================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-7440
-----------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)
-----------------
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)
-----------------
CATHERINE L. NEWELL, ESQUIRE, PRESIDENT AND GENERAL COUNSEL
DIMENSIONAL EMERGING MARKETS VALUE FUND,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
-----------------
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400
DATE OF FISCAL YEAR END: OCTOBER 31
DATE OF REPORTING PERIOD: 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.
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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
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) The Registrant's schedule of investments is provided below.
DIMENSIONAL EMERGING MARKETS VALUE FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (94.2%)
BRAZIL -- (6.8%)
Aliansce Shopping Centers SA 876,914 $ 4,307,973 0.0%
* Alliar Medicos A Frente SA 5,200 21,538 0.0%
Banco do Brasil SA 6,665,135 69,824,861 0.3%
# Banco Santander Brasil SA(05967A107) 104,100 1,128,444 0.0%
Banco Santander Brasil SA(B4V5RY4) 1,709,493 18,596,934 0.1%
* Brasil Brokers Participacoes SA 1,941,457 310,349 0.0%
BrasilAgro - Co. Brasileira de Propriedades Agricolas 91,284 347,084 0.0%
* Cia Siderurgica Nacional SA 3,939,498 9,873,485 0.1%
* Construtora Tenda SA 383,902 2,795,541 0.0%
* Cosan Logistica SA 40,539 126,135 0.0%
Cosan SA Industria e Comercio 1,162,726 13,203,140 0.1%
Cyrela Brazil Realty SA Empreendimentos e Participacoes 3,676,417 14,587,291 0.1%
* Direcional Engenharia SA 1,421,561 2,471,257 0.0%
Duratex SA 4,362,612 13,324,945 0.1%
Embraer SA 1,821,462 11,511,523 0.1%
Embraer SA ADR 1,038,951 26,202,344 0.1%
* Eternit SA 658,302 133,419 0.0%
* Even Construtora e Incorporadora SA 2,904,375 3,755,657 0.0%
Ez Tec Empreendimentos e Participacoes SA 1,117,726 6,413,076 0.0%
Fibria Celulose SA 523,595 10,284,475 0.1%
Fibria Celulose SA Sponsored ADR 2,018,972 39,491,092 0.2%
Fras-Le SA 8,500 13,321 0.0%
# Gafisa SA ADR 169,012 1,150,970 0.0%
Gerdau SA 1,607,017 6,454,307 0.0%
# Gerdau SA Sponsored ADR 9,407,668 43,933,810 0.2%
* Helbor Empreendimentos SA 2,980,126 1,233,496 0.0%
Industrias Romi SA 9,300 21,450 0.0%
International Meal Co. Alimentacao SA 761,500 1,771,587 0.0%
Iochpe-Maxion SA 1,641,693 13,168,410 0.1%
JBS SA 12,439,175 31,069,531 0.2%
* JHSF Participacoes SA 1,382,074 662,790 0.0%
* Kepler Weber SA 12,200 41,616 0.0%
Kroton Educacional SA 10,908,614 43,625,737 0.2%
Magnesita Refratarios SA 643,250 10,558,026 0.1%
* Marfrig Global Foods SA 110,400 249,591 0.0%
* Marisa Lojas SA 88,000 147,956 0.0%
* Mills Estruturas e Servicos de Engenharia SA 627,446 623,291 0.0%
MRV Engenharia e Participacoes SA 4,118,357 17,633,979 0.1%
* Paranapanema SA 1,683,489 619,919 0.0%
* Petro Rio SA 27,400 568,148 0.0%
* Petroleo Brasileiro SA 6,207,983 43,646,558 0.2%
#* Petroleo Brasileiro SA Sponsored ADR 14,614,044 205,911,880 1.0%
Porto Seguro SA 371,681 4,795,610 0.0%
* Profarma Distribuidora de Produtos Farmaceuticos SA 86,117 138,890 0.0%
QGEP Participacoes SA 1,478,438 5,389,259 0.0%
* Restoque Comercio e Confeccoes de Roupas SA 800 6,961 0.0%
* RNI Negocios Imobiliarios SA 86,275 138,899 0.0%
* Santos Brasil Participacoes SA 1,221,500 1,154,135 0.0%
Sao Carlos Empreendimentos e Participacoes SA 56,800 599,909 0.0%
Sao Martinho SA 146,289 709,062 0.0%
SLC Agricola SA 907,091 11,579,444 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
BRAZIL -- (Continued)
* Springs Global Participacoes SA 71,200 $ 192,268 0.0%
Sul America SA 2,312,938 14,274,298 0.1%
Suzano Papel e Celulose SA 3,508,906 41,126,878 0.2%
* Technos SA 88,500 67,956 0.0%
* Tecnisa SA 2,200,914 992,648 0.0%
TPI - Triunfo Participacoes e Investimentos SA 528,200 375,433 0.0%
Tupy SA 500,285 2,699,071 0.0%
Usinas Siderurgicas de Minas Gerais SA 531,600 1,949,949 0.0%
Vale SA 25,779,178 358,150,437 1.8%
Vale SA Sponsored ADR 20,975,325 290,298,496 1.4%
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao S.A 169,490 885,381 0.0%
Via Varejo SA 30,100 69,682 0.0%
-------------- ---
TOTAL BRAZIL 1,407,411,602 7.0%
-------------- ---
CHILE -- (1.7%)
Besalco SA 512,877 590,746 0.0%
CAP SA 1,342,144 15,574,131 0.1%
Cementos BIO BIO SA 665,307 1,003,311 0.0%
Cencosud SA 13,859,905 41,191,886 0.2%
* Cia Pesquera Camanchaca SA 411,678 42,349 0.0%
* Cia Sud Americana de Vapores SA 88,156,852 3,944,116 0.0%
Cristalerias de Chile SA 264,624 2,614,460 0.0%
Empresa Nacional de Telecomunicaciones SA 308,990 3,641,581 0.0%
* Empresas AquaChile SA 199,529 125,773 0.0%
Empresas CMPC SA 13,882,311 56,954,996 0.3%
Empresas COPEC SA 2,669,843 43,501,386 0.2%
Empresas Hites SA 1,895,532 1,940,221 0.0%
* Empresas La Polar SA 14,331,375 1,161,566 0.0%
Enel Americas SA 14,175,753 3,234,701 0.0%
Enel Americas SA ADR 3,876,008 43,992,691 0.2%
Enel Chile SA 3,570,407 22,207,932 0.1%
Grupo Security SA 2,418,004 1,229,062 0.0%
Inversiones Aguas Metropolitanas SA 4,678,228 8,814,088 0.1%
Itau CorpBanca(BYT25P4) 857,927,422 8,763,255 0.1%
Itau CorpBanca(BZ30DD5) 3,677 55,890 0.0%
Latam Airlines Group SA 1,826,519 27,977,645 0.2%
# Latam Airlines Group SA Sponsored ADR 985,868 15,054,204 0.1%
* Masisa SA 43,018,684 3,991,206 0.0%
PAZ Corp. SA 2,210,715 3,473,655 0.0%
Ripley Corp. SA 12,556,499 13,608,755 0.1%
Salfacorp SA 4,049,890 7,753,054 0.0%
Sigdo Koppers SA 138,245 263,808 0.0%
* SMU SA 188,338 59,565 0.0%
Sociedad Matriz SAAM SA 55,178,267 5,741,604 0.0%
Socovesa SA 5,888,997 3,940,146 0.0%
Vina Concha y Toro SA 1,552,271 3,541,869 0.0%
-------------- ---
TOTAL CHILE 345,989,652 1.7%
-------------- ---
CHINA -- (17.1%)
361 Degrees International, Ltd. 5,466,000 1,728,317 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
CHINA -- (Continued)
* A8 New Media Group, Ltd. 986,000 $ 54,284 0.0%
# Agile Group Holdings, Ltd. 15,010,999 29,610,591 0.2%
Agricultural Bank of China, Ltd. Class H 137,993,000 77,802,091 0.4%
Ajisen China Holdings, Ltd. 1,465,000 693,689 0.0%
AMVIG Holdings, Ltd. 5,211,100 1,339,705 0.0%
# Angang Steel Co., Ltd. Class H 6,316,640 6,770,974 0.0%
#* Anton Oilfield Services Group 8,730,000 1,222,111 0.0%
* Anxin-China Holdings, Ltd. 6,152,000 56,592 0.0%
Asia Cement China Holdings Corp. 5,856,500 3,135,601 0.0%
#* Asian Citrus Holdings, Ltd. 4,633,000 66,408 0.0%
# AVIC International Holdings, Ltd. Class H 2,936,000 2,021,422 0.0%
AviChina Industry & Technology Co., Ltd. Class H 2,057,000 1,296,943 0.0%
# BAIC Motor Corp., Ltd. Class H 7,926,500 7,651,463 0.1%
Bank of China, Ltd. Class H 398,265,817 216,191,056 1.1%
Bank of Chongqing Co., Ltd. Class H 2,761,500 2,087,332 0.0%
Bank of Communications Co., Ltd. Class H 34,955,574 28,603,602 0.2%
* Baoye Group Co., Ltd. Class H 2,489,120 1,653,088 0.0%
# BBMG Corp. Class H 13,473,000 6,145,141 0.0%
Beijing Capital Land, Ltd. Class H 9,179,060 4,888,424 0.0%
Beijing Enterprises Holdings, Ltd. 2,847,500 14,222,954 0.1%
# Beijing North Star Co., Ltd. Class H 3,490,000 1,243,030 0.0%
#* Beijing Properties Holdings, Ltd. 456,000 16,468 0.0%
* Boer Power Holdings, Ltd. 1,115,000 213,471 0.0%
Bosideng International Holdings, Ltd. 12,864,000 1,320,865 0.0%
#* Boyaa Interactive International, Ltd. 1,830,000 716,166 0.0%
* C C Land Holdings, Ltd. 23,921,429 5,454,494 0.0%
Cabbeen Fashion, Ltd. 663,000 232,819 0.0%
#* Capital Environment Holdings, Ltd. 7,406,000 247,955 0.0%
#* CAR, Inc. 911,000 868,701 0.0%
Carrianna Group Holdings Co., Ltd. 3,880,391 541,783 0.0%
* CECEP COSTIN New Materials Group, Ltd. 132,000 1,892 0.0%
Central China Real Estate, Ltd. 6,981,350 3,186,722 0.0%
* Century Sunshine Group Holdings, Ltd. 14,780,000 460,321 0.0%
#* CGN Meiya Power Holdings Co., Ltd. 13,118,000 1,764,414 0.0%
Changshouhua Food Co., Ltd. 91,000 43,281 0.0%
# Chaowei Power Holdings, Ltd. 4,329,000 2,417,405 0.0%
* Chigo Holding, Ltd. 32,078,000 394,116 0.0%
# China Aerospace International Holdings, Ltd. 19,988,000 2,131,467 0.0%
China Agri-Industries Holdings, Ltd. 18,251,500 7,660,486 0.1%
China Aircraft Leasing Group Holdings, Ltd. 49,000 52,234 0.0%
China Aoyuan Property Group, Ltd. 10,408,000 8,361,254 0.1%
China BlueChemical, Ltd. Class H 13,876,878 3,647,200 0.0%
China Cinda Asset Management Co., Ltd. Class H 50,717,000 18,101,252 0.1%
China CITIC Bank Corp., Ltd. Class H 35,883,112 25,650,977 0.1%
# China Coal Energy Co., Ltd. Class H 11,883,000 5,151,606 0.0%
China Communications Construction Co., Ltd. Class H 27,113,327 31,239,414 0.2%
China Communications Services Corp., Ltd. Class H 20,989,071 13,177,349 0.1%
China Construction Bank Corp. Class H 446,135,101 467,397,237 2.3%
China Dongxiang Group Co., Ltd. 18,619,000 3,408,046 0.0%
China Electronics Optics Valley Union Holding Co., Ltd. 1,988,000 163,644 0.0%
China Energy Engineering Corp., Ltd. Class H 324,000 63,411 0.0%
* China Environmental Technology and Bioenergy Holdings, Ltd. 690,000 12,276 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
CHINA -- (Continued)
China Everbright Bank Co., Ltd. Class H 13,624,000 $ 6,808,447 0.0%
China Everbright, Ltd. 7,561,869 16,640,386 0.1%
* China Fiber Optic Network System Group, Ltd. 3,598,000 60,191 0.0%
China Financial Services Holdings, Ltd. 1,884,000 167,532 0.0%
# China Foods, Ltd. 2,402,000 1,102,642 0.0%
China Galaxy Securities Co., Ltd. Class H 5,946,500 3,905,870 0.0%
* China Glass Holdings, Ltd. 6,584,000 599,719 0.0%
China Greenfresh Group Co., Ltd. 1,992,000 299,528 0.0%
#* China Harmony New Energy Auto Holding, Ltd. 4,503,500 2,532,884 0.0%
* China High Precision Automation Group, Ltd. 429,000 12,503 0.0%
China High Speed Transmission Equipment Group Co., Ltd. 1,889,000 2,751,433 0.0%
# China Hongqiao Group, Ltd. 10,475,000 11,394,901 0.1%
China Huarong Asset Management Co., Ltd. Class H 35,820,000 12,336,695 0.1%
* China Huiyuan Juice Group, Ltd. 5,210,483 1,341,017 0.0%
# China International Capital Corp., Ltd. Class H 1,824,000 4,127,009 0.0%
China International Marine Containers Group Co., Ltd.
Class H 598,600 952,658 0.0%
* China ITS Holdings Co., Ltd. 5,486,147 286,587 0.0%
China Jinmao Holdings Group, Ltd. 38,074,580 21,553,099 0.1%
China Lesso Group Holdings, Ltd. 4,892,000 3,770,393 0.0%
* China Longevity Group Co., Ltd. 1,152,649 37,743 0.0%
China Machinery Engineering Corp. Class H 3,585,000 2,082,804 0.0%
# China Merchants Land, Ltd. 11,634,000 2,441,660 0.0%
China Merchants Port Holdings Co., Ltd. 7,156,383 15,989,973 0.1%
# China Minsheng Banking Corp., Ltd. Class H 23,079,500 21,597,794 0.1%
China Mobile, Ltd. 15,402,000 146,726,990 0.7%
China Mobile, Ltd. Sponsored ADR 844,853 40,096,723 0.2%
# China National Building Material Co., Ltd. Class H 39,933,250 46,653,773 0.2%
* China New Town Development Co., Ltd. 11,705,522 415,521 0.0%
China Oil & Gas Group, Ltd. 9,000,000 672,237 0.0%
China Oilfield Services, Ltd. Class H 8,572,000 8,552,246 0.1%
# China Oriental Group Co., Ltd. 3,048,000 2,184,179 0.0%
China Overseas Grand Oceans Group, Ltd. 11,941,500 5,183,737 0.0%
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 Properties Group, Ltd. 5,212,000 1,001,239 0.0%
# China Railway Construction Corp., Ltd. Class H 18,849,014 22,321,532 0.1%
# China Railway Group, Ltd. Class H 20,920,000 16,767,945 0.1%
* China Rare Earth Holdings, Ltd. 7,480,600 446,468 0.0%
China Reinsurance Group Corp. Class H 16,281,000 3,430,043 0.0%
China Resources Cement Holdings, Ltd. 17,920,000 18,799,478 0.1%
China Resources Land, Ltd. 22,442,000 84,285,980 0.4%
China Resources Pharmaceutical Group, Ltd. 554,000 765,882 0.0%
* China Rundong Auto Group, Ltd. 22,000 8,946 0.0%
* China Saite Group Co., Ltd. 2,082,000 137,546 0.0%
China Sanjiang Fine Chemicals Co., Ltd. 3,243,000 1,248,915 0.0%
China SCE Property Holdings, Ltd. 13,252,000 6,650,016 0.0%
* China Shengmu Organic Milk, Ltd. 542,000 63,170 0.0%
China Shenhua Energy Co., Ltd. Class H 24,770,000 60,757,287 0.3%
China Shineway Pharmaceutical Group, Ltd. 984,000 2,017,855 0.0%
# China Silver Group, Ltd. 3,760,000 691,429 0.0%
# China Singyes Solar Technologies Holdings, Ltd. 5,156,200 1,857,099 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
# China South City Holdings, Ltd. 27,296,000 $ 5,934,896 0.0%
China Starch Holdings, Ltd. 23,300,000 885,291 0.0%
China Sunshine Paper Holdings Co., Ltd. 1,194,000 342,130 0.0%
* China Taifeng Beddings Holdings, Ltd. 640,000 16,512 0.0%
# China Traditional Chinese Medicine Holdings Co., Ltd. 1,422,000 1,222,752 0.0%
China Travel International Investment Hong Kong, Ltd. 19,509,631 7,274,074 0.0%
#* China Unicom Hong Kong, Ltd. ADR 6,768,426 94,961,017 0.5%
China Vast Industrial Urban Development Co., Ltd. 35,000 17,987 0.0%
China XLX Fertiliser, Ltd. 1,041,000 409,359 0.0%
#* China Yurun Food Group, Ltd. 5,286,000 830,406 0.0%
China ZhengTong Auto Services Holdings, Ltd. 6,324,500 5,114,222 0.0%
# China Zhongwang Holdings, Ltd. 14,909,354 8,353,552 0.1%
Chongqing Machinery & Electric Co., Ltd. Class H 10,320,000 994,521 0.0%
Chongqing Rural Commercial Bank Co., Ltd. Class H 22,208,000 16,988,525 0.1%
* Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 1,188,000 125,244 0.0%
Chu Kong Shipping Enterprise Group Co., Ltd. 526,000 134,906 0.0%
* CITIC Dameng Holdings, Ltd. 4,333,000 216,289 0.0%
CITIC Resources Holdings, Ltd. 9,744,000 1,097,460 0.0%
CITIC Securities Co., Ltd. Class H 629,500 1,534,551 0.0%
CITIC, Ltd. 23,404,483 35,691,839 0.2%
Clear Media, Ltd. 101,000 77,211 0.0%
CNOOC, Ltd. 94,498,000 159,863,492 0.8%
# CNOOC, Ltd. Sponsored ADR 208,124 35,175,037 0.2%
# Comba Telecom Systems Holdings, Ltd. 13,292,683 1,888,993 0.0%
Concord New Energy Group, Ltd. 35,200,000 1,653,761 0.0%
#* Coolpad Group, Ltd. 5,720,600 56,062 0.0%
COSCO SHIPPING Energy Transportation Co., Ltd. Class H 5,544,000 2,737,587 0.0%
# COSCO SHIPPING International Hong Kong Co., Ltd. 4,730,000 1,880,213 0.0%
COSCO SHIPPING Ports, Ltd. 14,837,786 13,049,455 0.1%
* Coslight Technology International Group Co., Ltd. 1,150,000 454,462 0.0%
# CPMC Holdings, Ltd. 2,065,000 1,273,107 0.0%
# CRCC High-Tech Equipment Corp., Ltd. Class H 2,097,000 462,421 0.0%
* DaChan Food Asia, Ltd. 3,195,000 202,749 0.0%
Dah Chong Hong Holdings, Ltd. 7,807,000 4,146,771 0.0%
* Daphne International Holdings, Ltd. 2,812,000 144,262 0.0%
* Dongfang Electric Corp., Ltd. Class H 471,600 367,915 0.0%
Dongfeng Motor Group Co., Ltd. Class H 14,440,000 15,968,243 0.1%
# Dynagreen Environmental Protection Group Co., Ltd. Class H 449,000 231,737 0.0%
* Dynasty Fine Wines Group, Ltd. 9,228,600 317,471 0.0%
E-Commodities Holdings, Ltd. 2,928,000 232,619 0.0%
* eHi Car Services, Ltd. Sponsored ADR 8,185 106,978 0.0%
Embry Holdings, Ltd. 539,000 208,885 0.0%
# EVA Precision Industrial Holdings, Ltd. 5,688,000 886,345 0.0%
Everbright Securities Co., Ltd. Class H 689,400 827,286 0.0%
Evergreen International Holdings, Ltd. 999,000 77,198 0.0%
# Fantasia Holdings Group Co., Ltd. 19,282,015 3,792,233 0.0%
Far East Horizon, Ltd. 1,400,000 1,389,202 0.0%
Fosun International, Ltd. 11,099,183 23,585,696 0.1%
Fufeng Group, Ltd. 7,881,000 4,391,785 0.0%
* GCL-Poly Energy Holdings, Ltd. 83,998,000 10,390,114 0.1%
Gemdale Properties & Investment Corp., Ltd. 12,542,000 1,422,531 0.0%
GF Securities Co., Ltd. Class H 804,000 1,415,518 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
CHINA -- (Continued)
* Glorious Property Holdings, Ltd. 27,371,000 $ 2,217,520 0.0%
Goldlion Holdings, Ltd. 1,962,000 812,393 0.0%
# Goldpac Group, Ltd. 1,046,000 321,413 0.0%
# GOME Retail Holdings, Ltd. 80,257,000 8,632,967 0.1%
#* Grand Baoxin Auto Group, Ltd. 1,336,500 557,843 0.0%
Greenland Hong Kong Holdings, Ltd. 6,904,575 3,181,151 0.0%
# Greentown China Holdings, Ltd. 5,845,591 7,703,443 0.1%
Guangdong Yueyun Transportation Co., Ltd. Class H 225,000 129,535 0.0%
Guangshen Railway Co., Ltd. Sponsored ADR 363,844 10,551,476 0.1%
Guangzhou R&F Properties Co., Ltd. Class H 9,029,914 21,469,506 0.1%
* Guodian Technology & Environment Group Corp., Ltd. Class H 4,780,000 285,365 0.0%
Guolian Securities Co., Ltd. Class H 171,500 59,965 0.0%
# Guorui Properties, Ltd. 94,000 30,972 0.0%
* Guotai Junan Securities Co., Ltd. Class H 60,000 140,644 0.0%
Haitong Securities Co., Ltd. Class H 10,613,200 14,491,353 0.1%
* Hanergy Thin Film Power Group, Ltd. 14,642,000 77,885 0.0%
* Harbin Bank Co., Ltd. Class H 1,292,000 350,500 0.0%
# Harbin Electric Co., Ltd. Class H 5,713,474 1,670,617 0.0%
# HC International, Inc. 182,500 123,026 0.0%
Hengdeli Holdings, Ltd. 14,728,000 670,479 0.0%
* Hi Sun Technology China, Ltd. 3,696,000 565,609 0.0%
Hilong Holding, Ltd. 6,338,000 960,911 0.0%
HKC Holdings, Ltd. 1,194,155 889,928 0.0%
HNA Infrastructure Co., Ltd. Class H 1,290,000 1,707,759 0.0%
* Honghua Group, Ltd. 2,791,000 278,747 0.0%
Honworld Group, Ltd. 336,500 151,840 0.0%
Hopefluent Group Holdings, Ltd. 1,556,000 711,259 0.0%
Hopson Development Holdings, Ltd. 6,870,000 7,308,516 0.1%
#* Hua Han Health Industry Holdings, Ltd. 23,012,000 582,875 0.0%
Hua Hong Semiconductor, Ltd. 1,910,000 4,309,971 0.0%
Huaneng Renewables Corp., Ltd. Class H 33,002,000 14,656,270 0.1%
Huatai Securities Co., Ltd. Class H 1,212,400 2,455,821 0.0%
Huishang Bank Corp., Ltd. Class H 1,229,000 592,319 0.0%
#* Hydoo International Holding, Ltd. 1,112,000 66,307 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 506,891,996 444,990,871 2.2%
# Inner Mongolia Yitai Coal Co., Ltd. Class H 10,500 12,163 0.0%
# Jiangnan Group, Ltd. 12,730,000 760,412 0.0%
Jiangxi Copper Co., Ltd. Class H 7,046,000 10,017,276 0.1%
#* JinkoSolar Holding Co., Ltd. ADR 242,708 4,460,973 0.0%
Joy City Property, Ltd. 5,204,000 803,176 0.0%
Ju Teng International Holdings, Ltd. 8,608,249 1,675,593 0.0%
K Wah International Holdings, Ltd. 2,184,233 1,340,718 0.0%
* Kai Yuan Holdings, Ltd. 41,600,000 275,630 0.0%
* Kaisa Group Holdings, Ltd. 5,186,632 2,770,615 0.0%
Kangda International Environmental Co., Ltd. 5,435,000 931,565 0.0%
* Kasen International Holdings, Ltd. 1,807,000 419,373 0.0%
Kingboard Chemical Holdings, Ltd. 6,590,845 26,813,469 0.1%
Kunlun Energy Co., Ltd. 27,274,000 23,352,429 0.1%
KWG Property Holding, Ltd. 11,167,000 15,042,421 0.1%
* Labixiaoxin Snacks Group, Ltd. 2,175,000 135,512 0.0%
Lai Fung Holdings, Ltd. 1,074,839 1,598,754 0.0%
Le Saunda Holdings, Ltd. 120,000 17,463 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
CHINA -- (Continued)
Legend Holdings Corp. Class H 818,200 $ 2,731,029 0.0%
Leoch International Technology, Ltd. 2,305,000 347,642 0.0%
#* Lianhua Supermarket Holdings Co., Ltd. Class H 310,000 83,193 0.0%
LK Technology Holdings, Ltd. 785,000 138,221 0.0%
Longfor Properties Co., Ltd. 9,774,500 29,232,917 0.2%
Lonking Holdings, Ltd. 13,292,000 6,040,165 0.0%
* Maanshan Iron & Steel Co., Ltd. Class H 9,332,000 4,580,648 0.0%
Maoye International Holdings, Ltd. 10,027,000 1,064,395 0.0%
Metallurgical Corp. of China, Ltd. Class H 3,673,000 1,172,841 0.0%
* MIE Holdings Corp. 3,758,000 208,959 0.0%
MIN XIN Holdings, Ltd. 708,418 478,471 0.0%
* Mingfa Group International Co., Ltd. 608,000 4,361 0.0%
Minmetals Land, Ltd. 11,909,205 2,262,363 0.0%
MOBI Development Co., Ltd. 379,000 39,160 0.0%
# Modern Land China Co., Ltd. 2,545,200 475,596 0.0%
#* Munsun Capital Group, Ltd. 22,260,000 56,388 0.0%
* Nature Home Holding Co., Ltd. 154,000 26,135 0.0%
* New World Department Store China, Ltd. 4,014,000 923,933 0.0%
Nine Dragons Paper Holdings, Ltd. 7,315,000 10,910,018 0.1%
* North Mining Shares Co., Ltd. 7,230,000 133,551 0.0%
NVC Lighting Holdings, Ltd. 4,611,000 466,335 0.0%
* Ourgame International Holdings, Ltd. 329,000 60,036 0.0%
Overseas Chinese Town Asia Holdings, Ltd. 934,000 572,733 0.0%
#* Panda Green Energy Group, Ltd. 554,000 59,069 0.0%
* Parkson Retail Group, Ltd. 10,145,500 1,244,444 0.0%
# PAX Global Technology, Ltd. 3,362,000 1,520,780 0.0%
People's Insurance Co. Group of China, Ltd. (The) Class H 36,252,000 17,066,899 0.1%
PetroChina Co., Ltd. ADR 75,718 5,573,602 0.0%
PetroChina Co., Ltd. Class H 147,646,000 108,795,781 0.6%
* Phoenix New Media, Ltd. ADR 10,300 41,921 0.0%
PICC Property & Casualty Co., Ltd. Class H 4,210,000 7,536,610 0.1%
Poly Culture Group Corp., Ltd. Class H 276,500 469,097 0.0%
* Poly Property Group Co., Ltd. 17,791,488 8,269,269 0.1%
# Postal Savings Bank of China Co., Ltd. Class H 4,196,000 2,874,686 0.0%
# Pou Sheng International Holdings, Ltd. 2,783,000 464,038 0.0%
Powerlong Real Estate Holdings, Ltd. 12,812,000 6,606,453 0.0%
#* Prosperity International Holdings HK, Ltd. 17,080,000 152,262 0.0%
* PW Medtech Group, Ltd. 1,075,000 201,436 0.0%
Qingdao Port International Co., Ltd. Class H 276,000 226,053 0.0%
Qingling Motors Co., Ltd. Class H 8,492,000 2,714,617 0.0%
Qunxing Paper Holdings Co., Ltd. 5,020,071 241,772 0.0%
* Real Gold Mining, Ltd. 3,137,500 105,134 0.0%
# Red Star Macalline Group Corp., Ltd. Class H 1,020,200 1,369,928 0.0%
#* Renhe Commercial Holdings Co., Ltd. 43,919,000 885,638 0.0%
* Rentian Technology Holdings, Ltd. 660,000 31,002 0.0%
#* REXLot Holdings, Ltd. 123,399,931 640,344 0.0%
#* Ronshine China Holdings, Ltd. 1,161,000 1,722,166 0.0%
Sany Heavy Equipment International Holdings Co., Ltd. 4,972,000 1,541,401 0.0%
* Scud Group, Ltd. 3,368,000 83,678 0.0%
# Seaspan Corp. 574,922 4,421,150 0.0%
#* Semiconductor Manufacturing International Corp. 19,321,198 24,848,853 0.1%
#* Semiconductor Manufacturing International Corp. ADR 1,124,062 7,283,922 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
