 290,261
4.500%, 03/01/21............................. 1,856 1,905,337
4.250%, 09/01/23............................. 640 643,341
# 3.875%, 04/01/24............................. 4,899 4,795,934
Visa, Inc.
3.150%, 12/14/25............................. 14,555 14,179,526
Walgreen Co.
3.100%, 09/15/22............................. 6,807 6,647,830
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21............................. 12,828 12,775,919
3.450%, 06/01/26............................. 2,965 2,778,657
Walmart, Inc.
# 2.550%, 04/11/23............................. 6,748 6,544,175
3.300%, 04/22/24............................. 6,704 6,703,838
Walt Disney Co. (The)
# 3.150%, 09/17/25............................. 9,588 9,399,666
Waste Management, Inc.
4.600%, 03/01/21............................. 1,831 1,897,153
3.500%, 05/15/24............................. 4,942 4,899,944
3.125%, 03/01/25............................. 3,460 3,317,663
WEC Energy Group, Inc.
2.450%, 06/15/20............................. 1,658 1,634,441
3.550%, 06/15/25............................. 6,271 6,154,687
Wells Fargo & Co.
2.600%, 07/22/20............................. 297 293,884
# 3.500%, 03/08/22............................. 8,768 8,752,865
3.000%, 02/19/25............................. 16,264 15,266,911
3.000%, 04/22/26............................. 2,771 2,556,524
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Western Union Co. (The)
5.253%, 04/01/20............................. 2,283 $ 2,359,058
WestRock MWV LLC
8.200%, 01/15/30............................. 19,367 25,937,709
Whirlpool Corp.
4.700%, 06/01/22............................. 1,920 1,999,055
# 3.700%, 05/01/25............................. 15,463 15,228,805
Williams Partners L.P.
4.000%, 09/15/25............................. 11,614 11,279,004
3.750%, 06/15/27............................. 7,263 6,825,279
Wisconsin Electric Power Co.
3.100%, 06/01/25............................. 3,200 3,092,965
Wm Wrigley Jr Co.
## 2.900%, 10/21/19............................. 174 173,955
Wyndham Worldwide Corp.
# 3.900%, 03/01/23............................. 7,541 7,143,866
Xerox Corp.
4.070%, 03/17/22............................. 1,125 1,117,208
# 3.800%, 05/15/24............................. 4,290 4,156,052
Zimmer Biomet Holdings, Inc.
3.550%, 04/01/25............................. 5,634 5,422,226
Zoetis, Inc.
3.000%, 09/12/27............................. 16,275 15,043,222
--------------
TOTAL UNITED STATES.............................. 3,326,212,636
--------------
TOTAL BONDS...................................... 4,585,515,233
--------------
AGENCY OBLIGATIONS -- (17.0%)
Federal Farm Credit Bank
5.320%, 09/03/19............................. 6,305 6,542,957
5.150%, 11/15/19............................. 5,233 5,441,802
4.670%, 05/07/20............................. 1,658 1,725,981
5.350%, 08/07/20............................. 1,984 2,102,306
3.650%, 12/21/20............................. 13,026 13,344,733
5.250%, 03/02/21............................. 1,806 1,929,756
5.220%, 02/22/22............................. 1,480 1,607,122
5.210%, 12/19/22............................. 6,276 6,898,868
4.800%, 02/13/23............................. 576 624,080
5.250%, 03/06/23............................. 1,776 1,961,514
5.220%, 05/15/23............................. 14,240 15,753,926
2.630%, 08/03/26............................. 5,760 5,537,376
5.770%, 01/05/27............................. 1,920 2,292,854
Federal Home Loan Bank
1.875%, 03/13/20............................. 37,260 36,819,438
4.125%, 03/13/20............................. 26,560 27,310,054
3.000%, 03/18/20............................. 5,350 5,392,656
# 3.375%, 06/12/20............................. 8,435 8,571,335
2.875%, 09/11/20............................. 4,355 4,373,226
4.625%, 09/11/20............................. 7,590 7,941,516
3.125%, 12/11/20............................. 1,775 1,792,762
5.250%, 12/11/20............................. 2,235 2,383,181
1.750%, 03/12/21............................. 11,970 11,651,011
5.000%, 03/12/21............................. 1,535 1,633,556
2.250%, 06/11/21............................. 20,725 20,364,675
98
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
3.625%, 06/11/21............................. 2,970 $ 3,050,134
5.625%, 06/11/21............................. 10,945 11,875,489
2.375%, 09/10/21............................. 11,650 11,523,656
# 3.000%, 09/10/21............................. 9,245 9,330,054
2.625%, 12/10/21............................. 31,855 31,676,230
5.000%, 12/10/21............................. 13,470 14,466,430
2.250%, 03/11/22............................. 2,960 2,899,054
2.500%, 03/11/22............................. 3,255 3,222,720
5.250%, 06/10/22............................. 2,440 2,678,056
5.750%, 06/10/22............................. 5,775 6,442,353
# 2.000%, 09/09/22............................. 4,805 4,641,880
5.375%, 09/30/22............................. 18,760 20,745,859
5.250%, 12/09/22............................. 4,440 4,913,184
4.750%, 03/10/23............................. 14,565 15,773,429
3.250%, 06/09/23............................. 10,360 10,538,399
2.500%, 12/08/23............................. 9,885 9,657,704
3.250%, 03/08/24............................. 29,405 29,816,405
2.875%, 06/14/24............................. 4,845 4,819,045
5.375%, 08/15/24............................. 5,490 6,229,327
5.365%, 09/09/24............................. 600 680,329
2.875%, 09/13/24............................. 65,240 64,690,940
2.750%, 12/13/24............................. 75,120 73,809,757
4.375%, 03/13/26............................. 5,950 6,404,794
5.750%, 06/12/26............................. 11,775 13,977,620
Federal Home Loan Mortgage Corp.
# 6.750%, 09/15/29............................. 18,505 24,529,932
6.750%, 03/15/31............................. 22,231 30,126,495
6.250%, 07/15/32............................. 20,757 27,533,517
Federal National Mortgage Association
1.500%, 06/22/20............................. 4,496 4,396,234
# 1.250%, 05/06/21............................. 4,942 4,743,228
2.000%, 01/05/22............................. 22,734 22,093,811
# 2.375%, 01/19/23............................. 38,550 37,694,845
2.625%, 09/06/24............................. 151,431 147,987,762
2.125%, 04/24/26............................. 62,470 58,170,003
# 1.875%, 09/24/26............................. 100,229 90,714,963
6.250%, 05/15/29............................. 52,706 67,084,355
7.125%, 01/15/30............................. 6,399 8,756,500
7.250%, 05/15/30............................. 21,301 29,568,919
6.625%, 11/15/30............................. 110,212 147,271,997
Tennessee Valley Authority
3.875%, 02/15/21............................. 31,374 32,361,810
# 1.875%, 08/15/22............................. 37,801 36,355,830
# 2.875%, 09/15/24............................. 55,279 54,692,379
6.750%, 11/01/25............................. 25,327 31,478,650
2.875%, 02/01/27............................. 16,804 16,303,795
7.125%, 05/01/30............................. 42,633 58,508,591
--------------
TOTAL AGENCY OBLIGATIONS......................... 1,488,233,149
--------------
U.S. TREASURY OBLIGATIONS -- (26.2%)
U.S. Treasury Bonds
8.125%, 05/15/21............................. 36,590 42,419,638
8.125%, 08/15/21............................. 35,376 41,439,550
FACE
AMOUNT^ VALUE+
------- ------
(000)
7.250%, 08/15/22............................. 28,625 $ 33,858,889
6.250%, 08/15/23............................. 51,143 59,765,741
7.500%, 11/15/24............................. 49,371 63,003,570
6.875%, 08/15/25............................. 39,904 50,337,092
6.000%, 02/15/26............................. 44,152 53,644,073
# 6.750%, 08/15/26............................. 38,863 49,837,371
6.625%, 02/15/27............................. 44,651 57,470,464
6.125%, 11/15/27............................. 29,406 37,164,635
5.250%, 11/15/28............................. 10,442 12,600,678
5.250%, 02/15/29............................. 99,685 120,712,305
6.125%, 08/15/29............................. 25,585 33,325,071
6.250%, 05/15/30............................. 25,710 34,215,656
5.375%, 02/15/31............................. 70,000 87,830,859
U.S. Treasury Notes
2.000%, 09/30/20............................. 41,723 41,162,742
3.625%, 02/15/21............................. 39,044 40,100,728
3.125%, 05/15/21............................. 40,000 40,540,625
1.125%, 07/31/21............................. 24,711 23,520,138
1.250%, 10/31/21............................. 49,423 47,049,834
2.000%, 10/31/21............................. 54,125 52,862,593
1.625%, 08/15/22............................. 88,961 84,912,198
2.125%, 12/31/22............................. 24,711 24,004,711
# 1.500%, 02/28/23............................. 76,308 71,867,013
1.500%, 03/31/23............................. 86,984 81,812,248
1.750%, 05/15/23............................. 68,203 64,830,244
1.250%, 07/31/23............................. 39,538 36,515,505
2.750%, 02/15/24............................. 70,834 70,427,457
2.500%, 05/15/24............................. 86,868 85,069,757
2.250%, 11/15/24............................. 67,709 65,103,694
2.000%, 02/15/25............................. 24,711 23,329,012
2.125%, 05/15/25............................. 108,730 103,254,895
2.000%, 08/15/25............................. 150,000 140,917,968
2.250%, 11/15/25............................. 68,895 65,727,445
1.625%, 02/15/26............................. 64,249 58,404,120
1.625%, 05/15/26............................. 125,533 113,749,751
1.500%, 08/15/26............................. 103,787 92,808,550
2.250%, 11/15/27............................. 84,018 79,138,018
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 2,284,734,838
--------------
TOTAL INVESTMENT SECURITIES........................ 8,358,483,220
--------------
SHARES
------
SECURITIES LENDING COLLATERAL -- (4.3%)
(S)@ DFA Short Term Investment Fund............... 32,793,645 379,422,475
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,024,119,559)............................ $8,737,905,695
==============
99
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
At April 30, 2018, DFA Investment Grade 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.. 76,928,497 EUR 62,393,359 State Street Bank and Trust 07/06/18 $1,206,627
USD.. 94,407,303 SEK 780,835,912 State Street Bank and Trust 07/09/18 4,764,939
USD.. 24,011,672 CAD 30,216,069 JP Morgan 07/13/18 437,864
----------
TOTAL APPRECIATION $6,409,430
==========
Summary of the Portfolio's investments as of April 30, 2018, 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.............................. -- $ 146,509,826 -- $ 146,509,826
Austria................................ -- 1,939,622 -- 1,939,622
Belgium................................ -- 8,778,808 -- 8,778,808
Canada................................. -- 131,928,280 -- 131,928,280
Denmark................................ -- 33,773,961 -- 33,773,961
France................................. -- 67,439,904 -- 67,439,904
Germany................................ -- 80,801,234 -- 80,801,234
Ireland................................ -- 37,613,556 -- 37,613,556
Italy.................................. -- 21,013,427 -- 21,013,427
Japan.................................. -- 96,993,583 -- 96,993,583
Liberia................................ -- 2,634,113 -- 2,634,113
Netherlands............................ -- 167,502,458 -- 167,502,458
Norway................................. -- 18,491,769 -- 18,491,769
Spain.................................. -- 46,977,679 -- 46,977,679
Supranational Organization Obligations. -- 40,201,460 -- 40,201,460
Sweden................................. -- 102,750,608 -- 102,750,608
Switzerland............................ -- 84,662,763 -- 84,662,763
United Kingdom......................... -- 169,289,546 -- 169,289,546
United States.......................... -- 3,326,212,636 -- 3,326,212,636
Agency Obligations....................... -- 1,488,233,149 -- 1,488,233,149
U.S. Treasury Obligations................ -- 2,284,734,838 -- 2,284,734,838
Securities Lending Collateral............ -- 379,422,475 -- 379,422,475
Forward Currency Contracts**............. -- 6,409,430 -- 6,409,430
-- -------------- -- --------------
TOTAL.................................... -- $8,744,315,125 -- $8,744,315,125
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
100
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
----------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (19.7%)
Treasury Inflation Protected Security
0.125%, 04/15/20........................................... $ 22,007 $ 23,198,011
0.125%, 04/15/21........................................... 25,686 26,600,143
0.125%, 01/15/22........................................... 10,500 11,355,108
0.125%, 04/15/22........................................... 14,300 14,334,929
0.125%, 01/15/23........................................... 13,600 14,324,564
0.625%, 01/15/24........................................... 11,900 12,659,850
2.375%, 01/15/25........................................... 23,573 34,539,901
------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 137,012,506
------------
SHARES
-----------
AFFILIATED INVESTMENT COMPANIES -- (79.9%)
Investment in DFA Intermediate Government Fixed Income
Portfolio of DFA Investment Dimensions Group Inc......... 29,007,551 347,510,457
Investment in DFA Two-Year Global Fixed Income Portfolio
of DFA Investment Dimensions Group Inc................... 20,939,878 207,095,390
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ 554,605,847
------------
TOTAL INVESTMENT SECURITIES................................. 691,618,353
------------
SHARES VALUE+
----------- ------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market
Fund, 1.630%............................................... 2,671,144 2,671,144
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $712,007,016)........... $694,289,497
============
Summary of the Portfolio's investments as of April 30, 2018, 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.......... -- $137,012,506 -- $137,012,506
Affiliated Investment Companies.... $554,605,847 -- -- 554,605,847
Temporary Cash Investments......... 2,671,144 -- -- 2,671,144
------------ ------------ -- ------------
TOTAL.............................. $557,276,991 $137,012,506 -- $694,289,497
============ ============ == ============
See accompanying Notes to Financial Statements.
101
DFA LTIP PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^^^ VALUE+
--------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (100.0%)
Treasury Inflation Protected Security
0.625%, 02/15/43........................................... $22,942 $ 23,278,952
1.375%, 02/15/44........................................... 16,878 19,920,521
0.750%, 02/15/45........................................... 51,581 52,226,355
1.000%, 02/15/46........................................... 49,140 52,532,261
0.875%, 02/15/47........................................... 25,425 25,866,818
------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 173,824,907
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $171,923,195)........... $173,824,907
------------
Summary of the Portfolio's investments as of April 30, 2018, 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.......... -- $173,824,907 -- $173,824,907
-- ------------ -- ------------
TOTAL.............................. -- $173,824,907 -- $173,824,907
== ============ == ============
See accompanying Notes to Financial Statements.
102
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^^^ VALUE+
----------- --------------
(000)
U.S. TREASURY OBLIGATIONS -- (99.7%)
Treasury Inflation Protected Security
0.125%, 01/15/23........................................... $ -- $ 122
0.625%, 01/15/24........................................... 137,800 146,598,935
0.125%, 07/15/24........................................... 249,000 252,896,424
0.250%, 01/15/25........................................... 367,000 373,914,478
2.375%, 01/15/25........................................... 199,500 292,309,957
0.375%, 07/15/25........................................... 340,000 349,243,406
0.625%, 01/15/26........................................... 435,000 451,692,126
2.000%, 01/15/26........................................... 188,800 259,431,372
0.125%, 07/15/26........................................... 413,700 409,797,256
0.375%, 01/15/27........................................... 428,000 426,779,450
2.375%, 01/15/27........................................... 160,500 225,211,876
0.375%, 07/15/27........................................... 355,500 350,332,009
1.750%, 01/15/28........................................... 168,700 218,582,925
3.625%, 04/15/28........................................... 124,500 243,416,755
2.500%, 01/15/29........................................... 165,500 225,250,192
3.875%, 04/15/29........................................... 131,745 263,023,895
3.375%, 04/15/32........................................... 54,000 100,814,162
--------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 4,589,295,340
--------------
SHARES
-----------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market
Fund, 1.630%............................................... 12,606,412 12,606,412
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $4,631,197,702)......... $4,601,901,752
==============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------------- ------- --------------
U.S. Treasury Obligations.......... -- $4,589,295,340 -- $4,589,295,340
Temporary Cash Investments......... $12,606,412 -- -- 12,606,412
----------- -------------- -- --------------
TOTAL.............................. $12,606,412 $4,589,295,340 -- $4,601,901,752
=========== ============== == ==============
See accompanying Notes to Financial Statements.
103
DFA SHORT-DURATION REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
BONDS -- (89.2%)
AUSTRALIA -- (6.5%)
ANZ New Zealand International, Ltd.
0.400%, 03/01/22............................. EUR 200 $ 241,277
ASB Finance, Ltd.
0.500%, 06/10/22............................. EUR 3,800 4,582,133
Australia & New Zealand Banking Group, Ltd.
1.450%, 05/15/18............................. 358 357,884
2.550%, 11/23/21............................. 2,700 2,625,535
2.625%, 05/19/22............................. 250 242,467
Commonwealth Bank of Australia
2.500%, 09/20/18............................. 916 916,544
2.250%, 03/13/19............................. 5,000 4,983,738
## 2.750%, 03/10/22............................. 7,974 7,776,239
2.750%, 03/10/22............................. 200 195,040
3.250%, 03/31/22............................. AUD 4,800 3,627,339
0.500%, 07/11/22............................. EUR 2,500 3,025,258
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 5,174 5,183,287
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 3,500 3,476,702
2.800%, 01/10/22............................. 15,000 14,702,877
0.875%, 01/20/22............................. EUR 1,700 2,091,457
2.500%, 05/22/22............................. 1,635 1,577,439
0.350%, 09/07/22............................. EUR 1,600 1,921,938
Westpac Banking Corp.
# 2.600%, 11/23/20............................. 12,000 11,837,086
2.100%, 05/13/21............................. 461 446,368
# 2.800%, 01/11/22............................. 16,749 16,444,468
0.250%, 01/17/22............................. EUR 450 540,820
-----------
TOTAL AUSTRALIA.................................. 86,795,896
-----------
AUSTRIA -- (0.8%)
Oesterreichische Kontrollbank AG
# 2.375%, 10/01/21............................. 6,200 6,092,624
Republic of Austria Government Bond
## 0.0%, 09/20/22............................... EUR 4,000 4,845,330
-----------
TOTAL AUSTRIA.................................... 10,937,954
-----------
BELGIUM -- (0.4%)
Anheuser-Busch InBev Finance, Inc.
2.625%, 01/17/23............................. 3,000 2,887,407
Dexia Credit Local SA
0.250%, 06/02/22............................. EUR 350 424,448
Solvay Finance America LLC
## 3.400%, 12/03/20............................. 2,000 2,000,854
-----------
TOTAL BELGIUM.................................... 5,312,709
-----------
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
CANADA -- (9.8%)
Bank of Montreal
2.375%, 01/25/19............................. 24 $ 23,978
1.900%, 08/27/21............................. 7,000 6,698,160
Bank of Nova Scotia (The)
# 2.350%, 10/21/20............................. 11,405 11,179,029
Canada Housing Trust No. 1
## 1.750%, 06/15/22............................. CAD 4,000 3,043,140
Canadian Imperial Bank of Commerce
2.550%, 06/16/22............................. 2,500 2,413,429
CPPIB Capital, Inc.
## 2.250%, 01/25/22............................. 2,000 1,946,798
Enbridge, Inc.
2.900%, 07/15/22............................. 2,000 1,930,896
Export Development Canada
1.375%, 10/21/21............................. 5,000 4,753,595
Province of British Columbia Canada
2.650%, 09/22/21............................. 2,000 1,980,118
Province of Manitoba Canada
2.125%, 05/04/22............................. 8,500 8,169,993
Province of Ontario Canada
2.500%, 09/10/21............................. 3,221 3,163,031
2.400%, 02/08/22............................. 6,000 5,844,213
1.350%, 03/08/22............................. CAD 2,400 1,794,537
3.150%, 06/02/22............................. CAD 13,000 10,386,635
Province of Quebec Canada
4.250%, 12/01/21............................. CAD 10,000 8,289,653
2.375%, 01/31/22............................. 6,000 5,848,934
Royal Bank of Canada
1.800%, 07/30/18............................. 980 978,521
# 1.500%, 07/29/19............................. 5,000 4,921,408
2.350%, 10/30/20............................. 6,000 5,890,821
1.583%, 09/13/21............................. CAD 6,000 4,505,456
1.968%, 03/02/22............................. CAD 2,300 1,739,810
2.000%, 03/21/22............................. CAD 11,000 8,324,686
Toronto-Dominion Bank (The)
# 2.625%, 09/10/18............................. 715 715,599
2.125%, 07/02/19............................. 7,600 7,551,397
2.250%, 11/05/19............................. 4,979 4,937,522
2.500%, 12/14/20............................. 10,000 9,843,697
1.994%, 03/23/22............................. CAD 3,700 2,803,522
------------
TOTAL CANADA....................................... 129,678,578
------------
DENMARK -- (0.2%)
Danske Bank A.S.
## # 2.750%, 09/17/20............................. 3,000 2,964,319
------------
104
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
FINLAND -- (0.1%)
Municipality Finance P.L.C.
2.375%, 03/15/22............................. 650 $ 634,849
-----------
FRANCE -- (3.0%)
Airgas, Inc.
2.375%, 02/15/20............................. 4,000 3,952,587
BNP Paribas SA
# 2.375%, 05/21/20............................. 500 494,595
BPCE SA
2.500%, 07/15/19............................. 1,650 1,639,102
# 2.650%, 02/03/21............................. 1,300 1,276,343
Electricite de France SA
## 2.350%, 10/13/20............................. 1,000 983,236
French Republic Government Bond OAT
3.000%, 04/25/22............................. EUR 2,500 3,400,534
2.250%, 10/25/22............................. EUR 7,000 9,330,470
Pernod Ricard SA
## 5.750%, 04/07/21............................. 5,000 5,329,249
Sanofi
4.000%, 03/29/21............................. 290 297,691
Total Capital Canada, Ltd.
1.125%, 03/18/22............................. EUR 5,000 6,243,031
Total Capital International SA
2.100%, 06/19/19............................. 7,000 6,958,997
-----------
TOTAL FRANCE..................................... 39,905,835
-----------
GERMANY -- (4.7%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 2,500 2,475,795
Daimler Finance North America LLC
## 2.700%, 08/03/20............................. 3,085 3,048,938
Deutsche Bank AG
2.950%, 08/20/20............................. 1,900 1,869,696
Deutsche Telekom International Finance BV
6.000%, 07/08/19............................. 259 268,455
## 1.500%, 09/19/19............................. 5,570 5,461,289
FMS Wertmanagement
1.375%, 06/08/21............................. 9,000 8,607,957
Kreditanstalt fuer Wiederaufbau
1.875%, 06/30/20............................. 4,000 3,929,389
2.750%, 09/08/20............................. 2,000 2,000,180
2.900%, 06/06/22............................. AUD 2,000 1,515,562
--%, 12/15/22................................ EUR 20,500 24,704,450
NRW Bank
0.0%, 08/10/22............................... EUR 3,500 4,216,556
Volkswagen Group of America Finance LLC
## 2.400%, 05/22/20............................. 4,000 3,933,838
-----------
TOTAL GERMANY.................................... 62,032,105
-----------
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
IRELAND -- (0.3%)
Allergan Finance LLC
3.250%, 10/01/22............................. 2,300 $ 2,227,478
Allergan Funding SCS
3.450%, 03/15/22............................. 2,000 1,966,053
-----------
TOTAL IRELAND...................................... 4,193,531
-----------
ITALY -- (0.6%)
Intesa Sanpaolo SpA
## # 3.125%, 07/14/22............................. 8,000 7,706,960
-----------
JAPAN -- (4.0%)
American Honda Finance Corp.
2.450%, 09/24/20............................. 3,000 2,965,345
Beam Suntory, Inc.
1.750%, 06/15/18............................. 1,431 1,429,310
Daiwa Securities Group, Inc.
## 3.129%, 04/19/22............................. 1,770 1,733,142
Development Bank of Japan, Inc.
1.875%, 10/03/18............................. 594 592,313
Mizuho Bank, Ltd.
## 2.700%, 10/20/20............................. 1,000 985,330
MUFG Bank, Ltd.
## 2.300%, 03/05/20............................. 3,900 3,839,214
Nissan Motor Acceptance Corp.
## 2.125%, 03/03/20............................. 2,250 2,212,114
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 1,500 1,499,337
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19............................. 2,673 2,670,243
2.450%, 01/16/20............................. 2,000 1,977,960
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 400 384,378
Toyota Credit Canada, Inc.
2.020%, 02/28/22............................. CAD 6,500 4,919,487
2.350%, 07/18/22............................. CAD 3,000 2,291,281
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 8,526 8,508,263
4.500%, 06/17/20............................. 1,900 1,963,040
# 1.900%, 04/08/21............................. 10,500 10,185,104
2.600%, 01/11/22............................. 3,000 2,936,354
3.300%, 01/12/22............................. 1,561 1,564,537
-----------
TOTAL JAPAN........................................ 52,656,752
-----------
NETHERLANDS -- (5.8%)
Bank Nederlandse Gemeenten NV
## 2.375%, 02/01/22............................. 19,932 19,471,332
2.375%, 02/01/22............................. 12,000 11,722,656
1.000%, 03/15/22............................. GBP 750 1,021,786
105
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
NETHERLANDS -- (Continued)
Cooperatieve Rabobank UA
4.500%, 01/11/21............................. 3,000 $ 3,099,632
2.750%, 01/10/22............................. 5,000 4,888,893
4.000%, 01/11/22............................. EUR 2,950 4,052,024
ING Bank NV
## # 2.750%, 03/22/21............................. 3,000 2,958,971
LyondellBasell Industries NV
6.000%, 11/15/21............................. 1,000 1,074,820
Mylan, Inc.
2.550%, 03/28/19............................. 197 196,228
Nederlandse Waterschapsbank NV
1.625%, 03/04/20............................. 3,000 2,941,200
Shell International Finance BV
4.300%, 09/22/19............................. 7 7,162
# 2.125%, 05/11/20............................. 2,200 2,171,646
# 1.875%, 05/10/21............................. 10,000 9,681,538
1.750%, 09/12/21............................. 11,000 10,546,769
1.000%, 04/06/22............................. EUR 2,000 2,484,073
-----------
TOTAL NETHERLANDS.................................. 76,318,730
-----------
NORWAY -- (0.4%)
Kommunalbanken A.S.
2.250%, 01/25/22............................. 5,000 4,867,665
Statoil ASA
1.150%, 05/15/18............................. 236 235,910
-----------
TOTAL NORWAY....................................... 5,103,575
-----------
SPAIN -- (0.9%)
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 2,000 1,976,419
Santander UK Group Holdings P.L.C.
# 2.875%, 08/05/21............................. 750 733,357
Santander UK P.L.C.
2.500%, 03/14/19............................. 600 598,668
2.375%, 03/16/20............................. 4,600 4,540,274
Telefonica Emisiones SAU
5.134%, 04/27/20............................. 4,250 4,416,046
-----------
TOTAL SPAIN........................................ 12,264,764
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (4.8%)
Asian Development Bank
2.000%, 02/16/22............................. 3,000 2,901,690
European Financial Stability Facility
0.0%, 11/17/22............................... EUR 9,842 11,870,149
European Investment Bank
2.875%, 09/15/20............................. 2,000 2,006,612
1.625%, 12/15/20............................. 3,000 2,915,728
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
2.000%, 03/15/21............................. 7,000 $ 6,849,535
1.375%, 09/15/21............................. 11,500 10,960,845
European Stability Mechanism
0.0%, 10/18/22............................... EUR 13,950 16,824,773
International Bank for Reconstruction &
Development
1.625%, 03/09/21............................. 4,000 3,874,616
International Finance Corp.
0.875%, 06/15/18............................. 215 214,727
Nordic Investment Bank
2.125%, 02/01/22............................. 5,000 4,860,179
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 63,278,854
-----------
SWEDEN -- (5.4%)
Kommuninvest I Sverige AB
2.000%, 11/12/19............................. 4,720 4,675,490
1.000%, 09/15/21............................. SEK 10,000 1,176,731
0.250%, 06/01/22............................. SEK 185,000 21,106,012
Nordea Bank AB
## 2.500%, 09/17/20............................. 4,000 3,938,222
## 2.250%, 05/27/21............................. 3,800 3,684,900
0.300%, 06/30/22............................. EUR 1,000 1,203,958
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 358 357,606
1.875%, 09/07/21............................. 447 426,717
0.250%, 02/28/22............................. EUR 1,900 2,289,281
Swedbank AB
0.300%, 09/06/22............................. EUR 3,000 3,600,428
Sweden Government Bond
3.500%, 06/01/22............................. SEK 225,500 29,658,517
-----------
TOTAL SWEDEN..................................... 72,117,862
-----------
SWITZERLAND -- (0.1%)
Chubb INA Holdings, Inc.
2.300%, 11/03/20............................. 425 417,274
Credit Suisse AG
2.300%, 05/28/19............................. 625 622,265
3.000%, 10/29/21............................. 480 474,982
-----------
TOTAL SWITZERLAND................................ 1,514,521
-----------
UNITED KINGDOM -- (2.5%)
Aon Corp.
# 5.000%, 09/30/20............................. 2,710 2,816,262
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 5,071 4,986,478
106
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED KINGDOM -- (Continued)
Barclays P.L.C.
# 2.750%, 11/08/19............................. 2,000 $ 1,986,234
# 3.250%, 01/12/21............................. 1,500 1,486,445
BAT International Finance P.L.C.
## # 3.250%, 06/07/22............................. 7,900 7,767,634
BP Capital Markets P.L.C.
# 4.500%, 10/01/20............................. 3,750 3,881,737
British Telecommunications P.L.C.
2.350%, 02/14/19............................. 700 697,093
HSBC Holdings P.L.C.
4.000%, 03/30/22............................. 700 714,018
HSBC USA, Inc.
# 2.375%, 11/13/19............................. 3,281 3,246,455
Lloyds Banking Group P.L.C.
3.100%, 07/06/21............................. 1,156 1,147,338
# 3.000%, 01/11/22............................. 1,000 980,838
Unilever Capital Corp.
4.250%, 02/10/21............................. 1,200 1,239,366
Vodafone Group P.L.C.
2.500%, 09/26/22............................. 2,500 2,382,794
-----------
TOTAL UNITED KINGDOM............................... 33,332,692
-----------
UNITED STATES -- (38.9%)
Abbott Laboratories
4.125%, 05/27/20............................. $ 4,000 4,079,662
2.800%, 09/15/20............................. 3,500 3,477,701
AbbVie, Inc.
2.500%, 05/14/20............................. 6,000 5,928,250
# 2.900%, 11/06/22............................. 1,000 973,234
Aetna, Inc.
2.200%, 03/15/19............................. 340 338,198
Aflac, Inc.
2.400%, 03/16/20............................. 315 310,859
Alphabet, Inc.
3.625%, 05/19/21............................. 3,500 3,582,325
Altria Group, Inc.
4.750%, 05/05/21............................. 500 520,850
Amazon.com, Inc.
# 2.600%, 12/05/19............................. 2,700 2,698,204
American Express Credit Corp.
2.375%, 05/26/20............................. 800 789,824
American International Group, Inc.
# 2.300%, 07/16/19............................. 2,062 2,044,584
3.375%, 08/15/20............................. 3,000 3,003,373
6.400%, 12/15/20............................. 2,475 2,665,637
3.300%, 03/01/21............................. 500 497,992
# 4.875%, 06/01/22............................. 600 627,476
Ameriprise Financial, Inc.
5.300%, 03/15/20............................. 1,000 1,038,360
Amgen, Inc.
# 2.200%, 05/22/19............................. 4,311 4,290,264
Amphenol Corp.
2.550%, 01/30/19............................. 3,800 3,795,556
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Apache Corp.
2.625%, 01/15/23............................. 3,600 $3,420,048
Apple, Inc.
2.250%, 02/23/21............................. 5,000 4,915,472
2.500%, 02/09/22............................. 7,828 7,670,729
2.300%, 05/11/22............................. 7,500 7,265,673
# 2.700%, 05/13/22............................. 4,362 4,292,021
2.100%, 09/12/22............................. 5,000 4,792,350
AT&T, Inc.
# 5.800%, 02/15/19............................. 2,444 2,500,198
2.450%, 06/30/20............................. 1,331 1,314,511
4.600%, 02/15/21............................. 1,000 1,030,587
AutoZone, Inc.
3.700%, 04/15/22............................. 750 755,128
Baker Hughes a GE Co. LLC / Baker Hughes
Co-Obligor, Inc.
2.773%, 12/15/22............................. 2,000 1,942,352
Bank of America Corp.
2.600%, 01/15/19............................. 730 729,868
2.625%, 10/19/20............................. 2,500 2,470,096
Bank of New York Mellon Corp. (The)
4.600%, 01/15/20............................. 1,200 1,232,872
2.150%, 02/24/20............................. 1,200 1,184,101
BB&T Corp.
6.850%, 04/30/19............................. 2,000 2,082,221
2.050%, 05/10/21............................. 731 706,322
Biogen, Inc.
2.900%, 09/15/20............................. 1,500 1,492,805
3.625%, 09/15/22............................. 2,000 1,999,983
BlackRock, Inc.
5.000%, 12/10/19............................. 1,807 1,869,693
Booking Holdings, Inc.
2.750%, 03/15/23............................. 2,000 1,908,563
Boston Scientific Corp.
6.000%, 01/15/20............................. 500 522,088
Bristol-Myers Squibb Co.
# 1.750%, 03/01/19............................. 500 496,729
Buckeye Partners L.P.
2.650%, 11/15/18............................. 261 261,026
Capital One Bank USA NA
2.300%, 06/05/19............................. 2,000 1,984,642
Capital One Financial Corp.
3.200%, 01/30/23............................. 6,000 5,816,054
Cardinal Health, Inc.
4.625%, 12/15/20............................. 1,000 1,030,007
Caterpillar Financial Services Corp.
1.700%, 08/09/21............................. 1,000 955,262
# 2.625%, 03/01/23............................. 500 482,886
CBS Corp.
2.300%, 08/15/19............................. 2,000 1,980,428
Celgene Corp.
# 2.750%, 02/15/23............................. 5,500 5,249,879
107
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Charles Schwab Corp. (The)
2.200%, 07/25/18............................. 372 $ 371,923
Chevron Corp.
# 2.419%, 11/17/20............................. 9,800 9,738,423
2.100%, 05/16/21............................. 1,375 1,341,123
# 2.498%, 03/03/22............................. 12,400 12,140,823
Cisco Systems, Inc.
# 2.450%, 06/15/20............................. 4,400 4,374,079
2.200%, 02/28/21............................. 3,000 2,945,095
1.850%, 09/20/21............................. 14,000 13,460,865
Citigroup, Inc.
2.500%, 09/26/18............................. 501 500,943
2.050%, 06/07/19............................. 3,000 2,975,935
2.400%, 02/18/20............................. 3,000 2,967,377
CMS Energy Corp.
5.050%, 03/15/22............................. 2,549 2,679,398
CNA Financial Corp.
5.875%, 08/15/20............................. 1,790 1,890,874
5.750%, 08/15/21............................. 880 937,430
Coca-Cola Co. (The)
# 2.450%, 11/01/20............................. 3,000 2,977,825
1.550%, 09/01/21............................. 2,500 2,385,075
# 3.300%, 09/01/21............................. 1,000 1,011,276
Comcast Corp.
# 5.150%, 03/01/20............................. 1,900 1,972,783
Comerica, Inc.
2.125%, 05/23/19............................. 1,450 1,441,187
Constellation Brands, Inc.
2.700%, 05/09/22............................. 5,000 4,826,542
3.200%, 02/15/23............................. 1,706 1,669,334
Cox Communications, Inc.
## 3.250%, 12/15/22............................. 375 365,607
CVS Health Corp.
2.250%, 08/12/19............................. 2,500 2,479,250
# 2.125%, 06/01/21............................. 500 482,406
Discovery Communications LLC
## 2.750%, 11/15/19............................. 2,369 2,355,260
Dominion Energy, Inc.
2.500%, 12/01/19............................. 3,500 3,457,974
Dr. Pepper Snapple Group, Inc.
2.600%, 01/15/19............................. 1,000 998,694
DTE Energy Co.
2.400%, 12/01/19............................. 4,000 3,945,433
E*TRADE Financial Corp.
# 2.950%, 08/24/22............................. 6,280 6,083,710
eBay, Inc.
# 2.200%, 08/01/19............................. 4,346 4,318,586
2.750%, 01/30/23............................. 417 400,597
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 183 184,348
2.800%, 02/15/23............................. 650 628,065
Electronic Arts, Inc.
3.700%, 03/01/21............................. 2,000 2,020,895
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 2,600 2,590,570
4.000%, 10/01/20............................. 600 608,385
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Express Scripts Holding Co.
2.250%, 06/15/19............................. 1,000 $ 991,992
3.900%, 02/15/22............................. 1,866 1,872,960
Exxon Mobil Corp.
# 1.912%, 03/06/20............................. 2,400 2,367,868
# 2.222%, 03/01/21............................. 5,824 5,729,002
# 2.397%, 03/06/22............................. 10,625 10,384,873
Fidelity National Information Services, Inc.
2.250%, 08/15/21............................. 5,000 4,820,550
Fifth Third Bancorp
3.500%, 03/15/22............................. 2,000 1,998,284
Fifth Third Bank
2.375%, 04/25/19............................. 203 202,556
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 984 984,953
# 3.157%, 08/04/20............................. 1,200 1,194,326
3.336%, 03/18/21............................. 2,128 2,112,388
GATX Corp.
2.500%, 07/30/19............................. 200 198,338
GE Capital European Funding Unlimited Co.
0.800%, 01/21/22............................. EUR 2,400 2,935,029
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 10,000 9,774,819
General Electric Co.
0.375%, 05/17/22............................. EUR 4,400 5,281,877
General Motors Financial Co., Inc.
# 3.200%, 07/06/21............................. 7,200 7,113,995
Georgia Power Co.
4.250%, 12/01/19............................. 215 219,312
Gilead Sciences, Inc.
# 2.550%, 09/01/20............................. 1,000 992,370
Goldman Sachs Group, Inc. (The)
2.550%, 10/23/19............................. 4,900 4,877,809
Halliburton Co.
# 2.000%, 08/01/18............................. 2,470 2,465,291
Harley-Davidson Financial Services, Inc.
## 2.850%, 01/15/21............................. 500 492,914
## 2.550%, 06/09/22............................. 500 477,459
Harris Corp.
2.700%, 04/27/20............................. 4,500 4,462,148
Hewlett Packard Enterprise Co.
3.600%, 10/15/20............................. 3,800 3,827,049
Home Depot, Inc. (The)
2.000%, 06/15/19............................. 190 188,973
Humana, Inc.
2.625%, 10/01/19............................. 3,000 2,986,897
108
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Huntington National Bank (The)
2.400%, 04/01/20............................. 2,600 $2,564,598
Indiana Michigan Power Co.
7.000%, 03/15/19............................. 2,000 2,070,326
Intercontinental Exchange, Inc.
2.750%, 12/01/20............................. 268 265,540
International Business Machines Corp.
1.625%, 05/15/20............................. 1,390 1,357,226
JM Smucker Co. (The)
2.500%, 03/15/20............................. 3,320 3,284,987
John Deere Capital Corp.
2.050%, 03/10/20............................. 1,625 1,600,549
Johnson & Johnson
2.250%, 03/03/22............................. 1,500 1,459,620
JPMorgan Chase & Co.
2.350%, 01/28/19............................. 3,000 2,995,564
Kellogg Co.
# 4.000%, 12/15/20............................. 1,000 1,021,026
KeyCorp
2.900%, 09/15/20............................. 2,000 1,985,801
Kimberly-Clark Corp.
1.900%, 05/22/19............................. 2,000 1,987,331
Kroger Co. (The)
3.400%, 04/15/22............................. 1,000 992,857
2.800%, 08/01/22............................. 500 483,494
L3 Technologies, Inc.
4.950%, 02/15/21............................. 701 726,877
Laboratory Corp. of America Holdings
3.200%, 02/01/22............................. 1,500 1,479,406
Lam Research Corp.
2.750%, 03/15/20............................. 2,800 2,791,266
Legg Mason, Inc.
2.700%, 07/15/19............................. 3,000 2,983,669
Liberty Mutual Group, Inc.
## 5.000%, 06/01/21............................. 2,900 3,015,401
Manufacturers & Traders Trust Co.
2.100%, 02/06/20............................. 4,225 4,155,749
Marriott International, Inc.
6.750%, 05/15/18............................. 367 367,567
# 3.000%, 03/01/19............................. 2,960 2,964,021
Marsh & McLennan Cos., Inc.
2.350%, 03/06/20............................. 2,000 1,971,280
2.750%, 01/30/22............................. 1,500 1,462,209
MasterCard, Inc.
2.000%, 04/01/19............................. 1,365 1,358,579
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 1,780 1,777,357
McKesson Corp.
2.700%, 12/15/22............................. 787 752,129
Mead Johnson Nutrition Co.
3.000%, 11/15/20............................. 700 698,188
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Merck & Co., Inc.
# 2.350%, 02/10/22............................. 1,345 $ 1,309,539
2.400%, 09/15/22............................. 1,500 1,453,432
Microsoft Corp.
2.000%, 11/03/20............................. 3,500 3,440,556
1.550%, 08/08/21............................. 4,000 3,832,897
# 2.375%, 02/12/22............................. 13,000 12,677,818
Mondelez International Holdings Netherlands BV
## 2.000%, 10/28/21............................. 2,258 2,149,713
Monsanto Co.
1.850%, 11/15/18............................. 2,155 2,145,469
# 2.125%, 07/15/19............................. 2,550 2,526,998
Morgan Stanley
# 2.375%, 07/23/19............................. 2,220 2,209,562
Mosaic Co. (The)
3.750%, 11/15/21............................. 1,000 997,623
Nasdaq, Inc.
5.550%, 01/15/20............................. 2,484 2,580,429
National Oilwell Varco, Inc.
# 2.600%, 12/01/22............................. 5,283 5,033,303
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19............................. 2,950 2,927,805
NiSource, Inc.
6.800%, 01/15/19............................. 61 62,672
Nordstrom, Inc.
4.750%, 05/01/20............................. 350 359,937
Northrop Grumman Corp.
3.500%, 03/15/21............................. 535 540,662
Nuveen Finance LLC
## 2.950%, 11/01/19............................. 3,890 3,876,264
NVIDIA Corp.
2.200%, 09/16/21............................. 575 557,884
ONEOK, Inc.
# 4.250%, 02/01/22............................. 3,000 3,050,400
Oracle Corp.
1.900%, 09/15/21............................. 9,000 8,683,655
2.500%, 05/15/22............................. 3,000 2,927,492
2.500%, 10/15/22............................. 2,000 1,941,443
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
## 3.375%, 02/01/22............................. 1,200 1,187,324
PepsiCo, Inc.
# 2.150%, 10/14/20............................. 3,000 2,952,875
Pfizer, Inc.
# 1.950%, 06/03/21............................. 5,000 4,863,789
0.250%, 03/06/22............................. EUR 4,000 4,826,481
PNC Bank NA
2.400%, 10/18/19............................. 4,000 3,971,349
Principal Financial Group, Inc.
3.300%, 09/15/22............................. 1,416 1,402,316
Procter & Gamble Co. (The)
1.850%, 02/02/21............................. 960 934,468
# 1.700%, 11/03/21............................. 5,000 4,793,076
2.300%, 02/06/22............................. 650 633,641
109
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Progress Energy, Inc.
4.400%, 01/15/21............................. 2,150 $2,200,867
Prudential Financial, Inc.
5.375%, 06/21/20............................. 3,000 3,135,327
PSEG Power LLC
2.450%, 11/15/18............................. 2,499 2,493,554
QUALCOMM, Inc.
2.250%, 05/20/20............................. 3,000 2,952,333
2.600%, 01/30/23............................. 6,690 6,331,330
Quest Diagnostics, Inc.
2.700%, 04/01/19............................. 1,300 1,299,953
2.500%, 03/30/20............................. 3,630 3,589,228
Regions Financial Corp.
2.750%, 08/14/22............................. 2,000 1,928,035
Roper Technologies, Inc.
2.050%, 10/01/18............................. 135 134,698
Ryder System, Inc.
2.350%, 02/26/19............................. 2,000 1,990,542
3.400%, 03/01/23............................. 1,200 1,187,040
Santander Holdings USA, Inc.
3.400%, 01/18/23............................. 1,150 1,113,914
Sempra Energy
2.850%, 11/15/20............................. 5,000 4,940,621
Sherwin-Williams Co. (The)
2.750%, 06/01/22............................. 1,600 1,549,101
Southern Power Co.
2.500%, 12/15/21............................. 539 522,720
Southwest Airlines Co.
2.750%, 11/06/19............................. 426 423,899
State Street Corp.
4.375%, 03/07/21............................. 2,000 2,074,840
Stryker Corp.
# 2.625%, 03/15/21............................. 2,378 2,345,588
SunTrust Banks, Inc.
# 2.900%, 03/03/21............................. 3,000 2,969,109
Sysco Corp.
2.600%, 10/01/20............................. 3,970 3,924,767
Target Corp.
2.300%, 06/26/19............................. 515 513,135
Thermo Fisher Scientific, Inc.
3.300%, 02/15/22............................. 2,300 2,279,200
Time Warner, Inc.
2.100%, 06/01/19............................. 2,000 1,981,935
Total System Services, Inc.
2.375%, 06/01/18............................. 1,701 1,700,478
Tupperware Brands Corp.
4.750%, 06/01/21............................. 2,000 2,044,333
Tyson Foods, Inc.
2.650%, 08/15/19............................. 1,940 1,931,535
U.S. Bancorp
2.200%, 04/25/19............................. 66 65,778
United Parcel Service, Inc.
# 2.450%, 10/01/22............................. 300 290,837
UnitedHealth Group, Inc.
2.300%, 12/15/19............................. 1,400 1,390,289
2.700%, 07/15/20............................. 439 437,029
# 2.125%, 03/15/21............................. 2,000 1,946,274
FACE
AMOUNT^ VALUE+
- ------- ------
(000)
UNITED STATES -- (Continued)
Verizon Communications, Inc.
3.500%, 11/01/21............................. 1,000 $ 1,007,994
2.946%, 03/15/22............................. 2,500 2,455,300
Viacom, Inc.
3.875%, 12/15/21............................. 2,740 2,766,001
Walgreen Co.
5.250%, 01/15/19............................. 8 8,131
3.100%, 09/15/22............................. 1,500 1,464,925
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 2,000 1,993,000
3.300%, 11/18/21............................. 500 497,970
Wells Fargo & Co.
2.125%, 04/22/19............................. 2,170 2,159,830
2.150%, 01/30/20............................. 1,500 1,480,172
WestRock RKT Co.
4.450%, 03/01/19............................. 595 602,178
Xilinx, Inc.
2.125%, 03/15/19............................. 766 763,077
Zoetis, Inc.
# 3.250%, 02/01/23............................. 2,219 2,186,905
--------------
TOTAL UNITED STATES................................. 515,996,326
--------------
TOTAL BONDS......................................... 1,182,746,812
--------------
AGENCY OBLIGATIONS -- (3.4%)
Federal Home Loan Mortgage Corporation
2.375%, 01/13/22............................. 4,000 3,939,128
Federal National Mortgage Association
# 1.875%, 12/28/20............................. 22,000 21,570,340
# 1.250%, 05/06/21............................. 4,000 3,839,116
# 1.875%, 04/05/22............................. 6,000 5,797,014
2.000%, 10/05/22............................. 4,000 3,857,364
2.375%, 01/19/23............................. 6,000 5,866,902
--------------
TOTAL AGENCY OBLIGATIONS............................ 44,869,864
--------------
U.S. TREASURY OBLIGATIONS -- (0.5%)
Treasury Inflation Protected Security
^^^++ 0.125%, 04/15/22............................. 6,500 6,515,877
--------------
TOTAL INVESTMENT SECURITIES......................... 1,234,132,553
--------------
SHARES
- ------
SECURITIES LENDING COLLATERAL -- (6.9%)
(S)@ DFA Short Term Investment Fund, 1.630%....... 7,941,280 91,880,608
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,346,668,894)............................. $1,326,013,161
==============
110
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
At April 30, 2018, DFA Short-Duration Real Return 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.. $ 1,043,063 GBP 742,614 Citibank, N.A. 05/10/18 $ 20,350
USD.. 38,841,533 EUR 31,356,797 Citibank, N.A. 06/28/18 811,231
USD.. 23,300,140 CAD 29,732,473 Citibank, N.A. 07/06/18 106,986
USD.. 85,722,015 EUR 69,136,673 Barclays Capital 07/11/18 1,783,920
USD.. 25,712,150 CAD 32,334,150 Barclays Capital 07/19/18 482,734
USD.. 5,292,145 AUD 6,877,042 Citibank, N.A. 07/20/18 113,014
USD.. 53,381,448 SEK 455,083,674 Citibank, N.A. 07/26/18 1,066,981
----------
TOTAL APPRECIATION $4,385,216
==========
At April 30, 2018, DFA Short-Duration Real Return Portfolio had entered into
the following outstanding Inflation Swaps:
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE BY RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
--------------- ------------ -------- --------- -------------- ---------- -------- -------- ---------- --------------
Bank of America
Corp.......... 2.282% Fixed CPI Maturity USD 40,000,000 02/08/20 -- -- $ (89,759) $ (89,759)
Bank of America
Corp.......... 2.228% Fixed CPI Maturity USD 26,000,000 03/12/22 -- -- 47,799 47,799
Bank of America
Corp.......... 2.225% Fixed CPI Maturity USD 29,000,000 03/01/20 -- -- (29,022) (29,022)
Bank of America
Corp.......... 2.208% Fixed CPI Maturity USD 26,000,000 02/01/23 -- -- 134,003 134,003
Bank of America
Corp.......... 2.204% Fixed CPI Maturity USD 44,000,000 02/16/19 -- -- (38,373) (38,373)
Bank of America
Corp.......... 1.832% Fixed CPI Maturity USD 40,000,000 11/08/20 -- -- 691,791 691,791
Bank of America
Corp.......... 1.633% Fixed CPI Maturity USD 27,000,000 04/14/21 -- -- 845,077 845,077
Bank of America
Corp.......... 1.525% Fixed CPI Maturity USD 43,000,000 08/31/21 -- -- 1,462,493 1,462,493
Bank of America
Corp.......... 1.435% Fixed CPI Maturity USD 30,000,000 10/30/20 -- -- 887,882 887,882
Citibank, N.A.. 2.182% Fixed CPI Maturity USD 23,000,000 01/19/23 -- -- 155,036 155,036
Citibank, N.A.. 2.149% Fixed CPI Maturity USD 38,000,000 01/23/21 -- -- 122,228 122,228
Citibank, N.A.. 2.144% Fixed CPI Maturity USD 44,000,000 01/11/21 -- -- 146,141 146,141
Citibank, N.A.. 2.041% Fixed CPI Maturity USD 24,000,000 10/17/22 -- -- 416,046 416,046
Citibank, N.A.. 2.036% Fixed CPI Maturity USD 36,000,000 11/21/22 -- -- 522,063 522,063
Citibank, N.A.. 2.009% Fixed CPI Maturity USD 42,000,000 10/23/22 -- -- 785,265 785,265
Citibank, N.A.. 1.970% Fixed CPI Maturity USD 23,000,000 11/16/19 -- -- 196,271 196,271
Citibank, N.A.. 1.879% Fixed CPI Maturity USD 54,000,000 07/26/21 -- -- 946,394 946,394
Citibank, N.A.. 1.849% Fixed CPI Maturity USD 20,000,000 10/27/21 -- -- 430,943 430,943
Citibank, N.A.. 1.655% Fixed CPI Maturity USD 40,000,000 07/20/20 -- -- 934,149 934,149
Citibank, N.A.. 1.623% Fixed CPI Maturity USD 38,000,000 06/20/20 -- -- 1,003,807 1,003,807
Credit Suisse.. 1.735% Fixed CPI Maturity USD 33,000,000 03/05/19 -- -- 98,542 98,542
Deutsche Bank
AG............ 2.235% Fixed CPI Maturity USD 38,000,000 05/02/22 -- -- -- --
Deutsche Bank
AG............ 2.208% Fixed CPI Maturity USD 20,000,000 04/05/23 -- -- 69,795 69,795
111
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE BY RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------- ------------ -------- --------- -------------- ---------- -------- -------- ----------- --------------
Deutsche Bank
AG.......... 2.193% Fixed CPI Maturity USD 40,000,000 03/08/21 -- -- $ 51,742 $ 51,742
Deutsche Bank
AG.......... 2.125% Fixed CPI Maturity USD 20,000,000 01/04/23 -- -- 198,145 198,145
Deutsche Bank
AG.......... 2.035% Fixed CPI Maturity USD 22,000,000 12/11/22 -- -- 301,116 301,116
Deutsche Bank
AG.......... 1.938% Fixed CPI Maturity USD 25,000,000 09/08/22 -- -- 539,921 539,921
Deutsche Bank
AG, London
Branch...... 2.242% Fixed CPI Maturity USD 26,000,000 06/12/19 -- -- (972,090) (972,090)
Deutsche Bank
AG, London
Branch...... 2.145% Fixed CPI Maturity USD 25,000,000 03/17/20 -- -- 909 909
Deutsche Bank
AG, London
Branch...... 2.135% Fixed CPI Maturity USD 30,000,000 04/05/21 -- -- 31,171 31,171
Deutsche Bank
AG, London
Branch...... 1.990% Fixed CPI Maturity USD 45,000,000 06/05/22 -- -- 697,202 697,202
Deutsche Bank
AG, London
Branch...... 1.983% Fixed CPI Maturity USD 32,000,000 05/12/22 -- -- 419,404 419,404
Deutsche Bank
AG, London
Branch...... 1.860% Fixed CPI Maturity USD 60,000,000 06/30/20 -- -- 720,538 720,538
Deutsche Bank
AG, London
Branch...... 1.718% Fixed CPI Maturity USD 36,000,000 09/27/21 -- -- 972,183 972,183
Deutsche Bank
AG, London
Branch...... 1.670% Fixed CPI Maturity USD 40,000,000 07/08/19 -- -- 696,836 696,836
Deutsche Bank
AG, London
Branch...... 1.563% Fixed CPI Maturity USD 48,000,000 07/28/19 -- -- 942,042 942,042
Deutsche Bank
AG, London
Branch...... 1.348% Fixed CPI Maturity USD 14,000,000 01/28/20 -- -- 417,134 417,134
-- -- ----------- -----------
TOTAL -- -- $14,754,824 $14,754,824
== == =========== ===========
112
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, 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.............................. -- $ 86,795,896 -- $ 86,795,896
Austria................................ -- 10,937,954 -- 10,937,954
Belgium................................ -- 5,312,709 -- 5,312,709
Canada................................. -- 129,678,578 -- 129,678,578
Denmark................................ -- 2,964,319 -- 2,964,319
Finland................................ -- 634,849 -- 634,849
France................................. -- 39,905,835 -- 39,905,835
Germany................................ -- 62,032,105 -- 62,032,105
Ireland................................ -- 4,193,531 -- 4,193,531
Italy.................................. -- 7,706,960 -- 7,706,960
Japan.................................. -- 52,656,752 -- 52,656,752
Netherlands............................ -- 76,318,730 -- 76,318,730
Norway................................. -- 5,103,575 -- 5,103,575
Spain.................................. -- 12,264,764 -- 12,264,764
Supranational Organization Obligations. -- 63,278,854 -- 63,278,854
Sweden................................. -- 72,117,862 -- 72,117,862
Switzerland............................ -- 1,514,521 -- 1,514,521
United Kingdom......................... -- 33,332,692 -- 33,332,692
United States.......................... -- 515,996,326 -- 515,996,326
Agency Obligations....................... -- 44,869,864 -- 44,869,864
U.S. Treasury Obligations................ -- 6,515,877 -- 6,515,877
Securities Lending Collateral............ -- 91,880,608 -- 91,880,608
Swap Agreements**........................ -- 14,754,824 -- 14,754,824
Forward Currency Contracts**............. -- 4,385,216 -- 4,385,216
-- -------------- -- --------------
TOTAL.................................... -- $1,345,153,201 -- $1,345,153,201
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
113
DFA MUNICIPAL REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.6%)
Alabama State (GO) Series A
5.000%, 08/01/20.............................. $2,250 $ 2,402,145
5.000%, 08/01/23.............................. 2,200 2,496,604
-----------
TOTAL ALABAMA...................................... 4,898,749
-----------
ALASKA -- (0.7%)
Borough of North Slope (GO) Series C (ETM)
3.000%, 06/30/18.............................. 500 501,045
City of Anchorage (GO) Series B
5.000%, 09/01/21.............................. 900 981,387
5.000%, 09/01/23.............................. 600 676,638
City of Anchorage (GO) Series D
5.000%, 09/01/23.............................. 2,585 2,915,182
-----------
TOTAL ALASKA....................................... 5,074,252
-----------
ARIZONA -- (0.6%)
City of Phoenix (GO)
4.000%, 07/01/20.............................. 1,500 1,566,765
City of Tempe (GO) Series C
4.000%, 07/01/22.............................. 1,400 1,502,018
Maricopa County High School District No.
210-Phoenix (GO)
3.000%, 07/01/23.............................. 650 671,378
Scottsdale Municipal Property Corp. (RB) Series A
3.000%, 07/01/21.............................. 805 828,297
-----------
TOTAL ARIZONA...................................... 4,568,458
-----------
ARKANSAS -- (1.4%)
Arkansas State (GO)
5.000%, 04/01/21.............................. 2,600 2,818,140
5.000%, 10/01/21.............................. 7,195 7,886,296
-----------
TOTAL ARKANSAS..................................... 10,704,436
-----------
CALIFORNIA -- (3.0%)
California State (GO)
5.000%, 08/01/26.............................. 9,000 10,689,210
3.500%, 08/01/27.............................. 1,500 1,619,250
5.000%, 08/01/27.............................. 4,000 4,809,920
California State (GO) Series B
5.000%, 09/01/25.............................. 3,140 3,687,993
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/27.............................. 2,000 2,430,920
-----------
TOTAL CALIFORNIA................................... 23,237,293
-----------
COLORADO -- (0.9%)
Boulder County (RB)
5.000%, 07/15/18.............................. 100 100,672
FACE
AMOUNT VALUE+
------ ------
(000)
COLORADO -- (Continued)
Denver City & County School District No. 1 (GO)
Series B (ETM) (ST AID WITHHLDG)
4.000%, 12/01/18............................. $ 35 $ 35,445
Denver City & County School District No. 1 (GO)
Series B (ST AID WITHHLDG)
4.000%, 12/01/18............................. 265 268,564
5.000%, 12/01/24............................. 900 1,041,048
El Paso County School District No. 20 Academy
(GO) (ST AID WITHHLDG)
5.000%, 12/15/21............................. 1,240 1,362,400
Jefferson County School District R-1 (GO) (ST
AID WITHHLDG)
5.250%, 12/15/24............................. 1,000 1,169,440
Weld County School District No. RE-4 (GO) (ST
INTERCEPT)
4.000%, 12/01/23............................. 2,425 2,619,897
-----------
TOTAL COLORADO................................... 6,597,466
-----------
CONNECTICUT -- (0.2%)
Connecticut State (GO) Series A
5.000%, 10/15/18............................. 600 608,640
5.000%, 10/15/19............................. 300 312,162
Connecticut State (GO) Series C
5.000%, 06/01/18............................. 1,000 1,002,550
-----------
TOTAL CONNECTICUT................................ 1,923,352
-----------
DELAWARE -- (0.5%)
New Castle County (GO)
5.000%, 10/01/23............................. 2,275 2,592,180
New Castle County (GO) Series B
5.000%, 07/15/22............................. 1,450 1,617,026
-----------
TOTAL DELAWARE................................... 4,209,206
-----------
DISTRICT OF COLUMBIA -- (1.6%)
District of Columbia (GO) Series A
5.000%, 06/01/20............................. 1,900 2,018,769
District of Columbia (GO) Series E
5.000%, 06/01/21............................. 2,550 2,773,406
5.000%, 06/01/26............................. 1,875 2,211,506
Washington Metropolitan Area Transit Authority
(RB) Series A-1
5.000%, 07/01/27............................. 4,535 5,392,795
-----------
TOTAL DISTRICT OF COLUMBIA....................... 12,396,476
-----------
FLORIDA -- (3.1%)
Florida Department of Environmental Protection
(RB) Series A
5.000%, 07/01/26............................. 5,000 5,869,350
114
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
FLORIDA -- (Continued)
Florida State (GO)
5.000%, 07/01/21.............................. $2,000 $ 2,181,080
5.000%, 07/01/24.............................. 500 574,675
Florida State Board of Education (GO) Series A
5.000%, 06/01/23.............................. 700 790,839
Florida State Board of Education (GO) Series B
5.000%, 06/01/19.............................. 555 574,275
5.000%, 06/01/20.............................. 3,300 3,502,785
5.000%, 06/01/23.............................. 650 734,350
5.000%, 06/01/25.............................. 3,000 3,496,560
Miami-Dade County (GO) Series A
5.000%, 07/01/26.............................. 1,810 2,123,257
Miami-Dade County (GO) Series D
5.000%, 07/01/20.............................. 3,520 3,743,978
-----------
TOTAL FLORIDA...................................... 23,591,149
-----------
GEORGIA -- (3.1%)
Cobb County (GO)
5.000%, 01/01/22.............................. 2,335 2,575,995
Georgia State (GO) Series A-1
5.000%, 02/01/19.............................. 6,805 6,970,838
Georgia State (GO) Series C
5.000%, 10/01/21.............................. 2,490 2,733,547
Georgia State (GO) Series C-1
5.000%, 07/01/23.............................. 3,000 3,406,260
5.000%, 07/01/24.............................. 3,200 3,691,808
Georgia State (GO) Series I
5.000%, 07/01/20.............................. 2,345 2,499,887
Georgia State Road & Tollway Authority (RB) (GTD)
5.000%, 10/01/23.............................. 1,580 1,802,006
-----------
TOTAL GEORGIA...................................... 23,680,341
-----------
HAWAII -- (1.1%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23.............................. 2,150 2,439,175
5.000%, 10/01/25.............................. 450 526,356
Hawaii State (GO) Series EF
5.000%, 11/01/22.............................. 300 335,916
Hawaii State (GO) Series EH (ETM)
5.000%, 08/01/23.............................. 1,225 1,386,271
Hawaii State (GO) Series EH-2017
5.000%, 08/01/23.............................. 970 1,100,271
Hawaii State (GO) Series EH-2017 (ETM)
5.000%, 08/01/23.............................. 305 345,153
Hawaii State (GO) Series FK
5.000%, 05/01/23.............................. 1,800 2,031,822
-----------
TOTAL HAWAII....................................... 8,164,964
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
IOWA -- (0.1%)
City of Ankeny (GO) Series G
5.000%, 06/01/19............................. $ 910 $ 941,213
-----------
KANSAS -- (1.5%)
City of Lenexa (GO) Series A
5.000%, 09/01/21............................. 600 656,280
City of Lenexa (GO) Series B
5.000%, 09/01/20............................. 1,610 1,722,072
City of Merriam (GO)
5.000%, 10/01/25............................. 200 234,528
City of Wichita (GO) Series A
5.000%, 12/01/20............................. 3,000 3,223,650
Johnson County (GO) Series B
5.000%, 09/01/22............................. 1,405 1,567,839
Johnson County Unified School District No. 229
Blue Valley (GO) Series A
5.000%, 10/01/26............................. 1,500 1,777,920
Kansas State Department of Transportation (RB)
Series B
5.000%, 09/01/20............................. 1,975 2,112,006
Kansas State Department of Transportation (RB)
Series C
5.000%, 09/01/19............................. 125 130,149
-----------
TOTAL KANSAS..................................... 11,424,444
-----------
KENTUCKY -- (0.8%)
Louisville & Jefferson County (GO) Series A
5.000%, 12/01/22............................. 1,500 1,677,870
5.000%, 12/01/25............................. 3,800 4,446,532
-----------
TOTAL KENTUCKY................................... 6,124,402
-----------
LOUISIANA -- (0.5%)
Louisiana State (GO) Series A (ETM)
5.000%, 08/01/18............................. 2,000 2,016,200
Louisiana State (GO) Series C
5.000%, 07/15/22............................. 250 276,673
5.000%, 08/01/23............................. 1,100 1,239,018
Louisiana State (GO) Series D-2
5.000%, 12/01/21............................. 600 656,664
-----------
TOTAL LOUISIANA.................................. 4,188,555
-----------
MAINE -- (0.1%)
Maine State (GO) Series B
5.000%, 06/01/23............................. 495 559,746
-----------
MARYLAND -- (8.7%)
Anne Arundel County (GO)
5.000%, 04/01/23............................. 4,000 4,510,920
Anne County Arundel (GO)
5.000%, 10/01/19............................. 1,195 1,247,102
Baltimore County (BAN)
4.000%, 03/18/19............................. 2,500 2,549,350
115
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MARYLAND -- (Continued)
Baltimore County (GO)
5.000%, 08/01/18............................. $1,000 $ 1,008,170
5.000%, 08/01/21............................. 500 545,930
3.000%, 11/01/24............................. 5,015 5,191,979
City of Baltimore (GO) Series B
5.000%, 10/15/22............................. 645 719,749
City of Frederick (GO) Series C
5.000%, 03/01/27............................. 3,100 3,702,454
Harford County (GO) Series A
5.000%, 09/15/20............................. 900 963,675
Howard County (GO) Series B
5.000%, 02/15/26............................. 6,420 7,573,802
Howard County (GO) Series D
5.000%, 02/15/24............................. 4,000 4,572,520
Maryland State (GO) Series B
5.000%, 03/01/19............................. 1,000 1,026,990
5.000%, 08/01/20............................. 2,000 2,133,880
4.000%, 08/01/23............................. 1,785 1,936,903
5.000%, 08/01/26............................. 5,500 6,527,785
Maryland State (GO) Series C
5.000%, 08/01/20............................. 2,000 2,133,880
Montgomery County (GO) Series C
5.000%, 10/01/27............................. 6,655 8,024,133
Montgomery County (GO) Series D
3.000%, 11/01/23............................. 2,000 2,072,960
Prince George's County (GO) Series B
5.000%, 09/15/18............................. 650 657,924
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/18............................. 650 651,710
5.000%, 06/01/24............................. 4,325 4,968,171
3.000%, 06/01/26............................. 2,080 2,144,854
Worcester County (GO) Series B
4.000%, 08/01/21............................. 2,255 2,387,301
-----------
TOTAL MARYLAND................................... 67,252,142
-----------
MASSACHUSETTS -- (4.5%)
City of Boston (GO) Series A
5.000%, 03/01/20............................. 1,200 1,268,148
5.000%, 04/01/20............................. 1,250 1,324,175
City of Boston (GO) Series B
5.000%, 04/01/24............................. 3,500 4,023,845
Commonwealth of Massachusetts (GO) Series C
5.000%, 04/01/23............................. 4,000 4,504,960
Commonwealth of Massachusetts (GO) Series B
5.250%, 08/01/21............................. 500 549,505
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20............................. 3,255 3,471,393
5.000%, 08/01/24............................. 1,360 1,561,402
Commonwealth of Massachusetts (GO) Series E
5.000%, 11/01/27............................. 1,000 1,198,960
FACE
AMOUNT VALUE+
------ ------
(000)
MASSACHUSETTS -- (Continued)
Massachusetts Clean Water Trust (The) (RB)
5.000%, 08/01/20............................. $ 400 $ 427,324
Massachusetts School Building Authority (RB)
Series A
5.000%, 11/15/25............................. 3,240 3,800,488
Massachusetts Water Resources Authority (RB)
Series B (AGM)
5.250%, 08/01/28............................. 9,000 11,105,640
Town of Lexington (GO)
4.000%, 02/15/27............................. 1,000 1,113,460
Town of Medfield (GO)
3.000%, 09/15/19............................. 510 518,374
-----------
TOTAL MASSACHUSETTS.............................. 34,867,674
-----------
MICHIGAN -- (0.7%)
Michigan State (GO)
5.000%, 11/01/19............................. 700 732,942
Michigan State (GO) Series A
5.000%, 05/01/23............................. 2,425 2,734,867
5.000%, 05/01/25............................. 1,500 1,741,455
-----------
TOTAL MICHIGAN................................... 5,209,264
-----------
MINNESOTA -- (3.3%)
City of Edina (GO) Series B
3.000%, 02/01/19............................. 1,000 1,009,520
Hennepin County (GO) Series C
5.000%, 12/01/28............................. 1,150 1,407,416
Metropolitan Council (GO) Series C
5.000%, 03/01/24............................. 6,250 7,154,687
Minneapolis Special School District No. 1 (GO)
(SD CRED PROG)
5.000%, 02/01/28............................. 2,590 3,127,036
Minnesota State (GO)
5.000%, 08/01/18............................. 640 645,165
Minnesota State (GO) (ETM)
5.000%, 08/01/18............................. 10 10,079
Minnesota State (GO) Series A
5.000%, 08/01/21............................. 1,330 1,451,296
5.000%, 08/01/25............................. 7,000 8,193,640
Minnesota State (GO) Series D
5.000%, 08/01/21............................. 700 763,840
Minnesota State (GO) Series E
2.000%, 08/01/19............................. 1,000 1,002,440
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20............................. 900 950,607
-----------
TOTAL MINNESOTA.................................. 25,715,726
-----------
MISSISSIPPI -- (0.3%)
Madison County School District (GO)
3.500%, 12/01/19............................. 350 358,785
Mississippi State (GO) Series B
5.000%, 11/01/20............................. 600 643,788
Mississippi State (GO) Series C
5.000%, 10/01/20............................. 1,565 1,675,849
-----------
TOTAL MISSISSIPPI................................ 2,678,422
-----------
116
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MISSOURI -- (0.8%)
Columbia School District (GO) Series B
5.000%, 03/01/23.............................. $ 2,500 $ 2,826,400
Missouri Highway & Transportation Commission (RB)
5.000%, 02/01/19.............................. 1,525 1,561,935
North Kansas City School District No. 74 (GO)
(ST AID DIR DEP)
4.000%, 03/01/26.............................. 1,845 2,022,766
-----------
TOTAL MISSOURI..................................... 6,411,101
-----------
NEBRASKA -- (1.2%)
Douglas County School District No. 17 (GO)
4.000%, 12/15/26.............................. 3,000 3,334,620
Omaha School District (GO)
5.000%, 12/15/25.............................. 1,345 1,577,954
5.000%, 12/15/26.............................. 3,975 4,724,208
-----------
TOTAL NEBRASKA..................................... 9,636,782
-----------
NEVADA -- (3.5%)
City of Henderson NV (GO)
5.000%, 06/01/21.............................. 600 651,822
Clark County (GO) Series B
5.000%, 11/01/24.............................. 8,665 9,956,692
Nevada State (GO) Series D
5.000%, 04/01/25.............................. 11,625 13,451,520
Nevada State (GO) Series D-1
5.000%, 03/01/22.............................. 2,000 2,206,140
Washoe County School District (GO) Series F
5.000%, 06/01/21.............................. 900 974,925
-----------
TOTAL NEVADA....................................... 27,241,099
-----------
NEW HAMPSHIRE -- (0.4%)
City of Dover (GO) Series C
5.000%, 07/01/20.............................. 220 234,241
City of Nashua (GO)
4.000%, 07/15/24.............................. 2,000 2,180,940
New Hampshire State (GO) Series B
5.000%, 06/01/19.............................. 540 558,635
-----------
TOTAL NEW HAMPSHIRE................................ 2,973,816
-----------
NEW JERSEY -- (0.3%)
City of Hoboken (GO)
3.000%, 02/01/27.............................. 1,000 1,011,510
Township of Parsippany-Troy Hills (GO) Series
ABCD
2.000%, 09/15/21.............................. 1,515 1,505,198
-----------
TOTAL NEW JERSEY................................... 2,516,708
-----------
NEW MEXICO -- (2.3%)
New Mexico State (GO)
5.000%, 03/01/19.............................. 3,500 3,591,840
5.000%, 03/01/21.............................. 2,105 2,273,653
FACE
AMOUNT VALUE+
------ ------
(000)
NEW MEXICO -- (Continued)
New Mexico State Severance Tax Permanent Fund
(RB) Series A
5.000%, 07/01/27............................. $2,570 $ 3,058,428
New Mexico State Severance Tax Permanent Fund
(RB) Series B
4.000%, 07/01/20............................. 2,000 2,087,280
New Mexico State Severance Tax Permanent Fund
(RB) Series D
5.000%, 07/01/26............................. 5,580 6,568,162
-----------
TOTAL NEW MEXICO................................. 17,579,363
-----------
NEW YORK -- (2.5%)
City of New York (GO) Series C
5.000%, 08/01/26............................. 500 587,325
5.000%, 08/01/26............................. 1,960 2,302,314
City of New York (GO) Series G
5.000%, 08/01/18............................. 1,600 1,612,832
City of New York (GO) Series J
5.000%, 08/01/22............................. 650 722,553
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/25............................. 500 577,220
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22............................. 2,500 2,756,700
5.000%, 02/15/24............................. 700 796,943
New York State Urban Development Corp. (RB)
Series A
5.000%, 03/15/26............................. 6,890 8,075,769
New York State Urban Development Corp. (RB)
Series C
5.000%, 12/15/18............................. 1,000 1,020,420
Riverhead Central School District (GO) (ST AID
WITHHLDG)
2.000%, 10/15/22............................. 700 697,627
-----------
TOTAL NEW YORK................................... 19,149,703
-----------
NORTH CAROLINA -- (6.2%)
City of Charlotte Water & Sewer System Revenue
(RB)
5.000%, 07/01/21............................. 1,800 1,966,446
Forsyth County (GO)
4.000%, 12/01/21............................. 1,500 1,598,325
Gaston County (GO)
5.000%, 02/01/26............................. 2,500 2,928,025
Iredell County (GO) Series B
2.500%, 02/01/24............................. 2,285 2,292,266
Mecklenburg County (GO) Series A
5.000%, 04/01/22............................. 5,000 5,545,950
Mecklenburg County (GO) Series B
5.000%, 12/01/21............................. 6,120 6,742,343
5.000%, 12/01/26............................. 8,430 10,091,469
North Carolina Eastern Municipal Power Agency
(RB) Series B (NATL-IBC) (ETM)
6.000%, 01/01/22............................. 650 733,772
117
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH CAROLINA -- (Continued)
North Carolina State (GO) Series A
5.000%, 06/01/22............................. $6,000 $ 6,679,440
North Carolina State (GO) Series C
3.750%, 05/01/19............................. 1,500 1,529,685
Wake County (GO)
5.000%, 03/01/19............................. 1,000 1,026,990
5.000%, 09/01/21............................. 2,250 2,465,617
5.000%, 09/01/24............................. 4,000 4,625,120
-----------
TOTAL NORTH CAROLINA............................. 48,225,448
-----------
NORTH DAKOTA -- (0.1%)
North Dakota State University of Agriculture &
Applied Science (RB) Series A
5.000%, 04/01/21............................. 545 587,352
-----------
OHIO -- (5.6%)
Beavercreek City School District (GO) (AGM)
5.000%, 12/01/18............................. 525 534,839
City of Columbus (GO) Series 1
5.000%, 07/01/21............................. 2,775 3,028,940
5.000%, 07/01/23............................. 1,875 2,122,069
City of Columbus (GO) Series A
5.000%, 02/15/20............................. 650 685,204
2.000%, 08/15/22............................. 2,000 1,968,560
4.000%, 08/15/25............................. 3,500 3,854,970
Cleveland Department of Public Utilities
Division of Water (RB) Series T
5.000%, 01/01/19............................. 4,335 4,427,769
Franklin County (GO)
5.000%, 06/01/21............................. 1,830 1,990,326
Ohio State (GO) Series A
4.000%, 03/01/21............................. 1,475 1,552,423
5.000%, 09/15/24............................. 2,000 2,300,280
5.000%, 09/15/25............................. 1,950 2,279,063
Ohio State (GO) Series B
5.000%, 08/01/20............................. 650 692,770
5.000%, 09/01/27............................. 9,300 11,146,887
5.000%, 09/15/27............................. 3,500 4,197,620
Ohio Water Development Authority (RB) Series C
5.000%, 06/01/19............................. 2,225 2,303,008
-----------
TOTAL OHIO....................................... 43,084,728
-----------
OREGON -- (1.4%)
City of Portland Sewer System Revenue (RB)
Series A
5.000%, 10/01/23............................. 3,570 4,059,911
Multnomah County School District No. 1 Portland
(GO) Series B (SCH BD GTY)
5.000%, 06/15/23............................. 1,005 1,134,796
FACE
AMOUNT VALUE+
------ ------
(000)
OREGON -- (Continued)
Oregon State (GO) Series A
5.000%, 05/01/21............................. $ 800 $ 868,992
Oregon State (GO) Series D
3.000%, 05/01/20............................. 2,345 2,396,238
Oregon State (GO) Series G
5.000%, 12/01/22............................. 2,050 2,299,731
-----------
TOTAL OREGON..................................... 10,759,668
-----------
PENNSYLVANIA -- (0.4%)
Pennsylvania Economic Development Financing
Authority (RB) Series A
5.000%, 07/01/19............................. 3,145 3,257,717
-----------
RHODE ISLAND -- (0.3%)
Rhode Island State (GO) Series A
5.000%, 08/01/20............................. 1,900 2,024,165
Rhode Island State (GO) Series D
5.000%, 08/01/22............................. 600 666,204
-----------
TOTAL RHODE ISLAND............................... 2,690,369
-----------
SOUTH CAROLINA -- (3.0%)
Beaufort County (GO) Series A (ST AID WITHHLDG)
4.000%, 03/01/22............................. 640 683,782
Beaufort County School District (GO) Series A
(SCSDE)
5.000%, 03/01/23............................. 6,000 6,748,140
Berkeley County School District (GO) Series A
(SCSDE)
5.000%, 03/01/27............................. 2,500 2,985,850
Charleston County (GO)
5.000%, 11/01/23............................. 1,000 1,140,900
Charleston County School District (GO) Series A
(SCSDE)
5.000%, 02/01/21............................. 800 863,376
Clemson University (RB) Series B
5.000%, 05/01/25............................. 750 872,295
Lexington & Richland School District No. 5 (GO)
(SCSDE)
5.000%, 03/01/24............................. 2,750 3,141,600
Richland County (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/26............................. 1,870 2,216,605
South Carolina State (GO) Series A (ST AID
WITHHLDG)
5.000%, 10/01/23............................. 3,000 3,418,260
Spartanburg County (GO) (ST AID WITHHLDG)
5.000%, 04/01/19............................. 1,210 1,245,477
-----------
TOTAL SOUTH CAROLINA............................. 23,316,285
-----------
TENNESSEE -- (4.5%)
City of Kingsport (GO) Series A
5.000%, 09/01/21............................. 510 557,323
118
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (Continued)
Hamilton County (GO) Series B
5.000%, 03/01/22............................. $2,000 $ 2,214,680
Maury County (GO) Series B
5.000%, 04/01/20............................. 1,205 1,274,866
Metropolitan Government of Nashville & Davidson
County (GO)
5.000%, 01/01/26............................. 7,165 8,412,498
Metropolitan Government of Nashville & Davidson
County (GO) Series C
5.000%, 07/01/21............................. 5,000 5,446,300
Rutherford County (GO) Series B
5.000%, 04/01/23............................. 4,085 4,606,777
Shelby County (GO)
5.000%, 04/01/25............................. 5,000 5,813,200
Shelby County (GO) Series A
5.000%, 04/01/20............................. 1,500 1,587,255
Sullivan County (GO) Series A
5.000%, 04/01/21............................. 1,000 1,082,130
Sumner County (GO)
5.000%, 06/01/21............................. 650 707,154
5.000%, 12/01/21............................. 900 989,883
Washington County (GO) Series A
4.000%, 06/01/26............................. 1,705 1,881,860
-----------
TOTAL TENNESSEE.................................. 34,573,926
-----------
TEXAS -- (16.4%)
City of Arlington (GO)
5.000%, 08/15/25............................. 1,000 1,160,490
City of Austin (GO)
5.000%, 09/01/25............................. 2,305 2,695,444
City of Dallas (GO)
5.000%, 02/15/19............................. 1,600 1,640,128
City of Dallas Waterworks & Sewer System Revenue
(RB) Series A
5.000%, 10/01/22............................. 9,000 10,050,300
City of Frisco (GO) Series A
5.000%, 02/15/25............................. 2,000 2,300,800
City of Garland (GO) Series A
5.000%, 02/15/24............................. 400 454,700
City of Houston (GO) (TRANS)
4.000%, 06/29/18............................. 2,000 2,007,700
City of Lubbock (GO)
5.000%, 02/15/23............................. 4,000 4,477,040
City of San Antonio (GO)
5.000%, 02/01/20............................. 2,500 2,635,150
5.000%, 02/01/21............................. 2,200 2,374,900
City of San Antonio Electric & Gas Systems
Revenue (RB)
5.000%, 02/01/24............................. 9,515 10,818,936
5.000%, 02/01/26............................. 2,850 3,335,754
City of San Antonio Electric & Gas Systems
Revenue (RB) Series D
5.000%, 02/01/19............................. 310 317,555
City of Sugar Land (GO)
5.000%, 02/15/21............................. 1,050 1,132,541
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Conroe Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/15/26.............................. $ 8,710 $10,241,653
Cypress-Fairbanks Independent School District
(GO) (PSF-GTD)
5.000%, 02/15/21.............................. 800 862,888
Dallas County Community College District (GO)
5.000%, 02/15/23.............................. 7,965 8,934,102
El Paso Independent School District (GO)
(PSF-GTD)
5.000%, 08/15/24.............................. 3,035 3,477,533
Frisco Independent School District (GO) (PSF-GTD)
5.000%, 08/15/20.............................. 2,460 2,622,901
Goose Creek Consolidated Independent School
District (GO) (PSF-GTD)
5.000%, 02/15/27.............................. 3,000 3,551,820
Highland Park Independent School District (GO)
5.000%, 02/15/23.............................. 3,120 3,502,637
Houston Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/27.............................. 5,000 5,928,350
Humble Independent School District (GO) Series A
(PSF-GTD)
2.000%, 02/15/19.............................. 660 661,274
Permanent University Fund - University of Texas
System (RB) Series B
5.250%, 07/01/28.............................. 2,610 3,211,083
Pflugerville Independent School District (GO)
(PSF-GTD)
4.000%, 08/15/20.............................. 2,000 2,091,200
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/24.............................. 2,225 2,529,269
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20.............................. 1,790 1,885,317
Texas State (GO)
5.000%, 04/01/19.............................. 1,150 1,183,614
5.000%, 10/01/23.............................. 4,200 4,769,478
Texas State (RN)
4.000%, 08/30/18.............................. 3,000 3,022,860
Texas Transportation Commission State Highway
Fund (RB)
5.000%, 10/01/26.............................. 2,505 2,964,968
University of Texas System (The) (RB) Series C
5.000%, 08/15/19.............................. 100 104,022
University of Texas System (The) (RB) Series J
5.000%, 08/15/25.............................. 12,500 14,642,000
5.000%, 08/15/26.............................. 3,850 4,572,529
119
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Ysleta Independent School District (GO) Series A
(PSF-GTD)
5.000%, 08/15/20............................. $ 460 $ 490,779
------------
TOTAL TEXAS...................................... 126,651,715
------------
UTAH -- (1.3%)
City of American Fork (GO)
5.000%, 05/01/26............................. 1,165 1,359,310
Davis School District (GO) Series S (SCH BD GTY)
5.000%, 06/01/23............................. 1,000 1,131,820
Jordan School District (GO) (SCH BD GTY)
5.000%, 06/15/22............................. 3,050 3,393,399
Tooele County School District (GO) Series B (SCH
BD GTY)
5.000%, 06/01/22............................. 650 721,988
Utah State (GO)
5.000%, 07/01/22............................. 1,500 1,671,900
Utah State (GO) Series C
5.000%, 07/01/19............................. 900 933,426
Weber School District (GO) (SCH BD GTY)
5.000%, 06/15/21............................. 650 707,850
------------
TOTAL UTAH....................................... 9,919,693
------------
VERMONT -- (0.2%)
Vermont State (GO) Series C
4.000%, 08/15/23............................. 1,300 1,414,777
------------
VIRGINIA -- (3.6%)
Arlington County (GO) Series B
5.000%, 08/15/22............................. 4,830 5,396,897
City of Lynchburg (GO)
5.000%, 02/01/26............................. 1,930 2,275,296
City of Manassas (GO) Series C (ST AID WITHHLDG)
5.000%, 07/01/21............................. 1,040 1,135,170
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/21............................. 900 973,143
City of Virginia Beach (GO) Series B (ST AID
WITHHLDG)
5.000%, 09/15/24............................. 3,000 3,463,830
Fairfax County (GO) Series A (ST AID WITHHLDG)
5.000%, 10/01/19............................. 2,000 2,088,920
5.000%, 10/01/23............................. 4,775 5,448,562
Fairfax County (GO) Series B (ST AID WITHHLDG)
5.000%, 10/01/18............................. 400 405,464
Loudoun County (GO) Series A
5.000%, 12/01/21............................. 5,000 5,503,000
Virginia Public Building Authority (RB) Series C
5.000%, 08/01/23............................. 600 678,990
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (Continued)
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20............................. $ 200 $ 214,950
-----------
TOTAL VIRGINIA................................... 27,584,222
-----------
WASHINGTON -- (5.3%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20............................. 175 185,248
City of Seattle Municipal Light & Power Revenue
(RB) Series B
5.000%, 04/01/24............................. 3,000 3,427,590
City of Seattle Water System Revenue (RB)
5.000%, 09/01/19............................. 190 198,005
City of Spokane (GO)
5.000%, 12/01/25............................. 1,165 1,357,097
Clark County School District No. 119
Battleground (GO) (SCH BD GTY)
4.000%, 12/01/21............................. 510 542,885
King & Snohomish Counties School District
No. 417 Northshore (GO) (SCH BD GTY)
5.000%, 12/01/19............................. 2,825 2,962,945
King County (GO) Series A
5.000%, 07/01/20............................. 700 746,081
5.000%, 12/01/25............................. 1,830 2,149,628
King County School District No. 405 Bellevue
(GO) (SCH BD GTY)
5.000%, 12/01/24............................. 2,265 2,615,486
King County School District No. 414 Lake
Washington (GO) (SCH BD GTY)
5.000%, 12/01/22............................. 925 1,036,823
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22............................. 5,640 6,269,649
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/22............................. 2,080 2,321,842
Washington State (GO)
5.000%, 08/01/27............................. 4,800 5,732,592
Washington State (GO) Series 2017-A
5.000%, 08/01/26............................. 1,480 1,750,514
Washington State (GO) Series A
5.000%, 08/01/21............................. 500 545,930
Washington State (GO) Series C
5.000%, 02/01/25............................. 1,930 2,232,991
Washington State (GO) Series R-2012A
5.000%, 07/01/19............................. 1,585 1,642,741
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................. 150 158,913
120
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington State (GO) Series R-2013A
5.000%, 07/01/20............................. $2,775 $ 2,954,626
Washington State (GO) Series R-2015
5.000%, 07/01/18............................. 650 653,497
Washington State (GO) Series R-2015A
5.000%, 07/01/20............................. 1,560 1,660,979
-----------
TOTAL WASHINGTON................................. 41,146,062
-----------
WISCONSIN -- (3.4%)
City of Janesville (GO)
3.000%, 03/01/24............................. 1,245 1,277,196
City of Milwaukee (GO)
5.000%, 05/01/20............................. 2,370 2,507,578
City of Milwaukee (GO) Series N1
5.000%, 02/01/19............................. 100 102,324
City of Milwaukee (GO) Series N2
4.000%, 03/01/24............................. 6,500 7,040,475
FACE
AMOUNT VALUE+
------ ------
(000)
WISCONSIN -- (Continued)
City of Oshkosh (GO) Series B
3.000%, 12/01/23............................. $ 650 $ 671,626
Germantown School District (GO) Series A
5.000%, 04/01/27............................. 2,200 2,631,178
Oregon School District (GO)
3.000%, 03/01/21............................. 1,900 1,940,926
Wisconsin State (GO) Series 1
5.000%, 11/01/24............................. 4,025 4,643,240
Wisconsin State (GO) Series 2
5.000%, 11/01/20............................. 800 859,192
5.000%, 11/01/22............................. 600 672,108
Wisconsin State (GO) Series B
5.000%, 05/01/21............................. 3,405 3,698,647
------------
TOTAL WISCONSIN.................................. 26,044,490
------------
TOTAL MUNICIPAL BONDS............................ 772,772,754
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $791,942,637)............................ $772,772,754
============
At April 30, 2018, DFA Municipal Real Return Portfolio had entered into the
following outstanding Inflation Swaps:
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
--------------- ------------ -------- --------- -------------- ---------- -------- -------- -------- --------------
Bank of America
Corp.......... 2.195% Fixed CPI Maturity USD 15,000,000 01/09/24 -- -- $118,072 $118,072
Bank of America
Corp.......... 2.193% Fixed CPI Maturity USD 14,000,000 03/29/25 -- -- 114,764 114,764
Bank of America
Corp.......... 2.185% Fixed CPI Maturity USD 17,000,000 03/03/23 -- -- 97,719 97,719
Bank of America
Corp.......... 2.177% Fixed CPI Maturity USD 11,000,000 09/20/27 -- -- 262,291 262,291
Bank of America
Corp.......... 2.149% Fixed CPI Maturity USD 14,000,000 08/10/27 -- -- 345,183 345,183
Bank of America
Corp.......... 2.064% Fixed CPI Maturity USD 13,000,000 10/24/24 -- -- 300,013 300,013
Bank of America
Corp.......... 2.029% Fixed CPI Maturity USD 15,000,000 05/24/25 -- -- 367,155 367,155
Bank of America
Corp.......... 2.004% Fixed CPI Maturity USD 14,000,000 06/13/25 -- -- 382,668 382,668
Bank of America
Corp.......... 1.902% Fixed CPI Maturity USD 25,000,000 07/14/22 -- -- 523,607 523,607
Bank of America
Corp.......... 1.826% Fixed CPI Maturity USD 26,000,000 11/07/20 -- -- 458,257 458,257
Bank of America
Corp.......... 1.715% Fixed CPI Maturity USD 11,000,000 09/28/23 -- -- 452,940 452,940
Bank of America
Corp.......... 1.706% Fixed CPI Maturity USD 11,000,000 06/14/22 -- -- 395,074 395,074
Bank of America
Corp.......... 1.704% Fixed CPI Maturity USD 27,000,000 05/31/21 -- -- 786,707 786,707
121
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
--------------- ------------ -------- --------- -------------- ---------- -------- -------- ----------- --------------
Bank of America
Corp.......... 1.663% Fixed CPI Maturity USD 17,000,000 04/15/22 -- -- $ 627,690 $ 627,690
Bank of America
Corp.......... 1.619% Fixed CPI Maturity USD 12,000,000 10/14/22 -- -- 406,099 406,099
Bank of America
Corp.......... 1.610% Fixed CPI Maturity USD 20,000,000 12/31/20 -- -- 497,823 497,823
Bank of America
Corp.......... 1.609% Fixed CPI Maturity USD 17,000,000 06/24/21 -- -- 567,798 567,798
Bank of America
Corp.......... 1.580% Fixed CPI Maturity USD 19,000,000 08/07/20 -- -- 378,911 378,911
Bank of America
Corp.......... 1.580% Fixed CPI Maturity USD 14,000,000 12/30/20 -- -- 369,163 369,163
Bank of America
Corp.......... 1.548% Fixed CPI Maturity USD 8,000,000 01/08/21 -- -- 226,500 226,500
Bank of America
Corp.......... 1.530% Fixed CPI Maturity USD 19,000,000 12/24/20 -- -- 546,098 546,098
Bank of America
Corp.......... 1.520% Fixed CPI Maturity USD 14,000,000 12/23/20 -- -- 409,084 409,084
Bank of America
Corp.......... 1.365% Fixed CPI Maturity USD 5,000,000 01/21/19 -- -- 51,045 51,045
Bank of America
Corp.......... 2.199% Fixed CPI Maturity USD 16,000,000 02/14/24 -- -- 125,531 125,531
Citibank, N.A.. 2.234% Fixed CPI Maturity USD 34,000,000 01/23/24 -- -- 210,949 210,949
Citibank, N.A.. 2.171% Fixed CPI Maturity USD 11,000,000 04/07/24 -- -- 81,397 81,397
Citibank, N.A.. 2.148% Fixed CPI Maturity USD 19,000,000 01/04/24 -- -- 221,112 221,112
Citibank, N.A.. 2.114% Fixed CPI Maturity USD 14,000,000 12/19/23 -- -- 191,096 191,096
Citibank, N.A.. 2.113% Fixed CPI Maturity USD 27,000,000 12/21/24 -- -- 443,520 443,520
Citibank, N.A.. 2.113% Fixed CPI Maturity USD 11,000,000 05/02/24 -- -- 131,823 131,823
Citibank, N.A.. 2.103% Fixed CPI Maturity USD 11,000,000 11/21/26 -- -- 264,711 264,711
Citibank, N.A.. 2.100% Fixed CPI Maturity USD 18,000,000 12/11/25 -- -- 358,305 358,305
Citibank, N.A.. 2.088% Fixed CPI Maturity USD 23,000,000 12/29/22 -- -- 269,259 269,259
Citibank, N.A.. 2.005% Fixed CPI Maturity USD 12,000,000 11/09/25 -- -- 363,313 363,313
Citibank, N.A.. 1.986% Fixed CPI Maturity USD 20,000,000 07/24/23 -- -- 438,572 438,572
Citibank, N.A.. 1.789% Fixed CPI Maturity USD 21,000,000 03/31/24 -- -- 851,554 851,554
Citibank, N.A.. 1.752% Fixed CPI Maturity USD 17,000,000 05/20/23 -- -- 692,360 692,360
Citibank, N.A.. 1.718% Fixed CPI Maturity USD 16,000,000 05/27/20 -- -- 370,109 370,109
Citibank, N.A.. 1.698% Fixed CPI Maturity USD 22,000,000 06/02/22 -- -- 812,121 812,121
Citibank, N.A.. 1.581% Fixed CPI Maturity USD 10,000,000 12/28/20 -- -- 263,287 263,287
Citibank, N.A.. 1.578% Fixed CPI Maturity USD 25,000,000 08/09/23 -- -- 1,227,128 1,227,128
Citibank, N.A.. 1.577% Fixed CPI Maturity USD 10,000,000 11/18/21 -- -- 321,513 321,513
Citibank, N.A.. 1.555% Fixed CPI Maturity USD 10,000,000 12/11/20 -- -- 272,112 272,112
Citibank, N.A.. 1.533% Fixed CPI Maturity USD 10,000,000 11/10/20 -- -- 258,947 258,947
Citibank, N.A.. 1.520% Fixed CPI Maturity USD 24,000,000 08/01/21 -- -- 860,911 860,911
Citibank, N.A.. 1.481% Fixed CPI Maturity USD 17,000,000 08/18/21 -- -- 626,458 626,458
Citibank, N.A.. 1.253% Fixed CPI Maturity USD 12,000,000 02/11/22 -- -- 667,611 667,611
Citibank, N.A.. 1.253% Fixed CPI Maturity USD 12,000,000 01/20/19 -- -- 282,497 282,497
-- -- ----------- -----------
TOTAL.......... -- -- $19,290,857 $19,290,857
== == =========== ===========
122
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Municipal Bonds... -- $772,772,754 -- $772,772,754
Swap Agreements**. -- 19,290,857 -- 19,290,857
-- ------------ -- ------------
TOTAL............. -- $792,063,611 -- $792,063,611
== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
123
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Albany Unified School District (GO)
5.000%, 08/01/25............................. $ 230 $ 271,230
Alhambra Unified School District (GO) Series B
5.000%, 08/01/23............................. 100 114,281
Anaheim Housing & Public Improvements Authority (RB)
(currency) 5.000%, 10/01/41 (Pre-refunded @ $100,
10/1/21)..................................... 520 572,307
Bay Area Toll Authority (RB) Series S-4
(currency) 5.250%, 04/01/53 (Pre-refunded @ $100,
4/1/23)...................................... 250 286,330
Beverly Hills Unified School District (GO)
2.000%, 08/01/22............................. 150 150,242
Burbank Unified School District (GO)
5.000%, 08/01/24............................. 565 657,570
California State (GO)
5.000%, 12/01/22............................. 500 562,300
5.000%, 08/01/23............................. 585 665,736
5.000%, 10/01/25............................. 1,200 1,411,620
5.000%, 08/01/26............................. 1,540 1,829,043
5.000%, 08/01/26............................. 175 207,846
5.000%, 09/01/26............................. 2,410 2,864,478
3.500%, 08/01/27............................. 2,835 3,060,382
5.000%, 08/01/27............................. 4,200 5,050,416
5.000%, 11/01/27............................. 200 241,286
California State (GO) Series A
(currency) 5.250%, 07/01/21 (Pre-refunded @ $100,
7/1/19)...................................... 365 379,863
California State (GO) Series A (ETM)
5.000%, 07/01/19............................. 150 155,678
California State Department of Water Resources (RB)
Series AS
5.000%, 12/01/24............................. 775 907,773
California State Department of Water Resources Power
Supply Revenue (RB) Series L
5.000%, 05/01/19............................. 250 258,350
California State Department of Water Resources Power
Supply Revenue (RB) Series O
5.000%, 05/01/21............................. 1,225 1,337,002
5.000%, 05/01/22............................. 1,295 1,446,178
