================================================================================
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 811-7436
-----------------
THE DFA INVESTMENT TRUST COMPANY
(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
THE DFA INVESTMENT TRUST COMPANY,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
-----------------
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400
DATE OF FISCAL YEAR END: OCTOBER 31
DATE OF REPORTING PERIOD: NOVEMBER 1, 2017 - APRIL 30, 2018
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
Semi-Annual Report
Six Months Ended: April 30, 2018 (Unaudited)
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DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC. / THE
DFA INVESTMENT TRUST COMPANY / DIMENSIONAL EMERGING MARKETS VALUE FUND
--------------------------------------------------------------------------------
DFA Investment Dimensions Group Inc.
--------------------------------------------------------------------------------
Enhanced U.S. Large Company Portfolio International Core Equity Portfolio International Vector Equity Portfolio
U.S. Large Cap Equity Portfolio International Small Company Portfolio International High Relative
U.S. Large Cap Value Portfolio Global Small Company Portfolio Profitability Portfolio
U.S. Targeted Value Portfolio Japanese Small Company Portfolio World ex U.S. Value Portfolio
U.S. Small Cap Value Portfolio Asia Pacific Small Company Portfolio World ex U.S. Targeted Value Portfolio
U.S. Core Equity 1 Portfolio United Kingdom Small Company Portfolio World ex U.S. Core Equity Portfolio
U.S. Core Equity 2 Portfolio Continental Small Company Portfolio World Core Equity Portfolio
U.S. Vector Equity Portfolio DFA International Real Estate Selectively Hedged Global Equity
U.S. Small Cap Portfolio Securities Portfolio Portfolio
U.S. Micro Cap Portfolio DFA Global Real Estate Securities Emerging Markets Portfolio
U.S. High Relative Profitability Portfolio Emerging Markets Small Cap Portfolio
Portfolio DFA International Small Cap Value Emerging Markets Value Portfolio
DFA Real Estate Securities Portfolio Portfolio Emerging Markets Core Equity Portfolio
Large Cap International Portfolio DFA Commodity Strategy Portfolio
Dimensional Investment Group Inc.
--------------------------------------------------------------------------------
DFA International Value Portfolio U.S. Large Company Portfolio
The DFA Investment Trust Company
--------------------------------------------------------------------------------
The U.S. Large Cap Value Series The Continental Small Company Series
The DFA International Value Series The Canadian Small Company Series
The Japanese Small Company Series The Emerging Markets Series
The Asia Pacific Small Company Series The Emerging Markets Small Cap Series
The United Kingdom Small Company
Series
Dimensional Emerging Markets Value Fund
--------------------------------------------------------------------------------
[LOGO]
June 2018
Dear Fellow Shareholder,
Sound investment solutions based on financial science are at the heart of
Dimensional. Just as important is our commitment to serving our clients. We
take great pride in the many longstanding clients we have had the honor of
working with over the last four decades.
Delivering great investment experiences informs everything we do, from the
design of our strategies to the ways that we explain our approach and set
expectations. We place tremendous value on helping our clients understand what
they can expect from us. By being transparent about what we can deliver, and
following through with robust investment strategies, we help clients achieve
their financial goals.
David Booth, our founder, often speaks of his satisfaction and joy in helping
change the investor landscape for the better. We share this passion and, on
behalf of everyone at Dimensional, we thank you for trusting us with your
investments.
Sincerely,
/s/ David P. Butler /s/ Gerard O'Reilly
David Butler Gerard O'Reilly
Co-Chief Executive Officer Co-Chief Executive Officer and Chief
Investment Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
------
Letter to Shareholders
Definitions of Abbreviations and Footnotes........................... 1
DFA Investment Dimensions Group Inc.
Disclosure of Fund Expenses....................................... 3
Disclosure of Portfolio Holdings.................................. 9
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio......................... 12
U.S. Large Cap Equity Portfolio............................... 15
U.S. Large Cap Value Portfolio................................ 18
U.S. Targeted Value Portfolio................................. 19
U.S. Small Cap Value Portfolio................................ 22
U.S. Core Equity 1 Portfolio.................................. 25
U.S. Core Equity 2 Portfolio.................................. 28
U.S. Vector Equity Portfolio.................................. 31
U.S. Small Cap Portfolio...................................... 34
U.S. Micro Cap Portfolio...................................... 37
U.S. High Relative Profitability Portfolio.................... 40
DFA Real Estate Securities Portfolio.......................... 43
Large Cap International Portfolio............................. 45
International Core Equity Portfolio........................... 49
International Small Company Portfolio......................... 53
Global Small Company Portfolio................................ 54
Japanese Small Company Portfolio.............................. 55
Asia Pacific Small Company Portfolio.......................... 56
United Kingdom Small Company Portfolio........................ 57
Continental Small Company Portfolio........................... 58
DFA International Real Estate Securities Portfolio............ 59
DFA Global Real Estate Securities Portfolio................... 63
DFA International Small Cap Value Portfolio................... 65
International Vector Equity Portfolio......................... 69
International High Relative Profitability Portfolio........... 73
World ex U.S. Value Portfolio................................. 77
World ex U.S. Targeted Value Portfolio........................ 78
World ex U.S. Core Equity Portfolio........................... 83
World Core Equity Portfolio................................... 89
Selectively Hedged Global Equity Portfolio.................... 90
Emerging Markets Portfolio.................................... 92
Emerging Markets Small Cap Portfolio.......................... 93
Emerging Markets Value Portfolio.............................. 94
Emerging Markets Core Equity Portfolio........................ 95
Statements of Assets and Liabilities.............................. 99
Statements of Operations.......................................... 107
Statements of Changes in Net Assets............................... 115
Financial Highlights.............................................. 127
Notes to Financial Statements..................................... 150
Section 19(a) Notice.............................................. 187
i
TABLE OF CONTENTS
CONTINUED
Page
------
DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio
Consolidated Disclosure of Fund Expenses............................. 189
Consolidated Disclosure of Portfolio Holdings........................ 190
Consolidated Schedule of Investments................................. 191
Consolidated Statement of Assets and Liabilities..................... 205
Consolidated Statement of Operations................................. 206
Consolidated Statements of Changes in Net Assets..................... 207
Consolidated Financial Highlights.................................... 208
Consolidated Notes to Financial Statements........................... 209
Dimensional Investment Group Inc.
Disclosure of Fund Expenses.......................................... 222
Disclosure of Portfolio Holdings..................................... 224
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio................................ 225
U.S. Large Company Portfolio..................................... 226
Statements of Assets and Liabilities................................. 229
Statements of Operations............................................. 230
Statements of Changes in Net Assets.................................. 231
Financial Highlights................................................. 232
Notes to Financial Statements........................................ 235
Section 19(a) Notice................................................. 245
The DFA Investment Trust Company
Disclosure of Fund Expenses.......................................... 246
Disclosure of Portfolio Holdings..................................... 248
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series.................................. 250
The DFA International Value Series............................... 253
The Japanese Small Company Series................................ 257
The Asia Pacific Small Company Series............................ 260
The United Kingdom Small Company Series.......................... 262
The Continental Small Company Series............................. 265
The Canadian Small Company Series................................ 269
The Emerging Markets Series...................................... 272
The Emerging Markets Small Cap Series............................ 276
Statements of Assets and Liabilities................................. 280
Statements of Operations............................................. 282
Statements of Changes in Net Assets.................................. 284
Financial Highlights................................................. 287
Notes to Financial Statements........................................ 292
Dimensional Emerging Markets Value Fund
Disclosure of Fund Expenses.......................................... 305
Disclosure of Portfolio Holdings..................................... 306
Summary Schedule of Portfolio Holdings............................... 307
Statement of Assets and Liabilities.................................. 311
Statement of Operations.............................................. 312
Statements of Changes in Net Assets.................................. 313
Financial Highlights................................................. 314
Notes to Financial Statements........................................ 315
ii
TABLE OF CONTENTS
CONTINUED
Page
----
Voting Proxies on Fund Portfolio Securities........ 324
Board Approval of Investment Management Agreements. 325
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
iii
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
AUD Australian dollar
CAD Canadian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pounds
HKD Hong Kong Dollar
ILS Israeli New Shekel
JPY Japanese Yen
NOK Norwegian Krone
SEK Swedish Krona
SGD Singapore Dollar
USD United States Dollars
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Denominated in USD, unless otherwise noted.
## Rule 144A, Section 4(a)(2), or other security which is restricted as to resale to institutional investors.
The Fund's Advisor has deemed this security to be liquid based upon procedures approved by the
Board of Trustees.
@ Security purchased with cash proceeds from Securities on Loan.
++ Security pledged as collateral for Swap Agreements
(S) Affiliated Fund.
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Fund(s) and/or Underlying Fund(s).
(C) Because of commencement of operations and related preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
(D) Non-Annualized
(E) Annualized
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
REIT Real Estate Investment Trust
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
Enhanced U.S. Large Company Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,024.10 0.15% $0.75
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,024.05 0.15% $0.75
U.S. Large Cap Equity Portfolio
-------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,044.40 0.17% $0.86
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,023.95 0.17% $0.85
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Value Portfolio**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,036.20 0.27% $1.36
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.46 0.27% $1.35
U.S. Targeted Value Portfolio
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $1,024.10 0.47% $2.36
Class R2 Shares................. $1,000.00 $1,023.20 0.62% $3.11
Institutional Class Shares...... $1,000.00 $1,024.50 0.37% $1.86
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.46 0.47% $2.36
Class R2 Shares................. $1,000.00 $1,021.72 0.62% $3.11
Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
U.S. Small Cap Value Portfolio
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,010.80 0.52% $2.59
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.22 0.52% $2.61
U.S. Core Equity 1 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,041.90 0.18% $0.91
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.90 0.18% $0.90
U.S. Core Equity 2 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,037.20 0.21% $1.06
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.75 0.21% $1.05
U.S. Vector Equity Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,029.20 0.32% $1.61
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.21 0.32% $1.61
U.S. Small Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,020.10 0.37% $1.85
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
U.S. Micro Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,017.00 0.52% $2.60
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.22 0.52% $2.61
U.S. High Relative Profitability Portfolio
------------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,068.00 0.25% $1.28
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.55 0.25% $1.25
DFA Real Estate Securities Portfolio
------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $ 959.00 0.18% $0.87
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.90 0.18% $0.90
Large Cap International Portfolio
---------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,030.80 0.23% $1.16
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.65 0.23% $1.15
International Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,035.70 0.30% $1.51
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.31 0.30% $1.51
International Small Company Portfolio***
----------------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,040.20 0.52% $2.63
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.22 0.52% $2.61
Global Small Company Portfolio***
---------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,033.00 0.31% $1.56
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,023.26 0.31% $1.56
Japanese Small Company Portfolio**
----------------------------------
Actual Fund Return
Institutional Class Shares................ $1,000.00 $1,060.90 0.53% $2.71
Hypothetical 5% Annual Return
Institutional Class Shares................ $1,000.00 $1,022.17 0.53% $2.66
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
Asia Pacific Small Company Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,037.90 0.54% $2.73
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,022.12 0.54% $2.71
United Kingdom Small Company Portfolio**
----------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,044.30 0.58% $2.94
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,021.92 0.58% $2.91
Continental Small Company Portfolio**
-------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,032.70 0.54% $2.72
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,022.12 0.54% $2.71
DFA International Real Estate Securities Portfolio
--------------------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,075.80 0.27% $1.39
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,023.46 0.27% $1.35
DFA Global Real Estate Securities Portfolio****
-----------------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,000.10 0.24% $1.19
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,023.60 0.24% $1.20
DFA International Small Cap Value Portfolio
-------------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,026.40 0.68% $3.42
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,021.42 0.68% $3.41
International Vector Equity Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,038.10 0.48% $2.43
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,022.41 0.48% $2.41
International High Relative Profitability Portfolio
---------------------------------------------------
Actual Fund Return
Institutional Class Shares......................... $1,000.00 $1,025.70 0.34% $1.71
Hypothetical 5% Annual Return
Institutional Class Shares......................... $1,000.00 $1,023.11 0.34% $1.71
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
World ex U.S. Value Portfolio***
--------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,051.10 0.51% $2.59
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.27 0.51% $2.56
World ex U.S. Targeted Value Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,035.00 0.66% $3.33
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.52 0.66% $3.31
World ex U.S. Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,040.90 0.39% $1.97
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.86 0.39% $1.96
World Core Equity Portfolio***
------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,040.40 0.35% $1.77
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.06 0.35% $1.76
Selectively Hedged Global Equity Portfolio***
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,033.80 0.34% $1.71
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.11 0.34% $1.71
Emerging Markets Portfolio**
----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,042.40 0.48% $2.43
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.41 0.48% $2.41
Emerging Markets Small Cap Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,060.20 0.71% $3.63
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.27 0.71% $3.56
Emerging Markets Value Portfolio**
----------------------------------
Actual Fund Return
Class R2 Shares.............................. $1,000.00 $1,068.30 0.81% $4.15
Institutional Class Shares................... $1,000.00 $1,069.50 0.56% $2.87
Hypothetical 5% Annual Return
Class R2 Shares.............................. $1,000.00 $1,020.78 0.81% $4.06
Institutional Class Shares................... $1,000.00 $1,022.02 0.56% $2.81
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
Emerging Markets Core Equity Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $1,047.50 0.53% $2.69
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,022.17 0.53% $2.66
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
** The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
***The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the Fund of Funds' portion of the expenses
of its Master Fund(s) and/or Underlying Funds (Affiliated Investment
Companies).
****The Portfolio invests directly and indirectly through other funds. The
expenses shown reflect the direct expenses of the fund and the fund's
portion of the expenses of its Master Fund(s) and/or Underlying Funds
(Affiliated Investment Companies).
8
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 29, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Companies are represented in their Disclosures of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Schedule of
Investments/Summary Schedule of Portfolio Holdings for each of the underlying
Affiliated Investment Company's holdings, which reflect the investments by
category or country.
FEEDER FUNDS
Affiliated Investment Companies
-------------------------------
U.S. Large Cap Value Portfolio......... 100.0%
Japanese Small Company Portfolio....... 100.0%
Asia Pacific Small Company Portfolio... 100.0%
United Kingdom Small Company Portfolio. 100.0%
Continental Small Company Portfolio.... 100.0%
Emerging Markets Portfolio............. 100.0%
Emerging Markets Small Cap Portfolio... 100.0%
Emerging Markets Value Portfolio....... 100.0%
9
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
FUND OF FUNDS
International Small Company Portfolio...... 100.0%
Global Small Company Portfolio............. 100.0%
World ex U.S. Value Portfolio.............. 100.0%
World Core Equity Portfolio................ 100.0%
Selectively Hedged Global Equity Portfolio. 100.0%
ENHANCED DOMESTIC EQUITY PORTFOLIO
Enhanced U.S. Large Company Portfolio
Corporate.................................... 37.7%
Foreign Corporate............................ 24.7%
Foreign Government........................... 17.7%
Government................................... 18.3%
Supranational................................ 1.6%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Large Cap Equity Portfolio
Consumer Discretionary....................... 15.2%
Consumer Staples............................. 6.8%
Energy....................................... 5.8%
Financials................................... 14.5%
Health Care.................................. 13.6%
Industrials.................................. 12.1%
Information Technology....................... 23.3%
Materials.................................... 4.0%
Real Estate.................................. 0.2%
Telecommunication Services................... 2.3%
Utilities.................................... 2.2%
-----
100.0%
U.S. Targeted Value Portfolio
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 2.9%
Energy....................................... 11.8%
Financials................................... 26.2%
Health Care.................................. 5.4%
Industrials.................................. 19.8%
Information Technology....................... 10.8%
Materials.................................... 5.7%
Real Estate.................................. 0.5%
Telecommunication Services................... 0.6%
Utilities.................................... 0.3%
-----
100.0%
U.S. Small Cap Value Portfolio
Consumer Discretionary....................... 16.2%
Consumer Staples............................. 4.1%
Energy....................................... 11.8%
Financials................................... 26.6%
Health Care.................................. 4.7%
Industrials.................................. 17.1%
Information Technology....................... 12.4%
Materials.................................... 5.6%
Real Estate.................................. 0.4%
Telecommunication Services................... 1.0%
Utilities.................................... 0.1%
-----
100.0%
U.S. Core Equity 1 Portfolio
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 6.1%
Energy....................................... 5.6%
Financials................................... 15.9%
Health Care.................................. 11.9%
Industrials.................................. 13.5%
Information Technology....................... 21.7%
Materials.................................... 4.5%
Real Estate.................................. 0.3%
Telecommunication Services................... 1.9%
Utilities.................................... 2.6%
-----
100.0%
U.S. Core Equity 2 Portfolio
Consumer Discretionary....................... 15.2%
Consumer Staples............................. 5.5%
Energy....................................... 6.3%
Financials................................... 19.1%
Health Care.................................. 11.1%
Industrials.................................. 14.3%
Information Technology....................... 19.4%
Materials.................................... 4.7%
Real Estate.................................. 0.4%
Telecommunication Services................... 2.2%
Utilities.................................... 1.8%
-----
100.0%
U.S. Vector Equity Portfolio
Consumer Discretionary....................... 14.1%
Consumer Staples............................. 3.9%
Energy....................................... 8.1%
Financials................................... 25.5%
Health Care.................................. 8.3%
Industrials.................................. 16.3%
Information Technology....................... 14.6%
Materials.................................... 5.6%
Real Estate.................................. 0.5%
Telecommunication Services................... 2.1%
Utilities.................................... 1.0%
-----
100.0%
U.S. Small Cap Portfolio
Consumer Discretionary....................... 16.4%
Consumer Staples............................. 4.2%
Energy....................................... 6.3%
Financials................................... 20.9%
Health Care.................................. 8.8%
Industrials.................................. 19.3%
Information Technology....................... 13.4%
Materials.................................... 5.5%
Real Estate.................................. 0.7%
Telecommunication Services................... 1.0%
Utilities.................................... 3.5%
-----
100.0%
U.S. Micro Cap Portfolio
Consumer Discretionary....................... 14.7%
Consumer Staples............................. 3.6%
Energy....................................... 5.0%
Financials................................... 22.4%
Health Care.................................. 10.5%
Industrials.................................. 21.5%
Information Technology....................... 12.6%
Materials.................................... 5.2%
Real Estate.................................. 1.1%
Telecommunication Services................... 1.3%
Utilities.................................... 2.1%
-----
100.0%
U.S. High Relative Profitability Portfolio
Consumer Discretionary....................... 22.4%
Consumer Staples............................. 11.2%
Energy....................................... 1.1%
Financials................................... 3.6%
Health Care.................................. 9.0%
Industrials.................................. 19.7%
Information Technology....................... 25.7%
Materials.................................... 4.0%
Telecommunication Services................... 3.2%
Utilities.................................... 0.1%
-----
100.0%
10
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA Real Estate Securities Portfolio
Real Estate.................................. 100.0%
-----
100.0%
Large Cap International Portfolio
Consumer Discretionary....................... 13.7%
Consumer Staples............................. 10.1%
Energy....................................... 6.8%
Financials................................... 20.4%
Health Care.................................. 8.6%
Industrials.................................. 15.0%
Information Technology....................... 6.0%
Materials.................................... 10.2%
Real Estate.................................. 2.0%
Telecommunication Services................... 4.0%
Utilities.................................... 3.2%
-----
100.0%
International Core Equity Portfolio
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 7.2%
Energy....................................... 6.8%
Financials................................... 18.0%
Health Care.................................. 5.4%
Industrials.................................. 17.9%
Information Technology....................... 6.7%
Materials.................................... 13.2%
Real Estate.................................. 2.5%
Telecommunication Services................... 3.0%
Utilities.................................... 3.0%
-----
100.0%
DFA International Real Estate Securities Portfolio
Real Estate.................................. 100.0%
-----
100.0%
DFA Global Real Estate Securities Portfolio
Affiliated Investment Companies.............. 55.7%
Real Estate.................................. 44.3%
-----
100.0%
DFA International Small Cap Value Portfolio
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 4.8%
Energy....................................... 6.3%
Financials................................... 20.8%
Health Care.................................. 1.9%
Industrials.................................. 23.2%
Information Technology....................... 4.6%
Materials.................................... 16.7%
Real Estate.................................. 3.1%
Telecommunication Services................... 0.4%
Utilities.................................... 1.9%
-----
100.0%
International Vector Equity Portfolio
Consumer Discretionary....................... 16.1%
Consumer Staples............................. 6.4%
Energy....................................... 7.1%
Financials................................... 17.2%
Health Care.................................. 4.5%
Industrials.................................. 19.7%
Information Technology....................... 7.4%
Materials.................................... 14.6%
Real Estate.................................. 2.5%
Telecommunication Services................... 2.1%
Utilities.................................... 2.4%
-----
100.0%
International High Relative Profitability Portfolio
Consumer Discretionary....................... 18.8%
Consumer Staples............................. 12.8%
Energy....................................... 2.1%
Financials................................... 5.2%
Health Care.................................. 9.3%
Industrials.................................. 20.7%
Information Technology....................... 6.2%
Materials.................................... 14.0%
Real Estate.................................. 0.7%
Telecommunication Services................... 7.1%
Utilities.................................... 3.1%
-----
100.0%
World ex U.S. Targeted Value Portfolio
Consumer Discretionary....................... 15.9%
Consumer Staples............................. 5.4%
Energy....................................... 5.4%
Financials................................... 17.0%
Health Care.................................. 3.3%
Industrials.................................. 21.0%
Information Technology....................... 7.3%
Materials.................................... 16.6%
Real Estate.................................. 5.0%
Telecommunication Services................... 1.1%
Utilities.................................... 2.0%
-----
100.0%
World ex U.S. Core Equity Portfolio
Consumer Discretionary....................... 15.3%
Consumer Staples............................. 7.1%
Energy....................................... 6.6%
Financials................................... 17.7%
Health Care.................................. 5.0%
Industrials.................................. 16.3%
Information Technology....................... 9.6%
Materials.................................... 12.8%
Real Estate.................................. 3.3%
Telecommunication Services................... 3.2%
Utilities.................................... 3.1%
-----
100.0%
Emerging Markets Core Equity Portfolio
Consumer Discretionary....................... 11.3%
Consumer Staples............................. 7.7%
Energy....................................... 5.6%
Financials................................... 18.3%
Health Care.................................. 3.6%
Industrials.................................. 9.5%
Information Technology....................... 22.1%
Materials.................................... 11.4%
Real Estate.................................. 3.5%
Telecommunication Services................... 3.8%
Utilities.................................... 3.2%
-----
100.0%
11
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Face
Amount^ Value+
- ------- ------
(000)
BONDS -- (78.4%)
AUSTRALIA -- (7.3%)
Commonwealth Bank of Australia
5.000%, 10/15/19............................. 3,000 $ 3,083,483
2.400%, 11/02/20............................. 2,096 2,061,637
National Australia Bank, Ltd.
2.125%, 05/22/20............................. 5,586 5,479,171
2.500%, 01/12/21............................. 3,500 3,430,136
Westpac Banking Corp.
2.150%, 03/06/20............................. 2,204 2,169,444
2.300%, 05/26/20............................. 3,500 3,445,387
Other Securities................................. 5,758,908
-----------
TOTAL AUSTRALIA.................................. 25,428,166
-----------
AUSTRIA -- (1.8%)
Oesterreichische Kontrollbank AG
1.750%, 01/24/20............................. 5,000 4,923,132
Other Securities................................. 1,462,527
-----------
TOTAL AUSTRIA.................................... 6,385,659
-----------
CANADA -- (15.0%)
Alberta, Province of Canada
1.900%, 12/06/19............................. 3,600 3,553,088
British Columbia, Province of Canada
3.700%, 12/18/20............................. CAD 3,500 2,831,867
Canada Housing Trust No 1
## 2.000%, 12/15/19............................. CAD 4,000 3,120,028
## 1.200%, 06/15/20............................. CAD 4,000 3,063,328
CPPIB Capital, Inc.
1.400%, 06/04/20............................. CAD 6,200 4,759,506
Ontario, Province of Canada
4.400%, 04/14/20............................. 5,000 5,152,394
Province of Manitoba Canada
2.050%, 11/30/20............................. 3,000 2,934,775
Quebec, Province of Canada
4.500%, 12/01/19............................. CAD 2,500 2,024,105
4.500%, 12/01/20............................. CAD 4,500 3,708,719
Saskatchewan, Province of Canada
3.900%, 07/28/20............................. CAD 6,300 5,096,428
Toronto-Dominion Bank (The)
2.447%, 04/02/19............................. CAD 4,000 3,127,785
1.900%, 10/24/19............................. 2,200 2,169,530
2.563%, 06/24/20............................. CAD 3,000 2,341,727
Face
Amount^ Value+
- ------- ------
(000)
CANADA -- (Continued)
Other Securities................................... $ 8,328,307
-----------
TOTAL CANADA....................................... 52,211,587
-----------
DENMARK -- (0.4%)
Other Securities................................... 1,465,456
-----------
FRANCE -- (1.2%)
Total Capital SA
4.450%, 06/24/20............................. 2,200 2,268,994
Other Securities................................... 1,761,705
-----------
TOTAL FRANCE....................................... 4,030,699
-----------
GERMANY -- (3.9%)
EMD Finance LLC
## # 2.400%, 03/19/20 2,100 2,070,496
FMS Wertmanagement
1.750%, 01/24/20............................. 3,000 2,954,809
Other Securities................................... 8,474,062
-----------
TOTAL GERMANY...................................... 13,499,367
-----------
IRELAND -- (1.1%)
Medtronic, Inc.
2.500%, 03/15/20............................. 2,500 2,484,675
Other Securities................................... 1,191,838
-----------
TOTAL IRELAND...................................... 3,676,513
-----------
JAPAN -- (4.9%)
Toyota Credit Canada, Inc.
2.800%, 11/21/18............................. CAD 3,000 2,349,110
1.800%, 02/19/20............................. CAD 3,500 2,696,168
Toyota Motor Credit Corp.
1.550%, 10/18/19............................. 2,500 2,458,217
Other Securities................................... 9,574,527
-----------
TOTAL JAPAN........................................ 17,078,022
-----------
NETHERLANDS -- (3.7%)
Shell International Finance BV
1.375%, 09/12/19............................. 3,000 2,946,788
Other Securities................................... 10,063,503
-----------
TOTAL NETHERLANDS.................................. 13,010,291
-----------
NEW ZEALAND -- (0.6%)
ANZ New Zealand International Ltd.
2.600%, 09/23/19............................. 2,200 2,187,444
-----------
NORWAY -- (1.5%)
Statoil ASA
2.250%, 11/08/19............................. 4,461 4,422,058
-----------
Other Securities................................... 940,951
-----------
TOTAL NORWAY....................................... 5,363,009
-----------
12
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.5%)
Council Of Europe Development Bank
1.625%, 03/10/20............................. 3,000 $2,944,320
Other Securities................................. 2,278,251
----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 5,222,571
----------
SWEDEN -- (2.0%)
Other Securities................................. 6,782,772
----------
SWITZERLAND -- (0.3%)
Other Securities................................. 995,625
----------
UNITED KINGDOM -- (2.2%)
BP Capital Markets P.L.C.
2.315%, 02/13/20............................. 2,550 2,526,067
Other Securities................................. 4,953,135
----------
TOTAL UNITED KINGDOM............................. 7,479,202
----------
UNITED STATES -- (31.0%)
Apple, Inc.
1.100%, 08/02/19............................. 3,000 2,947,110
# 2.000%, 11/13/20............................. 2,500 2,451,100
Chevron Corp.
# 2.193%, 11/15/19............................. 3,500 3,470,233
1.961%, 03/03/20............................. 3,600 3,551,904
Citizens Bank NA
2.450%, 12/04/19............................. 2,200 2,177,850
Enterprise Products Operating LLC
# 5.250%, 01/31/20............................. 2,000 2,072,580
Exelon Generation Co. LLC
2.950%, 01/15/20............................. 2,000 1,992,746
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
Humana, Inc.
2.625%, 10/01/19............................. 2,981 $ 2,967,980
JPMorgan Chase & Co.
4.950%, 03/25/20............................. 2,000 2,070,867
Microsoft Corp.
1.850%, 02/06/20............................. 3,000 2,959,834
Philip Morris International, Inc.
2.000%, 02/21/20............................. 3,000 2,948,873
Time Warner, Inc.
# 4.875%, 03/15/20............................. 2,000 2,065,687
Other Securities................................... 75,814,408
------------
TOTAL UNITED STATES................................ 107,491,172
------------
TOTAL BONDS........................................ 272,307,555
------------
U.S. TREASURY OBLIGATIONS -- (17.7%)
U.S. Treasury Notes
1.500%, 10/31/19............................. 19,000 18,742,461
1.125%, 03/31/20............................. 2,600 2,534,086
1.625%, 06/30/20............................. 21,300 20,895,633
1.625%, 07/31/20............................. 6,500 6,370,000
1.375%, 08/31/20............................. 8,000 7,786,250
1.750%, 10/31/20............................. 5,000 4,898,828
------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 61,227,258
------------
TOTAL INVESTMENT SECURITIES........................ 333,534,813
------------
Shares
- ------ -
SECURITIES LENDING COLLATERAL -- (3.9%)
(S)@ DFA Short Term Investment Fund............... 1,181,290 13,667,527
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $351,654,511).............................. $347,202,340
============
At April 30, 2018, Enhanced U.S. Large Company Portfolio had entered into the
following forward currency contracts and the net unrealized forward currency
gain (loss) is reflected in the accompanying financial statements:
Unrealized
Foreign
Exchange
Settlement Appreciation
Currency Purchased Currency Sold Counterparty Date (Depreciation)
------------------ -------------- ---------------------------- ---------- --------------
USD 41,935,086 CAD 52,855,318 Royal Bank of Scotland 05/07/18 $763,958
USD 2,381,438 AUD 3,066,453 Citibank, N.A. 07/13/18 72,203
USD 2,589,788 EUR 2,081,307 State Street Bank and Trust 07/13/18 62,505
--------
Total Appreciation $898,666
CAD 998,295 USD 779,959 Citibank, N.A. 05/07/18 $ (2,347)
USD 816,935 CAD 1,049,104 Citibank, N.A. 05/07/18 (255)
--------
Total (Depreciation) $ (2,602)
--------
Total Appreciation
(Depreciation) $896,064
========
13
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
At April 30, 2018, Enhanced U.S. Large Company Portfolio had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
S&P 500(R) Emini Index... 2,552 06/15/18 $345,147,790 $337,757,200 $(7,390,590)
------------ ------------ ------------
Total futures contracts.. $345,147,790 $337,757,200 $(7,390,590)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------------ ------- ------------
Bonds
Australia.............................. -- $ 25,428,166 -- $ 25,428,166
Austria................................ -- 6,385,659 -- 6,385,659
Canada................................. -- 52,211,587 -- 52,211,587
Denmark................................ -- 1,465,456 -- 1,465,456
France................................. -- 4,030,699 -- 4,030,699
Germany................................ -- 13,499,367 -- 13,499,367
Ireland................................ -- 3,676,513 -- 3,676,513
Japan.................................. -- 17,078,022 -- 17,078,022
Netherlands............................ -- 13,010,291 -- 13,010,291
New Zealand............................ -- 2,187,444 -- 2,187,444
Norway................................. -- 5,363,009 -- 5,363,009
Supranational Organization Obligations. -- 5,222,571 -- 5,222,571
Sweden................................. -- 6,782,772 -- 6,782,772
Switzerland............................ -- 995,625 -- 995,625
United Kingdom......................... -- 7,479,202 -- 7,479,202
United States.......................... -- 107,491,172 -- 107,491,172
U.S. Treasury Obligations................ -- 61,227,258 -- 61,227,258
Securities Lending Collateral............ -- 13,667,527 -- 13,667,527
Futures Contracts**...................... $(7,390,590) -- -- (7,390,590)
Forward Currency Contracts**............. -- 896,064 -- 896,064
----------- ------------ -- ------------
TOTAL.................................... $(7,390,590) $348,098,404 -- $340,707,814
=========== ============ == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
14
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (97.0%)
Consumer Discretionary -- (14.7%)
* Amazon.com, Inc................... 22,705 $ 35,558,982 2.6%
Comcast Corp. Class A............. 334,263 10,492,516 0.8%
Home Depot, Inc. (The)............ 63,609 11,754,943 0.9%
McDonald's Corp................... 32,442 5,432,088 0.4%
Walt Disney Co. (The)............. 109,084 10,944,398 0.8%
Other Securities.................. 134,259,860 9.6%
------------ -----
Total Consumer Discretionary.......... 208,442,787 15.1%
------------ -----
Consumer Staples -- (6.6%)
Altria Group, Inc................. 103,210 5,791,113 0.4%
Coca-Cola Co. (The)............... 190,394 8,226,925 0.6%
PepsiCo, Inc...................... 76,921 7,764,406 0.5%
Philip Morris International, Inc.. 60,871 4,991,422 0.3%
Procter & Gamble Co. (The)........ 127,407 9,216,622 0.7%
Walmart, Inc...................... 108,793 9,623,829 0.7%
Other Securities.................. 48,167,043 3.6%
------------ -----
Total Consumer Staples................ 93,781,360 6.8%
------------ -----
Energy -- (5.6%)
Chevron Corp...................... 71,897 8,995,034 0.7%
Exxon Mobil Corp.................. 195,274 15,182,553 1.1%
Other Securities.................. 55,758,757 4.0%
------------ -----
Total Energy.......................... 79,936,344 5.8%
------------ -----
Financials -- (14.1%)
American Express Co............... 52,182 5,152,973 0.4%
Bank of America Corp.............. 408,684 12,227,825 0.9%
* Berkshire Hathaway, Inc. Class B.. 66,488 12,880,720 0.9%
Citigroup, Inc.................... 103,783 7,085,265 0.5%
JPMorgan Chase & Co............... 184,913 20,114,836 1.5%
Wells Fargo & Co.................. 245,495 12,755,920 0.9%
Other Securities.................. 129,420,566 9.4%
------------ -----
Total Financials...................... 199,638,105 14.5%
------------ -----
Health Care -- (13.2%)
AbbVie, Inc....................... 86,779 8,378,512 0.6%
Amgen, Inc........................ 43,564 7,601,047 0.6%
Gilead Sciences, Inc.............. 95,391 6,890,092 0.5%
Johnson & Johnson................. 151,793 19,200,297 1.4%
Merck & Co., Inc.................. 137,057 8,068,546 0.6%
Pfizer, Inc....................... 370,493 13,563,749 1.0%
UnitedHealth Group, Inc........... 50,475 11,932,290 0.9%
Other Securities.................. 111,034,715 7.9%
------------ -----
Total Health Care..................... 186,669,248 13.5%
------------ -----
Industrials -- (11.7%)
3M Co............................. 32,179 6,255,276 0.5%
Boeing Co. (The).................. 30,544 10,188,257 0.7%
Caterpillar, Inc.................. 34,271 4,947,362 0.4%
Honeywell International, Inc...... 42,603 6,163,802 0.4%
Union Pacific Corp................ 46,648 6,233,572 0.5%
United Technologies Corp.......... 46,145 5,544,322 0.4%
Other Securities.................. 126,987,246 9.2%
------------ -----
Total Industrials..................... 166,319,837 12.1%
------------ -----
15
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Information Technology -- (22.7%)
Accenture P.L.C. Class A...................................... 33,316 $ 5,037,379 0.4%
* Alphabet, Inc. Class A........................................ 12,945 13,185,518 1.0%
* Alphabet, Inc. Class C........................................ 13,746 13,984,218 1.0%
Apple, Inc.................................................... 258,898 42,785,483 3.1%
Broadcom, Inc................................................. 21,209 4,865,769 0.4%
Cisco Systems, Inc............................................ 251,175 11,124,541 0.8%
* Facebook, Inc. Class A........................................ 98,862 17,004,264 1.2%
Intel Corp.................................................... 291,056 15,024,311 1.1%
International Business Machines Corp.......................... 47,694 6,913,722 0.5%
Mastercard, Inc. Class A...................................... 50,743 9,045,955 0.7%
Microsoft Corp................................................ 373,443 34,924,389 2.5%
NVIDIA Corp................................................... 29,401 6,612,285 0.5%
Oracle Corp................................................... 156,044 7,126,529 0.5%
Texas Instruments, Inc........................................ 53,446 5,421,028 0.4%
# Visa, Inc. Class A............................................ 86,500 10,975,120 0.8%
Other Securities.............................................. 116,945,339 8.4%
-------------- ------
Total Information Technology........................................ 320,975,850 23.3%
-------------- ------
Materials -- (3.9%)
DowDuPont, Inc................................................ 94,441 5,972,449 0.4%
Other Securities.............................................. 48,926,692 3.6%
-------------- ------
Total Materials..................................................... 54,899,141 4.0%
-------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 2,564,884 0.2%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc..................................................... 410,018 13,407,589 1.0%
Verizon Communications, Inc................................... 264,901 13,072,864 0.9%
Other Securities.............................................. 4,603,596 0.3%
-------------- ------
Total Telecommunication Services.................................... 31,084,049 2.2%
-------------- ------
Utilities -- (2.1%)
Other Securities.............................................. 30,142,245 2.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 1,374,453,850 99.7%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 1,374,453,850
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 2,653,278 2,653,278 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund................................ 3,395,410 39,284,894 2.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,125,022,371)........................................... $1,416,392,022 102.7%
============== ======
16
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ----------- ------- --------------
Common Stocks
Consumer Discretionary...... $ 208,442,787 -- -- $ 208,442,787
Consumer Staples............ 93,781,360 -- -- 93,781,360
Energy...................... 79,936,344 -- -- 79,936,344
Financials.................. 199,638,105 -- -- 199,638,105
Health Care................. 186,669,248 -- -- 186,669,248
Industrials................. 166,319,837 -- -- 166,319,837
Information Technology...... 320,975,850 -- -- 320,975,850
Materials................... 54,899,141 -- -- 54,899,141
Real Estate................. 2,564,884 -- -- 2,564,884
Telecommunication Services.. 31,084,049 -- -- 31,084,049
Utilities................... 30,142,245 -- -- 30,142,245
Temporary Cash Investments.... 2,653,278 -- -- 2,653,278
Securities Lending Collateral. -- $39,284,894 -- 39,284,894
-------------- ----------- -- --------------
TOTAL......................... $1,377,107,128 $39,284,894 -- $1,416,392,022
============== =========== == ==============
See accompanying Notes to Financial Statements.