# Shandong Chenming Paper Holdings, Ltd. Class H 1,029,818 $ 1,563,700 0.0%
# Shanghai Dasheng Agricultural Finance Technology Co., Ltd.
Class H 4,568,000 77,989 0.0%
#* Shanghai Electric Group Co., Ltd. Class H 2,222,000 806,728 0.0%
Shanghai Industrial Holdings, Ltd. 4,648,918 12,190,807 0.1%
# Shanghai Industrial Urban Development Group, Ltd. 12,292,000 2,643,628 0.0%
Shanghai Jin Jiang International Hotels Group Co., Ltd.
Class H 8,446,000 3,493,057 0.0%
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 341,900 933,275 0.0%
Shanghai Prime Machinery Co., Ltd. Class H 7,494,000 1,238,259 0.0%
Shengjing Bank Co., Ltd. Class H 328,500 219,461 0.0%
Shenguan Holdings Group, Ltd. 3,610,000 179,543 0.0%
Shenzhen International Holdings, Ltd. 5,655,039 12,355,684 0.1%
Shenzhen Investment, Ltd. 27,824,650 11,245,733 0.1%
Shimao Property Holdings, Ltd. 11,520,535 30,472,554 0.2%
* Shougang Concord International Enterprises Co., Ltd. 54,246,416 1,488,646 0.0%
Shougang Fushan Resources Group, Ltd. 20,484,594 5,021,562 0.0%
Shui On Land, Ltd. 35,417,803 9,536,591 0.1%
#* Shunfeng International Clean Energy, Ltd. 12,878,000 496,453 0.0%
* Silver Grant International Industries, Ltd. 7,860,804 1,689,498 0.0%
SIM Technology Group, Ltd. 7,555,000 344,306 0.0%
# Sino Harbour Holdings Group, Ltd. 582,000 25,465 0.0%
Sino-Ocean Group Holding, Ltd. 24,191,602 16,797,719 0.1%
#* Sinofert Holdings, Ltd. 7,620,000 906,880 0.0%
#* Sinolink Worldwide Holdings, Ltd. 10,762,508 1,277,127 0.0%
#* SinoMedia Holding, Ltd. 110,000 29,387 0.0%
Sinopec Engineering Group Co., Ltd. Class H 4,272,500 4,404,955 0.0%
Sinopec Kantons Holdings, Ltd. 6,660,000 3,150,394 0.0%
# Sinotrans Shipping, Ltd. 10,048,416 2,601,954 0.0%
Sinotrans, Ltd. Class H 11,619,000 6,657,221 0.0%
# Sinotruk Hong Kong, Ltd. 6,395,835 7,493,516 0.1%
Skyworth Digital Holdings, Ltd. 15,847,083 7,200,923 0.0%
SOHO China, Ltd. 20,306,388 10,427,044 0.1%
Springland International Holdings, Ltd. 2,275,000 640,619 0.0%
#* SPT Energy Group, Inc. 2,484,000 267,126 0.0%
* SRE Group, Ltd. 21,316,285 494,525 0.0%
#* Starrise Media Holdings, Ltd. 286,000 26,139 0.0%
#* Taung Gold International, Ltd. 7,700,000 37,180 0.0%
# TCL Multimedia Technology Holdings, Ltd. 1,046,666 476,715 0.0%
#* Technovator International, Ltd. 2,224,000 548,200 0.0%
# Tenwow International Holdings, Ltd. 2,993,000 437,854 0.0%
Texhong Textile Group, Ltd. 609,000 848,452 0.0%
Tian An China Investment Co., Ltd. 5,025,000 3,050,061 0.0%
Tiangong International Co., Ltd. 1,110,000 246,494 0.0%
Tianjin Port Development Holdings, Ltd. 19,055,657 2,635,630 0.0%
Tianneng Power International, Ltd. 188,000 271,264 0.0%
Tianyi Summi Holdings, Ltd. 4,148,000 443,939 0.0%
# Tomson Group, Ltd. 2,426,825 1,212,485 0.0%
Tonly Electronics Holdings, Ltd. 330 335 0.0%
Top Spring International Holdings, Ltd. 108,000 44,800 0.0%
TPV Technology, Ltd. 9,036,496 1,113,145 0.0%
Trigiant Group, Ltd. 2,326,000 344,883 0.0%
* Trony Solar Holdings Co., Ltd. 8,775,000 131,927 0.0%
# United Energy Group, Ltd. 4,376,000 366,233 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
CHINA -- (Continued)
# Universal Medical Financial & Technical Advisory Services
Co., Ltd. 1,952,500 $ 1,800,974 0.0%
#* V1 Group, Ltd. 6,864,000 383,553 0.0%
# Wasion Group Holdings, Ltd. 4,382,000 2,454,131 0.0%
Weichai Power Co., Ltd. Class H 2,842,000 3,290,033 0.0%
Weiqiao Textile Co. Class H 3,833,000 1,857,046 0.0%
* West China Cement, Ltd. 25,138,000 5,098,633 0.0%
# Wisdom Sports Group 440,000 43,923 0.0%
* Wuzhou International Holdings, Ltd. 496,000 38,389 0.0%
Xiamen International Port Co., Ltd. Class H 9,956,000 1,744,099 0.0%
* Xinchen China Power Holdings, Ltd. 4,721,000 520,211 0.0%
Xingda International Holdings, Ltd. 9,291,842 3,318,837 0.0%
* Xingfa Aluminium Holdings, Ltd. 435,000 352,745 0.0%
Xinhua Winshare Publishing and Media Co., Ltd. Class H 1,050,000 819,404 0.0%
* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 2,692,000 371,360 0.0%
Xinyuan Real Estate Co., Ltd. ADR 55,965 281,504 0.0%
XTEP International Holdings, Ltd. 2,087,000 1,212,489 0.0%
* Yanchang Petroleum International, Ltd. 21,400,000 288,868 0.0%
Yanzhou Coal Mining Co., Ltd. Class H 8,546,000 10,693,785 0.1%
Yip's Chemical Holdings, Ltd. 842,000 296,178 0.0%
#* Youyuan International Holdings, Ltd. 3,376,251 1,927,296 0.0%
* Yuanda China Holdings, Ltd. 1,702,000 23,086 0.0%
* YuanShengTai Dairy Farm, Ltd. 658,000 25,096 0.0%
Yuexiu Property Co., Ltd. 59,840,786 13,463,077 0.1%
Yuzhou Properties Co., Ltd. 14,807,960 10,771,759 0.1%
Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 424,600 250,646 0.0%
#* Zhong An Real Estate, Ltd. 20,233,600 1,328,437 0.0%
Zhuhai Holdings Investment Group, Ltd. 1,312,000 168,291 0.0%
# Zoomlion Heavy Industry Science and Technology Co., Ltd.
Class H 9,018,200 3,873,609 0.0%
-------------- ----
TOTAL CHINA 3,557,862,177 17.7%
-------------- ----
COLOMBIA -- (0.2%)
Almacenes Exito SA 1,432,088 8,646,708 0.0%
Constructora Conconcreto SA 86,988 29,729 0.0%
Grupo Argos SA 1,218,199 8,673,681 0.1%
Grupo de Inversiones Suramericana SA 1,518,654 21,074,433 0.1%
Grupo Nutresa SA 193,270 1,871,494 0.0%
Mineros SA 65,037 54,758 0.0%
-------------- ----
TOTAL COLOMBIA 40,350,803 0.2%
-------------- ----
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 1,592,394 40,665,071 0.2%
-------------- ----
GREECE -- (0.0%)
* Alpha Bank AE 121,090 319,896 0.0%
Bank of Greece 26,513 483,225 0.0%
* Ellaktor SA 1,053,403 2,093,036 0.0%
* GEK Terna Holding Real Estate Construction SA 145,450 884,706 0.0%
* Intracom Holdings SA 1,511,057 1,561,272 0.0%
* Piraeus Bank SA 1,682 7,105 0.0%
-------------- ----
TOTAL GREECE 5,349,240 0.0%
-------------- ----
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HONG KONG -- (0.0%)
#* GCL New Energy Holdings, Ltd. 1,182,000 $ 65,561 0.0%
----------- ---
HUNGARY -- (0.3%)
MOL Hungarian Oil & Gas P.L.C. 2,457,408 28,397,247 0.1%
OTP Bank P.L.C. 804,282 35,069,396 0.2%
Richter Gedeon Nyrt 13,112 264,765 0.0%
----------- ---
TOTAL HUNGARY 63,731,408 0.3%
----------- ---
INDIA -- (11.4%)
* 5Paisa Capital, Ltd. 83,358 504,797 0.0%
* Aban Offshore, Ltd. 315,580 820,118 0.0%
ACC, Ltd. 276,108 6,532,641 0.1%
Adani Enterprises, Ltd. 3,374,526 7,035,178 0.1%
* Adani Green Energy, Ltd. 2,568,014 988,497 0.0%
* Adani Transmissions, Ltd. 1,114,791 2,792,734 0.0%
* Aditya Birla Capital, Ltd. 1,689,688 4,028,674 0.0%
* Aditya Birla Fashion and Retail, Ltd. 2,739,367 5,999,359 0.0%
Alembic, Ltd. 639,583 546,056 0.0%
* Allahabad Bank 1,291,820 946,286 0.0%
Allcargo Logistics, Ltd. 462,900 965,882 0.0%
Ambuja Cements, Ltd. 2,741,306 10,264,065 0.1%
* Amtek Auto, Ltd. 1,276,544 276,904 0.0%
Anant Raj, Ltd. 884,689 620,002 0.0%
* Andhra Bank 2,343,184 1,388,778 0.0%
Andhra Sugars, Ltd. (The) 14,835 87,736 0.0%
Apar Industries, Ltd. 151,900 1,834,047 0.0%
Apollo Tyres, Ltd. 3,884,806 17,061,288 0.1%
Arvind, Ltd. 2,074,030 13,104,390 0.1%
Ashoka Buildcon, Ltd. 260,216 1,100,269 0.0%
Astra Microwave Products, Ltd. 107,891 172,674 0.0%
Atul, Ltd. 1,109 49,130 0.0%
Axis Bank, Ltd. 11,051,055 85,472,655 0.4%
Bajaj Finserv, Ltd. 24,196 1,981,069 0.0%
* Bajaj Hindusthan Sugar, Ltd. 981,143 127,544 0.0%
Bajaj Holdings & Investment, Ltd. 394,050 15,911,758 0.1%
Balkrishna Industries, Ltd. 88,982 1,697,302 0.0%
Balmer Lawrie & Co., Ltd. 656,554 2,160,674 0.0%
Balrampur Chini Mills, Ltd. 2,074,917 2,181,632 0.0%
Banco Products India, Ltd. 42,635 147,581 0.0%
Bank of Baroda 2,171,362 4,805,778 0.0%
* Bank of India 737,171 1,139,625 0.0%
* Bank Of Maharashtra 969,657 201,645 0.0%
BEML, Ltd. 52,357 830,789 0.0%
* BGR Energy Systems, Ltd. 169,812 273,495 0.0%
Bharat Electronics, Ltd. 326,335 638,603 0.0%
Bharat Heavy Electricals, Ltd. 7,686,893 10,056,383 0.1%
Bharti Airtel, Ltd. 13,689,037 83,764,411 0.4%
Biocon, Ltd. 998,256 9,923,429 0.1%
Birla Corp., Ltd. 177,985 2,035,070 0.0%
Bombay Dyeing & Manufacturing Co., Ltd. 267,508 1,232,310 0.0%
* Bombay Rayon Fashions, Ltd. 18,941 6,531 0.0%
Brigade Enterprises, Ltd. 171,015 713,026 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
INDIA -- (Continued)
Canara Bank 1,065,655 $4,216,447 0.0%
Ceat, Ltd. 251,385 5,959,874 0.0%
* CG Power and Industrial Solutions, Ltd. 2,499,016 3,123,920 0.0%
Chambal Fertilizers & Chemicals, Ltd. 2,183,953 6,344,441 0.1%
Chennai Super Kings Cricket, Ltd. 5,080,767 32,118 0.0%
City Union Bank, Ltd. 1,439,465 3,959,645 0.0%
* Coffee Day Enterprises, Ltd. 38,981 201,448 0.0%
Container Corp. Of India, Ltd. 98,594 1,938,402 0.0%
* Corp. Bank 1,646,469 738,611 0.0%
Cox & Kings, Ltd. 1,259,399 4,114,698 0.0%
Crompton Greaves Consumer Electricals, Ltd. 105,163 368,462 0.0%
Cyient, Ltd. 124,698 1,414,690 0.0%
Dalmia Bharat Sugar & Industries, Ltd. 14,037 13,622 0.0%
Dalmia Bharat, Ltd. 97,181 4,436,660 0.0%
* DB Realty, Ltd. 873,103 833,657 0.0%
DCB Bank, Ltd. 2,363,711 6,873,418 0.1%
DCM Shriram, Ltd. 439,667 2,176,500 0.0%
Deepak Fertilisers & Petrochemicals Corp., Ltd. 433,809 2,289,346 0.0%
Deepak Nitrite, Ltd. 1,173 4,718 0.0%
Delta Corp., Ltd. 51,743 207,362 0.0%
* DEN Networks, Ltd. 391,626 602,677 0.0%
* Dena Bank 507,403 147,735 0.0%
Dewan Housing Finance Corp., Ltd. 2,041,909 19,476,495 0.1%
Dhampur Sugar Mills, Ltd. 49,279 70,351 0.0%
* Dishman Carbogen Amcis, Ltd. 1,414,095 7,976,182 0.1%
DLF, Ltd. 4,471,504 14,809,577 0.1%
Dr Reddy's Laboratories, Ltd. 195,683 6,195,524 0.0%
Dr Reddy's Laboratories, Ltd. ADR 98,163 3,171,647 0.0%
* Dredging Corp. Of India, Ltd. 40,740 378,224 0.0%
Edelweiss Financial Services, Ltd. 575,451 2,453,682 0.0%
EID Parry India, Ltd. 971,919 3,990,199 0.0%
EIH, Ltd. 983,731 2,566,187 0.0%
Electrosteel Castings, Ltd. 948,259 415,998 0.0%
Engineers India, Ltd. 508,340 1,202,295 0.0%
* Eros International Media, Ltd. 393,491 1,026,174 0.0%
Essel Propack, Ltd. 600,024 2,401,266 0.0%
Exide Industries, Ltd. 789,280 2,916,908 0.0%
FDC, Ltd. 37,340 140,030 0.0%
Federal Bank, Ltd. 12,197,858 17,898,830 0.1%
FIEM Industries, Ltd. 2,436 33,734 0.0%
Finolex Cables, Ltd. 523,007 5,442,364 0.0%
Finolex Industries, Ltd. 108,581 1,063,147 0.0%
* Firstsource Solutions, Ltd. 2,945,911 2,792,813 0.0%
* Fortis Healthcare, Ltd. 2,206,119 4,978,285 0.0%
Future Enterprises, Ltd. 1,388,089 792,223 0.0%
* Future Retail, Ltd. 1,330,582 12,000,490 0.1%
GAIL India, Ltd. 6,486,915 31,565,148 0.2%
Gateway Distriparks, Ltd. 202,846 511,076 0.0%
Gati, Ltd. 626,355 1,133,471 0.0%
Genus Power Infrastructures, Ltd. 121,218 93,593 0.0%
GHCL, Ltd. 253,975 1,045,498 0.0%
GIC Housing Finance, Ltd. 98,306 638,750 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
Glenmark Pharmaceuticals, Ltd. 121,426 $ 1,036,975 0.0%
GOCL Corp., Ltd. 12,102 91,277 0.0%
* Godawari Power and Ispat, Ltd. 12,840 108,131 0.0%
Granules India, Ltd. 319,152 517,655 0.0%
Graphite India, Ltd. 68,862 711,060 0.0%
Grasim Industries, Ltd. 1,573,004 25,536,684 0.1%
Great Eastern Shipping Co., Ltd. (The) 875,926 4,798,475 0.0%
Greaves Cotton, Ltd. 64,826 120,479 0.0%
Gujarat Alkalies & Chemicals, Ltd. 372,248 4,179,779 0.0%
Gujarat Ambuja Exports, Ltd. 20,459 88,631 0.0%
Gujarat Fluorochemicals, Ltd. 387,110 4,930,724 0.0%
Gujarat Mineral Development Corp., Ltd. 1,228,209 2,482,234 0.0%
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 655,128 4,670,913 0.0%
Gujarat Pipavav Port, Ltd. 41,935 92,002 0.0%
Gujarat State Fertilizers & Chemicals, Ltd. 2,186,080 4,384,141 0.0%
Gujarat State Petronet, Ltd. 2,384,500 6,332,914 0.1%
* Hathway Cable & Datacom, Ltd. 64,819 33,863 0.0%
HBL Power Systems, Ltd. 174,131 125,802 0.0%
HEG, Ltd. 120,919 4,987,669 0.0%
HeidelbergCement India, Ltd. 347,298 806,744 0.0%
Hikal, Ltd. 119,777 455,818 0.0%
HIL, Ltd. 1,131 38,603 0.0%
* Himachal Futuristic Communications, Ltd. 7,434,134 3,080,493 0.0%
Himatsingka Seide, Ltd. 374,187 2,162,162 0.0%
Hindalco Industries, Ltd. 13,021,581 45,600,857 0.2%
Hinduja Global Solutions, Ltd. 68,849 976,935 0.0%
Hindustan Media Ventures, Ltd. 11,103 38,504 0.0%
* Housing Development & Infrastructure, Ltd. 2,719,300 1,341,611 0.0%
HSIL, Ltd. 408,062 2,307,809 0.0%
HT Media, Ltd. 636,126 856,916 0.0%
ICICI Bank, Ltd. Sponsored ADR 10,946,768 93,156,995 0.5%
* IDBI Bank, Ltd. 3,052,662 3,005,138 0.0%
* Idea Cellular, Ltd. 18,594,249 19,211,604 0.1%
IDFC Bank, Ltd. 6,558,877 4,719,181 0.0%
IDFC, Ltd. 6,859,527 5,965,623 0.0%
* IFCI, Ltd. 8,839,280 2,620,033 0.0%
IIFL Holdings, Ltd. 2,793,003 31,997,459 0.2%
* IL&FS Transportation Networks, Ltd. 529,814 501,815 0.0%
India Cements, Ltd. (The) 2,685,958 5,881,171 0.0%
India Glycols, Ltd. 27,729 247,914 0.0%
* Indiabulls Real Estate, Ltd. 2,298,988 7,338,986 0.1%
Indian Bank 710,566 3,413,742 0.0%
Indian Hotels Co., Ltd. (The) 4,787,508 10,536,669 0.1%
Indian Metals & Ferro Alloys, Ltd. 9,230 65,621 0.0%
Indo Count Industries, Ltd. 30,020 42,039 0.0%
INEOS Styrolution India, Ltd. 31,624 435,492 0.0%
Infosys, Ltd. 348,010 6,239,479 0.0%
Ingersoll-Rand India, Ltd. 6,002 60,990 0.0%
* Inox Wind, Ltd. 65,968 106,140 0.0%
Insecticides India, Ltd. 11,210 123,037 0.0%
* Intellect Design Arena, Ltd. 476,136 1,408,789 0.0%
* International Paper APPM, Ltd. 9,109 45,172 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
Ipca Laboratories, Ltd. 23,144 $ 260,610 0.0%
J Kumar Infraprojects, Ltd. 70,145 296,118 0.0%
Jagran Prakashan, Ltd. 20,344 51,727 0.0%
Jai Corp., Ltd. 204,151 480,644 0.0%
Jain Irrigation Systems, Ltd. 5,173,472 8,988,132 0.1%
* Jaiprakash Associates, Ltd. 17,658,065 5,169,505 0.0%
* Jammu & Kashmir Bank, Ltd. (The) 3,014,805 2,550,723 0.0%
* Jaypee Infratech, Ltd. 5,488,982 424,022 0.0%
JB Chemicals & Pharmaceuticals, Ltd. 439,023 2,102,564 0.0%
JBF Industries, Ltd. 264,505 406,119 0.0%
Jindal Poly Films, Ltd. 303,612 1,392,410 0.0%
Jindal Saw, Ltd. 1,852,856 3,424,047 0.0%
* Jindal Stainless, Ltd. 73,494 100,910 0.0%
* Jindal Steel & Power, Ltd. 4,783,550 17,859,444 0.1%
* JITF Infralogistics, Ltd. 50,837 27,230 0.0%
JK Cement, Ltd. 201,544 3,018,897 0.0%
JK Lakshmi Cement, Ltd. 387,944 2,368,769 0.0%
JK Paper, Ltd. 215,005 453,078 0.0%
JK Tyre & Industries, Ltd. 1,014,032 2,363,738 0.0%
JM Financial, Ltd. 3,798,636 7,949,584 0.1%
JMC Projects India, Ltd. 7,426 74,054 0.0%
JSW Energy, Ltd. 5,451,141 6,929,984 0.1%
* JSW Holdings, Ltd. 2,820 82,398 0.0%
JSW Steel, Ltd. 16,756,508 81,283,780 0.4%
Jubilant Life Sciences, Ltd. 993,088 13,101,076 0.1%
Kalpataru Power Transmission, Ltd. 685,681 5,011,132 0.0%
Kalyani Steels, Ltd. 28,587 136,239 0.0%
Karnataka Bank, Ltd. (The) 2,303,013 4,217,221 0.0%
Karur Vysya Bank, Ltd. (The) 2,256,954 3,680,838 0.0%
Kaveri Seed Co., Ltd. 108,771 865,384 0.0%
KCP, Ltd. 87,390 176,120 0.0%
KEC International, Ltd. 105,719 642,805 0.0%
* Kiri Industries, Ltd. 37,272 227,200 0.0%
Kirloskar Brothers, Ltd. 11,195 47,906 0.0%
Kirloskar Oil Engines, Ltd. 294,687 1,471,108 0.0%
Kolte-Patil Developers, Ltd. 98,720 480,045 0.0%
KPIT Technologies, Ltd. 1,739,481 6,684,904 0.1%
KRBL, Ltd. 130,263 871,180 0.0%
L&T Finance Holdings, Ltd. 384,640 992,174 0.0%
Lakshmi Machine Works, Ltd. 5,546 700,352 0.0%
Lakshmi Vilas Bank, Ltd. (The) 474,085 642,897 0.0%
Larsen & Toubro, Ltd. 4,214,051 88,344,821 0.5%