California State Public Works Board (RB) Series C-1
(currency) 5.000%, 03/01/22 (Pre-refunded @ $100,
3/1/20)...................................... 310 327,834
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California State Public Works Board (RB) Series D
(currency) 5.000%, 09/01/24 (Pre-refunded @ $100,
9/1/22)...................................... $ 935 $1,050,370
(currency) 5.000%, 09/01/29 (Pre-refunded @ $100,
9/1/22)...................................... 1,250 1,404,237
California State University (RB) Series A
5.000%, 11/01/23............................. 375 430,762
Camrosa Water District Financing Authority (RB) Series A
4.000%, 01/15/22............................. 205 219,633
Carlsbad Unified School District (GO)
5.000%, 08/01/26............................. 310 371,510
City & County of San Francisco (GO) Series E
5.000%, 06/15/22............................. 200 223,944
City & County of San Francisco (GO) Series R1
5.000%, 06/15/19............................. 375 388,954
City of Grover Beach (GO)
5.000%, 09/01/22............................. 390 437,950
5.000%, 09/01/26............................. 345 413,793
5.000%, 09/01/27............................. 445 542,023
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18............................. 400 407,012
City of Los Angeles (GO) Series B
5.000%, 09/01/19............................. 150 156,563
City of Pacifica
5.000%, 01/01/24............................. 250 282,807
City of Pittsburg Water Revenue (RB) Series A
5.000%, 08/01/24............................. 275 318,835
City of San Francisco Public Utilities Commission Water
Revenue (RB)
5.000%, 11/01/23............................. 210 241,697
5.000%, 11/01/24............................. 1,000 1,169,980
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series D
5.000%, 11/01/25............................. 220 262,027
5.000%, 11/01/26............................. 150 180,456
Cloverdale Unified School District (GO) Series A (AGM)
(currency) 5.250%, 08/01/32 (Pre-refunded @ $100,
8/1/21)...................................... 235 259,593
Contra Costa Transportation Authority (RB) Series A
5.000%, 03/01/23............................. 260 295,225
5.000%, 03/01/24............................. 750 866,077
124
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Contra Costa Water District (RB) Series U
5.000%, 10/01/19............................. $ 100 $ 104,633
Culver City Unified School District (GO) Series C
8.000%, 08/01/23............................. 460 592,301
Desert Sands Unified School District (GO) Series A
5.000%, 06/01/23............................. 375 427,530
Dixie School District (GO)
5.000%, 08/01/21............................. 500 548,740
Dublin-San Ramon Services District Water Revenue (RB)
(currency) 5.500%, 08/01/34 (Pre-refunded @ $100,
2/1/21)...................................... 1,425 1,562,042
El Monte Union High School District (GO)
5.000%, 06/01/24............................. 250 289,015
Elsinore Valley Municipal Water District Financing
Authority (RB) Series A
5.000%, 07/01/24............................. 100 116,430
Emery Unified School District (GO)
5.000%, 08/01/27............................. 600 728,106
Grossmont Healthcare District (GO) Series C
5.000%, 07/15/23............................. 1,000 1,141,660
Grossmont Union High School District (GO)
5.000%, 08/01/21............................. 200 219,496
Kern High School District (GO) Series E
4.000%, 08/01/24............................. 200 220,286
Los Angeles County Metropolitan Transportation Authority
(RB)
(currency) 5.000%, 07/01/23 (Pre-refunded @ $100,
7/1/21)...................................... 1,000 1,094,730
Los Angeles County Metropolitan Transportation Authority
(RB) Series A
5.000%, 07/01/19............................. 1,200 1,247,400
5.000%, 07/01/24............................. 300 349,290
Los Angeles Department of Water (RB) Series A
5.000%, 07/01/25............................. 1,000 1,185,340
Los Angeles Department of Water & Power (RB) Series A
5.000%, 07/01/19............................. 300 311,604
Los Angeles Department of Water & Power Power System
Revenue (RB) Series B
5.000%, 07/01/26............................. 400 481,608
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/24............................. $1,280 $1,487,104
5.000%, 07/01/26............................. 630 754,375
5.000%, 07/01/27............................. 480 583,421
Los Angeles Unified School District (GO) Series B-1
5.000%, 07/01/27............................. 175 212,706
Los County Angeles (RN)
5.000%, 06/29/18............................. 2,050 2,060,844
Los Rios Community College District (GO) Series F
2.000%, 08/01/20............................. 200 201,050
Merced Community College District (GO)
4.000%, 08/01/19............................. 200 205,800
Mesa Water District
(currency) 5.000%, 03/15/22 (Pre-refunded @ $100,
3/15/20)..................................... 500 528,895
Millbrae Public Financing Authority (RB)
5.000%, 12/01/25............................. 390 461,967
5.000%, 12/01/26............................. 265 318,138
5.000%, 12/01/27............................. 385 468,741
Morongo Unified School District (GO) Series A
5.000%, 08/01/25............................. 20 23,468
5.000%, 08/01/26............................. 280 332,553
5.000%, 08/01/27............................. 130 156,442
Mount Diablo Unified School District (GO) Series G
3.000%, 08/01/24............................. 130 135,805
New Haven Unified School District (GO)
5.000%, 08/01/26............................. 150 179,390
Northern California Transmission Agency (RB)
5.000%, 05/01/24............................. 280 321,112
Northern Humboldt Union High School District (GO)
4.000%, 08/01/25............................. 120 133,543
Novato Sanitary District (RB)
5.000%, 02/01/22............................. 340 377,159
Oak Park Unified School District (GO)
4.000%, 08/01/22............................. 200 215,866
Oakdale Joint Unified School District (GO)
4.000%, 08/01/23............................. 400 436,732
4.000%, 08/01/24............................. 175 192,644
Oakland Unified School District/ Alameda County (GO)
5.000%, 08/01/24............................. 750 869,550
Oakland Unified School District/ Alameda County (GO)
Series C
5.000%, 08/01/24............................. 510 591,294
125
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Ontario Montclair School District (GO) Series B (AGM)
5.000%, 08/01/21............................. $ 160 $ 175,437
Otay Water District (RB)
5.000%, 09/01/22............................. 740 829,999
Pacific Grove Unified School District (GO)
3.000%, 08/01/26............................. 210 220,015
Pajaro Valley Unified School District (GO) Series D
4.000%, 08/01/19............................. 370 380,589
Placentia-Yorba Linda Unified School District (GO)
5.000%, 08/01/23............................. 205 233,948
Port of Los Angeles (RB) Series A
5.000%, 08/01/19............................. 1,000 1,040,910
Redondo Beach Unified School District (GO) Series A (AGM)
5.000%, 08/01/23............................. 255 290,871
Reed Union School District (GO)
4.000%, 08/01/26............................. 250 281,355
Regents of the University of California Medical Center
Pooled Revenue (RB) Series J
(currency) 5.000%, 05/15/25 (Pre-refunded @ $100,
5/15/23)..................................... 530 602,541
(currency) 5.250%, 05/15/27 (Pre-refunded @ $100,
5/15/23)..................................... 260 298,675
Riverside County (RN)
2.000%, 06/29/18............................. 225 225,144
Ross Valley Public Financing Authority (RB)
5.000%, 01/01/25............................. 410 479,675
Sacramento County Sanitation Districts Financing
Authority (RB) Series A (NATL)
5.250%, 12/01/20............................. 510 553,222
Sacramento Municipal Utility District (RB) Series D
5.000%, 08/15/22............................. 1,350 1,516,117
Sacramento Municipal Utility District (RB) Series E
5.000%, 08/15/23............................. 350 400,711
Sacramento Municipal Utility District (RB) Series U (AGM)
4.000%, 08/15/18............................. 175 176,225
San Diego Community College District (GO)
5.000%, 08/01/23............................. 500 572,205
5.000%, 08/01/26............................. 275 330,250
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
(currency) 5.250%, 05/15/39 (Pre-refunded @ $100,
5/15/19)..................................... 475 492,342
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
San Diego Unified School District (GO) Series F-1 (AGM)
5.250%, 07/01/27............................. $ 475 $ 588,397
San Diego Unified School District (GO) Series R-5
5.000%, 07/01/26............................. 200 240,308
San Diego Unified School District (RAN) Series A
3.000%, 06/29/18............................. 1,700 1,703,689
San Francisco Bay Area Rapid Transit District (GO)
5.000%, 08/01/20............................. 1,030 1,103,418
San Francisco Community College District (GO)
5.000%, 06/15/24............................. 125 144,391
San Francisco County Transportation Authority (RB)
3.000%, 02/01/22............................. 1,300 1,348,594
San Gabriel Unified School District (GO) Series A
5.000%, 08/01/25............................. 230 271,230
San Lorenzo Unified School District (GO)
5.000%, 08/01/21............................. 140 153,507
Santa Clara Unified School District (GO)
5.000%, 07/01/19............................. 1,200 1,245,984
Santa County Clara (GO) Series C
5.000%, 08/01/26............................. 1,100 1,320,088
Santa Paula Union High School District (GO) Series A
5.000%, 08/01/19............................. 260 270,473
Santee School District (GO)
5.000%, 08/01/24............................. 290 336,043
Savanna School District (GO) Series A (AGC)
(currency) 4.750%, 08/01/30 (Pre-refunded @ $100,
8/1/19)...................................... 1,000 1,036,700
Scotts Valley Unified School District (GO) Series B
4.000%, 08/01/24............................. 150 165,399
4.000%, 08/01/25............................. 250 278,745
5.000%, 08/01/26............................. 250 299,605
Southwestern Community College District (GO) Series B
4.000%, 08/01/25............................. 250 278,745
Sylvan Union School District (GO) Series C
5.000%, 08/01/25............................. 380 448,119
Tahoe-Truckee Unified School District (GO)
5.000%, 08/01/26............................. 100 119,842
Tahoe-Truckee Unified School District (GO) Series C
2.000%, 08/01/20............................. 1,190 1,195,986
126
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
University of California (RB) Series AF
(currency) 5.000%, 05/15/27 (Pre-refunded @
$100, 5/15/23)............................... $1,550 $ 1,758,180
Washington Union School District/ Monterey County (GO)
5.000%, 08/01/27............................. 135 163,824
West Valley-Mission Community College District (GO)
Series B
5.000%, 08/01/27............................. 220 267,991
-----------
TOTAL MUNICIPAL BONDS.................................... 78,389,492
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $79,992,752)..................................... $78,389,492
===========
At April 30, 2018, DFA California Municipal Real Return Portfolio had entered
into the following outstanding Inflation Swaps:
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
---------------- ------------ -------- --------- -------------- ---------- -------- -------- -------- --------------
Bank of America
Corp........... 2.265% Fixed CPI Maturity USD 7,000,000 02/23/24 -- -- $ 30,001 $ 30,001
Bank of America
Corp........... 2.063% Fixed CPI Maturity USD 4,000,000 11/08/23 -- -- 74,052 74,052
Bank of America
Corp........... 2.060% Fixed CPI Maturity USD 11,000,000 11/06/21 -- -- 128,481 128,481
Bank of America
Corp........... 2.058% Fixed CPI Maturity USD 11,000,000 12/12/22 -- -- 138,837 138,837
Citibank, N.A... 2.225% Fixed CPI Maturity USD 6,000,000 03/26/23 -- -- 19,254 19,254
Citibank, N.A... 2.160% Fixed CPI Maturity USD 7,000,000 01/09/23 -- -- 56,545 56,545
Citibank, N.A... 2.143% Fixed CPI Maturity USD 8,000,000 01/18/22 -- -- 46,542 46,542
Citibank, N.A... 2.075% Fixed CPI Maturity USD 5,000,000 12/06/23 -- -- 75,816 75,816
Citibank, N.A... 2.065% Fixed CPI Maturity USD 4,000,000 11/09/21 -- -- 44,029 44,029
Citibank, N.A... 2.054% Fixed CPI Maturity USD 10,000,000 11/06/22 -- -- 155,086 155,086
Citibank, N.A... 2.043% Fixed CPI Maturity USD 6,000,000 11/07/22 -- -- 95,184 95,184
-- -- -------- --------
TOTAL........... -- -- $863,827 $863,827
== == ======== ========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ----------- ------- -----------
Municipal Bonds... -- $78,389,492 -- $78,389,492
Swap Agreements**. -- 863,827 -- 863,827
-- ----------- -- -----------
TOTAL............. -- $79,253,319 -- $79,253,319
== =========== == ===========
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
127
DFA MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.6%)
Alabama State (GO) Series A
5.000%, 08/01/20.............................. $ 200 $ 213,524
5.000%, 08/01/21.............................. 1,000 1,092,850
5.000%, 08/01/23.............................. 300 340,446
Baldwin County (GO)
4.000%, 05/01/20.............................. 610 634,742
----------
TOTAL ALABAMA...................................... 2,281,562
----------
ALASKA -- (0.4%)
Alaska State (GO) Series B
5.000%, 08/01/20.............................. 290 309,149
Borough of Fairbanks North Star (GO) Series S
4.000%, 10/01/21.............................. 560 594,675
City of Anchorage (GO) Series A
3.000%, 09/01/22.............................. 765 787,575
----------
TOTAL ALASKA....................................... 1,691,399
----------
ARIZONA -- (0.4%)
City of Chandler (GO)
3.000%, 07/01/20.............................. 550 562,876
City of Phoenix (GO)
4.000%, 07/01/21.............................. 500 529,710
Maricopa County School District No. 3 Tempe
Elementary (GO)
3.000%, 07/01/21.............................. 550 565,064
----------
TOTAL ARIZONA...................................... 1,657,650
----------
ARKANSAS -- (0.7%)
Arkansas State (GO)
5.000%, 04/01/21.............................. 400 433,560
5.000%, 06/15/21.............................. 1,250 1,361,638
5.000%, 04/01/22.............................. 1,110 1,229,003
----------
TOTAL ARKANSAS..................................... 3,024,201
----------
CALIFORNIA -- (1.8%)
California State (GO)
5.000%, 09/01/26.............................. 1,195 1,420,353
3.500%, 08/01/27.............................. 5,000 5,397,500
City of Los Angeles (RN)
5.000%, 06/28/18.............................. 400 402,124
----------
TOTAL CALIFORNIA................................... 7,219,977
----------
COLORADO -- (1.5%)
Boulder Valley School District No. Re-2 Boulder
(GO) Series B (ST AID WITHHLDG)
4.000%, 12/01/24.............................. 1,000 1,096,210
Denver City & County School District No. 1 (GO)
Series B (ST AID WITHHLDG)
5.000%, 12/01/24.............................. 550 636,196
FACE
AMOUNT VALUE+
------ ------
(000)
COLORADO -- (Continued)
Pueblo City Schools (GO) (ST AID WITHHLDG)
5.000%, 12/15/20.............................. $ 550 $ 592,328
Weld County School District No. RE-4 (GO) (ST
INTERCEPT)
4.000%, 12/01/22.............................. 1,140 1,223,266
5.000%, 12/01/24.............................. 2,280 2,614,909
----------
TOTAL COLORADO..................................... 6,162,909
----------
CONNECTICUT -- (0.3%)
Connecticut State (GO) Series E
4.000%, 09/15/20.............................. 550 570,399
Hartford County Metropolitan District (GO)
5.000%, 03/01/19.............................. 600 614,388
----------
TOTAL CONNECTICUT.................................. 1,184,787
----------
DELAWARE -- (0.6%)
Kent County (GO)
4.000%, 09/01/24.............................. 415 453,516
New Castle County (GO)
5.000%, 10/01/23.............................. 1,600 1,823,072
----------
TOTAL DELAWARE..................................... 2,276,588
----------
DISTRICT OF COLUMBIA -- (0.8%)
District of Columbia (GO) Series B (AGM)
5.250%, 06/01/18.............................. 1,300 1,303,679
Washington Metropolitan Area Transit Authority
(RB) Series B
5.000%, 07/01/25.............................. 720 836,345
5.000%, 07/01/27.............................. 1,000 1,189,150
----------
TOTAL DISTRICT OF COLUMBIA......................... 3,329,174
----------
FLORIDA -- (2.0%)
City of Port State Lucie (GO)
5.000%, 07/01/20.............................. 420 445,624
Flagler County (GO) (BAM)
5.000%, 07/01/22.............................. 465 514,760
Florida State Board of Education (GO) Series A
5.000%, 06/01/18.............................. 725 726,914
5.000%, 06/01/19.............................. 100 103,473
5.000%, 06/01/24.............................. 350 401,621
Florida's Turnpike Enterprise (RB) Series B
5.000%, 07/01/19.............................. 1,135 1,176,484
Miami-Dade County (GO) Series D
5.000%, 07/01/20.............................. 2,000 2,127,260
128
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
FLORIDA -- (Continued)
Orange County Water Utility System Revenue (RB)
5.000%, 10/01/21.............................. $ 525 $ 575,442
Orlando Utilities Commission (RB) Series C
5.250%, 10/01/22.............................. 1,000 1,127,160
Palm Beach County (RB)
5.000%, 11/01/23.............................. 810 920,533
-----------
TOTAL FLORIDA...................................... 8,119,271
-----------
GEORGIA -- (3.5%)
Cobb County School District
2.000%, 12/20/18.............................. 1,000 1,002,450
Columbia County School District (GO) (ST AID
WITHHLDG)
5.000%, 04/01/20.............................. 1,305 1,381,421
Georgia State
5.000%, 12/01/21.............................. 3,000 3,305,070
Georgia State (GO) Series C
5.000%, 07/01/19.............................. 2,000 2,074,280
Georgia State (GO) Series E
5.000%, 12/01/26.............................. 2,000 2,394,180
Georgia State Road & Tollway Authority (RB) (GTD)
5.000%, 10/01/23.............................. 3,455 3,940,462
-----------
TOTAL GEORGIA...................................... 14,097,863
-----------
HAWAII -- (1.8%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23.............................. 150 170,175
5.000%, 10/01/25.............................. 725 848,018
Hawaii County (GO) Series B
5.000%, 09/01/18.............................. 420 424,523
Hawaii County (GO) Series D
5.000%, 09/01/20.............................. 1,375 1,470,054
Hawaii State (GO) Series DQ
5.000%, 06/01/19.............................. 300 310,224
Hawaii State (GO) Series EE
5.000%, 11/01/20.............................. 1,300 1,395,862
Hawaii State (GO) Series FE
5.000%, 10/01/24.............................. 1,005 1,160,102
Maui County (GO)
5.000%, 06/01/18.............................. 1,560 1,564,103
-----------
TOTAL HAWAII....................................... 7,343,061
-----------
IDAHO -- (0.2%)
Idaho State (TAN)
4.000%, 06/29/18.............................. 1,000 1,003,740
-----------
INDIANA -- (0.7%)
Indiana University (RB) Series A
5.000%, 06/01/21.............................. 2,755 2,999,837
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
IOWA -- (0.8%)
City of Davenport (GO) Series C
4.000%, 06/01/24............................. $1,410 $1,530,259
Iowa Finance Authority (RB)
(currency) 5.000%, 08/01/20 (Pre-refunded
@ $100, 8/1/19).............................. 500 519,440
State of Iowa (RB) Series A (ETM)
5.000%, 06/01/18............................. 1,115 1,117,943
----------
TOTAL IOWA............................................... 3,167,642
----------
KANSAS -- (1.4%)
City of Merriam (GO)
5.000%, 10/01/25............................. 800 938,112
City of Topeka Series A
3.000%, 10/01/18............................. 235 236,300
City of Wichita (GO) Series 811
5.000%, 06/01/22............................. 550 609,780
Johnson County (GO) Series B
5.000%, 09/01/22............................. 650 725,335
Johnson County Unified School District No. 229 Blue
Valley (GO) Series A
5.000%, 10/01/26............................. 225 266,688
Johnson County Unified School District No. 229 Blue
Valley (GO) Series B
5.000%, 10/01/23............................. 750 854,152
Saline County Unified School District No. 305 Salina (GO)
5.000%, 09/01/20............................. 1,900 2,032,259
----------
TOTAL KANSAS............................................. 5,662,626
----------
KENTUCKY -- (2.4%)
Kentucky State Economic Development Finance Authority
(RB) Series A
(currency) 5.000%, 05/01/24 (Pre-refunded
@ $100, 5/1/19).............................. 2,300 2,370,104
Louisville & Jefferson County (GO) Series B
5.000%, 11/01/21............................. 1,700 1,862,996
Louisville & Jefferson County (RB)
5.000%, 12/01/35 (Pre-refunded
@ $100, 6/1/22).............................. 2,200 2,440,922
Louisville & Jefferson County Metropolitan Sewer
District (RB) Series C
5.000%, 05/15/23............................. 1,850 2,081,546
Louisville Water Co. (RB) Series A
4.000%, 11/15/21............................. 800 850,976
----------
TOTAL KENTUCKY........................................... 9,606,544
----------
129
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
LOUISIANA -- (0.1%)
Louisiana State (GO) Series C
5.000%, 08/01/23............................. $ 500 $ 563,190
-----------
MAINE -- (0.3%)
Maine State (GO) Series B
5.000%, 06/01/23............................. 1,000 1,130,800
-----------
MARYLAND -- (6.3%)
Anne Arundel County (GO)
5.000%, 10/01/20............................. 500 535,660
Baltimore County (BAN)
4.000%, 03/18/19............................. 3,500 3,569,090
Baltimore County (GO)
5.000%, 08/01/20............................. 750 800,550
5.000%, 08/01/22............................. 600 668,520
5.000%, 03/01/28............................. 1,335 1,616,471
Carroll County (GO)
5.000%, 11/01/21............................. 550 603,708
City of Baltimore (GO) Series B
5.000%, 10/15/27............................. 1,025 1,229,026
Harford County (GO) Series A
5.000%, 09/15/20............................. 570 610,328
Howard County (GO) Series D
5.000%, 02/15/24............................. 1,300 1,486,069
Maryland State (GO)
5.000%, 06/01/22............................. 1,175 1,305,131
5.000%, 06/01/23............................. 3,000 3,393,930
Maryland State (GO) Series B
5.000%, 08/01/20............................. 1,000 1,066,940
4.000%, 08/01/23............................. 850 922,335
Maryland State (GO) Series C
5.000%, 11/01/19............................. 915 957,785
5.000%, 08/01/20............................. 700 746,858
Maryland State (GO) Series C-2
5.000%, 08/01/22............................. 1,000 1,114,200
Montgomery County (GO) Series B
5.000%, 12/01/21............................. 350 384,829
Montgomery County (GO) Series D
3.000%, 11/01/23............................. 3,000 3,109,440
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/24............................. 655 752,405
Worcester County (GO) Series B
4.000%, 08/01/21............................. 1,000 1,058,670
-----------
TOTAL MARYLAND................................... 25,931,945
-----------
MASSACHUSETTS -- (3.2%)
City of Lowell (GO) (ST AID WITHHLDG)
4.000%, 09/01/23............................. 250 268,858
City of Quincy (BAN)
2.500%, 01/18/19............................. 1,000 1,005,070
FACE
AMOUNT VALUE+
------ ------
(000)
MASSACHUSETTS -- (Continued)
City of Somerville (BAN)
2.000%, 06/08/18............................. $1,250 $ 1,250,538
City of Springfield (GO) Series C (ST AID WITHHLDG)
4.000%, 08/01/23............................. 285 308,079
Commonwealth of Massachusetts (GO) Series A
5.000%, 07/01/26............................. 1,250 1,474,388
Commonwealth of Massachusetts (GO) Series B (AGM)
5.250%, 09/01/24............................. 400 465,548
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20............................. 100 106,648
5.000%, 10/01/21............................. 1,750 1,916,320
Massachusetts Dev. Finance Agency (RB)
(currency) 6.750%, 01/01/36 (Pre-refunded
@ $100, 1/1/21).............................. 2,865 3,194,847
Massachusetts Health & Educational Facilities Authority
(RB) Series E-2
(currency) 5.375%, 07/01/22 (Pre-refunded
@ $100, 7/1/18).............................. 845 849,994
Tantasqua Regional School District (GO)
5.000%, 10/01/19............................. 1,360 1,418,330
Town of Holbrook (GO)
5.000%, 12/01/21............................. 755 829,035
-----------
TOTAL MASSACHUSETTS...................................... 13,087,655
-----------
MICHIGAN -- (1.9%)
Michigan Finance Authority (RB) Series A
5.000%, 01/01/19............................. 1,500 1,532,505
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/18............................. 2,515 2,558,409
Michigan State Trunk Line Revenue (RB) (AGM)
5.500%, 11/01/21............................. 3,275 3,648,579
-----------
TOTAL MICHIGAN........................................... 7,739,493
-----------
MINNESOTA -- (3.4%)
Bloomington Independent School District No. 271 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/21............................. 1,100 1,187,450
City of Rochester (GO) Series A
5.000%, 02/01/20............................. 150 158,082
City of State Paul (GO) Series B
5.000%, 11/01/20............................. 100 107,424
130
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
Elk River Independent School District No. 728 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/21............................. $ 520 $ 560,612
Elk River Independent School District No. 728 (GO)
Series C (SD CRED PROG)
5.000%, 02/01/21............................. 3,000 3,234,300
Hennepin County (GO) Series B
5.000%, 12/01/21............................. 350 385,466
Housing & Redevelopment Authority of The City of State
Paul Minnesota (RB)
(currency) 5.250%, 11/15/29 (Pre-refunded
@ $100, 11/15/19)............................ 2,000 2,099,080
Minnesota State (GO) Series B
5.000%, 10/01/19............................. 600 626,502
Minnesota State (GO) Series E
5.000%, 08/01/22............................. 760 846,465
4.000%, 10/01/22............................. 3,000 3,225,900
State Paul Independent School District No. 625 (GO)
Series B (SD CRED PROG)
5.000%, 02/01/21............................. 1,425 1,537,888
-----------
TOTAL MINNESOTA.......................................... 13,969,169
-----------
MISSISSIPPI -- (0.3%)
Mississippi State (GO) Series C
5.000%, 10/01/18............................. 825 835,956
5.000%, 10/01/20............................. 500 535,415
-----------
TOTAL MISSISSIPPI........................................ 1,371,371
-----------
MISSOURI -- (0.8%)
Cass County Reorganized School District No. R-2 (GO) (ST
AID DIR DEP)
5.000%, 03/01/21............................. 1,110 1,200,532
Columbia School District (GO) Series B
5.000%, 03/01/25............................. 1,725 2,013,040
-----------
TOTAL MISSOURI........................................... 3,213,572
-----------
MONTANA -- (0.1%)
City & County of Butte-Silver Bow (GO)
4.000%, 07/01/21............................. 500 528,135
-----------
NEBRASKA -- (1.5%)
Lancaster County School District 001 (GO)
5.000%, 01/15/21............................. 700 753,809
FACE
AMOUNT VALUE+
------ ------
(000)
NEBRASKA -- (Continued)
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20............................. $ 300 $ 322,599
Omaha School District (GO)
5.000%, 12/15/25............................. 4,000 4,692,800
Southern Public Power District (RB)
5.000%, 12/15/21............................. 400 438,896
----------
TOTAL NEBRASKA........................................... 6,208,104
----------
NEVADA -- (2.1%)
Clark County School District (GO) Series A
5.000%, 06/15/21............................. 1,250 1,349,437
Clark County Water Reclamation District (GO) Series A
(currency) 5.250%, 07/01/34 (Pre-refunded @
$100, 7/1/19)................................ 2,320 2,409,807
Nevada State (GO) Series C
5.000%, 11/01/24............................. 450 517,082
Nevada State (GO) Series D-1
5.000%, 03/01/22............................. 250 275,768
Washoe County School District (GO) Series A
3.000%, 06/01/19............................. 550 556,198
Washoe County School District (GO) Series D
5.000%, 06/01/21............................. 3,335 3,612,639
----------
TOTAL NEVADA............................................. 8,720,931
----------
NEW HAMPSHIRE -- (1.0%)
City of Dover (GO)
3.000%, 06/15/20............................. 610 623,609
City of Nashua (GO)
4.000%, 07/15/24............................. 770 839,662
City of Portsmouth (BAN)
3.000%, 06/22/18............................. 2,200 2,204,290
New Hampshire State (GO) Series B
5.000%, 06/01/19............................. 250 258,627
----------
TOTAL NEW HAMPSHIRE...................................... 3,926,188
----------
NEW JERSEY -- (2.0%)
City of Hoboken (GO)
3.000%, 02/01/23............................. 2,000 2,049,880
3.000%, 02/01/25............................. 910 928,974
Middlesex County (GO)
4.000%, 01/15/21............................. 1,210 1,273,985
Montville Township (GO)
3.000%, 10/01/25............................. 500 517,160
Princeton (GO)
3.000%, 09/15/24............................. 1,515 1,569,282
131
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW JERSEY -- (Continued)
Township of Parsippany-Troy Hills (GO) Series ABCD
2.000%, 09/15/21............................. $2,000 $1,987,060
----------
TOTAL NEW JERSEY......................................... 8,326,341
----------
NEW MEXICO -- (1.6%)
New Mexico State (GO)
5.000%, 03/01/21............................. 1,000 1,080,120
New Mexico State Severance Tax Permanent Fund (RB)
Series A
5.000%, 07/01/27............................. 4,000 4,760,200
Santa Fe County (GO)
5.000%, 07/01/22............................. 710 789,264
----------
TOTAL NEW MEXICO......................................... 6,629,584
----------
NEW YORK -- (5.4%)
City of New York (GO) Series A
5.000%, 08/01/24............................. 100 114,497
City of New York (GO) Series B
5.000%, 08/01/19............................. 100 103,939
City of New York (GO) Series E
5.000%, 08/01/19............................. 250 259,847
5.000%, 08/01/19............................. 1,675 1,740,978
5.000%, 08/01/21............................. 265 288,906
City of New York (GO) Series F
5.000%, 08/01/21............................. 450 490,594
City of New York (GO) Series F-1
5.000%, 06/01/21............................. 825 896,255
Corning City School District (BAN) (ST AID WITHHLDG)
2.000%, 06/21/18............................. 675 675,209
Corning City School District (GO) (ST AID WITHHLDG)
5.000%, 06/15/19............................. 250 258,823
Long Island Power Authority (RB) Series A BHAC-CR
(BHAC-CR)
(currency) 6.000%, 05/01/33 (Pre-refunded
@ $100, 5/1/19).............................. 600 625,158
Metropolitan Transportation Authority (RB)
5.000%, 11/15/25............................. 1,275 1,474,678
Middle Country Central School District (GO) (ST AID
WITHHLDG)
2.000%, 08/15/21............................. 400 399,868
Middletown City School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20............................. 760 761,566
New York State Dormitory Authority (RB)
(currency) 6.250%, 12/01/37 (Pre-refunded
@ $100, 12/1/18)............................. 250 256,420
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Dormitory Authority (RB) Series A
5.000%, 03/15/19............................. $ 350 $ 359,733
5.000%, 03/15/21............................. 1,000 1,083,230
5.000%, 03/15/23............................. 600 676,272
5.000%, 02/15/25............................. 500 577,220
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22............................. 800 882,144
5.000%, 02/15/24............................. 300 341,547
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19............................. 250 256,953
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/20............................. 810 855,733
5.000%, 03/15/25............................. 500 578,095
North Shore Central School District (GO) (ST AID WITHHLDG)
2.000%, 12/15/23............................. 315 311,850
Riverhead Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/15/22............................. 540 538,169
Triborough Bridge & Tunnel Authority (RB)
4.000%, 11/15/27............................. 1,500 1,677,690
Triborough Bridge & Tunnel Authority (RB) Series B
5.000%, 11/15/18............................. 325 330,769
5.000%, 11/15/20............................. 4,700 5,053,017
-----------
TOTAL NEW YORK........................................... 21,869,160
-----------
NORTH CAROLINA -- (2.8%)
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/19............................. 3,000 3,108,960
New Hanover County (GO)
5.000%, 02/01/23............................. 1,550 1,746,060
North Carolina Eastern Municipal Power Agency (RB)
Series B (NATL-IBC) (ETM)
6.000%, 01/01/22............................. 1,725 1,947,318
North Carolina Medical Care Commission (RB) Series D
(currency) 6.250%, 12/01/33 (Pre-refunded @
$100, 12/1/18)............................... 1,000 1,025,330
North Carolina State (GO) Series B
5.000%, 06/01/25............................. 1,405 1,645,536
North Carolina State (GO) Series D
4.000%, 06/01/23............................. 350 380,121
Wake County (GO)
5.000%, 03/01/19............................. 160 164,318
5.000%, 09/01/21............................. 1,300 1,424,579
-----------
TOTAL NORTH CAROLINA..................................... 11,442,222
-----------
132
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH DAKOTA -- (0.5%)
City of West Fargo (GO) Series A
5.000%, 05/01/24............................. $1,150 $ 1,308,504
North Dakota State University of Agriculture &
Applied Science (RB) Series A
5.000%, 04/01/21............................. 500 538,855
-----------
TOTAL NORTH DAKOTA............................... 1,847,359
-----------
OHIO -- (2.5%)
City of Columbus (GO) Series A
3.000%, 07/01/22............................. 835 860,417
City of Columbus (GO) Series B
5.000%, 02/15/23............................. 475 533,710
Hamilton County Sewer System Revenue (RB) Series
A
5.000%, 12/01/21............................. 500 549,030
Ohio State (GO) Series A
5.000%, 09/15/21............................. 800 874,520
5.000%, 08/01/22............................. 1,000 1,112,050
5.000%, 09/15/22............................. 750 836,018
5.000%, 02/01/24............................. 2,820 3,212,939
Ohio State (GO) Series B
5.000%, 06/15/22............................. 450 499,352
Ohio State Water Development Authority (RB)
Series A
5.000%, 06/01/21............................. 1,550 1,688,709
-----------
TOTAL OHIO....................................... 10,166,745
-----------
OKLAHOMA -- (0.6%)
City of Oklahoma City (GO)
4.000%, 03/01/25............................. 1,255 1,375,806
Tulsa County Independent School District No. 1
Tulsa (GO) Series C
2.000%, 07/01/19............................. 1,000 1,001,940
-----------
TOTAL OKLAHOMA................................... 2,377,746
-----------
OREGON -- (1.0%)
City of McMinnville (GO)
5.000%, 02/01/22............................. 290 319,044
City of Portland Water System Revenue (RB)
Series A
5.000%, 04/01/21............................. 1,250 1,356,350
Lane County School District No. 4J Eugene (GO)
(SCH BD GTY)
3.000%, 06/15/25............................. 940 963,049
Oregon State (GO) Series E
5.000%, 08/01/21............................. 410 447,933
Oregon State (GO) Series F
3.000%, 05/01/20............................. 750 766,387
Oregon State (GO) Series L
5.000%, 11/01/19............................. 200 209,352
-----------
TOTAL OREGON..................................... 4,062,115
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
PENNSYLVANIA -- (0.4%)
Berks County (GO)
5.000%, 11/15/22............................. $ 445 $ 498,097
City of Philadelphia (GO) Series A (AGM)
(currency) 5.250%, 12/15/32 (Pre-refunded
@ $100, 12/15/18)............................ 500 510,600
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 07/01/21............................. 550 594,875
----------
TOTAL PENNSYLVANIA....................................... 1,603,572
----------
RHODE ISLAND -- (0.7%)
Rhode Island State (GO) Series A
5.000%, 08/01/19............................. 1,800 1,870,902
5.000%, 08/01/21............................. 1,000 1,089,220
----------
TOTAL RHODE ISLAND....................................... 2,960,122
----------
SOUTH CAROLINA -- (1.3%)
Aiken County Consolidated School District (GO) Series A
(SCSDE)
5.000%, 03/01/20............................. 770 813,012
Anderson County School District No. 4 (GO) Series A
(SCSDE)
5.000%, 03/01/21............................. 500 541,065
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21............................. 500 544,120
Clemson University (RB) Series B
5.000%, 05/01/25............................. 750 872,295
Lexington & Richland School District No. 5 (GO) (SCSDE)
5.000%, 03/01/19............................. 1,440 1,478,751
Richland County School District No. 2 (GO) (SCSDE)
5.000%, 03/01/20............................. 500 527,930
Richland County School District No. 2 (GO) Series A
(SCSDE)
5.000%, 02/01/20............................. 600 632,118
----------
TOTAL SOUTH CAROLINA..................................... 5,409,291
----------
TENNESSEE -- (3.8%)
Blount County (GO) Series B
5.000%, 06/01/22............................. 2,635 2,915,970
City of Clarksville Water Sewer & Gas Revenue (RB)
5.000%, 02/01/20............................. 565 595,041
City of Knoxville Wastewater System Revenue (RB) Series A
5.000%, 04/01/19............................. 1,825 1,878,856
City of Knoxville Wastewater System Revenue (RB) Series B
4.000%, 04/01/22............................. 310 331,533
133
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (Continued)
City of Memphis (GO) Series A
5.000%, 04/01/25............................. $1,250 $ 1,449,850
Hamilton County (GO) Series B
5.000%, 03/01/22............................. 1,735 1,921,235
Metropolitan Government of Nashville & Davidson County (GO)
5.000%, 07/01/22............................. 650 722,293
Metropolitan Government of Nashville & Davidson County (GO)
Series A
(currency) 5.000%, 07/01/25 (Pre-refunded
@ $100, 7/1/20).............................. 3,000 3,187,620
Sullivan County (GO) Series A
5.000%, 04/01/21............................. 450 486,959
Sumner County (GO)
5.000%, 12/01/21............................. 230 252,970
5.000%, 12/01/22............................. 640 716,774
Town of Collierville (GO) Series A
5.000%, 01/01/21............................. 1,095 1,180,957
-----------
TOTAL TENNESSEE.......................................... 15,640,058
-----------
TEXAS -- (18.2%)
Austin Independent School District (GO) Series B
5.000%, 08/01/20............................. 2,410 2,571,325
Bexar County (GO)
5.000%, 06/15/20............................. 500 531,180
5.000%, 06/15/21............................. 1,275 1,385,249
City of Dallas (GO) Series A
5.000%, 02/15/21............................. 500 536,915
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/19............................. 180 184,601
City of Fort Worth Water & Sewer System Revenue (RB)
5.000%, 02/15/21............................. 1,745 1,883,658
City of Fort Worth Water & Sewer System Revenue (RB)
Series A
5.000%, 02/15/25............................. 1,930 2,229,382
City of Garland (GO) Series A
5.000%, 02/15/24............................. 200 227,350
City of Houston (GO) (TRANS)
4.000%, 06/29/18............................. 3,000 3,011,550
City of Houston Combined Utility System Revenue (RB)
(ASSURED GTY)
(currency) 5.375%, 11/15/38 (Pre-refunded
@ $100, 5/15/19)............................. 5,000 5,177,400
City of Irving (GO) Series A
5.000%, 09/15/18............................. 710 718,364
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/21............................. 700 754,285
5.000%, 02/01/22............................. 2,025 2,228,573
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Cypress-Fairbanks Independent School District
(GO) (PSF-GTD)
5.000%, 02/15/21............................. $ 790 $ 852,102
Dallas Independent School District (GO) Series A
(PSF-GTD)
5.000%, 08/15/24............................. 3,250 3,725,897
El Paso Independent School District (GO)
(PSF-GTD)
5.000%, 08/15/24............................. 500 572,905
Fort Bend Independent School District (GO)
Series C (PSF-GTD)
5.000%, 02/15/24............................. 1,275 1,450,096
Fort Worth Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/26............................. 445 523,253
Grapevine-Colleyville Independent School
District (GO) (PSF-GTD)
2.000%, 08/15/19............................. 1,500 1,503,405
Harris County (GO) Series A
5.000%, 10/01/19............................. 1,000 1,044,030
Highland Park Independent School District (GO)
5.000%, 02/15/23............................. 2,000 2,245,280
Highland Park Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20............................. 1,500 1,579,875
Houston Independent School District (GO) Series
A (PSF-GTD)
5.000%, 02/15/26............................. 750 877,837
Humble Independent School District (GO) Series B
(PSF-GTD)
5.000%, 02/15/20............................. 1,000 1,053,250
Katy Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/15/20............................. 750 789,937
5.000%, 02/15/21............................. 400 431,784
McAllen Independent School District (GO) Series
A (PSF-GTD)
5.000%, 02/15/22............................. 2,725 3,002,732
Northwest Independent School District (GO)
Series A (PSF-GTD)
5.000%, 02/15/24............................. 1,000 1,137,330
Permanent University Fund - University of Texas
System (RB) Series B
5.000%, 07/01/20............................. 2,875 3,062,996
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20............................. 400 421,300
134
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Texas State (GO)
5.000%, 04/01/19............................. $ 250 $ 257,308
5.000%, 10/01/22............................. 1,140 1,272,525
5.000%, 10/01/23............................. 375 425,846
5.000%, 04/01/25............................. 2,185 2,535,824
Texas State (GO) Series A
5.000%, 10/01/21............................. 1,300 1,423,552
5.000%, 10/01/25............................. 845 988,380
Texas State (RN)
4.000%, 08/30/18............................. 8,500 8,564,770
Texas Transportation Commission State Highway
Fund (RB) Series A
5.000%, 10/01/19............................. 1,000 1,044,890
University of Texas System (The) (RB) Series A
5.250%, 08/15/18............................. 800 808,016
University of Texas System (The) (RB) Series D
5.000%, 08/15/21............................. 615 672,146
University of Texas System (The) (RB) Series J
5.000%, 08/15/25............................. 3,000 3,514,080
Williamson County (GO)
5.000%, 02/15/21............................. 5,640 6,084,996
Wylie Independent School District (GO) Series C
(PSF-GTD)
6.750%, 08/15/18............................. 1,000 1,014,190
-----------
TOTAL TEXAS...................................... 74,320,364
-----------
UTAH -- (1.7%)
Alpine School District (GO) (SCH BD GTY)
5.000%, 03/15/21............................. 550 596,101
Central Utah Water Conservancy District (RB)
Series A
5.000%, 10/01/20............................. 450 482,094
Davis School District (GO) Series S (SCH BD GTY)
5.000%, 06/01/23............................. 2,445 2,767,300
Snyderville Basin Special Recreation District
(GO) Series B
4.000%, 12/15/20............................. 540 567,702
Utah State (GO)
5.000%, 07/01/22............................. 800 891,680
Utah State (GO) Series C
5.000%, 07/01/18............................. 1,650 1,658,827
-----------
TOTAL UTAH....................................... 6,963,704
-----------
VERMONT -- (0.3%)
Vermont State (GO) Series B
5.000%, 08/15/23............................. 1,000 1,137,900
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (2.2%)
City of Hampton (GO) Series B (ST AID WITHHLDG)
5.000%, 09/01/21............................. $ 840 $ 919,926
5.000%, 09/01/22............................. 475 530,889
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/20............................. 1,635 1,726,331
Commonwealth of Virginia (GO) Series D
5.000%, 06/01/19............................. 2,260 2,337,993
Loudoun County (GO) Series B (ST AID WITHHLDG)
5.000%, 12/01/20............................. 550 592,009
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21............................. 1,830 1,968,860
Virginia Resources Authority (RB)
(currency) 5.000%, 10/01/22 (Pre-refunded @ $100,
10/1/18)..................................... 1,000 1,013,910
----------
TOTAL VIRGINIA........................................... 9,089,918
----------
WASHINGTON -- (8.7%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20............................. 755 799,213
City of Seattle Drainage & Wastewater Revenue (RB)
5.000%, 09/01/20............................. 1,500 1,604,415
5.000%, 04/01/21............................. 445 482,202
City of Seattle Municipal Light & Power Revenue (RB)
5.000%, 09/01/20............................. 650 694,935
County of Kitsap WA (GO)
5.000%, 06/01/21............................. 1,455 1,580,668
King County (GO) Series A
5.000%, 07/01/20............................. 265 282,445
King County (GO) Series E
5.000%, 12/01/25............................. 1,275 1,497,691
King County School District No. 405 Bellevue (GO) Series
A (SCH BD GTY)
5.000%, 12/01/18............................. 500 509,395
5.000%, 12/01/20............................. 1,350 1,452,046
King County School District No. 411 Issaquah (GO) (SCH
BD GTY)
5.000%, 12/01/23............................. 1,440 1,642,507
King County School District No. 414 Lake Washington (GO)
(SCH BD GTY)
5.000%, 12/01/22............................. 2,000 2,241,780
King County Sewer Revenue (RB)
5.000%, 01/01/21............................. 585 629,975
135
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (8.7%)
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22............................. $1,165 $ 1,295,061
5.000%, 07/01/25............................. 1,305 1,520,521
Pierce County School District No.10 Tacoma (GO) (SCH BD
GTY)
5.000%, 12/01/18............................. 500 509,370
Snohomish County Public Utility District No. 1 (RB)
5.000%, 12/01/18............................. 895 912,032
Snohomish County School District No. 6 Mukilteo (GO)
(SCH BD GTY)
5.000%, 12/01/25............................. 2,000 2,341,780
Spokane County (GO)
5.000%, 12/01/20............................. 450 484,016
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21............................. 350 384,192
Washington Health Care Facilities Authority (RB)
(currency) 7.375%, 03/01/38 (Pre-refunded
@ $100, 3/1/19).............................. 3,000 3,134,100
(currency) 5.625%, 10/01/38 (Pre-refunded @
$100, 10/1/19)............................... 1,000 1,052,420
Washington State (GO) Series 2013A
5.000%, 08/01/21............................. 200 218,372
Washington State (GO) Series 2017-A
5.000%, 08/01/26............................. 1,675 1,981,156
Washington State (GO) Series 2018C
5.000%, 08/01/25............................. 2,500 2,917,250
Washington State (GO) Series A-1
5.000%, 08/01/21............................. 800 873,488
Washington State (GO) Series B
4.000%, 07/01/18............................. 1,000 1,003,750
5.000%, 07/01/20............................. 325 346,037
5.000%, 07/01/25............................. 475 553,446
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................. 100 105,942
Washington State (GO) Series R-2013A
5.000%, 07/01/21............................. 1,520 1,656,648
Washington State (GO) Series R-2015E
5.000%, 07/01/18............................. 1,005 1,010,407
-----------
TOTAL WASHINGTON......................................... 35,717,260
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
WEST VIRGINIA -- (0.7%)
Jefferson County Board of Education (GO) (WV BD COMM)
4.000%, 05/01/20............................. $ 250 $ 259,843
West Virginia State (GO)
4.000%, 11/01/20............................. 1,975 2,071,735
West Virginia State (GO) Series A
5.000%, 06/01/19............................. 550 568,804
------------
TOTAL WEST VIRGINIA...................................... 2,900,382
------------
WISCONSIN -- (4.7%)
City of Janesville (GO)
3.000%, 03/01/24............................. 2,000 2,051,720
City of Madison Water Utility Revenue (RB)
5.000%, 01/01/21............................. 1,000 1,076,610
City of Milwaukee (GO) Series N3
5.000%, 05/15/20............................. 1,000 1,059,140
Germantown School District (GO) Series A
5.000%, 04/01/27............................. 1,000 1,195,990
Milwaukee County (GO) Series E
2.000%, 12/01/20............................. 1,060 1,060,254
Milwaukee County Metropolitan Sewer District (GO) Series
A
5.000%, 10/01/25............................. 2,635 3,097,706
Oak Creek Franklin Joint School District (GO) Series B
3.000%, 04/01/20............................. 630 642,241
Wisconsin Health & Educational Facilities Authority (RB)
Series A
(currency) 5.250%, 12/01/35.............................
(Pre-refunded @ $100, 12/3/18)............... 2,500 2,550,175
Wisconsin State (GO) Series 1
5.000%, 05/01/19............................. 500 515,895
Wisconsin State (GO) Series 1 (AMBAC)
5.000%, 05/01/19............................. 1,310 1,351,645
Wisconsin State (GO) Series 2
5.000%, 11/01/20............................. 600 644,394
5.000%, 11/01/22............................. 1,400 1,568,252
Wisconsin State (GO) Series 3
5.000%, 11/01/22............................. 1,875 2,100,338
Wisconsin State (GO) Series B
5.000%, 05/01/21............................. 400 434,496
------------
TOTAL WISCONSIN.......................................... 19,348,856
------------
TOTAL MUNICIPAL BONDS.................................... 409,032,083
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $415,264,761).................................... $409,032,083
============
136
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Municipal Bonds. -- $409,032,083 -- $409,032,083
-- ------------
TOTAL........... -- $409,032,083 -- $409,032,083
== ============ == ============
See accompanying Notes to Financial Statements.
137
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (99.4%)
ALABAMA -- (0.9%)
Alabama State (GO) Series A
5.000%, 08/01/19............................. $8,500 $ 8,832,690
5.000%, 08/01/20............................. 5,495 5,866,572
5.000%, 08/01/21............................. 1,450 1,584,633
5.000%, 08/01/21............................. 6,030 6,589,885
-----------
TOTAL ALABAMA............................................ 22,873,780
-----------
ALASKA -- (0.4%)
Alaska State (GO) Series B
5.000%, 08/01/20............................. 3,920 4,178,838
City of Koyukuk (RB)
(currency) 7.750%, 10/01/41 (Pre-refunded @ $100,
10/1/19)..................................... 4,650 5,014,002
-----------
TOTAL ALASKA............................................. 9,192,840
-----------
ARIZONA -- (1.0%)
Arizona State Transportation Board (RB)
5.000%, 07/01/20............................. 5,000 5,323,650
City of Phoenix (GO)
4.000%, 07/01/20............................. 1,085 1,133,293
4.000%, 07/01/21............................. 5,970 6,324,738
Madison Elementary School District No. 38 (GO) Series A
2.000%, 07/01/20............................. 1,400 1,402,058
Maricopa County Community College District (GO)
4.000%, 07/01/18............................. 2,210 2,218,265
3.000%, 07/01/20............................. 6,505 6,658,648
Maricopa County School District No. 3 Tempe Elementary
(GO)
3.000%, 07/01/21............................. 1,410 1,448,620
-----------
TOTAL ARIZONA............................................ 24,509,272
-----------
ARKANSAS -- (1.1%)
Arkansas State (GO)
5.000%, 04/01/19............................. 7,240 7,449,598
5.000%, 04/01/21............................. 4,300 4,660,770
5.000%, 04/01/21............................. 6,495 7,039,931
5.000%, 06/15/21............................. 8,730 9,509,676
-----------
TOTAL ARKANSAS........................................... 28,659,975
-----------
CALIFORNIA -- (2.7%)
Bay Area Toll Authority (RB) Series F-1
(currency) 5.125%, 04/01/39 (Pre-refunded @ $100,
4/1/19)...................................... 9,200 9,486,948
California State (GO)
5.000%, 04/01/19............................. 1,000 1,029,880
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
2.000%, 11/01/19............................. $ 695 $ 697,349
5.000%, 10/01/21............................. 2,215 2,433,953
California State (GO) Series B
5.000%, 09/01/18............................. 7,000 7,078,680
City of Berkeley (RN)
3.000%, 07/19/18............................. 4,000 4,011,640
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18............................. 4,125 4,197,311
City of Los Angeles (RN)
5.000%, 06/28/18............................. 2,800 2,814,868
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/19............................. 1,000 1,038,320
Oakland Unified School District (GO) Series A
(currency) 6.125%, 08/01/29 (Pre-refunded @ $100,
8/1/19)...................................... 3,595 3,787,620
Riverside County (RN)
2.000%, 06/29/18............................. 29,300 29,318,752
Sequoia Union High School District (RAN)
3.000%, 06/29/18............................. 2,385 2,390,605
-----------
TOTAL CALIFORNIA......................................... 68,285,926
-----------
COLORADO -- (0.7%)
Board of Water Commissioners City & County of Denver
(The) (RB) Series B
5.000%, 09/15/19............................. 2,060 2,149,013
City & County of Denver (GO) Series A
5.000%, 08/01/18............................. 7,745 7,810,600
5.000%, 08/01/20............................. 4,920 5,254,954
Denver City & County School District No. 1 (GO) Series B
(ETM) (ST AID WITHHLDG)
4.000%, 12/01/18............................. 140 141,778
Denver City & County School District No. 1 (GO) Series B
(ST AID WITHHLDG)
4.000%, 12/01/18............................. 1,045 1,059,055
Weld County School District No. RE-4 (GO) (ST INTERCEPT)
4.000%, 12/01/22............................. 1,000 1,073,040
-----------
TOTAL COLORADO........................................... 17,488,440
-----------
CONNECTICUT -- (2.0%)
City of Middletown (GO)
5.000%, 04/01/21............................. 1,905 2,070,468
City of New London (BAN)
3.000%, 03/21/19............................. 5,300 5,359,042
138
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CONNECTICUT -- (Continued)
Connecticut State (GO) Series A
5.000%, 10/15/19............................. $ 5,350 $ 5,566,889
Connecticut State (GO) Series B (AMBAC)
5.250%, 06/01/18............................. 15,310 15,352,103
Connecticut State (GO) Series C
5.000%, 06/01/18............................. 9,980 10,005,449
Connecticut State Special Tax Revenue (RB)
5.000%, 01/01/19............................. 11,000 11,224,400
-----------
TOTAL CONNECTICUT........................................ 49,578,351
-----------
DELAWARE -- (0.4%)
Delaware State (GO)
5.000%, 07/01/19............................. 5,000 5,185,700
Delaware State (GO) Series A
5.000%, 08/01/19............................. 5,745 5,972,732
-----------
TOTAL DELAWARE........................................... 11,158,432
-----------
DISTRICT OF COLUMBIA -- (0.2%)
District of Columbia (GO) Series A
5.000%, 06/01/20............................. 2,320 2,465,023
District of Columbia (GO) Series B (AGM)
5.250%, 06/01/18............................. 2,265 2,271,410
-----------
TOTAL DISTRICT OF COLUMBIA............................... 4,736,433
-----------
FLORIDA -- (2.3%)
Florida State Board of Education (GO) Series A
5.000%, 06/01/18............................. 4,000 4,010,560
5.000%, 06/01/19............................. 19,310 19,980,636
5.000%, 06/01/19............................. 10,100 10,450,773
5.000%, 06/01/20............................. 2,850 3,025,133
5.000%, 01/01/21............................. 2,340 2,517,372
Florida State Board of Education (GO) Series B
5.000%, 06/01/19............................. 3,500 3,621,555
5.000%, 06/01/20............................. 1,000 1,061,450
North Brevard County Hospital District Physician
Services Inc (RB)
(currency) 5.750%, 10/01/43 (Pre-refunded @ $100,
10/1/18)..................................... 7,120 7,236,483
Orange County Water Utility System Revenue (RB)
5.000%, 10/01/21............................. 2,500 2,740,200
Tampa Bay Water (RB)
(currency) 5.000%, 10/01/25 (Pre-refunded @ $100,
10/1/20)..................................... 2,160 2,309,278
-----------
TOTAL FLORIDA............................................ 56,953,440
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
GEORGIA -- (3.7%)
Cobb County (GO)
5.000%, 01/01/21............................. $ 3,710 $ 4,001,235
5.000%, 01/01/22............................. 500 551,605
Cobb County School District
2.000%, 12/20/18............................. 22,320 22,374,684
Gainesville & Hall County Hospital Authority (RB)
(currency) 5.500%, 02/15/45 (Pre-refunded @ $100,
2/15/20)..................................... 6,575 6,970,618
Georgia State (GO) Series A
5.000%, 07/01/19............................. 7,350 7,622,979
Georgia State (GO) Series A-1
5.000%, 02/01/19............................. 8,000 8,194,960
5.000%, 02/01/20............................. 4,210 4,437,593
Georgia State (GO) Series C
5.000%, 07/01/19............................. 2,000 2,074,280
Georgia State (GO) Series D
5.000%, 02/01/19............................. 7,970 8,164,229
Georgia State (GO) Series E-1
4.500%, 07/01/19............................. 6,890 7,106,415
Georgia State (GO) Series I
5.000%, 07/01/19............................. 20,475 21,235,441
-----------
TOTAL GEORGIA............................................ 92,734,039
-----------
HAWAII -- (2.1%)
City & County of Honolulu (GO) Series B
5.000%, 11/01/19............................. 8,000 8,370,400
Hawaii State (GO) Series DR
5.000%, 06/01/19............................. 9,725 10,056,428
Hawaii State (GO) Series EA
5.000%, 12/01/18............................. 9,250 9,425,472
Hawaii State (GO) Series EE
5.000%, 11/01/18............................. 11,495 11,682,024
Hawaii State (GO) Series EF
5.000%, 11/01/21............................. 5,500 6,039,000
Hawaii State (GO) Series EO
5.000%, 08/01/22............................. 6,000 6,687,780
Maui County (GO)
5.000%, 06/01/18............................. 500 501,315
-----------
TOTAL HAWAII............................................. 52,762,419
-----------
IDAHO -- (0.4%)
Idaho State (TAN)
4.000%, 06/29/18............................. 11,175 11,216,794
-----------
ILLINOIS -- (0.2%)
Central Lake County Joint Action Water Agency (RB)
4.000%, 05/01/18............................. 4,700 4,700,000
Central Lake County Joint Action Water Agency (RB) (ETM)
4.000%, 05/01/18............................. 1,495 1,495,000
-----------
TOTAL ILLINOIS........................................... 6,195,000
-----------
139
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
IOWA -- (0.4%)
Iowa Finance Authority (RB)
(currency) 5.000%, 08/01/20 (Pre-refunded @ $100,
8/1/19)...................................... $ 2,535 $ 2,633,561
(currency) 5.000%, 08/01/21 (Pre-refunded @ $100,
8/1/19)...................................... 1,560 1,620,653
State of Iowa (RB) Series A (ETM)
5.000%, 06/01/18............................. 4,785 4,797,632
-----------
TOTAL IOWA............................................... 9,051,846
-----------
KANSAS -- (1.1%)
City of Topeka Series A
3.000%, 10/01/18............................. 16,900 16,993,457
City of Wichita (GO) Series A
5.000%, 12/01/19............................. 3,960 4,152,100
Kansas State Department of Transportation (RB) Series C
5.000%, 09/01/19............................. 4,975 5,179,920
Sedgwick County Unified School District No. 266 Maize
(GO) Series A
2.000%, 09/01/18............................. 1,000 1,000,800
-----------
TOTAL KANSAS............................................. 27,326,277
-----------
KENTUCKY -- (0.8%)
Kentucky State Economic Development Finance Authority
(RB) Series A
(currency) 5.000%, 05/01/24 (Pre-refunded @ $100,
5/1/19)...................................... 1,000 1,030,480
Louisville & Jefferson County (GO) Series A
5.000%, 12/01/19............................. 4,095 4,290,373
Louisville & Jefferson County (RB)
5.000%, 12/01/35 (Pre-refunded @ $100,
6/1/22)...................................... 1,675 1,858,429
Louisville & Jefferson County Metropolitan Sewer
District (RB) Series B
5.000%, 05/15/18............................. 13,245 13,260,364
-----------
TOTAL KENTUCKY........................................... 20,439,646
-----------
LOUISIANA -- (0.2%)
Louisiana State (GO) Series C
5.000%, 08/01/21............................. 5,000 5,436,250
-----------
MARYLAND -- (7.4%)
Anne Arundel County (GO)
3.000%, 10/01/19............................. 3,900 3,961,737
5.000%, 10/01/20............................. 1,790 1,917,663
5.000%, 04/01/21............................. 12,740 13,805,064
FACE
AMOUNT VALUE+
------ ------
(000)
MARYLAND -- (Continued)
Anne County Arundel (GO)
5.000%, 10/01/19............................. $ 3,000 $ 3,130,800
Baltimore County (BAN)
4.000%, 03/18/19............................. 10,000 10,197,400
Baltimore County (GO)
5.000%, 08/01/18............................. 2,450 2,470,016
Baltimore County (GO) Series B
5.000%, 08/01/18............................. 5,000 5,040,850
Charles County (GO)
5.000%, 03/01/19............................. 2,440 2,505,856
Charles County (GO) (ETM)
5.000%, 03/01/19............................. 10 10,257
Harford County (GO) Series B
5.000%, 02/01/20............................. 2,650 2,792,782
Maryland State (GO)
5.000%, 06/01/19............................. 3,000 3,103,200
Maryland State (GO) Series A
5.000%, 08/01/19............................. 20,000 20,787,800
Maryland State (GO) Series B
5.000%, 03/01/19............................. 6,300 6,470,037
5.000%, 08/01/19............................. 11,500 11,952,985
5.000%, 08/01/20............................. 8,425 8,988,969
Maryland State (GO) Series C
5.000%, 11/01/18............................. 9,335 9,487,347
5.000%, 08/01/19............................. 2,000 2,078,780
5.000%, 11/01/19............................. 2,000 2,093,520
5.000%, 08/01/20............................. 7,705 8,220,773
Montgomery County (GO) Series B
5.000%, 06/01/19............................. 7,725 7,992,439
5.000%, 12/01/21............................. 4,000 4,398,040
Prince George's County (GO) Series B
5.000%, 09/15/18............................. 16,190 16,387,356
4.000%, 03/01/19............................. 9,575 9,756,446
4.000%, 03/01/20............................. 9,780 10,151,151
Prince George's County (GO) Series C
5.000%, 08/01/18............................. 10,075 10,157,111
Talbot County (GO)
2.000%, 12/15/21............................. 1,330 1,323,071
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/18............................. 2,350 2,356,181
Washington Suburban Sanitary Commission (GO)
Series A
4.000%, 06/01/18............................. 5,000 5,009,200
------------
TOTAL MARYLAND................................... 186,546,831
------------
MASSACHUSETTS -- (5.9%)
City of Fall River (BAN)
2.500%, 02/08/19............................. 9,831 9,880,253
City of Quincy (BAN)
2.500%, 01/18/19............................. 13,000 13,065,910
City of Somerville (BAN)
2.000%, 06/08/18............................. 11,642 11,647,006
140
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
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(000)
MASSACHUSETTS -- (Continued)
City of Springfield (GO) (ST AID WITHHLDG)
5.000%, 09/01/21............................. $ 4,240 $ 4,631,988
Commonwealth of Massachusetts (GO) Series A
5.000%, 05/01/21............................. 10,000 10,850,300
Commonwealth of Massachusetts (GO) Series B
5.000%, 08/01/18............................. 3,750 3,780,750
Commonwealth of Massachusetts (GO) Series B (AGM)
5.250%, 09/01/21............................. 2,405 2,648,218
Commonwealth of Massachusetts (GO) Series C
5.000%, 04/01/20............................. 2,700 2,856,006
5.000%, 08/01/20............................. 8,500 9,065,080
5.000%, 10/01/21............................. 8,000 8,760,320
Commonwealth of Massachusetts (GO) Series D (AMBAC)
5.500%, 10/01/19............................. 4,220 4,434,503
Massachusetts Bay Transportation Authority (RB) Series A
5.250%, 07/01/19............................. 3,115 3,238,136
Massachusetts Clean Water Trust (The) (RB)
5.000%, 08/01/20............................. 5,830 6,228,247
Massachusetts Development Finance Agency (RB)
(currency) 5.750%, 07/01/39
(Pre-refunded @ $100, 7/1/19)................ 9,990 10,433,955
Massachusetts Health & Educational Facilities Authority
(RB)
(currency) 5.000%, 07/01/39
(Pre-refunded @ $100, 7/1/19)................ 4,160 4,306,682
Massachusetts Health & Educational Facilities Authority
(RB) Series E-2
(currency) 5.375%, 07/01/22
(Pre-refunded @ $100, 7/1/18)................ 12,500 12,573,875
Massachusetts Water Resources Authority (RB) Series J
(AGM) (GO OF AUTH)
5.250%, 08/01/18............................. 18,000 18,157,140
Town of Lexington (BAN)
3.000%, 02/15/19............................. 10,555 10,661,922
Town of Westborough (BAN)
2.500%, 08/10/18............................. 2,000 2,004,060
------------
TOTAL MASSACHUSETTS...................................... 149,224,351
------------
FACE
AMOUNT VALUE+
------ ------
(000)
MICHIGAN -- (2.1%)
Michigan Finance Authority (RB) Series A
5.000%, 07/01/18............................. $25,260 $25,395,141
5.000%, 01/01/19............................. 7,110 7,264,074
Michigan State (GO)
5.000%, 11/01/19............................. 13,000 13,611,780
Michigan State Building Authority (RB)
(currency) 6.000%, 10/15/38
(Pre-refunded @ $100, 10/15/18).............. 2,740 2,790,854
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/18............................. 3,600 3,662,136
-----------
TOTAL MICHIGAN........................................... 52,723,985
-----------
MINNESOTA -- (3.6%)
Bloomington Independent School District No. 271 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/21............................. 1,290 1,392,555
Chaska Independent School District No. 112 (GO) Series A
(SD CRED PROG)
5.000%, 02/01/21............................. 590 636,740
City of Minneapolis (GO)
2.000%, 12/01/18............................. 5,085 5,093,441
City of Minneapolis (RB) Series A
(currency) 6.750%, 11/15/32
(Pre-refunded @ $100, 11/15/18).............. 6,500 6,671,925
City of State Cloud (RB)
(currency) 5.125%, 05/01/30
(Pre-refunded @ $100, 5/1/20)................ 950 1,007,266
City of State Louis Park (RB) Series C (ETM)
5.500%, 07/01/18............................. 4,140 4,165,627
Elk River Independent School District No. 728 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/21............................. 1,000 1,078,100
Elk River Independent School District No. 728 (GO)
Series C (SD CRED PROG)
5.000%, 02/01/20............................. 5,000 5,263,200
5.000%, 02/01/21............................. 2,000 2,156,200
Hennepin County (GO) Series B
5.000%, 12/01/21............................. 650 715,865
Housing & Redevelopment Authority of The City of State
Paul Minnesota (RB)
(currency) 5.250%, 11/15/29 (Pre-refunded @ $100,
11/15/19).................................... 660 692,696
141
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
Lakeville Independent School District No. 194 (GO)
Series D (SD CRED PROG)
5.000%, 02/01/19............................. $ 4,425 $ 4,530,182
Minnesota State (GO)
5.000%, 08/01/20............................. 740 789,032
Minnesota State (GO) (ETM)
5.000%, 08/01/20............................. 10 10,647
Minnesota State (GO) Series B
5.000%, 08/01/18............................. 7,600 7,661,332
5.000%, 08/01/19............................. 4,425 4,598,725
4.000%, 08/01/20............................. 8,800 9,190,632
Minnesota State (GO) Series D
5.000%, 08/01/18............................. 5,000 5,040,350
5.000%, 08/01/19............................. 19,750 20,525,385
5.000%, 08/01/21............................. 7,230 7,889,376
Minnesota State (GO) Series E
2.000%, 08/01/19............................. 725 726,769
Minnesota State (GO) Series F
5.000%, 10/01/18............................. 650 658,795
Watertown-Mayer Independent School District No. 111 (GO)
Series B (SD CRED PROG)
4.000%, 02/01/20............................. 1,610 1,667,509
-----------
TOTAL MINNESOTA.......................................... 92,162,349
-----------
MISSISSIPPI -- (0.1%)
Mississippi State (GO) Series C
5.000%, 10/01/18............................. 2,800 2,837,184
-----------
MISSOURI -- (1.2%)
Clayton School District (GO)
5.000%, 03/01/20............................. 3,115 3,290,748
Health & Educational Facilities Authority of the State
of Missouri (RB) Series 2003A-ST LUKE'S HEALTH (AGM)
(currency) 5.500%, 11/15/23 (Pre-refunded @ $100,
11/15/18).................................... 10,000 10,198,100
(currency) 5.500%, 11/15/28 (Pre-refunded @ $100,
11/15/18).................................... 10,000 10,198,100
Jackson County Reorganized School District No. 7 (GO)
3.000%, 03/01/21............................. 2,375 2,432,095
Missouri State (GO) Series A
5.000%, 12/01/20............................. 4,515 4,852,767
-----------
TOTAL MISSOURI........................................... 30,971,810
-----------
NEBRASKA -- (0.3%)
Lancaster County School District 001 (GO)
5.000%, 01/15/21............................. 1,620 1,744,530
FACE
AMOUNT VALUE+
------ ------
(000)
NEBRASKA -- (Continued)
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20............................. $ 4,340 $ 4,666,932
-----------
TOTAL NEBRASKA........................................... 6,411,462
-----------
NEVADA -- (0.4%)
City of Henderson NV (GO)
5.000%, 06/01/19............................. 5,295 5,475,454
Clark County School District (GO) Series A
5.000%, 06/15/19............................. 1,000 1,033,700
Clark County Water Reclamation District (GO) Series A
(currency) 5.250%, 07/01/34 (Pre-refunded @ $100,
7/1/19)...................................... 2,905 3,017,452
Washoe County School District (GO) Series A
3.000%, 06/01/19............................. 1,125 1,137,679
-----------
TOTAL NEVADA............................................. 10,664,285
-----------
NEW HAMPSHIRE -- (0.2%)
City of Nashua (GO)
4.000%, 07/15/21............................. 1,720 1,822,323
City of Portsmouth (BAN)
3.000%, 06/22/18............................. 2,705 2,710,275
-----------
TOTAL NEW HAMPSHIRE...................................... 4,532,598
-----------
NEW JERSEY -- (1.2%)
Monmouth County (GO)
5.000%, 07/15/20............................. 4,540 4,844,135
5.000%, 07/15/21............................. 3,770 4,119,064
Union County
2.250%, 06/22/18............................. 20,000 20,016,600
-----------
TOTAL NEW JERSEY......................................... 28,979,799
-----------
NEW MEXICO -- (1.2%)
City of Albuquerque (GO) Series A
5.000%, 07/01/18............................. 4,775 4,800,451
New Mexico State (GO)
5.000%, 03/01/19............................. 1,500 1,539,360
5.000%, 03/01/21............................. 4,000 4,320,480
New Mexico State (GO) Series B
5.000%, 03/01/20............................. 3,775 3,981,643
New Mexico State Severance Tax Permanent Fund (RB)
Series A
5.000%, 07/01/19............................. 6,500 6,733,740
New Mexico State Severance Tax Permanent Fund (RB)
Series A-2
5.000%, 07/01/18............................. 10,000 10,053,300
-----------
TOTAL NEW MEXICO......................................... 31,428,974
-----------
142
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
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(000)
NEW YORK -- (6.5%)
Amherst Central School District (GO) (ST AID WITHHLDG)
3.000%, 06/15/18............................. $ 135 $ 135,200
Brewster Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/01/19............................. 1,160 1,163,376
City of New York (GO)
5.000%, 03/01/19............................. 4,685 4,810,698
City of New York (GO) (ETM)
5.000%, 03/01/19............................. 5,420 5,564,009
City of New York (GO) Series C
5.000%, 08/01/18............................. 6,265 6,315,245
City of New York (GO) Series E
5.000%, 08/01/19............................. 10,000 10,393,900
5.000%, 08/01/21............................. 1,500 1,635,315
City of New York (GO) Series F
5.000%, 08/01/21............................. 1,000 1,090,210
City of New York (GO) Series G
5.000%, 08/01/19............................. 15,310 15,913,061
5.000%, 08/01/21............................. 5,915 6,448,592
City of New York (GO) Series J
5.000%, 08/01/19............................. 7,985 8,299,529
City of New York (GO) Series J7
5.000%, 08/01/20............................. 5,000 5,332,400
City of Rochester (BAN) Series 3
2.500%, 08/02/18............................. 17,550 17,578,606
County of Columbia (GO) Series A (AGM)
2.000%, 02/01/19............................. 500 500,920
East Hampton Union Free School District (GO) (ST AID
WITHHLDG)
5.000%, 06/01/19............................. 235 243,136
Erie County (RAN)
2.000%, 06/30/18............................. 7,800 7,802,886
Hilton Central School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/21............................. 685 681,911
Metropolitan Transportation Authority (RB) Series A
5.000%, 11/15/21............................. 515 563,611
Metropolitan Transportation Authority (RB) Series A (ETM)
5.000%, 11/15/21............................. 85 93,602
New York State Dormitory Authority (RB)
(currency) 6.125%, 12/01/29
(Pre-refunded @ $100, 12/1/18)............... 600 614,982
(currency) 6.250%, 12/01/37
(Pre-refunded @ $100, 12/1/18)............... 450 461,556
New York State Dormitory Authority (RB) Series A
5.000%, 12/15/18............................. 5,395 5,505,166
5.000%, 03/15/21............................. 1,795 1,944,398
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
5.000%, 12/15/21............................. $ 3,545 $ 3,901,414
(currency) 5.500%, 07/01/25
(Pre-refunded @ $100, 7/1/20)................ 500 536,645
(currency) 5.000%, 07/01/39
(Pre-refunded @ $100, 7/1/19)................ 6,125 6,348,869
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/20............................. 15,000 15,812,400
5.000%, 02/15/22............................. 4,000 4,410,720
(currency) 5.000%, 07/01/38
(Pre-refunded @ $100, 7/1/18)................ 5,600 5,630,240
New York State Dormitory Authority (RB) Series B
(ASSURED GTY)
(currency) 5.000%, 07/01/23 (Pre-refunded @ $100,
7/1/18)...................................... 550 552,876
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19............................. 700 719,467
New York State Dormitory Authority (RB) Series E
5.000%, 02/15/19............................. 875 897,085
5.000%, 03/15/20............................. 500 528,230
5.000%, 03/15/21............................. 2,000 2,164,720
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/20............................. 550 581,053
New York State Urban Development Corp. (RB) Series C
5.000%, 12/15/18............................. 250 255,105
Town of Brookhaven (GO) Series A
3.000%, 02/01/19............................. 5,080 5,128,362
Triborough Bridge & Tunnel Authority (RB) Series A-1
5.000%, 11/15/19............................. 500 524,285
Triborough Bridge & Tunnel Authority (RB) Series B
4.000%, 11/15/18............................. 11,860 12,007,420
5.000%, 11/15/19............................. 1,000 1,048,570
------------
TOTAL NEW YORK........................................... 164,139,770
------------
NORTH CAROLINA -- (3.2%)
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/19............................. 10,555 10,938,357
Davie County (GO)
5.000%, 05/01/20............................. 1,595 1,692,104
143
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH CAROLINA -- (Continued)
North Carolina Medical Care Commission (RB) Series D
(currency) 6.250%, 12/01/33 (Pre-refunded @ $100,
12/1/18)..................................... $15,455 $15,846,475
North Carolina State (GO) Series A
5.000%, 03/01/19............................. 5,000 5,134,950
North Carolina State (GO) Series B
5.000%, 06/01/18............................. 29,730 29,808,190
North Carolina State (GO) Series E
5.000%, 05/01/19............................. 1,500 1,548,135
North Carolina Turnpike Authority (RB) Series A (AGC)
(currency) 5.500%, 01/01/29 (Pre-refunded @ $100,
1/1/19)...................................... 4,275 4,379,096
Wake County (GO)
5.000%, 03/01/19............................. 7,225 7,420,003
Wake County (GO) Series B
5.000%, 05/01/18............................. 4,625 4,625,000
-----------
TOTAL NORTH CAROLINA..................................... 81,392,310
-----------
OHIO -- (3.8%)
City of Columbus (GO) Series 1
5.000%, 07/01/20............................. 10,000 10,658,300
City of Columbus (GO) Series A
5.000%, 02/15/19............................. 10,000 10,251,600
3.000%, 07/01/21............................. 12,830 13,189,369
Ohio State (GO) Series A
3.000%, 05/01/20............................. 5,000 5,100,350
5.000%, 05/01/20............................. 7,000 7,413,420
5.000%, 09/15/21............................. 2,335 2,552,505
Ohio State (GO) Series B
5.000%, 08/01/19............................. 7,270 7,558,183
5.000%, 09/01/19............................. 4,215 4,392,578
5.000%, 08/01/20............................. 10,000 10,658,000
2.000%, 09/01/20............................. 2,500 2,499,975
5.000%, 06/15/21............................. 9,500 10,330,490
Ohio State (GO) Series C
5.000%, 09/15/18............................. 1,300 1,315,652
Ohio State (GO) Series R
5.000%, 05/01/20............................. 5,080 5,381,041
Ohio State (GO) Series T
5.000%, 04/01/21............................. 2,040 2,207,545
Ohio State Water Development Authority (RB) Series A
5.000%, 06/01/21............................. 1,825 1,988,319
-----------
TOTAL OHIO............................................... 95,497,327
-----------
OKLAHOMA -- (0.6%)
Tulsa County Independent School District No. 1 Tulsa
(GO) Series C
1.500%, 07/01/18............................. 6,970 6,966,167
2.000%, 07/01/19............................. 8,610 8,626,703
-----------
TOTAL OKLAHOMA........................................... 15,592,870
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
OREGON -- (1.0%)
City of Portland Sewer System Revenue (RB) Series A
5.000%, 06/01/19............................. $ 2,140 $ 2,213,616
Multnomah County (GO)
5.000%, 08/01/19............................. 4,580 4,761,002
Oregon State (GO) Series F
3.000%, 05/01/20............................. 6,585 6,728,882
Oregon State (GO) Series L
5.000%, 11/01/19............................. 11,515 12,053,441
-----------
TOTAL OREGON............................................. 25,756,941
-----------
PENNSYLVANIA -- (3.5%)
City of Philadelphia (GO) Series A (AGM)
(currency) 5.250%, 12/15/32 (Pre-refunded @ $100,
12/15/18).................................... 7,290 7,444,548
Commonwealth of Pennsylvania (GO)
5.000%, 07/01/18............................. 3,755 3,774,639
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 11/15/18............................. 10,645 10,827,562
5.000%, 07/01/19............................. 7,655 7,924,915
5.000%, 04/01/20............................. 8,500 8,974,725
Commonwealth of Pennsylvania (GO) Series 2
5.000%, 10/15/19............................. 2,250 2,347,807
Commonwealth of Pennsylvania (GO) Series A
5.000%, 02/15/19............................. 5,010 5,132,043
Montgomery County Industrial Development Authority (RB)
(FHA INS)
(currency) 5.375%, 08/01/38 (Pre-refunded @ $100,
8/1/20)...................................... 10,000 10,728,600
Pennsylvania Economic Development Financing Authority
(RB) Series A
5.000%, 07/01/19............................. 23,650 24,497,616
Snyder County Higher Education Authority (RB)
(currency) 5.000%, 01/01/38 (Pre-refunded @ $100,
7/1/18)...................................... 4,000 4,021,520
University of Pittsburgh-of the Commonwealth System of
Higher Education (RB) Series B
(currency) 5.250%, 09/15/34 (Pre-refunded @ $100,
9/15/19)..................................... 3,330 3,480,483
-----------
TOTAL PENNSYLVANIA....................................... 89,154,458
-----------
144
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
RHODE ISLAND -- (0.2%)
Rhode Island State (GO) Series A
5.000%, 08/01/19............................. $ 4,700 $ 4,885,133
-----------
SOUTH CAROLINA -- (4.5%)
Aiken County Consolidated School District (GO) Series A
(SCSDE)
5.000%, 03/01/20............................. 3,000 3,167,580
Charleston County School District (GO) Series A (SCSDE)
5.000%, 02/01/19............................. 7,595 7,777,812
Darlington County School District (GO) (SCSDE)
3.000%, 03/01/19............................. 3,000 3,030,240
Dorchester County School District No. 2 (GO) Series A
(SCSDE)
5.000%, 03/01/21............................. 1,885 2,038,194
Florence County (GO) (ST AID WITHHLDG)
4.000%, 06/01/19............................. 15,000 15,354,600
4.000%, 06/01/20............................. 2,475 2,577,415
Florence School District One (GO) (SCSDE)
5.000%, 03/01/19............................. 3,730 3,830,374
Greenville County School District (GO) Series C (SCSDE)
5.000%, 06/01/18............................. 15,000 15,039,750
Lexington & Richland School District No. 5 (GO) Series B
(SCSDE)
5.000%, 03/01/21............................. 1,660 1,794,908
Richland County (BAN) (ST AID WITHHLDG)
3.000%, 02/27/19............................. 6,000 6,060,900
Richland County School District No. 2 (GO) (SCSDE)
5.000%, 03/01/20............................. 910 960,833
Richland County School District No. 2 (GO) Series A
(SCSDE)
5.000%, 02/01/20............................. 5,520 5,815,486
5.000%, 02/01/21............................. 7,000 7,554,540
Richland County School District No. 2 (GO) Series C
(SCSDE)
5.000%, 02/01/19............................. 5,740 5,879,482
South Carolina Jobs-Economic Dev. Authority (RB) Series A
(currency) 6.250%, 04/01/35 (Pre-refunded @ $100,
4/1/20)...................................... 2,180 2,351,784
(currency) 6.500%, 04/01/42 (Pre-refunded @ $100,
4/1/20)...................................... 2,000 2,164,980
South Carolina State (GO) Series A
5.000%, 06/01/20............................. 8,945 9,511,666
FACE
AMOUNT VALUE+
------ ------
(000)
SOUTH CAROLINA -- (Continued)
South Carolina State (GO) Series A (ST AID WITHHLDG)
5.000%, 10/01/19............................. $ 4,530 $ 4,726,874
South Carolina Transportation Infrastructure Bank (RB)
Series A
(currency) 5.250%, 10/01/40 (Pre-refunded @ $100,
10/1/19)..................................... 2,690 2,813,148
Spartanburg County School District No. 6 (BAN)
5.000%, 09/27/18............................. 10,000 10,133,400
------------
TOTAL SOUTH CAROLINA..................................... 112,583,966
------------
TENNESSEE -- (2.4%)
City of Chattanooga (GO) Series A
4.000%, 09/01/18............................. 9,160 9,229,524
City of Memphis (GO) (NATL-RE)
5.250%, 10/01/18............................. 4,000 4,059,400
City of Memphis (GO) Series A
5.000%, 04/01/21............................. 4,550 4,929,060
City of Memphis (GO) Series D
5.000%, 07/01/19............................. 4,180 4,336,248
Hamilton County (GO) Series A
5.000%, 05/01/21............................. 3,895 4,235,657
Metropolitan Government of Nashville & Davidson County
(GO)
5.000%, 07/01/21............................. 9,055 9,863,249
Metropolitan Government of Nashville & Davidson County
(GO) Series A
(currency) 5.000%, 07/01/25 (Pre-refunded @ $100,
7/1/20)...................................... 525 557,834
Metropolitan Government of Nashville & Davidson County
Electric Revenue (RB) Series A
5.000%, 05/15/20............................. 2,000 2,123,240
Shelby County (GO) Series A
5.000%, 04/01/20............................. 18,135 19,189,913
5.000%, 03/01/21............................. 2,550 2,757,239
------------
TOTAL TENNESSEE.......................................... 61,281,364
------------
TEXAS -- (13.1%)
Austin Independent School District (GO)
(currency) 4.500%, 08/01/25 (Pre-refunded @ $100,
8/1/19)...................................... 3,340 3,449,385
Bexar County Health Facilities Dev. Corp. (RB)
(currency) 6.200%, 07/01/45 (Pre-refunded @ $100,
7/1/20)...................................... 3,030 3,289,338
145
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
City of Allen (GO)
5.000%, 08/15/21............................. $ 1,840 $ 2,010,366
City of Dallas (GO)
5.000%, 02/15/19............................. 8,400 8,610,672
5.000%, 02/15/21............................. 1,500 1,610,745
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/19............................. 830 851,215
City of Frisco (GO) Series A
5.000%, 02/15/21............................. 4,825 5,202,942
City of Houston (GO)
(currency) 5.000%, 03/01/26 (Pre-refunded @ $100,
3/1/19)...................................... 3,405 3,492,338
City of Houston (GO) (TRANS)
4.000%, 06/29/18............................. 43,000 43,165,550
City of Houston Combined Utility System Revenue (RB)
(ASSURED GTY)
(currency) 5.375%, 11/15/38 (Pre-refunded @ $100,
5/15/19)..................................... 25,155 26,047,499
City of San Antonio (GO)
5.000%, 02/01/20............................. 7,350 7,747,341
City of San Antonio Electric & Gas Systems Revenue (RB)
Series A
(currency) 5.000%, 02/01/34 (Pre-refunded @ $100,
2/1/19)...................................... 4,750 4,862,195
City of San Antonio Electric & Gas Systems Revenue (RB)
Series D
5.000%, 02/01/19............................. 700 717,059
City of Waco (GO)
5.000%, 02/01/20............................. 5,765 6,065,414
Conroe Independent School District (GO) Series A
(PSF-GTD)
4.000%, 02/15/21............................. 1,940 2,043,518
Dallas County Community College District (GO)
5.000%, 02/15/20............................. 11,975 12,627,877
Harris County (GO) Series A
5.000%, 10/01/19............................. 5,640 5,888,329
Houston Higher Education Finance Corp. (RB) Series A
(currency) 6.875%, 05/15/41 (Pre-refunded @ $100,
5/15/21)..................................... 6,000 6,813,720
Humble Independent School District (GO) Series B
(PSF-GTD)
5.000%, 02/15/20............................. 4,000 4,213,000
Lewisville Independent School District (GO) (PSF-GTD)
3.000%, 08/15/19............................. 6,000 6,089,520
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Longview Independent School District (GO) (PSF-GTD)
(currency) 4.750%, 02/15/36 (Pre-refunded @ $100,
8/15/18)..................................... $14,815 $ 14,941,224
North East Independent School District (GO) (PSF-GTD)
5.000%, 08/01/18............................. 10,125 10,205,696
Permanent University Fund (RB)
5.000%, 07/01/18............................. 12,585 12,652,078
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/19............................. 18,185 18,646,899
San Antonio Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20............................. 2,500 2,633,125
Southwest Higher Education Authority Inc (RB)
(currency) 5.000%, 10/01/23 (Pre-refunded @ $100,
10/1/19)..................................... 2,740 2,859,848
Texas State (GO)
5.000%, 04/01/19............................. 4,350 4,477,150
5.000%, 10/01/20............................. 3,825 4,096,843
5.000%, 10/01/23............................. 1,425 1,618,216
Texas State (GO) Series A
5.000%, 10/01/21............................. 2,200 2,409,088
Texas State (RN)
4.000%, 08/30/18............................. 60,000 60,457,200
Texas Tech University (RB) Series A
5.000%, 08/15/19............................. 3,025 3,146,666
Texas Transportation Commission State Highway Fund (RB)
Series A
5.000%, 04/01/19............................. 5,110 5,262,176
5.000%, 10/01/19............................. 4,000 4,179,560
5.000%, 10/01/20............................. 12,500 13,388,375
University of Texas System (The) (RB) Series A
5.250%, 08/15/18............................. 750 757,515
University of Texas System (The) (RB) Series C
5.000%, 08/15/19............................. 7,975 8,295,754
University of Texas System (The) (RB) Series D
(currency) 5.000%, 08/15/23 (Pre-refunded @ $100,
8/15/19)..................................... 6,635 6,900,931
------------
TOTAL TEXAS.............................................. 331,726,367
------------
UTAH -- (1.5%)
Alpine School District (GO) (SCH BD GTY)
5.000%, 03/15/21............................. 940 1,018,791
146
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
UTAH -- (Continued)
Jordan School District (GO) (SCH BD GTY)
5.000%, 06/15/19............................. $16,420 $16,995,685
Utah State (GO)
5.000%, 07/01/22............................. 9,690 10,800,474
Utah State (GO) Series C
5.000%, 07/01/18............................. 3,150 3,166,852
4.500%, 07/01/19............................. 6,675 6,884,662
-----------
TOTAL UTAH............................................... 38,866,464
-----------
VIRGINIA -- (6.4%)
Arlington County (GO) (ST AID WITHHLDG)
4.000%, 08/15/21............................. 2,125 2,258,769
Chesterfield County (GO) Series A
5.000%, 01/01/19............................. 3,575 3,652,721
City of Hampton (GO) Series B (ST AID WITHHLDG)
5.000%, 09/01/21............................. 2,700 2,956,905
City of Norfolk (GO) Series C (ST AID WITHHLDG)
5.000%, 10/01/19............................. 2,500 2,610,425
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/20............................. 1,000 1,055,860
Commonwealth of Virginia (GO) Series B
5.000%, 06/01/19............................. 5,705 5,901,880
5.000%, 06/01/19............................. 10,250 10,603,727
Fairfax County (GO) Series A (ST AID WITHHLDG)
3.000%, 10/01/18............................. 2,855 2,870,560
4.000%, 10/01/18............................. 8,880 8,964,804
4.000%, 10/01/19............................. 12,300 12,675,888
4.000%, 10/01/20............................. 15,530 16,299,511
Fairfax County (GO) Series B (ST AID WITHHLDG)
5.000%, 10/01/18............................. 10,000 10,136,600
4.000%, 04/01/19............................. 7,000 7,143,360
Henrico County (GO)
5.000%, 07/15/19............................. 5,460 5,668,845
University of Virginia (RB) Series B
5.000%, 08/01/21............................. 15,000 16,397,700
Virginia Public Building Authority (RB) Series A
5.000%, 08/01/18............................. 8,370 8,437,546
Virginia Public School Authority (RB) Series B (ST AID
WITHHLDG)
5.000%, 08/01/19............................. 15,580 16,187,776
Virginia Resources Authority (RB)
(currency) 5.000%, 10/01/22 (Pre-refunded @ $100,
10/1/18)..................................... 7,935 8,045,376
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (Continued)
(currency) 5.000%, 10/01/27 (Pre-refunded @ $100,
10/1/18)..................................... $ 4,940 $ 5,008,715
(currency) 5.000%, 10/01/28 (Pre-refunded @ $100,
10/1/18)..................................... 6,230 6,316,659
Virginia Resources Authority (RB) Series B
4.000%, 10/01/19............................. 4,875 5,024,711
Virginia State Public School Authority (RB) (ST AID
WITHHLDG)
5.000%, 07/15/19............................. 4,080 4,236,060
------------
TOTAL VIRGINIA........................................... 162,454,398
------------
WASHINGTON -- (4.6%)
City of Seattle Drainage & Wastewater Revenue (RB)
5.000%, 04/01/21............................. 3,000 3,250,800
City of Seattle Municipal Light & Power Revenue (RB)
(BHAC-CR)
(currency) 5.750%, 04/01/29 (Pre-refunded @ $100,
4/1/19)...................................... 10,000 10,357,200
City of Seattle Water System Revenue (RB)
5.000%, 09/01/19............................. 3,890 4,053,886
King County (GO)
5.000%, 12/01/18............................. 9,420 9,599,262
King County School District No. 405 Bellevue (GO)
(SCH BD GTY)
5.000%, 12/01/18............................. 1,240 1,263,300
King County School District No. 405 Bellevue (GO) Series
A (SCH BD GTY)
5.000%, 12/01/18............................. 400 407,516
King County Sewer Revenue (RB)
5.000%, 07/01/19............................. 1,755 1,819,970
Snohomish County Public Utility District No. 1 (RB)
5.000%, 12/01/18............................. 3,190 3,250,706
5.000%, 12/01/19............................. 5,810 6,097,421
Snohomish County School District No. 201 Snohomish (GO)
(SCH BD GTY)
5.000%, 12/01/21............................. 4,000 4,390,760
Snohomish County School District No. 6 Mukilteo (GO)
(SCH BD GTY)
5.000%, 12/01/18............................. 500 509,370
Spokane County School District No. 81 Spokane (GO)
Series A (SCH BD GTY)
5.000%, 12/01/18............................. 7,375 7,513,576
147
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington Health Care Facilities Authority (RB)
(currency) 7.375%, 03/01/38 (Pre-refunded @ $100,
3/1/19)...................................... $ 800 $ 835,760
(currency) 5.625%, 10/01/38 (Pre-refunded @ $100,
10/1/19)..................................... 9,965 10,487,365
Washington State (GO)
5.000%, 07/01/18............................. 3,000 3,016,140
5.000%, 07/01/20............................. 3,650 3,886,264
Washington State (GO) Series 2010A
5.000%, 08/01/18............................. 4,500 4,536,540
Washington State (GO) Series 2013A
5.000%, 08/01/21............................. 4,245 4,634,946
Washington State (GO) Series A-1
5.000%, 08/01/21............................. 1,500 1,637,790
Washington State (GO) Series B
4.000%, 07/01/18............................. 10,000 10,037,500
5.000%, 07/01/20............................. 5,000 5,323,650
Washington State (GO) Series D
5.000%, 02/01/19............................. 1,710 1,750,903
Washington State (GO) Series E
5.000%, 02/01/19............................. 4,080 4,177,593
Washington State (GO) Series R-2014A
5.000%, 07/01/18............................. 7,065 7,103,010
Washington State (GO) Series R-2015
5.000%, 07/01/18............................. 4,160 4,182,381
Washington State (GO) Series R-2017A
5.000%, 08/01/22............................. 2,500 2,785,500
------------
TOTAL WASHINGTON......................................... 116,909,109
------------
WEST VIRGINIA -- (0.4%)
West Virginia State (GO) Series A
5.000%, 06/01/21............................. 9,620 10,456,844
------------
FACE
AMOUNT VALUE+
------ ------
(000)
WISCONSIN -- (3.5%)
City of Milwaukee (GO) Series N2
5.000%, 05/01/19............................. $10,010 $ 10,316,106
5.000%, 04/01/20............................. 5,860 6,187,281
Wisconsin Health & Educational Facilities Authority (RB)
Series A
(currency) 5.250%, 12/01/35 (Pre-refunded @ $100,
12/3/18)..................................... 1,980 2,019,739
Wisconsin State (GO) Series 1
5.000%, 05/01/19............................. 9,230 9,523,422
5.000%, 05/01/20............................. 3,235 3,431,267
Wisconsin State (GO) Series 1 (AMBAC)
5.000%, 05/01/19............................. 6,320 6,520,913
Wisconsin State (GO) Series 1 (ETM)
5.000%, 05/01/20............................. 120 126,941
Wisconsin State (GO) Series 2
5.000%, 11/01/19............................. 4,000 4,186,440
5.000%, 11/01/21............................. 6,160 6,765,897
5.000%, 11/01/22............................. 3,000 3,360,540
Wisconsin State (GO) Series A
5.000%, 05/01/19............................. 8,440 8,708,307
Wisconsin State (GO) Series B
5.000%, 05/01/19............................. 4,620 4,766,870
5.000%, 05/01/20............................. 11,930 12,653,793
5.000%, 05/01/21............................. 9,655 10,487,647
--------------
TOTAL WISCONSIN.......................................... 89,055,163
--------------
TOTAL MUNICIPAL BONDS.................................... 2,514,835,272
--------------
TOTAL INVESTMENT SECURITIES.............................. 2,514,835,272
--------------
SHORT-TERM INVESTMENTS -- (0.6%)
University of Michigan, 1.290%, 06/07/18..... 16,085,000 16,077,440
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,546,094,992).................................. $2,530,912,712
==============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Municipal Bonds............... -- $2,514,835,272 -- $2,514,835,272
SHORT-TERM INVESTMENTS --
(0.6%)....................... 16,077,440 16,077,440
-- -------------- -- --------------
TOTAL......................... -- $2,530,912,712 -- $2,530,912,712
== ============== == ==============
See accompanying Notes to Financial Statements.