17
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $24,839,634,018
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $24,839,634,018
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
18
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (86.6%)
Consumer Discretionary -- (13.9%)
#* AutoNation, Inc..................... 791,996 $ 36,582,295 0.3%
#* Deckers Outdoor Corp................ 376,752 35,135,892 0.3%
# Kohl's Corp......................... 1,425,417 88,546,904 0.8%
# Macy's, Inc......................... 2,032,105 63,137,502 0.6%
# PulteGroup, Inc..................... 1,217,718 36,969,918 0.3%
# Toll Brothers, Inc.................. 1,774,310 74,804,910 0.7%
* Urban Outfitters, Inc............... 906,835 36,518,245 0.3%
Other Securities.................... 1,356,547,048 12.6%
-------------- -----
Total Consumer Discretionary............ 1,728,242,714 15.9%
-------------- -----
Consumer Staples -- (2.5%)
#* Post Holdings, Inc.................. 611,801 48,681,006 0.4%
Other Securities.................... 260,048,246 2.4%
-------------- -----
Total Consumer Staples.................. 308,729,252 2.8%
-------------- -----
Energy -- (10.3%)
#* Callon Petroleum Co................. 2,486,901 34,592,793 0.3%
* CNX Resources Corp.................. 3,011,679 44,753,550 0.4%
# Helmerich & Payne, Inc.............. 829,460 57,688,943 0.5%
HollyFrontier Corp.................. 1,595,985 96,860,330 0.9%
# Murphy Oil Corp..................... 1,739,578 52,378,694 0.5%
Patterson-UTI Energy, Inc........... 1,888,794 40,457,967 0.4%
# PBF Energy, Inc. Class A............ 1,256,465 48,160,303 0.4%
* RSP Permian, Inc.................... 1,264,171 62,715,523 0.6%
# SM Energy Co........................ 1,522,010 36,452,139 0.3%
#* Whiting Petroleum Corp.............. 1,049,311 42,832,875 0.4%
Other Securities.................... 759,998,709 7.0%
-------------- -----
Total Energy............................ 1,276,891,826 11.7%
-------------- -----
Financials -- (22.7%)
Aspen Insurance Holdings, Ltd....... 806,149 34,221,025 0.3%
Associated Banc-Corp................ 1,554,959 41,128,666 0.4%
Assurant, Inc....................... 581,268 53,953,296 0.5%
Assured Guaranty, Ltd............... 1,416,140 51,391,721 0.5%
Hancock Holding Co.................. 721,035 35,222,560 0.3%
Hanover Insurance Group, Inc. (The). 298,277 34,257,113 0.3%
# Investors Bancorp, Inc.............. 3,443,442 46,038,820 0.4%
Legg Mason, Inc..................... 1,001,898 39,775,351 0.4%
Old Republic International Corp..... 1,967,382 40,134,593 0.4%
PacWest Bancorp..................... 1,150,140 58,933,174 0.5%
# People's United Financial, Inc...... 3,781,635 69,166,104 0.6%
# Prosperity Bancshares, Inc.......... 646,317 46,386,171 0.4%
TCF Financial Corp.................. 1,616,716 40,143,058 0.4%
Umpqua Holdings Corp................ 2,459,018 57,934,464 0.5%
Other Securities.................... 2,178,268,215 20.1%
-------------- -----
Total Financials........................ 2,826,954,331 26.0%
-------------- -----
Health Care -- (4.6%)
Other Securities.................... 577,768,604 5.3%
-------------- -----
Industrials -- (17.1%)
#* AECOM............................... 1,445,896 49,796,658 0.5%
AGCO Corp........................... 751,921 47,130,408 0.4%
19
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
# Air Lease Corp................................................ 1,039,808 $ 43,349,595 0.4%
ASGN, Inc..................................................... 434,885 35,064,778 0.3%
#* Genesee & Wyoming, Inc. Class A............................... 577,476 41,116,291 0.4%
Jacobs Engineering Group, Inc................................. 898,110 52,171,210 0.5%
* JetBlue Airways Corp.......................................... 2,730,345 52,395,321 0.5%
#* Kirby Corp.................................................... 461,002 39,323,471 0.4%
* KLX, Inc...................................................... 550,511 43,066,476 0.4%
* Quanta Services, Inc.......................................... 1,650,915 53,654,737 0.5%
Ryder System, Inc............................................. 538,529 36,313,010 0.3%
# Trinity Industries, Inc....................................... 1,591,772 50,729,774 0.5%
#* XPO Logistics, Inc............................................ 420,192 40,825,855 0.4%
Other Securities.............................................. 1,544,719,237 14.1%
--------------- ------
Total Industrials................................................... 2,129,656,821 19.6%
--------------- ------
Information Technology -- (9.4%)
* Arrow Electronics, Inc........................................ 1,008,605 75,383,138 0.7%
Avnet, Inc.................................................... 1,553,956 60,961,694 0.6%
#* Cree, Inc..................................................... 1,035,512 38,645,308 0.4%
Jabil, Inc.................................................... 1,470,618 39,118,439 0.4%
Other Securities.............................................. 954,150,282 8.7%
--------------- ------
Total Information Technology........................................ 1,168,258,861 10.8%
--------------- ------
Materials -- (4.9%)
Reliance Steel & Aluminum Co.................................. 763,341 67,112,941 0.6%
Other Securities.............................................. 548,113,389 5.1%
--------------- ------
Total Materials..................................................... 615,226,330 5.7%
--------------- ------
Real Estate -- (0.5%)
Other Securities.............................................. 55,612,230 0.5%
--------------- ------
Telecommunication Services -- (0.5%)
Other Securities.............................................. 62,223,867 0.6%
--------------- ------
Utilities -- (0.2%)
Other Securities.............................................. 28,530,269 0.3%
--------------- ------
TOTAL COMMON STOCKS................................................. 10,778,095,105 99.2%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 568,631 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 65,408 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 10,778,729,144
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 109,733,131 109,733,131 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund................................ 134,242,565 1,553,186,477 14.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,359,482,704).......................................... $12,441,648,752 114.5%
=============== ======
20
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
At April 30, 2018, U.S. Targeted Value Portfolio had entered into the following
outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
S&P 500(R) Emini Index... 625 06/15/18 $85,559,011 $82,718,750 $(2,840,261)
----------- ----------- ------------
Total futures contracts.. $85,559,011 $82,718,750 $(2,840,261)
=========== =========== ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- -------------- ------- ---------------
Common Stocks
Consumer Discretionary...... $ 1,728,242,714 -- -- $ 1,728,242,714
Consumer Staples............ 308,729,252 -- -- 308,729,252
Energy...................... 1,276,891,826 -- -- 1,276,891,826
Financials.................. 2,826,811,855 $ 142,476 -- 2,826,954,331
Health Care................. 577,768,604 -- -- 577,768,604
Industrials................. 2,129,656,821 -- -- 2,129,656,821
Information Technology...... 1,168,166,398 92,463 -- 1,168,258,861
Materials................... 615,226,330 -- -- 615,226,330
Real Estate................. 55,612,230 -- -- 55,612,230
Telecommunication Services.. 62,223,867 -- -- 62,223,867
Utilities................... 28,530,269 -- -- 28,530,269
Preferred Stocks
Consumer Discretionary...... 568,631 -- -- 568,631
Rights/Warrants............... -- 65,408 -- 65,408
Temporary Cash Investments.... 109,733,131 -- -- 109,733,131
Securities Lending Collateral. -- 1,553,186,477 -- 1,553,186,477
Futures Contracts**........... (2,840,261) -- -- (2,840,261)
--------------- -------------- -- ---------------
TOTAL......................... $10,885,321,667 $1,553,486,824 -- $12,438,808,491
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
21
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (87.4%)
Consumer Discretionary -- (14.1%)
Aaron's, Inc................................ 2,596,059 $ 108,437,384 0.7%
#* Adtalem Global Education, Inc............... 2,165,341 103,070,232 0.7%
# Guess?, Inc................................. 2,664,605 62,058,650 0.4%
* Meritage Homes Corp......................... 1,426,415 63,475,467 0.4%
* TopBuild Corp............................... 914,822 72,911,313 0.5%
#* TRI Pointe Group, Inc....................... 5,625,233 96,247,737 0.6%
Other Securities............................ 1,929,594,294 12.7%
-------------- -----
Total Consumer Discretionary.................... 2,435,795,077 16.0%
-------------- -----
Consumer Staples -- (3.6%)
* Darling Ingredients, Inc.................... 6,101,583 104,581,133 0.7%
# Fresh Del Monte Produce, Inc................ 1,800,679 88,503,373 0.6%
# Seaboard Corp............................... 18,335 73,469,262 0.5%
#* United Natural Foods, Inc................... 1,660,619 74,761,067 0.5%
Other Securities............................ 271,818,015 1.7%
-------------- -----
Total Consumer Staples.......................... 613,132,850 4.0%
-------------- -----
Energy -- (10.4%)
#* Callon Petroleum Co......................... 5,034,714 70,032,872 0.5%
* CNX Resources Corp.......................... 4,966,425 73,801,075 0.5%
# Delek US Holdings, Inc...................... 2,214,669 104,908,871 0.7%
# Nabors Industries, Ltd...................... 10,783,969 82,066,004 0.5%
#* Oasis Petroleum, Inc........................ 7,785,289 85,871,738 0.6%
# PBF Energy, Inc. Class A.................... 3,295,143 126,302,831 0.8%
#* PDC Energy, Inc............................. 1,770,319 94,782,879 0.6%
Other Securities............................ 1,146,446,810 7.5%
-------------- -----
Total Energy.................................... 1,784,213,080 11.7%
-------------- -----
Financials -- (23.3%)
American Equity Investment Life Holding Co.. 3,252,117 98,213,933 0.7%
Argo Group International Holdings, Ltd...... 1,245,707 72,811,574 0.5%
Associated Banc-Corp........................ 4,226,995 111,804,018 0.7%
CNO Financial Group, Inc.................... 4,510,009 96,694,593 0.6%
# Fulton Financial Corp....................... 5,614,623 94,887,129 0.6%
Hanover Insurance Group, Inc. (The)......... 1,090,668 125,263,220 0.8%
Iberiabank Corp............................. 838,432 62,840,478 0.4%
# Kemper Corp................................. 1,698,813 114,669,877 0.8%
MB Financial, Inc........................... 1,963,852 83,699,372 0.6%
Old National Bancorp........................ 4,545,920 78,189,824 0.5%
# Selective Insurance Group, Inc.............. 1,427,490 84,507,408 0.6%
# Sterling Bancorp............................ 3,083,401 73,230,774 0.5%
TCF Financial Corp.......................... 2,968,355 73,704,255 0.5%
Washington Federal, Inc..................... 3,007,914 95,501,269 0.6%
Wintrust Financial Corp..................... 796,176 71,217,943 0.5%
Other Securities............................ 2,670,960,026 17.5%
-------------- -----
Total Financials................................ 4,008,195,693 26.4%
-------------- -----
Health Care -- (4.1%)
* Magellan Health, Inc........................ 728,658 61,097,973 0.4%
Other Securities............................ 651,265,440 4.3%
-------------- -----
Total Health Care............................... 712,363,413 4.7%
-------------- -----
22
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (14.9%)
* Esterline Technologies Corp................................... 1,083,684 $ 77,862,695 0.5%
# GATX Corp..................................................... 1,411,679 92,097,938 0.6%
#* KLX, Inc...................................................... 1,100,879 86,121,764 0.6%
Korn/Ferry International...................................... 1,452,257 77,637,659 0.5%
Regal Beloit Corp............................................. 851,591 60,633,279 0.4%
SkyWest, Inc.................................................. 1,614,320 91,854,808 0.6%
* WESCO International, Inc...................................... 1,584,743 94,371,446 0.6%
Other Securities.............................................. 1,992,779,035 13.1%
--------------- ------
Total Industrials................................................... 2,573,358,624 16.9%
--------------- ------
Information Technology -- (10.9%)
* CACI International, Inc. Class A.............................. 849,691 128,345,826 0.9%
# Convergys Corp................................................ 3,490,621 81,540,907 0.5%
#* Cree, Inc..................................................... 3,059,460 114,179,047 0.8%
* Sanmina Corp.................................................. 2,625,575 77,454,462 0.5%
#* Tech Data Corp................................................ 1,125,586 85,825,932 0.6%
# Vishay Intertechnology, Inc................................... 4,923,147 86,893,545 0.6%
Other Securities.............................................. 1,297,120,591 8.4%
--------------- ------
Total Information Technology........................................ 1,871,360,310 12.3%
--------------- ------
Materials -- (4.9%)
# Carpenter Technology Corp..................................... 1,553,506 82,739,730 0.5%
# Commercial Metals Co.......................................... 4,169,164 87,594,136 0.6%
Domtar Corp................................................... 2,142,845 94,070,895 0.6%
Other Securities.............................................. 574,997,685 3.8%
--------------- ------
Total Materials..................................................... 839,402,446 5.5%
--------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 59,503,205 0.4%
--------------- ------
Telecommunication Services -- (0.9%)
Telephone & Data Systems, Inc................................. 3,122,933 85,349,759 0.6%
Other Securities.............................................. 71,083,165 0.4%
--------------- ------
Total Telecommunication Services.................................... 156,432,924 1.0%
--------------- ------
Utilities -- (0.0%)
Other Securities.............................................. 7,240,398 0.1%
--------------- ------
TOTAL COMMON STOCKS................................................. 15,060,998,020 99.0%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 417,915 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 56,421 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 15,061,472,356
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 134,660,691 $ 134,660,691 0.9%
--------------- ------
SECURITIES LENDING COLLATERAL -- (11.8%)
(S)@ DFA Short Term Investment Fund................................ 176,096,632 2,037,438,029 13.4%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $13,434,666,339).......................................... $17,233,571,076 113.3%
=============== ======
23
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
At April 30, 2018, U.S. Small Cap Value Portfolio had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
S&P 500(R) Emini Index... 885 06/15/18 $121,151,559 $117,129,750 $(4,021,809)
------------ ------------ ------------
Total futures contracts.. $121,151,559 $117,129,750 $(4,021,809)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- -------------- ------- ---------------
Common Stocks
Consumer Discretionary...... $ 2,435,795,077 -- -- $ 2,435,795,077
Consumer Staples............ 613,132,850 -- -- 613,132,850
Energy...................... 1,784,213,080 -- -- 1,784,213,080
Financials.................. 4,007,867,258 $ 328,435 -- 4,008,195,693
Health Care................. 712,363,413 -- -- 712,363,413
Industrials................. 2,573,358,624 -- -- 2,573,358,624
Information Technology...... 1,871,360,310 -- -- 1,871,360,310
Materials................... 839,402,446 -- -- 839,402,446
Real Estate................. 59,503,205 -- -- 59,503,205
Telecommunication Services.. 156,432,924 -- -- 156,432,924
Utilities................... 7,240,398 -- -- 7,240,398
Preferred Stocks
Consumer Discretionary...... 417,915 -- -- 417,915
Rights/Warrants............... -- 56,421 -- 56,421
Temporary Cash Investments.... 134,660,691 -- -- 134,660,691
Securities Lending Collateral. -- 2,037,438,029 -- 2,037,438,029
Futures Contracts**........... (4,021,809) -- -- (4,021,809)
--------------- -------------- -- ---------------
TOTAL......................... $15,191,726,382 $2,037,822,885 -- $17,229,549,267
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
24
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (92.4%)
Consumer Discretionary -- (14.7%)
* Amazon.com, Inc................... 312,662 $ 489,669,338 2.2%
* Booking Holdings, Inc............. 29,118 63,419,004 0.3%
Comcast Corp. Class A............. 4,173,235 130,997,847 0.6%
Home Depot, Inc. (The)............ 885,726 163,682,165 0.7%
McDonald's Corp................... 529,832 88,715,070 0.4%
Walt Disney Co. (The)............. 966,747 96,993,727 0.4%
Other Securities.................. 2,479,560,685 11.2%
-------------- -----
Total Consumer Discretionary.......... 3,513,037,836 15.8%
-------------- -----
Consumer Staples -- (5.6%)
Altria Group, Inc................. 1,416,780 79,495,526 0.4%
Coca-Cola Co. (The)............... 2,505,511 108,263,130 0.5%
Costco Wholesale Corp............. 310,004 61,120,389 0.3%
PepsiCo, Inc...................... 1,073,320 108,340,921 0.5%
Philip Morris International, Inc.. 761,282 62,425,124 0.3%
Procter & Gamble Co. (The)........ 1,258,280 91,023,975 0.4%
Walmart, Inc...................... 1,333,978 118,003,694 0.5%
Other Securities.................. 710,222,136 3.1%
-------------- -----
Total Consumer Staples................ 1,338,894,895 6.0%
-------------- -----
Energy -- (5.2%)
Chevron Corp...................... 1,001,579 125,307,549 0.6%
Exxon Mobil Corp.................. 2,655,973 206,501,901 0.9%
Other Securities.................. 900,208,862 4.0%
-------------- -----
Total Energy.......................... 1,232,018,312 5.5%
-------------- -----
Financials -- (14.7%)
American Express Co............... 625,797 61,797,454 0.3%
Bank of America Corp.............. 5,848,206 174,978,324 0.8%
* Berkshire Hathaway, Inc. Class B.. 1,055,728 204,526,185 0.9%
Citigroup, Inc.................... 1,617,623 110,435,122 0.5%
JPMorgan Chase & Co............... 2,252,093 244,982,677 1.1%
Wells Fargo & Co.................. 2,897,049 150,530,666 0.7%
Other Securities.................. 2,563,888,258 11.4%
-------------- -----
Total Financials...................... 3,511,138,686 15.7%
-------------- -----
Health Care -- (11.0%)
AbbVie, Inc....................... 1,199,781 115,838,856 0.5%
Amgen, Inc........................ 374,474 65,338,224 0.3%
Gilead Sciences, Inc.............. 965,652 69,749,044 0.3%
Johnson & Johnson................. 1,751,111 221,498,030 1.0%
Merck & Co., Inc.................. 1,345,902 79,233,251 0.4%
Pfizer, Inc....................... 4,353,406 159,378,194 0.7%
UnitedHealth Group, Inc........... 600,291 141,908,792 0.7%
Other Securities.................. 1,767,888,978 7.9%
-------------- -----
Total Health Care..................... 2,620,833,369 11.8%
-------------- -----
Industrials -- (12.5%)
3M Co............................. 445,147 86,532,125 0.4%
Boeing Co. (The).................. 423,046 141,111,224 0.6%
Honeywell International, Inc...... 436,883 63,208,232 0.3%
Union Pacific Corp................ 501,031 66,952,773 0.3%
United Technologies Corp.......... 520,789 62,572,798 0.3%
25
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Other Securities.............................................. $ 2,563,599,396 11.5%
--------------- ------
Total Industrials................................................... 2,983,976,548 13.4%
--------------- ------
Information Technology -- (20.0%)
Accenture P.L.C. Class A...................................... 466,581 70,547,047 0.3%
* Alphabet, Inc. Class A........................................ 118,161 120,356,431 0.6%
* Alphabet, Inc. Class C........................................ 124,279 126,432,755 0.6%
Apple, Inc.................................................... 3,913,148 646,686,839 2.9%
Cisco Systems, Inc............................................ 2,718,780 120,414,766 0.6%
* Facebook, Inc. Class A........................................ 1,237,400 212,832,800 1.0%
Intel Corp.................................................... 4,040,870 208,589,709 0.9%
International Business Machines Corp.......................... 653,350 94,709,616 0.4%
Mastercard, Inc. Class A...................................... 700,725 124,918,246 0.6%
Microsoft Corp................................................ 5,151,344 481,753,691 2.2%
NVIDIA Corp................................................... 392,995 88,384,576 0.4%
Oracle Corp................................................... 1,422,583 64,969,366 0.3%
Texas Instruments, Inc........................................ 718,388 72,866,095 0.3%
# Visa, Inc. Class A............................................ 1,135,441 144,064,754 0.7%
Other Securities.............................................. 2,203,281,936 9.6%
--------------- ------
Total Information Technology........................................ 4,780,808,627 21.4%
--------------- ------
Materials -- (4.2%)
DowDuPont, Inc................................................ 1,302,048 82,341,516 0.4%
Other Securities.............................................. 913,365,850 4.1%
--------------- ------
Total Materials..................................................... 995,707,366 4.5%
--------------- ------
Real Estate -- (0.3%)
Other Securities.............................................. 72,674,720 0.3%
--------------- ------
Telecommunication Services -- (1.8%)
AT&T, Inc..................................................... 5,436,136 177,761,647 0.8%
Verizon Communications, Inc................................... 3,128,172 154,375,288 0.7%
Other Securities.............................................. 84,398,112 0.4%
--------------- ------
Total Telecommunication Services.................................... 416,535,047 1.9%
--------------- ------
Utilities -- (2.4%)
Other Securities.............................................. 580,329,413 2.6%
--------------- ------
TOTAL COMMON STOCKS................................................. 22,045,954,819 98.9%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 367,953 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 183,574 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 22,046,506,346
---------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 237,183,114 237,183,114 1.1%
--------------- ------
SECURITIES LENDING COLLATERAL -- (6.6%)
(S)@ DFA Short Term Investment Fund................................ 136,862,551 1,583,499,719 7.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,300,248,304).......................................... $23,867,189,179 107.1%
=============== ======
26
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
At April 30, 2018, U.S. Core Equity 1 Portfolio had entered into the following
outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
S&P 500(R) Emini Index... 1,435 06/15/18 $195,761,763 $189,922,250 $(5,839,513)
------------ ------------ ------------
Total futures contracts.. $195,761,763 $189,922,250 $(5,839,513)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- -------------- ------- ---------------
Common Stocks
Consumer Discretionary...... $ 3,513,037,611 $ 225 -- $ 3,513,037,836
Consumer Staples............ 1,338,894,895 -- -- 1,338,894,895
Energy...................... 1,232,018,312 -- -- 1,232,018,312
Financials.................. 3,511,103,275 35,411 -- 3,511,138,686
Health Care................. 2,620,833,369 -- -- 2,620,833,369
Industrials................. 2,983,976,548 -- -- 2,983,976,548
Information Technology...... 4,780,808,627 -- -- 4,780,808,627
Materials................... 995,707,366 -- -- 995,707,366
Real Estate................. 72,674,720 -- -- 72,674,720
Telecommunication Services.. 416,535,047 -- -- 416,535,047
Utilities................... 580,329,413 -- -- 580,329,413
Preferred Stocks
Consumer Discretionary...... 367,953 -- -- 367,953
Rights/Warrants............... -- 183,574 -- 183,574
Temporary Cash Investments.... 237,183,114 -- -- 237,183,114
Securities Lending Collateral. -- 1,583,499,719 -- 1,583,499,719
Futures Contracts**........... (5,839,513) -- -- (5,839,513)
--------------- -------------- -- ---------------
TOTAL......................... $22,277,630,737 $1,583,718,929 -- $23,861,349,666
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
27
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (92.0%)
Consumer Discretionary -- (14.0%)
* Amazon.com, Inc.................. 205,727 $ 322,195,227 1.3%
Best Buy Co., Inc................ 790,787 60,518,929 0.3%
Comcast Corp. Class A............ 5,784,188 181,565,661 0.8%
Home Depot, Inc. (The)........... 604,278 111,670,574 0.5%
Time Warner, Inc................. 819,384 77,677,603 0.3%
Walt Disney Co. (The)............ 1,012,945 101,628,772 0.4%
Other Securities................. 2,767,314,356 11.4%
-------------- -----
Total Consumer Discretionary......... 3,622,571,122 15.0%
-------------- -----
Consumer Staples -- (5.1%)
Altria Group, Inc................ 1,147,485 64,385,383 0.3%
Coca-Cola Co. (The).............. 2,039,354 88,120,486 0.4%
PepsiCo, Inc..................... 675,464 68,181,336 0.3%
Procter & Gamble Co. (The)....... 1,360,960 98,451,846 0.4%
Walmart, Inc..................... 1,744,789 154,344,035 0.6%
Other Securities................. 835,111,425 3.4%
-------------- -----
Total Consumer Staples............... 1,308,594,511 5.4%
-------------- -----
Energy -- (5.8%)
Chevron Corp..................... 1,188,328 148,671,716 0.6%
Exxon Mobil Corp................. 3,018,867 234,716,909 1.0%
Other Securities................. 1,122,574,292 4.7%
-------------- -----
Total Energy......................... 1,505,962,917 6.3%
-------------- -----
Financials -- (17.6%)
American Express Co.............. 809,859 79,973,576 0.3%
Bank of America Corp............. 6,763,707 202,370,113 0.9%
* Berkshire Hathaway, Inc. Class B. 986,197 191,055,945 0.8%
Citigroup, Inc................... 1,729,366 118,063,817 0.5%
Goldman Sachs Group, Inc. (The).. 284,073 67,703,118 0.3%
JPMorgan Chase & Co.............. 2,971,967 323,290,570 1.4%
U.S. Bancorp..................... 1,203,717 60,727,523 0.3%
Wells Fargo & Co................. 4,176,962 217,034,946 0.9%
Other Securities................. 3,304,535,070 13.6%
-------------- -----
Total Financials..................... 4,564,754,678 19.0%
-------------- -----
Health Care -- (10.2%)
AbbVie, Inc...................... 752,746 72,677,626 0.3%
CVS Health Corp.................. 988,292 69,012,430 0.3%
Gilead Sciences, Inc............. 1,079,751 77,990,415 0.3%
Johnson & Johnson................ 1,483,658 187,667,900 0.8%
Merck & Co., Inc................. 1,225,225 72,128,996 0.3%
Pfizer, Inc...................... 5,173,380 189,397,442 0.8%
UnitedHealth Group, Inc.......... 617,082 145,878,185 0.6%
Other Securities................. 1,839,914,780 7.6%
-------------- -----
Total Health Care.................... 2,654,667,774 11.0%
-------------- -----
Industrials -- (13.1%)
Boeing Co. (The)................. 269,827 90,003,494 0.4%
Caterpillar, Inc................. 431,816 62,336,958 0.3%
FedEx Corp....................... 275,432 68,086,790 0.3%
Union Pacific Corp............... 671,012 89,667,334 0.4%
United Technologies Corp......... 573,727 68,933,299 0.3%
28
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Other Securities.............................................. $ 3,021,506,427 12.4%
--------------- ------
Total Industrials................................................... 3,400,534,302 14.1%
--------------- ------
Information Technology -- (17.9%)
* Alphabet, Inc. Class A........................................ 95,859 97,640,060 0.4%
* Alphabet, Inc. Class C........................................ 100,881 102,629,268 0.4%
Apple, Inc.................................................... 3,188,839 526,987,533 2.2%
Cisco Systems, Inc............................................ 4,353,001 192,794,414 0.8%
* Facebook, Inc. Class A........................................ 743,377 127,860,844 0.5%
Intel Corp.................................................... 5,141,165 265,386,937 1.1%
International Business Machines Corp.......................... 558,581 80,971,902 0.3%
Mastercard, Inc. Class A...................................... 463,101 82,557,015 0.4%
* Micron Technology, Inc........................................ 1,627,340 74,825,093 0.3%
Microsoft Corp................................................ 3,767,654 352,351,002 1.5%
NVIDIA Corp................................................... 458,835 103,191,991 0.4%
Oracle Corp................................................... 1,640,590 74,925,745 0.3%
QUALCOMM, Inc................................................. 1,260,628 64,304,634 0.3%
# Visa, Inc. Class A............................................ 940,893 119,380,504 0.5%
Other Securities.............................................. 2,371,709,769 9.9%
--------------- ------
Total Information Technology........................................ 4,637,516,711 19.3%
--------------- ------
Materials -- (4.3%)
DowDuPont, Inc................................................ 1,209,038 76,459,563 0.3%
Other Securities.............................................. 1,034,082,315 4.3%
--------------- ------
Total Materials..................................................... 1,110,541,878 4.6%
--------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 94,651,218 0.4%
--------------- ------
Telecommunication Services -- (2.0%)
AT&T, Inc..................................................... 7,787,751 254,659,458 1.1%
Verizon Communications, Inc................................... 3,286,048 162,166,469 0.7%
Other Securities.............................................. 111,172,134 0.4%
--------------- ------
Total Telecommunication Services.................................... 527,998,061 2.2%
--------------- ------
Utilities -- (1.6%)
Other Securities.............................................. 419,211,449 1.7%
--------------- ------
TOTAL COMMON STOCKS................................................. 23,847,004,621 99.0%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 570,384 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 182,300 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 23,847,757,305
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 235,937,300 235,937,300 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (7.1%)
(S)@ DFA Short Term Investment Fund................................ 159,543,985 1,845,923,909 7.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,541,128,884).......................................... $25,929,618,514 107.6%
=============== ======
29
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
At April 30, 2018, U.S. Core Equity 2 Portfolio had entered into the following
outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
S&P 500(R) Emini Index... 1,555 06/15/18 $212,253,911 $205,804,250 $(6,449,661)
------------ ------------ ------------
Total futures contracts.. $212,253,911 $205,804,250 $(6,449,661)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- -------------- ------- ---------------
Common Stocks
Consumer Discretionary...... $ 3,622,570,606 $ 516 -- $ 3,622,571,122
Consumer Staples............ 1,308,594,511 -- -- 1,308,594,511
Energy...................... 1,505,962,917 -- -- 1,505,962,917
Financials.................. 4,564,695,309 59,369 -- 4,564,754,678
Health Care................. 2,654,667,774 -- -- 2,654,667,774
Industrials................. 3,400,534,302 -- -- 3,400,534,302
Information Technology...... 4,637,499,765 16,946 -- 4,637,516,711
Materials................... 1,110,541,878 -- -- 1,110,541,878
Real Estate................. 94,651,218 -- -- 94,651,218
Telecommunication Services.. 527,998,061 -- -- 527,998,061
Utilities................... 419,211,449 -- -- 419,211,449
Preferred Stocks
Consumer Discretionary...... 570,384 -- -- 570,384
Rights/Warrants............... -- 182,300 -- 182,300
Temporary Cash Investments.... 235,937,300 -- -- 235,937,300
Securities Lending Collateral. -- 1,845,923,909 -- 1,845,923,909
Futures Contracts**........... (6,449,661) -- -- (6,449,661)
--------------- -------------- -- ---------------
TOTAL......................... $24,076,985,812 $1,846,183,040 -- $25,923,168,852
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
30
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (89.5%)
Consumer Discretionary -- (12.6%)
* Charter Communications, Inc. Class A.......... 35,911 $ 9,742,295 0.2%
Comcast Corp. Class A......................... 487,867 15,314,145 0.3%
Ford Motor Co................................. 1,060,195 11,916,592 0.3%
General Motors Co............................. 390,610 14,351,011 0.3%
# Kohl's Corp................................... 177,964 11,055,124 0.2%
Lennar Corp. Class A.......................... 259,298 13,714,271 0.3%
Time Warner, Inc.............................. 94,912 8,997,658 0.2%
* Urban Outfitters, Inc......................... 199,203 8,021,905 0.2%
Walt Disney Co. (The)......................... 118,253 11,864,323 0.3%
Other Securities.............................. 557,351,536 11.6%
-------------- -----
Total Consumer Discretionary...................... 662,328,860 13.9%
-------------- -----
Consumer Staples -- (3.5%)
Procter & Gamble Co. (The).................... 116,144 8,401,857 0.2%
Walmart, Inc.................................. 198,213 17,533,922 0.4%
Other Securities.............................. 156,071,240 3.2%
-------------- -----
Total Consumer Staples............................ 182,007,019 3.8%
-------------- -----
Energy -- (7.3%)
Andeavor...................................... 137,631 19,037,120 0.4%
Chevron Corp.................................. 211,373 26,444,876 0.6%
Exxon Mobil Corp.............................. 261,711 20,348,030 0.4%
HollyFrontier Corp............................ 182,118 11,052,741 0.2%
Valero Energy Corp............................ 104,590 11,602,169 0.3%
Other Securities.............................. 293,854,623 6.2%
-------------- -----
Total Energy...................................... 382,339,559 8.1%
-------------- -----
Financials -- (22.8%)
# Ally Financial, Inc........................... 307,805 8,033,710 0.2%
American Financial Group, Inc................. 69,889 7,912,833 0.2%
Bank of America Corp.......................... 1,187,298 35,523,956 0.8%
* Berkshire Hathaway, Inc. Class B.............. 47,977 9,294,584 0.2%
Citigroup, Inc................................ 312,527 21,336,218 0.5%
First American Financial Corp................. 149,802 7,656,380 0.2%
First Horizon National Corp................... 423,869 7,756,803 0.2%
Goldman Sachs Group, Inc. (The)............... 44,550 10,617,601 0.2%
Hartford Financial Services Group, Inc. (The). 171,851 9,252,458 0.2%
JPMorgan Chase & Co........................... 550,713 59,906,560 1.3%
Lincoln National Corp......................... 111,851 7,901,155 0.2%
Morgan Stanley................................ 171,784 8,867,490 0.2%
PNC Financial Services Group, Inc. (The)...... 54,544 7,942,152 0.2%
Principal Financial Group, Inc................ 157,281 9,314,181 0.2%
Regions Financial Corp........................ 533,364 9,973,907 0.2%
# Sterling Bancorp.............................. 377,574 8,967,382 0.2%
Wells Fargo & Co.............................. 846,080 43,962,317 0.9%
Other Securities.............................. 926,755,927 19.2%
-------------- -----
Total Financials.................................. 1,200,975,614 25.3%
-------------- -----
Health Care -- (7.4%)
Johnson & Johnson............................. 114,841 14,526,238 0.3%
Merck & Co., Inc.............................. 149,737 8,815,017 0.2%
Pfizer, Inc................................... 426,044 15,597,471 0.3%
UnitedHealth Group, Inc....................... 74,301 17,564,756 0.4%
31
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Other Securities.............................................. $ 336,043,803 7.1%
-------------- ------
Total Health Care................................................... 392,547,285 8.3%
-------------- ------
Industrials -- (14.6%)
Trinity Industries, Inc....................................... 252,771 8,055,812 0.2%
#* XPO Logistics, Inc............................................ 99,123 9,630,791 0.2%
Other Securities.............................................. 749,059,644 15.7%
-------------- ------
Total Industrials................................................... 766,746,247 16.1%
-------------- ------
Information Technology -- (13.0%)
* Alphabet, Inc. Class A........................................ 10,540 10,735,833 0.2%
* Alphabet, Inc. Class C........................................ 11,067 11,258,791 0.2%
Apple, Inc.................................................... 285,245 47,139,589 1.0%
Cisco Systems, Inc............................................ 479,871 21,253,487 0.5%
Intel Corp.................................................... 578,019 29,837,341 0.6%
* Micron Technology, Inc........................................ 295,915 13,606,172 0.3%
Microsoft Corp................................................ 278,222 26,019,321 0.6%
MKS Instruments, Inc.......................................... 79,909 8,182,682 0.2%
Other Securities.............................................. 518,956,645 10.9%
-------------- ------
Total Information Technology........................................ 686,989,861 14.5%
-------------- ------
Materials -- (5.0%)
Reliance Steel & Aluminum Co.................................. 96,442 8,479,181 0.2%
Other Securities.............................................. 255,929,062 5.4%
-------------- ------
Total Materials..................................................... 264,408,243 5.6%
-------------- ------
Real Estate -- (0.5%)
Other Securities.............................................. 25,085,628 0.5%
-------------- ------
Telecommunication Services -- (1.9%)
AT&T, Inc..................................................... 1,702,949 55,686,432 1.2%
Verizon Communications, Inc................................... 270,126 13,330,718 0.3%
Other Securities.............................................. 32,614,068 0.6%
-------------- ------
Total Telecommunication Services.................................... 101,631,218 2.1%
-------------- ------
Utilities -- (0.9%)
Other Securities.............................................. 46,651,705 1.0%
-------------- ------
TOTAL COMMON STOCKS................................................. 4,711,711,239 99.2%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 354,876 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 24,642 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 4,712,090,757
--------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 42,523,470 42,523,470 0.9%
-------------- ------
SECURITIES LENDING COLLATERAL -- (9.7%)
(S)@ DFA Short Term Investment Fund................................ 43,975,305 508,794,277 10.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,693,793,226)........................................... $5,263,408,504 110.8%
============== ======
32
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, U.S. Vector Equity Portfolio had entered into the following
outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
S&P 500(R) Emini Index... 273 06/15/18 $37,192,248 $36,131,550 $(1,060,698)
----------- ----------- ------------
Total futures contracts.. $37,192,248 $36,131,550 $(1,060,698)
=========== =========== ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 662,328,860 -- -- $ 662,328,860
Consumer Staples............ 182,007,019 -- -- 182,007,019
Energy...................... 382,339,559 -- -- 382,339,559
Financials.................. 1,200,951,541 $ 24,073 -- 1,200,975,614
Health Care................. 392,547,285 -- -- 392,547,285
Industrials................. 766,746,247 -- -- 766,746,247
Information Technology...... 686,989,861 -- -- 686,989,861
Materials................... 264,408,243 -- -- 264,408,243
Real Estate................. 25,085,628 -- -- 25,085,628
Telecommunication Services.. 101,631,218 -- -- 101,631,218
Utilities................... 46,651,705 -- -- 46,651,705
Preferred Stocks
Consumer Discretionary...... 354,876 -- -- 354,876
Rights/Warrants............... -- 24,642 -- 24,642
Temporary Cash Investments.... 42,523,470 -- -- 42,523,470
Securities Lending Collateral. -- 508,794,277 -- 508,794,277
Futures Contracts**........... (1,060,698) -- -- (1,060,698)
-------------- ------------ -- --------------
TOTAL......................... $4,753,504,814 $508,842,992 -- $5,262,347,806
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
33
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (84.0%)
Consumer Discretionary -- (13.8%)
American Eagle Outfitters, Inc.......... 1,963,139 $ 40,597,715 0.2%
#* Deckers Outdoor Corp.................... 639,202 59,611,979 0.4%
#* Five Below, Inc......................... 539,274 38,078,137 0.2%
ILG, Inc................................ 1,237,829 42,247,104 0.3%
# New York Times Co. (The) Class A........ 1,575,565 36,946,999 0.2%
# Texas Roadhouse, Inc.................... 629,062 40,310,293 0.2%
#* Urban Outfitters, Inc................... 1,037,098 41,763,936 0.2%
#* Visteon Corp............................ 330,397 41,114,603 0.2%
# Wendy's Co. (The)....................... 2,441,546 40,871,480 0.2%
Other Securities........................ 2,462,338,581 14.1%
-------------- -----
Total Consumer Discretionary................ 2,843,880,827 16.2%
-------------- -----
Consumer Staples -- (3.5%)
Other Securities........................ 725,010,505 4.1%
-------------- -----
Energy -- (5.3%)
# Delek US Holdings, Inc.................. 848,460 40,191,550 0.2%
#* Matador Resources Co.................... 1,114,338 36,483,426 0.2%
# PBF Energy, Inc. Class A................ 1,320,944 50,631,784 0.3%
#* PDC Energy, Inc......................... 705,692 37,782,750 0.2%
#* SRC Energy, Inc......................... 3,217,843 35,524,987 0.2%
#* Whiting Petroleum Corp.................. 902,306 36,832,131 0.2%
Other Securities........................ 847,193,187 4.9%
-------------- -----
Total Energy................................ 1,084,639,815 6.2%
-------------- -----
Financials -- (17.6%)
Aspen Insurance Holdings, Ltd........... 871,501 36,995,217 0.2%
Associated Banc-Corp.................... 1,647,398 43,573,677 0.3%
# BancorpSouth Bank....................... 1,522,695 50,325,070 0.3%
Cathay General Bancorp.................. 1,533,107 61,339,611 0.4%
# Columbia Banking System, Inc............ 1,055,984 42,461,117 0.2%
Evercore, Inc. Class A.................. 494,814 50,099,917 0.3%
FirstCash, Inc.......................... 672,030 58,265,001 0.3%
Fulton Financial Corp................... 2,145,209 36,254,032 0.2%
* Green Dot Corp. Class A................. 636,314 38,694,254 0.2%
# Interactive Brokers Group, Inc. Class A. 640,652 47,536,378 0.3%
Popular, Inc............................ 764,532 35,390,186 0.2%
Primerica, Inc.......................... 482,119 46,645,013 0.3%
# Selective Insurance Group, Inc.......... 763,279 45,186,117 0.3%
# Sterling Bancorp........................ 2,509,716 59,605,755 0.3%
TCF Financial Corp...................... 2,155,314 53,516,447 0.3%
UMB Financial Corp...................... 486,895 37,286,419 0.2%
# Valley National Bancorp................. 2,903,022 36,432,926 0.2%
Other Securities........................ 2,842,386,551 16.2%
-------------- -----
Total Financials............................ 3,621,993,688 20.7%
-------------- -----
Health Care -- (7.4%)
Cantel Medical Corp..................... 383,723 43,003,837 0.3%
# Chemed Corp............................. 137,239 42,299,805 0.3%
* Haemonetics Corp........................ 455,907 35,578,982 0.2%
Other Securities........................ 1,398,004,039 7.9%
-------------- -----
Total Health Care........................... 1,518,886,663 8.7%
-------------- -----
34
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (16.2%)
* ASGN, Inc..................................................... 506,767 $ 40,860,623 0.2%
#* Cimpress NV................................................... 314,031 45,160,798 0.3%
Insperity, Inc................................................ 449,144 36,043,806 0.2%
#* KLX, Inc...................................................... 562,905 44,036,058 0.3%
# Terex Corp.................................................... 1,116,268 40,766,107 0.2%
Other Securities.............................................. 3,124,014,195 17.8%
--------------- ------
Total Industrials................................................... 3,330,881,587 19.0%
--------------- ------
Information Technology -- (11.2%)
* CACI International, Inc. Class A.............................. 241,640 36,499,722 0.2%
#* Ciena Corp.................................................... 1,408,658 36,272,943 0.2%
#* Conduent, Inc................................................. 1,942,896 37,808,756 0.2%
#* Cree, Inc..................................................... 1,214,607 45,329,133 0.3%
Entegris, Inc................................................. 1,229,681 39,595,728 0.2%
MKS Instruments, Inc.......................................... 349,516 35,790,438 0.2%
* Silicon Laboratories, Inc..................................... 421,780 39,183,362 0.2%
* Zynga, Inc. Class A........................................... 10,461,381 36,091,764 0.2%
Other Securities.............................................. 2,012,047,161 11.5%
--------------- ------
Total Information Technology........................................ 2,318,619,007 13.2%
--------------- ------
Materials -- (4.7%)
Other Securities.............................................. 959,156,562 5.5%
--------------- ------
Real Estate -- (0.6%)
Other Securities.............................................. 127,466,427 0.7%
--------------- ------
Telecommunication Services -- (0.8%)
Other Securities.............................................. 166,880,395 1.0%
--------------- ------
Utilities -- (2.9%)
ALLETE, Inc................................................... 475,869 36,361,150 0.2%
WGL Holdings, Inc............................................. 421,322 35,854,502 0.2%
Other Securities.............................................. 534,552,009 3.1%
--------------- ------
Total Utilities..................................................... 606,767,661 3.5%
--------------- ------
TOTAL COMMON STOCKS................................................. 17,304,183,137 98.8%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 1,709,186 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 29,845 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 17,305,922,168
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 169,289,827 169,289,827 1.0%
--------------- ------
SECURITIES LENDING COLLATERAL -- (15.2%)
(S)@ DFA Short Term Investment Fund................................ 269,966,850 3,123,516,458 17.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,354,354,169).......................................... $20,598,728,453 117.6%
=============== ======
35
U.S. SMALL CAP PORTFOLIO
CONTINUED
At April 30, 2018, U.S. Small Cap Portfolio had entered into the following
outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
S&P 500(R) Emini Index... 1,113 06/15/18 $151,164,635 $147,305,550 $(3,859,085)
------------ ------------ ------------
Total futures contracts.. $151,164,635 $147,305,550 $(3,859,085)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- -------------- ------- ---------------
Common Stocks
Consumer Discretionary...... $ 2,843,879,477 $ 1,350 -- $ 2,843,880,827
Consumer Staples............ 725,010,505 -- -- 725,010,505
Energy...................... 1,084,639,815 -- -- 1,084,639,815
Financials.................. 3,621,858,586 135,102 -- 3,621,993,688
Health Care................. 1,518,886,663 -- -- 1,518,886,663
Industrials................. 3,330,881,587 -- -- 3,330,881,587
Information Technology...... 2,318,577,147 41,860 -- 2,318,619,007
Materials................... 959,156,562 -- -- 959,156,562
Real Estate................. 127,466,427 -- -- 127,466,427
Telecommunication Services.. 166,880,395 -- -- 166,880,395
Utilities................... 606,767,661 -- -- 606,767,661
Preferred Stocks
Consumer Discretionary...... 1,709,186 -- -- 1,709,186
Rights/Warrants............... -- 29,845 -- 29,845
Temporary Cash Investments.... 169,289,827 -- -- 169,289,827
Securities Lending Collateral. -- 3,123,516,458 -- 3,123,516,458
Futures Contracts**........... (3,859,085) -- -- (3,859,085)
--------------- -------------- -- ---------------
TOTAL......................... $17,471,144,753 $3,123,724,615 -- $20,594,869,368
=============== ============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
36
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (86.2%)
Consumer Discretionary -- (12.7%)
# Caleres, Inc............................ 493,103 $ 16,139,261 0.3%
Callaway Golf Co........................ 1,105,362 19,078,548 0.3%
#* Cavco Industries, Inc................... 96,967 16,518,328 0.3%
La-Z-Boy, Inc........................... 558,862 16,095,226 0.3%
#* Shutterfly, Inc......................... 213,257 17,256,756 0.3%
# Sonic Corp.............................. 605,445 15,687,080 0.2%
Other Securities........................ 837,176,853 12.8%
-------------- -----
Total Consumer Discretionary................ 937,952,052 14.5%
-------------- -----
Consumer Staples -- (3.1%)
# Calavo Growers, Inc..................... 186,492 17,474,300 0.3%
Inter Parfums, Inc...................... 301,212 15,422,054 0.2%
# MGP Ingredients, Inc.................... 188,068 18,015,034 0.3%
#* USANA Health Sciences, Inc.............. 166,462 17,570,064 0.3%
# WD-40 Co................................ 144,160 19,014,704 0.3%
Other Securities........................ 141,297,795 2.2%
-------------- -----
Total Consumer Staples...................... 228,793,951 3.6%
-------------- -----
Energy -- (4.3%)
Other Securities........................ 317,128,604 4.9%
-------------- -----
Financials -- (19.3%)
# Ameris Bancorp.......................... 332,383 17,184,201 0.3%
#* BofI Holding, Inc....................... 403,609 16,257,371 0.3%
Boston Private Financial Holdings, Inc.. 956,143 15,346,095 0.2%
FBL Financial Group, Inc. Class A....... 215,835 16,781,171 0.3%
First Financial Bancorp................. 841,680 26,049,996 0.4%
* Green Dot Corp. Class A................. 285,832 17,381,444 0.3%
Horace Mann Educators Corp.............. 410,677 18,357,262 0.3%
# Independent Bank Corp................... 207,836 15,026,543 0.2%
Infinity Property & Casualty Corp....... 121,048 15,978,336 0.3%
# Walker & Dunlop, Inc.................... 339,012 19,360,975 0.3%
Other Securities........................ 1,256,342,503 19.3%
-------------- -----
Total Financials............................ 1,434,065,897 22.2%
-------------- -----
Health Care -- (9.1%)
#* Amedisys, Inc........................... 228,635 15,110,487 0.2%
CONMED Corp............................. 269,310 17,513,229 0.3%
* Emergent BioSolutions, Inc.............. 301,686 15,645,436 0.3%
#* Integer Holdings Corp................... 281,395 15,448,585 0.2%
#* LHC Group, Inc.......................... 288,756 21,489,222 0.3%
* Merit Medical Systems, Inc.............. 398,201 19,312,748 0.3%
#* Omnicell, Inc........................... 390,314 16,822,533 0.3%
Other Securities........................ 551,355,567 8.5%
-------------- -----
Total Health Care........................... 672,697,807 10.4%
-------------- -----
Industrials -- (18.5%)
# Albany International Corp. Class A...... 261,344 15,458,498 0.2%
#* Axon Enterprise, Inc.................... 376,999 15,826,418 0.2%
* Chart Industries, Inc................... 336,140 19,072,584 0.3%
Comfort Systems USA, Inc................ 378,197 15,959,913 0.3%
Exponent, Inc........................... 240,120 20,746,368 0.3%
Forward Air Corp........................ 306,722 16,559,921 0.3%
37
U.S. MICRO CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Insperity, Inc.......................................... 250,532 $ 20,105,193 0.3%
Kaman Corp.............................................. 281,442 17,066,643 0.3%
Korn/Ferry International................................ 291,758 15,597,383 0.2%
SkyWest, Inc............................................ 302,118 17,190,514 0.3%
Other Securities........................................ 1,197,489,189 18.5%
-------------- ------
Total Industrials............................................. 1,371,072,624 21.2%
-------------- ------
Information Technology -- (10.9%)
Cabot Microelectronics Corp............................. 169,883 17,234,630 0.3%
* ExlService Holdings, Inc................................ 265,274 15,335,490 0.2%
Methode Electronics, Inc................................ 408,852 16,313,195 0.3%
* Virtusa Corp............................................ 358,465 17,256,505 0.3%
Other Securities........................................ 742,560,349 11.4%
-------------- ------
Total Information Technology.................................. 808,700,169 12.5%
-------------- ------
Materials -- (4.5%)
* Ferro Corp.............................................. 883,136 19,437,823 0.3%
Innospec, Inc........................................... 254,933 18,533,629 0.3%
# Kaiser Aluminum Corp.................................... 167,047 16,460,811 0.3%
Quaker Chemical Corp.................................... 104,311 15,332,674 0.2%
Other Securities........................................ 263,636,016 4.1%
-------------- ------
Total Materials............................................... 333,400,953 5.2%
-------------- ------
Real Estate -- (0.9%)
Other Securities........................................ 68,999,839 1.1%
-------------- ------
Telecommunication Services -- (1.1%)
Shenandoah Telecommunications Co........................ 497,484 18,780,021 0.3%
#* Vonage Holdings Corp.................................... 1,577,569 17,637,221 0.3%
Other Securities........................................ 46,517,466 0.7%
-------------- ------
Total Telecommunication Services.............................. 82,934,708 1.3%
-------------- ------
Utilities -- (1.8%)
# American States Water Co................................ 338,714 18,873,144 0.3%
# California Water Service Group.......................... 430,087 16,665,871 0.3%
Other Securities........................................ 97,526,792 1.5%
-------------- ------
Total Utilities............................................... 133,065,807 2.1%
-------------- ------
TOTAL COMMON STOCKS........................................... 6,388,812,411 99.0%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities........................................ 1,599,809 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES................................... 6,390,412,220
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market
Fund, 1.630%........................................... 68,450,273 68,450,273 1.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (12.9%)
(S)@ DFA Short Term Investment Fund.......................... 82,356,253 952,861,850 14.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,135,363,364)..................................... $7,411,724,343 114.8%
============== ======
38
U.S. MICRO CAP PORTFOLIO
CONTINUED
At April 30, 2018, U.S. Micro Cap Portfolio had entered into the following
outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
S&P 500(R) Emini Index... 441 06/15/18 $59,244,846 $58,366,350 $(878,496)
----------- ----------- ----------
Total futures contracts.. $59,244,846 $58,366,350 $(878,496)
=========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 937,940,573 $ 11,479 -- $ 937,952,052
Consumer Staples............ 228,793,951 -- -- 228,793,951
Energy...................... 317,128,604 -- -- 317,128,604
Financials.................. 1,433,958,382 107,515 -- 1,434,065,897
Health Care................. 672,697,807 -- -- 672,697,807
Industrials................. 1,371,072,624 -- -- 1,371,072,624
Information Technology...... 808,679,091 21,078 -- 808,700,169
Materials................... 333,400,953 -- -- 333,400,953
Real Estate................. 68,999,839 -- -- 68,999,839
Telecommunication Services.. 82,934,708 -- -- 82,934,708
Utilities................... 133,065,807 -- -- 133,065,807
Preferred Stocks
Consumer Discretionary...... 1,599,809 -- -- 1,599,809
Temporary Cash Investments.... 68,450,273 -- -- 68,450,273
Securities Lending Collateral. -- 952,861,850 -- 952,861,850
Futures Contracts**........... (878,496) -- -- (878,496)
-------------- ------------ -- --------------
TOTAL......................... $6,457,843,925 $953,001,922 -- $7,410,845,847
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
39
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.5%)
Consumer Discretionary -- (21.6%)
* Amazon.com, Inc............... 9,882 $15,476,497 4.1%
Best Buy Co., Inc............. 26,735 2,046,030 0.5%
* Booking Holdings, Inc......... 1,900 4,138,200 1.1%
Comcast Corp. Class A......... 207,454 6,511,981 1.7%
General Motors Co............. 58,674 2,155,683 0.6%
Home Depot, Inc. (The)........ 44,398 8,204,750 2.2%
Lowe's Cos., Inc.............. 34,554 2,848,286 0.8%
NIKE, Inc. Class B............ 50,188 3,432,357 0.9%
Starbucks Corp................ 59,694 3,436,584 0.9%
Target Corp................... 27,551 2,000,203 0.5%
TJX Cos., Inc. (The).......... 25,534 2,166,560 0.6%
Other Securities.............. 31,781,151 8.3%
----------- -----
Total Consumer Discretionary...... 84,198,282 22.2%
----------- -----
Consumer Staples -- (10.8%)
Altria Group, Inc............. 99,762 5,597,646 1.5%
Coca-Cola Co. (The)........... 139,399 6,023,431 1.6%
Costco Wholesale Corp......... 19,530 3,850,535 1.0%
Kroger Co. (The).............. 72,175 1,818,088 0.5%
PepsiCo, Inc.................. 61,999 6,258,179 1.7%
Walmart, Inc.................. 69,502 6,148,147 1.6%
Other Securities.............. 12,317,409 3.2%
----------- -----
Total Consumer Staples............ 42,013,435 11.1%
----------- -----
Energy -- (1.0%)
Other Securities.............. 4,121,758 1.1%
----------- -----
Financials -- (3.5%)
American Express Co........... 34,262 3,383,372 0.9%
Marsh & McLennan Cos., Inc.... 23,613 1,924,459 0.5%
Other Securities.............. 8,209,319 2.1%
----------- -----
Total Financials.................. 13,517,150 3.5%
----------- -----
Health Care -- (8.6%)
AbbVie, Inc................... 60,005 5,793,483 1.5%
Amgen, Inc.................... 37,225 6,495,018 1.7%
* Biogen, Inc................... 10,164 2,780,870 0.7%
Gilead Sciences, Inc.......... 73,848 5,334,041 1.4%
Humana, Inc................... 6,719 1,976,595 0.5%
Other Securities.............. 11,354,102 3.1%
----------- -----
Total Health Care................. 33,734,109 8.9%
----------- -----
Industrials -- (19.1%)
3M Co......................... 25,546 4,965,887 1.3%
Boeing Co. (The).............. 21,469 7,161,200 1.9%
Caterpillar, Inc.............. 31,722 4,579,388 1.2%
Deere & Co.................... 14,542 1,967,969 0.5%
Delta Air Lines, Inc.......... 37,804 1,974,125 0.5%
FedEx Corp.................... 10,904 2,695,469 0.7%
Honeywell International, Inc.. 32,412 4,689,368 1.2%
Lockheed Martin Corp.......... 6,780 2,175,295 0.6%
Northrop Grumman Corp......... 6,106 1,966,376 0.5%
Union Pacific Corp............ 38,372 5,127,650 1.4%
40
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
* United Continental Holdings, Inc.............................. 30,505 $ 2,060,308 0.5%
United Parcel Service, Inc. Class B........................... 24,946 2,831,371 0.7%
Waste Management, Inc......................................... 22,100 1,796,509 0.5%
Other Securities.............................................. 30,354,202 8.1%
------------ ------
Total Industrials................................................... 74,345,117 19.6%
------------ ------
Information Technology -- (24.8%)
Accenture P.L.C. Class A...................................... 27,652 4,180,982 1.1%
Apple, Inc.................................................... 89,989 14,871,582 3.9%
Applied Materials, Inc........................................ 53,426 2,653,669 0.7%
Automatic Data Processing, Inc................................ 18,107 2,138,075 0.6%
International Business Machines Corp.......................... 43,611 6,321,851 1.7%
Mastercard, Inc. Class A...................................... 35,826 6,386,701 1.7%
* Micron Technology, Inc........................................ 63,854 2,936,007 0.8%
Microsoft Corp................................................ 154,653 14,463,149 3.8%
NVIDIA Corp................................................... 22,785 5,124,347 1.3%
Texas Instruments, Inc........................................ 44,597 4,523,474 1.2%
Visa, Inc. Class A............................................ 73,493 9,324,792 2.5%
Other Securities.............................................. 23,754,179 6.2%
------------ ------
Total Information Technology........................................ 96,678,808 25.5%
------------ ------
Materials -- (3.9%)
LyondellBasell Industries NV Class A.......................... 17,345 1,833,887 0.5%
Other Securities.............................................. 13,293,706 3.5%
------------ ------
Total Materials..................................................... 15,127,593 4.0%
------------ ------
Telecommunication Services -- (3.1%)
Verizon Communications, Inc................................... 210,719 10,398,982 2.7%
Other Securities.............................................. 1,531,510 0.4%
------------ ------
Total Telecommunication Services.................................... 11,930,492 3.1%
------------ ------
Utilities -- (0.1%)
Other Securities.............................................. 360,251 0.1%
------------ ------
TOTAL COMMON STOCKS................................................. 376,026,995 99.1%
------------ ------
TOTAL INVESTMENT SECURITIES......................................... 376,026,995
------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 2,636,478 2,636,478 0.7%
------------ ------
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund................................ 954,395 11,042,353 2.9%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $376,352,979)............................................. $389,705,826 102.7%
============ ======
41
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
------------ ----------- ------- ------------
Common Stocks
Consumer Discretionary...... $ 84,198,282 -- -- $ 84,198,282
Consumer Staples............ 42,013,435 -- -- 42,013,435
Energy...................... 4,121,758 -- -- 4,121,758
Financials.................. 13,517,150 -- -- 13,517,150
Health Care................. 33,734,109 -- -- 33,734,109
Industrials................. 74,345,117 -- -- 74,345,117
Information Technology...... 96,678,808 -- -- 96,678,808
Materials................... 15,127,593 -- -- 15,127,593
Telecommunication Services.. 11,930,492 -- -- 11,930,492
Utilities................... 360,251 -- -- 360,251
Temporary Cash Investments.... 2,636,478 -- -- 2,636,478
Securities Lending Collateral. -- $11,042,353 -- 11,042,353
------------ ----------- -- ------------
TOTAL......................... $378,663,473 $11,042,353 -- $389,705,826
============ =========== == ============
See accompanying Notes to Financial Statements.