LEEL Electricals, Ltd. 24,119 83,037 0.0%
LIC Housing Finance, Ltd. 918,870 7,499,038 0.1%
LT Foods, Ltd. 39,519 53,367 0.0%
Lupin, Ltd. 464,996 5,627,275 0.0%
Magma Fincorp, Ltd. 139,818 358,560 0.0%
Maharashtra Seamless, Ltd. 125,611 864,876 0.0%
Mahindra & Mahindra Financial Services, Ltd. 1,109,734 8,725,724 0.1%
Mahindra & Mahindra, Ltd. 4,046,615 52,730,423 0.3%
* Mahindra CIE Automotive, Ltd. 29,954 112,695 0.0%
Mahindra Lifespace Developers, Ltd. 236,010 1,647,127 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Man Infraconstruction, Ltd. 217,937 $ 171,641 0.0%
Manappuram Finance, Ltd. 4,335,419 7,892,630 0.1%
Mangalam Cement, Ltd. 7,882 36,199 0.0%
Mastek, Ltd. 50,929 428,541 0.0%
McLeod Russel India, Ltd. 671,066 1,560,353 0.0%
Meghmani Organics, Ltd. 195,896 301,685 0.0%
Mercator, Ltd. 353,028 154,960 0.0%
Merck, Ltd. 79,792 2,524,736 0.0%
MindTree, Ltd. 74,555 1,205,916 0.0%
Mirza International, Ltd. 14,751 30,143 0.0%
MOIL, Ltd. 263,569 806,594 0.0%
Monte Carlo Fashions, Ltd. 6,053 49,397 0.0%
Mphasis, Ltd. 519,146 8,185,035 0.1%
* MPS, Ltd. 2,576 25,404 0.0%
MRF, Ltd. 13,476 16,069,083 0.1%
Munjal Showa, Ltd. 11,077 37,594 0.0%
Muthoot Finance, Ltd. 523,781 3,511,535 0.0%
* Nagarjuna Fertilizers & Chemicals, Ltd. 1,812,637 467,365 0.0%
National Aluminium Co., Ltd. 4,964,081 5,915,375 0.0%
National Fertilizers, Ltd. 33,882 28,660 0.0%
Nava Bharat Ventures, Ltd. 313,125 695,462 0.0%
* Navkar Corp., Ltd. 52,794 138,962 0.0%
NCC, Ltd. 5,713,427 11,338,726 0.1%
Nectar Lifesciences, Ltd. 268,595 109,312 0.0%
NIIT Technologies, Ltd. 537,348 9,256,316 0.1%
* NIIT, Ltd. 579,255 998,969 0.0%
Nilkamal, Ltd. 52,527 1,341,173 0.0%
Oberoi Realty, Ltd. 701,136 5,747,620 0.0%
OCL India, Ltd. 105,934 2,234,590 0.0%
Omaxe, Ltd. 396,953 1,319,524 0.0%
OnMobile Global, Ltd. 225,991 139,545 0.0%
Orient Cement, Ltd. 621,657 1,321,270 0.0%
* Oriental Bank of Commerce 975,550 1,367,073 0.0%
* Parsvnath Developers, Ltd. 68,847 15,199 0.0%
* Patel Engineering, Ltd. 60,844 56,955 0.0%
PC Jeweller, Ltd. 1,220,290 2,582,329 0.0%
Persistent Systems, Ltd. 134,762 1,624,104 0.0%
Petronet LNG, Ltd. 4,844,788 16,414,782 0.1%
Phillips Carbon Black, Ltd. 64,910 251,543 0.0%
Piramal Enterprises, Ltd. 720,378 27,942,627 0.2%
Polyplex Corp., Ltd. 13,302 95,257 0.0%
Power Finance Corp., Ltd. 6,211,801 8,159,442 0.1%
Power Mech Projects, Ltd. 2,784 42,497 0.0%
Prabhat Dairy, Ltd. 32,831 87,459 0.0%
Praj Industries, Ltd. 1,039,097 1,454,105 0.0%
* Prakash Industries, Ltd. 309,658 970,255 0.0%
* Praxis Home Retail, Ltd. 7,702 32,775 0.0%
Prestige Estates Projects, Ltd. 364,262 1,662,545 0.0%
PTC India Financial Services, Ltd. 2,660,009 1,004,312 0.0%
PTC India, Ltd. 3,168,880 4,346,375 0.0%
* Punjab & Sind Bank 16,659 8,895 0.0%
* Punjab National Bank 3,013,053 4,290,989 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
Puravankara, Ltd. 471,054 $ 1,113,980 0.0%
Radico Khaitan, Ltd. 681,924 4,245,562 0.0%
Rain Commodities, Ltd. 885,256 4,192,912 0.0%
Rajesh Exports, Ltd. 17,376 176,509 0.0%
Ramco Industries, Ltd. 39,974 161,122 0.0%
* Ramco Systems, Ltd. 7,170 50,071 0.0%
Rashtriya Chemicals & Fertilizers, Ltd. 926,317 1,114,507 0.0%
Raymond, Ltd. 363,799 6,063,874 0.0%
Redington India, Ltd. 2,123,429 4,372,811 0.0%
Reliance Capital, Ltd. 945,712 6,126,196 0.0%
* Reliance Communications, Ltd. 16,228,734 3,681,003 0.0%
* Reliance Home Finance, Ltd. 1,766,396 1,636,030 0.0%
Reliance Industries, Ltd. 34,030,289 489,161,967 2.4%
Reliance Industries, Ltd. GDR 98,068 2,821,817 0.0%
* Reliance Naval and Engineering, Ltd. 22,287 6,026 0.0%
* Reliance Power, Ltd. 8,848,791 4,872,285 0.0%
Rico Auto Industries, Ltd. 59,993 70,030 0.0%
* Rolta India, Ltd. 522,028 481,973 0.0%
RSWM, Ltd. 2,943 14,797 0.0%
* Ruchi Soya Industries, Ltd. 456,150 103,784 0.0%
Rural Electrification Corp., Ltd. 9,418,048 17,926,788 0.1%
Sangam India, Ltd. 2,135 4,086 0.0%
* Sanghi Industries, Ltd. 33,670 56,919 0.0%
Sanghvi Movers, Ltd. 45,111 139,892 0.0%
Sarda Energy & Minerals, Ltd. 29,913 210,610 0.0%
Sasken Technologies, Ltd. 6,664 96,655 0.0%
* Shipping Corp. of India, Ltd. 1,795,911 2,001,675 0.0%
Shriram City Union Finance, Ltd. 6,698 241,957 0.0%
Shriram Transport Finance Co., Ltd. 966,255 23,212,474 0.1%
* Sical Logistics, Ltd. 3,268 10,274 0.0%
Simplex Infrastructures, Ltd. 56,846 513,885 0.0%
Sintex Industries, Ltd. 2,517,100 667,109 0.0%
* Sintex Plastics Technology, Ltd. 7,846,946 6,291,148 0.1%
Siyaram Silk Mills, Ltd. 3,315 33,940 0.0%
SML ISUZU, Ltd. 5,958 79,280 0.0%
* Snowman Logistics, Ltd. 36,270 27,622 0.0%
Sobha, Ltd. 769,693 6,306,930 0.1%
* Solara Active Pharma Sciences, Ltd. 1,685 2,926 0.0%
Sonata Software, Ltd. 167,008 899,449 0.0%
South Indian Bank, Ltd. (The) 11,772,339 4,639,678 0.0%
SREI Infrastructure Finance, Ltd. 1,890,601 2,411,955 0.0%
SRF, Ltd. 216,893 7,728,204 0.1%
Srikalahasthi Pipes, Ltd. 28,332 146,406 0.0%
State Bank of India 11,878,292 43,622,995 0.2%
* Steel Authority of India, Ltd. 2,740,577 3,158,399 0.0%
Strides Arcolab, Ltd. 10,111 96,498 0.0%
Sunteck Realty, Ltd. 117,718 751,160 0.0%
Surya Roshni, Ltd. 43,697 276,037 0.0%
Sutlej Textiles and Industries, Ltd. 7,506 7,962 0.0%
Suven Life Sciences, Ltd. 19,227 51,452 0.0%
* Syndicate Bank 2,092,900 1,719,235 0.0%
TAKE Solutions, Ltd. 342,649 1,101,407 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
INDIA -- (Continued)
Tamil Nadu Newsprint & Papers, Ltd. 293,002 $ 1,543,917 0.0%
Tata Chemicals, Ltd. 1,763,982 20,133,061 0.1%
Tata Global Beverages, Ltd. 5,236,799 23,267,257 0.1%
* Tata Motors, Ltd. 14,885,959 75,324,923 0.4%
#* Tata Motors, Ltd. Sponsored ADR 103,766 2,606,602 0.0%
Tata Steel, Ltd.(6101156) 5,248,434 46,481,747 0.2%
* Tata Steel, Ltd.(BD3NJK9) 402,178 958,141 0.0%
Tech Mahindra, Ltd. 1,558,572 15,561,547 0.1%
* Techno Electric & Engineering Co., Ltd. 38,043 195,466 0.0%
Texmaco Rail & Engineering, Ltd. 183,428 231,230 0.0%
TI Financial Holdings, Ltd. 584,777 6,384,101 0.1%
Tide Water Oil Co India, Ltd. 144 13,763 0.0%
Time Technoplast, Ltd. 1,115,207 2,655,686 0.0%
Titagarh Wagons, Ltd. 223,002 388,036 0.0%
Tourism Finance Corp. of India, Ltd. 8,737 20,657 0.0%
Transport Corp. of India, Ltd. 53,738 234,845 0.0%
Trident, Ltd. 138,685 141,954 0.0%
Triveni Engineering & Industries, Ltd. 47,998 29,056 0.0%
Tube Investments of India, Ltd. 592,499 2,071,539 0.0%
TV Today Network, Ltd. 29,230 209,514 0.0%
* TV18 Broadcast, Ltd. 6,567,720 6,255,750 0.1%
* UCO Bank 2,330,376 683,373 0.0%
Uflex, Ltd. 455,786 2,301,302 0.0%
UFO Moviez India, Ltd. 18,433 107,720 0.0%
Unichem Laboratories, Ltd. 307,448 1,289,403 0.0%
* Union Bank of India 2,045,981 2,902,273 0.0%
* Unitech, Ltd. 12,073,793 1,041,414 0.0%
UPL, Ltd. 514,172 5,619,791 0.0%
VA Tech Wabag, Ltd. 62,505 473,857 0.0%
Vardhman Textiles, Ltd. 239,481 4,393,869 0.0%
Vedanta, Ltd. 19,014,264 84,414,582 0.4%
# Vedanta, Ltd. ADR 1,149,890 20,376,058 0.1%
Vijaya Bank 2,481,438 2,365,057 0.0%
Vindhya Telelinks, Ltd. 9,163 166,291 0.0%
Visaka Industries, Ltd. 10,053 118,422 0.0%
Welspun Corp., Ltd. 1,422,592 3,007,193 0.0%
Welspun Enterprises, Ltd. 597,457 1,342,882 0.0%
Welspun India, Ltd. 988,811 844,919 0.0%
West Coast Paper Mills, Ltd. 35,117 150,712 0.0%
Wipro, Ltd. 6,919,490 28,709,127 0.2%
* Wockhardt, Ltd. 276,374 3,443,428 0.0%
Zensar Technologies, Ltd. 165,883 3,161,468 0.0%
Zuari Agro Chemicals, Ltd. 23,149 171,621 0.0%
-------------- ----
TOTAL INDIA 2,358,822,037 11.7%
-------------- ----
INDONESIA -- (2.4%)
Adaro Energy Tbk PT 214,802,700 28,128,658 0.2%
Adhi Karya Persero Tbk PT 21,642,300 2,895,016 0.0%
Agung Podomoro Land Tbk PT 86,995,500 1,321,536 0.0%
Alam Sutera Realty Tbk PT 155,718,600 4,058,303 0.0%
Aneka Tambang Tbk PT 94,883,377 5,702,605 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
INDONESIA -- (Continued)
Asahimas Flat Glass Tbk PT 4,891,900 $ 1,795,304 0.0%
Astra Agro Lestari Tbk PT 2,825,467 2,590,409 0.0%
Astra Graphia Tbk PT 436,900 45,498 0.0%
* Bakrie and Brothers Tbk PT 393,548,150 1,414,369 0.0%
* Bakrie Telecom Tbk PT 160,430,200 576,569 0.0%
Bank Bukopin Tbk 59,254,833 1,816,137 0.0%
Bank Danamon Indonesia Tbk PT 35,689,154 17,012,362 0.1%
Bank Mandiri Persero Tbk PT 130,437,562 66,073,713 0.3%
Bank Negara Indonesia Persero Tbk PT 96,046,041 55,295,218 0.3%
* Bank Pan Indonesia Tbk PT 119,181,201 8,085,135 0.1%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 35,218,400 5,211,651 0.0%
Bank Pembangunan Daerah Jawa Timur Tbk PT 22,347,700 1,145,657 0.0%
Bank Rakyat Indonesia Persero Tbk PT 1,869,000 430,932 0.0%
Bank Tabungan Negara Persero Tbk PT 63,257,827 14,097,482 0.1%
* Barito Pacific Tbk PT 46,009,400 8,135,319 0.1%
Bekasi Fajar Industrial Estate Tbk PT 50,123,300 955,574 0.0%
* Benakat Integra Tbk PT 142,047,100 732,475 0.0%
BISI International Tbk PT 13,394,400 1,837,215 0.0%
Blue Bird Tbk PT 58,800 11,963 0.0%
Bumi Serpong Damai Tbk PT 70,830,700 8,553,108 0.1%
Ciputra Development Tbk PT 171,551,278 13,494,749 0.1%
* Clipan Finance Indonesia Tbk PT 2,995,500 70,177 0.0%
* Eagle High Plantations Tbk PT 111,235,400 1,989,479 0.0%
Elnusa Tbk PT 51,940,700 1,570,988 0.0%
* Energi Mega Persada Tbk PT 2,808,701 41,799 0.0%
Erajaya Swasembada Tbk PT 18,072,500 2,213,855 0.0%
* Eureka Prima Jakarta Tbk PT 1,297,300 7,145 0.0%
Gajah Tunggal Tbk PT 16,976,300 991,103 0.0%
* Garuda Indonesia Persero Tbk PT 45,666,781 938,100 0.0%
Global Mediacom Tbk PT 103,819,600 4,312,779 0.0%
* Hanson International Tbk PT 48,742,700 491,828 0.0%
* Harum Energy Tbk PT 12,685,900 2,320,973 0.0%
Hexindo Adiperkasa Tbk PT 721,744 173,800 0.0%
* Holcim Indonesia Tbk PT 26,217,400 1,506,005 0.0%
Indah Kiat Pulp & Paper Corp. Tbk PT 37,484,800 35,390,469 0.2%
* Indika Energy Tbk PT 5,814,600 1,413,236 0.0%
Indo Tambangraya Megah Tbk PT 4,115,000 6,973,494 0.1%
Indofood Sukses Makmur Tbk PT 63,814,800 31,905,518 0.2%
Intiland Development Tbk PT 98,193,800 2,173,063 0.0%
Japfa Comfeed Indonesia Tbk PT 46,112,550 4,994,233 0.0%
Jaya Real Property Tbk PT 117,807,800 6,942,930 0.1%
Kawasan Industri Jababeka Tbk PT 296,578,056 5,235,937 0.0%
KMI Wire & Cable Tbk PT 7,493,500 235,459 0.0%
* Krakatau Steel Persero Tbk PT 6,016,800 189,739 0.0%
* Lippo Cikarang Tbk PT 3,669,000 607,992 0.0%
Lippo Karawaci Tbk PT 271,296,149 8,665,567 0.1%
Malindo Feedmill Tbk PT 331,200 18,549 0.0%
* Matahari Putra Prima Tbk PT 4,231,700 103,285 0.0%
* Medco Energi Internasional Tbk PT 114,945,767 9,878,906 0.1%
Media Nusantara Citra Tbk PT 7,940,300 751,204 0.0%
Metrodata Electronics Tbk PT 1,590,750 86,977 0.0%
Mitra Pinasthika Mustika Tbk PT 1,984,700 164,081 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
INDONESIA -- (Continued)
* MNC Investama Tbk PT 332,569,700 $ 2,472,268 0.0%
Modernland Realty Tbk PT 89,667,000 2,284,280 0.0%
Multipolar Tbk PT 69,277,200 610,717 0.0%
* Nirvana Development Tbk PT 1,000,000 6,514 0.0%
Nusantara Infrastructure Tbk PT 171,119,700 2,407,112 0.0%
Pabrik Kertas Tjiwi Kimia Tbk PT 1,941,100 1,430,140 0.0%
Pan Brothers Tbk PT 39,179,650 1,292,570 0.0%
* Panin Financial Tbk PT 203,836,500 3,443,784 0.0%
* Panin Insurance Tbk PT 29,566,000 2,426,009 0.0%
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 47,582,484 4,303,001 0.0%
PP Persero Tbk PT 24,466,800 4,246,797 0.0%
Ramayana Lestari Sentosa Tbk PT 41,197,600 4,204,357 0.0%
Salim Ivomas Pratama Tbk PT 47,477,800 1,923,835 0.0%
Sampoerna Agro PT 11,967,241 2,022,330 0.0%
Selamat Sempurna Tbk PT 33,177,500 3,455,066 0.0%
Semen Baturaja Persero Tbk PT 9,153,700 2,756,206 0.0%
Semen Indonesia Persero Tbk PT 17,839,500 12,321,471 0.1%
* Sentul City Tbk PT 157,766,600 2,105,386 0.0%
Sinar Mas Agro Resources & Technology Tbk PT 7,724,800 2,054,569 0.0%
Sri Rejeki Isman Tbk PT 126,718,200 3,105,478 0.0%
Summarecon Agung Tbk PT 7,521,900 486,667 0.0%
Surya Semesta Internusa Tbk PT 50,770,900 1,941,240 0.0%
* Tiga Pilar Sejahtera Food Tbk 38,045,922 1,483,275 0.0%
Timah Tbk PT 46,736,660 3,420,793 0.0%
Tiphone Mobile Indonesia Tbk PT 7,827,700 463,468 0.0%
Trias Sentosa Tbk PT 336,500 9,252 0.0%
* Truba Alam Manunggal Engineering PT 129,244,500 46,449 0.0%
Tunas Baru Lampung Tbk PT 23,711,800 2,008,905 0.0%
Tunas Ridean Tbk PT 35,397,000 3,434,715 0.0%
Ultrajaya Milk Industry & Trading Co. Tbk PT 24,659,100 2,631,886 0.0%
Unggul Indah Cahaya Tbk PT 319,635 81,076 0.0%
United Tractors Tbk PT 13,575,100 33,121,662 0.2%
* Vale Indonesia Tbk PT 21,383,700 4,807,873 0.0%
Waskita Beton Precast Tbk PT 21,398,500 617,887 0.0%
Wijaya Karya Beton Tbk PT 7,950,200 271,459 0.0%
Wijaya Karya Persero Tbk PT 23,467,400 2,661,083 0.0%
* XL Axiata Tbk PT 17,256,100 2,615,425 0.0%
------------ ---
TOTAL INDONESIA 502,750,632 2.5%
------------ ---
MALAYSIA -- (2.8%)
Aeon Co. M Bhd 208,800 107,429 0.0%
Affin Bank Bhd 10,731,350 6,867,714 0.1%
AirAsia Group Bhd 17,947,500 17,533,228 0.1%
Alliance Bank Malaysia Bhd 15,784,300 17,425,565 0.1%
Allianz Malaysia Bhd 28,800 84,852 0.0%
AMMB Holdings Bhd 20,328,362 20,077,422 0.1%
# Ann Joo Resources Bhd 1,651,100 1,237,785 0.0%
APM Automotive Holdings Bhd 721,300 619,880 0.0%
Batu Kawan Bhd 2,055,950 9,631,828 0.1%
Benalec Holdings Bhd 6,291,500 469,535 0.0%
* Berjaya Assets BHD 809,200 94,261 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
MALAYSIA -- (Continued)
* Berjaya Corp. Bhd 36,701,078 $ 2,699,491 0.0%
* Berjaya Land Bhd 13,220,000 1,064,437 0.0%
BIMB Holdings Bhd 904,007 960,119 0.0%
Boustead Holdings Bhd 12,661,991 8,274,046 0.1%
Boustead Plantations Bhd 2,536,100 806,155 0.0%
* Bumi Armada Bhd 25,619,100 5,460,776 0.0%
Can-One Bhd 401,400 257,325 0.0%
# CB Industrial Product Holding Bhd 1,722,100 644,149 0.0%
Century Logistics Holdings Bhd Class B 71,300 13,300 0.0%
Chin Teck Plantations Bhd 309,100 549,005 0.0%
CIMB Group Holdings Bhd 38,988,523 71,054,797 0.4%
# Coastal Contracts Bhd 3,357,500 1,003,524 0.0%
CSC Steel Holdings Bhd 2,010,456 691,970 0.0%
Cypark Resources Bhd 128,900 80,847 0.0%
#* Dayang Enterprise Holdings Bhd 2,480,000 489,770 0.0%
DRB-Hicom Bhd 10,460,600 5,727,090 0.0%
Eastern & Oriental Bhd 10,581,680 3,764,740 0.0%
#* Eco World Development Group Bhd 3,525,100 1,029,565 0.0%
# Ekovest Bhd 3,624,500 752,482 0.0%
Engtex Group Bhd 423,500 104,823 0.0%
# Evergreen Fibreboard Bhd 6,661,289 719,144 0.0%
FAR East Holdings Bhd 403,800 1,140,035 0.0%
# Felda Global Ventures Holdings Bhd 16,288,800 7,049,490 0.1%
Gadang Holdings Bhd 2,059,100 425,048 0.0%
# Genting Bhd 23,221,200 52,735,159 0.3%
# Genting Malaysia Bhd 20,680,100 26,924,921 0.2%
Glomac Bhd 6,667,650 823,779 0.0%
GuocoLand Malaysia Bhd 2,797,700 647,149 0.0%
HAP Seng Consolidated Bhd 4,303,282 10,707,504 0.1%
Hap Seng Plantations Holdings Bhd 3,352,400 2,094,819 0.0%
HeveaBoard Bhd 530,300 104,735 0.0%
* Hiap Teck Venture Bhd 7,363,300 703,795 0.0%
Hong Leong Financial Group Bhd 2,837,334 14,007,304 0.1%
Hong Leong Industries Bhd 599,400 1,642,920 0.0%
Hua Yang Bhd 2,148,310 259,492 0.0%
I-Bhd 84,900 10,372 0.0%
IGB Bhd 3,223,995 2,413,537 0.0%
IJM Corp. Bhd 35,706,018 27,031,071 0.2%
# Insas Bhd 7,132,700 1,381,813 0.0%
IOI Properties Group Bhd 5,418,925 2,151,917 0.0%
* Iris Corp. Bhd 21,281,900 881,961 0.0%
#* Iskandar Waterfront City Bhd 1,175,800 214,717 0.0%