148
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.5%)
Alabama State (GO) Series A
5.000%, 08/01/19............................. $3,995 $ 4,151,364
5.000%, 08/01/21............................. 250 273,213
Alabama State (GO) Series B
5.000%, 11/01/19............................. 1,000 1,046,460
Alabama State (GO) Series C
5.000%, 08/01/24............................. 3,000 3,449,910
-----------
TOTAL ALABAMA.................................... 8,920,947
-----------
ALASKA -- (0.5%)
Borough of North Slope (GO) Series A
4.000%, 06/30/18............................. 400 401,528
City of Anchorage (GO) Series B
5.000%, 09/01/21............................. 3,845 4,192,704
5.000%, 09/01/23............................. 200 225,546
City of Anchorage (GO) Series C
5.000%, 09/01/24............................. 2,765 3,160,367
-----------
TOTAL ALASKA..................................... 7,980,145
-----------
ARIZONA -- (0.4%)
City of Tucson (GO) Series C
3.000%, 07/01/22............................. 1,455 1,500,454
Maricopa County Community College District (GO)
4.000%, 07/01/18............................. 4,000 4,014,960
Maricopa County High School District
No. 210-Phoenix (GO)
3.000%, 07/01/23............................. 1,810 1,869,531
-----------
TOTAL ARIZONA.................................... 7,384,945
-----------
ARKANSAS -- (0.7%)
Arkansas State (GO)
5.000%, 04/01/21............................. 1,000 1,083,900
5.000%, 06/15/21............................. 3,750 4,084,912
5.000%, 04/01/22............................. 2,800 3,100,188
4.250%, 06/01/23............................. 3,325 3,642,538
-----------
TOTAL ARKANSAS................................... 11,911,538
-----------
CALIFORNIA -- (1.7%)
California State (GO)
5.000%, 11/01/24............................. 1,175 1,362,377
5.000%, 08/01/25............................. 750 880,065
5.000%, 08/01/26............................. 8,000 9,501,520
3.500%, 08/01/27............................. 800 863,600
5.000%, 11/01/27............................. 5,580 6,731,879
California State (GO) Series B
5.000%, 09/01/21............................. 250 274,213
5.000%, 09/01/25............................. 9,000 10,570,680
-----------
TOTAL CALIFORNIA................................. 30,184,334
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
COLORADO -- (1.3%)
Adams & Arapahoe Joint School District 28J (GO)
(ST AID WITHHLDG)
5.000%, 12/01/21............................. $ 425 $ 467,292
Arapahoe County School District No. 5 (GO) (ST
AID WITHHLDG)
5.000%, 12/15/19............................. 3,115 3,271,809
5.000%, 12/15/19............................. 5,705 5,992,189
Boulder County (RB)
5.000%, 07/15/18............................. 540 543,629
Boulder Valley School District No. Re-2 Boulder
(GO) Series B (ST AID WITHHLDG)
4.000%, 12/01/24............................. 2,185 2,395,219
Denver City & County School District No. 1 (GO)
Series A (NATL-RE) (ST AID WITHHLDG)
5.250%, 12/01/21............................. 2,490 2,759,144
Denver City & County School District No. 1 (GO)
Series C (ST AID WITHHLDG)
3.000%, 12/01/23............................. 1,540 1,596,133
Platte River Power Authority (RB) Series JJ
5.000%, 06/01/23............................. 4,425 4,981,134
-----------
TOTAL COLORADO................................... 22,006,549
-----------
CONNECTICUT -- (0.7%)
City of Middletown (GO)
4.000%, 04/01/22............................. 1,350 1,450,089
Connecticut State (GO) Series A
5.000%, 10/15/18............................. 3,300 3,347,520
5.000%, 10/15/19............................. 600 624,324
Connecticut State (GO) Series B (AMBAC)
5.250%, 06/01/18............................. 6,800 6,818,700
-----------
TOTAL CONNECTICUT................................ 12,240,633
-----------
DELAWARE -- (0.7%)
Delaware State (GO) Series A
5.000%, 08/01/23............................. 2,225 2,528,534
Delaware State (GO) Series B
5.000%, 07/01/18............................. 2,395 2,407,933
5.000%, 07/01/19............................. 4,335 4,496,002
Delaware State (GO) Series B (ETM)
5.000%, 07/01/19............................. 345 357,165
New Castle County (GO)
5.000%, 10/01/23............................. 1,000 1,139,420
New Castle County (GO) Series B
5.000%, 07/15/22............................. 700 780,633
-----------
TOTAL DELAWARE................................... 11,709,687
-----------
149
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
DISTRICT OF COLUMBIA -- (1.9%)
District of Columbia (GO) Series A
5.000%, 06/01/20............................. $3,445 $ 3,660,347
5.000%, 06/01/20............................. 6,000 6,375,060
5.000%, 06/01/23............................. 2,000 2,257,500
5.000%, 06/01/25............................. 1,500 1,745,115
District of Columbia (GO) Series B
5.000%, 06/01/25............................. 4,500 5,235,345
Washington Metropolitan Area Transit Authority
(RB) Series B
5.000%, 07/01/26............................. 3,500 4,114,180
5.000%, 07/01/27............................. 8,100 9,632,115
-----------
TOTAL DISTRICT OF COLUMBIA....................... 33,019,662
-----------
FLORIDA -- (3.1%)
Board of Governors State University System of
Florida (RB) Series A
3.000%, 07/01/24............................. 2,580 2,639,856
City of Jacksonville (RB)
5.000%, 10/01/18............................. 315 319,212
City of Tallahassee Energy System Revenue (RB)
5.000%, 10/01/20............................. 250 268,012
Florida State (GO)
5.000%, 07/01/21............................. 7,000 7,633,780
5.000%, 07/01/24............................. 5,000 5,746,750
Florida State (GO) Series A (ST GTD)
5.000%, 06/01/27............................. 6,565 7,873,076
Florida State Board of Education (GO) Series A
5.000%, 06/01/19............................. 2,860 2,959,328
5.000%, 06/01/20............................. 4,000 4,245,800
5.000%, 06/01/23............................. 1,300 1,468,701
5.000%, 06/01/24............................. 1,400 1,606,486
Florida State Board of Education (GO) Series B
5.000%, 06/01/20............................. 6,400 6,793,280
5.000%, 06/01/23............................. 350 395,419
Florida State Board of Education (GO) Series C
5.000%, 06/01/20............................. 3,000 3,184,350
Florida State Board of Education (GO) Series D
5.000%, 06/01/22............................. 1,000 1,109,100
Orlando Utilities Commission (RB) Series C
5.250%, 10/01/22............................. 1,745 1,966,894
Peace River/Manasota Regional Water Supply
Authority (RB)
5.000%, 10/01/25............................. 2,030 2,349,157
Tampa Bay Water (RB)
5.000%, 10/01/19............................. 450 469,944
FACE
AMOUNT VALUE+
------ ------
(000)
FLORIDA -- (Continued)
Tampa Bay Water (RB) Series A
5.000%, 10/01/25............................. $ 2,850 $ 3,335,697
-----------
TOTAL FLORIDA.................................... 54,364,842
-----------
GEORGIA -- (3.4%)
City of Atlanta (GO)
5.000%, 12/01/19............................. 5,875 6,164,696
City of Atlanta Water & Wastewater Revenue (RB)
Series B
5.000%, 11/01/19............................. 1,700 1,778,455
Columbia County School District (GO) (ST AID
WITHHLDG)
5.000%, 04/01/20............................. 1,700 1,799,552
DeKalb County Water & Sewerage Revenue (RB)
Series B
5.250%, 10/01/24............................. 2,830 3,292,139
Georgia State (GO) Series A-1
5.000%, 02/01/22............................. 2,730 3,017,933
Georgia State (GO) Series C
5.000%, 10/01/21............................. 3,060 3,359,299
Georgia State (GO) Series C-1
5.000%, 07/01/23............................. 10,915 12,393,109
5.000%, 07/01/26............................. 9,200 10,948,552
Georgia State (GO) Series F
5.000%, 12/01/19............................. 6,000 6,296,820
Georgia State (GO) Series I
5.000%, 07/01/19............................. 4,490 4,656,759
5.000%, 07/01/20............................. 900 959,445
Gwinnett County School District (GO)
5.000%, 02/01/20............................. 1,700 1,791,902
5.000%, 02/01/20............................. 1,585 1,670,685
-----------
TOTAL GEORGIA.................................... 58,129,346
-----------
HAWAII -- (2.5%)
City & County of Honolulu (GO) Series B
5.000%, 08/01/20............................. 1,470 1,569,078
5.000%, 10/01/23............................. 200 226,900
5.000%, 10/01/24............................. 6,870 7,908,194
5.000%, 10/01/25............................. 4,925 5,760,674
Hawaii State (GO) Series EA
5.000%, 12/01/21............................. 850 934,890
Hawaii State (GO) Series EE
5.000%, 11/01/20............................. 515 552,976
Hawaii State (GO) Series EF
5.000%, 11/01/22............................. 2,240 2,508,173
Hawaii State (GO) Series EH
4.000%, 08/01/19............................. 1,110 1,139,681
Hawaii State (GO) Series ET
3.000%, 10/01/23............................. 3,710 3,843,375
Hawaii State (GO) Series EZ
5.000%, 10/01/21............................. 6,080 6,664,166
150
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
HAWAII -- (Continued)
Hawaii State (GO) Series FT
5.000%, 01/01/27.............................. $10,000 $11,850,700
-----------
TOTAL HAWAII....................................... 42,958,807
-----------
IOWA -- (0.1%)
City of Ankeny (GO) Series D
4.000%, 06/01/18.............................. 700 701,281
County of Black Hawk IA (GO) Series A
5.000%, 06/01/19.............................. 1,200 1,241,028
State of Iowa (RB) Series A (ETM)
5.000%, 06/01/18.............................. 275 275,726
-----------
TOTAL IOWA......................................... 2,218,035
-----------
KANSAS -- (1.4%)
City of Lenexa (GO) Series A
5.000%, 09/01/21.............................. 525 574,245
City of Wichita (GO) Series A
5.000%, 12/01/19.............................. 3,000 3,145,530
Johnson County (GO) Series B
3.000%, 09/01/22.............................. 2,260 2,336,139
Johnson County Unified School District No. 229
Blue Valley (GO) Series B
5.000%, 10/01/23.............................. 445 506,797
Johnson County Unified School District No. 232
(GO) Series A
5.000%, 09/01/20.............................. 2,550 2,723,885
Johnson County Unified School District No. 233
Olathe (GO) Series B
5.000%, 09/01/23.............................. 4,380 4,967,621
Kansas State Department of Transportation (RB)
Series A
5.000%, 09/01/21.............................. 3,250 3,555,955
Kansas State Department of Transportation (RB)
Series B
5.000%, 09/01/20.............................. 3,000 3,208,110
Saline County Unified School District No. 305
Salina (GO)
5.000%, 09/01/20.............................. 1,860 1,989,475
Sedgwick County Unified School District No. 260
(GO)
5.000%, 10/01/21.............................. 1,325 1,445,893
Wyandotte County Unified Government (GO) Series A
3.000%, 08/01/18.............................. 580 581,792
-----------
TOTAL KANSAS....................................... 25,035,442
-----------
KENTUCKY -- (0.8%)
Louisville & Jefferson County (GO) Series A
5.000%, 12/01/22.............................. 5,645 6,314,384
FACE
AMOUNT VALUE+
------ ------
(000)
KENTUCKY -- (Continued)
Louisville Water Co. (RB) Series A
4.000%, 11/15/21.............................. $ 1,215 $ 1,292,420
Louisville/Jefferson County Metropolitan
Government (GO)
5.000%, 12/01/19.............................. 1,250 1,309,637
Louisville/Jefferson County Metropolitan
Government (GO) Series A
5.000%, 12/01/20.............................. 5,155 5,537,965
-----------
TOTAL KENTUCKY..................................... 14,454,406
-----------
LOUISIANA -- (1.5%)
Louisiana State (GO) Series A
5.000%, 11/15/19.............................. 4,500 4,710,870
5.000%, 02/01/24.............................. 2,000 2,259,200
Louisiana State (GO) Series C
5.000%, 07/15/22.............................. 12,765 14,126,898
Louisiana State (GO) Series D-1
5.000%, 12/01/20.............................. 4,065 4,357,436
-----------
TOTAL LOUISIANA.................................... 25,454,404
-----------
MAINE -- (0.3%)
Maine State (GO) Series B
5.000%, 06/01/20.............................. 3,000 3,188,160
5.000%, 06/01/27.............................. 2,000 2,393,120
-----------
TOTAL MAINE........................................ 5,581,280
-----------
MARYLAND -- (9.2%)
Anne Arundel County (GO)
5.000%, 04/01/22.............................. 2,475 2,739,355
Baltimore County (GO)
5.000%, 08/01/21.............................. 1,980 2,161,883
5.000%, 08/01/22.............................. 400 445,680
3.000%, 11/01/24.............................. 1,000 1,035,290
5.000%, 11/01/27.............................. 2,175 2,626,030
5.000%, 03/01/28.............................. 4,000 4,843,360
Baltimore County (GO) Series B
5.000%, 08/01/24.............................. 5,800 6,677,076
Baltimore County (GO) Series C
4.000%, 09/01/18.............................. 2,410 2,428,461
Carroll County (GO)
4.000%, 11/01/18.............................. 2,890 2,923,206
5.000%, 11/01/19.............................. 2,300 2,407,893
5.000%, 11/01/20.............................. 5,450 5,853,245
Charles County (GO)
5.000%, 03/01/19.............................. 1,990 2,043,710
Charles County (GO) (ETM)
5.000%, 03/01/19.............................. 10 10,256
City of Baltimore (GO) Series B
5.000%, 10/15/19.............................. 7,330 7,663,735
5.000%, 10/15/21.............................. 2,500 2,738,475
5.000%, 10/15/22.............................. 8,060 8,994,073
Frederick County (GO) Series A
5.000%, 08/01/27.............................. 4,725 5,686,065
151
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MARYLAND -- (Continued)
Harford County (GO)
5.000%, 09/15/19.............................. $ 1,545 $ 1,611,976
Howard County (GO) Series D
5.000%, 02/15/24.............................. 5,140 5,875,688
Maryland State (GO) Series B
5.000%, 03/01/19.............................. 4,680 4,806,313
5.000%, 08/01/19.............................. 2,500 2,598,475
5.000%, 08/01/26.............................. 10,000 11,868,700
Maryland State (GO) Series C
5.000%, 11/01/18.............................. 5,000 5,081,600
5.000%, 08/01/19.............................. 3,000 3,118,170
5.000%, 08/01/20.............................. 7,250 7,735,315
Montgomery County (GO) Series C
5.000%, 10/01/27.............................. 8,500 10,248,705
Montgomery County (GO) Series D
3.000%, 11/01/23.............................. 4,000 4,145,920
4.000%, 11/01/26.............................. 9,500 10,569,415
Prince George's County (GO) Series A
3.000%, 09/15/27.............................. 10,950 11,247,621
Prince George's County (GO) Series B
5.000%, 09/15/18.............................. 2,000 2,024,380
4.000%, 03/01/22.............................. 2,480 2,649,657
Prince George's County (GO) Series C
5.000%, 08/01/20.............................. 3,450 3,682,530
Queen Anne's County (GO)
5.000%, 11/15/19.............................. 1,805 1,891,839
University System of Maryland (RB) Series B
5.000%, 04/01/20.............................. 4,355 4,610,029
Washington Suburban Sanitary Commission (GO)
Series A
4.000%, 06/01/18.............................. 1,550 1,552,852
Worcester County (GO) Series B
4.000%, 08/01/21.............................. 2,000 2,117,340
------------
TOTAL MARYLAND..................................... 158,714,318
------------
MASSACHUSETTS -- (4.2%)
City of Boston (GO) Series A
5.000%, 03/01/20.............................. 3,270 3,455,703
City of Boston (GO) Series B
5.000%, 04/01/19.............................. 4,700 4,839,966
4.000%, 01/01/23.............................. 1,795 1,939,910
5.000%, 04/01/24.............................. 3,000 3,449,010
City of Cambridge (GO)
3.000%, 02/15/20.............................. 2,070 2,111,607
City of Springfield (GO) Series C (ST AID
WITHHLDG)
4.000%, 08/01/23.............................. 150 162,147
City of Woburn (GO)
4.000%, 09/01/22.............................. 350 376,331
Commonwealth of Massachusetts (GO) Series C
5.000%, 04/01/23.............................. 10,000 11,262,400
FACE
AMOUNT VALUE+
------ ------
(000)
MASSACHUSETTS -- (Continued)
Commonwealth of Massachusetts (GO) Series B
5.000%, 08/01/18.............................. $2,500 $ 2,520,500
5.250%, 08/01/21.............................. 5,000 5,495,050
Commonwealth of Massachusetts (GO) Series B (AGM)
5.250%, 09/01/24.............................. 3,700 4,306,319
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20.............................. 2,500 2,666,200
5.000%, 10/01/21.............................. 1,005 1,100,515
5.000%, 08/01/24.............................. 1,500 1,722,135
Commonwealth of Massachusetts (GO) Series C
(AMBAC)
5.500%, 12/01/23.............................. 3,500 4,079,355
Commonwealth of Massachusetts (GO) Series E
5.000%, 11/01/27.............................. 9,000 10,790,640
Massachusetts Bay Transportation Authority (RB)
Series B (NATL-RE)
5.500%, 07/01/24.............................. 3,020 3,559,010
Massachusetts Water Resources Authority (RB)
Series A
5.000%, 08/01/22.............................. 3,000 3,347,760
Massachusetts Water Resources Authority (RB)
Series B (AGM)
5.250%, 08/01/28.............................. 1,000 1,233,960
Town of Auburn (GO)
2.000%, 03/15/19.............................. 750 751,800
Town of Nantucket (GO)
3.000%, 10/01/22.............................. 1,115 1,151,840
Town of Wilmington (GO)
5.000%, 03/15/20.............................. 1,665 1,760,904
-----------
TOTAL MASSACHUSETTS................................ 72,083,062
-----------
MICHIGAN -- (0.9%)
Kentwood Public Schools (GO)
4.000%, 05/01/22.............................. 500 530,515
Michigan State (GO)
5.000%, 11/01/19.............................. 4,400 4,607,064
Michigan State (GO) Series A
5.000%, 05/01/25.............................. 2,000 2,321,940
Michigan State Comprehensive Transportation
Revenue (RB) (AGM)
5.250%, 05/15/21.............................. 1,000 1,091,250
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/18.............................. 5,000 5,086,300
University of Michigan (RB) Series A
4.000%, 04/01/23.............................. 1,000 1,083,390
-----------
TOTAL MICHIGAN..................................... 14,720,459
-----------
152
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (3.9%)
Bloomington Independent School District No. 271
(GO) Series A (SD CRED PROG)
5.000%, 02/01/20............................. $ 1,150 $ 1,210,743
City of Edina (GO) Series B
3.000%, 02/01/19............................. 305 307,904
City of State Cloud (GO) Series B
5.000%, 02/01/21............................. 1,275 1,376,362
Dakota County Community Development Agency (RB)
Series B (CNTY GTD)
5.000%, 01/01/23............................. 800 899,888
Elk River Independent School District No. 728
(GO) Series A (SD CRED PROG)
5.000%, 02/01/21............................. 5,000 5,390,500
Hennepin County (GO) Series C
5.000%, 12/01/26............................. 4,070 4,868,697
5.000%, 12/01/27............................. 5,800 7,028,440
Lakeville Minnesota Independent School District
No. 194 (GO) Series D (SD CRED PROG)
5.000%, 02/01/22............................. 4,000 4,403,640
Metropolitan Council (GO) Series C
5.000%, 03/01/26............................. 700 826,462
Minnesota State (GO)
5.000%, 08/01/18............................. 480 483,874
Minnesota State (GO) (ETM)
5.000%, 08/01/18............................. 5 5,039
Minnesota State (GO) Series A
5.000%, 10/01/20............................. 4,390 4,699,846
5.000%, 08/01/22............................. 3,000 3,341,310
Minnesota State (GO) Series B
5.000%, 08/01/20............................. 5,460 5,821,780
5.000%, 10/01/21............................. 4,660 5,102,886
Minnesota State (GO) Series E
2.000%, 08/01/19............................. 1,810 1,814,416
Minnesota State (GO) Series F
5.000%, 10/01/21............................. 12,025 13,167,856
Minnesota State (GO) Series K
5.000%, 11/01/19............................. 3,680 3,851,525
Morris Area Schools Independent School District
No. 2769 (GO) Series A (SD CRED PROG)
4.000%, 02/01/24............................. 1,125 1,217,914
Rochester Independent School District No. 535
(GO) Series A (SD CRED PROG)
3.000%, 02/01/22............................. 1,240 1,277,274
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20............................. 250 264,058
-----------
TOTAL MINNESOTA.................................. 67,360,414
-----------
FACE
AMOUNT VALUE+
------ ------
(000)
MISSISSIPPI -- (1.1%)
Mississippi State (GO) Series A
5.000%, 10/01/27.............................. $9,110 $10,849,646
Mississippi State (GO) Series F
5.000%, 11/01/21.............................. 7,750 8,495,782
-----------
TOTAL MISSISSIPPI.................................. 19,345,428
-----------
MISSOURI -- (1.3%)
Cass County Reorganized School District No. R-2
(GO) (ST AID DIR DEP)
5.000%, 03/01/21.............................. 1,000 1,081,560
City of Belton (GO) Series C
5.000%, 03/01/27.............................. 2,150 2,514,038
City of Kansas City (GO) Series A
4.000%, 02/01/22.............................. 1,150 1,227,027
5.000%, 02/01/23.............................. 3,955 4,438,182
Columbia School District (GO) Series B
5.000%, 03/01/23.............................. 1,120 1,266,227
5.000%, 03/01/24.............................. 4,100 4,707,907
North Kansas City School District No. 74 (GO)
(ST AID DIR DEP)
4.000%, 03/01/23.............................. 5,335 5,744,728
St. Charles Community College (GO)
3.000%, 02/15/20.............................. 2,245 2,287,341
-----------
TOTAL MISSOURI..................................... 23,267,010
-----------
MONTANA -- (--%)
City & County of Butte-Silver Bow (GO)
4.000%, 07/01/21.............................. 615 649,606
-----------
NEBRASKA -- (0.4%)
Douglas County School District No. 17 (GO)
4.000%, 12/15/26.............................. 2,260 2,512,080
Lancaster County School District 001 (GO)
5.000%, 01/15/21.............................. 2,470 2,659,869
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20.............................. 1,000 1,075,330
Omaha School District (GO)
4.000%, 12/15/19.............................. 1,365 1,411,369
-----------
TOTAL NEBRASKA..................................... 7,658,648
-----------
NEVADA -- (0.4%)
City of Henderson NV (GO)
5.000%, 06/01/21.............................. 490 532,321
Clark County (GO) Series A
5.000%, 07/01/19.............................. 1,725 1,788,860
5.000%, 07/01/25.............................. 2,700 3,136,293
153
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEVADA -- (Continued)
Nevada State (GO) Series A
5.000%, 08/01/19.............................. $1,825 $ 1,896,887
-----------
TOTAL NEVADA....................................... 7,354,361
-----------
NEW HAMPSHIRE -- (0.9%)
City of Dover (GO)
3.000%, 06/15/19.............................. 600 607,938
City of Nashua (GO)
4.000%, 07/15/19.............................. 5,350 5,491,882
4.000%, 07/15/20.............................. 2,720 2,843,787
New Hampshire State (GO) Series A
5.000%, 03/01/23.............................. 5,910 6,655,606
-----------
TOTAL NEW HAMPSHIRE................................ 15,599,213
-----------
NEW JERSEY -- (1.5%)
City of Hoboken (GO)
3.000%, 02/01/26.............................. 2,945 2,995,978
3.000%, 02/01/27.............................. 3,035 3,069,933
3.000%, 02/01/28.............................. 4,560 4,579,061
Essex County (GO) Series A
5.000%, 08/01/20.............................. 1,000 1,067,620
Livingston Township (GO)
3.000%, 01/15/21.............................. 350 357,763
Montville Township (GO)
3.000%, 10/01/25.............................. 505 522,332
Morris County (GO)
4.000%, 10/15/20.............................. 2,390 2,505,007
New Jersey Educational Facilities Authority (RB)
Series B
5.000%, 07/01/19.............................. 2,330 2,417,095
Princeton Regional School District (GO) (ST AID
WITHHLDG)
1.750%, 02/01/22.............................. 1,095 1,072,202
South Orange & Maplewood School District (GO)
(SCH BD RES FD)
3.000%, 03/01/22.............................. 350 357,119
Township of Parsippany-Troy Hills (GO)
2.000%, 09/15/22.............................. 4,100 4,012,465
Union County (GO) Series B
3.000%, 03/01/22.............................. 2,315 2,386,950
Union County (GO) Series B (ETM)
3.000%, 03/01/22.............................. 45 46,264
-----------
TOTAL NEW JERSEY................................... 25,389,789
-----------
NEW MEXICO -- (1.1%)
City of Albuquerque (GO) Series A
5.000%, 07/01/24.............................. 1,300 1,492,543
Farmington Municipal School District No. 5 (GO)
(ST AID WITHHLDG)
4.000%, 09/01/20.............................. 945 988,905
FACE
AMOUNT VALUE+
------ ------
(000)
NEW MEXICO -- (Continued)
Las Cruces School District No. 2 (GO) Series A
(ST AID WITHHLDG)
4.000%, 08/01/19.............................. $ 1,000 $ 1,026,110
4.000%, 08/01/20.............................. 125 130,632
New Mexico State Severance Tax Permanent Fund
(RB) Series A
5.000%, 07/01/19.............................. 2,000 2,071,920
5.000%, 07/01/27.............................. 2,000 2,380,100
New Mexico State Severance Tax Permanent Fund
(RB) Series B
4.000%, 07/01/20.............................. 4,100 4,278,924
Santa Fe County (GO)
5.000%, 07/01/22.............................. 1,000 1,111,640
Santa Fe Public School District (GO) (ST AID
WITHHLDG)
5.000%, 08/01/20.............................. 3,270 3,488,894
5.000%, 08/01/24.............................. 2,000 2,289,940
-----------
TOTAL NEW MEXICO................................... 19,259,608
-----------
NEW YORK -- (4.8%)
Brewster Central School District (GO) (ST AID
WITHHLDG)
2.000%, 10/01/19.............................. 1,000 1,002,910
City of New York (GO) Series A
5.000%, 08/01/24.............................. 860 984,674
5.000%, 08/01/26.............................. 5,000 5,873,250
City of New York (GO) Series B
5.000%, 08/01/19.............................. 600 623,634
5.000%, 08/01/21.............................. 450 490,595
5.000%, 08/01/22.............................. 600 666,972
City of New York (GO) Series C
5.000%, 08/01/20.............................. 5,625 5,998,950
City of New York (GO) Series D
5.000%, 08/01/22.............................. 1,055 1,172,759
City of New York (GO) Series E
5.000%, 08/01/21.............................. 3,975 4,333,585
5.000%, 08/01/23.............................. 6,000 6,780,420
City of New York (GO) Series G
5.000%, 08/01/19.............................. 3,500 3,637,865
New York State Dormitory Authority (RB) Series A
3.000%, 07/01/20.............................. 1,615 1,652,468
5.000%, 03/15/23.............................. 200 225,424
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22.............................. 10,200 11,247,336
5.000%, 02/15/24.............................. 4,900 5,578,601
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19.............................. 825 847,943
New York State Dormitory Authority (RB) Series D
5.000%, 02/15/24.............................. 9,950 11,327,975
154
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Dormitory Authority (RB) Series E
5.000%, 03/15/21.............................. $2,000 $ 2,164,720
New York State Urban Development Corp. (RB)
Series A
5.000%, 03/15/19.............................. 1,630 1,675,330
5.000%, 03/15/25.............................. 3,440 3,977,294
New York State Urban Development Corp. (RB)
Series C
5.000%, 12/15/18.............................. 4,225 4,311,275
Penfield Central School District (GO) (ASSURED
GTY) (ST AID WITHHLDG)
3.750%, 06/15/19.............................. 150 153,276
Sachem Central School District (GO) (ST AID
WITHHLDG)
5.000%, 10/15/19.............................. 1,300 1,359,566
Town of Cheektowaga (GO)
5.000%, 07/15/23.............................. 300 339,810
Town of Huntington (GO)
2.000%, 12/01/23.............................. 100 98,695
Triborough Bridge & Tunnel Authority (RB)
4.000%, 11/15/27.............................. 1,250 1,398,075
Triborough Bridge & Tunnel Authority (RB) Series
B
5.000%, 11/15/20.............................. 4,000 4,300,440
-----------
TOTAL NEW YORK..................................... 82,223,842
-----------
NORTH CAROLINA -- (5.1%)
City of Charlotte (GO) Series A
5.000%, 07/01/18.............................. 4,380 4,403,477
City of Charlotte Water & Sewer System Revenue
(RB)
5.000%, 07/01/19.............................. 2,000 2,072,640
City of Raleigh (GO) Series A
5.000%, 09/01/22.............................. 2,685 3,003,280
Forsyth County (GO)
4.000%, 12/01/21.............................. 3,500 3,729,425
Guilford County (GO) Series A
5.000%, 02/01/22.............................. 1,800 1,989,846
Guilford County (GO) Series B
5.000%, 05/01/24.............................. 5,000 5,752,250
Johnston County (GO)
4.000%, 02/01/20.............................. 3,735 3,872,336
Johnston County (GO) Series A
5.000%, 02/01/21.............................. 2,995 3,233,911
Moore County (GO)
5.000%, 06/01/22.............................. 2,740 3,036,687
New Hanover County (GO)
4.000%, 08/01/19.............................. 2,280 2,342,677
5.000%, 02/01/23.............................. 250 281,623
FACE
AMOUNT VALUE+
------ ------
(000)
NORTH CAROLINA -- (Continued)
North Carolina Eastern Municipal Power Agency (RB)
Series B (NATL-IBC) (ETM)
6.000%, 01/01/22............................. $9,700 $10,950,136
North Carolina State (GO) Series B
5.000%, 06/01/25............................. 8,000 9,369,600
North Carolina State (GO) Series C
5.000%, 05/01/20............................. 3,270 3,470,386
5.000%, 05/01/21............................. 4,625 5,029,502
North Carolina State (GO) Series D
4.000%, 06/01/21............................. 5,000 5,300,350
4.000%, 06/01/23............................. 8,700 9,448,722
North Carolina State (GO) Series E
5.000%, 05/01/19............................. 5,000 5,160,450
Wake County (GO)
5.000%, 09/01/21............................. 1,450 1,588,953
Wake County (GO) Series C
5.000%, 03/01/24............................. 3,000 3,443,040
-----------
TOTAL NORTH CAROLINA..................................... 87,479,291
-----------
OHIO -- (5.3%)
City of Cincinnati (GO) Series A
4.000%, 12/01/21............................. 2,645 2,810,841
City of Cincinnati (GO) Series C
5.000%, 12/01/19............................. 2,955 3,099,293
City of Columbus (GO) Series 1
5.000%, 07/01/22............................. 4,100 4,569,860
City of Columbus (GO) Series A
2.000%, 08/15/20............................. 3,285 3,289,336
3.000%, 07/01/21............................. 470 483,165
3.000%, 07/01/22............................. 700 721,308
2.000%, 08/15/22............................. 6,160 6,063,165
4.000%, 07/01/23............................. 4,995 5,411,183
4.000%, 04/01/27............................. 8,800 9,759,640
Hamilton County Sewer System Revenue (RB) Series A
5.000%, 12/01/21............................. 200 219,612
Ohio Higher Educational Facility Commission (RB)
(currency) 5.250%, 07/01/44 (Pre-refunded @ $100,
7/1/20)...................................... 1,875 2,002,125
Ohio State (GO)
5.000%, 09/01/19............................. 6,000 6,252,780
Ohio State (GO) Series A
5.000%, 09/01/19............................. 550 573,172
5.000%, 05/01/20............................. 1,555 1,646,838
3.000%, 02/01/22............................. 500 514,665
5.000%, 08/01/22............................. 4,005 4,453,760
5.000%, 08/01/22............................. 3,000 3,336,150
5.000%, 09/15/22............................. 500 557,345
5.000%, 09/15/22............................. 250 278,673
5.000%, 09/01/25............................. 5,550 6,482,011
Ohio State (GO) Series B
5.000%, 08/01/19............................. 200 207,928
155
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
OHIO -- (Continued)
5.000%, 09/15/19.............................. $2,065 $ 2,154,518
5.000%, 08/01/20.............................. 3,020 3,218,716
5.000%, 06/15/21.............................. 1,500 1,631,130
5.000%, 06/15/22.............................. 4,000 4,438,680
Ohio State (GO) Series C
5.000%, 09/15/21.............................. 1,000 1,093,150
5.000%, 09/15/21.............................. 4,500 4,919,175
5.000%, 08/01/27.............................. 6,880 8,235,429
Upper Arlington City School District (GO) Series
A
5.000%, 12/01/27.............................. 3,190 3,856,582
-----------
TOTAL OHIO......................................... 92,280,230
-----------
OKLAHOMA -- (0.1%)
City of Oklahoma City (GO)
5.000%, 03/01/19.............................. 1,310 1,344,807
-----------
OREGON -- (1.7%)
City of Portland (GO) Series B
4.000%, 06/01/20.............................. 935 975,439
City of Portland Sewer System Revenue (RB)
Series A
5.000%, 06/15/26.............................. 1,550 1,824,397
City of Portland Water System Revenue (RB)
Series A
5.000%, 04/01/21.............................. 8,000 8,680,640
Clackamas County School District No. 46 Oregon
Trail (GO) (SCH BD GTY)
5.000%, 06/15/22.............................. 1,215 1,350,788
Deschutes County Administrative School District
No. 1 Bend-La Pine (GO) (SCH BD GTY)
5.000%, 06/15/27.............................. 4,680 5,594,940
Lane County School District No. 4J Eugene (GO)
Series A (SCH BD GTY)
5.000%, 06/15/23.............................. 3,355 3,788,298
Oregon State (GO) Series A
5.000%, 05/01/21.............................. 200 217,248
Oregon State (GO) Series G
5.000%, 12/01/24.............................. 2,290 2,648,889
Oregon State Department of Transportation (RB)
Series B
5.000%, 11/15/26.............................. 3,500 4,168,815
Portland Community College District (GO)
5.000%, 06/15/18.............................. 760 762,994
-----------
TOTAL OREGON....................................... 30,012,448
-----------
PENNSYLVANIA -- (1.3%)
Commonwealth of Pennsylvania (GO)
5.000%, 07/01/18.............................. 1,500 1,507,845
FACE
AMOUNT VALUE+
------ ------
(000)
PENNSYLVANIA -- (Continued)
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 04/01/22............................. $11,260 $12,329,587
Monroe County (GO)
4.000%, 12/15/18............................. 400 405,540
Montgomery County (GO)
5.000%, 05/01/23............................. 5,255 5,926,484
Pennsylvania Economic Development Financing
Authority (RB) Series A
5.000%, 07/01/19............................. 1,300 1,346,592
West View Municipal Authority Water Revenue (RB)
4.000%, 11/15/20............................. 1,100 1,148,015
-----------
TOTAL PENNSYLVANIA............................... 22,664,063
-----------
RHODE ISLAND -- (1.5%)
Rhode Island State (GO) Series A
5.000%, 08/01/19............................. 8,000 8,315,120
5.000%, 08/01/22............................. 1,605 1,782,096
Rhode Island State (GO) Series C
5.000%, 08/01/19............................. 9,185 9,546,797
5.000%, 08/01/20............................. 4,870 5,188,254
Rhode Island State (GO) Series D
5.000%, 08/01/22............................. 685 760,583
-----------
TOTAL RHODE ISLAND............................... 25,592,850
-----------
SOUTH CAROLINA -- (3.0%)
Beaufort County (GO) Series C (ST AID WITHHLDG)
5.000%, 03/01/22............................. 3,485 3,850,960
Berkeley County School District (GO) Series B
(SCSDE)
5.000%, 03/01/22............................. 4,120 4,549,428
Charleston County (GO) Series A
5.000%, 11/01/22............................. 4,780 5,356,659
Charleston County School District (GO) Series A
(SCSDE)
5.000%, 02/01/21............................. 2,020 2,180,024
City of Charleston SC Waterworks & Sewer System
Revenue (RB)
5.000%, 01/01/20............................. 1,805 1,897,398
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21............................. 385 418,972
Clemson University (RB)
3.000%, 05/01/21............................. 350 358,897
Dorchester County School District No. 2 (GO)
Series B (SCSDE)
5.000%, 03/01/25............................. 1,430 1,657,041
Florence School District One (GO) (SCSDE)
5.000%, 03/01/20............................. 3,335 3,521,293
5.000%, 03/01/21............................. 3,170 3,426,707
156
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
SOUTH CAROLINA -- (Continued)
Lexington & Richland School District No. 5 (GO)
(SCSDE)
5.000%, 03/01/19............................. $ 945 $ 970,430
Richland County School District No. 1 (GO)
Series A (SCSDE)
5.000%, 03/01/20............................. 5,480 5,786,113
Richland County School District No. 2 (GO)
Series A (SCSDE)
5.000%, 02/01/21............................. 2,085 2,250,174
South Carolina State (GO) Series A
5.000%, 06/01/19............................. 2,500 2,584,375
South Carolina State (GO) Series A (ST AID
WITHHLDG)
5.000%, 10/01/23............................. 5,500 6,266,810
York County (GO) (ST AID WITHHLDG)
5.000%, 04/01/20............................. 1,900 2,010,903
York County School District No. 1 (GO) (SCSDE)
5.000%, 03/01/21............................. 3,790 4,094,754
-----------
TOTAL SOUTH CAROLINA............................. 51,180,938
-----------
TENNESSEE -- (3.1%)
City of Clarksville Water Sewer & Gas Revenue
(RB)
5.000%, 02/01/20............................. 3,150 3,317,485
City of Johnson City (GO)
3.000%, 06/01/19............................. 875 886,559
City of Maryville (GO) Series A
5.000%, 06/01/22............................. 1,865 2,067,707
City of Memphis (GO) Series A
5.000%, 11/01/22............................. 9,695 10,842,500
5.000%, 04/01/25............................. 1,945 2,255,967
City of Pigeon Forge (GO)
4.000%, 06/01/21............................. 670 709,007
Hamilton County (GO) Series B
3.000%, 03/01/22............................. 4,550 4,698,193
Knox County (GO)
5.000%, 06/01/20............................. 2,585 2,747,674
Maury County (GO)
5.000%, 04/01/21............................. 5,105 5,524,274
Maury County (GO) Series B
5.000%, 04/01/19............................. 1,000 1,029,510
Metropolitan Government of Nashville & Davidson
County (GO)
5.000%, 07/01/22............................. 1,000 1,111,220
Metropolitan Government of Nashville & Davidson
County (GO) Series A
5.000%, 01/01/20............................. 1,100 1,155,748
Putnam County (GO)
4.000%, 04/01/23............................. 975 1,051,109
Shelby County (GO) Series A
5.000%, 04/01/20............................. 7,000 7,407,190
FACE
AMOUNT VALUE+
------ ------
(000)
TENNESSEE -- (Continued)
Sumner County (GO)
5.000%, 06/01/21............................. $ 110 $ 119,672
Tennessee State (GO) Series A
4.000%, 09/01/18............................. 3,325 3,350,902
Tennessee State (GO) Series B
5.000%, 08/01/20............................. 1,945 2,077,863
Town of Greeneville (GO)
3.000%, 06/01/21............................. 1,360 1,394,258
Williamson County (GO) Series A
4.000%, 05/01/22............................. 300 321,387
Wilson County (GO) Series B
4.000%, 04/01/20............................. 1,040 1,081,049
-----------
TOTAL TENNESSEE.......................................... 53,149,274
-----------
TEXAS -- (14.4%)
Aldine Independent School District (GO) (PSF-GTD)
5.000%, 02/15/25............................. 4,750 5,477,177
Austin Independent School District (GO) (PSF-GTD)
5.000%, 08/01/20............................. 350 372,873
City of Arlington (GO) Series A
3.000%, 08/15/20............................. 1,700 1,736,244
City of Austin (GO)
5.000%, 09/01/20............................. 1,655 1,769,807
City of Dallas (GO)
5.000%, 02/15/21............................. 9,505 10,206,754
City of Denton (GO)
4.000%, 02/15/22............................. 2,510 2,671,318
City of El Paso (GO)
5.000%, 08/15/19............................. 3,505 3,647,338
City of Fort Worth (GO) Series A
5.000%, 03/01/25............................. 5,000 5,749,800
City of Fort Worth Water & Sewer System (RB)
5.000%, 02/15/19............................. 400 410,224
City of Houston (GO) Series A
5.000%, 03/01/21............................. 3,100 3,339,506
5.000%, 03/01/22............................. 5,890 6,467,456
City of Houston Combined Utility System Revenue (RB)
(ASSURED GTY)
(currency) 5.375%, 11/15/38 (Pre-refunded @ $100,
5/15/19)..................................... 4,735 4,902,998
City of Lubbock (GO)
5.000%, 02/15/19............................. 3,000 3,075,000
5.000%, 02/15/23............................. 1,000 1,119,260
City of Richardson (GO)
5.000%, 02/15/27............................. 1,715 2,030,457
City of San Antonio (GO)
5.000%, 02/01/20............................. 1,000 1,054,060
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/21............................. 720 775,836
5.000%, 02/01/21............................. 3,000 3,232,650
157
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
City of San Antonio Electric & Gas Systems Revenue (RB)
Series D
5.000%, 02/01/19............................. $ 400 $ 409,748
City of Southlake (GO)
3.000%, 02/15/23............................. 1,510 1,558,305
Clear Creek Independent School District (GO) Series A
(PSF-GTD)
5.000%, 02/15/25............................. 2,175 2,509,450
Cypress-Fairbanks Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/21............................. 3,500 3,775,135
Dallas Area Rapid Transit (RB) Series B
5.000%, 12/01/21............................. 2,545 2,793,621
Dallas Independent School District (GO) (PSF-GTD)
5.000%, 02/15/19............................. 3,480 3,567,835
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24............................. 500 572,905
Galveston County (GO)
5.000%, 02/01/22............................. 1,000 1,099,390
Grayson County (GO)
5.000%, 01/01/21............................. 1,990 2,132,802
Harris County (GO) Series A
4.000%, 10/01/18............................. 880 888,184
5.000%, 10/01/19............................. 4,345 4,536,310
5.000%, 10/01/19............................. 3,500 3,654,105
Harris County Metropolitan Transit Authority (RB) Series
B (ETM)
4.000%, 11/01/18............................. 400 404,396
Hays Consolidated Independent School District (GO)
(PSF-GTD)
5.000%, 08/15/23............................. 1,355 1,532,464
Hidalgo County Drain District No. 1 (GO)
5.000%, 09/01/22............................. 1,000 1,108,040
Highland Park Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20............................. 1,790 1,885,318
Houston Higher Education Finance Corp. (RB) Series A
(currency) 6.875%, 05/15/41 (Pre-refunded @ $100,
5/15/21)..................................... 3,225 3,662,374
Humble Independent School District (GO) Series A
(PSF-GTD)
2.000%, 02/15/19............................. 100 100,193
5.500%, 02/15/25............................. 7,000 8,307,810
Katy Independent School District (GO) Series A (PSF-GTD)
5.000%, 02/15/20............................. 3,820 4,023,415
La Porte Independent School District (GO)
5.000%, 02/15/21............................. 1,700 1,831,733
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Lake Travis Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20.............................. $ 3,480 $ 3,665,310
Mansfield Independent School District (GO)
5.000%, 02/15/20.............................. 1,000 1,054,880
Mansfield Independent School District (GO)
Series A (PSF-GTD)
5.000%, 02/15/22.............................. 895 987,588
North Texas Municipal Water District Water
System Revenue (RB)
5.000%, 09/01/24.............................. 5,715 6,539,332
Northside Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/23.............................. 4,535 5,078,021
5.000%, 08/15/25.............................. 1,880 2,185,782
Northside Independent School District (GO)
Series A (PSF-GTD)
4.000%, 08/15/24.............................. 5,215 5,670,426
Northwest Independent School District (GO)
Series A (PSF-GTD)
5.000%, 02/15/24.............................. 1,695 1,927,774
Permanent University Fund (RB)
5.000%, 07/01/23.............................. 3,500 3,966,655
Permanent University Fund - University of Texas
System (RB) Series B
5.000%, 07/01/26.............................. 5,500 6,496,160
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/24.............................. 11,000 12,504,250
San Antonio Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/20.............................. 4,100 4,318,325
Spring Independent School District (GO) (BAM)
5.000%, 08/15/24.............................. 4,985 5,683,797
Spring Independent School District (GO) (PSF-GTD)
5.000%, 08/15/19.............................. 5,000 5,201,100
Tarrant Regional Water District (RB)
6.000%, 09/01/24.............................. 3,450 4,164,012
Texas A&M University (RB) Series B
5.000%, 05/15/21.............................. 4,000 4,349,280
Texas State (GO)
5.000%, 04/01/19.............................. 4,500 4,631,535
5.000%, 04/01/23.............................. 10,000 11,257,500
5.000%, 10/01/23.............................. 15,345 17,425,629
5.000%, 04/01/25.............................. 1,000 1,160,560
Texas State (GO) Series A
5.000%, 10/01/19.............................. 1,900 1,983,657
158
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
TEXAS -- (Continued)
Texas Transportation Commission State Highway
Fund (RB)
5.250%, 04/01/26............................. $ 300 $ 358,185
5.000%, 10/01/26............................. 4,340 5,136,911
Texas Transportation Commission State Highway
Fund (RB) Series A
5.000%, 04/01/19............................. 5,000 5,148,900
5.000%, 04/01/20............................. 7,900 8,351,880
Trinity River Authority Central Regional
Wastewater System Revenue (RB)
5.000%, 08/01/27............................. 3,150 3,756,312
University of Texas System (The) (RB) Series J
5.000%, 08/15/25............................. 2,500 2,928,400
5.000%, 08/15/26............................. 1,500 1,781,505
Via Metropolitan Transit (RB)
5.000%, 07/15/20............................. 2,495 2,656,551
------------
TOTAL TEXAS...................................... 248,762,508
------------
UTAH -- (1.0%)
North Davis County Sewer District (RB)
3.000%, 03/01/21............................. 2,135 2,189,272
Utah State (GO)
5.000%, 07/01/22............................. 11,285 12,578,261
Utah State (GO) Series C
5.000%, 07/01/19............................. 1,100 1,140,854
Washington County School District Board of
Education (GO) (SCH BD GTY)
5.000%, 03/01/20............................. 2,135 2,251,485
------------
TOTAL UTAH....................................... 18,159,872
------------
VERMONT -- (0.2%)
Vermont State (GO) Series B
5.000%, 08/15/23............................. 1,270 1,445,133
Vermont State (GO) Series C
4.000%, 08/15/23............................. 225 244,865
Vermont State (GO) Series F
5.000%, 08/15/20............................. 1,100 1,177,440
------------
TOTAL VERMONT.................................... 2,867,438
------------
VIRGINIA -- (3.3%)
City of Hampton (GO) Series B (ST AID WITHHLDG)
5.000%, 09/01/21............................. 3,000 3,285,450
5.000%, 09/01/22............................. 2,050 2,291,203
City of Lynchburg (GO)
5.000%, 02/01/20............................. 1,390 1,464,407
City of Newport News (GO) Series A
2.000%, 07/15/18............................. 515 515,324
FACE
AMOUNT VALUE+
------ ------
(000)
VIRGINIA -- (Continued)
City of Norfolk (GO) Series C (ST AID WITHHLDG)
5.000%, 10/01/19............................. $2,505 $ 2,615,646
City of Richmond (GO) Series A (ST AID WITHHLDG)
5.000%, 03/01/21............................. 1,370 1,481,340
City of Richmond (GO) Series B
5.000%, 07/15/25............................. 5,350 6,230,236
City of Richmond (GO) Series B (ST AID WITHHLDG)
5.000%, 07/15/26............................. 3,635 4,284,393
City of Roanoke (GO) (ST AID WITHHLDG)
4.000%, 04/01/20............................. 1,000 1,039,850
Commonwealth of Virginia (GO) Series B
4.000%, 06/01/23............................. 2,500 2,711,400
Fairfax County (GO) Series A (ST AID WITHHLDG)
5.000%, 10/01/19............................. 2,500 2,611,150
5.000%, 10/01/19............................. 3,880 4,052,505
Fairfax County (GO) Series C (ST AID WITHHLDG)
5.000%, 10/01/19............................. 6,925 7,232,885
Loudoun County (GO) Series A (ST AID WITHHLDG)
5.000%, 12/01/22............................. 4,000 4,489,120
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21............................. 250 268,970
Spotsylvania County Water & Sewer System Revenue
(RB)
5.000%, 06/01/19............................. 2,885 2,983,003
University of Virginia (RB) Series B
5.000%, 08/01/21............................. 6,250 6,832,375
Virginia Resources Authority (RB) Series B
4.000%, 10/01/19............................. 2,000 2,061,420
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20............................. 745 800,689
-----------
TOTAL VIRGINIA................................... 57,251,366
-----------
WASHINGTON -- (6.9%)
Benton County School District No. 400 Richland
(GO) (SCH BD GTY)
5.000%, 12/01/22............................. 4,705 5,262,919
City of Seattle (GO)
5.000%, 12/01/19............................. 1,500 1,574,205
5.000%, 12/01/20............................. 2,745 2,956,090
City of Seattle Drainage & Wastewater Revenue
(RB)
5.000%, 09/01/20............................. 3,665 3,920,121
5.000%, 07/01/27............................. 8,400 10,019,016
159
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
City of Seattle Municipal Light & Power Revenue
(RB)
5.000%, 09/01/20............................. $ 350 $ 374,196
City of Seattle Municipal Light & Power Revenue
(RB) Series A
5.000%, 06/01/19............................. 1,525 1,576,972
5.000%, 06/01/22............................. 310 344,078
City of Seattle Water System Revenue (RB)
5.000%, 09/01/22............................. 6,000 6,695,400
Clark County School District No. 119
Battleground (GO) (SCH BD GTY)
4.000%, 12/01/21............................. 1,000 1,064,480
4.000%, 12/01/22............................. 2,630 2,825,646
County of Kitsap WA (GO)
5.000%, 06/01/21............................. 200 217,274
King County (GO)
5.000%, 01/01/21............................. 425 457,674
King County (GO) Series A
5.000%, 07/01/19............................. 1,110 1,151,225
5.000%, 07/01/20............................. 2,650 2,824,449
King County (GO) Series E
5.000%, 12/01/19............................. 1,300 1,364,311
5.000%, 12/01/25............................. 955 1,121,800
King County School District No. 403 Renton (GO)
(SCH BD GTY)
5.000%, 12/01/19............................. 1,150 1,205,971
King County School District No. 405 Bellevue
(GO) (SCH BD GTY)
5.000%, 12/01/18............................. 1,500 1,528,185
King County School District No. 411 Issaquah
(GO) (SCH BD GTY)
5.000%, 12/01/23............................. 3,500 3,992,205
King County School District No. 412 (GO) (SCH BD
GTY)
4.000%, 12/01/21............................. 1,000 1,065,190
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22............................. 1,000 1,111,640
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/20............................. 2,880 3,097,699
Skagit County School District No. 103 (GO) (SCH
BD GTY)
5.000%, 12/01/19............................. 1,925 2,017,766
5.000%, 12/01/20............................. 2,245 2,415,889
Snohomish County Public Utility District No. 1
(RB)
5.000%, 12/01/19............................. 1,655 1,736,873
Snohomish County School District No. 15 Edmonds
(GO) (SCH BD GTY)
5.000%, 12/01/20............................. 2,555 2,748,132
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Snohomish County School District No. 201
Snohomish (GO) (SCH BD GTY)
5.000%, 12/01/25............................. $4,000 $4,674,560
Snohomish County School District No. 6 Mukilteo
(GO) (SCH BD GTY)
5.000%, 12/01/18............................. 2,000 2,037,480
Spokane County (GO)
5.000%, 12/01/22............................. 1,025 1,146,545
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21............................. 150 164,654
Thurston County School District No. 111 (GO)
(SCH BD GTY)
5.000%, 12/01/21............................. 425 467,292
University of Washington (RB) Series A
5.000%, 07/01/22............................. 6,505 7,236,682
Washington State (GO) Series 2010A
5.000%, 08/01/18............................. 500 504,060
Washington State (GO) Series 2013A
5.000%, 08/01/21............................. 225 245,669
Washington State (GO) Series A
5.000%, 08/01/23............................. 750 850,725
Washington State (GO) Series B
5.000%, 07/01/25............................. 1,500 1,747,725
Washington State (GO) Series D
5.000%, 02/01/19............................. 900 921,528
Washington State (GO) Series E
5.000%, 02/01/19............................. 2,000 2,047,840
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................. 1,610 1,705,666
Washington State (GO) Series R-2012D
5.000%, 07/01/20............................. 5,000 5,323,650
Washington State (GO) Series R-2013A
5.000%, 07/01/21............................. 7,000 7,629,300
Washington State (GO) Series R-2015
5.000%, 07/01/18............................. 1,000 1,005,380
5.000%, 07/01/22............................. 3,720 4,138,426
Washington State (GO) Series R-2015C
5.000%, 07/01/20............................. 2,000 2,129,460
Washington State (GO) Series R-2015E
5.000%, 07/01/21............................. 5,000 5,449,500
Washington State (GO) Series R-C
5.000%, 07/01/19............................. 1,750 1,813,752
160
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
WASHINGTON -- (Continued)
Washington State (GO) Series R-D
5.000%, 07/01/23.............................. $3,800 $ 4,302,702
------------
TOTAL WASHINGTON................................... 120,212,002
------------
WEST VIRGINIA -- (0.6%)
Jefferson County Board of Education (GO) (WV BD
COMM)
4.000%, 05/01/20.............................. 130 135,118
West Virginia State (GO) Series A
5.000%, 06/01/19.............................. 9,525 9,850,660
------------
TOTAL WEST VIRGINIA................................ 9,985,778
------------
WISCONSIN -- (1.3%)
City of Milwaukee (GO) Series N1
5.000%, 02/01/19.............................. 6,220 6,364,553
City of Oshkosh (GO) Series B
3.000%, 12/01/23.............................. 445 459,805
Oregon School District (GO)
3.000%, 03/01/21.............................. 430 439,262
FACE
AMOUNT VALUE+
------ ------
(000)
WISCONSIN -- (Continued)
Sun Prairie Area School District (GO)
4.000%, 03/01/20............................. $ 570 $ 590,794
Wisconsin State (GO) Series 1 (AMBAC)
5.000%, 05/01/19............................. 2,150 2,218,348
Wisconsin State (GO) Series 2
5.000%, 11/01/20............................. 5,610 6,025,084
Wisconsin State (GO) Series 3
5.000%, 11/01/22............................. 3,110 3,483,760
Wisconsin State (GO) Series C
5.000%, 05/01/20............................. 3,295 3,494,908
--------------
TOTAL WISCONSIN.................................. 23,076,514
--------------
TOTAL MUNICIPAL BONDS............................ 1,731,200,139
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,752,341,146).......................... $1,731,200,139
==============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Municipal Bonds............... -- $1,731,200,139 -- $1,731,200,139
-- -------------- -- --------------
TOTAL......................... -- $1,731,200,139 -- $1,731,200,139
== ============== == ==============
See accompanying Notes to Financial Statements.
161
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Acton-Agua Dulce Unified School District (GO) Series A
(AGM)
(currency) 4.500%, 08/01/23............................. $ 850 $ 879,121
Alameda County Transportation Authority (RB)
5.000%, 03/01/20............................. 4,500 4,764,735
Anaheim Union High School District (GO)
5.000%, 08/01/19............................. 400 416,364
5.000%, 08/01/19............................. 7,200 7,494,552
Bay Area Toll Authority (RB)
5.000%, 04/01/19............................. 775 798,297
Bay Area Toll Authority (RB) Series F-1
(currency) 5.000%, 04/01/34 (Pre-refunded @ $100,
4/1/19)...................................... 1,000 1,030,060
(currency) 5.125%, 04/01/39 (Pre-refunded @ $100,
4/1/19)...................................... 8,125 8,378,419
(currency) 5.625%, 04/01/44 (Pre-refunded @ $100,
4/1/19)...................................... 14,075 14,577,618
Bay Area Toll Authority (RB) Series F-2
4.000%, 04/01/21............................. 500 530,350
Berkeley Unified School District (GO) Series A
4.000%, 08/01/19............................. 500 514,250
Berkeley Unified School District (GO) Series D
5.000%, 08/01/23............................. 295 337,285
Berryessa Union School District (GO) (AMBAC)
5.375%, 08/01/18............................. 380 383,599
Beverly Hills Unified School District (GO)
2.000%, 08/01/18............................. 750 750,893
California Educational Facilities Authority (RB) Series A
4.000%, 11/01/19............................. 850 877,761
California Health Facilities Financing Authority (RB)
(currency) 6.500%, 10/01/38 (Pre-refunded @ $100,
10/1/18)..................................... 22,630 23,070,832
(currency) 5.000%, 08/15/39 (Pre-refunded @ $100,
8/15/19)..................................... 11,190 11,656,063
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California Health Facilities Financing Authority (RB)
Series A
(currency) 6.000%, 07/01/39 (Pre-refunded @ $100,
7/1/19)...................................... $ 6,100 $ 6,393,593
California Health Facilities Financing Authority (RB)
Series C
(currency) 6.500%, 10/01/33 (Pre-refunded @ $100,
10/1/18)..................................... 9,650 9,837,982
California Municipal Finance Authority
(currency) 5.500%, 02/01/39 (Pre-refunded @ $100,
2/1/19)...................................... 7,000 7,197,540
California Municipal Finance Authority (RB)
(currency) 5.875%, 10/01/34 (Pre-refunded @ $100,
10/1/18)..................................... 8,000 8,136,960
California State (GO)
5.000%, 08/01/18............................. 5,000 5,042,000
5.000%, 08/01/18............................. 2,200 2,218,480
5.000%, 08/01/18............................. 5,540 5,586,536
5.000%, 09/01/18............................. 250 252,810
5.000%, 09/01/18............................. 4,500 4,550,580
5.000%, 10/01/18............................. 9,500 9,632,905
5.000%, 10/01/18............................. 5,000 5,069,950
5.000%, 11/01/18............................. 2,000 2,033,640
5.000%, 02/01/19............................. 10,940 11,209,124
5.000%, 04/01/19............................. 5,960 6,138,085
5.500%, 04/01/19............................. 11,420 11,812,734
5.000%, 08/01/19............................. 2,340 2,433,647
5.000%, 08/01/19............................. 4,460 4,638,489
5.000%, 09/01/19............................. 1,000 1,042,540
5.000%, 10/01/19............................. 5,340 5,580,460
5.000%, 10/01/19............................. 1,500 1,567,545
5.000%, 10/01/19............................. 5,000 5,225,150
2.000%, 11/01/19............................. 8,000 8,027,040
5.000%, 11/01/19............................. 2,955 3,095,422
5.000%, 02/01/20............................. 12,870 13,572,573
5.000%, 04/01/20............................. 3,705 3,925,559
5.000%, 04/01/20............................. 325 344,347
5.000%, 08/01/20............................. 2,415 2,582,166
5.000%, 08/01/20............................. 3,985 4,260,842
5.000%, 09/01/20............................. 700 750,050
5.000%, 10/01/20............................. 3,410 3,661,556
5.000%, 10/01/20............................. 1,610 1,728,770
5.000%, 10/01/20............................. 1,580 1,696,557
5.000%, 10/01/20............................. 11,000 11,811,470
5.000%, 11/01/20............................. 8,000 8,608,160
162
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
5.000%, 02/01/21............................. $ 650 $ 703,125
5.000%, 02/01/21............................. 1,575 1,703,725
5.000%, 04/01/21............................. 795 863,585
5.000%, 08/01/21............................. 8,060 8,824,330
5.000%, 09/01/21............................. 7,845 8,604,788
5.000%, 09/01/21............................. 1,570 1,722,054
5.000%, 09/01/21............................. 2,645 2,901,168
5.000%, 10/01/21............................. 5,300 5,823,905
5.000%, 12/01/21............................. 2,000 2,205,560
5.000%, 03/01/22............................. 1,075 1,191,229
5.000%, 04/01/22............................. 1,800 1,997,982
5.000%, 08/01/22............................. 2,250 2,514,712
5.000%, 08/01/22............................. 785 877,355
5.250%, 09/01/22............................. 5,750 6,495,832
5.250%, 10/01/22............................. 500 565,830
California State (GO) Series A
(currency) 5.250%, 07/01/21 (Pre-refunded @ $100,
7/1/19)...................................... 4,930 5,130,750
(currency) 5.250%, 07/01/21 (Pre-refunded @ $100,
7/1/19)...................................... 2,820 2,934,830
California State (GO) Series A (ETM)
4.600%, 07/01/19............................. 1,000 1,033,260
5.000%, 07/01/19............................. 6,955 7,218,247
California State (GO) Series B
5.000%, 09/01/18............................. 3,000 3,033,720
5.000%, 09/01/20............................. 3,600 3,857,400
5.000%, 09/01/21............................. 840 921,354
California State Department of Water Resources (RB)
Series AS
5.000%, 12/01/19............................. 2,070 2,176,398
5.000%, 12/01/22............................. 3,355 3,790,244
California State Department of Water Resources (RB)
Series AS (ETM)
5.000%, 12/01/22............................. 35 39,328
California State Department of Water Resources Power
Supply Revenue (RB) Series F-3
(currency) 5.000%, 05/01/21 (Pre-refunded @ $100,
5/1/18)...................................... 5,000 5,000,000
California State Department of Water Resources Power
Supply Revenue (RB) Series L
5.000%, 05/01/18............................. 2,680 2,680,000
5.000%, 05/01/19............................. 14,710 15,201,314
5.000%, 05/01/20............................. 2,575 2,737,508
(currency) 5.000%, 05/01/22 (Pre-refunded @ $100,
5/1/20)...................................... 2,500 2,655,750
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California State Department of Water Resources Power
Supply Revenue (RB) Series M
5.000%, 05/01/18............................. $ 500 $ 500,000
4.000%, 05/01/19............................. 1,515 1,550,678
California State Department of Water Resources Power
Supply Revenue (RB) Series O
5.000%, 05/01/21............................. 12,855 14,030,333
California State Public Works Board (RB)
(currency) 6.375%, 11/01/34 (Pre-refunded @ $100,
11/1/19)..................................... 2,250 2,403,472
California State Public Works Board (RB) Series C
(currency) 6.250%, 04/01/34 (Pre-refunded @ $100,
4/1/19)...................................... 2,980 3,103,223
California State Public Works Board (RB) Series G-1
(currency) 5.750%, 10/01/30 (Pre-refunded @ $100,
10/1/19)..................................... 5,735 6,055,529
California State Public Works Board (RB) Series H (ETM)
5.000%, 09/01/21............................. 1,050 1,153,467
California State Public Works Board (RB) Series I-1
(currency) 6.125%, 11/01/29 (Pre-refunded @ $100,
11/1/19)..................................... 5,700 6,067,821
California State University (RB) Series A
5.000%, 11/01/18............................. 150 152,523
5.000%, 11/01/18............................. 1,000 1,016,820
5.000%, 11/01/18............................. 555 564,335
5.000%, 11/01/19............................. 3,660 3,837,803
5.000%, 11/01/19............................. 1,000 1,048,580
5.000%, 11/01/21............................. 2,595 2,865,010
(currency) 5.250%, 11/01/34 (Pre-refunded @ $100,
5/1/19)...................................... 9,275 9,601,109
(currency) 6.000%, 11/01/40 (Pre-refunded @ $100,
5/1/19)...................................... 2,000 2,084,080
California Statewide Communities Dev. Authority (RB)
(currency) 6.000%, 05/15/40 (Pre-refunded @ $100,
5/15/18)..................................... 11,435 11,452,496
(currency) 6.000%, 07/01/40 (Pre-refunded @ $100,
1/1/19)...................................... 6,135 6,307,393
(currency) 6.125%, 07/01/46 (Pre-refunded @ $100,
1/1/19)...................................... 2,570 2,644,350
163
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California Statewide Communities Dev. Authority (RB) (CA
MTG INS)
(currency) 5.750%, 08/15/38 (Pre-refunded @ $100,
8/15/18)..................................... $ 3,000 $ 3,035,040
California Statewide Communities Dev. Authority (RB)
(FHA INS)
(currency) 6.625%, 08/01/29 (Pre-refunded @ $100,
8/1/19)...................................... 2,225 2,355,029
Central Marin Sanitation Agency (RB)
3.000%, 09/01/19............................. 1,160 1,180,660
Chabot-Las Positas Community College District (GO)
4.000%, 08/01/22............................. 3,050 3,295,830
Chabot-Las Positas Community College District (GO)
Series A
3.000%, 08/01/18............................. 500 501,710
City & County of San Francisco (GO) Series A
4.000%, 06/15/18............................. 620 621,798
4.750%, 06/15/19............................. 650 672,029
5.000%, 06/15/20............................. 750 800,483
City & County of San Francisco (GO) Series R1
5.000%, 06/15/20............................. 865 923,223
5.000%, 06/15/21............................. 250 273,838
City of Berkeley (RN)
3.000%, 07/19/18............................. 9,000 9,026,190
City of Long Beach Harbor Revenue (RB) Series B
5.000%, 05/15/19............................. 815 843,183
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18............................. 26,960 27,432,609
City of Los Angeles (GO) Series A
5.000%, 09/01/20............................. 9,400 10,087,798
City of Los Angeles (GO) Series B
5.000%, 09/01/18............................. 7,000 7,078,680
5.000%, 09/01/21............................. 1,250 1,374,450
City of Los Angeles (RN)
5.000%, 06/28/18............................. 18,610 18,708,819
City of Los Angeles Department of Airports (RB) (BHAC-CR)
(currency) 5.250%, 05/15/38 (Pre-refunded @ $100,
5/15/18)..................................... 28,500 28,536,480
City of Los Angeles Wastewater System Revenue (RB)
Series A
(currency) 5.375%, 06/01/39 (Pre-refunded @ $100,
6/1/19)...................................... 17,000 17,667,760
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
City of Los Angeles Wastewater System Revenue (RB)
Series B
5.000%, 06/01/21............................. $ 1,400 $ 1,531,880
City of Pasadena Electric Revenue (RB) Series A
5.000%, 06/01/22............................. 385 429,075
City of Sacramento Unified School District (GO)
5.000%, 07/01/24............................. 1,375 1,585,471
City of San Francisco Public Utilities Commission
Wastewater Revenue (RB) Series A
5.000%, 10/01/18............................. 800 811,296
City of San Francisco Public Utilities Commission Water
Revenue (RB)
5.000%, 11/01/19............................. 5,920 6,209,370
5.000%, 11/01/20............................. 3,825 4,126,486
5.000%, 11/01/21............................. 1,800 1,989,234
4.000%, 11/01/22............................. 3,000 3,258,180
5.000%, 11/01/22............................. 500 564,435
5.000%, 11/01/23............................. 1,835 2,111,975
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series A
(currency) 5.125%, 11/01/39 (Pre-refunded @ $100,
11/1/19)..................................... 9,000 9,448,290
City of Santa Rosa Wastewater Revenue (RB) Series A
5.000%, 09/01/21............................. 760 834,890
City of Torrance (RN)
2.000%, 07/05/18............................. 13,000 13,008,710
City of Tulare Sewer Revenue (RB) (AGM)
3.000%, 11/15/19............................. 200 203,710
Colton Joint Unified School District (GO) (AGM)
4.000%, 08/01/20............................. 1,000 1,046,860
Conejo Valley Unified School District (GO)
4.000%, 08/01/18............................. 700 704,095
Contra Costa Water District (RB) Series Q
5.000%, 10/01/18............................. 705 714,955
5.000%, 10/01/19............................. 1,345 1,407,314
Contra Costa Water District (RB) Series U
3.000%, 10/01/18............................. 450 452,880
5.000%, 10/01/19............................. 350 366,216
Desert Community College District (GO)
5.000%, 08/01/21............................. 665 729,824
Desert Sands Unified School District (GO)
4.000%, 08/01/18............................. 1,375 1,383,113
164
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Dixon Unified School District (GO)
2.000%, 08/01/18............................. $ 735 $ 735,875
Dublin Unified School District (GO)
5.000%, 02/01/19............................. 11,775 12,070,906
East Bay Regional Park District (GO) Series A
4.000%, 09/01/21............................. 210 224,303
East Side Union High School District (GO)
2.000%, 08/01/18............................. 1,215 1,215,996
2.000%, 08/01/20............................. 1,055 1,060,307
East Side Union High School District (GO) Series B
3.000%, 08/01/19............................. 4,000 4,065,320
East Whittier City School District (GO) Series A
2.000%, 08/01/18............................. 1,000 1,001,190
Eastern Municipal Water District (CP) Series H
(currency) 5.000%, 07/01/33 (Pre-refunded @ $100,
7/1/18)...................................... 3,495 3,514,153
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/20............................. 780 815,849
Fontana Unified School District (GO)
5.000%, 08/01/18............................. 3,140 3,166,847
5.000%, 08/01/19............................. 1,285 1,337,569
4.000%, 08/01/20............................. 3,620 3,795,353
4.000%, 08/01/21............................. 530 564,704
Foothill-De Anza Community College District (GO)
4.000%, 08/01/19............................. 550 565,741
Fort Bragg Unified School District (GO) (AGM)
(currency) 5.500%, 08/01/31 (Pre-refunded @ $100,
8/1/19)...................................... 500 522,955
Fremont Unified School District/ Alameda County (GO)
5.000%, 08/01/18............................. 750 756,263
Fremont Union High School District (GO)
5.000%, 08/01/20............................. 1,000 1,071,280
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/23............................. 1,900 2,074,477
Glendora Unified School District (GO)
4.000%, 08/01/18............................. 890 895,313
Grossmont Union High School District (GO)
4.000%, 08/01/20............................. 2,420 2,538,338
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Kern County (CP) Series A (AGC)
(currency) 5.750%, 08/01/35 (Pre-refunded @ $100,
2/1/19)...................................... $ 520 $ 535,636
Lindsay Unified School District (GO) Series A (AGC)
(currency) 5.500%, 08/01/33 (Pre-refunded @ $100,
8/1/18)...................................... 1,510 1,524,118
Livermore Valley Joint Unified School District (GO)
5.000%, 08/01/20............................. 800 855,928
Los Altos Elementary School District (GO)
5.000%, 08/01/19............................. 975 1,014,887
4.000%, 08/01/21............................. 1,550 1,653,509
Los Angeles Community College District (GO)
5.000%, 08/01/21............................. 2,890 3,172,671
Los Angeles Community College District (GO) Series A
5.000%, 08/01/20............................. 10,000 10,710,600
5.000%, 08/01/21............................. 1,875 2,058,394
Los Angeles Community College District (GO) Series C
5.000%, 08/01/20............................. 1,025 1,097,837
Los Angeles Community College District (GO) Series F-1
(currency) 5.000%, 08/01/33 (Pre-refunded @ $100,
8/1/18)...................................... 3,375 3,402,844
Los Angeles Community College District (GO) Series G
5.000%, 08/01/23............................. 3,350 3,830,189
Los Angeles County Metropolitan Transportation Authority
(RB) Series A
5.000%, 07/01/18............................. 4,650 4,676,505
5.000%, 07/01/19............................. 4,000 4,158,000
5.000%, 07/01/20............................. 3,085 3,292,836
Los Angeles County Metropolitan Transportation Authority
(RB) Series B
5.000%, 07/01/18............................. 2,040 2,051,628
Los Angeles County Metropolitan Transportation Authority
(RB) Series C
5.000%, 07/01/21............................. 1,400 1,531,712
Los Angeles Department of Water (RB) Series B
5.000%, 07/01/19............................. 1,000 1,038,560
Los Angeles Department of Water & Power (RB) Series A
5.000%, 07/01/18............................. 2,375 2,388,371
5.000%, 07/01/18............................. 125 125,704
5.000%, 07/01/19............................. 4,230 4,393,616
165
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
5.000%, 07/01/19.............................. $2,250 $2,337,030
5.000%, 07/01/21.............................. 2,000 2,193,980
5.000%, 07/01/21.............................. 1,750 1,919,732
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/19.............................. 3,590 3,727,569
Los Angeles Unified School District (GO) Series A
4.000%, 07/01/18.............................. 1,000 1,003,870
5.000%, 07/01/19.............................. 5,530 5,741,910
5.000%, 07/01/19.............................. 4,000 4,153,280
5.000%, 07/01/21.............................. 3,500 3,837,190
Los Angeles Unified School District (GO) Series
A-2
5.000%, 07/01/21.............................. 2,200 2,411,948
Los Angeles Unified School District (GO) Series B
5.000%, 07/01/22.............................. 1,350 1,513,296
Los Angeles Unified School District (GO) Series
B-1
5.000%, 07/01/19.............................. 6,080 6,312,986
Los Angeles Unified School District (GO) Series C
5.000%, 07/01/20.............................. 1,895 2,026,001
5.000%, 07/01/22.............................. 5,560 6,232,538
5.000%, 07/01/23.............................. 2,000 2,285,540
Los Angeles Unified School District (GO) Series
KRY
5.000%, 07/01/19.............................. 3,390 3,519,905
Los Rios Community College District (GO) Series C
2.000%, 08/01/19.............................. 2,265 2,275,011
Los Rios Community College District (GO) Series F
2.000%, 08/01/19.............................. 2,740 2,752,111
2.000%, 08/01/20.............................. 2,365 2,377,416
Manhattan Beach Unified School District (GO)
Series A-MEASURE C
3.000%, 09/01/18.............................. 2,830 2,843,159
4.000%, 09/01/19.............................. 1,000 1,030,470
5.000%, 09/01/20.............................. 1,575 1,692,259
Manhattan Beach Unified School District (GO)
Series F
4.000%, 09/01/21.............................. 500 535,060
Metropolitan Water District of Southern
California (RB) Series C
5.000%, 07/01/19.............................. 3,000 3,116,040
Mount Diablo Unified School District (GO)
5.000%, 02/01/19.............................. 500 512,565
Municipal Improvement Corp. of Los Angeles (RB)
Series A
5.000%, 03/01/19.............................. 9,500 9,761,250
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Napa Valley Unified School District (GO) Series B
3.000%, 08/01/18............................. $1,000 $1,003,440
New Haven Unified School District (GO)
2.000%, 08/01/18............................. 730 730,723
New Haven Unified School District (GO) (AGM)
4.000%, 08/01/19............................. 1,430 1,470,927
New Haven Unified School District (GO) Series B (BAM)
5.000%, 08/01/21............................. 3,100 3,400,111
Newhall School District (GO)
--%, 08/01/18................................ 6,995 6,965,551
Northern California Power Agency (RB) Series A
5.000%, 07/01/19............................. 1,000 1,038,680
Oakland Unified School District/ Alameda County (GO)
5.000%, 08/01/19............................. 1,000 1,040,910
Oceanside Community Facilities District (ST)
(currency) 6.250%, 09/01/38 (Pre-refunded @ $100,
9/1/18)...................................... 2,325 2,359,317
Orange County Sanitation District (RB) Series A
5.000%, 02/01/24............................. 5,295 6,094,227
Padre Dam Municipal Water District (CP) Series A
(currency) 5.250%, 10/01/34 (Pre-refunded @ $100,
10/1/19)..................................... 6,100 6,394,142
Palm Springs Unified School District (GO) Series D
2.000%, 08/01/18............................. 3,360 3,363,326
3.000%, 08/01/20............................. 2,185 2,241,002
Palomar Community College District (GO)
5.000%, 05/01/23............................. 715 813,241
Pasadena Unified School District (GO)
5.000%, 05/01/20............................. 550 584,821
Peralta Community College District (GO)
5.000%, 08/01/18............................. 1,000 1,008,420
5.000%, 08/01/19............................. 2,220 2,311,664
Peralta Community College District (GO) Series B
5.000%, 08/01/22............................. 1,845 2,066,049
Poway Unified School District (GO)
3.250%, 08/01/18............................. 1,350 1,355,751
Redwood City School District (GO)
4.000%, 08/01/19............................. 1,000 1,028,620
4.000%, 08/01/20............................. 450 472,208
166
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Riverside County (RN)
2.000%, 06/29/18............................. $12,700 $12,708,128
Rowland Unified School District (GO) Series B
5.000%, 08/01/18............................. 525 529,489
Sacramento Municipal Utility District (RB) Series X
5.000%, 08/15/21............................. 750 824,205
San Diego County Water Authority Financing Corp. (CP)
Series 2008 A-COPS (AGM)
(currency) 5.000%, 05/01/28 (Pre-refunded @ $100,
5/1/18)...................................... 5,810 5,810,000
(currency) 5.000%, 05/01/38 (Pre-refunded @ $100,
5/1/18)...................................... 1,500 1,500,000
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/20............................. 1,385 1,473,820
5.000%, 05/01/21............................. 550 600,457
San Diego Public Facilities Financing Authority Sewer
Revenue (RB)
5.000%, 05/15/22............................. 4,425 4,951,840
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
5.000%, 05/15/18............................. 350 350,431
(currency) 5.000%, 05/15/22 (Pre-refunded @ $100,
5/15/19)..................................... 1,695 1,751,664
(currency) 5.250%, 05/15/24 (Pre-refunded @ $100,
5/15/20)..................................... 1,235 1,318,264
(currency) 5.250%, 05/15/39 (Pre-refunded @ $100,
5/15/19)..................................... 3,500 3,627,785
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series B
5.000%, 05/15/18............................. 3,650 3,654,489
(currency) 5.000%, 05/15/20 (Pre-refunded @ $100,
5/15/19)..................................... 2,400 2,481,480
San Diego Public Facilities Financing Authority Water
Revenue (RB) Series A (ETM)
5.000%, 08/01/18............................. 1,260 1,270,395
San Diego Public Facilities Financing Authority Water
Revenue (RB) Series B
(currency) 5.000%, 08/01/20 (Pre-refunded @ $100,
8/1/19)...................................... 1,045 1,086,560
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
San Diego Unified School District (GO) Series H-2
5.000%, 07/01/19.............................. $10,170 $10,559,714
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/23.............................. 2,000 2,285,540
San Diego Unified School District (RAN) Series A
3.000%, 06/29/18.............................. 15,730 15,764,134
San Francisco Bay Area Rapid Transit District
(GO) Series C
4.000%, 08/01/19.............................. 300 308,736
San Francisco Bay Area Rapid Transit District
(RB)
4.000%, 07/01/18.............................. 1,000 1,003,770
San Francisco Community College District (GO)
5.000%, 06/15/18.............................. 6,000 6,024,420
5.000%, 06/15/19.............................. 1,625 1,685,661
5.000%, 06/15/20.............................. 2,700 2,881,737
5.000%, 06/15/22.............................. 2,000 2,234,400
San Francisco Community College District (GO)
Series C
4.000%, 06/15/18.............................. 485 486,397
San Francisco County Transportation Authority
(RB)
3.000%, 02/01/20.............................. 5,000 5,109,600
San Francisco Unified School District (GO)
5.000%, 06/15/18.............................. 5,285 5,306,299
5.000%, 06/15/21.............................. 2,200 2,407,680
San Francisco Unified School District (GO)
Series A
2.000%, 06/15/18.............................. 6,140 6,142,886
San Francisco Unified School District (GO)
Series E
5.000%, 06/15/18.............................. 1,500 1,506,045
San Francisco Unified School District (GO)
Series F&C
2.000%, 06/15/22.............................. 1,750 1,750,665
San Jose Evergreen Community College District
(GO)
5.000%, 09/01/21.............................. 250 275,148
San Jose Unified School District (GO) Series E
5.000%, 08/01/18.............................. 400 403,420
San Juan Unified School District (GO)
2.000%, 08/01/19.............................. 14,330 14,388,036
3.000%, 08/01/22.............................. 1,200 1,247,616
San Leandro Unified School District (GO) Series B
4.000%, 08/01/21.............................. 265 281,663
San Luis Coastal Unified School District (GO)
Series B
4.000%, 08/01/18.............................. 2,615 2,630,951
167
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
San Mateo County Community College District (GO)
4.000%, 09/01/18............................. $ 775 $ 781,192
4.000%, 09/01/21............................. 1,310 1,399,224
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21............................. 4,225 4,503,005
Santa Clara County (GO) Series B
5.000%, 08/01/18............................. 5,000 5,042,100
Santa Clara County Financing Authority (RB) Series A
5.000%, 02/01/19............................. 3,610 3,702,344
Santa Monica Community College District (GO) Series A
5.000%, 08/01/19............................. 315 328,006
Sequoia Union High School District (RAN)
3.000%, 06/29/18............................. 7,785 7,803,295
Sonoma County (RB) Series A
5.000%, 09/01/19............................. 6,035 6,293,358
Sonoma Valley Unified School District (GO)
2.000%, 08/01/18............................. 1,200 1,201,428
3.000%, 08/01/19............................. 600 609,798
South Bay Union School District/ San Diego County (GO)
Series A (AGC)
(currency) 6.000%, 08/01/23 (Pre-refunded @ $100,
8/1/19)...................................... 700 736,876
South San Francisco Unified School District (GO) Series
G (ETM)
3.500%, 07/01/18............................. 27,075 27,157,308
Southern California Public Power Authority (RB)
5.000%, 07/01/20............................. 1,175 1,255,452
Southwestern Community College District (GO)
5.000%, 08/01/19............................. 2,230 2,321,229
State Helena Unified School District (GO)
4.000%, 08/01/18............................. 750 754,575
Tustin Unified School District (GO) Series B
(currency) 6.000%, 08/01/36 (Pre-refunded @ $100,
8/1/20)...................................... 1,500 1,689,690
Union Elementary School District (GO) Series A
3.000%, 09/01/18............................. 1,130 1,135,514
University of California (RB) Series O
(currency) 5.750%, 05/15/25 (Pre-refunded @ $100,
5/15/19)..................................... 2,000 2,082,200
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
(currency) 5.250%, 05/15/39 (Pre-refunded @ $100,
5/15/19)..................................... $ 1,615 $ 1,673,108
Upland Unified School District (GO) Series A (AGM)
(currency) 5.000%, 08/01/26 (Pre-refunded @ $100,
8/1/18)...................................... 1,450 1,461,962
Ventura County
4.000%, 07/02/18............................. 12,000 12,047,880
Victor Valley Community College District (GO) Series C
(currency) 5.750%, 08/01/44 (Pre-refunded @ $100,
8/1/19)...................................... 3,150 3,306,271
Walnut Valley Unified School District (GO) Series A
5.000%, 08/01/19............................. 3,050 3,174,775
West Contra Costa Unified School District (GO) (AGM)
5.000%, 08/01/18............................. 1,415 1,427,098
5.000%, 08/01/20............................. 820 877,515
5.000%, 08/01/21............................. 2,350 2,576,728
West Contra Costa Unified School District (GO) Series A
4.000%, 08/01/18............................. 2,135 2,147,596
West Contra Costa Unified School District (GO) Series B
6.000%, 08/01/21............................. 1,000 1,127,810
Westlands Water District (RB) Series A (AGM)
4.000%, 09/01/20............................. 1,045 1,095,024
Whittier Union High School District (GO) Series C
2.000%, 08/01/18............................. 1,480 1,481,761
Yolo County Washington Unified School District (GO)
4.000%, 08/01/20............................. 1,000 1,045,060
--------------
TOTAL MUNICIPAL BONDS.................................... 1,073,527,871
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,078,188,432).................................. $1,073,527,871
==============
168
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Municipal Bonds..... -- $1,073,527,871 -- $1,073,527,871
-- -------------- -- --------------
TOTAL............... -- $1,073,527,871 -- $1,073,527,871
== ============== == ==============
See accompanying Notes to Financial Statements.
169
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Albany Unified School District (GO)
4.000%, 08/01/21............................. $ 240 $ 255,715
Alhambra Unified School District (GO) Series A (ASSURED
GTY)
5.250%, 08/01/18............................. 375 378,360
Amador County Unified School District (GO)
4.000%, 08/01/19............................. 385 395,537
Anaheim Housing & Public Improvements Authority (RB)
(currency) 5.000%, 10/01/41 (Pre-refunded @ $100,
10/1/21)..................................... 960 1,056,566
Anaheim Union High School District (GO)
5.000%, 08/01/19............................. 855 889,978
5.000%, 08/01/23............................. 1,905 2,181,130
Antelope Valley Community College District (GO) Series A
5.000%, 08/01/24............................. 850 986,569
Antelope Valley Union High School District (GO)
4.000%, 08/01/21............................. 500 532,090
5.000%, 08/01/22............................. 1,650 1,844,832
Arcadia Unified School District (GO)
3.000%, 08/01/26............................. 1,035 1,085,146
Azusa Unified School District (GO)
4.000%, 07/01/21............................. 400 425,668
5.000%, 07/01/21............................. 825 903,152
Bay Area Toll Authority (RB) Series F-1
(currency) 5.125%, 04/01/39 (Pre-refunded @ $100,
4/1/19)...................................... 3,450 3,557,605
Berkeley Unified School District (GO)
5.000%, 08/01/19............................. 325 338,254
Berkeley Unified School District (GO) Series D
5.000%, 08/01/23............................. 600 686,004
Berryessa Union School District (GO) (AMBAC)
5.375%, 08/01/18............................. 200 201,894
Beverly Hills Unified School District (GO)
2.000%, 08/01/21............................. 145 145,726
2.000%, 08/01/22............................. 2,805 2,809,516
Buena Park School District (GO) (AGM)
2.500%, 08/01/21............................. 75 76,386
Burbank Unified School District (GO)
5.000%, 08/01/24............................. 300 349,152
Butte-Glenn Community College District (GO)
2.500%, 08/01/20............................. 550 558,800
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California Health Facilities Financing Authority (RB)
Series C
(currency) 6.500%, 10/01/33 (Pre-refunded @ $100,
10/1/18)..................................... $1,000 $1,019,480
California Infrastructure & Economic Dev. Bank (RB)
(AMBAC)
(currency) 5.000%, 07/01/36 (Pre-refunded @ $100,
1/1/28)...................................... 225 274,748
California Infrastructure & Economic Dev. Bank (RB)
(FGIC) (ETM)
5.000%, 07/01/25............................. 2,500 2,943,400
California Municipal Finance Authority (RB)
(currency) 5.750%, 01/01/33 (Pre-refunded @ $100,
1/1/22)...................................... 750 847,163
(currency) 6.000%, 01/01/42 (Pre-refunded @ $100,
1/1/22)...................................... 3,905 4,445,179
California State (GO)
5.000%, 09/01/19............................. 1,795 1,871,359
3.125%, 10/01/19............................. 100 101,897
5.000%, 10/01/19............................. 1,000 1,045,030
5.000%, 10/01/19............................. 500 522,515
4.000%, 11/01/19............................. 135 139,429
5.000%, 02/01/20............................. 1,200 1,265,508
5.250%, 02/01/20............................. 500 529,435
5.000%, 04/01/20............................. 900 953,577
5.000%, 08/01/20............................. 1,000 1,069,220
5.000%, 09/01/20............................. 1,000 1,071,500
5.000%, 10/01/20............................. 4,040 4,338,031
5.000%, 10/01/20............................. 1,375 1,476,434
5.000%, 11/01/20............................. 750 807,015
4.000%, 12/01/20............................. 750 789,863
5.000%, 12/01/20............................. 1,240 1,336,993
5.000%, 02/01/21............................. 700 757,211
5.000%, 04/01/21............................. 475 515,978
5.000%, 08/01/21............................. 1,750 1,915,952
5.000%, 08/01/21............................. 3,500 3,831,905
5.000%, 09/01/21............................. 175 191,949
5.000%, 09/01/21............................. 460 504,551
5.000%, 09/01/21............................. 3,705 4,063,829
5.000%, 10/01/21............................. 200 219,770
5.000%, 02/01/22............................. 2,575 2,848,542
5.000%, 04/01/22............................. 940 1,043,391
5.000%, 08/01/22............................. 1,250 1,397,062
4.000%, 09/01/22............................. 525 566,071
5.000%, 09/01/22............................. 625 699,638
5.250%, 09/01/22............................. 2,585 2,920,300
5.000%, 10/01/22............................. 1,000 1,121,170
5.250%, 10/01/22............................. 2,380 2,693,351
5.000%, 12/01/22............................. 1,245 1,400,127
170
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
5.000%, 02/01/23............................. $1,150 $1,296,015
5.000%, 09/01/23............................. 1,635 1,863,148
5.000%, 10/01/23............................. 100 114,106
5.000%, 11/01/23............................. 875 1,000,230
5.000%, 09/01/24............................. 1,000 1,156,280
5.000%, 11/01/24............................. 850 985,549
5.000%, 08/01/25............................. 1,000 1,173,420
5.000%, 08/01/25............................. 2,250 2,640,195
5.000%, 10/01/25............................. 1,000 1,176,350
5.000%, 08/01/26............................. 2,850 3,384,916
5.000%, 08/01/26............................. 1,000 1,187,690
5.000%, 08/01/26............................. 1,400 1,662,766
5.000%, 09/01/26............................. 305 362,517
3.500%, 08/01/27............................. 2,220 2,396,490
5.000%, 08/01/27............................. 6,250 7,515,500
California State (GO) Series A (ETM)
4.400%, 07/01/18............................. 410 411,845
5.000%, 07/01/19............................. 1,400 1,452,990
California State (GO) Series B
5.000%, 09/01/21............................. 1,060 1,162,661
5.000%, 09/01/21............................. 1,700 1,864,645
5.000%, 09/01/23............................. 2,285 2,603,849
California State Department of Water Resources (RB)
Series AM
5.000%, 12/01/22............................. 4,105 4,637,542
California State Department of Water Resources (RB)
Series AR
5.000%, 12/01/22............................. 3,210 3,626,433
5.000%, 12/01/23............................. 900 1,038,285
California State Department of Water Resources (RB)
Series AS
5.000%, 12/01/19............................. 530 557,242
5.000%, 12/01/22............................. 1,485 1,677,649
5.000%, 12/01/24............................. 1,000 1,171,320
California State Department of Water Resources (RB)
Series AS (ETM)
5.000%, 12/01/19............................. 15 15,744
5.000%, 12/01/22............................. 15 16,855
California State Department of Water Resources Power
Supply Revenue (RB) Series L
5.000%, 05/01/19............................. 925 955,895
5.000%, 05/01/20............................. 3,380 3,593,312
(currency) 5.000%, 05/01/22 (Pre-refunded @ $100,
5/1/20)...................................... 610 648,003
California State Department of Water Resources Power
Supply Revenue (RB) Series M
4.000%, 05/01/19............................. 455 465,715
California State Department of Water Resources Power
Supply Revenue (RB) Series O
5.000%, 05/01/21............................. 3,640 3,972,805
5.000%, 05/01/22............................. 5,190 5,795,881
California State Public Works Board (RB) (ETM)
5.000%, 09/01/20............................. 1,000 1,071,980
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
California State Public Works Board (RB) Series F (ETM)
5.000%, 10/01/20............................. $ 500 $ 537,255
California State Public Works Board (RB) Series H (ETM)
5.000%, 09/01/21............................. 1,740 1,911,460
California State University (RB) Series A
5.000%, 11/01/18............................. 2,500 2,542,050
5.000%, 11/01/19............................. 3,000 3,145,740
5.000%, 11/01/19............................. 450 471,861
5.000%, 11/01/20............................. 685 738,464
5.000%, 11/01/25............................. 1,015 1,203,506
5.000%, 11/01/25............................. 2,000 2,371,440
California State University (RB) Series C (AGM)
5.000%, 11/01/22............................. 100 112,795
California Statewide Communities Dev. Authority (RB)
(currency) 6.000%, 06/01/33 (Pre-refunded @ $100,
6/1/21)...................................... 1,295 1,451,047
Capistrano Unified School District School Facilities
Improvement District No. 1 (GO)
4.000%, 08/01/22............................. 170 183,126
Carlsbad Unified School District (GO)
5.000%, 08/01/21............................. 230 252,420
Central Marin Sanitation Agency (RB)
4.000%, 09/01/21............................. 1,425 1,521,586
Chabot-Las Positas Community College District (GO)
5.000%, 08/01/22............................. 900 1,008,999
4.000%, 08/01/23............................. 1,970 2,153,978
Chaffey Community College District (GO) Series E
4.000%, 06/01/22............................. 335 361,261
Chico Unified School District (GO) Series A-2
4.000%, 08/01/24............................. 250 275,205
Chino Valley Unified School District (GO) Series A
4.000%, 08/01/21............................. 200 213,226
Chula Vista Elementary School District (GO)
5.000%, 08/01/22............................. 1,835 2,054,851
Chula Vista Municipal Financing Authority (RB)
5.000%, 05/01/25............................. 250 291,815
City & County of San Francisco (GO) Series A
4.750%, 06/15/19............................. 545 563,470
5.000%, 06/15/20............................. 1,715 1,830,437
5.000%, 06/15/22............................. 2,200 2,463,384
City & County of San Francisco (GO) Series B
4.000%, 06/15/20............................. 800 837,280
171
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
City & County of San Francisco (GO) Series C
5.000%, 06/15/20............................. $ 575 $ 613,703
City & County of San Francisco (GO) Series D
5.000%, 06/15/20............................. 2,000 2,134,620
City & County of San Francisco (GO) Series R1
5.000%, 06/15/20............................. 500 533,655
5.000%, 06/15/21............................. 2,315 2,535,735
City of Grover Beach (GO)
5.000%, 09/01/23............................. 360 411,988
City of Long Beach Harbor Revenue (RB) Series B
5.000%, 05/15/19............................. 250 258,645
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18............................. 500 508,765
City of Los Angeles (GO) Series A
4.000%, 09/01/18............................. 780 786,178
5.000%, 09/01/20............................. 445 477,561
City of Los Angeles (GO) Series B
5.000%, 09/01/19............................. 600 626,250
City of Oakland (GO) Series A
5.000%, 01/15/25............................. 500 583,735
City of Pacifica
5.000%, 01/01/24............................. 250 282,808
City of Pasadena Electric Revenue (RB) Series A
5.000%, 06/01/22............................. 1,000 1,114,480
City of Riverside Water Revenue (RB) Series A
5.000%, 10/01/18............................. 300 304,248
City of Sacramento Unified School District (GO)
5.000%, 07/01/18............................. 300 301,698
5.000%, 07/01/24............................. 1,800 2,075,526
City of San Francisco Public Utilities Commission Water
Revenue (RB)
5.000%, 11/01/21............................. 865 955,937
5.000%, 11/01/22............................. 1,335 1,507,041
5.000%, 11/01/25............................. 1,000 1,191,030
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series B
5.000%, 11/01/19............................. 420 440,530
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series F
(currency) 5.000%, 11/01/23 (Pre-refunded @ $100,
11/1/20)..................................... 1,000 1,076,780
(currency) 5.500%, 11/01/30 (Pre-refunded @ $100,
11/1/20)..................................... 1,000 1,088,930
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Coachella Valley Unified School District (GO) (BAM)
4.000%, 08/01/22............................. $ 825 $ 889,746
Colton Joint Unified School District (GO)
5.000%, 08/01/21............................. 900 984,753
Conejo Valley Unified School District (GO)
2.000%, 08/01/18............................. 2,350 2,352,209
4.000%, 08/01/18............................. 115 115,673
Contra Costa CA Transportation Authority (RB) Series B
(currency) 5.000%, 03/01/23 (Pre-refunded @ $100,
3/1/20)...................................... 500 528,765
Contra Costa Water District (RB) Series Q
5.000%, 10/01/18............................. 220 223,106
Corona-Norco Unified School District (GO) Series B
3.000%, 08/01/23............................. 500 521,480
5.000%, 08/01/27............................. 150 181,889
Culver City School Facilities Financing Authority (RB)
(AGM)
5.500%, 08/01/26............................. 855 1,056,541
Cupertino Union School District (GO) Series B
4.000%, 08/01/21............................. 400 426,584
Davis Joint Unified School District (GO)
5.000%, 08/01/18............................. 420 423,536
Davis Joint Unified School District Community Facilities
District (ST) (AGM)
3.000%, 08/15/22............................. 1,000 1,030,050
Davis Joint Unified School District Community Facilities
District No. 2 (ST) (AGM)
3.000%, 08/15/19............................. 500 507,585
Dublin Unified School District (GO)
5.000%, 02/01/19............................. 425 435,680
5.000%, 08/01/22............................. 875 980,971
5.000%, 08/01/23............................. 1,665 1,902,779
East Bay Regional Park District (GO) Series A-1
5.000%, 09/01/27............................. 550 670,945
East Side Union High School District (GO)
4.000%, 08/01/21............................. 600 639,678
East Side Union High School District (GO) Series A
3.000%, 08/01/21............................. 575 594,999
East Side Union High School District (GO) Series D
3.000%, 08/01/19............................. 825 838,373
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/21............................. 1,285 1,364,130
172
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Enterprise Elementary School District (GO)
4.000%, 09/01/19............................. $ 500 $ 515,190
Fallbrook Union Elementary School District (GO)
Series A
5.000%, 08/01/20............................. 200 214,074
Folsom Cordova Unified School District School
Facilities Improvement Dist No. 5 (GO) Series C
5.000%, 10/01/25............................. 100 118,628
Folsom Cordova Unified School District School
Facilities Improvement Dist. No. 5 (GO) Series
B (AGM)
5.000%, 10/01/26............................. 250 300,940
Fontana Unified School District (GO)
5.000%, 08/01/19............................. 600 624,546
4.000%, 08/01/21............................. 1,585 1,688,786
4.000%, 08/01/22............................. 875 944,414
Fountain Valley Public Finance Authority (RB)
Series A
5.000%, 07/01/24............................. 250 289,825
Fresno Unified School District (GO) Series A
(AGM)
4.500%, 08/01/20............................. 480 508,406
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/24............................. 2,615 2,878,644
Grossmont Healthcare District (GO) Series C
5.000%, 07/15/23............................. 100 114,166
Grossmont Union High School District (GO)
5.000%, 08/01/27............................. 500 608,605
Grossmont Union High School District (GO) Series
A
5.000%, 08/01/18............................. 200 201,680
Hacienda La Puente Unified School District (GO)
(NATL-RE)
5.000%, 08/01/23............................. 225 257,132
Huntington Beach Public Financing Authority (RB)
4.000%, 09/01/18............................. 200 201,598
Jurupa Unified School District (GO) (AGM)
4.000%, 08/01/18............................. 235 236,422
5.000%, 08/01/20............................. 725 773,865
Kern High School District (GO) (AGM)
5.000%, 08/01/19............................. 250 260,228
Kern High School District (GO) Series A
3.000%, 08/01/20............................. 3,885 3,988,030
3.000%, 08/01/26............................. 895 937,683
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Kern High School District (GO) Series E
2.000%, 08/01/19.............................. $1,350 $1,355,467
2.000%, 08/01/20.............................. 2,435 2,446,177
3.000%, 08/01/21.............................. 465 480,875
Lakeside Union School District/San Diego County
(GO)
5.000%, 08/01/23.............................. 695 793,141
Lancaster Financing Authority (NATL) (ETM)
5.250%, 02/01/20.............................. 540 571,120
Liberty Union High School District (GO)
5.000%, 08/01/20.............................. 380 406,915
4.000%, 08/01/21.............................. 500 533,065
Lompoc Unified School District (GO) (ASSURED GTY)
5.250%, 08/01/20.............................. 540 580,959
Long Beach Unified School District (GO)
5.000%, 08/01/20.............................. 1,500 1,606,590
5.000%, 08/01/26.............................. 200 239,684
Los Altos Elementary School District (GO)
4.000%, 08/01/21.............................. 250 266,695
4.000%, 08/01/21.............................. 470 501,387
Los Angeles Community College District (GO)
Series A
5.000%, 08/01/23.............................. 340 388,736
5.000%, 08/01/24.............................. 250 290,325
Los Angeles Community College District (GO)
Series C
5.000%, 08/01/19.............................. 950 988,978
5.000%, 08/01/25.............................. 1,240 1,465,903
5.000%, 06/01/26.............................. 2,500 2,991,050
Los Angeles Community College District (GO)
Series G
5.000%, 08/01/23.............................. 650 743,171
Los Angeles Convention & Exhibit Center
Authority (RB) Series A (ETM)
4.500%, 08/15/18.............................. 300 302,439
Los Angeles County Metropolitan Transportation
Authority (RB)
5.000%, 07/01/20.............................. 300 320,211
Los Angeles County Metropolitan Transportation
Authority (RB) Series A
5.000%, 07/01/18.............................. 665 668,791
5.000%, 07/01/19.............................. 1,000 1,039,500
5.000%, 07/01/20.............................. 830 885,917
5.000%, 07/01/21.............................. 520 568,922
5.000%, 07/01/22.............................. 870 974,496
5.000%, 07/01/25.............................. 1,590 1,882,385
5.000%, 07/01/27.............................. 3,165 3,855,666
173
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Angeles County Metropolitan Transportation
Authority (RB) Series B
5.000%, 06/01/19.............................. $ 370 $ 383,620
5.000%, 06/01/20.............................. 500 532,520
5.000%, 07/01/20.............................. 525 560,138
Los Angeles County Metropolitan Transportation
Authority (RB) Series C
5.000%, 07/01/20.............................. 525 560,138
Los Angeles County Public Works Financing
Authority (RB) Series D
5.000%, 12/01/25.............................. 165 195,071
Los Angeles Department of Water (RB) Series B
5.000%, 07/01/20.............................. 500 534,790
5.000%, 07/01/22.............................. 435 487,987
Los Angeles Department of Water & Power (RB)
Series A
5.000%, 07/01/19.............................. 1,195 1,241,223
5.000%, 07/01/19.............................. 370 384,312
5.000%, 07/01/20.............................. 600 641,748
5.000%, 07/01/21.............................. 1,650 1,810,033
5.000%, 07/01/21.............................. 1,000 1,096,990
5.000%, 07/01/21.............................. 2,950 3,236,120
Los Angeles Department of Water & Power (RB)
Series D
4.000%, 07/01/19.............................. 1,000 1,027,200
Los Angeles Unified School District (GO) Series A
3.000%, 07/01/20.............................. 790 811,377
5.000%, 07/01/20.............................. 150 160,370
5.000%, 07/01/20.............................. 900 962,217
2.000%, 07/01/22.............................. 1,210 1,211,912
5.000%, 07/01/22.............................. 1,115 1,249,870
5.000%, 07/01/24.............................. 220 255,596
5.000%, 07/01/26.............................. 1,050 1,257,291
Los Angeles Unified School District (GO) Series
A-1
5.000%, 07/01/21.............................. 1,710 1,874,741
Los Angeles Unified School District (GO) Series
A-2
5.000%, 07/01/21.............................. 1,100 1,205,974
Los Angeles Unified School District (GO) Series
B-1
5.000%, 07/01/27.............................. 500 607,730
Los Angeles Unified School District (GO) Series C
5.000%, 07/01/22.............................. 500 560,480
5.000%, 07/01/23.............................. 3,050 3,485,448
Los Angeles Unified School District (GO) Series I
5.000%, 07/01/19.............................. 750 778,740
Los Rios Community College District (GO)
5.000%, 08/01/19.............................. 2,965 3,087,425
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Los Rios Community College District (GO) Series B
5.000%, 08/01/23.............................. $ 510 $ 583,379
Lynwood Unified School District (GO) (AGM)
5.000%, 08/01/21.............................. 450 491,783
5.000%, 08/01/22.............................. 485 540,596
Manhattan Beach Unified School District (GO)
Series C
3.500%, 09/01/21.............................. 1,185 1,249,037
Manhattan Beach Unified School District (GO)
Series E
3.000%, 09/01/22.............................. 560 583,582
Merced Union High School District (GO) Series A
(ASSURED GTY)
4.000%, 08/01/18.............................. 250 251,513
Metropolitan Water District of Southern
California (RB) Series A
5.000%, 07/01/19.............................. 1,090 1,132,161
Montebello Unified School District (GO)
5.000%, 08/01/20.............................. 415 442,402
Moreland School District (GO) Series B
5.000%, 08/01/21.............................. 500 549,070
Moreno Valley Public Financing Authority (RB)
5.000%, 11/01/20.............................. 1,470 1,579,882
Morongo Unified School District (GO)
3.000%, 08/01/22.............................. 480 497,261
Morongo Unified School District (GO) Series A
5.000%, 08/01/24.............................. 100 115,499
5.000%, 08/01/25.............................. 80 93,874
5.000%, 08/01/26.............................. 220 261,292
5.000%, 08/01/27.............................. 120 144,408
Mount Diablo Unified School District (GO)
3.250%, 08/01/19.............................. 500 509,705
Mount Diablo Unified School District (GO) Series
G
3.000%, 08/01/24.............................. 800 835,720
New Haven Unified School District (GO) (ASSURED
GTY)
5.000%, 08/01/19.............................. 95 98,886
New Haven Unified School District (GO) (ETM)
(ASSURED GTY)
5.000%, 08/01/19.............................. 55 57,222
Northern Humboldt Union High School District (GO)
4.000%, 08/01/26.............................. 220 246,715
Oak Park Unified School District (GO)
4.000%, 08/01/22.............................. 445 480,302
Oakland Joint Powers Financing Authority (RB)
Series B (ASSURED GTY)
4.500%, 08/01/18.............................. 500 503,600
174
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Oakland Unified School District/ Alameda County
(GO)
5.000%, 08/01/20............................. $1,005 $1,075,953
5.000%, 08/01/22............................. 1,500 1,681,020
5.000%, 08/01/24............................. 900 1,043,460
5.000%, 08/01/26............................. 575 688,614
Oakland Unified School District/ Alameda County
(GO) (AGM)
5.000%, 08/01/23............................. 300 342,681
5.000%, 08/01/24............................. 1,125 1,304,325
Oakland Unified School District/ Alameda County
(GO) Series A
5.000%, 08/01/21............................. 610 669,262
4.000%, 08/01/22............................. 350 378,063
5.000%, 08/01/22............................. 3,000 3,362,040
4.000%, 08/01/24............................. 500 550,715
5.000%, 08/01/25............................. 540 637,195
5.000%, 08/01/25............................. 750 884,993
Oakland Unified School District/ Alameda County
(GO) Series B
5.000%, 08/01/24............................. 1,675 1,941,995
Oakland Unified School District/ Alameda County
(GO) Series C
5.000%, 08/01/20............................. 255 273,003
5.000%, 08/01/26............................. 500 598,795
Oxnard Union High School District (GO)
4.000%, 08/01/21............................. 320 340,954
4.000%, 08/01/22............................. 500 539,665
Palm Springs Unified School District (GO)
5.000%, 08/01/19............................. 500 520,580
Palomar Community College District (GO)
5.000%, 05/01/21............................. 965 1,052,940
Palomar Community College District (GO) Series D
5.000%, 08/01/23............................. 150 171,501
Palos Verdes Peninsula Unified School District
(GO) Series B
5.000%, 11/01/21............................. 250 276,013
Pasadena Unified School District (GO) Series B
5.000%, 08/01/24............................. 800 928,024
Piedmont unified School District (GO)
3.000%, 08/01/20............................. 845 867,409
Plumas Unified School District (GO) (AGM)
5.250%, 08/01/21............................. 800 882,920
Porterville Unified School District Facilities
Improvement District (GO) Series B (AGM)
5.000%, 08/01/18............................. 450 453,825
5.000%, 08/01/19............................. 325 338,211
Poway Unified School District (GO)
5.000%, 08/01/19............................. 200 208,182
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
Rancho Santiago Community College District (GO) (AGM)
5.250%, 09/01/20............................. $ 500 $ 539,660
Redlands Financing Authority (RB) Series A
5.000%, 09/01/22............................. 1,290 1,449,173
Redlands Unified School District (GO)
5.000%, 07/01/26............................. 300 358,980
5.000%, 07/01/27............................. 500 607,270
Redwood City School District (GO)
5.000%, 08/01/27............................. 50 60,630
5.000%, 08/01/28............................. 85 104,360
Reed Union School District (GO)
4.000%, 08/01/27............................. 460 522,330
Regents of the University of California Medical Center
Pooled Revenue (RB) Series J
(currency) 5.250%, 05/15/29 (Pre-refunded @ $100,
5/15/23)..................................... 670 769,663
(currency) 5.000%, 05/15/33 (Pre-refunded @ $100,
5/15/23)..................................... 500 568,435
Riverside County Infrastructure Financing Authority (RB)
Series A
5.000%, 11/01/24............................. 1,100 1,267,541
Sacramento Municipal Utility District (RB) Series D
5.000%, 08/15/22............................. 525 589,601
Sacramento Municipal Utility District (RB) Series E
5.000%, 08/15/23............................. 650 744,179
Saddleback Valley Unified School District (GO)
5.000%, 08/01/22............................. 465 521,116
San Diego Community College District (GO)
5.000%, 08/01/24............................. 1,300 1,510,509
San Diego County Water Authority Financing Corp (RB)
Series A
(currency) 5.250%, 05/01/23 (Pre-refunded @ $100,
11/1/19)..................................... 1,395 1,467,052
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/21............................. 310 338,439
San Diego Public Facilities Financing Authority Sewer
Revenue (RB)
5.000%, 05/15/22............................. 700 783,342
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
4.000%, 05/15/20............................. 3,000 3,137,490
(currency) 5.250%, 05/15/24 (Pre-refunded @ $100,
5/15/20)..................................... 1,975 2,108,154
175
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
(currency) 5.375%, 05/15/34 (Pre-refunded @ $100,
5/15/19)..................................... $ 650 $ 674,564
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series B
(currency) 5.500%, 05/15/23 (Pre-refunded @ $100,
5/15/19)..................................... 500 519,270
San Diego Public Facilities Financing Authority Water
Revenue (RB) Series A
(currency) 5.000%, 08/01/23 (Pre-refunded @ $100,
8/1/20)...................................... 2,690 2,874,373
San Diego Unified School District (GO) Series C-2 (AGM)
5.500%, 07/01/21............................. 600 666,984
5.500%, 07/01/25............................. 2,550 3,101,055
San Diego Unified School District (GO) Series D-1 (NATL)
5.500%, 07/01/24............................. 190 226,313
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/20............................. 435 465,072
5.000%, 07/01/21............................. 1,705 1,869,260
5.000%, 07/01/22............................. 1,000 1,120,960
5.000%, 07/01/23............................. 300 342,831
San Diego Unified School District (GO) Series R-5
5.000%, 07/01/26............................. 110 132,169
San Dieguito Union High School District (GO) Series A-2
5.000%, 08/01/23............................. 490 560,237
San Francisco Bay Area Rapid Transit District (GO)
Series C
4.000%, 08/01/19............................. 325 334,464
San Francisco Bay Area Rapid Transit District Sales Tax
Revenue (RB)
4.000%, 07/01/26............................. 375 422,494
San Francisco City & County Airport Comm-San Francisco
International Airport (RB)
(currency) 5.000%, 05/01/21 (Pre-refunded @ $100,
5/1/20)...................................... 540 572,000
San Francisco City & County Airport Comm-San Francisco
International Airport (RB) Series D
(currency) 5.000%, 05/01/23 (Pre-refunded @ $100,
5/3/21)...................................... 875 948,465
San Francisco Community College District (GO)
5.000%, 06/15/20............................. 2,100 2,241,351
5.000%, 06/15/22............................. 2,070 2,312,604
5.000%, 06/15/23............................. 3,775 4,293,836
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
5.000%, 06/15/24............................. $1,365 $1,576,752
San Francisco Community College District (GO) Series D
5.000%, 06/15/20............................. 600 640,386
San Francisco County Transportation Authority (RB)
3.000%, 02/01/22............................. 2,000 2,074,760
San Francisco Municipal Transportation Agency (RB)
Series A
5.000%, 03/01/20............................. 860 910,594
San Francisco Unified School District (GO)
5.000%, 06/15/20............................. 725 773,800
5.000%, 06/15/21............................. 230 251,712
San Francisco Unified School District (GO) Series F&C
2.000%, 06/15/22............................. 1,580 1,580,600
San Joaquin County Transportation Authority (RB) Series A
(currency) 6.000%, 03/01/36
(Pre-refunded @ $100, 3/1/21)................ 335 372,275
San Jose Evergreen Community College District (GO)
5.000%, 09/01/21............................. 1,750 1,926,032
San Juan Unified School District (GO)
3.000%, 08/01/22............................. 1,480 1,538,726
5.000%, 08/01/22............................. 800 896,544
3.000%, 08/01/24............................. 610 637,237
3.000%, 08/01/25............................. 1,475 1,546,552
3.000%, 08/01/26............................. 3,135 3,291,719
San Juan Water District (RB)
5.000%, 02/01/26............................. 500 595,280
San Lorenzo Unified School District (GO)
5.000%, 08/01/21............................. 265 290,567
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21............................. 1,600 1,705,280
Santa Ana Unified School District (GO)
5.000%, 08/01/25............................. 350 413,959
Santa Ana Unified School District (GO) Series A
5.000%, 08/01/18............................. 275 277,296
Santa County Clara (GO) Series C
5.000%, 08/01/26............................. 900 1,080,072
5.000%, 08/01/27............................. 170 207,084
Santa Cruz City High School District (GO)
4.000%, 08/01/22............................. 715 772,629
Santa Monica Community College District (GO) Series A
5.000%, 08/01/22............................. 225 252,738
5.000%, 08/01/22............................. 400 449,312
176
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
5.000%, 08/01/26............................. $ 105 $ 126,271
Santa Monica Public Financing Authority (RB) Series B
4.000%, 12/01/19............................. 175 181,305
Simi Valley Unified School District (GO)
5.000%, 08/01/23............................. 260 297,268
Sonoma Valley Unified School District (GO) Series B
5.000%, 08/01/25............................. 500 591,090
South San Francisco Unified School District (GO) Series
G (ETM)
3.500%, 07/01/18............................. 3,700 3,711,248
Southern California Public Power Authority (RB)
5.000%, 07/01/18............................. 250 251,408
5.000%, 07/01/18............................. 150 150,845
4.000%, 07/01/19............................. 575 590,640
Standard Elementary School District (GO) Series A
4.000%, 08/01/24............................. 240 264,343
Stockton Unified School District (GO) (AGM)
5.000%, 07/01/20............................. 150 159,875
Sylvan Union School District (GO) Series C
5.000%, 08/01/26............................. 405 484,352
Tahoe Forest Hospital District (GO)
4.000%, 08/01/20............................. 295 309,290
Tustin Unified School District (GO)
(currency) 5.250%, 08/01/31 (Pre-refunded @ $100,
8/1/21)...................................... 415 458,430
University of California (RB) Series AF
(currency) 5.000%, 05/15/26 (Pre-refunded @ $100,
5/15/23)..................................... 400 453,724
University of California (RB) Series G
(currency) 5.000%, 05/15/37 (Pre-refunded @ $100,
5/15/22)..................................... 305 339,932
Upland Unified School District (GO) Series A
5.000%, 08/01/21............................. 500 548,405
Upper Santa Clara Valley Joint Powers Authority (RB)
Series A (ETM)
4.000%, 08/01/21............................. 1,125 1,196,831
Vista Unified School District (GO)
5.000%, 08/01/19............................. 200 208,182
Walnut Creek Elementary School District Contra Costa
County (GO)
4.000%, 09/01/25............................. 100 111,548
FACE
AMOUNT VALUE+
------ ------
(000)
CALIFORNIA -- (Continued)
West Contra Costa Unified School District (GO)
5.000%, 08/01/21.............................. $ 430 $ 471,486
West Contra Costa Unified School District (GO)
(AGM)
5.000%, 08/01/20.............................. 100 107,014
West Contra Costa Unified School District (GO)
Series A
5.000%, 08/01/24.............................. 1,095 1,268,853
West Contra Costa Unified School District (GO)
Series A-1
5.000%, 08/01/25.............................. 520 613,215
5.000%, 08/01/26.............................. 545 651,782
5.000%, 08/01/27.............................. 575 697,768
West Contra Costa Unified School District (GO)
Series B
6.000%, 08/01/20.............................. 1,475 1,610,788
West Covina Unified School District (GO) (AGM)
5.000%, 08/01/21.............................. 385 420,366
Western Riverside County Regional Wastewater
Authority (RB) (ASSURED GTY)
5.000%, 09/01/19.............................. 250 260,938
Westside Union School District (GO) Series A
3.000%, 08/01/21.............................. 300 310,050
4.000%, 08/01/23.............................. 700 763,917
Whittier Union High School District (GO) Series C
2.000%, 08/01/19.............................. 645 647,612
Windsor Unified School District (GO)
4.000%, 08/01/26.............................. 105 117,416
Wright Elementary School District (GO) Series A
3.000%, 08/01/20.............................. 165 167,548
Yolo County Washington Unified School District
(GO)
4.000%, 08/01/19.............................. 450 462,033
Yosemite Union High School District (GO) (AGM)
4.000%, 08/01/19.............................. 395 405,760
Yuba Community College District (GO) Series B
4.000%, 08/01/21.............................. 355 378,476
------------
TOTAL MUNICIPAL BONDS.............................. 394,079,303
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $397,006,918).............................. $394,079,303
============
177
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Municipal Bonds..... -- $394,079,303 -- $394,079,303
-- ------------ -- ------------
TOTAL............... -- $394,079,303 -- $394,079,303
== ============ == ============
See accompanying Notes to Financial Statements.