42
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (92.5%)
Real Estate -- (92.5%)
# Alexandria Real Estate Equities, Inc.......... 892,956 $ 111,235,529 1.3%
American Campus Communities, Inc.............. 1,255,493 49,102,331 0.6%
# American Homes 4 Rent Class A................. 2,283,779 46,132,336 0.6%
American Tower Corp........................... 3,246,594 442,705,558 5.3%
Apartment Investment & Management Co. Class A. 1,491,202 60,542,801 0.7%
AvalonBay Communities, Inc.................... 1,294,940 211,075,220 2.5%
Boston Properties, Inc........................ 1,477,060 179,329,855 2.1%
Brixmor Property Group, Inc................... 2,888,376 43,007,919 0.5%
Camden Property Trust......................... 831,494 71,009,588 0.9%
Crown Castle International Corp............... 2,723,366 274,705,928 3.3%
CubeSmart..................................... 1,710,433 50,355,148 0.6%
DCT Industrial Trust, Inc..................... 894,750 58,668,757 0.7%
# Digital Realty Trust, Inc..................... 1,902,197 201,043,201 2.4%
Douglas Emmett, Inc........................... 1,423,845 53,066,703 0.6%
Duke Realty Corp.............................. 3,372,012 91,381,525 1.1%
Equinix, Inc.................................. 720,471 303,166,992 3.6%
Equity LifeStyle Properties, Inc.............. 780,714 69,608,460 0.8%
Equity Residential............................ 3,456,874 213,323,695 2.5%
Essex Property Trust, Inc..................... 629,004 150,765,969 1.8%
# Extra Space Storage, Inc...................... 1,196,092 107,157,882 1.3%
Federal Realty Investment Trust............... 683,759 79,213,480 1.0%
Forest City Realty Trust, Inc. Class A........ 2,292,067 45,978,864 0.6%
Gaming and Leisure Properties, Inc............ 1,870,000 64,084,900 0.8%
GGP, Inc...................................... 5,475,114 109,447,529 1.3%
HCP, Inc...................................... 4,450,308 103,959,195 1.2%
# Healthcare Trust of America, Inc. Class A..... 1,788,675 44,698,988 0.5%
Host Hotels & Resorts, Inc.................... 7,137,258 139,604,766 1.7%
Hudson Pacific Properties, Inc................ 1,467,570 48,239,026 0.6%
# Iron Mountain, Inc............................ 2,406,163 81,665,172 1.0%
Kilroy Realty Corp............................ 928,148 66,520,367 0.8%
# Kimco Realty Corp............................. 4,041,002 58,634,939 0.7%
Liberty Property Trust........................ 1,442,711 60,334,174 0.7%
# Macerich Co. (The)............................ 1,318,443 75,968,686 0.9%
Mid-America Apartment Communities, Inc........ 1,102,863 100,867,850 1.2%
# National Retail Properties, Inc............... 1,396,299 53,115,214 0.6%
# Omega Healthcare Investors, Inc............... 1,865,077 48,454,700 0.6%
Prologis, Inc................................. 4,905,234 318,398,739 3.8%
# Public Storage................................ 1,417,866 286,097,001 3.4%
# Realty Income Corp............................ 2,544,343 128,514,765 1.5%
# Regency Centers Corp.......................... 1,577,470 92,834,109 1.1%
* SBA Communications Corp....................... 1,053,536 168,808,073 2.0%
Simon Property Group, Inc..................... 2,848,508 445,335,741 5.3%
# SL Green Realty Corp.......................... 968,768 94,687,384 1.1%
Sun Communities, Inc.......................... 707,995 66,445,331 0.8%
UDR, Inc...................................... 2,540,787 91,849,450 1.1%
Ventas, Inc................................... 3,366,639 173,112,577 2.1%
VEREIT, Inc................................... 9,261,049 62,975,133 0.8%
Vornado Realty Trust.......................... 1,639,064 111,505,524 1.3%
Welltower, Inc................................ 3,448,237 184,273,785 2.2%
# WP Carey, Inc................................. 959,557 61,267,714 0.7%
Other Securities.............................. 1,950,571,884 23.3%
-------------- -----
TOTAL COMMON STOCKS............................... 8,204,850,457 97.9%
-------------- -----
TOTAL INVESTMENT SECURITIES....................... 8,204,850,457
--------------
43
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market
Fund, 1.630%........................................... 76,303,834 $ 76,303,834 0.9%
-------------- ------
SECURITIES LENDING COLLATERAL -- (6.6%)
(S)@ DFA Short Term Investment Fund.......................... 51,017,424 590,271,592 7.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,089,203,943)..................................... $8,871,425,883 105.8%
============== ======
At April 30, 2018, DFA Real Estate Securities Portfolio had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
S&P 500(R) Emini Index... 528 06/15/18 $72,290,792 $69,880,800 $(2,409,992)
----------- ----------- ------------
Total futures contracts.. $72,290,792 $69,880,800 $(2,409,992)
=========== =========== ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Real Estate................. $8,204,850,457 -- -- $8,204,850,457
Temporary Cash Investments.... 76,303,834 -- -- 76,303,834
Securities Lending Collateral. -- $590,271,592 -- 590,271,592
Futures Contracts**........... (2,409,992) -- -- (2,409,992)
-------------- ------------ -- --------------
TOTAL......................... $8,278,744,299 $590,271,592 -- $8,869,015,891
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
44
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.0%)
AUSTRALIA -- (5.1%)
BHP Billiton, Ltd................... 842,811 $ 19,662,146 0.4%
# Commonwealth Bank of Australia...... 461,654 24,857,495 0.5%
CSL, Ltd............................ 133,309 17,075,421 0.3%
# National Australia Bank, Ltd........ 666,762 14,494,762 0.3%
# Westpac Banking Corp................ 807,067 17,336,155 0.4%
Other Securities.................... 178,889,335 3.6%
------------ ----
TOTAL AUSTRALIA......................... 272,315,314 5.5%
------------ ----
AUSTRIA -- (0.3%)
Other Securities.................... 14,406,459 0.3%
------------ ----
BELGIUM -- (1.0%)
# Anheuser-Busch InBev SA/NV.......... 240,375 23,877,301 0.5%
Other Securities.................... 28,459,651 0.5%
------------ ----
TOTAL BELGIUM........................... 52,336,952 1.0%
------------ ----
CANADA -- (7.8%)
Royal Bank of Canada................ 239,620 18,222,280 0.4%
Other Securities.................... 399,694,111 8.0%
------------ ----
TOTAL CANADA............................ 417,916,391 8.4%
------------ ----
DENMARK -- (1.5%)
Novo Nordisk A.S. Class B........... 483,626 22,743,922 0.5%
Other Securities.................... 55,869,431 1.1%
------------ ----
TOTAL DENMARK........................... 78,613,353 1.6%
------------ ----
FINLAND -- (1.0%)
Other Securities.................... 52,495,498 1.0%
------------ ----
FRANCE -- (8.8%)
Air Liquide SA...................... 118,456 15,396,474 0.3%
Airbus SE........................... 171,642 20,147,867 0.4%
BNP Paribas SA...................... 281,596 21,739,002 0.4%
# L'Oreal SA.......................... 68,023 16,379,233 0.3%
LVMH Moet Hennessy Louis Vuitton SE. 84,168 29,291,458 0.6%
# Sanofi.............................. 238,754 18,876,431 0.4%
Total SA............................ 478,047 30,046,060 0.6%
# Vinci SA............................ 150,019 14,999,446 0.3%
Other Securities.................... 307,379,559 6.2%
------------ ----
TOTAL FRANCE............................ 474,255,530 9.5%
------------ ----
GERMANY -- (7.1%)
Allianz SE.......................... 70,671 16,715,374 0.3%
BASF SE............................. 243,976 25,384,094 0.5%
Bayer AG............................ 185,881 22,216,414 0.4%
Daimler AG.......................... 326,426 25,662,975 0.5%
Deutsche Telekom AG................. 950,035 16,629,046 0.3%
SAP SE.............................. 205,747 22,859,640 0.5%
Siemens AG.......................... 165,969 21,077,208 0.4%
Other Securities.................... 229,217,980 4.7%
------------ ----
TOTAL GERMANY........................... 379,762,731 7.6%
------------ ----
45
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.8%)
AIA Group, Ltd........................ 3,407,600 $ 30,454,394 0.6%
Other Securities...................... 120,519,004 2.4%
-------------- -----
TOTAL HONG KONG........................... 150,973,398 3.0%
-------------- -----
IRELAND -- (0.5%)
Other Securities...................... 27,898,520 0.6%
-------------- -----
ISRAEL -- (0.4%)
Other Securities...................... 20,540,578 0.4%
-------------- -----
ITALY -- (2.1%)
Enel SpA.............................. 2,271,536 14,409,989 0.3%
Other Securities...................... 99,293,342 2.0%
-------------- -----
TOTAL ITALY............................... 113,703,331 2.3%
-------------- -----
JAPAN -- (21.8%)
KDDI Corp............................. 545,800 14,651,234 0.3%
Keyence Corp.......................... 26,902 16,404,281 0.3%
SoftBank Group Corp................... 255,888 19,552,066 0.4%
Sony Corp............................. 358,400 16,739,465 0.3%
Sumitomo Mitsui Financial Group, Inc.. 341,940 14,251,458 0.3%
Toyota Motor Corp..................... 456,923 29,961,512 0.6%
Other Securities...................... 1,057,813,532 21.3%
-------------- -----
TOTAL JAPAN............................... 1,169,373,548 23.5%
-------------- -----
NETHERLANDS -- (2.9%)
# Unilever NV........................... 268,265 15,379,248 0.3%
Other Securities...................... 138,851,932 2.8%
-------------- -----
TOTAL NETHERLANDS......................... 154,231,180 3.1%
-------------- -----
NEW ZEALAND -- (0.3%)
Other Securities...................... 13,775,753 0.3%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 41,208,006 0.8%
-------------- -----
PORTUGAL -- (0.2%)
Other Securities...................... 8,251,850 0.2%
-------------- -----
SINGAPORE -- (1.1%)
Other Securities...................... 61,548,842 1.2%
-------------- -----
SPAIN -- (2.7%)
# Banco Santander SA.................... 3,760,684 24,297,484 0.5%
Other Securities...................... 118,997,784 2.4%
-------------- -----
TOTAL SPAIN............................... 143,295,268 2.9%
-------------- -----
SWEDEN -- (2.3%)
Other Securities...................... 125,563,588 2.5%
-------------- -----
SWITZERLAND -- (6.0%)
Nestle SA............................. 825,815 63,975,951 1.3%
Novartis AG........................... 437,543 33,679,563 0.7%
Roche Holding AG...................... 205,182 45,588,846 0.9%
Other Securities...................... 181,053,529 3.6%
-------------- -----
TOTAL SWITZERLAND......................... 324,297,889 6.5%
-------------- -----
46
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (14.5%)
# Anglo American P.L.C............................ 599,142 $ 14,097,362 0.3%
# AstraZeneca P.L.C. Sponsored ADR................ 461,956 16,413,297 0.3%
BP P.L.C. Sponsored ADR......................... 841,441 37,519,832 0.8%
British American Tobacco P.L.C.................. 330,890 18,148,482 0.4%
Diageo P.L.C. Sponsored ADR..................... 128,576 18,252,649 0.4%
# GlaxoSmithKline P.L.C. Sponsored ADR............ 428,638 17,192,670 0.3%
Glencore P.L.C.................................. 2,981,961 14,364,087 0.3%
HSBC Holdings P.L.C............................. 1,761,358 17,536,040 0.4%
# HSBC Holdings P.L.C. Sponsored ADR.............. 582,677 29,285,346 0.6%
Royal Dutch Shell P.L.C. Class A................ 491,594 17,103,142 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 352,746 24,656,964 0.5%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 369,024 26,724,718 0.5%
Unilever P.L.C. Sponsored ADR................... 274,641 15,371,657 0.3%
Vodafone Group P.L.C............................ 6,474,624 18,894,314 0.4%
Other Securities................................ 492,811,076 9.8%
-------------- ------
TOTAL UNITED KINGDOM.................................. 778,371,636 15.6%
-------------- ------
TOTAL COMMON STOCKS................................... 4,875,135,615 97.8%
-------------- ------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Other Securities................................ 28,971,363 0.6%
-------------- ------
TOTAL PREFERRED STOCKS................................ 28,971,363 0.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
TOTAL INVESTMENT SECURITIES........................... 4,904,106,978
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (8.5%)
(S)@ DFA Short Term Investment Fund.................. 39,421,614 456,108,075 9.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,434,854,446)............................. $5,360,215,053 107.5%
============== ======
At April 30, 2018, Large Cap International Portfolio had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
MSCI EAFE Index Future... 85 06/15/18 $ 8,606,123 $ 8,612,625 $ 6,502
S&P 500(R) Emini Index... 229 06/15/18 31,349,302 30,308,150 (1,041,152)
----------- ----------- -----------
Total futures contracts.. $39,955,425 $38,920,775 $(1,034,650)
=========== =========== ===========
47
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks
Australia................... $ 4,973,360 $ 267,341,954 -- $ 272,315,314
Austria..................... -- 14,406,459 -- 14,406,459
Belgium..................... 928,442 51,408,510 -- 52,336,952
Canada...................... 417,916,391 -- -- 417,916,391
Denmark..................... 2,839,260 75,774,093 -- 78,613,353
Finland..................... 703,730 51,791,768 -- 52,495,498
France...................... 10,142,432 464,113,098 -- 474,255,530
Germany..................... 18,260,085 361,502,646 -- 379,762,731
Hong Kong................... 1,065,385 149,908,013 -- 150,973,398
Ireland..................... 6,618,862 21,279,658 -- 27,898,520
Israel...................... 5,507,725 15,032,853 -- 20,540,578
Italy....................... 7,542,944 106,160,387 -- 113,703,331
Japan....................... 39,326,028 1,130,047,520 -- 1,169,373,548
Netherlands................. 40,214,980 114,016,200 -- 154,231,180
New Zealand................. -- 13,775,753 -- 13,775,753
Norway...................... 1,213,874 39,994,132 -- 41,208,006
Portugal.................... -- 8,251,850 -- 8,251,850
Singapore................... -- 61,548,842 -- 61,548,842
Spain....................... 12,204,543 131,090,725 -- 143,295,268
Sweden...................... -- 125,563,588 -- 125,563,588
Switzerland................. 17,852,772 306,445,117 -- 324,297,889
United Kingdom.............. 254,862,090 523,509,546 -- 778,371,636
Preferred Stocks
Germany..................... -- 28,971,363 -- 28,971,363
Securities Lending Collateral. -- 456,108,075 -- 456,108,075
Futures Contracts**........... (1,034,650) -- -- (1,034,650)
------------ -------------- -- --------------
TOTAL......................... $841,138,253 $4,518,042,150 -- $5,359,180,403
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
48
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.8%)
AUSTRALIA -- (5.4%)
# Australia & New Zealand Banking Group, Ltd... 2,805,657 $ 56,399,836 0.2%
# BHP Billiton, Ltd............................ 4,074,214 95,048,347 0.3%
# Commonwealth Bank of Australia............... 1,329,108 71,565,056 0.3%
# National Australia Bank, Ltd................. 2,691,791 58,516,939 0.2%
Other Securities............................. 1,396,391,017 4.8%
-------------- ----
TOTAL AUSTRALIA.................................. 1,677,921,195 5.8%
-------------- ----
AUSTRIA -- (0.6%)
Other Securities............................. 187,110,155 0.7%
-------------- ----
BELGIUM -- (1.2%)
Other Securities............................. 382,942,533 1.3%
-------------- ----
CANADA -- (7.6%)
# Bank of Montreal............................. 835,416 63,433,137 0.2%
# Bank of Nova Scotia (The).................... 964,105 59,253,893 0.2%
# Royal Bank of Canada......................... 699,021 53,160,547 0.2%
Teck Resources, Ltd. Class B................. 2,119,223 53,256,074 0.2%
Other Securities............................. 2,144,024,373 7.4%
-------------- ----
TOTAL CANADA..................................... 2,373,128,024 8.2%
-------------- ----
DENMARK -- (1.5%)
Other Securities............................. 472,035,115 1.6%
-------------- ----
FINLAND -- (1.7%)
Nokia Oyj.................................... 8,533,346 51,201,900 0.2%
UPM-Kymmene Oyj.............................. 1,735,959 61,941,789 0.2%
Other Securities............................. 430,522,558 1.5%
-------------- ----
TOTAL FINLAND.................................... 543,666,247 1.9%
-------------- ----
FRANCE -- (7.0%)
BNP Paribas SA............................... 1,121,695 86,594,018 0.3%
Cie Generale des Etablissements Michelin SCA. 509,793 71,688,554 0.3%
Orange SA.................................... 3,886,424 70,653,710 0.3%
# Peugeot SA................................... 2,249,431 55,389,037 0.2%
Total SA..................................... 1,939,637 121,909,456 0.4%
Other Securities............................. 1,776,186,017 6.0%
-------------- ----
TOTAL FRANCE..................................... 2,182,420,792 7.5%
-------------- ----
GERMANY -- (6.7%)
Allianz SE................................... 278,374 65,842,078 0.2%
BASF SE...................................... 1,224,687 127,420,607 0.4%
Bayer AG..................................... 427,990 51,153,173 0.2%
Bayerische Motoren Werke AG.................. 633,323 70,414,044 0.3%
Daimler AG................................... 1,829,754 143,851,691 0.5%
Deutsche Telekom AG.......................... 4,893,747 85,658,257 0.3%
E.ON SE...................................... 5,371,567 58,817,351 0.2%
Other Securities............................. 1,489,111,264 5.1%
-------------- ----
TOTAL GERMANY.................................... 2,092,268,465 7.2%
-------------- ----
49
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.6%)
AIA Group, Ltd........................ 8,634,000 $ 77,163,762 0.3%
Other Securities...................... 722,061,555 2.5%
-------------- -----
TOTAL HONG KONG........................... 799,225,317 2.8%
-------------- -----
IRELAND -- (0.5%)
Other Securities...................... 154,474,043 0.5%
-------------- -----
ISRAEL -- (0.6%)
Other Securities...................... 181,181,345 0.6%
-------------- -----
ITALY -- (3.1%)
Fiat Chrysler Automobiles NV.......... 2,878,006 63,945,750 0.2%
Other Securities...................... 912,292,606 3.2%
-------------- -----
TOTAL ITALY............................... 976,238,356 3.4%
-------------- -----
JAPAN -- (22.8%)
Hitachi, Ltd.......................... 7,235,425 52,808,156 0.2%
Honda Motor Co., Ltd.................. 2,640,923 90,810,608 0.3%
Mitsubishi UFJ Financial Group, Inc... 9,776,100 65,512,990 0.2%
Nissan Motor Co., Ltd................. 4,846,600 50,988,496 0.2%
Sumitomo Mitsui Financial Group, Inc.. 1,276,170 53,188,520 0.2%
Toyota Motor Corp..................... 2,741,740 179,782,316 0.6%
Toyota Motor Corp. Sponsored ADR...... 408,823 53,547,637 0.2%
Other Securities...................... 6,567,716,069 22.6%
-------------- -----
TOTAL JAPAN............................... 7,114,354,792 24.5%
-------------- -----
NETHERLANDS -- (2.6%)
Akzo Nobel NV......................... 677,388 61,343,103 0.2%
Koninklijke Ahold Delhaize NV......... 2,136,192 51,534,512 0.2%
Other Securities...................... 706,673,647 2.4%
-------------- -----
TOTAL NETHERLANDS......................... 819,551,262 2.8%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities...................... 119,004,835 0.4%
-------------- -----
NORWAY -- (0.8%)
Other Securities...................... 265,625,885 0.9%
-------------- -----
PORTUGAL -- (0.2%)
Other Securities...................... 73,383,353 0.3%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities...................... 315,521,217 1.1%
-------------- -----
SPAIN -- (2.3%)
# Banco Santander SA.................... 13,286,562 85,843,433 0.3%
Iberdrola SA.......................... 7,957,435 61,478,656 0.2%
Other Securities...................... 561,700,522 1.9%
-------------- -----
TOTAL SPAIN............................... 709,022,611 2.4%
-------------- -----
SWEDEN -- (2.4%)
Other Securities...................... 751,148,381 2.6%
-------------- -----
SWITZERLAND -- (5.0%)
Nestle SA............................. 2,417,067 187,250,366 0.7%
Novartis AG Sponsored ADR............. 953,193 73,100,371 0.3%
50
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Zurich Insurance Group AG....................... 181,779 $ 58,066,650 0.2%
Other Securities................................ 1,246,489,022 4.2%
--------------- ------
TOTAL SWITZERLAND..................................... 1,564,906,409 5.4%
--------------- ------
UNITED KINGDOM -- (14.8%)
# Anglo American P.L.C............................ 3,796,420 89,326,915 0.3%
BP P.L.C. Sponsored ADR......................... 4,304,042 191,917,233 0.7%
British American Tobacco P.L.C.................. 1,150,327 63,092,535 0.2%
# HSBC Holdings P.L.C. Sponsored ADR.............. 3,553,561 178,601,976 0.6%
Lloyds Banking Group P.L.C...................... 62,991,647 55,870,241 0.2%
# Rio Tinto P.L.C. Sponsored ADR.................. 1,670,448 91,791,118 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 1,546,368 108,091,123 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 1,716,768 124,328,339 0.4%
# Tesco P.L.C..................................... 23,595,438 76,424,108 0.3%
Vodafone Group P.L.C............................ 31,621,343 92,277,727 0.3%
# Vodafone Group P.L.C. Sponsored ADR............. 1,906,729 56,076,892 0.2%
Other Securities................................ 3,516,132,226 12.1%
--------------- ------
TOTAL UNITED KINGDOM.................................. 4,643,930,433 16.0%
--------------- ------
TOTAL COMMON STOCKS................................... 28,399,060,765 97.9%
--------------- ------
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Volkswagen AG................................... 399,360 82,361,934 0.3%
Other Securities................................ 85,840,577 0.3%
--------------- ------
TOTAL GERMANY......................................... 168,202,511 0.6%
--------------- ------
TOTAL PREFERRED STOCKS................................ 168,202,511 0.6%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities................................ 2,233 0.0%
--------------- ------
NORWAY -- (0.0%)
Other Securities................................ 125 0.0%
--------------- ------
SINGAPORE -- (0.0%)
Other Securities................................ 15,492 0.0%
--------------- ------
SPAIN -- (0.0%)
Other Securities................................ 13,772 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................................. 31,622 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES........................... 28,567,295,898
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (8.6%)
(S)@ DFA Short Term Investment Fund.................. 233,241,383 2,698,602,797 9.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $25,935,076,285)............................ $31,265,897,695 107.8%
=============== ======
51
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, International Core Equity Portfolio had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
S&P 500(R) Emini Index.. 1,860 06/15/18 $251,813,603 $246,171,000 $(5,642,603)
------------ ------------ ------------
Total futures contracts. $251,813,603 $246,171,000 $(5,642,603)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- --------------- ------- ---------------
Common Stocks
Australia................... $ 43,684,275 $ 1,634,236,920 -- $ 1,677,921,195
Austria..................... 79,464 187,030,691 -- 187,110,155
Belgium..................... 13,348,409 369,594,124 -- 382,942,533
Canada...................... 2,373,124,353 3,671 -- 2,373,128,024
Denmark..................... 27,942,584 444,092,531 -- 472,035,115
Finland..................... 5,427,655 538,238,592 -- 543,666,247
France...................... 77,443,747 2,104,977,045 -- 2,182,420,792
Germany..................... 82,198,856 2,010,069,609 -- 2,092,268,465
Hong Kong................... 1,549,313 797,676,004 -- 799,225,317
Ireland..................... 21,398,846 133,075,197 -- 154,474,043
Israel...................... 24,667,932 156,513,413 -- 181,181,345
Italy....................... 21,576,510 954,661,846 -- 976,238,356
Japan....................... 127,232,257 6,987,122,535 -- 7,114,354,792
Netherlands................. 123,512,065 696,039,197 -- 819,551,262
New Zealand................. 145,245 118,859,590 -- 119,004,835
Norway...................... 17,906,825 247,719,060 -- 265,625,885
Portugal.................... 267,194 73,116,159 -- 73,383,353
Singapore................... 68,509 315,452,708 -- 315,521,217
Spain....................... 28,194,894 680,827,717 -- 709,022,611
Sweden...................... 3,984,792 747,163,589 -- 751,148,381
Switzerland................. 110,881,642 1,454,024,767 -- 1,564,906,409
United Kingdom.............. 1,081,111,093 3,562,819,340 -- 4,643,930,433
Preferred Stocks
Germany..................... -- 168,202,511 -- 168,202,511
Rights/Warrants
Hong Kong................... -- 2,233 -- 2,233
Norway...................... -- 125 -- 125
Singapore................... -- 15,492 -- 15,492
Spain....................... -- 13,772 -- 13,772
Securities Lending Collateral. -- 2,698,602,797 -- 2,698,602,797
Futures Contracts**........... (5,642,603) -- -- (5,642,603)
-------------- --------------- -- ---------------
TOTAL......................... $4,180,103,857 $27,080,151,235 -- $31,260,255,092
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
52
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company........................ $ 5,379,291,977
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company........................ 3,726,507,128
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company........................ 2,344,886,043
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company........................ 1,599,373,548
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company........................ 1,150,258,282
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES... $14,200,316,978
===============
At April 30, 2018, International Small Company Portfolio had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
S&P 500(R) Emini Index... 920 06/15/18 $124,432,709 $121,762,000 $(2,670,709)
------------ ------------ ------------
Total futures contracts.. $124,432,709 $121,762,000 $(2,670,709)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------- ------- ---------------
Affiliated Investment Companies. $14,200,316,978 -- -- $14,200,316,978
Futures Contracts**............. (2,670,709) -- -- (2,670,709)
--------------- -- -- ---------------
TOTAL........................... $14,197,646,269 -- -- $14,197,646,269
=============== == == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
53
GLOBAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Shares Value+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Small Cap Portfolio of
DFA Investment Dimensions Group Inc..................... 363,667 $12,953,808
Investment in The Continental Small Company Series of
The DFA Investment Trust Company........................ 3,616,556
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company........................ 3,207,640
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company........................ 2,463,789
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company........................ 1,583,287
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company........................ 1,027,017
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company........................ 716,076
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $24,409,630)................................... $25,568,173
===========
Summary of the Fund's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------- ------- -----------
Affiliated Investment Companies. $25,568,173 -- -- $25,568,173
----------- -- -- -----------
TOTAL........................... $25,568,173 -- -- $25,568,173
=========== == == ===========
See accompanying Notes to Financial Statements.
54
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company.................... $715,031,790
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $715,031,790
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
55
ASIA PACIFIC SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company...................... $372,785,993
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY... $372,785,993
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
56
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company........................ $42,909,045
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY..... $42,909,045
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
57
CONTINENTAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company..................... $757,212,687
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.. $757,212,687
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
58
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.1%)
AUSTRALIA -- (16.7%)
Dexus Property Group........ 12,740,966 $ 90,607,946 1.6%
Goodman Group............... 23,286,809 158,432,599 2.7%
Mirvac Group................ 26,223,393 44,007,554 0.8%
Scentre Group............... 66,397,764 200,687,918 3.5%
Stockland................... 30,823,367 95,811,604 1.7%
Vicinity Centres............ 41,773,566 76,486,309 1.3%
Westfield Corp.............. 25,068,383 173,226,976 3.0%
Other Securities............ 170,035,281 2.8%
-------------- -----
TOTAL AUSTRALIA................. 1,009,296,187 17.4%
-------------- -----
BELGIUM -- (2.0%)
Cofinimmo SA................ 274,020 36,375,170 0.6%
Other Securities............ 85,669,672 1.5%
-------------- -----
TOTAL BELGIUM................... 122,044,842 2.1%
-------------- -----
CANADA -- (4.9%)
# RioCan REIT................. 1,965,677 35,747,932 0.6%
Other Securities............ 258,652,789 4.5%
-------------- -----
TOTAL CANADA.................... 294,400,721 5.1%
-------------- -----
CHINA -- (0.2%)
Other Securities............ 14,495,662 0.3%
-------------- -----
FRANCE -- (10.7%)
Fonciere Des Regions........ 450,998 50,438,971 0.9%
Gecina SA................... 577,669 100,139,077 1.7%
ICADE....................... 466,762 46,384,208 0.8%
# Klepierre SA................ 2,896,190 118,537,464 2.0%
Unibail-Rodamco SE(B1YY4B3). 978,160 234,826,670 4.1%
Unibail-Rodamco SE(7076242). 293,585 70,516,643 1.2%
Other Securities............ 23,781,173 0.4%
-------------- -----
TOTAL FRANCE.................... 644,624,206 11.1%
-------------- -----
GERMANY -- (2.2%)
Alstria Office REIT-AG...... 2,109,189 31,731,047 0.5%
GPT Group (The)............. 24,107,185 87,415,302 1.5%
Other Securities............ 15,019,082 0.3%
-------------- -----
TOTAL GERMANY................... 134,165,431 2.3%
-------------- -----
GREECE -- (0.0%)
Other Securities............ 1,061,526 0.0%
-------------- -----
HONG KONG -- (4.9%)
Link REIT................... 26,860,905 237,399,958 4.1%
Other Securities............ 58,696,060 1.0%
-------------- -----
TOTAL HONG KONG................. 296,096,018 5.1%
-------------- -----
IRELAND -- (0.3%)
Other Securities............ 15,131,233 0.3%
-------------- -----
59
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ITALY -- (0.4%)
Other Securities...................... $ 24,072,879 0.4%
-------------- -----
JAPAN -- (20.1%)
Activia Properties, Inc............... 7,073 31,342,643 0.5%
Advance Residence Investment Corp..... 16,863 43,443,640 0.8%
# Daiwa House REIT Investment Corp...... 18,683 44,541,933 0.8%
GLP J-Reit............................ 30,929 33,247,621 0.6%
Japan Hotel REIT Investment Corp...... 51,518 38,979,170 0.7%
Japan Prime Realty Investment Corp.... 10,800 39,169,297 0.7%
Japan Real Estate Investment Corp..... 15,302 79,277,510 1.4%
Japan Retail Fund Investment Corp..... 33,214 62,269,492 1.1%
# Kenedix Office Investment Corp........ 5,790 35,517,805 0.6%
Nippon Building Fund, Inc............. 16,810 94,456,949 1.6%
Nippon Prologis REIT, Inc............. 21,927 46,212,536 0.8%
Nomura Real Estate Master Fund, Inc... 46,705 65,286,730 1.1%
Orix JREIT, Inc....................... 32,087 48,910,756 0.8%
United Urban Investment Corp.......... 38,320 58,857,200 1.0%
Other Securities...................... 496,021,185 8.5%
-------------- -----
TOTAL JAPAN............................... 1,217,534,467 21.0%
-------------- -----
MALAYSIA -- (0.5%)
Other Securities...................... 29,322,105 0.5%
-------------- -----
MEXICO -- (1.7%)
# Fibra Uno Administracion S.A. de C.V.. 36,621,185 60,643,518 1.0%
Other Securities...................... 42,097,640 0.8%
-------------- -----
TOTAL MEXICO.............................. 102,741,158 1.8%
-------------- -----
NETHERLANDS -- (1.2%)
Other Securities...................... 74,611,742 1.3%
-------------- -----
NEW ZEALAND -- (0.8%)
Other Securities...................... 48,490,940 0.8%
-------------- -----
SINGAPORE -- (8.1%)
Ascendas REIT......................... 30,695,600 61,578,128 1.1%
CapitaLand Commercial Trust........... 32,667,249 44,629,892 0.8%
CapitaLand Mall Trust................. 31,558,300 49,835,815 0.9%
Mapletree Commercial Trust............ 25,626,537 31,237,454 0.5%
Suntec REIT........................... 33,882,500 49,804,106 0.9%
Other Securities...................... 250,432,368 4.2%
-------------- -----
TOTAL SINGAPORE........................... 487,517,763 8.4%
-------------- -----
SOUTH AFRICA -- (3.9%)
# Growthpoint Properties, Ltd........... 31,668,977 73,924,033 1.3%
Hyprop Investments, Ltd............... 3,324,050 30,347,165 0.5%
Redefine Properties, Ltd.............. 70,206,030 67,468,919 1.2%
Other Securities...................... 62,707,722 1.0%
-------------- -----
TOTAL SOUTH AFRICA........................ 234,447,839 4.0%
-------------- -----
SPAIN -- (1.6%)
Merlin Properties Socimi SA........... 5,201,113 80,252,173 1.4%
Other Securities...................... 16,245,438 0.3%
-------------- -----
TOTAL SPAIN............................... 96,497,611 1.7%
-------------- -----
60
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (0.2%)
Other Securities............... $ 11,449,928 0.2%
-------------- ------
TURKEY -- (0.4%)
Other Securities............... 24,996,876 0.4%
-------------- ------
UNITED KINGDOM -- (13.3%)
British Land Co. P.L.C. (The).. 13,250,011 122,362,572 2.1%
Derwent London P.L.C........... 1,518,004 66,579,009 1.1%
Great Portland Estates P.L.C... 4,044,340 38,970,871 0.7%
Hammerson P.L.C................ 10,495,798 79,121,418 1.4%
# Intu Properties P.L.C.......... 12,733,927 34,217,769 0.6%
Land Securities Group P.L.C.... 9,631,416 130,748,225 2.3%
# Segro P.L.C.................... 14,352,829 127,363,410 2.2%
Shaftesbury P.L.C.............. 3,398,008 47,278,949 0.8%
Other Securities............... 159,844,460 2.7%
-------------- ------
TOTAL UNITED KINGDOM................. 806,486,683 13.9%
-------------- ------
TOTAL COMMON STOCKS.................. 5,689,485,817 98.1%
-------------- ------
TOTAL INVESTMENT SECURITIES.......... 5,689,485,817
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (5.9%)
(S)@ DFA Short Term Investment Fund. 30,638,137 354,483,247 6.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,514,151,669)............ $6,043,969,064 104.2%
============== ======
At April 30, 2018, DFA International Real Estate Securities Portfolio had
entered into the following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
S&P 500(R) Emini Index... 370 06/15/18 $48,304,593 $48,969,500 $664,907
----------- ----------- --------
Total futures contracts.. $48,304,593 $48,969,500 $664,907
=========== =========== ========
61
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks
Australia................... $ 56,028 $1,009,240,159 -- $1,009,296,187
Belgium..................... -- 122,044,842 -- 122,044,842
Canada...................... 294,400,721 -- -- 294,400,721
China....................... -- 14,495,662 -- 14,495,662
France...................... 70,516,643 574,107,563 -- 644,624,206
Germany..................... -- 134,165,431 -- 134,165,431
Greece...................... -- 1,061,526 -- 1,061,526
Hong Kong................... -- 296,096,018 -- 296,096,018
Ireland..................... -- 15,131,233 -- 15,131,233
Italy....................... -- 24,072,879 -- 24,072,879
Japan....................... -- 1,217,534,467 -- 1,217,534,467
Malaysia.................... -- 29,322,105 -- 29,322,105
Mexico...................... 102,741,158 -- -- 102,741,158
Netherlands................. -- 74,611,742 -- 74,611,742
New Zealand................. -- 48,490,940 -- 48,490,940
Singapore................... -- 487,517,763 -- 487,517,763
South Africa................ -- 234,447,839 -- 234,447,839
Spain....................... -- 96,497,611 -- 96,497,611
Taiwan...................... 2,364,127 9,085,801 -- 11,449,928
Turkey...................... -- 24,996,876 -- 24,996,876
United Kingdom.............. -- 806,486,683 -- 806,486,683
Securities Lending Collateral. -- 354,483,247 -- 354,483,247
Futures Contracts**........... 664,907 -- -- 664,907
------------ -------------- -- --------------
TOTAL......................... $470,743,584 $5,573,890,387 -- $6,044,633,971
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
62
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (43.1%)
UNITED STATES -- (43.1%)
# Alexandria Real Estate Equities, Inc.......... 352,445 $ 43,904,074 0.6%
American Campus Communities, Inc.............. 476,932 18,652,811 0.3%
# American Homes 4 Rent Class A................. 894,639 18,071,716 0.3%
American Tower Corp........................... 1,524,978 207,946,000 2.9%
# Apartment Investment & Management Co. Class A. 549,057 22,291,714 0.3%
# AvalonBay Communities, Inc.................... 473,237 77,137,631 1.1%
Boston Properties, Inc........................ 528,226 64,131,919 0.9%
Camden Property Trust......................... 322,978 27,582,321 0.4%
# Crown Castle International Corp............... 1,391,266 140,337,001 2.0%
# CubeSmart..................................... 655,345 19,293,357 0.3%
DCT Industrial Trust, Inc..................... 339,254 22,244,885 0.3%
Digital Realty Trust, Inc..................... 705,690 74,584,355 1.0%
# Douglas Emmett, Inc........................... 564,085 21,023,448 0.3%
Duke Realty Corp.............................. 1,243,551 33,700,232 0.5%
# Equinix, Inc.................................. 271,508 114,247,851 1.6%
Equity LifeStyle Properties, Inc.............. 292,766 26,103,017 0.4%
# Equity Residential............................ 1,261,671 77,857,717 1.1%
# Essex Property Trust, Inc..................... 226,314 54,245,203 0.8%
Extra Space Storage, Inc...................... 439,044 39,333,952 0.6%
# Federal Realty Investment Trust............... 254,941 29,534,915 0.4%
Gaming and Leisure Properties, Inc............ 718,705 24,630,020 0.3%
GGP, Inc...................................... 2,007,174 40,123,408 0.6%
HCP, Inc...................................... 1,635,956 38,215,932 0.5%
# Host Hotels & Resorts, Inc.................... 2,515,703 49,207,151 0.7%
Hudson Pacific Properties, Inc................ 558,331 18,352,340 0.3%
Iron Mountain, Inc............................ 942,393 31,984,818 0.4%
# Kilroy Realty Corp............................ 343,891 24,646,668 0.3%
# Kimco Realty Corp............................. 1,488,059 21,591,736 0.3%
Lamar Advertising Co. Class A................. 292,582 18,640,399 0.3%
Liberty Property Trust........................ 514,612 21,521,074 0.3%
# Macerich Co. (The)............................ 417,053 24,030,594 0.3%
Mid-America Apartment Communities, Inc........ 396,028 36,220,677 0.5%
National Retail Properties, Inc............... 536,905 20,423,866 0.3%
# Omega Healthcare Investors, Inc............... 695,403 18,066,570 0.3%
Prologis, Inc................................. 1,801,015 116,903,884 1.6%
Public Storage................................ 536,910 108,337,700 1.5%
# Realty Income Corp............................ 974,074 49,200,478 0.7%
# Regency Centers Corp.......................... 532,093 31,313,649 0.4%
#* SBA Communications Corp....................... 399,258 63,973,109 0.9%
# Simon Property Group, Inc..................... 1,054,164 164,808,000 2.3%
# SL Green Realty Corp.......................... 332,157 32,465,025 0.5%
Sun Communities, Inc.......................... 278,287 26,117,235 0.4%
# UDR, Inc...................................... 932,108 33,695,704 0.5%
Ventas, Inc................................... 1,220,604 62,763,458 0.9%
# VEREIT, Inc................................... 3,381,590 22,994,812 0.3%
# Vornado Realty Trust.......................... 595,616 40,519,756 0.6%
Welltower, Inc................................ 1,274,686 68,119,220 1.0%
# WP Carey, Inc................................. 379,214 24,212,814 0.3%
Other Securities.............................. 795,646,161 10.8%
-------------- -----
TOTAL COMMON STOCKS............................... 3,160,950,377 44.2%
-------------- -----
63
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
AFFILIATED INVESTMENT COMPANIES -- (54.2%)
UNITED STATES -- (54.2%)
DFA International Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc.......................... 476,534,331 $2,492,274,551 34.9%
DFA Real Estate Securities Portfolio of DFA Investment
Dimensions Group Inc..................................... 45,252,203 1,483,819,724 20.8%
-------------- ------
TOTAL UNITED STATES............................................. 3,976,094,275 55.7%
-------------- ------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES...................................................... 3,976,094,275 55.7%
-------------- ------
TOTAL INVESTMENT SECURITIES..................................... 7,137,044,652
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (2.7%)
(S)@ DFA Short Term Investment Fund............................ 16,900,562 195,539,503 2.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,783,552,540)....................................... $7,332,584,155 102.6%
============== ======
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
United States................. $3,160,950,377 -- -- $3,160,950,377
Affiliated Investment Companies
United States................. 3,976,094,275 -- -- 3,976,094,275
Securities Lending Collateral... -- $195,539,503 -- 195,539,503
-------------- ------------ -- --------------
TOTAL........................... $7,137,044,652 $195,539,503 -- $7,332,584,155
============== ============ == ==============
See accompanying Notes to Financial Statements.
64
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.9%)
AUSTRALIA -- (6.3%)
Beach Energy, Ltd................ 45,369,328 $ 53,508,636 0.3%
Cleanaway Waste Management, Ltd.. 49,607,719 58,911,384 0.4%
Downer EDI, Ltd.................. 14,055,450 72,340,258 0.5%
# Metcash, Ltd..................... 22,580,986 60,948,548 0.4%
OZ Minerals, Ltd................. 7,698,143 53,124,661 0.3%
WorleyParsons, Ltd............... 4,370,365 53,269,395 0.3%
Other Securities................. 723,084,566 4.4%
-------------- ----
TOTAL AUSTRALIA...................... 1,075,187,448 6.6%
-------------- ----
AUSTRIA -- (1.0%)
Wienerberger AG.................. 2,684,294 67,638,559 0.4%
Other Securities................. 110,841,762 0.7%
-------------- ----
TOTAL AUSTRIA........................ 178,480,321 1.1%
-------------- ----
BELGIUM -- (1.4%)
Ackermans & van Haaren NV........ 332,154 59,935,741 0.4%
Other Securities................. 170,765,314 1.0%
-------------- ----
TOTAL BELGIUM........................ 230,701,055 1.4%
-------------- ----
CANADA -- (7.3%)
# Canadian Western Bank............ 2,378,567 63,115,992 0.4%
* IAMGOLD Corp..................... 10,460,281 57,191,614 0.4%
Other Securities................. 1,125,239,507 6.9%
-------------- ----
TOTAL CANADA......................... 1,245,547,113 7.7%
-------------- ----
DENMARK -- (1.5%)
Jyske Bank A.S................... 1,224,516 73,323,500 0.5%
Sydbank A.S...................... 1,624,758 60,064,321 0.4%
Other Securities................. 120,827,280 0.7%
-------------- ----
TOTAL DENMARK........................ 254,215,101 1.6%
-------------- ----
FINLAND -- (2.3%)
# Kesko Oyj Class B................ 1,598,059 93,837,658 0.6%
Metsa Board Oyj.................. 5,022,622 56,275,033 0.4%
Other Securities................. 245,453,110 1.4%
-------------- ----
TOTAL FINLAND........................ 395,565,801 2.4%
-------------- ----
FRANCE -- (4.1%)
Rexel SA......................... 6,155,587 95,422,366 0.6%
Other Securities................. 612,454,090 3.8%
-------------- ----
TOTAL FRANCE......................... 707,876,456 4.4%
-------------- ----
GERMANY -- (6.5%)
Aareal Bank AG................... 1,761,663 88,116,624 0.6%
Aurubis AG....................... 1,158,293 103,509,990 0.6%
# K+S AG........................... 3,048,592 89,536,076 0.6%
Leoni AG......................... 845,772 52,968,412 0.3%
Rheinmetall AG................... 981,706 128,290,590 0.8%
Salzgitter AG.................... 1,310,505 71,967,212 0.5%
65
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY -- (Continued)
Other Securities.............. $ 583,106,729 3.5%
-------------- -----
TOTAL GERMANY..................... 1,117,495,633 6.9%
-------------- -----
GREECE -- (0.0%)
Other Securities.............. 2,074 0.0%
-------------- -----
HONG KONG -- (3.1%)
Other Securities.............. 536,685,914 3.3%
-------------- -----
IRELAND -- (0.3%)
Other Securities.............. 53,230,804 0.3%
-------------- -----
ISRAEL -- (0.6%)
Other Securities.............. 110,349,956 0.7%
-------------- -----
ITALY -- (4.7%)
# A2A SpA....................... 26,795,521 53,878,933 0.3%
#* Banco BPM SpA................. 21,480,343 77,916,524 0.5%
# BPER Banca.................... 14,472,034 83,539,576 0.5%
# Unione di Banche Italiane SpA. 25,149,018 129,535,502 0.8%
Unipol Gruppo SpA............. 13,259,468 71,019,477 0.5%
Other Securities.............. 381,908,463 2.3%
-------------- -----
TOTAL ITALY....................... 797,798,475 4.9%
-------------- -----
JAPAN -- (26.3%)
Other Securities.............. 4,480,810,154 27.6%
-------------- -----
NETHERLANDS -- (2.2%)
APERAM SA..................... 1,372,656 66,881,872 0.4%
ASR Nederland NV.............. 1,185,307 55,903,541 0.4%
# Boskalis Westminster.......... 2,223,100 65,857,690 0.4%
SBM Offshore NV............... 5,517,816 92,584,645 0.6%
Other Securities.............. 99,433,428 0.5%
-------------- -----
TOTAL NETHERLANDS................. 380,661,176 2.3%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities.............. 62,708,840 0.4%
-------------- -----
NORWAY -- (0.9%)
Other Securities.............. 153,017,985 0.9%
-------------- -----
PORTUGAL -- (0.4%)
Other Securities.............. 66,938,364 0.4%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities.............. 163,979,947 1.0%
-------------- -----
SPAIN -- (2.6%)
# Acciona SA.................... 827,998 69,258,969 0.4%
# Acerinox SA................... 3,881,667 54,512,294 0.3%
Other Securities.............. 322,600,636 2.0%
-------------- -----
TOTAL SPAIN....................... 446,371,899 2.7%
-------------- -----
SWEDEN -- (1.8%)
Other Securities.............. 300,272,081 1.9%
-------------- -----
66
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (3.8%)
GAM Holding AG.................. 3,576,356 $ 57,086,570 0.4%
Helvetia Holding AG............. 145,920 86,678,146 0.5%
Other Securities................ 499,670,336 3.1%
--------------- ------
TOTAL SWITZERLAND...................... 643,435,052 4.0%
--------------- ------
UNITED KINGDOM -- (14.4%)
Beazley P.L.C................... 9,204,078 74,758,477 0.5%
Bellway P.L.C................... 2,984,036 135,971,483 0.8%
Bodycote P.L.C.................. 4,114,367 50,655,576 0.3%
Bovis Homes Group P.L.C......... 4,858,289 82,661,663 0.5%
Centamin P.L.C.................. 32,079,579 69,318,610 0.4%
Close Brothers Group P.L.C...... 2,519,808 53,054,940 0.3%
# Greene King P.L.C............... 8,226,218 61,802,948 0.4%
GVC Holdings P.L.C.............. 4,115,032 50,370,441 0.3%
Hiscox, Ltd..................... 6,782,867 138,699,753 0.9%
Man Group P.L.C................. 27,961,852 69,447,443 0.4%
Meggitt P.L.C................... 11,584,537 75,048,709 0.5%
National Express Group P.L.C.... 9,362,195 50,521,852 0.3%
Phoenix Group Holdings.......... 7,519,815 81,230,266 0.5%
Redrow P.L.C.................... 7,158,893 61,688,867 0.4%
TP ICAP P.L.C................... 9,708,212 62,888,057 0.4%
Vesuvius P.L.C.................. 7,316,120 59,083,781 0.4%
Other Securities................ 1,285,093,572 7.9%
--------------- ------
TOTAL UNITED KINGDOM................... 2,462,296,438 15.2%
--------------- ------
TOTAL COMMON STOCKS.................... 15,863,628,087 97.7%
--------------- ------
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities................ 13,893,015 0.1%
--------------- ------
TOTAL PREFERRED STOCKS................. 13,893,015 0.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities................ 1,530 0.0%
--------------- ------
SPAIN -- (0.0%)
Other Securities................ 69,340 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS.................. 70,870 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............ 15,877,591,971
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (7.0%)
(S)@ DFA Short Term Investment Fund.. 103,157,323 1,193,530,223 7.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $13,876,072,692)............. $17,071,122,194 105.1%
=============== ======
67
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
At April 30, 2018, DFA International Small Cap Value Portfolio had entered into
the following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
S&P 500(R) Emini Index... 1,042 06/15/18 $142,458,860 $137,908,700 $(4,550,160)
------------ ------------ ------------
Total futures contracts.. $142,458,860 $137,908,700 $(4,550,160)
============ ============ ============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- --------------- ------- ---------------
Common Stocks
Australia................... -- $ 1,075,187,448 -- $ 1,075,187,448
Austria..................... -- 178,480,321 -- 178,480,321
Belgium..................... -- 230,701,055 -- 230,701,055
Canada...................... $1,245,546,756 357 -- 1,245,547,113
Denmark..................... -- 254,215,101 -- 254,215,101
Finland..................... -- 395,565,801 -- 395,565,801
France...................... -- 707,876,456 -- 707,876,456
Germany..................... -- 1,117,495,633 -- 1,117,495,633
Greece...................... -- 2,074 -- 2,074
Hong Kong................... 78,021 536,607,893 -- 536,685,914
Ireland..................... -- 53,230,804 -- 53,230,804
Israel...................... -- 110,349,956 -- 110,349,956
Italy....................... -- 797,798,475 -- 797,798,475
Japan....................... 14,540,988 4,466,269,166 -- 4,480,810,154
Netherlands................. -- 380,661,176 -- 380,661,176
New Zealand................. -- 62,708,840 -- 62,708,840
Norway...................... -- 153,017,985 -- 153,017,985
Portugal.................... -- 66,938,364 -- 66,938,364
Singapore................... -- 163,979,947 -- 163,979,947
Spain....................... -- 446,371,899 -- 446,371,899
Sweden...................... -- 300,272,081 -- 300,272,081
Switzerland................. -- 643,435,052 -- 643,435,052
United Kingdom.............. -- 2,462,296,438 -- 2,462,296,438
Preferred Stocks
Germany..................... -- 13,893,015 -- 13,893,015
Rights/Warrants
Hong Kong................... -- 1,530 -- 1,530
Spain....................... -- 69,340 -- 69,340
Securities Lending Collateral. -- 1,193,530,223 -- 1,193,530,223
Futures Contracts**........... (4,550,160) -- -- (4,550,160)
-------------- --------------- -- ---------------
TOTAL......................... $1,255,615,605 $15,810,956,429 -- $17,066,572,034
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
68
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.3%)
AUSTRALIA -- (5.6%)
# Australia & New Zealand Banking Group, Ltd.. 214,260 $ 4,307,094 0.2%
BHP Billiton, Ltd........................... 314,531 7,337,772 0.3%
BlueScope Steel, Ltd........................ 393,906 4,840,893 0.2%
Woodside Petroleum, Ltd..................... 195,034 4,726,354 0.2%
Other Securities............................ 139,615,336 5.1%
------------ ----
TOTAL AUSTRALIA................................. 160,827,449 6.0%
------------ ----
AUSTRIA -- (0.8%)
Other Securities............................ 23,177,227 0.9%
------------ ----
BELGIUM -- (1.6%)
Ageas....................................... 107,511 5,751,022 0.2%
# Umicore SA.................................. 107,492 5,978,548 0.2%
Other Securities............................ 34,628,250 1.3%
------------ ----
TOTAL BELGIUM................................... 46,357,820 1.7%
------------ ----
CANADA -- (7.5%)
Teck Resources, Ltd. Class B................ 221,978 5,578,307 0.2%
Other Securities............................ 212,649,799 7.9%
------------ ----
TOTAL CANADA.................................... 218,228,106 8.1%
------------ ----
DENMARK -- (1.7%)
Other Securities............................ 48,904,333 1.8%
------------ ----
FINLAND -- (2.1%)
# Neste Oyj................................... 50,237 4,230,283 0.2%
Stora Enso Oyj Class R...................... 218,840 4,316,532 0.2%
UPM-Kymmene Oyj............................. 258,374 9,219,197 0.4%
Other Securities............................ 42,371,181 1.4%
------------ ----
TOTAL FINLAND................................... 60,137,193 2.2%
------------ ----
FRANCE -- (6.1%)
BNP Paribas SA.............................. 73,561 5,678,854 0.2%
Cie de Saint-Gobain......................... 98,275 5,141,848 0.2%
Renault SA.................................. 41,368 4,483,526 0.2%
# Total SA.................................... 192,243 12,082,797 0.5%
* Ubisoft Entertainment SA.................... 48,372 4,621,848 0.2%
Other Securities............................ 146,050,235 5.3%
------------ ----
TOTAL FRANCE.................................... 178,059,108 6.6%
------------ ----
GERMANY -- (6.0%)
Allianz SE.................................. 24,707 5,843,794 0.2%
Daimler AG.................................. 89,896 7,067,448 0.3%
Deutsche Lufthansa AG....................... 152,127 4,421,603 0.2%
E.ON SE..................................... 588,434 6,443,209 0.3%
# K+S AG...................................... 156,431 4,594,324 0.2%
RWE AG...................................... 247,438 5,914,195 0.2%
Uniper SE................................... 144,960 4,482,042 0.2%
Other Securities............................ 136,063,408 4.9%
------------ ----
TOTAL GERMANY................................... 174,830,023 6.5%
------------ ----
69
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.6%)
Other Securities..................... $ 75,508,045 2.8%
------------ -----
IRELAND -- (0.5%)
Other Securities..................... 15,304,490 0.6%
------------ -----
ISRAEL -- (0.7%)
Other Securities..................... 20,345,529 0.7%
------------ -----
ITALY -- (3.3%)
Assicurazioni Generali SpA........... 303,243 6,119,126 0.2%
#* Banco BPM SpA........................ 1,218,177 4,418,743 0.2%
Eni SpA.............................. 211,731 4,139,003 0.2%
Fiat Chrysler Automobiles NV......... 304,185 6,758,616 0.3%
# Unione di Banche Italiane SpA........ 841,967 4,336,735 0.2%
Other Securities..................... 70,903,492 2.5%
------------ -----
TOTAL ITALY.............................. 96,675,715 3.6%
------------ -----
JAPAN -- (23.7%)
Honda Motor Co., Ltd................. 138,023 4,746,050 0.2%
Mitsubishi Chemical Holdings Corp.... 464,080 4,390,012 0.2%
Mitsubishi UFJ Financial Group, Inc.. 817,300 5,477,007 0.2%
Toyota Motor Corp.................... 73,263 4,804,027 0.2%
# Toyota Motor Corp. Sponsored ADR..... 36,827 4,823,600 0.2%
Other Securities..................... 663,268,374 24.5%
------------ -----
TOTAL JAPAN.............................. 687,509,070 25.5%
------------ -----
NETHERLANDS -- (2.4%)
Koninklijke Ahold Delhaize NV........ 219,005 5,283,381 0.2%
Other Securities..................... 63,576,873 2.3%
------------ -----
TOTAL NETHERLANDS........................ 68,860,254 2.5%
------------ -----
NEW ZEALAND -- (0.5%)
Other Securities..................... 13,634,778 0.5%
------------ -----
NORWAY -- (1.0%)
Other Securities..................... 27,419,536 1.0%
------------ -----
PORTUGAL -- (0.4%)
Other Securities..................... 10,528,248 0.4%
------------ -----
SINGAPORE -- (1.0%)
Other Securities..................... 30,092,910 1.1%
------------ -----
SPAIN -- (2.0%)
# Banco Santander SA................... 955,782 6,175,232 0.2%
Repsol SA............................ 237,537 4,532,880 0.2%
Other Securities..................... 48,383,103 1.8%
------------ -----
TOTAL SPAIN.............................. 59,091,215 2.2%
------------ -----
SWEDEN -- (2.4%)
# Boliden AB........................... 124,690 4,320,462 0.2%
Other Securities..................... 65,695,085 2.4%
------------ -----
TOTAL SWEDEN............................. 70,015,547 2.6%
------------ -----
70
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (5.0%)
Baloise Holding AG.............................. 26,119 $ 4,139,989 0.2%
Clariant AG..................................... 182,599 4,215,352 0.2%
Nestle SA....................................... 110,012 8,522,638 0.3%
Novartis AG Sponsored ADR....................... 73,269 5,619,000 0.2%
Other Securities................................ 123,624,985 4.5%
-------------- ------
TOTAL SWITZERLAND..................................... 146,121,964 5.4%
-------------- ------
UNITED KINGDOM -- (14.4%)
Anglo American P.L.C............................ 450,994 10,611,551 0.4%
Aviva P.L.C..................................... 570,076 4,141,981 0.2%
BP P.L.C. Sponsored ADR......................... 244,019 10,880,814 0.4%
# HSBC Holdings P.L.C. Sponsored ADR.............. 234,122 11,766,972 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 161,774 11,307,989 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 102,022 7,388,433 0.3%
Vodafone Group P.L.C............................ 1,755,059 5,121,631 0.2%
Vodafone Group P.L.C. Sponsored ADR............. 142,624 4,194,577 0.2%
WM Morrison Supermarkets P.L.C.................. 1,351,214 4,506,519 0.2%
Other Securities................................ 349,161,101 12.8%
-------------- ------
TOTAL UNITED KINGDOM.................................. 419,081,568 15.5%
-------------- ------
TOTAL COMMON STOCKS................................... 2,650,710,128 98.2%
-------------- ------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Volkswagen AG................................... 25,998 5,361,693 0.2%
Other Securities................................ 8,606,006 0.3%
-------------- ------
TOTAL GERMANY......................................... 13,967,699 0.5%
-------------- ------
TOTAL PREFERRED STOCKS................................ 13,967,699 0.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
FRANCE -- (0.0%)
Other Securities................................ 1,052 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities................................ 414 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities................................ 6,440 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................................ 1,625 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................. 9,531 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES........................... 2,664,687,358
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (8.2%)
(S)@ DFA Short Term Investment Fund.................. 20,491,503 237,086,694 8.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,333,369,304)............................. $2,901,774,052 107.5%
============== ======
71
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, International Vector Equity Portfolio had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ---------- ---------- --------------
Long Position contracts:
S&P 500(R) Emini Index... 60 06/15/18 $8,009,005 $7,941,000 $(68,005)
---------- ---------- ---------
Total futures contracts.. $8,009,005 $7,941,000 $(68,005)
========== ========== =========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks
Australia................... $ 3,646,289 $ 157,181,160 -- $ 160,827,449
Austria..................... -- 23,177,227 -- 23,177,227
Belgium..................... 643,314 45,714,506 -- 46,357,820
Canada...................... 218,225,554 2,552 -- 218,228,106
Denmark..................... -- 48,904,333 -- 48,904,333
Finland..................... -- 60,137,193 -- 60,137,193
France...................... 647,457 177,411,651 -- 178,059,108
Germany..................... 4,266,222 170,563,801 -- 174,830,023
Hong Kong................... 350,204 75,157,841 -- 75,508,045
Ireland..................... 2,436,445 12,868,045 -- 15,304,490
Israel...................... 1,149,267 19,196,262 -- 20,345,529
Italy....................... 609,064 96,066,651 -- 96,675,715
Japan....................... 10,704,308 676,804,762 -- 687,509,070
Netherlands................. 8,588,622 60,271,632 -- 68,860,254
New Zealand................. 6,399 13,628,379 -- 13,634,778
Norway...................... 299,057 27,120,479 -- 27,419,536
Portugal.................... -- 10,528,248 -- 10,528,248
Singapore................... 25,979 30,066,931 -- 30,092,910
Spain....................... 2,375,809 56,715,406 -- 59,091,215
Sweden...................... 205,269 69,810,278 -- 70,015,547
Switzerland................. 8,973,046 137,148,918 -- 146,121,964
United Kingdom.............. 63,641,630 355,439,938 -- 419,081,568
Preferred Stocks
Germany..................... -- 13,967,699 -- 13,967,699
Rights/Warrants
France...................... -- 1,052 -- 1,052
Hong Kong................... -- 414 -- 414
Singapore................... -- 6,440 -- 6,440
Spain....................... -- 1,625 -- 1,625
Securities Lending Collateral. -- 237,086,694 -- 237,086,694
Futures Contracts**........... (68,005) -- -- (68,005)
------------ -------------- -- --------------
TOTAL......................... $326,725,930 $2,574,980,117 -- $2,901,706,047
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
72
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.2%)
AUSTRALIA -- (5.4%)
BHP Billiton, Ltd............................ 90,976 $ 2,122,402 1.2%
CSL, Ltd..................................... 9,082 1,163,305 0.6%
Other Securities............................. 7,052,849 3.9%
----------- -----
TOTAL AUSTRALIA.................................. 10,338,556 5.7%
----------- -----
AUSTRIA -- (0.2%)
Other Securities............................. 420,593 0.2%
----------- -----
BELGIUM -- (1.2%)
Other Securities............................. 2,264,815 1.2%
----------- -----
CANADA -- (7.7%)
Canadian National Railway Co................. 16,843 1,301,627 0.7%
Royal Bank of Canada......................... 27,874 2,119,818 1.2%
Other Securities............................. 11,169,996 6.1%
----------- -----
TOTAL CANADA..................................... 14,591,441 8.0%
----------- -----
DENMARK -- (1.6%)
Novo Nordisk A.S. Class B.................... 40,249 1,892,827 1.0%
# Pandora A.S.................................. 7,293 810,172 0.5%
Other Securities............................. 253,463 0.1%
----------- -----
TOTAL DENMARK.................................... 2,956,462 1.6%
----------- -----
FINLAND -- (0.9%)
Other Securities............................. 1,667,987 0.9%
----------- -----
FRANCE -- (9.8%)
Air Liquide SA............................... 9,703 1,261,160 0.7%
Airbus SE.................................... 10,892 1,278,537 0.7%
Cie Generale des Etablissements Michelin SCA. 8,785 1,235,372 0.7%
# Danone SA.................................... 11,530 933,997 0.5%
LVMH Moet Hennessy Louis Vuitton SE.......... 5,988 2,083,895 1.1%
Orange SA.................................... 54,631 993,171 0.6%
# Vinci SA..................................... 11,541 1,153,911 0.6%
Other Securities............................. 9,593,231 5.3%
----------- -----
TOTAL FRANCE..................................... 18,533,274 10.2%
----------- -----
GERMANY -- (7.3%)
Adidas AG.................................... 3,892 956,534 0.5%
BASF SE...................................... 21,794 2,267,522 1.2%
Deutsche Post AG............................. 23,879 1,036,454 0.6%
Deutsche Telekom AG.......................... 100,280 1,755,262 1.0%
E.ON SE...................................... 88,762 971,922 0.5%
Fresenius SE & Co. KGaA...................... 11,058 842,114 0.5%
Other Securities............................. 6,115,959 3.4%
----------- -----
TOTAL GERMANY.................................... 13,945,767 7.7%
----------- -----
HONG KONG -- (2.7%)
Other Securities............................. 5,189,284 2.9%
----------- -----
73
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (0.5%)
Other Securities............. $ 915,142 0.5%
----------- -----
ISRAEL -- (0.3%)
Other Securities............. 580,467 0.3%
----------- -----
ITALY -- (2.3%)
Enel SpA..................... 187,070 1,186,720 0.6%
Fiat Chrysler Automobiles NV. 47,136 1,047,304 0.6%
Other Securities............. 2,157,862 1.2%
----------- -----
TOTAL ITALY...................... 4,391,886 2.4%
----------- -----
JAPAN -- (21.9%)
Hitachi, Ltd................. 143,000 1,043,694 0.6%
KDDI Corp.................... 50,300 1,350,233 0.7%
NTT DOCOMO, Inc.............. 33,300 860,272 0.5%
Panasonic Corp............... 59,900 886,948 0.5%
Seven & I Holdings Co., Ltd.. 20,000 881,216 0.5%
SoftBank Group Corp.......... 23,900 1,826,168 1.0%
Sony Corp.................... 32,900 1,536,631 0.8%
Other Securities............. 33,294,130 18.3%
----------- -----
TOTAL JAPAN...................... 41,679,292 22.9%
----------- -----
NETHERLANDS -- (3.0%)
# Unilever NV.................. 40,262 2,299,766 1.3%
Wolters Kluwer NV............ 15,178 821,278 0.5%
Other Securities............. 2,612,810 1.3%
----------- -----
TOTAL NETHERLANDS................ 5,733,854 3.1%
----------- -----
NEW ZEALAND -- (0.2%)
Other Securities............. 394,323 0.2%
----------- -----
NORWAY -- (0.9%)
Other Securities............. 1,692,479 0.9%
----------- -----
PORTUGAL -- (0.1%)
Other Securities............. 166,566 0.1%
----------- -----
SINGAPORE -- (1.2%)
Other Securities............. 2,189,656 1.2%
----------- -----
SPAIN -- (2.8%)
Amadeus IT Group SA.......... 14,806 1,080,243 0.6%
Telefonica SA................ 119,259 1,215,306 0.7%
Other Securities............. 3,075,947 1.7%
----------- -----
TOTAL SPAIN...................... 5,371,496 3.0%
----------- -----
SWEDEN -- (2.2%)
Other Securities............. 4,176,998 2.3%
----------- -----
SWITZERLAND -- (6.5%)
ABB, Ltd..................... 57,558 1,341,997 0.7%
Givaudan SA.................. 431 959,427 0.5%
Nestle SA.................... 14,560 1,127,964 0.6%
Roche Holding AG............. 14,655 3,256,156 1.8%
Sika AG...................... 116 841,722 0.5%
Other Securities............. 4,790,864 2.7%
----------- -----
TOTAL SWITZERLAND................ 12,318,130 6.8%
----------- -----
74
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (15.5%)
# AstraZeneca P.L.C. Sponsored ADR..... 60,961 $ 2,165,944 1.2%
BAE Systems P.L.C.................... 163,796 1,374,284 0.8%
BHP Billiton P.L.C................... 55,363 1,180,472 0.6%
Diageo P.L.C. Sponsored ADR.......... 13,935 1,978,213 1.1%
Experian P.L.C....................... 38,077 872,427 0.5%
Ferguson P.L.C....................... 11,727 897,667 0.5%
# GlaxoSmithKline P.L.C. Sponsored ADR. 48,811 1,957,809 1.1%
Reckitt Benckiser Group P.L.C........ 11,886 932,433 0.5%
# Rio Tinto P.L.C. Sponsored ADR....... 32,080 1,762,796 1.0%
Rolls-Royce Holdings P.L.C........... 84,192 972,346 0.5%
SSE P.L.C............................ 50,414 956,786 0.5%
Unilever P.L.C. Sponsored ADR........ 24,670 1,380,780 0.8%
Other Securities..................... 12,946,036 7.0%
------------ ------
TOTAL UNITED KINGDOM....................... 29,377,993 16.1%
------------ ------
TOTAL COMMON STOCKS........................ 178,896,461 98.2%
------------ ------
PREFERRED STOCKS -- (0.9%)
GERMANY -- (0.9%)
Volkswagen AG........................ 5,598 1,154,503 0.6%
Other Securities..................... 434,789 0.3%
------------ ------
TOTAL GERMANY.............................. 1,589,292 0.9%
------------ ------
TOTAL PREFERRED STOCKS..................... 1,589,292 0.9%
------------ ------
TOTAL INVESTMENT SECURITIES................ 180,485,753
------------
Value+
------
SECURITIES LENDING COLLATERAL -- (4.9%)
(S)@ DFA Short Term Investment Fund....... 809,879 9,370,296 5.1%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $185,756,401).................... $189,856,049 104.2%
============ ======
75
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------------ ------- ------------
Common Stocks
Australia................... -- $ 10,338,556 -- $ 10,338,556
Austria..................... -- 420,593 -- 420,593
Belgium..................... -- 2,264,815 -- 2,264,815
Canada...................... $14,591,441 -- -- 14,591,441
Denmark..................... -- 2,956,462 -- 2,956,462
Finland..................... -- 1,667,987 -- 1,667,987
France...................... -- 18,533,274 -- 18,533,274
Germany..................... -- 13,945,767 -- 13,945,767
Hong Kong................... -- 5,189,284 -- 5,189,284
Ireland..................... 56,152 858,990 -- 915,142
Israel...................... 136,615 443,852 -- 580,467
Italy....................... 551,324 3,840,562 -- 4,391,886
Japan....................... -- 41,679,292 -- 41,679,292
Netherlands................. 2,299,766 3,434,088 -- 5,733,854
New Zealand................. -- 394,323 -- 394,323
Norway...................... -- 1,692,479 -- 1,692,479
Portugal.................... -- 166,566 -- 166,566
Singapore................... -- 2,189,656 -- 2,189,656
Spain....................... -- 5,371,496 -- 5,371,496
Sweden...................... -- 4,176,998 -- 4,176,998
Switzerland................. 241,148 12,076,982 -- 12,318,130
United Kingdom.............. 9,508,420 19,869,573 -- 29,377,993
Preferred Stocks
Germany..................... -- 1,589,292 -- 1,589,292
Securities Lending Collateral. -- 9,370,296 -- 9,370,296
----------- ------------ -- ------------
TOTAL......................... $27,384,866 $162,471,183 -- $189,856,049
=========== ============ == ============
See accompanying Notes to Financial Statements.