#* JAKS Resources Bhd 3,484,900 1,258,952 0.0%
Jaya Tiasa Holdings Bhd 5,444,733 1,089,857 0.0%
JCY International Bhd 8,758,900 678,220 0.0%
Keck Seng Malaysia Bhd 2,504,000 2,545,871 0.0%
Kenanga Investment Bank Bhd 2,020,487 299,362 0.0%
# Kian JOO CAN Factory Bhd 4,543,780 2,945,720 0.0%
# Kimlun Corp. Bhd 872,895 470,829 0.0%
#* KNM Group Bhd 24,453,390 1,272,711 0.0%
# Kretam Holdings Bhd 3,429,400 714,524 0.0%
#* KSL Holdings Bhd 8,701,951 2,101,117 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
MALAYSIA -- (Continued)
Kumpulan Fima Bhd 2,063,300 $ 776,912 0.0%
Kumpulan Perangsang Selangor Bhd 2,397,900 808,525 0.0%
* Kwantas Corp. Bhd 214,500 78,885 0.0%
Land & General Bhd 34,051,620 1,464,840 0.0%
* Landmarks BHD 2,119,208 377,196 0.0%
# LBS Bina Group Bhd 8,370,780 2,045,248 0.0%
#* Lion Industries Corp. Bhd 2,160,700 515,171 0.0%
Magnum Bhd 5,821,000 2,651,513 0.0%
Mah Sing Group Bhd 14,040,162 3,637,714 0.0%
Malayan Banking Bhd 5,479,979 15,023,178 0.1%
Malayan Flour Mills Bhd 3,224,250 1,256,935 0.0%
* Malayan United Industries Bhd 403,500 17,302 0.0%
Malaysia Airports Holdings Bhd 950,654 2,177,935 0.0%
Malaysia Building Society Bhd 10,688,736 3,119,904 0.0%
Malaysia Marine and Heavy Engineering Holdings Bhd 2,477,000 497,850 0.0%
#* Malaysian Bulk Carriers Bhd 4,678,625 771,434 0.0%
Malaysian Pacific Industries Bhd 272,475 538,488 0.0%
# Malaysian Resources Corp. Bhd 25,268,000 6,564,238 0.1%
# Malton Bhd 4,504,200 922,732 0.0%
Matrix Concepts Holdings Bhd 71,900 36,891 0.0%
MBM Resources Bhd 2,625,103 1,598,587 0.0%
# Media Prima Bhd 6,626,700 533,913 0.0%
Mega First Corp. Bhd 1,685,100 1,414,284 0.0%
MISC Bhd 14,246,004 25,867,900 0.1%
Mitrajaya Holdings Bhd 496,730 74,895 0.0%
* MK Land Holdings Bhd 3,511,400 142,535 0.0%
# MKH Bhd 4,214,878 1,475,424 0.0%
MMC Corp. Bhd 12,384,480 4,511,379 0.0%
* MNRB Holdings Bhd 2,353,450 1,462,928 0.0%
* MPHB Capital Bhd 53,100 17,024 0.0%
Muda Holdings Bhd 66,300 36,602 0.0%
* Mudajaya Group Bhd 4,184,700 701,932 0.0%
Muhibbah Engineering M Bhd 4,199,800 3,154,367 0.0%
* Mulpha International Bhd 2,102,460 1,091,907 0.0%
* Naim Holdings Bhd 1,818,800 440,056 0.0%
# Oriental Holdings Bhd 3,474,679 5,547,697 0.0%
# OSK Holdings Bhd 11,615,106 2,945,796 0.0%
Pacific & Orient Bhd 390,052 107,427 0.0%
Panasonic Manufacturing Malaysia BHD 281,080 2,500,662 0.0%
Pantech Group Holdings Bhd 4,446,309 663,821 0.0%
Paramount Corp. Bhd 1,734,425 829,925 0.0%
#* Parkson Holdings Bhd 6,452,528 652,885 0.0%
* Perdana Petroleum Bhd 753,577 44,465 0.0%
PPB Group Bhd 4,906,366 24,007,505 0.1%
Protasco Bhd 4,287,091 853,368 0.0%
RHB Bank Bhd 9,150,000 12,303,192 0.1%
#* Rimbunan Sawit Bhd 6,810,000 543,325 0.0%
* Salcon Bhd 695,083 70,403 0.0%
# Sapura Energy Bhd 38,542,000 6,204,894 0.0%
# Sarawak Oil Palms Bhd 677,967 620,615 0.0%
* Scomi Group Bhd 5,158,150 144,499 0.0%
Selangor Dredging Bhd 1,352,800 261,767 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
Selangor Properties Bhd 75,300 $ 80,450 0.0%
Shangri-La Hotels Malaysia Bhd 511,500 764,471 0.0%
SHL Consolidated Bhd 331,800 213,234 0.0%
Sime Darby Bhd 1,946,900 1,318,490 0.0%
# SP Setia Bhd Group 6,617,623 5,358,293 0.0%
Star Media Group Bhd 1,710,000 477,159 0.0%
* Sumatec Resources Bhd 2,855,100 47,447 0.0%
# Sunway Bhd 16,793,771 6,441,429 0.1%
Supermax Corp. Bhd 6,010,300 4,385,468 0.0%
Suria Capital Holdings Bhd 824,400 349,243 0.0%
Symphony Life Bhd 735,324 132,852 0.0%
Ta Ann Holdings Bhd 2,376,826 1,895,903 0.0%
TA Enterprise Bhd 18,166,700 2,560,136 0.0%
TA Global Bhd 15,391,880 1,095,462 0.0%
# TAN Chong Motor Holdings Bhd 4,082,500 1,746,274 0.0%
TDM Bhd 13,597,220 1,170,591 0.0%
TH Plantations Bhd 900,500 166,042 0.0%
Thong Guan Industries Bhd 114,200 71,302 0.0%
# Time dotCom Bhd 3,374,580 6,899,022 0.1%
# Tiong NAM Logistics Holdings 1,581,462 438,010 0.0%
Tropicana Corp. Bhd 8,398,246 1,879,756 0.0%
TSH Resources Bhd 95,400 31,273 0.0%
UEM Edgenta Bhd 1,330,200 814,729 0.0%
* UEM Sunrise Bhd 19,449,445 4,555,587 0.0%
* UMW Holdings Bhd 823,700 1,278,840 0.0%
#* UMW Oil & Gas Corp. Bhd 16,557,528 1,126,536 0.0%
# Unisem M Bhd 4,832,500 2,208,882 0.0%
United Malacca Bhd 960,500 1,494,144 0.0%
United Plantations Bhd 47,100 319,635 0.0%
UOA Development Bhd 7,856,700 4,854,007 0.0%
* Vivocom International Holdings Bhd 2,235,400 36,796 0.0%
* Vizione Holdings Bhd 550,900 18,098 0.0%
* Wah Seong Corp. Bhd 3,782,783 1,359,641 0.0%
#* WCT Holdings Bhd 12,229,062 3,815,542 0.0%
WTK Holdings Bhd 5,299,750 903,519 0.0%
Yinson Holdings BHD 10,600 10,656 0.0%
#* YNH Property Bhd 6,824,825 2,382,966 0.0%
YTL Corp. Bhd 79,659,243 29,278,137 0.2%
* YTL Land & Development Bhd 1,700,400 201,579 0.0%
------------ ---
TOTAL MALAYSIA 583,316,226 2.9%
------------ ---
MEXICO -- (3.5%)
# Alfa S.A.B. de C.V. Class A 34,158,731 43,762,218 0.2%
# Alpek S.A.B. de C.V. 4,125,775 5,894,579 0.0%
#* Axtel S.A.B. de C.V. 5,800,876 1,315,135 0.0%
Banco Santander Mexico SA Institucion de Banca Multiple
Grupo Financiero Santand ADR 1,848,434 13,549,021 0.1%
# Banco Santander Mexico SA Institucion de Banca Multiple
Grupo Financiero Santand Class B 4,993,822 7,388,444 0.1%
* Bio Pappel S.A.B. de C.V. 439,582 424,491 0.0%
* Cemex S.A.B. de C.V. Sponsored ADR 10,615,242 65,920,656 0.3%
Coca-Cola Femsa S.A.B. de C.V. Series L 1,279,177 8,296,640 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (Continued)
# Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 118,579 $ 7,783,526 0.1%
Consorcio ARA S.A.B. de C.V. Series * 9,341,886 3,521,555 0.0%
* Corp Interamericana de Entretenimiento S.A.B. de C.V.
Class B 1,539,086 1,510,526 0.0%
Corp. Actinver S.A.B. de C.V. 105,133 77,014 0.0%
Credito Real S.A.B. de C.V. SOFOM ER 1,144,271 1,666,659 0.0%
Cydsa S.A.B. de C.V. 5,874 9,894 0.0%
Dine S.A.B. de C.V. 1,027,267 557,245 0.0%
# El Puerto de Liverpool S.A.B. de C.V. 273,535 1,816,103 0.0%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 1,097,422 106,076,810 0.5%
#* Grupo Aeromexico S.A.B. de C.V. 1,315,349 1,834,254 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 1,134 118,128 0.0%
# Grupo Carso S.A.B. de C.V. Series A1 6,484,596 23,480,679 0.1%
Grupo Cementos de Chihuahua S.A.B. de C.V. 2,382,190 13,883,970 0.1%
Grupo Comercial Chedraui S.A. de C.V. 2,870,384 6,039,424 0.0%
# Grupo Elektra S.A.B. de C.V. 268,139 7,331,866 0.1%
#* Grupo Famsa S.A.B. de C.V. Class A 2,627,842 1,721,259 0.0%
# Grupo Financiero Banorte S.A.B. de C.V. 18,991,148 118,767,978 0.6%
# Grupo Financiero Inbursa S.A.B. de C.V. 14,982,956 24,939,481 0.1%
Grupo Financiero Interacciones SA de C.V. Class O 837,669 4,098,753 0.0%
* Grupo Gigante S.A.B. de C.V. Series * 471,076 971,015 0.0%
Grupo Herdez S.A.B. de C.V. Series * 977,438 2,341,936 0.0%
Grupo Industrial Saltillo S.A.B. de C.V. 1,355,006 2,054,746 0.0%
Grupo KUO S.A.B. de C.V. Series B 2,034,528 4,569,027 0.0%
# Grupo Lala S.A.B. de C.V. 39,477 50,407 0.0%
Grupo Mexico S.A.B. de C.V. Series B 39,241,344 129,922,871 0.7%
* Grupo Pochteca S.A.B. de C.V. 67,810 33,539 0.0%
Grupo Posadas S.A.B. de C.V. 328,713 615,171 0.0%
# Grupo Rotoplas S.A.B. de C.V. 17,266 26,349 0.0%
Grupo Sanborns S.A.B. de C.V. 1,379,018 1,426,058 0.0%
#* Grupo Simec S.A.B. de C.V. Series B 1,091,615 3,551,154 0.0%
* Grupo Sports World S.A.B. de C.V. 293,561 285,680 0.0%
Grupo Televisa S.A.B. Series CPO 362,873 1,301,737 0.0%
Grupo Televisa S.A.B. Sponsored ADR 120,083 2,151,887 0.0%
#* Hoteles City Express S.A.B. de C.V. 7,800 11,052 0.0%
Industrias Bachoco S.A.B. de C.V. Series B 1,825,913 9,366,786 0.1%
Industrias Bachoco S.A.B. de C.V. Sponsored ADR 39,671 2,450,874 0.0%
#* Industrias CH S.A.B. de C.V. Series B 1,939,710 9,665,335 0.1%
Industrias Penoles S.A.B. de C.V. 132,629 2,786,960 0.0%
#* La Comer S.A.B. de C.V. 4,997,412 5,186,585 0.0%
Medica Sur S.A.B. de C.V. Series B 1,000 2,133 0.0%
Mexichem S.A.B. de C.V. Series * 10,214,475 31,923,563 0.2%
#* Minera Frisco S.A.B. de C.V. 7,180,791 3,931,724 0.0%
# Nemak S.A.B. de C.V. 2,253,499 1,691,746 0.0%
# OHL Mexico S.A.B. de C.V. 16,593 24,665 0.0%
Organizacion Cultiba S.A.B. de C.V. 170,021 132,729 0.0%
* Organizacion Soriana S.A.B. de C.V. Class B 14,455,691 26,713,044 0.1%
Promotora y Operadora de Infraestructura S.A.B. de
C.V.(2393388) 230,248 2,359,968 0.0%
Promotora y Operadora de Infraestructura S.A.B. de
C.V.(BP85573) 1,963 13,612 0.0%
Qualitas Controladora S.A.B. de C.V. 1,363,345 3,812,574 0.0%
Rassini S.A.B. de C.V. 55,972 235,386 0.0%
Rassini S.A.B. De C.V. Class A 22,388 46,698 0.0%
# TV Azteca S.A.B. de C.V. 9,572,299 1,494,548 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
MEXICO -- (Continued)
Vitro S.A.B. de C.V. Series A 1,504,492 $ 4,806,607 0.0%
------------ ---
TOTAL MEXICO 727,744,474 3.6%
------------ ---
PHILIPPINES -- (0.9%)
A Soriano Corp. 6,260,400 789,845 0.0%
ACR Mining Corp. 105,455 6,839 0.0%
* Alliance Global Group, Inc. 35,231,406 8,873,813 0.1%
Alsons Consolidated Resources, Inc. 20,894,000 511,090 0.0%
* Apex Mining Co., Inc. 403,000 13,200 0.0%
* Atlas Consolidated Mining & Development Corp. 5,351,500 444,708 0.0%
Ayala Corp. 12,090 224,886 0.0%
Bank of the Philippine Islands 267,683 541,800 0.0%
BDO Unibank, Inc. 12,957,839 32,866,803 0.2%
Belle Corp. 2,758,000 178,700 0.0%
Cebu Air, Inc. 2,513,170 4,298,395 0.0%
Century Properties Group, Inc. 28,217,400 248,284 0.0%
China Banking Corp. 852,832 572,731 0.0%
Cosco Capital, Inc. 13,080,100 1,690,474 0.0%
East West Banking Corp. 3,465,700 1,163,482 0.0%
* EEI Corp. 1,836,100 432,628 0.0%
Emperador, Inc. 1,168,700 162,470 0.0%
* Empire East Land Holdings, Inc. 24,178,000 306,917 0.0%
Energy Development Corp. 3,328,169 347,012 0.0%
Filinvest Development Corp. 142,800 20,291 0.0%
Filinvest Land, Inc. 172,524,031 5,537,348 0.0%
First Philippine Holdings Corp. 4,407,880 5,529,358 0.0%
* Global Ferronickel Holdings, Inc. 633,176 28,785 0.0%
GT Capital Holdings, Inc. 181,505 3,678,735 0.0%
JG Summit Holdings, Inc. 11,037,980 13,597,090 0.1%
Lopez Holdings Corp. 34,305,800 2,855,462 0.0%
LT Group, Inc. 17,011,400 6,633,729 0.0%
Megaworld Corp. 128,549,200 11,155,026 0.1%
Metro Retail Stores Group, Inc. 1,545,000 93,724 0.0%
Metropolitan Bank & Trust Co. 7,614,594 12,471,663 0.1%
Nickel Asia Corp. 6,179,100 619,698 0.0%
Pepsi-Cola Products Philippines, Inc. 1,602,000 81,227 0.0%
Petron Corp. 20,022,500 3,590,803 0.0%
Philex Mining Corp. 751,000 82,113 0.0%
* Philippine National Bank 4,734,813 4,790,506 0.0%
* Philippine National Construction Corp. 398,900 7,084 0.0%
Philippine Savings Bank 1,203,823 2,005,936 0.0%
Phinma Energy Corp. 25,692,000 733,072 0.0%
Phoenix Petroleum Philippines, Inc. 1,456,600 332,638 0.0%
RFM Corp. 976,000 91,380 0.0%
Rizal Commercial Banking Corp. 4,496,568 3,378,351 0.0%
Robinsons Land Corp. 33,872,308 11,681,780 0.1%
Robinsons Retail Holdings, Inc. 208,450 366,177 0.0%
San Miguel Corp. 6,680,506 18,003,351 0.1%
San Miguel Food and Beverage, Inc. 731,000 916,793 0.0%
Security Bank Corp. 1,769,464 7,125,329 0.0%
* SSI Group, Inc. 2,648,000 123,079 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
PHILIPPINES -- (Continued)
STI Education Systems Holdings, Inc. 11,885,000 $ 300,748 0.0%
* Top Frontier Investment Holdings, Inc. 628,532 3,201,505 0.0%
Travellers International Hotel Group, Inc. 2,808,200 269,787 0.0%
Union Bank Of Philippines 4,413,349 7,778,067 0.0%
Vista Land & Lifescapes, Inc. 71,013,368 8,904,217 0.1%
------------ ---
TOTAL PHILIPPINES 189,658,929 0.9%
------------ ---
POLAND -- (1.3%)
* Agora SA 544,215 2,408,917 0.0%
* Alior Bank SA 171,702 3,454,348 0.0%
Amica SA 2,482 84,605 0.0%
Asseco Poland SA 1,110,009 13,859,340 0.1%
Bank Handlowy w Warszawie SA 30,090 710,179 0.0%
* Bank Millennium SA 4,427,257 10,764,475 0.1%
* Ciech SA 112,687 1,821,303 0.0%
Cyfrowy Polsat SA 318,491 2,322,876 0.0%
Enea SA 2,423,548 7,179,118 0.0%
Firma Oponiarska Debica SA 68,764 2,629,708 0.0%
* Getin Holding SA 3,022,179 815,716 0.0%
#* Getin Noble Bank SA 1,094,168 360,304 0.0%
Grupa Azoty SA 213,948 3,256,136 0.0%
Grupa Kety SA 56,660 5,774,446 0.0%
Grupa Lotos SA 1,480,444 23,192,824 0.1%
* Impexmetal SA 3,727,095 4,551,346 0.0%
Kernel Holding SA 432,416 5,860,073 0.0%
KGHM Polska Miedz SA 1,178,182 31,229,994 0.2%
LC Corp. SA 1,199,107 939,486 0.0%
# Lubelski Wegiel Bogdanka SA 31,018 485,768 0.0%
* mBank SA 6,716 817,722 0.0%
Netia SA 4,407,983 6,499,351 0.0%
Orbis SA 465,956 12,716,156 0.1%
* PGE Polska Grupa Energetyczna SA 9,928,430 29,516,642 0.2%
* PKP Cargo SA 42,667 498,041 0.0%
Polski Koncern Naftowy Orlen S.A. 2,327,465 59,280,260 0.3%
* Powszechna Kasa Oszczednosci Bank Polski SA 2,520,213 29,920,343 0.2%
Stalprodukt SA 1,556 202,498 0.0%
* Tauron Polska Energia SA 10,944,247 7,303,732 0.0%
# Trakcja SA 544,750 995,817 0.0%
* Vistula Group SA 54,605 71,560 0.0%
------------ ---
TOTAL POLAND 269,523,084 1.3%
------------ ---
RUSSIA -- (1.8%)
* AFI Development P.L.C. GDR 16,827 3,131 0.0%
Gazprom PJSC Sponsored ADR(5140989) 28,411,094 131,102,709 0.7%
Gazprom PJSC Sponsored ADR(368287207) 75,216 342,985 0.0%
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%
Magnitogorsk Iron & Steel Works PJSC Sponsored GDR 704,930 7,015,359 0.0%
Rosneft Oil Co. PJSC GDR 3,000,584 18,285,559 0.1%
RusHydro PJSC ADR 8,244,112 9,377,957 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
RUSSIA -- (Continued)
VTB Bank PJSC GDR 585,329 $ 1,095,736 0.0%
------------ ---
TOTAL RUSSIA 374,391,502 1.9%
------------ ---
SOUTH AFRICA -- (7.0%)
Adcock Ingram Holdings, Ltd. 4,991 27,186 0.0%
* Adcorp Holdings, Ltd. 928,995 1,184,857 0.0%
Aeci, Ltd. 1,655,005 15,663,614 0.1%
African Oxygen, Ltd. 63,047 153,897 0.0%
* African Phoenix Investments, Ltd. 9,264,952 492,165 0.0%
African Rainbow Minerals, Ltd. 1,705,352 13,942,334 0.1%
Alexander Forbes Group Holdings, Ltd. 3,018,322 1,559,720 0.0%
* Allied Electronics Corp., Ltd. Class A 59,895 63,262 0.0%
Alviva Holdings, Ltd. 936,463 1,525,399 0.0%
Anglo American Platinum, Ltd. 366,656 9,839,265 0.1%
AngloGold Ashanti, Ltd. 1,640,640 14,665,126 0.1%
AngloGold Ashanti, Ltd. Sponsored ADR 3,010,262 27,032,153 0.1%
#* ArcelorMittal South Africa, Ltd. 2,390,579 566,129 0.0%
Ascendis Health, Ltd. 101,394 79,236 0.0%
Aspen Pharmacare Holdings, Ltd. 318,169 6,860,249 0.0%
Assore, Ltd. 13,630 336,466 0.0%
* Aveng, Ltd. 7,113,204 552,768 0.0%
Barclays Africa Group, Ltd. 7,309,742 107,067,795 0.5%
Barloworld, Ltd. 4,730,651 63,891,090 0.3%
Blue Label Telecoms, Ltd. 2,821,394 2,800,237 0.0%
#* Brait SE 2,567,253 8,870,982 0.1%
Caxton and CTP Publishers and Printers, Ltd. 3,089,885 2,487,051 0.0%
Clover Industries, Ltd. 1,464,268 2,253,820 0.0%
* Consolidated Infrastructure Group, Ltd. 703,402 218,683 0.0%
DataTec, Ltd. 5,407,896 9,203,016 0.1%
DRDGOLD, Ltd. 5,384,649 1,272,998 0.0%
* enX Group, Ltd. 361,828 389,959 0.0%
EOH Holdings, Ltd. 39,286 119,412 0.0%
# Exxaro Resources, Ltd. 2,377,967 21,092,500 0.1%
Gold Fields, Ltd. 3,000,443 11,391,328 0.1%
Gold Fields, Ltd. Sponsored ADR 13,113,031 50,091,778 0.3%
* Grindrod, Ltd. 7,514,882 8,669,004 0.0%
Group Five, Ltd. 1,708,539 471,226 0.0%
Harmony Gold Mining Co., Ltd. 1,956,999 3,993,252 0.0%