178
DFA NY MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
NEW YORK -- (100.0%)
Albany County (GO)
5.000%, 06/01/21............................. $ 370 $ 403,344
Amherst Central School District (GO) (ST AID WITHHLDG)
3.000%, 06/15/18............................. 350 350,518
Ardsley Union Free School District (GO) (ST AID WITHHLDG)
3.000%, 11/01/18............................. 200 201,272
2.250%, 08/15/23............................. 290 291,148
Babylon Union Free School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20............................. 290 290,537
Brewster Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/01/19............................. 100 100,291
Chappaqua Central School District (GO) (ST AID WITHHLDG)
2.125%, 06/15/19............................. 365 366,507
City of New York (GO)
4.000%, 08/01/18............................. 500 502,785
5.000%, 08/01/19............................. 900 935,451
(currency) 5.450%, 04/01/31.............................
(Pre-refunded @ $100, 4/1/19)................ 965 996,951
City of New York (GO) Series A
5.000%, 08/01/18............................. 250 252,005
5.000%, 08/01/23............................. 1,200 1,356,084
5.000%, 08/01/24............................. 620 709,881
5.000%, 08/01/25............................. 220 255,609
City of New York (GO) Series B
5.000%, 08/01/19............................. 115 119,530
5.000%, 08/01/21............................. 1,000 1,090,210
City of New York (GO) Series B-1
4.000%, 12/01/18............................. 2,000 2,026,200
City of New York (GO) Series C
5.000%, 08/01/20............................. 200 213,296
City of New York (GO) Series E
4.000%, 08/01/18............................. 200 201,114
5.000%, 08/01/18............................. 195 196,564
5.000%, 08/01/19............................. 1,050 1,091,359
5.000%, 08/01/21............................. 625 681,381
City of New York (GO) Series F
5.000%, 08/01/21............................. 300 327,063
City of New York (GO) Series F-1
5.000%, 06/01/21............................. 300 325,911
City of New York (GO) Series G
5.000%, 08/01/19............................. 625 649,619
City of New York (GO) Series I-Subseries 1-I
5.000%, 03/01/22............................. 265 292,210
City of New York (GO) Series J
5.000%, 08/01/19............................. 150 155,909
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
City of New York (GO) Series J7
5.000%, 08/01/20............................. $ 350 $ 373,268
City of Rochester (BAN) Series 3
2.500%, 08/02/18............................. 720 721,174
City of Rochester (GO) Series I
4.000%, 10/15/21............................. 675 718,423
Corning City School District (BAN) (ST AID WITHHLDG)
2.000%, 06/21/18............................. 2,050 2,050,635
Corning City School District (GO) (ST AID WITHHLDG)
5.000%, 06/15/19............................. 750 776,467
County of Columbia (GO) Series A (AGM)
2.000%, 02/01/19............................. 275 275,506
County of Onondaga (GO)
5.000%, 05/15/19............................. 115 118,880
Duanesburg Central School District (BAN)
2.250%, 07/20/18............................. 690 690,704
East Hampton Union Free School District (GO) (ST AID
WITHHLDG)
5.000%, 06/01/19............................. 850 879,427
East Islip Union Free School District (GO) (ST AID
WITHHLDG)
4.000%, 07/01/19............................. 240 246,161
Eastport-South Manor Central School District (GO) (ST
AID WITHHLDG)
4.000%, 08/01/23............................. 500 540,745
Erie County (RAN)
2.000%, 06/30/18............................. 1,200 1,200,444
Haverstraw-Stony Point Central School District (GO) (ST
AID WITHHLDG)
3.000%, 08/15/22............................. 200 205,844
3.000%, 08/15/23............................. 360 370,476
Herricks Union Free School District (GO) (ST AID
WITHHLDG)
4.000%, 06/15/21............................. 150 159,354
Hilton Central School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/21............................. 450 447,971
Lindenhurst Union Free School District (GO) (ST AID
WITHHLDG)
2.250%, 09/01/23............................. 195 194,025
Liverpool Central School District (GO) (ST AID WITHHLDG)
4.000%, 06/15/18............................. 150 150,408
Livingston County (GO)
4.000%, 05/01/18............................. 400 400,000
Long Island Power Authority (RB) Series A
(currency) 6.000%, 05/01/33............................. 1,000 1,040,410
179
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
Long Island Power Authority (RB) Series A BHAC-CR
(BHAC-CR)
(currency) 6.000%, 05/01/33 (Pre-refunded @ $100,
5/1/19)...................................... $ 400 $ 416,772
Longwood Central School District Suffolk County (GO) (ST
AID WITHHLDG)
2.000%, 06/15/21............................. 1,195 1,192,837
Metropolitan Transportation Authority (RB) Series A
5.000%, 11/15/21............................. 855 935,703
Metropolitan Transportation Authority (RB) Series A (ETM)
5.000%, 11/15/21............................. 145 159,674
Metropolitan Transportation Authority (RB) Series B
(NATL)
5.250%, 11/15/18............................. 1,285 1,309,582
Middle Country Central School District (GO) (ST AID
WITHHLDG)
2.000%, 08/15/21............................. 500 499,835
Middletown City School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20............................. 500 501,030
5.000%, 09/15/24............................. 130 150,183
Nassau County Interim Finance Authority (RB) Series A
5.000%, 11/15/21............................. 505 556,470
New Rochelle City School District (GO) (ST AID WITHHLDG)
4.000%, 06/01/18............................. 475 475,874
4.000%, 06/01/20............................. 300 312,726
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB)
(currency) 5.250%, 11/01/27............................. 485 493,221
(currency) 5.000%, 05/01/34 (Pre-refunded @ $100,
5/1/19)...................................... 1,000 1,032,090
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB) Series F-1
(currency) 5.000%, 05/01/24............................. 750 750,000
New York City Water & Sewer System (RB) Series AA
(currency) 5.000%, 06/15/20............................. 750 752,992
New York State (GO) Series C
5.000%, 04/15/22............................. 600 667,596
New York State Dormitory Authority (RB)
(currency) 6.125%, 12/01/29 (Pre-refunded @ $100,
12/1/18)..................................... 1,640 1,680,951
(currency) 6.000%, 07/01/33............................. 500 503,470
(currency) 6.250%, 12/01/37 (Pre-refunded @ $100,
12/1/18)..................................... 2,550 2,615,484
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Dormitory Authority (RB) (AGM ST
INTERCEPT)
(currency) 5.250%, 08/15/20............................. $ 360 $ 363,694
New York State Dormitory Authority (RB) (BHAC-CR)
(currency) 5.000%, 07/01/38............................. 345 346,832
New York State Dormitory Authority (RB) Series A
5.000%, 03/15/19............................. 1,650 1,695,886
5.000%, 07/01/20............................. 395 420,829
(currency) 5.000%, 07/01/21............................. 455 471,630
5.000%, 12/15/21............................. 150 165,081
5.000%, 10/01/22............................. 475 532,769
4.000%, 12/15/22............................. 100 107,635
5.000%, 12/15/22............................. 500 559,995
5.000%, 03/15/23............................. 650 732,628
5.000%, 03/15/23............................. 200 225,424
(currency) 5.500%, 07/01/25 (Pre-refunded @ $100,
7/1/20)...................................... 900 965,961
(currency) 5.000%, 02/15/34............................. 1,600 1,640,512
(currency) 5.000%, 07/01/39 (Pre-refunded @ $100,
7/1/19)...................................... 700 725,585
New York State Dormitory Authority (RB) Series A-GROUP A
5.000%, 03/15/19............................. 270 277,509
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/20............................. 2,690 2,835,690
5.000%, 02/15/22............................. 1,000 1,102,680
5.000%, 02/15/24............................. 455 518,013
5.000%, 02/15/25............................. 550 634,942
(currency) 5.000%, 07/01/38 (Pre-refunded @ $100,
7/1/18)...................................... 400 402,160
(currency) 5.250%, 07/01/48............................. 1,070 1,076,206
New York State Dormitory Authority (RB) Series B
(ASSURED GTY)
(currency) 5.000%, 07/01/23 (Pre-refunded @ $100,
7/1/18)...................................... 450 452,353
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19............................. 150 154,172
5.000%, 03/15/20............................. 300 316,938
New York State Dormitory Authority (RB) Series C (ST AID
WITHHLDG)
(currency) 7.250%, 10/01/28............................. 815 833,036
New York State Dormitory Authority (RB) Series D
3.000%, 02/15/19............................. 175 176,698
5.000%, 02/15/24............................. 300 341,547
New York State Dormitory Authority (RB) Series E
5.000%, 02/15/19............................. 1,390 1,425,084
5.000%, 08/15/19............................. 495 514,909
5.000%, 03/15/20............................. 850 897,991
5.000%, 03/15/21............................. 1,000 1,082,360
180
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
New York State Environmental Facilities Corp. (RB)
Series A
5.250%, 12/15/18............................. $ 260 $ 265,707
New York State Thruway Authority (RB) Series A
(currency) 5.000%, 03/15/26............................. 435 440,351
New York State Thruway Authority Highway & Bridge Trust
Fund (RB) Series B
(currency) 5.000%, 04/01/22............................. 415 420,615
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/19............................. 300 308,343
5.000%, 03/15/20............................. 560 591,618
5.000%, 03/15/20............................. 1,550 1,637,513
5.000%, 03/15/21............................. 300 324,708
5.000%, 03/15/22............................. 630 695,816
5.000%, 03/15/25............................. 1,200 1,387,428
New York State Urban Development Corp. (RB) Series A-1
5.000%, 03/15/21............................. 360 389,650
Niagara-Wheatfield Central School District (GO) (ST AID
WITHHLDG)
3.000%, 03/15/19............................. 330 333,511
North Shore Central School District (GO) (ST AID
WITHHLDG)
2.000%, 12/15/18............................. 740 741,354
2.000%, 12/15/22............................. 285 283,874
2.000%, 12/15/23............................. 550 544,500
North Tonawanda City School District (GO) (ST AID
WITHHLDG)
4.000%, 09/15/21............................. 650 691,704
Oceanside Union Free School District (GO) (ST AID
WITHHLDG)
2.500%, 07/01/23............................. 520 524,014
Onondaga Civic Dev. Corp. (RB)
(currency) 5.125%, 07/01/31............................. 1,375 1,427,222
Orange County
3.000%, 08/15/20............................. 665 681,126
3.000%, 08/15/21............................. 830 855,456
Penfield Central School District (GO) (ASSURED GTY) (ST
AID WITHHLDG)
3.750%, 06/15/19............................. 350 357,644
Plainview Old Bethpage Central School District
4.000%, 12/15/18............................. 320 324,531
Port Authority of New York & New Jersey (RB) Series 189
5.000%, 05/01/23............................. 305 345,824
Port Washington Union Free School District (GO) (ST AID
WITHHLDG)
2.000%, 12/01/18............................. 350 350,581
Ramapo Central School District (GO) (ST AID WITHHLDG)
5.000%, 10/15/21............................. 215 236,036
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
Riverhead Central School District (GO) (ST AID
WITHHLDG)
3.000%, 03/15/22............................. $ 120 $ 123,992
2.000%, 10/15/22............................. 280 279,051
Sachem Central School District (GO) (ST AID
WITHHLDG)
5.000%, 10/15/19............................. 200 209,164
Schenectady County (GO)
5.000%, 06/15/25............................. 140 164,188
Sewanhaka Central High School District of Elmont
(GO) (ST AID WITHHLDG)
3.000%, 07/15/23............................. 590 610,715
Sidney Central School District (ST AID WITHHLDG)
2.250%, 07/27/18............................. 225 225,295
Spencerport Central School District (GO) (ST AID
WITHHLDG)
2.000%, 06/15/21............................. 500 499,245
Taconic Hills Central School District at
Craryville (GO) (ST AID WITHHLDG)
5.000%, 06/15/20............................. 100 106,429
4.000%, 06/15/22............................. 250 268,135
Three Village Central School District
Brookhaven & Smithtown (GO) (ST AID WITHHLDG)
2.000%, 08/15/18............................. 380 380,304
Town of Babylon (GO)
3.000%, 07/01/25............................. 375 391,481
Town of Bedford (GO) Series A
3.000%, 03/15/21............................. 455 468,136
3.000%, 03/15/25............................. 330 343,316
Town of Brookhaven (GO) Series A
3.000%, 03/15/22............................. 650 671,625
Town of Cheektowaga (GO)
5.000%, 07/15/23............................. 265 300,166
Town of Clarence (GO)
2.250%, 08/01/24............................. 210 208,060
Town of Huntington (GO)
2.000%, 12/01/23............................. 220 217,129
Town of Huntington (GO) Series B
5.000%, 11/01/20............................. 2,280 2,453,326
Town of LaGrange (GO)
4.000%, 03/01/19............................. 280 285,214
4.000%, 03/01/20............................. 220 228,391
Town of North Hempstead (GO) Series A
3.000%, 04/01/24............................. 425 441,834
Triborough Bridge & Tunnel Authority (RB) Series
A
5.000%, 11/15/18............................. 140 142,485
5.000%, 11/15/20............................. 165 177,393
Triborough Bridge & Tunnel Authority (RB) Series
A-1
5.000%, 11/15/19............................. 300 314,571
181
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
Triborough Bridge & Tunnel Authority (RB) Series
B
4.000%, 11/15/18............................. $ 250 $ 253,108
5.000%, 11/15/18............................. 1,170 1,190,767
5.000%, 11/15/19............................. 700 733,999
5.000%, 11/15/20............................. 300 322,533
5.000%, 11/15/22............................. 190 213,283
Triborough Bridge & Tunnel Authority (RB) Series
C
4.000%, 11/15/18............................. 100 101,243
Tuckahoe Union Free School District (GO) (ST AID
WITHHLDG)
5.000%, 07/15/19............................. 145 150,475
5.000%, 07/15/21............................. 230 251,747
Ulster County (GO)
2.000%, 11/15/22............................. 240 236,030
Vestal Central School District (GO) (AGM) (ST
AID WITHHLDG)
3.750%, 06/15/19............................. 150 153,276
Wantagh Union Free School District (GO) (ST AID
WITHHLDG)
2.000%, 11/15/22............................. 250 249,030
FACE
AMOUNT VALUE+
------ ------
(000)
NEW YORK -- (Continued)
Webster Central School District (GO) (ST AID
WITHHLDG)
5.000%, 06/15/18............................. $310 $ 311,212
West Irondequoit Central School District (GO)
(ST AID WITHHLDG)
4.500%, 06/15/18............................. 125 125,406
West Islip Union Free School District (GO)
Series A (ST AID WITHHLDG)
4.000%, 10/01/18............................. 500 504,630
White Plains City School District (GO) Series B
(ST AID WITHHLDG)
3.750%, 05/15/18............................. 100 100,073
Wyoming County (GO)
2.000%, 06/01/18............................. 480 480,096
Yorktown Central School District (GO) (ST AID
WITHHLDG)
2.000%, 07/01/21............................. 400 398,532
-----------
TOTAL MUNICIPAL BONDS............................ 92,390,521
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $92,991,154)............................. $92,390,521
===========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ----------- ------- -----------
Municipal Bonds. -- $92,390,521 -- $92,390,521
-- ----------- -- -----------
TOTAL........... -- $92,390,521 -- $92,390,521
== =========== == ===========
See accompanying Notes to Financial Statements.
182
DFA MN MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (100.0%)
MINNESOTA -- (100.0%)
Belle Plaine Independent School District No. 716
(GO) Series A (SD CRED PROG)
4.000%, 02/01/19............................. $ 100 $ 101,646
Bloomington Independent School District No. 271
(GO) Series A (SD CRED PROG)
5.000%, 02/01/21............................. 100 107,950
Chaska Independent School District No. 112 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/21............................. 1,150 1,241,103
City of Bemidji (GO) Series A (AGM)
5.000%, 02/01/20............................. 530 557,152
5.000%, 02/01/21............................. 575 618,792
City of Cambridge (GO) Series A
3.000%, 02/01/23............................. 375 387,075
City of Chaska (GO) Series B
5.000%, 02/01/21............................. 385 415,392
City of Circle Pines (GO) Series B
3.000%, 02/01/21............................. 215 220,366
City of Duluth (GO) Series A
3.000%, 02/01/20............................. 240 244,637
City of East Grand Forks (GO) Series A
3.000%, 02/01/21............................. 200 204,238
City of Hopkins (GO) Series D
3.000%, 02/01/22............................. 130 133,956
City of Hutchinson (GO) Series C
2.000%, 02/01/19............................. 140 140,185
City of Kasson (GO)
4.000%, 02/01/23............................. 320 343,280
City of Kasson (GO) Series A
2.000%, 02/01/20............................. 160 160,107
City of Lakeville (GO) Series A
5.000%, 02/01/19............................. 605 619,653
5.000%, 02/01/20............................. 470 495,244
City of Lakeville (GO) Series B
5.000%, 02/01/24............................. 710 811,395
City of Mahtomedi (GO) Series A
2.000%, 02/01/19............................. 225 225,448
City of Marshall (GO) Series B
5.000%, 02/01/21............................. 110 118,714
City of Minneapolis (GO)
3.000%, 12/01/27............................. 5,000 5,126,300
City of New Ulm (GO)
2.000%, 12/01/18............................. 220 220,352
2.000%, 12/01/19............................. 325 325,806
City of Red Wing (GO) Series A
4.000%, 02/01/26............................. 700 767,830
City of Richfield (GO) Series A
3.000%, 02/01/24............................. 255 263,025
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
City of Rochester (GO) Series A
5.000%, 02/01/20............................. $1,000 $1,053,880
City of Savage (GO) Series A
3.000%, 02/01/22............................. 325 333,024
City of Shoreview (GO) Series A
3.000%, 02/01/21............................. 290 297,082
City of State Cloud (GO) Series A
3.000%, 02/01/24............................. 450 462,037
City of State Cloud (RB)
(currency) 5.125%, 05/01/30 (Pre-refunded @ $100,
5/1/20)...................................... 300 318,084
City of State Francis (GO) Series A
3.000%, 02/01/19............................. 275 277,249
3.000%, 02/01/20............................. 285 290,506
City of State Louis Park (RB) Series C
(currency) 5.750%, 07/01/30 (Pre-refunded @ $100,
7/1/18)...................................... 200 201,320
City of State Paul (GO) Series B
5.000%, 11/01/20............................. 835 896,990
City of State Paul Sewer Revenue (RB) Series C-GREEN
BONDS
3.000%, 12/01/19............................. 250 254,573
City of Waconia (GO) Series A
3.000%, 02/01/23............................. 450 463,059
3.000%, 02/01/26............................. 820 842,862
City of West State Paul (GO) Series A
3.000%, 02/01/23............................. 230 237,406
City of Woodbury (GO) Series A
2.000%, 02/01/20............................. 135 135,207
2.000%, 02/01/22............................. 145 144,271
Cloquet Independent School District No. 94 (GO) Series A
(SD CRED PROG)
5.000%, 04/01/22............................. 910 1,003,593
County of Itasca (GO) Series A
5.000%, 02/01/24............................. 545 616,875
County of Olmsted (GO) Series A
4.000%, 02/01/27............................. 445 481,882
County of Sherburne (GO) Series A
3.000%, 02/01/24............................. 1,360 1,402,799
County of Swift (GO) Series A
3.000%, 02/01/23............................. 215 221,239
Dakota County Community Development Agency (RB) Series B
(CNTY GTD)
5.000%, 01/01/23............................. 1,180 1,327,335
Eden Prairie Independent School District No. 272 (GO)
Series C (SD CRED PROG)
5.000%, 02/01/20............................. 1,105 1,163,167
Edina Independent School District No. 273 (GO) Series B
(SD CRED PROG)
5.000%, 02/01/20............................. 1,000 1,053,000
183
DFA MN MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
Fosston Independent School District No. 601 (GO) (SD
CRED PROG)
4.000%, 02/01/25............................. $ 550 $ 598,774
Hastings Independent School District No. 200 (GO) Series
A (SD CRED PROG)
5.000%, 02/01/21............................. 740 797,387
Hennepin County (GO) Series A
5.000%, 12/01/20............................. 400 430,760
5.000%, 12/01/22............................. 2,125 2,386,821
Hennepin County (GO) Series B
5.000%, 12/01/21............................. 2,000 2,202,660
Housing & Redevelopment Authority of The City of State
Paul Minnesota (RB)
(currency) 5.250%, 11/15/29 (Pre-refunded @ $100,
11/15/19).................................... 350 367,339
Itasca County (GO) Series A
5.000%, 02/01/23............................. 865 963,662
Lakeville Independent School District No. 194 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/20............................. 345 363,161
Luverne Independent School District No. 2184 (GO) Series
A (SD CRED PROG)
4.000%, 02/01/21............................. 510 536,841
Mahtomedi Independent School District No. 832 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/21............................. 175 188,913
Metropolitan Council (GO) Series C
4.000%, 03/01/20............................. 335 347,284
5.000%, 03/01/26............................. 1,550 1,830,023
Milaca Independent School District No. 912 (GO) Series A
(SD CRED PROG)
4.000%, 02/01/24............................. 830 895,321
Milaca Independent School District No. 912 (GO) Series A
(SD CRED PROG)
4.000%, 02/01/23............................. 825 883,105
Minneapolis Special School District No. 1 (GO) (SD CRED
PROG)
5.000%, 02/01/24............................. 1,200 1,371,372
Minnesota Higher Education Facilities Authority (RB)
Series 7-K2-HA
(currency) 6.000%, 10/01/40 (Pre-refunded @ $100,
10/1/21)..................................... 450 506,407
Minnesota Public Facilities Authority (RB) Series C
(currency) 3.250%, 03/01/24 (Pre-refunded @ $100,
3/1/20)...................................... 770 788,465
Minnesota State (GO)
5.000%, 08/01/20............................. 1,975 2,105,863
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
Minnesota State (GO) (ETM)
5.000%, 08/01/20............................. $ 25 $ 26,617
Minnesota State (GO) Series A
5.000%, 08/01/18............................. 125 126,009
5.000%, 10/01/20............................. 505 540,643
(currency) 5.000%, 08/01/23 (Pre-refunded @ $100,
8/1/20)...................................... 250 266,450
Minnesota State (GO) Series B
5.000%, 08/01/19............................. 1,500 1,558,890
5.000%, 08/01/19............................. 750 779,445
Minnesota State (GO) Series D
5.000%, 08/01/18............................. 800 806,456
5.000%, 08/01/19............................. 50 51,963
5.000%, 08/01/22............................. 1,820 2,027,061
Minnesota State (GO) Series F
5.000%, 10/01/18............................. 1,150 1,165,559
Minnesota State 911 Services Revenue (RB)
(currency) 5.000%, 06/01/20 (Pre-refunded @ $100,
6/1/19)...................................... 2,100 2,170,182
Minnesota State Colleges & Universities (RB) Series A
4.000%, 10/01/19............................. 100 103,127
Moorhead Independent School District No. 152 (GO) Series
A (SD CRED PROG)
4.000%, 02/01/24............................. 600 650,226
Morris Area Schools Independent School District No. 2769
(GO) Series A (SD CRED PROG)
4.000%, 02/01/23............................. 1,490 1,601,169
4.000%, 02/01/24............................. 300 324,777
New London-Spicer Independent School District No. 345
(GO) Series A (SD CRED PROG)
3.000%, 02/01/23............................. 150 154,080
New Prague Independent School District No. 721 (GO) (SD
CRED PROG)
4.000%, 02/01/20............................. 605 626,508
New Prague Independent School District No. 721 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/20............................. 320 336,048
North Branch Independent School District No. 138 (GO)
Series A (SD CRED PROG)
5.000%, 02/01/20............................. 300 315,792
North St Paul-Maplewood-Oakdale Independent School
District No. 622 (GO) Series A (SD CRED PROG)
3.000%, 02/01/24............................. 255 262,472
North St Paul-Maplewood-Oakdale Independent School
District No. 622 (GO) Series A (SD CRED PROG)
5.000%, 02/01/22............................. 255 280,732
184
DFA MN MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
Northfield Independent School District No. 659
(GO) Series A (SD CRED PROG)
4.000%, 02/01/21............................. $500 $508,455
Olmsted County (GO) Series A
5.000%, 02/01/24............................. 675 772,956
Pine City Independent School District No. 578
(GO) Series A (SD CRED PROG)
2.000%, 02/01/21............................. 300 299,358
Rice County (GO)
3.000%, 02/01/20............................. 220 224,250
Robbinsdale Independent School District No. 281
(GO) Series A (SD CRED PROG)
5.000%, 02/01/20............................. 250 263,118
Rochester Independent School District No. 535
(GO) Series B (SD CRED PROG)
5.000%, 02/01/20............................. 205 215,791
5.000%, 02/01/22............................. 210 231,191
Rockford Independent School District No. 883
(GO) Series A (SD CRED PROG)
5.000%, 02/01/19............................. 200 204,768
State Michael-Albertville Independent School
District No. 885 (GO) Series A (SD CRED PROG)
4.000%, 02/01/19............................. 150 152,457
4.000%, 02/01/19............................. 305 309,996
FACE
AMOUNT VALUE+
------ ------
(000)
MINNESOTA -- (Continued)
Three Rivers Park District (GO) Series C
5.000%, 02/01/21............................. $1,060 $ 1,143,973
University of Minnesota (RB) Series B
4.000%, 01/01/20............................. 700 724,766
Washington County (GO) Series A
5.000%, 02/01/19............................. 150 153,645
5.000%, 02/01/21............................. 310 334,989
Watertown-Mayer Independent School District
No. 111 (GO) Series B (SD CRED PROG)
4.000%, 02/01/20............................. 500 517,860
Westonka Independent School District No. 277
(GO) Series A (SD CRED PROG)
2.000%, 02/01/20............................. 500 500,680
White Bear Lake Independent School District
No. 624 (GO) Series A (SD CRED PROG)
3.000%, 02/01/23............................. 350 358,361
-----------
TOTAL MUNICIPAL BONDS............................ 65,982,064
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $67,642,564)............................. $65,982,064
===========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ----------- ------- -----------
Municipal Bonds. -- $65,982,064 -- $65,982,064
-- ----------- -- -----------
TOTAL........... -- $65,982,064 -- $65,982,064
== =========== == ===========
See accompanying Notes to Financial Statements.
185
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
DFA TWO-YEAR SELECTIVELY DFA FIVE-YEAR
DFA ONE-YEAR GLOBAL FIXED HEDGED GLOBAL GLOBAL FIXED
FIXED INCOME INCOME FIXED INCOME INCOME
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $374,672, $166,390, $21,361
and $56,052 of securities on loan, respectively)........... $ 7,946,027 $ 5,332,176 $ 1,161,011 $ 14,395,025
Temporary Cash Investments at Value & Cost.................. 79,176 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $378,833, $170,002, $21,907
and $57,309)............................................... 378,846 170,006 21,908 57,311
Foreign Currencies at Value................................. -- 112 17 5,164
Cash........................................................ -- 38,180 8,689 94,819
Receivables:
Investment Securities Sold................................ 74,526 42,540 -- 1,942
Interest.................................................. 30,538 29,536 7,307 81,343
Securities Lending Income................................. 45 27 4 13
Fund Shares Sold.......................................... 14,514 3,484 229 10,151
Unrealized Gain on Forward Currency Contracts............... -- 20,373 9,592 198,389
Prepaid Expenses and Other Assets........................... 108 95 21 163
-------------- -------------- -------------- --------------
Total Assets........................................... 8,523,780 5,636,529 1,208,778 14,844,320
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Due to Custodian.......................................... 154 -- -- --
Upon Return of Securities Loaned.......................... 378,873 170,003 21,909 57,328
Investment Securities Purchased........................... 89,348 53,157 5,016 40,279
Fund Shares Redeemed...................................... 23,917 2,613 176 10,676
Due to Advisor............................................ 985 665 145 3,024
Unrealized Loss on Forward Currency Contracts............... -- 276 -- 2,236
Unrealized Loss on Foreign Currency Contracts............... -- 11 -- 32
Accrued Expenses and Other Liabilities...................... 672 534 74 905
-------------- -------------- -------------- --------------
Total Liabilities...................................... 493,949 227,259 27,320 114,480
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 8,029,831 $ 5,409,270 $ 1,181,458 $ 14,729,840
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$8,029,831; $5,409,270; $1,181,458 and $14,729,840
and shares outstanding of 783,852,756; 547,042,580;
124,332,202 and 1,361,302,974, respectively................ $ 10.24 $ 9.89 $ 9.50 $ 10.82
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 4,000,000,000 4,000,000,000 1,000,000,000 6,600,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 7,987,179 $ 5,378,225 $ 1,174,265 $ 14,606,392
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ -- $ 112 $ 17 $ 5,184
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 8,078,642 $ 5,449,435 $ 1,263,046 $ 14,906,401
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 4,842 1,179 1,895 (23,905)
Accumulated Net Realized Gain (Loss)........................ (12,514) (15,268) (79,758) (136,336)
Net Unrealized Foreign Exchange Gain (Loss)................. -- 19,969 9,528 195,065
Net Unrealized Appreciation (Depreciation).................. (41,139) (46,045) (13,253) (211,385)
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 8,029,831 $ 5,409,270 $ 1,181,458 $ 14,729,840
============== ============== ============== ==============
----------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
186
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA WORLD EX DFA
U.S. DFA SHORT- INTERMEDIATE DFA SHORT-TERM
GOVERNMENT TERM GOVERNMENT EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $0, $0, $0 and $165,737
of securities on loan, respectively)....................... $ 1,007,480 $ 2,270,233 $ 4,773,709 $ 5,803,502
Temporary Cash Investments at Value & Cost.................. -- 6,202 21,392 --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $0 and $169,712).......... -- -- -- 169,716
Foreign Currencies at Value................................. 1,258 -- -- 450
Cash........................................................ 4,335 -- -- 36,780
Receivables:
Investment Securities Sold................................ 9,772 14,556 -- --
Interest.................................................. 8,913 10,415 45,096 39,009
Securities Lending Income................................. -- -- -- 28
Fund Shares Sold.......................................... 315 1,640 3,754 5,213
Unrealized Gain on Forward Currency Contracts............... 23,048 -- -- 34,284
Prepaid Expenses and Other Assets........................... 20 41 47 91
-------------- -------------- -------------- --------------
Total Assets........................................... 1,055,141 2,303,087 4,843,998 6,089,073
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- -- -- 169,706
Investment Securities Purchased........................... 13,247 14,458 10,770 10,433
Fund Shares Redeemed...................................... 775 5,386 1,792 3,766
Due to Advisor............................................ 149 319 397 960
Unrealized Loss on Forward Currency Contracts............... 241 -- -- 942
Unrealized Loss on Foreign Currency Contracts............... 2 -- -- --
Accrued Expenses and Other Liabilities...................... 64 166 304 324
-------------- -------------- -------------- --------------
Total Liabilities...................................... 14,478 20,329 13,263 186,131
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 1,040,663 $ 2,282,758 $ 4,830,735 $ 5,902,942
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$1,040,663; $2,282,758; $4,830,735 and $5,902,942
and shares outstanding of 101,495,242; 219,525,216;
403,155,251 and 552,105,862, respectively.................. $ 10.25 $ 10.40 $ 11.98 $ 10.69
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 1,700,000,000 3,000,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 979,235 $ 2,327,062 $ 4,963,134 $ 5,910,242
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ 1,261 $ -- $ -- $ 458
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 1,010,522 $ 2,339,393 $ 5,009,511 $ 5,966,132
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... (6,653) 4,128 13,141 15,895
Accumulated Net Realized Gain (Loss)........................ (14,171) (3,934) (2,492) (5,367)
Net Unrealized Foreign Exchange Gain (Loss)................. 22,723 -- -- 33,026
Net Unrealized Appreciation (Depreciation).................. 28,242 (56,829) (189,425) (106,744)
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 1,040,663 $ 2,282,758 $ 4,830,735 $ 5,902,942
============== ============== ============== ==============
----------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
187
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERMEDIATE- DFA GLOBAL
TERM EXTENDED DFA TARGETED CORE PLUS DFA
QUALITY CREDIT FIXED INCOME INVESTMENT
PORTFOLIO* PORTFOLIO* PORTFOLIO GRADE PORTFOLIO*
-------------- -------------- ------------ ----------------
ASSETS:
Investments at Value (including $170,170, $45,324, $0 and
$370,814 of securities on loan, respectively).............. $ 1,825,315 $ 579,484 $ 408,158 $ 8,358,483
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $174,250, $46,416, $0 and
$379,412).................................................. 174,251 46,416 -- 379,422
Foreign Currencies at Value................................. -- 55 112 --
Cash........................................................ 2,148 4,872 4,876 27,500
Receivables:
Investment Securities Sold................................ 78 -- -- 28,628
Interest.................................................. 17,676 4,986 3,873 78,778
Securities Lending Income................................. 41 10 -- 86
Fund Shares Sold.......................................... 2,756 673 667 14,596
Unrealized Gain on Forward Currency Contracts............... -- 1,766 6,335 6,409
Deferred Offering Costs..................................... -- -- 45 --
Prepaid Expenses and Other Assets........................... 32 29 18 149
-------------- -------------- ------------ --------------
Total Assets........................................... 2,022,297 638,291 424,084 8,894,051
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 174,275 46,419 -- 379,482
Investment Securities Purchased........................... -- 746 2,807 43,907
Fund Shares Redeemed...................................... 1,409 722 133 6,053
Due to Advisor............................................ 307 82 78 1,401
Unrealized Loss on Forward Currency Contracts............... -- -- 2 --
Unrealized Loss on Foreign Currency Contracts............... -- -- 4 --
Accrued Expenses and Other Liabilities...................... 86 33 6 360
-------------- -------------- ------------ --------------
Total Liabilities...................................... 176,077 48,002 3,030 431,203
-------------- -------------- ------------ --------------
NET ASSETS.................................................. $ 1,846,220 $ 590,289 $ 421,054 $ 8,462,848
============== ============== ============ ==============
Institutional Class Shares -- based on net assets of
$1,846,220; $590,289; $421,054 and $8,462,848 and
shares outstanding of 179,382,966; 59,904,701;
42,700,343 and 806,932,385, respectively................... $ 10.29 $ 9.85 $ 9.86 $ 10.49
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED................................. 2,000,000,000 1,000,000,000 500,000,000 2,000,000,000
============== ============== ============ ==============
Investments at Cost......................................... $ 1,903,839 $ 589,582 $ 417,036 $ 8,644,708
============== ============== ============ ==============
Foreign Currencies at Cost.................................. $ -- $ 55 $ 113 $ --
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 1,926,027 $ 598,321 $ 425,345 $ 8,731,431
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 2,091 3,018 865 30,043
Accumulated Net Realized Gain (Loss)........................ (3,375) (2,715) (2,561) (18,725)
Net Unrealized Foreign Exchange Gain (Loss)................. -- 1,763 6,284 6,314
Net Unrealized Appreciation (Depreciation).................. (78,523) (10,098) (8,879) (286,215)
-------------- -------------- ------------ --------------
NET ASSETS.................................................. $ 1,846,220 $ 590,289 $ 421,054 $ 8,462,848
============== ============== ============ ==============
----------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
188
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA DFA INFLATION- DFA SHORT-
DIVERSIFIED PROTECTED DURATION REAL
FIXED INCOME DFA LTIP SECURITIES RETURN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... $ 554,606 -- -- --
Investments at Value (including $0, $0, $0 and $89,842 of
securities on loan, respectively).......................... 137,013 $ 173,825 $ 4,589,295 $ 1,234,133
Temporary Cash Investments at Value & Cost.................. 2,671 -- 12,606 --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $0 and $91,879)........... -- -- -- 91,881
Foreign Currencies at Value................................. -- -- -- 95
Segregated Cash for Swap Contracts.......................... -- -- -- 11,843
Cash........................................................ -- 775 -- 15,853
Receivables:
Investment Securities Sold................................ -- -- -- 240
Interest.................................................. 259 323 10,705 8,294
Securities Lending Income................................. -- -- -- 18
Fund Shares Sold.......................................... 5,102 365 3,970 2,643
Unrealized Gain on Swap Contracts........................... -- -- -- 15,884
Unrealized Gain on Forward Currency Contracts............... -- -- -- 4,385
Prepaid Expenses and Other Assets........................... 48 13 50 31
-------------- -------------- -------------- --------------
Total Assets........................................... 699,699 175,301 4,616,626 1,385,300
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- -- -- 91,880
Investment Securities Purchased........................... -- 429 -- 7,502
Fund Shares Redeemed...................................... 616 9 8,323 827
Due to Advisor............................................ 10 18 381 209
Segregated Cash for Swap Contracts........................ -- -- -- 11,843
Unrealized Loss on Swap Contracts........................... -- -- -- 1,129
Accrued Expenses and Other Liabilities...................... 4 5 233 88
-------------- -------------- -------------- --------------
Total Liabilities...................................... 630 461 8,937 113,478
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 699,069 $ 174,840 $ 4,607,689 $ 1,271,822
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$699,069; $174,840; $4,607,689 and $1,271,822 and
shares outstanding of 73,349,939; 18,692,580;
397,546,983 and 128,904,343, respectively.................. $ 9.53 $ 9.35 $ 11.59 $ 9.87
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,000,000,000 1,500,000,000 1,500,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at Cost...... $ 570,189 $ -- $ -- $ --
============== ============== ============== ==============
Investments at Cost......................................... $ 139,147 $ 171,923 $ 4,618,592 $ 1,254,790
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 96
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 715,570 $ 172,308 $ 4,620,065 $ 1,286,332
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 936 1,194 23,568 3,174
Accumulated Net Realized Gain (Loss)........................ 280 (564) (6,647) (16,106)
Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- 4,323
Net Unrealized Appreciation (Depreciation).................. (17,717) 1,902 (29,297) (5,901)
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 699,069 $ 174,840 $ 4,607,689 $ 1,271,822
============== ============== ============== ==============
----------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
189
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA CALIFORNIA DFA SHORT-
DFA MUNICIPAL MUNICIPAL REAL TERM
REAL RETURN RETURN DFA MUNICIPAL MUNICIPAL
PORTFOLIO PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value................................. $ 772,773 $ 78,389 $ 409,032 $ 2,530,913
Segregated Cash for Swap Contracts................... 10,318 530 -- --
Cash................................................. 12,140 4,818 6,266 12,489
Receivables:
Interest........................................... 8,642 1,024 5,489 36,641
Fund Shares Sold................................... 940 -- 2,167 2,707
Unrealized Gain on Swap Contracts.................... 19,291 864 -- --
Deferred Offering Costs.............................. -- 30 -- --
Prepaid Expenses and Other Assets.................... 23 3 35 68
-------------- ------------ -------------- --------------
Total Assets.................................... 824,127 85,658 422,989 2,582,818
-------------- ------------ -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased.................... 2,029 -- 4,761 2,401
Fund Shares Redeemed............................... 686 -- 874 3,014
Due to Advisor..................................... 133 13 68 425
Due to Broker...................................... 24 -- -- --
Segregated Cash for Swap Contracts................. 10,318 530 -- --
Accrued Expenses and Other Liabilities............... 51 7 18 160
-------------- ------------ -------------- --------------
Total Liabilities............................... 13,241 550 5,721 6,000
-------------- ------------ -------------- --------------
NET ASSETS........................................... $ 810,886 $ 85,108 $ 417,268 $ 2,576,818
============== ============ ============== ==============
Institutional Class Shares -- based on net assets of
$810,886; $85,108; $417,268 and $2,576,818 and
shares outstanding of 82,692,554; 8,606,755;
41,819,048 and 255,127,154, respectively............ $ 9.81 $ 9.89 $ 9.98 $ 10.10
============== ============ ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 1,000,000,000 500,000,000 1,000,000,000 1,500,000,000
============== ============ ============== ==============
Investments at Cost.................................. $ 791,943 $ 79,993 $ 415,265 $ 2,546,095
============== ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 813,008 $ 85,809 $ 423,330 $ 2,591,381
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 423 39 199 942
Accumulated Net Realized Gain (Loss)................. (2,666) -- (28) (323)
Net Unrealized Appreciation (Depreciation)........... 121 (740) (6,233) (15,182)
-------------- ------------ -------------- --------------
NET ASSETS........................................... $ 810,886 $ 85,108 $ 417,268 $ 2,576,818
============== ============ ============== ==============
See accompanying Notes to Financial Statements.
190
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA DFA CALIFORNIA
INTERMEDIATE- DFA CALIFORNIA INTERMEDIATE-
TERM SHORT-TERM TERM
MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- --------------
ASSETS:
Investments at Value................................................ $ 1,731,200 $ 1,073,528 $ 394,079
Cash................................................................ 1,322 8,214 4,118
Receivables:
Interest.......................................................... 20,483 15,298 4,964
Fund Shares Sold.................................................. 4,366 2,062 1,665
Prepaid Expenses and Other Assets................................... 50 51 13
-------------- -------------- --------------
Total Assets................................................... 1,757,421 1,099,153 404,839
-------------- -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased................................... -- 5,575 1,597
Fund Shares Redeemed.............................................. 2,712 533 970
Due to Advisor.................................................... 289 180 65
Accrued Expenses and Other Liabilities.............................. 72 55 16
-------------- -------------- --------------
Total Liabilities.............................................. 3,073 6,343 2,648
-------------- -------------- --------------
NET ASSETS.......................................................... $ 1,754,348 $ 1,092,810 $ 402,191
============== ============== ==============
Institutional Class Shares -- based on net assets of $1,754,348;
$1,092,810 and $402,191 and shares outstanding of 176,123,095;
106,889,040 and 38,857,484, respectively........................... $ 9.96 $ 10.22 $ 10.35
============== ============== ==============
NUMBER OF SHARES AUTHORIZED......................................... 1,500,000,000 1,000,000,000 1,000,000,000
============== ============== ==============
Investments at Cost................................................. $ 1,752,341 $ 1,078,188 $ 397,007
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 1,774,663 $ 1,097,192 $ 404,934
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 941 384 205
Accumulated Net Realized Gain (Loss)................................ (115) (106) (20)
Net Unrealized Appreciation (Depreciation).......................... (21,141) (4,660) (2,928)
-------------- -------------- --------------
NET ASSETS.......................................................... $ 1,754,348 $ 1,092,810 $ 402,191
============== ============== ==============
See accompanying Notes to Financial Statements.
191
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA NY DFA MN
MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO
-------------- --------------
ASSETS:
Investments at Value................................................................ $ 92,391 $ 65,982
Cash................................................................................ 1,208 339
Receivables:
Interest.......................................................................... 1,197 801
Fund Shares Sold.................................................................. 11 1,065
Deferred Offering Costs............................................................. -- 17
Prepaid Expenses and Other Assets................................................... 14 5
-------------- ------------
Total Assets................................................................... 94,821 68,209
-------------- ------------
LIABILITIES:
Payables:
Investment Securities Purchased................................................... -- 336
Fund Shares Redeemed.............................................................. 93 1,087
Due to Advisor.................................................................... 17 10
Accrued Expenses and Other Liabilities.............................................. 7 7
-------------- ------------
Total Liabilities.............................................................. 117 1,440
-------------- ------------
NET ASSETS.......................................................................... $ 94,704 $ 66,769
============== ============
Institutional Class Shares -- based on net assets of $94,704 and $66,769 and shares
outstanding of 9,377,683 and 6,853,088, respectively............................... $ 10.10 $ 9.74
============== ============
NUMBER OF SHARES AUTHORIZED......................................................... 1,000,000,000 500,000,000
============== ============
Investments at Cost................................................................. $ 92,991 $ 67,643
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................................... $ 95,275 $ 68,423
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)............................................................................ 40 25
Accumulated Net Realized Gain (Loss)................................................ (11) (18)
Net Unrealized Appreciation (Depreciation).......................................... (600) (1,661)
-------------- ------------
NET ASSETS.......................................................................... $ 94,704 $ 66,769
============== ============
See accompanying Notes to Financial Statements.
192
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
SELECTIVELY
DFA ONE- DFA TWO- HEDGED DFA FIVE-
YEAR FIXED YEAR GLOBAL GLOBAL FIXED YEAR GLOBAL
INCOME FIXED INCOME INCOME FIXED INCOME
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
---------- ------------ ------------ ------------
INVESTMENT INCOME
Interest................................................ $ 65,581 $ 45,401 $ 9,750 $ 107,006
Income from Securities Lending.......................... 181 116 18 94
-------- -------- -------- ---------
Total Investment Income.............................. 65,762 45,517 9,768 107,100
-------- -------- -------- ---------
EXPENSES
Investment Management Fees.............................. 5,832 3,952 869 17,925
Accounting & Transfer Agent Fees........................ 238 219 40 689
Custodian Fees.......................................... 72 83 16 204
Filing Fees............................................. 93 68 20 143
Shareholders' Reports................................... 90 70 12 209
Directors'/Trustees' Fees & Expenses.................... 30 21 5 56
Professional Fees....................................... 45 32 7 86
Other................................................... 86 63 15 163
-------- -------- -------- ---------
Total Expenses....................................... 6,486 4,508 984 19,475
-------- -------- -------- ---------
Fees Paid Indirectly (Note C)........................... -- (24) -- (43)
-------- -------- -------- ---------
Net Expenses............................................ 6,486 4,484 984 19,432
-------- -------- -------- ---------
NET INVESTMENT INCOME (LOSS)............................ 59,276 41,033 8,784 87,668
-------- -------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.......................... (9,297) (18,021) (920) (56,213)
Affiliated Investment Companies Shares Sold........... (40) (14) (3) (18)
Foreign Currency Transactions......................... -- (79) (16) (178)
Forward Currency Contracts............................ -- 10,272 (6,289) (79,891)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ (30,665) (29,264) (12,750) (186,866)
Affiliated Investment Companies Shares................ 17 6 1 4
Translation of Foreign Currency Denominated Amounts... -- 61 (45) (791)
Forward Currency Contracts............................ -- (6,652) 12,169 121,553
-------- -------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)................. (39,985) (43,691) (7,853) (202,400)
-------- -------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................... $ 19,291 $ (2,658) $ 931 $(114,732)
======== ======== ======== =========
----------
**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.
193
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA WORLD EX DFA DFA SHORT-
U.S. DFA SHORT- INTERMEDIATE TERM
GOVERNMENT TERM GOVERNMENT EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO#
------------ ---------- ------------ ----------
INVESTMENT INCOME
Interest................................................. $ 5,845 $ 17,710 $ 53,895 $ 56,071
Income from Securities Lending........................... -- -- -- 101
-------- -------- --------- ---------
Total Investment Income............................... 5,845 17,710 53,895 56,172
-------- -------- --------- ---------
EXPENSES
Investment Management Fees............................... 886 1,906 2,351 5,728
Accounting & Transfer Agent Fees......................... 34 95 305 280
Custodian Fees........................................... 34 11 22 53
Filing Fees.............................................. 20 30 33 72
Shareholders' Reports.................................... 12 32 70 83
Directors'/Trustees' Fees & Expenses..................... 4 9 18 22
Professional Fees........................................ 6 14 28 34
Other.................................................... 11 26 52 64
-------- -------- --------- ---------
Total Expenses........................................ 1,007 2,123 2,879 6,336
-------- -------- --------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)............... (22) -- -- (35)
Fees Paid Indirectly (Note C)............................ (10) -- -- --
-------- -------- --------- ---------
Net Expenses............................................. 975 2,123 2,879 6,301
-------- -------- --------- ---------
NET INVESTMENT INCOME (LOSS)............................. 4,870 15,587 51,016 49,871
-------- -------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................... 15,648 (3,606) (2,209) (3,580)
Affiliated Investment Companies Shares Sold............ -- -- -- (8)
Foreign Currency Transactions.......................... 362 -- -- 38
Forward Currency Contracts............................. (29,817) -- -- (1,817)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............. 1,894 (39,797) (177,536) (107,915)
Affiliated Investment Companies Shares................. -- -- -- 3
Translation of Foreign Currency Denominated Amounts.... (185) -- -- (288)
Forward Currency Contracts............................. 12,530 -- -- 24,176
-------- -------- --------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS).................. 432 (43,403) (179,745) (89,391)
-------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $ 5,302 $(27,816) $(128,729) $ (39,520)
======== ======== ========= =========
----------
**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.
194
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
INTERMEDIATE-
TERM DFA GLOBAL DFA
EXTENDED DFA TARGETED CORE PLUS INVESTMENT
QUALITY CREDIT FIXED INCOME GRADE
PORTFOLIO# PORTFOLIO# PORTFOLIO(A) PORTFOLIO#
------------- ------------ ------------ ----------
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment
Companies...................................................... -- -- -- $ 2
-------- -------- ------- ---------
Total Net Investment Income Received from Affiliated
Investment Companies........................................ -- -- -- 2
-------- -------- ------- ---------
Interest........................................................ $ 30,536 $ 6,530 $ 1,756 110,115
Income from Securities Lending.................................. 211 47 -- 623
-------- -------- ------- ---------
Total Investment Income...................................... 30,747 6,577 1,756 110,740
-------- -------- ------- ---------
EXPENSES
Investment Management Fees...................................... 1,840 523 265 8,320
Accounting & Transfer Agent Fees................................ 69 32 4 300
Custodian Fees.................................................. 10 5 -- 47
Filing Fees..................................................... 31 20 5 148
Shareholders' Reports........................................... 20 8 2 99
Directors'/Trustees' Fees & Expenses............................ 7 2 -- 33
Professional Fees............................................... 11 4 1 49
Organizational & Offering Costs................................. -- -- 19 --
Other........................................................... 20 6 1 93
-------- -------- ------- ---------
Total Expenses............................................... 2,008 600 297 9,089
-------- -------- ------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................. 16 (50) (7) 65
-------- -------- ------- ---------
Net Expenses.................................................... 2,024 550 290 9,154
-------- -------- ------- ---------
NET INVESTMENT INCOME (LOSS).................................... 28,723 6,027 1,466 101,586
-------- -------- ------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. (3,346) (287) (2,542) (15,454)
Affiliated Investment Companies Shares Sold................... (24) (4) -- (82)
Foreign Currency Transactions................................. -- 24 (78) (5)
Forward Currency Contracts.................................... -- (2,448) 59 (432)
In-Kind Redemptions........................................... -- -- -- (1)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities**....................................... (90,693) (10,641) (8,879) (319,098)
Affiliated Investment Companies Shares........................ 4 -- -- 17
Translation of Foreign Currency Denominated Amounts........... -- 4 (49) (82)
Forward Currency Contracts.................................... -- 910 6,333 4,183
-------- -------- ------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (94,059) (12,442) (5,156) (330,954)
-------- -------- ------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $(65,336) $ (6,415) $(3,690) $(229,368)
======== ======== ======= =========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
(a)The Portfolio commenced operations on January 11, 2018.
See accompanying Notes to Financial Statements.
195
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
DFA INFLATION- DFA SHORT-
DIVERSIFIED PROTECTED DURATION REAL
FIXED INCOME DFA LTIP SECURITIES RETURN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO#
------------ --------- ---------- -------------
INVESTMENT INCOME
Income Distributions............................................ $ 4,622 -- -- --
-------- ------ -------- --------
Total Net Investment Income Received from Affiliated
Investment Companies........................................ 4,622 -- -- --
-------- ------ -------- --------
Interest........................................................ 1,819 $2,847 $ 73,247 $ 11,441
Income from Securities Lending.................................. -- -- -- 80
-------- ------ -------- --------
Total Investment Income...................................... 6,441 2,847 73,247 11,521
-------- ------ -------- --------
EXPENSES
Investment Management Fees...................................... 369 74 2,273 1,194
Accounting & Transfer Agent Fees................................ 7 5 149 52
Custodian Fees.................................................. 1 1 21 22
Filing Fees..................................................... 33 9 53 31
Shareholders' Reports........................................... 5 1 59 25
Directors'/Trustees' Fees & Expenses............................ 2 1 17 4
Professional Fees............................................... 2 1 26 8
Other........................................................... 2 2 49 14
-------- ------ -------- --------
Total Expenses............................................... 421 94 2,647 1,350
-------- ------ -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................. (301) 18 -- 20
-------- ------ -------- --------
Net Expenses.................................................... 120 112 2,647 1,370
-------- ------ -------- --------
NET INVESTMENT INCOME (LOSS).................................... 6,321 2,735 70,600 10,151
-------- ------ -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment Securities.. 302 -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. (21) (152) (4,690) (1,454)
Affiliated Investment Companies Shares Sold................... -- -- -- (8)
Swap Contracts................................................ -- -- -- 284
Foreign Currency Transactions................................. -- -- -- 8
Forward Currency Contracts.................................... -- -- -- 1,421
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... (1,816) (152) (84,476) (20,279)
Affiliated Investment Companies Shares........................ (13,476) -- -- 1
Swap Contracts................................................ -- -- -- 10,577
Translation of Foreign Currency Denominated Amounts........... -- -- -- (54)
Forward Currency Contracts.................................... -- -- -- 767
-------- ------ -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (15,011) (304) (89,166) (8,737)
-------- ------ -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $ (8,690) $2,431 $(18,566) $ 1,414
======== ====== ======== ========
----------
**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.
196
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA DFA
DFA CALIFORNIA DFA SHORT-TERM
MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
REAL RETURN REAL RETURN BOND BOND
PORTFOLIO PORTFOLIO(A) PORTFOLIO PORTFOLIO
----------- ------------ --------- ----------
INVESTMENT INCOME
Interest........................................................ $ 6,662 $ 478 $ 2,946 $ 16,474
-------- ------- ------- --------
Total Investment Income...................................... 6,662 478 2,946 16,474
-------- ------- ------- --------
EXPENSES
Investment Management Fees...................................... 775 63 380 2,548
Accounting & Transfer Agent Fees................................ 24 3 12 79
Custodian Fees.................................................. 23 6 2 12
Filing Fees..................................................... 22 2 23 71
Shareholders' Reports........................................... 5 -- 3 23
Directors'/Trustees' Fees & Expenses............................ 3 -- 1 10
Professional Fees............................................... 5 -- 2 15
Organizational & Offering Costs................................. -- 29 -- --
Other........................................................... 53 2 5 29
-------- ------- ------- --------
Total Expenses............................................... 910 105 428 2,787
-------- ------- ------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................. -- (10) 9 --
Fees Paid Indirectly (Note C)................................... (38) (2) (12) (78)
-------- ------- ------- --------
Net Expenses.................................................... 872 93 425 2,709
-------- ------- ------- --------
NET INVESTMENT INCOME (LOSS).................................... 5,790 385 2,521 13,765
-------- ------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. (24) -- (1) (218)
Swap Contracts................................................ 23 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities......................................... (22,234) (1,604) (7,893) (21,567)
Swap Contracts................................................ 11,472 864 -- --
-------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (10,763) (740) (7,894) (21,785)
-------- ------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS... $ (4,973) $ (355) $(5,373) $ (8,020)
======== ======= ======= ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
(a)The Portfolio commenced operations on November 1, 2017.
See accompanying Notes to Financial Statements.
197
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
DFA DFA CALIFORNIA
INTERMEDIATE- CALIFORNIA INTERMEDIATE-
TERM SHORT-TERM TERM
MUNICIPAL MUNICIPAL MUNICIPAL
BOND BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ---------- -------------
INVESTMENT INCOME
Interest............................................................. $ 14,693 $ 6,229 $ 3,052
-------- ------- -------
Total Investment Income........................................... 14,693 6,229 3,052
-------- ------- -------
EXPENSES
Investment Management Fees........................................... 1,702 1,048 368
Accounting & Transfer Agent Fees..................................... 57 29 11
Custodian Fees....................................................... 8 5 2
Filing Fees.......................................................... 53 14 11
Shareholders' Reports................................................ 17 8 3
Directors'/Trustees' Fees & Expenses................................. 7 4 1
Professional Fees.................................................... 10 6 2
Other................................................................ 22 12 5
-------- ------- -------
Total Expenses.................................................... 1,876 1,126 403
-------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... 23 -- 10
Fees Paid Indirectly (Note C)........................................ (51) (33) (10)
-------- ------- -------
Net Expenses......................................................... 1,848 1,093 403
-------- ------- -------
NET INVESTMENT INCOME (LOSS)......................................... 12,845 5,136 2,649
-------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... (10) (83) (11)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities.............................................. (39,996) (9,058) (8,168)
-------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (40,006) (9,141) (8,179)
-------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $(27,161) $(4,005) $(5,530)
======== ======= =======
----------
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
198
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA NY DFA MN
MUNICIPAL MUNICIPAL
BOND BOND
PORTFOLIO PORTFOLIO
--------- ---------
INVESTMENT INCOME
Interest.................................................................................. $ 649 $ 445
------- -------
Total Investment Income................................................................ 649 445
------- -------
EXPENSES
Investment Management Fees................................................................ 92 80
Accounting & Transfer Agent Fees.......................................................... 4 3
Custodian Fees............................................................................ 1 1
Filing Fees............................................................................... 10 3
Shareholders' Reports..................................................................... 1 --
Professional Fees......................................................................... 1 --
Organizational & Offering Costs........................................................... -- 38
Other..................................................................................... -- 2
------- -------
Total Expenses......................................................................... 109 127
------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. 5 (25)
Fees Paid Indirectly (Note C)............................................................. (4) (2)
------- -------
Net Expenses.............................................................................. 110 100
------- -------
NET INVESTMENT INCOME (LOSS).............................................................. 539 345
------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ (9) (18)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................................... (1,306) (1,362)
------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... (1,315) (1,380)
------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................. $ (776) $(1,035)
======= =======
----------
**Net of foreign capital gain taxes withheld of $0, and $0, respectively.
See accompanying Notes to Financial Statements.
199
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA SELECTIVELY
DFA ONE-YEAR FIXED DFA TWO-YEAR GLOBAL HEDGED GLOBAL FIXED
INCOME PORTFOLIO FIXED INCOME PORTFOLIO INCOME PORTFOLIO
------------------------ ---------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ---------- ---------- ---------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)....... $ 59,276 $ 78,106 $ 41,033 $ 60,188 $ 8,784 $ 18,914
Net Realized Gain (Loss) on:
Investment Securities Sold*....... (9,297) (3,170) (18,021) (9,125) (920) 1,096
Affiliated Investment
Companies Shares Sold............ (40) (5) (14) 10 (3) --
Foreign Currency
Transactions..................... -- -- (79) (6) (16) 32
Forward Currency Contracts........ -- -- 10,272 (15,260) (6,289) (1,675)
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities and
Foreign Currency................. (30,665) (11,738) (29,264) (12,838) (12,750) (6,683)
Affiliated Investment
Companies Shares Sold............ 17 (10) 6 (11) 1 --
Translation of Foreign Currency
Denominated Amounts.............. -- -- 61 (181) (45) (19)
Forward Currency Contracts........ -- -- (6,652) 25,152 12,169 (893)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations...................... 19,291 63,183 (2,658) 47,929 931 10,772
----------- ----------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares........ (54,425) (75,756) (48,469) (46,352) (19,847) (16,079)
Net Short-Term Gains:
Institutional Class Shares........ -- -- -- -- -- --
Net Long-Term Gains:
Institutional Class Shares........ -- (405) -- -- -- --
----------- ----------- ---------- ---------- ---------- ----------
Total Distributions.............. (54,425) (76,161) (48,469) (46,352) (19,847) (16,079)
----------- ----------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued...................... 2,573,266 3,802,547 766,129 1,413,377 143,413 273,288
Shares Issued in Lieu of Cash
Distributions..................... 50,750 70,974 44,566 42,763 19,805 16,054
Shares Redeemed.................... (2,017,062) (3,388,321) (551,948) (980,824) (100,569) (135,061)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share
Transactions.................... 606,954 485,200 258,747 475,316 62,649 154,281
----------- ----------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets...................... 571,820 472,222 207,620 476,893 43,733 148,974
NET ASSETS
Beginning of Period................ 7,458,011 6,985,789 5,201,650 4,724,757 1,137,725 988,751
----------- ----------- ---------- ---------- ---------- ----------
End of Period...................... $ 8,029,831 $ 7,458,011 $5,409,270 $5,201,650 $1,181,458 $1,137,725
=========== =========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................... 250,604 369,200 77,426 141,855 15,045 28,488
Shares Issued in Lieu of Cash
Distributions..................... 4,948 6,893 4,511 4,302 2,085 1,704
Shares Redeemed.................... (196,480) (328,963) (55,792) (98,424) (10,565) (14,096)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................ 59,072 47,130 26,145 47,733 6,565 16,096
=========== =========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)........... $ 4,842 $ (9) $ 1,179 $ 8,617 $ 1,895 $ 12,958
DFA
FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
------------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)....... $ 87,668 $ 218,002
Net Realized Gain (Loss) on:
Investment Securities Sold*....... (56,213) 9,356
Affiliated Investment
Companies Shares Sold............ (18) (14)
Foreign Currency
Transactions..................... (178) (118)
Forward Currency Contracts........ (79,891) (29,234)
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities and
Foreign Currency................. (186,866) (135,610)
Affiliated Investment
Companies Shares Sold............ 4 (11)
Translation of Foreign Currency
Denominated Amounts.............. (791) (286)
Forward Currency Contracts........ 121,553 73,100
----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations...................... (114,732) 135,185
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares........ (152,047) (219,966)
Net Short-Term Gains:
Institutional Class Shares........ -- (5,423)
Net Long-Term Gains:
Institutional Class Shares........ (9,220) (42,519)
----------- -----------
Total Distributions.............. (161,267) (267,908)
----------- -----------
Capital Share Transactions (1):
Shares Issued...................... 2,141,783 3,690,788
Shares Issued in Lieu of Cash
Distributions..................... 152,345 253,124
Shares Redeemed.................... (1,373,405) (2,323,448)
----------- -----------
Net Increase (Decrease) from
Capital Share
Transactions.................... 920,723 1,620,464
----------- -----------
Total Increase (Decrease) in
Net Assets...................... 644,724 1,487,741
NET ASSETS
Beginning of Period................ 14,085,116 12,597,375
----------- -----------
End of Period...................... $14,729,840 $14,085,116
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................... 197,153 336,497
Shares Issued in Lieu of Cash
Distributions..................... 13,989 23,294
Shares Redeemed.................... (126,505) (211,994)
----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................ 84,637 147,797
=========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)........... $ (23,905) $ 40,474
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
200
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA WORLD EX U.S. DFA INTERMEDIATE
GOVERNMENT FIXED DFA SHORT-TERM GOVERNMENT FIXED
INCOME PORTFOLIO GOVERNMENT PORTFOLIO INCOME PORTFOLIO
--------------------- ---------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2018 2017 2018 2017 2018 2017
---------- --------- ---------- ---------- ---------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 4,870 $ 8,807 $ 15,587 $ 25,234 $ 51,016 $ 86,271
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... 15,648 (7,868) (3,606) (293) (2,209) 5,070
Affiliated Investment Companies
Shares Sold......................... -- -- -- -- -- --
Foreign Currency Transactions........ 362 88 -- -- -- --
Forward Currency Contracts........... (29,817) (35,520) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 1,894 41,145 (39,797) (26,421) (177,536) (118,697)
Affiliated Investment Companies
Shares Sold......................... -- -- -- -- -- --
Translation of Foreign Currency
Denominated Amounts................. (185) 371 -- -- -- --
Forward Currency Contracts........... 12,530 5,671 -- -- -- --
---------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 5,302 12,694 (27,816) (1,480) (128,729) (27,356)
---------- --------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (1,574) (19,386) (14,017) (24,390) (47,139) (85,509)
Net Short-Term Gains:
Institutional Class Shares........... -- (1,312) -- (720) -- (3,003)
Net Long-Term Gains:
Institutional Class Shares........... -- (551) -- (4,717) (5,000) (6,710)
---------- --------- ---------- ---------- ---------- ----------
Total Distributions................. (1,574) (21,249) (14,017) (29,827) (52,139) (95,222)
---------- --------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................... 171,131 310,507 367,819 656,942 742,197 1,485,982
Shares Issued in Lieu of Cash
Distributions........................ 1,534 20,926 13,138 27,900 49,261 89,994
Shares Redeemed....................... (69,370) (161,902) (278,207) (526,204) (409,696) (635,193)
---------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions......... 103,295 169,531 102,750 158,638 381,762 940,783
---------- --------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets............................. 107,023 160,976 60,917 127,331 200,894 818,205
NET ASSETS
Beginning of Period................... 933,640 772,664 2,221,841 2,094,510 4,629,841 3,811,636
---------- --------- ---------- ---------- ---------- ----------
End of Period......................... $1,040,663 $ 933,640 $2,282,758 $2,221,841 $4,830,735 $4,629,841
========== ========= ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 16,767 30,894 35,057 61,811 60,778 119,215
Shares Issued in Lieu of Cash
Distributions........................ 149 2,118 1,253 2,635 4,018 7,275
Shares Redeemed....................... (6,804) (16,144) (26,531) (49,508) (33,557) (51,024)
---------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 10,112 16,868 9,779 14,938 31,239 75,466
========== ========= ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS OF
NET INVESTMENT INCOME)................. $ (6,653) $ (9,949) $ 4,128 $ 2,558 $ 13,141 $ 9,264
DFA
SHORT-TERM EXTENDED
QUALITY PORTFOLIO
-----------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
---------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 49,871 $ 95,353
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... (3,580) 4,711
Affiliated Investment Companies
Shares Sold......................... (8) 13
Foreign Currency Transactions........ 38 (12)
Forward Currency Contracts........... (1,817) (5,021)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ (107,915) (38,269)
Affiliated Investment Companies
Shares Sold......................... 3 (12)
Translation of Foreign Currency
Denominated Amounts................. (288) (28)
Forward Currency Contracts........... 24,176 9,166
---------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... (39,520) 65,901
---------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares........... (39,413) (84,608)
Net Short-Term Gains:
Institutional Class Shares........... -- (4)
Net Long-Term Gains:
Institutional Class Shares........... (4,055) (4)
---------- -----------
Total Distributions................. (43,468) (84,616)
---------- -----------
Capital Share Transactions (1):
Shares Issued......................... 1,015,278 1,860,954
Shares Issued in Lieu of Cash
Distributions........................ 42,621 82,823
Shares Redeemed....................... (631,733) (1,088,768)
---------- -----------
Net Increase (Decrease) from
Capital Share Transactions......... 426,166 855,009
---------- -----------
Total Increase (Decrease) in Net
Assets............................. 343,178 836,294
NET ASSETS
Beginning of Period................... 5,559,764 4,723,470
---------- -----------
End of Period......................... $5,902,942 $ 5,559,764
========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 94,504 172,020
Shares Issued in Lieu of Cash
Distributions........................ 3,962 7,658
Shares Redeemed....................... (58,862) (100,624)
---------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 39,604 79,054
========== ===========
UNDISTRIBUTED NET INVESTMENT
INCOME (DISTRIBUTIONS IN EXCESS OF
NET INVESTMENT INCOME)................. $ 15,895 $ 5,437
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
201
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERMEDIATE- DFA GLOBAL
TERM EXTENDED DFA TARGETED CORE PLUS FIXED
QUALITY PORTFOLIO CREDIT PORTFOLIO INCOME PORTFOLIO
---------------------- -------------------- ----------------
PERIOD
JAN. 11,
SIX MONTHS YEAR SIX MONTHS YEAR 2018(A)
ENDED ENDED ENDED ENDED TO
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30,
2018 2017 2018 2017 2018
----------- ---------- ----------- -------- ----------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............. $ 28,723 $ 47,210 $ 6,027 $ 9,907 $ 1,466
Net Realized Gain (Loss) on:
Investment Securities Sold*.............. (3,346) 5,720 (287) 793 (2,542)
Affiliated Investment Companies Shares
Sold.................................... (24) (2) (4) -- --
Foreign Currency Transactions............ -- -- 24 (7) (78)
Forward Currency Contracts............... -- -- (2,448) (137) 59
In-Kind Redemptions...................... -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ (90,693) (17,528) (10,641) (1,972) (8,879)
Affiliated Investment Companies Shares
Sold.................................... 4 (8) -- (1) --
Translation of Foreign Currency
Denominated Amounts..................... -- -- 4 3 (49)
Forward Currency Contracts............... -- -- 910 844 6,333
---------- ---------- -------- -------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. (65,336) 35,392 (6,415) 9,430 (3,690)
---------- ---------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares............... (27,081) (46,418) (3,708) (9,264) (601)
Net Short-Term Gains:
Institutional Class Shares............... -- (339) -- -- --
Net Long-Term Gains:
Institutional Class Shares............... (5,639) (2,020) (906) -- --
---------- ---------- -------- -------- --------
Total Distributions..................... (32,720) (48,777) (4,614) (9,264) (601)
---------- ---------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued............................. 350,501 671,617 128,074 228,033 431,469
Shares Issued in Lieu of Cash
Distributions............................ 30,747 45,412 4,469 8,916 601
Shares Redeemed........................... (241,863) (312,794) (45,813) (79,106) (6,725)
---------- ---------- -------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions..................... 139,385 404,235 86,730 157,843 425,345
---------- ---------- -------- -------- --------
Total Increase (Decrease) in Net
Assets................................. 41,329 390,850 75,701 158,009 421,054
NET ASSETS
Beginning of Period....................... 1,804,891 1,414,041 514,588 356,579 --
---------- ---------- -------- -------- --------
End of Period............................. $1,846,220 $1,804,891 $590,289 $514,588 $421,054
========== ========== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 33,079 62,563 12,910 22,826 43,320
Shares Issued in Lieu of Cash
Distributions............................ 2,904 4,238 449 893 61
Shares Redeemed........................... (22,998) (29,251) (4,623) (7,910) (681)
---------- ---------- -------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed.................... 12,985 37,550 8,736 15,809 42,700
========== ========== ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 2,091 $ 449 $ 3,018 $ 699 $ 865
DFA INVESTMENT GRADE
PORTFOLIO
------------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............. $ 101,586 $ 165,935
Net Realized Gain (Loss) on:
Investment Securities Sold*.............. (15,454) 4,461
Affiliated Investment Companies Shares
Sold.................................... (82) 4
Foreign Currency Transactions............ (5) 12
Forward Currency Contracts............... (432) (4,776)
In-Kind Redemptions...................... (1) --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ (319,098) (83,455)
Affiliated Investment Companies Shares
Sold.................................... 17 (43)
Translation of Foreign Currency
Denominated Amounts..................... (82) (13)
Forward Currency Contracts............... 4,183 2,226
----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. (229,368) 84,351
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............... (96,751) (150,794)
Net Short-Term Gains:
Institutional Class Shares............... -- --
Net Long-Term Gains:
Institutional Class Shares............... -- --
----------- -----------
Total Distributions..................... (96,751) (150,794)
----------- -----------
Capital Share Transactions (1):
Shares Issued............................. 1,882,683 3,121,375
Shares Issued in Lieu of Cash
Distributions............................ 95,521 148,903
Shares Redeemed........................... (1,374,527) (1,212,334)
----------- -----------
Net Increase (Decrease) from Capital
Share Transactions..................... 603,677 2,057,944
----------- -----------
Total Increase (Decrease) in Net
Assets................................. 277,558 1,991,501
NET ASSETS
Beginning of Period....................... 8,185,290 6,193,789
----------- -----------
End of Period............................. $ 8,462,848 $ 8,185,290
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 175,950 288,163
Shares Issued in Lieu of Cash
Distributions............................ 8,901 13,835
Shares Redeemed........................... (128,760) (112,043)
----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed.................... 56,091 189,955
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 30,043 $ 25,208
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
202
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA DIVERSIFIED DFA INFLATION-
FIXED INCOME DFA LTIP PROTECTED SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- -------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2018 2017 2018 2017 2018 2017
----------- -------- ----------- -------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............... $ 6,321 $ 5,387 $ 2,735 $ 2,612 $ 70,600 $ 84,591
Capital Gain Distributions Received from
Investment Securities..................... 302 215 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*............... (21) (50) (152) (56) (4,690) (187)
Affiliated Investment Companies Shares
Sold..................................... -- -- -- -- -- --
Swap Contracts............................ -- -- -- -- -- --
Foreign Currency Transactions............. -- -- -- -- -- --
Forward Currency Contracts................ -- -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. (1,816) (351) (152) (2,773) (84,476) (85,390)
Affiliated Investment Companies Shares
Sold..................................... (13,476) (1,586) -- -- -- --
Swap Contracts............................ -- -- -- -- -- --
Translation of Foreign Currency
Denominated Amounts...................... -- -- -- -- -- --
Forward Currency Contracts................ -- -- -- -- -- --
-------- -------- -------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... (8,690) 3,615 2,431 (217) (18,566) (986)
-------- -------- -------- -------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................ (5,638) (5,141) (1,899) (2,365) (58,443) (77,872)
Net Short-Term Gains:
Institutional Class Shares................ -- -- -- (50) -- (141)
Net Long-Term Gains:
Institutional Class Shares................ (98) -- -- -- -- (8,865)
-------- -------- -------- -------- ---------- ----------
Total Distributions...................... (5,736) (5,141) (1,899) (2,415) (58,443) (86,878)
-------- -------- -------- -------- ---------- ----------
Capital Share Transactions (1):
Shares Issued.............................. 253,100 477,812 60,991 73,479 898,008 1,690,026
Shares Issued in Lieu of Cash
Distributions............................. 5,735 5,141 1,899 2,415 51,449 77,379
Shares Redeemed............................ (75,356) (63,972) (13,173) (11,938) (624,060) (834,307)
-------- -------- -------- -------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions...................... 183,479 418,981 49,717 63,956 325,397 933,098
-------- -------- -------- -------- ---------- ----------
Total Increase (Decrease) in Net
Assets.................................. 169,053 417,455 50,249 61,324 248,388 845,234
NET ASSETS
Beginning of Period........................ 530,016 112,561 124,591 63,267 4,359,301 3,514,067
-------- -------- -------- -------- ---------- ----------
End of Period.............................. $699,069 $530,016 $174,840 $124,591 $4,607,689 $4,359,301
======== ======== ======== ======== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.............................. 26,300 48,977 6,538 7,955 77,098 143,167
Shares Issued in Lieu of Cash
Distributions............................. 594 529 198 265 4,394 6,630
Shares Redeemed............................ (7,840) (6,552) (1,425) (1,289) (53,634) (70,815)
-------- -------- -------- -------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed..................... 19,054 42,954 5,311 6,931 27,858 78,982
======== ======== ======== ======== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME).......................... $ 936 $ 253 $ 1,194 $ 358 $ 23,568 $ 11,411
DFA SHORT-DURATION
REAL RETURN PORTFOLIO
----------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............... $ 10,151 $ 17,577
Capital Gain Distributions Received from
Investment Securities..................... -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*............... (1,454) 765
Affiliated Investment Companies Shares
Sold..................................... (8) 7
Swap Contracts............................ 284 (4,208)
Foreign Currency Transactions............. 8 23
Forward Currency Contracts................ 1,421 (2,531)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. (20,279) (5,924)
Affiliated Investment Companies Shares
Sold..................................... 1 (9)
Swap Contracts............................ 10,577 6,736
Translation of Foreign Currency
Denominated Amounts...................... (54) (8)
Forward Currency Contracts................ 767 3,618
---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations............... 1,414 16,046
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................ (19,458) (13,087)
Net Short-Term Gains:
Institutional Class Shares................ -- --
Net Long-Term Gains:
Institutional Class Shares................ -- --
---------- ----------
Total Distributions...................... (19,458) (13,087)
---------- ----------
Capital Share Transactions (1):
Shares Issued.............................. 273,702 391,386
Shares Issued in Lieu of Cash
Distributions............................. 18,998 12,649
Shares Redeemed............................ (133,252) (191,532)
---------- ----------
Net Increase (Decrease) from Capital
Share Transactions...................... 159,448 212,503
---------- ----------
Total Increase (Decrease) in Net
Assets.................................. 141,404 215,462
NET ASSETS
Beginning of Period........................ 1,130,418 914,956
---------- ----------
End of Period.............................. $1,271,822 $1,130,418
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.............................. 27,708 39,408
Shares Issued in Lieu of Cash
Distributions............................. 1,933 1,293
Shares Redeemed............................ (13,499) (19,296)
---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed..................... 16,142 21,405
========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME).......................... $ 3,174 $ 12,481
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
203
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)(A)(A)
DFA
CALIFORNIA
MUNICIPAL
DFA MUNICIPAL REAL REAL RETURN DFA MUNICIPAL
RETURN PORTFOLIO PORTFOLIO BOND PORTFOLIO
--------------------- ------------- --------------------
PERIOD
NOV. 1,
SIX MONTHS YEAR 2017(A) SIX MONTHS YEAR
ENDED ENDED TO ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, APRIL 30, OCT. 31,
2018 2017 2018 2018 2017
----------- --------- ----------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 5,790 $ 8,457 $ 385 $ 2,521 $ 3,406
Net Realized Gain (Loss) on:
Investment Securities Sold*.......................... (24) (42) -- (1) (23)
Swap Contracts....................................... 23 (1,007) -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................ (22,234) 389 (1,604) (7,893) (242)
Swap Contracts....................................... 11,472 2,646 864 -- --
--------- --------- ------- - -------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations.................................... (4,973) 10,443 (355) (5,373) 3,141
--------- --------- ------- - -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares........................... (5,525) (8,396) (346) (2,388) (3,378)
--------- --------- ------- - -------- --------
Total Distributions................................. (5,525) (8,396) (346) (2,388) (3,378)
--------- --------- ------- - -------- --------
Capital Share Transactions (1):
Shares Issued......................................... 205,772 363,496 90,007 152,388 224,318
Shares Issued in Lieu of Cash Distributions........... 5,523 8,370 346 2,384 3,376
Shares Redeemed....................................... (106,732) (131,077) (4,544) (81,681) (96,240)
--------- --------- ------- - -------- --------
Net Increase (Decrease) from Capital Share
Transactions....................................... 104,563 240,789 85,809 73,091 131,454
--------- --------- ------- - -------- --------
Total Increase (Decrease) in Net Assets............. 94,065 242,836 85,108 65,330 131,217
NET ASSETS
Beginning of Period................................... 716,821 473,985 -- 351,938 220,721
--------- --------- ------- - -------- --------
End of Period......................................... $ 810,886 $ 716,821 $85,108 $417,268 $351,938
========= ========= ======= = ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 20,816 36,806 9,030 15,136 22,146
Shares Issued in Lieu of Cash Distributions........... 562 845 35 237 332
Shares Redeemed....................................... (10,814) (13,241) (458) (8,115) (9,512)
--------- --------- ------- - -------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed........................................... 10,564 24,410 8,607 7,258 12,966
========= ========= ======= = ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME)....................... $ 423 $ 158 $ 39 $ 199 $ 66
DFA SHORT-TERM
MUNICIPAL BOND
PORTFOLIO
----------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 13,765 $ 22,235
Net Realized Gain (Loss) on:
Investment Securities Sold*.......................... (218) (1)
Swap Contracts....................................... -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................ (21,567) (6,027)
Swap Contracts....................................... -- --
---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations.................................... (8,020) 16,207
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares........................... (13,158) (22,189)
---------- ----------
Total Distributions................................. (13,158) (22,189)
---------- ----------
Capital Share Transactions (1):
Shares Issued......................................... 537,872 1,110,957
Shares Issued in Lieu of Cash Distributions........... 12,792 21,505
Shares Redeemed....................................... (484,609) (698,520)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions....................................... 66,055 433,942
---------- ----------
Total Increase (Decrease) in Net Assets............. 44,877 427,960
NET ASSETS
Beginning of Period................................... 2,531,941 2,103,981
---------- ----------
End of Period......................................... $2,576,818 $2,531,941
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 53,063 109,168
Shares Issued in Lieu of Cash Distributions........... 1,263 2,111
Shares Redeemed....................................... (47,819) (68,675)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed........................................... 6,507 42,604
========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN
EXCESS OF NET INVESTMENT INCOME)....................... $ 942 $ 335
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
204
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA CALIFORNIA
INTERMEDIATE-TERM
DFA INTERMEDIATE-TERM DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND
MUNICIPAL BOND PORTFOLIO MUNICIPAL BOND PORTFOLIO PORTFOLIO
---------------------- ------------------------ --------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ----------- ---------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 12,845 $ 20,229 $ 5,136 $ 8,473 $ 2,649 $ 4,138
Net Realized Gain (Loss) on:
Investment Securities Sold*............... (10) (8) (83) (10) (11) 3
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities..................... (39,996) (3,913) (9,058) (1,455) (8,168) (459)
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.............................. (27,161) 16,308 (4,005) 7,008 (5,530) 3,682
---------- ---------- ---------- ---------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares................ (12,284) (20,181) (4,864) (8,471) (2,522) (4,115)
---------- ---------- ---------- ---------- -------- --------
Total Distributions...................... (12,284) (20,181) (4,864) (8,471) (2,522) (4,115)
---------- ---------- ---------- ---------- -------- --------
Capital Share Transactions (1):
Shares Issued............................... 380,215 784,057 299,940 384,206 118,769 178,513
Shares Issued in Lieu of Cash
Distributions.............................. 11,777 19,346 4,833 8,432 2,490 4,051
Shares Redeemed............................. (265,847) (396,529) (234,633) (239,845) (58,318) (90,722)
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions...................... 126,145 406,874 70,140 152,793 62,941 91,842
---------- ---------- ---------- ---------- -------- --------
Total Increase (Decrease) in Net
Assets.................................. 86,700 403,001 61,271 151,330 54,889 91,409
NET ASSETS
Beginning of Period......................... 1,667,648 1,264,647 1,031,539 880,209 347,302 255,893
---------- ---------- ---------- ---------- -------- --------
End of Period............................... $1,754,348 $1,667,648 $1,092,810 $1,031,539 $402,191 $347,302
========== ========== ========== ========== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 37,769 77,473 29,236 37,348 11,376 17,004
Shares Issued in Lieu of Cash
Distributions.............................. 1,174 1,902 472 819 239 384
Shares Redeemed............................. (26,426) (39,157) (22,869) (23,320) (5,590) (8,657)
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) from
Shares Issued and Redeemed.............. 12,517 40,218 6,839 14,847 6,025 8,731
========== ========== ========== ========== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)........................... $ 941 $ 380 $ 384 $ 112 $ 205 $ 78
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
205
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA NY MUNICIPAL DFA MN MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO
-------------------- -------------------
PERIOD
JULY 25,
SIX MONTHS YEAR SIX MONTHS 2017(A)
ENDED ENDED ENDED TO
APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2018 2017 2018 2017
----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................................... $ 539 $ 800 $ 345 $ 136
Net Realized Gain (Loss) on:
Investment Securities Sold*..................................... (9) (2) (18) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities........................................... (1,306) 98 (1,362) (299)
-------- -------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................... (776) 896 (1,035) (163)
-------- -------- -------- -------
Distributions From:
Net Investment Income:
Institutional Class Shares...................................... (513) (796) (325) (131)
-------- -------- -------- -------
Total Distributions............................................ (513) (796) (325) (131)
-------- -------- -------- -------
Capital Share Transactions (1):
Shares Issued..................................................... 20,008 47,751 43,297 63,224
Shares Issued in Lieu of Cash Distributions....................... 513 796 325 131
Shares Redeemed................................................... (15,732) (15,024) (36,752) (1,802)
-------- -------- -------- -------
Net Increase (Decrease) from Capital Share Transactions........ 4,789 33,523 6,870 61,553
-------- -------- -------- -------
Total Increase (Decrease) in Net Assets........................ 3,500 33,623 5,510 61,259
NET ASSETS
Beginning of Period............................................... 91,204 57,581 61,259 --
-------- -------- -------- -------
End of Period..................................................... $ 94,704 $ 91,204 $ 66,769 $61,259
======== ======== ======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................................... 1,969 4,685 4,408 6,322
Shares Issued in Lieu of Cash Distributions....................... 51 78 33 13
Shares Redeemed................................................... (1,548) (1,476) (3,743) (180)
-------- -------- -------- -------
Net Increase (Decrease) from Shares Issued and Redeemed........ 472 3,287 698 6,155
======== ======== ======== =======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)................................................. $ 40 $ 14 $ 25 $ 5
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
206
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA ONE-YEAR FIXED INCOME PORTFOLIO
------------------------------------------------------------------------- ---------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2018 2017 2016 2015 2014 2013 2018
--------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period............................. $ 10.29 $ 10.31 $ 10.32 $ 10.32 $ 10.33 $ 10.35 $ 9.99
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.08 0.11 0.07 0.04 0.03 0.04 0.08
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (0.06) (0.02) -- 0.01 -- -- (0.09)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 0.02 0.09 0.07 0.05 0.03 0.04 (0.01)
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.07) (0.11) (0.07) (0.04) (0.03) (0.04) (0.09)
Net Realized Gains................ -- -- (0.01) (0.01) (0.01) (0.02) --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.07) (0.11) (0.08) (0.05) (0.04) (0.06) (0.09)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 10.24 $ 10.29 $ 10.31 $ 10.32 $ 10.32 $ 10.33 $ 9.89
=================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ 0.20%(D) 0.86% 0.70% 0.44% 0.28% 0.43% (0.08)%(D)
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $8,029,831 $7,458,011 $6,985,789 $7,306,008 $8,455,559 $8,089,711 $5,409,270
Ratio of Expenses to Average Net
Assets............................. 0.17%(E) 0.17% 0.17% 0.17% 0.17% 0.17% 0.17%(E)
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)........................ 0.17%(E) 0.17% 0.17% 0.17% 0.17% 0.17% 0.17%(E)
Ratio of Net Investment Income to
Average Net Assets................. 1.52%(E) 1.08% 0.69% 0.38% 0.30% 0.38% 1.56%(E)
Portfolio Turnover Rate............. 39%(D) 86% 64% 81% 72% 62% 42%(D)
--------------------------------------------------------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................. $ 9.99 $ 9.96 $ 10.02 $ 10.06 $ 10.13
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.12 0.08 0.05 0.05 0.05
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (0.03) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 0.09 0.08 0.05 0.05 0.05
------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.09) (0.05) (0.10) (0.08) (0.10)
Net Realized Gains................ -- -- (0.01) (0.01) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.09) (0.05) (0.11) (0.09) (0.12)
------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 9.99 $ 9.99 $ 9.96 $ 10.02 $ 10.06
=================================== ========== ========== ========== ========== ==========
Total Return........................ 0.95% 0.81% 0.56% 0.51% 0.51%
------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $5,201,650 $4,724,757 $5,360,173 $6,188,952 $5,552,198
Ratio of Expenses to Average Net
Assets............................. 0.17% 0.17% 0.18% 0.17% 0.18%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)........................ 0.17% 0.17% 0.18% 0.17% 0.18%
Ratio of Net Investment Income to
Average Net Assets................. 1.21% 0.79% 0.54% 0.51% 0.54%
Portfolio Turnover Rate............. 121% 87% 125% 99% 123%
------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
207
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------- ----------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2018 2017 2016 2015 2014 2013 2018
------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period........................ $ 9.66 $ 9.72 $ 9.41 $ 10.00 $ 10.21 $ 10.41 $ 11.03
---------- ---------- -------- -------- ---------- -------- -----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.07 0.17 0.17 0.15 0.15 0.17 0.07
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.06) (0.08) 0.24 (0.59) (0.22) (0.11) (0.15)
---------- ---------- -------- -------- ---------- -------- -----------
Total from Investment
Operations................. 0.01 0.09 0.41 (0.44) (0.07) 0.06 (0.08)
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.17) (0.15) (0.10) (0.15) (0.12) (0.25) (0.12)
Net Realized Gains........... -- -- -- -- (0.02) (0.01) (0.01)
---------- ---------- -------- -------- ---------- -------- -----------
Total Distributions......... (0.17) (0.15) (0.10) (0.15) (0.14) (0.26) (0.13)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 9.50 $ 9.66 $ 9.72 $ 9.41 $ 10.00 $ 10.21 $ 10.82
=============================== =========== ========== ======== ======== ========== ======== ===========
Total Return................... 0.06%(D) 1.00% 4.44% (4.42)% (0.72)% 0.52% (0.78)%(D)
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $1,181,458 $1,137,725 $988,751 $995,914 $1,099,647 $985,287 $14,729,840
Ratio of Expenses to Average
Net Assets.................... 0.17%(E) 0.17% 0.17% 0.17% 0.17% 0.18% 0.27%(E)
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly).............. 0.17%(E) 0.17% 0.17% 0.17% 0.17% 0.18% 0.27%(E)
Ratio of Net Investment Income
to Average Net Assets......... 1.52%(E) 1.77% 1.75% 1.55% 1.46% 1.62% 1.22%(E)
Portfolio Turnover Rate........ 25%(D) 52% 54% 56% 48% 99% 30%(D)
------------------------------------------------------------------------------------------------------------------------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................ $ 11.16 $ 11.08 $ 11.06 $ 11.14 $ 11.28
----------- ----------- ----------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.18 0.18 0.17 0.15 0.12
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.08) 0.10 0.07 0.05 (0.05)
----------- ----------- ----------- ---------- ----------
Total from Investment
Operations................. 0.10 0.28 0.24 0.20 0.07
----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.19) (0.17) (0.20) (0.13) (0.10)
Net Realized Gains........... (0.04) (0.03) (0.02) (0.15) (0.11)
----------- ----------- ----------- ---------- ----------
Total Distributions......... (0.23) (0.20) (0.22) (0.28) (0.21)
----------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 11.03 $ 11.16 $ 11.08 $ 11.06 $ 11.14
=============================== =========== =========== =========== ========== ==========
Total Return................... 0.95% 2.63% 2.22% 1.90% 0.63%
----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $14,085,116 $12,597,375 $11,237,965 $9,818,116 $7,851,561
Ratio of Expenses to Average
Net Assets.................... 0.27% 0.27% 0.27% 0.27% 0.28%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly).............. 0.27% 0.27% 0.27% 0.27% 0.28%
Ratio of Net Investment Income
to Average Net Assets......... 1.66% 1.60% 1.55% 1.34% 1.05%
Portfolio Turnover Rate........ 69% 41% 51% 62% 72%
----------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
208
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------------------- ---------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2018 2017 2016 2015 2014 2013 2018
--------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period.... $ 10.22 $ 10.37 $ 10.48 $ 10.81 $ 10.31 $ 10.56 $ 10.59
---------- -------- -------- -------- -------- -------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...... 0.05 0.10 0.11 0.14 0.19 0.16 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized)............ -- 0.02 0.50 0.27 0.60 (0.14) (0.20)
---------- -------- -------- -------- -------- -------- ----------
Total from Investment Operations..... 0.05 0.12 0.61 0.41 0.79 0.02 (0.13)
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................. (0.02) (0.25) (0.71) (0.69) (0.29) (0.17) (0.06)
Net Realized Gains.................... -- (0.02) (0.01) (0.05) -- (0.10) --
---------- -------- -------- -------- -------- -------- ----------
Total Distributions.................. (0.02) (0.27) (0.72) (0.74) (0.29) (0.27) (0.06)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.25 $ 10.22 $ 10.37 $ 10.48 $ 10.81 $ 10.31 $ 10.40
======================================== =========== ======== ======== ======== ======== ======== ===========
Total Return............................ 0.46%(D) 1.31% 6.26% 3.93% 7.93% 0.23% (1.19)%(D)
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $1,040,663 $933,640 $772,664 $567,118 $355,241 $240,733 $2,282,758
Ratio of Expenses to Average Net
Assets................................. 0.20%(E) 0.20% 0.20% 0.20% 0.20% 0.20% 0.19%(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))............ 0.20%(E) 0.21% 0.22% 0.22% 0.22% 0.23% 0.19%(E)
Ratio of Net Investment Income to
Average Net Assets..................... 0.99%(E) 1.04% 1.09% 1.37% 1.81% 1.53% 1.39%(E)
Portfolio Turnover Rate................. 21%(D) 51% 48% 27% 41% 44% 16%(D)
--------------------------------------------------------------------------------------------------------------------------
DFA SHORT-TERM GOVERNMENT PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 10.75 $ 10.75 $ 10.69 $ 10.70 $ 10.88
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...... 0.12 0.11 0.10 0.08 0.08
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.13) 0.04 0.07 -- (0.08)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... (0.01) 0.15 0.17 0.08 --
------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................. (0.12) (0.11) (0.09) (0.07) (0.09)
Net Realized Gains.................... (0.03) (0.04) (0.02) (0.02) (0.09)
---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.15) (0.15) (0.11) (0.09) (0.18)
------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.59 $ 10.75 $ 10.75 $ 10.69 $ 10.70
======================================== ========== ========== ========== ========== ==========
Total Return............................ (0.10)% 1.40% 1.65% 0.83% (0.03)%
------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $2,221,841 $2,094,510 $2,144,989 $2,061,710 $1,780,576
Ratio of Expenses to Average Net
Assets................................. 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by Advisor
and (Fees Paid Indirectly))............ 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets..................... 1.17% 1.02% 0.90% 0.75% 0.78%
Portfolio Turnover Rate................. 34% 51% 82% 40% 37%
------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
209
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------- ---------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2018 2017 2016 2015 2014 2013 2018
------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period........................ $ 12.45 $ 12.86 $ 12.67 $ 12.60 $ 12.52 $ 13.13 $ 10.85
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.13 0.26 0.26 0.27 0.29 0.31 0.09
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.47) (0.39) 0.24 0.13 0.08 (0.58) (0.17)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. (0.34) (0.13) 0.50 0.40 0.37 (0.27) (0.08)
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.12) (0.25) (0.25) (0.27) (0.29) (0.32) (0.07)
Net Realized Gains........... (0.01) (0.03) (0.06) (0.06) -- (0.02) (0.01)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.13) (0.28) (0.31) (0.33) (0.29) (0.34) (0.08)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 11.98 $ 12.45 $ 12.86 $ 12.67 $ 12.60 $ 12.52 $ 10.69
=============================== =========== ========== ========== ========== ========== ========== ===========
Total Return................... (2.71)%(D) (0.93)% 3.95% 3.25% 3.00% (2.09)% (0.72)%(D)
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $4,830,735 $4,629,841 $3,811,636 $3,378,949 $4,021,616 $3,665,838 $5,902,942
Ratio of Expenses to Average
Net Assets.................... 0.12%(E) 0.12% 0.12% 0.12% 0.12% 0.12% 0.22%(E)
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.12%(E) 0.12% 0.12% 0.12% 0.12% 0.12% 0.22%(E)
Ratio of Net Investment Income
to Average Net Assets......... 2.17%(E) 2.06% 2.01% 2.17% 2.30% 2.45% 1.74%(E)
Portfolio Turnover Rate........ 5%(D) 12% 17% 19% 29% 6% 10%(D)
------------------------------------------------------------------------------------------------------------------------------
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................ $ 10.90 $ 10.82 $ 10.86 $ 10.86 $ 10.98
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.20 0.19 0.17 0.16 0.17
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.07) 0.10 (0.01) -- (0.09)
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 0.13 0.29 0.16 0.16 0.08
-------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.18) (0.19) (0.19) (0.14) (0.18)
Net Realized Gains........... -- (0.02) (0.01) (0.02) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.18) (0.21) (0.20) (0.16) (0.20)
-------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 10.85 $ 10.90 $ 10.82 $ 10.86 $ 10.86
=============================== ========== ========== ========== ========== ==========
Total Return................... 1.19% 2.70% 1.48% 1.44% 0.79%
-------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $5,559,764 $4,723,470 $3,896,233 $3,822,894 $2,632,084
Ratio of Expenses to Average
Net Assets.................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.22% 0.22% 0.22% 0.22% 0.23%
Ratio of Net Investment Income
to Average Net Assets......... 1.85% 1.77% 1.58% 1.45% 1.57%
Portfolio Turnover Rate........ 23% 25% 28% 23% 19%
-------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
210
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
---------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014
-------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.................... $ 10.85 $ 10.97 $ 10.67 $ 10.80 $ 10.50
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.16 0.33 0.32 0.33 0.33
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... (0.54) (0.11) 0.37 (0.04) 0.28
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... (0.38) 0.22 0.69 0.29 0.61
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.15) (0.32) (0.34) (0.37) (0.31)
Net Realized Gains.................................... (0.03) (0.02) (0.05) (0.05) --
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.18) (0.34) (0.39) (0.42) (0.31)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 10.29 $ 10.85 $ 10.97 $ 10.67 $ 10.80
======================================================== =========== ========== ========== ========== ==========
Total Return............................................ (3.47)%(D) 2.05% 6.61% 2.66% 5.91%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $1,846,220 $1,804,891 $1,414,041 $1,068,817 $2,133,894
Ratio of Expenses to Average Net Assets................. 0.22%(E) 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor)...................... 0.22%(E) 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets.... 3.12%(E) 3.03% 2.99% 3.05% 3.06%
Portfolio Turnover Rate................................. 13%(D) 18% 28% 30% 23%
-------------------------------------------------------------------------------------------------------------------------
DFA TARGETED CREDIT PORTFOLIO
----------- --------------------------------------------
PERIOD
YEAR SIX MONTHS YEAR YEAR MAY 20,
ENDED ENDED ENDED ENDED 2015(A) TO
OCT. 31, APRIL 30, OCT. 31, OCT. 31, OCT. 31,
2013 2018 2017 2016 2015
-------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.................... $ 11.10 $ 10.06 $ 10.08 $ 9.96 $ 10.00
---------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.31 0.11 0.22 0.21 0.08
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... (0.59) (0.23) (0.03) 0.12 (0.06)
---------- -------- -------- -------- --------
Total from Investment Operations..................... (0.28) (0.12) 0.19 0.33 0.02
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.31) (0.07) (0.21) (0.21) (0.06)
Net Realized Gains.................................... (0.01) (0.02) -- -- --
---------- -------- -------- -------- --------
Total Distributions.................................. (0.32) (0.09) (0.21) (0.21) (0.06)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 10.50 $ 9.85 $ 10.06 $ 10.08 $ 9.96
======================================================== ========== =========== ======== ======== ==========
Total Return............................................ (2.62)% (1.23)%(D) 1.94% 3.39% 0.18%(D)
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $1,391,394 $590,289 $514,588 $356,579 $220,608
Ratio of Expenses to Average Net Assets................. 0.22% 0.20%(E) 0.20% 0.20% 0.20%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor)...................... 0.23% 0.22%(E) 0.23% 0.24% 0.28%(C)(E)
Ratio of Net Investment Income to Average Net Assets.... 2.88% 2.19%(E) 2.25% 2.06% 1.81%(C)(E)
Portfolio Turnover Rate................................. 10% 14%(D) 41% 21% 2%(D)
-------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
211
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL
CORE PLUS FIXED
INCOME PORTFOLIO
---------------- ---------------
PERIOD
JAN. 11, SIX MONTHS
2018(A) TO ENDED
APRIL 30, APRIL 30,
2018 2018
-------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period........................ $ 10.00 $ 10.90
-------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.04 0.13
Net Gains (Losses) on Securities (Realized and Unrealized). (0.16) (0.42)
-------- ----------
Total from Investment Operations......................... (0.12) (0.29)
-------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.02) (0.12)
Net Realized Gains......................................... -- --
-------- ----------
Total Distributions...................................... (0.02) (0.12)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 9.86 $ 10.49
=========================================================== ================ ===========
Total Return................................................ (1.25)%(D) (2.65)%(D)
-------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $421,054 $8,462,848
Ratio of Expenses to Average Net Assets..................... 0.27%(C)(E) 0.22%(E)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................. 0.27%(C)(E) 0.22%(E)
Ratio of Net Investment Income to Average Net Assets........ 1.38%(C)(E) 2.44%(E)
Portfolio Turnover Rate..................................... 91% (D) 7%(D)
-------------------------------------------------------------------------------------------------
DFA INVESTMENT GRADE 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........................ $ 11.04 $ 10.80 $ 10.76 $ 10.57 $ 10.99
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.25 0.24 0.27 0.26 0.25
Net Gains (Losses) on Securities (Realized and Unrealized). (0.16) 0.25 0.02 0.18 (0.42)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 0.09 0.49 0.29 0.44 (0.17)
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.23) (0.22) (0.25) (0.25) (0.24)
Net Realized Gains......................................... -- (0.03) -- -- (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.23) (0.25) (0.25) (0.25) (0.25)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 10.90 $ 11.04 $ 10.80 $ 10.76 $ 10.57
=========================================================== ========== ========== ========== ========== ==========
Total Return................................................ 0.86% 4.62% 2.77% 4.29% (1.58)%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $8,185,290 $6,193,789 $4,153,194 $2,433,057 $1,442,269
Ratio of Expenses to Average Net Assets..................... 0.22% 0.22% 0.22% 0.22%(B) 0.22%(B)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................. 0.22% 0.22% 0.38% 0.40%(B) 0.41%(B)
Ratio of Net Investment Income to Average Net Assets........ 2.32% 2.20% 2.49% 2.40%(B) 2.30%(B)
Portfolio Turnover Rate..................................... 18% 7% 52% N/A N/A
------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
212
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
-----------------------------------
PERIOD
SIX MONTHS YEAR AUG. 10,
ENDED ENDED 2016(A) TO
APRIL 30, OCT. 31, OCT. 31,
2018 2017 2016
---------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period........................................ $ 9.76 $ 9.92 $ 10.00
-------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.10 0.15 0.02
Net Gains (Losses) on Securities (Realized and Unrealized)................ (0.24) (0.16) (0.08)
-------- -------- --------
Total from Investment Operations......................................... (0.14) (0.01) (0.06)
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.09) (0.15) (0.02)
Net Realized Gains........................................................ -- -- --
-------- -------- --------
Total Distributions...................................................... (0.09) (0.15) (0.02)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................................. $ 9.53 $ 9.76 $ 9.92
============================================================================ =========== ======== ==========
Total Return................................................................ (1.40)%(D) (0.05)% (0.64)%(D)
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $699,069 $530,016 $112,561
Ratio of Expenses to Average Net Assets..................................... 0.15%(E) 0.15% 0.15%(B)(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor)........... 0.25%(E) 0.29% 0.45%(B)(C)(E)
Ratio of Net Investment Income to Average Net Assets........................ 2.06%(E) 1.56% 0.91%(C)(E)
Portfolio Turnover Rate..................................................... 2%(D) 5% N/A
---------------------------------------------------------------------------------------------------------------------------
DFA LTIP PORTFOLIO
----------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period........................................ $ 9.31 $ 9.81 $ 8.67 $ 9.50 $ 8.80
-------- -------- ------- ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.17 0.25 0.26 0.05 0.20
Net Gains (Losses) on Securities (Realized and Unrealized)................ -- (0.50) 1.03 (0.81) 0.86
-------- -------- ------- ------ ------
Total from Investment Operations......................................... 0.17 (0.25) 1.29 (0.76) 1.06
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.13) (0.24) (0.15) (0.07) (0.36)
Net Realized Gains........................................................ -- (0.01) -- -- --
-------- -------- ------- ------ ------
Total Distributions...................................................... (0.13) (0.25) (0.15) (0.07) (0.36)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................................. $ 9.35 $ 9.31 $ 9.81 $ 8.67 $ 9.50
============================================================================ =========== ======== ======== ======== ========
Total Return................................................................ 1.83%(D) (2.52)% 14.90% (8.04)% 12.22%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $174,840 $124,591 $63,267 $ 208 $ 995
Ratio of Expenses to Average Net Assets..................................... 0.15%(E) 0.15% 0.15% 0.28% 0.40%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor)........... 0.13%(E) 0.14% 0.21% 16.22% 3.63%
Ratio of Net Investment Income to Average Net Assets........................ 3.69%(E) 2.75% 2.76% 0.49% 2.29%
Portfolio Turnover Rate..................................................... 4%(D) 2% 4% 88% 105%
----------------------------------------------------------------------------------------------------------------------------------
--------
YEAR
ENDED
OCT. 31,
2013
--------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................................ $ 11.38
-------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.15
Net Gains (Losses) on Securities (Realized and Unrealized)................ (2.60)
-------
Total from Investment Operations......................................... (2.45)
--------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.13)
Net Realized Gains........................................................ --
-------
Total Distributions...................................................... (0.13)
--------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................................. $ 8.80
============================================================================ ========
Total Return................................................................ (21.54)%
--------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................................... $ 1,375
Ratio of Expenses to Average Net Assets..................................... 0.40%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor)........... 2.90%
Ratio of Net Investment Income to Average Net Assets........................ 1.50%
Portfolio Turnover Rate..................................................... 120%
--------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
213
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 11.79 $ 12.09 $ 11.54 $ 11.75 $ 11.84 $ 13.00
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.18 0.25 0.16 0.06 0.22 0.21
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.23) (0.29) 0.53 (0.17) (0.06) (1.05)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... (0.05) (0.04) 0.69 (0.11) 0.16 (0.84)
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.15) (0.23) (0.13) (0.07) (0.25) (0.24)
Net Realized Gains.............................. -- (0.03) (0.01) (0.03) -- (0.08)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................ (0.15) (0.26) (0.14) (0.10) (0.25) (0.32)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 11.59 $ 11.79 $ 12.09 $ 11.54 $ 11.75 $ 11.84
================================================= =========== ========== ========== ========== ========== ==========
Total Return...................................... (0.40)%(D) (0.26)% 5.96% (0.98)% 1.38% (6.59)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $4,607,689 $4,359,301 $3,514,067 $2,982,898 $2,722,146 $2,592,771
Ratio of Expenses to Average Net Assets........... 0.12%(E) 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor)............................ 0.12%(E) 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net
Assets........................................... 3.11%(E) 2.14% 1.35% 0.54% 1.83% 1.68%
Portfolio Turnover Rate........................... 16%(D) 16% 19% 12% 25% 26%
----------------------------------------------------------------------------------------------------------------------------------
DFA SHORT-DURATION REAL RETURN PORTFOLIO
-----------------------------------------------------------
PERIOD
SIX MONTHS YEAR YEAR YEAR NOV. 5,
ENDED ENDED ENDED ENDED 2013(A) TO
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014
---------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 10.02 $ 10.02 $ 9.79 $ 10.00 $ 10.00
---------- ---------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.08 0.17 0.17 0.14 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... (0.06) (0.03) 0.18 (0.26) (0.09)
---------- ---------- -------- -------- --------
Total from Investment Operations............... 0.02 0.14 0.35 (0.12) 0.02
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.17) (0.14) (0.12) (0.09) (0.02)
Net Realized Gains.............................. -- -- -- -- --
---------- ---------- -------- -------- --------
Total Distributions............................ (0.17) (0.14) (0.12) (0.09) (0.02)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 9.87 $ 10.02 $ 10.02 $ 9.79 $ 10.00
================================================= =========== ========== ======== ======== ==========
Total Return...................................... 0.19%(D) 1.42% 3.67% (1.14)% 0.20%(D)
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............... $1,271,822 $1,130,418 $914,956 $784,996 $632,077
Ratio of Expenses to Average Net Assets........... 0.23%(E) 0.24% 0.24% 0.24% 0.24%(C)(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor)............................ 0.23%(E) 0.23% 0.23% 0.23% 0.31%(C)(E)
Ratio of Net Investment Income to Average Net
Assets........................................... 1.70%(E) 1.72% 1.68% 1.38%(E) 1.12%(C)(E)
Portfolio Turnover Rate........................... 18%(D) 35% 62% 30% 138%(D)
---------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
214
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA
CALIFORNIA
MUNICIPAL
REAL RETURN
DFA MUNICIPAL REAL RETURN PORTFOLIO PORTFOLIO
-------------------------------------------- -----------
PERIOD PERIOD
SIX MONTHS YEAR YEAR NOV. 4, NOV. 1,
ENDED ENDED ENDED 2014(A) TO 2017(A) TO
APRIL 30, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2018 2017 2016 2015 2018
----------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of
Period........................ $ 9.94 $ 9.93 $ 9.72 $ 10.00 $ 10.00
-------- -------- -------- -------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.07 0.13 0.12 0.11 0.06
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.13) 0.01 0.21 (0.31) (0.12)
-------- -------- -------- -------- -------
Total from Investment
Operations................. (0.06) 0.14 0.33 (0.20) (0.06)
----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.07) (0.13) (0.12) (0.08) (0.05)
Net Realized Gains............ -- -- -- -- --
-------- -------- -------- -------- -------
Total Distributions......... (0.07) (0.13) (0.12) (0.08) (0.05)
----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 9.81 $ 9.94 $ 9.93 $ 9.72 $ 9.89
============================== =========== ======== ======== ========== ===========
Total Return................... (0.61)%(D) 1.42% 3.40% (1.98)%(D) (0.62)%(D)
----------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $810,886 $716,821 $473,985 $184,238 $85,108
Ratio of Expenses to Average
Net Assets.................... 0.22%(E) 0.23% 0.26% 0.27%(C)(E) 0.30%(C)(E)
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
(Fees Paid Indirectly))....... 0.23%(E) 0.24% 0.24% 0.35%(C)(E) 0.30%(C)(E)
Ratio of Net Investment
Income to Average Net Assets.. 1.49%(E) 1.34% 1.19% 1.12%(C)(E) 1.22%(C)(E)
Portfolio Turnover Rate........ 2%(D) 4% 0% 0%(D) 0%
----------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
215
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)(A)
DFA MUNICIPAL BOND PORTFOLIO
-------------------------------------------- ---------------
PERIOD
SIX MONTHS YEAR YEAR MARCH 10, SIX MONTHS
ENDED ENDED ENDED 2015(A) TO ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2018 2017 2016 2015 2018
----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period......................... $ 10.18 $ 10.22 $ 10.12 $ 10.00 $ 10.18
-------- -------- -------- -------- ----------
Income from Investment Operations
-
Net Investment Income (Loss) (A)........................... 0.07 0.12 0.12 0.09 0.05
Net Gains (Losses) on Securities (Realized and Unrealized). (0.21) (0.04) 0.10 0.09 (0.08)
-------- -------- -------- -------- ----------
Total from Investment Operations.......................... (0.14) 0.08 0.22 0.18 (0.03)
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income...................................... (0.06) (0.12) (0.12) (0.06) (0.05)
Net Realized Gains......................................... -- -- -- -- --
-------- -------- -------- -------- ----------
Total Distributions....................................... (0.06) (0.12) (0.12) (0.06) (0.05)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 9.98 $ 10.18 $ 10.22 $ 10.12 $ 10.10
============================================================= =========== ======== ======== ========== ===========
Total Return................................................. (1.36)%(D) 0.76% 2.22% 1.83%(D) (0.28)%(D)
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $417,268 $351,938 $220,721 $100,315 $2,576,818
Ratio of Expenses to Average Net Assets...................... 0.22%(E) 0.23% 0.23% 0.23%(C)(E) 0.21%(E)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))....... 0.23%(E) 0.24% 0.25% 0.37%(C)(E) 0.22%(E)
Ratio of Net Investment Income to Average Net Assets......... 1.33%(E) 1.17% 1.13% 1.31%(C)(E) 1.08%(E)
Portfolio Turnover Rate...................................... 5%(D) 8% 2% 2%(D) 8%(D)
----------------------------------------------------------------------------------------------------------------------------------
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... $ 10.21 $ 10.24 $ 10.23 $ 10.23 $ 10.29
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
-
Net Investment Income (Loss) (A)........................... 0.10 0.09 0.09 0.09 0.10
Net Gains (Losses) on Securities (Realized and Unrealized). (0.03) (0.02) 0.01 -- (0.06)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 0.07 0.07 0.10 0.09 0.04
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income...................................... (0.10) (0.10) (0.09) (0.09) (0.10)
Net Realized Gains......................................... -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.10) (0.10) (0.09) (0.09) (0.10)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 10.18 $ 10.21 $ 10.24 $ 10.23 $ 10.23
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 0.67% 0.68% 1.00% 0.87% 0.42%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $2,531,941 $2,103,981 $2,199,837 $2,206,915 $1,780,699
Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))....... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets......... 0.96% 0.92% 0.90% 0.88% 0.98%
Portfolio Turnover Rate...................................... 16% 11% 18% 30% 24%
-------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
216
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period...... $ 10.19 $ 10.25 $ 10.17 $ 10.10 $ 9.84 $ 10.06
---------- ---------- ---------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.08 0.14 0.14 0.15 0.17 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.24) (0.06) 0.09 0.06 0.25 (0.22)
---------- ---------- ---------- -------- -------- --------
Total from Investment Operations....... (0.16) 0.08 0.23 0.21 0.42 (0.09)
------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.07) (0.14) (0.15) (0.14) (0.16) (0.13)
---------- ---------- ---------- -------- -------- --------
Total Distributions.................... (0.07) (0.14) (0.15) (0.14) (0.16) (0.13)
------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 9.96 $ 10.19 $ 10.25 $ 10.17 $ 10.10 $ 9.84
========================================== =========== ========== ========== ======== ======== ========
Total Return.............................. (1.56)%(D) 0.75% 2.23% 2.13% 4.34% (0.91)%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $1,754,348 $1,667,648 $1,264,647 $910,481 $508,722 $269,514
Ratio of Expenses to Average Net
Assets................................... 0.22%(E) 0.23% 0.23% 0.23% 0.23% 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly))........................ 0.22%(E) 0.23% 0.22% 0.23% 0.24% 0.26%
Ratio of Net Investment Income to Average
Net Assets............................... 1.51%(E) 1.35% 1.34% 1.47% 1.69% 1.36%
Portfolio Turnover Rate................... 2%(D) 4% 3% 1% 4% 0%
------------------------------------------------------------------------------------------------------------------
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period...... $ 10.31 $ 10.33 $ 10.34 $ 10.33 $ 10.31 $ 10.34
---------- ---------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.05 0.09 0.09 0.08 0.09 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.09) (0.02) (0.01) 0.01 0.01 (0.03)
---------- ---------- -------- -------- -------- --------
Total from Investment Operations....... (0.04) 0.07 0.08 0.09 0.10 0.07
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.05) (0.09) (0.09) (0.08) (0.08) (0.10)
---------- ---------- -------- -------- -------- --------
Total Distributions.................... (0.05) (0.09) (0.09) (0.08) (0.08) (0.10)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 10.22 $ 10.31 $ 10.33 $ 10.34 $ 10.33 $ 10.31
========================================== =========== ========== ======== ======== ======== ========
Total Return.............................. (0.42)%(D) 0.68% 0.79% 0.87% 1.02% 0.70%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $1,092,810 $1,031,539 $880,209 $825,484 $703,773 $521,090
Ratio of Expenses to Average Net
Assets................................... 0.21%(E) 0.22% 0.22% 0.22% 0.22% 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly))........................ 0.21%(E) 0.22% 0.22% 0.22% 0.22% 0.23%
Ratio of Net Investment Income to Average
Net Assets............................... 0.98%(E) 0.88% 0.84% 0.78% 0.83% 0.98%
Portfolio Turnover Rate................... 11%(D) 19% 20% 23% 22% 28%
--------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
217
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period........................ $ 10.58 $ 10.62 $ 10.56 $ 10.47 $ 10.16 $ 10.30
-------- -------- -------- -------- -------- -------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.07 0.14 0.15 0.17 0.18 0.15
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.23) (0.04) 0.07 0.08 0.30 (0.14)
-------- -------- -------- -------- -------- -------
Total from Investment
Operations................. (0.16) 0.10 0.22 0.25 0.48 0.01
------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.07) (0.14) (0.16) (0.16) (0.17) (0.15)
Net Realized Gains............ -- -- -- -- -- --
-------- -------- -------- -------- -------- -------
Total Distributions......... (0.07) (0.14) (0.16) (0.16) (0.17) (0.15)
------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 10.35 $ 10.58 $ 10.62 $ 10.56 $ 10.47 $ 10.16
============================== =========== ======== ======== ======== ======== ========
Total Return................... (1.51)%(D) 0.97% 2.10% 2.46% 4.82% 0.08%
------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $402,191 $347,302 $255,893 $196,624 $140,424 $97,199
Ratio of Expenses to Average
Net Assets.................... 0.22%(E) 0.23% 0.23% 0.23% 0.23% 0.23%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
(Fees Paid Indirectly))....... 0.22%(E) 0.23% 0.23% 0.23% 0.24% 0.26%
Ratio of Net Investment
Income to Average Net Assets.. 1.44%(E) 1.36% 1.42% 1.59% 1.75% 1.48%
Portfolio Turnover Rate........ 3%(D) 7% 4% 2% 14% 11%
------------------------------------------------------------------------------------------------
DFA NY MUNICIPAL BOND PORTFOLIO
-----------------------------------------
PERIOD
SIX MONTHS YEAR YEAR JUNE 16,
ENDED ENDED ENDED 2015(A) TO
APRIL 30, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015
--------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period........................ $ 10.24 $ 10.25 $ 10.14 $ 10.00
------- ------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.06 0.11 0.11 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.14) (0.01) 0.12 0.12
------- ------- ------- -------
Total from Investment
Operations................. (0.08) 0.10 0.23 0.17
--------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.06) (0.11) (0.12) (0.03)
Net Realized Gains............ -- -- -- --
------- ------- ------- -------
Total Distributions......... (0.06) (0.11) (0.12) (0.03)
--------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 10.10 $ 10.24 $ 10.25 $ 10.14
============================== =========== ======== ======== ==========
Total Return................... (0.82)%(D) 0.94% 2.29% 1.75%(D)
--------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................... $94,704 $91,204 $57,581 $28,985
Ratio of Expenses to Average
Net Assets.................... 0.24%(E) 0.25% 0.25% 0.25%(C)(E)
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
(Fees Paid Indirectly))....... 0.24%(E) 0.25% 0.34% 0.51%(C)(E)
Ratio of Net Investment
Income to Average Net Assets.. 1.18%(E) 1.06% 1.10% 1.25%(D)(E)
Portfolio Turnover Rate........ 15%(D) 15% 1% 0%(D)
--------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
218
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA MN MUNICIPAL BOND
PORTFOLIO
-----------------------
PERIOD
SIX MONTHS JULY 25,
ENDED 2017(A) TO
APRIL 30, OCT. 31,
2018 2017
-------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period........................ $ 9.95 $ 10.00
------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.05 0.02
Net Gains (Losses) on Securities (Realized and Unrealized). (0.21) (0.05)
------- -------
Total from Investment Operations......................... (0.16) (0.03)
-------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.05) (0.02)
Net Realized Gains......................................... -- --
------- -------
Total Distributions...................................... (0.05) (0.02)
-------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 9.74 $ 9.95
=========================================================== =========== ==========
Total Return................................................ (1.62)%(D) (0.28)%(D)
-------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $66,769 $61,259
Ratio of Expenses to Average Net Assets..................... 0.32%(E) 0.24%(E)(C)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))...... 0.40%(E) 0.37%(E)(C)
Ratio of Net Investment Income to Average Net Assets........ 1.09%(E) 0.96%(E)(C)
Portfolio Turnover Rate..................................... 9%(D) 0%(D)
-------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
219
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of one hundred and
two operational portfolios, of which twenty-five (the "Portfolios") are
included in this report. The remaining operational portfolios are presented in
separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services-Investment Companies."