76
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $156,959,869
Investment in Dimensional Emerging Markets Value Fund....... 66,834,652
Investment in DFA International Small Cap Value Portfolio
of DFA Investment Dimensions Group Inc.................... 1,096,735 25,115,232
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES (Cost $203,583,877).......................... $248,909,753
============
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-----------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------- ------- ------------
Affiliated Investment Companies. $248,909,753 -- -- $248,909,753
------------ -- -- ------------
TOTAL........................... $248,909,753 -- -- $248,909,753
============ == == ============
See accompanying Notes to Financial Statements.
77
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (97.9%)
AUSTRALIA -- (4.3%)
BlueScope Steel, Ltd............................... 94,666 $ 1,163,393 0.2%
Incitec Pivot, Ltd................................. 293,099 834,077 0.2%
Other Securities................................... 20,659,663 3.9%
----------- ----
TOTAL AUSTRALIA........................................ 22,657,133 4.3%
----------- ----
AUSTRIA -- (0.7%)
* Raiffeisen Bank International AG................... 27,085 914,283 0.2%
Other Securities................................... 2,889,710 0.5%
----------- ----
TOTAL AUSTRIA.......................................... 3,803,993 0.7%
----------- ----
BELGIUM -- (1.1%)
Ageas.............................................. 32,566 1,742,037 0.3%
Other Securities................................... 3,826,512 0.8%
----------- ----
TOTAL BELGIUM.......................................... 5,568,549 1.1%
----------- ----
BRAZIL -- (1.7%)
Other Securities................................... 9,021,961 1.7%
----------- ----
CANADA -- (5.5%)
Crescent Point Energy Corp......................... 97,460 853,947 0.2%
Other Securities................................... 28,094,697 5.3%
----------- ----
TOTAL CANADA........................................... 28,948,644 5.5%
----------- ----
CHILE -- (0.3%)
Other Securities................................... 1,737,780 0.3%
----------- ----
CHINA -- (8.5%)
China Conch Venture Holdings, Ltd.................. 307,500 954,651 0.2%
China National Building Material Co., Ltd. Class H. 962,200 1,124,132 0.2%
Other Securities................................... 43,090,911 8.2%
----------- ----
TOTAL CHINA............................................ 45,169,694 8.6%
----------- ----
COLOMBIA -- (0.1%)
Other Securities................................... 646,205 0.1%
----------- ----
DENMARK -- (1.1%)
Jyske Bank A.S..................................... 14,411 862,925 0.2%
Other Securities................................... 5,077,960 0.9%
----------- ----
TOTAL DENMARK.......................................... 5,940,885 1.1%
----------- ----
FINLAND -- (1.5%)
Neste Oyj.......................................... 17,647 1,485,992 0.3%
Stora Enso Oyj Class R............................. 81,990 1,617,220 0.3%
Other Securities................................... 4,914,982 0.9%
----------- ----
TOTAL FINLAND.......................................... 8,018,194 1.5%
----------- ----
FRANCE -- (3.7%)
Arkema SA.......................................... 10,891 1,426,662 0.3%
Eiffage SA......................................... 14,431 1,717,744 0.3%
Faurecia SA........................................ 10,990 897,431 0.2%
78
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FRANCE -- (Continued)
Rexel SA.................................... 76,137 $ 1,180,257 0.2%
Other Securities............................ 14,150,499 2.7%
----------- -----
TOTAL FRANCE.................................... 19,372,593 3.7%
----------- -----
GERMANY -- (4.7%)
Aurubis AG.................................. 9,473 846,548 0.2%
Freenet AG.................................. 31,600 1,003,106 0.2%
K+S AG...................................... 44,982 1,321,106 0.3%
Lanxess AG.................................. 19,336 1,432,301 0.3%
Rheinmetall AG.............................. 8,598 1,123,598 0.2%
RWE AG...................................... 51,929 1,241,193 0.2%
Uniper SE................................... 33,621 1,039,533 0.2%
Other Securities............................ 16,798,469 3.1%
----------- -----
TOTAL GERMANY................................... 24,805,854 4.7%
----------- -----
HONG KONG -- (2.0%)
Other Securities............................ 10,524,085 2.0%
----------- -----
INDIA -- (3.6%)
Other Securities............................ 18,853,080 3.6%
----------- -----
INDONESIA -- (0.6%)
Other Securities............................ 3,143,663 0.6%
----------- -----
IRELAND -- (0.6%)
Bank of Ireland Group P.L.C................. 327,707 2,939,987 0.6%
Other Securities............................ 204,318 0.0%
----------- -----
TOTAL IRELAND................................... 3,144,305 0.6%
----------- -----
ISRAEL -- (0.4%)
Other Securities............................ 2,381,603 0.5%
----------- -----
ITALY -- (2.8%)
* Banco BPM SpA............................... 326,062 1,182,740 0.2%
Mediobanca Banca di Credito Finanziario SpA. 100,271 1,215,035 0.2%
Unione di Banche Italiane SpA............... 221,622 1,141,512 0.2%
Other Securities............................ 11,243,851 2.2%
----------- -----
TOTAL ITALY..................................... 14,783,138 2.8%
----------- -----
JAPAN -- (18.0%)
SBI Holdings, Inc........................... 33,900 854,798 0.2%
Other Securities............................ 94,538,402 17.9%
----------- -----
TOTAL JAPAN..................................... 95,393,200 18.1%
----------- -----
MALAYSIA -- (0.9%)
Other Securities............................ 4,900,980 0.9%
----------- -----
MEXICO -- (0.7%)
Other Securities............................ 3,935,668 0.7%
----------- -----
NETHERLANDS -- (1.4%)
Aegon NV.................................... 286,779 2,101,742 0.4%
Other Securities............................ 5,105,364 1.0%
----------- -----
TOTAL NETHERLANDS............................... 7,207,106 1.4%
----------- -----
79
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
NEW ZEALAND -- (0.4%)
Other Securities............................. $ 1,907,583 0.4%
----------- ----
NORWAY -- (0.7%)
Other Securities............................. 3,899,923 0.7%
----------- ----
PHILIPPINES -- (0.3%)
Other Securities............................. 1,426,122 0.3%
----------- ----
POLAND -- (0.4%)
Other Securities............................. 2,375,812 0.4%
----------- ----
PORTUGAL -- (0.2%)
Other Securities............................. 1,195,602 0.2%
----------- ----
SINGAPORE -- (0.7%)
Other Securities............................. 3,604,482 0.7%
----------- ----
SOUTH AFRICA -- (1.8%)
Other Securities............................. 9,368,373 1.8%
----------- ----
SOUTH KOREA -- (5.9%)
# Hyundai Engineering & Construction Co., Ltd.. 18,025 1,067,499 0.2%
Other Securities............................. 30,207,636 5.7%
----------- ----
TOTAL SOUTH KOREA................................ 31,275,135 5.9%
----------- ----
SPAIN -- (1.7%)
Banco de Sabadell SA......................... 912,089 1,784,856 0.4%
Other Securities............................. 7,173,709 1.3%
----------- ----
TOTAL SPAIN...................................... 8,958,565 1.7%
----------- ----
SWEDEN -- (1.5%)
Other Securities............................. 7,892,080 1.5%
----------- ----
SWITZERLAND -- (3.2%)
Baloise Holding AG........................... 8,350 1,323,516 0.3%
Swiss Life Holding AG........................ 4,696 1,642,749 0.3%
Other Securities............................. 14,093,984 2.6%
----------- ----
TOTAL SWITZERLAND................................ 17,060,249 3.2%
----------- ----
TAIWAN -- (4.9%)
Other Securities............................. 26,146,692 5.0%
----------- ----
THAILAND -- (0.9%)
Other Securities............................. 4,723,007 0.9%
----------- ----
TURKEY -- (0.4%)
Other Securities............................. 2,125,302 0.4%
----------- ----
UNITED KINGDOM -- (10.7%)
Barratt Developments P.L.C................... 181,829 1,394,275 0.3%
BBA Aviation P.L.C........................... 185,969 815,079 0.2%
Bellway P.L.C................................ 25,648 1,168,684 0.2%
Berkeley Group Holdings P.L.C................ 18,024 1,009,055 0.2%
GKN P.L.C.................................... 201,823 1,281,506 0.3%
GVC Holdings P.L.C........................... 92,865 1,136,727 0.2%
Investec P.L.C............................... 112,326 888,585 0.2%
J Sainsbury P.L.C............................ 302,330 1,282,836 0.3%
80
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Johnson Matthey P.L.C........... 24,288 $ 1,097,689 0.2%
Marks & Spencer Group P.L.C..... 291,779 1,153,706 0.2%
Meggitt P.L.C................... 160,012 1,036,614 0.2%
Pearson P.L.C................... 145,585 1,669,078 0.3%
Phoenix Group Holdings.......... 75,948 820,403 0.2%
Royal Mail P.L.C................ 180,633 1,440,540 0.3%
Taylor Wimpey P.L.C............. 389,086 1,024,672 0.2%
Travis Perkins P.L.C............ 50,961 887,421 0.2%
* Tullow Oil P.L.C................ 300,389 940,060 0.2%
UBM P.L.C....................... 66,479 885,064 0.2%
WM Morrison Supermarkets P.L.C.. 349,221 1,164,709 0.2%
Other Securities................ 35,770,073 6.5%
------------ ------
TOTAL UNITED KINGDOM.................. 56,866,776 10.8%
------------ ------
TOTAL COMMON STOCKS................... 518,784,016 98.4%
------------ ------
PREFERRED STOCKS -- (0.6%)
BRAZIL -- (0.5%)
Other Securities................ 2,548,215 0.5%
------------ ------
COLOMBIA -- (0.0%)
Other Securities................ 137,995 0.1%
------------ ------
GERMANY -- (0.1%)
Other Securities................ 661,944 0.1%
------------ ------
MALAYSIA -- (0.0%)
Other Securities................ 2,488 0.0%
------------ ------
TOTAL PREFERRED STOCKS................ 3,350,642 0.7%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities................ 12,819 0.0%
------------ ------
MALAYSIA -- (0.0%)
Other Securities................ 88 0.0%
------------ ------
SPAIN -- (0.0%)
Other Securities................ 76 0.0%
------------ ------
THAILAND -- (0.0%)
Other Securities................ 1,673 0.0%
------------ ------
TOTAL RIGHTS/WARRANTS................. 14,656 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES........... 522,149,314
------------
Value+
------
SECURITIES LENDING COLLATERAL -- (1.5%)
(S)@ DFA Short Term Investment Fund.. 701,642 8,117,997 1.5%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $458,412,058)............... $530,267,311 100.6%
============ ======
81
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------------ ------- ------------
Common Stocks
Australia................... -- $ 22,657,133 -- $ 22,657,133
Austria..................... -- 3,803,993 -- 3,803,993
Belgium..................... -- 5,568,549 -- 5,568,549
Brazil...................... $ 9,021,961 -- -- 9,021,961
Canada...................... 28,948,644 -- -- 28,948,644
Chile....................... 13,680 1,724,100 -- 1,737,780
China....................... 917,161 44,252,533 -- 45,169,694
Colombia.................... 646,205 -- -- 646,205
Denmark..................... -- 5,940,885 -- 5,940,885
Finland..................... -- 8,018,194 -- 8,018,194
France...................... -- 19,372,593 -- 19,372,593
Germany..................... -- 24,805,854 -- 24,805,854
Hong Kong................... -- 10,524,085 -- 10,524,085
India....................... 9,391 18,843,689 -- 18,853,080
Indonesia................... -- 3,143,663 -- 3,143,663
Ireland..................... -- 3,144,305 -- 3,144,305
Israel...................... -- 2,381,603 -- 2,381,603
Italy....................... -- 14,783,138 -- 14,783,138
Japan....................... 233,334 95,159,866 -- 95,393,200
Malaysia.................... -- 4,900,980 -- 4,900,980
Mexico...................... 3,935,668 -- -- 3,935,668
Netherlands................. -- 7,207,106 -- 7,207,106
New Zealand................. -- 1,907,583 -- 1,907,583
Norway...................... -- 3,899,923 -- 3,899,923
Philippines................. -- 1,426,122 -- 1,426,122
Poland...................... -- 2,375,812 -- 2,375,812
Portugal.................... -- 1,195,602 -- 1,195,602
Singapore................... -- 3,604,482 -- 3,604,482
South Africa................ 960,757 8,407,616 -- 9,368,373
South Korea................. -- 31,275,135 -- 31,275,135
Spain....................... -- 8,958,565 -- 8,958,565
Sweden...................... -- 7,892,080 -- 7,892,080
Switzerland................. -- 17,060,249 -- 17,060,249
Taiwan...................... -- 26,146,692 -- 26,146,692
Thailand.................... 4,719,800 3,207 -- 4,723,007
Turkey...................... -- 2,125,302 -- 2,125,302
United Kingdom.............. -- 56,866,776 -- 56,866,776
Preferred Stocks
Brazil...................... 2,548,215 -- -- 2,548,215
Colombia.................... 137,995 -- -- 137,995
Germany..................... -- 661,944 -- 661,944
Malaysia.................... 2,488 -- -- 2,488
Rights/Warrants
Indonesia................... -- 12,819 -- 12,819
Malaysia.................... -- 88 -- 88
Spain....................... -- 76 -- 76
Thailand.................... -- 1,673 -- 1,673
Securities Lending Collateral. -- 8,117,997 -- 8,117,997
----------- ------------ -- ------------
TOTAL......................... $52,095,299 $478,172,012 -- $530,267,311
=========== ============ == ============
See accompanying Notes to Financial Statements.
82
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.3%)
AUSTRALIA -- (3.9%)
BHP Billiton, Ltd................................... 487,213 $ 11,366,313 0.4%
National Australia Bank, Ltd........................ 212,836 4,626,849 0.2%
Other Securities.................................... 119,348,356 3.6%
------------ ----
TOTAL AUSTRALIA......................................... 135,341,518 4.2%
------------ ----
AUSTRIA -- (0.5%)
Other Securities.................................... 17,284,336 0.5%
------------ ----
BELGIUM -- (0.9%)
Other Securities.................................... 32,400,060 1.0%
------------ ----
BRAZIL -- (1.3%)
Vale SA............................................. 470,432 6,535,717 0.2%
Other Securities.................................... 38,084,028 1.2%
------------ ----
TOTAL BRAZIL............................................ 44,619,745 1.4%
------------ ----
CANADA -- (5.7%)
# Bank of Montreal.................................... 92,353 7,012,363 0.2%
Bank of Nova Scotia (The)........................... 84,789 5,211,132 0.2%
Canadian Imperial Bank of Commerce.................. 51,431 4,477,069 0.2%
Royal Bank of Canada................................ 72,182 5,489,441 0.2%
Other Securities.................................... 174,124,013 5.2%
------------ ----
TOTAL CANADA............................................ 196,314,018 6.0%
------------ ----
CHILE -- (0.3%)
Other Securities.................................... 10,924,805 0.3%
------------ ----
CHINA -- (7.3%)
China Construction Bank Corp. Class H............... 9,249,000 9,689,794 0.3%
China Mobile, Ltd................................... 525,000 5,001,407 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 6,595,000 5,789,625 0.2%
Ping An Insurance Group Co. of China, Ltd. Class H.. 618,000 6,038,725 0.2%
Tencent Holdings, Ltd............................... 209,100 10,279,959 0.3%
Other Securities.................................... 214,638,015 6.5%
------------ ----
TOTAL CHINA............................................. 251,437,525 7.7%
------------ ----
COLOMBIA -- (0.1%)
Other Securities.................................... 3,668,321 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 1,247,672 0.0%
------------ ----
DENMARK -- (1.1%)
Other Securities.................................... 38,631,168 1.2%
------------ ----
EGYPT -- (0.0%)
Other Securities.................................... 137,699 0.0%
------------ ----
FINLAND -- (1.3%)
UPM-Kymmene Oyj..................................... 158,274 5,647,469 0.2%
83
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FINLAND -- (Continued)
Other Securities............................. $ 38,201,753 1.2%
------------ ----
TOTAL FINLAND.................................... 43,849,222 1.4%
------------ ----
FRANCE -- (5.3%)
BNP Paribas SA............................... 87,601 6,762,732 0.2%
Cie Generale des Etablissements Michelin SCA. 40,141 5,644,743 0.2%
Engie SA..................................... 289,657 5,081,012 0.2%
Orange SA.................................... 374,142 6,801,759 0.2%
# Peugeot SA................................... 201,421 4,959,705 0.2%
Total SA..................................... 188,568 11,851,817 0.4%
Other Securities............................. 141,829,867 4.2%
------------ ----
TOTAL FRANCE..................................... 182,931,635 5.6%
------------ ----
GERMANY -- (4.8%)
Allianz SE................................... 27,023 6,391,583 0.2%
BASF SE...................................... 66,555 6,924,609 0.2%
Bayerische Motoren Werke AG.................. 59,850 6,654,236 0.2%
Daimler AG................................... 174,048 13,683,314 0.4%
Deutsche Telekom AG.......................... 449,901 7,874,893 0.3%
Other Securities............................. 122,935,973 3.8%
------------ ----
TOTAL GERMANY.................................... 164,464,608 5.1%
------------ ----
GREECE -- (0.0%)
Other Securities............................. 639,508 0.0%
------------ ----
HONG KONG -- (2.0%)
AIA Group, Ltd............................... 1,173,600 10,488,695 0.3%
Other Securities............................. 58,370,910 1.8%
------------ ----
TOTAL HONG KONG.................................. 68,859,605 2.1%
------------ ----
HUNGARY -- (0.1%)
Other Securities............................. 2,945,208 0.1%
------------ ----
INDIA -- (2.7%)
Other Securities............................. 94,650,455 2.9%
------------ ----
INDONESIA -- (0.6%)
Other Securities............................. 19,023,178 0.6%
------------ ----
IRELAND -- (0.4%)
Other Securities............................. 13,990,839 0.4%
------------ ----
ISRAEL -- (0.4%)
Other Securities............................. 15,291,545 0.5%
------------ ----
ITALY -- (2.3%)
Eni SpA...................................... 244,153 4,772,801 0.2%
Fiat Chrysler Automobiles NV................. 275,811 6,128,181 0.2%
Other Securities............................. 68,391,293 2.0%
------------ ----
TOTAL ITALY...................................... 79,292,275 2.4%
------------ ----
JAPAN -- (16.8%)
Hitachi, Ltd................................. 698,000 5,094,392 0.2%
Honda Motor Co., Ltd......................... 259,300 8,916,273 0.3%
Mitsubishi UFJ Financial Group, Inc.......... 879,000 5,890,480 0.2%
84
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
JAPAN -- (Continued)
Nissan Motor Co., Ltd......... 450,000 $ 4,734,210 0.2%
Toyota Motor Corp............. 222,288 14,575,945 0.5%
Other Securities.............. 542,877,164 16.5%
------------ -----
TOTAL JAPAN....................... 582,088,464 17.9%
------------ -----
MALAYSIA -- (0.6%)
Other Securities.............. 21,325,233 0.7%
------------ -----
MEXICO -- (0.7%)
Other Securities.............. 23,875,201 0.7%
------------ -----
NETHERLANDS -- (1.9%)
Other Securities.............. 65,049,806 2.0%
------------ -----
NEW ZEALAND -- (0.3%)
Other Securities.............. 10,593,152 0.3%
------------ -----
NORWAY -- (0.6%)
Other Securities.............. 22,102,686 0.7%
------------ -----
PERU -- (0.0%)
Other Securities.............. 512,301 0.0%
------------ -----
PHILIPPINES -- (0.2%)
Other Securities.............. 8,371,006 0.3%
------------ -----
POLAND -- (0.3%)
Other Securities.............. 10,552,125 0.3%
------------ -----
PORTUGAL -- (0.2%)
Other Securities.............. 5,988,189 0.2%
------------ -----
RUSSIA -- (0.2%)
Other Securities.............. 7,434,007 0.2%
------------ -----
SINGAPORE -- (0.8%)
Other Securities.............. 28,150,084 0.9%
------------ -----
SOUTH AFRICA -- (1.9%)
Other Securities.............. 66,534,396 2.1%
------------ -----
SOUTH KOREA -- (4.0%)
Samsung Electronics Co., Ltd.. 8,883 22,012,074 0.7%
Other Securities.............. 116,930,634 3.6%
------------ -----
TOTAL SOUTH KOREA................. 138,942,708 4.3%
------------ -----
SPAIN -- (1.7%)
# Banco Santander SA............ 1,234,394 7,975,322 0.3%
Iberdrola SA.................. 669,625 5,173,486 0.2%
Other Securities.............. 46,595,153 1.3%
------------ -----
TOTAL SPAIN....................... 59,743,961 1.8%
------------ -----
SWEDEN -- (1.8%)
Other Securities.............. 63,089,538 1.9%
------------ -----
SWITZERLAND -- (3.8%)
Nestle SA..................... 200,030 15,496,339 0.5%
85
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Novartis AG............................................ 111,773 $ 8,603,648 0.3%
Roche Holding AG....................................... 25,011 5,557,128 0.2%
# Zurich Insurance Group AG.............................. 14,341 4,581,023 0.2%
Other Securities....................................... 95,470,600 2.8%
-------------- -----
TOTAL SWITZERLAND.......................................... 129,708,738 4.0%
-------------- -----
TAIWAN -- (3.6%)
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 134,422 5,168,526 0.2%
Other Securities....................................... 117,866,394 3.6%
-------------- -----
TOTAL TAIWAN............................................... 123,034,920 3.8%
-------------- -----
THAILAND -- (0.7%)
Other Securities....................................... 24,143,237 0.8%
-------------- -----
TURKEY -- (0.3%)
Other Securities....................................... 9,503,595 0.3%
-------------- -----
UNITED KINGDOM -- (10.9%)
Anglo American P.L.C................................... 344,308 8,101,309 0.3%
BP P.L.C. Sponsored ADR................................ 472,008 21,046,837 0.7%
British American Tobacco P.L.C......................... 89,071 4,885,320 0.2%
# HSBC Holdings P.L.C. Sponsored ADR..................... 275,801 13,861,758 0.4%
# Rio Tinto P.L.C. Sponsored ADR......................... 156,348 8,591,323 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A........ 161,107 11,261,379 0.4%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B........ 106,451 7,709,181 0.3%
Tesco P.L.C............................................ 1,976,348 6,401,263 0.2%
Vodafone Group P.L.C................................... 4,040,579 11,791,259 0.4%
Other Securities....................................... 285,024,006 8.4%
-------------- -----
TOTAL UNITED KINGDOM....................................... 378,673,635 11.6%
-------------- -----
TOTAL COMMON STOCKS........................................ 3,197,361,927 98.3%
-------------- -----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.5%)
Other Securities....................................... 15,748,206 0.5%
-------------- -----
CHILE -- (0.0%)
Other Securities....................................... 235,500 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities....................................... 677,744 0.0%
-------------- -----
GERMANY -- (0.4%)
Volkswagen AG.......................................... 33,924 6,996,310 0.2%
Other Securities....................................... 7,492,826 0.2%
-------------- -----
TOTAL GERMANY.............................................. 14,489,136 0.4%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities....................................... 7,736 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities....................................... 43,309 0.0%
-------------- -----
TOTAL PREFERRED STOCKS..................................... 31,201,631 0.9%
-------------- -----
86
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities................ $ 31,339 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 9,477 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities................ 2,418 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 858 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ 539 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 44,631 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 3,228,608,189
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (6.8%)
(S)@ DFA Short Term Investment Fund.. 20,305,579 234,935,550 7.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,958,380,448).............. $3,463,543,739 106.4%
============== ======
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------------ ------- ------------
Common Stocks
Australia...... $ 1,030,325 $134,311,193 -- $135,341,518
Austria........ -- 17,284,336 -- 17,284,336
Belgium........ 128,561 32,271,499 -- 32,400,060
Brazil......... 44,619,745 -- -- 44,619,745
Canada......... 196,314,018 -- -- 196,314,018
Chile.......... 1,941,398 8,983,407 -- 10,924,805
China.......... 26,744,437 224,693,088 -- 251,437,525
Colombia....... 3,668,321 -- -- 3,668,321
Czech Republic. -- 1,247,672 -- 1,247,672
Denmark........ 250,847 38,380,321 -- 38,631,168
Egypt.......... -- 137,699 -- 137,699
Finland........ 123,956 43,725,266 -- 43,849,222
France......... 1,894,984 181,036,651 -- 182,931,635
Germany........ 1,802,715 162,661,893 -- 164,464,608
Greece......... -- 639,508 -- 639,508
Hong Kong...... 115,218 68,744,387 -- 68,859,605
Hungary........ -- 2,945,208 -- 2,945,208
India.......... 964,685 93,685,770 -- 94,650,455
Indonesia...... 164,956 18,858,222 -- 19,023,178
Ireland........ 1,978,816 12,012,023 -- 13,990,839
Israel......... 1,207,307 14,084,238 -- 15,291,545
Italy.......... 116,599 79,175,676 -- 79,292,275
Japan.......... 3,424,843 578,663,621 -- 582,088,464
Malaysia....... -- 21,325,233 -- 21,325,233
87
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Mexico...................... $ 23,874,883 $ 318 -- $ 23,875,201
Netherlands................. 8,464,271 56,585,535 -- 65,049,806
New Zealand................. -- 10,593,152 -- 10,593,152
Norway...................... 189,542 21,913,144 -- 22,102,686
Peru........................ 512,196 105 -- 512,301
Philippines................. 56,684 8,314,322 -- 8,371,006
Poland...................... -- 10,552,125 -- 10,552,125
Portugal.................... -- 5,988,189 -- 5,988,189
Russia...................... 1,964,958 5,469,049 -- 7,434,007
Singapore................... 5,549 28,144,535 -- 28,150,084
South Africa................ 4,274,765 62,259,631 -- 66,534,396
South Korea................. 1,314,677 137,628,031 -- 138,942,708
Spain....................... 489,394 59,254,567 -- 59,743,961
Sweden...................... 61,064 63,028,474 -- 63,089,538
Switzerland................. 3,314,404 126,394,334 -- 129,708,738
Taiwan...................... 7,262,952 115,771,968 -- 123,034,920
Thailand.................... 24,140,754 2,483 -- 24,143,237
Turkey...................... 20,760 9,482,835 -- 9,503,595
United Kingdom.............. 91,557,996 287,115,639 -- 378,673,635
Preferred Stocks
Brazil...................... 15,748,206 -- -- 15,748,206
Chile....................... -- 235,500 -- 235,500
Colombia.................... 677,744 -- -- 677,744
Germany..................... -- 14,489,136 -- 14,489,136
Malaysia.................... 7,736 -- -- 7,736
South Korea................. 43,309 -- -- 43,309
Rights/Warrants
Indonesia................... -- 31,339 -- 31,339
Malaysia.................... -- 9,477 -- 9,477
Singapore................... -- 2,418 -- 2,418
Spain....................... -- 858 -- 858
Taiwan...................... -- 539 -- 539
Securities Lending Collateral. -- 234,935,550 -- 234,935,550
------------ -------------- -- --------------
TOTAL......................... $470,473,575 $2,993,070,164 -- $3,463,543,739
============ ============== == ==============
See accompanying Notes to Financial Statements.
88
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Shares Value+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 15,561,034 $352,301,817
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 17,580,020 256,844,085
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 3,765,368 87,733,079
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $588,257,876)............................................. $696,878,981
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.630%
(Cost $267,641).................................................... 267,641 267,641
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $588,525,517)............................................. $697,146,622
============
Summary of the Fund's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-----------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------- ------- ------------
Affiliated Investment Companies. $696,878,981 -- -- $696,878,981
Temporary Cash Investments...... 267,641 -- -- 267,641
------------ -- -- ------------
TOTAL........................... $697,146,622 -- -- $697,146,622
============ == == ============
89
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 7,965,673 $169,828,142
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 9,657,130 141,090,674
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 3,341,936 77,867,107
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $302,834,979)................................. $388,785,923
------------
At April 30, 2018, Selectively Hedged Global Equity Portfolio had entered into
the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
Unrealized
Foreign
Exchange
Settlement Appreciation
Currency Purchased Currency Sold Counterparty Date (Depreciation)
------------------ ----------------- ---------------------------- ---------- --------------
USD 233,488 SEK 1,954,643 Citibank, N.A. 05/08/18 $ 10,188
USD 398,244 CAD 501,217 Citibank, N.A. 05/08/18 7,819
USD 1,301,912 GBP 913,476 Citibank, N.A. 05/08/18 44,002
USD 1,970,466 JPY 211,355,752 Bank of America Corp. 05/08/18 36,363
USD 3,187,926 SEK 26,430,989 JP Morgan 05/08/18 168,426
USD 18,533,923 GBP 13,123,487 Citibank, N.A. 05/08/18 462,102
USD 29,525,807 JPY 3,132,921,419 UBS AG 05/08/18 856,641
USD 80,340 NOK 624,669 Citibank, N.A. 05/09/18 2,458
USD 86,787 NOK 692,455 Citibank, N.A. 05/09/18 453
USD 420,414 CHF 415,758 Citibank, N.A. 05/09/18 677
USD 1,046,008 NOK 8,181,694 State Street Bank and Trust 05/09/18 25,938
USD 6,661,380 CHF 6,369,092 Bank of America Corp. 05/09/18 231,331
USD 61,858 ILS 217,297 Citibank, N.A. 05/10/18 1,451
USD 728,076 ILS 2,563,589 Citibank, N.A. 05/10/18 15,417
USD 2,046,637 EUR 1,651,551 Bank of America Corp. 05/15/18 50,534
USD 34,667,677 EUR 27,982,255 State Street Bank and Trust 05/15/18 847,679
USD 13,422,250 HKD 105,226,612 Citibank, N.A. 05/16/18 10,184
USD 1,353,962 SGD 1,791,000 Citibank, N.A. 05/25/18 2,708
USD 2,213,095 DKK 13,506,000 Bank of America Corp. 05/25/18 20,379
----------
Total Appreciation $2,794,750
----------
USD $ 1,143,723 GBP 831,580 Citibank, N.A. 05/08/18 $ (1,612)
USD 6,483,307 CAD 8,365,463 State Street Bank and Trust 05/08/18 (33,018)
----------
Total (Depreciation) $ (34,630)
----------
Total Appreciation
(Depreciation) $2,760,120
==========
90
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, Selectively Hedged Global Equity Portfolio had entered into
the following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
S&P 500(R) Emini Index... 184 06/15/18 $25,147,330 $24,352,400 $(794,930)
----------- ----------- ----------
Total futures contracts.. $25,147,330 $24,352,400 $(794,930)
=========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
------------ ---------- ------- ------------
Affiliated Investment Companies. $388,785,923 -- -- $388,785,923
Forward Currency Contracts**.... -- $2,760,120 -- 2,760,120
Futures Contracts**............. (794,930) -- -- (794,930)
------------ ---------- -- ------------
TOTAL........................... $387,990,993 $2,760,120 -- $390,751,113
============ ========== == ============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
91
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company.................... $6,290,336,232
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $6,290,336,232
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
92
EMERGING MARKETS SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company..................... $7,825,210,634
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY.. $7,825,210,634
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
93
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund. $19,926,153,185
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY. $19,926,153,185
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
94
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.8%)
BRAZIL -- (5.6%)
Ambev SA ADR........................................ 14,628,396 $ 96,839,982 0.3%
Vale SA............................................. 17,379,974 241,460,192 0.8%
Other Securities.................................... 1,396,621,236 4.7%
-------------- -----
TOTAL BRAZIL............................................ 1,734,921,410 5.8%
-------------- -----
CHILE -- (1.3%)
Other Securities.................................... 412,363,932 1.4%
-------------- -----
CHINA -- (16.3%)
#* Alibaba Group Holding, Ltd. Sponsored ADR........... 1,332,164 237,844,561 0.8%
* Baidu, Inc. Sponsored ADR........................... 248,303 62,299,223 0.2%
China Construction Bank Corp. Class H............... 230,905,302 241,909,906 0.8%
China Mobile, Ltd................................... 10,380,500 98,889,723 0.3%
China Mobile, Ltd. Sponsored ADR.................... 1,997,961 94,823,229 0.3%
China Overseas Land & Investment, Ltd............... 18,064,033 60,525,918 0.2%
China Petroleum & Chemical Corp. Class H............ 65,522,400 63,809,567 0.2%
Geely Automobile Holdings, Ltd...................... 22,910,000 60,253,976 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 185,963,725 163,254,028 0.6%
NetEase, Inc. ADR................................... 260,601 66,992,699 0.2%
# Ping An Insurance Group Co. of China, Ltd. Class H.. 17,734,000 173,286,004 0.6%
Tencent Holdings, Ltd............................... 10,436,500 513,088,426 1.7%
Other Securities.................................... 3,206,963,120 10.9%
-------------- -----
TOTAL CHINA............................................. 5,043,940,380 17.0%
-------------- -----
COLOMBIA -- (0.4%)
Other Securities.................................... 113,440,751 0.4%
-------------- -----
CZECH REPUBLIC -- (0.1%)
Other Securities.................................... 43,658,908 0.2%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 16,915,595 0.1%
-------------- -----
GREECE -- (0.2%)
Other Securities.................................... 72,806,953 0.2%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 63,667 0.0%
-------------- -----
HUNGARY -- (0.4%)
Other Securities.................................... 116,149,022 0.4%
-------------- -----
INDIA -- (12.2%)
HDFC Bank, Ltd...................................... 2,994,559 86,934,726 0.3%
Housing Development Finance Corp., Ltd.............. 3,454,134 97,126,681 0.3%
Infosys, Ltd........................................ 6,276,859 112,537,944 0.4%
# Infosys, Ltd. Sponsored ADR......................... 3,708,004 65,520,431 0.2%
Reliance Industries, Ltd............................ 7,506,986 107,907,753 0.4%
Tata Consultancy Services, Ltd...................... 1,982,224 104,543,093 0.4%
Other Securities.................................... 3,191,696,637 10.7%
-------------- -----
TOTAL INDIA............................................. 3,766,267,265 12.7%
-------------- -----
95
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
INDONESIA -- (2.4%)
Bank Rakyat Indonesia Persero Tbk PT................... 287,069,600 $ 66,189,188 0.2%
Other Securities....................................... 680,239,249 2.3%
-------------- -----
TOTAL INDONESIA............................................ 746,428,437 2.5%
-------------- -----
MALAYSIA -- (3.0%)
Public Bank Bhd........................................ 11,077,811 67,031,488 0.2%
Other Securities....................................... 864,247,503 2.9%
-------------- -----
TOTAL MALAYSIA............................................. 931,278,991 3.1%
-------------- -----
MEXICO -- (3.0%)
# America Movil S.A.B. de C.V. Series L ADR.............. 3,833,735 70,885,760 0.3%
Grupo Mexico S.A.B. de C.V. Series B................... 23,616,486 78,191,044 0.3%
Other Securities....................................... 784,539,529 2.5%
-------------- -----
TOTAL MEXICO............................................... 933,616,333 3.1%
-------------- -----
PERU -- (0.1%)
Other Securities....................................... 39,875,755 0.1%
-------------- -----
PHILIPPINES -- (1.1%)
Other Securities....................................... 328,294,418 1.1%
-------------- -----
POLAND -- (1.4%)
Other Securities....................................... 429,669,059 1.5%
-------------- -----
RUSSIA -- (1.2%)
Sberbank of Russia PJSC Sponsored ADR.................. 4,081,901 60,356,021 0.2%
Other Securities....................................... 304,457,689 1.0%
-------------- -----
TOTAL RUSSIA............................................... 364,813,710 1.2%
-------------- -----
SOUTH AFRICA -- (7.4%)
Barclays Africa Group, Ltd............................. 5,592,618 81,916,609 0.3%
Bidvest Group, Ltd. (The).............................. 3,138,801 61,486,417 0.2%
FirstRand, Ltd......................................... 23,983,632 128,444,985 0.4%
MTN Group, Ltd......................................... 12,034,830 120,789,886 0.4%
Naspers, Ltd. Class N.................................. 577,437 140,674,933 0.5%
Sasol, Ltd............................................. 2,004,055 71,639,674 0.3%
Shoprite Holdings, Ltd................................. 3,413,393 67,912,216 0.2%
# Standard Bank Group, Ltd............................... 8,348,277 143,177,844 0.5%
Other Securities....................................... 1,451,773,804 4.8%
-------------- -----
TOTAL SOUTH AFRICA......................................... 2,267,816,368 7.6%
-------------- -----
SOUTH KOREA -- (17.3%)
LG Chem, Ltd........................................... 230,246 77,069,944 0.3%
# LG Electronics, Inc.................................... 892,670 84,641,890 0.3%
# Lotte Chemical Corp.................................... 154,753 59,591,788 0.2%
Samsung Electronics Co., Ltd........................... 482,484 1,195,595,273 4.0%
SK Holdings Co., Ltd................................... 261,617 71,612,157 0.3%
# SK Hynix, Inc.......................................... 3,141,984 247,098,130 0.9%
Other Securities....................................... 3,589,018,432 11.9%
-------------- -----
TOTAL SOUTH KOREA.......................................... 5,324,627,614 17.9%
-------------- -----
TAIWAN -- (14.7%)
ASE Industrial Holdings Co., Ltd....................... 22,471,387 60,989,045 0.2%
Hon Hai Precision Industry Co., Ltd.................... 55,950,504 155,619,704 0.5%
Taiwan Semiconductor Manufacturing Co., Ltd............ 41,147,652 313,435,568 1.1%
# Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 10,645,186 409,307,402 1.4%
96
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (Continued)
Uni-President Enterprises Corp.. 26,707,734 $ 64,276,545 0.2%
# United Microelectronics Corp.... 124,264,441 67,012,321 0.2%
Other Securities................ 3,458,472,518 11.6%
--------------- ------
TOTAL TAIWAN.......................... 4,529,113,103 15.2%
--------------- ------
THAILAND -- (3.3%)
PTT PCL......................... 72,022,800 128,938,156 0.5%
Other Securities................ 876,184,309 2.9%
--------------- ------
TOTAL THAILAND........................ 1,005,122,465 3.4%
--------------- ------
TURKEY -- (1.3%)
Other Securities................ 403,271,923 1.4%
--------------- ------
TOTAL COMMON STOCKS................... 28,624,456,059 96.3%
--------------- ------
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA............... 6,392,532 63,082,277 0.2%
Banco Bradesco SA ADR........... 10,092,312 98,904,657 0.3%
Itau Unibanco Holding SA........ 11,379,145 165,691,421 0.6%
Itau Unibanco Holding SA ADR.... 6,510,406 94,596,199 0.3%
Other Securities................ 289,923,116 1.0%
--------------- ------
TOTAL BRAZIL.......................... 712,197,670 2.4%
--------------- ------
CHILE -- (0.0%)
Other Securities................ 6,877,903 0.0%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities................ 21,322,666 0.1%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 337,188 0.0%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 802,506 0.0%
--------------- ------
TOTAL PREFERRED STOCKS................ 741,537,933 2.5%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities................ 785,720 0.0%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 247,097 0.0%
--------------- ------
TAIWAN -- (0.0%)
Other Securities................ 10,287 0.0%
--------------- ------
THAILAND -- (0.0%)
Other Securities................ 113,815 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................. 1,156,919 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES........... 29,367,150,911
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (4.8%)
(S)@ DFA Short Term Investment Fund.. 128,046,537 1,481,498,432 5.0%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $24,421,259,111)............ $30,848,649,343 103.8%
=============== ======
97
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
At April 30, 2018, Emerging Markets Core Equity Portfolio had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
MSCI Emerging Markets Index(R). 650 06/15/18 $ 39,377,522 $ 37,446,500 $(1,931,022)
S&P 500(R) Emini Index......... 1,590 06/15/18 218,065,219 210,436,500 (7,628,719)
------------ ------------ -----------
Total futures contracts........ $257,442,741 $247,883,000 $(9,559,741)
============ ============ ===========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- --------------- ------- ---------------
Common Stocks
Brazil...................... $1,734,921,410 -- -- $ 1,734,921,410
Chile....................... 127,748,697 $ 284,615,235 -- 412,363,932
China....................... 834,923,624 4,209,016,756 -- 5,043,940,380
Colombia.................... 113,440,751 -- -- 113,440,751
Czech Republic.............. -- 43,658,908 -- 43,658,908
Egypt....................... 1,201,603 15,713,992 -- 16,915,595
Greece...................... -- 72,806,953 -- 72,806,953
Hong Kong................... 63,667 -- -- 63,667
Hungary..................... 313,544 115,835,478 -- 116,149,022
India....................... 118,552,523 3,647,714,742 -- 3,766,267,265
Indonesia................... 25,573,480 720,854,957 -- 746,428,437
Malaysia.................... -- 931,278,991 -- 931,278,991
Mexico...................... 933,581,144 35,189 -- 933,616,333
Peru........................ 39,874,052 1,703 -- 39,875,755
Philippines................. 6,148,881 322,145,537 -- 328,294,418
Poland...................... -- 429,669,059 -- 429,669,059
Russia...................... 67,008,973 297,804,737 -- 364,813,710
South Africa................ 127,894,141 2,139,922,227 -- 2,267,816,368
South Korea................. 112,709,338 5,211,918,276 -- 5,324,627,614
Taiwan...................... 499,048,365 4,030,064,738 -- 4,529,113,103
Thailand.................... 1,004,807,641 314,824 -- 1,005,122,465
Turkey...................... 2,521,709 400,750,214 -- 403,271,923
Preferred Stocks
Brazil...................... 712,197,670 -- -- 712,197,670
Chile....................... -- 6,877,903 -- 6,877,903
Colombia.................... 21,322,666 -- -- 21,322,666
Malaysia.................... 337,188 -- -- 337,188
South Korea................. 802,506 -- -- 802,506
Rights/Warrants
Indonesia................... -- 785,720 -- 785,720
Malaysia.................... -- 247,097 -- 247,097
Taiwan...................... -- 10,287 -- 10,287
Thailand.................... -- 113,815 -- 113,815
Securities Lending Collateral. -- 1,481,498,432 -- 1,481,498,432
Futures Contracts**........... (9,559,741) -- -- (9,559,741)
-------------- --------------- -- ---------------
TOTAL......................... $6,475,433,832 $24,363,655,770 -- $30,839,089,602
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Enhanced U.S.