# Harmony Gold Mining Co., Ltd. Sponsored ADR 491,788 998,330 0.0%
Hudaco Industries, Ltd. 139,890 1,801,680 0.0%
Hulamin, Ltd. 1,953,365 810,554 0.0%
#* Impala Platinum Holdings, Ltd. 5,228,472 9,312,390 0.1%
Imperial Holdings, Ltd. 2,207,724 42,467,954 0.2%
Investec, Ltd. 2,994,170 23,619,018 0.1%
Invicta Holdings, Ltd. 78,170 280,683 0.0%
KAP Industrial Holdings, Ltd. 1,954,110 1,381,360 0.0%
Kumba Iron Ore, Ltd. 577,846 12,344,205 0.1%
Lewis Group, Ltd. 1,767,156 6,653,526 0.0%
Liberty Holdings, Ltd. 1,721,995 18,325,973 0.1%
Life Healthcare Group Holdings, Ltd. 1,052,016 2,479,900 0.0%
Merafe Resources, Ltd. 25,011,796 3,211,924 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SOUTH AFRICA -- (Continued)
Metair Investments, Ltd. 1,523,549 $ 2,630,193 0.0%
MMI Holdings, Ltd. 17,679,587 31,472,852 0.2%
Mpact, Ltd. 2,794,319 6,395,149 0.0%
# MTN Group, Ltd. 18,433,110 185,007,454 0.9%
# Murray & Roberts Holdings, Ltd. 6,948,515 8,686,915 0.0%
* Nampak, Ltd. 4,402,045 4,898,206 0.0%
Nedbank Group, Ltd. 2,456,181 58,575,008 0.3%
Novus Holdings, Ltd. 100,488 32,296 0.0%
Omnia Holdings, Ltd. 684,086 7,868,817 0.0%
Peregrine Holdings, Ltd. 1,152,765 1,994,914 0.0%
* PPC, Ltd. 5,124,422 3,580,469 0.0%
Raubex Group, Ltd. 2,219,978 3,687,074 0.0%
RCL Foods, Ltd. 121,226 176,713 0.0%
Reunert, Ltd. 721,049 4,492,140 0.0%
# Rhodes Food Group Pty, Ltd. 22,947 33,049 0.0%
#* Royal Bafokeng Platinum, Ltd. 469,845 879,373 0.0%
Sappi, Ltd. 7,755,890 49,495,508 0.3%
Sasol, Ltd. 3,950,582 141,222,873 0.7%
# Sasol, Ltd. Sponsored ADR 1,661,227 59,023,395 0.3%
#* Sibanye Gold, Ltd. 5,364,505 4,702,305 0.0%
# Sibanye Gold, Ltd. Sponsored ADR 2,498,559 8,819,915 0.1%
Standard Bank Group, Ltd. 17,066,487 292,700,255 1.5%
# Steinhoff International Holdings NV 23,998,309 3,696,627 0.0%
* Super Group, Ltd. 4,696,364 13,999,748 0.1%
Telkom SA SOC, Ltd. 5,017,373 22,913,572 0.1%
Tongaat Hulett, Ltd. 1,558,340 11,296,340 0.1%
Trencor, Ltd. 1,599,299 4,430,382 0.0%
Tsogo Sun Holdings, Ltd. 1,422,894 2,601,030 0.0%
Wilson Bayly Holmes-Ovcon, Ltd. 566,466 7,200,971 0.0%
-------------- ---
TOTAL SOUTH AFRICA 1,455,028,997 7.2%
-------------- ---
SOUTH KOREA -- (17.3%)
#* Ace Technologies Corp. 237,396 957,633 0.0%
AJ Networks Co., Ltd. 6,134 36,442 0.0%
#* AJ Rent A Car Co., Ltd. 193,393 2,434,104 0.0%
#* Ajin Industrial Co., Ltd. 64,617 185,601 0.0%
* APS Holdings Corp. 41,282 251,798 0.0%
Asia Cement Co., Ltd. 19,344 2,671,082 0.0%
# ASIA Holdings Co., Ltd. 15,183 2,136,312 0.0%
# Asia Paper Manufacturing Co., Ltd. 67,604 1,950,851 0.0%
* Asiana Airlines, Inc. 1,194,370 5,888,025 0.1%
# AUK Corp. 371,482 984,376 0.0%
# Austem Co., Ltd. 246,393 890,225 0.0%
# Autech Corp. 4,402 61,957 0.0%
* Avaco Co., Ltd. 12,655 96,165 0.0%
Bluecom Co., Ltd. 78,495 441,623 0.0%
BNK Financial Group, Inc. 3,363,975 32,737,208 0.2%
* Bohae Brewery Co., Ltd. 28,463 29,860 0.0%
# Bookook Securities Co., Ltd. 32,083 728,912 0.0%
* Bubang Co., Ltd. 15,835 45,121 0.0%
# BYC Co., Ltd. 752 198,610 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SOUTH KOREA -- (Continued)
# Byucksan Corp. 282,424 $ 1,098,433 0.0%
# Capro Corp. 53,901 382,048 0.0%
* Chemtronics Co., Ltd. 2,758 16,382 0.0%
Chinyang Holdings Corp. 111,008 294,023 0.0%
# Chokwang Paint, Ltd. 75,208 664,062 0.0%
Chongkundang Holdings Corp. 7,060 460,540 0.0%
Chosun Refractories Co., Ltd. 9,716 758,765 0.0%
# CJ Corp. 11,041 1,672,644 0.0%
CJ Hello Co., Ltd. 282,597 2,250,860 0.0%
# CKD Bio Corp. 27,552 589,364 0.0%
Cosmax BTI, Inc. 20,454 816,779 0.0%
CROWNHAITAI Holdings Co., Ltd. 18,780 291,869 0.0%
Cuckoo Holdings Co., Ltd. 1,214 134,902 0.0%
# Dae Dong Industrial Co., Ltd. 165,852 1,405,563 0.0%
Dae Han Flour Mills Co., Ltd. 14,919 2,620,742 0.0%
# Dae Hyun Co., Ltd. 338,986 817,978 0.0%
# Dae Won Kang Up Co., Ltd. 273,168 1,109,801 0.0%
#* Dae Young Packaging Co., Ltd. 905,560 846,356 0.0%
# Dae-II Corp. 74,008 516,700 0.0%
# Daechang Co., Ltd. 656,070 720,729 0.0%
Daechang Forging Co., Ltd. 3,535 166,487 0.0%
# Daeduck Electronics Co. 381,238 2,964,523 0.0%
# Daeduck GDS Co., Ltd. 252,671 3,488,542 0.0%
# Daegu Department Store 71,060 673,828 0.0%
# Daehan Steel Co., Ltd. 200,201 2,204,644 0.0%
Daekyo Co., Ltd. 184,455 1,353,259 0.0%
Daelim B&Co Co., Ltd. 17,858 106,415 0.0%
# Daelim C&S Co., Ltd. 10,158 135,445 0.0%
Daelim Industrial Co., Ltd. 298,128 23,925,860 0.1%
Daesang Corp. 225,984 5,606,458 0.0%
# Daesang Holdings Co., Ltd. 173,512 1,518,303 0.0%
# Daesung Holdings Co., Ltd. 42,463 320,082 0.0%
Daewon San Up Co., Ltd. 51,421 347,303 0.0%
#* Daewoo Engineering & Construction Co., Ltd. 575,114 3,403,374 0.0%
#* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 239,136 5,308,624 0.0%
* Dahaam E-Tec Co., Ltd. 3,535 11,170 0.0%
Daishin Securities Co., Ltd. 545,344 6,956,164 0.1%
# Daou Data Corp. 63,288 717,366 0.0%
# Daou Technology, Inc. 405,892 9,103,443 0.1%
#* Dasan Networks, Inc. 104,840 652,615 0.0%
# Dayou Automotive Seat Technology Co., Ltd. 117,031 136,959 0.0%
* Dayou Plus Co., Ltd. 51,812 50,377 0.0%
DB Financial Investment Co., Ltd. 408,332 1,773,278 0.0%
DB Insurance Co., Ltd. 51,972 3,050,758 0.0%
#* DB, Inc. 496,039 374,177 0.0%
DCM Corp. 5,497 63,488 0.0%
DGB Financial Group, Inc. 1,806,576 20,191,500 0.1%
# Display Tech Co., Ltd. 43,544 162,535 0.0%
DMS Co., Ltd. 4,843 31,140 0.0%
Dong A Eltek Co., Ltd. 10,994 106,425 0.0%
* Dong Ah Tire & Rubber Co., Ltd. 5,165 66,486 0.0%
Dong-A Socio Holdings Co., Ltd. 5,512 647,518 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Dong-Ah Geological Engineering Co., Ltd. 136,501 $ 2,659,952 0.0%
Dong-Il Corp. 19,045 930,640 0.0%
# Dongbang Transport Logistics Co., Ltd. 302,271 559,251 0.0%
* Dongbu Corp. 6,240 73,637 0.0%
# Dongil Industries Co., Ltd. 19,900 1,341,649 0.0%
#* Dongkook Industrial Co., Ltd. 806,719 971,904 0.0%
# Dongkuk Industries Co., Ltd. 407,993 1,483,542 0.0%
Dongkuk Steel Mill Co., Ltd. 997,740 10,210,831 0.1%
# DONGSUNG Corp. 221,292 1,407,717 0.0%
# Dongwha Enterprise Co., Ltd. 8,555 272,095 0.0%
Dongwha Pharm Co., Ltd. 39,120 419,124 0.0%
Dongwon Development Co., Ltd. 372,270 1,725,617 0.0%
Dongwon Industries Co., Ltd. 1,010 318,742 0.0%
# Dongwoo Farm To Table Co., Ltd. 14,971 58,913 0.0%
# Dongyang E&P, Inc. 37,218 406,832 0.0%
Doosan Bobcat, Inc. 28,206 856,101 0.0%
Doosan Corp. 97,768 11,025,730 0.1%
#* Doosan Engine Co., Ltd. 171,989 1,004,733 0.0%
#* Doosan Heavy Industries & Construction Co., Ltd. 733,047 12,219,355 0.1%
#* Doosan Infracore Co., Ltd. 2,284,514 21,737,238 0.1%
# DRB Holding Co., Ltd. 124,839 963,556 0.0%
# DTR Automotive Corp. 49,175 1,504,214 0.0%
DY Corp. 221,772 1,311,062 0.0%
e-LITECOM Co., Ltd. 87,616 479,420 0.0%
E-MART, Inc. 215,370 54,216,091 0.3%
# Eagon Industrial, Ltd. 77,991 734,428 0.0%
# Easy Bio, Inc. 333,714 2,389,507 0.0%
#* Elentec Co., Ltd. 167,314 572,252 0.0%
# Eugene Corp. 754,479 5,688,366 0.0%
#* Eugene Investment & Securities Co., Ltd. 1,113,895 3,885,931 0.0%
* Eusu Holdings Co., Ltd. 67,665 430,989 0.0%
EVERDIGM Corp. 34,627 329,243 0.0%
#* FarmStory Co., Ltd. 529,001 712,665 0.0%
# Feelux Co., Ltd. 36,504 611,702 0.0%
#* Fine Technix Co., Ltd. 223,276 491,228 0.0%
Fursys, Inc. 28,479 821,058 0.0%
# Gaon Cable Co., Ltd. 28,266 713,662 0.0%
* Global Display Co., Ltd. 32,534 35,944 0.0%
# GMB Korea Corp. 77,523 583,887 0.0%
# Golfzon Newdin Holdings Co., Ltd. 270,719 1,399,096 0.0%
# GS Engineering & Construction Corp. 493,942 18,749,692 0.1%
# GS Global Corp. 672,899 2,496,042 0.0%
GS Holdings Corp. 714,906 40,922,110 0.2%
GS Home Shopping, Inc. 2,626 426,230 0.0%
Gwangju Shinsegae Co., Ltd. 6,299 1,345,260 0.0%
# Halla Corp. 159,934 1,211,164 0.0%
# Halla Holdings Corp. 118,273 5,662,902 0.0%
# Han Kuk Carbon Co., Ltd. 231,961 1,296,018 0.0%
Hana Financial Group, Inc. 3,234,305 143,710,459 0.7%
#* Hana Micron, Inc. 147,330 694,831 0.0%
# Handsome Co., Ltd. 146,627 4,551,250 0.0%
Hanil Cement Co., Ltd. 52,327 8,126,555 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SOUTH KOREA -- (Continued)
#* Hanjin Heavy Industries & Construction Co., Ltd. 571,915 $ 1,801,065 0.0%
* Hanjin Heavy Industries & Construction Holdings Co., Ltd. 186,144 685,490 0.0%
# Hanjin Kal Corp. 388,211 8,831,251 0.1%
Hanjin Transportation Co., Ltd. 121,655 2,923,882 0.0%
Hankook Tire Co., Ltd. 267,520 12,355,007 0.1%
# Hankuk Glass Industries, Inc. 17,640 663,969 0.0%
# Hankuk Paper Manufacturing Co., Ltd. 38,692 863,359 0.0%
# HanmiGlobal Co., Ltd. 13,645 131,052 0.0%
Hansae MK Co., Ltd. 1,959 18,146 0.0%
Hanshin Construction 63,489 1,376,371 0.0%
# Hansol Holdings Co., Ltd. 514,389 2,534,127 0.0%
# Hansol HomeDeco Co., Ltd. 964,171 1,532,098 0.0%
Hansol Paper Co., Ltd. 191,141 3,067,672 0.0%
#* Hanwha Aerospace Co., Ltd. 254,426 5,703,291 0.0%
Hanwha Chemical Corp. 1,784,550 47,972,977 0.3%
Hanwha Corp. 771,048 28,667,393 0.2%
#* Hanwha Galleria Timeworld Co., Ltd. 2,375 115,273 0.0%
Hanwha General Insurance Co., Ltd. 475,575 3,325,282 0.0%
#* Hanwha Investment & Securities Co., Ltd. 1,077,989 3,228,130 0.0%
Hanwha Life Insurance Co., Ltd. 3,383,390 19,660,898 0.1%
# Hanyang Securities Co., Ltd. 97,444 711,838 0.0%
* Harim Co., Ltd. 27,662 99,463 0.0%
Harim Holdings Co., Ltd. 295,017 1,107,495 0.0%
#* Heung-A Shipping Co., Ltd. 2,684,702 2,093,796 0.0%
* Heungkuk Fire & Marine Insurance Co., Ltd. 70,735 377,934 0.0%
Hitejinro Holdings Co., Ltd. 120,661 1,067,067 0.0%
# HMC Investment Securities Co., Ltd. 229,358 2,520,867 0.0%
# HS R&A Co., Ltd. 510,664 1,065,561 0.0%
#* Humax Co., Ltd. 189,072 1,439,033 0.0%
Huons Global Co., Ltd. 5,834 388,163 0.0%
# Huvis Corp. 135,728 1,705,516 0.0%
# Hwa Shin Co., Ltd. 247,915 874,129 0.0%
# Hwacheon Machine Tool Co., Ltd. 14,514 764,044 0.0%
# Hwangkum Steel & Technology Co., Ltd. 103,102 1,177,183 0.0%
HwaSung Industrial Co., Ltd. 109,587 1,687,957 0.0%
Hy-Lok Corp. 40,098 1,032,631 0.0%
Hyosung Corp. 23,889 2,922,589 0.0%
# Hyundai BNG Steel Co., Ltd. 152,127 1,836,417 0.0%
* Hyundai Construction Equipment Co., Ltd. 4,804 847,678 0.0%
# Hyundai Corp Holdings, Inc. 17,401 236,887 0.0%
Hyundai Corp. 88,766 1,854,724 0.0%
Hyundai Department Store Co., Ltd. 198,364 19,126,830 0.1%
Hyundai Development Co-Engineering & Construction 151,242 6,570,506 0.1%
#* Hyundai Electric & Energy System Co., Ltd. 10,484 919,729 0.0%
# Hyundai Engineering & Construction Co., Ltd. 1,089,257 64,509,327 0.3%
Hyundai Engineering Plastics Co., Ltd. 81,543 514,380 0.0%
Hyundai Greenfood Co., Ltd. 303,722 4,361,965 0.0%
* Hyundai Heavy Industries Co., Ltd. 222,387 24,618,773 0.1%
#* Hyundai Heavy Industries Holdings Co., Ltd. 129,701 50,962,842 0.3%
Hyundai Home Shopping Network Corp. 31,409 3,180,325 0.0%
Hyundai Hy Communications & Networks Co., Ltd. 375,341 1,527,968 0.0%
#* Hyundai Mipo Dockyard Co., Ltd. 116,451 9,670,779 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
Hyundai Mobis Co., Ltd. 619,429 $143,449,561 0.7%
Hyundai Motor Co. 1,477,708 220,396,859 1.1%
#* Hyundai Rotem Co., Ltd. 64,490 1,608,394 0.0%
Hyundai Steel Co. 1,217,479 68,812,557 0.4%
# Hyundai Wia Corp. 207,777 10,405,816 0.1%
# Ilji Technology Co., Ltd. 16,833 61,378 0.0%
# Iljin Electric Co., Ltd. 239,602 1,374,776 0.0%
* Iljin Holdings Co., Ltd. 14,657 71,806 0.0%
# Ilshin Spinning Co., Ltd. 18,983 1,863,240 0.0%
# Ilsung Pharmaceuticals Co., Ltd. 9,407 1,010,789 0.0%
iMarketKorea, Inc. 97,812 827,074 0.0%
Industrial Bank of Korea 2,809,519 44,058,370 0.2%
# Intergis Co., Ltd. 49,180 171,053 0.0%
Interpark Holdings Corp. 470,150 1,539,441 0.0%
INTOPS Co., Ltd. 181,917 1,570,190 0.0%
# Inzi Controls Co., Ltd. 122,085 827,654 0.0%
# INZI Display Co., Ltd. 244,705 398,463 0.0%
IS Dongseo Co., Ltd. 24,386 743,518 0.0%
# ISU Chemical Co., Ltd. 159,391 1,973,836 0.0%
# IsuPetasys Co., Ltd. 361,536 1,388,853 0.0%
# Jahwa Electronics Co., Ltd. 10,228 161,910 0.0%
JB Financial Group Co., Ltd. 1,228,599 7,036,687 0.1%
Kangnam Jevisco Co., Ltd. 41,716 1,264,488 0.0%
KAON Media Co., Ltd. 5,839 53,364 0.0%
KB Financial Group, Inc. 369,851 21,013,109 0.1%
# KB Financial Group, Inc. ADR 2,869,877 161,861,062 0.8%
#* KB Metal Co., Ltd. 33,213 85,441 0.0%
KC Green Holdings Co., Ltd. 68,858 354,228 0.0%
# KCC Corp. 54,640 19,944,724 0.1%
KCC Engineering & Construction Co., Ltd. 30,139 270,176 0.0%
# KEC Corp. 722,297 882,212 0.0%
# Keyang Electric Machinery Co., Ltd. 220,559 997,147 0.0%
# KG Chemical Corp. 81,219 2,144,698 0.0%
# KG Eco Technology Service Co., Ltd. 301,386 1,262,262 0.0%
KGMobilians Co., Ltd. 79,935 691,844 0.0%
#* KH Vatec Co., Ltd. 153,792 1,677,411 0.0%
Kia Motors Corp. 2,693,671 83,166,249 0.4%
KISCO Corp. 67,292 2,413,074 0.0%
# KISCO Holdings Co., Ltd. 12,649 842,042 0.0%
# Kishin Corp. 107,298 452,543 0.0%
KISWIRE, Ltd. 99,962 2,741,330 0.0%
* KleanNara Co., Ltd. 110,992 431,122 0.0%
* KMH Co., Ltd. 80,481 623,133 0.0%
Kodaco Co., Ltd. 51,842 148,134 0.0%
Kolon Corp. 8,200 396,170 0.0%
# Kolon Global Corp. 23,192 249,976 0.0%
# Kolon Industries, Inc. 268,077 17,079,842 0.1%
# Komelon Corp. 33,167 271,036 0.0%
* KONA I Co., Ltd. 2,101 19,805 0.0%
# Kook Soon Dang Brewery Co., Ltd. 112,565 636,097 0.0%
# Korea Alcohol Industrial Co., Ltd. 115,730 1,055,700 0.0%
Korea Autoglass Corp. 4,790 74,992 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
Korea Cast Iron Pipe Industries Co., Ltd. 6,205 $ 82,134 0.0%
#* Korea Circuit Co., Ltd. 147,260 1,162,072 0.0%
Korea Electric Terminal Co., Ltd. 10,309 488,185 0.0%
Korea Export Packaging Industrial Co., Ltd. 5,290 126,271 0.0%
#* Korea Flange Co., Ltd. 67,906 699,374 0.0%
Korea Investment Holdings Co., Ltd. 473,683 40,012,635 0.2%
* Korea Line Corp. 64,850 1,726,162 0.0%
Korean Air Lines Co., Ltd. 300,415 9,547,403 0.1%
Korean Reinsurance Co. 1,038,616 11,443,034 0.1%
Kortek Corp. 127,952 1,987,974 0.0%
# KPX Chemical Co., Ltd. 20,126 1,130,168 0.0%
KSS LINE, Ltd. 118,988 935,810 0.0%
KT Skylife Co., Ltd. 22,760 265,348 0.0%
KT Submarine Co., Ltd. 22,384 109,343 0.0%
#* KTB Investment & Securities Co., Ltd. 640,410 3,917,469 0.0%
# KTCS Corp. 293,732 639,205 0.0%
Ktis Corp. 116,851 314,875 0.0%
Kukdo Chemical Co., Ltd. 52,857 3,419,574 0.0%
Kukdong Oil & Chemicals Co., Ltd. 26,930 92,995 0.0%
#* Kumho Electric Co., Ltd. 44,601 339,629 0.0%
Kumho Industrial Co., Ltd. 12,566 154,597 0.0%
#* Kumho Tire Co., Inc. 682,680 3,934,164 0.0%
Kumkang Kind Co., Ltd. 9,649 299,962 0.0%
Kwang Dong Pharmaceutical Co., Ltd. 32,278 277,146 0.0%
Kwangju Bank Co., Ltd. 230,985 2,412,493 0.0%
#* Kyeryong Construction Industrial Co., Ltd. 41,398 744,671 0.0%
Kyobo Securities Co., Ltd. 278,747 2,690,771 0.0%
# Kyung-In Synthetic Corp. 120,253 643,106 0.0%
# Kyungbang, Ltd. 143,035 1,994,235 0.0%
# Kyungchang Industrial Co., Ltd. 28,508 89,848 0.0%
# LEADCORP, Inc. (The) 163,684 1,007,004 0.0%
Lee Ku Industrial Co., Ltd. 79,592 183,819 0.0%
LF Corp. 282,140 7,419,700 0.1%
LG Corp. 722,271 54,636,018 0.3%
LG Display Co., Ltd. 1,493,377 32,606,560 0.2%
# LG Display Co., Ltd. ADR 4,048,932 43,728,466 0.2%
LG Electronics, Inc. 1,598,413 151,559,589 0.8%
LG Hausys, Ltd. 66,810 5,078,331 0.0%
LG International Corp. 328,061 8,084,810 0.1%
LG Uplus Corp. 1,509,690 17,283,383 0.1%
# LMS Co., Ltd. 47,891 352,073 0.0%
Lotte Chilsung Beverage Co., Ltd. 65 98,520 0.0%