The DFA Diversified Fixed Income Portfolio achieves its investment objective
by primarily investing directly or through other series of the Fund
(collectively, the "Underlying Funds"). At April 30, 2018, the Portfolio was
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 4/30/18
------------- ---------------- ----------
DFA Diversified Fixed Income Portfolio DFA Two-Year Global Fixed Income Portfolio 4%
DFA Intermediate Government Fixed Income Portfolio 7%
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by the Portfolios are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of Directors
of the Fund. These securities are generally categorized as Level 2 in the
hierarchy.
220
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy. Swap
agreements will be valued at the price provided by an independent third-party
pricing service or source. If a price is not available from an independent
third-party pricing service or source, the swap agreement will be valued in
good faith at fair value in accordance with procedures adopted by the Board.
These securities are generally categorized as Level 2 in the hierarchy.
Shares held by the Portfolios in other investment companies (such as the
Underlying Funds shares held by the DFA Diversified Fixed Income Portfolio) are
valued at their respective daily net asset values as reported by their
administrator. 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. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of DFA Two-Year Global Fixed Income Portfolio, DFA Selectively
Hedged Global Fixed Income Portfolio, DFA Five-Year Global Fixed Income
Portfolio, DFA World ex U.S. Government Fixed Income Portfolio, DFA Short-Term
Extended Quality Portfolio, DFA Intermediate-Term Extended Quality Portfolio,
DFA Targeted Credit Portfolio (the "International Fixed Income Portfolios"),
DFA Investment Grade Portfolio, DFA Diversified Fixed Income Portfolio and DFA
Short-Duration Real Return Portfolio whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and ask prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The International
Fixed Income Portfolios enter into forward currency contracts for the purpose
of hedging against fluctuations in currency exchange rates or to transfer
balances from one currency to another. DFA Selectively Hedged Global Fixed
Income Portfolio may hedge the currency exposure of its foreign securities or
leave some or all of the currency exposure unhedged. Forward currency contracts
are marked-to-market daily based on daily forward exchange rates.
The International Fixed Income Portfolios, DFA Investment Grade Portfolio,
DFA Diversified Fixed Income Portfolio and DFA Short-Duration Real Return
Portfolio isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Fixed Income Portfolios, DFA Investment Grade Portfolio, DFA
Diversified Fixed Income Portfolio and DFA Short-Duration Real Return Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. TREASURY INFLATION-PROTECTED SECURITIES (TIPS): Inflation-protected
securities (also known as inflation-indexed securities) are securities whose
principal and/or interest payments are adjusted for inflation, unlike
conventional debt securities that make fixed principal and interest payments.
Inflation-protected securities include Treasury Inflation-Protected Securities
("TIPS"), which are securities issued by the U.S. Treasury. The principal value
of TIPS is adjusted for inflation (payable at maturity) and the semi-annual
interest payments by TIPS equal a fixed percentage of the inflation-adjusted
principal amount. These inflation adjustments are based upon the Consumer Price
Index for Urban Consumers (CPI-U). The original principal value of TIPS is
guaranteed, even during period of deflation. At maturity, TIPS are redeemed at
the greater of their inflation-adjusted principal or par
221
amount at original issue. Other types of inflation-protected securities may use
other methods to adjust for inflation and other measures of inflation. In
addition, inflation-protected securities issued by entities other than the U.S.
Treasury may not provide a guarantee of principal value at maturity.
4. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
5. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities/affiliated investment companies and foreign currency are accounted
for on the basis of identified cost. Dividend income and distributions to
shareholders are recorded on the ex-dividend date. Distributions received on
securities 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.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned or
throughout the holding period. Some countries require governmental approval for
the repatriation of investment income, capital or the proceeds of sales earned
by foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the six months ended April 30, 2018, the
Portfolios' investment management fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
DFA One-Year Fixed Income Portfolio........ 0.15%
DFA Two-Year Global Fixed Income Portfolio. 0.15%
222
DFA Selectively Hedged Global Fixed Income Portfolio...... 0.15%
DFA Five-Year Global Fixed Income Portfolio............... 0.25%
DFA World ex U.S. Government Fixed Income Portfolio....... 0.18%
DFA Short-Term Government Portfolio....................... 0.17%
DFA Intermediate Government Fixed Income Portfolio........ 0.10%
DFA Short-Term Extended Quality Portfolio................. 0.20%
DFA Intermediate-Term Extended Quality Portfolio.......... 0.20%
DFA Targeted Credit Portfolio............................. 0.19%
DFA Global Core Plus Fixed Income Portfolio............... 0.25%
DFA Investment Grade Portfolio............................ 0.20%
DFA Diversified Fixed Income Portfolio.................... 0.12%
DFA LTIP Portfolio........................................ 0.10%
DFA Inflation-Protected Securities Portfolio.............. 0.10%
DFA Short-Duration Real Return Portfolio.................. 0.20%
DFA Municipal Real Return Portfolio....................... 0.20%
DFA California Municipal Real Return Portfolio............ 0.20%
DFA Municipal Bond Portfolio.............................. 0.20%
DFA Short-Term Municipal Bond Portfolio................... 0.20%
DFA Intermediate-Term Municipal Bond Portfolio............ 0.20%
DFA California Short-Term Municipal Bond Portfolio........ 0.20%
DFA California Intermediate-Term Municipal Bond Portfolio. 0.20%
DFA NY Municipal Bond Portfolio........................... 0.20%
DFA MN Municipal Bond Portfolio........................... 0.25%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees, and in certain instances, assume certain expenses of the
Portfolios, as described in the notes below. The Fee Waiver Agreement for the
Portfolios will remain in effect through February 28, 2019, and may only be
terminated by the Fund's Board of Directors prior to that date. The Fee Waiver
Agreement for the Portfolios shall continue in effect from year to year
thereafter unless terminated by the Fund or the Advisor. For the six months
ended April 30, 2018, 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 six months ended April 30,
2018, are also reflected below (amounts in thousands). The Fund, on behalf of
the Portfolios listed, is not obligated to reimburse the Advisor for fees
previously waived or expenses previously assumed by the Advisor more than 36
months before the date of recovery. With respect to each Fee Waiver Agreement,
prior year expenses can be recaptured only if the current expense ratio is less
than prior year expense cap that was in place when such prior year expenses
were waived.
NET WAIVED FEES/
PREVIOUSLY EXPENSES ASSUMED
RECOVERY WAIVED FEES/ (RECOVERED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED PREVIOUSLY WAIVED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE FEES/EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
-------------------------- ---------- ---------------- ----------------- -----------------
DFA Selectively Hedged Global Fixed
Income Portfolio (1).............. 0.25% -- -- --
DFA World ex U.S. Government Fixed
Income Portfolio (1).............. 0.20% $ 1 $312 $22
DFA Short-Term Government
Portfolio (2)..................... 0.20% -- -- --
DFA Short-Term Extended Quality
Portfolio (1)..................... 0.22% 6 600 35
223
NET WAIVED FEES/
PREVIOUSLY EXPENSES ASSUMED
RECOVERY WAIVED FEES/ (RECOVERED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED PREVIOUSLY WAIVED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE FEES/EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
-------------------------- ---------- ---------------- ----------------- -----------------
DFA Intermediate-Term Extended Quality
Portfolio (1)............................ 0.22% $21 $ 259 $(16)
DFA Targeted Credit Portfolio (1).......... 0.20% -- 345 50
DFA Global Core Plus Fixed Income
Portfolio (3)............................ 0.30% 14 7 7
DFA Investment Grade Portfolio (4)......... 0.22% 87 3,475 (65)
DFA Diversified Fixed Income
Portfolio (3)............................ 0.15% -- 821 301
DFA LTIP Portfolio (1)..................... 0.15% 18 36 (18)
DFA Inflation-Protected Securities
Portfolio (1)............................ 0.20% -- -- --
DFA Short-Duration Real Return
Portfolio (5)............................ 0.24% 20 -- (20)
DFA Municipal Real Return Portfolio (1).... 0.27% -- -- --
DFA California Municipal Real Return
Portfolio (3)............................ 0.30% -- 10 10
DFA Municipal Bond Portfolio (1)........... 0.23% 10 104 (9)
DFA Short-Term Municipal Bond
Portfolio (2)............................ 0.30% -- -- --
DFA Intermediate-Term Municipal Bond
Portfolio (1)............................ 0.23% 23 -- (23)
DFA California Short-Term Municipal Bond
Portfolio (1)............................ 0.30% -- -- --
DFA California Intermediate-Term Municipal
Bond Portfolio (1)....................... 0.23% 10 -- (10)
DFA NY Municipal Bond Portfolio (1)........ 0.25% 6 58 (5)
DFA MN Municipal Bond Portfolio (1)........ 0.32% -- 45 25
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of each of
the Portfolios listed above (excluding the expenses that the Portfolio incurs
indirectly through its investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of each Portfolio, on an annualized basis, to the rates listed above as a
percentage of a class of the respective Portfolio's average net assets (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of the Portfolio are less than the Expense Limitation Amount for such
class of shares of the Portfolio, the Advisor retains the right to recover any
fees previously waived and/or expenses previously assumed to the extent that
such recovery will not cause the annualized Portfolio Expenses for such class
of shares of the Portfolio to exceed the applicable Expense Limitation Amount.
(2) The Advisor has contractually agreed to waive all or a portion of its
management fee to the extent necessary to reduce the ordinary operating
expenses (excluding expenses incurred through its investment in other
investment companies) ("Portfolio Expenses") of a class of each of the
Portfolios listed above so that such Portfolio Expenses, on an annualized
basis, do not exceed the rate reflected above for a class of each such
Portfolio (the "Expense Limitation Amount"). At any time that the Portfolio
Expenses of a class of the Portfolio are less than the Expense Limitation
Amount for a class of the Portfolio, the Advisor retains the right to recover
any fees previously waived to the extent that such recovery will not cause the
annualized Portfolio Expenses for such class of shares of the Portfolio to
exceed the Expense Limitation Amount.
(3) The Advisor has 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
224
that the Portfolio incurs indirectly through its investment in unaffiliated
investment companies) ("Portfolio Expenses") to the extent necessary to limit
the Portfolio Expenses of a class of the Portfolio to the rate listed above as
a percentage of the average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses are less than the Expense Limitation Amount of a class of
shares of the Portfolio, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that such
recovery will not cause the annualized Portfolio Expenses for such class of
shares of the Portfolio to exceed the Expense Limitation Amount.
(4) The Advisor has agreed to waive all or a portion of its management fee
and to assume the expenses of a class of the Portfolio (including the expenses
that the Portfolio bears as a shareholder of other funds managed by the Advisor
but excluding the expenses that the Portfolio incurs indirectly through
investment of its securities lending cash collateral in The DFA Short Term
Investment Fund (the "Money Market Series") and its investment in unaffiliated
investment companies) ("Portfolio Expenses") to the extent necessary to limit
Portfolio Expenses of a class of the Portfolio, on an annualized basis, to the
rate listed above as a percentage of the average net assets of a class of the
Portfolio (the "Expense Limitation Amount"). At any time that the Portfolio
Expenses are less than the Expense Limitation Amount of a class of shares of
the Portfolio, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery will
not cause the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the Expense Limitation Amount.
(5) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in other funds managed by the Advisor, except for the fees paid
through its investment of securities lending cash collateral in the Money
Market Series (the "Underlying Funds"). In addition, under the Fee Waiver
Agreement, the Advisor has also agreed to waive all or a portion of the
management fee and to assume the ordinary operating expenses of a class of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in the Money Market Series and 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's annualized
Portfolio Expenses are less than the Portfolio's Expense Limitation Amount,
described above, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery will
not cause the annualized Portfolio Expenses of a class of the Portfolio to
exceed the Expense Limitation Amount. The Advisor, however, shall not be
reimbursed for any management fees previously waived to offset the Portfolio's
proportionate share of the management fees paid by the Portfolio through its
investment in other funds managed by the Advisor.
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 six months ended April 30, 2018, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Two-Year Global Fixed Income Portfolio.......... $24
DFA Five-Year Global Fixed Income Portfolio......... 43
DFA World ex U.S. Government Fixed Income Portfolio. 10
DFA Municipal Real Return Portfolio................. 38
DFA California Municipal Real Return Portfolio...... 2
DFA Municipal Bond Portfolio........................ 12
DFA Short-Term Municipal Bond Portfolio............. 78
225
FEES PAID
INDIRECTLY
----------
DFA Intermediate-Term Municipal Bond Portfolio............ $51
DFA California Short-Term Municipal Bond Portfolio........ 33
DFA California Intermediate-Term Municipal Bond Portfolio. 10
DFA NY Municipal Bond Portfolio........................... 4
DFA MN Municipal Bond Portfolio........................... 2
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $158 (in thousands). The total related amounts paid by
each of the Portfolios are included in Other Expenses on the Statement of
Operations.
D. DEFERRED COMPENSATION:
At April 30, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA One-Year Fixed Income Portfolio....................... $393
DFA Two-Year Global Fixed Income Portfolio................ 313
DFA Selectively Hedged Global Fixed Income Portfolio...... 32
DFA Five-Year Global Fixed Income Portfolio............... 339
DFA World ex U.S. Government Fixed Income Portfolio....... 12
DFA Short-Term Government Portfolio....................... 78
DFA Intermediate Government Fixed Income Portfolio........ 132
DFA Short-Term Extended Quality Portfolio................. 97
DFA Intermediate-Term Extended Quality Portfolio.......... 32
DFA Targeted Credit Portfolio............................. 4
DFA Global Core Plus Fixed Income Portfolio............... --
DFA Investment Grade Portfolio............................ 92
DFA Diversified Fixed Income Portfolio.................... 3
DFA LTIP Portfolio........................................ 1
DFA Inflation-Protected Securities Portfolio.............. 95
DFA Short-Duration Real Return Portfolio.................. 13
DFA Municipal Real Return Portfolio....................... 6
DFA California Municipal Real Return Portfolio............ --
DFA Municipal Bond Portfolio.............................. 3
DFA Short-Term Municipal Bond Portfolio................... 82
DFA Intermediate-Term Municipal Bond Portfolio............ 19
DFA California Short-Term Municipal Bond Portfolio........ 23
DFA California Intermediate-Term Municipal Bond Portfolio. 4
DFA NY Municipal Bond Portfolio........................... 1
DFA MN Municipal Bond Portfolio........................... --
226
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2018, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and in-kind redemptions (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------- ---------------------
PURCHASES SALES PURCHASES SALES
---------- -------- ---------- ----------
DFA One-Year Fixed Income Portfolio....................... $ 889,346 $990,019 $2,107,169 $1,777,126
DFA Two-Year Global Fixed Income Portfolio................ 267,267 407,339 2,193,008 1,803,618
DFA Selectively Hedged Global Fixed Income Portfolio...... 100,891 29,315 229,464 257,418
DFA Five-Year Global Fixed Income Portfolio............... -- -- 5,034,665 4,205,264
DFA World ex U.S. Government Fixed Income Portfolio....... -- 1,831 297,307 206,524
DFA Short-Term Government Portfolio....................... 473,166 357,411 -- --
DFA Intermediate Government Fixed Income Portfolio........ 663,206 252,808 -- --
DFA Short-Term Extended Quality Portfolio................. -- -- 990,059 572,008
DFA Intermediate-Term Extended Quality Portfolio.......... 22,903 17,401 345,791 214,444
DFA Targeted Credit Portfolio............................. -- -- 160,216 74,184
DFA Global Core Plus Fixed Income Portfolio............... -- 10,825 540,924 202,959
DFA Investment Grade Portfolio............................ 538,778 365,250 784,871 242,508
DFA Diversified Fixed Income Portfolio.................... 44,284 11,422 145,724 --
DFA LTIP Portfolio........................................ 54,114 5,618 -- --
DFA Inflation-Protected Securities Portfolio.............. 1,006,730 709,818 -- --
DFA Short-Duration Real Return Portfolio.................. 81,300 64,715 282,827 150,835
DFA Municipal Real Return Portfolio....................... -- -- 110,656 12,541
DFA California Municipal Real Return Portfolio............ -- -- 76,108 --
DFA Municipal Bond Portfolio.............................. -- -- 96,744 19,853
DFA Short-Term Municipal Bond Portfolio................... -- -- 307,929 183,432
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- 183,107 32,361
DFA California Short-Term Municipal Bond Portfolio........ -- -- 152,074 103,702
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- 75,309 11,130
DFA NY Municipal Bond Portfolio........................... -- -- 13,031 12,063
DFA MN Municipal Bond Portfolio........................... -- -- 15,108 5,812
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
NET REALIZED
GAIN/(LOSS) DIVIDEND
ON SALES OF CHANGE IN INCOME FROM
AFFILIATED UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS INVESTMENT APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/17 AT COST FROM SALES COMPANIES DEPRECIATION 04/30/18 04/30/18 COMPANIES
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
DFA ONE-YEAR FIXED INCOME
PORTFOLIO
DFA Short Term Investment
Fund..................... $100,564 $1,176,920 $898,615 $(40) $17 $378,846 32,744 --
-------- ---------- -------- ---- --- -------- ------ --
TOTAL..................... $100,564 $1,176,920 $898,615 $(40) $17 $378,846 32,744 --
======== ========== ======== ==== === ======== ====== ==
DFA TWO-YEAR GLOBAL FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund..................... $ 27,030 $ 447,243 $304,259 $(14) $ 6 $170,006 14,694 --
-------- ---------- -------- ---- --- -------- ------ --
TOTAL..................... $ 27,030 $ 447,243 $304,259 $(14) $ 6 $170,006 14,694 --
======== ========== ======== ==== === ======== ====== ==
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
COMPANIES
- -------------
DFA ONE-YEAR FIXED INCOME
PORTFOLIO
DFA Short Term Investment
Fund..................... --
--
TOTAL..................... --
==
DFA TWO-YEAR GLOBAL FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund..................... --
--
TOTAL..................... --
==
227
NET REALIZED
GAIN/(LOSS) DIVIDEND
ON SALES OF CHANGE IN INCOME FROM
AFFILIATED UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS INVESTMENT APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/17 AT COST FROM SALES COMPANIES DEPRECIATION 04/30/18 04/30/18 COMPANIES
- ---------- --------- ---------- ------------ ------------- ---------- ------------ -----------
DFA SELECTIVELY HEDGED GLOBAL
FIXED INCOME PORTFOLIO
DFA Short Term Investment
Fund.......................... $ 1 $135,476 $113,567 $ (3) $ 1 $ 21,908 1,894 --
-------- -------- -------- ---- -------- -------- ------ ------
TOTAL.......................... $ 1 $135,476 $113,567 $ (3) $ 1 $ 21,908 1,894 --
======== ======== ======== ==== ======== ======== ====== ======
DFA FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund.......................... $ 77,381 $389,807 $409,863 $(18) $ 4 $ 57,311 4,953 $ 728
-------- -------- -------- ---- -------- -------- ------ ------
TOTAL.......................... $ 77,381 $389,807 $409,863 $(18) $ 4 $ 57,311 4,953 $ 728
======== ======== ======== ==== ======== ======== ====== ======
DFA SHORT-TERM EXTENDED
QUALITY PORTFOLIO
DFA Short Term Investment
Fund.......................... $ 21,242 $433,269 $284,790 $ (8) $ 3 $169,716 14,669 --
-------- -------- -------- ---- -------- -------- ------ ------
TOTAL.......................... $ 21,242 $433,269 $284,790 $ (8) $ 3 $169,716 14,669 --
======== ======== ======== ==== ======== ======== ====== ======
DFA INTERMEDIATE-TERM
EXTENDED QUALITY PORTFOLIO
DFA Short Term Investment
Fund.......................... $ 55,477 $426,961 $308,167 $(24) $ 4 $174,251 15,061 $ 1
-------- -------- -------- ---- -------- -------- ------ ------
TOTAL.......................... $ 55,477 $426,961 $308,167 $(24) $ 4 $174,251 15,061 $ 1
======== ======== ======== ==== ======== ======== ====== ======
DFA TARGETED CREDIT PORTFOLIO
DFA Short Term Investment
Fund.......................... $ 7,336 $100,875 $ 61,791 $ (4) -- $ 46,416 4,012 $ 269
-------- -------- -------- ---- -------- -------- ------ ------
TOTAL.......................... $ 7,336 $100,875 $ 61,791 $ (4) -- $ 46,416 4,012 $ 269
======== ======== ======== ==== ======== ======== ====== ======
DFA INVESTMENT GRADE
PORTFOLIO
DFA Short Term Investment
Fund.......................... $319,672 $850,497 $790,682 $(82) $ 17 $379,422 32,794 $ 2
-------- -------- -------- ---- -------- -------- ------ ------
TOTAL.......................... $319,672 $850,497 $790,682 $(82) $ 17 $379,422 32,794 $ 2
======== ======== ======== ==== ======== ======== ====== ======
DFA DIVERSIFIED FIXED INCOME
PORTFOLIO
Investment in DFA Intermediate
Government Fixed Income
Portfolio of.................. $263,735 $ 95,611 -- -- $(11,836) $347,510 29,008 $3,053
DFA Two-Year Global Fixed
Income Portfolio of........... 158,623 50,113 -- -- (1,640) 207,096 20,940 1,569
-------- -------- -------- ---- -------- -------- ------ ------
TOTAL.......................... $422,358 $145,724 -- -- $(13,476) $554,606 49,948 $4,622
======== ======== ======== ==== ======== ======== ====== ======
DFA SHORT-DURATION REAL
RETURN PORTFOLIO
DFA Short Term Investment
Fund.......................... $ 28,874 $227,943 $164,929 $ (8) $ 1 $ 91,881 7,941 --
-------- -------- -------- ---- -------- -------- ------ ------
TOTAL.......................... $ 28,874 $227,943 $164,929 $ (8) $ 1 $ 91,881 7,941 --
======== ======== ======== ==== ======== ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
COMPANIES
- -------------
DFA SELECTIVELY HEDGED GLOBAL
FIXED INCOME PORTFOLIO
DFA Short Term Investment
Fund.......................... --
----
TOTAL.......................... --
====
DFA FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
DFA Short Term Investment
Fund.......................... --
----
TOTAL.......................... --
====
DFA SHORT-TERM EXTENDED
QUALITY PORTFOLIO
DFA Short Term Investment
Fund.......................... --
----
TOTAL.......................... --
====
DFA INTERMEDIATE-TERM
EXTENDED QUALITY PORTFOLIO
DFA Short Term Investment
Fund.......................... --
----
TOTAL.......................... --
====
DFA TARGETED CREDIT PORTFOLIO
DFA Short Term Investment
Fund.......................... --
----
TOTAL.......................... --
====
DFA INVESTMENT GRADE
PORTFOLIO
DFA Short Term Investment
Fund.......................... --
----
TOTAL.......................... --
====
DFA DIVERSIFIED FIXED INCOME
PORTFOLIO
Investment in DFA Intermediate
Government Fixed Income
Portfolio of.................. $302
DFA Two-Year Global Fixed
Income Portfolio of........... --
----
TOTAL.......................... $302
====
DFA SHORT-DURATION REAL
RETURN PORTFOLIO
DFA Short Term Investment
Fund.......................... --
----
TOTAL.......................... --
====
228
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to net foreign
currency gains/losses, non-deductible expenses, expiration of capital loss
carryovers, distribution redesignations and short term distributions from
underlying RICs were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
DFA One-Year Fixed Income Portfolio....................... $ 2,052 $ (2,053) $ 1
DFA Two-Year Global Fixed Income Portfolio................ 766 (18,714) 17,948
DFA Selectively Hedged Global Fixed Income Portfolio...... 569 (2,970) 2,401
DFA Five-Year Global Fixed Income Portfolio............... 6,178 (35,494) 29,316
DFA World ex U.S. Government Fixed Income Portfolio....... (30,455) (13,047) 43,502
DFA Short-Term Government Portfolio....................... 562 (564) 2
DFA Intermediate Government Fixed Income Portfolio........ 1,270 (1,200) (70)
DFA Short-Term Extended Quality Portfolio................. 1,443 (6,424) 4,981
DFA Intermediate-Term Extended Quality Portfolio.......... 764 (682) (82)
DFA Targeted Credit Portfolio............................. 214 (591) 377
DFA Investment Grade Portfolio............................ 2,443 (7,206) 4,763
DFA Diversified Fixed Income Portfolio.................... 78 (10) (68)
DFA LTIP Portfolio........................................ 26 (76) 50
DFA Inflation-Protected Securities Portfolio.............. 1,105 (1,107) 2
DFA Short-Duration Real Return Portfolio.................. -- (2,461) 2,461
DFA Municipal Real Return Portfolio....................... -- -- --
DFA Municipal Bond Portfolio.............................. -- -- --
DFA Short-Term Municipal Bond Portfolio................... -- -- --
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- --
DFA California Short-Term Municipal Bond Portfolio........ -- -- --
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- --
DFA NY Municipal Bond Portfolio........................... -- -- --
DFA MN Municipal Bond Portfolio........................... -- -- --
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2016 and October 31, 2017 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- -------
DFA One-Year Fixed Income Portfolio
2016................................ $55,296 $2,550 -- $57,846
2017................................ 75,758 403 -- 76,161
229
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
DFA Two-Year Global Fixed Income Portfolio
2016................................................. $ 24,459 -- -- $ 24,459
2017................................................. 46,352 -- -- 46,352
DFA Selectively Hedged Global Fixed Income Portfolio
2016................................................. 10,482 -- -- 10,482
2017................................................. 16,079 -- -- 16,079
DFA Five-Year Global Fixed Income Portfolio
2016................................................. 186,372 $30,555 -- 216,927
2017................................................. 225,389 42,519 -- 267,908
DFA World ex U.S. Government Fixed Income Portfolio
2016................................................. 37,065 629 -- 37,694
2017................................................. 19,427 550 -- 19,977
DFA Short-Term Government Portfolio
2016................................................. 24,266 5,104 -- 29,370
2017................................................. 25,111 4,717 -- 29,828
DFA Intermediate Government Fixed Income Portfolio
2016................................................. 68,307 14,801 -- 83,108
2017................................................. 88,513 6,710 -- 95,223
DFA Short-Term Extended Quality Portfolio
2016................................................. 75,753 5,231 -- 80,984
2017................................................. 84,613 4 -- 84,617
DFA Intermediate-Term Extended Quality Portfolio
2016................................................. 38,250 5,135 -- 43,385
2017................................................. 46,757 2,020 -- 48,777
DFA Targeted Credit Portfolio
2016................................................. 6,004 -- -- 6,004
2017................................................. 9,264 -- -- 9,264
DFA Investment Grade Portfolio
2016................................................. 101,641 13,535 -- 115,176
2017................................................. 150,794 -- -- 150,794
DFA Diversified Fixed Income Portfolio
2016................................................. 110 -- -- 110
2017................................................. 5,141 -- -- 5,141
DFA LTIP Portfolio
2016................................................. 786 -- -- 786
2017................................................. 2,415 -- -- 2,415
DFA Inflation-Protected Securities Portfolio
2016................................................. 36,066 2,828 -- 38,894
2017................................................. 78,014 8,864 -- 86,878
DFA Short-Duration Real Return Portfolio
2016................................................. 9,645 -- -- 9,645
2017................................................. 13,087 -- -- 13,087
DFA Municipal Real Return Portfolio
2016................................................. -- -- $4,131 4,131
2017................................................. -- -- 8,396 8,396
DFA Municipal Bond Portfolio
2016................................................. -- -- 1,922 1,922
2017................................................. -- -- 3,378 3,378
230
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- -------
DFA Short-Term Municipal Bond Portfolio
2016...................................................... -- -- $21,005 $21,005
2017...................................................... -- -- 22,189 22,189
DFA Intermediate-Term Municipal Bond Portfolio
2016...................................................... -- -- 15,739 15,739
2017...................................................... -- -- 20,181 20,181
DFA California Short-Term Municipal Bond Portfolio
2016...................................................... -- -- 7,440 7,440
2017...................................................... -- -- 8,471 8,471
DFA California Intermediate-Term Municipal Bond Portfolio
2016...................................................... -- -- 3,364 3,364
2017...................................................... -- -- 4,115 4,115
DFA NY Municipal Bond Portfolio
2016...................................................... -- -- 487 487
2017...................................................... -- -- 796 796
DFA MN Municipal Bond Portfolio
2016...................................................... -- -- -- --
2017...................................................... -- -- 131 131
The DFA MN Municipal Bond Portfolio commenced operations on July 25, 2017,
and did not pay any distributions for the year ended October 31, 2016.
The DFA California Municipal Real Return Portfolio commenced operations on
November 1, 2017, and did not pay any distributions for the year ended
October 31, 2016. The DFA Global Core Plus Fixed Income Portfolio commenced
operations on January 11, 2018, and did not pay any distributions for the years
ended October 31, 2016 and October 31, 2017.
At October 31, 2017, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
DFA One-Year Fixed Income Portfolio.................. $(2,052) -- $(2,052)
DFA Two-Year Global Fixed Income Portfolio........... (766) -- (766)
DFA Selectively Hedged Global Fixed Income Portfolio. (569) -- (569)
DFA Five-Year Global Fixed Income Portfolio.......... (5,964) $(214) (6,178)
DFA World ex U.S. Government Fixed Income Portfolio.. -- -- --
DFA Short-Term Government Portfolio.................. (562) -- (562)
DFA Intermediate Government Fixed Income Portfolio... (1,200) (70) (1,270)
DFA Short-Term Extended Quality Portfolio............ (1,386) (57) (1,443)
DFA Intermediate-Term Extended Quality Portfolio..... (681) (83) (764)
DFA Targeted Credit Portfolio........................ (196) (18) (214)
DFA Investment Grade Portfolio....................... (2,443) -- (2,443)
DFA Diversified Fixed Income Portfolio............... (77) (1) (78)
DFA LTIP Portfolio................................... (26) -- (26)
DFA Inflation-Protected Securities Portfolio......... (1,105) -- (1,105)
DFA Short-Duration Real Return Portfolio............. -- -- --
DFA Municipal Real Return Portfolio.................. -- -- --
DFA Municipal Bond Portfolio......................... -- -- --
231
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
DFA Short-Term Municipal Bond Portfolio................... -- -- --
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- --
DFA California Short-Term Municipal Bond Portfolio........ -- -- --
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- --
DFA NY Municipal Bond Portfolio........................... -- -- --
DFA MN Municipal Bond Portfolio........................... -- -- --
At October 31, 2017, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
DFA One-Year Fixed Income Portfolio........ $ 398 -- $ (3,162) $(10,506) $(13,270)
DFA Two-Year Global Fixed Income
Portfolio................................ 35,430 -- (7,424) (16,527) 11,479
DFA Selectively Hedged Global Fixed
Income Portfolio......................... 16,780 -- (78,906) (495) (62,621)
DFA Five-Year Global Fixed Income
Portfolio................................ 115,063 $9,217 -- (24,212) 100,068
DFA World ex U.S. Government Fixed
Income Portfolio......................... -- -- (171) 26,484 26,313
DFA Short-Term Government Portfolio........ 2,637 -- (294) (17,066) (14,723)
DFA Intermediate Government Fixed Income
Portfolio................................ 9,396 4,998 -- (12,172) 2,222
DFA Short-Term Extended Quality
Portfolio................................ 14,683 4,054 -- 1,180 19,917
DFA Intermediate-Term Extended Quality
Portfolio................................ 479 5,639 -- 12,162 18,280
DFA Targeted Credit Portfolio.............. 1,558 906 -- 543 3,007
DFA Investment Grade Portfolio............. 27,512 -- (2,725) 30,614 55,401
DFA Diversified Fixed Income Portfolio..... 254 98 -- (2,426) (2,074)
DFA LTIP Portfolio......................... 359 -- (387) 2,029 2,001
DFA Inflation-Protected Securities
Portfolio................................ 11,501 -- (980) 54,202 64,723
DFA Short-Duration Real Return Portfolio... 16,201 -- (16,329) 3,680 3,552
DFA Municipal Real Return Portfolio........ 163 -- (2,664) 10,882 8,381
DFA Municipal Bond Portfolio............... 69 -- (28) 1,661 1,702
DFA Short-Term Municipal Bond Portfolio.... 418 -- (106) 6,385 6,697
DFA Intermediate-Term Municipal Bond
Portfolio................................ 395 -- (104) 18,855 19,146
DFA California Short-Term Municipal Bond
Portfolio................................ 134 -- (23) 4,398 4,509
DFA California Intermediate-Term Municipal
Bond Portfolio........................... 82 -- (8) 5,238 5,312
DFA NY Municipal Bond Portfolio............ 15 -- (1) 705 719
DFA MN Municipal Bond Portfolio............ 5 -- -- (299) (294)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under
232
the Regulated Investment Company Modernization Act of 2010, capital losses
incurred by these Portfolios after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2017, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through October 31 of the indicated expiration
dates, as applicable (amounts in thousands):
2018 2019 UNLIMITED TOTAL
---- ---- --------- -------
DFA One-Year Fixed Income Portfolio....................... -- -- $ 3,162 $ 3,162
DFA Two-Year Global Fixed Income Portfolio................ -- -- 7,424 7,424
DFA Selectively Hedged Global Fixed Income Portfolio...... -- -- 78,906 78,906
DFA Five-Year Global Fixed Income Portfolio............... -- -- -- --
DFA World ex U.S. Government Fixed Income Portfolio....... -- -- 171 171
DFA Short-Term Government Portfolio....................... -- -- 294 294
DFA Intermediate Government Fixed Income Portfolio........ -- -- -- --
DFA Short-Term Extended Quality Portfolio................. -- -- -- --
DFA Intermediate-Term Extended Quality Portfolio.......... -- -- -- --
DFA Targeted Credit Portfolio............................. -- -- -- --
DFA Investment Grade Portfolio............................ -- -- 2,725 2,725
DFA Diversified Fixed Income Portfolio.................... -- -- -- --
DFA LTIP Portfolio........................................ -- -- 387 387
DFA Inflation-Protected Securities Portfolio.............. -- -- 980 980
DFA Short-Duration Real Return Portfolio.................. -- -- 16,329 16,329
DFA Municipal Real Return Portfolio....................... -- -- 2,664 2,664
DFA Municipal Bond Portfolio.............................. -- -- 28 28
DFA Short-Term Municipal Bond Portfolio................... -- $ 3 103 106
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- 104 104
DFA California Short-Term Municipal Bond Portfolio........ $ 1 3 19 23
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- 8 8
DFA NY Municipal Bond Portfolio........................... -- -- 1 1
DFA MN Municipal Bond Portfolio........................... -- -- -- --
During the year ended October 31, 2017, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA Short-Term Extended Quality Portfolio................. $ 612
DFA Targeted Credit Portfolio............................. 121
DFA Investment Grade Portfolio............................ 4,492
DFA California Intermediate-Term Municipal Bond Portfolio. 2
At April 30, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
DFA One-Year Fixed Income Portfolio......... $ 8,445,203 $ 1,071 $ (42,224) $(41,153)
DFA Two-Year Global Fixed Income Portfolio.. 5,574,716 2,993 (55,430) (52,437)
DFA Selectively Hedged Global Fixed Income
Portfolio................................. 1,193,587 16,288 (17,364) (1,076)
DFA Five-Year Global Fixed Income Portfolio. 14,737,994 199,494 (289,000) (89,506)
233
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
DFA World ex U.S. Government Fixed Income Portfolio. $ 989,369 $48,100 $ (7,183) $ 40,917
DFA Short-Term Government Portfolio................. 2,333,298 -- (56,863) (56,863)
DFA Intermediate Government Fixed Income Portfolio.. 4,984,809 9,897 (199,604) (189,707)
DFA Short-Term Extended Quality Portfolio........... 6,089,108 31,736 (114,285) (82,549)
DFA Intermediate-Term Extended Quality Portfolio.... 2,078,093 285 (78,812) (78,527)
DFA Targeted Credit Portfolio....................... 636,853 2,852 (12,038) (9,186)
DFA Global Core Plus Fixed Income Portfolio......... 417,036 6,500 (9,045) (2,545)
DFA Investment Grade Portfolio...................... 9,026,370 7,664 (289,719) (282,055)
DFA Diversified Fixed Income Portfolio.............. 712,007 -- (17,718) (17,718)
DFA LTIP Portfolio.................................. 171,949 2,818 (942) 1,876
DFA Inflation-Protected Securities Portfolio........ 4,632,174 30,645 (60,917) (30,272)
DFA Short-Duration Real Return Portfolio............ 1,350,406 18,378 (23,631) (5,253)
DFA Municipal Real Return Portfolio................. 791,943 19,403 (19,282) 121
DFA California Municipal Real Return Portfolio...... 79,993 866 (1,606) (740)
DFA Municipal Bond Portfolio........................ 415,265 26 (6,259) (6,233)
DFA Short-Term Municipal Bond Portfolio............. 2,546,095 39 (15,221) (15,182)
DFA Intermediate-Term Municipal Bond Portfolio...... 1,752,341 3,126 (24,267) (21,141)
DFA California Short-Term Municipal Bond Portfolio.. 1,078,188 314 (4,974) (4,660)
DFA California Intermediate-Term Municipal Bond
Portfolio......................................... 397,009 1,415 (4,345) (2,930)
DFA NY Municipal Bond Portfolio..................... 92,991 8 (608) (600)
DFA MN Municipal Bond Portfolio..................... 67,643 -- (1,661) (1,661)
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
2. INFLATION PROTECTION RISKS: Because the interest and/or principal
payments on an inflation-protected security are adjusted periodically for
changes in inflation, the income distributed by the DFA Diversified Fixed
Income Portfolio, DFA LTIP Portfolio, DFA Inflation-Protected Securities
Portfolio, DFA Short-Duration Real Return
234
Portfolio and DFA Municipal Real Return Portfolio may be irregular. Although
the U.S. Treasury guarantees to pay at least the original face value of any
inflation-protected securities the Treasury issues, other issuers may not offer
the same guarantee. Also, inflation-protected securities, including those
issued by the U.S. Treasury, are not protected against deflation. As a result,
in a period of deflation, the principal and income of inflation-protected
securities held by a Portfolio will decline and the Portfolio may suffer a loss
during such periods. While inflation-protected securities are expected to be
protected from long-term inflationary trends, short-term increases in inflation
may lead to a decline in a Portfolio's value. For example, if interest rates
rise due to reasons other than inflation, Portfolio's investment in these
securities may not be protected to the extent that the increase is not
reflected in the securities' inflation measures. In addition, positive
adjustments to principal generally will result in taxable income to a Portfolio
at the time of such adjustments (which generally would be distributed by the
Portfolio as part of its taxable dividends), even though the principal amount
is not paid until maturity. The current market value of inflation-protected
securities is not guaranteed and will fluctuate.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
Portfolios.
3. FORWARD CURRENCY CONTRACTS: The International Fixed Income Portfolios
listed below may acquire and sell forward currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies
(foreign exchange rate risk). The decision to hedge a Portfolio's currency
exposure with respect to a foreign market will be based primarily on the
Portfolio's existing exposure to a given foreign currency. Each contract is
valued daily and the change in value is recorded by the Portfolio as an
unrealized gain or loss, which is presented in the Statement of Operations as
the change in unrealized appreciation or depreciation from translation of
foreign-currency-denominated amounts. When the contract is closed or offset
with the same counterparty, the Portfolio records a realized gain or loss equal
to the change in the value of the contract when it was opened and the value at
the time it was closed or offset. This is presented in the Statement of
Operations as a net realized gain or loss on foreign currency transactions.
Risks may arise upon entering into these contracts from the potential inability
of counterparties to meet the terms of their contracts and from unanticipated
movements in the value of foreign currency relative to the U.S. dollar.
4. SWAP AGREEMENTS: The International Fixed Income Portfolios noted below
may enter into inflation swap agreements to seek inflation protection.
Inflation swap agreements are contracts in which one party agrees to pay the
cumulative percentage increase in a price index (the Consumer Price Index with
respect to CPI swaps) over the term of the swap (with some lag on the inflation
index), and the other pays a compounded fixed rate. Inflation swap agreements
may be used by the International Fixed Income Portfolios to hedge the inflation
risk in nominal bonds (i.e. non-inflation indexed bonds) thereby creating
"synthetic" inflation-indexed bonds. Among other reasons, one factor that may
lead to changes in the values of inflation swap agreements are changes in real
interest rates. Real interest rates are tied to the relationship between
nominal interest rates and the rate of inflation. If nominal interest rates
increase at a faster rate than inflation, real interest rates may rise, which
may lead to a change in the value of an inflation swap agreement. Additionally,
payments received by the International Fixed Income Portfolios from inflation
swap agreements will result in taxable income, either as ordinary income or
capital gains, which will increase the amount of taxable distributions received
by shareholders.
The Advisor and the Fund do not believe that a Portfolio's obligations under
swap contracts are senior securities and, accordingly, the Portfolio will not
treat them as being subject to the Portfolio's borrowing or senior securities
restrictions. Most swap agreements entered into by the Portfolio will calculate
the obligations of the parties to the agreement on a "net" basis, which means
that the two payment streams are netted out, with the Portfolio receiving or
paying, as the case may be, only the net amount of the two payments. The
Portfolio's current obligations under a swap agreement will be accrued daily
(offset against any amounts owed to the Portfolio) and any accrued but unpaid
net amounts owed to a swap counterparty will be covered by the segregation of
assets determined to be liquid to avoid any potential leveraging of the
Portfolio's portfolio. To the extent that a Portfolio cannot dispose of a swap
in the ordinary course of business within seven days at approximately the value
at which the Portfolio has valued the swap, the Portfolio will treat the swap
as illiquid and subject to its overall limit on illiquid investments of 15% of
the Portfolio's net assets. Inflation swap agreements are not currently subject
to mandatory central clearing and exchange-trading.
235
Uncleared swaps are typically executed bilaterally with a swap dealer rather
than traded on exchanges. Parties to uncleared swaps face greater counterparty
credit risk than those engaging in cleared swaps since performance of uncleared
swap obligations is the responsibility only of the swap counterparty rather
than a clearing house, as is the case with cleared swaps. As a result, a
Portfolio bears the risk of loss of the amount expected to be received under a
swap agreement in the event of the default, insolvency or bankruptcy of a swap
agreement counterparty beyond any collateral received. In such an event, the
Portfolio will have contractual remedies pursuant to the swap agreements, but
bankruptcy and insolvency laws could affect the Portfolio's rights as a
creditor.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amounts in
thousands):
FORWARD
CURRENCY SWAP
CONTRACTS CONTRACTS
--------- ---------
DFA Two-Year Global Fixed Income Portfolio........... 1,244,926 --
DFA Selectively Hedged Global Fixed Income Portfolio. 457,642 --
DFA Five-Year Global Fixed Income Portfolio.......... 7,255,754 --
DFA World ex U.S. Government Fixed Income Portfolio.. 1,054,076 --
DFA Short-Term Extended Quality Portfolio............ 961,406 --
DFA Targeted Credit Portfolio........................ 100,289 --
DFA Global Core Plus Fixed Income Portfolio.......... 128,509 --
DFA Investment Grade Portfolio....................... 177,208 --
DFA Short-Duration Real Return Portfolio............. 230,560 1,174,714
DFA Municipal Real Return Portfolio.................. -- 759,286
DFA California Municipal Real Return Portfolio....... -- 49,714
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of April 30, 2018:
LOCATION ON THE STATEMENTS OF ASSETS AND
LIABILITIES
---------------------------------------------------
DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------- ------------------------ ------------------------
Forward currency Unrealized Gain on Unrealized Loss on
contracts Forward Currency Forward Currency
Contracts Contracts
Inflation swap contracts Unrealized Gain on Swap Unrealized Loss on Swap
Contracts Contracts
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
ASSET DERIVATIVES VALUE
----------------------------------
TOTAL VALUE FORWARD
AT CURRENCY SWAP
APRIL 30, 2018 CONTRACTS CONTRACTS
- -------------- --------- ---------
DFA Two-Year Global Fixed Income Portfolio........... $ 20,373 $ 20,373 --
DFA Selectively Hedged Global Fixed Income Portfolio. 9,592 9,592 --
DFA Five-Year Global Fixed Income Portfolio.......... 198,389 198,389 --
DFA World ex U.S. Government Fixed Income Portfolio.. 23,048 23,048 --
DFA Short-Term Extended Quality Portfolio............ 34,284 34,284 --
DFA Targeted Credit Portfolio........................ 1,766 1,766 --
DFA Global Core Plus Fixed Income Portfolio.......... 6,335 6,335 --
DFA Investment Grade Portfolio....................... 6,409 6,409 --
DFA Short-Duration Real Return Portfolio............. 20,269 4,385 $15,884
DFA Municipal Real Return Portfolio.................. 19,291 -- 19,291
DFA California Municipal Real Return Portfolio....... 864 -- 864
236
LIABILITY DERIVATIVES VALUE
- ---------------------------------
TOTAL VALUE FORWARD
AT CURRENCY SWAP
APRIL 30, 2018 CONTRACTS CONTRACTS
-------------- --------- ---------
DFA Two-Year Global Fixed Income Portfolio.......... $ (276) $ (276) --
DFA Five-Year Global Fixed Income Portfolio......... (2,236) (2,236) --
DFA World ex U.S. Government Fixed Income Portfolio. (241) (241) --
DFA Short-Term Extended Quality Portfolio........... (942) (942) --
DFA Global Core Plus Fixed Income Portfolio......... (2) (2) --
DFA Short-Duration Real Return Portfolio............ (1,129) -- $(1,129)
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the six months ended
April 30, 2018:
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
--------------- --------------------------------------
Forward Currency contracts Net Realized Gain (Loss) on: Forward
Currency Transactions Change in
Unrealized Appreciation
(Depreciation) of: Translation of
Foreign Currency Denominated Amounts
Inflation Swap contracts Net Realized Gain (Loss) on: Swap
Contracts Change in Unrealized
Appreciation (Depreciation) of:
Swap Contracts
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2018 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
DFA Two-Year Global Fixed Income Portfolio........... $ 10,272 $ 10,272 --
DFA Selectively Hedged Global Fixed Income Portfolio. (6,289) (6,289) --
DFA Five-Year Global Fixed Income Portfolio.......... (79,891) (79,891) --
DFA World ex U.S. Government Fixed Income Portfolio.. (29,817) (29,817) --
DFA Short-Term Extended Quality Portfolio............ (1,817) (1,817) --
DFA Targeted Credit Portfolio........................ (2,448) (2,448) --
DFA Global Core Plus Fixed Income Portfolio.......... 59 59 --
DFA Investment Grade Portfolio....................... (432) (432) --
DFA Short-Duration Real Return Portfolio............. 1,705 1,421 $284
DFA Municipal Real Return Portfolio.................. 23 -- 23
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS CONTRACTS
-------- --------- ---------
DFA Two-Year Global Fixed Income Portfolio........... $ (6,652) $ (6,652) --
DFA Selectively Hedged Global Fixed Income Portfolio. 12,169 12,169 --
DFA Five-Year Global Fixed Income Portfolio.......... 121,553 121,553 --
DFA World ex U.S. Government Fixed Income Portfolio.. 12,530 12,530 --
DFA Short-Term Extended Quality Portfolio............ 24,176 24,176 --
DFA Targeted Credit Portfolio........................ 910 910 --
237
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
------------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
DFA Global Core Plus Fixed Income Portfolio.... $ 6,333 $6,333 --
DFA Investment Grade Portfolio................. 4,183 4,183 --
DFA Short-Duration Real Return Portfolio....... 11,344 767 $10,577
DFA Municipal Real Return Portfolio............ 11,472 -- 11,472
DFA California Municipal Real Return Portfolio. 864 -- 864
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and forward currency contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
"Statement of assets and liabilities."
The Portfolios are subject to master netting agreements ("MNA") with certain
counterparties which govern the terms of derivative transactions and reduce the
counterparty risk associated with such transactions by specifying offsetting
mechanisms and collateral posting arrangements at pre-arranged exposure
levels. Since different types of transactions have different mechanics and are
sometimes traded out of different legal entities of a particular counterparty
organization, each type of transaction may be covered by a different MNA,
possibly resulting in the need for multiple agreements with a single
counterparty. As the MNA's are specific to unique operations of different asset
types, they allow each Portfolio to close out and net its total exposure to a
counterparty in the event of a default with respect to all the transactions
governed under a single MNA with a counterparty. Certain MNA's contain
provisions which allow for the net settlement of receivable and payable
positions with the same counterparty if defined conditions are met.
238
The following table presents the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of April 30, 2018
(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 TWO-YEAR
GLOBAL FIXED
INCOME PORTFOLIO
Bank of America
Corp.............. $ 1,533 $ 1,533 $ (12) -- $ 1,521 $ 12 $ 12 $ (12) -- --
Citibank, N.A...... 117 117 (117) -- -- 232 232 (117) -- $115
HSBC Bank.......... 3,384 3,384 -- -- 3,384 -- -- -- -- --
JP Morgan.......... 4,396 4,396 -- -- 4,396 -- -- -- -- --
Morgan Stanley..... 1,511 1,511 -- -- 1,511 -- -- -- -- --
State Street Bank
and Trust......... 6,771 6,771 -- -- 6,771 -- -- -- -- --
UBS AG............. 2,661 2,661 (32) -- 2,629 32 32 (32) -- --
-------- -------- ------- -- -------- ------ ------ ------- -- ----
$ 20,373 $ 20,373 $ (161) -- $ 20,212 $ 276 $ 276 $ (161) -- $115
======== ======== ======= == ======== ====== ====== ======= == ====
DFA SELECTIVELY
HEDGED GLOBAL
FIXED INCOME
PORTFOLIO
Bank of America
Corp.............. $ 15 $ 15 -- -- $ 15 -- -- -- -- --
Citibank, N.A...... 281 281 -- -- 281 -- -- -- -- --
State Street Bank
and Trust......... 9,296 9,296 -- -- 9,296 -- -- -- -- --
-------- -------- ------- -- -------- ------ ------ ------- -- ----
$ 9,592 $ 9,592 -- -- $ 9,592 -- -- -- -- --
======== ======== ======= == ======== ====== ====== ======= == ====
DFA FIVE-YEAR
GLOBAL FIXED
INCOME PORTFOLIO
ANZ Securities..... $ 3,518 $ 3,518 -- -- $ 3,518 -- -- -- -- --
Bank of America
Corp.............. 11,793 11,793 $ (650) -- 11,143 $ 650 $ 650 $ (650) -- --
Barclays Capital... 10,041 10,041 (17) -- 10,024 17 17 (17) -- --
Citibank, N.A...... 27,792 27,792 (755) -- 27,037 755 755 (755) -- --
HSBC Bank.......... 3,072 3,072 (241) -- 2,831 241 241 (241) -- --
JP Morgan.......... 23,933 23,933 (195) -- 23,738 195 195 (195) -- --
Morgan Stanley and
Co.
International..... 12,525 12,525 (35) -- 12,490 35 35 (35) -- --
National Australia
Bank Ltd.......... 6,658 6,658 -- -- 6,658 -- -- -- -- --
State Street Bank
and Trust......... 59,824 59,824 (319) -- 59,505 319 319 (319) -- --
UBS AG............. 39,233 39,233 (24) -- 39,209 24 24 (24) -- --
-------- -------- ------- -- -------- ------ ------ ------- -- ----
$198,389 $198,389 $(2,236) -- $196,153 $2,236 $2,236 $(2,236) -- --
======== ======== ======= == ======== ====== ====== ======= == ====
239
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
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED
----------- ---------- ----------- ----------- ---------- ------- ----------- ----------- ----------- ----------
ASSETS LIABILITIES
----------------------------------------------------- ----------------------------------------------
DFA WORLD EX U.S.
GOVERNMENT FIXED
INCOME PORTFOLIO
Bank of America
Corp................. $ 124 $ 124 -- -- $ 124 -- -- -- --
Citibank, N.A......... 2,208 2,208 -- -- 2,208 -- -- -- --
JP Morgan............. 979 979 $(198) -- 781 $198 $198 $(198) --
State Street Bank and
Trust................ 12,219 12,219 -- -- 12,219 -- -- -- --
UBS AG................ 7,518 7,518 (43) -- 7,475 43 43 (43) --
------- ------- ----- -- ------- ---- ---- ----- --
$23,048 $23,048 $(241) -- $22,807 $241 $241 $(241) --
======= ======= ===== == ======= ==== ==== ===== ==
DFA SHORT-TERM
EXTENDED QUALITY
PORTFOLIO
Bank of America
Corp................. $ 3,486 $ 3,486 $(406) -- $ 3,080 $406 $406 $(406) --
Citibank N.A.......... -- -- -- -- -- 536 536 -- --
Citibank, N.A......... 8,578 8,578 -- -- 8,578 -- -- -- --
JP Morgan............. 9,991 9,991 -- -- 9,991 -- -- -- --
State Street Bank and
Trust................ 12,229 12,229 -- -- 12,229 -- -- -- --
------- ------- ----- -- ------- ---- ---- ----- --
$34,284 $34,284 $(406) -- $33,878 $942 $942 $(406) --
======= ======= ===== == ======= ==== ==== ===== ==
DFA TARGETED CREDIT
PORTFOLIO
Citibank, N.A......... $ 320 $ 320 -- -- $ 320 -- -- -- --
State Street Bank and
Trust................ 1,446 1,446 -- -- 1,446 -- -- -- --
------- ------- ----- -- ------- ---- ---- ----- --
$ 1,766 $ 1,766 -- -- $ 1,766 -- -- -- --
======= ======= ===== == ======= ==== ==== ===== ==
DFA GLOBAL CORE
PLUS FIXED INCOME
PORTFOLIO
Citibank, N.A......... $ 565 $ 565 $ (2) -- $ 563 $ 2 $ 2 $ (2) --
State Street Bank and
Trust................ 5,770 5,770 -- -- 5,770 -- -- -- --
------- ------- ----- -- ------- ---- ---- ----- --
$ 6,335 $ 6,335 $ (2) -- $ 6,333 $ 2 $ 2 $ (2) --
======= ======= ===== == ======= ==== ==== ===== ==
DFA INVESTMENT
GRADE PORTFOLIO
JP Morgan............. $ 438 $ 438 -- -- $ 438 -- -- -- --
State Street Bank and
Trust................ 5,971 5,971 -- -- 5,971 -- -- -- --
------- ------- ----- -- ------- ---- ---- ----- --
$ 6,409 $ 6,409 -- -- $ 6,409 -- -- -- --
======= ======= ===== == ======= ==== ==== ===== ==
NET
AMOUNT
DESCRIPTION (E)
----------- ------
-------
DFA WORLD EX U.S.
GOVERNMENT FIXED
INCOME PORTFOLIO
Bank of America
Corp................. --
Citibank, N.A......... --
JP Morgan............. --
State Street Bank and
Trust................ --
UBS AG................ --
----
--
====
DFA SHORT-TERM
EXTENDED QUALITY
PORTFOLIO
Bank of America
Corp................. --
Citibank N.A.......... $536
Citibank, N.A......... --
JP Morgan............. --
State Street Bank and
Trust................ --
----
$536
====
DFA TARGETED CREDIT
PORTFOLIO
Citibank, N.A......... --
State Street Bank and
Trust................ --
----
--
====
DFA GLOBAL CORE
PLUS FIXED INCOME
PORTFOLIO
Citibank, N.A......... --
State Street Bank and
Trust................ --
----
--
====
DFA INVESTMENT
GRADE PORTFOLIO
JP Morgan............. --
State Street Bank and
Trust................ --
----
--
====
240
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 SHORT-DURATION
REAL RETURN
PORTFOLIO
Barclays Capital... $ 2,267 $ 2,267 -- -- $ 2,267 -- -- -- -- --
Citibank, N.A...... 7,776 7,776 -- -- 7,776 -- -- -- -- --
Bank of America
Corp.............. 4,069 4,069 $ (157) -- 3,912 $ 157 $ 157 $ (157) -- --
Credit Suisse...... 99 99 -- -- 99 -- -- -- -- --
Deutsche Bank
AG................ 1,161 1,161 -- -- 1,161 -- -- -- -- --
Deutsche Bank AG,
London Branch..... 4,897 4,897 (972) -- 3,925 972 972 (972) -- --
------- ------- ------- -- -------- ------ ------ ------- -- --
$20,269 $20,269 $(1,129) -- $(19,140) $1,129 $1,129 $(1,129) -- --
======= ======= ======= == ======== ====== ====== ======= == ==
DFA MUNICIPAL REAL
RETURN PORTFOLIO
Bank of America
Corp.............. $ 8,810 $ 8,810 -- -- $ 8,810 -- -- -- -- --
Citibank, N.A...... 10,481 10,481 -- -- 10,481 -- -- -- -- --
------- ------- ------- -- -------- ------ ------ ------- -- --
$19,291 $19,291 -- -- $ 19,291 -- -- -- -- --
======= ======= ======= == ======== ====== ====== ======= == ==
(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 I contains information regarding securities lending amounts that are
subject to netting arrangements.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
241
The Portfolios did not utilize the lines of credit during the six months
ended April 30, 2018.
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. The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolios did not utilize the interfund lending program during the six
months ended April 30, 2018.
I. SECURITIES LENDING:
As of April 30, 2018, 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 (amount in thousands):
MARKET
VALUE
------
DFA One-Year Fixed Income Portfolio. $3,676
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, a Portfolio
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
Subject to their stated investment policies, the Portfolios with securities
on loan will generally invest the cash collateral received for the loaned
securities in the Money Market Series, an affiliated registered money market
fund advised by the Advisor for which the Advisor receives a management fee of
0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses, and other payments to and from
borrowers of securities. Such Portfolios also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Portfolio with securities on loan will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
242
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2018
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
- ------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Agency Obligations, Bonds, U.S. Treasury Obligations. $378,846,334 -- -- -- $378,846,334
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Agency Obligations, Bonds............................ 170,005,749 -- -- -- 170,005,749
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
Bonds................................................ 21,907,864 -- -- -- 21,907,864
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Bonds................................................ 57,311,297 -- -- -- 57,311,297
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
Agency Obligations, Bonds............................ 169,716,042 -- -- -- 169,716,042
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
Bonds................................................ 174,250,875 -- -- -- 174,250,875
DFA TARGETED CREDIT PORTFOLIO
Bonds................................................ 46,416,474 -- -- -- 46,416,474
DFA INVESTMENT GRADE PORTFOLIO
Agency Obligations, Bonds, U.S. Treasury Obligations. 379,422,475 -- -- -- 379,422,475
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Agency Obligations, Bonds............................ 91,880,608 -- -- -- 91,880,608
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial
statements.
L. OTHER:
At April 30, 2018, the following number of shareholders held the following
approximate percentages of the stated Portfolios' outstanding shares. One or
more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA One-Year Fixed Income Portfolio.................. 5 74%
DFA Two-Year Global Fixed Income Portfolio........... 4 80%
DFA Selectively Hedged Global Fixed Income Portfolio. 3 84%
DFA Five-Year Global Fixed Income Portfolio.......... 3 77%
243
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA World ex U.S. Government Fixed Income Portfolio....... 4 74%
DFA Short-Term Government Portfolio....................... 4 80%
DFA Intermediate Government Fixed Income Portfolio........ 4 84%
DFA Short-Term Extended Quality Portfolio................. 4 76%
DFA Intermediate-Term Extended Quality Portfolio.......... 6 84%
DFA Targeted Credit Portfolio............................. 3 84%
DFA Global Core Plus Fixed Income Portfolio............... 3 96%
DFA Investment Grade Portfolio............................ 4 87%
DFA Diversified Fixed Income Portfolio.................... 3 100%
DFA LTIP Portfolio........................................ 6 89%
DFA Inflation-Protected Securities Portfolio.............. 3 48%
DFA Short-Duration Real Return Portfolio.................. 3 82%
DFA Municipal Real Return Portfolio....................... 3 93%
DFA California Municipal Real Return Portfolio............ 3 98%
DFA Municipal Bond Portfolio.............................. 4 95%
DFA Short-Term Municipal Bond Portfolio................... 4 90%
DFA Intermediate-Term Municipal Bond Portfolio............ 4 85%
DFA California Short-Term Municipal Bond Portfolio........ 3 95%
DFA California Intermediate-Term Municipal Bond Portfolio. 4 96%
DFA NY Municipal Bond Portfolio........................... 3 91%
DFA MN Municipal Bond Portfolio........................... 1 96%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filled actions against all shareholders of
The Tribune Company who tendered shared when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, or 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.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
244
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 Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of a Portfolio's fiscal year. As
a result, shareholders should not use the information provided in this notice
for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
- --------------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS PAID-IN
FISCAL YEAR, FROM THE SALE SURPLUS
AND ACCUMULATED OF SECURITIES OR OTHER
UNDISTRIBUTED NET OR OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- --------
DFA One-Year Fixed Income Portfolio
December 14, 2017......................... 54% 0% 46%
DFA Two-Year Global Fixed Income Portfolio
December 14, 2017......................... 37% 0% 63%
DFA Selectively Hedged Global Fixed Income Portfolio
December 14, 2017......................... 76% 0% 24%
DFA Five-Year Global Fixed Income Portfolio
December 14, 2017......................... 43% 0% 57%
DFA World ex U.S. Government Fixed Income Portfolio
December 14, 2017......................... 0% 0% 100%
DFA Short-Term Government Portfolio
December 14, 2017......................... 81% 0% 19%
DFA Intermediate Government Fixed Income Portfolio
December 14, 2017......................... 82% 0% 18%
DFA Short-Term Extended Quality Portfolio
December 14, 2017......................... 45% 0% 55%
DFA Intermediate-Term Extended Quality Portfolio
December 14, 2017......................... 59% 0% 41%
DFA Targeted Credit Portfolio
December 14, 2017......................... 50% 0% 50%
DFA Investment Grade Portfolio
December 15, 2017......................... 84% 0% 16%
DFA Diversified Fixed Income Portfolio
December 15, 2017......................... 87% 0% 13%
DFA LTIP Portfolio
December 14, 2017......................... 60% 0% 40%
DFA Inflation Protected Securities Portfolio
December 14, 2017......................... 59% 0% 41%
DFA Short-Duration Real Return Portfolio
December 15, 2017......................... 77% 0% 23%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
245
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
DFA TWO-YEAR FIXED INCOME PORTFOLIO
-----------------------------------
Actual Fund Return.................. $1,000.00 $ 998.80 0.21% $1.04
Hypothetical 5% Annual Return....... $1,000.00 $1,023.75 0.21% $1.05
DFA TWO-YEAR GOVERNMENT PORTFOLIO
---------------------------------
Actual Fund Return.................. $1,000.00 $ 998.40 0.20% $0.99
Hypothetical 5% Annual Return....... $1,000.00 $1,023.80 0.20% $1.00
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
246
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 29, 2018. They are available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
FIXED INCOME PORTFOLIOS
DFA TWO-YEAR FIXED INCOME PORTFOLIO
Corporate.................................... 24.2%
Government................................... 7.5%
Foreign Corporate............................ 35.3%
Foreign Government........................... 27.8%
Supranational................................ 5.2%
-----
100.0%
DFA TWO-YEAR GOVERNMENT PORTFOLIO
Government................................... 100.0%
-----
100.0%
247
DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (3.2%)
Federal Home Loan Bank
2.125%, 02/11/20............................. 250 $ 248,286
1.875%, 03/13/20............................. 250 247,044
4.125%, 03/13/20............................. 600 616,944
2.375%, 03/30/20............................. 450 448,629
Federal Home Loan Mortgage Corp.
1.250%, 10/02/19............................. 250 245,851
Federal National Mortgage Association
1.000%, 10/24/19............................. 1,000 978,799
----------
TOTAL AGENCY OBLIGATIONS......................... 2,785,553
----------
BONDS -- (90.9%)
African Development Bank
1.125%, 09/20/19............................. 500 490,230
1.375%, 02/12/20............................. 750 733,682
1.875%, 03/16/20............................. 1,250 1,232,283
Agence Francaise de Developpement
1.375%, 08/02/19............................. 600 590,359
1.625%, 01/21/20............................. 1,734 1,699,629
Alberta, Province of Canada
1.900%, 12/06/19............................. 2,000 1,973,938
ANZ New Zealand International Ltd.
2.600%, 09/23/19............................. 700 696,005
Apple, Inc.
1.500%, 09/12/19............................. 1,150 1,133,537
1.900%, 02/07/20............................. 1,054 1,040,793
Australia & New Zealand Banking Group, Ltd.
2.250%, 06/13/19............................. 500 497,520
1.600%, 07/15/19............................. 750 738,407
## 2.250%, 12/19/19............................. 400 396,637
Bank Nederlandse Gemeenten NV
1.625%, 11/25/19............................. 250 245,940
## 2.500%, 02/28/20............................. 1,850 1,841,523
2.500%, 02/28/20............................. 200 199,084
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 469 466,842
Caisse d'Amortissement de la Dette Sociale
1.750%, 09/24/19............................. 1,000 987,888
Chevron Corp.
1.991%, 03/03/20............................. 1,000 986,969
Cisco Systems, Inc.
2.125%, 03/01/19............................. 1,600 1,596,390
4.450%, 01/15/20............................. 250 257,140
Commonwealth Bank of Australia
2.500%, 09/20/18............................. 250 250,149
1.750%, 11/02/18............................. 625 622,210
2.250%, 03/13/19............................. 476 474,452
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 1,450 1,446,654
## 4.750%, 01/15/20............................. 500 514,028
FACE
AMOUNT VALUE+
------ ------
(000)
Council Of Europe Development Bank
1.750%, 11/14/19............................. 500 $ 493,785
1.875%, 01/27/20............................. 750 740,302
1.625%, 03/10/20............................. 381 373,929
Dexia Credit Local SA
2.250%, 01/30/19............................. 600 598,497
Erste Abwicklungsanstalt
1.625%, 02/21/19............................. 1,600 1,588,950
European Bank for Reconstruction & Development
1.750%, 11/26/19............................. 748 738,620
European Investment Bank
1.125%, 08/15/19............................. 500 491,278
1.625%, 03/16/20............................. 819 803,947
Export Development Canada
1.750%, 08/19/19............................. 750 742,455
## 2.300%, 02/10/20............................. 1,000 993,855
FMS Wertmanagement
1.000%, 08/16/19............................. 1,200 1,176,684
General Electric Co.
6.000%, 08/07/19............................. 1,000 1,038,001
Inter-American Development Bank
1.125%, 09/12/19............................. 543 532,990
International Bank for Reconstruction &
Development
0.875%, 08/15/19............................. 650 636,786
1.875%, 10/07/19............................. 1,700 1,684,562
Kommunekredit
1.125%, 08/23/19............................. 1,000 981,136
1.750%, 01/10/20............................. 500 492,720
Kommuninvest I Sverige AB
1.125%, 09/17/19............................. 600 587,919
2.000%, 11/12/19............................. 250 247,642
1.750%, 03/19/20............................. 500 491,368
Kreditanstalt fuer Wiederaufbau
1.500%, 09/09/19............................. 1,350 1,331,298
1.250%, 09/30/19............................. 750 735,992
4.000%, 01/27/20............................. 250 255,744
Manitoba, Province of Canada
1.750%, 05/30/19............................. 2,200 2,179,958
Merck & Co., Inc.
1.850%, 02/10/20............................. 1,489 1,467,411
Municipality Finance P.L.C.
1.500%, 03/23/20............................. 968 946,619
National Australia Bank, Ltd.
2.250%, 07/01/19............................. 1,250 1,241,679
2.250%, 01/10/20............................. 500 493,240
Nederlandse Waterschapsbank NV
## 1.750%, 09/05/19............................. 200 197,641
## 1.250%, 09/09/19............................. 450 441,858
1.625%, 03/04/20............................. 500 490,200
Nestle Holdings, Inc.
2.125%, 01/14/20............................. 500 494,148
Nordea Bank AB
## 1.625%, 09/30/19............................. 500 490,502
248
DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ------
(000)
Novartis Capital Corp.
1.800%, 02/14/20............................. 2,335 $2,296,120
NRW Bank
1.250%, 07/29/19............................. 250 245,763
Ontario, Province of Canada
4.400%, 04/14/20............................. 1,850 1,906,386
Oracle Corp.
2.375%, 01/15/19............................. 275 275,260
2.250%, 10/08/19............................. 1,250 1,244,219
Pfizer, Inc.
2.100%, 05/15/19............................. 876 871,953
Procter & Gamble Co. (The)
1.750%, 10/25/19............................. 500 494,321
Province of Ontario Canada
1.650%, 09/27/19............................. 500 493,130
Royal Bank of Canada
2.150%, 03/15/19............................. 1,420 1,414,537
1.625%, 04/15/19............................. 842 833,970
Shell International Finance BV
1.375%, 09/12/19............................. 200 196,453
4.300%, 09/22/19............................. 500 511,580
4.375%, 03/25/20............................. 1,446 1,487,768
State of North Rhine-Westphalia Germany
1.875%, 06/17/19............................. 400 396,807
1.250%, 09/16/19............................. 200 196,193
1.625%, 01/22/20............................. 1,500 1,471,651
Statoil ASA
2.250%, 11/08/19............................. 2,463 2,441,499
Svensk Exportkredit AB
1.250%, 04/12/19............................. 1,150 1,137,064
1.875%, 06/17/19............................. 1,200 1,190,796
Svenska Handelsbanken AB
2.500%, 01/25/19............................. 2,116 2,113,672
Toronto-Dominion Bank (The)
2.125%, 07/02/19............................. 1,250 1,242,006
1.900%, 10/24/19............................. 1,000 986,150
FACE
AMOUNT VALUE+
------ ------
(000)
Total Capital International SA
2.100%, 06/19/19............................. 950 $ 944,435
Toyota Motor Credit Corp.
2.100%, 01/17/19............................. 750 748,440
1.700%, 02/19/19............................. 500 496,942
1.400%, 05/20/19............................. 198 195,735
2.200%, 01/10/20............................. 948 938,117
Walmart Inc
1.750%, 10/09/19............................. 2,000 1,980,155
Westpac Banking Corp.
2.250%, 01/17/19............................. 2,334 2,329,681
-----------
TOTAL BONDS........................................ 78,394,808
-----------
U.S. TREASURY OBLIGATIONS -- (3.9%)
U.S. Treasury Notes
1.250%, 01/31/20............................. 1,000 979,414
1.250%, 02/29/20............................. 1,100 1,075,809
1.375%, 03/31/20............................. 200 195,859
1.500%, 04/15/20............................. 1,100 1,079,031
-----------
TOTAL U.S. TREASURY OBLIGATIONS.................... 3,330,113
-----------
TOTAL INVESTMENT SECURITIES........................ 84,510,474
-----------
SHARES
------
TEMPORARY CASH INVESTMENTS -- (2.0%)
State Street Institutional U.S. Government
Money Market Fund, 1.630%................... 1,701,280 1,701,280
-----------
TEMPORARY CASH INVESTMENTS -- (0.0%)
(S)@ DFA Short Term Investment Fund............... 17 202
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $86,782,594)............................... $86,211,956
===========
Summary of the Portfolio's investments as of April 30, 2018, 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................. -- $ 2,785,553 -- $ 2,785,553
Bonds.............................. -- 78,394,808 -- 78,394,808
U.S. Treasury Obligations.......... -- 3,330,113 -- 3,330,113
Temporary Cash Investments......... $1,701,280 -- -- 1,701,280
Temporary Cash Investments......... -- 202 -- 202
---------- ----------- -- -----------
TOTAL.............................. $1,701,280 $84,510,676 -- $86,211,956
========== =========== == ===========
See accompanying Notes to Financial Statements.
249
DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
FACE
AMOUNT VALUE+
------- ------------
(000)
U.S. TREASURY OBLIGATIONS -- (53.3%)
U.S. Treasury Notes
1.875%, 12/31/19........................................... 450 $ 445,816
1.250%, 01/31/20........................................... 14,000 13,711,797
1.375%, 02/15/20........................................... 10,250 10,053,008
1.250%, 02/29/20........................................... 14,900 14,572,316
1.625%, 03/15/20........................................... 5,000 4,922,070
1.375%, 03/31/20........................................... 5,000 4,896,485
1.500%, 04/15/20........................................... 12,100 11,869,344
------------
TOTAL U.S. TREASURY OBLIGATIONS............................. 60,470,836
------------
AGENCY OBLIGATIONS -- (46.3%)
Federal Home Loan Bank
1.500%, 10/21/19........................................... 650 641,040
1.375%, 11/15/19........................................... 2,500 2,460,875
2.375%, 12/13/19........................................... 2,500 2,494,300
2.125%, 02/11/20........................................... 8,350 8,292,744
1.875%, 03/13/20........................................... 10,000 9,881,760
4.125%, 03/13/20........................................... 14,250 14,652,420
2.375%, 03/30/20........................................... 14,200 14,156,747
------------
TOTAL AGENCY OBLIGATIONS.................................... 52,579,886
------------
TOTAL INVESTMENT SECURITIES................................. 113,050,722
------------
SHARES
-------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market
Fund, 1.630%............................................... 397,090 397,090
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $113,771,651)........... $113,447,812
============
Summary of the Portfolio's investments as of April 30, 2018, 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.......... -- $ 60,470,836 -- $ 60,470,836
Agency Obligations................. -- 52,579,886 -- 52,579,886
Temporary Cash Investments......... $397,090 -- -- 397,090
-------- ------------ -- ------------
TOTAL.............................. $397,090 $113,050,722 -- $113,447,812
======== ============ == ============
See accompanying Notes to Financial Statements.
250
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA TWO-YEAR DFA TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
------------ ------------
ASSETS:
Investments at Value................................................................... $ 84,510 $ 113,051
Temporary Cash Investments at Value & Cost............................................. 1,701 397
Receivables:
Interest............................................................................. 392 356
Fund Shares Sold..................................................................... 4,057 20
Prepaid Expenses and Other Assets...................................................... 16 22
------------ ------------
Total Assets...................................................................... 90,676 113,846
------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased...................................................... 1,246 --
Fund Shares Redeemed................................................................. 110 6
Due to Advisor....................................................................... 10 14
Accrued Expenses and Other Liabilities................................................. 16 20
------------ ------------
Total Liabilities................................................................. 1,382 40
------------ ------------
NET ASSETS............................................................................. $ 89,294 $ 113,806
============ ============
Institutional Class Shares -- based on net assets of $89,294 and $113,806 and shares
outstanding of 9,015,816 and 11,684,272, respectively................................. $ 9.90 $ 9.74
============ ============
NUMBER OF SHARES AUTHORIZED............................................................ 300,000,000 300,000,000
============ ============
Investments at Cost.................................................................... $ 85,081 $ 113,375
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 90,053 $ 115,413
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 178 255
Accumulated Net Realized Gain (Loss)................................................... (366) (1,538)
Net Unrealized Appreciation (Depreciation)............................................. (571) (324)
------------ ------------
NET ASSETS............................................................................. $ 89,294 $ 113,806
============ ============
See accompanying Notes to Financial Statements.
251
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA TWO- DFA TWO-
YEAR FIXED YEAR
INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
---------- ----------
INVESTMENT INCOME
Interest...................................................... $ 728 $ 869
----- -----
Total Investment Income.................................... 728 869
----- -----
EXPENSES
Investment Management Fees.................................... 61 83
Accounting & Transfer Agent Fees.............................. 4 4
Custodian Fees................................................ 2 1
Filing Fees................................................... 10 12
Shareholders' Reports......................................... 5 7
Professional Fees............................................. 2 3
Other......................................................... 1 2
----- -----
Total Expenses............................................. 85 112
----- -----
NET INVESTMENT INCOME (LOSS).................................. 643 757
----- -----
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ (229) (987)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................... (439) (5)
----- -----
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... (668) (992)
----- -----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $ (25) $(235)
===== =====
----------
**Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
252
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA TWO-YEAR FIXED DFA TWO-YEAR GOVERNMENT
INCOME PORTFOLIO PORTFOLIO
-------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2018 2017 2018 2017
----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 643 $ 912 $ 757 $ 1,042
Net Realized Gain (Loss) on:
Investment Securities Sold*................................. (229) (120) (987) (283)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................... (439) (123) (5) (476)
------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ (25) 669 (235) 283
------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.................................. (567) (895) (619) (1,008)
------- -------- -------- --------
Total Distributions........................................ (567) (895) (619) (1,008)
------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................. 15,693 7,220 13,656 15,655
Shares Issued in Lieu of Cash Distributions................... 567 895 619 1,008
Shares Redeemed............................................... (5,189) (10,242) (12,549) (18,503)
------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions.... 11,071 (2,127) 1,726 (1,840)
------- -------- -------- --------
Total Increase (Decrease) in Net Assets.................... 10,479 (2,353) 872 (2,565)
NET ASSETS
Beginning of Period........................................... 78,815 81,168 112,934 115,499
------- -------- -------- --------
End of Period................................................. $89,294 $ 78,815 $113,806 $112,934
======= ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................. 1,582 723 1,398 1,590
Shares Issued in Lieu of Cash Distributions................... 57 90 63 103
Shares Redeemed............................................... (523) (1,026) (1,283) (1,881)
------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 1,116 (213) 178 (188)
======= ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF
NET INVESTMENT INCOME)......................................... $ 178 $ 102 $ 255 $ 117
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
253
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA TWO-YEAR FIXED INCOME PORTFOLIO
---------------------------------------------------------- --------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, APRIL 30,
2018 2017 2016 2015 2014 2013 2018
---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period................. $ 9.98 $ 10.00 $ 10.02 $ 10.02 $ 10.02 $ 10.07 $ 9.81
------- ------- ------- ------- ------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.08 0.11 0.08 0.04 0.02 0.03 0.07
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... (0.09) (0.02) (0.01) 0.02 0.01 -- (0.09)
------- ------- ------- ------- ------- ------- --------
Total from Investment Operations.................. (0.01) 0.09 0.07 0.06 0.03 0.03 (0.02)
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.07) (0.11) (0.07) (0.04) (0.02) (0.03) (0.05)
Net Realized Gains................................. -- -- (0.02) (0.02) (0.01) (0.05) --
------- ------- ------- ------- ------- ------- --------
Total Distributions............................... (0.07) (0.11) (0.09) (0.06) (0.03) (0.08) (0.05)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....................... $ 9.90 $ 9.98 $ 10.00 $ 10.02 $ 10.02 $ 10.02 $ 9.74
===================================================== =========== ======== ======== ======== ======== ======== ===========
Total Return......................................... (0.12)%(D) 0.92% 0.74% 0.57% 0.31% 0.26% (0.16)%(D)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $89,294 $78,815 $81,168 $91,779 $98,961 $94,726 $113,806
Ratio of Expenses to Average Net Assets.............. 0.21%(E) 0.24% 0.29% 0.29% 0.28% 0.29% 0.20%(E)
Ratio of Net Investment Income to Average Net Assets. 1.58%(E) 1.14% 0.75% 0.43% 0.20% 0.27% 1.36%(E)
Portfolio Turnover Rate.............................. 53%(D) 115% 93% 238% 122% 57% 108%(D)
---------------------------------------------------------------------------------------------------------------------------------
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 Period................. $ 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 Period....................... $ 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 Period (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 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
254
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of twelve
portfolios, two of which, DFA Two-Year Fixed Income Portfolio and 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."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by the DFA 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.
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. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
255
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the six months ended April 30, 2018, the
Portfolios' investment management fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
DFA Two-Year Fixed Income
Portfolio................... 0.15%
DFA Two-Year Government
Portfolio................... 0.15%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $16 (in thousands). The total related amounts paid by each
of the Portfolios are included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At April 30, 2018, 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 Two-Year Fixed Income
Portfolio................... $5
DFA Two-Year Government
Portfolio................... 7
256
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2018, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and in-kind redemptions (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ -----------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- -------
DFA Two-Year Fixed Income
Portfolio................... $ 7,969 $ 4,753 $42,075 $38,196
DFA Two-Year Government
Portfolio................... 121,593 120,300 -- --
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)
--------------- -------------- --------------
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
-------------- ------------- ---------- ------
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
257
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 Two-Year Fixed Income Portfolio.......... $(15) -- $(15)
DFA Two-Year Government Portfolio............ (19) -- (19)
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 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 (amounts in thousands):
UNLIMITED TOTAL
--------- -----
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 April 30, 2018, 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 Two-Year Fixed
Income Portfolio....... $ 86,783 $ 1 $(572) $(571)
DFA Two-Year Government
Portfolio.............. 113,772 -- (324) (324)
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
258
Portfolios' 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 Portfolios.
1. FUTURES CONTRACTS: The Portfolios may purchase or sell futures
contracts and options on futures contracts 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 Portfolio 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.
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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
The Portfolios did not utilize the lines of credit during the six months
ended April 30, 2018.