Large U.S. Large Cap
Company Equity U.S. Large Cap U.S. Targeted
Portfolio Portfolio* Value Portfolio Value Portfolio*
-------------- -------------- --------------- ----------------
ASSETS:
Investments in Affiliated Investment
Company at Value....................... -- -- $ 24,839,634 --
Investments at Value (including
$13,344, $46,513, $0 and $2,271,688 of
securities on loan, respectively)...... $ 333,535 $ 1,374,454 -- $ 10,778,729
Temporary Cash Investments at Value &
Cost................................... -- 2,653 -- 109,733
Collateral from Securities on Loan
Invested in Affiliate at Value
(including cost of $13,667, $39,284,
$0 and $1,553,156)..................... 13,668 39,285 -- 1,553,186
Segregated Cash for Futures Contracts... -- -- -- 3,625
Foreign Currencies at Value............. -- -- -- 114
Cash.................................... 2,049 -- -- --
Receivables:
Investment Securities/Affiliated
Investment Company Sold.............. 802 -- -- 8,732
Dividends, Interest and Tax Reclaims... 2,275 1,157 -- 3,092
Securities Lending Income.............. 2 20 -- 745
Fund Shares Sold....................... 614 1,676 18,353 6,848
Unrealized Gain on Forward Currency
Contracts.............................. 899 -- -- --
Prepaid Expenses and Other Assets....... 20 26 143 94
-------------- -------------- -------------- --------------
Total Assets........................ 353,864 1,419,271 24,858,130 12,464,898
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....... 13,667 39,288 -- 1,553,309
Investment Securities/Affiliated
Investment Company Purchased......... -- 858 -- 28,836
Fund Shares Redeemed................... 126 320 11,562 10,590
Due to Advisor......................... 33 170 3,080 3,145
Futures Margin Variation............... 3,113 -- -- 763
Unrealized Loss on Forward Currency
Contracts.............................. 3 -- -- --
Accrued Expenses and Other Liabilities.. 34 62 730 604
-------------- -------------- -------------- --------------
Total Liabilities................... 16,976 40,698 15,372 1,597,247
-------------- -------------- -------------- --------------
NET ASSETS.............................. $ 336,888 $ 1,378,573 $ 24,842,758 $ 10,867,651
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Class R1 Shares -- based on net assets
of $0; $0; $0 and $54,383 and shares
outstanding of 0; 0; 0 and 2,216,810,
respectively........................... N/A N/A N/A $ 24.53
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED............. N/A N/A N/A 200,000,000
============== ============== ============== ==============
Class R2 Shares -- based on net assets
of $0; $0; $0 and $162,517 and shares
outstanding of 0; 0; 0 and
6,659,347, respectively................ N/A N/A N/A $ 24.40
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED............. N/A N/A N/A 200,000,000
============== ============== ============== ==============
Institutional Class Shares -- based on
net assets of $336,888; $1,378,573;
$24,842,758 and $10,650,751 and shares
outstanding of 26,415,122; 83,502,723;
652,299,557 and 433,977,742,
respectively........................... $ 12.75 $ 16.51 $ 38.08 $ 24.54
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED............. 1,000,000,000 1,000,000,000 4,000,000,000 1,500,000,000
============== ============== ============== ==============
Investments at Cost..................... $ 337,987 $ 1,083,086 N/A $ 8,696,593
============== ============== ============== ==============
Foreign Currencies at Cost.............. $ -- $ -- $ -- $ 117
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital......................... $ 330,109 $ 1,092,971 $ 16,933,003 $ 8,455,102
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)..................... 911 1,949 53,279 6,449
Accumulated Net Realized Gain (Loss).... 16,832 (7,716) 490,761 326,736
Net Unrealized Foreign Exchange Gain
(Loss)................................. 891 -- -- --
Net Unrealized Appreciation
(Depreciation)......................... (11,855) 291,369 7,365,715 2,079,364
-------------- -------------- -------------- --------------
NET ASSETS.............................. $ 336,888 $ 1,378,573 $ 24,842,758 $ 10,867,651
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector
U.S. Small Cap Equity 1 Equity 2 Equity
Value Portfolio* Portfolio* Portfolio* Portfolio*
---------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $2,971,663,
$2,647,129, $2,943,460 and $802,757 of securities
on loan, respectively).............................. $ 15,061,472 $ 22,046,506 $ 23,847,757 $ 4,712,091
Temporary Cash Investments at Value & Cost........... 134,661 237,183 235,937 42,523
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $2,037,398,
$1,583,470, $1,845,897 and $508,786)................ 2,037,438 1,583,500 1,845,924 508,794
Segregated Cash for Futures Contracts................ 5,133 8,323 9,019 --
Foreign Currencies at Value.......................... 90 25 44 18
Cash................................................. -- -- -- 2,310
Receivables:
Investment Securities Sold......................... 24,124 487 6,276 251
Dividends and Interest............................. 3,527 15,735 16,880 2,787
Securities Lending Income.......................... 873 828 929 254
Fund Shares Sold................................... 14,118 23,794 13,059 2,931
Prepaid Expenses and Other Assets.................... 139 191 242 53
-------------- -------------- -------------- --------------
Total Assets.................................... 17,281,575 23,916,572 25,976,067 5,272,012
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 2,037,485 1,583,611 1,845,999 508,823
Investment Securities Purchased.................... 21,060 30,559 24,691 7,695
Fund Shares Redeemed............................... 7,935 7,779 9,394 2,710
Due to Advisor..................................... 6,269 3,119 3,977 1,180
Futures Margin Variation........................... 1,080 1,751 1,897 1,060
Accrued Expenses and Other Liabilities............... 967 945 1,172 291
-------------- -------------- -------------- --------------
Total Liabilities............................... 2,074,796 1,627,764 1,887,130 521,759
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 15,206,779 $ 22,288,808 $ 24,088,937 $ 4,750,253
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$15,206,779; $22,288,808; $24,088,937 and
$4,750,253 and shares outstanding of
405,319,759; 984,350,731; 1,130,060,587 and
250,967,407, respectively........................... $ 37.52 $ 22.64 $ 21.32 $ 18.93
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 3,400,000,000 3,000,000,000 4,600,000,000 2,000,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 11,262,607 $ 14,479,595 $ 15,459,295 $ 3,142,485
============== ============== ============== ==============
Foreign Currencies at Cost........................... $ 92 $ 26 $ 45 $ 19
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 10,769,616 $ 14,585,766 $ 15,491,424 $ 3,035,527
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 5,682 27,919 30,938 4,730
Accumulated Net Realized Gain (Loss)................. 636,540 113,954 184,461 141,433
Net Unrealized Appreciation (Depreciation)........... 3,794,941 7,561,169 8,382,114 1,568,563
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 15,206,779 $ 22,288,808 $ 24,088,937 $ 4,750,253
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. High DFA Real
Relative Estate
U.S. Small Cap U.S. Micro Cap Profitability Securities
Portfolio* Portfolio* Portfolio* Portfolio*
-------------- -------------- ------------- --------------
ASSETS:
Investments at Value (including $4,559,007,
$1,282,270, $12,936, $793,444 and $483,880 of
securities on loan, respectively)....................... $ 17,305,922 $ 6,390,412 $ 376,027 $ 8,204,850
Temporary Cash Investments at Value & Cost............... 169,290 68,450 2,636 76,304
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $3,123,478, $952,845,
$11,042, $590,266 and $456,114)......................... 3,123,516 952,862 11,042 590,272
Segregated Cash for Futures Contracts.................... 6,455 2,558 -- 3,062
Foreign Currencies at Value.............................. 62 41 -- --
Cash..................................................... -- -- -- --
Receivables:
Investment Securities Sold............................. 27,528 9,770 39 --
Dividends, Interest and Tax Reclaims................... 3,853 1,853 358 6,360
Securities Lending Income.............................. 1,561 558 6 140
Fund Shares Sold....................................... 78,129 3,075 2,963 122,143
Deferred Offering Costs.................................. -- -- 2 --
Prepaid Expenses and Other Assets........................ 120 61 79 79
-------------- -------------- ------------ --------------
Total Assets......................................... 20,716,436 7,429,640 393,152 9,003,210
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 3,123,859 952,896 11,045 590,383
Investment Securities Purchased........................ 55,225 13,405 2,346 11,434
Fund Shares Redeemed................................... 6,919 2,173 312 10,583
Due to Advisor......................................... 5,055 2,676 53 1,080
Futures Margin Variation............................... 1,358 538 -- 644
Unrealized Loss on Foreign Currency Contracts............ -- -- -- --
Accrued Expenses and Other Liabilities................... 871 424 13 493
-------------- -------------- ------------ --------------
Total Liabilities.................................... 3,193,287 972,112 13,769 614,617
-------------- -------------- ------------ --------------
NET ASSETS............................................... $ 17,523,149 $ 6,457,528 $ 379,383 $ 8,388,593
============== ============== ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$17,523,149; $6,457,528; $379,383; $8,388,593 and
$4,985,826 and shares outstanding of 491,972,850;
293,041,638; 32,693,326; 255,816,678 and
207,506,655, respectively............................... $ 35.62 $ 22.04 $ 11.60 $ 32.79
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED.............................. 2,000,000,000 3,000,000,000 500,000,000 1,700,000,000
============== ============== ============ ==============
Investments at Cost...................................... $ 13,061,586 $ 4,114,069 $ 362,675 $ 6,422,634
============== ============== ============ ==============
Foreign Currencies at Cost............................... $ 64 $ 42 $ -- $ --
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 12,868,213 $ 3,978,224 $ 365,762 $ 6,648,088
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 9,380 2,513 445 46,682
Accumulated Net Realized Gain (Loss)..................... 404,975 201,285 (176) (86,019)
Net Unrealized Foreign Exchange Gain (Loss).............. -- -- -- --
Net Unrealized Appreciation (Depreciation)............... 4,240,581 2,275,506 13,352 1,779,842
-------------- -------------- ------------ --------------
NET ASSETS............................................... $ 17,523,149 $ 6,457,528 $ 379,383 $ 8,388,593
============== ============== ============ ==============
Large Cap
International
Portfolio*
--------------
ASSETS:
Investments at Value (including $4,559,007,
$1,282,270, $12,936, $793,444 and $483,880 of
securities on loan, respectively)....................... $ 4,904,107
Temporary Cash Investments at Value & Cost............... --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $3,123,478, $952,845,
$11,042, $590,266 and $456,114)......................... 456,108
Segregated Cash for Futures Contracts.................... 1,711
Foreign Currencies at Value.............................. 14,535
Cash..................................................... 43,039
Receivables:
Investment Securities Sold............................. 9,020
Dividends, Interest and Tax Reclaims................... 23,646
Securities Lending Income.............................. 512
Fund Shares Sold....................................... 3,602
Deferred Offering Costs.................................. --
Prepaid Expenses and Other Assets........................ 40
--------------
Total Assets......................................... 5,456,320
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 456,108
Investment Securities Purchased........................ 11,454
Fund Shares Redeemed................................... 1,347
Due to Advisor......................................... 813
Futures Margin Variation............................... 315
Unrealized Loss on Foreign Currency Contracts............ 3
Accrued Expenses and Other Liabilities................... 454
--------------
Total Liabilities.................................... 470,494
--------------
NET ASSETS............................................... $ 4,985,826
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$17,523,149; $6,457,528; $379,383; $8,388,593 and
$4,985,826 and shares outstanding of 491,972,850;
293,041,638; 32,693,326; 255,816,678 and
207,506,655, respectively............................... $ 24.03
==============
NUMBER OF SHARES AUTHORIZED.............................. 1,500,000,000
==============
Investments at Cost...................................... $ 3,978,740
==============
Foreign Currencies at Cost............................... $ 14,781
==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 4,073,459
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 34,034
Accumulated Net Realized Gain (Loss)..................... (45,387)
Net Unrealized Foreign Exchange Gain (Loss).............. (377)
Net Unrealized Appreciation (Depreciation)............... 924,097
--------------
NET ASSETS............................................... $ 4,985,826
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
International
International Small Global Small Japanese Small
Core Equity Company Company Company
Portfolio* Portfolio Portfolio Portfolio
-------------- -------------- ------------ --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value................................................... -- $ 14,200,317 $ 25,568 $ 715,032
Investments at Value (including $2,855,742, $0, $0,
$0 and $0 of securities on loan, respectively).......... $ 28,567,295 -- -- --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $2,698,580, $0, $0, $0
and $0)................................................. 2,698,603 -- -- --
Segregated Cash for Futures Contracts.................... 10,788 5,336 -- --
Foreign Currencies at Value.............................. 25,387 -- -- --
Cash..................................................... 329,995 122,869 151 --
Receivables:
Investment Securities Sold............................. 27,825 -- -- --
Dividends, Interest and Tax Reclaims................... 138,054 -- -- --
Securities Lending Income.............................. 4,825 -- -- --
Fund Shares Sold....................................... 20,475 8,397 76 50
Unrealized Gain on Foreign Currency Contracts............ 10 -- -- --
Prepaid Expenses and Other Assets........................ 335 77 15 15
-------------- -------------- ------------ --------------
Total Assets......................................... 31,823,592 14,336,996 25,810 715,097
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 2,698,677 -- -- --
Investment Securities Purchased........................ 82,523 -- 108 --
Fund Shares Redeemed................................... 16,177 5,512 -- 8
Due to Advisor......................................... 6,489 4,721 2 235
Futures Margin Variation............................... 2,269 1,122 -- --
Unrealized Loss on Foreign Currency Contracts............ 21 -- -- --
Accrued Expenses and Other Liabilities................... 2,098 505 4 18
-------------- -------------- ------------ --------------
Total Liabilities.................................... 2,808,254 11,860 114 261
-------------- -------------- ------------ --------------
NET ASSETS............................................... $ 29,015,338 $ 14,325,136 $ 25,696 $ 714,836
============== ============== ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$29,015,338; $14,325,136; $25,696; $714,836 and
$372,669 and shares outstanding of 1,985,487,769;
670,483,485; 2,201,400; 24,169,292 and
15,772,002, respectively................................ $ 14.61 $ 21.37 $ 11.67 $ 29.58
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED.............................. 7,000,000,000 3,000,000,000 100,000,000 1,000,000,000
============== ============== ============ ==============
Investments in Affiliated Investment Companies at
Cost.................................................... N/A N/A $ 24,410 N/A
============== ============== ============ ==============
Investments at Cost...................................... $ 23,236,496 N/A N/A N/A
============== ============== ============ ==============
Foreign Currencies at Cost............................... $ 25,424 $ -- $ -- $ --
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 23,766,903 $ 11,121,777 $ 24,038 $ 526,431
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 173,702 (29,089) 42 (8,691)
Accumulated Net Realized Gain (Loss)..................... (247,970) 294,894 459 10,770
Net Unrealized Foreign Exchange Gain (Loss).............. (2,521) (1,592) (1) (184)
Net Unrealized Appreciation (Depreciation)............... 5,325,224 2,939,146 1,158 186,510
-------------- -------------- ------------ --------------
NET ASSETS............................................... $ 29,015,338 $ 14,325,136 $ 25,696 $ 714,836
============== ============== ============ ==============
Asia Pacific
Small
Company
Portfolio
--------------
ASSETS:
Investments in Affiliated Investment Companies at
Value................................................... $ 372,786
Investments at Value (including $2,855,742, $0, $0,
$0 and $0 of securities on loan, respectively).......... --
Collateral from Securities on Loan Invested in Affiliate
at Value (including cost of $2,698,580, $0, $0, $0
and $0)................................................. --
Segregated Cash for Futures Contracts.................... --
Foreign Currencies at Value.............................. --
Cash..................................................... --
Receivables:
Investment Securities Sold............................. --
Dividends, Interest and Tax Reclaims................... --
Securities Lending Income.............................. --
Fund Shares Sold....................................... 15
Unrealized Gain on Foreign Currency Contracts............ --
Prepaid Expenses and Other Assets........................ 12
--------------
Total Assets......................................... 372,813
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... --
Investment Securities Purchased........................ --
Fund Shares Redeemed................................... 11
Due to Advisor......................................... 123
Futures Margin Variation............................... --
Unrealized Loss on Foreign Currency Contracts............ --
Accrued Expenses and Other Liabilities................... 10
--------------
Total Liabilities.................................... 144
--------------
NET ASSETS............................................... $ 372,669
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$29,015,338; $14,325,136; $25,696; $714,836 and
$372,669 and shares outstanding of 1,985,487,769;
670,483,485; 2,201,400; 24,169,292 and
15,772,002, respectively................................ $ 23.63
==============
NUMBER OF SHARES AUTHORIZED.............................. 1,000,000,000
==============
Investments in Affiliated Investment Companies at
Cost.................................................... N/A
==============
Investments at Cost...................................... N/A
==============
Foreign Currencies at Cost............................... $ --
==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 363,709
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ (5,837)
Accumulated Net Realized Gain (Loss)..................... (4,049)
Net Unrealized Foreign Exchange Gain (Loss).............. (4)
Net Unrealized Appreciation (Depreciation)............... 18,850
--------------
NET ASSETS............................................... $ 372,669
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA
United Continental International DFA Global
Kingdom Small Small Real Estate Real Estate
Company Company Securities Securities
Portfolio Portfolio Portfolio* Portfolio*
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................... $ 42,909 $ 757,213 -- $ 3,976,094
Investments at Value (including $0, $0, $364,886,
$189,924 and $1,366,440 of securities on loan,
respectively)....................................... -- -- $ 5,689,486 3,160,950
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$354,482, $195,531 and $1,193,519).................. -- -- 354,483 195,540
Segregated Cash for Futures Contracts................ -- -- 2,146 --
Foreign Currencies at Value.......................... -- -- 24,546 --
Cash................................................. -- -- 40,468 8,041
Receivables:
Investment Securities/Affiliated Investment
Company Sold...................................... -- -- 2,322 --
Dividends, Interest and Tax Reclaims............... -- -- 28,214 2,554
Securities Lending Income.......................... -- -- 354 50
Fund Shares Sold................................... 31 10,274 14,909 7,310
Unrealized Gain on Foreign Currency Contracts........ -- -- 3 --
Prepaid Expenses and Other Assets.................... 11 21 57 98
-------------- -------------- -------------- --------------
Total Assets..................................... 42,951 767,508 6,156,988 7,350,637
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... -- -- 354,521 195,574
Investment Securities/Affiliated Investment
Company Purchased................................. -- -- -- 3,700
Fund Shares Redeemed............................... 4 2 2,597 5,493
Due to Advisor..................................... 15 250 1,183 528
Futures Margin Variation........................... -- -- 397 --
Unrealized Loss on Foreign Currency Contracts........ -- -- -- --
Accrued Expenses and Other Liabilities............... 4 12 469 226
-------------- -------------- -------------- --------------
Total Liabilities................................ 23 264 359,167 205,521
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 42,928 $ 767,244 $ 5,797,821 $ 7,145,116
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$42,928; $767,244; $5,797,821; $7,145,116 and
$16,241,192 and shares outstanding of
1,367,279; 26,571,452; 1,109,093,705;
679,696,180 and 709,371,328, respectively........... $ 31.40 $ 28.87 $ 5.23 $ 10.51
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 1,000,000,000 1,000,000,000 4,000,000,000 3,000,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at
Cost................................................ N/A N/A $ -- $ 3,349,138
============== ============== ============== ==============
Investments at Cost.................................. N/A N/A $ 5,159,669 $ 3,238,884
============== ============== ============== ==============
Foreign Currencies at Cost........................... $ -- $ -- $ 24,960 $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 33,085 $ 614,773 $ 5,937,529 $ 6,616,063
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 45 5,013 (396,721) 43,116
Accumulated Net Realized Gain (Loss)................. 59 11,799 (272,808) (63,094)
Net Unrealized Foreign Exchange Gain (Loss).......... -- 63 (262) --
Net Unrealized Appreciation (Depreciation)........... 9,739 135,596 530,083 549,031
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 42,928 $ 767,244 $ 5,797,821 $ 7,145,116
============== ============== ============== ==============
DFA
International
Small Cap
Value Portfolio*
----------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................... --
Investments at Value (including $0, $0, $364,886,
$189,924 and $1,366,440 of securities on loan,
respectively)....................................... $ 15,877,592
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$354,482, $195,531 and $1,193,519).................. 1,193,530
Segregated Cash for Futures Contracts................ 6,044
Foreign Currencies at Value.......................... 84,559
Cash................................................. 95,517
Receivables:
Investment Securities/Affiliated Investment
Company Sold...................................... 139,154
Dividends, Interest and Tax Reclaims............... 93,251
Securities Lending Income.......................... 3,022
Fund Shares Sold................................... 9,717
Unrealized Gain on Foreign Currency Contracts........ 1
Prepaid Expenses and Other Assets.................... 137
--------------
Total Assets..................................... 17,502,524
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 1,193,550
Investment Securities/Affiliated Investment
Company Purchased................................. 50,164
Fund Shares Redeemed............................... 5,883
Due to Advisor..................................... 8,652
Futures Margin Variation........................... 1,271
Unrealized Loss on Foreign Currency Contracts........ 1
Accrued Expenses and Other Liabilities............... 1,811
--------------
Total Liabilities................................ 1,261,332
--------------
NET ASSETS........................................... $ 16,241,192
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$42,928; $767,244; $5,797,821; $7,145,116 and
$16,241,192 and shares outstanding of
1,367,279; 26,571,452; 1,109,093,705;
679,696,180 and 709,371,328, respectively........... $ 22.90
==============
NUMBER OF SHARES AUTHORIZED.......................... 4,600,000,000
==============
Investments in Affiliated Investment Companies at
Cost................................................ $ --
==============
Investments at Cost.................................. $ 12,682,554
==============
Foreign Currencies at Cost........................... $ 85,853
==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 12,430,241
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. (120,527)
Accumulated Net Realized Gain (Loss)................. 745,243
Net Unrealized Foreign Exchange Gain (Loss).......... (3,030)
Net Unrealized Appreciation (Depreciation)........... 3,189,265
--------------
NET ASSETS........................................... $ 16,241,192
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
International
International High Relative
Vector Equity Profitability World ex U.S.
Portfolio* Portfolio* Value Portfolio
-------------- ------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value............. -- -- $ 248,910
Investments at Value (including $259,380, $9,312, $0 and $12,037
of securities on loan, respectively)............................... $ 2,664,687 $ 180,486 --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $237,085, $9,369, $0 and $8,118)................ 237,087 9,370 --
Foreign Currencies at Value......................................... 3,264 305 --
Cash................................................................ 17,086 1,534 --
Receivables:
Investment Securities Sold........................................ 5,201 130 --
Dividends, Interest and Tax Reclaims.............................. 13,361 683 --
Securities Lending Income......................................... 505 4 --
Fund Shares Sold.................................................. 1,965 820 103
Unrealized Gain on Foreign Currency Contracts....................... 1 -- --
Deferred Offering Costs............................................. -- 2 --
Prepaid Expenses and Other Assets................................... 30 38 13
-------------- ------------ --------------
Total Assets.................................................... 2,943,187 193,372 249,026
-------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 237,091 9,370 --
Investment Securities Purchased................................... 5,009 1,646 --
Fund Shares Redeemed.............................................. 1,028 58 66
Due to Advisor.................................................... 993 38 69
Line of Credit.................................................... -- -- 18
Futures Margin Variation.......................................... 68 -- --
Unrealized Loss on Foreign Currency Contracts....................... 1 -- --
Accrued Expenses and Other Liabilities.............................. 259 32 5
-------------- ------------ --------------
Total Liabilities............................................... 244,449 11,144 158
-------------- ------------ --------------
NET ASSETS.......................................................... $ 2,698,738 $ 182,228 $ 248,868
============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of $2,698,738;
$182,228; $248,868 and $527,259 and shares outstanding of
197,969,384; 16,744,402; 18,918,396 and 34,612,068,
respectively....................................................... $ 13.63 $ 10.88 $ 13.15
============== ============ ==============
NUMBER OF SHARES AUTHORIZED......................................... 1,500,000,000 500,000,000 1,000,000,000
============== ============ ==============
Investments in Affiliated Investment Companies at Cost.............. $ -- $ -- $ 203,584
============== ============ ==============
Investments at Cost................................................. $ 2,096,284 $ 176,387 N/A
============== ============ ==============
Foreign Currencies at Cost.......................................... $ 3,290 $ 309 $ --
============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 2,076,142 $ 177,342 $ 197,871
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 5,525 1,021 1,383
Accumulated Net Realized Gain (Loss)................................ 49,041 (219) 4,338
Net Unrealized Foreign Exchange Gain (Loss)......................... (281) (12) (50)
Net Unrealized Appreciation (Depreciation).......................... 568,311 4,096 45,326
-------------- ------------ --------------
NET ASSETS.......................................................... $ 2,698,738 $ 182,228 $ 248,868
============== ============ ==============
World ex U.S.
Targeted Value
Portfolio*
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value............. --
Investments at Value (including $259,380, $9,312, $0 and $12,037
of securities on loan, respectively)............................... $ 522,149
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $237,085, $9,369, $0 and $8,118)................ 8,118
Foreign Currencies at Value......................................... 2,664
Cash................................................................ 1,161
Receivables:
Investment Securities Sold........................................ 1,849
Dividends, Interest and Tax Reclaims.............................. 2,146
Securities Lending Income......................................... 48
Fund Shares Sold.................................................. 300
Unrealized Gain on Foreign Currency Contracts....................... --
Deferred Offering Costs............................................. --
Prepaid Expenses and Other Assets................................... 21
--------------
Total Assets.................................................... 538,456
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 8,119
Investment Securities Purchased................................... 2,632
Fund Shares Redeemed.............................................. 81
Due to Advisor.................................................... 253
Line of Credit.................................................... --
Futures Margin Variation.......................................... --
Unrealized Loss on Foreign Currency Contracts....................... --
Accrued Expenses and Other Liabilities.............................. 112
--------------
Total Liabilities............................................... 11,197
--------------
NET ASSETS.......................................................... $ 527,259
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of $2,698,738;
$182,228; $248,868 and $527,259 and shares outstanding of
197,969,384; 16,744,402; 18,918,396 and 34,612,068,
respectively....................................................... $ 15.23
==============
NUMBER OF SHARES AUTHORIZED......................................... 1,000,000,000
==============
Investments in Affiliated Investment Companies at Cost.............. $ --
==============
Investments at Cost................................................. $ 450,294
==============
Foreign Currencies at Cost.......................................... $ 2,690
==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 433,014
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 2,605
Accumulated Net Realized Gain (Loss)................................ 19,865
Net Unrealized Foreign Exchange Gain (Loss)......................... (54)
Net Unrealized Appreciation (Depreciation).......................... 71,829
--------------
NET ASSETS.......................................................... $ 527,259
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Selectively
World ex U.S. World Core Hedged Global
Core Equity Equity Equity
Portfolio* Portfolio Portfolio
-------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value........... -- $ 696,879 $ 388,786
Investments at Value (including $275,673, $0, $0 and $0 of
securities on loan, respectively)................................ $ 3,228,608 -- --
Temporary Cash Investments at Value & Cost........................ -- 268 --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $234,933, $0, $0 and $0)...................... 234,936 -- --
Segregated Cash for Futures Contracts............................. -- -- 1,067
Foreign Currencies at Value....................................... 5,637 -- --
Cash.............................................................. 9,588 -- 21,725
Receivables:
Investment Securities/Affiliated Investment Companies Sold...... 2,951 -- --
Dividends, Interest and Tax Reclaims............................ 12,063 1 --
Securities Lending Income....................................... 531 -- --
Fund Shares Sold................................................ 2,494 358 458
Unrealized Gain on Forward Currency Contracts..................... -- -- 2,795
Unrealized Gain on Foreign Currency Contracts..................... 1 -- --
Prepaid Expenses and Other Assets................................. 61 27 15
-------------- -------------- --------------
Total Assets.................................................. 3,496,870 697,533 414,846
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 234,949 -- --
Investment Securities/Affiliated Investment Companies
Purchased...................................................... 3,756 33 259
Fund Shares Redeemed............................................ 2,991 51 134
Due to Advisor.................................................. 933 37 13
Futures Margin Variation........................................ -- -- 224
Unrealized Loss on Forward Currency Contracts..................... -- -- 35
Unrealized Loss on Foreign Currency Contracts..................... 3 -- --
Accrued Expenses and Other Liabilities............................ 532 10 10
-------------- -------------- --------------
Total Liabilities............................................. 243,164 131 675
-------------- -------------- --------------
NET ASSETS........................................................ $ 3,253,706 $ 697,402 $ 414,171
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of $3,253,706;
$697,402; $414,171 and $6,262,102 and shares outstanding of
259,188,664; 42,110,941; 24,926,634 and 204,430,684,
respectively..................................................... $ 12.55 $ 16.56 $ 16.62
============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................................... 1,500,000,000 1,000,000,000 1,000,000,000
============== ============== ==============
Investments in Affiliated Investment Companies at Cost............ $ -- $ 588,258 $ 302,835
============== ============== ==============
Investments at Cost............................................... $ 2,723,448 $ -- $ --
============== ============== ==============
Foreign Currencies at Cost........................................ $ 5,680 $ -- $ --
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 2,727,738 $ 588,132 $ 327,560
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)........................................... 14,559 (34) (1,066)
Accumulated Net Realized Gain (Loss).............................. 6,527 683 (249)
Net Unrealized Foreign Exchange Gain (Loss)....................... (238) -- 2,760
Net Unrealized Appreciation (Depreciation)........................ 505,120 108,621 85,166
-------------- -------------- --------------
NET ASSETS........................................................ $ 3,253,706 $ 697,402 $ 414,171
============== ============== ==============
Emerging
Markets
Portfolio
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value........... $ 6,290,336
Investments at Value (including $275,673, $0, $0 and $0 of
securities on loan, respectively)................................ --
Temporary Cash Investments at Value & Cost........................ --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $234,933, $0, $0 and $0)...................... --
Segregated Cash for Futures Contracts............................. --
Foreign Currencies at Value....................................... --
Cash.............................................................. --
Receivables:
Investment Securities/Affiliated Investment Companies Sold...... --
Dividends, Interest and Tax Reclaims............................ --
Securities Lending Income....................................... --
Fund Shares Sold................................................ 6,932
Unrealized Gain on Forward Currency Contracts..................... --
Unrealized Gain on Foreign Currency Contracts..................... --
Prepaid Expenses and Other Assets................................. 48
--------------
Total Assets.................................................. 6,297,316
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ --
Investment Securities/Affiliated Investment Companies
Purchased...................................................... --
Fund Shares Redeemed............................................ 33,325
Due to Advisor.................................................. 1,659
Futures Margin Variation........................................ --
Unrealized Loss on Forward Currency Contracts..................... --
Unrealized Loss on Foreign Currency Contracts..................... --
Accrued Expenses and Other Liabilities............................ 230
--------------
Total Liabilities............................................. 35,214
--------------
NET ASSETS........................................................ $ 6,262,102
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of $3,253,706;
$697,402; $414,171 and $6,262,102 and shares outstanding of
259,188,664; 42,110,941; 24,926,634 and 204,430,684,
respectively..................................................... $ 30.63
==============
NUMBER OF SHARES AUTHORIZED....................................... 1,500,000,000
==============
Investments in Affiliated Investment Companies at Cost............ N/A
==============
Investments at Cost............................................... N/A
==============
Foreign Currencies at Cost........................................ $ --
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 4,086,213
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)........................................... 3,312
Accumulated Net Realized Gain (Loss).............................. (137,689)
Net Unrealized Foreign Exchange Gain (Loss)....................... (54)
Net Unrealized Appreciation (Depreciation)........................ 2,310,320
--------------
NET ASSETS........................................................ $ 6,262,102
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Emerging Emerging
Markets Small Markets Value
Cap Portfolio Portfolio
-------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value........................... $ 7,825,211 $ 19,926,153
Investments at Value (including $0, $0 and $2,428,598 of securities on loan,
respectively).................................................................... -- --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost
of $0, $0 and $1,481,465)........................................................ -- --
Segregated Cash for Futures Contracts............................................. -- --
Foreign Currencies at Value....................................................... -- --
Cash.............................................................................. -- --
Receivables:
Investment Securities Sold...................................................... -- --
Dividends, Interest and Tax Reclaims............................................ -- --
Securities Lending Income....................................................... -- --
Fund Shares Sold................................................................ 15,463 4,552
Unrealized Gain on Foreign Currency Contracts..................................... -- --
Prepaid Expenses and Other Assets................................................. 51 73
-------------- --------------
Total Assets................................................................. 7,840,725 19,930,778
-------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................ -- --
Investment Securities Purchased................................................. -- --
Fund Shares Redeemed............................................................ 1,507 82,819
Due to Advisor.................................................................. 2,917 6,591
Futures Margin Variation........................................................ -- --
Accrued Expenses and Other Liabilities............................................ 191 741
-------------- --------------
Total Liabilities............................................................ 4,615 90,151
-------------- --------------
NET ASSETS........................................................................ $ 7,836,110 $ 19,840,627
============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $29,362 and $0 and shares
outstanding of 0; 923,044 and 0, respectively.................................... N/A $ 31.81
============== ==============
NUMBER OF SHARES AUTHORIZED....................................................... N/A 200,000,000
============== ==============
Institutional Class Shares -- based on net assets of $7,836,110; $19,811,265
and $29,708,499 and shares outstanding of 326,868,247; 618,322,616 and
1,275,092,734, respectively...................................................... $ 23.97 $ 32.04
============== ==============
NUMBER OF SHARES AUTHORIZED....................................................... 1,500,000,000 3,000,000,000
============== ==============
Investments at Cost............................................................... N/A N/A
============== ==============
Foreign Currencies at Cost........................................................ $ -- $ --
============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................... $ 6,385,914 $ 17,416,333
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)............................................................... (43,421) (93,976)
Accumulated Net Realized Gain (Loss).............................................. 231,739 (1,040,575)
Net Unrealized Foreign Exchange Gain (Loss)....................................... (159) 62
Net Unrealized Appreciation (Depreciation)........................................ 1,262,037 3,558,783
-------------- --------------
NET ASSETS........................................................................ $ 7,836,110 $ 19,840,627
============== ==============
Emerging
Markets Core
Equity
Portfolio*
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value........................... --
Investments at Value (including $0, $0 and $2,428,598 of securities on loan,
respectively).................................................................... $ 29,367,151
Collateral from Securities on Loan Invested in Affiliate at Value (including cost
of $0, $0 and $1,481,465)........................................................ 1,481,498
Segregated Cash for Futures Contracts............................................. 10,912
Foreign Currencies at Value....................................................... 159,401
Cash.............................................................................. 167,963
Receivables:
Investment Securities Sold...................................................... 6,819
Dividends, Interest and Tax Reclaims............................................ 28,272
Securities Lending Income....................................................... 7,215
Fund Shares Sold................................................................ 26,809
Unrealized Gain on Foreign Currency Contracts..................................... 1
Prepaid Expenses and Other Assets................................................. 231
--------------
Total Assets................................................................. 31,256,272
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................ 1,481,586
Investment Securities Purchased................................................. 39,671
Fund Shares Redeemed............................................................ 7,250
Due to Advisor.................................................................. 11,529
Futures Margin Variation........................................................ 2,249
Accrued Expenses and Other Liabilities............................................ 5,488
--------------
Total Liabilities............................................................ 1,547,773
--------------
NET ASSETS........................................................................ $ 29,708,499
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $29,362 and $0 and shares
outstanding of 0; 923,044 and 0, respectively.................................... N/A
==============
NUMBER OF SHARES AUTHORIZED....................................................... N/A
==============
Institutional Class Shares -- based on net assets of $7,836,110; $19,811,265
and $29,708,499 and shares outstanding of 326,868,247; 618,322,616 and
1,275,092,734, respectively...................................................... $ 23.30
==============
NUMBER OF SHARES AUTHORIZED....................................................... 5,000,000,000
==============
Investments at Cost............................................................... $ 22,939,794
==============
Foreign Currencies at Cost........................................................ $ 159,963
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................... $ 24,005,758
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)............................................................... 32,981
Accumulated Net Realized Gain (Loss).............................................. (747,330)
Net Unrealized Foreign Exchange Gain (Loss)....................................... (274)
Net Unrealized Appreciation (Depreciation)........................................ 6,417,364
--------------
NET ASSETS........................................................................ $ 29,708,499
==============
----------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
Enhanced
U.S. Large U.S. Large U.S. Large U.S. Targeted
Company Cap Equity Cap Value Value
Portfolio# Portfolio# Portfolio* Portfolio#
---------- ---------- ---------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment Company:
Dividends........................................................... -- -- $274,025 --
Interest............................................................ -- -- 1,488 --
Income from Securities Lending...................................... -- -- 1,051 --
Expenses Allocated from Affiliated Investment Company............... -- -- (13,541) --
-------- ------- -------- ---------
Total Net Investment Income Received from Affiliated Investment
Company........................................................... -- -- 263,023 --
-------- ------- -------- ---------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $45,
respectively)....................................................... -- $11,743 -- $ 76,711
Non Cash Income...................................................... -- -- -- 5,335
Interest............................................................. $ 3,423 -- -- --
Income from Securities Lending....................................... 8 100 -- 5,703
-------- ------- -------- ---------
Total Investment Income............................................ 3,431 11,843 -- 87,749
-------- ------- -------- ---------
Fund Expenses
Investment Management Fees........................................... 347 989 31,056 18,924
Accounting & Transfer Agent Fees..................................... 15 47 441 325
S&P 500(R) Fees...................................................... 4 -- -- --
Custodian Fees....................................................... 4 8 -- 67
Shareholder Servicing Fees
Class R1 Shares..................................................... -- -- -- 29
Class R2 Shares..................................................... -- -- -- 195
Filing Fees.......................................................... 14 23 152 100
Shareholders' Reports................................................ 6 10 231 160
Directors'/Trustees' Fees & Expenses................................. 1 5 95 42
Professional Fees.................................................... 2 8 58 63
Other................................................................ 5 18 56 128
-------- ------- -------- ---------
Total Expenses..................................................... 398 1,108 32,089 20,033
-------- ------- -------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... (137) -- (12,423) --
-------- ------- -------- ---------
Net Expenses......................................................... 261 1,108 19,666 20,033
-------- ------- -------- ---------
Net Investment Income (Loss)......................................... 3,170 10,735 243,357 67,716
-------- ------- -------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................................ (1,122) 3,202 -- 324,706
Affiliated Investment Companies Shares Sold......................... (1) (5) -- (162)
Transactions Allocated from Affiliated Investment Company........... -- -- 497,515 --
Futures............................................................. 32,203 21 -- 8,335
Foreign Currency Transactions....................................... (17) -- -- 1
Forward Currency Contracts.......................................... 310 -- -- --
In-Kind Redemptions................................................. -- -- -- 16,160
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... (3,397) 37,104 -- (144,015)
Affiliated Investment Companies Shares.............................. 2 1 -- 5
Transactions Allocated from Affiliated Investment Company........... -- -- 105,827 --
Futures............................................................. (21,933) -- -- (3,740)
Translation of Foreign Currency Denominated Amounts................. 4 -- -- --
-------- ------- -------- ---------
Net Realized and Unrealized Gain (Loss).............................. 6,049 40,323 603,342 201,290
-------- ------- -------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations........ $ 9,219 $51,058 $846,699 $ 269,006
======== ======= ======== =========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
U.S. Small U.S. Core U.S. Core U.S. Vector
Cap Value Equity 1 Equity 2 Equity
Portfolio# Portfolio# Portfolio# Portfolio#
---------- ---------- ---------- -----------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $95, $27, $31 and $11,
respectively)...................................................... $ 109,030 $185,301 $200,648 $ 39,152
Income from Securities Lending...................................... 5,830 5,011 6,076 1,751
--------- -------- -------- --------
Total Investment Income.......................................... 114,860 190,312 206,724 40,903
--------- -------- -------- --------
Expenses
Investment Management Fees.......................................... 37,707 18,598 23,648 7,157
Accounting & Transfer Agent Fees.................................... 528 622 709 163
Custodian Fees...................................................... 96 106 116 29
Filing Fees......................................................... 115 160 185 45
Shareholders' Reports............................................... 208 142 163 57
Directors'/Trustees' Fees & Expenses................................ 59 83 90 19
Professional Fees................................................... 89 124 135 29
Other............................................................... 184 251 272 62
--------- -------- -------- --------
Total Expenses................................................... 38,986 20,086 25,318 7,561
--------- -------- -------- --------
Net Investment Income (Loss)........................................ 75,874 170,226 181,406 33,342
--------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................................... 643,656 104,160 174,206 139,689
Affiliated Investment Companies Shares Sold....................... (171) (183) (162) (46)
Futures........................................................... 14,383 17,432 18,482 1,242
Foreign Currency Transactions..................................... 3 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (563,438) 592,027 456,197 (31,996)
Affiliated Investment Companies Shares............................ (29) 13 (15) (18)
Futures........................................................... (9,360) (12,650) (14,032) (1,061)
--------- -------- -------- --------
Net Realized and Unrealized Gain (Loss)............................. 85,044 700,799 634,676 107,810
--------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations....... $ 160,918 $871,025 $816,082 $141,152
========= ======== ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
U.S. High DFA Real
U.S. Small U.S. Micro Relative Estate Large Cap
Cap Cap Profitability Securities International
Portfolio# Portfolio# Portfolio# Portfolio# Portfolio#
---------- ---------- ------------- ---------- -------------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $49, $5, $0,
$0 and $7,015, respectively)............................. $ 115,320 $ 40,286 $2,238 $ 175,759 $ 68,198
Non Cash Income........................................... 6,759 -- -- -- --
Income from Securities Lending............................ 10,570 4,029 23 642 1,534
--------- --------- ------ --------- --------
Total Investment Income................................ 132,649 44,315 2,261 176,401 69,732
--------- --------- ------ --------- --------
Fund Expenses
Investment Management Fees................................ 30,208 15,930 271 6,966 4,831
Accounting & Transfer Agent Fees.......................... 556 261 9 272 207
Custodian Fees............................................ 106 41 6 42 229
Filing Fees............................................... 90 50 55 71 35
Shareholders' Reports..................................... 177 70 2 135 73
Directors'/Trustees' Fees & Expenses...................... 66 25 1 33 19
Professional Fees......................................... 99 37 1 50 32
Organizational & Offering Costs........................... -- -- 19 -- --
Other..................................................... 207 77 3 99 77
--------- --------- ------ --------- --------
Total Expenses......................................... 31,509 16,491 367 7,668 5,503
--------- --------- ------ --------- --------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)................................................. -- -- (28) (292) 40
Fees Paid Indirectly (Note C)............................. -- -- -- -- (60)
--------- --------- ------ --------- --------
Net Expenses.............................................. 31,509 16,491 339 7,376 5,483
--------- --------- ------ --------- --------
Net Investment Income (Loss).............................. 101,140 27,824 1,922 169,025 64,249
--------- --------- ------ --------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ 460,896 204,682 213 (5,888) (3,936)
Affiliated Investment Companies Shares Sold............. (369) (70) -- (57) (55)
Futures................................................. 14,625 4,412 (37) 6,473 3,576
Foreign Currency Transactions........................... 1 -- -- -- 484
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. (231,363) (129,113) 3,832 (506,291) 83,514
Affiliated Investment Companies Shares.................. (15) (6) 1 (1) 41
Futures................................................. (9,693) (1,811) -- (4,754) (2,046)
Translation of Foreign Currency Denominated
Amounts................................................ -- -- -- -- (375)
--------- --------- ------ --------- --------
Net Realized and Unrealized Gain (Loss)................... 234,082 78,094 4,009 (510,518) 81,203
--------- --------- ------ --------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. $ 335,222 $ 105,918 $5,931 $(341,493) $145,452
========= ========= ====== ========= ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
International Japanese
International Small Global Small Small
Core Equity Company Company Company
Portfolio# Portfolio*# Portfolio*# Portfolio*#
------------- ------------- ------------ -----------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $14,541,
$10, $756 and $105, respectively).............................. -- $162,144 $ 109 $ 6,808
Income from Securities Lending.................................. -- 19,715 20 1,133
Expenses Allocated from Affiliated Investment Companies......... -- (8,407) (8) (427)
Income Distributions Received from Affiliated Investment
Companies....................................................... -- 935 52 --
-------- -------- ----- -------
Total Net Investment Income Received from Affiliated
Investment Companies.......................................... -- 174,387 173 7,514
-------- -------- ----- -------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $36,164, $0, $0, $0
and $0, respectively)........................................... $362,996 -- -- --
Income from Securities Lending................................... 18,704 -- -- --
-------- -------- ----- -------
Total Investment Income........................................ 381,700 -- -- --
-------- -------- ----- -------
Fund Expenses
Investment Management Fees....................................... 36,719 27,983 45 1,706
Accounting & Transfer Agent Fees................................. 859 151 2 4
Custodian Fees................................................... 1,315 2 2 --
Filing Fees...................................................... 228 53 9 10
Shareholders' Reports............................................ 230 203 1 4
Directors'/Trustees' Fees & Expenses............................. 103 54 -- 3
Professional Fees................................................ 171 32 1 2
Organizational & Offering Costs.................................. -- -- 7 --
Other............................................................ 398 36 -- 2
-------- -------- ----- -------
Total Expenses................................................. 40,023 28,514 67 1,731
-------- -------- ----- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)....................... 785 -- (43) (341)
Fees Paid Indirectly (Note C).................................... (377) -- -- --
-------- -------- ----- -------
Net Expenses..................................................... 40,431 28,514 24 1,390
-------- -------- ----- -------
Net Investment Income (Loss)..................................... 341,269 145,873 149 6,124
-------- -------- ----- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies....................................................... -- -- 333 --
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................... 48,836 -- -- --
Affiliated Investment Companies Shares Sold..................... (130) -- (3) --
Transactions Allocated from Affiliated Investment Company....... -- 321,930 136 17,300
Futures......................................................... 33,099 11,806 2 --
Foreign Currency Transactions................................... 395 (230) -- (93)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... 510,914 29 -- --
Affiliated Investment Companies Shares.......................... (17) -- (308) --
Transactions Allocated from Affiliated Investment Company....... -- 60,840 170 16,128
Futures......................................................... (14,558) (5,581) -- --
Translation of Foreign Currency Denominated Amounts............. (2,401) (1,397) (1) (115)
-------- -------- ----- -------
Net Realized and Unrealized Gain (Loss).......................... 576,138 387,397 329 33,220
-------- -------- ----- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................................ $917,407 $533,270 $ 478 $39,344
======== ======== ===== =======
Asia Pacific
Small
Company
Portfolio*#
------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $14,541,
$10, $756 and $105, respectively).............................. $ 6,031
Income from Securities Lending.................................. 640
Expenses Allocated from Affiliated Investment Companies......... (226)
Income Distributions Received from Affiliated Investment
Companies....................................................... --
-------
Total Net Investment Income Received from Affiliated
Investment Companies.......................................... 6,445
-------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $36,164, $0, $0, $0
and $0, respectively)........................................... --
Income from Securities Lending................................... --
-------
Total Investment Income........................................ --
-------
Fund Expenses
Investment Management Fees....................................... 887
Accounting & Transfer Agent Fees................................. 3
Custodian Fees................................................... --
Filing Fees...................................................... 10
Shareholders' Reports............................................ 3
Directors'/Trustees' Fees & Expenses............................. 1
Professional Fees................................................ 1
Organizational & Offering Costs.................................. --
Other............................................................ 1
-------
Total Expenses................................................. 906
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)....................... (177)
Fees Paid Indirectly (Note C).................................... --
-------
Net Expenses..................................................... 729
-------
Net Investment Income (Loss)..................................... 5,716
-------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies....................................................... --
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................... --
Affiliated Investment Companies Shares Sold..................... --
Transactions Allocated from Affiliated Investment Company....... 973
Futures......................................................... --
Foreign Currency Transactions................................... (27)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... --
Affiliated Investment Companies Shares.......................... --
Transactions Allocated from Affiliated Investment Company....... 5,128
Futures......................................................... --
Translation of Foreign Currency Denominated Amounts............. (3)
-------
Net Realized and Unrealized Gain (Loss).......................... 6,071
-------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................................ $11,787
=======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
United DFA DFA
Kingdom Continental International DFA Global International
Small Small Real Estate Real Estate Small Cap
Company Company Securities Securities Value
Portfolio*# Portfolio*# Portfolio# Portfolio# Portfolio#
----------- ----------- ------------- ----------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $1, $1,155,
$0, $0 and $0, respectively)................................ $ 720 $ 7,266 -- -- --
Income from Securities Lending............................... 11 1,050 -- -- --
Expenses Allocated from Affiliated Investment Company........ (25) (429) -- -- --
Income Distributions Received from Affiliated Investment
Companies.................................................... -- -- -- $ 198,065 --
------ ------- -------- --------- ---------
Total Net Investment Income Received from Affiliated
Investment Company......................................... 706 7,887 -- 198,065 --
------ ------- -------- --------- ---------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $14,173,
$0 and $15,848, respectively)................................ -- -- $131,553 96 $ 182,995
Non Cash Income............................................... -- -- -- -- 11,168
Income from Securities Lending................................ -- -- 1,807 296 13,567
------ ------- -------- --------- ---------
Total Fund Investment Income................................ -- -- 133,360 392 207,730
------ ------- -------- --------- ---------
Fund Expenses
Investment Management Fees.................................... 109 1,760 7,151 6,913 52,595
Accounting & Transfer Agent Fees.............................. 2 5 208 110 581
Custodian Fees................................................ -- -- 275 18 1,169
Filing Fees................................................... 8 43 66 86 105
Shareholders' Reports......................................... 2 3 64 151 194
Directors'/Trustees' Fees & Expenses.......................... -- 3 23 27 64
Professional Fees............................................. 1 1 39 22 107
Other......................................................... -- 2 103 27 258
------ ------- -------- --------- ---------
Total Expenses.............................................. 122 1,817 7,929 7,354 55,073
------ ------- -------- --------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................... (20) (352) -- (3,830) --
Fees Paid Indirectly (Note C)................................. -- -- (75) -- (248)
------ ------- -------- --------- ---------
Net Expenses.................................................. 102 1,465 7,854 3,524 54,825
------ ------- -------- --------- ---------
Net Investment Income (Loss).................................. 604 6,422 125,506 194,933 152,905
------ ------- -------- --------- ---------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated
Investment Companies......................................... -- -- -- 5,030 --
Net Realized Gain (Loss) on:
Investment Securities Sold**................................. -- -- (50,919) 1 749,846
Affiliated Investment Companies Shares Sold.................. -- -- (65) (19,596) (73)
Transactions Allocated from Affiliated Investment
Company..................................................... 1,483 12,710 -- -- --
Futures...................................................... -- -- 2,020 -- 15,893
Foreign Currency Transactions................................ 7 (14) 382 -- (1,918)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... -- -- 337,116 (180,268) (478,067)
Affiliated Investment Companies Shares....................... -- -- 6 (6,034) (35)
Transactions Allocated from Affiliated Investment
Company..................................................... (210) 3,041 -- -- --
Futures...................................................... -- -- 215 -- (10,499)
Translation of Foreign Currency Denominated Amounts.......... (6) (74) (152) -- (2,956)
------ ------- -------- --------- ---------
Net Realized and Unrealized Gain (Loss)....................... 1,274 15,663 288,603 (200,867) 272,191
------ ------- -------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations..................................................... $1,878 $22,085 $414,109 $ (5,934) $ 425,096
====== ======= ======== ========= =========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
International World ex U.S.