Lotte Confectionery Co., Ltd. 54 9,514 0.0%
LOTTE Fine Chemical Co., Ltd. 83,037 5,287,218 0.0%
# Lotte Food Co., Ltd. 1,329 924,894 0.0%
LOTTE Himart Co., Ltd. 106,339 7,389,034 0.1%
# Lotte Non-Life Insurance Co., Ltd. 625,917 1,803,916 0.0%
Lotte Shopping Co., Ltd. 104,618 24,941,677 0.1%
LS Corp. 191,625 13,894,627 0.1%
* Lumens Co., Ltd. 440,737 1,638,889 0.0%
LVMC Holdings 162,310 763,051 0.0%
Maeil Holdings Co., Ltd. 4,871 73,037 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
MegaStudy Co., Ltd. 8,592 $ 295,663 0.0%
# MegaStudyEdu Co., Ltd. 3,763 463,299 0.0%
* Melfas, Inc. 10,068 37,023 0.0%
Meritz Financial Group, Inc. 79,010 1,028,682 0.0%
Meritz Securities Co., Ltd. 1,383,034 5,339,474 0.0%
Mi Chang Oil Industrial Co., Ltd. 6,317 471,243 0.0%
# Mirae Asset Daewoo Co., Ltd. 2,846,186 25,770,193 0.1%
Mirae Asset Life Insurance Co., Ltd. 590,788 3,013,351 0.0%
# MK Electron Co., Ltd. 206,303 1,913,091 0.0%
#* MNTech Co., Ltd. 253,216 982,708 0.0%
Mobase Co., Ltd. 129,174 561,031 0.0%
# Moorim P&P Co., Ltd. 329,441 2,013,926 0.0%
# Moorim Paper Co., Ltd. 222,084 689,217 0.0%
# Motonic Corp. 95,517 915,987 0.0%
# Muhak Co., Ltd. 27,225 430,928 0.0%
* Namsun Aluminum Co., Ltd. 704,816 776,043 0.0%
# Namyang Dairy Products Co., Ltd. 4,193 2,658,222 0.0%
#* Neowiz 44,731 725,931 0.0%
#* Neowiz Holdings Corp. 76,012 1,023,490 0.0%
# Nexen Corp. 228,084 1,533,524 0.0%
Nexen Tire Corp. 144,873 1,632,752 0.0%
NH Investment & Securities Co., Ltd. 1,270,375 18,332,013 0.1%
#* NHN Entertainment Corp. 89,316 5,119,751 0.0%
NICE Holdings Co., Ltd. 6,337 117,677 0.0%
# Nong Shim Holdings Co., Ltd. 25,850 2,571,111 0.0%
NongShim Co., Ltd. 23,628 7,141,569 0.1%
NOROO Paint & Coatings Co., Ltd. 104,866 869,909 0.0%
# NPC 116,690 591,867 0.0%
OCI Co., Ltd. 205,396 29,774,296 0.2%
# Opto Device Technology Co., Ltd. 51,011 383,600 0.0%
Paik Kwang Industrial Co., Ltd. 28,102 89,744 0.0%
#* Pan Ocean Co., Ltd. 1,543,197 7,879,883 0.1%
Pang Rim Co., Ltd. 3,201 61,086 0.0%
#* PaperCorea, Inc. 52,808 73,961 0.0%
# Poongsan Corp. 350,492 12,432,007 0.1%
Poongsan Holdings Corp. 61,601 2,791,360 0.0%
POSCO 622,870 214,616,504 1.1%
POSCO Sponsored ADR 1,500,406 127,309,449 0.7%
POSCO Coated & Color Steel Co., Ltd. 32,979 833,829 0.0%
Posco Daewoo Corp. 478,609 10,046,218 0.1%
#* Power Logics Co., Ltd. 306,646 1,318,773 0.0%
PS TEC Co., Ltd. 17,225 97,263 0.0%
# Pyeong Hwa Automotive Co., Ltd. 158,166 1,544,850 0.0%
# RFTech Co., Ltd. 195,968 885,563 0.0%
S&S Tech Corp. 3,073 12,796 0.0%
* S&T Dynamics Co., Ltd. 324,714 2,223,819 0.0%
# S&T Holdings Co., Ltd. 117,284 1,439,226 0.0%
S&T Motiv Co., Ltd. 59,636 1,826,361 0.0%
# S-Energy Co., Ltd. 34,888 256,932 0.0%
# Sajo Industries Co., Ltd. 35,247 2,326,304 0.0%
Sam Young Electronics Co., Ltd. 157,756 1,782,516 0.0%
# Sambo Motors Co., Ltd. 27,087 251,558 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
# Samho Development Co., Ltd. 182,987 $ 1,177,612 0.0%
* Samho International Co., Ltd. 5,198 78,494 0.0%
# SAMHWA Paints Industrial Co., Ltd. 93,183 675,755 0.0%
# Samick Musical Instruments Co., Ltd. 495,489 1,171,257 0.0%
# Samji Electronics Co., Ltd. 106,216 1,363,697 0.0%
#* Samjin LND Co., Ltd. 92,054 240,360 0.0%
# Samkee Automotive Co., Ltd. 104,071 325,903 0.0%
Samkwang Glass Co., Ltd. 3,085 124,912 0.0%
Sammok S-Form Co., Ltd. 108,827 1,577,288 0.0%
# SAMPYO Cement Co., Ltd. 110,157 575,188 0.0%
Samsung C&T Corp. 94,264 12,295,086 0.1%
Samsung Card Co., Ltd. 270,294 9,425,678 0.1%
# Samsung Fire & Marine Insurance Co., Ltd. 53,985 13,479,503 0.1%
#* Samsung Heavy Industries Co., Ltd. 3,556,410 24,310,636 0.1%
Samsung Life Insurance Co., Ltd. 678,201 74,037,137 0.4%
# Samsung SDI Co., Ltd. 353,885 60,259,426 0.3%
Samsung Securities Co., Ltd. 645,548 22,202,427 0.1%
SAMT Co., Ltd. 71,990 133,399 0.0%
# Samyang Corp. 29,019 2,417,634 0.0%
# Samyang Holdings Corp. 53,007 5,487,698 0.0%
Samyang Tongsang Co., Ltd. 21,280 874,945 0.0%
# SAVEZONE I&C Corp. 90,870 376,295 0.0%
* SBS Media Holdings Co., Ltd. 488,064 1,347,677 0.0%
Seah Besteel Corp. 224,325 5,653,304 0.0%
# SeAH Holdings Corp. 12,963 1,667,201 0.0%
# SeAH Steel Corp. 52,811 4,596,484 0.0%
Sebang Co., Ltd. 153,120 1,901,367 0.0%
Sebang Global Battery Co., Ltd. 85,959 2,612,260 0.0%
Sebo Manufacturing Engineer Corp. 9,819 112,314 0.0%
# Sejong Industrial Co., Ltd. 127,299 935,462 0.0%
#* Sejoong Co., Ltd. 74,223 192,749 0.0%
#* Sekonix Co., Ltd. 30,602 284,204 0.0%
# Seohan Co., Ltd. 204,840 492,331 0.0%
Seohee Construction Co., Ltd. 2,178,274 2,529,139 0.0%
SEOWONINTECH Co., Ltd. 13,483 87,356 0.0%
Seoyon Co., Ltd. 131,812 754,549 0.0%
Seoyon E-Hwa Co., Ltd. 39,548 304,855 0.0%
Sewon Precision Industry Co., Ltd. 3,019 34,469 0.0%
* SG Corp. 59,208 48,161 0.0%
#* SG&G Corp. 331,942 790,124 0.0%
Shinhan Financial Group Co., Ltd. 3,787,146 168,628,970 0.9%
# Shinhan Financial Group Co., Ltd. ADR 1,499,292 66,898,408 0.4%
Shinsegae Engineering & Construction Co., Ltd. 8,222 284,635 0.0%
# Shinsegae Information & Communication Co., Ltd. 13,644 2,080,320 0.0%
Shinsegae International, Inc. 2,341 292,285 0.0%
Shinsegae, Inc. 109,224 42,393,471 0.2%
#* Shinsung Tongsang Co., Ltd. 881,967 1,046,484 0.0%
#* Shinwha Intertek Corp. 125,015 315,658 0.0%
#* Shinwon Corp. 181,086 595,994 0.0%
Shinyoung Securities Co., Ltd. 45,109 2,463,483 0.0%
#* Signetics Corp. 784,046 1,127,129 0.0%
# Silla Co., Ltd. 65,927 1,029,432 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
SIMMTECH Co., Ltd. 20,524 $ 154,817 0.0%
# SIMMTECH HOLDINGS Co., Ltd. 3,959 7,919 0.0%
SIMPAC, Inc. 78,235 312,138 0.0%
Sindoh Co., Ltd. 58,289 3,297,696 0.0%
SJM Co., Ltd. 11,075 44,089 0.0%
* SK Chemicals Co., Ltd. 95,242 8,991,747 0.1%
# SK Discovery Co., Ltd. 88,697 3,525,560 0.0%
# SK Gas, Ltd. 58,518 5,130,448 0.0%
SK Innovation Co., Ltd. 879,496 161,164,347 0.8%
# SK Networks Co., Ltd. 1,836,089 9,627,627 0.1%
* SK Securities Co., Ltd. 2,262,158 2,549,274 0.0%
# SKC Co., Ltd. 318,066 11,266,952 0.1%
SL Corp. 204,463 4,231,439 0.0%
# Ssangyong Cement Industrial Co., Ltd. 317,964 8,869,108 0.1%
* Ssangyong Motor Co. 187,182 882,018 0.0%
# Sun Kwang Co., Ltd. 29,230 578,846 0.0%
#* Sunchang Corp. 54,825 370,604 0.0%
# Sung Kwang Bend Co., Ltd. 156,885 1,836,196 0.0%
#* Sungchang Enterprise Holdings, Ltd. 326,002 928,090 0.0%
# Sungdo Engineering & Construction Co., Ltd. 148,317 1,001,990 0.0%
#* Sungshin Cement Co., Ltd. 274,430 2,431,674 0.0%
# Sungwoo Hitech Co., Ltd. 553,752 3,050,528 0.0%
# Tae Kyung Industrial Co., Ltd. 126,238 667,488 0.0%
Taekwang Industrial Co., Ltd. 5,203 6,323,678 0.1%
#* Taewoong Co., Ltd. 117,534 2,088,336 0.0%
# Taeyoung Engineering & Construction Co., Ltd. 608,502 6,621,827 0.1%
Tailim Packaging Co., Ltd. 44,100 144,214 0.0%
#* TBH Global Co., Ltd. 197,666 1,282,216 0.0%
#* Thinkware Systems Corp. 85,996 826,580 0.0%
#* TK Chemical Corp. 551,782 1,121,634 0.0%
TK Corp. 115,733 1,553,388 0.0%
# Tong Yang Moolsan Co., Ltd. 499,234 1,291,739 0.0%
Tongyang Life Insurance Co., Ltd. 562,313 4,325,444 0.0%
Tongyang pile, Inc. 11,171 61,973 0.0%
Tongyang, Inc. 358,717 737,874 0.0%
# Top Engineering Co., Ltd. 137,207 915,343 0.0%
Tovis Co., Ltd. 128,734 1,049,205 0.0%
# TS Corp. 71,353 1,666,895 0.0%
#* Ubiquoss Holdings, Inc. 98,752 550,831 0.0%
UIL Co., Ltd. 82,914 475,408 0.0%
Uju Electronics Co., Ltd. 60,069 630,689 0.0%
Unid Co., Ltd. 76,362 3,981,267 0.0%
# Uniquest Corp. 16,606 121,345 0.0%
# Visang Education, Inc. 45,908 436,461 0.0%
#* WillBes & Co. (The) 848,604 1,496,818 0.0%
* Wiscom Co., Ltd. 32,980 108,828 0.0%
* Wonik Holdings Co., Ltd. 206,137 1,290,562 0.0%
#* Woongjin Co., Ltd. 243,455 1,025,919 0.0%
Woongjin Thinkbig Co., Ltd. 120,109 793,057 0.0%
Woori Bank 3,608,217 53,868,651 0.3%
# Woori Bank Sponsored ADR 7,135 319,077 0.0%
* Woorison F&G Co., Ltd. 24,198 54,199 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SOUTH KOREA -- (Continued)
# Wooshin Systems Co., Ltd. 26,128 $ 181,607 0.0%
# WooSung Feed Co., Ltd. 255,261 855,974 0.0%
# Y G-1 Co., Ltd. 66,202 998,967 0.0%
# Yong Pyong Resort Co., Ltd. 51,876 422,656 0.0%
# Yoosung Enterprise Co., Ltd. 197,921 616,178 0.0%
# YooSung T&S Co., Ltd. 196,580 740,334 0.0%
# Youlchon Chemical Co., Ltd. 125,065 1,934,553 0.0%
Young Poong Corp. 3,737 2,947,354 0.0%
Young Poong Precision Corp. 130,166 1,059,020 0.0%
Youngone Corp. 33,964 947,822 0.0%
Youngone Holdings Co., Ltd. 10,710 536,631 0.0%
* Yuanta Securities Korea Co., Ltd. 556,284 2,348,240 0.0%
YuHwa Securities Co., Ltd. 29,804 409,268 0.0%
# Zeus Co., Ltd. 58,847 850,108 0.0%
-------------- ----
TOTAL SOUTH KOREA 3,595,415,899 17.9%
-------------- ----
TAIWAN -- (15.2%)
# Ability Enterprise Co., Ltd. 2,942,330 1,716,162 0.0%
AcBel Polytech, Inc. 941,000 601,208 0.0%
# Acer, Inc. 26,189,109 19,972,913 0.1%
# ACES Electronic Co., Ltd. 1,304,000 1,150,610 0.0%
* Acon Holding, Inc. 2,183,000 500,791 0.0%
Advanced International Multitech Co., Ltd. 411,000 595,293 0.0%
# Advanced Optoelectronic Technology, Inc. 216,000 207,009 0.0%
Advancetek Enterprise Co., Ltd. 130,639 86,777 0.0%
#* AGV Products Corp. 5,884,211 1,489,238 0.0%
# AimCore Technology Co., Ltd. 762,223 493,976 0.0%
Airmate Cayman International Co., Ltd. 26,000 19,846 0.0%
#* Alchip Technologies, Ltd. 102,000 462,508 0.0%
# Alcor Micro Corp. 522,000 317,828 0.0%
# Allis Electric Co., Ltd. 1,250,000 698,259 0.0%
# Alpha Networks, Inc. 4,590,313 3,079,253 0.0%
# Altek Corp. 3,036,365 3,193,987 0.0%
Ambassador Hotel (The) 1,249,000 968,215 0.0%
Ampire Co., Ltd. 426,000 249,707 0.0%
# AMPOC Far-East Co., Ltd. 1,402,000 1,219,785 0.0%
# AmTRAN Technology Co., Ltd. 10,964,956 4,707,592 0.0%
# Apacer Technology, Inc. 384,210 495,295 0.0%
# APCB, Inc. 1,973,000 1,586,651 0.0%
# Apex International Co., Ltd. 1,235,263 879,108 0.0%
Apex Medical Corp. 28,000 27,883 0.0%
Apex Science & Engineering 211,536 67,666 0.0%
Arcadyan Technology Corp. 1,941,675 3,692,082 0.0%
Ardentec Corp. 3,101,058 3,488,016 0.0%
Asia Cement Corp. 22,151,589 23,639,649 0.1%
* Asia Pacific Telecom Co., Ltd. 8,189,000 2,428,276 0.0%
Asia Plastic Recycling Holding, Ltd. 2,843,048 1,073,516 0.0%
# Asia Polymer Corp. 4,946,075 2,965,387 0.0%
# Asia Vital Components Co., Ltd. 4,376,984 3,970,692 0.0%
# ASROCK, Inc. 113,000 290,882 0.0%
# Asustek Computer, Inc. 3,370,000 31,494,759 0.2%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
# AU Optronics Corp. 51,158,812 $ 21,095,626 0.1%
AU Optronics Corp. Sponsored ADR 9,085,889 36,161,838 0.2%
# Audix Corp. 1,235,332 1,772,146 0.0%
# Avermedia Technologies 2,331,000 949,854 0.0%
* Avision, Inc. 1,540,555 349,507 0.0%
# AVY Precision Technology, Inc. 606,959 960,760 0.0%
# Bank of Kaohsiung Co., Ltd. 6,129,617 1,935,318 0.0%
#* BenQ Materials Corp. 1,013,000 589,093 0.0%
# BES Engineering Corp. 19,640,443 5,020,411 0.0%
#* Biostar Microtech International Corp. 2,187,055 1,471,820 0.0%
# Bright Led Electronics Corp. 1,495,000 771,789 0.0%
# C Sun Manufacturing, Ltd. 690,837 618,918 0.0%
# Cameo Communications, Inc. 2,551,197 609,214 0.0%
Capital Futures Corp. 94,000 195,140 0.0%
Capital Securities Corp. 25,424,447 9,612,167 0.1%
# Career Technology MFG. Co., Ltd. 2,554,215 3,740,578 0.0%
* Carnival Industrial Corp. 4,823,000 736,449 0.0%
# Casetek Holdings, Ltd. 2,088,933 5,110,585 0.0%
# Cathay Chemical Works 812,000 482,406 0.0%
Cathay Financial Holding Co., Ltd. 59,491,000 106,712,274 0.5%
# Cathay Real Estate Development Co., Ltd. 9,052,694 5,262,937 0.0%
CCP Contact Probes Co., Ltd. 9,000 8,812 0.0%
# Celxpert Energy Corp. 332,000 431,738 0.0%
# Central Reinsurance Co., Ltd. 1,698,016 1,083,429 0.0%
# Chain Chon Industrial Co., Ltd. 513,000 226,992 0.0%
# ChainQui Construction Development Co., Ltd. 985,173 970,652 0.0%
* Champion Building Materials Co., Ltd. 5,074,828 1,401,421 0.0%
Chang Hwa Commercial Bank, Ltd. 84,368,383 48,565,620 0.3%
Chang Wah Electromaterials, Inc. 46,800 231,885 0.0%
# Charoen Pokphand Enterprise 131,915 284,362 0.0%
CHC Healthcare Group 341,000 432,221 0.0%
# Cheng Loong Corp. 12,510,659 7,098,514 0.1%
Cheng Uei Precision Industry Co., Ltd. 6,662,635 8,648,141 0.1%
# Chenming Mold Industry Corp. 473,000 299,686 0.0%
# Chia Chang Co., Ltd. 1,583,000 1,219,715 0.0%
# Chia Hsin Cement Corp. 6,051,191 2,433,066 0.0%
Chien Kuo Construction Co., Ltd. 3,974,247 1,586,575 0.0%
#* Chimei Materials Technology Corp. 2,619,000 950,602 0.0%
# Chin-Poon Industrial Co., Ltd. 2,610,815 3,437,243 0.0%
* China Airlines, Ltd. 45,165,353 16,475,279 0.1%
China Bills Finance Corp. 2,686,000 1,310,293 0.0%
China Chemical & Pharmaceutical Co., Ltd. 3,458,264 2,367,389 0.0%
China Development Financial Holding Corp. 115,402,734 43,633,537 0.2%
#* China Electric Manufacturing Corp. 4,019,200 1,659,946 0.0%
# China General Plastics Corp. 1,139,541 1,218,774 0.0%
# China Glaze Co., Ltd. 1,714,799 705,477 0.0%
China Life Insurance Co., Ltd. 13,687,085 14,829,180 0.1%
#* China Man-Made Fiber Corp. 13,030,303 4,304,500 0.0%
# China Metal Products 4,099,969 4,260,853 0.0%
China Motor Corp. 6,145,749 5,781,992 0.0%
* China Petrochemical Development Corp. 25,818,397 11,306,657 0.1%
# China Steel Corp. 113,803,320 90,053,315 0.5%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
# China Steel Structure Co., Ltd. 1,250,219 $ 1,285,931 0.0%
# China Synthetic Rubber Corp. 7,740,233 11,054,035 0.1%
# China Wire & Cable Co., Ltd. 1,431,600 1,274,874 0.0%
# Chinese Maritime Transport, Ltd. 1,371,270 1,350,092 0.0%
Chipbond Technology Corp. 1,941,000 3,846,282 0.0%
# ChipMOS TECHNOLOGIES, Inc. 1,456,229 1,008,509 0.0%
ChipMOS TECHNOLOGIES, Inc. ADR 37,146 511,500 0.0%
# Chun YU Works & Co., Ltd. 3,215,000 2,170,042 0.0%
# Chun Yuan Steel 6,308,287 2,413,963 0.0%
# Chung Hsin Electric & Machinery Manufacturing Corp. 5,544,250 3,999,745 0.0%
* Chung Hung Steel Corp. 5,577,000 2,017,266 0.0%
# Chung Hwa Pulp Corp. 6,099,353 2,254,134 0.0%
* Chunghwa Picture Tubes, Ltd. 51,746,412 3,181,938 0.0%
Chyang Sheng Dyeing & Finishing Co., Ltd. 96,000 71,497 0.0%
Clevo Co. 1,405,000 1,386,120 0.0%
#* CMC Magnetics Corp. 28,174,621 5,715,795 0.0%
* CoAsia Microelectronics Corp. 421,797 171,033 0.0%
Coland Holdings, Ltd. 116,000 163,484 0.0%
Collins Co., Ltd. 1,943,224 711,982 0.0%
Compal Electronics, Inc. 62,394,332 40,640,707 0.2%
* Concord Securities Co., Ltd. 1,769,000 498,286 0.0%
# Continental Holdings Corp. 5,759,540 2,553,270 0.0%
# Contrel Technology Co., Ltd. 475,000 220,244 0.0%
Coretronic Corp. 6,556,800 8,727,381 0.1%
# Coxon Precise Industrial Co., Ltd. 1,828,000 1,650,809 0.0%
# Creative Sensor, Inc. 503,000 403,914 0.0%
* CSBC Corp. Taiwan 6,239,654 5,069,227 0.0%
CTBC Financial Holding Co., Ltd. 156,118,073 111,337,628 0.6%
CviLux Corp. 70,000 63,697 0.0%
CX Technology Co., Ltd. 42,162 26,865 0.0%
Cyberlink Corp. 35,000 76,134 0.0%
CyberTAN Technology, Inc. 969,000 570,552 0.0%
# D-Link Corp. 8,684,552 3,197,288 0.0%
# DA CIN Construction Co., Ltd. 2,293,579 1,827,660 0.0%
* Danen Technology Corp. 816,000 165,272 0.0%
# Darfon Electronics Corp. 3,470,950 3,634,685 0.0%
# Darwin Precisions Corp. 5,678,635 4,380,930 0.0%
# Delpha Construction Co., Ltd. 1,580,016 800,161 0.0%
# Depo Auto Parts Ind Co., Ltd. 313,000 844,229 0.0%
Dimerco Express Corp. 188,000 130,627 0.0%