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. The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolios did not utilize the interfund lending program during the six
months ended April 30, 2018.
259
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
K. OTHER:
At April 30, 2018, 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 Two-Year Fixed
Income Portfolio.. 4 100%
DFA Two-Year
Government
Portfolio......... 3 97%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filled actions against all shareholders of
The Tribune Company who tendered shared when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, or 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.
L. 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.
260
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 Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of a Portfolio's fiscal year. As
a result, shareholders should not use the information provided in this notice
for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS PAID-IN
FISCAL YEAR, FROM THE SALE SURPLUS
AND ACCUMULATED OF SECURITIES OR OTHER
UNDISTRIBUTED NET OR OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- --------
DFA Two-Year Fixed Income Portfolio
December 15, 2017................ 84% 0% 16%
DFA Two-Year Government Portfolio
December 15, 2017................ 83% 0% 17%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
261
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.
262
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2017 (the "Meeting"), the Boards
of Directors of DFA Investment Dimensions Group Inc. and Dimensional Investment
Group Inc. (together, the "Board") considered the continuation of the
investment management agreements for each portfolio (collectively, the "Funds")
and, if applicable, a Fund's sub-advisory agreements. For certain Funds,
Dimensional Fund Advisors Ltd. or DFA Australia Limited serves as a
sub-advisor. (The investment management agreements and the sub-advisory
agreements are referred to as the "Management Agreements," and the Advisor and
sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members sent
to the Advisor a request for information, which identified the information that
the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering the
continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the Advisor
to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment global advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Morningstar
Reports, which compared the performance of each Fund with other funds in its
respective peer group and investment category. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board determined, among other things, that after
considering each Fund's investment strategies and the expectations of its
shareholder base, the performance of each Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering the
reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
The Board considered the profitability of each Fund to the Advisor by reviewing
the profitability analysis provided by the Advisor, including information about
its fee revenues and income. The Board reviewed the overall profitability of
the Advisor, and the compensation that it received for providing services to
each Fund. The Board considered the profitability to the Advisor of managing
and servicing the Funds and the Advisor's unregistered clients, such as
collective trusts, group trusts and separate accounts. Upon closely examining
the Advisor's profitability, the Board concluded, among other things, that it
was reasonable.
The Board also discussed whether economies of scale are realized by the Advisor
with respect to each Fund as it grows larger, and the extent to which this is
reflected in the level of management fees charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of management fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single factor
identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
263
DFA043018-024S
[LOGO] 00211515
[LOGO]
Semi-Annual Report
SIX MONTHS ENDED: APRIL 30, 2018 (UNAUDITED)
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO
GLOBAL ALLOCATION 60/40 PORTFOLIO
GLOBAL ALLOCATION 25/75 PORTFOLIO
[LOGO]
June 2018
Dear Fellow Shareholder,
Sound investment solutions based on financial science are at the heart of
Dimensional. Just as important is our commitment to serving our clients. We
take great pride in the many longstanding clients we have had the honor of
working with over the last four decades.
Delivering great investment experiences informs everything we do, from the
design of our strategies to the ways that we explain our approach and set
expectations. We place tremendous value on helping our clients understand what
they can expect from us. By being transparent about what we can deliver, and
following through with robust investment strategies, we help clients achieve
their financial goals.
David Booth, our founder, often speaks of his satisfaction and joy in helping
change the investor landscape for the better. We share this passion and, on
behalf of everyone at Dimensional, we thank you for trusting us with your
investments.
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.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES.................. 1
Disclosure of Fund Expenses.............................. 2
Disclosure of Portfolio Holdings......................... 4
Schedules of Investments
Global Equity Portfolio.............................. 5
Global Allocation 60/40 Portfolio.................... 6
Global Allocation 25/75 Portfolio.................... 7
Statements of Assets and Liabilities..................... 8
Statements of Operations................................. 9
Statements of Changes in Net Assets...................... 10
Financial Highlights..................................... 11
Notes to Financial Statements............................ 15
Section 19(a) Notice..................................... 26
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................. 27
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS.......... 28
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.
(C) Non-Annualized
(D) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
GLOBAL EQUITY PORTFOLIO**
-------------------------
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,035.20 0.54% $2.72
Institutional Class Shares... $1,000.00 $1,036.40 0.29% $1.46
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,022.12 0.54% $2.71
Institutional Class Shares... $1,000.00 $1,023.36 0.29% $1.45
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
GLOBAL ALLOCATION 60/40 PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,017.70 0.53% $2.65
Institutional Class Shares......... $1,000.00 $1,019.40 0.28% $1.40
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.17 0.53% $2.66
Institutional Class Shares......... $1,000.00 $1,023.41 0.28% $1.40
GLOBAL ALLOCATION 25/75 PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,005.10 0.50% $2.49
Institutional Class Shares......... $1,000.00 $1,006.30 0.26% $1.29
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.32 0.50% $2.51
Institutional Class Shares......... $1,000.00 $1,023.51 0.26% $1.30
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**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).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 29, 2018. They are available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Global Equity Portfolio........... 100.0%
Global Allocation 60/40 Portfolio. 100.0%
Global Allocation 25/75 Portfolio. 100.0%
4
GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
SHARES VALUE+
----------- --------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 157,955,064 $3,367,601,962
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 112,031,202 1,636,775,858
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 49,549,854 1,121,808,693
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 23,933,323 557,646,421
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 4,874,384 159,831,048
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $4,509,612,683)........................................... $6,843,663,982
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.630%
(Cost $226,181).................................................... 226,181 226,181
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,509,838,864)........................................... $6,843,890,163
==============
Summary of the Global Fund's investments as of April 30, 2018, 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............................. $6,843,663,982 -- -- $6,843,663,982
Temporary Cash Investments.................................. 226,181 -- -- 226,181
-------------- -- -- --------------
TOTAL....................................................... $6,843,890,163 -- -- $6,843,890,163
============== == == ==============
See accompanying Notes to Financial Statements.
5
GLOBAL ALLOCATION 60/40 PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
SHARES VALUE+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................. 56,126,124 $1,196,608,966
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 64,378,461 611,595,377
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 39,767,415 581,001,927
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 38,129,533 407,604,705
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 17,653,968 399,685,836
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 18,925,772 204,776,853
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 19,772,739 203,461,488
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 8,498,233 198,008,821
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 8,870,585 102,810,083
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 10,021,580 102,721,194
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 1,729,408 56,707,289
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $3,219,099,566)............................................ $4,064,982,539
==============
Summary of the Global Fund's investments as of April 30, 2018, 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............................. $4,064,982,539 -- -- $4,064,982,539
-------------- -- -- --------------
TOTAL....................................................... $4,064,982,539 -- -- $4,064,982,539
============== == == ==============
See accompanying Notes to Financial Statements.
6
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc..................................... 26,208,367 $259,200,745
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc..................................... 24,211,271 258,818,491
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc..................................... 4,941,274 105,347,955
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc..................................... 8,173,969 94,736,304
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc..................................... 3,491,275 51,007,532
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc..................................... 1,557,719 35,266,760
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc..................................... 3,351,291 34,350,735
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc..................................... 748,089 17,430,466
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc..................................... 153,674 5,038,973
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $765,247,398).................................................. $861,197,961
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.630%
(Cost $263,927)......................................................... 263,927 263,927
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $765,511,325).................................................. $861,461,888
============
Summary of the Global Fund's investments as of April 30, 2018, 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............................. $861,197,961 -- -- $861,197,961
Temporary Cash Investments.................................. 263,927 -- -- 263,927
------------ -- -- ------------
TOTAL....................................................... $861,461,888 -- -- $861,461,888
============ == == ============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
GLOBAL GLOBAL
GLOBAL EQUITY ALLOCATION ALLOCATION
PORTFOLIO 60/40 PORTFOLIO 25/75 PORTFOLIO
------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value..................... $ 6,843,664 $ 4,064,983 $ 861,198
Temporary Cash Investments at Value & Cost.................................. 226 -- 264
Receivables:
Affiliated Investment Companies Sold...................................... -- 2,185 --
Interest.................................................................. 5 2 1
Fund Shares Sold.......................................................... 7,022 2,081 1,295
Prepaid Expenses and Other Assets........................................... 102 74 31
------------ ------------ ------------
Total Assets........................................................... 6,851,019 4,069,325 862,789
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased................................. -- -- 161
Fund Shares Redeemed...................................................... 7,787 3,564 831
Due to Advisor............................................................ 184 128 28
Line of Credit............................................................ -- 1,526 --
Accrued Expenses and Other Liabilities...................................... 230 141 36
------------ ------------ ------------
Total Liabilities...................................................... 8,201 5,359 1,056
------------ ------------ ------------
NET ASSETS.................................................................. $ 6,842,818 $ 4,063,966 $ 861,733
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $32,167; $7,034 and $887 and
shares outstanding of 1,384,893; 389,392 and 66,326, respectively.......... $ 23.23 $ 18.06 $ 13.37
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares -- based on net assets of $6,810,651; $4,056,932
and $860,846 and shares outstanding of 294,888,732; 225,797,419 and
64,138,241, respectively................................................... $ 23.10 $ 17.97 $ 13.42
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost...................... $ 4,509,613 $ 3,219,100 $ 765,247
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................. $ 4,608,662 $ 3,229,761 $ 769,935
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)......................................................... 17 988 281
Accumulated Net Realized Gain (Loss)........................................ (99,912) (12,666) (4,434)
Net Unrealized Appreciation (Depreciation).................................. 2,334,051 845,883 95,951
------------ ------------ ------------
NET ASSETS.................................................................. $ 6,842,818 $ 4,063,966 $ 861,733
============ ============ ============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
GLOBAL GLOBAL
ALLOCATION ALLOCATION
GLOBAL EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ---------- ----------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment Companies
Income Distributions....................................................... $ 50,728 $37,721 $ 7,040
-------- ------- -------
Total Investment Income Received from Affiliated Investment Companies..... 50,728 37,721 7,040
-------- ------- -------
FUND EXPENSES
Investment Management Fees................................................... 10,008 4,989 852
Accounting & Transfer Agent Fees............................................. 134 68 17
Custodian Fees............................................................... 1 1 --
Shareholder Servicing Fees -- Class R2 Shares................................ 39 9 1
Filing Fees.................................................................. 58 57 26
Shareholders' Reports........................................................ 83 47 11
Directors'/Trustees' Fees & Expenses......................................... 26 15 3
Professional Fees............................................................ 16 10 2
Other........................................................................ 15 10 1
-------- ------- -------
Total Expenses............................................................ 10,380 5,206 913
-------- ------- -------
Fees Waived, (Expenses Reimbursed), and/or Previously Waived Fees Recovered
by Advisor (Note C)
Institutional Class Shares................................................. (8,938) (4,236) (687)
Class R2 Shares............................................................ (42) (7) (1)
-------- ------- -------
Net Expenses................................................................. 1,400 963 225
-------- ------- -------
NET INVESTMENT INCOME (LOSS)................................................. 49,328 36,758 6,815
-------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Companies..... 36,753 14,379 1,377
Net Realized Gain (Loss) on:
Investment Securities Sold................................................. 2 -- --
Affiliated Investment Companies Shares Sold................................ 4,011 1,599 1,535
Futures.................................................................... 53 -- --
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares..................................... 138,612 21,151 (4,060)
Futures.................................................................... (7) -- --
-------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................................... 179,424 37,129 (1,148)
-------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................ $228,752 $73,887 $ 5,667
======== ======= =======
See accompanying Notes to Financial Statements.
9
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
---------------------- ---------------------- ---------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, APRIL 30, OCT. 31, APRIL 30, OCT. 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ----------- ---------- ----------- ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 49,328 $ 105,031 $ 36,758 $ 63,216 $ 6,815 $ 11,860
Capital Gain Distributions Received from
Affiliated Investment Companies............. 36,753 21,988 14,379 9,719 1,377 1,092
Net Realized Gain (Loss) on:
Investment Securities Sold................. 2 27 -- 23 -- 3
Affiliated Investment Companies Shares
Sold...................................... 4,011 8,670 1,599 625 1,535 1,570
Futures.................................... 53 -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Affiliated Investment Companies Shares
Sold...................................... 138,612 1,075,454 21,151 397,790 (4,060) 34,194
Futures.................................... (7) 7 -- -- -- --
---------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 228,752 1,211,177 73,887 471,373 5,667 48,719
---------- ---------- ---------- ---------- --------- ---------
Distributions From:
Net Investment Income:
Class R2 Shares............................ (200) (448) (57) (103) (7) (12)
Institutional Class Shares................. (48,986) (104,823) (35,635) (63,700) (6,554) (12,219)
Net Short-Term Gains:
Class R2 Shares............................ (2) -- (2) -- -- --
Institutional Class Shares................. (457) -- (1,058) -- (271) --
Net Long-Term Gains:
Class R2 Shares............................ (97) -- (19) (9) (2) (3)
Institutional Class Shares................. (20,627) -- (10,386) (4,870) (2,241) (2,544)
---------- ---------- ---------- ---------- --------- ---------
Total Distributions....................... (70,369) (105,271) (47,157) (68,682) (9,075) (14,778)
---------- ---------- ---------- ---------- --------- ---------
Capital Share Transactions:
Shares Issued................................ 874,668 1,397,796 613,985 1,037,853 125,864 228,286
Shares Issued in Lieu of Cash
Distributions............................... 69,777 104,442 46,543 67,662 9,039 14,716
Shares Redeemed.............................. (680,742) (988,697) (469,542) (760,979) (112,210) (161,801)
---------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) from Capital
Share Transactions....................... 263,703 513,541 190,986 344,536 22,693 81,201
---------- ---------- ---------- ---------- --------- ---------
Total Increase (Decrease) in Net
Assets................................... 422,086 1,619,447 217,716 747,227 19,285 115,142
NET ASSETS
Beginning of Period.......................... 6,420,732 4,801,285 3,846,250 3,099,023 842,448 727,306
---------- ---------- ---------- ---------- --------- ---------
End of Period................................ $6,842,818 $6,420,732 $4,063,966 $3,846,250 $ 861,733 $ 842,448
========== ========== ========== ========== ========= =========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................ $ 17 $ (125) $ 988 $ (78) $ 281 $ 27
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R2 SHARES
GLOBAL EQUITY PORTFOLIO-CLASS R2 SHARES
---------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
- -----------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period............................... $ 22.66 $ 18.58 $ 18.32 $ 18.66 $ 17.44 $13.78
------- ------- ------- ------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.14 0.34 0.34 0.31 0.28 0.27
Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.65 4.08 0.26 (0.34) 1.24 3.67
------- ------- ------- ------- ------- ------
Total from Investment Operations................................ 0.79 4.42 0.60 (0.03) 1.52 3.94
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................ (0.15) (0.34) (0.34) (0.31) (0.30) (0.28)
Net Realized Gains............................................... (0.07) -- -- -- -- --
------- ------- ------- ------- ------- ------
Total Distributions............................................. (0.22) (0.34) (0.34) (0.31) (0.30) (0.28)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................................... $ 23.23 $ 22.66 $ 18.58 $ 18.32 $ 18.66 $17.44
=================================================================== ========== ======== ======== ======== ======== ========
Total Return....................................................... 3.52%(C) 23.98% 3.37% (0.16)% 8.73% 28.87%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............................. $32,167 $30,644 $19,844 $50,269 $10,109 $5,517
Ratio of Expenses to Average Net Assets (B)........................ 0.54%(D) 0.55% 0.55% 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)...................................................... 0.81%(D) 0.82% 0.83% 0.86% 0.85% 0.87%
Ratio of Net Investment Income to Average Net Assets............... 1.23%(D) 1.62% 1.89% 1.67% 1.54% 1.76%
-------------------------------------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO-CLASS R2 SHARES
---------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
- ----------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period............................... $17.94 $15.99 $15.70 $16.01 $15.32 $ 13.40
------ ------ ------ ------ ------ -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.15 0.26 0.26 0.26 0.22 0.24
Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.17 1.99 0.33 (0.31) 0.67 1.93
------ ------ ------ ------ ------ -------
Total from Investment Operations................................ 0.32 2.25 0.59 (0.05) 0.89 2.17
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................ (0.15) (0.28) (0.30) (0.26) (0.20) (0.25)
Net Realized Gains............................................... (0.05) (0.02) -- -- -- --
------ ------ ------ ------ ------ -------
Total Distributions............................................. (0.20) (0.30) (0.30) (0.26) (0.20) (0.25)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................................... $18.06 $17.94 $15.99 $15.70 $16.01 $ 15.32
=================================================================== ========== ======== ======== ======== ======== ========
Total Return....................................................... 1.77%(C) 14.21% 3.86% (0.27)% 5.85% 16.35%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............................. $7,034 $6,902 $5,793 $5,455 $3,259 $14,140
Ratio of Expenses to Average Net Assets (B)........................ 0.53%(D) 0.53% 0.53% 0.54% 0.54% 0.54%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)...................................................... 0.74%(D) 0.74% 0.75% 0.77% 0.77% 0.77%
Ratio of Net Investment Income to Average Net Assets............... 1.63%(D) 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.
11
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R2 SHARES
GLOBAL ALLOCATION 25/75 PORTFOLIO-CLASS R2 SHARES
--------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of Period...... $13.44 $12.89 $12.74 $12.93 $12.75 $12.16
------ ------ ------ ------ ------ ------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.09 0.16 0.16 0.14 0.14 0.16
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.02) 0.61 0.19 (0.08) 0.20 0.58
------ ------ ------ ------ ------ ------
Total from Investment
Operations............ 0.07 0.77 0.35 0.06 0.34 0.74
------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.10) (0.18) (0.20) (0.23) (0.13) (0.15)
Net Realized Gains....... (0.04) (0.04) -- (0.02) (0.03) --
------ ------ ------ ------ ------ ------
Total Distributions.... (0.14) (0.22) (0.20) (0.25) (0.16) (0.15)
------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $13.37 $13.44 $12.89 $12.74 $12.93 $12.75
======================== =========== ======== ======== ======== ======== ========
Total Return.............. 0.51%(C) 6.06% 2.78% 0.50% 2.69% 6.15%
------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $ 887 $ 902 $ 848 $ 428 $ 183 $2,215
Ratio of Expenses to
Average Net Assets (B)... 0.50%(D) 0.51% 0.50% 0.51% 0.52% 0.53%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by.............
Advisor) (B).............. 0.66%(D) 0.67% 0.67% 0.68% 0.69% 0.70%
Ratio of Net Investment
Income to Average Net
Assets................... 1.37%(D) 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.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
GLOBAL EQUITY PORTFOLIO-INSTITUTIONAL CLASS SHARES
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period...... $ 22.53 $ 18.46 $ 18.17 $ 18.51 $ 17.30 $ 13.67
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.17 0.38 0.36 0.35 0.34 0.31
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.64 4.07 0.29 (0.34) 1.21 3.63
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 0.81 4.45 0.65 0.01 1.55 3.94
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.17) (0.38) (0.36) (0.35) (0.34) (0.31)
Net Realized Gains...................... (0.07) -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.24) (0.38) (0.36) (0.35) (0.34) (0.31)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 23.10 $ 22.53 $ 18.46 $ 18.17 $ 18.51 $ 17.30
========================================== =========== ========== ========== ========== ========== ==========
Total Return.............................. 3.64%(C) 24.33% 3.65% 0.07% 9.03% 29.19%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $6,810,651 $6,390,088 $4,781,441 $4,331,809 $3,822,287 $3,018,911
Ratio of Expenses to Average Net
Assets (B)............................... 0.29%(D) 0.30% 0.30% 0.31% 0.31% 0.31%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)........... 0.56%(D) 0.57% 0.58% 0.60% 0.60% 0.61%
Ratio of Net Investment Income to Average
Net Assets............................... 1.48%(D) 1.85% 1.99% 1.90% 1.87% 2.02%
----------------------------------------------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO-INSTITUTIONAL CLASS SHARES
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period...... $ 17.84 $ 15.89 $ 15.57 $ 15.88 $ 15.24 $ 13.33
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.17 0.30 0.30 0.31 0.27 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.17 1.98 0.33 (0.31) 0.65 1.92
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 0.34 2.28 0.63 -- 0.92 2.19
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.16) (0.31) (0.31) (0.31) (0.28) (0.28)
Net Realized Gains...................... (0.05) (0.02) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.21) (0.33) (0.31) (0.31) (0.28) (0.28)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 17.97 $ 17.84 $ 15.89 $ 15.57 $ 15.88 $ 15.24
========================================== =========== ========== ========== ========== ========== ==========
Total Return.............................. 1.94%(C) 14.54% 4.09% --% 6.08% 16.65%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $4,056,932 $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%(D) 0.28% 0.28% 0.29% 0.29% 0.29%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)........... 0.49%(D) 0.49% 0.50% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average
Net Assets............................... 1.84%(D) 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.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
GLOBAL ALLOCATION 25/75 PORTFOLIO-INSTITUTIONAL CLASS SHARES
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period........................ $ 13.48 $ 12.92 $ 12.72 $ 12.89 $ 12.69 $ 12.11
-------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.11 0.20 0.19 0.20 0.17 0.18
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. (0.03) 0.60 0.19 (0.10) 0.24 0.59
-------- -------- -------- -------- -------- --------
Total from Investment
Operations................. 0.08 0.80 0.38 0.10 0.41 0.77
-----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.10) (0.20) (0.18) (0.25) (0.18) (0.19)
Net Realized Gains............ (0.04) (0.04) -- (0.02) (0.03) --
-------- -------- -------- -------- -------- --------
Total Distributions......... (0.14) (0.24) (0.18) (0.27) (0.21) (0.19)
-----------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 13.42 $ 13.48 $ 12.92 $ 12.72 $ 12.89 $ 12.69
============================== =========== ======== ======== ======== ======== ========
Total Return................... 0.63%(C) 6.34% 3.04% 0.79% 3.30% 6.38%
-----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $860,846 $841,546 $726,458 $712,072 $673,375 $557,112
Ratio of Expenses to Average
Net Assets (B)................ 0.26%(D) 0.26% 0.25% 0.26% 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)..... 0.42%(D) 0.42% 0.42% 0.43% 0.44% 0.44%
Ratio of Net Investment
Income to Average Net Assets.. 1.60%(D) 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.
14
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers twelve 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 April 30, 2018, the Global Funds
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 04/30/18
------------- ---------------- -----------
Global Equity Portfolio U.S. Core Equity 1 Portfolio 5%
U.S. Core Equity 2 Portfolio 14%
DFA Real Estate Securities Portfolio 2%
International Core Equity Portfolio 6%
Emerging Markets Core Equity Portfolio 2%
Global Allocation 60/40 Portfolio U.S. Core Equity 1 Portfolio 2%
U.S. Core Equity 2 Portfolio 5%
DFA Real Estate Securities Portfolio 1%
International Core Equity Portfolio 2%
DFA Selectively Hedged Global Fixed Income Portfolio 52%
Emerging Markets Core Equity Portfolio 1%
DFA Five-Year Global Fixed Income Portfolio 1%
DFA Inflation-Protected Securities Portfolio 2%
DFA Short-Term Extended Quality Portfolio 7%
DFA Intermediate-Term Extended Quality Portfolio 11%
DFA World ex U.S. Government Fixed Income Portfolio 10%
Global Allocation 25/75 Portfolio U.S. Core Equity 1 Portfolio --
U.S. Core Equity 2 Portfolio --
DFA Real Estate Securities Portfolio --
International Core Equity Portfolio --
DFA Two-Year Global Fixed Income Portfolio 5%
Emerging Markets Core Equity Portfolio --
DFA Inflation-Protected Securities Portfolio 2%
DFA Short-Term Extended Quality Portfolio 4%
DFA World ex U.S. Government Fixed Income Portfolio 3%
15
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Global Funds utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Global Funds'
own assumptions in determining the fair value of investments)
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 six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Global Funds.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of affiliated
investment company shares are accounted for on the basis of identified
16
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received from the investment in affiliated
investment companies that represent a return of capital or capital gains are
recorded as a reduction of cost of investments or as a realized gain,
respectively. The Global Funds estimate the character of distributions received
that may be considered return of capital distributions. Interest income is
recorded on an accrual basis. Expenses directly attributable to a Global Fund
are directly charged. Common expenses of the Fund or Global Funds are allocated
using methods approved by the Board, generally based on average net assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Global Funds. The Global Equity Portfolio's, Global Allocation
60/40 Portfolio's and Global Allocation 25/75 Portfolio's investment management
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.30%, 0.25%, and 0.20%, respectively, of average daily net
assets.
Pursuant to an Amended and Restated Fee Waiver Agreement (the "Fee Waiver
Agreement"), the Advisor has agreed to waive certain fees of the Global Funds,
as described below. The Fee Waiver Agreement for the Global Funds will remain
in effect through February 28, 2019, 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. The maximum amount waived under this waiver is
the full amount of a Global Fund's management fee to the Advisor.
At any time that the Annualized Expense Ratio of a class of a Global Fund is
less than the expense limitations listed below for such class of the Global
Fund, the Advisor retains the right to recover any fees previously waived to
the extent that such recovery will not cause the Annualized Expense Ratio of
such class of shares of the Global Fund to exceed the expense limitation listed
below. Previously waived fees/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 six months ended April 30,
2018, 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. With respect to the
Fee Waiver Agreement, prior year expenses can be recaptured only if the current
expense ratio is less than the prior year expense cap that was in place when
such prior year expenses were waived.
NET WAIVED
PREVIOUSLY WAIVED FEES/EXPENSES
RECOVERY FEES/ ASSUMED (RECOVERED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED PREVIOUSLY WAIVED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE FEES/EXPENSES
AMOUNT EXPENSES ASSUMED RECOVERY ASSUMED)
---------- ---------------- ----------------- ------------------
INSTITUTIONAL CLASS SHARES
--------------------------
Global Equity Portfolio....... 0.27% -- $42,903 $8,938
Global Allocation 60/40
Portfolio................... 0.25% -- 21,667 4,236
Global Allocation 25/75
Portfolio................... 0.22% -- 3,739 687
CLASS R2 SHARES
---------------
Global Equity Portfolio....... 0.27% -- 310 42
Global Allocation 60/40
Portfolio................... 0.25% -- 40 7
Global Allocation 25/75
Portfolio................... 0.22% -- 4 1
17
Prior to July 21, 2015, in order to limit the total administration and
management fees received by the Advisor, the Advisor had agreed to waive the
administration fee each Global Fund paid to the Advisor to the extent necessary
to limit the proportionate share of the total combined administration fee paid
by a class of each Global Fund and management fees paid by each Global Fund's
Underlying Funds to the Advisor to the expense limitations listed above. The
maximum amount waived under this waiver was the full amount of a Global Fund's
administration fee to the Advisor.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $16 (in thousands). The total related amounts paid by each
of the Global Funds are included in Other Expenses on the Statements of
Operations.
D. DEFERRED COMPENSATION:
At April 30, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statements of Assets and Liabilities as follows (amounts in thousands):
Global Equity Portfolio........... $131
Global Allocation 60/40 Portfolio. 81
Global Allocation 25/75 Portfolio. 20
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2018, the Global Funds' transactions
related to Affiliated Investment Companies, excluding in-kind redemptions, were
as follows (amounts in thousands):
NET REALIZED
GAIN/(LOSS) DIVIDEND
ON SALES OF CHANGE IN INCOME FROM
AFFILIATED UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS INVESTMENT APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/17 AT COST FROM SALES COMPANIES DEPRECIATION 04/30/18 04/30/18 COMPANIES
- ---------- --------- ---------- ------------ ------------- ---------- ------------ -----------
GLOBAL EQUITY PORTFOLIO
U.S. Core Equity 2
Portfolio................ $3,148,772 $210,893 $ 52,485 $2,338 $ 58,084 $3,367,602 157,955 $23,038
International Core Equity
Portfolio................ 1,518,390 131,860 56,436 1,232 41,730 1,636,776 112,031 13,528
U.S. Core Equity 1
Portfolio................ 1,051,811 56,420 15,435 508 28,505 1,121,809 49,550 7,824
Emerging Markets Core
Equity Portfolio......... 490,272 49,842 2,843 (59) 20,434 557,646 23,933 3,081
DFA Real Estate
Securities Portfolio..... 162,799 11,877 4,696 (8) (10,141) 159,831 4,874 3,228
---------- -------- -------- ------ -------- ---------- ------- -------
TOTAL..................... $6,372,044 $460,892 $131,895 $4,011 $138,612 $6,843,664 348,343 $50,699
========== ======== ======== ====== ======== ========== ======= =======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
COMPANIES
- -------------
GLOBAL EQUITY PORTFOLIO
U.S. Core Equity 2
Portfolio................ $30,301
International Core Equity
Portfolio................ --
U.S. Core Equity 1
Portfolio................ 5,943
Emerging Markets Core
Equity Portfolio......... --
DFA Real Estate
Securities Portfolio..... 509
-------
TOTAL..................... $36,753
=======
18
NET REALIZED
GAIN/(LOSS) DIVIDEND
ON SALES OF CHANGE IN INCOME FROM
AFFILIATED UNREALIZED AFFILIATED
BALANCE AT PURCHASES PROCEEDS INVESTMENT APPRECIATION/ BALANCE AT SHARES AS OF INVESTMENT
10/31/17 AT COST FROM SALES COMPANIES DEPRECIATION 04/30/18 04/30/18 COMPANIES
- ---------- --------- ---------- ------------ ------------- ---------- ------------ -----------
GLOBAL ALLOCATION 60/40
PORTFOLIO
U.S. Core Equity 2
Portfolio................ $1,138,990 $ 65,014 $31,371 $1,751 $ 22,225 $1,196,609 56,126 $ 8,344
DFA Selectively Hedged
Global Fixed Income
Portfolio................ 572,695 59,548 10,884 (845) (8,919) 611,595 64,378 10,149
International Core Equity
Portfolio................ 562,394 17,146 13,790 696 14,556 581,002 39,767 4,921
DFA Short-Term
Extended Quality
Portfolio................ 381,980 36,137 4,650 (78) (5,784) 407,605 38,130 2,727
U.S. Core Equity 1
Portfolio................ 381,946 11,461 4,663 155 10,787 399,686 17,654 2,844
DFA Five-Year Global
Fixed Income
Portfolio................ 189,805 20,009 1,303 (26) (3,708) 204,777 18,926 2,083
DFA Intermediate-
Term Extended Quality
Portfolio................ 190,125 24,712 807 (37) (10,531) 203,462 19,773 2,921
Emerging Markets Core
Equity Portfolio......... 181,950 8,450 -- -- 7,609 198,009 8,498 1,116
DFA Inflation-Protected
Securities Portfolio..... 93,998 10,771 315 (9) (1,635) 102,810 8,871 1,257
DFA World ex U.S.
Government Fixed
Income Portfolio......... 94,398 8,350 362 (8) 343 102,721 10,022 157
DFA Real Estate
Securities Portfolio..... 59,189 1,373 63 -- (3,792) 56,707 1,729 1,185
---------- -------- ------- ------ -------- ---------- ------- -------
TOTAL..................... $3,847,470 $262,971 $68,208 $1,599 $ 21,151 $4,064,983 283,874 $37,704
========== ======== ======= ====== ======== ========== ======= =======
GLOBAL ALLOCATION 25/75
PORTFOLIO
DFA Two-Year Global
Fixed Income
Portfolio................ $ 252,106 $ 14,087 $ 4,442 $ (156) $ (2,394) $ 259,201 26,208 $ 2,359
DFA Short-Term
Extended Quality
Portfolio................ 251,872 15,334 4,584 (67) (3,737) 258,818 24,211 1,768
U.S. Core Equity 2
Portfolio................ 103,856 12,006 13,005 1,148 1,343 105,348 4,941 745
DFA Inflation-Protected
Securities Portfolio..... 92,566 5,158 1,386 (43) (1,559) 94,736 8,174 1,215
International Core Equity
Portfolio................ 51,248 2,900 4,576 393 1,043 51,008 3,491 441
U.S. Core Equity 1
Portfolio................ 34,783 1,796 2,348 264 772 35,267 1,558 253
DFA World ex U.S.
Government Fixed
Income Portfolio......... 33,467 1,253 478 (13) 122 34,351 3,351 55
Emerging Markets Core
Equity Portfolio......... 16,913 656 828 16 673 17,430 748 100
DFA Real Estate
Securities Portfolio..... 5,377 240 248 (7) (323) 5,039 154 104
---------- -------- ------- ------ -------- ---------- ------- -------
TOTAL..................... $ 842,188 $ 53,430 $31,895 $1,535 $ (4,060) $ 861,198 72,836 $ 7,040
========== ======== ======= ====== ======== ========== ======= =======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
COMPANIES
- -------------
GLOBAL ALLOCATION 60/40
PORTFOLIO
U.S. Core Equity 2
Portfolio................ $11,009
DFA Selectively Hedged
Global Fixed Income
Portfolio................ --
International Core Equity
Portfolio................ --
DFA Short-Term
Extended Quality
Portfolio................ 281
U.S. Core Equity 1
Portfolio................ 2,176
DFA Five-Year Global
Fixed Income
Portfolio................ 126
DFA Intermediate-
Term Extended Quality
Portfolio................ 599
Emerging Markets Core
Equity Portfolio......... --
DFA Inflation-Protected
Securities Portfolio..... --
DFA World ex U.S.
Government Fixed
Income Portfolio......... --
DFA Real Estate
Securities Portfolio..... 188
-------
TOTAL..................... $14,379
=======
GLOBAL ALLOCATION 25/75
PORTFOLIO
DFA Two-Year Global
Fixed Income
Portfolio................ --
DFA Short-Term
Extended Quality
Portfolio................ $ 182
U.S. Core Equity 2
Portfolio................ 985
DFA Inflation-Protected
Securities Portfolio..... --
International Core Equity
Portfolio................ --
U.S. Core Equity 1
Portfolio................ 193
DFA World ex U.S.
Government Fixed
Income Portfolio......... --
Emerging Markets Core
Equity Portfolio......... --
DFA Real Estate
Securities Portfolio..... 17
-------
TOTAL..................... $ 1,377
=======
19
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)
20
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 (amount in thousands):
Global Equity Portfolio................. $8,266
At April 30, 2018, 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................. $4,650,568 $2,193,322 -- $2,193,322
Global Allocation 60/40 Portfolio....... 3,247,740 841,023 $(23,780) 817,243
Global Allocation 25/75 Portfolio....... 772,857 92,279 (3,674) 88,605
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.
21
G. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Global Funds.
1. FUTURES CONTRACTS: The Global Equity Portfolio may purchase or sell
futures contracts and options on futures contracts for foreign or U.S. 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 individual 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 "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 Portfolio records a realized gain or loss, which is presented
in the Statements of Operations as a net realized gain or loss on futures,
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the 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 six months ended April 30, 2018 (amounts in
thousands):
FUTURES
-------
Global Equity Portfolio....... 6,247
The following is a summary of the location on the Global Equity Portfolio's
Statement of Operations of realized and change in unrealized gains and losses
from the Portfolio's derivative instrument holdings for the six months ended
April 30, 2018:
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 Global Equity Portfolio's derivative instrument holdings
categorized by primary risk exposure for the six months ended April 30, 2018
(amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
----------------------
EQUITY
TOTAL CONTRACTS*
----- ----------
Global Equity
Portfolio......... $53 $53
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
----------------------
EQUITY
TOTAL CONTRACTS*
----- ----------
Global Equity
Portfolio......... $(7) $(7)
* As of April 30, 2018, there were no futures contracts outstanding. During the
six months ended April 30, 2018, the Portfolio had limited activity in
futures contracts.
22
H. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2018 OCT. 31, 2017
------------------ -------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
--------- ------- ---------- -------
GLOBAL EQUITY PORTFOLIO
Class R2 Shares
Shares Issued............................................. $ 4,322 184 $ 12,705 619
Shares Issued in Lieu of Cash Distributions............... 299 13 448 21
Shares Redeemed........................................... (3,806) (164) (7,548) (356)
--------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares.................. $ 815 33 $ 5,605 284
========= ======= ========== =======
Institutional Class Shares
Shares Issued............................................. $ 870,346 37,310 $1,385,091 67,015
Shares Issued in Lieu of Cash Distributions............... 69,478 3,030 103,994 4,999
Shares Redeemed........................................... (676,936) (29,078) (981,149) (47,345)
--------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares....... $ 262,888 11,262 $ 507,936 24,669
========= ======= ========== =======
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2018 OCT. 31, 2017
------------------ -------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
--------- ------- ---------- -------
GLOBAL ALLOCATION 60/40 PORTFOLIO
Class R2 Shares
Shares Issued............................................. $ 514 28 $ 1,184 70
Shares Issued in Lieu of Cash Distributions............... 77 4 112 7
Shares Redeemed........................................... (513) (28) (920) (54)
--------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares.................. $ 78 4 $ 376 23
========= ======= ========== =======
Institutional Class Shares
Shares Issued............................................. $ 613,471 33,889 $1,036,669 61,437
Shares Issued in Lieu of Cash Distributions............... 46,466 2,590 67,550 4,035
Shares Redeemed........................................... (469,029) (25,894) (760,059) (44,909)
--------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares....... $ 190,908 10,585 $ 344,160 20,563
========= ======= ========== =======
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2018 OCT. 31, 2017
------------------ -------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
--------- ------- ---------- -------
GLOBAL ALLOCATION 25/75 PORTFOLIO
Class R2 Shares
Shares Issued............................................. $ 73 5 $ 127 9
Shares Issued in Lieu of Cash Distributions............... 10 1 15 1
Shares Redeemed........................................... (93) (7) (125) (9)
--------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares.................. $ (10) (1) $ 17 1
========= ======= ========== =======
Institutional Class Shares
Shares Issued............................................. $ 125,791 9,330 $ 228,159 17,359
Shares Issued in Lieu of Cash Distributions............... 9,029 672 14,701 1,127
Shares Redeemed........................................... (112,117) (8,315) (161,676) (12,281)
--------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares....... $ 22,703 1,687 $ 81,184 6,205
========= ======= ========== =======
23
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 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. 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 27, 2019.
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 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. 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 4, 2019.
For the six months ended April 30, 2018, 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....... 2.11% $5,896 18 $6 $58,308
Global Allocation 60/40
Portfolio................... 2.21% 1,508 31 3 17,883
Global Allocation 25/75
Portfolio................... 2.23% 406 31 1 3,171
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that each Global Fund's available
line of credit was utilized.
At April 30, 2018, Global Allocation 60/40 Portfolio had loans outstanding
in the amount of $1,526 (in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the Global
Funds may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Global Funds did not utilize the interfund lending program during the
six months ended April 30, 2018.
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.
24
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 March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
M. OTHER:
At April 30, 2018, 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 90%
Global Equity Portfolio-Institutional Class Shares.......... 3 76%
Global Allocation 60/40 Portfolio -- Class R2 Shares........ 2 94%
Global Allocation 60/40 Portfolio -- Institutional
Class Shares.............................................. 4 82%
Global Allocation 25/75 Portfolio -- Class R2 Shares........ 2 98%
Global Allocation 25/75 Portfolio -- Institutional
Class Shares.............................................. 4 90%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filled actions against all shareholders of
The Tribune Company who tendered shared when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, or 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.
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.
25
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 Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------------
NET INCOME FOR THE
CURRENT OR ACCUMULATED
PRECEDING FISCAL UNDISTRIBUTED NET
YEAR, AND PROFITS FROM THE PAID-IN
ACCUMULATED SALE OF SECURITIES SURPLUS OR
UNDISTRIBUTED NET OR OTHER OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ------------------ ------------------ -------------
Global Equity Portfolio
December 15, 2017.............. 98% 0% 2%
Global Allocation 60/40 Portfolio
December 15, 2017.............. 99% 0% 1%
Global Allocation 25/75 Portfolio
December 15, 2017.............. 100% 0% 0%*
March 28, 2018................. 98% 0% 2%
*Amountis less than 1%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
26
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.
27
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2017 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. (the "Board") considered the
continuation of the investment management agreements (the "Management
Agreements") for each portfolio (collectively, the "Funds").
Prior to the Meeting, independent counsel to the Independent Board Members sent
to the Advisor a request for information, which identified the information that
the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering the
continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the Advisor
to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment global advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Morningstar
Reports, which compared the performance of each Fund with other funds in its
respective peer group and investment category. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board determined, among other things, that after
considering each Fund's investment strategies and the expectations of its
shareholder base, the performance of each Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering the
reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
The Board considered the profitability of each Fund to the Advisor by reviewing
the profitability analysis provided by the Advisor, including information about
its fee revenues and income. The Board reviewed the overall profitability of
the Advisor, and the compensation that it received for providing services to
each Fund. The Board considered the profitability to the Advisor of managing
and servicing the Funds and the Advisor's unregistered clients, such as
collective trusts, group trusts and separate accounts. Upon closely examining
the Advisor's profitability, the Board concluded, among other things, that it
was reasonable.
The Board also discussed whether economies of scale are realized by the Advisor
with respect to each Fund as it grows larger, and the extent to which this is
reflected in the level of management fees charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of management fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single factor
identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
28
DFA043018-025S
[LOGO] 00211516
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF RELATIONSHIP TO SERIES OF THE
INVESTMENTS IS PROVIDED REGISTRANT
------------------------------------ --------------------------------------
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II and U.S. Large Cap Value
Portfolio III
The DFA International Value Series Master fund for DFA International
Value Portfolio and DFA International
Value Portfolio III
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (97.8%)
Consumer Discretionary -- (12.7%)
Advance Auto Parts, Inc. 27,194 $ 3,112,353 0.0%
* Amazon.com, Inc. 146,080 228,780,270 2.8%
Aptiv P.L.C. 96,815 8,188,613 0.1%
* AutoZone, Inc. 9,997 6,243,326 0.1%
Best Buy Co., Inc. 92,558 7,083,464 0.1%
* Booking Holdings, Inc. 17,740 38,637,720 0.5%
BorgWarner, Inc. 71,904 3,518,982 0.0%
#* CarMax, Inc. 66,071 4,129,438 0.1%
Carnival Corp. 147,073 9,274,423 0.1%
CBS Corp. Class B 125,305 6,165,006 0.1%
* Charter Communications, Inc. Class A 67,540 18,322,927 0.2%
#* Chipotle Mexican Grill, Inc. 9,048 3,830,290 0.0%
Comcast Corp. Class A 1,685,108 52,895,540 0.6%
Darden Restaurants, Inc. 44,878 4,167,371 0.1%
#* Discovery, Inc. Class A 55,667 1,316,525 0.0%
* Discovery, Inc. Class C 112,837 2,507,238 0.0%
* DISH Network Corp. Class A 83,380 2,797,399 0.0%
Dollar General Corp. 93,965 9,070,441 0.1%
* Dollar Tree, Inc. 86,150 8,260,924 0.1%
DR Horton, Inc. 123,791 5,464,135 0.1%
# Expedia Group, Inc. 44,991 5,180,264 0.1%
# Foot Locker, Inc. 44,669 1,924,341 0.0%
Ford Motor Co. 1,420,933 15,971,287 0.2%
Gap, Inc. (The) 79,788 2,333,001 0.0%
# Garmin, Ltd. 39,762 2,332,837 0.0%
General Motors Co. 458,437 16,842,975 0.2%
Genuine Parts Co. 53,467 4,722,205 0.1%
Goodyear Tire & Rubber Co. (The) 87,808 2,204,859 0.0%
H&R Block, Inc. 75,479 2,086,994 0.0%
# Hanesbrands, Inc. 133,025 2,456,972 0.0%
# Harley-Davidson, Inc. 61,287 2,520,734 0.0%
Hasbro, Inc. 41,291 3,637,324 0.0%
Hilton Worldwide Holdings, Inc. 102,946 8,116,263 0.1%
Home Depot, Inc. (The) 424,543 78,455,546 1.0%
# Interpublic Group of Cos., Inc. (The) 138,077 3,257,236 0.0%
Kohl's Corp. 61,748 3,835,786 0.1%
L Brands, Inc. 90,083 3,144,798 0.0%
Leggett & Platt, Inc. 48,112 1,950,942 0.0%
Lennar Corp. Class A 99,976 5,287,731 0.1%
* LKQ Corp. 112,161 3,479,234 0.0%
Lowe's Cos., Inc. 302,260 24,915,292 0.3%
# Macy's, Inc. 112,221 3,486,707 0.0%
Marriott International, Inc. Class A 109,005 14,898,803 0.2%
# Mattel, Inc. 123,795 1,832,166 0.0%
McDonald's Corp. 289,822 48,527,796 0.6%
MGM Resorts International 183,677 5,771,131 0.1%
* Michael Kors Holdings, Ltd. 55,143 3,772,884 0.0%
* Mohawk Industries, Inc. 23,153 4,859,352 0.1%
* Netflix, Inc. 157,765 49,295,252 0.6%
# Newell Brands, Inc. 176,854 4,886,476 0.1%
News Corp. Class A 139,480 2,228,890 0.0%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Consumer Discretionary -- (Continued)
News Corp. Class B 47,476 $ 771,485 0.0%
NIKE, Inc. Class B 471,193 32,224,889 0.4%
# Nordstrom, Inc. 42,086 2,127,868 0.0%
* Norwegian Cruise Line Holdings, Ltd. 74,617 3,989,771 0.1%
* O'Reilly Automotive, Inc. 30,377 7,778,638 0.1%
# Omnicom Group, Inc. 83,830 6,174,918 0.1%
PulteGroup, Inc. 94,858 2,879,889 0.0%
PVH Corp. 27,804 4,439,465 0.1%
Ralph Lauren Corp. 20,317 2,231,822 0.0%
Ross Stores, Inc. 139,563 11,283,669 0.1%
Royal Caribbean Cruises, Ltd. 62,022 6,710,160 0.1%
Starbucks Corp. 510,199 29,372,156 0.4%
Tapestry, Inc. 103,804 5,581,541 0.1%
Target Corp. 197,157 14,313,598 0.2%
Tiffany & Co. 36,818 3,785,995 0.0%
Time Warner, Inc. 283,125 26,840,250 0.3%
TJX Cos., Inc. (The) 229,557 19,477,912 0.2%
Tractor Supply Co. 45,631 3,102,908 0.0%
#* TripAdvisor, Inc. 38,840 1,453,393 0.0%
Twenty-First Century Fox, Inc. Class A 382,502 13,984,273 0.2%
Twenty-First Century Fox, Inc. Class B 161,147 5,812,572 0.1%
* Ulta Salon Cosmetics & Fragrance, Inc. 20,992 5,267,103 0.1%
#* Under Armour, Inc. Class A 66,594 1,182,709 0.0%
#* Under Armour, Inc. Class C 67,224 1,031,888 0.0%
VF Corp. 119,305 9,648,195 0.1%
Viacom, Inc. Class B 127,851 3,855,986 0.1%
Walt Disney Co. (The) 546,671 54,847,501 0.7%
Whirlpool Corp. 26,067 4,039,082 0.1%
# Wyndham Worldwide Corp. 36,189 4,133,146 0.1%
Wynn Resorts, Ltd. 30,755 5,726,273 0.1%
Yum! Brands, Inc. 120,719 10,514,625 0.1%
-------------- ----
Total Consumer Discretionary 1,062,566,143 12.9%
-------------- ----
Consumer Staples -- (6.8%)
Altria Group, Inc. 690,921 38,767,577 0.5%
Archer-Daniels-Midland Co. 202,688 9,197,981 0.1%
Brown-Forman Corp. Class B 94,767 5,310,743 0.1%
# Campbell Soup Co. 70,729 2,884,329 0.0%
Church & Dwight Co., Inc. 88,563 4,091,611 0.0%
Clorox Co. (The) 47,194 5,531,137 0.1%
Coca-Cola Co. (The) 1,395,809 60,312,907 0.7%
Colgate-Palmolive Co. 317,827 20,731,855 0.2%
Conagra Brands, Inc. 147,156 5,455,073 0.1%
Constellation Brands, Inc. Class A 62,336 14,532,392 0.2%
Costco Wholesale Corp. 159,417 31,430,656 0.4%
# Coty, Inc. Class A 173,514 3,010,468 0.0%
Dr Pepper Snapple Group, Inc. 65,025 7,800,399 0.1%
Estee Lauder Cos., Inc. (The) Class A 81,608 12,085,329 0.1%
General Mills, Inc. 206,614 9,037,296 0.1%
Hershey Co. (The) 51,114 4,699,421 0.1%
# Hormel Foods Corp. 99,113 3,592,846 0.0%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
JM Smucker Co. (The) 40,960 $ 4,672,717 0.1%
# Kellogg Co. 90,897 5,353,833 0.1%
Kimberly-Clark Corp. 127,329 13,183,645 0.2%
Kraft Heinz Co. (The) 217,418 12,258,027 0.1%
Kroger Co. (The) 319,718 8,053,696 0.1%
# McCormick & Co., Inc. Non-Voting 43,965 4,634,351 0.1%
Molson Coors Brewing Co. Class B 67,629 4,817,890 0.1%
Mondelez International, Inc. Class A 541,059 21,371,830 0.2%
* Monster Beverage Corp. 149,750 8,236,250 0.1%
PepsiCo, Inc. 517,030 52,189,008 0.6%
Philip Morris International, Inc. 564,656 46,301,792 0.6%
Procter & Gamble Co. (The) 916,528 66,301,635 0.8%
Sysco Corp. 175,303 10,963,450 0.1%
Tyson Foods, Inc. Class A 108,256 7,588,746 0.1%
Walgreens Boots Alliance, Inc. 309,309 20,553,583 0.2%
Walmart, Inc. 527,727 46,682,730 0.6%
------------ ---
Total Consumer Staples 571,635,203 6.9%
------------ ---
Energy -- (6.1%)
Anadarko Petroleum Corp. 186,840 12,578,069 0.1%
Andeavor 51,025 7,057,778 0.1%
# Apache Corp. 139,888 5,728,414 0.1%
# Baker Hughes a GE Co. 153,178 5,531,258 0.1%
Cabot Oil & Gas Corp. 169,728 4,058,196 0.0%
Chevron Corp. 694,485 86,887,018 1.1%
Cimarex Energy Co. 35,027 3,523,366 0.0%
#* Concho Resources, Inc. 54,085 8,502,703 0.1%
ConocoPhillips 426,430 27,931,165 0.3%
Devon Energy Corp. 192,158 6,981,100 0.1%
EOG Resources, Inc. 210,367 24,859,068 0.3%
EQT Corp. 88,997 4,466,759 0.1%
Exxon Mobil Corp. 1,540,486 119,772,786 1.4%
Halliburton Co. 317,506 16,824,643 0.2%
Helmerich & Payne, Inc. 40,123 2,790,555 0.0%
# Hess Corp. 96,857 5,519,880 0.1%
Kinder Morgan, Inc. 687,844 10,881,692 0.1%
Marathon Oil Corp. 310,747 5,671,133 0.1%
Marathon Petroleum Corp. 172,227 12,901,525 0.2%
# National Oilwell Varco, Inc. 138,817 5,368,053 0.1%
* Newfield Exploration Co. 74,523 2,220,785 0.0%
# Noble Energy, Inc. 178,862 6,050,901 0.1%
Occidental Petroleum Corp. 278,338 21,504,394 0.3%
ONEOK, Inc. 149,658 9,012,405 0.1%
Phillips 66 153,157 17,047,906 0.2%
Pioneer Natural Resources Co. 61,952 12,486,426 0.1%
# Range Resources Corp. 81,425 1,127,736 0.0%
Schlumberger, Ltd. 503,859 34,544,573 0.4%
TechnipFMC P.L.C. 158,375 5,220,040 0.1%
Valero Energy Corp. 157,264 17,445,296 0.2%
Williams Cos., Inc. (The) 301,734 7,763,616 0.1%
------------ ---
Total Energy 512,259,239 6.2%
------------ ---
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (14.4%)
Affiliated Managers Group, Inc. 19,581 $ 3,228,124 0.0%
Aflac, Inc. 284,540 12,966,488 0.2%
Allstate Corp. (The) 128,686 12,588,065 0.1%
American Express Co. 261,952 25,867,760 0.3%
American International Group, Inc. 327,627 18,347,112 0.2%
Ameriprise Financial, Inc. 53,126 7,448,796 0.1%
Aon P.L.C. 89,376 12,733,399 0.2%
Arthur J Gallagher & Co. 66,216 4,634,458 0.1%
Assurant, Inc. 19,602 1,819,458 0.0%
Bank of America Corp. 3,478,216 104,068,223 1.3%
Bank of New York Mellon Corp. (The) 366,589 19,982,766 0.2%
BB&T Corp. 282,221 14,901,269 0.2%
* Berkshire Hathaway, Inc. Class B 699,705 135,553,850 1.6%
BlackRock, Inc. 44,929 23,430,473 0.3%
#* Brighthouse Financial, Inc. 35,504 1,802,893 0.0%
Capital One Financial Corp. 176,546 15,998,599 0.2%
Cboe Global Markets, Inc. 40,679 4,343,704 0.1%
Charles Schwab Corp. (The) 435,064 24,224,363 0.3%
Chubb, Ltd. 168,811 22,902,588 0.3%
# Cincinnati Financial Corp. 54,358 3,823,542 0.0%
Citigroup, Inc. 934,365 63,789,099 0.8%
Citizens Financial Group, Inc. 176,749 7,333,316 0.1%
CME Group, Inc. 123,612 19,491,140 0.2%
Comerica, Inc. 62,973 5,955,986 0.1%
Discover Financial Services 128,794 9,176,572 0.1%
* E*TRADE Financial Corp. 96,182 5,836,324 0.1%
Everest Re Group, Ltd. 15,051 3,501,916 0.0%
Fifth Third Bancorp 251,886 8,355,059 0.1%
Franklin Resources, Inc. 118,656 3,991,588 0.0%
Goldman Sachs Group, Inc. (The) 128,650 30,661,154 0.4%
Hartford Financial Services Group, Inc. (The) 129,830 6,990,047 0.1%
Huntington Bancshares, Inc. 400,203 5,967,027 0.1%
Intercontinental Exchange, Inc. 212,318 15,384,562 0.2%
Invesco, Ltd. 147,323 4,267,947 0.1%
JPMorgan Chase & Co. 1,247,711 135,726,003 1.6%
KeyCorp 385,082 7,670,833 0.1%
Leucadia National Corp. 112,144 2,695,942 0.0%
Lincoln National Corp. 79,088 5,586,776 0.1%
Loews Corp. 97,629 5,121,617 0.1%
M&T Bank Corp. 54,775 9,983,839 0.1%
Marsh & McLennan Cos., Inc. 184,648 15,048,812 0.2%
MetLife, Inc. 376,353 17,940,747 0.2%
Moody's Corp. 60,433 9,802,233 0.1%
Morgan Stanley 500,907 25,856,819 0.3%
MSCI, Inc. 32,700 4,899,441 0.1%
Nasdaq, Inc. 42,128 3,720,745 0.0%
Navient Corp. 95,665 1,268,518 0.0%
Northern Trust Corp. 77,237 8,245,050 0.1%
# People's United Financial, Inc. 124,920 2,284,787 0.0%
PNC Financial Services Group, Inc. (The) 171,211 24,930,034 0.3%
Principal Financial Group, Inc. 97,337 5,764,297 0.1%
Progressive Corp. (The) 211,650 12,760,378 0.2%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Financials -- (Continued)
Prudential Financial, Inc. 153,291 $ 16,297,899 0.2%
Raymond James Financial, Inc. 46,632 4,185,222 0.1%
Regions Financial Corp. 407,547 7,621,129 0.1%
S&P Global, Inc. 92,454 17,436,824 0.2%
State Street Corp. 133,476 13,318,235 0.2%
SunTrust Banks, Inc. 170,016 11,357,069 0.1%
* SVB Financial Group 19,196 5,751,314 0.1%
Synchrony Financial 259,437 8,605,525 0.1%
T Rowe Price Group, Inc. 88,986 10,128,387 0.1%
Torchmark Corp. 38,513 3,340,618 0.0%
Travelers Cos., Inc. (The) 98,542 12,968,127 0.2%
U.S. Bancorp. 569,736 28,743,181 0.3%
Unum Group 81,125 3,924,827 0.0%
Wells Fargo & Co. 1,596,006 82,928,472 1.0%
Willis Towers Watson P.L.C. 47,764 7,093,432 0.1%
XL Group, Ltd. 94,290 5,241,581 0.1%
Zions Bancorporation 71,181 3,897,160 0.0%
-------------- ----
Total Financials 1,203,513,540 14.6%
-------------- ----
Health Care -- (13.8%)
Abbott Laboratories 632,965 36,794,255 0.4%
AbbVie, Inc. 579,544 55,954,973 0.7%
Aetna, Inc. 118,696 21,252,519 0.3%
Agilent Technologies, Inc. 117,968 7,755,216 0.1%
* Alexion Pharmaceuticals, Inc. 80,803 9,504,857 0.1%
* Align Technology, Inc. 26,375 6,589,794 0.1%
Allergan P.L.C. 120,233 18,473,800 0.2%
AmerisourceBergen Corp. 59,387 5,379,274 0.1%
Amgen, Inc. 243,024 42,402,828 0.5%
Anthem, Inc. 92,915 21,927,011 0.3%
Baxter International, Inc. 180,409 12,538,426 0.1%
Becton Dickinson and Co. 96,682 22,417,655 0.3%
* Biogen, Inc. 76,915 21,043,944 0.2%
* Boston Scientific Corp. 498,595 14,319,648 0.2%
Bristol-Myers Squibb Co. 593,768 30,953,126 0.4%
Cardinal Health, Inc. 113,845 7,305,434 0.1%
* Celgene Corp. 273,077 23,785,007 0.3%
* Centene Corp. 63,131 6,854,764 0.1%
* Cerner Corp. 115,086 6,703,760 0.1%
Cigna Corp. 88,176 15,150,400 0.2%
Cooper Cos., Inc. (The) 17,950 4,105,345 0.0%
CVS Health Corp. 368,325 25,720,135 0.3%
Danaher Corp. 222,862 22,357,516 0.3%
* DaVita, Inc. 52,860 3,319,079 0.0%
DENTSPLY SIRONA, Inc. 83,858 4,221,412 0.1%
* Edwards Lifesciences Corp. 76,604 9,756,285 0.1%
Eli Lilly & Co. 350,973 28,453,381 0.3%
#* Envision Healthcare Corp. 44,573 1,656,778 0.0%
* Express Scripts Holding Co. 204,660 15,492,762 0.2%
Gilead Sciences, Inc. 476,248 34,399,393 0.4%
HCA Healthcare, Inc. 101,626 9,729,673 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Health Care -- (Continued)
#* Henry Schein, Inc. 56,338 $ 4,281,688 0.1%
* Hologic, Inc. 100,931 3,915,114 0.0%
Humana, Inc. 49,986 14,704,882 0.2%
* IDEXX Laboratories, Inc. 31,549 6,135,965 0.1%
* Illumina, Inc. 53,368 12,857,952 0.1%
#* Incyte Corp. 63,733 3,947,622 0.0%
* Intuitive Surgical, Inc. 40,789 17,978,975 0.2%
* IQVIA Holdings, Inc. 52,978 5,073,173 0.1%
Johnson & Johnson 975,387 123,376,702 1.5%
* Laboratory Corp. of America Holdings 36,925 6,304,944 0.1%
McKesson Corp. 74,911 11,701,847 0.1%
Medtronic P.L.C. 492,714 39,481,173 0.5%
Merck & Co., Inc. 980,218 57,705,434 0.7%
* Mettler-Toledo International, Inc. 9,237 5,172,073 0.1%
* Mylan NV 186,891 7,243,895 0.1%
#* Nektar Therapeutics 58,423 4,887,668 0.1%
# PerkinElmer, Inc. 39,589 2,904,249 0.0%
# Perrigo Co. P.L.C. 47,903 3,743,140 0.0%
Pfizer, Inc. 2,164,204 79,231,508 1.0%
Quest Diagnostics, Inc. 49,190 4,978,028 0.1%
* Regeneron Pharmaceuticals, Inc. 28,060 8,521,261 0.1%
ResMed, Inc. 52,105 4,931,217 0.1%
Stryker Corp. 117,293 19,871,780 0.2%
Thermo Fisher Scientific, Inc. 146,071 30,726,035 0.4%
UnitedHealth Group, Inc. 351,800 83,165,520 1.0%
Universal Health Services, Inc. Class B 31,918 3,645,036 0.0%
* Varian Medical Systems, Inc. 33,367 3,856,892 0.0%
* Vertex Pharmaceuticals, Inc. 92,229 14,125,794 0.2%
* Waters Corp. 28,636 5,395,309 0.1%
Zimmer Biomet Holdings, Inc. 73,482 8,462,922 0.1%
Zoetis, Inc. 177,205 14,793,073 0.2%
-------------- ----
Total Health Care 1,159,439,321 14.1%
-------------- ----
Industrials -- (9.7%)
3M Co. 216,498 42,085,046 0.5%
# Acuity Brands, Inc. 15,179 1,817,989 0.0%
# Alaska Air Group, Inc. 44,697 2,902,176 0.0%
Allegion P.L.C. 34,567 2,667,881 0.0%
# American Airlines Group, Inc. 152,449 6,544,636 0.1%
AMETEK, Inc. 83,800 5,849,240 0.1%
AO Smith Corp. 53,050 3,254,617 0.0%
Arconic, Inc. 156,496 2,787,194 0.0%
Boeing Co. (The) 201,112 67,082,919 0.8%
Caterpillar, Inc. 217,635 31,417,789 0.4%
# CH Robinson Worldwide, Inc. 50,408 4,639,048 0.1%
Cintas Corp. 31,141 5,303,312 0.1%
CSX Corp. 323,194 19,194,492 0.2%
Cummins, Inc. 56,875 9,092,037 0.1%
Deere & Co. 117,551 15,908,177 0.2%
Delta Air Lines, Inc. 236,999 12,376,088 0.2%
Dover Corp. 56,166 5,206,588 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Eaton Corp. P.L.C. 160,148 $12,015,904 0.1%
Emerson Electric Co. 230,478 15,306,044 0.2%
Equifax, Inc. 43,571 4,882,130 0.1%
Expeditors International of Washington, Inc. 64,596 4,125,101 0.1%
# Fastenal Co. 103,804 5,189,162 0.1%
FedEx Corp. 89,602 22,149,614 0.3%
# Flowserve Corp. 47,060 2,089,935 0.0%
Fluor Corp. 51,525 3,037,399 0.0%
Fortive Corp. 111,726 7,855,455 0.1%
Fortune Brands Home & Security, Inc. 55,081 3,012,380 0.0%
General Dynamics Corp. 100,515 20,234,675 0.2%
General Electric Co. 3,156,608 44,413,475 0.5%
Harris Corp. 42,890 6,708,854 0.1%
Honeywell International, Inc. 273,395 39,554,789 0.5%
Huntington Ingalls Industries, Inc. 16,463 4,003,966 0.0%
#* IHS Markit, Ltd. 131,000 6,436,030 0.1%
Illinois Tool Works, Inc. 111,589 15,847,870 0.2%
Ingersoll-Rand P.L.C. 90,831 7,619,813 0.1%
Jacobs Engineering Group, Inc. 43,600 2,532,724 0.0%
# JB Hunt Transport Services, Inc. 31,297 3,675,207 0.0%
Johnson Controls International P.L.C. 336,121 11,384,418 0.1%
Kansas City Southern 37,465 3,994,893 0.0%
L3 Technologies, Inc. 28,492 5,581,013 0.1%
Lockheed Martin Corp. 90,484 29,030,887 0.4%
Masco Corp. 114,171 4,323,656 0.1%
# Nielsen Holdings P.L.C. 122,921 3,865,865 0.0%
Norfolk Southern Corp. 103,163 14,800,796 0.2%
Northrop Grumman Corp. 63,207 20,355,182 0.2%
PACCAR, Inc. 128,417 8,176,310 0.1%
Parker-Hannifin Corp. 48,361 7,961,188 0.1%
Pentair P.L.C. 60,862 4,094,795 0.1%
* Quanta Services, Inc. 54,812 1,781,390 0.0%
Raytheon Co. 105,076 21,534,275 0.3%
Republic Services, Inc. 82,470 5,334,160 0.1%
Robert Half International, Inc. 44,958 2,731,198 0.0%
Rockwell Automation, Inc. 46,735 7,689,309 0.1%
Rockwell Collins, Inc. 59,348 7,865,984 0.1%
Roper Technologies, Inc. 37,463 9,897,350 0.1%
# Snap-on, Inc. 20,581 2,989,390 0.0%
Southwest Airlines Co. 197,486 10,433,185 0.1%
Stanley Black & Decker, Inc. 55,593 7,871,413 0.1%
#* Stericycle, Inc. 30,588 1,795,821 0.0%
Textron, Inc. 95,116 5,910,508 0.1%
# TransDigm Group, Inc. 17,639 5,654,534 0.1%
Union Pacific Corp. 286,206 38,245,708 0.5%
* United Continental Holdings, Inc. 87,856 5,933,794 0.1%
United Parcel Service, Inc. Class B 249,870 28,360,245 0.3%
* United Rentals, Inc. 30,622 4,593,300 0.1%
United Technologies Corp. 270,846 32,542,147 0.4%
* Verisk Analytics, Inc. 56,604 6,025,496 0.1%
Waste Management, Inc. 145,227 11,805,503 0.1%
# WW Grainger, Inc. 18,536 5,215,104 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
Xylem, Inc. 65,617 $ 4,783,479 0.1%
------------ ---
Total Industrials 811,382,052 9.9%
------------ ---
Information Technology -- (24.2%)
Accenture P.L.C. Class A 224,194 33,898,133 0.4%
Activision Blizzard, Inc. 275,421 18,274,183 0.2%
* Adobe Systems, Inc. 178,752 39,611,443 0.5%
#* Advanced Micro Devices, Inc. 300,579 3,270,299 0.0%
* Akamai Technologies, Inc. 62,531 4,480,346 0.1%
Alliance Data Systems Corp. 17,407 3,534,491 0.0%
* Alphabet, Inc. Class A 108,519 110,535,283 1.3%
* Alphabet, Inc. Class C 110,654 112,571,634 1.4%
Amphenol Corp. Class A 110,870 9,280,928 0.1%
Analog Devices, Inc. 134,888 11,782,467 0.1%
* ANSYS, Inc. 30,463 4,924,649 0.1%
Apple, Inc. 1,844,691 304,853,635 3.7%
Applied Materials, Inc. 381,452 18,946,721 0.2%
* Autodesk, Inc. 79,754 10,041,029 0.1%
Automatic Data Processing, Inc. 161,252 19,040,636 0.2%
Broadcom, Inc. 149,235 34,237,494 0.4%
CA, Inc. 114,612 3,988,498 0.1%
* Cadence Design Systems, Inc. 103,571 4,149,054 0.1%
Cisco Systems, Inc. 1,751,440 77,571,278 0.9%
* Citrix Systems, Inc. 47,026 4,839,446 0.1%
Cognizant Technology Solutions Corp. Class A 214,199 17,525,762 0.2%
Corning, Inc. 316,390 8,548,858 0.1%
DXC Technology Co. 103,414 10,657,847 0.1%
* eBay, Inc. 341,715 12,944,164 0.2%
* Electronic Arts, Inc. 111,206 13,120,084 0.2%
* F5 Networks, Inc. 22,642 3,692,684 0.1%
* Facebook, Inc. Class A 871,053 149,821,116 1.8%
Fidelity National Information Services, Inc. 120,524 11,446,164 0.1%
* Fiserv, Inc. 150,018 10,630,275 0.1%
FLIR Systems, Inc. 49,994 2,677,179 0.0%
#* Gartner, Inc. 33,415 4,052,905 0.1%
Global Payments, Inc. 57,897 6,545,256 0.1%
Hewlett Packard Enterprise Co. 568,899 9,699,728 0.1%
HP, Inc. 594,481 12,775,397 0.2%
Intel Corp. 1,701,445 87,828,591 1.1%
International Business Machines Corp. 311,454 45,148,372 0.6%
Intuit, Inc. 88,579 16,368,513 0.2%
* IPG Photonics Corp. 13,738 2,926,606 0.0%
Juniper Networks, Inc. 124,801 3,068,857 0.0%
KLA-Tencor Corp. 57,144 5,813,830 0.1%
Lam Research Corp. 59,283 10,970,912 0.1%
Mastercard, Inc. Class A 335,617 59,830,443 0.7%
# Microchip Technology, Inc. 85,175 7,125,740 0.1%
* Micron Technology, Inc. 419,800 19,302,404 0.2%
Microsoft Corp. 2,799,311 261,791,565 3.2%
Motorola Solutions, Inc. 58,801 6,458,114 0.1%
NetApp, Inc. 96,912 6,452,401 0.1%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Information Technology -- (Continued)
NVIDIA Corp. 219,952 $ 49,467,205 0.6%
Oracle Corp. 1,098,635 50,174,660 0.6%
Paychex, Inc. 115,817 7,015,036 0.1%
* PayPal Holdings, Inc. 410,147 30,601,068 0.4%
* Qorvo, Inc. 45,862 3,091,099 0.0%
QUALCOMM, Inc. 537,445 27,415,069 0.3%
#* Red Hat, Inc. 64,628 10,538,242 0.1%
* salesforce.com, Inc. 249,501 30,187,126 0.4%
Seagate Technology P.L.C. 104,013 6,021,312 0.1%
Skyworks Solutions, Inc. 66,236 5,746,635 0.1%
Symantec Corp. 224,043 6,226,155 0.1%
* Synopsys, Inc. 53,699 4,591,801 0.1%
* Take-Two Interactive Software, Inc. 41,532 4,141,156 0.1%
TE Connectivity, Ltd. 128,179 11,760,423 0.1%
Texas Instruments, Inc. 357,663 36,277,758 0.4%
Total System Services, Inc. 60,656 5,098,743 0.1%
#* VeriSign, Inc. 30,198 3,545,849 0.0%
# Visa, Inc. Class A 655,356 83,151,569 1.0%
Western Digital Corp. 108,711 8,565,340 0.1%
# Western Union Co. (The) 166,593 3,290,212 0.0%
Xerox Corp. 79,678 2,505,873 0.0%
Xilinx, Inc. 92,510 5,942,842 0.1%
-------------- ----
Total Information Technology 2,032,410,587 24.7%
-------------- ----
Materials -- (2.8%)
Air Products & Chemicals, Inc. 79,486 12,899,783 0.2%
# Albemarle Corp. 39,993 3,877,721 0.0%
Avery Dennison Corp. 32,048 3,358,951 0.0%
# Ball Corp. 127,854 5,125,667 0.1%
# CF Industries Holdings, Inc. 83,676 3,246,629 0.0%
DowDuPont, Inc. 850,719 53,799,470 0.7%
Eastman Chemical Co. 52,429 5,351,952 0.1%
Ecolab, Inc. 94,305 13,652,535 0.2%
FMC Corp. 48,833 3,893,455 0.0%
Freeport-McMoRan, Inc. 488,363 7,428,001 0.1%
International Flavors & Fragrances, Inc. 29,094 4,109,818 0.0%
International Paper Co. 151,121 7,791,799 0.1%
LyondellBasell Industries NV Class A 118,040 12,480,369 0.2%
# Martin Marietta Materials, Inc. 22,808 4,442,314 0.1%
Monsanto Co. 160,033 20,063,337 0.2%
Mosaic Co. (The) 127,530 3,436,934 0.0%
Newmont Mining Corp. 194,448 7,639,862 0.1%
Nucor Corp. 114,950 7,083,219 0.1%
Packaging Corp. of America 33,934 3,925,824 0.0%
# PPG Industries, Inc. 92,567 9,800,994 0.1%
Praxair, Inc. 104,245 15,899,447 0.2%
# Sealed Air Corp. 60,668 2,660,292 0.0%
Sherwin-Williams Co. (The) 30,172 11,093,038 0.1%
# Vulcan Materials Co. 48,324 5,397,308 0.1%
WestRock Co. 92,374 5,464,846 0.1%
-------------- ----
Total Materials 233,923,565 2.8%
-------------- ----
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Real Estate -- (2.7%)
# Alexandria Real Estate Equities, Inc. 36,659 $ 4,566,612 0.1%
American Tower Corp. 160,051 21,824,554 0.3%
Apartment Investment & Management Co. Class A 56,137 2,279,162 0.0%
AvalonBay Communities, Inc. 50,161 8,176,243 0.1%
Boston Properties, Inc. 56,207 6,824,092 0.1%
* CBRE Group, Inc. Class A 109,288 4,951,839 0.1%
Crown Castle International Corp. 150,546 15,185,575 0.2%
# Digital Realty Trust, Inc. 74,734 7,898,636 0.1%
Duke Realty Corp. 128,088 3,471,185 0.0%
Equinix, Inc. 28,764 12,103,604 0.1%
Equity Residential 133,957 8,266,486 0.1%
Essex Property Trust, Inc. 23,881 5,724,037 0.1%
# Extra Space Storage, Inc. 46,096 4,129,741 0.1%
Federal Realty Investment Trust 26,696 3,092,732 0.0%
GGP, Inc. 230,445 4,606,596 0.1%
HCP, Inc. 171,954 4,016,845 0.0%
# Host Hotels & Resorts, Inc. 267,432 5,230,970 0.1%
# Iron Mountain, Inc. 102,038 3,463,170 0.0%
# Kimco Realty Corp. 152,186 2,208,219 0.0%
# Macerich Co. (The) 39,266 2,262,507 0.0%
Mid-America Apartment Communities, Inc. 41,761 3,819,461 0.0%
Prologis, Inc. 193,228 12,542,429 0.2%
# Public Storage 54,524 11,001,853 0.1%
# Realty Income Corp. 102,579 5,181,265 0.1%
# Regency Centers Corp. 54,706 3,219,448 0.0%
* SBA Communications Corp. 42,178 6,758,181 0.1%
Simon Property Group, Inc. 113,468 17,739,587 0.2%
# SL Green Realty Corp. 32,529 3,179,384 0.0%
UDR, Inc. 97,897 3,538,977 0.0%
Ventas, Inc. 129,712 6,669,791 0.1%
Vornado Realty Trust 62,253 4,235,072 0.1%
Welltower, Inc. 135,582 7,245,502 0.1%
Weyerhaeuser Co. 274,000 10,077,720 0.1%
------------ ---
Total Real Estate 225,491,475 2.7%
------------ ---
Telecommunication Services -- (1.8%)
AT&T, Inc. 2,232,238 72,994,183 0.9%
# CenturyLink, Inc. 356,160 6,617,453 0.1%
Verizon Communications, Inc. 1,500,749 74,061,963 0.9%
------------ ---
Total Telecommunication Services 153,673,599 1.9%
------------ ---
Utilities -- (2.8%)
# AES Corp. 243,780 2,983,867 0.0%
# Alliant Energy Corp. 83,559 3,588,859 0.0%
Ameren Corp. 89,116 5,223,980 0.1%
American Electric Power Co., Inc. 178,903 12,519,632 0.2%
American Water Works Co., Inc. 65,283 5,652,202 0.1%
CenterPoint Energy, Inc. 156,512 3,964,449 0.1%
CMS Energy Corp. 103,068 4,863,779 0.1%
Consolidated Edison, Inc. 112,936 9,049,562 0.1%
# Dominion Energy, Inc. 236,536 15,743,836 0.2%
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Utilities -- (Continued)
DTE Energy Co. 64,830 $ 6,833,082 0.1%
Duke Energy Corp. 254,565 20,405,930 0.2%
Edison International 117,747 7,714,783 0.1%
Entergy Corp. 65,641 5,355,649 0.1%
Eversource Energy 114,522 6,899,951 0.1%
Exelon Corp. 351,349 13,941,528 0.2%
# FirstEnergy Corp. 161,352 5,550,509 0.1%
NextEra Energy, Inc. 171,029 28,033,363 0.3%
# NiSource, Inc. 122,902 2,997,580 0.0%
NRG Energy, Inc. 108,412 3,360,772 0.0%
PG&E Corp. 186,567 8,600,739 0.1%
Pinnacle West Capital Corp. 40,907 3,293,014 0.0%
PPL Corp. 251,974 7,332,443 0.1%
Public Service Enterprise Group, Inc. 182,810 9,533,542 0.1%
SCANA Corp. 52,044 1,913,658 0.0%
# Sempra Energy 92,695 10,363,301 0.1%
# Southern Co. (The) 366,012 16,880,473 0.2%
# WEC Energy Group, Inc. 115,404 7,418,169 0.1%
Xcel Energy, Inc. 184,914 8,661,372 0.1%
-------------- -----
Total Utilities 238,680,024 2.9%
-------------- -----
TOTAL COMMON STOCKS 8,204,974,748 99.6%
-------------- -----
TOTAL INVESTMENT SECURITIES 8,204,974,748
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government
Money Market Fund, 1.630% 27,525,395 27,525,395 0.3%
-------------- -----
SECURITIES LENDING COLLATERAL -- (1.9%)
(S)@ DFA Short Term Investment Fund 13,351,146 154,472,760 1.9%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $3,790,445,865) $8,386,972,903 101.8%
============== =====
At April 30, 2018, 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(R) Emini Index 261 06/15/18 $34,859,996 $34,543,350 $(316,646)
----------- ----------- ---------
TOTAL FUTURES CONTRACTS $34,859,996 $34,543,350 $(316,646)
=========== =========== =========
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Fund's investments as of April 30, 2018, 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 $1,062,566,143 -- -- $1,062,566,143
Consumer Staples 571,635,203 -- -- 571,635,203
Energy 512,259,239 -- -- 512,259,239
Financials 1,203,513,540 -- -- 1,203,513,540
Health Care 1,159,439,321 -- -- 1,159,439,321
Industrials 811,382,052 -- -- 811,382,052
Information Technology 2,032,410,587 -- -- 2,032,410,587
Materials 233,923,565 -- -- 233,923,565
Real Estate 225,491,475 -- -- 225,491,475
Telecommunication Services 153,673,599 -- -- 153,673,599
Utilities 238,680,024 -- -- 238,680,024
Temporary Cash Investments 27,525,395 -- -- 27,525,395
Securities Lending Collateral -- $154,472,760 -- 154,472,760
Futures Contracts** (316,646) -- -- (316,646)
-------------- ------------ ---------- --------------
TOTAL $8,232,183,497 $154,472,760 -- $8,386,656,257