International High Relative World ex U.S. Targeted
Vector Equity Profitability Value Value
Portfolio# Portfolio# Portfolio*# Portfolio#
------------- ------------- ------------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $0, $339 and $0,
respectively)...................................................... -- -- $ 3,202 --
Income from Securities Lending...................................... -- -- 103 --
Expenses Allocated from Affiliated Investment Companies............. -- -- (223) --
Income Distributions Received from Affiliated Investment
Companies........................................................... -- -- 478 --
------- ------ ------- -------
Total Net Investment Income Received from Affiliated Investment
Companies......................................................... -- -- 3,560 --
------- ------ ------- -------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $3,246, $206, $0 and
$501, respectively)................................................. $33,521 $1,913 -- $ 5,417
Income from Securities Lending....................................... 2,197 22 -- 167
------- ------ ------- -------
Total Investment Income............................................ 35,718 1,935 -- 5,584
------- ------ ------- -------
Fund Expenses
Investment Management Fees........................................... 5,882 166 594 1,445
Accounting & Transfer Agent Fees..................................... 109 9 4 22
Custodian Fees....................................................... 143 10 -- 119
Filing Fees.......................................................... 38 31 12 21
Shareholders' Reports................................................ 40 1 2 5
Directors'/Trustees' Fees & Expenses................................. 10 -- 1 2
Professional Fees.................................................... 19 1 2 14
Organizational & Offering Costs...................................... -- 18 -- --
Other................................................................ 44 3 1 10
------- ------ ------- -------
Total Expenses..................................................... 6,285 239 616 1,638
------- ------ ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C).................................. -- (5) (276) --
Fees Paid Indirectly (Note C)........................................ (11) (5) -- (4)
------- ------ ------- -------
Net Expenses......................................................... 6,274 229 340 1,634
------- ------ ------- -------
Net Investment Income (Loss)......................................... 29,444 1,706 3,220 3,950
------- ------ ------- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies........................................................... -- -- 773 --
Net Realized Gain (Loss) on:
Investment Securities Sold**........................................ 50,228 (35) -- 19,944
Affiliated Investment Companies Shares Sold......................... (9) -- (70) (1)
Transactions Allocated from Affiliated Investment Company........... -- -- 4,407 --
Futures............................................................. (17) 24 -- 22
Foreign Currency Transactions....................................... 229 29 27 (16)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 16,281 375 (6,349) (7,442)
Affiliated Investment Companies Shares.............................. (5) 1 5,791 --
Transactions Allocated from Affiliated Investment Company........... -- -- 4,540 --
Futures............................................................. (68) -- -- --
Translation of Foreign Currency Denominated Amounts................. (265) (11) (15) (51)
------- ------ ------- -------
Net Realized and Unrealized Gain (Loss).............................. 66,374 383 9,104 12,456
------- ------ ------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................................ $95,818 $2,089 $12,324 $16,406
======= ====== ======= =======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
Selectively
World ex U.S. World Core Hedged Emerging
Core Equity Equity Global Equity Markets
Portfolio# Portfolio Portfolio Portfolio*#
------------- ---------- ------------- -----------
Investment Income
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $5,092,
respectively)....................................................... -- -- -- $ 52,504
Interest............................................................. -- -- -- 22
Income from Securities Lending....................................... -- -- -- 2,617
Expenses Allocated from Affiliated Investment Companies.............. -- -- -- (4,740)
Income Distributions Received from Affiliated Investment Companies.... -- $ 5,028 $ 3,043 --
-------- ------- ------- --------
Total Net Investment Income Received from Affiliated Investment
Companies.......................................................... -- 5,028 3,043 50,403
-------- ------- ------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $3,792, $0, $0 and $0,
respectively)........................................................ $ 36,469 -- -- --
Income from Securities Lending........................................ 2,270 -- -- --
-------- ------- ------- --------
Total Fund Investment Income........................................ 38,739 -- -- --
-------- ------- ------- --------
Fund Expenses
Investment Management Fees............................................ 4,924 996 620 13,430
Accounting & Transfer Agent Fees...................................... 113 5 6 50
Custodian Fees........................................................ 414 -- 1 --
Filing Fees........................................................... 45 19 18 41
Shareholders' Reports................................................. 37 3 4 95
Directors'/Trustees' Fees & Expenses.................................. 11 2 2 25
Professional Fees..................................................... 31 2 1 16
Other................................................................. 50 7 1 16
-------- ------- ------- --------
Total Expenses...................................................... 5,625 1,034 653 13,673
-------- ------- ------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)........................................ 377 (773) (550) (3,198)
Fees Paid Indirectly (Note C)......................................... (37) -- -- --
-------- ------- ------- --------
Net Expenses.......................................................... 5,965 261 103 10,475
-------- ------- ------- --------
Net Investment Income (Loss).......................................... 32,774 4,767 2,940 39,928
-------- ------- ------- --------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies............................................................ -- 1,843 1,607 --
Net Realized Gain (Loss) on:
Investment Securities Sold**......................................... 11,474 1 (1) --
Affiliated Investment Companies Shares Sold.......................... (13) 3,184 2,281 --
Transactions Allocated from Affiliated Investment Company............ -- -- -- 85,126
Futures.............................................................. 657 145 2,531 --
Foreign Currency Transactions........................................ (137) -- -- 994
Forward Currency Contracts........................................... -- -- (3,348) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 69,738 -- 5 --
Affiliated Investment Companies Shares............................... (1) 15,802 8,108 --
Transactions Allocated from Affiliated Investment Company............ -- -- -- 130,204
Futures.............................................................. -- -- (1,801) --
Translation of Foreign Currency Denominated Amounts.................. (227) -- -- (43)
Forward Currency Contracts........................................... -- -- 1,336 --
-------- ------- ------- --------
Net Realized and Unrealized Gain (Loss)............................... 81,491 20,975 10,718 216,281
-------- ------- ------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations......... $114,265 $25,742 $13,658 $256,209
======== ======= ======= ========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
Emerging Emerging Emerging
Markets Markets Markets Core
Small Cap Value Equity
Portfolio* Portfolio*# Portfolio#
---------- ----------- ------------
Investment Income
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $5,515, $21,127 and $0, respectively).. $ 53,376 $ 168,355 --
Interest........................................................................... 4 11 --
Income from Securities Lending..................................................... 28,514 14,367 --
Expenses Allocated from Affiliated Investment Companies............................ (9,832) (15,103) --
-------- ---------- ----------
Total Net Investment Income Received from Affiliated Investment Companies......... 72,062 167,630 --
-------- ---------- ----------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0 and $29,574, respectively)....... -- -- $ 232,611
Income from Securities Lending...................................................... -- -- 36,025
-------- ---------- ----------
Total Investment Income........................................................... -- -- 268,636
-------- ---------- ----------
Fund Expenses
Investment Management Fees.......................................................... 24,976 49,752 67,829
Accounting & Transfer Agent Fees.................................................... 92 96 922
Custodian Fees...................................................................... -- -- 5,193
Shareholder Servicing Fees
Class R2 Shares.................................................................... -- 40 --
Filing Fees......................................................................... 36 59 189
Shareholders' Reports............................................................... 68 159 281
Directors'/Trustees' Fees & Expenses................................................ 29 77 109
Professional Fees................................................................... 18 48 200
Other............................................................................... 17 46 412
-------- ---------- ----------
Total Expenses.................................................................... 25,236 50,277 75,135
-------- ---------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor (Note C)................................................................... (7,685) -- 1,257
Institutional Class Shares......................................................... -- (9,934) --
Class R2 Shares.................................................................... -- (16) --
Fees Paid Indirectly (Note C)....................................................... -- -- (220)
-------- ---------- ----------
Net Expenses........................................................................ 17,551 40,327 76,172
-------- ---------- ----------
Net Investment Income (Loss)........................................................ 54,511 127,303 192,464
-------- ---------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................................... -- -- 74,060
Affiliated Investment Companies Shares Sold........................................ -- -- (124)
Transactions Allocated from Affiliated Investment Company.......................... 245,328 293,095 --
Futures............................................................................ -- -- 18,221
Foreign Currency Transactions...................................................... (77) 1,005 (1,498)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... -- -- 1,009,322
Affiliated Investment Companies Shares............................................. -- -- (27)
Transactions Allocated from Affiliated Investment Company.......................... 140,406 899,083 --
Futures............................................................................ -- -- (15,447)
Translation of Foreign Currency Denominated Amounts................................ (79) (97) (165)
-------- ---------- ----------
Net Realized and Unrealized Gain (Loss)............................................. 385,578 1,193,086 1,084,342
-------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations....................... $440,089 $1,320,389 $1,276,806
======== ========== ==========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $144 and $5, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Enhanced U.S. Large U.S. Large Cap Equity U.S. Large Cap Value
Company Portfolio Portfolio Portfolio
-------------------- ---------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- -------- ----------- ---------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................... $ 3,170 $ 3,676 $ 10,735 $ 18,142 $ 243,357 $ 427,035
Net Realized Gain (Loss) on:
Investment Securities Sold*.......................... (1,122) (319) 3,202 273 -- --
Affiliated Investment Companies Shares Sold.......... (1) 1 (5) -- -- --
Transactions Allocated from Affiliated Investment
Company............................................. -- -- -- -- 497,515 1,154,160
Futures.............................................. 32,203 39,159 21 9 -- 18,720
Foreign Currency Transactions........................ (17) (11) -- -- -- --
Forward Currency Contracts........................... 310 (132) -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... (3,397) (1,062) 37,104 200,016 -- --
Affiliated Investment Companies Shares Sold.......... 2 (1) 1 (7) -- --
Transactions Allocated from Affiliated Investment
Company............................................. -- -- -- -- 105,827 2,764,575
Futures.............................................. (21,933) 14,290 -- -- -- 10,896
Translation of Foreign Currency Denominated
Amounts............................................. 4 (9) -- -- -- --
Forward Currency Contracts........................... -- 896 -- -- -- --
-------- -------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations.................................... 9,219 56,488 51,058 218,433 846,699 4,375,386
-------- -------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares........................... (3,136) (2,502) (9,993) (18,564) (212,674) (403,733)
Net Short-Term Gains:
Institutional Class Shares........................... (19,355) (2,722) -- -- (44,063) --
Net Long-Term Gains:
Institutional Class Shares........................... (29,522) (4,088) -- -- (1,084,239) (446,140)
-------- -------- ---------- ---------- ----------- -----------
Total Distributions................................. (52,013) (9,312) (9,993) (18,564) (1,340,976) (849,873)
-------- -------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued......................................... 74,855 101,630 242,886 343,508 2,951,422 5,277,113
Shares Issued in Lieu of Cash Distributions........... 51,982 8,734 9,246 17,598 1,264,013 793,913
Shares Redeemed....................................... (69,502) (73,606) (127,507) (199,415) (2,611,271) (3,536,921)
-------- -------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions....................................... 57,335 36,758 124,625 161,691 1,604,164 2,534,105
-------- -------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets............. 14,541 83,934 165,690 361,560 1,109,887 6,059,618
Net Assets
Beginning of Period................................... 322,347 238,413 1,212,883 851,323 23,732,871 17,673,253
-------- -------- ---------- ---------- ----------- -----------
End of Period......................................... $336,888 $322,347 $1,378,573 $1,212,883 $24,842,758 $23,732,871
======== ======== ========== ========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued......................................... 5,484 7,516 14,352 23,434 75,093 144,495
Shares Issued in Lieu of Cash Distributions........... 4,009 681 562 1,194 32,811 22,018
Shares Redeemed....................................... (5,247) (5,541) (7,539) (13,683) (66,580) (97,162)
-------- -------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed....................................... 4,246 2,656 7,375 10,945 41,324 69,351
======== ======== ========== ========== =========== ===========
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income).................... $ 911 $ 877 $ 1,949 $ 1,207 $ 53,279 $ 22,596
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Targeted Value U.S. Small Cap Value
Portfolio Portfolio
------------------------ ------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017
----------- ----------- ----------- -----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 67,716 $ 109,197 $ 75,874 $ 118,233
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... 324,706 454,563 643,656 690,721
Affiliated Investment Companies Shares
Sold.......................................... (162) (1) (171) 22
Futures........................................ 8,335 17,659 14,383 26,310
Foreign Currency Transactions.................. 1 6 3 --
In-Kind Redemptions............................ 16,160 -- -- 79,386
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency..... (144,015) 1,335,548 (563,438) 2,156,333
Affiliated Investment Companies Shares
Sold.......................................... 5 (188) (29) (216)
Futures........................................ (3,740) 2,939 (9,360) 9,284
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 269,006 1,919,723 160,918 3,080,073
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares................................ (293) (506) -- --
Class R2 Shares................................ (707) (1,483) -- --
Institutional Class Shares..................... (58,873) (103,014) (64,499) (113,837)
Net Short-Term Gains:
Class R1 Shares................................ (139) (75) -- --
Class R2 Shares................................ (385) (304) -- --
Institutional Class Shares..................... (26,704) (15,806) (36,882) --
Net Long-Term Gains:
Class R1 Shares................................ (2,222) (1,310) -- --
Class R2 Shares................................ (6,156) (5,296) -- --
Institutional Class Shares..................... (427,245) (275,712) (653,833) (533,287)
----------- ----------- ----------- -----------
Total Distributions........................... (522,724) (403,506) (755,214) (647,124)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................... 1,163,195 3,081,447 1,384,531 2,978,426
Shares Issued in Lieu of Cash Distributions..... 492,413 373,214 693,470 585,631
Shares Redeemed................................. (1,274,670) (2,298,736) (1,442,793) (3,444,324)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................. 380,938 1,155,925 635,208 119,733
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets....... 127,220 2,672,142 40,912 2,552,682
Net Assets
Beginning of Period............................. 10,740,431 8,068,289 15,165,867 12,613,185
----------- ----------- ----------- -----------
End of Period................................... $10,867,651 $10,740,431 $15,206,779 $15,165,867
=========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................... 46,664 128,009 36,381 80,463
Shares Issued in Lieu of Cash Distributions..... 20,120 15,383 18,503 15,504
Shares Redeemed................................. (50,889) (95,985) (37,706) (92,936)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................. 15,895 47,407 17,178 3,031
=========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 6,449 $ (1,394) $ 5,682 $ (5,694)
U.S. Core Equity 1 Portfolio
---------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 170,226 $ 299,067
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... 104,160 96,159
Affiliated Investment Companies Shares
Sold.......................................... (183) (35)
Futures........................................ 17,432 15,613
Foreign Currency Transactions.................. -- 3
In-Kind Redemptions............................ -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency..... 592,027 3,505,095
Affiliated Investment Companies Shares
Sold.......................................... 13 (188)
Futures........................................ (12,650) 10,034
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 871,025 3,925,748
----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares................................ -- --
Class R2 Shares................................ -- --
Institutional Class Shares..................... (156,797) (310,434)
Net Short-Term Gains:
Class R1 Shares................................ -- --
Class R2 Shares................................ -- --
Institutional Class Shares..................... (2,527) --
Net Long-Term Gains:
Class R1 Shares................................ -- --
Class R2 Shares................................ -- --
Institutional Class Shares..................... (116,824) (71,615)
----------- -----------
Total Distributions........................... (276,148) (382,049)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................... 2,393,768 4,637,048
Shares Issued in Lieu of Cash Distributions..... 269,875 368,386
Shares Redeemed................................. (1,732,454) (2,746,550)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................. 931,189 2,258,884
----------- -----------
Total Increase (Decrease) in Net Assets....... 1,526,066 5,802,583
Net Assets
Beginning of Period............................. 20,762,742 14,960,159
----------- -----------
End of Period................................... $22,288,808 $20,762,742
=========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................... 104,319 229,289
Shares Issued in Lieu of Cash Distributions..... 12,043 18,264
Shares Redeemed................................. (75,270) (135,531)
----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................. 41,092 112,022
=========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 27,919 $ 14,490
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio
--------------------------- ---------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017
----------- ----------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 181,406 $ 320,409 $ 33,342 $ 59,721
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 174,206 192,862 139,689 167,995
Affiliated Investment Companies Shares
Sold...................................... (162) 31 (46) 5
Futures.................................... 18,482 19,381 1,242 5,443
Foreign Currency Transactions.............. -- 5 -- 2
In-Kind Redemptions........................ -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 456,197 3,702,303 (31,996) 706,848
Affiliated Investment Companies Shares
Sold...................................... (15) (261) (18) (57)
Futures.................................... (14,032) 11,212 (1,061) 835
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 816,082 4,245,942 141,152 940,792
----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (166,055) (322,547) (29,038) (55,773)
Net Short-Term Gains:
Institutional Class Shares................. (3,799) -- -- (202)
Net Long-Term Gains:
Institutional Class Shares................. (214,753) (122,469) (164,690) (101,959)
----------- ----------- ---------- ----------
Total Distributions....................... (384,607) (445,016) (193,728) (157,934)
----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................... 2,450,301 4,120,340 416,241 873,587
Shares Issued in Lieu of Cash Distributions. 378,126 439,092 191,639 155,990
Shares Redeemed............................. (1,686,383) (2,695,986) (529,054) (911,079)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 1,142,044 1,863,446 78,826 118,498
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 1,573,519 5,664,372 26,250 901,356
Net Assets
Beginning of Period......................... 22,515,418 16,851,046 4,724,003 3,822,647
----------- ----------- ---------- ----------
End of Period............................... $24,088,937 $22,515,418 $4,750,253 $4,724,003
=========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................... 113,035 212,849 21,594 48,648
Shares Issued in Lieu of Cash Distributions. 17,875 22,777 10,103 8,720
Shares Redeemed............................. (77,888) (139,061) (27,329) (50,704)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 53,022 96,565 4,368 6,664
=========== =========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 30,938 $ 15,587 $ 4,730 $ 426
U.S. Small Cap Portfolio
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 101,140 $ 160,232
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 460,896 610,335
Affiliated Investment Companies Shares
Sold...................................... (369) (107)
Futures.................................... 14,625 18,310
Foreign Currency Transactions.............. 1 15
In-Kind Redemptions........................ -- 125,200
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (231,363) 2,387,599
Affiliated Investment Companies Shares
Sold...................................... (15) (345)
Futures.................................... (9,693) 10,124
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 335,222 3,311,363
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (90,524) (155,568)
Net Short-Term Gains:
Institutional Class Shares................. (41,529) (12,822)
Net Long-Term Gains:
Institutional Class Shares................. (608,203) (343,192)
----------- -----------
Total Distributions....................... (740,256) (511,582)
----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 1,719,775 3,737,913
Shares Issued in Lieu of Cash Distributions. 703,323 484,150
Shares Redeemed............................. (1,426,702) (3,067,256)
----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 996,396 1,154,807
----------- -----------
Total Increase (Decrease) in Net
Assets................................... 591,362 3,954,588
Net Assets
Beginning of Period......................... 16,931,787 12,977,199
----------- -----------
End of Period............................... $17,523,149 $16,931,787
=========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................... 47,600 109,356
Shares Issued in Lieu of Cash Distributions. 19,729 14,119
Shares Redeemed............................. (39,519) (89,947)
----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 27,810 33,528
=========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 9,380 $ (1,236)
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. High Relative DFA Real Estate Securities
U.S. Micro Cap Portfolio Profitability Portfolio Portfolio
----------------------- ---------------------- -------------------------
Period
May 16,
Six Months Year Six Months 2017(a) Six Months Year
Ended Ended Ended to Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- -------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 27,824 $ 43,746 $ 1,922 $ 672 $ 169,025 $ 190,490
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... 204,682 283,405 213 43 (5,888) 47,672
Affiliated Investment Companies Shares
Sold.......................................... (70) 12 -- (1) (57) (67)
Futures........................................ 4,412 9,052 (37) (394) 6,473 8,131
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency..... (129,113) 1,119,931 3,832 9,520 (506,291) 183,941
Affiliated Investment Companies Shares
Sold.......................................... (6) (105) 1 (1) (1) (61)
Futures........................................ (1,811) 2,595 -- -- (4,754) 3,862
---------- ----------- -------- -------- ---------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 105,918 1,458,636 5,931 9,839 (341,493) 433,968
---------- ----------- -------- -------- ---------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares..................... (24,910) (43,959) (1,608) (541) (168,977) (217,478)
Net Short-Term Gains:
Institutional Class Shares..................... (20,845) -- -- -- (6,434) --
Net Long-Term Gains:
Institutional Class Shares..................... (260,406) (255,837) -- -- (20,143) (66,384)
---------- ----------- -------- -------- ---------- -----------
Total Distributions........................... (306,161) (299,796) (1,608) (541) (195,554) (283,862)
---------- ----------- -------- -------- ---------- -----------
Capital Share Transactions (1):
Shares Issued................................... 531,591 757,322 254,331 134,388 1,212,762 1,766,337
Shares Issued in Lieu of Cash Distributions..... 282,199 276,724 1,608 541 155,008 217,675
Shares Redeemed................................. (462,749) (1,014,479) (21,952) (3,154) (723,306) (1,113,122)
---------- ----------- -------- -------- ---------- -----------
Net Increase (Decrease) from Capital Share
Transactions................................. 351,041 19,567 233,987 131,775 644,464 870,890
---------- ----------- -------- -------- ---------- -----------
Total Increase (Decrease) in Net Assets....... 150,798 1,178,407 238,310 141,073 107,417 1,020,996
Net Assets
Beginning of Period............................. 6,306,730 5,128,323 141,073 -- 8,281,176 7,260,180
---------- ----------- -------- -------- ---------- -----------
End of Period................................... $6,457,528 $ 6,306,730 $379,383 $141,073 $8,388,593 $ 8,281,176
========== =========== ======== ======== ========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................... 23,917 36,173 21,518 13,154 36,204 50,891
Shares Issued in Lieu of Cash Distributions..... 12,848 13,144 139 52 4,471 6,384
Shares Redeemed................................. (20,805) (48,215) (1,868) (302) (21,545) (32,116)
---------- ----------- -------- -------- ---------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................. 15,960 1,102 19,789 12,904 19,130 25,159
========== =========== ======== ======== ========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 2,513 $ (401) $ 445 $ 131 $ 46,682 $ 46,634
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Large Cap International International Core Equity International Small
Portfolio Portfolio Company Portfolio
---------------------- ------------------------ ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ----------- ----------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 64,249 $ 111,927 $ 341,269 $ 550,178 $ 145,873 $ 254,211
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (3,936) 157,652 48,836 (29,889) -- --
Affiliated Investment Companies Shares
Sold...................................... (55) 51 (130) 10 -- --
Transactions Allocated from Affiliated
Investment Company........................ -- -- -- -- 321,930 422,014
Futures.................................... 3,576 4,534 33,099 22,487 11,806 11,549
Foreign Currency Transactions.............. 484 (583) 395 (2,708) (230) (1,764)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 83,514 608,562 510,914 4,344,669 29 --
Affiliated Investment Companies Shares
Sold...................................... 41 (72) (17) (168) -- --
Transactions Allocated from Affiliated
Investment Company........................ -- -- -- -- 60,840 2,134,951
Futures.................................... (2,046) 1,881 (14,558) 11,863 (5,581) 5,699
Translation of Foreign Currency
Denominated Amounts....................... (375) 330 (2,401) 1,409 (1,397) 864
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 145,452 884,282 917,407 4,897,851 533,270 2,827,524
---------- ---------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (42,538) (111,606) (224,746) (533,126) (194,323) (205,687)
Net Short-Term Gains:
Institutional Class Shares................. -- -- -- -- (48,543) (18,854)
Net Long-Term Gains:
Institutional Class Shares................. -- -- -- -- (375,728) (251,076)
---------- ---------- ----------- ----------- ----------- -----------
Total Distributions....................... (42,538) (111,606) (224,746) (533,126) (618,594) (475,617)
---------- ---------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 525,484 960,010 4,634,083 6,327,731 1,315,338 2,235,300
Shares Issued in Lieu of Cash Distributions. 37,830 99,282 213,369 506,159 592,894 456,455
Shares Redeemed............................. (403,492) (636,653) (1,968,743) (2,737,658) (988,062) (1,940,733)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 159,822 422,639 2,878,709 4,096,232 920,170 751,022
---------- ---------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... 262,736 1,195,315 3,571,370 8,460,957 834,846 3,102,929
Net Assets
Beginning of Period......................... 4,723,090 3,527,775 25,443,968 16,983,011 13,490,290 10,387,361
---------- ---------- ----------- ----------- ----------- -----------
End of Period............................... $4,985,826 $4,723,090 $29,015,338 $25,443,968 $14,325,136 $13,490,290
========== ========== =========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................... 21,944 45,425 317,676 496,127 61,300 116,685
Shares Issued in Lieu of Cash Distributions. 1,610 4,623 15,037 39,374 28,767 25,675
Shares Redeemed............................. (16,857) (29,985) (135,069) (213,878) (46,325) (99,987)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 6,697 20,063 197,644 321,623 43,742 42,373
========== ========== =========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 34,034 $ 12,323 $ 173,702 $ 57,179 $ (29,089) $ 19,361
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Global Small Company Japanese Small Company Asia Pacific Small Company
Portfolio Portfolio Portfolio
------------------- -------------------- -------------------------
Period
Jan. 18,
Six Months 2017(a) Six Months Year Six Months Year
Ended to Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- -------- ----------- -------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 149 $ 134 $ 6,124 $ 8,388 $ 5,716 $ 9,516
Capital Gain Distributions Received from Affiliated
Investment Companies................................ 333 -- -- -- -- --
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold*........ (3) (6) -- -- -- --
Transactions Allocated from Affiliated Investment
Company............................................ 136 105 17,300 28,171 973 9,656
Futures............................................. 2 1 -- -- -- --
Foreign Currency Transactions....................... -- -- (93) (465) (27) (119)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.......... -- (3) -- -- -- --
Affiliated Investment Companies Shares Sold......... (308) 1,299 -- -- -- --
Transactions Allocated from Affiliated Investment
Company............................................ 170 -- 16,128 99,585 5,128 22,259
Futures............................................. -- -- -- 1 -- --
Translation of Foreign Currency Denominated
Amounts............................................ (1) -- (115) 87 (3) (1)
------- ------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 478 1,530 39,344 135,767 11,787 41,311
------- ------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (250) -- (15,937) (9,568) (13,370) (8,894)
Net Short-Term Gains:
Institutional Class Shares.......................... (19) -- -- -- -- --
Net Long-Term Gains:
Institutional Class Shares.......................... (81) -- -- -- -- --
------- ------- -------- -------- -------- --------
Total Distributions................................ (350) -- (15,937) (9,568) (13,370) (8,894)
------- ------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................ 10,931 14,416 96,497 99,301 79,292 64,454
Shares Issued in Lieu of Cash Distributions.......... 350 -- 14,541 8,825 12,188 8,101
Shares Redeemed...................................... (734) (925) (67,587) (95,760) (49,381) (24,394)
------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 10,547 13,491 43,451 12,366 42,099 48,161
------- ------- -------- -------- -------- --------
Total Increase (Decrease) in Net Assets............ 10,675 15,021 66,858 138,565 40,516 80,578
Net Assets
Beginning of Period.................................. 15,021 -- 647,978 509,413 332,153 251,575
------- ------- -------- -------- -------- --------
End of Period........................................ $25,696 $15,021 $714,836 $647,978 $372,669 $332,153
======= ======= ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 932 1,388 3,301 4,150 3,312 2,864
Shares Issued in Lieu of Cash Distributions.......... 31 -- 505 401 527 408
Shares Redeemed...................................... (63) (86) (2,322) (4,002) (2,074) (1,095)
------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 900 1,302 1,484 549 1,765 2,177
======= ======= ======== ======== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ 42 $ 143 $ (8,691) $ 1,122 $ (5,837) $ 1,817
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
United Kingdom Small Continental Small Company DFA International Real
Company Portfolio Portfolio Estate Securities Portfolio
------------------- ------------------------ --------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- -------- ----------- -------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 604 $ 1,220 $ 6,422 $ 7,573 $ 125,506 $ 198,330
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... -- -- -- -- (50,919) (21,413)
Affiliated Investment Companies Shares
Sold.......................................... -- -- -- -- (65) 21
Transactions Allocated from Affiliated
Investment Company............................ 1,483 1,725 12,710 14,907 -- --
Futures........................................ -- -- -- -- 2,020 6,597
Foreign Currency Transactions.................. 7 6 (14) 89 382 439
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency..... -- -- -- -- 337,116 60,643
Affiliated Investment Companies Shares
Sold.......................................... -- -- -- -- 6 (17)
Transactions Allocated from Affiliated
Investment Company............................ (210) 7,588 3,041 94,661 -- --
Futures........................................ -- -- -- -- 215 754
Translation of Foreign Currency Denominated
Amounts....................................... (6) 4 (74) 24 (152) 254
------- ------- -------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 1,878 10,543 22,085 117,254 414,109 245,608
------- ------- -------- -------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares..................... (592) (1,322) (1,647) (7,715) (241,977) (326,892)
Net Short-Term Gains:
Institutional Class Shares..................... (558) -- -- -- -- --
Net Long-Term Gains:
Institutional Class Shares..................... (2,308) (1,684) (4,962) -- -- --
------- ------- -------- -------- ---------- ----------
Total Distributions........................... (3,458) (3,006) (6,609) (7,715) (241,977) (326,892)
------- ------- -------- -------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 1,752 12,269 166,848 209,825 583,589 1,720,625
Shares Issued in Lieu of Cash Distributions..... 2,979 2,618 6,204 7,180 238,291 320,016
Shares Redeemed................................. (5,400) (9,570) (13,631) (26,314) (693,944) (643,227)
------- ------- -------- -------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions................................. (669) 5,317 159,421 190,691 127,936 1,397,414
------- ------- -------- -------- ---------- ----------
Total Increase (Decrease) in Net Assets....... (2,249) 12,854 174,897 300,230 300,068 1,316,130
Net Assets
Beginning of Period............................. 45,177 32,323 592,347 292,117 5,497,753 4,181,623
------- ------- -------- -------- ---------- ----------
End of Period................................... $42,928 $45,177 $767,244 $592,347 $5,797,821 $5,497,753
======= ======= ======== ======== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................... 56 435 5,841 8,148 112,882 347,476
Shares Issued in Lieu of Cash Distributions..... 100 95 224 280 46,632 69,418
Shares Redeemed................................. (172) (335) (471) (1,053) (134,934) (132,019)
------- ------- -------- -------- ---------- ----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................. (16) 195 5,594 7,375 24,580 284,875
======= ======= ======== ======== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 45 $ 33 $ 5,013 $ 238 $ (396,721) $ (280,250)
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Global Real Estate DFA International Small International Vector Equity
Securities Portfolio Cap Value Portfolio Portfolio
----------------------- ------------------------ --------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 194,933 $ 228,639 $ 152,905 $ 269,343 $ 29,444 $ 51,389
Capital Gain Distributions Received from
Affiliated Investment Companies............ 5,030 14,569 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 1 17,657 749,846 551,715 50,228 10,627
Affiliated Investment Companies Shares
Sold...................................... (19,596) 2,178 (73) 14 (9) (1)
Futures.................................... -- 149 15,893 14,572 (17) 158
Foreign Currency Transactions.............. -- 3 (1,918) (1,896) 229 (413)
In-Kind Redemptions........................ -- -- -- 82,012 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (180,268) 43,892 (478,067) 2,598,933 16,281 459,554
Affiliated Investment Companies Shares
Sold...................................... (6,034) (5,082) (35) (118) (5) (16)
Futures.................................... -- -- (10,499) 9,407 (68) --
Translation of Foreign Currency
Denominated Amounts....................... -- -- (2,956) 1,459 (265) 168
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ (5,934) 302,005 425,096 3,525,441 95,818 521,466
---------- ----------- ----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (211,357) (227,401) (314,984) (195,408) (28,049) (50,390)
Net Short-Term Gains:
Institutional Class Shares................. (798) (2,070) (31,970) (3,853) (160) --
Net Long-Term Gains:
Institutional Class Shares................. (43,342) (13,530) (477,828) (410,189) (10,130) (4,041)
---------- ----------- ----------- ----------- ---------- ----------
Total Distributions....................... (255,497) (243,001) (824,782) (609,450) (38,339) (54,431)
---------- ----------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................... 1,212,495 2,695,188 1,262,574 1,958,045 258,481 447,784
Shares Issued in Lieu of Cash Distributions. 245,163 233,500 745,108 544,816 38,001 53,927
Shares Redeemed............................. (804,893) (1,122,865) (1,529,275) (2,266,110) (185,075) (295,368)
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 652,765 1,805,823 478,407 236,751 111,407 206,343
---------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 391,334 1,864,827 78,721 3,152,742 168,886 673,378
Net Assets
Beginning of Period......................... 6,753,782 4,888,955 16,162,471 13,009,729 2,529,852 1,856,474
---------- ----------- ----------- ----------- ---------- ----------
End of Period............................... $7,145,116 $ 6,753,782 $16,241,192 $16,162,471 $2,698,738 $2,529,852
========== =========== =========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................... 114,456 251,258 54,710 93,807 18,930 37,714
Shares Issued in Lieu of Cash Distributions. 22,410 23,234 33,533 28,186 2,881 4,561
Shares Redeemed............................. (76,731) (105,800) (66,264) (108,244) (13,573) (24,782)
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 60,135 168,692 21,979 13,749 8,238 17,493
========== =========== =========== =========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 43,116 $ 59,540 $ (120,527) $ 41,552 $ 5,525 $ 4,130
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
International High Relative World ex U.S. Value World ex U.S. Targeted
Profitability Portfolio Portfolio Value Portfolio
-------------------------- -------------------- --------------------
Period
May 16,
Six Months 2017(a) Six Months Year Six Months Year
Ended to Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- -------- ----------- -------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 1,706 $ 426 $ 3,220 $ 5,730 $ 3,950 $ 7,583
Capital Gain Distributions Received from Affiliated
Investment Companies................................ -- -- 773 653 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... (35) (165) -- -- 19,944 17,468
Affiliated Investment Companies Shares Sold......... -- -- (70) 599 (1) --
Transactions Allocated from Affiliated
Investment Company................................. -- -- 4,407 1,111 -- --
Futures............................................. 24 (72) -- 262 22 --
Foreign Currency Transactions....................... 29 19 27 (26) (16) (26)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.......... 375 3,720 (6,349) -- (7,442) 65,446
Affiliated Investment Companies Shares Sold......... 1 -- 5,791 (148) -- (1)
Transactions Allocated from Affiliated
Investment Company................................. -- -- 4,540 41,263 -- --
Futures............................................. -- -- -- 99 -- --
Translation of Foreign Currency Denominated
Amounts............................................ (11) (1) (15) 13 (51) 19
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 2,089 3,927 12,324 49,556 16,406 90,489
-------- ------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (831) (299) (3,864) (4,532) (2,551) (7,684)
Net Long-Term Gains:
Institutional Class Shares.......................... -- -- -- -- (8,307) --
-------- ------- -------- -------- -------- --------
Total Distributions................................ (831) (299) (3,864) (4,532) (10,858) (7,684)
-------- ------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................ 119,444 65,210 34,825 44,260 77,564 132,580
Shares Issued in Lieu of Cash Distributions.......... 831 299 3,861 4,529 10,833 7,665
Shares Redeemed...................................... (7,098) (1,344) (44,829) (35,416) (33,190) (37,758)
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 113,177 64,165 (6,143) 13,373 55,207 102,487
-------- ------- -------- -------- -------- --------
Total Increase (Decrease) in Net Assets............ 114,435 67,793 2,317 58,397 60,755 185,292
Net Assets
Beginning of Period.................................. 67,793 -- 246,551 188,154 466,504 281,212
-------- ------- -------- -------- -------- --------
End of Period........................................ $182,228 $67,793 $248,868 $246,551 $527,259 $466,504
======== ======= ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 10,970 6,451 2,644 3,780 5,078 9,799
Shares Issued in Lieu of Cash Distributions.......... 78 29 306 407 736 558
Shares Redeemed...................................... (653) (130) (3,434) (3,040) (2,185) (2,738)
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 10,395 6,350 (484) 1,147 3,629 7,619
======== ======= ======== ======== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ 1,021 $ 146 $ 1,383 $ 2,027 $ 2,605 $ 1,206
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
World ex U.S. Core Equity
Portfolio World Core Equity Portfolio
------------------------ --------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017
----------- ---------- ----------- --------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 32,774 $ 54,316 $ 4,767 $ 8,719
Capital Gain Distributions Received from Affiliated
Investment Companies................................ -- -- 1,843 898
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... 11,474 7,525 1 3
Affiliated Investment Companies Shares
Sold............................................... (13) (4) 3,184 (418)
Futures............................................. 657 68 145 --
Foreign Currency Transactions....................... (137) (263) -- --
Forward Currency Contracts.......................... -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.......... 69,738 443,948 -- (1)
Affiliated Investment Companies Shares
Sold............................................... (1) (14) 15,802 90,087
Futures............................................. -- -- -- --
Translation of Foreign Currency Denominated
Amounts............................................ (227) 105 -- --
Forward Currency Contracts.......................... -- -- -- --
---------- ---------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 114,265 505,681 25,742 99,288
---------- ---------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (22,576) (52,690) (4,797) (8,966)
Net Short-Term Gains:
Institutional Class Shares.......................... -- -- -- (67)
Net Long-Term Gains:
Institutional Class Shares.......................... -- -- (1,076) (1,231)
---------- ---------- -------- --------
Total Distributions................................ (22,576) (52,690) (5,873) (10,264)
---------- ---------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................ 610,154 1,011,672 197,664 124,892
Shares Issued in Lieu of Cash Distributions.......... 21,509 50,176 5,600 10,005
Shares Redeemed...................................... (275,013) (365,917) (72,622) (47,259)
---------- ---------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 356,649 695,931 130,642 87,638
---------- ---------- -------- --------
Total Increase (Decrease) in Net Assets............ 448,339 1,148,922 150,511 176,662
Net Assets
Beginning of Period.................................. 2,805,367 1,656,445 546,891 370,229
---------- ---------- -------- --------
End of Period........................................ $3,253,706 $2,805,367 $697,402 $546,891
========== ========== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 48,494 92,982 11,987 8,416
Shares Issued in Lieu of Cash Distributions.......... 1,775 4,555 344 690
Shares Redeemed...................................... (21,902) (33,482) (4,272) (3,225)
---------- ---------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 28,367 64,055 8,059 5,881
========== ========== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ 14,559 $ 4,361 $ (34) $ (4)
Selectively Hedged Global
Equity Portfolio
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 2,940 $ 6,540
Capital Gain Distributions Received from Affiliated
Investment Companies................................ 1,607 894
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... (1) --
Affiliated Investment Companies Shares
Sold............................................... 2,281 (555)
Futures............................................. 2,531 2,398
Foreign Currency Transactions....................... -- --
Forward Currency Contracts.......................... (3,348) (1,466)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.......... 5 5
Affiliated Investment Companies Shares
Sold............................................... 8,108 64,639
Futures............................................. (1,801) 1,354
Translation of Foreign Currency Denominated
Amounts............................................ -- --
Forward Currency Contracts.......................... 1,336 775
-------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 13,658 74,584
-------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......................... (6,606) (6,477)
Net Short-Term Gains:
Institutional Class Shares.......................... (1,478) (260)
Net Long-Term Gains:
Institutional Class Shares.......................... (3,086) (2,369)
-------- --------
Total Distributions................................ (11,170) (9,106)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................ 68,631 90,620
Shares Issued in Lieu of Cash Distributions.......... 11,131 9,105
Shares Redeemed...................................... (70,283) (52,903)
-------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 9,479 46,822
-------- --------
Total Increase (Decrease) in Net Assets............ 11,967 112,300
Net Assets
Beginning of Period.................................. 402,204 289,904
-------- --------
End of Period........................................ $414,171 $402,204
======== ========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 4,094 6,000
Shares Issued in Lieu of Cash Distributions.......... 679 649
Shares Redeemed...................................... (4,190) (3,520)
-------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 583 3,129
======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ (1,066) $ 2,600
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets Small Emerging Markets Value
Emerging Markets Portfolio Cap Portfolio Portfolio
------------------------ ----------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- ----------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 39,928 $ 106,884 $ 54,511 $ 146,645 $ 127,303 $ 398,400
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated
Investment Company*....................... 85,126 (9,141) 245,328 173,759 293,095 (258,290)
Futures.................................... -- 8,254 -- 9,252 -- 19,890
Foreign Currency Transactions.............. 994 (31) (77) 78 1,005 2,920
Change in Unrealized Appreciation
(Depreciation) of:
Transactions Allocated from Affiliated
Investment Company........................ 130,204 1,198,559 140,406 931,907 899,083 3,745,161
Futures.................................... -- 1,186 -- 854 -- 3,766
Translation of Foreign Currency
Denominated Amounts....................... (43) (71) (79) (194) (97) (53)
----------- ----------- ---------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 256,209 1,305,640 440,089 1,262,301 1,320,389 3,911,794
----------- ----------- ---------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares............................ -- -- -- -- (375) (847)
Institutional Class Shares................. (34,123) (107,522) (104,901) (147,304) (227,276) (339,766)
Net Short-Term Gains:
Institutional Class Shares................. -- -- (27,396) (10,357) -- --
Net Long-Term Gains:
Institutional Class Shares................. -- -- (145,194) (117,099) -- --
----------- ----------- ---------- ----------- ----------- -----------
Total Distributions....................... (34,123) (107,522) (277,491) (274,760) (227,651) (340,613)
----------- ----------- ---------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 870,610 1,476,279 746,481 1,554,965 1,373,081 2,459,482
Shares Issued in Lieu of Cash Distributions. 31,675 100,892 264,108 259,430 216,745 322,816
Shares Redeemed............................. (1,495,183) (1,057,775) (586,794) (1,011,728) (2,256,365) (3,341,295)
----------- ----------- ---------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... (592,898) 519,396 423,795 802,667 (666,539) (558,997)
----------- ----------- ---------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... (370,812) 1,717,514 586,393 1,790,208 426,199 3,012,184
Net Assets
Beginning of Period......................... 6,632,914 4,915,400 7,249,717 5,459,509 19,414,428 16,402,244
----------- ----------- ---------- ----------- ----------- -----------
End of Period............................... $ 6,262,102 $ 6,632,914 $7,836,110 $ 7,249,717 $19,840,627 $19,414,428
=========== =========== ========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................... 28,329 56,711 30,931 75,223 42,877 90,920
Shares Issued in Lieu of Cash Distributions. 1,074 3,823 11,543 13,320 7,204 11,717
Shares Redeemed............................. (49,442) (39,854) (24,229) (47,673) (71,182) (122,531)
----------- ----------- ---------- ----------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... (20,039) 20,680 18,245 40,870 (21,101) (19,894)
=========== =========== ========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 3,312 $ (2,493) $ (43,421) $ 6,969 $ (93,976) $ 6,372
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $144 and $144,
respectively.
See accompanying Notes to Financial Statements.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets Core
Equity Portfolio
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................................. $ 192,464 $ 463,779
Net Realized Gain (Loss) on:
Investment Securities Sold*................................................ 74,060 (87,713)
Affiliated Investment Companies Shares Sold................................ (124) (17)
Futures.................................................................... 18,221 29,430
Foreign Currency Transactions.............................................. (1,498) (3,967)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................. 1,009,322 4,549,390
Affiliated Investment Companies Shares Sold................................ (27) (115)
Futures.................................................................... (15,447) 9,334
Translation of Foreign Currency Denominated Amounts........................ (165) (275)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations........... 1,276,806 4,959,846
----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................................................. (165,807) (449,166)
----------- -----------
Total Distributions....................................................... (165,807) (449,166)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................................ 3,498,439 6,836,743
Shares Issued in Lieu of Cash Distributions.................................. 156,581 422,561
Shares Redeemed.............................................................. (2,143,242) (3,397,228)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions................... 1,511,778 3,862,076
----------- -----------
Total Increase (Decrease) in Net Assets................................... 2,622,777 8,372,756
Net Assets
Beginning of Period.......................................................... 27,085,722 18,712,966
----------- -----------
End of Period................................................................ $29,708,499 $27,085,722
=========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................................................ 148,809 342,803
Shares Issued in Lieu of Cash Distributions.................................. 7,041 20,857
Shares Redeemed.............................................................. (91,153) (170,351)
----------- -----------
Net Increase (Decrease) from Shares Issued and Redeemed................... 64,697 193,309
=========== ===========
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... $ 32,981 $ 6,324
----------
* Net of foreign capital gain taxes withheld of $5 and $0, respectively.