#* Dynamic Electronics Co., Ltd. 4,177,324 1,258,345 0.0%
Dynapack International Technology Corp. 512,000 673,033 0.0%
* E-Ton Solar Tech Co., Ltd. 3,546,443 541,310 0.0%
E.Sun Financial Holding Co., Ltd. 89,255,033 63,117,003 0.3%
# Edimax Technology Co., Ltd. 3,008,902 827,895 0.0%
#* Edison Opto Corp. 1,362,000 689,915 0.0%
# Edom Technology Co., Ltd. 731,046 414,029 0.0%
Elite Semiconductor Memory Technology, Inc. 576,000 752,456 0.0%
* Elitegroup Computer Systems Co., Ltd. 4,952,395 2,803,972 0.0%
Emerging Display Technologies Corp. 45,000 14,246 0.0%
ENG Electric Co., Ltd. 1,796,997 258,551 0.0%
# EnTie Commercial Bank Co., Ltd. 2,299,232 1,058,495 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
* Epileds Technologies, Inc. 90,000 $ 60,466 0.0%
#* Epistar Corp. 11,737,869 15,975,000 0.1%
# Eson Precision Ind. Co., Ltd. 385,000 417,420 0.0%
Eternal Materials Co., Ltd. 1,632,256 1,563,539 0.0%
Eva Airways Corp. 20,470,174 10,992,265 0.1%
# Everest Textile Co., Ltd. 3,689,802 1,530,489 0.0%
Evergreen International Storage & Transport Corp. 8,460,000 3,848,340 0.0%
* Evergreen Marine Corp. Taiwan, Ltd. 23,462,998 11,867,778 0.1%
# Everlight Chemical Industrial Corp. 484,950 293,271 0.0%
# Everlight Electronics Co., Ltd. 2,283,000 3,199,648 0.0%
# Excelsior Medical Co., Ltd. 1,272,726 2,107,029 0.0%
EZconn Corp. 185,000 211,009 0.0%
Far Eastern Department Stores, Ltd. 10,278,445 6,749,243 0.1%
Far Eastern International Bank 30,418,089 10,205,584 0.1%
Far Eastern New Century Corp. 24,235,528 23,131,386 0.1%
#* Farglory F T Z Investment Holding Co., Ltd. 1,093,000 662,311 0.0%
Farglory Land Development Co., Ltd. 3,388,264 3,712,820 0.0%
# Federal Corp. 6,849,160 2,990,269 0.0%
#* First Copper Technology Co., Ltd. 2,438,750 923,000 0.0%
First Financial Holding Co., Ltd. 127,821,158 87,878,011 0.5%
# First Hotel 1,722,157 877,402 0.0%
# First Insurance Co., Ltd. (The) 3,713,064 1,714,556 0.0%
* First Steamship Co., Ltd. 9,048,360 3,757,172 0.0%
# FocalTech Systems Co., Ltd. 874,000 761,381 0.0%
Forest Water Environment Engineering Co., Ltd. 32,000 73,391 0.0%
# Formosa Advanced Technologies Co., Ltd. 2,188,000 2,429,621 0.0%
# Formosa Laboratories, Inc. 404,000 795,868 0.0%
Formosa Taffeta Co., Ltd. 7,895,511 8,927,216 0.1%
Formosan Rubber Group, Inc. 5,278,957 2,669,698 0.0%
# Formosan Union Chemical 3,240,572 2,044,619 0.0%
# Fortune Electric Co., Ltd. 494,000 446,355 0.0%
# Founding Construction & Development Co., Ltd. 3,376,418 1,878,963 0.0%
Foxconn Technology Co., Ltd. 8,029,142 19,935,429 0.1%
# Foxlink Image Technology Co., Ltd. 1,510,000 1,279,173 0.0%
# Froch Enterprise Co., Ltd. 2,358,734 1,278,367 0.0%
# FSP Technology, Inc. 1,922,292 1,561,584 0.0%
Fubon Financial Holding Co., Ltd. 90,265,471 154,431,296 0.8%
Fulgent Sun International Holding Co., Ltd. 41,922 89,638 0.0%
# Fullerton Technology Co., Ltd. 1,499,200 1,209,707 0.0%
# Fulltech Fiber Glass Corp. 5,152,690 2,971,997 0.0%
Fwusow Industry Co., Ltd. 2,842,119 1,781,656 0.0%
# G Shank Enterprise Co., Ltd. 2,144,902 1,814,887 0.0%
Gallant Precision Machining Co., Ltd. 528,000 410,812 0.0%
# Gemtek Technology Corp. 4,459,962 3,605,589 0.0%
* Genesis Photonics, Inc. 542,810 53,742 0.0%
Getac Technology Corp. 3,157,065 4,540,055 0.0%
# Giantplus Technology Co., Ltd. 3,280,100 1,670,308 0.0%
# Gigabyte Technology Co., Ltd. 4,539,287 9,925,570 0.1%
#* Gigastorage Corp. 4,647,600 1,960,140 0.0%
* Gintech Energy Corp. 7,370,044 3,945,203 0.0%
Global Brands Manufacture, Ltd. 3,896,951 1,642,923 0.0%
# Global Lighting Technologies, Inc. 1,051,000 1,284,244 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
Global Mixed Mode Technology, Inc. 73,000 $ 160,008 0.0%
Globe Union Industrial Corp. 3,136,625 2,326,812 0.0%
Gloria Material Technology Corp. 7,458,116 4,827,272 0.0%
#* Gold Circuit Electronics, Ltd. 6,141,965 1,944,258 0.0%
#* Goldsun Building Materials Co., Ltd. 17,089,261 5,549,865 0.0%
# Good Will Instrument Co., Ltd. 552,746 428,793 0.0%
Grand Fortune Securities Co., Ltd. 409,000 213,332 0.0%
Grand Ocean Retail Group, Ltd. 405,000 422,622 0.0%
Grand Pacific Petrochemical 12,974,000 14,354,757 0.1%
Great China Metal Industry 902,000 820,299 0.0%
Great Wall Enterprise Co., Ltd. 6,765,597 8,749,558 0.1%
#* Green Energy Technology, Inc. 3,165,880 1,657,117 0.0%
# Green Seal Holding, Ltd. 853,000 1,073,869 0.0%
# GTM Holdings Corp. 1,877,000 1,243,748 0.0%
# Hannstar Board Corp. 4,499,635 2,612,108 0.0%
# HannStar Display Corp. 40,927,435 11,224,290 0.1%
* HannsTouch Solution, Inc. 3,227,481 758,395 0.0%
Hanpin Electron Co., Ltd. 286,000 243,945 0.0%
#* Harvatek Corp. 2,039,553 1,236,803 0.0%
# Hey Song Corp. 2,920,500 3,081,145 0.0%
# Highwealth Construction Corp. 1,712,000 2,635,767 0.0%
# Hiroca Holdings, Ltd. 881,000 3,043,219 0.0%
* HiTi Digital, Inc. 127,000 42,719 0.0%
Hitron Technology, Inc. 2,134,885 1,525,132 0.0%
#* Ho Tung Chemical Corp. 12,183,475 3,373,754 0.0%
* Hocheng Corp. 3,872,300 1,262,109 0.0%
Hold-Key Electric Wire & Cable Co., Ltd. 118,124 37,499 0.0%
# Holy Stone Enterprise Co., Ltd. 1,574,055 7,653,351 0.1%
Hon Hai Precision Industry Co., Ltd. 40,073,240 111,458,974 0.6%
# Hong Pu Real Estate Development Co., Ltd. 3,141,655 2,394,737 0.0%
# Hong TAI Electric Industrial 2,620,000 1,012,596 0.0%
Hong YI Fiber Industry Co. 719,000 499,611 0.0%
* Horizon Securities Co., Ltd. 5,320,000 1,359,158 0.0%
# Hsin Kuang Steel Co., Ltd. 3,124,124 4,691,080 0.0%
Hsing TA Cement Co. 1,718,542 800,723 0.0%
#* HTC Corp. 6,136,000 12,440,043 0.1%
#* HUA ENG Wire & Cable Co., Ltd. 4,944,035 2,031,103 0.0%
Hua Nan Financial Holdings Co., Ltd. 62,273,363 37,658,753 0.2%
Huaku Development Co., Ltd. 2,268,000 5,236,419 0.0%
# Huang Hsiang Construction Corp. 1,195,000 1,135,817 0.0%
# Hung Ching Development & Construction Co., Ltd. 1,635,468 1,606,359 0.0%
Hung Sheng Construction, Ltd. 6,046,892 7,103,540 0.1%
# Huxen Corp. 275,281 439,443 0.0%
Hwa Fong Rubber Industrial Co., Ltd. 265,000 135,106 0.0%
* Hwacom Systems, Inc. 333,000 139,948 0.0%
#* I-Chiun Precision Industry Co., Ltd. 2,628,000 809,103 0.0%
#* Ichia Technologies, Inc. 2,065,260 1,102,109 0.0%
Ideal Bike Corp. 93,254 35,597 0.0%
Infortrend Technology, Inc. 1,104,000 473,844 0.0%
# Innolux Corp. 150,377,544 55,959,425 0.3%
# Inpaq Technology Co., Ltd. 357,000 506,368 0.0%
# Inventec Corp. 31,534,277 23,891,703 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
ITE Technology, Inc. 1,908,479 $ 2,232,411 0.0%
# Jarllytec Co., Ltd. 543,000 868,770 0.0%
Jentech Precision Industrial Co., Ltd. 38,000 78,751 0.0%
Jess-Link Products Co., Ltd. 1,068,500 1,026,695 0.0%
# Jih Sun Financial Holdings Co., Ltd. 9,018,814 2,684,706 0.0%
# Jinli Group Holdings, Ltd. 1,407,856 931,943 0.0%
Johnson Health Tech Co., Ltd. 150,000 151,770 0.0%
# K Laser Technology, Inc. 1,894,601 969,595 0.0%
# Kaulin Manufacturing Co., Ltd. 1,999,656 1,407,930 0.0%
KEE TAI Properties Co., Ltd. 1,968,000 719,718 0.0%
# Kenmec Mechanical Engineering Co., Ltd. 1,954,000 687,762 0.0%
# Kindom Construction Corp. 4,630,000 3,018,118 0.0%
King Chou Marine Technology Co., Ltd. 190,100 217,940 0.0%
King Yuan Electronics Co., Ltd. 16,246,805 16,026,054 0.1%
# King's Town Bank Co., Ltd. 11,404,012 13,659,803 0.1%
#* King's Town Construction Co., Ltd. 169,380 129,830 0.0%
# Kinko Optical Co., Ltd. 1,853,000 1,761,787 0.0%
# Kinpo Electronics 19,025,375 6,727,666 0.1%
# Kinsus Interconnect Technology Corp. 2,761,000 4,535,572 0.0%
# KNH Enterprise Co., Ltd. 1,687,078 667,613 0.0%
# Kung Sing Engineering Corp. 3,317,000 1,501,414 0.0%
#* Kuo Toong International Co., Ltd. 1,048,160 659,523 0.0%
#* Kuoyang Construction Co., Ltd. 6,003,840 2,991,679 0.0%
Kwong Fong Industries Corp. 1,507,649 887,112 0.0%
#* KYE Systems Corp. 3,515,909 1,186,517 0.0%
# L&K Engineering Co., Ltd. 2,117,000 2,610,944 0.0%
#* LAN FA Textile 2,812,713 833,597 0.0%
LCY Chemical Corp. 2,593,000 3,842,782 0.0%
# Leader Electronics, Inc. 1,966,056 537,961 0.0%
#* Lealea Enterprise Co., Ltd. 9,564,941 3,683,262 0.0%
# Ledtech Electronics Corp. 660,000 228,788 0.0%
LEE CHI Enterprises Co., Ltd. 3,038,900 1,064,607 0.0%
* Leofoo Development Co., Ltd. 4,817,908 1,096,911 0.0%
* LES Enphants Co., Ltd. 877,000 414,419 0.0%
#* Lextar Electronics Corp. 4,344,000 2,614,826 0.0%
#* Li Peng Enterprise Co., Ltd. 8,124,381 2,260,820 0.0%
# Lien Hwa Industrial Corp. 7,926,904 10,119,717 0.1%
# Lingsen Precision Industries, Ltd. 5,436,480 2,281,203 0.0%
# Lite-On Semiconductor Corp. 3,397,729 4,325,273 0.0%
Lite-On Technology Corp. 29,285,738 38,645,792 0.2%
Long Bon International Co., Ltd. 751,000 354,350 0.0%
# Long Chen Paper Co., Ltd. 9,904,971 11,557,198 0.1%
# Longwell Co. 530,000 644,159 0.0%
# Lucky Cement Corp. 3,303,000 849,643 0.0%
#* LuxNet Corp. 414,888 332,658 0.0%
Macroblock, Inc. 72,300 201,630 0.0%
#* Macronix International 21,449,677 34,074,865 0.2%
Marketech International Corp. 1,545,000 3,042,385 0.0%
Masterlink Securities Corp. 15,832,489 5,888,573 0.0%
# Mayer Steel Pipe Corp. 2,046,456 1,075,240 0.0%
# Maywufa Co., Ltd. 252,070 121,335 0.0%
Mega Financial Holding Co., Ltd. 123,127,796 108,698,083 0.6%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
Meiloon Industrial Co. 45,995 $ 40,208 0.0%
Mercuries & Associates Holding, Ltd. 3,084,736 2,504,893 0.0%
#* Mercuries Life Insurance Co., Ltd. 8,906,468 4,857,003 0.0%
# MIN AIK Technology Co., Ltd. 1,446,600 1,067,257 0.0%
# Mitac Holdings Corp. 8,553,754 9,253,683 0.1%
* Mosel Vitelic, Inc. 263,067 286,022 0.0%
#* Motech Industries, Inc. 6,094,658 4,235,198 0.0%
# MPI Corp. 112,000 201,120 0.0%
Nan Ren Lake Leisure Amusement Co., Ltd. 1,652,000 431,580 0.0%
# Nan Ya Printed Circuit Board Corp. 3,428,000 3,090,146 0.0%
# Nantex Industry Co., Ltd. 1,811,390 1,530,480 0.0%
#* Neo Solar Power Corp. 5,692,056 2,359,577 0.0%
New Asia Construction & Development Corp. 1,810,304 369,443 0.0%
New Era Electronics Co., Ltd. 203,000 116,077 0.0%
# Nien Hsing Textile Co., Ltd. 1,980,061 1,654,245 0.0%
# Nishoku Technology, Inc. 330,000 884,649 0.0%
O-Bank Co., Ltd. 401,000 117,042 0.0%
* Ocean Plastics Co., Ltd. 265,000 249,712 0.0%
* Optimax Technology Corp. 499,597 52,569 0.0%
OptoTech Corp. 6,146,387 4,546,700 0.0%
* Orient Semiconductor Electronics, Ltd. 2,145,000 590,260 0.0%
P-Two Industries, Inc. 28,000 21,710 0.0%
# Pacific Construction Co. 2,487,452 974,392 0.0%
Pan Jit International, Inc. 94,000 158,747 0.0%
# Pan-International Industrial Corp. 5,425,444 3,514,695 0.0%
# Paragon Technologies Co., Ltd. 817,191 792,868 0.0%
# Pegatron Corp. 25,556,998 59,585,463 0.3%
#* Phihong Technology Co., Ltd. 3,918,882 1,428,827 0.0%
Plastron Precision Co., Ltd. 32,560 19,977 0.0%
Pou Chen Corp. 17,196,550 21,505,553 0.1%
Powertech Industrial Co., Ltd. 124,000 58,323 0.0%
* President Securities Corp. 12,852,324 6,441,025 0.1%
* Prime Electronics & Satellitics, Inc. 406,000 104,837 0.0%
Prince Housing & Development Corp. 6,791,018 2,700,589 0.0%
Promate Electronic Co., Ltd. 157,000 149,846 0.0%
* Promise Technology, Inc. 909,000 287,353 0.0%
# Qisda Corp. 26,177,171 17,941,997 0.1%
Qualipoly Chemical Corp. 276,756 313,024 0.0%
# Quanta Storage, Inc. 2,424,000 2,195,757 0.0%
# Quintain Steel Co., Ltd. 3,528,684 1,274,818 0.0%
# Radiant Opto-Electronics Corp. 4,795,000 9,897,610 0.1%
* Radium Life Tech Co., Ltd. 8,933,124 3,242,769 0.0%
# Rich Development Co., Ltd. 7,252,054 2,972,064 0.0%
* Ritek Corp. 24,736,669 4,896,913 0.0%
# Rotam Global Agrosciences, Ltd. 415,693 349,791 0.0%
#* Ruentex Development Co., Ltd. 5,627,200 6,738,164 0.1%
Sampo Corp. 5,865,925 2,639,791 0.0%
San Fang Chemical Industry Co., Ltd. 23,000 25,116 0.0%
San Far Property, Ltd. 71,000 34,815 0.0%
Sanyang Motor Co., Ltd. 2,721,624 1,943,813 0.0%
# SCI Pharmtech, Inc. 91,000 189,298 0.0%
Sesoda Corp. 1,687,713 1,682,197 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
Shan-Loong Transportation Co., Ltd. 268,000 $ 301,522 0.0%
Sharehope Medicine Co., Ltd. 91,358 114,217 0.0%
# Sheng Yu Steel Co., Ltd. 1,836,000 1,649,807 0.0%
# ShenMao Technology, Inc. 1,168,000 965,293 0.0%
# Shih Her Technologies, Inc. 411,000 472,787 0.0%
* Shih Wei Navigation Co., Ltd. 3,213,288 800,480 0.0%
# Shihlin Electric & Engineering Corp. 4,496,000 6,220,042 0.0%
# Shin Kong Financial Holding Co., Ltd. 94,319,430 38,333,474 0.2%
# Shin Zu Shing Co., Ltd. 1,676,000 4,404,873 0.0%
* Shining Building Business Co., Ltd. 294,945 114,958 0.0%
# Shinkong Insurance Co., Ltd. 3,219,412 3,493,239 0.0%
Shinkong Synthetic Fibers Corp. 19,161,754 6,575,417 0.1%
# Shuttle, Inc. 4,367,015 2,312,714 0.0%
Sigurd Microelectronics Corp. 5,178,047 5,998,886 0.0%
#* Silicon Integrated Systems Corp. 4,978,808 1,417,779 0.0%
#* Silitech Technology Corp. 824,803 471,118 0.0%
Simplo Technology Co., Ltd. 473,000 2,644,497 0.0%
Sincere Navigation Corp. 4,571,740 2,701,509 0.0%
Sinher Technology, Inc. 188,000 307,612 0.0%
Sino-American Silicon Products, Inc. 2,771,000 11,892,904 0.1%
# Sinon Corp. 5,544,877 3,168,298 0.0%
SinoPac Financial Holdings Co., Ltd. 108,185,133 38,932,106 0.2%
Sinphar Pharmaceutical Co., Ltd. 18,000 14,101 0.0%
Sirtec International Co., Ltd. 373,000 484,613 0.0%
# Siward Crystal Technology Co., Ltd. 2,327,875 1,455,286 0.0%
#* Solar Applied Materials Technology Co. 2,393,438 1,728,525 0.0%
* Solartech Energy Corp. 4,352,165 1,927,603 0.0%
# Solomon Technology Corp. 461,000 317,723 0.0%
Solteam Electronics Co., Ltd. 39,390 49,076 0.0%
Southeast Cement Co., Ltd. 3,186,700 1,499,149 0.0%
# Spirox Corp. 505,563 504,839 0.0%
Standard Chemical & Pharmaceutical Co., Ltd. 114,000 140,547 0.0%
Stark Technology, Inc. 1,418,160 1,966,984 0.0%
Sunko INK Co., Ltd. 76,000 30,994 0.0%
# Sunplus Technology Co., Ltd. 7,149,620 3,478,910 0.0%
Sunrex Technology Corp. 1,497,949 783,607 0.0%
# Sunspring Metal Corp. 667,000 814,680 0.0%
# Supreme Electronics Co., Ltd. 4,785,441 5,116,745 0.0%
Sweeten Real Estate Development Co., Ltd. 1,174,925 716,406 0.0%
Synnex Technology International Corp. 5,999,550 8,616,554 0.1%
Sysage Technology Co., Ltd. 134,186 153,340 0.0%
Systex Corp. 1,007,801 2,180,569 0.0%
# T-Mac Techvest PCB Co., Ltd. 1,603,000 664,431 0.0%
# T3EX Global Holdings Corp. 235,499 185,557 0.0%
# TA Chen Stainless Pipe 3,696,608 4,208,653 0.0%
#* Ta Ya Electric Wire & Cable 7,029,329 3,710,065 0.0%
# TA-I Technology Co., Ltd. 1,472,170 2,638,490 0.0%
# Tah Hsin Industrial Corp. 1,477,900 1,336,151 0.0%
TAI Roun Products Co., Ltd. 63,000 24,988 0.0%
# Tai Tung Communication Co., Ltd. 502,000 302,519 0.0%
Tai-Saw Technology Co., Ltd. 37,000 24,360 0.0%
# Taichung Commercial Bank Co., Ltd. 32,352,654 11,184,819 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
TAIWAN -- (Continued)
# Taiflex Scientific Co., Ltd. 1,072,960 $ 1,405,392 0.0%
# Tainan Enterprises Co., Ltd. 1,134,183 881,117 0.0%
# Tainan Spinning Co., Ltd. 17,926,485 7,936,562 0.1%
#* Tainergy Tech Co., Ltd. 2,172,000 696,100 0.0%
Taishin Financial Holding Co., Ltd. 105,670,679 51,347,525 0.3%
#* Taisun Enterprise Co., Ltd. 2,234,423 1,285,920 0.0%