============== ============ ========== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (96.9%)
Consumer Discretionary -- (11.9%)
# Adient P.L.C. 324,454 $ 19,885,786 0.1%
# Advance Auto Parts, Inc. 147,858 16,922,348 0.1%
# Autoliv, Inc. 418,017 56,035,179 0.2%
#* AutoNation, Inc. 464,747 21,466,664 0.1%
BorgWarner, Inc. 1,060,592 51,905,372 0.2%
Carnival Corp. 1,265,734 79,817,186 0.3%
# CBS Corp. Class A 5,058 250,320 0.0%
* Charter Communications, Inc. Class A 962,932 261,233,822 0.9%
Comcast Corp. Class A 21,576,111 677,274,124 2.3%
#* Discovery, Inc. Class A 644,292 15,237,506 0.1%
#* Discovery, Inc. Class C 621,252 13,804,219 0.0%
* Dollar Tree, Inc. 369,560 35,437,108 0.1%
DR Horton, Inc. 3,044,785 134,396,810 0.5%
# Foot Locker, Inc. 106,680 4,595,774 0.0%
Ford Motor Co. 16,051,999 180,424,469 0.6%
# Garmin, Ltd. 486,736 28,556,801 0.1%
* GCI Liberty, Inc. Class A 59,566 2,656,644 0.0%
General Motors Co. 6,055,833 222,491,304 0.8%
Gentex Corp. 1,338,862 30,445,722 0.1%
Goodyear Tire & Rubber Co. (The) 1,549,233 38,901,241 0.1%
Hyatt Hotels Corp. Class A 44,108 3,390,582 0.0%
International Game Technology P.L.C. 11,477 324,455 0.0%
# Kohl's Corp. 1,387,664 86,201,688 0.3%
Lear Corp. 297,292 55,584,685 0.2%
Lennar Corp. Class A 1,444,704 76,410,395 0.3%
Lennar Corp. Class B 37,985 1,621,580 0.0%
#* Liberty Broadband Corp. Class A 27,366 1,928,756 0.0%
#* Liberty Broadband Corp. Class C 172,660 12,239,867 0.0%
#* Liberty Media Corp.-Liberty Braves Class A 13,703 301,055 0.0%
#* Liberty Media Corp.-Liberty Braves Class C 24,606 542,316 0.0%
#* Liberty Media Corp.-Liberty Formula One Class A 39,281 1,104,189 0.0%
#* Liberty Media Corp.-Liberty Formula One Class C 78,562 2,319,150 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 157,126 6,563,153 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class C 314,252 13,091,738 0.0%
* LKQ Corp. 1,167,836 36,226,273 0.1%
# Macy's, Inc. 1,932,620 60,046,503 0.2%
* Madison Square Garden Co. (The) Class A 12,058 2,930,335 0.0%
MGM Resorts International 2,471,336 77,649,377 0.3%
* Mohawk Industries, Inc. 582,542 122,263,915 0.4%
# Newell Brands, Inc. 686,895 18,978,909 0.1%
News Corp. Class A 377,812 6,037,436 0.0%
News Corp. Class B 40,936 665,210 0.0%
* Norwegian Cruise Line Holdings, Ltd. 1,519,001 81,220,983 0.3%
# PulteGroup, Inc. 2,391,049 72,592,248 0.3%
PVH Corp. 445,206 71,086,042 0.2%
* Qurate Retail Group, Inc. QVC Group Class A 2,762,021 64,658,912 0.2%
# Ralph Lauren Corp. 316,488 34,766,207 0.1%
Royal Caribbean Cruises, Ltd. 1,271,015 137,511,113 0.5%
* Skechers U.S.A., Inc. Class A 187,666 5,348,481 0.0%
Target Corp. 1,192,437 86,570,926 0.3%
TEGNA, Inc. 81,650 863,041 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Consumer Discretionary -- (Continued)
Time Warner, Inc. 3,836,070 $ 363,659,436 1.3%
Toll Brothers, Inc. 338,804 14,283,977 0.1%
Viacom, Inc. Class A 2,694 95,772 0.0%
Viacom, Inc. Class B 913,727 27,558,006 0.1%
Whirlpool Corp. 544,837 84,422,493 0.3%
-------------- ----
Total Consumer Discretionary 3,522,797,603 12.2%
-------------- ----
Consumer Staples -- (4.9%)
Archer-Daniels-Midland Co. 1,399,825 63,524,058 0.2%
Bunge, Ltd. 854,141 61,694,604 0.2%
# Coty, Inc. Class A 419,572 7,279,574 0.0%
Ingredion, Inc. 146,985 17,798,414 0.1%
# JM Smucker Co. (The) 897,022 102,332,270 0.4%
Kraft Heinz Co. (The) 1,012,962 57,110,797 0.2%
Molson Coors Brewing Co. Class B 1,008,879 71,872,540 0.3%
Mondelez International, Inc. Class A 3,576,652 141,277,754 0.5%
Pinnacle Foods, Inc. 489,872 29,588,269 0.1%
#* Post Holdings, Inc. 380,520 30,277,976 0.1%
Seaboard Corp. 13 52,092 0.0%
Tyson Foods, Inc. Class A 1,959,828 137,383,943 0.5%
* US Foods Holding Corp. 996,443 34,058,422 0.1%
Walgreens Boots Alliance, Inc. 3,030,389 201,369,349 0.7%
Walmart, Inc. 5,689,778 503,317,762 1.7%
-------------- ----
Total Consumer Staples 1,458,937,824 5.1%
-------------- ----
Energy -- (13.3%)
Anadarko Petroleum Corp. 1,005,192 67,669,525 0.2%
Andeavor 1,297,132 179,419,298 0.6%
#* Antero Resources Corp. 274,772 5,220,668 0.0%
# Apache Corp. 550,345 22,536,628 0.1%
# Baker Hughes a GE Co. 1,033,235 37,310,116 0.1%
Chevron Corp. 5,879,241 735,551,842 2.5%
#* Concho Resources, Inc. 695,714 109,373,198 0.4%
ConocoPhillips 2,949,628 193,200,634 0.7%
#* Continental Resources, Inc. 28,197 1,862,694 0.0%
Devon Energy Corp. 885,734 32,178,716 0.1%
#* Diamondback Energy, Inc. 247,001 31,727,279 0.1%
Exxon Mobil Corp. 13,357,412 1,038,538,783 3.6%
# Helmerich & Payne, Inc. 394,637 27,447,003 0.1%
# Hess Corp. 918,391 52,339,103 0.2%
HollyFrontier Corp. 854,942 51,886,430 0.2%
Kinder Morgan, Inc. 7,052,291 111,567,244 0.4%
Marathon Oil Corp. 3,191,128 58,238,086 0.2%
Marathon Petroleum Corp. 2,321,313 173,889,557 0.6%
# Murphy Oil Corp. 644,526 19,406,678 0.1%
# National Oilwell Varco, Inc. 1,338,190 51,747,807 0.2%
# Noble Energy, Inc. 1,726,287 58,400,289 0.2%
Occidental Petroleum Corp. 2,538,795 196,147,302 0.7%
Phillips 66 985,837 109,733,517 0.4%
Pioneer Natural Resources Co. 70,533 14,215,926 0.0%
* RSP Permian, Inc. 43,338 2,149,998 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Energy -- (Continued)
Schlumberger, Ltd. 1,532,862 $ 105,093,019 0.4%
# Targa Resources Corp. 888,528 41,734,160 0.1%
TechnipFMC P.L.C. 1,601,490 52,785,110 0.2%
Valero Energy Corp. 2,730,237 302,865,190 1.1%
Williams Cos., Inc. (The) 1,196,347 30,782,008 0.1%
-------------- ----
Total Energy 3,915,017,808 13.6%
-------------- ----
Financials -- (23.6%)
Aflac, Inc. 2,661,690 121,293,213 0.4%
Alleghany Corp. 32,159 18,480,813 0.1%
Allstate Corp. (The) 960,776 93,983,108 0.3%
Ally Financial, Inc. 2,960,989 77,281,813 0.3%
American Financial Group, Inc. 387,836 43,910,792 0.2%
American International Group, Inc. 1,977,587 110,744,872 0.4%
#* Arch Capital Group, Ltd. 179,406 14,375,803 0.0%
Assurant, Inc. 246,917 22,918,836 0.1%
Axis Capital Holdings, Ltd. 165,056 9,688,787 0.0%
Bank of America Corp. 20,209,612 604,671,591 2.1%
Bank of New York Mellon Corp. (The) 4,465,867 243,434,410 0.8%
# Bank of the Ozarks, Inc. 123,689 5,788,645 0.0%
BB&T Corp. 2,097,063 110,724,926 0.4%
* Berkshire Hathaway, Inc. Class B 995,133 192,787,116 0.7%
# BOK Financial Corp. 6,114 615,557 0.0%
#* Brighthouse Financial, Inc. 185,840 9,436,955 0.0%
Capital One Financial Corp. 2,121,634 192,262,473 0.7%
Chubb, Ltd. 588,870 79,891,993 0.3%
# CIT Group, Inc. 473,057 25,048,368 0.1%
Citigroup, Inc. 5,962,612 407,067,521 1.4%
Citizens Financial Group, Inc. 912,076 37,842,033 0.1%
# CNA Financial Corp. 411,635 20,771,102 0.1%
Comerica, Inc. 93,036 8,799,345 0.0%
Everest Re Group, Ltd. 177,695 41,344,296 0.1%
Fifth Third Bancorp 3,987,928 132,279,572 0.5%
First American Financial Corp. 115,297 5,892,830 0.0%
Goldman Sachs Group, Inc. (The) 1,092,193 260,302,358 0.9%
Hartford Financial Services Group, Inc. (The) 1,506,378 81,103,391 0.3%
Huntington Bancshares, Inc. 5,537,519 82,564,408 0.3%
Invesco, Ltd. 920,299 26,661,062 0.1%
# Janus Henderson Group P.L.C. 57,192 1,806,695 0.0%
JPMorgan Chase & Co. 11,108,809 1,208,416,243 4.2%
KeyCorp 2,339,105 46,594,972 0.2%
Leucadia National Corp. 249,860 6,006,634 0.0%
Lincoln National Corp. 842,198 59,492,867 0.2%
Loews Corp. 1,304,005 68,408,102 0.2%
M&T Bank Corp. 204,757 37,321,058 0.1%
MetLife, Inc. 1,856,059 88,478,332 0.3%
* MGIC Investment Corp. 174,382 1,747,308 0.0%
Morgan Stanley 5,338,744 275,585,965 1.0%
# New York Community Bancorp, Inc. 1,100,233 13,070,768 0.0%
Old Republic International Corp. 816,263 16,651,765 0.1%
PacWest Bancorp 335,209 17,176,109 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Financials -- (Continued)
# People's United Financial, Inc. 396,896 $ 7,259,228 0.0%
# Pinnacle Financial Partners, Inc. 44,579 2,855,285 0.0%
PNC Financial Services Group, Inc. (The) 1,331,289 193,848,991 0.7%
Principal Financial Group, Inc. 1,447,757 85,736,170 0.3%
# Prosperity Bancshares, Inc. 69,192 4,965,910 0.0%
Prudential Financial, Inc. 983,255 104,539,672 0.4%
Regions Financial Corp. 6,233,501 116,566,469 0.4%
Reinsurance Group of America, Inc. 343,304 51,289,618 0.2%
RenaissanceRe Holdings, Ltd. 118,695 16,147,268 0.1%
Santander Consumer USA Holdings, Inc. 597,888 11,031,034 0.0%
State Street Corp. 409,424 40,852,327 0.1%
SunTrust Banks, Inc. 1,285,995 85,904,466 0.3%
Synchrony Financial 349,095 11,579,481 0.0%
Travelers Cos., Inc. (The) 1,165,331 153,357,560 0.5%
Unum Group 1,204,396 58,268,678 0.2%
Voya Financial, Inc. 184,436 9,655,225 0.0%
Wells Fargo & Co. 18,696,506 971,470,452 3.4%
WR Berkley Corp. 380,116 28,341,449 0.1%
XL Group, Ltd. 950,991 52,865,590 0.2%
# Zions Bancorporation 868,909 47,572,768 0.2%
-------------- ----
Total Financials 6,976,832,448 24.2%
-------------- ----
Health Care -- (14.1%)
Abbott Laboratories 4,212,247 244,857,918 0.9%
Aetna, Inc. 1,816,031 325,160,351 1.1%
Allergan P.L.C. 496,938 76,354,524 0.3%
Anthem, Inc. 1,376,563 324,855,102 1.1%
Becton Dickinson and Co. 682 158,135 0.0%
* Bio-Rad Laboratories, Inc. Class A 7,494 1,901,303 0.0%
# Cardinal Health, Inc. 63,195 4,055,223 0.0%
* Centene Corp. 1,257,364 136,524,583 0.5%
Cigna Corp. 403,350 69,303,597 0.2%
CVS Health Corp. 4,700,064 328,205,469 1.1%
Danaher Corp. 1,838,784 184,466,811 0.6%
* DaVita, Inc. 970,392 60,930,914 0.2%
DENTSPLY SIRONA, Inc. 220,294 11,089,600 0.0%
* Express Scripts Holding Co. 2,740,464 207,453,125 0.7%
Humana, Inc. 674,755 198,499,426 0.7%
* IQVIA Holdings, Inc. 480,892 46,050,218 0.2%
* Laboratory Corp. of America Holdings 740,399 126,423,129 0.4%
McKesson Corp. 520,807 81,355,261 0.3%
* MEDNAX, Inc. 413,651 18,990,717 0.1%
Medtronic P.L.C. 4,282,974 343,194,707 1.2%
* Mylan NV 2,318,430 89,862,347 0.3%
# PerkinElmer, Inc. 106,902 7,842,331 0.0%
# Perrigo Co. P.L.C. 386,345 30,188,998 0.1%
Pfizer, Inc. 20,880,631 764,439,901 2.7%
Quest Diagnostics, Inc. 954,608 96,606,330 0.3%
# STERIS P.L.C. 192,061 18,153,606 0.1%
Thermo Fisher Scientific, Inc. 1,050,474 220,967,206 0.8%
* United Therapeutics Corp. 205,248 22,599,857 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Health Care -- (Continued)
Universal Health Services, Inc. Class B 508,954 $ 58,122,547 0.2%
* WellCare Health Plans, Inc. 48,158 9,880,095 0.0%
Zimmer Biomet Holdings, Inc. 377,067 43,426,806 0.2%
-------------- ----
Total Health Care 4,151,920,137 14.4%
-------------- ----
Industrials -- (7.5%)
#* AECOM 580,731 20,000,376 0.1%
AGCO Corp. 472,685 29,627,896 0.1%
Alaska Air Group, Inc. 37,045 2,405,332 0.0%
AMERCO 61,718 20,831,059 0.1%
Arconic, Inc. 2,065,928 36,794,178 0.1%
Carlisle Cos., Inc. 341,140 36,751,012 0.1%
Copa Holdings SA Class A 146,352 17,148,064 0.1%
Cummins, Inc. 175,294 28,022,499 0.1%
Delta Air Lines, Inc. 2,950,569 154,078,713 0.5%
Dover Corp. 830,218 76,961,209 0.3%
Eaton Corp. P.L.C. 1,816,899 136,321,932 0.5%
EMCOR Group, Inc. 10,035 738,476 0.0%
FedEx Corp. 267,024 66,008,333 0.2%
Fluor Corp. 906,547 53,440,946 0.2%
General Electric Co. 2,163,101 30,434,831 0.1%
#* Genesee & Wyoming, Inc. Class A 39,860 2,838,032 0.0%
Ingersoll-Rand P.L.C. 830,409 69,663,011 0.2%
Jacobs Engineering Group, Inc. 377,362 21,920,959 0.1%
* JetBlue Airways Corp. 2,305,410 44,240,818 0.2%
Johnson Controls International P.L.C. 1,557,928 52,767,021 0.2%
Kansas City Southern 676,598 72,145,645 0.2%
# Knight-Swift Transportation Holdings, Inc. 72,938 2,845,311 0.0%
L3 Technologies, Inc. 393,053 76,991,222 0.3%
ManpowerGroup, Inc. 425,572 40,735,752 0.1%
# Nielsen Holdings P.L.C. 809,304 25,452,611 0.1%
Norfolk Southern Corp. 1,385,379 198,760,325 0.7%
Orbital ATK, Inc. 77,125 10,209,808 0.0%
Oshkosh Corp. 454,128 32,769,876 0.1%
Owens Corning 878,164 57,510,960 0.2%
PACCAR, Inc. 541,728 34,491,822 0.1%
Pentair P.L.C. 1,092,445 73,499,700 0.3%
* Quanta Services, Inc. 749,677 24,364,502 0.1%
Republic Services, Inc. 1,946,533 125,901,754 0.4%
Rockwell Collins, Inc. 10,306 1,365,957 0.0%
# Snap-on, Inc. 121,858 17,699,874 0.1%
Spirit Aerosystems Holdings, Inc. Class A 31,638 2,542,746 0.0%
Stanley Black & Decker, Inc. 1,078,968 152,771,079 0.5%
#* Stericycle, Inc. 176,533 10,364,252 0.0%
* Teledyne Technologies, Inc. 16,413 3,070,708 0.0%
Textron, Inc. 1,940,539 120,585,093 0.4%
Trinity Industries, Inc. 210,820 6,718,833 0.0%
* United Continental Holdings, Inc. 1,508,620 101,892,195 0.4%
#* USG Corp. 231,469 9,311,998 0.0%
# Wabtec Corp. 240,625 21,369,906 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
#* XPO Logistics, Inc. 824,925 $ 80,149,713 0.3%
-------------- ----
Total Industrials 2,204,516,339 7.6%
-------------- ----
Information Technology -- (13.7%)
* Akamai Technologies, Inc. 44,939 3,219,879 0.0%
# Amdocs, Ltd. 552,007 37,122,471 0.1%
* ARRIS International P.L.C. 839,758 22,673,466 0.1%
* Arrow Electronics, Inc. 652,120 48,739,449 0.2%
Avnet, Inc. 507,596 19,912,991 0.1%
CA, Inc. 3,016,908 104,988,398 0.4%
Cisco Systems, Inc. 18,075,606 800,568,590 2.8%
Corning, Inc. 3,685,701 99,587,641 0.4%
* Dell Technologies, Inc. Class V 703,394 50,482,587 0.2%
Dolby Laboratories, Inc. Class A 16,116 964,059 0.0%
DXC Technology Co. 1,074,893 110,778,473 0.4%
#* EchoStar Corp. Class A 14,785 776,804 0.0%
Fidelity National Information Services, Inc. 1,297,798 123,251,876 0.4%
* First Solar, Inc. 39,472 2,798,960 0.0%
* Flex, Ltd. 1,552,059 20,176,767 0.1%
FLIR Systems, Inc. 105,840 5,667,732 0.0%
Hewlett Packard Enterprise Co. 8,708,938 148,487,393 0.5%
HP, Inc. 9,619,949 206,732,704 0.7%
Intel Corp. 23,083,456 1,191,567,999 4.1%
Jabil, Inc. 917,888 24,415,821 0.1%
Juniper Networks, Inc. 2,634,266 64,776,601 0.2%
Lam Research Corp. 494,553 91,521,978 0.3%
Leidos Holdings, Inc. 646,968 41,554,755 0.1%
# LogMeIn, Inc. 2,397 264,149 0.0%
# Marvell Technology Group, Ltd. 808,260 16,213,696 0.1%
* Micron Technology, Inc. 5,266,057 242,133,301 0.8%
* Microsemi Corp. 168,270 10,885,386 0.0%
* Nuance Communications, Inc. 145,478 2,141,436 0.0%
* ON Semiconductor Corp. 550,404 12,152,920 0.0%
#* Qorvo, Inc. 364,638 24,576,601 0.1%
QUALCOMM, Inc. 5,066,475 258,440,890 0.9%
SS&C Technologies Holdings, Inc. 122,197 6,067,081 0.0%
SYNNEX Corp. 245,705 24,612,270 0.1%
* Synopsys, Inc. 14,655 1,253,149 0.0%
TE Connectivity, Ltd. 831,307 76,272,417 0.3%
Teradyne, Inc. 37,379 1,216,686 0.0%
Western Digital Corp. 1,222,328 96,307,223 0.3%
* Worldpay, Inc. Class A 16,100 1,307,642 0.0%
Xerox Corp. 1,739,519 54,707,873 0.2%
-------------- ----
Total Information Technology 4,049,320,114 14.0%
-------------- ----
Materials -- (3.8%)
# Albemarle Corp. 492,856 47,787,318 0.2%
* Alcoa Corp. 738,962 37,834,854 0.1%
# Ashland Global Holdings, Inc. 376,541 24,919,483 0.1%
# CF Industries Holdings, Inc. 1,279,879 49,659,305 0.2%
DowDuPont, Inc. 2,259,347 142,881,104 0.5%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
----------- --------------- ---------------
Materials -- (Continued)
Eastman Chemical Co. 1,053,642 $ 107,555,775 0.4%
Freeport-McMoRan, Inc. 4,951,916 75,318,642 0.3%
Huntsman Corp. 277,543 8,262,455 0.0%
# Martin Marietta Materials, Inc. 88,405 17,218,642 0.1%
Mosaic Co. (The) 1,232,432 33,214,042 0.1%
Newmont Mining Corp. 1,816,911 71,386,433 0.2%
# Nucor Corp. 2,491,419 153,521,239 0.5%
Olin Corp. 958,374 28,933,311 0.1%
Reliance Steel & Aluminum Co. 456,094 40,099,785 0.1%
# Royal Gold, Inc. 121,993 10,832,978 0.0%
Sonoco Products Co. 27,518 1,413,325 0.0%
Steel Dynamics, Inc. 1,698,064 76,090,248 0.3%
# United States Steel Corp. 1,014,821 34,331,395 0.1%
# Valvoline, Inc. 1,033,732 20,964,085 0.1%
# Vulcan Materials Co. 275,139 30,730,275 0.1%
# Westlake Chemical Corp. 342,667 36,655,089 0.1%
WestRock Co. 1,056,585 62,507,569 0.2%
--------------- -----
Total Materials 1,112,117,352 3.8%
--------------- -----
Real Estate -- (0.2%)
* Howard Hughes Corp. (The) 5,701 771,345 0.0%
Jones Lang LaSalle, Inc. 262,529 44,501,291 0.2%
--------------- -----
Total Real Estate 45,272,636 0.2%
--------------- -----
Telecommunication Services -- (3.8%)
AT&T, Inc. 29,042,432 949,687,527 3.3%
# CenturyLink, Inc. 5,281,976 98,139,114 0.4%
#* Sprint Corp. 2,014,058 11,298,865 0.0%
* T-Mobile US, Inc. 960,615 58,126,814 0.2%
--------------- -----
Total Telecommunication Services 1,117,252,320 3.9%
--------------- -----
Utilities -- (0.1%)
NRG Energy, Inc. 1,445,428 44,808,268 0.2%
--------------- -----
TOTAL COMMON STOCKS 28,598,792,849 99.2%
--------------- -----
TOTAL INVESTMENT SECURITIES 28,598,792,849
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market
Fund, 1.630% 272,826,637 272,826,637 0.9%
--------------- -----
SECURITIES LENDING COLLATERAL -- (2.2%)
(S)@ DFA Short Term Investment Fund 54,572,766 631,406,902 2.2%
--------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $20,591,542,665) $29,503,026,388 102.3%
=============== =====
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
At April 30, 2018, 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(R) Emini Index 1,505 06/15/18 $206,026,096 $199,186,750 $(6,839,346)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS $206,026,096 $199,186,750 $(6,839,346)
============ ============ ===========
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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 $ 3,522,797,603 -- -- $ 3,522,797,603
Consumer Staples 1,458,937,824 -- -- 1,458,937,824
Energy 3,915,017,808 -- -- 3,915,017,808
Financials 6,976,832,448 -- -- 6,976,832,448
Health Care 4,151,920,137 -- -- 4,151,920,137
Industrials 2,204,516,339 -- -- 2,204,516,339
Information Technology 4,049,320,114 -- -- 4,049,320,114
Materials 1,112,117,352 -- -- 1,112,117,352
Real Estate 45,272,636 -- -- 45,272,636
Telecommunication Services 1,117,252,320 -- -- 1,117,252,320
Utilities 44,808,268 -- -- 44,808,268
Temporary Cash Investments 272,826,637 -- -- 272,826,637
Securities Lending Collateral -- $631,406,902 -- 631,406,902
Futures Contracts** (6,839,346) -- -- (6,839,346)
--------------- ------------ -- ---------------
TOTAL $28,864,780,140 $631,406,902 -- $29,496,187,042
=============== ============ == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (91.2%)
AUSTRALIA -- (4.8%)
Aurizon Holdings, Ltd. 1,715,379 $ 5,772,665 0.0%
# Australia & New Zealand Banking Group, Ltd. 8,219,619 165,232,302 1.2%
# Bank of Queensland, Ltd. 1,088,107 8,198,127 0.1%
Bendigo & Adelaide Bank, Ltd. 1,319,286 10,500,470 0.1%
BHP Billiton, Ltd. 3,664,796 85,496,933 0.6%
BlueScope Steel, Ltd. 3,157,074 38,798,690 0.3%
Boral, Ltd. 2,473,349 12,728,562 0.1%
Crown Resorts, Ltd. 214,728 2,084,134 0.0%
Downer EDI, Ltd. 697,796 3,591,400 0.0%
Fortescue Metals Group, Ltd. 8,803,143 29,867,862 0.2%
# Harvey Norman Holdings, Ltd. 718,208 1,893,182 0.0%
Incitec Pivot, Ltd. 5,290,767 15,056,033 0.1%
LendLease Group 1,762,765 23,641,084 0.2%
National Australia Bank, Ltd. 280,626 6,100,539 0.1%
Newcrest Mining, Ltd. 1,328,526 21,057,063 0.2%
Oil Search, Ltd. 906,477 5,332,864 0.0%
* Origin Energy, Ltd. 3,191,167 23,297,987 0.2%
QBE Insurance Group, Ltd. 3,145,991 23,496,083 0.2%
* Santos, Ltd. 4,838,494 22,285,188 0.2%
South32, Ltd. 16,666,560 46,250,047 0.3%
South32, Ltd. ADR 328,024 4,556,253 0.0%
Star Entertainment Grp, Ltd. (The) 4,545,302 17,987,027 0.1%
Suncorp Group, Ltd. 2,082,711 21,905,322 0.2%
Tabcorp Holdings, Ltd. 209,166 687,810 0.0%
Treasury Wine Estates, Ltd. 160,288 2,289,552 0.0%
Whitehaven Coal, Ltd. 2,622,546 9,043,214 0.1%
Woodside Petroleum, Ltd. 3,201,265 77,577,820 0.6%
------------ ---
TOTAL AUSTRALIA 684,728,213 5.1%
------------ ---
AUSTRIA -- (0.1%)
Erste Group Bank AG 29,693 1,452,036 0.0%
* Raiffeisen Bank International AG 139,561 4,711,028 0.1%
Voestalpine AG 21,645 1,141,930 0.0%
------------ ---
TOTAL AUSTRIA 7,304,994 0.1%
------------ ---
BELGIUM -- (1.0%)
Ageas 642,764 34,383,059 0.3%
KBC Group NV 555,135 48,263,434 0.4%
Solvay SA 311,433 43,311,074 0.3%
# UCB SA 246,743 18,583,217 0.1%
------------ ---
TOTAL BELGIUM 144,540,784 1.1%
------------ ---
CANADA -- (7.7%)
# ARC Resources, Ltd. 291,555 3,251,737 0.0%
Bank of Montreal 1,689,557 128,288,063 1.0%
Barrick Gold Corp.(2024677) 909,928 12,256,730 0.1%
Barrick Gold Corp.(2024644) 1,010,314 13,597,279 0.1%
# Cameco Corp.(2158684) 571,821 6,021,275 0.0%
Cameco Corp.(2166160) 468,671 4,935,108 0.0%
# Canadian Natural Resources, Ltd.(2125202) 1,265,811 45,670,461 0.3%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
CANADA -- (Continued)
Canadian Natural Resources, Ltd.(2171573) 614,945 $ 22,184,861 0.2%
# Cenovus Energy, Inc. 2,110,053 21,163,832 0.2%
Crescent Point Energy Corp.(B67C8W8) 822,786 7,209,270 0.1%
Crescent Point Energy Corp.(B67C970) 1,508,054 13,225,637 0.1%
Empire Co., Ltd. Class A 520,996 10,075,416 0.1%
# Enbridge Income Fund Holdings, Inc. 377,558 8,074,880 0.1%
# Encana Corp.(2793182) 1,370,633 17,105,500 0.1%
Encana Corp.(2793193) 2,191,132 27,287,823 0.2%
Fairfax Financial Holdings, Ltd. 65,293 36,147,999 0.3%
First Quantum Minerals, Ltd. 1,679,519 24,199,617 0.2%
# Genworth MI Canada, Inc. 137,465 4,443,162 0.0%
Goldcorp, Inc.(2676302) 1,375,989 18,261,500 0.1%
# Goldcorp, Inc.(2676636) 925,799 12,303,869 0.1%
Husky Energy, Inc. 1,605,697 22,460,624 0.2%
* IAMGOLD Corp. 95,000 519,413 0.0%
# Imperial Oil, Ltd.(2454241) 187,707 5,837,564 0.0%
Imperial Oil, Ltd.(2454252) 255,211 7,944,718 0.1%
Industrial Alliance Insurance & Financial Services, Inc. 527,331 22,149,586 0.2%
* Kinross Gold Corp. 6,346,308 24,565,716 0.2%
# Linamar Corp. 182,108 10,204,970 0.1%
Lundin Mining Corp. 3,846,864 25,466,992 0.2%
# Magna International, Inc. 631,550 37,261,450 0.3%
Manulife Financial Corp.(2492519) 2,603,564 49,133,031 0.4%
# Manulife Financial Corp.(2492520) 1,490,899 28,133,264 0.2%
Nutrien, Ltd. 443,823 20,207,252 0.1%
* Seven Generations Energy, Ltd. Class A 211,337 3,015,455 0.0%
Sun Life Financial, Inc.(2566124) 925,794 38,215,726 0.3%
Sun Life Financial, Inc.(2568283) 313,850 12,955,728 0.1%
Suncor Energy, Inc.(B3NB1P2) 3,796,659 145,189,439 1.1%
Suncor Energy, Inc.(B3NB0P5) 1,096,997 41,938,195 0.3%
Teck Resources, Ltd. Class B(2879327) 1,355,792 34,033,394 0.2%
Teck Resources, Ltd. Class B(2124533) 1,643,698 41,306,131 0.3%
TMX Group, Ltd. 33,900 2,044,640 0.0%
Tourmaline Oil Corp. 1,098,688 20,665,380 0.1%
* Turquoise Hill Resources, Ltd.(B7XCYK9) 127,382 378,325 0.0%
* Turquoise Hill Resources, Ltd.(B7WJ1F5) 1,611,490 4,769,393 0.0%
#* Valeant Pharmaceuticals International, Inc. 1,639,619 29,627,915 0.2%
West Fraser Timber Co., Ltd. 5,049 342,001 0.0%
Wheaton Precious Metals Corp. 9,023 187,588 0.0%
Whitecap Resources, Inc. 989,184 7,164,929 0.1%
# WSP Global, Inc. 289,160 14,316,680 0.1%
Yamana Gold, Inc. 3,207,591 9,218,437 0.1%
-------------- ---
TOTAL CANADA 1,094,957,955 8.2%
-------------- ---
DENMARK -- (1.4%)
AP Moller - Maersk A.S. Class A 7,706 11,761,728 0.1%
# AP Moller - Maersk A.S. Class B 16,058 25,724,837 0.2%
Carlsberg A.S. Class B 288,439 32,256,627 0.2%
Danske Bank A.S. 910,236 31,678,150 0.2%
DSV A.S. 470,071 37,227,613 0.3%
H Lundbeck A.S. 88,403 5,121,329 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
DENMARK -- (Continued)
ISS A.S. 553,648 $ 19,307,999 0.2%
Jyske Bank A.S. 94,849 5,679,518 0.1%
Novozymes A.S. Class B 47,990 2,256,148 0.0%
Rockwool International A.S. Class B 379 114,263 0.0%
Tryg A.S. 87,539 2,071,929 0.0%
Vestas Wind Systems A.S. 461,198 29,835,734 0.2%
-------------- ----
TOTAL DENMARK 203,035,875 1.5%
-------------- ----
FINLAND -- (1.0%)
Fortum Oyj 998,955 22,978,745 0.2%
Nokia Oyj 6,619,570 39,718,835 0.3%
Stora Enso Oyj Class R 1,742,950 34,378,997 0.3%
Stora Enso Oyj Sponsored ADR 35,395 700,290 0.0%
# UPM-Kymmene Oyj 1,321,675 47,159,475 0.3%
UPM-Kymmene Oyj Sponsored ADR 43,576 1,563,071 0.0%
-------------- ----
TOTAL FINLAND 146,499,413 1.1%
-------------- ----
FRANCE -- (9.5%)
# AXA SA 2,859,375 81,774,218 0.6%
BNP Paribas SA 2,405,711 185,719,103 1.4%
Bollore SA(4572709) 1,351,384 6,716,541 0.1%
* Bollore SA(BF99RQ7) 6,871 33,715 0.0%
# Bouygues SA 709,374 36,181,703 0.3%
# Carrefour SA 650,318 13,342,834 0.1%
# Casino Guichard Perrachon SA 143,286 7,432,471 0.1%
Cie de Saint-Gobain 642,411 33,611,595 0.2%
Cie Generale des Etablissements Michelin SCA 105,407 14,822,635 0.1%
CNP Assurances 528,771 13,543,802 0.1%
Credit Agricole SA 1,026,329 16,900,918 0.1%
# Electricite de France SA 1,491,050 20,924,951 0.1%
Engie SA 5,673,142 99,515,295 0.7%
Natixis SA 1,957,358 16,075,665 0.1%
Orange SA 6,230,588 113,269,720 0.8%
# Peugeot SA 3,133,702 77,162,951 0.6%
Renault SA 1,007,824 109,229,481 0.8%
# SCOR SE 349,012 14,153,510 0.1%
Societe Generale SA 1,362,535 74,569,829 0.6%
STMicroelectronics NV 370,555 8,091,169 0.1%
# Total SA 6,569,447 412,900,822 3.1%
# Vivendi SA 45,675 1,204,529 0.0%
-------------- ----
TOTAL FRANCE 1,357,177,457 10.1%
-------------- ----
GERMANY -- (6.5%)
Allianz SE Sponsored ADR 2,311,555 54,691,391 0.4%
Bayerische Motoren Werke AG 1,225,665 136,271,744 1.0%
* Commerzbank AG 3,189,381 41,090,778 0.3%
Daimler AG 3,375,856 265,403,214 2.0%
Deutsche Bank AG(5750355) 1,847,986 25,264,433 0.2%
# Deutsche Bank AG(D18190898) 1,679,248 22,938,528 0.2%
Deutsche Lufthansa AG 1,461,363 42,474,825 0.3%
Evonik Industries AG 321,206 11,412,499 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
GERMANY -- (Continued)
Fraport AG Frankfurt Airport Services Worldwide 157,663 $ 15,257,910 0.1%
Hannover Rueck SE 25,709 3,610,714 0.0%
#* Hapag-Lloyd AG 13,811 591,211 0.0%
HeidelbergCement AG 583,480 57,056,803 0.4%
Innogy SE 333,880 14,670,741 0.1%
* Linde AG 157,109 34,805,184 0.2%
METRO AG 823,103 11,907,903 0.1%
Muenchener Rueckversicherungs-Gesellschaft AG 212,293 48,585,836 0.4%
RWE AG 3,077,276 73,552,210 0.5%
* Talanx AG 184,281 8,302,786 0.1%
Telefonica Deutschland Holding AG 1,542,429 7,361,273 0.1%
Uniper SE 886,107 27,397,690 0.2%
Volkswagen AG 113,812 23,172,028 0.2%
Wacker Chemie AG 11,870 2,133,068 0.0%
------------ ---
TOTAL GERMANY 927,952,769 6.9%
------------ ---
HONG KONG -- (2.5%)
Bank of East Asia, Ltd. (The) 169,275 743,298 0.0%
# BOC Aviation, Ltd. 66,800 390,567 0.0%
Cathay Pacific Airways, Ltd. 6,220,000 9,986,819 0.1%
CK Asset Holdings, Ltd. 1,006,500 8,689,078 0.1%
CK Hutchison Holdings, Ltd. 7,657,984 90,554,557 0.7%
Great Eagle Holdings, Ltd. 20,363 102,859 0.0%
Guoco Group, Ltd. 9,000 119,455 0.0%
Hang Lung Group, Ltd. 3,025,000 9,137,049 0.1%
Hang Lung Properties, Ltd. 4,746,000 11,231,757 0.1%
Henderson Land Development Co., Ltd. 1,146,046 7,266,563 0.1%
Hopewell Holdings, Ltd. 938,669 3,329,755 0.0%
Kerry Properties, Ltd. 2,937,500 14,042,775 0.1%
Li & Fung, Ltd. 1,908,000 959,577 0.0%
Melco International Development, Ltd. 257,000 951,501 0.0%
MTR Corp., Ltd. 1,816,502 10,206,489 0.1%
New World Development Co., Ltd. 21,640,810 31,736,686 0.2%
# NWS Holdings, Ltd. 2,739,400 5,401,582 0.0%
Orient Overseas International, Ltd. 72,000 684,609 0.0%
Shangri-La Asia, Ltd. 3,398,000 6,612,898 0.1%
Sino Land Co., Ltd. 6,686,217 11,541,579 0.1%
SJM Holdings, Ltd. 2,332,000 2,335,797 0.0%
Sun Hung Kai Properties, Ltd. 3,420,920 55,091,971 0.4%
Swire Pacific, Ltd. Class A 2,529,000 24,989,829 0.2%
Swire Pacific, Ltd. Class B 2,685,000 4,524,549 0.0%
Wharf Holdings, Ltd. (The) 5,144,990 17,116,636 0.1%
Wheelock & Co., Ltd. 3,620,000 26,857,541 0.2%
Yue Yuen Industrial Holdings, Ltd. 1,612,000 4,568,349 0.0%
------------ ---
TOTAL HONG KONG 359,174,125 2.7%
------------ ---
IRELAND -- (0.2%)
AIB Group P.L.C. 9,357 55,762 0.0%
Bank of Ireland Group P.L.C. 1,584,425 14,214,509 0.1%
CRH P.L.C. 293,793 10,433,000 0.1%
CRH P.L.C. Sponsored ADR 198,709 7,026,350 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
IRELAND -- (Continued)
Paddy Power Betfair P.L.C. 13,978 $ 1,383,278 0.0%
------------ ---
TOTAL IRELAND 33,112,899 0.2%
------------ ---
ISRAEL -- (0.3%)
Bank Hapoalim BM 2,464,097 16,828,339 0.1%
Bank Leumi Le-Israel BM 3,728,087 21,994,405 0.2%
Mizrahi Tefahot Bank, Ltd. 103,338 1,888,725 0.0%
------------ ---
TOTAL ISRAEL 40,711,469 0.3%
------------ ---
ITALY -- (1.8%)
Eni SpA 535,545 10,469,049 0.1%
Fiat Chrysler Automobiles NV(BRJFWP3) 1,384,361 30,758,797 0.2%
Fiat Chrysler Automobiles NV(N31738102) 983,033 21,459,610 0.1%
Intesa Sanpaolo SpA 2,890,203 10,994,201 0.1%
Mediobanca Banca di Credito Finanziario SpA 1,878,911 22,767,735 0.2%
#* Telecom Italia SpA 43,938,462 43,345,569 0.3%
#* Telecom Italia SpA Sponsored ADR 1,847,002 18,488,490 0.1%
# UniCredit SpA 4,747,111 102,916,952 0.8%
------------ ---
TOTAL ITALY 261,200,403 1.9%
------------ ---
JAPAN -- (21.5%)
Aeon Co., Ltd. 695,500 13,897,668 0.1%
Aisin Seiki Co., Ltd. 178,900 9,691,889 0.1%
Alfresa Holdings Corp. 140,900 3,108,825 0.0%
Amada Holdings Co., Ltd. 242,900 2,915,842 0.0%
Aoyama Trading Co., Ltd. 41,900 1,613,745 0.0%
Asahi Glass Co., Ltd. 859,800 35,682,709 0.3%
Asahi Kasei Corp. 819,000 11,261,437 0.1%
Bank of Kyoto, Ltd. (The) 113,679 6,833,871 0.1%
Canon Marketing Japan, Inc. 153,100 3,327,008 0.0%
Chiba Bank, Ltd. (The) 1,064,000 8,584,795 0.1%
Chugoku Bank, Ltd. (The) 256,900 2,983,637 0.0%
Citizen Watch Co., Ltd. 1,064,500 7,931,394 0.1%
Coca-Cola Bottlers Japan Holdings, Inc. 80,257 3,451,808 0.0%
Concordia Financial Group, Ltd. 2,530,100 14,709,338 0.1%
Credit Saison Co., Ltd. 211,100 3,780,692 0.0%
Dai Nippon Printing Co., Ltd. 460,900 9,924,208 0.1%
Dai-ichi Life Holdings, Inc. 1,751,200 34,765,778 0.3%
Daicel Corp. 686,500 7,921,008 0.1%
Daido Steel Co., Ltd. 83,500 4,509,049 0.0%
Daiwa Securities Group, Inc. 4,124,000 25,298,824 0.2%
# Dena Co., Ltd. 155,400 2,961,870 0.0%
Denka Co., Ltd. 234,800 8,359,189 0.1%
Denso Corp. 160,500 8,440,188 0.1%
DIC Corp. 297,800 10,105,821 0.1%
# Dowa Holdings Co., Ltd. 55,500 2,085,733 0.0%
Ebara Corp. 266,800 10,190,559 0.1%
Fuji Media Holdings, Inc. 52,200 855,823 0.0%
FUJIFILM Holdings Corp. 1,123,900 45,198,869 0.3%
Fukuoka Financial Group, Inc. 1,687,000 9,032,386 0.1%
# Fukuyama Transporting Co., Ltd. 15,900 663,481 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
JAPAN -- (Continued)
Glory, Ltd. 185,800 $ 6,388,959 0.0%
Gunma Bank, Ltd. (The) 604,496 3,527,949 0.0%
H2O Retailing Corp. 268,800 5,058,204 0.0%
Hachijuni Bank, Ltd. (The) 622,531 3,287,571 0.0%
Hankyu Hanshin Holdings, Inc. 621,600 24,452,245 0.2%
Hiroshima Bank, Ltd. (The) 381,000 2,899,305 0.0%
Hitachi Capital Corp. 168,800 4,510,591 0.0%
Hitachi Chemical Co., Ltd. 320,500 7,029,775 0.1%
Hitachi Metals, Ltd. 675,900 7,724,420 0.1%
Hitachi Transport System, Ltd. 105,000 2,812,070 0.0%
Hitachi, Ltd. 10,604,000 77,393,891 0.6%
Hokuhoku Financial Group, Inc. 191,900 2,838,880 0.0%
Honda Motor Co., Ltd. 4,474,100 153,846,114 1.1%
Honda Motor Co., Ltd. Sponsored ADR 26,040 894,734 0.0%
House Foods Group, Inc. 64,900 2,285,730 0.0%
Ibiden Co., Ltd. 476,900 7,875,508 0.1%
Idemitsu Kosan Co., Ltd. 573,496 22,404,135 0.2%
IHI Corp. 49,900 1,631,040 0.0%
Iida Group Holdings Co., Ltd. 567,600 11,065,011 0.1%
Inpex Corp. 2,451,200 31,335,658 0.2%
Isetan Mitsukoshi Holdings, Ltd. 606,900 6,751,885 0.1%
Isuzu Motors, Ltd. 83,900 1,280,674 0.0%
ITOCHU Corp. 986,900 19,736,435 0.1%
Iyo Bank, Ltd. (The) 492,300 3,891,014 0.0%
J Front Retailing Co., Ltd. 748,600 12,128,882 0.1%
Japan Post Holdings Co., Ltd. 780,500 9,484,108 0.1%
JFE Holdings, Inc. 1,980,900 40,652,709 0.3%
JGC Corp. 20,200 495,081 0.0%
JSR Corp. 234,100 4,409,990 0.0%
JTEKT Corp. 814,700 13,181,956 0.1%
JXTG Holdings, Inc. 7,687,103 50,110,401 0.4%
K's Holdings Corp. 304,400 4,390,379 0.0%
Kamigumi Co., Ltd. 225,800 5,083,117 0.0%
Kaneka Corp. 1,156,542 11,428,094 0.1%
Kawasaki Heavy Industries, Ltd. 138,000 4,613,627 0.0%
#* Kawasaki Kisen Kaisha, Ltd. 195,599 4,523,270 0.0%
Kinden Corp. 200,200 3,491,663 0.0%
Kobe Steel, Ltd. 1,348,600 13,872,452 0.1%
Konica Minolta, Inc. 2,063,500 17,712,695 0.1%
Kuraray Co., Ltd. 1,406,600 23,425,727 0.2%
Kurita Water Industries, Ltd. 7,500 242,878 0.0%
Kyocera Corp. 282,900 18,075,379 0.1%
Kyushu Financial Group, Inc. 514,749 2,524,824 0.0%
LIXIL Group Corp. 543,700 12,176,650 0.1%
Marubeni Corp. 3,380,400 25,385,295 0.2%
# Maruichi Steel Tube, Ltd. 22,700 774,798 0.0%
Mazda Motor Corp. 2,878,100 40,016,844 0.3%
Mebuki Financial Group, Inc. 1,177,020 4,568,511 0.0%
Medipal Holdings Corp. 483,650 10,375,662 0.1%
Mitsubishi Chemical Holdings Corp. 1,603,000 15,163,742 0.1%
Mitsubishi Corp. 2,342,100 64,584,694 0.5%
Mitsubishi Gas Chemical Co., Inc. 570,500 13,369,927 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
JAPAN -- (Continued)
# Mitsubishi Heavy Industries, Ltd. 1,070,100 $42,302,908 0.3%
Mitsubishi Logistics Corp. 40,000 922,604 0.0%
Mitsubishi Materials Corp. 518,200 15,772,558 0.1%
Mitsubishi Motors Corp. 165,700 1,233,107 0.0%
# Mitsubishi UFJ Financial Group, Inc. 12,800,606 85,781,239 0.6%
# Mitsubishi UFJ Financial Group, Inc. Sponsored ADR 4,469,376 29,855,432 0.2%
Mitsubishi UFJ Lease & Finance Co., Ltd. 1,638,400 10,415,425 0.1%
Mitsui & Co., Ltd. 1,156,000 20,834,793 0.2%
Mitsui & Co., Ltd. Sponsored ADR 11,723 4,237,923 0.0%
Mitsui Chemicals, Inc. 633,960 18,173,207 0.1%
Mitsui Fudosan Co., Ltd. 878,200 22,495,475 0.2%
# Mitsui OSK Lines, Ltd. 429,300 12,716,544 0.1%
Mizuho Financial Group, Inc. 33,555,400 60,709,660 0.5%
Mizuho Financial Group, Inc. ADR 184,055 669,960 0.0%
MS&AD Insurance Group Holdings, Inc. 826,753 27,858,442 0.2%
NEC Corp. 1,086,410 29,778,576 0.2%
NGK Spark Plug Co., Ltd. 16,000 410,348 0.0%
NH Foods, Ltd. 299,567 13,087,046 0.1%
NHK Spring Co., Ltd. 727,500 8,039,346 0.1%
Nikon Corp. 36,000 626,417 0.0%
Nippo Corp. 235,900 5,410,344 0.0%
Nippon Electric Glass Co., Ltd. 145,800 4,201,669 0.0%
Nippon Express Co., Ltd. 352,924 26,663,416 0.2%
Nippon Paper Industries Co., Ltd. 451,300 8,643,378 0.1%
Nippon Shokubai Co., Ltd. 102,400 6,958,083 0.1%
Nippon Steel & Sumitomo Metal Corp. 2,142,693 46,584,856 0.3%
Nippon Yusen K.K. 771,300 16,405,959 0.1%
Nissan Motor Co., Ltd. 6,443,700 67,790,734 0.5%
Nisshin Seifun Group, Inc. 41,700 911,195 0.0%
Nisshinbo Holdings, Inc. 415,400 5,854,014 0.0%
NOK Corp. 385,220 7,878,262 0.1%
Nomura Holdings, Inc. 8,175,402 47,086,649 0.4%
Nomura Real Estate Holdings, Inc. 470,500 11,643,184 0.1%
NSK, Ltd. 29,000 388,069 0.0%
NTN Corp. 1,649,000 7,253,066 0.1%
Obayashi Corp. 514,182 5,921,429 0.0%
Oji Holdings Corp. 3,851,000 27,090,231 0.2%
ORIX Corp. 3,210,200 56,303,208 0.4%
Resona Holdings, Inc. 6,274,800 35,653,911 0.3%
Ricoh Co., Ltd. 3,215,400 31,418,568 0.2%
# Rohm Co., Ltd. 13,300 1,232,418 0.0%
Sankyo Co., Ltd. 73,900 2,590,722 0.0%
SBI Holdings, Inc. 518,800 13,081,691 0.1%
Sega Sammy Holdings, Inc. 280,500 4,607,689 0.0%
Seino Holdings Co., Ltd. 413,700 7,748,912 0.1%
Sekisui Chemical Co., Ltd. 58,500 1,034,870 0.0%
Sekisui House, Ltd. 1,967,400 36,059,645 0.3%
Shimamura Co., Ltd. 16,300 1,896,884 0.0%
Shimizu Corp. 381,000 3,769,546 0.0%
Shinsei Bank, Ltd. 313,400 4,879,506 0.0%
Shizuoka Bank, Ltd. (The) 851,000 8,629,834 0.1%
Sojitz Corp. 3,179,600 10,466,472 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
JAPAN -- (Continued)
Sompo Holdings, Inc. 493,110 $ 20,646,567 0.2%
Sumitomo Chemical Co., Ltd. 7,243,000 41,441,913 0.3%
# Sumitomo Corp. 970,000 17,412,021 0.1%
Sumitomo Dainippon Pharma Co., Ltd. 37,700 685,642 0.0%
Sumitomo Electric Industries, Ltd. 3,010,500 46,087,926 0.3%
Sumitomo Forestry Co., Ltd. 541,600 8,974,440 0.1%
Sumitomo Heavy Industries, Ltd. 461,300 17,626,408 0.1%
Sumitomo Metal Mining Co., Ltd. 166,000 7,081,618 0.1%
Sumitomo Mitsui Financial Group, Inc. 2,854,200 118,958,037 0.9%
Sumitomo Mitsui Trust Holdings, Inc. 405,244 17,185,196 0.1%
Sumitomo Rubber Industries, Ltd. 696,800 12,443,231 0.1%
Suzuken Co., Ltd. 113,000 4,858,824 0.0%
T&D Holdings, Inc. 1,338,500 22,733,064 0.2%
Taiheiyo Cement Corp. 279,821 10,566,036 0.1%
Taisho Pharmaceutical Holdings Co., Ltd. 2,000 191,301 0.0%
Takashimaya Co., Ltd. 832,634 7,150,195 0.1%
TDK Corp. 399,200 34,406,571 0.3%
Teijin, Ltd. 771,690 14,508,433 0.1%
Toda Corp. 321,000 2,646,862 0.0%
Tokai Rika Co., Ltd. 165,500 3,306,203 0.0%
Tokio Marine Holdings, Inc. 1,011,819 47,755,068 0.4%
Tokyo Broadcasting System Holdings, Inc. 56,000 1,244,760 0.0%
Tokyo Tatemono Co., Ltd. 488,100 7,433,351 0.1%
Tokyu Fudosan Holdings Corp. 1,964,300 15,458,050 0.1%
Toppan Printing Co., Ltd. 1,370,000 11,456,173 0.1%
Tosoh Corp. 603,000 10,666,063 0.1%
Toyo Seikan Group Holdings, Ltd. 503,949 7,928,700 0.1%
Toyoda Gosei Co., Ltd. 268,100 6,769,252 0.1%
Toyota Industries Corp. 198,500 11,705,729 0.1%
Toyota Motor Corp. 5,457,190 357,840,739 2.7%
Toyota Motor Corp. Sponsored ADR 298,425 39,087,706 0.3%
Toyota Tsusho Corp. 823,300 29,520,641 0.2%
TS Tech Co., Ltd. 41,200 1,666,934 0.0%
TV Asahi Holdings Corp. 31,700 743,416 0.0%
Ube Industries, Ltd. 460,500 14,028,754 0.1%
Universal Entertainment Corp. 10,500 498,777 0.0%
# Yamada Denki Co., Ltd. 2,456,700 12,849,715 0.1%
Yamaguchi Financial Group, Inc. 320,148 3,999,140 0.0%
Yokohama Rubber Co., Ltd. (The) 479,000 11,278,573 0.1%
Zeon Corp. 65,000 839,429 0.0%
-------------- ----
TOTAL JAPAN 3,070,933,479 22.9%
-------------- ----
NETHERLANDS -- (3.6%)
ABN AMRO Group NV 1,000,856 31,037,775 0.2%
Aegon NV(5927375) 4,840,384 35,474,132 0.3%
Aegon NV(007924103) 211,963 1,538,851 0.0%
Akzo Nobel NV 33,168 3,003,638 0.0%
* ArcelorMittal(BD4H9V1) 726,121 24,571,938 0.2%
* ArcelorMittal(BYPBS67) 1,780,735 60,355,602 0.5%
Coca-Cola European Partners P.L.C. 31,954 1,261,257 0.0%
ING Groep NV 5,655,087 95,291,100 0.7%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NETHERLANDS -- (Continued)
ING Groep NV Sponsored ADR 1,003,902 $ 16,855,515 0.1%
# Koninklijke Ahold Delhaize NV 4,888,298 117,927,633 0.9%
Koninklijke Ahold Delhaize NV Sponsored ADR 211,969 5,087,256 0.0%
Koninklijke DSM NV 656,841 67,886,329 0.5%
Koninklijke Philips NV(2614313) 32,443 1,369,743 0.0%
Koninklijke Philips NV(5986622) 269,643 11,412,965 0.1%
NN Group NV 739,761 35,452,819 0.3%
Randstad NV 71,675 4,613,240 0.0%
------------ ---
TOTAL NETHERLANDS 513,139,793 3.8%
------------ ---
NEW ZEALAND -- (0.2%)
Air New Zealand, Ltd. 2,720,019 6,241,247 0.1%
Auckland International Airport, Ltd. 1,104,366 4,941,690 0.0%
EBOS Group, Ltd. 10,032 125,333 0.0%
Fletcher Building, Ltd. 1,637,344 7,251,838 0.1%
# Fonterra Co-operative Group, Ltd. 200,886 808,848 0.0%
SKYCITY Entertainment Group, Ltd. 250,735 712,436 0.0%
------------ ---
TOTAL NEW ZEALAND 20,081,392 0.2%
------------ ---
NORWAY -- (0.7%)
Aker ASA Class A 35,437 2,214,793 0.0%
Austevoll Seafood ASA 90,175 1,085,279 0.0%
DNB ASA 1,228,180 22,968,609 0.2%
Norsk Hydro ASA 2,442,037 15,252,847 0.1%
Norsk Hydro ASA Sponsored ADR 46,000 287,960 0.0%
SpareBank 1 SR-Bank ASA 247,289 2,445,670 0.0%
Statoil ASA 849,564 21,725,647 0.2%
# Storebrand ASA 867,737 7,415,900 0.1%
# Subsea 7 SA 985,246 13,765,582 0.1%
Yara International ASA 377,295 15,913,763 0.1%
------------ ---
TOTAL NORWAY 103,076,050 0.8%
------------ ---
PORTUGAL -- (0.1%)
EDP Renovaveis SA 541,158 5,196,727 0.0%
------------ ---
SINGAPORE -- (0.9%)
CapitaLand, Ltd. 6,764,900 19,075,977 0.1%
City Developments, Ltd. 1,661,200 15,786,220 0.1%
Frasers Property, Ltd. 485,400 741,244 0.0%
Golden Agri-Resources, Ltd. 13,299,300 3,448,330 0.0%
Hongkong Land Holdings, Ltd. 107,500 776,928 0.0%
Hutchison Port Holdings Trust 16,251,500 5,418,266 0.0%
Keppel Corp., Ltd. 4,631,400 28,405,120 0.2%
Olam International, Ltd. 204,800 350,387 0.0%
SembCorp Industries, Ltd. 4,298,500 9,901,254 0.1%
Singapore Airlines, Ltd. 2,593,000 21,157,241 0.2%
United Industrial Corp., Ltd. 1,867,970 4,589,418 0.0%
UOL Group, Ltd. 1,165,974 7,700,819 0.1%
Wilmar International, Ltd. 2,504,700 6,127,562 0.1%
------------ ---
TOTAL SINGAPORE 123,478,766 0.9%
------------ ---
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SPAIN -- (2.5%)
Banco de Sabadell SA 18,523,466 $ 36,248,339 0.3%
# Banco Santander SA 30,929,715 199,834,457 1.5%
# Banco Santander SA Sponsored ADR 70,430 459,204 0.0%
Bankia SA 229,466 1,006,807 0.0%
Mapfre SA 141,456 490,708 0.0%
Repsol SA 6,302,748 120,274,102 0.9%
------------ ---
TOTAL SPAIN 358,313,617 2.7%
------------ ---
SWEDEN -- (2.4%)
* Arjo AB Class B 148,151 438,902 0.0%
BillerudKorsnas AB 105,668 1,552,644 0.0%
# Boliden AB 1,273,315 44,119,894 0.3%
Essity AB Class A 21,843 553,040 0.0%
# Getinge AB Class B 255,437 2,379,916 0.0%
Holmen AB(BDQQ1Q5) 476,284 11,743,841 0.1%
Holmen AB(BDQQ198) 5,562 145,455 0.0%
# ICA Gruppen AB 9,177 284,949 0.0%
# Intrum Justitia AB 27,251 723,155 0.0%
# Millicom International Cellular SA 123,600 8,187,099 0.1%
Nordea Bank AB 7,285,616 74,099,452 0.6%
Skandinaviska Enskilda Banken AB Class A 4,352,124 40,857,875 0.3%
# Skandinaviska Enskilda Banken AB Class C 28,685 289,239 0.0%
# SSAB AB Class A 488,788 2,763,622 0.0%
SSAB AB Class B 1,231,759 5,572,807 0.0%
# Svenska Cellulosa AB SCA Class A 63,918 718,365 0.0%
Svenska Cellulosa AB SCA Class B 2,018,807 22,357,607 0.2%
Svenska Handelsbanken AB Class A 2,680,553 29,894,216 0.2%
# Svenska Handelsbanken AB Class B 26,361 313,904 0.0%
Swedbank AB Class A 241,976 5,256,509 0.0%
Tele2 AB Class B 614,314 7,962,686 0.1%
# Telefonaktiebolaget LM Ericsson Class A 28,098 214,664 0.0%
Telefonaktiebolaget LM Ericsson Class B 4,180,669 31,871,181 0.2%
# Telefonaktiebolaget LM Ericsson Sponsored ADR 74,244 560,542 0.0%
Telia Co. AB 7,369,423 36,284,886 0.3%
# Trelleborg AB Class B 330,139 7,714,935 0.1%
------------ ---
TOTAL SWEDEN 336,861,385 2.5%
------------ ---
SWITZERLAND -- (6.9%)
ABB, Ltd. 116,058 2,705,957 0.0%
Adecco Group AG 683,506 45,265,311 0.3%
Baloise Holding AG 216,241 34,275,256 0.3%
Banque Cantonale Vaudoise 468 372,975 0.0%
Cie Financiere Richemont SA 863,598 82,092,467 0.6%
Clariant AG 1,276,330 29,464,459 0.2%
Credit Suisse Group AG 1,363,427 22,995,873 0.2%
# Credit Suisse Group AG Sponsored ADR 1,052,790 17,655,288 0.1%
#* Dufry AG 152,017 21,500,957 0.2%
Flughafen Zurich AG 25,219 5,266,492 0.0%
# Helvetia Holding AG 2,332 1,385,235 0.0%
Julius Baer Group, Ltd. 634,580 37,661,255 0.3%
LafargeHolcim, Ltd. 822,246 45,676,996 0.4%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
SWITZERLAND -- (Continued)
LafargeHolcim, Ltd. 375,078 $ 20,926,629 0.2%
# Lonza Group AG 16,770 4,097,445 0.0%
Novartis AG 2,466,298 189,841,544 1.4%
Novartis AG Sponsored ADR 395,376 30,321,385 0.2%
Swatch Group AG (The)(7184736) 176,687 15,743,453 0.1%
# Swatch Group AG (The)(7184725) 139,269 66,873,827 0.5%
Swiss Life Holding AG 104,266 36,474,201 0.3%
Swiss Re AG 692,371 65,961,648 0.5%
UBS Group AG(BRJL176) 3,568,514 59,897,119 0.5%
* UBS Group AG(H42097107) 588,815 9,892,092 0.1%
# Vifor Pharma AG 23,955 3,780,368 0.0%
Zurich Insurance Group AG 429,441 137,178,664 1.0%
------------ ---
TOTAL SWITZERLAND 987,306,896 7.4%
------------ ---
UNITED KINGDOM -- (15.6%)
# Anglo American P.L.C. 5,924,428 139,397,348 1.0%
Antofagasta P.L.C. 156,105 2,085,706 0.0%
Aviva P.L.C. 5,717,314 41,540,109 0.3%
Barclays P.L.C. 2,463,031 7,022,348 0.1%
Barclays P.L.C. Sponsored ADR 5,064,733 58,447,019 0.4%
Barratt Developments P.L.C. 2,687,603 20,608,686 0.2%
BHP Billiton P.L.C. 6,454 137,615 0.0%
BP P.L.C. Sponsored ADR 8,549,806 381,235,850 2.8%
Glencore P.L.C. 16,161,461 77,849,658 0.6%
HSBC Holdings P.L.C. 16,748,580 166,748,482 1.3%
# HSBC Holdings P.L.C. Sponsored ADR 2,762,772 138,856,920 1.0%
Investec P.L.C. 164,899 1,304,478 0.0%
J Sainsbury P.L.C. 8,162,535 34,634,983 0.3%
John Wood Group P.L.C. 288,222 2,246,678 0.0%
Kingfisher P.L.C. 7,427,275 30,974,930 0.2%
Lloyds Banking Group P.L.C. 175,809,723 155,933,876 1.2%
# Lloyds Banking Group P.L.C. ADR 1,479,223 5,280,826 0.0%
Mediclinic International P.L.C. 54,336 499,989 0.0%
Old Mutual P.L.C. 2,864,108 9,867,046 0.1%
# Pearson P.L.C. 748,020 8,575,771 0.1%
# Pearson P.L.C. Sponsored ADR 1,119,256 12,781,903 0.1%
* Royal Bank of Scotland Group P.L.C. 2,796,353 10,355,439 0.1%
#* Royal Bank of Scotland Group P.L.C. Sponsored ADR 632,031 4,727,592 0.0%
Royal Dutch Shell P.L.C. Class A 454,759 15,821,608 0.1%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A 3,259,405 227,832,383 1.7%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B 3,591,667 260,108,524 1.9%
Royal Mail P.L.C. 2,144,092 17,099,037 0.1%
Shire P.L.C.(B39JBM7) 86,843 13,845,379 0.1%
Shire P.L.C.(B2QKY05) 293,960 15,653,329 0.1%
Standard Chartered P.L.C. 5,065,521 53,208,365 0.4%
Standard Life Aberdeen P.L.C. 341,936 1,710,600 0.0%
Vodafone Group P.L.C. 58,351,986 170,283,365 1.3%
Vodafone Group P.L.C. Sponsored ADR 4,011,201 117,969,429 0.9%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
UNITED KINGDOM -- (Continued)
WM Morrison Supermarkets P.L.C. 7,577,829 $ 25,273,295 0.2%
--------------- -----
TOTAL UNITED KINGDOM 2,229,918,566 16.6%
--------------- -----
TOTAL COMMON STOCKS 13,008,703,027 97.0%
--------------- -----
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Bayerische Motoren Werke AG 98,507 9,510,692 0.1%
Porsche Automobil Holding SE 294,114 24,990,596 0.2%
Volkswagen AG 652,333 134,533,773 1.0%
--------------- -----
TOTAL GERMANY 169,035,061 1.3%
--------------- -----
TOTAL PREFERRED STOCKS 169,035,061 1.3%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
NEW ZEALAND -- (0.0%)
* Fletcher Building, Ltd. Rights 05/18/18 299,880 -- 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES 13,177,738,088
---------------
VALUE+
---------------
SECURITIES LENDING COLLATERAL -- (7.6%)
(S)@ DFA Short Term Investment Fund 94,025,959 1,087,880,349 8.1%
--------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $12,070,115,739) $14,265,618,437 106.4%
=============== =====
At April 30, 2018, 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 92 06/15/18 $ 9,315,658 $ 9,321,900 $ 6,242
S&P 500(R) Emini Index 784 06/15/18 105,455,996 103,762,400 (1,693,596)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS $114,771,654 $113,084,300 $(1,687,354)
============ ============ ===========
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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 $ 4,556,253 $ 680,171,960 -- $ 684,728,213
Austria -- 7,304,994 -- 7,304,994
Belgium -- 144,540,784 -- 144,540,784
Canada 1,094,957,955 -- -- 1,094,957,955
Denmark -- 203,035,875 -- 203,035,875
Finland 2,263,361 144,236,052 -- 146,499,413
France -- 1,357,177,457 -- 1,357,177,457
Germany 77,629,919 850,322,850 -- 927,952,769
Hong Kong -- 359,174,125 -- 359,174,125
Ireland 7,026,350 26,086,549 -- 33,112,899
Israel -- 40,711,469 -- 40,711,469
Italy 39,948,100 221,252,303 -- 261,200,403
Japan 74,745,755 2,996,187,724 -- 3,070,933,479
Netherlands 49,423,303 463,716,490 -- 513,139,793
New Zealand -- 20,081,392 -- 20,081,392
Norway 287,960 102,788,090 -- 103,076,050
Portugal -- 5,196,727 -- 5,196,727
Singapore -- 123,478,766 -- 123,478,766
Spain 459,204 357,854,413 -- 358,313,617
Sweden 705,997 336,155,388 -- 336,861,385
Switzerland 57,868,765 929,438,131 -- 987,306,896
United Kingdom 1,221,085,825 1,008,832,741 -- 2,229,918,566
Preferred Stocks
Germany -- 169,035,061 -- 169,035,061
Securities Lending Collateral -- 1,087,880,349 -- 1,087,880,349
Futures Contracts** (1,687,354) -- -- (1,687,354)
-------------- --------------- -- ---------------
TOTAL $2,629,271,393 $11,634,659,690 -- $14,263,931,083
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (93.4%)
BRAZIL -- (5.1%)
Ambev SA 855,320 $ 5,696,111 0.1%
Ambev SA ADR 5,984,451 39,617,066 0.6%
B3 SA - Brasil Bolsa Balcao 1,907,290 13,774,388 0.2%
Banco Bradesco SA 1,129,129 10,281,804 0.2%
Banco do Brasil SA 863,018 9,041,094 0.1%
Banco Santander Brasil SA 362,957 3,948,473 0.1%
BB Seguridade Participacoes SA 873,543 6,852,296 0.1%
Braskem SA Sponsored ADR 154,641 4,005,202 0.1%
* BRF SA 287,141 2,032,741 0.0%
CCR SA 2,367,268 8,081,904 0.1%
* Centrais Eletricas Brasileiras SA 204,377 1,112,545 0.0%
# Centrais Eletricas Brasileiras SA ADR 49,971 320,314 0.0%
Cia de Saneamento Basico do Estado de Sao Paulo 457,600 4,592,720 0.1%
Cia de Saneamento Basico do Estado de Sao Paulo ADR 75,638 754,867 0.0%
* Cia Siderurgica Nacional SA 575,321 1,441,915 0.0%
* Cia Siderurgica Nacional SA Sponsored ADR 380,551 955,183 0.0%
Cielo SA 1,808,236 9,910,407 0.2%
Cosan SA Industria e Comercio 213,190 2,420,843 0.0%
# Embraer SA ADR 255,258 6,437,607 0.1%
Engie Brasil Energia SA 290,301 3,065,264 0.0%
Equatorial Energia SA 333,000 6,763,231 0.1%
Fibria Celulose SA 22,600 443,910 0.0%
Fibria Celulose SA Sponsored ADR 196,863 3,850,640 0.1%
Gerdau SA 222,944 895,416 0.0%
# Gerdau SA Sponsored ADR 631,681 2,949,950 0.0%
Hypermarcas SA 345,249 3,104,403 0.1%
Itau Unibanco Holding SA 447,826 5,637,453 0.1%
JBS SA 2,669,748 6,668,273 0.1%
Klabin SA 768,100 4,654,819 0.1%
Kroton Educacional SA 1,126,424 4,504,796 0.1%
Localiza Rent a Car SA 606,300 4,826,932 0.1%
Lojas Americanas SA 102,484 436,183 0.0%
Lojas Renner SA 1,274,302 11,862,009 0.2%
M Dias Branco SA 54,400 683,261 0.0%
Magazine Luiza SA 106,400 3,241,021 0.1%
Multiplan Empreendimentos Imobiliarios SA 51,300 974,103 0.0%
Natura Cosmeticos SA 186,600 1,715,685 0.0%
* Petroleo Brasileiro SA 2,706,971 19,031,941 0.3%
* Petroleo Brasileiro SA Sponsored ADR 695,333 9,797,242 0.2%
Porto Seguro SA 65,129 840,326 0.0%
Raia Drogasil SA 381,000 7,480,355 0.1%
* Rumo SA 1,147,900 4,865,927 0.1%
Suzano Papel e Celulose SA 714,655 8,376,266 0.1%
# Telefonica Brasil SA ADR 50,319 710,504 0.0%
Tim Participacoes SA 1,162,813 5,294,264 0.1%
Ultrapar Participacoes SA 394,184 6,801,902 0.1%
# Ultrapar Participacoes SA Sponsored ADR 254,308 4,404,615 0.1%
Vale SA 3,260,013 45,291,394 0.7%
Vale SA Sponsored ADR 1,665,739 23,053,821 0.4%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
BRAZIL -- (Continued)
WEG SA 339,933 $ 1,725,282 0.0%
------------ ---
TOTAL BRAZIL 335,228,668 5.3%
------------ ---
CHILE -- (1.4%)
AES Gener SA 2,468,815 691,830 0.0%
Aguas Andinas SA Class A 4,770,656 3,172,410 0.1%
Banco de Chile ADR 43,853 4,297,594 0.1%
Banco de Credito e Inversiones SA 72,567 5,490,437 0.1%
Banco Santander Chile ADR 227,071 7,500,155 0.1%
Cencosud SA 2,239,644 6,656,262 0.1%
Cia Cervecerias Unidas SA 109,017 1,509,670 0.0%
Cia Cervecerias Unidas SA ADR 95,396 2,634,837 0.0%
Colbun SA 11,333,704 2,816,901 0.1%
Embotelladora Andina SA Class B ADR 22,761 685,789 0.0%
Empresa Nacional de Telecomunicaciones SA 71,152 838,557 0.0%
Empresas CMPC SA 1,872,888 7,683,903 0.1%
Empresas COPEC SA 366,864 5,977,540 0.1%
Enel Americas SA ADR 853,477 9,686,965 0.2%
Enel Chile SA(BYMLZD6) 5,100,567 631,950 0.0%
Enel Chile SA(BYYHKR1) 811,093 5,044,999 0.1%
Itau CorpBanca(BZ30DD5) 30,902 469,710 0.0%
Itau CorpBanca(BYT25P4) 178,092,356 1,819,115 0.0%
# Latam Airlines Group SA Sponsored ADR 459,640 7,018,703 0.1%
SACI Falabella 918,716 8,906,684 0.1%
# Sociedad Quimica y Minera de Chile SA Sponsored ADR 153,936 8,449,547 0.1%
------------ ---
TOTAL CHILE 91,983,558 1.4%
------------ ---
CHINA -- (16.5%)
AAC Technologies Holdings, Inc. 634,000 9,099,655 0.2%
Agile Group Holdings, Ltd. 2,128,000 4,197,678 0.1%
Agricultural Bank of China, Ltd. Class H 12,316,000 6,943,907 0.1%
Air China, Ltd. Class H 2,406,000 3,171,822 0.1%
#* Alibaba Group Holding, Ltd. Sponsored ADR 524,851 93,706,898 1.5%
* Aluminum Corp. of China, Ltd. ADR 107,180 1,502,664 0.0%
* Aluminum Corp. of China, Ltd. Class H 1,514,000 855,087 0.0%
# Angang Steel Co., Ltd. Class H 828,000 887,555 0.0%
Anhui Conch Cement Co., Ltd. Class H 1,089,500 6,800,089 0.1%
Anta Sports Products, Ltd. 1,125,000 6,419,467 0.1%
# BAIC Motor Corp., Ltd. Class H 1,725,000 1,665,145 0.0%
* Baidu, Inc. Sponsored ADR 106,675 26,764,758 0.4%
Bank of China, Ltd. Class H 38,183,181 20,727,017 0.3%
Bank of Communications Co., Ltd. Class H 3,692,515 3,021,528 0.1%
# BBMG Corp. Class H 877,500 400,235 0.0%
Beijing Capital International Airport Co., Ltd. Class H 1,312,000 1,786,909 0.0%
Beijing Enterprises Holdings, Ltd. 372,472 1,860,457 0.0%
Beijing Enterprises Water Group, Ltd. 4,292,000 2,491,859 0.0%
# Brilliance China Automotive Holdings, Ltd. 1,964,000 3,496,933 0.1%
# Byd Co., Ltd. Class H 644,386 4,504,946 0.1%
# BYD Electronic International Co., Ltd. 547,000 834,069 0.0%
CGN Power Co., Ltd. Class H 6,045,000 1,648,496 0.0%
China Cinda Asset Management Co., Ltd. Class H 6,323,000 2,256,723 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
China CITIC Bank Corp., Ltd. Class H 3,686,928 $ 2,635,594 0.0%
China Coal Energy Co., Ltd. Class H 1,577,777 684,010 0.0%
China Communications Construction Co., Ltd. Class H 5,836,000 6,724,118 0.1%
China Communications Services Corp., Ltd. Class H 1,226,000 769,707 0.0%
China Construction Bank Corp. Class H 51,616,590 54,076,560 0.9%
China Eastern Airlines Corp., Ltd. 2,200 89,452 0.0%
# China Eastern Airlines Corp., Ltd. Class H 1,734,000 1,432,394 0.0%
China Energy Engineering Corp., Ltd. Class H 346,000 67,716 0.0%
China Everbright Bank Co., Ltd. Class H 1,711,000 855,054 0.0%
# China Everbright International, Ltd. 2,332,000 3,270,990 0.1%
#* China Evergrande Group 3,652,000 11,567,978 0.2%
China Galaxy Securities Co., Ltd. Class H 1,647,000 1,081,807 0.0%
China Gas Holdings, Ltd. 1,845,200 6,538,797 0.1%
# China Hongqiao Group, Ltd. 2,630,000 2,860,963 0.1%
China Huarong Asset Management Co., Ltd. Class H 13,590,000 4,680,505 0.1%
* China Huishan Dairy Holdings Co., Ltd. 2,888,000 1,083 0.0%
# China International Capital Corp., Ltd. Class H 347,600 786,485 0.0%
China International Marine Containers Group Co., Ltd.
Class H 346,600 551,606 0.0%
China Jinmao Holdings Group, Ltd. 3,474,000 1,966,547 0.0%
# China Life Insurance Co., Ltd. ADR 550,205 7,757,891 0.1%
# China Lodging Group, Ltd. ADR 23,542 3,287,876 0.1%
China Longyuan Power Group Corp., Ltd. Class H 2,767,000 2,717,803 0.1%
China Medical System Holdings, Ltd. 530,000 1,297,851 0.0%
China Mengniu Dairy Co., Ltd. 1,631,000 5,258,002 0.1%
China Merchants Bank Co., Ltd. Class H 2,139,054 9,327,127 0.2%
China Merchants Port Holdings Co., Ltd. 970,970 2,169,502 0.0%
China Merchants Securities Co., Ltd. Class H 227,800 319,060 0.0%
# China Minsheng Banking Corp., Ltd. Class H 2,290,500 2,143,450 0.0%
China Mobile, Ltd. Sponsored ADR 902,501 42,832,697 0.7%
# China Molybdenum Co., Ltd. Class H 1,587,966 1,193,305 0.0%
# China National Building Material Co., Ltd. Class H 4,188,000 4,892,815 0.1%
China Oilfield Services, Ltd. Class H 1,036,000 1,033,613 0.0%
China Overseas Land & Investment, Ltd. 5,600,000 18,763,536 0.3%
China Pacific Insurance Group Co., Ltd. Class H 1,016,800 4,486,811 0.1%
China Petroleum & Chemical Corp. ADR 123,421 12,038,455 0.2%
China Petroleum & Chemical Corp. Class H 10,440,800 10,167,865 0.2%
China Railway Construction Corp., Ltd. Class H 2,789,000 3,302,812 0.1%
China Railway Group, Ltd. Class H 4,143,000 3,320,726 0.1%
China Railway Signal & Communication Corp., Ltd. Class H 1,100,000 857,589 0.0%
China Reinsurance Group Corp. Class H 4,184,000 881,475 0.0%
China Resources Beer Holdings Co., Ltd. 849,611 3,659,214 0.1%
China Resources Cement Holdings, Ltd. 746,000 782,612 0.0%
China Resources Gas Group, Ltd. 1,108,000 4,074,785 0.1%
China Resources Land, Ltd. 3,844,666 14,439,508 0.2%
China Resources Pharmaceutical Group, Ltd. 900,000 1,244,213 0.0%
China Resources Power Holdings Co., Ltd. 1,790,517 3,434,412 0.1%
China Shenhua Energy Co., Ltd. Class H 2,188,000 5,366,853 0.1%
China Southern Airlines Co., Ltd. Class H 2,050,000 2,207,359 0.0%
# China Southern Airlines Co., Ltd. Sponsored ADR 12,306 665,262 0.0%
China State Construction International Holdings, Ltd. 1,914,250 2,489,583 0.0%
China Taiping Insurance Holdings Co., Ltd. 1,044,306 3,492,338 0.1%
China Telecom Corp., Ltd. ADR 56,720 2,733,904 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
China Telecom Corp., Ltd. Class H 3,440,000 $ 1,667,478 0.0%
* China Unicom Hong Kong, Ltd. 4,230,000 5,981,426 0.1%
* China Unicom Hong Kong, Ltd. ADR 523,460 7,344,144 0.1%
China Vanke Co., Ltd. Class H 927,700 3,834,044 0.1%
Chongqing Rural Commercial Bank Co., Ltd. Class H 2,828,000 2,163,344 0.0%
CIFI Holdings Group Co., Ltd. 1,542,000 1,214,244 0.0%
CITIC Securities Co., Ltd. Class H 1,145,500 2,792,419 0.1%
CITIC, Ltd. 4,388,000 6,691,700 0.1%
CNOOC, Ltd. 1,597,000 2,701,666 0.0%
# CNOOC, Ltd. Sponsored ADR 104,426 17,649,038 0.3%
* COSCO SHIPPING Development Co., Ltd. Class H 2,657,000 492,045 0.0%
#* COSCO SHIPPING Holdings Co., Ltd. Class H 2,789,500 1,416,924 0.0%
COSCO SHIPPING Ports, Ltd. 221,786 195,055 0.0%
Country Garden Holdings Co., Ltd. 6,294,686 12,835,268 0.2%
CRRC Corp., Ltd. 1,677,000 1,482,266 0.0%
CSC Financial Co., Ltd. Class H 62,500 51,583 0.0%
CSPC Pharmaceutical Group, Ltd. 4,712,000 12,001,739 0.2%
#* Ctrip.com International, Ltd. ADR 212,221 8,679,839 0.1%
Dali Foods Group Co., Ltd. 1,145,500 792,978 0.0%
Dalian Port PDA Co., Ltd. Class H 961,000 156,121 0.0%
#* Datang International Power Generation Co., Ltd. Class H 3,068,000 1,004,830 0.0%
Dongfeng Motor Group Co., Ltd. Class H 2,126,000 2,351,003 0.0%
ENN Energy Holdings, Ltd. 741,000 6,929,478 0.1%
Everbright Securities Co., Ltd. Class H 129,400 155,281 0.0%
Fosun International, Ltd. 1,692,222 3,595,961 0.1%
# Fullshare Holdings, Ltd. 3,307,500 1,815,847 0.0%
Fuyao Glass Industry Group Co., Ltd. Class H 517,200 1,777,655 0.0%
Geely Automobile Holdings, Ltd. 4,750,000 12,492,640 0.2%
GF Securities Co., Ltd. Class H 607,800 1,070,089 0.0%
# Great Wall Motor Co., Ltd. Class H 2,660,500 2,759,471 0.1%
Guangdong Investment, Ltd. 2,550,000 3,946,971 0.1%
Guangshen Railway Co., Ltd. Sponsored ADR 27,353 793,237 0.0%
Guangzhou Automobile Group Co., Ltd. Class H 1,132,259 2,073,976 0.0%
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd.
Class H 140,000 538,583 0.0%
Guangzhou R&F Properties Co., Ltd. Class H 1,808,800 4,300,599 0.1%
#* Guotai Junan Securities Co., Ltd. Class H 253,600 594,456 0.0%
Haier Electronics Group Co., Ltd. 1,145,000 3,961,440 0.1%
Haitian International Holdings, Ltd. 530,000 1,410,490 0.0%
Haitong Securities Co., Ltd. Class H 2,638,800 3,603,040 0.1%
* Hanergy Thin Film Power Group, Ltd. 5,416,000 28,809 0.0%
Hengan International Group Co., Ltd. 853,000 7,586,019 0.1%
Huadian Power International Corp., Ltd. Class H 1,738,000 705,292 0.0%
Huaneng Power International, Inc. Class H 1,598,000 1,056,118 0.0%
# Huaneng Power International, Inc. Sponsored ADR 34,452 899,886 0.0%
Huatai Securities Co., Ltd. Class H 750,400 1,520,000 0.0%
Huishang Bank Corp., Ltd. Class H 728,000 350,861 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 44,476,185 39,044,799 0.6%
* JD.com, Inc. ADR 254,678 9,298,294 0.2%
Jiangsu Expressway Co., Ltd. Class H 1,192,000 1,634,379 0.0%
Jiangxi Copper Co., Ltd. Class H 930,000 1,322,178 0.0%
Kingboard Chemical Holdings, Ltd. 916,500 3,728,588 0.1%
Kingboard Laminates Holdings, Ltd. 177,500 236,588 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
Kunlun Energy Co., Ltd. 4,814,000 $ 4,121,823 0.1%
Lee & Man Paper Manufacturing, Ltd. 1,126,000 1,240,265 0.0%
Legend Holdings Corp. Class H 337,700 1,127,192 0.0%
# Lenovo Group, Ltd. 10,021,278 4,757,864 0.1%
Livzon Pharmaceutical Group, Inc. Class H 2,200 15,847 0.0%
# Logan Property Holdings Co., Ltd. 1,624,000 2,381,062 0.0%
Longfor Properties Co., Ltd. 1,986,000 5,939,595 0.1%
* Maanshan Iron & Steel Co., Ltd. Class H 1,048,000 514,415 0.0%
Metallurgical Corp. of China, Ltd. Class H 1,188,000 379,345 0.0%
Minth Group, Ltd. 492,000 2,336,073 0.0%
* Momo, Inc. Sponsored ADR 80,047 2,793,640 0.1%
NetEase, Inc. ADR 55,240 14,200,547 0.2%
New China Life Insurance Co., Ltd. Class H 436,700 2,036,070 0.0%
Nexteer Automotive Group, Ltd. 976,000 1,501,644 0.0%
Nine Dragons Paper Holdings, Ltd. 1,888,000 2,815,873 0.1%
People's Insurance Co. Group of China, Ltd. (The) Class H 5,044,000 2,374,640 0.0%
PetroChina Co., Ltd. ADR 118,623 8,731,839 0.1%
PetroChina Co., Ltd. Class H 3,056,000 2,251,872 0.0%
PICC Property & Casualty Co., Ltd. Class H 2,402,132 4,300,222 0.1%
# Ping An Insurance Group Co. of China, Ltd. Class H 3,690,000 36,056,465 0.6%
# Postal Savings Bank of China Co., Ltd. Class H 3,306,000 2,264,946 0.0%
Red Star Macalline Group Corp., Ltd. Class H 290,200 389,682 0.0%
#* Semiconductor Manufacturing International Corp. 4,418,600 5,682,730 0.1%
#* Semiconductor Manufacturing International Corp. ADR 10,378 67,249 0.0%
#* Shanghai Electric Group Co., Ltd. Class H 1,302,000 472,709 0.0%
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 240,500 1,304,553 0.0%
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 443,900 1,211,701 0.0%
Shengjing Bank Co., Ltd. Class H 225,000 150,315 0.0%
Shenzhou International Group Holdings, Ltd. 574,000 6,265,919 0.1%
Shimao Property Holdings, Ltd. 2,297,871 6,078,016 0.1%
Sino Biopharmaceutical, Ltd. 5,247,000 11,049,179 0.2%
Sino-Ocean Group Holding, Ltd. 2,194,000 1,523,429 0.0%
Sinopec Engineering Group Co., Ltd. Class H 812,500 837,689 0.0%
Sinopec Shanghai Petrochemical Co., Ltd. Class H 3,763,000 2,498,665 0.0%
# Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 7,418 489,703 0.0%
Sinopharm Group Co., Ltd. Class H 1,310,800 5,527,277 0.1%
Sun Art Retail Group, Ltd. 3,039,500 3,416,253 0.1%
Sunac China Holdings, Ltd. 953,000 4,048,084 0.1%
Sunny Optical Technology Group Co., Ltd. 536,000 8,746,249 0.1%
Tencent Holdings, Ltd. 3,704,000 182,099,318 2.9%
Tingyi Cayman Islands Holding Corp. 2,732,000 5,177,692 0.1%
Travelsky Technology, Ltd. Class H 725,000 2,117,745 0.0%
Tsingtao Brewery Co., Ltd. Class H 204,000 1,056,188 0.0%
Want Want China Holdings, Ltd. 6,644,000 5,871,103 0.1%
Weichai Power Co., Ltd. Class H 3,416,800 3,955,449 0.1%
# Xinjiang Goldwind Science & Technology Co., Ltd. Class H 520,519 985,658 0.0%
Yanzhou Coal Mining Co., Ltd. Class H 1,436,000 1,796,896 0.0%
Yum China Holdings, Inc. 133,007 5,687,379 0.1%
Zhejiang Expressway Co., Ltd. Class H 1,332,000 1,367,856 0.0%
Zhongsheng Group Holdings, Ltd. 475,000 1,361,670 0.0%
Zhuzhou CRRC Times Electric Co., Ltd. Class H 292,200 1,549,207 0.0%
Zijin Mining Group Co., Ltd. Class H 7,523,000 3,412,422 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
CHINA -- (Continued)
# Zoomlion Heavy Industry Science and Technology Co., Ltd.
Class H 724,400 $ 311,153 0.0%
#* ZTE Corp. Class H 454,885 1,028,040 0.0%
# ZTO Express Cayman, Inc. ADR 160,011 2,640,182 0.0%
-------------- ----
TOTAL CHINA 1,083,374,345 17.0%
-------------- ----
COLOMBIA -- (0.4%)
Banco de Bogota SA 48,940 1,210,888 0.0%
Bancolombia SA 263,306 3,112,104 0.0%
Bancolombia SA Sponsored ADR 102,465 4,883,482 0.1%
Cementos Argos SA 330,653 1,168,899 0.0%
Ecopetrol SA 3,327,922 3,672,739 0.1%
# Ecopetrol SA Sponsored ADR 172,877 3,817,124 0.1%
Grupo Argos SA 179,087 1,275,115 0.0%
Grupo Aval Acciones y Valores SA 84,617 749,706 0.0%
Grupo de Inversiones Suramericana SA 255,008 3,538,758 0.1%
Grupo Energia Bogota SA ESP 1,271,428 932,426 0.0%
Grupo Nutresa SA 169,196 1,638,378 0.0%
Interconexion Electrica SA ESP 613,721 3,163,696 0.1%
-------------- ----
TOTAL COLOMBIA 29,163,315 0.5%
-------------- ----
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 305,092 7,791,155 0.1%
Komercni Banka A.S. 43,650 1,883,248 0.1%
Moneta Money Bank A.S. 30,234 108,675 0.0%
O2 Czech Republic A.S. 70,083 958,018 0.0%
# Philip Morris CR A.S. 755 579,447 0.0%
-------------- ----
TOTAL CZECH REPUBLIC 11,320,543 0.2%
-------------- ----
EGYPT -- (0.1%)
# Commercial International Bank Egypt S.A.E. GDR(5668287) 1,400,823 7,168,041 0.1%
Commercial International Bank Egypt S.A.E. GDR(201712205) 116,260 596,414 0.0%
Egyptian Financial Group-Hermes Holding Co. GDR(710232901) 13,986 38,714 0.0%
Egyptian Financial Group-Hermes Holding Co. GDR(268425402) 22,886 64,309 0.0%
-------------- ----
TOTAL EGYPT 7,867,478 0.1%
-------------- ----
GREECE -- (0.3%)
* Alpha Bank AE 105,217 277,963 0.0%
* Eurobank Ergasias SA 331 418 0.0%
* FF Group 12,618 239,231 0.0%
Hellenic Petroleum SA 112,224 1,141,869 0.0%
Hellenic Telecommunications Organization SA 340,319 4,954,495 0.1%
JUMBO SA 168,373 3,081,978 0.1%
Motor Oil Hellas Corinth Refineries SA 96,253 2,293,424 0.0%
* National Bank of Greece SA 128,189 53,293 0.0%
OPAP SA 278,698 3,334,722 0.1%
Titan Cement Co. SA 61,385 1,616,559 0.0%
-------------- ----
TOTAL GREECE 16,993,952 0.3%
-------------- ----
HUNGARY -- (0.5%)
MOL Hungarian Oil & Gas P.L.C. 1,279,647 14,787,310 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
HUNGARY -- (Continued)
OTP Bank P.L.C. 283,456 $12,359,633 0.2%
Richter Gedeon Nyrt 117,849 2,379,672 0.1%
----------- ---
TOTAL HUNGARY 29,526,615 0.5%
----------- ---
INDIA -- (11.7%)
* 3M India, Ltd. 76 23,247 0.0%
* 5Paisa Capital, Ltd. 4,048 24,517 0.0%
ABB India, Ltd. 30,827 625,255 0.0%
ACC, Ltd. 48,206 1,140,541 0.0%
Adani Enterprises, Ltd. 274,364 571,991 0.0%
* Adani Green Energy, Ltd. 208,791 80,369 0.0%
Adani Ports & Special Economic Zone, Ltd. 833,961 5,064,627 0.1%
* Adani Transmissions, Ltd. 272,206 681,921 0.0%
* Aditya Birla Capital, Ltd. 324,352 773,343 0.0%
* Aditya Birla Fashion and Retail, Ltd. 411,628 901,487 0.0%
Alkem Laboratories, Ltd. 6,502 191,520 0.0%
Ambuja Cements, Ltd. 601,982 2,253,956 0.0%
Apollo Hospitals Enterprise, Ltd. 29,982 488,730 0.0%
Ashok Leyland, Ltd. 2,765,773 6,779,657 0.1%
Asian Paints, Ltd. 448,324 8,048,329 0.1%
Aurobindo Pharma, Ltd. 625,132 5,992,507 0.1%
Axis Bank, Ltd. 1,523,806 11,785,639 0.2%
Bajaj Auto, Ltd. 98,805 4,345,378 0.1%
Bajaj Finance, Ltd. 262,176 7,449,184 0.1%
Bajaj Finserv, Ltd. 76,033 6,225,270 0.1%
Bajaj Holdings & Investment, Ltd. 60,666 2,449,696 0.0%
Balkrishna Industries, Ltd. 53,481 1,020,132 0.0%
Bank of Baroda 408,484 904,079 0.0%
* Bank of India 242,165 374,374 0.0%
Berger Paints India, Ltd. 347,022 1,487,797 0.0%
Bharat Electronics, Ltd. 720,775 1,410,482 0.0%
Bharat Forge, Ltd. 306,682 3,549,306 0.1%
Bharat Heavy Electricals, Ltd. 1,100,247 1,439,398 0.0%
Bharat Petroleum Corp., Ltd. 829,380 4,786,755 0.1%
Bharti Airtel, Ltd. 1,859,037 11,375,610 0.2%
Bharti Infratel, Ltd. 713,002 3,371,024 0.1%
Biocon, Ltd. 121,818 1,210,964 0.0%
Bosch, Ltd. 7,147 2,071,978 0.0%
Britannia Industries, Ltd. 31,591 2,606,067 0.0%
Cadila Healthcare, Ltd. 362,605 2,238,363 0.0%
Canara Bank 181,947 719,905 0.0%
Castrol India, Ltd. 247,880 721,694 0.0%
Cholamandalam Investment and Finance Co., Ltd. 70,179 1,818,323 0.0%
Cipla, Ltd. 555,658 5,026,107 0.1%
Coal India, Ltd. 745,896 3,163,463 0.1%
Colgate-Palmolive India, Ltd. 115,396 1,935,676 0.0%
Container Corp. Of India, Ltd. 36,763 722,769 0.0%
Cummins India, Ltd. 95,747 1,103,484 0.0%
Dabur India, Ltd. 743,476 4,121,412 0.1%
Dalmia Bharat, Ltd. 26,093 1,191,239 0.0%
Dewan Housing Finance Corp., Ltd. 341,630 3,258,595 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Divi's Laboratories, Ltd. 147,169 $ 2,637,087 0.0%
DLF, Ltd. 681,927 2,258,536 0.0%
Dr Reddy's Laboratories, Ltd. 71,015 2,248,408 0.0%
# Dr Reddy's Laboratories, Ltd. ADR 148,465 4,796,904 0.1%
Edelweiss Financial Services, Ltd. 715,880 3,052,461 0.1%
Eicher Motors, Ltd. 20,610 9,585,233 0.2%
Emami, Ltd. 90,332 1,506,285 0.0%
Exide Industries, Ltd. 375,923 1,389,282 0.0%
Federal Bank, Ltd. 2,004,333 2,941,108 0.1%
* Future Retail, Ltd. 104,881 945,919 0.0%
GAIL India, Ltd. 668,588 3,253,332 0.1%
GAIL India, Ltd. GDR 51,184 1,503,920 0.0%
Gillette India, Ltd. 353 34,512 0.0%
GlaxoSmithKline Consumer Healthcare, Ltd. 13,803 1,265,417 0.0%
GlaxoSmithKline Pharmaceuticals, Ltd. 13,217 462,834 0.0%
Glenmark Pharmaceuticals, Ltd. 15,948 136,195 0.0%
Godrej Consumer Products, Ltd. 337,726 5,637,844 0.1%
Godrej Industries, Ltd. 71,533 642,239 0.0%
Grasim Industries, Ltd. 302,268 4,907,112 0.1%
Gruh Finance, Ltd. 92,408 932,772 0.0%
Havells India, Ltd. 234,115 1,908,219 0.0%
HCL Technologies, Ltd. 862,054 13,568,539 0.2%
HDFC Bank, Ltd. 1,383,984 40,178,293 0.6%
Hero Motocorp, Ltd. 85,976 4,793,451 0.1%
Hindalco Industries, Ltd. 3,486,881 12,210,864 0.2%
Hindustan Petroleum Corp., Ltd. 801,193 3,641,636 0.1%
Hindustan Unilever, Ltd. 992,915 22,261,640 0.4%
Housing Development Finance Corp., Ltd. 1,536,141 43,194,699 0.7%
ICICI Bank, Ltd. Sponsored ADR 1,069,869 9,104,581 0.2%
ICICI Prudential Life Insurance Co., Ltd. 72,511 461,804 0.0%
* IDBI Bank, Ltd. 97,901 96,377 0.0%
* Idea Cellular, Ltd. 5,576,048 5,761,181 0.1%
IDFC Bank, Ltd. 1,324,674 953,117 0.0%
IIFL Holdings, Ltd. 111,769 1,280,458 0.0%
Indiabulls Housing Finance, Ltd. 656,568 12,801,450 0.2%
Indian Bank 99,818 479,551 0.0%
Indian Oil Corp., Ltd. 1,522,278 3,680,285 0.1%
Indraprastha Gas, Ltd. 240,300 1,029,957 0.0%
IndusInd Bank, Ltd. 173,449 4,910,346 0.1%
Infosys, Ltd. 1,805,229 32,365,991 0.5%
# Infosys, Ltd. Sponsored ADR 847,888 14,982,181 0.2%
InterGlobe Aviation, Ltd. 58,641 1,226,490 0.0%
ITC, Ltd. 4,651,621 19,622,074 0.3%
* Jindal Steel & Power, Ltd. 372,123 1,389,326 0.0%
JSW Steel, Ltd. 2,677,650 12,988,954 0.2%
Kansai Nerolac Paints, Ltd. 70,642 526,951 0.0%
Kotak Mahindra Bank, Ltd. 591,986 10,728,756 0.2%
L&T Finance Holdings, Ltd. 792,785 2,044,980 0.0%
Larsen & Toubro Infotech, Ltd. 4,977 116,517 0.0%
Larsen & Toubro, Ltd. 593,379 12,439,802 0.2%
LIC Housing Finance, Ltd. 817,984 6,675,692 0.1%
Lupin, Ltd. 355,461 4,301,707 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Mahindra & Mahindra Financial Services, Ltd. 322,686 $ 2,537,247 0.0%
Mahindra & Mahindra, Ltd. 649,954 8,469,387 0.1%
Mangalore Refinery & Petrochemicals, Ltd. 285,511 462,479 0.0%
Marico, Ltd. 748,884 3,726,064 0.1%
Maruti Suzuki India, Ltd. 138,331 18,190,216 0.3%
* Max Financial Services, Ltd. 11,034 85,528 0.0%
Motherson Sumi Systems, Ltd. 864,629 4,559,776 0.1%
Motilal Oswal Financial Services, Ltd. 34,676 507,412 0.0%
MRF, Ltd. 2,969 3,540,303 0.1%
Muthoot Finance, Ltd. 191,569 1,284,318 0.0%
Natco Pharma, Ltd. 5,022 60,642 0.0%
NBCC India, Ltd. 239,532 375,176 0.0%
Nestle India, Ltd. 37,106 5,220,454 0.1%
NHPC, Ltd. 2,269,230 968,508 0.0%
NTPC, Ltd. 1,319,738 3,395,483 0.1%
Oil & Natural Gas Corp., Ltd. 990,901 2,675,461 0.1%
Oil India, Ltd. 271,393 943,418 0.0%
* Oracle Financial Services Software, Ltd. 23,161 1,479,648 0.0%
Page Industries, Ltd. 5,038 1,817,840 0.0%
Petronet LNG, Ltd. 1,094,125 3,707,040 0.1%
Pidilite Industries, Ltd. 195,176 3,155,809 0.1%
Piramal Enterprises, Ltd. 72,015 2,793,378 0.1%
Power Finance Corp., Ltd. 860,631 1,130,472 0.0%
Power Grid Corp. of India, Ltd. 1,969,562 6,116,435 0.1%
* Praxis Home Retail, Ltd. 1,458 6,206 0.0%
Procter & Gamble Hygiene & Health Care, Ltd. 10,367 1,482,635 0.0%
* Punjab National Bank 669,278 953,141 0.0%
Rajesh Exports, Ltd. 146,511 1,488,293 0.0%
Ramco Cements, Ltd. (The) 41,801 516,045 0.0%
RBL Bank, Ltd. 65,034 511,149 0.0%
Reliance Capital, Ltd. 128,364 831,525 0.0%
* Reliance Home Finance, Ltd. 174,706 161,812 0.0%
Reliance Industries, Ltd. 3,162,713 45,461,821 0.7%
Reliance Industries, Ltd. GDR 3,374 97,509 0.0%
Rural Electrification Corp., Ltd. 1,952,124 3,715,771 0.1%
Shree Cement, Ltd. 10,928 2,767,750 0.1%
Shriram City Union Finance, Ltd. 1,315 47,503 0.0%
Shriram Transport Finance Co., Ltd. 157,374 3,780,617 0.1%
Siemens, Ltd. 50,501 849,282 0.0%
State Bank of India 1,586,800 5,827,519 0.1%
* Steel Authority of India, Ltd. 770,722 888,224 0.0%
Sun Pharmaceutical Industries, Ltd. 602,527 4,754,194 0.1%
Sun TV Network, Ltd. 129,047 1,693,464 0.0%
* Sundaram Finance Holdings, Ltd. 27,690 61,176 0.0%
Sundaram Finance, Ltd. 27,690 730,567 0.0%
Tata Communications, Ltd. 76,225 706,844 0.0%
Tata Consultancy Services, Ltd. 702,461 37,048,009 0.6%
Tata Global Beverages, Ltd. 36,041 160,131 0.0%
* Tata Motors, Ltd. 1,650,833 8,353,434 0.1%
* Tata Motors, Ltd. Sponsored ADR 41,094 1,032,281 0.0%
Tata Power Co., Ltd. (The) 2,311,735 3,031,235 0.1%
Tata Steel, Ltd.(6101156) 1,295,722 11,475,313 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
* Tata Steel, Ltd.(BD3NJK9) 89,360 $ 212,889 0.0%
Tech Mahindra, Ltd. 790,878 7,896,514 0.1%
Titan Co., Ltd. 364,783 5,346,159 0.1%
Torrent Pharmaceuticals, Ltd. 94,358 2,005,784 0.0%
TVS Motor Co., Ltd. 97,703 974,290 0.0%
Ultratech Cement, Ltd. 79,522 4,871,983 0.1%
United Breweries, Ltd. 54,550 974,986 0.0%
* United Spirits, Ltd. 67,614 3,668,497 0.1%
UPL, Ltd. 812,040 8,875,426 0.1%
Vakrangee, Ltd. 367,011 547,574 0.0%
Vedanta, Ltd. 2,958,495 13,134,357 0.2%
Voltas, Ltd. 77,532 742,171 0.0%
Whirlpool of India, Ltd. 2,154 51,028 0.0%
Wipro, Ltd. 1,408,295 5,843,049 0.1%
Yes Bank, Ltd. 2,730,973 14,698,614 0.2%
Zee Entertainment Enterprises, Ltd. 608,477 5,374,919 0.1%
------------ ----
TOTAL INDIA 770,243,613 12.1%
------------ ----
INDONESIA -- (2.4%)
Adaro Energy Tbk PT 53,869,600 7,054,285 0.1%
AKR Corporindo Tbk PT 120,100 42,054 0.0%
Astra Agro Lestari Tbk PT 1,267,944 1,162,461 0.0%
Astra International Tbk PT 22,239,310 11,382,678 0.2%
Bank Central Asia Tbk PT 9,568,000 15,129,700 0.3%
Bank Danamon Indonesia Tbk PT 4,531,379 2,160,025 0.0%
Bank Mandiri Persero Tbk PT 17,401,834 8,814,974 0.2%
Bank Negara Indonesia Persero Tbk PT 10,722,322 6,173,010 0.1%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 1,514,200 224,073 0.0%
Bank Rakyat Indonesia Persero Tbk PT 63,168,800 14,564,731 0.2%
Bank Tabungan Negara Persero Tbk PT 7,450,900 1,660,489 0.0%
* Barito Pacific Tbk PT 10,393,800 1,837,817 0.0%
* Bayan Resources Tbk PT 79,500 62,830 0.0%
Bukit Asam Tbk PT 8,340,900 1,928,295 0.0%
Bumi Serpong Damai Tbk PT 11,318,200 1,366,721 0.0%
Charoen Pokphand Indonesia Tbk PT 12,216,600 3,220,627 0.1%
Gudang Garam Tbk PT 812,100 4,034,408 0.1%
Indah Kiat Pulp & Paper Corp. Tbk PT 3,159,000 2,982,502 0.1%
Indo Tambangraya Megah Tbk PT 194,700 329,949 0.0%
Indocement Tunggal Prakarsa Tbk PT 1,467,400 1,857,011 0.0%
Indofood CBP Sukses Makmur Tbk PT 3,456,800 2,147,581 0.0%
Indofood Sukses Makmur Tbk PT 14,721,500 7,360,316 0.1%
Indosat Tbk PT 1,720,800 466,396 0.0%
Jasa Marga Persero Tbk PT 3,871,113 1,210,154 0.0%
Kalbe Farma Tbk PT 27,775,800 2,998,521 0.1%
Matahari Department Store Tbk PT 2,898,700 2,146,267 0.0%
Mayora Indah Tbk PT 19,330,125 4,094,763 0.1%
Media Nusantara Citra Tbk PT 7,939,500 751,128 0.0%
Mitra Keluarga Karyasehat Tbk PT 2,215,000 306,077 0.0%
Pakuwon Jati Tbk PT 46,392,900 1,961,016 0.0%
Perusahaan Gas Negara Persero Tbk 12,012,100 1,700,361 0.0%
Semen Baturaja Persero Tbk PT 1,298,200 390,892 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDONESIA -- (Continued)
Semen Indonesia Persero Tbk PT 4,604,700 $ 3,180,396 0.1%
Sinar Mas Agro Resources & Technology Tbk PT 1,096,400 291,610 0.0%
Surya Citra Media Tbk PT 8,854,700 1,620,779 0.0%
Telekomunikasi Indonesia Persero Tbk PT 37,216,900 10,155,539 0.2%
# Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 196,768 5,361,928 0.1%
Tower Bersama Infrastructure Tbk PT 2,551,800 1,016,311 0.0%
Unilever Indonesia Tbk PT 2,015,700 6,699,496 0.1%
United Tractors Tbk PT 4,537,396 11,070,718 0.2%
* Vale Indonesia Tbk PT 2,598,200 584,175 0.0%
Waskita Karya Persero Tbk PT 12,515,379 1,977,022 0.0%
* XL Axiata Tbk PT 10,996,700 1,666,718 0.0%
------------ ---
TOTAL INDONESIA 155,146,804 2.4%
------------ ---
MALAYSIA -- (3.0%)
Affin Bank Bhd 548,300 350,894 0.0%
AirAsia Group Bhd 5,016,800 4,901,000 0.1%
Alliance Bank Malaysia Bhd 1,209,400 1,335,154 0.0%
AMMB Holdings Bhd 2,508,759 2,477,790 0.0%
Astro Malaysia Holdings Bhd 2,488,700 1,205,255 0.0%
Axiata Group Bhd 4,014,602 5,386,664 0.1%
Batu Kawan Bhd 105,400 493,784 0.0%
BIMB Holdings Bhd 1,138,455 1,209,120 0.0%
Boustead Holdings Bhd 264,800 173,035 0.0%
# British American Tobacco Malaysia Bhd 236,000 1,471,503 0.0%
CIMB Group Holdings Bhd 4,570,655 8,329,809 0.1%
Dialog Group BHD 1,487,318 1,162,239 0.0%
# DiGi.Com Bhd 5,082,520 5,965,676 0.1%
Felda Global Ventures Holdings Bhd 4,302,300 1,861,956 0.0%
Fraser & Neave Holdings Bhd 47,800 437,883 0.0%
Gamuda Bhd 2,144,600 2,800,334 0.1%
Genting Bhd 4,743,900 10,773,359 0.2%
Genting Malaysia Bhd 3,824,300 4,979,133 0.1%
# Genting Plantations Bhd 378,500 955,293 0.0%
# HAP Seng Consolidated Bhd 1,001,300 2,491,453 0.0%
# Hartalega Holdings Bhd 2,213,600 3,294,488 0.1%
Hong Leong Bank Bhd 446,566 2,152,957 0.0%
Hong Leong Financial Group Bhd 680,183 3,357,916 0.1%
# IHH Healthcare Bhd 1,455,900 2,249,303 0.0%
IJM Corp. Bhd 4,270,962 3,233,311 0.1%
# Inari Amertron Bhd 2,004,000 868,017 0.0%
IOI Corp. Bhd 3,931,105 4,775,930 0.1%
IOI Properties Group Bhd 2,614,929 1,038,419 0.0%
Kuala Lumpur Kepong Bhd 495,300 3,209,974 0.1%
* Lafarge Malayan Bhd 16,380 17,557 0.0%
Malayan Banking Bhd 4,708,636 12,908,567 0.2%
Malaysia Airports Holdings Bhd 1,240,841 2,842,749 0.1%
Malaysia Building Society Bhd 1,759,800 513,663 0.0%
Maxis Bhd 2,881,400 4,267,352 0.1%
MISC Bhd 1,880,198 3,414,064 0.1%
MMC Corp. Bhd 1,730,200 630,272 0.0%
My EG Services Bhd 3,146,800 2,086,610 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
Nestle Malaysia Bhd 35,700 $ 1,254,056 0.0%
Petronas Chemicals Group Bhd 3,389,400 7,281,749 0.1%
Petronas Dagangan BHD 351,300 2,411,485 0.0%
Petronas Gas Bhd 890,500 4,029,123 0.1%
PPB Group Bhd 751,800 3,678,658 0.1%
# Press Metal Aluminium Holdings Bhd 1,771,200 2,160,951 0.0%
Public Bank Bhd 3,656,014 22,122,427 0.4%
# QL Resources Bhd 502,190 656,878 0.0%
RHB Bank Bhd 1,308,605 1,759,565 0.0%
# Sapura Energy Bhd 1,536,800 247,410 0.0%
Sime Darby Bhd 1,829,561 1,239,025 0.0%
Sime Darby Plantation Bhd 3,018,761 4,279,290 0.1%
Sime Darby Property Bhd 3,018,761 1,143,777 0.0%
SP Setia Bhd Group 1,255,149 1,016,295 0.0%
# Sunway Bhd 2,531,825 971,108 0.0%
Telekom Malaysia Bhd 1,435,664 1,931,103 0.0%
# Tenaga Nasional Bhd 4,375,250 17,617,707 0.3%
Top Glove Corp. Bhd 1,101,700 2,659,558 0.1%
* UMW Holdings Bhd 1,257,866 1,952,906 0.0%
United Plantations Bhd 49,700 337,280 0.0%
Westports Holdings Bhd 1,553,100 1,312,164 0.0%
YTL Corp. Bhd 14,205,299 5,221,048 0.1%
# YTL Power International Bhd 2,843,597 664,025 0.0%
------------ ---
TOTAL MALAYSIA 195,570,071 3.1%
------------ ---
MEXICO -- (3.7%)
Alfa S.A.B. de C.V. Class A 7,708,309 9,875,446 0.2%
America Movil S.A.B. de C.V. Series L 48,207,854 44,593,821 0.7%
America Movil S.A.B. de C.V. Series L ADR 109,448 2,023,694 0.0%
Arca Continental S.A.B. de C.V. 562,184 3,874,135 0.1%
# Banco Santander Mexico SA Institucion de Banca Multiple
Grupo Financiero Santand Class B 2,749,646 4,068,148 0.1%
#* Cemex S.A.B. de C.V. 19,131,714 11,938,109 0.2%
Coca-Cola Femsa S.A.B. de C.V. Series L 365,012 2,367,439 0.0%
# Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 22,737 1,492,457 0.0%
# El Puerto de Liverpool S.A.B. de C.V. 262,611 1,743,574 0.0%
Fomento Economico Mexicano S.A.B. de C.V. 1,733,500 16,772,323 0.3%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 37,589 3,633,353 0.1%
# Gruma S.A.B. de C.V. Class B 573,607 7,013,801 0.1%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 13,641 1,420,983 0.0%
# Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 462,543 4,804,973 0.1%
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 32,374 5,820,845 0.1%
# Grupo Bimbo S.A.B. de C.V. Series A 2,085,945 4,846,223 0.1%
# Grupo Carso S.A.B. de C.V. Series A1 805,914 2,918,209 0.0%
# Grupo Elektra S.A.B. de C.V. 95,655 2,615,545 0.0%
# Grupo Financiero Banorte S.A.B. de C.V. 2,449,511 15,318,899 0.2%
# Grupo Financiero Inbursa S.A.B. de C.V. 3,829,726 6,374,669 0.1%
# Grupo Lala S.A.B. de C.V. 1,099,455 1,403,856 0.0%
Grupo Mexico S.A.B. de C.V. Series B 6,360,255 21,057,958 0.3%
# Grupo Televisa S.A.B. Series CPO 3,641,138 13,061,881 0.2%
# Grupo Televisa S.A.B. Sponsored ADR 135,493 2,428,035 0.0%
#* Impulsora del Desarrollo y El Empleo en America Latina
S.A.B. de C.V. 2,339,450 4,164,265 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (Continued)
Industrias Penoles S.A.B. de C.V. 365,578 $ 7,681,965 0.1%
Infraestructura Energetica Nova S.A.B. de C.V. 759,365 3,346,118 0.1%
# Kimberly-Clark de Mexico S.A.B. de C.V. Class A 2,348,560 4,255,827 0.1%
* La Comer S.A.B. de C.V. 11,756 12,201 0.0%
Megacable Holdings S.A.B. de C.V. 252,934 1,162,152 0.0%
Mexichem S.A.B. de C.V. Series * 2,747,350 8,586,364 0.1%
#* Organizacion Soriana S.A.B. de C.V. Class B 1,083,351 2,001,952 0.0%
Promotora y Operadora de Infraestructura S.A.B. de