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio
-------------------------------------------------------------- --------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2018 2017 2016 2015 2014 2013 2018
------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period.......... $ 14.54 $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 15.93
-------- -------- -------- -------- -------- -------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.12 0.18 0.10 0.07 0.07 0.07 0.13
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.26 2.63 0.45 0.53 1.94 2.42 0.58
-------- -------- -------- -------- -------- -------- ----------
Total from Investment Operations........... 0.38 2.81 0.55 0.60 2.01 2.49 0.71
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.13) (0.13) (0.08) (0.05) (0.06) (0.08) (0.13)
Net Realized Gains.......................... (2.04) (0.36) (0.79) (1.66) -- -- --
-------- -------- -------- -------- -------- -------- ----------
Total Distributions........................ (2.17) (0.49) (0.87) (1.71) (0.06) (0.08) (0.13)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 12.75 $ 14.54 $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 16.51
============================================= =========== ======== ======== ======== ======== ======== ===========
Total Return.................................. 2.41%(D) 23.53% 4.75% 5.25% 17.18% 26.99% 4.44%(D)
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $336,888 $322,347 $238,413 $203,641 $216,719 $212,840 $1,378,573
Ratio of Expenses to Average Net Assets....... 0.15%(E) 0.18% 0.23% 0.24% 0.23% 0.24% 0.17%(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))................................. 0.23%(E) 0.24% 0.24% 0.24% 0.23% 0.24% 0.17%(E)
Ratio of Net Investment Income to Average
Net Assets................................... 1.83%(E) 1.36% 0.80% 0.53% 0.55% 0.63% 1.63%(E)
Portfolio Turnover Rate....................... 48%(D) 122% 119% 223% 202% 139% 3%(D)
------------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Equity Portfolio
----------------------------------------------------
Period
Year Year Year Year June 25,
Ended Ended Ended Ended 2013(a) to
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.......... $ 13.06 $ 12.86 $ 12.65 $ 11.07 $ 10.00
---------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.26 0.25 0.23 0.21 0.06
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 2.87 0.19 0.21 1.57 1.04
---------- -------- -------- -------- --------
Total from Investment Operations........... 3.13 0.44 0.44 1.78 1.10
---------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.26) (0.24) (0.21) (0.20) (0.03)
Net Realized Gains.......................... -- -- (0.02) -- --
---------- -------- -------- -------- --------
Total Distributions........................ (0.26) (0.24) (0.23) (0.20) (0.03)
---------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 15.93 $ 13.06 $ 12.86 $ 12.65 $ 11.07
============================================= ========== ======== ======== ======== ==========
Total Return.................................. 24.16% 3.51% 3.49% 16.19% 11.01%(D)
---------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $1,212,883 $851,323 $699,144 $274,955 $135,407
Ratio of Expenses to Average Net Assets....... 0.17% 0.18% 0.19% 0.19% 0.19%(C)(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))................................. 0.17% 0.17% 0.19% 0.20% 0.25%(C)(E)
Ratio of Net Investment Income to Average
Net Assets................................... 1.74% 1.99% 1.77% 1.75% 1.58%(C)(E)
Portfolio Turnover Rate....................... 11% 12% 12% 1% 0%(D)
---------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio
-------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 38.84 $ 32.63 $ 33.27 $ 33.75 $ 29.72 $ 22.34
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.38 0.74 0.70 0.69 0.56 0.47
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 1.03 6.99 0.71 (0.32) 4.02 7.38
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations..... 1.41 7.73 1.41 0.37 4.58 7.85
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.34) (0.70) (0.70) (0.66) (0.55) (0.47)
Net Realized Gains..................... (1.83) (0.82) (1.35) (0.19) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (2.17) (1.52) (2.05) (0.85) (0.55) (0.47)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 38.08 $ 38.84 $ 32.63 $ 33.27 $ 33.75 $ 29.72
======================================= =========== =========== =========== =========== =========== ===========
Total Return............................ 3.59%(D) 24.11% 4.58% 1.16% 15.49% 35.52%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $24,842,758 $23,732,871 $17,673,253 $15,807,935 $15,146,981 $11,963,072
Ratio of Expenses to Average Net
Assets (B)............................. 0.27%(E) 0.27% 0.27% 0.27% 0.27% 0.27%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)......... 0.37%(E) 0.37% 0.37% 0.30% 0.27% 0.27%
Ratio of Net Investment Income to
Average Net Assets..................... 1.96%(E) 2.03% 2.24% 2.04% 1.75% 1.82%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares
-----------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 25.15 $ 21.26 $ 21.58 $ 23.19 $ 22.63 $17.28
------- ------- ------- ------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.14 0.25 0.24 0.26 0.18 0.27
Net Gains (Losses) on Securities (Realized and Unrealized). 0.46 4.66 0.60 (0.61) 1.86 6.28
------- ------- ------- ------- ------- ------
Total from Investment Operations.......................... 0.60 4.91 0.84 (0.35) 2.04 6.55
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.13) (0.24) (0.27) (0.25) (0.16) (0.22)
Net Realized Gains......................................... (1.09) (0.78) (0.89) (1.01) (1.32) (0.98)
------- ------- ------- ------- ------- ------
Total Distributions....................................... (1.22) (1.02) (1.16) (1.26) (1.48) (1.20)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 24.53 $ 25.15 $ 21.26 $ 21.58 $ 23.19 $22.63
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 2.41%(D) 23.32% 4.21% (1.33)% 9.47% 40.39%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $54,383 $54,960 $35,661 $40,159 $16,971 $9,470
Ratio of Expenses to Average Net Assets...................... 0.47%(E) 0.47% 0.47% 0.47% 0.47% 0.47%
Ratio of Net Investment Income to Average Net Assets......... 1.16%(E) 1.03% 1.16% 1.15% 0.79% 1.42%
Portfolio Turnover Rate...................................... 9% (D) 23% 28% 15% 10% 16%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R2 Shares
-------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 25.03 $ 21.16 $ 21.51 $ 23.12 $ 22.57 $ 17.26
-------- -------- -------- -------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.12 0.21 0.20 0.23 0.15 0.19
Net Gains (Losses) on Securities (Realized and Unrealized). 0.46 4.65 0.60 (0.61) 1.84 6.31
-------- -------- -------- -------- ------- -------
Total from Investment Operations.......................... 0.58 4.86 0.80 (0.38) 1.99 6.50
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.12) (0.21) (0.26) (0.22) (0.12) (0.21)
Net Realized Gains......................................... (1.09) (0.78) (0.89) (1.01) (1.32) (0.98)
-------- -------- -------- -------- ------- -------
Total Distributions....................................... (1.21) (0.99) (1.15) (1.23) (1.44) (1.19)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 24.40 $ 25.03 $ 21.16 $ 21.51 $ 23.12 $ 22.57
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 2.32%(D) 23.17% 4.04% (1.49)% 9.30% 40.10%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $162,517 $156,809 $147,945 $135,412 $82,977 $23,305
Ratio of Expenses to Average Net Assets...................... 0.62%(E) 0.62% 0.62% 0.63% 0.62% 0.62%
Ratio of Net Investment Income to Average Net Assets......... 1.01%(E) 0.90% 1.00% 1.02% 0.64% 0.95%
Portfolio Turnover Rate...................................... 9%(D) 23% 28% 15% 10% 16%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares
----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 25.16 $ 21.26 $ 21.56 $ 23.16 $ 22.60 $ 17.28
----------- ----------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.16 0.27 0.25 0.29 0.21 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.45 4.67 0.60 (0.61) 1.85 6.31
----------- ----------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 0.61 4.94 0.85 (0.32) 2.06 6.55
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.14) (0.26) (0.26) (0.27) (0.18) (0.25)
Net Realized Gains..................... (1.09) (0.78) (0.89) (1.01) (1.32) (0.98)
----------- ----------- ---------- ---------- ---------- ----------
Total Distributions.................. (1.23) (1.04) (1.15) (1.28) (1.50) (1.23)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 24.54 $ 25.16 $ 21.26 $ 21.56 $ 23.16 $ 22.60
======================================= =========== =========== ========== ========== ========== ==========
Total Return............................ 2.45%(D) 23.46% 4.29% (1.20)% 9.58% 40.40%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $10,650,751 $10,528,662 $7,884,683 $6,987,896 $5,490,959 $4,180,974
Ratio of Expenses to Average Net Assets. 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to
Average Net Assets..................... 1.26%(E) 1.13% 1.24% 1.28% 0.90% 1.25%
Portfolio Turnover Rate................. 9%(D) 23% 28% 15% 10% 16%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Value Portfolio
-------------------------------------------------------
Six Months Year Year Year
Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015
----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 39.07 $ 32.75 $ 33.08 $ 35.82
----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.19 0.31 0.32 0.41
Net Gains (Losses) on Securities (Realized and Unrealized). (3.71) 7.71 1.06 (1.44)
----------- ----------- ----------- -----------
Total from Investment Operations.......................... (3.52) 8.02 1.38 (1.03)
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... 0.17 (0.30) (0.33) (0.38)
Net Realized Gains......................................... 1.80 (1.40) (1.38) (1.33)
----------- ----------- ----------- -----------
Total Distributions....................................... 1.97 (1.70) (1.71) (1.71)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 37.52 $ 39.07 $ 32.75 $ 33.08
============================================================= =========== =========== =========== ===========
Total Return................................................. 1.08%(D) 24.67% 4.49% (2.83)%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $15,206,779 $15,165,867 $12,613,185 $11,680,262
Ratio of Expenses to Average Net Assets...................... 0.52%(E) 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 1.01%(E) 0.83% 1.01% 1.18%
Portfolio Turnover Rate...................................... 9%(D) 24% 19% 17%
----------------------------------------------------------------------------------------------------------------------
------------------------
Year Year
Ended Ended
Oct. 31, Oct. 31,
2014 2013
--------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... $ 34.48 $ 26.57
----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.23 0.39
Net Gains (Losses) on Securities (Realized and Unrealized). 2.93 9.41
----------- ----------
Total from Investment Operations.......................... 3.16 9.80
--------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.22) (0.37)
Net Realized Gains......................................... (1.60) (1.52)
----------- ----------
Total Distributions....................................... (1.82) (1.89)
--------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 35.82 $ 34.48
============================================================= =========== ==========
Total Return................................................. 9.49% 39.35%
--------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $11,512,306 $9,526,981
Ratio of Expenses to Average Net Assets...................... 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 0.66% 1.28%
Portfolio Turnover Rate...................................... 9% 14%
--------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio
------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 22.01 $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.18 0.33 0.33 0.31 0.27 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.16 4.12 0.30 0.26 2.02 3.62
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment Operations....... 0.34 4.45 0.63 0.57 2.29 3.87
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... 0.16 (0.35) (0.32) (0.30) (0.25) (0.24)
Net Realized Gains...................... 0.13 (0.09) (0.21) (0.08) (0.07) --
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions.................... 0.29 (0.44) (0.53) (0.38) (0.32) (0.24)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 22.64 $ 22.01 $ 18.00 $ 17.90 $ 17.71 $ 15.74
========================================== =========== =========== =========== =========== =========== ==========
Total Return.............................. 4.19%(D) 24.93% 3.68% 3.26% 14.72% 32.32%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $22,288,808 $20,762,742 $14,960,159 $13,275,774 $10,780,830 $7,566,179
Ratio of Expenses to Average Net
Assets................................... 0.18%(E) 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average
Net Assets............................... 1.56%(E) 1.64% 1.88% 1.71% 1.61% 1.79%
Portfolio Turnover Rate................... 1%(D) 3% 4% 4% 5% 1%
---------------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 Portfolio
------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 20.90 $ 17.19 $ 17.26 $ 17.34 $ 15.62 $ 11.99
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.16 0.31 0.31 0.30 0.26 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.09) 3.83 0.25 0.02 1.86 3.73
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment Operations....... 0.07 4.14 0.56 0.32 2.12 3.97
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... 0.15 (0.31) (0.30) (0.28) (0.24) (0.24)
Net Realized Gains...................... 0.20 (0.12) (0.33) (0.12) (0.16) (0.10)
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions.................... 0.35 (0.43) (0.63) (0.40) (0.40) (0.34)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 21.32 $ 20.90 $ 17.19 $ 17.26 $ 17.34 $ 15.62
========================================== =========== =========== =========== =========== =========== ==========
Total Return.............................. 3.72%(D) 24.36% 3.47% 1.92% 13.78% 33.66%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $24,088,937 $22,515,418 $16,851,046 $15,200,564 $12,919,176 $9,989,564
Ratio of Expenses to Average Net
Assets................................... 0.21%(E) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average
Net Assets............................... 1.53%(E) 1.59% 1.87% 1.68% 1.55% 1.74%
Portfolio Turnover Rate................... 2%(D) 5% 4% 5% 6% 3%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
133
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Vector Equity Portfolio
---------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 19.16 $ 15.93 $ 16.22 $ 17.04 $ 15.62
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.13 0.24 0.25 0.25 0.21
Net Gains (Losses) on Securities (Realized and Unrealized). (1.15) 3.65 0.24 (0.30) 1.62
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... (1.02) 3.89 0.49 (0.05) 1.83
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... 0.12 (0.23) (0.25) (0.24) (0.19)
Net Realized Gains......................................... 0.67 (0.43) (0.53) (0.53) (0.22)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... 0.79 (0.66) (0.78) (0.77) (0.41)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 18.93 $ 19.16 $ 15.93 $ 16.22 $ 17.04
============================================================= =========== ========== ========== ========== ==========
Total Return................................................. 2.92%(D) 24.73% 3.28% (0.18)% 11.91%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $4,750,253 $4,724,003 $3,822,647 $3,651,529 $3,501,319
Ratio of Expenses to Average Net Assets...................... 0.32%(E) 0.32% 0.32% 0.32% 0.32%
Ratio of Net Investment Income to Average Net Assets......... 1.40%(E) 1.36% 1.64% 1.50% 1.26%
Portfolio Turnover Rate...................................... 5%(D) 10% 10% 10% 10%
------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2013
-------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... $ 11.61
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.20
Net Gains (Losses) on Securities (Realized and Unrealized). 4.03
----------
Total from Investment Operations.......................... 4.23
-------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.20)
Net Realized Gains......................................... (0.02)
----------
Total Distributions....................................... (0.22)
-------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 15.62
============================================================= ==========
Total Return................................................. 36.80%
-------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $2,893,842
Ratio of Expenses to Average Net Assets...................... 0.32%
Ratio of Net Investment Income to Average Net Assets......... 1.50%
Portfolio Turnover Rate...................................... 3%
-------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 36.48 $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11
----------- ----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.21 0.35 0.34 0.35 0.26 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.52 7.17 0.77 0.33 2.27 8.13
----------- ----------- ----------- ----------- ---------- ----------
Total from Investment Operations............... 0.73 7.52 1.11 0.68 2.53 8.48
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.19) (0.35) (0.35) (0.33) (0.24) (0.36)
Net Realized Gains.............................. (1.40) (0.83) (1.46) (0.89) (0.94) (1.20)
----------- ----------- ----------- ----------- ---------- ----------
Total Distributions............................ (1.59) (1.18) (1.81) (1.22) (1.18) (1.56)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 35.62 $ 36.48 $ 30.14 $ 30.84 $ 31.38 $ 30.03
================================================= =========== =========== =========== =========== ========== ==========
Total Return...................................... 2.01%(D) 25.21% 3.89% 2.34% 8.67% 39.03%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $17,523,149 $16,931,787 $12,977,199 $10,616,542 $9,247,716 $7,446,827
Ratio of Expenses to Average Net Assets........... 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average
Net Assets....................................... 1.17%(E) 1.04% 1.16% 1.10% 0.86% 1.33%
Portfolio Turnover Rate........................... 6%(D) 14% 10% 11% 9% 10%
----------------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio
-------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 22.76 $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.10 0.16 0.16 0.16 0.14 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.28 5.12 0.60 0.02 1.35 5.57
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 0.38 5.28 0.76 0.18 1.49 5.76
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.09) (0.16) (0.16) (0.16) (0.13) (0.20)
Net Realized Gains.............................. (1.01) (0.94) (1.02) (1.12) (0.90) (0.76)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................ (1.10) (1.10) (1.18) (1.28) (1.03) (0.96)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 22.04 $ 22.76 $ 18.58 $ 19.00 $ 20.10 $ 19.64
================================================= ========== ========== ========== ========== ========== ==========
Total Return...................................... 1.70%(D) 28.91% 4.32% 1.11% 7.88% 41.34%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $6,457,528 $6,306,730 $5,128,323 $5,007,091 $5,029,027 $4,695,831
Ratio of Expenses to Average Net Assets........... 0.52%(E) 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average
Net Assets....................................... 0.87%(E) 0.75% 0.88% 0.82% 0.69% 1.16%
Portfolio Turnover Rate........................... 6%(D) 15% 15% 14% 12% 11%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. High Relative Profitability Portfolio
------------------------------------- ---------------
Period
Six Months May 16, Six Months
Ended 2017(a) to Ended
April 30, Oct. 31, April 30,
2018 2017 2018
-------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period.............................. $ 10.93 $ 10.00 $ 34.99
-------- -------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... -- 0.07 0.69
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.74 0.91 (2.08)
-------- -------- ----------
Total from Investment Operations.. 0.74 0.98 (1.39)
-------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.07) (0.05) (0.70)
Net Realized Gains.................. -- -- (0.11)
-------- -------- ----------
Total Distributions............... (0.07) (0.05) (0.81)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 11.60 $ 10.93 $ 32.79
=================================== ==================== ================== ===========
Total Return (D)..................... 6.80% 9.84% (4.10)%(D)
-------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $379,383 $141,073 $8,388,593
Ratio of Expenses to Average Net
Assets (E).......................... 0.25% 0.23%(C) 0.18%(E)
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered
by Advisor and (Fees Paid
Indirectly)) (E).................... 0.27% 0.35%(C) 0.19%(E)
Ratio of Net Investment Income to
Average Net Assets (E).............. 1.42% 1.45%(C) 4.12%(E)
Portfolio Turnover Rate (D).......... 4% 0% 1%(D)
-------------------------------------------------------------------------------------------------
DFA Real Estate Securities Portfolio
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period.............................. $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.84 1.09 0.90 0.72 0.67
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 1.12 1.18 0.95 4.62 1.95
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.. 1.96 2.27 1.85 5.34 2.62
-------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.98) (0.99) (1.05) (0.87) (0.68)
Net Realized Gains.................. (0.31) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............... (1.29) (0.99) (1.05) (0.87) (0.68)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 34.99 $ 34.32 $ 33.04 $ 32.24 $ 27.77
=================================== ========== ========== ========== ========== ==========
Total Return (D)..................... 5.86% 6.89% 5.89% 19.80% 10.28%
-------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $8,281,176 $7,260,180 $6,553,192 $6,607,759 $4,677,418
Ratio of Expenses to Average Net
Assets (E).......................... 0.18% 0.18% 0.18% 0.18% 0.18%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered
by Advisor and (Fees Paid
Indirectly)) (E).................... 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets (E).............. 2.43% 3.15% 2.75% 2.48% 2.42%
Portfolio Turnover Rate (D).......... 1% 3% 4% 0% 1%
-------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
136
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Large Cap International Portfolio
---------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 22.20 $ 18.33
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.32 0.58 0.57 0.58 0.75 0.58
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.40 4.00 (0.86) (1.24) (0.62) 3.90
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 0.72 4.58 (0.29) (0.66) 0.13 4.48
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.21) (0.58) (0.55) (0.57) (0.74) (0.61)
Net Realized Gains.......................... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.21) (0.58) (0.55) (0.57) (0.74) (0.61)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 24.03 $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 22.20
============================================= =========== ========== ========== ========== ========== ==========
Total Return.................................. 3.08%(D) 23.79% (1.30)% (3.10)% 0.47% 24.85%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $4,985,826 $4,723,090 $3,527,775 $3,150,334 $3,127,847 $2,755,114
Ratio of Expenses to Average Net Assets....... 0.23%(E) 0.25% 0.28% 0.29% 0.28% 0.29%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))................................. 0.23%(E) 0.25% 0.28% 0.29% 0.28% 0.29%
Ratio of Net Investment Income to Average
Net Assets................................... 2.66%(E) 2.72% 2.95% 2.71% 3.35% 2.90%
Portfolio Turnover Rate....................... 3%(D) 10% 10% 10% 4% 5%
----------------------------------------------------------------------------------------------------------------------------
International Core Equity Portfolio
--------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 14.23 $ 11.58 $ 11.69 $ 12.15 $ 12.57 $ 10.10
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.18 0.34 0.32 0.32 0.38 0.31
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.32 2.63 (0.15) (0.45) (0.43) 2.47
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment Operations........... 0.50 2.97 0.17 (0.13) (0.05) 2.78
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.12) (0.32) (0.28) (0.33) (0.37) (0.31)
Net Realized Gains.......................... -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions........................ (0.12) (0.32) (0.28) (0.33) (0.37) (0.31)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 14.61 $ 14.23 $ 11.58 $ 11.69 $ 12.15 $ 12.57
============================================= =========== =========== =========== =========== =========== ==========
Total Return.................................. 3.57%(D) 26.02% 1.62% (1.10)% (0.55)% 27.98%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $29,015,338 $25,443,968 $16,983,011 $14,420,568 $12,294,542 $9,508,466
Ratio of Expenses to Average Net Assets....... 0.30%(E) 0.30% 0.38% 0.38% 0.38% 0.39%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))................................. 0.29%(E) 0.32% 0.38% 0.38% 0.38% 0.39%
Ratio of Net Investment Income to Average
Net Assets................................... 2.51%(E) 2.62% 2.83% 2.63% 3.01% 2.80%
Portfolio Turnover Rate....................... 2%(D) 6% 2% 4% 7% 3%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
137
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Small Company Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 21.52 $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28
----------- ----------- ----------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.22 0.41 0.43 0.41 0.42 0.42
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.61 4.13 0.48 0.12 (0.62) 4.16
----------- ----------- ----------- ---------- ---------- ----------
Total from Investment
Operations................. 0.83 4.54 0.91 0.53 (0.20) 4.58
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.31) (0.34) (0.51) (0.42) (0.42) (0.37)
Net Realized Gains............ (0.67) (0.46) (0.40) (0.57) (0.54) (0.09)
----------- ----------- ----------- ---------- ---------- ----------
Total Distributions......... (0.98) (0.80) (0.91) (0.99) (0.96) (0.46)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 21.37 $ 21.52 $ 17.78 $ 17.78 $ 18.24 $ 19.40
============================== =========== =========== =========== ========== ========== ==========
Total Return................... 4.02%(D) 26.54% 5.43% 3.30% (1.09)% 30.66%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $14,325,136 $13,490,290 $10,387,361 $9,323,492 $8,844,517 $8,520,717
Ratio of Expenses to Average
Net Assets (B)................ 0.53%(E) 0.53% 0.53% 0.54% 0.53% 0.54%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor) (B)..... 0.53%(E) 0.53% 0.53% 0.54% 0.53% 0.54%
Ratio of Net Investment
Income to Average Net Assets.. 2.09%(E) 2.14% 2.47% 2.30% 2.15% 2.47%
---------------------------------------------------------------------------------------------------------------
Global Small Company
Portfolio
----------------------
Period
Six Months Jan. 18,
Ended 2017(a) to
April 30, Oct. 31,
2018 2017
-------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 11.53 $ 10.00
------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.09 0.14
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.29 1.39
------- -------
Total from Investment
Operations................. 0.38 1.53
-------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.17) --
Net Realized Gains............ (0.07) --
------- -------
Total Distributions......... (0.24) --
-------------------------------------------------------------
Net Asset Value, End of Period. $ 11.67 $ 11.53
============================== =========== ==========
Total Return................... 3.30%(D) 15.30%(D)
-------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $25,696 $15,021
Ratio of Expenses to Average
Net Assets (B)................ 0.49%(E) 0.42%(C)(E)
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor) (B)..... 0.93%(E) 1.14%(C)(E)
Ratio of Net Investment
Income to Average Net Assets.. 1.52%(E) 1.74%(C)(E)
-------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
138
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Japanese Small Company Portfolio
-------------------------------------------------------------- -------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2018 2017 2016 2015 2014 2013 2018
----------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period............... $ 28.56 $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 23.71
-------- -------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.26 0.37 0.32 0.25 0.24 0.26 0.38
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.46 5.61 2.51 1.36 0.13 4.21 0.50
-------- -------- -------- -------- -------- -------- --------
Total from Investment Operations................ 1.72 5.98 2.83 1.61 0.37 4.47 0.88
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.70) (0.43) (0.28) (0.30) (0.55) (0.13) (0.96)
Net Realized Gains............................... -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total Distributions............................. (0.70) (0.43) (0.28) (0.30) (0.55) (0.13) (0.96)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 29.58 $ 28.56 $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 23.63
=================================================== =========== ======== ======== ======== ======== ======== ===========
Total Return....................................... 6.09%(D) 26.56% 14.04% 8.62% 2.00% 30.06% 3.79%(D)
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $714,836 $647,978 $509,413 $463,997 $508,190 $414,132 $372,669
Ratio of Expenses to Average Net Assets (B)........ 0.53%(E) 0.54% 0.54% 0.54% 0.55% 0.56% 0.54%(E)
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by
Advisor) (B)...................................... 0.63%(E) 0.64% 0.64% 0.57% 0.55% 0.56% 0.64%(E)
Ratio of Net Investment Income to Average
Net Assets........................................ 1.79%(E) 1.50% 1.57% 1.27% 1.25% 1.51% 3.22%(E)
----------------------------------------------------------------------------------------------------------------------------------
Asia Pacific Small Company Portfolio
---------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period............... $ 21.27 $ 19.06 $ 22.88 $ 24.82 $ 23.22
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.74 0.71 0.75 0.83 1.01
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 2.45 2.24 (3.51) (1.81) 1.37
-------- -------- -------- -------- --------
Total from Investment Operations................ 3.19 2.95 (2.76) (0.98) 2.38
-------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.75) (0.74) (1.06) (0.96) (0.78)
Net Realized Gains............................... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions............................. (0.75) (0.74) (1.06) (0.96) (0.78)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 23.71 $ 21.27 $ 19.06 $ 22.88 $ 24.82
=================================================== ======== ======== ======== ======== ========
Total Return....................................... 15.70% 16.18% (12.19)% (3.84)% 10.46%
-------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $332,153 $251,575 $200,270 $364,117 $331,166
Ratio of Expenses to Average Net Assets (B)........ 0.54% 0.54% 0.55% 0.55% 0.57%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by
Advisor) (B)...................................... 0.64% 0.64% 0.57% 0.55% 0.57%
Ratio of Net Investment Income to Average
Net Assets........................................ 3.41% 3.57% 3.67% 3.53% 4.26%
-------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
139
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
United Kingdom Small Company Portfolio
---------------------------------------------------------- ----------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2018 2017 2016 2015 2014 2013 2018
------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period...... $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 28.24
------- ------- ------- ------- ------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.43 0.87 1.18 1.06 0.95 0.88 0.26
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.87 6.67 (6.55) 1.95 (0.65) 9.17 0.65
------- ------- ------- ------- ------- ------- --------
Total from Investment Operations....... 1.30 7.54 (5.37) 3.01 0.30 10.05 0.91
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.44) (0.93) (1.29) (1.05) (0.93) (0.90) (0.07)
Net Realized Gains...................... (2.13) (1.15) (1.63) (2.38) (0.41) -- (0.21)
------- ------- ------- ------- ------- ------- --------
Total Distributions.................... (2.57) (2.08) (2.92) (3.43) (1.34) (0.90) (0.28)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 31.40 $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 28.87
========================================== =========== ======== ======== ======== ======== ======== ===========
Total Return.............................. 4.43%(D) 29.28% (16.20)% 9.43% 0.73% 36.81% 3.27%(D)
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $42,928 $45,177 $32,323 $35,637 $35,050 $37,096 $767,244
Ratio of Expenses to Average Net
Assets (B)............................... 0.58%(E) 0.59% 0.59% 0.58% 0.58% 0.59% 0.54%(B)(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly)) (B).................... 0.68%(E) 0.71% 0.71% 0.62% 0.62% 0.63% 0.64%(B)(E)
Ratio of Net Investment Income to Average
Net Assets............................... 2.77%(E) 2.93% 3.87% 2.99% 2.50% 2.79% 1.82%(E)
------------------------------------------------------------------------------------------------------------------------
Continental Small Company Portfolio
-------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period...... $ 21.48 $ 20.74 $ 19.34 $ 20.26 $ 14.51
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.45 0.43 0.43 0.42 0.37
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 6.73 0.72 1.38 (0.90) 5.78
-------- -------- -------- -------- --------
Total from Investment Operations....... 7.18 1.15 1.81 (0.48) 6.15
-----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.42) (0.41) (0.41) (0.44) (0.40)
Net Realized Gains...................... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions.................... (0.42) (0.41) (0.41) (0.44) (0.40)
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 28.24 $ 21.48 $ 20.74 $ 19.34 $ 20.26
========================================== ======== ======== ======== ======== ========
Total Return.............................. 33.68% 5.70% 9.37% (2.68)% 42.99%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $592,347 $292,117 $278,024 $168,961 $170,806
Ratio of Expenses to Average Net
Assets (B)............................... 0.56%(B) 0.54%(B) 0.55%(B) 0.56%(B) 0.58%(B)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly)) (B).................... 0.66%(B) 0.64%(B) 0.58%(B) 0.56%(B) 0.58%(B)
Ratio of Net Investment Income to Average
Net Assets............................... 1.78% 2.08% 2.09% 1.97% 2.16%
-----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Real Estate Securities Portfolio
--------------------------------------------------------------------------
Period
Six Months July 10, Year Year Year Year
Ended 2017(a) to Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 5.07 $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.11 0.21 0.20 0.19 0.22 0.22
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.27 0.04 (0.15) (0.22) 0.19 0.25
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 0.38 0.25 0.05 (0.03) 0.41 0.47
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.22) (0.41) (0.09) (0.33) (0.26) (0.66)
Net Realized Gains...................... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.22) (0.41) (0.09) (0.33) (0.26) (0.66)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 5.23 $ 5.07 $ 5.23 $ 5.27 $ 5.63 $ 5.48
========================================== =========== ========== ========== ========== ========== ==========
Total Return.............................. 7.58%(D) 5.46% 1.05% (0.37)% 8.21% 9.24%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $5,797,821 $5,497,753 $4,181,623 $3,540,092 $3,088,376 $2,158,977
Ratio of Expenses to Average Net
Assets................................... 0.27%(E) 0.28% 0.28% 0.32% 0.38% 0.39%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly))........................ 0.28%(E) 0.28% 0.28% 0.32% 0.38% 0.39%
Ratio of Net Investment Income to Average
Net Assets............................... 4.39%(E) 4.19% 3.71% 3.64% 4.14% 4.07%
Portfolio Turnover Rate................... 3% 1% 1% 2% 1% 5%
-----------------------------------------------------------------------------------------------------------------------
DFA Global Real Estate Securities Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 10.90 $ 10.84 $ 10.59 $ 10.63 $ 9.59
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.30 0.43 0.27 0.44 0.31
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (0.28) 0.15 0.23 (0.09) 1.05
---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 0.02 0.58 0.50 0.35 1.36
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.34) (0.49) (0.25) (0.39) (0.32)
Net Realized Gains...................... (0.07) (0.03) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.41) (0.52) (0.25) (0.39) (0.32)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 10.51 $ 10.90 $ 10.84 $ 10.59 $ 10.63
========================================== =========== ========== ========== ========== ==========
Total Return.............................. 0.01%(D) 5.82% 4.87% 3.44% 14.98%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $7,145,116 $6,753,782 $4,888,955 $4,059,916 $3,305,472
Ratio of Expenses to Average Net
Assets................................... 0.24%(B)(E) 0.24%(B) 0.24%(B) 0.27%(B) 0.32%(B)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly))........................ 0.35%(B)(E) 0.37%(B) 0.38%(B) 0.45%(B) 0.55%(B)
Ratio of Net Investment Income to Average
Net Assets............................... 5.64%(E) 4.03% 2.45% 4.16% 3.21%
Portfolio Turnover Rate................... 3%(D) 2% 2% 1% N/A
-------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2013
---------------------------------------------------------
Net Asset Value, Beginning of Period...... $ 9.33
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........ 0.49
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.37
----------
Total from Investment Operations....... 0.86
---------------------------------------------------------
Less Distributions
------------------
Net Investment Income................... (0.60)
Net Realized Gains...................... --
----------
Total Distributions.................... (0.60)
---------------------------------------------------------
Net Asset Value, End of Period............ $ 9.59
========================================== ==========
Total Return.............................. 9.74%
---------------------------------------------------------
Net Assets, End of Period (thousands)..... $2,082,707
Ratio of Expenses to Average Net
Assets................................... 0.32%(B)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly))........................ 0.55%(B)
Ratio of Net Investment Income to Average
Net Assets............................... 5.18%
Portfolio Turnover Rate................... N/A
---------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
141
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Small Cap Value Portfolio
-------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 23.51 $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.22 0.39 0.44 0.38 0.37 0.37
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.37 4.72 0.29 0.22 (0.34) 5.21
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations........... 0.59 5.11 0.73 0.60 0.03 5.58
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.46) (0.29) (0.58) (0.37) (0.35) (0.36)
Net Realized Gains.......................... (0.74) (0.62) (0.28) (0.34) (0.30) (0.21)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions........................ (1.20) (0.91) (0.86) (0.71) (0.65) (0.57)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 22.90 $ 23.51 $ 19.31 $ 19.44 $ 19.55 $ 20.17
============================================= =========== =========== =========== =========== =========== ===========
Total Return.................................. 2.64%(D) 27.49% 4.09% 3.31% 0.13% 37.79%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $16,241,192 $16,162,471 $13,009,729 $12,577,575 $11,684,771 $11,148,899
Ratio of Expenses to Average Net Assets....... 0.68%(E) 0.68% 0.68% 0.69% 0.68% 0.69%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))................................. 0.68%(E) 0.68% 0.68% 0.69% 0.68% 0.69%
Ratio of Net Investment Income to Average
Net Assets................................... 1.89%(E) 1.85% 2.38% 1.94% 1.78% 2.16%
Portfolio Turnover Rate....................... 11%(D) 21% 19% 18% 8% 9%
--------------------------------------------------------------------------------------------------------------------------------
International Vector Equity Portfolio
---------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.......... $ 13.33 $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.15 0.28 0.28 0.28 0.32 0.26
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.35 2.57 0.05 (0.41) (0.43) 2.44
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 0.50 2.85 0.33 (0.13) (0.11) 2.70
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.15) (0.28) (0.27) (0.27) (0.30) (0.25)
Net Realized Gains.......................... (0.05) (0.02) (0.04) (0.10) (0.08) (0.03)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.20) (0.30) (0.31) (0.37) (0.38) (0.28)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 13.63 $ 13.33 $ 10.78 $ 10.76 $ 11.26 $ 11.75
============================================= =========== ========== ========== ========== ========== ==========
Total Return.................................. 3.81%(D) 26.83% 3.21% (1.14)% (1.05)% 29.52%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $2,698,738 $2,529,852 $1,856,474 $1,594,914 $1,305,553 $1,090,774
Ratio of Expenses to Average Net Assets....... 0.48%(E) 0.49% 0.49% 0.50% 0.49% 0.51%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))................................. 0.48%(E) 0.49% 0.49% 0.50% 0.49% 0.51%
Ratio of Net Investment Income to Average
Net Assets................................... 2.25%(E) 2.36% 2.73% 2.50% 2.64% 2.51%
Portfolio Turnover Rate....................... 7%(D) 5% 4% 8% 8% 2%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
142
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International High Relative
Profitability Portfolio
---------------------- ----------------
Period
Six Months May 16, Six Months
Ended 2017(a) to Ended
April 30, Oct. 31, April 30,
2018 2017 2018
------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period........................ $ 10.68 $ 10.00 $ 12.71
-------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.14 0.08 0.16
Net Gains (Losses) on Securities (Realized and Unrealized). 0.13 0.66 0.48
-------- ------- --------
Total from Investment Operations......................... 0.27 0.74 0.64
------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.07) (0.06) (0.20)
Net Realized Gains......................................... -- -- --
-------- ------- --------
Total Distributions...................................... (0.07) (0.06) (0.20)
------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 10.88 $ 10.68 $ 13.15
=========================================================== =========== ========== ===========
Total Return................................................ 2.57%(D) 7.38%(D) 5.11%(D)
------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $182,228 $67,793 $248,868
Ratio of Expenses to Average Net Assets..................... 0.35%(E) 0.31%(C)(E) 0.51%(B)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................. 0.36%(E) 0.65%(C)(E) 0.73%(B)(E)
Ratio of Net Investment Income to Average Net Assets........ 2.57%(E) 1.76%(C)(E) 2.54%(E)
Portfolio Turnover Rate..................................... 3%(D) 2% N/A
------------------------------------------------------------------------------------------------------------
World ex U.S. Value Portfolio
-------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.31 0.31 0.30 0.42 0.29
Net Gains (Losses) on Securities (Realized and Unrealized). 2.33 0.03 (1.18) (0.50) 2.02
-------- -------- -------- -------- --------
Total from Investment Operations......................... 2.64 0.34 (0.88) (0.08) 2.31
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.24) (0.31) (0.27) (0.42) (0.32)
Net Realized Gains......................................... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions...................................... (0.24) (0.31) (0.27) (0.42) (0.32)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 12.71 $ 10.31 $ 10.28 $ 11.43 $ 11.93
=========================================================== ======== ======== ======== ======== ========
Total Return................................................ 25.97% 3.54% (7.77)% (0.81)% 23.61%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $246,551 $188,154 $155,301 $113,951 $117,587
Ratio of Expenses to Average Net Assets..................... 0.52%(B) 0.53%(B) 0.53%(B) 0.57%(B) 0.60%(B)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................. 0.75%(B) 0.76%(B) 0.75%(B) 0.76%(B) 0.76%(B)
Ratio of Net Investment Income to Average Net Assets........ 2.69% 3.20% 2.69% 3.54% 2.61%
Portfolio Turnover Rate..................................... N/A N/A N/A N/A N/A
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
143
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World ex U.S. Targeted Value Portfolio
---------------------------------------------------------------
Period
Six Months Year Year Year Year Nov. 1,
Ended Ended Ended Ended Ended 2012(a) to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 15.06 $ 12.04 $ 11.44 $ 12.08 $ 12.46 $ 10.00
-------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.12 0.28 0.25 0.23 0.23 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.39 3.01 0.55 (0.58) (0.22) 2.46
-------- -------- -------- -------- -------- -------
Total from Investment Operations................ 0.51 3.29 0.80 (0.35) 0.01 2.66
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.08) (0.27) (0.20) (0.26) (0.24) (0.20)
Net Realized Gains............................... (0.26) -- -- (0.03) (0.15) --
-------- -------- -------- -------- -------- -------
Total Distributions............................. (0.34) (0.27) (0.20) (0.29) (0.39) (0.20)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 15.23 $ 15.06 $ 12.04 $ 11.44 $ 12.08 $ 12.46
=================================================== =========== ======== ======== ======== ======== ==========
Total Return....................................... 3.50%(D) 27.61% 7.18% (2.88)% 0.06% 26.90%(D)
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $527,259 $466,504 $281,212 $227,731 $151,096 $96,010
Ratio of Expenses to Average Net Assets............ 0.66%(E) 0.67% 0.76% 0.65% 0.69% 0.79%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding
(Fees Paid Indirectly)) (B)....................... 0.66%(E) 0.67% 0.77% 1.06% 1.17% 1.27%(C)(E)
Ratio of Net Investment Income to Average
Net Assets........................................ 1.59%(E) 2.04% 2.18% 1.95% 1.84% 1.78%(C)(E)
Portfolio Turnover Rate............................ 11%(D) 17% 28% 1% N/A N/A
---------------------------------------------------------------------------------------------------------------------------
World ex U.S. Core Equity Portfolio
--------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 12.15 $ 9.93 $ 9.83 $ 10.49 $ 10.77
---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.13 0.27 0.26 0.26 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.36 2.21 0.08 (0.72) (0.27)
---------- ---------- ---------- ---------- --------
Total from Investment Operations................ 0.49 2.48 0.34 (0.46) 0.01
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.09) (0.26) (0.24) (0.20) (0.28)
Net Realized Gains............................... -- -- -- -- (0.01)
---------- ---------- ---------- ---------- --------
Total Distributions............................. (0.09) (0.26) (0.24) (0.20) (0.29)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 12.55 $ 12.15 $ 9.93 $ 9.83 $ 10.49
=================================================== =========== ========== ========== ========== ========
Total Return....................................... 4.09%(D) 25.33% 3.58% (4.50)% (0.04)%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $3,253,706 $2,805,367 $1,656,445 $1,170,828 $406,648
Ratio of Expenses to Average Net Assets............ 0.39%(E) 0.40% 0.47% 0.47% 0.47%
Ratio of Expenses to Average Net Assets (Excluding
(Fees Paid Indirectly)) (B)....................... 0.37%(E) 0.40% 0.47% 0.52% 0.88%
Ratio of Net Investment Income to Average
Net Assets........................................ 2.13%(E) 2.48% 2.67% 2.54% 2.59%
Portfolio Turnover Rate............................ 2%(D) 4% 1% 1% N/A
-------------------------------------------------------------------------------------------------------------------
----------
Period
April 9,
2013(a) to
Oct. 31,
2013
--------------------------------------------------------------------
Net Asset Value, Beginning of Period............... $ 10.00
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.18
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.77
--------
Total from Investment Operations................ 0.95
--------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.18)
Net Realized Gains............................... --
--------
Total Distributions............................. (0.18)
--------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 10.77
=================================================== ==========
Total Return....................................... 9.62%(D)
--------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $129,720
Ratio of Expenses to Average Net Assets............ 0.47%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding
(Fees Paid Indirectly)) (B)....................... 0.97%(C)(E)
Ratio of Net Investment Income to Average
Net Assets........................................ 3.12%(C)(E)
Portfolio Turnover Rate............................ N/A
--------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
144
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World Core Equity Portfolio
-------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.................... $ 16.06 $ 13.14 $ 12.94 $ 13.33 $ 12.71 $10.24
-------- -------- -------- -------- ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.12 0.29 0.27 0.26 0.17 0.23
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 0.53 2.98 0.20 (0.35) 0.87 2.47
-------- -------- -------- -------- ------- ------
Total from Investment Operations..................... 0.65 3.27 0.47 (0.09) 1.04 2.70
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.12) (0.30) (0.26) (0.26) (0.24) (0.23)
Net Realized Gains.................................... (0.03) (0.05) (0.01) (0.04) (0.18) --
-------- -------- -------- -------- ------- ------
Total Distributions.................................. (0.15) (0.35) (0.27) (0.30) (0.42) (0.23)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 16.56 $ 16.06 $ 13.14 $ 12.94 $ 13.33 $12.71
======================================================== =========== ======== ======== ======== ======== ========
Total Return............................................ 4.04%(D) 25.14% 3.73% (0.61)% 8.36% 26.77%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $697,402 $546,891 $370,229 $202,655 $75,707 $1,728
Ratio of Expenses to Average Net Assets (B)............. 0.35%(E) 0.35% 0.35% 0.35% 0.35% 0.40%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor) (B).................. 0.60%(E) 0.60% 0.64% 0.65% 0.97% 5.71%
Ratio of Net Investment Income to Average Net Assets.... 1.44%(E) 1.95% 2.14% 1.95% 1.27% 2.01%
------------------------------------------------------------------------------------------------------------------------
Selectively Hedged Global Equity Portfolio
--------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.................... $ 16.52 $ 13.67 $ 13.50 $ 14.20 $ 13.63 $ 10.87
-------- -------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)...................... 0.12 0.29 0.26 0.27 0.27 0.24
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 0.44 2.98 0.30 (0.34) 0.76 2.65
-------- -------- -------- -------- -------- -------
Total from Investment Operations..................... 0.56 3.27 0.56 (0.07) 1.03 2.89
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................. (0.27) (0.30) (0.35) (0.42) (0.32) (0.10)
Net Realized Gains.................................... (0.19) (0.12) (0.04) (0.21) (0.14) (0.03)
-------- -------- -------- -------- -------- -------
Total Distributions.................................. (0.46) (0.42) (0.39) (0.63) (0.46) (0.13)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......................... $ 16.62 $ 16.52 $ 13.67 $ 13.50 $ 14.20 $ 13.63
======================================================== =========== ======== ======== ======== ======== ========
Total Return............................................ 3.38%(D) 24.54% 4.32% (0.34)% 7.83% 26.86%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $414,171 $402,204 $289,904 $245,106 $147,276 $91,348
Ratio of Expenses to Average Net Assets (B)............. 0.34%(E) 0.35% 0.35% 0.40% 0.40% 0.40%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor) (B).................. 0.61%(E) 0.62% 0.64% 0.66% 0.69% 0.72%
Ratio of Net Investment Income to Average Net Assets.... 1.42%(E) 1.90% 2.03% 1.93% 1.94% 1.93%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
145
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 29.55 $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.19 0.49 0.45 0.49 0.56 0.52
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 0.72 5.43 1.95 (4.54) (0.20) 1.17
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations................ 0.91 5.92 2.40 (4.05) 0.36 1.69
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ 0.17 (0.49) (0.45) (0.42) (0.53) (0.50)
Net Realized Gains............................... -- -- -- -- (0.16) (0.28)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................. 0.17 (0.49) (0.45) (0.42) (0.69) (0.78)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 30.63 $ 29.55 $ 24.12 $ 22.17 $ 26.64 $ 26.97
=================================================== =========== ========== ========== ========== ========== ==========
Total Return....................................... 4.24%(D) 24.83% 11.01% (15.24)% 1.33% 6.58%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $6,262,102 $6,632,914 $4,915,400 $4,321,530 $4,073,698 $3,655,740
Ratio of Expenses to Average Net Assets (B)........ 0.48%(E) 0.50% 0.56% 0.57% 0.56% 0.57%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by
Advisor) (B)...................................... 0.58%(E) 0.60% 0.66% 0.60% 0.56% 0.57%
Ratio of Net Investment Income to Average
Net Assets........................................ 1.25%(E) 1.88% 2.04% 1.97% 2.11% 1.97%
--------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Small Cap Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 23.49 $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.17 0.49 0.45 0.43 0.43 0.40
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.20 3.58 2.04 (2.53) 0.62 1.37
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations................ 1.37 4.07 2.49 (2.10) 1.05 1.77
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.34) (0.51) (0.47) (0.41) (0.40) (0.39)
Net Realized Gains............................... (0.55) (0.46) (0.14) (0.40) (0.33) (0.61)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................. (0.89) (0.97) (0.61) (0.81) (0.73) (1.00)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 23.97 $ 23.49 $ 20.39 $ 18.51 $ 21.42 $ 21.10
=================================================== =========== ========== ========== ========== ========== ==========
Total Return....................................... 6.02%(D) 21.00% 13.96% (9.88)% 5.12% 8.92%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $7,836,110 $7,249,717 $5,459,509 $4,845,174 $4,860,603 $4,041,863
Ratio of Expenses to Average Net Assets (B)........ 0.71%(E) 0.73% 0.72% 0.73% 0.72% 0.75%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by
Advisor) (B)...................................... 0.91%(E) 0.93% 0.92% 0.78% 0.72% 0.75%
Ratio of Net Investment Income to Average
Net Assets........................................ 1.42%(E) 2.32% 2.43% 2.16% 2.02% 1.91%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
146
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares
------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 30.13 $ 24.71 $ 22.18 $ 27.79 $ 29.27 $ 28.21
------- ------- ------- ------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.16 0.31 0.46 0.49 0.59 0.47
Net Gains (Losses) on Securities (Realized and Unrealized). 1.87 5.60 2.75 (5.61) (1.10) 1.68
------- ------- ------- ------- ------- --------
Total from Investment Operations......................... 2.03 5.91 3.21 (5.12) (0.51) 2.15
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.35) (0.49) (0.68) (0.49) (0.55) (0.50)
Net Realized Gains......................................... -- -- -- -- (0.42) (0.59)
------- ------- ------- ------- ------- --------
Total Distributions...................................... (0.35) (0.49) (0.68) (0.49) (0.97) (1.09)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 31.81 $ 30.13 $ 24.71 $ 22.18 $ 27.79 $ 29.27
=========================================================== =========== ======== ======== ======== ======== ========
Total Return................................................ 6.83%(D) 24.11% 14.98% (18.49)% (1.75)% 7.75%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $29,362 $31,198 $97,923 $74,076 $99,066 $106,070
Ratio of Expenses to Average Net Assets (B)................. 0.81%(E) 0.81% 0.81% 0.81% 0.80% 0.82%
Ratio of Expenses to Average Net Assets (Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid Indirectly) (B)........ 0.91%(E) 0.91% 0.91% 0.84% 0.80% 0.82%
Ratio of Net Investment Income to Average Net Assets........ 1.03%(E) 1.19% 2.08% 1.93% 2.09% 1.65%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
147
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Institutional Class Shares
---------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 30.32 $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.20 0.61 0.51 0.54 0.66 0.55
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 1.88 5.40 2.77 (5.60) (1.10) 1.67
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations................. 2.08 6.01 3.28 (5.06) (0.44) 2.22
------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.36) (0.53) (0.66) (0.53) (0.61) (0.57)
Net Realized Gains............ -- -- -- -- (0.42) (0.59)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions......... (0.36) (0.53) (0.66) (0.53) (1.03) (1.16)
------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 32.04 $ 30.32 $ 24.84 $ 22.22 $ 27.81 $ 29.28
============================== =========== =========== =========== =========== =========== ===========
Total Return................... 6.95%(D) 24.41% 15.23% (18.27)% (1.51)% 8.01%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $19,811,265 $19,383,230 $16,304,321 $14,834,888 $18,647,276 $19,162,837
Ratio of Expenses to Average
Net Assets (B)................ 0.56%(E) 0.57% 0.56% 0.56% 0.55% 0.57%
Ratio of Expenses to Average
Net Assets (Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor
and (Fees Paid Indirectly))
(B)........................... 0.66%(E) 0.67% 0.66% 0.59% 0.55% 0.57%
Ratio of Net Investment
Income to Average Net Assets.. 1.28%(E) 2.23% 2.31% 2.12% 2.35% 1.91%
------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
148
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio
--------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.15 0.42 0.37 0.39 0.42 0.39
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.63 3.95 1.59 (3.29) (0.03) 1.07
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations................. 0.78 4.37 1.96 (2.90) 0.39 1.46
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... 0.14 (0.39) (0.37) (0.37) (0.40) (0.37)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions......... 0.14 (0.39) (0.37) (0.37) (0.40) (0.37)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 23.30 $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 20.09
============================== =========== =========== =========== =========== =========== ===========
Total Return................... 4.75%(D) 24.02% 11.87% (14.49)% 1.89% 7.75%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $29,708,499 $27,085,722 $18,712,966 $14,856,878 $15,727,547 $13,020,962
Ratio of Expenses to Average
Net Assets.................... 0.53%(E) 0.55% 0.61% 0.62% 0.61% 0.63%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
(Fees Paid Indirectly))....... 0.52%(E) 0.56% 0.61% 0.62% 0.61% 0.63%
Ratio of Net Investment
Income to Average Net Assets.. 1.33%(E) 2.08% 2.20% 2.06% 2.10% 1.97%
Portfolio Turnover Rate........ 2%(D) 4% 3% 5% 2% 1%
-----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
149
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of one hundred and
two operational portfolios, of which thirty-four (the "Portfolios") are
included in this section of the report. The remaining operational portfolios
are presented in separate reports. The Portfolios are investment companies, and
accordingly, follow the accounting and reporting guidance under Financial
Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC")
Topic 946, "Financial Services-Investment Companies."
Of the Portfolios, seven invest all of their assets in a corresponding
series of The DFA Investment Trust Company ("DFAITC") and one invests all of
its assets in the Dimensional Emerging Markets Value Fund ("DEM") (each such
series within DFAITC and DEM, a "Master Fund"). International Small Company
Portfolio invests in five Master Funds within DFAITC. Global Small Company
Portfolio invests in six Master Funds within DFAITC and one underlying fund
within the Fund (each such underlying fund within the Fund, an "Underlying
Fund"). DFA Global Real Estate Securities Portfolio invests in two Underlying
Funds within the Fund and directly in securities. World ex U.S. Value Portfolio
invests in three Master/Underlying Funds within the Fund, DFAITC, and DEM.
World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio each
invest in three Underlying Funds within the Fund. At April 30, 2018, the
following Portfolios were the owner of record of the following approximate
percentages of the total outstanding shares of the following Master/Underlying
Funds as detailed below:
Percentage
Ownership
Feeder Funds Master/Underlying Funds at 04/30/18
------------ ----------------------- -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 86%
Japanese Small Company Portfolio The Japanese Small Company Series 16%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 19%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2%
Continental Small Company Portfolio The Continental Small Company Series 12%
Emerging Markets Portfolio The Emerging Markets Series 99%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99%
Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 99%
Percentage
Ownership
Fund of Funds Master/Underlying Funds at 04/30/18
------------- ----------------------- -----------
International Small Company Portfolio The Continental Small Company Series 87%
The Japanese Small Company Series 84%
The United Kingdom Small Company Series 97%
The Asia Pacific Small Company Series 81%
The Canadian Small Company Series 97%
Global Small Company Portfolio U.S. Small Cap Portfolio --
The Continental Small Company Series --
The Japanese Small Company Series --
The Asia Pacific Small Company Series --
The Canadian Small Company Series --
The Emerging Markets Small Cap Series --
The United Kingdom Small Company Series --
150
Percentage
Ownership
Fund of Funds Master/Underlying Funds at 04/30/18
------------- ----------------------- -----------
DFA Global Real Estate Securities Portfolio* DFA Real Estate Securities Portfolio 18%
DFA International Real Estate Securities Portfolio 43%
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --
DFA International Small Cap Value Portfolio --
The DFA International Value Series 1%
World Core Equity Portfolio U.S. Core Equity 1 Portfolio 2%
International Core Equity Portfolio 1%
Emerging Markets Core Equity Portfolio --
Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio 1%
International Core Equity Portfolio --
Emerging Markets Core Equity Portfolio --
* DFA Global Real Estate Securities Portfolio invests in two Underlying Funds
as indicated and securities listed on its Summary Schedule of Investments.
To achieve its investment objective, each Feeder Fund and Fund of Funds
invests primarily in corresponding Master and/or Underlying Funds as indicated
above. The DFA Global Real Estate Securities Portfolio may pursue its
investment objective by investing its assets in its Underlying Funds and/or
directly in securities of companies in the real estate industry. Each Feeder
Fund and Fund of Funds also invest in short-term temporary cash investments and
futures. In addition, each international and global Fund of Funds may engage in
forward currency contracts.
The financial statements of the Feeder Funds' Master Funds are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Feeder Funds.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Enhanced U.S. Large Company Portfolio, U.S. Large Cap
Equity Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value
Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S.
Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio,
DFA Real Estate Securities Portfolio and U.S. High Relative Profitability
Portfolio (the "Domestic Equity Portfolios") and Large Cap International
Portfolio, International Core Equity Portfolio, DFA International Real Estate
Securities Portfolio, DFA Global Real
151
Estate Securities Portfolio, DFA International Small Cap Value Portfolio,
International Vector Equity Portfolio, World ex U.S. Targeted Value Portfolio,
World ex U.S. Core Equity Portfolio, Emerging Markets Core Equity Portfolio and
International High Relative Profitability Portfolio (the "International Equity
Portfolios"), including over-the-counter securities, are valued at the last
quoted sale price of the day. International equity securities are subject to a
fair value factor, as described later in this note. Securities held by the
Domestic Equity Portfolios and the International Equity Portfolios that are
listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If
there is no last reported sale price or NOCP for the day, the Domestic Equity
Portfolios and the International Equity Portfolios value the securities within
the range of the most recent quoted bid and ask prices. Price information on
listed securities is taken from the exchange where the security is primarily
traded. Generally, securities issued by open-end management investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Directors of
the Fund has determined that movements in relevant indices or other appropriate
market indicators, after the close of the Tokyo Stock Exchange or the London
Stock Exchange, demonstrate that market quotations may be unreliable. Fair
valuation of portfolio securities may occur on a daily basis. The fair value
pricing by the International Equity Portfolios utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When an International Equity
Portfolio uses fair value pricing, the values assigned to the International
Equity Portfolio's foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Debt securities held by the Portfolios are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of Directors
of the Fund. These valuations are generally categorized as Level 2 in the
hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. Over-the-counter derivative contracts, which include forward
currency contracts, do not require material subjectivity as pricing inputs are
observed from quoted markets and are categorized as Level 2 in the hierarchy.
152
Shares held by the Portfolios in other investment companies (such as the
Master/Underlying Funds) are valued at their respective daily net asset values
as reported by their administrator. The Feeder Funds', International Small
Company Portfolio's, Global Small Company Portfolio's and World ex U.S. Value
Portfolio's investments in Series of DFAITC or DEM reflect their proportionate
interest in the net assets of such corresponding Master Fund(s). These
valuations are classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Summary
Schedule of Portfolio Holdings/Schedule of Investments (except for the Feeder
Funds). The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the Portfolios whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and ask prices for the U.S. dollar as quoted by generally recognized
reliable sources. Dividend and interest income and certain expenses are
translated to U.S. dollars at the rate of exchange on their respective accrual
dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The Portfolios also
enter into forward currency contracts solely for the purpose of hedging against
fluctuations in currency exchange rates. These contracts are marked-to-market
daily based on daily forward exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, the
Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity
Portfolio do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Equity Portfolios, Enhanced U.S. Large Company Portfolio and
Selectively Hedged Global Equity Portfolio and the U.S. dollar equivalent
amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board
153
(unless the Director files an amended Notice selecting a different distribution
date). As of April 30, 2018, none of the Directors have requested or received a
distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities/affiliated investment companies and foreign currency are accounted
for on the basis of identified cost. Dividend income and distributions to
shareholders are recorded on the ex-dividend date. Distributions received on
securities and from the investment in affiliated investment companies that
represent a return of capital or capital gains are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of distributions received that may be considered return
of capital distributions. Interest income is recorded on an accrual basis.
Discount and premium on debt securities purchased are amortized over the lives
of the respective securities, utilizing the effective interest method. Expenses
directly attributable to a Portfolio are directly charged. Common expenses of
the Fund or the Portfolios are allocated using methods approved by the Board,
generally based on average net assets.
Organizational costs are expensed during the fiscal year of inception of the
Portfolios. Offering costs are amortized over a twelve-month period from the
inception of the Portfolios.
Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal
rights to assets and earnings of a Portfolio. Income, gains and losses, and
common expenses of a Portfolio are allocated to each class of shares based on
its relative net assets. Each class will bear its own class-specific expenses,
if any.