#* Taita Chemical Co., Ltd. 2,481,864 1,040,269 0.0%
# Taiwan Business Bank 47,836,385 14,700,470 0.1%
Taiwan Cement Corp. 59,430,725 81,671,162 0.4%
# Taiwan Chinsan Electronic Industrial Co., Ltd. 287,000 585,273 0.0%
Taiwan Cogeneration Corp. 2,535,333 2,521,434 0.0%
Taiwan Cooperative Financial Holding Co., Ltd. 91,885,111 53,390,947 0.3%
# Taiwan Fertilizer Co., Ltd. 5,320,000 7,179,373 0.1%
Taiwan Fire & Marine Insurance Co., Ltd. 1,343,000 939,842 0.0%
Taiwan FU Hsing Industrial Co., Ltd. 667,000 801,436 0.0%
* Taiwan Glass Industry Corp. 13,321,982 8,901,818 0.1%
Taiwan Hon Chuan Enterprise Co., Ltd. 697,932 1,214,007 0.0%
# Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,732,000 1,063,627 0.0%
#* Taiwan Land Development Corp. 9,188,322 2,915,211 0.0%
# Taiwan Line Tek Electronic 146,771 122,506 0.0%
#* Taiwan Mask Corp. 2,159,250 1,229,351 0.0%
* Taiwan Navigation Co., Ltd. 1,597,000 913,260 0.0%
Taiwan PCB Techvest Co., Ltd. 3,813,946 3,630,934 0.0%
#* Taiwan Prosperity Chemical Corp. 589,000 415,741 0.0%
#* Taiwan Pulp & Paper Corp. 3,602,660 2,195,246 0.0%
# Taiwan Sakura Corp. 70,177 90,588 0.0%
Taiwan Shin Kong Security Co., Ltd. 39,000 50,971 0.0%
# Taiwan Styrene Monomer 3,118,647 2,253,490 0.0%
Taiwan Surface Mounting Technology Corp. 3,083,991 2,637,860 0.0%
# Taiwan TEA Corp. 8,595,092 4,476,626 0.0%
# Taiyen Biotech Co., Ltd. 1,535,217 1,497,793 0.0%
#* Tatung Co., Ltd. 19,466,342 14,476,541 0.1%
Te Chang Construction Co., Ltd. 80,260 55,324 0.0%
Teco Electric and Machinery Co., Ltd. 23,067,725 18,723,207 0.1%
# Test-Rite International Co., Ltd. 1,514,266 1,178,024 0.0%
#* Tex-Ray Industrial Co., Ltd. 501,000 184,869 0.0%
Thye Ming Industrial Co., Ltd. 26,000 34,900 0.0%
Ton Yi Industrial Corp. 3,205,600 1,361,996 0.0%
# Tong-Tai Machine & Tool Co., Ltd. 2,996,447 1,977,332 0.0%
# Topoint Technology Co., Ltd. 2,165,288 1,451,399 0.0%
#* TPK Holding Co., Ltd. 3,663,000 7,989,377 0.1%
Tripod Technology Corp. 2,828,000 8,554,405 0.1%
# TrueLight Corp. 229,000 185,350 0.0%
Tsann Kuen Enterprise Co., Ltd. 134,000 111,183 0.0%
* TSEC Corp. 1,723,684 546,701 0.0%
Tung Ho Steel Enterprise Corp. 12,361,274 10,264,060 0.1%
TXC Corp. 1,215,000 1,457,183 0.0%
# TYC Brother Industrial Co., Ltd. 1,472,723 1,450,987 0.0%
* Tycoons Group Enterprise 7,363,938 1,705,075 0.0%
# Tyntek Corp. 3,017,097 1,586,166 0.0%
U-Ming Marine Transport Corp. 1,348,000 1,650,027 0.0%
# UDE Corp. 345,000 419,917 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
TAIWAN -- (Continued)
# Unimicron Technology Corp. 22,428,363 $ 12,603,977 0.1%
# Union Bank Of Taiwan 12,313,837 4,031,023 0.0%
# Unitech Computer Co., Ltd. 1,587,739 1,097,351 0.0%
#* Unitech Printed Circuit Board Corp. 7,109,281 4,820,346 0.0%
# United Microelectronics Corp. 201,966,681 108,914,955 0.6%
United Radiant Technology 95,000 53,362 0.0%
* Unity Opto Technology Co., Ltd. 2,924,000 858,472 0.0%
Univacco Technology, Inc. 46,000 29,864 0.0%
# Universal Cement Corp. 5,909,583 4,385,974 0.0%
# Unizyx Holding Corp. 4,190,000 1,848,804 0.0%
# UPC Technology Corp. 12,063,214 8,041,194 0.1%
USI Corp. 7,727,184 3,761,736 0.0%
Usun Technology Co., Ltd. 230,000 330,026 0.0%
# Ve Wong Corp. 1,586,806 1,379,026 0.0%
Victory New Materials, Ltd. Co. 744,700 1,140,997 0.0%
#* Wafer Works Corp. 2,046,092 3,195,131 0.0%
* Wah Hong Industrial Corp. 395,516 248,091 0.0%
Wah Lee Industrial Corp. 2,043,000 3,801,436 0.0%
# Walsin Lihwa Corp. 32,111,412 21,833,277 0.1%
# Walsin Technology Corp. 4,539,797 28,537,472 0.2%
# Walton Advanced Engineering, Inc. 3,931,853 1,727,409 0.0%
Wan Hai Lines, Ltd. 8,094,000 4,668,040 0.0%
Waterland Financial Holdings Co., Ltd. 32,138,112 11,223,878 0.1%
# Weikeng Industrial Co., Ltd. 2,190,072 1,635,651 0.0%
# Well Shin Technology Co., Ltd. 1,009,080 1,738,641 0.0%
Wha Yu Industrial Co., Ltd. 302,000 174,319 0.0%
# Winbond Electronics Corp. 45,260,572 27,701,733 0.2%
Winstek Semiconductor Co., Ltd. 68,000 87,283 0.0%
Wintek Corp. 20,783,484 241,016 0.0%
# Wisdom Marine Lines Co., Ltd. 2,913,953 2,770,672 0.0%
# Wistron Corp. 41,811,309 33,248,479 0.2%
WPG Holdings, Ltd. 9,310,092 12,528,021 0.1%
WT Microelectronics Co., Ltd. 7,539,751 11,269,562 0.1%
# WUS Printed Circuit Co., Ltd. 2,987,739 1,594,315 0.0%
Xxentria Technology Materials Corp. 216,000 547,862 0.0%
* Yang Ming Marine Transport Corp. 11,032,759 3,820,601 0.0%
# YC Co., Ltd. 6,741,177 3,917,564 0.0%
# YC INOX Co., Ltd. 4,977,833 4,458,993 0.0%
Yea Shin International Development Co., Ltd. 309,147 193,459 0.0%
# Yeong Guan Energy Technology Group Co., Ltd. 1,042,000 2,836,477 0.0%
#* YFY, Inc. 20,003,847 8,531,891 0.1%
# Yi Jinn Industrial Co., Ltd. 2,354,142 1,109,469 0.0%
# Yieh Phui Enterprise Co., Ltd. 17,212,345 5,959,153 0.0%
#* Young Fast Optoelectronics Co., Ltd. 1,525,000 830,159 0.0%
Youngtek Electronics Corp. 943,047 1,861,526 0.0%
Yuanta Financial Holding Co., Ltd. 116,044,918 55,382,699 0.3%
# Yulon Motor Co., Ltd. 12,005,572 9,156,882 0.1%
# Yung Chi Paint & Varnish Manufacturing Co., Ltd. 243,687 658,761 0.0%
Yungshin Construction & Development Co., Ltd. 47,000 52,218 0.0%
# Zenitron Corp. 2,495,000 1,892,782 0.0%
# Zero One Technology Co., Ltd. 412,000 272,263 0.0%
Zhen Ding Technology Holding, Ltd. 3,172,000 6,902,167 0.1%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
TAIWAN -- (Continued)
# Zig Sheng Industrial Co., Ltd. 5,192,352 $ 1,820,251 0.0%
Zinwell Corp. 742,000 631,840 0.0%
ZongTai Real Estate Development Co., Ltd. 1,817,844 1,309,061 0.0%
-------------- ----
TOTAL TAIWAN 3,146,765,105 15.6%
-------------- ----
THAILAND -- (3.1%)
AAPICO Hitech PCL(B013L48) 681,760 777,673 0.0%
AAPICO Hitech PCL(B013KZ2) 123,300 140,646 0.0%
AJ Plast PCL 1,411,400 581,375 0.0%
Ananda Development PCL 1,318,100 163,718 0.0%
AP Thailand PCL 15,804,330 4,206,476 0.0%
Asia Aviation PCL(B8J72C3) 4,322,900 801,298 0.0%
Asia Aviation PCL(B86KK09) 405,600 75,182 0.0%
Asia Plus Group Holdings PCL 4,806,900 572,685 0.0%
Bangchak Corp. PCL 5,353,800 6,149,406 0.1%
Bangkok Airways PCL 2,970,100 1,430,466 0.0%
Bangkok Bank PCL 1,363,253 8,336,750 0.1%
Bangkok Insurance PCL 212,828 2,427,696 0.0%
Bangkok Land PCL 95,225,996 5,642,351 0.0%
Bangkok Life Assurance PCL 78,000 89,591 0.0%
Bangkok Ranch PCL 2,153,800 464,063 0.0%
Banpu PCL 21,315,150 13,102,469 0.1%
Better World Green PCL 3,598,200 149,355 0.0%
Cal-Comp Electronics Thailand PCL Class F 27,425,314 1,807,498 0.0%
Charoen Pokphand Foods PCL 25,500,700 19,796,171 0.1%
Charoong Thai Wire & Cable PCL Class F 1,255,800 342,201 0.0%
* G J Steel PCL 27,256,975 328,189 0.0%
GFPT PCL 1,762,600 686,945 0.0%
Golden Land Property Development PCL 1,826,700 575,908 0.0%
Hana Microelectronics PCL 1,608,600 1,771,193 0.0%
ICC International PCL 2,624,400 3,284,658 0.0%
IRPC PCL 67,148,000 14,999,791 0.1%
Italian-Thai Development PCL 4,375,300 426,994 0.0%
Kasikornbank PCL 2,369,200 14,676,128 0.1%
KGI Securities Thailand PCL 9,914,900 1,382,305 0.0%
Khon Kaen Sugar Industry PCL 9,875,054 976,241 0.0%
Kiatnakin Bank PCL 3,265,200 7,630,181 0.1%
Krung Thai Bank PCL 34,335,900 19,800,804 0.1%
LH Financial Group PCL 16,993,446 866,903 0.0%
LPN Development PCL 3,309,001 1,048,479 0.0%
MBK PCL 221,600 160,793 0.0%
* MCOT PCL 1,028,300 335,599 0.0%
* Millcon Steel PCL 1,630,700 86,805 0.0%
MK Real Estate Development PCL 2,855,400 334,759 0.0%
* Nation Multimedia Group PCL 2,644,800 31,845 0.0%
Padaeng Industry PCL 845,600 676,534 0.0%
Polyplex Thailand PCL 4,813,825 2,547,239 0.0%
* Precious Shipping PCL 7,265,750 3,061,929 0.0%
Property Perfect PCL 37,629,600 1,013,471 0.0%
Pruksa Holding PCL 2,943,100 2,079,567 0.0%
PTT Exploration & Production PCL 18,698,000 79,389,480 0.4%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
THAILAND -- (Continued)
PTT Global Chemical PCL 20,672,441 $ 64,191,990 0.3%
PTT PCL 143,475,500 256,855,695 1.3%
Quality Houses PCL 22,802,697 2,210,908 0.0%
Regional Container Lines PCL 4,050,100 1,007,392 0.0%
Rojana Industrial Park PCL 7,638,173 1,609,438 0.0%
Saha Pathana Inter-Holding PCL 2,734,900 6,109,330 0.1%
Saha Pathanapibul PCL 1,594,833 2,728,802 0.0%
Saha-Union PCL 2,551,300 3,476,106 0.0%
Sahaviriya Steel Industries PCL 90,527,440 26,963 0.0%
Sansiri PCL 88,128,166 4,691,233 0.0%
SC Asset Corp. PCL 24,861,353 2,993,446 0.0%
Sena Development PCL 373,600 50,666 0.0%
Siam Commercial Bank PCL (The) 3,385,000 14,050,539 0.1%
Siam Future Development PCL 5,994,346 1,718,911 0.0%
Somboon Advance Technology PCL 1,957,600 1,346,005 0.0%
Sri Ayudhya Capital PCL 85,100 119,992 0.0%
Sri Trang Agro-Industry PCL 7,623,240 2,850,261 0.0%
Srithai Superware PCL 18,906,200 892,593 0.0%
STP & I PCL 892,700 126,155 0.0%
Supalai PCL 851,700 626,091 0.0%
SVI PCL 1,135,200 156,108 0.0%
* Tata Steel Thailand PCL 48,246,800 1,238,273 0.0%
* Thai Airways International PCL 11,905,111 6,110,989 0.1%
Thai Oil PCL 6,824,000 20,379,024 0.1%
Thai Rayon PCL 58,700 98,112 0.0%
Thai Stanley Electric PCL 43,100 311,369 0.0%
Thai Stanley Electric PCL Class F 174,600 1,261,369 0.0%
Thai Wacoal PCL 85,000 127,931 0.0%
Thai-German Ceramic Industry PCL 362,200 30,528 0.0%
Thaicom PCL 4,888,100 1,401,689 0.0%
Thanachart Capital PCL 7,128,300 12,140,245 0.1%
Thitikorn PCL 1,606,000 661,534 0.0%
Thoresen Thai Agencies PCL 6,664,378 1,763,231 0.0%
TIPCO Foods PCL 108,600 43,702 0.0%
TMB Bank PCL 79,087,400 5,914,013 0.0%
TPI Polene PCL 52,467,040 3,142,038 0.0%
True Corp. PCL 7,660,600 1,844,758 0.0%
Vinythai PCL 4,651,917 3,721,828 0.0%
------------ ---
TOTAL THAILAND 653,259,067 3.3%
------------ ---
TURKEY -- (1.2%)
Akbank Turk A.S. 17,749,400 36,930,703 0.2%
#* Akenerji Elektrik Uretim A.S. 2,703,487 546,442 0.0%
# Alarko Holding A.S. 625,559 898,763 0.0%
# Albaraka Turk Katilim Bankasi A.S. 4,160,748 1,613,844 0.0%
# Anadolu Anonim Turk Sigorta Sirketi 3,554,092 3,747,258 0.0%
Anadolu Cam Sanayii A.S. 3,435,373 2,636,225 0.0%
#* Bagfas Bandirma Gubre Fabrikalari A.S. 403,271 873,096 0.0%
#* Baticim Bati Anadolu Cimento Sanayii A.S. 219,722 349,325 0.0%
#* Bera Holding A.S. 304,438 182,533 0.0%
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 819,746 2,515,421 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
TURKEY -- (Continued)
#* Boyner Perakende Ve Tekstil Yatirimlari A.S. 89,087 $ 208,957 0.0%
#* Dogan Sirketler Grubu Holding A.S. 17,529,591 4,418,815 0.0%
# Eczacibasi Yatirim Holding Ortakligi A.S. 344,745 859,761 0.0%
# EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi
ve Ticaret A.S. 1,908,942 1,917,740 0.0%
Enka Insaat ve Sanayi A.S. 2,933,267 3,529,545 0.0%
#* Global Yatirim Holding A.S. 2,120,952 2,175,409 0.0%
#* GSD Holding AS 3,856,556 876,475 0.0%
#* Ihlas Holding A.S. 15,292,807 1,656,913 0.0%
#* Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S. 1,550,008 1,850,775 0.0%
#* Is Finansal Kiralama A.S. 1,503,785 2,142,535 0.0%
Is Yatirim Menkul Degerler A.S. Class A 178,455 94,640 0.0%
* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,749,438 1,452,286 0.0%
* Koza Anadolu Metal Madencilik Isletmeleri A.S. 846,192 1,201,118 0.0%
#* Metro Ticari ve Mali Yatirimlar Holding A.S. 2,519,067 590,010 0.0%
* NET Holding A.S. 13,395 6,582 0.0%
#* Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 702,352 628,245 0.0%
Pinar Entegre Et ve Un Sanayi A.S. 244,757 554,695 0.0%
Pinar SUT Mamulleri Sanayii A.S. 127,873 380,614 0.0%
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 1,255,434 1,082,856 0.0%
#* Sekerbank TAS 4,091,870 1,524,652 0.0%
Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 1,806,234 1,506,248 0.0%
Trakya Cam Sanayii A.S. 6,814,075 7,897,083 0.1%
# Turcas Petrol A.S. 195,565 102,234 0.0%
* Turk Hava Yollari AO 7,297,121 30,141,910 0.2%
Turkiye Garanti Bankasi A.S. 18,334,811 41,517,891 0.2%
# Turkiye Halk Bankasi A.S. 6,191,411 12,667,570 0.1%
Turkiye Is Bankasi 20,750,078 31,441,897 0.2%
Turkiye Sinai Kalkinma Bankasi A.S. 12,153,251 4,197,307 0.0%
Turkiye Sise ve Cam Fabrikalari A.S. 11,992,481 13,326,552 0.1%
# Turkiye Vakiflar Bankasi TAO 10,418,399 15,329,522 0.1%
#* Yapi ve Kredi Bankasi A.S. 7,000,985 6,856,433 0.0%
#* Zorlu Enerji Elektrik Uretim A.S. 202,433 84,622 0.0%
--------------- ----
TOTAL TURKEY 242,515,502 1.2%
--------------- ----
TOTAL COMMON STOCKS 19,560,616,968 97.1%
--------------- ----
PREFERRED STOCKS -- (2.1%)
BRAZIL -- (2.0%)
Banco ABC Brasil SA 1,181,846 6,328,908 0.0%
Banco do Estado do Rio Grande do Sul SA Class B 2,245,768 12,878,933 0.1%
Banco Pan SA 1,833,792 994,578 0.0%
* Banco Pine SA 427,430 383,116 0.0%
Cia Brasileira de Distribuicao 1,385,856 31,145,365 0.2%
Cia Ferro Ligas da Bahia - Ferbasa 918,834 5,458,134 0.0%
Eucatex SA Industria e Comercio 353,288 472,974 0.0%
Marcopolo SA 4,204,845 4,897,170 0.0%
* Petroleo Brasileiro SA 12,781,490 83,806,470 0.4%
#* Petroleo Brasileiro SA Sponsored ADR 17,627,348 231,799,626 1.2%
Randon SA Implementos e Participacoes 2,784,800 6,963,590 0.0%
Unipar Carbocloro SA 866,274 7,027,716 0.0%
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
BRAZIL -- (Continued)
Usinas Siderurgicas de Minas Gerais SA Class A 6,474,766 $ 20,145,852 0.1%
--------------- -----
TOTAL BRAZIL 412,302,432 2.0%
--------------- -----
COLOMBIA -- (0.1%)
Avianca Holdings SA 1,325,176 1,377,563 0.0%
Grupo Argos SA 363,870 2,150,352 0.0%
Grupo de Inversiones Suramericana SA 1,042,360 13,544,589 0.1%
--------------- -----
TOTAL COLOMBIA 17,072,504 0.1%
--------------- -----
MALAYSIA -- (0.0%)
SP Setia Bhd Group, 5.930% 2,243,488 498,903 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
* Mirae Asset Daewoo Co., Ltd. 553,460 2,391,478 0.0%
--------------- -----
TOTAL PREFERRED STOCKS 432,265,317 2.1%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
* Medco Energi Internasional Tbk PT Warrants 12/11/20 32,302,167 1,253,777 0.0%
--------------- -----
MALAYSIA -- (0.0%)
* Protasco Bhd Rights 04/25/23 918,663 8,195 0.0%
* Scomi Group Bhd Warrants 02/18/23 2,679,575 40,977 0.0%
* Sunway Bhd Warrants 10/03/24 1,071,135 107,837 0.0%
--------------- -----
TOTAL MALAYSIA 157,009 0.0%
--------------- -----
POLAND -- (0.0%)
* Hawe SA Rights 09/30/15 952,876 -- 0.0%
--------------- -----
TAIWAN -- (0.0%)
* Wafer Works Corp. Rights 06/08/18 102,113 26,921 0.0%
--------------- -----
THAILAND -- (0.0%)
* Sri Ayudhya Capital PCL Warrants 05/20/20 42,550 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) $20,772,803,429 103.1%
=============== =====
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
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)
=========== =========== ===========
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 $16,283,766,515 -- $20,770,909,910
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
(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 Emerging Markets Value Fund
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 Emerging Markets Value Fund
Date: July 5, 2018
By: /s/ Gerard K. O'Reilly
---------------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
Dimensional Emerging Markets Value Fund
Date: July 5, 2018
By: /s/ Gregory K. Hinkle
---------------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Emerging Markets Value Fund
Date: July 5, 2018