C.V.(2393388) 284,767 2,918,770 0.1%
Promotora y Operadora de Infraestructura S.A.B. de
C.V.(BP85573) 3,236 22,440 0.0%
Wal-Mart de Mexico S.A.B. de C.V. 7,198,435 20,014,844 0.3%
------------ ---
TOTAL MEXICO 245,635,274 3.8%
------------ ---
PERU -- (0.3%)
Cementos Pacasmayo SAA ADR 15,158 194,026 0.0%
Cia de Minas Buenaventura SAA ADR 139,674 2,227,800 0.0%
Credicorp, Ltd. 78,885 18,339,974 0.3%
* Grana y Montero SAA Sponsored ADR 108,988 362,930 0.0%
------------ ---
TOTAL PERU 21,124,730 0.3%
------------ ---
PHILIPPINES -- (1.2%)
Aboitiz Equity Ventures, Inc. 2,290,670 3,077,655 0.1%
Aboitiz Power Corp. 1,888,900 1,384,537 0.0%
* Alliance Global Group, Inc. 9,703,400 2,444,017 0.1%
Ayala Corp. 321,242 5,975,425 0.1%
Ayala Land, Inc. 9,812,818 7,710,826 0.1%
Bank of the Philippine Islands 990,562 2,004,933 0.0%
BDO Unibank, Inc. 1,519,302 3,853,621 0.1%
Bloomberry Resorts Corp. 960,400 227,499 0.0%
DMCI Holdings, Inc. 10,645,700 2,262,849 0.0%
* DoubleDragon Properties Corp. 88,000 53,017 0.0%
Emperador, Inc. 1,850,900 257,308 0.0%
Energy Development Corp. 2,973,913 310,076 0.0%
Globe Telecom, Inc. 62,495 1,860,624 0.0%
GT Capital Holdings, Inc. 142,875 2,895,784 0.1%
International Container Terminal Services, Inc. 1,287,400 2,099,793 0.0%
JG Summit Holdings, Inc. 2,849,560 3,510,219 0.1%
Jollibee Foods Corp. 695,840 3,824,048 0.1%
LT Group, Inc. 4,387,900 1,711,096 0.0%
Manila Electric Co. 335,730 2,084,183 0.0%
Megaworld Corp. 18,359,400 1,593,161 0.0%
Metro Pacific Investments Corp. 18,788,700 1,847,919 0.0%
Metropolitan Bank & Trust Co. 1,261,427 2,066,045 0.0%
* Philippine National Bank 73,048 73,907 0.0%
PLDT, Inc. 87,155 2,439,137 0.1%
PLDT, Inc. Sponsored ADR 64,443 1,771,538 0.0%
Puregold Price Club, Inc. 1,734,500 1,586,048 0.0%
Robinsons Land Corp. 3,184,682 1,098,324 0.0%
Robinsons Retail Holdings, Inc. 541,860 951,866 0.0%
San Miguel Corp. 1,462,960 3,942,543 0.1%
Security Bank Corp. 356,280 1,434,679 0.0%
Semirara Mining & Power Corp. 1,900,100 1,131,767 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
PHILIPPINES -- (Continued)
SM Investments Corp. 249,883 $ 4,518,638 0.1%
SM Prime Holdings, Inc. 8,589,810 5,660,749 0.1%
* Top Frontier Investment Holdings, Inc. 42,789 217,951 0.0%
Universal Robina Corp. 1,282,840 3,481,534 0.1%
------------ ---
TOTAL PHILIPPINES 81,363,316 1.3%
------------ ---
POLAND -- (1.6%)
* Alior Bank SA 216,989 4,365,444 0.1%
* AmRest Holdings SE 344 45,069 0.0%
Bank Handlowy w Warszawie SA 45,291 1,068,951 0.0%
* Bank Millennium SA 1,319,118 3,207,316 0.1%
Bank Pekao SA 120,869 4,011,266 0.1%
# Bank Zachodni WBK SA 44,055 4,647,734 0.1%
Budimex SA 1,450 77,407 0.0%
CCC SA 36,838 2,706,096 0.0%
CD Projekt SA 88,611 3,127,045 0.0%
Cyfrowy Polsat SA 442,307 3,225,913 0.1%
Enea SA 154,249 456,922 0.0%
Grupa Azoty SA 95,471 1,452,997 0.0%
Grupa Lotos SA 352,784 5,526,759 0.1%
# ING Bank Slaski SA 37,589 2,104,879 0.0%
* Jastrzebska Spolka Weglowa SA 115,275 2,703,064 0.0%
KGHM Polska Miedz SA 353,608 9,373,064 0.1%
# LPP SA 1,669 4,340,459 0.1%
* mBank SA 31,312 3,812,466 0.1%
* Orange Polska SA 888,457 1,330,093 0.0%
* PGE Polska Grupa Energetyczna SA 2,140,775 6,364,399 0.1%
Polski Koncern Naftowy Orlen S.A. 565,808 14,411,063 0.2%
Polskie Gornictwo Naftowe i Gazownictwo SA 2,283,734 4,008,266 0.1%
* Powszechna Kasa Oszczednosci Bank Polski SA 760,338 9,026,846 0.1%
Powszechny Zaklad Ubezpieczen SA 808,411 9,827,856 0.2%
#* Tauron Polska Energia SA 2,675,765 1,785,694 0.0%
------------ ---
TOTAL POLAND 103,007,068 1.6%
------------ ---
RUSSIA -- (1.5%)
Gazprom PJSC Sponsored ADR(5140989) 2,397,765 11,064,463 0.2%
Gazprom PJSC Sponsored ADR(368287207) 263,846 1,203,138 0.0%
* Lenta, Ltd.(BJ621Y903) 30,830 173,198 0.0%
* Lenta, Ltd.(BJ621Y3) 44,444 250,220 0.0%
Lukoil PJSC Sponsored ADR(BYZDW2900) 171,816 11,452,518 0.2%
Lukoil PJSC Sponsored ADR(BYZF386) 18,628 1,227,399 0.0%
Magnitogorsk Iron & Steel Works PJSC Sponsored GDR 199,210 1,982,508 0.0%
* Mail.Ru Group, Ltd. GDR 981 31,000 0.0%
MegaFon PJSC GDR 139,778 1,237,806 0.0%
MMC Norilsk Nickel PJSC ADR(BYSW6D901) 406,377 6,983,900 0.1%
MMC Norilsk Nickel PJSC ADR(BYSW6M9) 36,191 616,695 0.0%
Novatek PJSC GDR 46,176 5,865,108 0.1%
Novolipetsk Steel PJSC GDR 123,601 3,150,161 0.1%
Phosagro PJSC GDR 83,207 1,199,864 0.0%
Rosneft Oil Co. PJSC GDR 700,727 4,262,514 0.1%
Rostelecom PJSC Sponsored ADR(B114RM8) 78,867 482,181 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
RUSSIA -- (Continued)
Rostelecom PJSC Sponsored ADR(778529107) 20,806 $ 129,933 0.0%
RusHydro PJSC ADR(BYZ5W4903) 1,251,910 1,424,090 0.0%
RusHydro PJSC ADR(782183404) 12,131 13,708 0.0%
Sberbank of Russia PJSC Sponsored ADR 1,818,206 26,884,454 0.4%
Severstal PJSC GDR 191,829 3,053,087 0.0%
Tatneft PJSC Sponsored ADR 154,215 9,905,170 0.2%
VTB Bank PJSC GDR(B1W7FX3) 1,358,280 2,540,678 0.0%
VTB Bank PJSC GDR(46630Q202) 1,913,221 3,581,550 0.1%
----------- ---
TOTAL RUSSIA 98,715,343 1.5%
----------- ---
SOUTH AFRICA -- (8.0%)
Anglo American Platinum, Ltd. 87,480 2,347,538 0.0%
AngloGold Ashanti, Ltd. 30,125 269,277 0.0%
AngloGold Ashanti, Ltd. Sponsored ADR 1,637,102 14,701,176 0.2%
Aspen Pharmacare Holdings, Ltd. 574,874 12,395,232 0.2%
Assore, Ltd. 23,402 577,694 0.0%
AVI, Ltd. 429,602 3,929,505 0.1%
Barclays Africa Group, Ltd. 2,048,355 30,002,817 0.5%
Bid Corp., Ltd. 694,776 15,971,661 0.2%
Bidvest Group, Ltd. (The) 873,084 17,102,966 0.3%
* Brait SE 7,826 27,042 0.0%
# Capitec Bank Holdings, Ltd. 75,595 5,381,911 0.1%
Clicks Group, Ltd. 378,720 6,474,946 0.1%
Discovery, Ltd. 595,256 8,265,049 0.1%
Distell Group, Ltd. 54,658 584,329 0.0%
Exxaro Resources, Ltd. 494,393 4,385,252 0.1%
FirstRand, Ltd. 4,821,116 25,819,616 0.4%
Foschini Group, Ltd. (The) 102,151 1,757,556 0.0%
Gold Fields, Ltd. Sponsored ADR 3,443,277 13,153,318 0.2%
Imperial Holdings, Ltd. 583,684 11,227,792 0.2%
Investec, Ltd. 684,825 5,402,130 0.1%
# Kumba Iron Ore, Ltd. 164,394 3,511,858 0.1%
Liberty Holdings, Ltd. 302,881 3,223,348 0.1%
Life Healthcare Group Holdings, Ltd. 3,525,337 8,310,217 0.1%
MMI Holdings, Ltd. 2,167,694 3,858,886 0.1%
Mondi, Ltd. 303,793 8,863,114 0.1%
Mr. Price Group, Ltd. 421,817 9,256,285 0.1%
MTN Group, Ltd. 3,210,942 32,227,237 0.5%
Naspers, Ltd. Class N 341,078 83,093,265 1.3%
Nedbank Group, Ltd. 545,382 13,006,271 0.2%
# NEPI Rockcastle P.L.C. 366,756 4,041,920 0.1%
Netcare, Ltd. 2,825,287 7,035,210 0.1%
Novus Holdings, Ltd. 82,866 26,633 0.0%
Pick n Pay Stores, Ltd. 261,842 1,695,090 0.0%
Pioneer Foods Group, Ltd. 145,145 1,411,602 0.0%
PSG Group, Ltd. 158,836 2,857,844 0.0%
Sanlam, Ltd. 2,016,187 12,736,290 0.2%
Sappi, Ltd. 1,675,815 10,694,494 0.2%
Sasol, Ltd. 143,763 5,139,148 0.1%
# Sasol, Ltd. Sponsored ADR 776,248 27,580,091 0.4%
Shoprite Holdings, Ltd. 905,692 18,019,475 0.3%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
#* Sibanye Gold, Ltd. 3,894,346 $ 3,413,624 0.1%
SPAR Group, Ltd. (The) 284,382 4,818,194 0.1%
Standard Bank Group, Ltd. 2,064,368 35,405,121 0.6%
# Steinhoff International Holdings NV 3,896,458 600,199 0.0%
Telkom SA SOC, Ltd. 482,180 2,202,042 0.0%
Tiger Brands, Ltd. 311,532 9,736,428 0.2%
Truworths International, Ltd. 979,184 8,005,395 0.1%
Vodacom Group, Ltd. 750,143 9,378,212 0.1%
Woolworths Holdings, Ltd. 2,502,184 12,859,059 0.2%
------------ ---
TOTAL SOUTH AFRICA 522,783,359 8.2%
------------ ---
SOUTH KOREA -- (17.4%)
Amorepacific Corp. 30,623 9,963,548 0.2%
AMOREPACIFIC Group 42,761 5,698,227 0.1%
BGF Co., Ltd. 216,994 2,567,404 0.0%
BNK Financial Group, Inc. 377,365 3,672,403 0.1%
#* Celltrion Pharm, Inc. 7,682 617,420 0.0%
#* Celltrion, Inc. 86,084 21,595,636 0.3%
#* Chabiotech Co., Ltd. 9,715 193,081 0.0%
Cheil Worldwide, Inc. 57,841 1,029,771 0.0%
# CJ CGV Co., Ltd. 18,162 1,260,640 0.0%
# CJ CheilJedang Corp. 18,671 5,969,542 0.1%
CJ Corp. 44,364 6,720,874 0.1%
CJ E&M Corp. 29,913 2,523,791 0.0%
#* CJ Logistics Corp. 14,891 2,171,060 0.0%
CJ O Shopping Co., Ltd. 2,962 617,858 0.0%
Com2uSCorp 12,702 1,892,652 0.0%
Coway Co., Ltd. 80,403 6,570,555 0.1%
Cuckoo Holdings Co., Ltd. 1,093 121,416 0.0%
* Cuckoo Homesys Co., Ltd. 922 183,110 0.0%
Daelim Industrial Co., Ltd. 39,953 3,206,374 0.1%
* Daewoo Engineering & Construction Co., Ltd. 136,911 810,204 0.0%
#* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 16,540 367,175 0.0%
DB Insurance Co., Ltd. 149,451 8,772,778 0.1%
DGB Financial Group, Inc. 228,009 2,548,381 0.0%
# Dongsuh Cos., Inc. 15,171 390,170 0.0%
Dongwon Systems Corp. 417 17,518 0.0%
Doosan Corp. 21,369 2,409,877 0.0%
#* Doosan Heavy Industries & Construction Co., Ltd. 191,142 3,186,197 0.1%
#* Doosan Infracore Co., Ltd. 492,270 4,683,968 0.1%
Douzone Bizon Co., Ltd. 4,142 190,514 0.0%
E-MART, Inc. 19,767 4,976,037 0.1%
Grand Korea Leisure Co., Ltd. 38,572 980,688 0.0%
Green Cross Corp. 2,754 555,969 0.0%
# Green Cross Holdings Corp. 22,011 783,501 0.0%
# GS Engineering & Construction Corp. 78,919 2,995,710 0.1%
GS Holdings Corp. 180,713 10,344,237 0.2%
GS Home Shopping, Inc. 4,597 746,146 0.0%
# GS Retail Co., Ltd. 49,567 1,721,927 0.0%
Hana Financial Group, Inc. 480,370 21,344,370 0.3%
#* Hanall Biopharma Co., Ltd. 7,801 220,712 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
Hankook Tire Co., Ltd. 122,536 $ 5,659,140 0.1%
Hanmi Pharm Co., Ltd. 3,042 1,316,900 0.0%
Hanmi Science Co., Ltd. 5,273 381,612 0.0%
Hanon Systems 266,528 2,706,782 0.1%
# Hanssem Co., Ltd. 16,476 1,792,444 0.0%
#* Hanwha Aerospace Co., Ltd. 50,134 1,123,819 0.0%
Hanwha Chemical Corp. 222,590 5,983,752 0.1%
Hanwha Corp. 185,255 6,887,740 0.1%
Hanwha Life Insurance Co., Ltd. 845,510 4,913,263 0.1%
Hite Jinro Co., Ltd. 56,016 1,139,577 0.0%
#* HLB, Inc. 12,951 1,458,104 0.0%
Hotel Shilla Co., Ltd. 27,295 2,935,921 0.1%
* Hugel, Inc. 2,135 1,002,156 0.0%
Hyosung Corp. 62,471 7,642,725 0.1%
* Hyundai Construction Equipment Co., Ltd. 8,892 1,569,060 0.0%
Hyundai Department Store Co., Ltd. 29,795 2,872,920 0.1%
Hyundai Development Co-Engineering & Construction 110,630 4,806,172 0.1%
# Hyundai Engineering & Construction Co., Ltd. 188,181 11,144,688 0.2%
Hyundai Glovis Co., Ltd. 25,586 4,020,795 0.1%
Hyundai Greenfood Co., Ltd. 38,183 548,373 0.0%
* Hyundai Heavy Industries Co., Ltd. 52,698 5,833,795 0.1%
* Hyundai Heavy Industries Holdings Co., Ltd. 21,736 8,540,628 0.1%
Hyundai Home Shopping Network Corp. 5,020 508,301 0.0%
Hyundai Marine & Fire Insurance Co., Ltd. 191,326 6,835,521 0.1%
#* Hyundai Merchant Marine Co., Ltd. 124,410 701,390 0.0%
#* Hyundai Mipo Dockyard Co., Ltd. 16,531 1,372,832 0.0%
Hyundai Mobis Co., Ltd. 61,715 14,292,178 0.2%
# Hyundai Motor Co. 144,321 21,525,156 0.3%
#* Hyundai Rotem Co., Ltd. 32,868 819,735 0.0%
Hyundai Steel Co. 191,753 10,837,981 0.2%
# Hyundai Wia Corp. 25,756 1,289,903 0.0%
# Iljin Materials Co., Ltd. 17,651 547,074 0.0%
# Industrial Bank of Korea 364,871 5,721,841 0.1%
Innocean Worldwide, Inc. 3,114 193,061 0.0%
IS Dongseo Co., Ltd. 8,114 247,392 0.0%
Jeil Pharmaceutical Co., Ltd. 157 5,903 0.0%
Kakao Corp. 25,354 2,608,823 0.0%
# Kakao M Corp. 7,273 607,647 0.0%
# Kangwon Land, Inc. 104,801 2,827,159 0.1%
KB Financial Group, Inc. 319,263 18,138,931 0.3%
KB Financial Group, Inc. ADR 73,512 4,146,077 0.1%
KCC Corp. 8,160 2,978,568 0.1%
# KEPCO Plant Service & Engineering Co., Ltd. 17,268 816,404 0.0%
Kia Motors Corp. 384,791 11,880,302 0.2%
# KIWOOM Securities Co., Ltd. 19,696 2,161,930 0.0%
Kolon Industries, Inc. 33,244 2,118,057 0.0%
#* Komipharm International Co., Ltd. 20,283 737,250 0.0%
#* Korea Aerospace Industries, Ltd. 37,044 1,488,693 0.0%
Korea Electric Power Corp. 216,158 7,561,584 0.1%
Korea Electric Power Corp. Sponsored ADR 130,759 2,273,899 0.0%
* Korea Gas Corp. 48,786 2,493,620 0.0%
Korea Investment Holdings Co., Ltd. 75,306 6,361,198 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
# Korea Kolmar Co., Ltd. 20,573 $ 1,569,025 0.0%
Korea Petrochemical Ind Co., Ltd. 6,572 1,681,630 0.0%
Korea Zinc Co., Ltd. 12,459 5,042,501 0.1%
Korean Air Lines Co., Ltd. 153,221 4,869,473 0.1%
Korean Reinsurance Co. 69,779 768,796 0.0%
KT Corp. Sponsored ADR 82,100 1,102,603 0.0%
KT&G Corp. 103,456 9,460,254 0.2%
Kumho Petrochemical Co., Ltd. 31,285 3,128,743 0.1%
#* Kumho Tire Co., Inc. 104,196 600,463 0.0%
LG Chem, Ltd. 48,103 16,101,454 0.3%
LG Corp. 86,068 6,510,593 0.1%
LG Display Co., Ltd. 525,059 11,464,197 0.2%
# LG Display Co., Ltd. ADR 808,137 8,727,880 0.1%
LG Electronics, Inc. 187,705 17,797,961 0.3%
LG Household & Health Care, Ltd. 13,908 17,758,833 0.3%
# LG Innotek Co., Ltd. 31,119 3,355,395 0.1%
LG International Corp. 23,266 573,373 0.0%
LG Uplus Corp. 398,980 4,567,643 0.1%
LIG Nex1 Co., Ltd. 11,058 407,904 0.0%
# Lotte Chemical Corp. 42,164 16,236,378 0.3%
Lotte Chilsung Beverage Co., Ltd. 60 90,947 0.0%
Lotte Confectionery Co., Ltd. 237 41,995 0.0%
LOTTE Fine Chemical Co., Ltd. 24,070 1,532,610 0.0%
LOTTE Himart Co., Ltd. 12,164 845,223 0.0%
Lotte Shopping Co., Ltd. 19,612 4,675,644 0.1%
LS Corp. 33,839 2,453,648 0.0%
LS Industrial Systems Co., Ltd. 27,263 1,740,777 0.0%
# Macquarie Korea Infrastructure Fund 454,204 3,804,437 0.1%
# Mando Corp. 9,882 2,090,728 0.0%
Medy-Tox, Inc. 6,364 4,136,127 0.1%
Meritz Financial Group, Inc. 128,182 1,668,883 0.0%
Meritz Fire & Marine Insurance Co., Ltd. 148,940 2,911,135 0.1%
Meritz Securities Co., Ltd. 775,459 2,993,812 0.1%
Mirae Asset Daewoo Co., Ltd. 550,734 4,986,502 0.1%
* Naturecell Co., Ltd. 5,139 158,870 0.0%
NAVER Corp. 37,790 25,199,972 0.4%
NCSoft Corp. 16,404 5,498,177 0.1%
# Netmarble Corp. 23,056 3,158,611 0.1%
Nexen Tire Corp. 64,506 726,997 0.0%
NH Investment & Securities Co., Ltd. 236,346 3,410,565 0.1%
* NHN Entertainment Corp. 13,146 753,552 0.0%
NongShim Co., Ltd. 3,492 1,055,458 0.0%
OCI Co., Ltd. 19,850 2,877,465 0.1%
Orion Corp. 8,589 997,087 0.0%
# Orion Holdings Corp. 98,326 2,245,641 0.0%
Ottogi Corp. 1,053 780,865 0.0%
#* Pan Ocean Co., Ltd. 431,074 2,201,153 0.0%
# Paradise Co., Ltd. 42,701 926,694 0.0%
POSCO 70,065 24,141,643 0.4%
POSCO Sponsored ADR 104,186 8,840,182 0.1%
POSCO Chemtech Co., Ltd. 20,052 682,917 0.0%
Posco Daewoo Corp. 79,776 1,674,534 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
SOUTH KOREA -- (Continued)
S-1 Corp. 25,186 $ 2,309,584 0.0%
S-Oil Corp. 48,433 4,967,229 0.1%
#* Samsung Biologics Co., Ltd. 6,405 2,909,091 0.1%
Samsung C&T Corp. 51,407 6,705,171 0.1%
Samsung Card Co., Ltd. 43,084 1,502,423 0.0%
Samsung Electro-Mechanics Co., Ltd. 61,779 6,783,751 0.1%
Samsung Electronics Co., Ltd. 98,259 243,485,802 3.8%
Samsung Electronics Co., Ltd. GDR 52,509 64,281,135 1.0%
* Samsung Engineering Co., Ltd. 73,989 1,232,269 0.0%
Samsung Fire & Marine Insurance Co., Ltd. 48,894 12,208,333 0.2%
* Samsung Heavy Industries Co., Ltd. 584,479 3,995,337 0.1%
Samsung Life Insurance Co., Ltd. 57,757 6,305,156 0.1%
Samsung SDI Co., Ltd. 56,437 9,610,075 0.2%
Samsung SDS Co., Ltd. 30,938 7,027,198 0.1%
Samsung Securities Co., Ltd. 94,032 3,234,056 0.1%
Seoul Semiconductor Co., Ltd. 47,279 833,261 0.0%
SFA Engineering Corp. 28,906 873,796 0.0%
Shinhan Financial Group Co., Ltd. 355,520 15,830,119 0.3%
Shinhan Financial Group Co., Ltd. ADR 84,869 3,786,855 0.1%
Shinsegae, Inc. 16,151 6,268,738 0.1%
* SK Chemicals Co., Ltd. 15,687 1,481,043 0.0%
SK Discovery Co., Ltd. 14,610 580,706 0.0%
SK Holdings Co., Ltd. 52,616 14,402,569 0.2%
SK Hynix, Inc. 821,484 64,604,772 1.0%
SK Innovation Co., Ltd. 79,370 14,544,254 0.2%
# SK Materials Co., Ltd. 9,016 1,294,874 0.0%
# SK Networks Co., Ltd. 311,683 1,634,326 0.0%
SK Telecom Co., Ltd. 19,738 4,217,279 0.1%
SK Telecom Co., Ltd. ADR 24,883 590,971 0.0%
SKC Co., Ltd. 45,410 1,608,573 0.0%
Ssangyong Cement Industrial Co., Ltd. 49,362 1,376,876 0.0%
Taekwang Industrial Co., Ltd. 135 164,078 0.0%
Tongyang Life Insurance Co., Ltd. 60,459 465,065 0.0%
WONIK IPS Co., Ltd. 6,099 193,894 0.0%
Woori Bank 610,127 9,108,853 0.2%
Woori Bank Sponsored ADR 3,749 167,655 0.0%
Young Poong Corp. 438 345,449 0.0%
Youngone Corp. 39,869 1,112,611 0.0%
# Yuhan Corp. 8,837 1,887,629 0.0%
#* Yungjin Pharmaceutical Co., Ltd. 60,994 486,489 0.0%
-------------- ----
TOTAL SOUTH KOREA 1,138,445,512 17.8%
-------------- ----
TAIWAN -- (14.0%)
# Accton Technology Corp. 624,000 1,426,167 0.0%
Acer, Inc. 3,564,811 2,718,674 0.1%
# Advantech Co., Ltd. 471,663 3,237,965 0.1%
Airtac International Group 152,518 2,646,404 0.1%
ASE Industrial Holding Co., Ltd. ADR 133,966 732,795 0.0%
ASE Industrial Holdings Co., Ltd. 7,079,781 19,215,061 0.3%
Asia Cement Corp. 3,424,758 3,654,820 0.1%
* Asia Pacific Telecom Co., Ltd. 2,975,000 882,174 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
# Asustek Computer, Inc. 964,180 $ 9,010,865 0.2%
# AU Optronics Corp. 29,635,873 12,220,520 0.2%
AU Optronics Corp. Sponsored ADR 326,626 1,299,971 0.0%
# Casetek Holdings, Ltd. 371,709 909,388 0.0%
Catcher Technology Co., Ltd. 1,524,429 16,906,176 0.3%
Cathay Financial Holding Co., Ltd. 6,576,450 11,796,539 0.2%
Chailease Holding Co., Ltd. 2,403,840 8,770,947 0.1%
Chang Hwa Commercial Bank, Ltd. 8,867,283 5,104,342 0.1%
# Cheng Shin Rubber Industry Co., Ltd. 3,477,965 5,608,131 0.1%
Chicony Electronics Co., Ltd. 1,166,664 2,874,336 0.1%
* China Airlines, Ltd. 9,417,536 3,435,300 0.1%
China Development Financial Holding Corp. 20,614,121 7,794,157 0.1%
China Life Insurance Co., Ltd. 3,617,014 3,918,829 0.1%
China Motor Corp. 722,000 679,266 0.0%
* China Petrochemical Development Corp. 3,819,000 1,672,456 0.0%
China Steel Corp. 16,351,932 12,939,392 0.2%
Chipbond Technology Corp. 1,027,000 2,035,101 0.0%
Chroma ATE, Inc. 336,000 1,689,487 0.0%
# Chunghwa Precision Test Tech Co., Ltd. 16,000 407,399 0.0%
Chunghwa Telecom Co., Ltd. 1,693,000 6,441,979 0.1%
# Chunghwa Telecom Co., Ltd. ADR 266,427 10,121,562 0.2%
Compal Electronics, Inc. 6,898,541 4,493,382 0.1%
# Compeq Manufacturing Co., Ltd. 2,481,000 2,471,919 0.0%
CTBC Financial Holding Co., Ltd. 20,702,175 14,764,025 0.2%
CTCI Corp. 1,199,000 2,019,772 0.0%
# Delta Electronics, Inc. 1,950,486 7,071,506 0.1%
# E Ink Holdings, Inc. 612,000 677,175 0.0%
E.Sun Financial Holding Co., Ltd. 14,162,745 10,015,234 0.2%
# Eclat Textile Co., Ltd. 258,402 3,117,476 0.1%
# Elite Material Co., Ltd. 434,000 1,063,576 0.0%
# Ennoconn Corp. 41,000 663,455 0.0%
#* Epistar Corp. 1,411,000 1,920,342 0.0%
Eternal Materials Co., Ltd. 1,523,917 1,459,761 0.0%
Eva Airways Corp. 7,272,592 3,905,304 0.1%
* Evergreen Marine Corp. Taiwan, Ltd. 4,633,008 2,343,414 0.0%
Far Eastern New Century Corp. 7,623,085 7,275,786 0.1%
Far EasTone Telecommunications Co., Ltd. 2,601,000 6,881,533 0.1%
Farglory Land Development Co., Ltd. 136,393 149,458 0.0%
Feng TAY Enterprise Co., Ltd. 500,424 2,269,221 0.0%
First Financial Holding Co., Ltd. 14,963,226 10,287,331 0.2%
# FLEXium Interconnect, Inc. 458,000 1,196,832 0.0%
Formosa Chemicals & Fibre Corp. 2,448,518 8,996,223 0.1%
Formosa Petrochemical Corp. 1,719,000 7,014,113 0.1%
Formosa Plastics Corp. 3,419,153 11,998,623 0.2%
Formosa Taffeta Co., Ltd. 1,030,000 1,164,590 0.0%
Foxconn Technology Co., Ltd. 1,305,627 3,241,720 0.1%
Fubon Financial Holding Co., Ltd. 9,281,233 15,878,861 0.3%
# General Interface Solution Holding, Ltd. 368,000 2,202,868 0.0%
* Genius Electronic Optical Co., Ltd. 81,000 953,148 0.0%
Giant Manufacturing Co., Ltd. 489,506 2,486,070 0.0%
# Gigabyte Technology Co., Ltd. 516,000 1,128,282 0.0%
Globalwafers Co., Ltd. 209,000 3,371,701 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
Gourmet Master Co., Ltd. 101,305 $ 1,167,279 0.0%
HannStar Display Corp. 7,103,000 1,947,988 0.0%
# Highwealth Construction Corp. 1,084,190 1,669,201 0.0%
Hiwin Technologies Corp. 197,925 2,981,526 0.1%
Hon Hai Precision Industry Co., Ltd. 17,063,653 47,460,530 0.8%
# Hota Industrial Manufacturing Co., Ltd. 290,235 1,275,808 0.0%
Hotai Motor Co., Ltd. 366,000 3,587,475 0.1%
#* HTC Corp. 399,235 809,404 0.0%
Hua Nan Financial Holdings Co., Ltd. 11,793,307 7,131,801 0.1%
# Innolux Corp. 29,692,241 11,049,261 0.2%
# Inventec Corp. 5,034,551 3,814,389 0.1%
Kenda Rubber Industrial Co., Ltd. 820,377 947,789 0.0%
King Slide Works Co., Ltd. 57,000 805,495 0.0%
King Yuan Electronics Co., Ltd. 1,471,000 1,451,013 0.0%
King's Town Bank Co., Ltd. 1,560,000 1,868,579 0.0%
# Kinsus Interconnect Technology Corp. 365,000 599,596 0.0%
# Largan Precision Co., Ltd. 133,860 15,569,017 0.3%
LCY Chemical Corp. 817,123 1,210,962 0.0%
Lien Hwa Industrial Corp. 76,000 97,024 0.0%
Lite-On Technology Corp. 4,381,410 5,781,759 0.1%
# Long Chen Paper Co., Ltd. 1,312,509 1,531,446 0.0%
* Macronix International 2,561,000 4,068,394 0.1%
MediaTek, Inc. 1,241,995 14,125,959 0.2%
Mega Financial Holding Co., Ltd. 17,457,369 15,411,488 0.3%
Merida Industry Co., Ltd. 145,287 646,849 0.0%
Merry Electronics Co., Ltd. 223,000 1,026,907 0.0%
# Micro-Star International Co., Ltd. 1,080,000 3,373,008 0.1%
Nan Ya Plastics Corp. 3,935,599 10,779,544 0.2%
Nanya Technology Corp. 1,155,010 3,595,407 0.1%
Nien Made Enterprise Co., Ltd. 204,000 1,812,037 0.0%
# Novatek Microelectronics Corp. 883,000 3,706,416 0.1%
Parade Technologies, Ltd. 82,000 1,269,753 0.0%
Pegatron Corp. 4,155,345 9,688,077 0.2%
Phison Electronics Corp. 250,000 2,263,207 0.0%
Pou Chen Corp. 6,059,487 7,577,835 0.1%
Powertech Technology, Inc. 2,217,819 6,348,788 0.1%
Poya International Co., Ltd. 73,275 813,477 0.0%
President Chain Store Corp. 875,831 8,608,945 0.1%
# Qisda Corp. 3,366,000 2,307,077 0.0%
Quanta Computer, Inc. 4,491,000 8,165,183 0.1%
Realtek Semiconductor Corp. 728,950 2,756,671 0.1%
* Ruentex Development Co., Ltd. 1,260,050 1,508,818 0.0%
# Ruentex Industries, Ltd. 704,182 1,364,423 0.0%
# Shin Kong Financial Holding Co., Ltd. 12,037,656 4,892,366 0.1%
Silergy Corp. 55,000 1,150,162 0.0%
* Siliconware Precision Industries Co., Ltd. Sponsored ADR 21,813 189,529 0.0%
Simplo Technology Co., Ltd. 280,000 1,565,453 0.0%
# Sino-American Silicon Products, Inc. 1,338,000 5,742,586 0.1%
SinoPac Financial Holdings Co., Ltd. 15,332,101 5,517,495 0.1%
St Shine Optical Co., Ltd. 58,000 1,554,999 0.0%
Standard Foods Corp. 525,418 1,178,349 0.0%
Synnex Technology International Corp. 1,622,343 2,330,009 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
Taichung Commercial Bank Co., Ltd. 162,383 $ 56,138 0.0%
* TaiMed Biologics, Inc. 109,000 1,132,955 0.0%
Taishin Financial Holding Co., Ltd. 15,320,023 7,444,310 0.1%
# Taiwan Business Bank 5,539,684 1,702,385 0.0%
Taiwan Cement Corp. 5,017,720 6,895,474 0.1%
Taiwan Cooperative Financial Holding Co., Ltd. 13,054,278 7,585,345 0.1%
# Taiwan FamilyMart Co., Ltd. 85,000 508,026 0.0%
Taiwan Fertilizer Co., Ltd. 1,158,000 1,562,728 0.0%
* Taiwan Glass Industry Corp. 2,124,375 1,419,518 0.0%
Taiwan High Speed Rail Corp. 2,031,000 1,560,010 0.0%
Taiwan Mobile Co., Ltd. 2,215,300 8,180,889 0.1%
# Taiwan Paiho, Ltd. 168,000 449,531 0.0%
Taiwan Secom Co., Ltd. 420,670 1,264,344 0.0%
Taiwan Semiconductor Manufacturing Co., Ltd. 23,066,808 175,707,670 2.8%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR 1,815,491 69,805,629 1.1%
#* Tatung Co., Ltd. 3,317,000 2,466,754 0.0%
Teco Electric and Machinery Co., Ltd. 2,649,000 2,150,094 0.0%
Tong Yang Industry Co., Ltd. 693,000 1,248,059 0.0%
#* TPK Holding Co., Ltd. 805,000 1,755,787 0.0%
Transcend Information, Inc. 353,181 995,914 0.0%
Tripod Technology Corp. 821,870 2,486,071 0.0%
Uni-President Enterprises Corp. 6,976,033 16,788,968 0.3%
# United Microelectronics Corp. 31,756,000 17,125,118 0.3%
Vanguard International Semiconductor Corp. 1,270,000 2,574,305 0.0%
Voltronic Power Technology Corp. 64,350 1,145,178 0.0%
Walsin Lihwa Corp. 3,808,000 2,589,146 0.0%
# Walsin Technology Corp. 470,000 2,954,452 0.1%
Wan Hai Lines, Ltd. 1,467,800 846,522 0.0%
# Win Semiconductors Corp. 472,034 3,539,445 0.1%
# Winbond Electronics Corp. 6,587,407 4,031,822 0.1%
Wintek Corp. 604,760 7,013 0.0%
# Wistron Corp. 6,562,940 5,218,870 0.1%
WPG Holdings, Ltd. 2,259,869 3,040,967 0.1%
# Yageo Corp. 202,900 4,252,982 0.1%
Yuanta Financial Holding Co., Ltd. 15,304,806 7,304,253 0.1%
Yulon Motor Co., Ltd. 869,000 662,803 0.0%
Zhen Ding Technology Holding, Ltd. 1,183,700 2,575,692 0.0%
------------ ----
TOTAL TAIWAN 921,764,624 14.4%
------------ ----
THAILAND -- (3.0%)
Advanced Info Service PCL 1,483,600 9,777,845 0.2%
Airports of Thailand PCL 5,701,800 12,872,410 0.2%
Bangchak Corp. PCL 1,521,400 1,747,489 0.0%
Bangkok Bank PCL(6077019) 207,800 1,330,025 0.0%
Bangkok Bank PCL(6368360) 30,080 183,949 0.0%
Bangkok Dusit Medical Services PCL Class F 5,700,500 4,064,045 0.1%
Bangkok Expressway & Metro PCL 10,034,099 2,464,014 0.1%
Bangkok Life Assurance PCL 571,100 655,969 0.0%
Banpu PCL 4,609,350 2,833,377 0.1%
Banpu Power PCL 837,900 655,771 0.0%
Beauty Community PCL 1,589,900 1,173,785 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
THAILAND -- (Continued)
Berli Jucker PCL 1,309,800 $ 2,479,739 0.1%
BTS Group Holdings PCL 3,433,000 973,554 0.0%
Bumrungrad Hospital PCL 402,600 2,423,764 0.1%
Carabao Group PCL Class F 298,700 511,084 0.0%
Central Pattana PCL 1,851,100 4,736,259 0.1%
Central Plaza Hotel PCL 979,500 1,629,396 0.0%
CH Karnchang PCL 500,300 380,456 0.0%
Charoen Pokphand Foods PCL 7,457,800 5,789,483 0.1%
CP ALL PCL 5,252,500 14,479,325 0.2%
Delta Electronics Thailand PCL 673,200 1,434,496 0.0%
Electricity Generating PCL 194,500 1,374,319 0.0%
Energy Absolute PCL Class F 2,027,900 2,313,194 0.0%
* Esso Thailand PCL 2,616,000 1,483,726 0.0%
Global Power Synergy PCL Class F 530,900 1,270,055 0.0%
Glow Energy PCL 737,100 2,014,413 0.0%
Home Product Center PCL 8,486,513 4,033,514 0.1%
Indorama Ventures PCL 1,976,800 3,773,834 0.1%
Intouch Holdings PCL 571,300 1,040,867 0.0%
IRPC PCL 10,607,100 2,369,457 0.0%
Jasmine International PCL 5,215,000 966,659 0.0%
Kasikornbank PCL(6888794) 990,400 6,307,681 0.1%
Kasikornbank PCL(6364766) 75,400 467,069 0.0%
Kiatnakin Bank PCL 632,100 1,477,103 0.0%
Krung Thai Bank PCL 5,149,187 2,969,430 0.1%
Krungthai Card PCL 190,400 2,208,061 0.0%
Land & Houses PCL(6581941) 3,568,340 1,243,718 0.0%
Land & Houses PCL(6581930) 790,000 275,349 0.0%
Minor International PCL 1,994,970 2,544,282 0.1%
MK Restaurants Group PCL 508,200 1,292,239 0.0%
Muangthai Leasing PCL Class F 1,040,600 1,203,482 0.0%
Pruksa Holding PCL 1,867,300 1,319,417 0.0%
PTT Exploration & Production PCL 1,900,155 8,067,832 0.1%
PTT Global Chemical PCL 2,436,872 7,566,966 0.1%
PTT PCL 16,434,000 29,420,817 0.5%
Ratchaburi Electricity Generating Holding PCL 661,500 1,095,164 0.0%
Robinson PCL 352,800 735,000 0.0%
Siam Cement PCL (The)(6609906) 172,700 2,560,951 0.1%
Siam Cement PCL (The)(6609928) 230,100 3,412,129 0.1%
Siam City Cement PCL 119,867 934,324 0.0%
Siam Commercial Bank PCL (The) 1,116,866 4,635,914 0.1%
Siam Global House PCL 2,170,633 1,121,081 0.0%
Srisawad Corp. PCL 587,000 967,174 0.0%
Star Petroleum Refining PCL 4,020,900 2,000,258 0.0%
Thai Oil PCL 1,864,000 5,566,603 0.1%
Thai Union Group PCL Class F 2,117,640 1,207,779 0.0%
Thanachart Capital PCL 1,561,100 2,658,717 0.1%
Tisco Financial Group PCL 403,600 1,134,965 0.0%
TMB Bank PCL 18,593,800 1,390,411 0.0%
Total Access Communication PCL(B1YWK08) 1,459,300 2,358,184 0.0%
Total Access Communication PCL(B231MK7) 551,500 891,207 0.0%
TPI Polene PCL 2,289,800 137,127 0.0%
True Corp. PCL 20,435,331 4,921,056 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
THAILAND -- (Continued)
TTW PCL 581,700 $ 228,551 0.0%
WHA Corp. PCL 3,611,100 453,104 0.0%
-------------- ----
TOTAL THAILAND 198,009,418 3.1%
-------------- ----
TURKEY -- (1.1%)
Akbank Turk A.S. 2,070,078 4,307,156 0.1%
Anadolu Efes Biracilik Ve Malt Sanayii A.S. 248,847 1,633,115 0.0%
# Arcelik A.S. 311,045 1,386,910 0.0%
Aselsan Elektronik Sanayi Ve Ticaret A.S. 93,060 576,049 0.0%
BIM Birlesik Magazalar A.S. 342,629 5,821,488 0.1%
Coca-Cola Icecek A.S. 163,722 1,442,438 0.0%
# Enka Insaat ve Sanayi A.S. 589,794 709,688 0.0%
Eregli Demir ve Celik Fabrikalari TAS 2,461,933 6,145,568 0.1%
Ford Otomotiv Sanayi A.S. 126,138 1,736,500 0.0%
KOC Holding A.S. 1,011,450 3,417,049 0.1%
Petkim Petrokimya Holding A.S. 1,186,034 2,096,135 0.0%
TAV Havalimanlari Holding A.S. 393,004 2,115,375 0.1%
Tofas Turk Otomobil Fabrikasi A.S. 212,178 1,307,530 0.0%
Tupras Turkiye Petrol Rafinerileri A.S. 248,087 6,341,653 0.1%
* Turk Hava Yollari AO 1,457,515 6,020,494 0.1%
#* Turk Telekomunikasyon A.S. 802,767 1,243,933 0.0%
Turkcell Iletisim Hizmetleri A.S. 1,578,005 5,433,348 0.1%
# Turkcell Iletisim Hizmetleri A.S. ADR 73,838 638,699 0.0%
Turkiye Garanti Bankasi A.S. 2,586,760 5,857,536 0.1%
# Turkiye Halk Bankasi A.S. 819,488 1,676,665 0.0%
Turkiye Is Bankasi 3,915,782 5,933,453 0.1%
Turkiye Sise ve Cam Fabrikalari A.S. 1,476,715 1,640,988 0.0%
# Turkiye Vakiflar Bankasi TAO 1,893,088 2,785,470 0.1%
Ulker Biskuvi Sanayi A.S. 244,375 1,281,040 0.0%
#* Yapi ve Kredi Bankasi A.S. 1,248,055 1,222,286 0.0%
-------------- ----
TOTAL TURKEY 72,770,566 1.1%
-------------- ----
TOTAL COMMON STOCKS 6,130,038,172 96.0%
-------------- ----
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA 2,718,984 26,831,262 0.4%
Banco Bradesco SA ADR 1,056,734 10,355,993 0.2%
Centrais Eletricas Brasileiras SA Class B 162,432 1,057,162 0.0%
Cia Brasileira de Distribuicao 243,459 5,471,434 0.1%
Gerdau SA 924,321 4,393,111 0.1%
Itau Unibanco Holding SA 4,057,827 59,085,909 0.9%
Lojas Americanas SA 429,871 2,448,026 0.0%
* Petroleo Brasileiro SA 2,860,161 18,753,682 0.3%
#* Petroleo Brasileiro SA Sponsored ADR 1,299,604 17,089,793 0.3%
Telefonica Brasil SA 339,962 4,768,706 0.1%
Usinas Siderurgicas de Minas Gerais SA Class A 639,400 1,989,455 0.0%
-------------- ----
TOTAL BRAZIL 152,244,533 2.4%
-------------- ----
CHILE -- (0.0%)
Embotelladora Andina SA Class B 175,781 874,139 0.0%
-------------- ----
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
COLOMBIA -- (0.1%)
Banco Davivienda SA 178,070 $ 2,140,171 0.1%
Bancolombia SA 30,330 359,560 0.0%
Grupo Argos SA 55,405 327,425 0.0%
Grupo Aval Acciones y Valores SA 3,848,843 1,692,203 0.0%
Grupo de Inversiones Suramericana SA 111,644 1,450,720 0.0%
-------------- -----
TOTAL COLOMBIA 5,970,079 0.1%
-------------- -----
MALAYSIA -- (0.0%)
SP Setia Bhd Group, 5.930% 407,394 90,595 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
* Mirae Asset Daewoo Co., Ltd. 64,828 280,119 0.0%
-------------- -----
TOTAL PREFERRED STOCKS 159,459,465 2.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
MALAYSIA -- (0.0%)
* Sunway Bhd Warrants 10/03/24 346,323 34,866 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 6,289,532,503
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (4.2%)
(S)@ DFA Short Term Investment Fund 23,593,302 272,974,500 4.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $4,166,657,005) $6,562,507,003 102.8%
============== =====
At April 30, 2018, 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 06/15/18 $39,273,725 $37,446,500 $(1,827,225)
S&P 500(R) Emini Index 54 06/15/18 6,989,630 7,146,900 157,270
----------- ----------- -----------
TOTAL FUTURES CONTRACTS $46,263,355 $44,593,400 $(1,669,955)
=========== =========== ===========
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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 $ 335,228,668 -- -- $ 335,228,668
Chile 45,788,299 $ 46,195,259 -- 91,983,558
China 270,654,834 812,719,511 -- 1,083,374,345
Colombia 29,163,315 -- -- 29,163,315
Czech Republic -- 11,320,543 -- 11,320,543
Egypt 660,723 7,206,755 -- 7,867,478
Greece -- 16,993,952 -- 16,993,952
Hungary -- 29,526,615 -- 29,526,615
India 30,293,727 739,949,886 -- 770,243,613
Indonesia 5,361,928 149,784,876 -- 155,146,804
Malaysia -- 195,570,071 -- 195,570,071
Mexico 245,635,274 -- -- 245,635,274
Peru 21,124,730 -- -- 21,124,730
Philippines 1,771,538 79,591,778 -- 81,363,316
Poland -- 103,007,068 -- 103,007,068
Russia 7,053,643 91,661,700 -- 98,715,343
South Africa 55,434,585 467,348,774 -- 522,783,359
South Korea 29,636,122 1,108,809,390 -- 1,138,445,512
Taiwan 101,175,018 820,589,606 -- 921,764,624
Thailand 198,009,418 -- -- 198,009,418
Turkey 638,699 72,131,867 -- 72,770,566
Preferred Stocks
Brazil 152,244,533 -- -- 152,244,533
Chile -- 874,139 -- 874,139
Colombia 5,970,079 -- -- 5,970,079
Malaysia 90,595 -- -- 90,595
South Korea 280,119 -- -- 280,119
Rights/Warrants
Malaysia -- 34,866 -- 34,866
Securities Lending Collateral -- 272,974,500 -- 272,974,500
Futures Contracts** (1,669,955) -- -- (1,669,955)
-------------- -------------- -- --------------
TOTAL $1,534,545,892 $5,026,291,156 -- $6,560,837,048
============== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (97.7%)
Consumer Discretionary -- (13.4%)
* 1-800-Flowers.com, Inc. Class A 44,330 $ 562,991 0.0%
Aaron's, Inc. 59,930 2,503,276 0.1%
# Adient P.L.C. 22,979 1,408,383 0.0%
* Adtalem Global Education, Inc. 35,557 1,692,513 0.0%
#* American Axle & Manufacturing Holdings, Inc. 59,171 907,683 0.0%
#* Ascena Retail Group, Inc. 6,576 14,599 0.0%
#* Ascent Capital Group, Inc. Class A 8,450 29,237 0.0%
# Autoliv, Inc. 9,404 1,260,606 0.0%
#* AV Homes, Inc. 3,852 64,136 0.0%
* Ballantyne Strong, Inc. 9,030 42,893 0.0%
* Barnes & Noble Education, Inc. 7,710 55,435 0.0%
# Barnes & Noble, Inc. 55,600 308,580 0.0%
Bassett Furniture Industries, Inc. 2,900 84,245 0.0%
Beasley Broadcast Group, Inc. Class A 9,471 107,496 0.0%
* Beazer Homes USA, Inc. 4,326 63,506 0.0%
#* Belmond, Ltd. Class A 78,498 839,929 0.0%
Best Buy Co., Inc. 197,800 15,137,634 0.2%
# Big 5 Sporting Goods Corp. 16,901 141,968 0.0%
* Biglari Holdings, Inc. 8 2,738 0.0%
# BJ's Restaurants, Inc. 16,658 930,349 0.0%
* Bridgepoint Education, Inc. 1,999 11,674 0.0%
#* Build-A-Bear Workshop, Inc. 25,874 235,453 0.0%
Caleres, Inc. 74,697 2,444,833 0.1%
Callaway Golf Co. 67,043 1,157,162 0.0%
* Cambium Learning Group, Inc. 37,733 382,613 0.0%
Canterbury Park Holding Corp. 2,755 41,049 0.0%
Carnival Corp. 489,649 30,877,266 0.5%
# Carriage Services, Inc. 20,916 544,443 0.0%
* Cavco Industries, Inc. 7,600 1,294,660 0.0%
# CBS Corp. Class A 14,832 734,036 0.0%
* Century Communities, Inc. 1,809 55,627 0.0%
* Charter Communications, Inc. Class A 339,394 92,074,198 1.4%
Churchill Downs, Inc. 7,682 2,109,477 0.1%
Citi Trends, Inc. 3,415 104,601 0.0%
Columbia Sportswear Co. 8,634 716,708 0.0%
Comcast Corp. Class A 7,135,970 223,998,098 3.3%
#* Conn's, Inc. 25,450 648,975 0.0%
# Cooper Tire & Rubber Co. 12,345 301,835 0.0%
* Cooper-Standard Holdings, Inc. 5,802 718,288 0.0%
# Core-Mark Holding Co., Inc. 96,236 1,983,424 0.1%
CSS Industries, Inc. 10,465 178,533 0.0%
Culp, Inc. 10,036 296,564 0.0%
* Deckers Outdoor Corp. 18,126 1,690,431 0.0%
#* Delta Apparel, Inc. 7,532 136,254 0.0%
# Dillard's, Inc. Class A 120,300 8,968,365 0.2%
#* Discovery, Inc. Class B 3,762 132,799 0.0%
* Discovery, Inc. Class C 3,762 83,592 0.0%
#* Dixie Group, Inc. (The) 11,800 35,400 0.0%
#* Dorman Products, Inc. 9,311 598,325 0.0%
DR Horton, Inc. 208,125 9,186,637 0.2%
#* Educational Development Corp. 1,679 40,800 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Consumer Discretionary -- (Continued)
#* Eldorado Resorts, Inc. 18,512 $ 749,736 0.0%
Escalade, Inc. 277 3,670 0.0%
# EW Scripps Co. (The) Class A 81,265 904,479 0.0%
# Finish Line, Inc. (The) Class A 38,600 523,802 0.0%
Flanigan's Enterprises, Inc. 865 21,582 0.0%
Flexsteel Industries, Inc. 2,068 75,813 0.0%
Ford Motor Co. 2,868,969 32,247,212 0.5%
# Fred's, Inc. Class A 32,745 78,424 0.0%
* G-III Apparel Group, Ltd. 31,225 1,139,400 0.0%
# GameStop Corp. Class A 104,752 1,429,865 0.0%
Gaming Partners International Corp. 500 4,450 0.0%
# Gannett Co., Inc. 59,819 578,450 0.0%
#* GCI Liberty, Inc. Class A 123,145 5,492,267 0.1%
General Motors Co. 1,095,598 40,252,270 0.6%
#* Genesco, Inc. 6,456 275,994 0.0%
Gentex Corp. 35,743 812,796 0.0%
* Gentherm, Inc. 1,581 53,438 0.0%
Goodyear Tire & Rubber Co. (The) 21,510 540,116 0.0%
Graham Holdings Co. Class B 5,780 3,485,629 0.1%
#* Gray Television, Inc. 46,874 529,676 0.0%
# Group 1 Automotive, Inc. 57,936 3,786,118 0.1%
# Guess?, Inc. 59,800 1,392,742 0.0%
# Hamilton Beach Brands Holding Co. Class A 11,699 260,303 0.0%
# Haverty Furniture Cos., Inc. 33,479 607,644 0.0%
* Helen of Troy, Ltd. 61,653 5,496,365 0.1%
Hooker Furniture Corp. 14,814 559,228 0.0%
Hyatt Hotels Corp. Class A 14,601 1,122,379 0.0%
ILG, Inc. 900 30,717 0.0%
International Speedway Corp. Class A 24,844 1,021,088 0.0%
* J Alexander's Holdings, Inc. 2,666 31,859 0.0%
#* JAKKS Pacific, Inc. 6,201 14,572 0.0%
#* JC Penney Co., Inc. 85,215 247,976 0.0%
John Wiley & Sons, Inc. Class A 1,300 85,735 0.0%
Johnson Outdoors, Inc. Class A 15,588 1,009,479 0.0%
KB Home 30,800 817,740 0.0%
# Kohl's Corp. 14,353 891,608 0.0%
# La-Z-Boy, Inc. 56,332 1,622,362 0.0%
* Lakeland Industries, Inc. 9,887 128,037 0.0%
#* Lands' End, Inc. 16,864 326,318 0.0%
Lennar Corp. Class A 224,100 11,852,649 0.2%
Lennar Corp. Class B 12,506 533,881 0.0%
#* Liberty Broadband Corp. Class A 24,095 1,698,216 0.0%
* Liberty Broadband Corp. Class B 1,905 135,684 0.0%
#* Liberty Broadband Corp. Class C 67,601 4,792,235 0.1%
* Liberty Expedia Holdings, Inc. Class A 80,904 3,300,883 0.1%
* Liberty Expedia Holdings, Inc. Class B 3,457 144,122 0.0%
#* Liberty Media Corp.-Liberty Braves Class A 7,613 167,258 0.0%
* Liberty Media Corp.-Liberty Braves Class B 762 17,945 0.0%
#* Liberty Media Corp.-Liberty Braves Class C 16,901 372,498 0.0%
#* Liberty Media Corp.-Liberty Formula One Class A 17,043 479,079 0.0%
#* Liberty Media Corp.-Liberty Formula One Class C 44,409 1,310,954 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 96,383 4,025,918 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Consumer Discretionary -- (Continued)
* Liberty Media Corp.-Liberty SiriusXM Class B 7,622 $ 329,385 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class C 208,010 8,665,697 0.1%
* Liberty TripAdvisor Holdings, Inc. Class A 76,802 706,578 0.0%
* Liberty TripAdvisor Holdings, Inc. Class B 3,570 35,878 0.0%
(degrees)* Liberty Ventures Series B 5,186 282,430 0.0%
Lifetime Brands, Inc. 16,431 195,529 0.0%
# Lions Gate Entertainment Corp. Class A 4,691 116,759 0.0%
Lions Gate Entertainment Corp. Class B 1 23 0.0%
# Lithia Motors, Inc. Class A 34,933 3,348,677 0.1%
* Luby's, Inc. 1,284 3,313 0.0%
* M/I Homes, Inc. 37,930 1,156,106 0.0%
* Madison Square Garden Co. (The) Class A 11,952 2,904,575 0.1%
Marcus Corp. (The) 18,899 563,190 0.0%
#* MarineMax, Inc. 29,164 629,942 0.0%
# Marriott Vacations Worldwide Corp. 2,531 310,326 0.0%
# Meredith Corp. 32,676 1,692,617 0.0%
* Meritage Homes Corp. 28,156 1,252,942 0.0%
MGM Resorts International 227,871 7,159,707 0.1%
* Modine Manufacturing Co. 14,650 251,980 0.0%
* Mohawk Industries, Inc. 98,740 20,723,551 0.3%
* Monarch Casino & Resort, Inc. 1,103 47,054 0.0%
#* Motorcar Parts of America, Inc. 14,638 278,707 0.0%
# Movado Group, Inc. 21,998 867,821 0.0%
#* MSG Networks, Inc. Class A 29,558 605,939 0.0%
#* Murphy USA, Inc. 30,778 1,925,779 0.0%
# Newell Brands, Inc. 209,562 5,790,198 0.1%
News Corp. Class A 402,247 6,427,907 0.1%
News Corp. Class B 99,903 1,623,424 0.0%
# Nexstar Media Group, Inc. Class A 5,246 326,563 0.0%
# Office Depot, Inc. 181,609 415,885 0.0%
* Overstock.com, Inc. 20,830 793,623 0.0%
# Penske Automotive Group, Inc. 43,845 1,977,409 0.0%
* Perry Ellis International, Inc. 15,092 391,637 0.0%
PulteGroup, Inc. 143,221 4,348,190 0.1%
PVH Corp. 31,964 5,103,692 0.1%
* Qurate Retail Group, Inc. QVC Group Class A 815,470 19,090,153 0.3%
#* Qurate Retail Group, Inc. QVC Group Class B 35,706 851,945 0.0%
RCI Hospitality Holdings, Inc. 12,026 326,987 0.0%
#* Red Robin Gourmet Burgers, Inc. 31,175 1,943,761 0.0%
#* Regis Corp. 44,912 701,525 0.0%
Rocky Brands, Inc. 8,729 208,187 0.0%
Royal Caribbean Cruises, Ltd. 322,500 34,891,275 0.5%
Saga Communications, Inc. Class A 8,693 322,510 0.0%
Salem Media Group, Inc. 10,922 34,404 0.0%
Scholastic Corp. 31,200 1,291,680 0.0%
#* Shiloh Industries, Inc. 15,461 128,481 0.0%
# Shoe Carnival, Inc. 32,650 795,680 0.0%
# Sinclair Broadcast Group, Inc. Class A 3,500 99,225 0.0%
# Sonic Automotive, Inc. Class A 17,000 336,600 0.0%
Speedway Motorsports, Inc. 14,935 263,603 0.0%
Standard Motor Products, Inc. 37,342 1,693,460 0.0%
* Stoneridge, Inc. 19,361 509,775 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
# Strattec Security Corp. 5,224 $ 170,825 0.0%
# Superior Industries International, Inc. 23,275 306,066 0.0%
Superior Uniform Group, Inc. 17,956 481,580 0.0%
* Tandy Leather Factory, Inc. 9,974 73,808 0.0%
Target Corp. 277,933 20,177,936 0.3%
* Taylor Morrison Home Corp. Class A 24,886 591,291 0.0%
TEGNA, Inc. 155,539 1,644,047 0.0%
Thor Industries, Inc. 961 102,001 0.0%
Time Warner, Inc. 1,534,860 145,504,728 2.2%
Toll Brothers, Inc. 179,799 7,580,326 0.1%
* TopBuild Corp. 300 23,910 0.0%
#* Tuesday Morning Corp. 60,500 214,775 0.0%
Twenty-First Century Fox, Inc. Class A 987,646 36,108,338 0.6%
Twenty-First Century Fox, Inc. Class B 429,924 15,507,359 0.2%
#* Unifi, Inc. 41,401 1,225,884 0.0%
#* Universal Electronics, Inc. 3,206 148,438 0.0%
#* Urban Outfitters, Inc. 18,300 736,941 0.0%
#* Vista Outdoor, Inc. 59,750 1,000,812 0.0%
Walt Disney Co. (The) 26,220 2,630,653 0.1%
Whirlpool Corp. 30,049 4,656,093 0.1%
* William Lyon Homes Class A 23,600 633,896 0.0%
------------ ----
Total Consumer Discretionary 929,684,969 13.7%
------------ ----
Consumer Staples -- (5.6%)
Alico, Inc. 960 31,008 0.0%
* Alliance One International, Inc. 3,508 73,317 0.0%
Andersons, Inc. (The) 23,660 772,499 0.0%
Archer-Daniels-Midland Co. 813,476 36,915,541 0.6%
Bunge, Ltd. 118,184 8,536,430 0.1%
* CCA Industries, Inc. 8,323 24,968 0.0%
#* Central Garden & Pet Co. 25,184 944,148 0.0%
* Central Garden & Pet Co. Class A 48,121 1,708,295 0.0%
Constellation Brands, Inc. Class B 12,615 2,932,987 0.1%
* Craft Brew Alliance, Inc. 9,754 188,252 0.0%
* Darling Ingredients, Inc. 43,600 747,304 0.0%
Fresh Del Monte Produce, Inc. 39,437 1,938,329 0.0%
#* Hain Celestial Group, Inc. (The) 87,292 2,542,816 0.0%
# Ingles Markets, Inc. Class A 11,437 391,717 0.0%
Ingredion, Inc. 62,117 7,521,748 0.1%
# JM Smucker Co. (The) 108,204 12,343,912 0.2%
John B. Sanfilippo & Son, Inc. 10,428 593,249 0.0%
Kraft Heinz Co. (The) 180,916 10,200,044 0.2%
* Landec Corp. 37,056 492,845 0.0%
# Molson Coors Brewing Co. Class A 1,908 129,820 0.0%
Molson Coors Brewing Co. Class B 186,550 13,289,822 0.2%
Mondelez International, Inc. Class A 2,081,099 82,203,410 1.2%
Nature's Sunshine Products, Inc. 1,029 9,518 0.0%
Oil-Dri Corp. of America 5,047 195,622 0.0%
#* Pilgrim's Pride Corp. 7,300 157,680 0.0%
#* Post Holdings, Inc. 50,201 3,994,494 0.1%
# Sanderson Farms, Inc. 17,700 1,967,532 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
Seaboard Corp. 1,812 $ 7,260,775 0.1%
* Seneca Foods Corp. Class A 6,301 173,593 0.0%
* Seneca Foods Corp. Class B 300 8,880 0.0%
SpartanNash Co. 32,983 599,631 0.0%
Tyson Foods, Inc. Class A 405,030 28,392,603 0.4%
Universal Corp. 22,290 1,048,745 0.0%
Walgreens Boots Alliance, Inc. 702,679 46,693,020 0.7%
Walmart, Inc. 1,266,497 112,034,325 1.7%
# Weis Markets, Inc. 11,602 533,924 0.0%
------------ ---
Total Consumer Staples 387,592,803 5.7%
------------ ---
Energy -- (13.4%)
Adams Resources & Energy, Inc. 6,004 274,983 0.0%
Anadarko Petroleum Corp. 258,932 17,431,302 0.3%
Andeavor 185,538 25,663,616 0.4%
# Apache Corp. 15,708 643,243 0.0%
Arch Coal, Inc. Class A 3,347 270,538 0.0%
# Archrock, Inc. 69,200 747,360 0.0%
# Baker Hughes a GE Co. 4,305 155,454 0.0%
# Bristow Group, Inc. 32,315 518,656 0.0%
#* Callon Petroleum Co. 87,316 1,214,566 0.0%
Chevron Corp. 1,121,044 140,253,815 2.1%
* Cloud Peak Energy, Inc. 33,115 105,637 0.0%
#* Concho Resources, Inc. 40,987 6,443,566 0.1%
ConocoPhillips 1,489,306 97,549,543 1.4%
* Dawson Geophysical Co. 11 79 0.0%
Delek US Holdings, Inc. 69,731 3,303,157 0.1%
Devon Energy Corp. 60,406 2,194,550 0.0%
* Dorian LPG, Ltd. 3,567 25,647 0.0%
# Ensco P.L.C. Class A 186,369 1,052,985 0.0%
EOG Resources, Inc. 8,874 1,048,641 0.0%
* Era Group, Inc. 24,458 258,032 0.0%
* Exterran Corp. 34,600 1,013,434 0.0%
Exxon Mobil Corp. 2,900,873 225,542,876 3.3%
# Green Plains, Inc. 26,534 493,532 0.0%
# Gulf Island Fabrication, Inc. 13,009 130,090 0.0%
#* Gulfport Energy Corp. 17,252 160,444 0.0%
#* Helix Energy Solutions Group, Inc. 103,010 795,237 0.0%
# Helmerich & Payne, Inc. 95,808 6,663,446 0.1%
# Hess Corp. 165,152 9,412,012 0.2%
HollyFrontier Corp. 32,210 1,954,825 0.0%
#* Hornbeck Offshore Services, Inc. 6,900 24,840 0.0%
#* International Seaways, Inc. 12 242 0.0%
Kinder Morgan, Inc. 1,124,143 17,783,942 0.3%
#* Kosmos Energy, Ltd. 26,900 189,376 0.0%
Marathon Oil Corp. 467,019 8,523,097 0.1%
Marathon Petroleum Corp. 903,936 67,713,846 1.0%
* Matrix Service Co. 15,423 237,514 0.0%
# Murphy Oil Corp. 117,193 3,528,681 0.1%
# Nabors Industries, Ltd. 344,211 2,619,446 0.0%
NACCO Industries, Inc. Class A 6,832 251,759 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Energy -- (Continued)
# National Oilwell Varco, Inc. 213,118 $ 8,241,273 0.1%
* Natural Gas Services Group, Inc. 15,026 362,127 0.0%
#* Newfield Exploration Co. 5,300 157,940 0.0%
#* Newpark Resources, Inc. 85,815 901,057 0.0%
# Noble Energy, Inc. 133,794 4,526,251 0.1%
* Oasis Petroleum, Inc. 119,212 1,314,908 0.0%
Occidental Petroleum Corp. 484,588 37,439,269 0.6%
# Oceaneering International, Inc. 16,983 360,719 0.0%
#* Parker Drilling Co. 83,844 52,855 0.0%
Patterson-UTI Energy, Inc. 155,425 3,329,203 0.1%
PBF Energy, Inc. Class A 28,700 1,100,071 0.0%
* PDC Energy, Inc. 26,003 1,392,201 0.0%
Peabody Energy Corp. 41,000 1,510,850 0.0%
* PHI, Inc. Non-Voting 13,870 173,791 0.0%
Phillips 66 775,455 86,315,896 1.3%
* Pioneer Energy Services Corp. 74,262 256,204 0.0%
Pioneer Natural Resources Co. 88,400 17,817,020 0.3%
* QEP Resources, Inc. 71,156 866,680 0.0%
#* REX American Resources Corp. 4,050 302,859 0.0%
#* Rowan Cos. P.L.C. Class A 118,378 1,709,378 0.0%
Schlumberger, Ltd. 577,687 39,606,221 0.6%
#* SEACOR Holdings, Inc. 16,104 883,143 0.0%
#* SEACOR Marine Holdings, Inc. 12,678 300,342 0.0%
# SemGroup Corp. Class A 18,242 458,786 0.0%
# Ship Finance International, Ltd. 12,481 177,854 0.0%
# SM Energy Co. 17,976 430,525 0.0%
#* SRC Energy, Inc. 108,967 1,202,996 0.0%
#* Transocean, Ltd. 9,000 111,330 0.0%
#* Unit Corp. 52,140 1,182,535 0.0%
# US Silica Holdings, Inc. 40,824 1,229,211 0.0%
Valero Energy Corp. 605,899 67,212,376 1.0%
#* Whiting Petroleum Corp. 4,001 163,321 0.0%
Williams Cos., Inc. (The) 216,857 5,579,731 0.1%
World Fuel Services Corp. 2,018 43,326 0.0%
------------ ----
Total Energy 932,906,258 13.7%
------------ ----
Financials -- (23.4%)
1st Constitution Bancorp 995 21,492 0.0%
# 1st Source Corp. 45,305 2,355,860 0.0%
Aflac, Inc. 428,750 19,538,137 0.3%
Alleghany Corp. 3,115 1,790,097 0.0%
Allstate Corp. (The) 169,260 16,557,013 0.3%
American Equity Investment Life Holding Co. 88,700 2,678,740 0.0%
American Financial Group, Inc. 168,865 19,118,895 0.3%
American International Group, Inc. 665,461 37,265,816 0.6%
American National Insurance Co. 23,302 2,811,852 0.1%
AmeriServ Financial, Inc. 30,968 126,969 0.0%
* Arch Capital Group, Ltd. 3,094 247,922 0.0%
Argo Group International Holdings, Ltd. 59,381 3,470,819 0.1%
Aspen Insurance Holdings, Ltd. 102,623 4,356,346 0.1%
Associated Banc-Corp 74,242 1,963,701 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Assurant, Inc. 65,820 $ 6,109,412 0.1%
Assured Guaranty, Ltd. 122,989 4,463,271 0.1%
Asta Funding, Inc. 885 3,098 0.0%
* Atlanticus Holdings Corp. 12,567 27,522 0.0%
Axis Capital Holdings, Ltd. 17,810 1,045,447 0.0%
Baldwin & Lyons, Inc. Class A 300 7,170 0.0%
Baldwin & Lyons, Inc. Class B 5,929 138,146 0.0%
* Bancorp, Inc. (The) 459 4,751 0.0%
Bank of America Corp. 5,929,137 177,399,779 2.6%
Bank of New York Mellon Corp. (The) 750,997 40,936,846 0.6%
BankFinancial Corp. 18,849 319,114 0.0%
Banner Corp. 1,628 93,447 0.0%
# Bar Harbor Bankshares 2,733 79,858 0.0%
BB&T Corp. 249,646 13,181,309 0.2%
BCB Bancorp, Inc. 1,059 16,415 0.0%
Berkshire Hills Bancorp, Inc. 30,747 1,166,849 0.0%
#* Brighthouse Financial, Inc. 86,355 4,385,107 0.1%
#* Cannae Holdings, Inc. 15,438 318,949 0.0%
Capital City Bank Group, Inc. 14,283 319,654 0.0%
Capital One Financial Corp. 372,872 33,789,661 0.5%
Capitol Federal Financial, Inc. 9,250 115,348 0.0%
Carolina Financial Corp. 1,153 45,209 0.0%
Cathay General Bancorp 17,730 709,377 0.0%
Century Bancorp, Inc. Class A 495 39,600 0.0%
Chubb, Ltd. 159,855 21,687,528 0.3%
Cincinnati Financial Corp. 12,284 864,057 0.0%
CIT Group, Inc. 45,907 2,430,776 0.0%
Citigroup, Inc. 1,870,326 127,687,156 1.9%
Citizens Community Bancorp, Inc. 10,355 144,659 0.0%
CME Group, Inc. 77,028 12,145,775 0.2%
CNA Financial Corp. 199,398 10,061,623 0.2%
CNO Financial Group, Inc. 301,264 6,459,100 0.1%
Codorus Valley Bancorp, Inc. 151 4,411 0.0%
# Community West Bancshares 400 4,580 0.0%
#* Consumer Portfolio Services, Inc. 26,500 90,630 0.0%
#* Cowen, Inc. 3,989 61,830 0.0%
#* Customers Bancorp, Inc. 1,100 31,702 0.0%
Donegal Group, Inc. Class A 12,386 172,413 0.0%
* E*TRADE Financial Corp. 89,699 5,442,935 0.1%
EMC Insurance Group, Inc. 23,450 609,231 0.0%
Enterprise Financial Services Corp. 436 22,171 0.0%
ESSA Bancorp, Inc. 8,217 120,133 0.0%
Evans Bancorp, Inc. 1,681 76,149 0.0%
Everest Re Group, Ltd. 34,913 8,123,208 0.1%
Farmers Capital Bank Corp. 302 15,145 0.0%
# FBL Financial Group, Inc. Class A 24,660 1,917,315 0.0%
Federal Agricultural Mortgage Corp. Class A 177 14,270 0.0%
# Federal Agricultural Mortgage Corp. Class C 9,200 786,692 0.0%
Federated National Holding Co. 13,665 230,939 0.0%
Fidelity Southern Corp. 7,213 163,951 0.0%
Fifth Third Bancorp 173,516 5,755,526 0.1%
* First Acceptance Corp. 27,347 22,971 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
First American Financial Corp. 61,982 $ 3,167,900 0.1%
First Bancorp 16,138 615,665 0.0%
First Business Financial Services, Inc. 964 25,054 0.0%
First Citizens BancShares, Inc. Class A 8,627 3,729,366 0.1%
First Commonwealth Financial Corp. 30,547 462,482 0.0%
First Community Bancshares, Inc. 183 5,678 0.0%
First Defiance Financial Corp. 10,880 649,101 0.0%
# First Financial Bancorp 62,437 1,932,425 0.0%
First Financial Northwest, Inc. 25,371 428,770 0.0%
First Interstate Bancsystem, Inc. Class A 2,348 95,094 0.0%
First Merchants Corp. 36,312 1,564,321 0.0%
# First Midwest Bancorp, Inc. 57,537 1,398,724 0.0%
# FNB Corp. 103,317 1,343,121 0.0%
* Genworth Financial, Inc. Class A 34,964 96,501 0.0%
# Global Indemnity, Ltd. 8,282 338,651 0.0%
Goldman Sachs Group, Inc. (The) 209,155 49,847,911 0.7%
Great Southern Bancorp, Inc. 1,616 85,406 0.0%
Great Western Bancorp, Inc. 8,161 335,744 0.0%
Guaranty Federal Bancshares, Inc. 1,684 39,557 0.0%
* Hallmark Financial Services, Inc. 16,734 171,858 0.0%
Hancock Holding Co. 37,600 1,836,760 0.0%
Hanover Insurance Group, Inc. (The) 88,829 10,202,011 0.2%
Hartford Financial Services Group, Inc. (The) 245,844 13,236,241 0.2%
# Heartland Financial USA, Inc. 465 24,947 0.0%
Hilltop Holdings, Inc. 26,171 586,754 0.0%
* HMN Financial, Inc. 3,456 66,355 0.0%
Home Bancorp, Inc. 719 31,169 0.0%
Hope Bancorp, Inc. 16,628 287,498 0.0%
HopFed Bancorp, Inc. 6,781 101,647 0.0%
Horace Mann Educators Corp. 58,206 2,601,808 0.0%
Huntington Bancshares, Inc. 70,847 1,056,329 0.0%
Iberiabank Corp. 13,797 1,034,085 0.0%
Infinity Property & Casualty Corp. 15,800 2,085,600 0.0%
International Bancshares Corp. 5,000 199,000 0.0%
# Investment Technology Group, Inc. 23,677 478,749 0.0%
Investors Title Co. 1,069 208,134 0.0%
Janus Henderson Group P.L.C. 62,621 1,978,197 0.0%
JPMorgan Chase & Co. 2,748,095 298,937,774 4.4%
# Kemper Corp. 39,635 2,675,363 0.0%
Kentucky First Federal Bancorp 2,300 20,240 0.0%
KeyCorp 526,210 10,482,103 0.2%
Lakeland Bancorp, Inc. 8,740 170,430 0.0%
Landmark Bancorp, Inc. 2,390 68,832 0.0%
# Legg Mason, Inc. 43,400 1,722,980 0.0%
Lincoln National Corp. 134,595 9,507,791 0.2%
Loews Corp. 243,798 12,789,643 0.2%
M&T Bank Corp. 4,341 791,234 0.0%
Macatawa Bank Corp. 291 3,108 0.0%
# Mackinac Financial Corp. 6,893 108,703 0.0%
* Malvern Bancorp, Inc. 867 22,065 0.0%
Marlin Business Services Corp. 14,241 390,203 0.0%
MB Financial, Inc. 19,678 838,676 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
* MBIA, Inc. 82,267 $ 700,915 0.0%
MBT Financial Corp. 9,396 95,604 0.0%
Mercantile Bank Corp. 4,422 156,097 0.0%
MetLife, Inc. 949,912 45,282,305 0.7%
* MGIC Investment Corp. 30,300 303,606 0.0%
MidWestOne Financial Group, Inc. 346 11,165 0.0%
Morgan Stanley 1,102,617 56,917,090 0.8%
# MutualFirst Financial, Inc. 2,300 84,525 0.0%
National Western Life Group, Inc. Class A 900 285,669 0.0%
Navigators Group, Inc. (The) 7,370 416,405 0.0%
# New York Community Bancorp, Inc. 52,185 619,958 0.0%
(degrees) NewStar Financial, Inc. 41,166 20,265 0.0%
Northrim BanCorp, Inc. 5,734 201,837 0.0%
OFG Bancorp 30,191 407,579 0.0%
Old National Bancorp 46,415 798,338 0.0%
Old Republic International Corp. 174,823 3,566,389 0.1%
Oppenheimer Holdings, Inc. Class A 3,097 83,154 0.0%
PacWest Bancorp 1,076 55,134 0.0%
# People's United Financial, Inc. 92,156 1,685,533 0.0%
# Peoples Bancorp of North Carolina, Inc. 275 8,456 0.0%
Peoples Bancorp, Inc. 15,923 570,999 0.0%
#* PHH Corp. 33,325 353,578 0.0%
# Piper Jaffray Cos. 312 21,856 0.0%
PNC Financial Services Group, Inc. (The) 217,040 31,603,194 0.5%
Popular, Inc. 61,036 2,825,356 0.1%
Premier Financial Bancorp, Inc. 4,877 95,979 0.0%
Principal Financial Group, Inc. 218,754 12,954,612 0.2%
Provident Financial Holdings, Inc. 544 9,982 0.0%
Provident Financial Services, Inc. 23,359 610,137 0.0%
Prudential Financial, Inc. 497,625 52,907,490 0.8%
Radian Group, Inc. 161,945 2,315,814 0.0%
Regions Financial Corp. 1,302,555 24,357,778 0.4%
Reinsurance Group of America, Inc. 153,566 22,942,760 0.3%
RenaissanceRe Holdings, Ltd. 20,967 2,852,351 0.1%
# Renasant Corp. 42,102 1,904,273 0.0%
Riverview Bancorp, Inc. 1,682 15,794 0.0%
Safety Insurance Group, Inc. 26,197 2,095,760 0.0%
Sandy Spring Bancorp, Inc. 9,125 361,624 0.0%
* Select Bancorp, Inc. 600 7,824 0.0%
# Selective Insurance Group, Inc. 45,200 2,675,840 0.0%
SI Financial Group, Inc. 5,661 80,952 0.0%
# Simmons First National Corp. Class A 22,648 683,970 0.0%
South State Corp. 838 72,529 0.0%
Southern National Bancorp of Virginia, Inc. 193 3,136 0.0%
# State Auto Financial Corp. 15,100 471,573 0.0%
# Sterling Bancorp 139,478 3,312,603 0.1%
Stewart Information Services Corp. 12,271 511,823 0.0%
Stifel Financial Corp. 23,200 1,352,096 0.0%
# SunTrust Banks, Inc. 255,532 17,069,538 0.3%
Synchrony Financial 544,549 18,062,690 0.3%
Synovus Financial Corp. 13,996 731,571 0.0%
Timberland Bancorp, Inc. 2,500 81,625 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Financials -- (Continued)
Tiptree, Inc. 37,071 $ 235,401 0.0%
Travelers Cos., Inc. (The) 184,026 24,217,822 0.4%
Trico Bancshares 854 31,914 0.0%
# Trustmark Corp. 26,783 838,576 0.0%
Umpqua Holdings Corp. 73,432 1,730,058 0.0%
* Unico American Corp. 1,900 14,630 0.0%
# Union Bankshares Corp. 37,042 1,400,558 0.0%
# United Bankshares, Inc. 12,121 411,508 0.0%
United Financial Bancorp, Inc. 9,193 151,960 0.0%
United Fire Group, Inc. 24,429 1,228,534 0.0%
United Security Bancshares 440 4,884 0.0%
# Unity Bancorp, Inc. 3,999 87,978 0.0%
Univest Corp. of Pennsylvania 156 4,485 0.0%
Unum Group 517,445 25,033,989 0.4%
Validus Holdings, Ltd. 8,958 607,084 0.0%
# Valley National Bancorp 13,468 169,023 0.0%
Voya Financial, Inc. 14,373 752,427 0.0%
Washington Federal, Inc. 97,887 3,107,912 0.1%
Waterstone Financial, Inc. 1,426 24,456 0.0%
Wells Fargo & Co. 3,633,493 188,796,296 2.8%
WesBanco, Inc. 31,678 1,387,496 0.0%
# Western New England Bancorp, Inc. 11,698 126,338 0.0%
Wintrust Financial Corp. 24,224 2,166,837 0.0%
WR Berkley Corp. 5,305 395,541 0.0%
XL Group, Ltd. 240,766 13,384,182 0.2%
# Zions Bancorporation 53,325 2,919,544 0.1%
-------------- ----
Total Financials 1,627,890,196 24.0%
-------------- ----
Health Care -- (13.6%)
Abbott Laboratories 915,297 53,206,215 0.8%
# Aceto Corp. 31,686 79,849 0.0%
* Addus HomeCare Corp. 2,044 107,310 0.0%
Aetna, Inc. 558,462 99,992,621 1.5%
Allergan P.L.C. 131,701 20,235,859 0.3%
* Allscripts Healthcare Solutions, Inc. 95,444 1,109,059 0.0%
Analogic Corp. 2,988 248,303 0.0%
* AngioDynamics, Inc. 14,354 278,181 0.0%
#* Anika Therapeutics, Inc. 14,671 645,671 0.0%
Anthem, Inc. 504,640 119,089,994 1.8%
* Aptevo Therapeutics, Inc. 4,339 19,222 0.0%
Baxter International, Inc. 6,557 455,711 0.0%
* Centene Corp. 20,136 2,186,367 0.0%
Cigna Corp. 136,754 23,497,072 0.3%
CONMED Corp. 43,239 2,811,832 0.0%
Cooper Cos., Inc. (The) 13,956 3,191,877 0.1%
* Cross Country Healthcare, Inc. 7,595 95,545 0.0%
#* CryoLife, Inc. 17,502 392,920 0.0%
#* Cumberland Pharmaceuticals, Inc. 23,319 151,340 0.0%
* Cutera, Inc. 1,289 64,643 0.0%
CVS Health Corp. 1,510,745 105,495,323 1.6%
Danaher Corp. 405,225 40,652,172 0.6%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
Digirad Corp. 26,711 $ 40,067 0.0%
* Diplomat Pharmacy, Inc. 5,500 119,845 0.0%
* Emergent BioSolutions, Inc. 18,678 968,641 0.0%
#* Endo International P.L.C. 14,700 84,231 0.0%
#* Envision Healthcare Corp. 50,543 1,878,683 0.0%
* Enzo Biochem, Inc. 6,287 37,722 0.0%
* Express Scripts Holding Co. 493,239 37,338,192 0.6%
#* Halyard Health, Inc. 25,838 1,223,946 0.0%
* HMS Holdings Corp. 6,400 115,264 0.0%
Humana, Inc. 198,071 58,268,527 0.9%
#* Impax Laboratories, Inc. 4,700 88,360 0.0%
* Integer Holdings Corp. 41,672 2,287,793 0.0%
#* IntriCon Corp. 2,835 66,056 0.0%
# Invacare Corp. 7,330 133,406 0.0%
Kewaunee Scientific Corp. 1,631 56,351 0.0%
Kindred Healthcare, Inc. 22,803 202,947 0.0%
* Laboratory Corp. of America Holdings 8,149 1,391,442 0.0%
* LHC Group, Inc. 1,418 105,528 0.0%
#* LifePoint Health, Inc. 82,208 3,937,763 0.1%
* LivaNova P.L.C. 17,600 1,562,528 0.0%
Luminex Corp. 1,400 29,890 0.0%
* Magellan Health, Inc. 17,899 1,500,831 0.0%
McKesson Corp. 70,069 10,945,478 0.2%
Medtronic P.L.C. 814,175 65,239,843 1.0%
* Merit Medical Systems, Inc. 13,395 649,657 0.0%
#* Molina Healthcare, Inc. 25,541 2,126,288 0.0%
* Mylan NV 28,680 1,111,637 0.0%
* Myriad Genetics, Inc. 75,816 2,144,835 0.0%
National HealthCare Corp. 6,484 397,340 0.0%
#* Natus Medical, Inc. 16,198 535,344 0.0%
* Nuvectra Corp. 13,890 178,903 0.0%
#* Omnicell, Inc. 35,405 1,525,955 0.0%
# PerkinElmer, Inc. 76,500 5,612,040 0.1%
Pfizer, Inc. 3,696,959 135,345,669 2.0%
#* Prestige Brands Holdings, Inc. 111,489 3,282,236 0.1%
Quest Diagnostics, Inc. 10,366 1,049,039 0.0%
* RTI Surgical, Inc. 73,086 321,578 0.0%
* Select Medical Holdings Corp. 56,304 1,016,287 0.0%
* Surmodics, Inc. 5,593 208,899 0.0%
Teleflex, Inc. 37,223 9,971,297 0.1%
Thermo Fisher Scientific, Inc. 435,609 91,630,353 1.4%
* Triple-S Management Corp. Class B 20,684 586,391 0.0%
* United Therapeutics Corp. 400 44,044 0.0%
UnitedHealth Group, Inc. 89,716 21,208,862 0.3%
* WellCare Health Plans, Inc. 18,375 3,769,815 0.1%
Zimmer Biomet Holdings, Inc. 10,322 1,188,785 0.0%
------------ ----
Total Health Care 945,535,674 13.9%
------------ ----
Industrials -- (10.8%)
AAR Corp. 32,906 1,424,830 0.0%
# ABM Industries, Inc. 64,500 2,007,885 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
# Acme United Corp. 1,030 $ 22,001 0.0%
#* AECOM 55,835 1,922,957 0.0%
* Aegion Corp. 42,549 965,437 0.0%
#* Aerovironment, Inc. 35,065 1,911,042 0.0%
AGCO Corp. 58,973 3,696,428 0.1%
* Air Transport Services Group, Inc. 6,308 127,674 0.0%
Alamo Group, Inc. 22,751 2,490,552 0.1%
# Alaska Air Group, Inc. 105,252 6,834,012 0.1%
# Albany International Corp. Class A 20,551 1,215,592 0.0%
# AMERCO 29,431 9,933,551 0.2%
* Ameresco, Inc. Class A 981 11,625 0.0%
# American Railcar Industries, Inc. 20,003 759,114 0.0%
# Apogee Enterprises, Inc. 36,374 1,495,335 0.0%
ArcBest Corp. 12,135 389,533 0.0%
Arconic, Inc. 318,251 5,668,050 0.1%
Argan, Inc. 21 840 0.0%
* Armstrong Flooring, Inc. 1,000 12,350 0.0%
* ASGN, Inc. 53,951 4,350,069 0.1%
# Astec Industries, Inc. 22,925 1,273,713 0.0%
#* Atlas Air Worldwide Holdings, Inc. 31,815 2,017,071 0.0%
# AZZ, Inc. 3,500 155,925 0.0%
Barnes Group, Inc. 45,700 2,537,721 0.1%
Brady Corp. Class A 38,500 1,401,400 0.0%
Briggs & Stratton Corp. 41,033 739,825 0.0%
* CAI International, Inc. 17,082 384,003 0.0%
Carlisle Cos., Inc. 4,854 522,921 0.0%
* Casella Waste Systems, Inc. Class A 5,201 127,477 0.0%
Caterpillar, Inc. 84,002 12,126,529 0.2%
* CBIZ, Inc. 38,149 709,571 0.0%
CECO Environmental Corp. 3,773 17,733 0.0%
#* Chart Industries, Inc. 2,220 125,963 0.0%
Chicago Rivet & Machine Co. 700 20,311 0.0%
# CIRCOR International, Inc. 9,719 411,794 0.0%
#* Colfax Corp. 7,300 226,373 0.0%
Columbus McKinnon Corp. 17,542 629,407 0.0%
Comfort Systems USA, Inc. 44,560 1,880,432 0.0%
CompX International, Inc. 500 6,875 0.0%
Copa Holdings SA Class A 6,400 749,888 0.0%
* Covenant Transportation Group, Inc. Class A 7,080 196,470 0.0%
CRA International, Inc. 7,613 429,906 0.0%
CSX Corp. 1,055,544 62,688,758 0.9%
# Cubic Corp. 3,576 220,818 0.0%
Curtiss-Wright Corp. 46,353 5,935,038 0.1%
Delta Air Lines, Inc. 433,135 22,618,310 0.4%
DMC Global, Inc. 1,436 55,573 0.0%
Douglas Dynamics, Inc. 30,234 1,262,269 0.0%
* Ducommun, Inc. 12,645 367,843 0.0%
* DXP Enterprises, Inc. 402 14,593 0.0%
Eastern Co. (The) 10,193 289,481 0.0%
Eaton Corp. P.L.C. 265,270 19,903,208 0.3%
* Echo Global Logistics, Inc. 6,500 177,450 0.0%
EMCOR Group, Inc. 55,640 4,094,548 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Encore Wire Corp. 19,966 $ 1,051,210 0.0%
EnerSys 43,639 2,991,890 0.1%
* Engility Holdings, Inc. 7,988 203,055 0.0%
Ennis, Inc. 30,835 551,946 0.0%
EnPro Industries, Inc. 8,338 626,601 0.0%
ESCO Technologies, Inc. 17,601 983,016 0.0%
# Espey Manufacturing & Electronics Corp. 1,671 44,365 0.0%
Essendant, Inc. 14,123 105,075 0.0%
* Esterline Technologies Corp. 44,968 3,230,951 0.1%
Federal Signal Corp. 71,923 1,557,852 0.0%
FedEx Corp. 127,314 31,472,021 0.5%
Fortune Brands Home & Security, Inc. 123,726 6,766,575 0.1%
* Franklin Covey Co. 3,046 74,322 0.0%
Franklin Electric Co., Inc. 3,474 142,434 0.0%
FreightCar America, Inc. 4,692 65,406 0.0%
* FTI Consulting, Inc. 36,136 2,110,342 0.0%
# GATX Corp. 65,445 4,269,632 0.1%
* Gencor Industries, Inc. 13,149 204,467 0.0%
General Electric Co. 2,120,584 29,836,617 0.5%
#* Genesee & Wyoming, Inc. Class A 4,800 341,760 0.0%
#* Gibraltar Industries, Inc. 34,603 1,216,295 0.0%
#* Goldfield Corp. (The) 4,304 18,077 0.0%
Gorman-Rupp Co. (The) 22,062 694,512 0.0%
* GP Strategies Corp. 18,583 387,456 0.0%
Granite Construction, Inc. 27,179 1,423,636 0.0%
* Great Lakes Dredge & Dock Corp. 69,820 321,172 0.0%
# Greenbrier Cos., Inc. (The) 22,451 984,476 0.0%
# Griffon Corp. 67,323 1,339,728 0.0%
Hawaiian Holdings, Inc. 21,035 866,642 0.0%
Heidrick & Struggles International, Inc. 18,234 686,510 0.0%
#* Hertz Global Holdings, Inc. 55,682 1,219,436 0.0%
* Hub Group, Inc. Class A 4,311 189,468 0.0%
Hurco Cos., Inc. 7,910 349,622 0.0%
* Huron Consulting Group, Inc. 4,001 149,837 0.0%
Hyster-Yale Materials Handling, Inc. 12,246 871,915 0.0%
ICF International, Inc. 31,660 2,124,386 0.0%
Ingersoll-Rand P.L.C. 213,109 17,877,714 0.3%
* InnerWorkings, Inc. 96,587 975,529 0.0%
# Insteel Industries, Inc. 17,578 527,867 0.0%
ITT, Inc. 30,000 1,466,700 0.0%
* JetBlue Airways Corp. 324,893 6,234,697 0.1%
Johnson Controls International P.L.C. 151,178 5,120,399 0.1%
Kadant, Inc. 8,486 782,833 0.0%
Kaman Corp. 1,988 120,552 0.0%
KAR Auction Services, Inc. 18,100 941,019 0.0%
KBR, Inc. 3,600 60,084 0.0%
Kimball International, Inc. Class B 30,344 501,283 0.0%
* Kirby Corp. 18,700 1,595,110 0.0%
Korn/Ferry International 60,004 3,207,814 0.1%
#* Kratos Defense & Security Solutions, Inc. 2,711 27,137 0.0%
L3 Technologies, Inc. 100,470 19,680,064 0.3%
* Lawson Products, Inc. 8,847 204,808 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
* LB Foster Co. Class A 6,682 $ 157,361 0.0%
LSI Industries, Inc. 27,715 169,893 0.0%
* Lydall, Inc. 14,605 651,383 0.0%
ManpowerGroup, Inc. 22,886 2,190,648 0.0%
Marten Transport, Ltd. 79,636 1,552,902 0.0%
* Masonite International Corp. 4,798 291,239 0.0%
#* MasTec, Inc. 12,600 554,400 0.0%
Matson, Inc. 62,316 1,821,497 0.0%
# Matthews International Corp. Class A 22,887 1,124,896 0.0%
McGrath RentCorp 17,552 1,034,339 0.0%
#* Mercury Systems, Inc. 2,055 65,924 0.0%
Miller Industries, Inc. 20,099 497,450 0.0%
Mobile Mini, Inc. 54,461 2,287,362 0.1%
* Moog, Inc. Class A 35,339 2,896,738 0.1%
#* MRC Global, Inc. 104,097 1,949,737 0.0%
# Mueller Industries, Inc. 30,912 840,188 0.0%
Mueller Water Products, Inc. Class A 20,300 198,737 0.0%
# Multi-Color Corp. 8,408 546,100 0.0%
* MYR Group, Inc. 19,582 587,460 0.0%
# National Presto Industries, Inc. 571 54,673 0.0%
* Navigant Consulting, Inc. 12,297 263,033 0.0%
* NL Industries, Inc. 38,770 296,590 0.0%
# NN, Inc. 18,396 373,439 0.0%
Norfolk Southern Corp. 545,229 78,224,005 1.2%
#* Northwest Pipe Co. 5,286 104,293 0.0%
Orbital ATK, Inc. 56,610 7,494,032 0.1%
Oshkosh Corp. 40,566 2,927,243 0.1%
Owens Corning 149,300 9,777,657 0.2%
PACCAR, Inc. 93,329 5,942,257 0.1%
* PAM Transportation Services, Inc. 6,449 232,099 0.0%
Pentair P.L.C. 117,934 7,934,600 0.1%
* Perma-Pipe International Holdings, Inc. 8,900 80,545 0.0%
# Powell Industries, Inc. 5,719 171,856 0.0%
Quad/Graphics, Inc. 1,591 39,314 0.0%
Quanex Building Products Corp. 21,431 367,542 0.0%
* Quanta Services, Inc. 168,307 5,469,977 0.1%
Raytheon Co. 44,355 9,090,114 0.2%
RCM Technologies, Inc. 15,745 81,874 0.0%
Regal Beloit Corp. 16,070 1,144,184 0.0%
Republic Services, Inc. 429,755 27,796,553 0.4%
Resources Connection, Inc. 25,955 406,196 0.0%
#* Rexnord Corp. 53,778 1,479,433 0.0%
#* Roadrunner Transportation Systems, Inc. 879 1,890 0.0%
RPX Corp. 33,100 358,473 0.0%
* Rush Enterprises, Inc. Class A 32,603 1,331,180 0.0%
* Rush Enterprises, Inc. Class B 18,522 720,691 0.0%
Ryder System, Inc. 89,844 6,058,181 0.1%
* Saia, Inc. 9,125 602,706 0.0%
* SIFCO Industries, Inc. 6,623 36,095 0.0%
SkyWest, Inc. 40,306 2,293,411 0.1%
Southwest Airlines Co. 531,263 28,066,624 0.4%
Spartan Motors, Inc. 16,820 300,237 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Industrials -- (Continued)
* Sparton Corp. 8,563 $ 158,159 0.0%
#* Spirit Airlines, Inc. 33,593 1,199,942 0.0%
* SPX FLOW, Inc. 20,167 907,515 0.0%
Standex International Corp. 22,341 2,165,960 0.0%
Stanley Black & Decker, Inc. 129,900 18,392,541 0.3%
Steelcase, Inc. Class A 55,469 734,964 0.0%
#* Team, Inc. 6,674 113,124 0.0%
# Terex Corp. 51,978 1,898,237 0.0%
Tetra Tech, Inc. 53,222 2,575,945 0.1%
Textron, Inc. 1,844 114,586 0.0%
* Thermon Group Holdings, Inc. 4,300 97,997 0.0%
Titan International, Inc. 8,000 82,400 0.0%
#* Titan Machinery, Inc. 2,883 55,700 0.0%
Trinity Industries, Inc. 183,814 5,858,152 0.1%
# Triton International, Ltd. 24,053 745,884 0.0%
# Triumph Group, Inc. 54,800 1,296,020 0.0%
#* Tutor Perini Corp. 33,844 698,879 0.0%
* Twin Disc, Inc. 900 19,872 0.0%
* Ultralife Corp. 3,309 27,961 0.0%
UniFirst Corp. 18,705 3,004,023 0.1%
Union Pacific Corp. 563,195 75,259,748 1.1%
* United Continental Holdings, Inc. 114,796 7,753,322 0.1%
United Technologies Corp. 384,209 46,162,711 0.7%
Universal Forest Products, Inc. 95,400 3,041,352 0.1%
#* USA Truck, Inc. 7,482 179,792 0.0%
#* USG Corp. 52,100 2,095,983 0.0%
* Vectrus, Inc. 6,869 247,284 0.0%
#* Veritiv Corp. 9,437 359,078 0.0%
Viad Corp. 23,193 1,177,045 0.0%
Virco Manufacturing Corp. 12,601 52,924 0.0%
# VSE Corp. 610 31,287 0.0%
Watts Water Technologies, Inc. Class A 4,634 345,233 0.0%
# Werner Enterprises, Inc. 34,105 1,169,801 0.0%
#* Wesco Aircraft Holdings, Inc. 6,228 62,903 0.0%
* WESCO International, Inc. 11,687 695,961 0.0%
#* Willis Lease Finance Corp. 6,713 219,381 0.0%
#* XPO Logistics, Inc. 12,216 1,186,907 0.0%
------------ ----
Total Industrials 747,482,213 11.0%
------------ ----
Information Technology -- (12.5%)
Activision Blizzard, Inc. 849,537 56,366,780 0.8%
#* Acxiom Corp. 7,769 201,839 0.0%
* Agilysys, Inc. 14,791 174,238 0.0%
* Alpha & Omega Semiconductor, Ltd. 20,661 313,221 0.0%
Analog Devices, Inc. 33,465 2,923,168 0.1%
* Anixter International, Inc. 8,801 518,379 0.0%
* ARRIS International P.L.C. 70,523 1,904,121 0.0%
* Arrow Electronics, Inc. 175,521 13,118,440 0.2%
AstroNova, Inc. 6,285 112,187 0.0%
Avnet, Inc. 139,400 5,468,662 0.1%
AVX Corp. 72,760 1,073,938 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
* Aware, Inc. 14,326 $ 55,871 0.0%
* Axcelis Technologies, Inc. 175 3,850 0.0%
#* AXT, Inc. 22,521 131,748 0.0%
Bel Fuse, Inc. Class A 3,574 63,939 0.0%
Bel Fuse, Inc. Class B 11,381 220,222 0.0%
# Belden, Inc. 9,300 572,880 0.0%
Benchmark Electronics, Inc. 62,063 1,632,257 0.0%
# Black Box Corp. 11,305 22,045 0.0%
* Blackhawk Network Holdings, Inc. 25,926 1,164,077 0.0%
#* Blucora, Inc. 57,127 1,485,302 0.0%
# Brooks Automation, Inc. 50,847 1,265,073 0.0%
* BSQUARE Corp. 4,065 18,293 0.0%
* CACI International, Inc. Class A 24,830 3,750,571 0.1%
#* Calix, Inc. 10,904 72,512 0.0%
* Cardtronics P.L.C. Class A 9,100 238,875 0.0%
#* Cars.com, Inc. 39,879 1,135,754 0.0%
# CCUR Holdings, Inc. 11,740 61,048 0.0%
* Cirrus Logic, Inc. 19,500 711,165 0.0%
Cisco Systems, Inc. 4,715,767 208,861,320 3.1%
Cohu, Inc. 28,915 618,781 0.0%
* CommerceHub, Inc. Series A 5,992 135,839 0.0%
* CommerceHub, Inc. Series C 9,435 213,891 0.0%
Comtech Telecommunications Corp. 15,569 476,256 0.0%
#* Conduent, Inc. 177,926 3,462,440 0.1%
# Convergys Corp. 197,364 4,610,423 0.1%
* CoreLogic, Inc. 96,545 4,778,977 0.1%
Corning, Inc. 785,955 21,236,504 0.3%
#* Cray, Inc. 12,866 306,854 0.0%
#* Cree, Inc. 29,400 1,097,208 0.0%
CSP, Inc. 2,414 26,288 0.0%
CTS Corp. 66,936 2,004,733 0.0%
#* CyberOptics Corp. 3,281 50,035 0.0%
# Cypress Semiconductor Corp. 78,922 1,150,683 0.0%
* Dell Technologies, Inc. Class V 38,133 2,736,805 0.1%
* Digi International, Inc. 25,438 292,537 0.0%
* Diodes, Inc. 4,709 134,442 0.0%
* DSP Group, Inc. 46,713 558,220 0.0%
DXC Technology Co. 228,936 23,594,144 0.4%
* EchoStar Corp. Class A 25,651 1,347,704 0.0%
* Edgewater Technology, Inc. 9,510 54,683 0.0%
#* Electro Scientific Industries, Inc. 6,085 109,530 0.0%
#* Electronics for Imaging, Inc. 58,110 1,609,647 0.0%
* Emcore Corp. 744 3,348 0.0%
Entegris, Inc. 300 9,660 0.0%
* ePlus, Inc. 17,490 1,396,576 0.0%
* Fabrinet 4,055 114,392 0.0%
Fidelity National Information Services, Inc. 198,899 18,889,438 0.3%
#* Finisar Corp. 61,526 958,575 0.0%
* First Solar, Inc. 28,266 2,004,342 0.0%
* FormFactor, Inc. 46,295 531,235 0.0%
* Frequency Electronics, Inc. 7,390 65,106 0.0%
#* GSI Technology, Inc. 3,363 24,651 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
#* Harmonic, Inc. 13,666 $ 49,881 0.0%
Hewlett Packard Enterprise Co. 894,616 15,253,203 0.2%
* IAC/InterActiveCorp 99,525 16,136,983 0.3%
#* II-VI, Inc. 27,179 1,035,520 0.0%
#* Inseego Corp. 2,423 5,185 0.0%
* Insight Enterprises, Inc. 42,100 1,492,445 0.0%
Intel Corp. 4,978,195 256,974,426 3.8%
#* Itron, Inc. 31,001 2,027,465 0.0%
Juniper Networks, Inc. 212,100 5,215,539 0.1%
* Key Tronic Corp. 17,623 123,890 0.0%
* Kimball Electronics, Inc. 23,443 371,572 0.0%
* Kulicke & Soffa Industries, Inc. 71,688 1,640,938 0.0%
* KVH Industries, Inc. 17,840 189,104 0.0%
Lam Research Corp. 11,111 2,056,202 0.1%
* Lattice Semiconductor Corp. 35,397 191,852 0.0%
* Limelight Networks, Inc. 10,944 56,471 0.0%
# Littelfuse, Inc. 205 38,319 0.0%
ManTech International Corp. Class A 2,048 121,016 0.0%
# Marvell Technology Group, Ltd. 166,418 3,338,345 0.1%
# Methode Electronics, Inc. 79,272 3,162,953 0.1%
* Micron Technology, Inc. 842,584 38,742,012 0.6%
* Microsemi Corp. 7,940 513,639 0.0%
MKS Instruments, Inc. 61,200 6,266,880 0.1%
* NETGEAR, Inc. 31,028 1,715,848 0.0%
#* Netscout Systems, Inc. 21,784 591,436 0.0%
#* Optical Cable Corp. 10,793 30,220 0.0%
#* PAR Technology Corp. 12,896 184,284 0.0%
Park Electrochemical Corp. 2,472 42,098 0.0%
PC Connection, Inc. 35,467 946,614 0.0%
PC-Tel, Inc. 22,216 158,844 0.0%
#* PCM, Inc. 10,471 135,599 0.0%
* Perficient, Inc. 6,900 170,637 0.0%
* Photronics, Inc. 79,712 609,797 0.0%
* Plexus Corp. 14,452 792,548 0.0%
#* Qorvo, Inc. 24,909 1,678,867 0.0%
QUALCOMM, Inc. 688,597 35,125,333 0.5%
#* Rambus, Inc. 9,315 125,753 0.0%
Reis, Inc. 13,511 283,731 0.0%
* Ribbon Communications, Inc. 6,622 38,540 0.0%
Richardson Electronics, Ltd. 15,464 143,351 0.0%
* Rogers Corp. 9,843 1,050,248 0.0%
* Rudolph Technologies, Inc. 16,097 408,059 0.0%
* Sanmina Corp. 39,846 1,175,457 0.0%
* ScanSource, Inc. 15,841 543,346 0.0%
SS&C Technologies Holdings, Inc. 51,586 2,561,245 0.1%
#* StarTek, Inc. 20,310 179,540 0.0%
#* Super Micro Computer, Inc. 5,886 104,182 0.0%
* Sykes Enterprises, Inc. 20,292 583,598 0.0%
#* Synaptics, Inc. 12,463 542,390 0.0%
SYNNEX Corp. 55,900 5,599,503 0.1%
TE Connectivity, Ltd. 197,255 18,098,146 0.3%
* Tech Data Corp. 81,325 6,201,031 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Information Technology -- (Continued)
* Telenav, Inc. 6,765 $ 34,840 0.0%
Teradyne, Inc. 26,789 871,982 0.0%
Tessco Technologies, Inc. 8,689 153,361 0.0%
# TiVo Corp. 19,000 268,850 0.0%
#* TTM Technologies, Inc. 55,241 770,060 0.0%
#* Veeco Instruments, Inc. 15,978 246,860 0.0%
* VeriFone Systems, Inc. 43,089 991,478 0.0%
* Verint Systems, Inc. 29,658 1,248,602 0.0%
#* ViaSat, Inc. 200 12,796 0.0%
* Viavi Solutions, Inc. 16,203 153,118 0.0%
* Virtusa Corp. 30,064 1,447,281 0.0%
# Vishay Intertechnology, Inc. 151,731 2,678,052 0.1%
* Vishay Precision Group, Inc. 16,480 466,384 0.0%
Western Digital Corp. 215,907 17,011,313 0.3%
* Xcerra Corp. 20,165 243,593 0.0%
Xerox Corp. 222,408 6,994,732 0.1%
* XO Group, Inc. 6,284 136,237 0.0%
Xperi Corp. 54,435 1,197,570 0.0%
* Zynga, Inc. Class A 311,000 1,072,950 0.0%
------------ ----
Total Information Technology 869,069,866 12.8%
------------ ----
Materials -- (1.8%)
* Alcoa Corp. 110,583 5,661,850 0.1%
#* Allegheny Technologies, Inc. 22,777 605,185 0.0%
# Ampco-Pittsburgh Corp. 4,007 39,469 0.0%
Ashland Global Holdings, Inc. 112,560 7,449,221 0.1%
# Bemis Co., Inc. 24,092 1,042,461 0.0%
Boise Cascade Co. 41,564 1,729,062 0.0%
Cabot Corp. 46,280 2,585,201 0.1%
#* Century Aluminum Co. 15,822 276,410 0.0%
#* Clearwater Paper Corp. 16,822 397,840 0.0%
* Coeur Mining, Inc. 13,910 105,299 0.0%
Commercial Metals Co. 85,208 1,790,220 0.0%
Core Molding Technologies, Inc. 11,847 183,628 0.0%
Domtar Corp. 12,207 535,887 0.0%
DowDuPont, Inc. 31,359 1,983,143 0.0%
Freeport-McMoRan, Inc. 24,064 366,013 0.0%
Friedman Industries, Inc. 3,048 18,745 0.0%
FutureFuel Corp. 6,104 71,417 0.0%
Graphic Packaging Holding Co. 154,000 2,202,200 0.0%
Greif, Inc. Class A 8,453 494,670 0.0%
Hawkins, Inc. 409 13,293 0.0%
# HB Fuller Co. 22,808 1,128,312 0.0%
Huntsman Corp. 50,242 1,495,704 0.0%
Innospec, Inc. 2,233 162,339 0.0%
Kaiser Aluminum Corp. 27,181 2,678,416 0.1%
KapStone Paper and Packaging Corp. 93,014 3,201,542 0.1%
* Kraton Corp. 5,435 248,216 0.0%
Louisiana-Pacific Corp. 173,457 4,914,037 0.1%
# Martin Marietta Materials, Inc. 23,633 4,602,999 0.1%
Materion Corp. 18,497 938,723 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
Mercer International, Inc. 21,725 $ 291,115 0.0%
Minerals Technologies, Inc. 34,280 2,367,034 0.0%
Mosaic Co. (The) 17,274 465,534 0.0%
Neenah, Inc. 7,684 599,352 0.0%
Newmont Mining Corp. 141,468 5,558,278 0.1%
Northern Technologies International Corp. 3,035 90,595 0.0%
# Nucor Corp. 103,401 6,371,570 0.1%
Olin Corp. 91,401 2,759,396 0.1%
# Olympic Steel, Inc. 9,986 234,172 0.0%
PH Glatfelter Co. 50,600 1,057,034 0.0%
Reliance Steel & Aluminum Co. 93,801 8,246,984 0.1%
# Schnitzer Steel Industries, Inc. Class A 400 11,780 0.0%
Sensient Technologies Corp. 38,101 2,539,432 0.0%
Steel Dynamics, Inc. 94,919 4,253,320 0.1%
Stepan Co. 900 63,288 0.0%
* SunCoke Energy, Inc. 62,210 714,793 0.0%
# Synalloy Corp. 949 16,370 0.0%
Tredegar Corp. 26,545 467,192 0.0%
Tronox, Ltd. Class A 42,013 721,783 0.0%
United States Steel Corp. 2,730 92,356 0.0%
* Universal Stainless & Alloy Products, Inc. 6,269 183,932 0.0%
# Valvoline, Inc. 253,649 5,144,002 0.1%
# Vulcan Materials Co. 58,246 6,505,496 0.1%
# Westlake Chemical Corp. 158,152 16,917,519 0.3%
WestRock Co. 200,591 11,866,964 0.2%
Worthington Industries, Inc. 47,320 2,107,160 0.0%
------------ ---
Total Materials 126,567,953 1.9%
------------ ---
Real Estate -- (0.0%)
Alexander & Baldwin, Inc. 81,208 1,859,663 0.0%
Griffin Industrial Realty, Inc. 1,500 55,650 0.0%
#* Howard Hughes Corp. (The) 1,500 202,950 0.0%
# Kennedy-Wilson Holdings, Inc. 33,927 642,917 0.0%
#* Rafael Holdings, Inc. Class B 550 4,510 0.0%
* Stratus Properties, Inc. 3,069 95,906 0.0%
------------ ---
Total Real Estate 2,861,596 0.0%
------------ ---
Telecommunication Services -- (3.2%)
AT&T, Inc. 6,281,506 205,405,246 3.0%
ATN International, Inc. 84 4,452 0.0%
# CenturyLink, Inc. 70,603 1,311,803 0.0%
# Frontier Communications Corp. 46,463 385,643 0.0%
#* Iridium Communications, Inc. 14,800 176,120 0.0%
#* ORBCOMM, Inc. 44,499 401,381 0.0%
Spok Holdings, Inc. 12,522 186,578 0.0%
#* Sprint Corp. 422,600 2,370,786 0.0%
* T-Mobile US, Inc. 113,786 6,885,191 0.1%
Telephone & Data Systems, Inc. 92,433 2,526,194 0.1%
#* United States Cellular Corp. 7,591 300,376 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Telecommunication Services -- (Continued)
* Vonage Holdings Corp. 85,934 $ 960,742 0.0%
-------------- -----
Total Telecommunication Services 220,914,512 3.2%
-------------- -----
Utilities -- (0.0%)
Consolidated Water Co., Ltd. 6,656 94,182 0.0%
NRG Energy, Inc. 55,469 1,719,539 0.0%
# Ormat Technologies, Inc. 20,134 1,165,759 0.0%
-------------- -----
Total Utilities 2,979,480 0.0%
-------------- -----
TOTAL COMMON STOCKS 6,793,485,520 99.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
(degrees)* Media General, Inc. Contingent Value Rights 25,196 2,519 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 6,793,488,039
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market
Fund, 1.630% 1,407,061 1,407,061 0.0%
-------------- -----
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund 13,800,329 159,669,803 2.4%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $3,823,041,241) $6,954,564,903 102.3%
============== =====
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, 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 $ 929,402,539 $ 282,430 -- $ 929,684,969
Consumer Staples 387,592,803 -- -- 387,592,803
Energy 932,906,258 -- -- 932,906,258
Financials 1,627,869,931 20,265 -- 1,627,890,196
Health Care 945,535,674 -- -- 945,535,674
Industrials 747,482,213 -- -- 747,482,213
Information Technology 869,069,866 -- -- 869,069,866
Materials 126,567,953 -- -- 126,567,953
Real Estate 2,861,596 -- -- 2,861,596
Telecommunication Services 220,914,512 -- -- 220,914,512
Utilities 2,979,480 -- -- 2,979,480
Rights/Warrants -- 2,519 -- 2,519
Temporary Cash Investments 1,407,061 -- -- 1,407,061
Securities Lending Collateral -- 159,669,803 -- 159,669,803
-------------- ------------ -- --------------
TOTAL $6,794,589,886 $159,975,017 -- $6,954,564,903
============== ============ == ==============
(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. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 13. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David P. Butler
------------------------------
David P. Butler
Co-Chief Executive Officer
Date: July 5, 2018
By: /s/ Gerard K. O'Reilly
------------------------------
Gerard K. O'Reilly
Co-Chief Executive Officer and
Chief Investment Officer
Date: July 5, 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: July 5, 2018
By: /s/ Gerard K. O'Reilly
---------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
Dimensional Investment Group Inc.
Date: July 5, 2018
By: /s/ Gregory K. Hinkle
---------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Investment Group Inc.
Date: July 5, 2018