The Feeder Funds, International Small Company Portfolio, Global Small
Company Portfolio, and World ex U.S. Value Portfolio each recognize their
pro-rata share of net investment income and realized and unrealized
gains/losses on a daily basis from their respective Master Fund(s) within
DFAITC or DEM, which are treated as partnerships for federal income tax
purposes.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned or
throughout the holding period. Some countries require governmental approval for
the repatriation of investment income, capital or the proceeds of sales earned
by foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging
Markets Value Portfolio, World ex U.S. Core Portfolio and Emerging Markets Core
Equity Portfolio are subject to a 15% tax on short-term capital gains for
investments in India. Such taxes are due upon sale of individual securities.
The capital gains taxes are recognized when the capital gains are earned.
C. Investment Advisor and Administrator:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to all Portfolios.
For the six months ended April 30, 2018, the Portfolios' investment management
fees were accrued daily and paid monthly to the Advisor based on the following
effective annual rates of average daily net assets:
Enhanced U.S. Large Company Portfolio...... 0.20%
U.S. Large Cap Equity Portfolio............ 0.15%
U.S. Large Cap Value Portfolio............. 0.25%
U.S. Targeted Value Portfolio.............. 0.35%
U.S. Small Cap Value Portfolio............. 0.50%
U.S. Core Equity 1 Portfolio............... 0.17%
U.S. Core Equity 2 Portfolio............... 0.20%
U.S. Vector Equity Portfolio............... 0.30%
U.S. Small Cap Portfolio................... 0.35%
U.S. Micro Cap Portfolio................... 0.50%
U.S. High Relative Profitability Portfolio. 0.20%
154
DFA Real Estate Securities Portfolio................ 0.17%
Large Cap International Portfolio................... 0.20%
International Core Equity Portfolio................. 0.27%
International Small Company Portfolio............... 0.40%
Global Small Company Portfolio...................... 0.45%
Japanese Small Company Portfolio.................... 0.50%
Asia Pacific Small Company Portfolio................ 0.50%
United Kingdom Small Company Portfolio.............. 0.50%
Continental Small Company Portfolio................. 0.50%
DFA International Real Estate Securities Portfolio.. 0.25%
DFA Global Real Estate Securities Portfolio......... 0.20%
DFA International Small Cap Value Portfolio......... 0.65%
International Vector Equity Portfolio............... 0.45%
International High Relative Profitability Portfolio. 0.25%
World ex U.S. Value Portfolio....................... 0.47%
World ex U.S. Targeted Value Portfolio.............. 0.58%
World ex U.S. Core Equity Portfolio................. 0.32%
World Core Equity Portfolio......................... 0.30%
Selectively Hedged Global Equity Portfolio.......... 0.30%
Emerging Markets Portfolio.......................... 0.42%
Emerging Markets Small Cap Portfolio................ 0.65%
Emerging Markets Value Portfolio.................... 0.50%
Emerging Markets Core Equity Portfolio.............. 0.47%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees, and in certain instances, assume certain expenses of the
Portfolios, as described in the notes below. The Fee Waiver Agreement for the
non-Feeder Funds below, and a portion of the Fee Waiver Agreement for certain
Feeder Funds below, will remain in effect through February 28, 2019 and may
only be terminated by the Fund's Board of Directors prior to that date. The Fee
Waiver Agreement for such Portfolios shall continue in effect from year to year
thereafter unless terminated by the Fund or the Advisor. The Fee Waiver
Agreement with respect to the total management fees paid by the Feeder Funds,
as described in the notes below, will remain in effect permanently, unless
terminated by a Feeder Fund. For the six months ended April 30, 2018, the
Portfolios had expense limits based on a percentage of average net assets on an
annualized basis, and the Advisor recovered previously waived fees and/or
expenses assumed as listed below (amounts in thousands). Previously waived
fees/expenses assumed subject to future recovery by the Advisor and the net
amount of waived fees/expenses assumed (recovered previously waived
fees/expenses assumed) during the six months ended April 30, 2018, are also
reflected below (amounts in thousands). The Fund, on behalf of the non-feeder
Portfolios listed, is not obligated to reimburse the Advisor for fees
previously waived or expenses previously assumed by the Advisor more than 36
months before the date of recovery. With respect to each Fee Waiver Agreement,
prior year expenses can be recaptured only if the current expense ratio is less
than the prior year expense cap that was in place when such prior year expenses
were waived. With respect to the World ex U.S. Value Portfolio, World ex U.S.
Targeted Value Portfolio, World Core Equity Portfolio and Selectively Hedged
Global Equity Portfolio, the Advisor shall also not be reimbursed for any
management fees previously waived to offset a Portfolio's proportionate share
of the management fees paid by such Portfolio through its investment in other
funds managed by the Advisor.
Previously Net Waived
Recovery Waived Fees/ Fees/Expenses
of Previously Expenses Assumed (Recovered
Expense Waived Fees/ Assumed Previously Waived
Limitation Expenses Subject to Future Fees/Expenses
Institutional Class Shares Amount Assumed Recovery Assumed)
-------------------------- ---------- ------------- ----------------- ------------------
Enhanced U.S. Large Company Portfolio (1). 0.15% $ 1 $294 $ 137
U.S. Large Cap Equity Portfolio (1)....... 0.19% -- -- --
U.S. Large Cap Value Portfolio (2)........ 0.25% -- -- 12,423
155
Previously Net Waived
Recovery Waived Fees/ Fees/Expenses
of Previously Expenses Assumed (Recovered
Expense Waived Fees/ Assumed Previously Waived
Limitation Expenses Subject to Future Fees/Expenses
Institutional Class Shares Amount Assumed Recovery Assumed)
-------------------------- ---------- ------------- ----------------- ------------------
U.S. Targeted Value Portfolio (3)................... 0.50% -- -- --
U.S. Core Equity 1 Portfolio (1).................... 0.23% -- -- --
U.S. Core Equity 2 Portfolio (1).................... 0.26% -- -- --
U.S. Vector Equity Portfolio (1).................... 0.36% -- -- --
U.S. High Relative Profitability Portfolio (4)...... 0.25% -- $ 84 $ 28
DFA Real Estate Securities Portfolio (1)............ 0.18% $ 1 2,165 292
Large Cap International Portfolio (1)............... 0.24% 40 -- (40)
International Core Equity Portfolio (1)............. 0.30% 828 1,807 (785)
International Small Company Portfolio (5)........... 0.45% -- -- --
Global Small Company Portfolio (4).................. 0.49% -- 101 43
Japanese Small Company Portfolio (6)................ 0.47% -- -- 341
Asia Pacific Small Company Portfolio (6)............ 0.47% -- -- 177
United Kingdom Small Company
Portfolio (6)..................................... 0.47% 2 19 20
Continental Small Company Portfolio (6)............. 0.47% -- -- 352
DFA International Real Estate Securities
Portfolio (7)..................................... 0.29% -- -- --
DFA Global Real Estate Securities
Portfolio (8)..................................... 0.24% -- 20,739 3,830
International Vector Equity Portfolio (1)........... 0.60% -- -- --
International High Relative Profitability Portfolio
(4)............................................... 0.35% 11 67 5
World ex U.S. Value Portfolio (9)................... 0.60% -- -- 276
World ex U.S. Targeted Value Portfolio (10)......... 0.80% -- -- --
World ex U.S. Core Equity Portfolio (11)............ 0.39% 377 549 (377)
World Core Equity Portfolio (12).................... 0.35% 120 11 773
Selectively Hedged Global Equity
Portfolio (13).................................... 0.40% -- -- 550
Emerging Markets Portfolio (14)..................... 0.49% -- -- 3,198
Emerging Markets Small Cap Portfolio (2)............ 0.65% -- -- 7,685
Emerging Markets Value Portfolio (2)................ 0.50% -- -- 9,934
Emerging Markets Core Equity Portfolio (1).......... 0.54% 1,257 -- (1,257)
Class R1 Shares
---------------
U.S. Targeted Value Portfolio (15).................. 0.62% -- -- --
Class R2 Shares
---------------
U.S. Targeted Value Portfolio (15).................. 0.77% -- -- --
Emerging Markets Value Portfolio (16)............... 0.96% -- -- 16
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume each Portfolio's ordinary operating expenses
(excluding the expenses a Portfolio incurs indirectly through investment in
other investment companies) ("Portfolio Expenses") to the extent necessary to
limit the Portfolio Expenses of each Portfolio to the rates listed above as a
percentage of average net assets on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a Portfolio are
less than the Expense Limitation Amount listed above for such Portfolio, the
Advisor retains the right to recover any fees previously waived and/or expenses
previously assumed to the extent that such recovery is within thirty-six months
and will not cause the Portfolio's annualized Portfolio Expenses to exceed the
Expense Limitation Amount, as listed above. The Fee Waiver Agreements for the
Enhanced U.S. Large Company Portfolio and Large Cap International Portfolio
became
156
effective on April 3, 2017 and January 1, 2017, respectively. In addition,
prior to January 1, 2017, the Advisor had contractually agreed to waive all or
a portion of its management fee and assume each of the International Core
Equity Portfolio's and Emerging Markets Core Equity Portfolio's Portfolio
Expenses to the extent necessary to limit the Portfolio Expenses of each such
Portfolio to 0.49% and 0.85%, respectively, as a percentage of average net
assets on an annualized basis.
(2) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of each Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
a Portfolio, including the proportionate share of the management fees a
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market Series"), to the rate listed above as a percentage of the average
net assets of a class of a Portfolio on an annualized basis.
(3) The Advisor has contractually agreed to waive its management fee and to
assume the Portfolio's expenses (excluding the expenses the Portfolio incurs
indirectly through investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of shares of the Portfolio to the rate listed above for such class of shares as
a percentage of average net assets on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a class of
shares of the Portfolio are less than the Expense Limitation Amount listed
above for such class of shares, the Advisor retains the right to recover any
fees previously waived and/or expenses previously assumed to the extent that
such recovery is within thirty-six months and will not cause the Portfolio's
annualized Portfolio Expenses for such class of shares to exceed the Expense
Limitation Amount, as listed above.
(4) The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the ordinary operating expenses of a class of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor, excluding money market funds, but excluding
the expenses that the Portfolio incurs indirectly through its investment in
unaffiliated investment companies) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of a class of the Portfolio to the
rate listed above as a percentage of the average net assets of a class of the
Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time
that the Portfolio Expenses of a class of the Portfolio are less than the
Expense Limitation Amount, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that such
recovery is within thirty-six months and will not cause the annualized
Portfolio Expenses for such class of shares of the Portfolio to exceed the
Expense Limitation Amount.
(5) Effective July 21, 2015, the Advisor has contractually agreed to waive
all or a portion of its management fee and to assume the other direct expenses
of a class of the Portfolio (excluding expenses incurred through its investment
in other investment companies) ("Portfolio Expenses") to the extent necessary
to limit the Portfolio Expenses of a class of the Portfolio to the rate listed
above as a percentage of the average net assets of a class of the Portfolio on
an annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses of a class of the Portfolio are less than Expense Limitation
Amount for such class of shares of the Portfolio, the Advisor retains the right
to recover any fees previously waived and/or expenses previously assumed to the
extent that such recovery is within thirty-six months and will not cause the
annualized Portfolio Expenses for such class of shares of the Portfolio to
exceed the applicable Expense Limitation Amount, as listed above. Prior to
July 21, 2015, the Advisor had contractually agreed to waive its administration
fee and to assume Portfolio Expenses to the extent necessary to limit the
Portfolio Expenses of the Portfolio, on an annualized basis, to the Expense
Limitation Amount listed above.
(6) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of each Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
each Portfolio, including the proportionate share of the management fees a
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in the Money Market Series, to 0.50% of the
average net assets of a class of a Portfolio on an annualized basis (the
"Permanent Fee Waiver"). In addition to the Permanent Fee Waiver, the Advisor
has contractually agreed to further waive all or a portion of its management
fee and to assume the other direct expenses of a class of each Portfolio
(excluding expenses incurred through its investment in other
157
investment companies managed by the Advisor) ("Portfolio Expenses") to the
extent necessary to limit the Portfolio Expenses of each class of a Portfolio
to the rates listed above as a percentage of the average net assets of a class
of a Portfolio on an annualized basis (the "Expense Limitation Amount"). At any
time that the Portfolio Expenses of a class of a Portfolio are less than the
applicable Expense Limitation Amount for such class of shares of the Portfolio,
the Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery is within
thirty-six months and will not cause the annualized Portfolio Expenses for such
class of shares of the Portfolio to exceed the applicable Expense Limitation
Amount, as listed above. Except, a Portfolio is not obligated to reimburse the
Advisor for fees waived in connection with the Permanent Fee Waiver. Prior to
July 21, 2015, the Advisor had contractually agreed to waive its administration
fee and to assume each Portfolio's other direct expenses to the extent
necessary to limit the direct expenses of each Portfolio to the Expense
Limitation Amount listed above. The Fee Waiver Agreement did not include the
indirect expenses each Portfolio bore as a shareholder of its Master Fund.
(7) Effective February 28, 2015, the Advisor has contractually agreed to
waive all or a portion of its management fee and to assume the Portfolio's
ordinary operating expenses (excluding the expenses the Portfolio incurs
indirectly through investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of the
Portfolio to the rate listed above as a percentage of the Portfolio's average
net assets on an annualized basis (the "Expense Limitation Amount"). At any
time that the Portfolio Expenses of the Portfolio are less than the Expense
Limitation Amount listed above, the Advisor retains the right to recover any
fees previously waived and/or expenses previously assumed to the extent that
such recovery is within thirty-six months and will not cause the Portfolio's
annualized Portfolio Expenses to exceed the Expense Limitation Amount, as
listed above.
Prior to February 28, 2015, the Advisor had contractually agreed to waive
all or a portion of its advisory fee and to assume the Portfolio Expenses of
the Portfolio to the extent necessary to limit the Portfolio Expenses to 0.65%
of the Portfolio's average net assets on an annualized basis.
(8) Effective February 28, 2015, the Advisor has contractually agreed to
waive all or a portion of its management fee and to assume the expenses of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
its Master Funds but excluding the expenses that the Portfolio incurs
indirectly through investment of its securities lending cash collateral in the
Money Market Series and its investment in unaffiliated investment companies)
("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses
of the Portfolio to the rate listed above as a percentage of the Portfolio's
average net assets on an annualized basis (the "Expense Limitation Amount"). At
any time that the Portfolio Expenses of the Portfolio are less than the Expense
Limitation Amount listed above, the Advisor retains the right to recover any
fees previously waived and/or expenses previously assumed to the extent that
such recovery is within thirty-six months and will not cause the Portfolio's
annualized Portfolio Expenses to exceed the Expense Limitation Amount, as
listed above.
From February 28, 2012 to February 27, 2015, the Advisor had contractually
agreed to waive all or a portion of its advisory fee and to assume the
Portfolio Expenses of the Portfolio to the extent necessary to limit the
Portfolio Expenses to 0.32% of the Portfolio's average net assets on an
annualized basis.
(9) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee of 0.47% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in its Master/Underlying Funds, except for the fees paid through its
investment of securities lending cash collateral in the Money Market Series. In
addition, under the Fee Waiver Agreement, the Advisor also has agreed to waive
all or a portion of the management fee that remains payable by the Portfolio
(i.e., the management fee remaining after the proportionate share of the
Master/Underlying Funds' management fees have been offset (the "Remaining
Management Fee")) to the extent necessary to reduce the Portfolio's ordinary
operating expenses (including expenses incurred through its investment in other
investment companies but excluding the expenses that the Portfolio incurs
indirectly through investment of its securities lending cash collateral in the
Money Market Series) ("Portfolio Expenses") to the rate listed above as a
percentage of average net assets on an annualized basis (the "Expense
Limitation Amount"). The maximum amount that may be waived to limit Portfolio
Expenses is the amount of the Remaining Management Fee. Further, at any time
that the Portfolio Expenses of the Portfolio are less than the Portfolio's
Expense Limitation Amount listed above, the Advisor retains
158
the right to seek reimbursement for any fees previously waived and/or expenses
previously assumed to the extent that such reimbursement is within thirty-six
months and will not cause the Portfolio's annualized Portfolio Expenses to
exceed the Portfolio's Expense Limitation Amount, as listed above.
(10) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee of 0.58% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in its Master/Underlying Funds, except for the fees paid through its
investment of securities lending cash collateral in the Money Market Series. In
addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive
all or a portion of the management fee and to assume the ordinary operating
expenses of a class of the Portfolio (including expenses incurred through its
investment in other investment companies but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in the Money Market Series) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of a class of the Portfolio to the
rate listed above as a percentage of the average net assets of a class of the
Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time
that the Portfolio Expenses of a class of the Portfolio are less than the
Expense Limitation Amount for such class of the Portfolio, the Advisor retains
the right to seek reimbursement for any fees previously waived and/or expenses
previously assumed to the extent that such reimbursement is within thirty-six
months and will not cause the annualized Portfolio Expenses for such class of
shares of the Portfolio to exceed the Expense Limitation Amount, as listed
above.
(11) The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the expenses of a class of the Portfolio
(including the expenses that the Portfolio bears as a shareholder of its
Underlying Funds but excluding the expenses that the Portfolio incurs
indirectly through its investment of its securities lending cash collateral in
the Money Market Series and its investment in unaffiliated investment
companies) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of a class of the Portfolio to the rate listed above as a
percentage of average net assets of a class of the Portfolio on an annualized
basis (the "Expense Limitation Amount"). At any time that the Portfolio
Expenses of a class of the Portfolio are less than the Expense Limitation
Amount for such class of the Portfolio, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously assumed
to the extent that such reimbursement is within thirty-six months and will not
cause the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the Expense Limitation Amount, as listed above.
(12) Effective June 27, 2014, the Advisor has contractually agreed to waive
up to the full amount of the Portfolio's management fee of 0.30% to the extent
necessary to offset the proportionate share of the management fees paid by the
Portfolio through its investment in its Underlying Funds, except for the fees
paid through its investment of securities lending cash collateral in the Money
Market Series (including the Portfolio's proportionate share of any management
fees that a Underlying Fund paid through its investment in an affiliated cash
management fund). In addition, under the Fee Waiver Agreement, the Advisor has
also agreed to assume the expenses of a class of the Portfolio to the extent
necessary to reduce the ordinary operating expenses (including expenses
incurred through its investment in other investment companies but excluding the
expenses that the Portfolio incurs indirectly through investment of its
securities lending cash collateral in the Money Market Series) ("Portfolio
Expenses") of a class of the Portfolio so that such Portfolio Expenses do not
exceed the rate listed above as a percentage of the average net assets of a
class of the Portfolio on an annualized basis (the "Expense Limitation
Amount"). Prior to June 27, 2014, the Expense Limitation Amount was 0.40% of
the average net assets of such class of the Portfolio on an annualized basis.
At any time that the Portfolio Expenses of a class of the Portfolio are less
than the Expense Limitation Amount for such class of shares of the Portfolio,
the Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery is within
thirty-six months and will not cause the annualized Portfolio Expenses for such
class of shares of the Portfolio to exceed the applicable Expense Limitation
Amount.
(13) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee of 0.30% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in its Underlying Funds, except for the fees paid through its
investment of securities lending cash collateral in the Money Market Series. In
addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive
all or a portion of the management fee and to assume the expenses of a class of
the Portfolio to the extent necessary to reduce the ordinary operating expenses
(including expenses incurred through its
159
investment in other investment companies but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in the Money Market Series) ("Portfolio Expenses") of the Portfolio
to the rate listed above as a percentage of average net assets of a class of
the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any
time that the Portfolio Expenses of a class of the Portfolio are less than the
Expense Limitation Amount for such class of the Portfolio listed above, the
Advisor retains the right to seek reimbursement for any fees previously waived
and/or expenses previously assumed to the extent that such reimbursement is
within thirty-six months and will not cause the annualized Portfolio Expenses
for such class of shares of the Portfolio to exceed the Expense Limitation
Amount, as listed above.
(14) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
the Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in the Money Market Series, to 0.42% of the
average net assets of a class of the Portfolio on an annualized basis (the
"Permanent Fee Waiver"). Effective January 1, 2017, in addition to the
Permanent Fee Waiver, the Advisor has contractually agreed to further waive all
or a portion of its management fee and to assume the other direct expenses of a
class of the Portfolio (excluding expenses incurred through its investment in
other investment companies managed by the Advisor) ("Portfolio Expenses") to
the extent necessary to limit the Portfolio Expenses of each class of the
Portfolio to the rate listed above as a percentage of the average net assets of
a class of the Portfolio on an annualized basis (the "Expense Limitation
Amount"). At any time that the Portfolio Expenses of a class of the Portfolio
are less than the Expense Limitation Amount for such class of shares of the
Portfolio, the Advisor retains the right to recover any fees previously waived
and/or expenses previously assumed to the extent that such recovery will not
cause the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the Expense Limitation Amount. Except, the Portfolio is not
obligated to reimburse the Advisor for fees waived in connection with the
Permanent Fee Waiver.
(15) The Advisor has contractually agreed to reduce all or a portion of its
management fee and to assume the direct and indirect expenses of the Class R1
shares and Class R2 shares of the Portfolio (excluding the expenses the
Portfolio incurs indirectly through investment in other investment companies)
("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses
of the Class R1 shares and Class R2 shares of the Portfolio to the rate listed
above for such class of shares as a percentage of average net assets (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of the
Class R1 shares or Class R2 shares of the Portfolio are less than the Expense
Limitation Amount listed above for such class of shares, the Advisor retains
the right to recover any fees previously waived and/or expenses previously
assumed to the extent that such recovery is within thirty-six months and will
not cause the Portfolio's annualized Portfolio Expenses for such class of
shares to exceed the Expense Limitation Amount, as listed above.
(16) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
the Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in the Money Market Series, to 0.50% of the
average net assets of a class of the Portfolio on an annualized basis (the
"Permanent Fee Waiver"). In addition to the Permanent Fee Waiver, the Advisor
has contractually agreed to (including for the period prior to July 21, 2015)
assume the direct expenses of the Class R2 shares of the Portfolio (excluding
management fees and custodian fees) to the extent necessary to limit the
annualized expenses of the Class R2 shares of the Portfolio (excluding the
expenses the Portfolio incurs indirectly through investment in other investment
companies) to the rate listed above as a percentage of the average net assets
of the Class R2 shares of the Portfolio (the "Annualized Expense Ratio"). At
any time that the annualized expenses of the Class R2 shares of the Portfolio
are less than the Annualized Expense Ratio listed above, the Advisor retains
the right to recover any fees previously waived and/or expenses previously
assumed to the extent that the amount of such recovery is within thirty-six
months and does not cause the annualized expense ratio of the Class R2 shares
of the Portfolio to exceed the Annualized Expense Ratio, as listed above.
Except, the Portfolio is not obligated to reimburse the Advisor for fees waived
in connection with the Permanent Fee Waiver.
160
Earned Income Credit:
In addition, Portfolios have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Portfolios' custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the six months ended April 30, 2018, expenses
reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
Large Cap International Portfolio................... $ 60
International Core Equity Portfolio................. 377
DFA International Real Estate Securities Portfolio.. 75
DFA International Small Cap Value Portfolio......... 248
International Vector Equity Portfolio............... 11
International High Relative Profitability Portfolio. 5
World ex U.S. Targeted Value Portfolio.............. 4
World ex U.S. Core Equity Portfolio................. 37
Emerging Markets Core Equity Portfolio.............. 220
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $158 (in thousands). The total related amounts paid by
each of the Portfolios are included in Other Expenses on the Statements of
Operations.
D. Deferred Compensation:
At April 30, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
Enhanced U.S. Large Company Portfolio.............. $ 11
U.S. Large Cap Equity Portfolio.................... 13
U.S. Large Cap Value Portfolio..................... 532
U.S. Targeted Value Portfolio...................... 194
U.S. Small Cap Value Portfolio..................... 433
U.S. Core Equity 1 Portfolio....................... 338
U.S. Core Equity 2 Portfolio....................... 433
U.S. Vector Equity Portfolio....................... 113
U.S. Small Cap Portfolio........................... 316
U.S. Micro Cap Portfolio........................... 200
U.S. High Relative Profitability Portfolio......... 1
DFA Real Estate Securities Portfolio............... 198
Large Cap International Portfolio.................. 114
International Core Equity Portfolio................ 429
International Small Company Portfolio.............. 338
Global Small Company Portfolio..................... --
Japanese Small Company Portfolio................... 14
Asia Pacific Small Company Portfolio............... 9
United Kingdom Small Company Portfolio............. 2
Continental Small Company Portfolio................ 10
DFA International Real Estate Securities Portfolio. 94
161
DFA Global Real Estate Securities Portfolio......... $ 95
DFA International Small Cap Value Portfolio......... 465
International Vector Equity Portfolio............... 41
International High Relative Profitability Portfolio. --
World ex U.S. Value Portfolio....................... 4
World ex U.S. Targeted Value Portfolio.............. 5
World ex U.S. Core Equity Portfolio................. 25
World Core Equity Portfolio......................... 5
Selectively Hedged Global Equity Portfolio.......... 5
Emerging Markets Portfolio.......................... 155
Emerging Markets Small Cap Portfolio................ 142
Emerging Markets Value Portfolio.................... 602
Emerging Markets Core Equity Portfolio.............. 445
E. Purchases and Sales of Securities:
For the six months ended April 30, 2018, the Portfolios' transactions
related to investment securities, other than short-term securities and in-kind
redemptions (amounts in thousands), were as follows:
U.S. Government Other Investment
Securities Securities
----------------- ---------------------
Purchases Sales Purchases Sales
--------- ------- ---------- ----------
Enhanced U.S. Large Company Portfolio............... $66,323 $66,535 $ 120,581 $ 97,279
U.S. Large Cap Equity Portfolio..................... -- -- 168,308 42,196
U.S. Targeted Value Portfolio....................... -- -- 1,080,513 992,217
U.S. Small Cap Value Portfolio...................... -- -- 1,517,253 1,370,833
U.S. Core Equity 1 Portfolio........................ -- -- 1,234,473 324,160
U.S. Core Equity 2 Portfolio........................ -- -- 1,635,912 556,622
U.S. Vector Equity Portfolio........................ -- -- 241,499 309,542
U.S. Small Cap Portfolio............................ -- -- 1,597,387 1,004,901
U.S. Micro Cap Portfolio............................ -- -- 554,826 381,215
U.S. High Relative Profitability Portfolio.......... -- -- 242,949 10,040
DFA Real Estate Securities Portfolio................ -- -- 599,039 63,668
Large Cap International Portfolio................... -- -- 343,851 158,613
International Core Equity Portfolio................. -- -- 3,373,311 494,393
DFA International Real Estate Securities Portfolio.. -- -- 197,714 220,320
DFA Global Real Estate Securities Portfolio......... -- -- 782,826 185,457
DFA International Small Cap Value Portfolio......... -- -- 1,766,468 2,023,911
International Vector Equity Portfolio............... -- -- 268,257 173,692
International High Relative Profitability Portfolio. -- -- 116,674 4,429
World ex U.S. Targeted Value Portfolio.............. -- -- 101,025 53,324
World ex U.S. Core Equity Portfolio................. -- -- 411,945 58,992
Emerging Markets Core Equity Portfolio.............. -- -- 2,193,632 714,598
162
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
Enhanced U.S. Large
Company Portfolio
DFA Short Term
Investment Fund...... $ 3,027 $ 58,489 $ 47,849 $ (1) $ 2 $ 13,668 1,181 $ 74
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $ 3,027 $ 58,489 $ 47,849 $ (1) $ 2 $ 13,668 1,181 $ 74
========== ========== ========== ===== ==== ========== ======= =======
U.S. Large Cap Equity
Portfolio
DFA Short Term
Investment Fund...... $ 41,253 $ 92,863 $ 94,827 $ (5) $ 1 $ 39,285 3,395 $ 306
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $ 41,253 $ 92,863 $ 94,827 $ (5) $ 1 $ 39,285 3,395 $ 306
========== ========== ========== ===== ==== ========== ======= =======
U.S. Targeted Value
Portfolio
DFA Short Term
Investment Fund...... $1,670,768 $3,769,964 $3,887,389 $(162) $ 5 $1,553,186 134,243 $12,360
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $1,670,768 $3,769,964 $3,887,389 $(162) $ 5 $1,553,186 134,243 $12,360
========== ========== ========== ===== ==== ========== ======= =======
U.S. Small Cap Value
Portfolio
DFA Short Term
Investment Fund...... $1,834,294 $4,474,199 $4,270,855 $(171) $(29) $2,037,438 176,097 $15,002
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $1,834,294 $4,474,199 $4,270,855 $(171) $(29) $2,037,438 176,097 $15,002
========== ========== ========== ===== ==== ========== ======= =======
U.S. Core Equity 1
Portfolio
DFA Short Term
Investment Fund...... $1,640,846 $4,064,573 $4,121,749 $(183) $ 13 $1,583,500 136,863 $12,574
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $1,640,846 $4,064,573 $4,121,749 $(183) $ 13 $1,583,500 136,863 $12,574
========== ========== ========== ===== ==== ========== ======= =======
U.S. Core Equity 2
Portfolio
DFA Short Term
Investment Fund...... $2,291,391 $4,555,097 $5,000,387 $(162) $(15) $1,845,924 159,544 $15,182
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $2,291,391 $4,555,097 $5,000,387 $(162) $(15) $1,845,924 159,544 $15,182
========== ========== ========== ===== ==== ========== ======= =======
U.S. Vector Equity
Portfolio
DFA Short Term
Investment Fund...... $ 572,203 $1,203,411 $1,266,756 $ (46) $(18) $ 508,794 43,975 $ 4,066
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $ 572,203 $1,203,411 $1,266,756 $ (46) $(18) $ 508,794 43,975 $ 4,066
========== ========== ========== ===== ==== ========== ======= =======
U.S. Small Cap
Portfolio
DFA Short Term
Investment Fund...... $3,582,679 $5,762,226 $6,221,005 $(369) $(15) $3,123,516 269,967 $25,151
---------- ---------- ---------- ----- ---- ---------- ------- -------
Total................. $3,582,679 $5,762,226 $6,221,005 $(369) $(15) $3,123,516 269,967 $25,151
========== ========== ========== ===== ==== ========== ======= =======
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
Enhanced U.S. Large
Company Portfolio
DFA Short Term
Investment Fund...... --
--
Total................. --
==
U.S. Large Cap Equity
Portfolio
DFA Short Term
Investment Fund...... --
--
Total................. --
==
U.S. Targeted Value
Portfolio
DFA Short Term
Investment Fund...... --
--
Total................. --
==
U.S. Small Cap Value
Portfolio
DFA Short Term
Investment Fund...... --
--
Total................. --
==
U.S. Core Equity 1
Portfolio
DFA Short Term
Investment Fund...... --
--
Total................. --
==
U.S. Core Equity 2
Portfolio
DFA Short Term
Investment Fund...... --
--
Total................. --
==
U.S. Vector Equity
Portfolio
DFA Short Term
Investment Fund...... --
--
Total................. --
==
U.S. Small Cap
Portfolio
DFA Short Term
Investment Fund...... --
--
Total................. --
==
163
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
U.S. Micro Cap
Portfolio
DFA Short Term
Investment Fund......... $1,087,256 $1,763,178 $1,897,496 $ (70) $ (6) $ 952,862 82,356 $ 7,839
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $1,087,256 $1,763,178 $1,897,496 $ (70) $ (6) $ 952,862 82,356 $ 7,839
========== ========== ========== ======== ======== ========== ======= ========
U.S. High Relative
Profitability Portfolio
DFA Short Term
Investment Fund......... $ 8,012 $ 42,125 $ 39,096 -- $ 1 $ 11,042 954 $ 75
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 8,012 $ 42,125 $ 39,096 -- $ 1 $ 11,042 954 $ 75
========== ========== ========== ======== ======== ========== ======= ========
DFA Real Estate
Securities Portfolio
DFA Short Term
Investment Fund......... $ 416,958 $1,771,580 $1,598,208 $ (57) $ (1) $ 590,272 51,017 $ 3,309
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 416,958 $1,771,580 $1,598,208 $ (57) $ (1) $ 590,272 51,017 $ 3,309
========== ========== ========== ======== ======== ========== ======= ========
Large Cap International
Portfolio
DFA Short Term
Investment Fund......... $ 273,686 $ 971,623 $ 789,187 $ (55) $ 41 $ 456,108 39,422 $ 2,654
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 273,686 $ 971,623 $ 789,187 $ (55) $ 41 $ 456,108 39,422 $ 2,654
========== ========== ========== ======== ======== ========== ======= ========
International Core
Equity Portfolio
DFA Short Term
Investment Fund......... $1,710,859 $3,851,953 $2,864,062 $ (130) $ (17) $2,698,603 233,241 $ 16,682
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $1,710,859 $3,851,953 $2,864,062 $ (130) $ (17) $2,698,603 233,241 $ 16,682
========== ========== ========== ======== ======== ========== ======= ========
Global Small Company
Portfolio
DFA US Small Cap
Portfolio............... $ 7,573 $ 5,801 $ 163 $ (3) $ (254) $ 12,954 364 $ 50
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 7,573 $ 5,801 $ 163 $ (3) $ (254) $ 12,954 364 $ 50
========== ========== ========== ======== ======== ========== ======= ========
DFA International Real
Estate Securities
Portfolio
DFA Short Term
Investment Fund......... $ 185,600 $1,260,487 $1,091,545 $ (65) $ 6 $ 354,483 30,638 $ 2,045
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $ 185,600 $1,260,487 $1,091,545 $ (65) $ 6 $ 354,483 30,638 $ 2,045
========== ========== ========== ======== ======== ========== ======= ========
DFA Global Real Estate
Securities Portfolio
DFA International Real
Estate Securities
Portfolio............... $2,368,488 $ 235,277 $ 185,457 $(19,536) $ 93,503 $2,492,275 476,534 $104,259
DFA Real Estate
Securities Portfolio.... 1,583,375 -- -- -- (99,555) 1,483,820 45,252 31,541
DFA Short Term
Investment Fund......... 107,840 1,085,743 998,001 (60) 18 195,540 16,901 2,018
---------- ---------- ---------- -------- -------- ---------- ------- --------
Total.................... $4,059,703 $1,321,020 $1,183,458 $(19,596) $ (6,034) $4,171,635 538,687 $137,818
========== ========== ========== ======== ======== ========== ======= ========
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
U.S. Micro Cap
Portfolio
DFA Short Term
Investment Fund......... --
------
Total.................... --
======
U.S. High Relative
Profitability Portfolio
DFA Short Term
Investment Fund......... --
------
Total.................... --
======
DFA Real Estate
Securities Portfolio
DFA Short Term
Investment Fund......... --
------
Total.................... --
======
Large Cap International
Portfolio
DFA Short Term
Investment Fund......... --
------
Total.................... --
======
International Core
Equity Portfolio
DFA Short Term
Investment Fund......... --
------
Total.................... --
======
Global Small Company
Portfolio
DFA US Small Cap
Portfolio............... $ 333
------
Total.................... $ 333
======
DFA International Real
Estate Securities
Portfolio
DFA Short Term
Investment Fund......... --
------
Total.................... --
======
DFA Global Real Estate
Securities Portfolio
DFA International Real
Estate Securities
Portfolio............... --
DFA Real Estate
Securities Portfolio.... $5,030
DFA Short Term
Investment Fund......... --
------
Total.................... $5,030
======
164
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
DFA International Small
Cap Value Portfolio
DFA Short Term
Investment Fund.......... $910,021 $1,607,184 $1,323,567 $ (73) $ (35) $1,193,530 103,157 $8,384
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $910,021 $1,607,184 $1,323,567 $ (73) $ (35) $1,193,530 103,157 $8,384
======== ========== ========== ====== ======= ========== ======= ======
International Vector
Equity Portfolio
DFA Short Term
Investment Fund.......... $169,224 $ 320,458 $ 252,581 $ (9) $ (5) $ 237,087 20,492 $1,610
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $169,224 $ 320,458 $ 252,581 $ (9) $ (5) $ 237,087 20,492 $1,610
======== ========== ========== ====== ======= ========== ======= ======
International High
Relative Profitability
Portfolio
DFA Short Term
Investment Fund.......... $ 1,943 $ 57,014 $ 49,588 -- $ 1 $ 9,370 810 $ 44
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $ 1,943 $ 57,014 $ 49,588 -- $ 1 $ 9,370 810 $ 44
======== ========== ========== ====== ======= ========== ======= ======
World ex U.S. Value
Portfolio
DFA International Small
Cap Value Portfolio...... $ 24,824 $ 4,613 $ 3,694 $ (70) $ (558) $ 25,115 1,097 $ 478
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $ 24,824 $ 4,613 $ 3,694 $ (70) $ (558) $ 25,115 1,097 $ 478
======== ========== ========== ====== ======= ========== ======= ======
World ex U.S. Targeted
Value Portfolio
DFA Short Term
Investment Fund.......... $ 7,173 $ 17,532 $ 16,586 $ (1) -- $ 8,118 702 $ 36
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $ 7,173 $ 17,532 $ 16,586 $ (1) -- $ 8,118 702 $ 36
======== ========== ========== ====== ======= ========== ======= ======
World ex U.S. Core
Equity Portfolio
DFA Short Term
Investment Fund.......... $158,025 $ 324,052 $ 247,127 $ (13) $ (1) $ 234,936 20,306 $1,391
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $158,025 $ 324,052 $ 247,127 $ (13) $ (1) $ 234,936 20,306 $1,391
======== ========== ========== ====== ======= ========== ======= ======
World Core Equity
Portfolio
U.S. Core Equity 1
Portfolio................ $276,439 $ 88,934 $ 21,858 $1,378 $ 7,409 $ 352,302 15,561 $2,443
International Core Equity
Portfolio................ 203,505 64,456 18,075 1,335 5,623 256,844 17,580 2,096
Emerging Markets Core
Equity Portfolio......... 66,399 24,363 6,270 471 2,770 87,733 3,765 478
-------- ---------- ---------- ------ ------- ---------- ------- ------
Total..................... $546,343 $ 177,753 $ 46,203 $3,184 $15,802 $ 696,879 36,906 $5,017
======== ========== ========== ====== ======= ========== ======= ======
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
DFA International Small
Cap Value Portfolio
DFA Short Term
Investment Fund.......... --
------
Total..................... --
======
International Vector
Equity Portfolio
DFA Short Term
Investment Fund.......... --
------
Total..................... --
======
International High
Relative Profitability
Portfolio
DFA Short Term
Investment Fund.......... --
------
Total..................... --
======
World ex U.S. Value
Portfolio
DFA International Small
Cap Value Portfolio...... $ 773
------
Total..................... $ 773
======
World ex U.S. Targeted
Value Portfolio
DFA Short Term
Investment Fund.......... --
------
Total..................... --
======
World ex U.S. Core
Equity Portfolio
DFA Short Term
Investment Fund.......... --
------
Total..................... --
======
World Core Equity
Portfolio
U.S. Core Equity 1
Portfolio................ $1,843
International Core Equity
Portfolio................ --
Emerging Markets Core
Equity Portfolio......... --
------
Total..................... $1,843
======
165
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
Selectively Hedged
Global Equity
Portfolio
U.S. Core Equity 2
Portfolio................ $ 165,111 $ 20,951 $ 19,700 $ 790 $2,676 $ 169,828 7,966 $ 1,201
International Core Equity
Portfolio................ 139,217 14,227 16,134 955 2,826 141,091 9,657 1,233
Emerging Markets Core
Equity Portfolio......... 73,349 10,166 8,790 536 2,606 77,867 3,342 453
---------- ---------- ---------- ------ ------ ---------- ------- -------
Total..................... $ 377,677 $ 45,344 $ 44,624 $2,281 $8,108 $ 388,786 20,965 $ 2,887
========== ========== ========== ====== ====== ========== ======= =======
Emerging Markets
Core Equity Portfolio
DFA Short Term
Investment Fund.......... $1,102,540 $2,517,992 $2,138,883 $ (124) $ (27) $1,481,498 128,047 $10,949
---------- ---------- ---------- ------ ------ ---------- ------- -------
Total..................... $1,102,540 $2,517,992 $2,138,883 $ (124) $ (27) $1,481,498 128,047 $10,949
========== ========== ========== ====== ====== ========== ======= =======
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
Selectively Hedged
Global Equity
Portfolio
U.S. Core Equity 2
Portfolio................ $1,607
International Core Equity
Portfolio................ --
Emerging Markets Core
Equity Portfolio......... --
------
Total..................... $1,607
======
Emerging Markets
Core Equity Portfolio
DFA Short Term
Investment Fund.......... --
------
Total..................... --
======
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to realized gains on
securities considered to be "passive foreign investment companies",
non-deductible expenses, realized foreign capital gains tax, tax-equalization,
non-deductible 90 day stock issuance cost, net foreign currency gains/losses,
distributions received from real estate investment trusts and distribution
redesignations, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Enhanced U.S. Large Company Portfolio...... $ 4,608 $ (498) $ (4,110)
U.S. Large Cap Equity Portfolio............ 198 (258) 60
U.S. Large Cap Value Portfolio............. 74,099 (19,689) (54,410)
U.S. Targeted Value Portfolio.............. 40,176 (7,005) (33,171)
U.S. Small Cap Value Portfolio............. 136,659 (8,319) (128,340)
U.S. Core Equity 1 Portfolio............... 9,544 (7,787) (1,757)
U.S. Core Equity 2 Portfolio............... 13,485 (8,989) (4,496)
U.S. Vector Equity Portfolio............... 13,226 (3,672) (9,554)
U.S. Small Cap Portfolio................... 172,430 (8,638) (163,792)
U.S. Micro Cap Portfolio................... 16,818 (2,006) (14,812)
U.S. High Relative Profitability Portfolio. -- -- --
DFA Real Estate Securities Portfolio....... 2,632 34,600 (37,232)
166
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Large Cap International Portfolio................... $(21,950) $ 273 $ 21,677
International Core Equity Portfolio................. (38,149) (9,102) 47,251
International Small Company Portfolio............... 42,965 (10,293) (32,672)
Global Small Company Portfolio...................... -- 9 (9)
Japanese Small Company Portfolio.................... -- (100) 100
Asia Pacific Small Company Portfolio................ (8,261) 684 7,577
United Kingdom Small Company Portfolio.............. 154 (64) (90)
Continental Small Company Portfolio................. 141 153 (294)
DFA International Real Estate Securities Portfolio.. (28,670) (3,353) 32,023
DFA Global Real Estate Securities Portfolio......... 2,758 (2,921) 163
DFA International Small Cap Value Portfolio......... 129,331 7,568 (136,899)
International Vector Equity Portfolio............... 2,390 (1,836) (554)
International High Relative Profitability Portfolio. -- 19 (19)
World ex U.S. Value Portfolio....................... -- 92 (92)
World ex U.S. Targeted Value Portfolio.............. 532 425 (957)
World ex U.S. Core Equity Portfolio................. 1,985 (1,439) (546)
World Core Equity Portfolio......................... 93 38 (131)
Selectively Hedged Global Equity Portfolio.......... 439 (1,708) 1,269
Emerging Markets Portfolio.......................... 5,817 (5,374) (443)
Emerging Markets Small Cap Portfolio................ 20,127 (4,851) (15,276)
Emerging Markets Value Portfolio.................... 39,329 (2,115) (37,214)
Emerging Markets Core Equity Portfolio.............. (7,524) (20,063) 27,587
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2016 and October 31, 2017 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- ----------
Enhanced U.S. Large Company Portfolio
2016. $ 4,946 $ 9,801 $ 14,747
2017. 5,224 4,088 9,312
U.S. Large Cap Equity Portfolio
2016. 14,431 -- 14,431
2017. 18,564 -- 18,564
U.S. Large Cap Value Portfolio
2016. 357,227 643,970 1,001,197
2017. 403,296 446,577 849,873
U.S. Targeted Value Portfolio
2016. 104,605 286,529 391,134
2017. 121,188 282,318 403,506
U.S. Small Cap Value Portfolio
2016. 122,984 487,358 610,342
2017. 113,837 533,287 647,124
U.S. Core Equity 1 Portfolio
2016. 253,050 160,152 413,202
2017. 310,434 71,615 382,049
167
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
U.S. Core Equity 2 Portfolio
2016............................................... $281,321 $296,061 $577,382
2017............................................... 322,547 122,469 445,016
U.S. Vector Equity Portfolio
2016............................................... 59,624 119,588 179,212
2017............................................... 55,976 101,959 157,935
U.S. Small Cap Portfolio
2016............................................... 135,940 503,185 639,125
2017............................................... 168,390 343,192 511,582
U.S. Micro Cap Portfolio
2016............................................... 43,406 267,830 311,236
2017............................................... 43,959 255,837 299,796
U.S. High Relative Profitability Portfolio
2017............................................... 541 -- 541
DFA Real Estate Securities Portfolio
2016............................................... 199,996 -- 199,996
2017............................................... 193,286 90,576 283,862
Large Cap International Portfolio
2016............................................... 92,122 -- 92,122
2017............................................... 111,606 -- 111,606
International Core Equity Portfolio
2016............................................... 387,589 -- 387,589
2017............................................... 533,126 -- 533,126
International Small Company Portfolio
2016............................................... 283,791 207,859 491,650
2017............................................... 224,540 251,076 475,616
Global Small Company Portfolio
2017............................................... -- -- --
Japanese Small Company Portfolio
2016............................................... 6,534 -- 6,534
2017............................................... 9,568 -- 9,568
Asia Pacific Small Company Portfolio
2016............................................... 7,760 -- 7,760
2017............................................... 8,894 -- 8,894
United Kingdom Small Company Portfolio
2016............................................... 1,389 1,632 3,021
2017............................................... 1,322 1,684 3,006
Continental Small Company Portfolio
2016............................................... 6,377 -- 6,377
2017............................................... 7,715 -- 7,715
DFA International Real Estate Securities Portfolio
2016............................................... 60,576 -- 60,576
2017............................................... 326,892 -- 326,892
DFA Global Real Estate Securities Portfolio
2016............................................... 97,767 -- 97,767
2017............................................... 224,755 18,247 243,002
DFA International Small Cap Value Portfolio
2016............................................... 381,199 182,540 563,739
2017............................................... 199,261 410,189 609,450
168
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
International Vector Equity Portfolio
2016................................................ $ 43,651 $ 5,716 $ 49,367
2017................................................ 50,390 4,041 54,431
International High Relative Profitability Portfolio
2017................................................ 299 -- 299
World ex U.S. Value Portfolio
2016................................................ 5,358 -- 5,358
2017................................................ 4,532 -- 4,532
World ex U.S. Targeted Value Portfolio
2016................................................ 4,374 -- 4,374
2017................................................ 7,684 -- 7,684
World ex U.S. Core Equity Portfolio
2016................................................ 36,005 -- 36,005
2017................................................ 52,690 -- 52,690
World Core Equity Portfolio
2016................................................ 5,800 132 5,932
2017................................................ 9,033 1,231 10,264
Selectively Hedged Global Equity Portfolio
2016................................................ 6,448 620 7,068
2017................................................ 6,737 2,369 9,106
Emerging Markets Portfolio
2016................................................ 89,527 -- 89,527
2017................................................ 107,522 -- 107,522
Emerging Markets Small Cap Portfolio
2016................................................ 124,387 36,697 161,084
2017................................................ 157,661 117,099 274,760
Emerging Markets Value Portfolio
2016................................................ 439,072 -- 439,072
2017................................................ 340,613 -- 340,613
Emerging Markets Core Equity Portfolio
2016................................................ 349,434 -- 349,434
2017................................................ 449,166 -- 449,166
The U.S. and International High Relative Profitability Portfolios commenced
operations on May 16, 2017, and did not pay any distributions for the year
ended October 31, 2016.
Global Small Company Portfolio commenced operations on January 18, 2017, and
did not pay any distributions for the year ended October 31, 2016.
At October 31, 2017, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
Enhanced U.S. Large Company Portfolio. $ (2,039) $ (2,569) $ (4,608)
U.S. Large Cap Equity Portfolio....... (198) -- (198)
U.S. Large Cap Value Portfolio........ (21,790) (52,309) (74,099)
U.S. Targeted Value Portfolio......... (9,256) (30,921) (40,177)
U.S. Small Cap Value Portfolio........ (10,924) (46,760) (57,684)
169
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
U.S. Core Equity 1 Portfolio........................ $ (6,739) $ (2,674) $ (9,413)
U.S. Core Equity 2 Portfolio........................ (8,025) (5,460) (13,485)
U.S. Vector Equity Portfolio........................ (3,379) (9,846) (13,225)
U.S. Small Cap Portfolio............................ (11,508) (36,106) (47,614)
U.S. Micro Cap Portfolio............................ (3,275) (13,543) (16,818)
U.S. High Relative Profitability Portfolio.......... -- -- --
DFA Real Estate Securities Portfolio................ (2,708) (230) (2,938)
Large Cap International Portfolio................... (829) -- (829)
International Core Equity Portfolio................. (15,027) -- (15,027)
International Small Company Portfolio............... (21,090) (21,876) (42,966)
Global Small Company Portfolio...................... -- -- --
Japanese Small Company Portfolio.................... -- -- --
Asia Pacific Small Company Portfolio................ -- -- --
United Kingdom Small Company Portfolio.............. (74) (80) (154)
Continental Small Company Portfolio................. (50) (91) (141)
DFA International Real Estate Securities Portfolio.. (5,907) -- (5,907)
DFA Global Real Estate Securities Portfolio......... (2,321) (437) (2,758)
DFA International Small Cap Value Portfolio......... (23,859) (26,770) (50,629)
International Vector Equity Portfolio............... (2,058) (332) (2,390)
International High Relative Profitability Portfolio. -- -- --
World ex U.S. Value Portfolio....................... -- -- --
World ex U.S. Targeted Value Portfolio.............. (262) (269) (531)
World ex U.S. Core Equity Portfolio................. (1,985) -- (1,985)
World Core Equity Portfolio......................... (47) (46) (93)
Selectively Hedged Global Equity Portfolio.......... (306) (133) (439)
Emerging Markets Portfolio.......................... (5,817) -- (5,817)
Emerging Markets Small Cap Portfolio................ (10,394) (7,275) (17,669)
Emerging Markets Value Portfolio.................... (27,950) -- (27,950)
Emerging Markets Core Equity Portfolio.............. (18,920) -- (18,920)
At October 31, 2017, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Capital Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryforwards (Depreciation) Losses)
-------------- ------------- ------------- -------------- -------------
Enhanced U.S. Large Company
Portfolio...................... $21,136 $ 29,522 -- $ (1,054) $ 49,604
U.S. Large Cap Equity Portfolio.. 1,216 -- $(10,499) 253,829 244,546
U.S. Large Cap Value Portfolio... 67,582 1,084,234 -- 7,253,139 8,404,955
U.S. Targeted Value Portfolio.... 27,251 435,620 -- 2,203,558 2,666,429
U.S. Small Cap Value Portfolio... 55,297 653,830 -- 4,322,729 5,031,856
U.S. Core Equity 1 Portfolio..... 17,497 116,819 -- 6,974,127 7,108,443
U.S. Core Equity 2 Portfolio..... 20,148 214,751 -- 7,931,547 8,166,446
U.S. Vector Equity Portfolio..... 921 164,689 -- 1,601,795 1,767,405
U.S. Small Cap Portfolio......... 44,037 608,200 -- 4,408,031 5,060,268
U.S. Micro Cap Portfolio......... 23,257 260,406 -- 2,396,065 2,679,728
U.S. High Relative Profitability
Portfolio...................... 131 -- (353) 9,519 9,297
170
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Capital Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryforwards (Depreciation) Losses)
-------------- ------------- ------------- -------------- -------------
DFA Real Estate Securities Portfolio...... $ 53,259 $ 20,141 -- $2,204,331 $2,277,731
Large Cap International Portfolio......... 22,633 -- $ (26,861) 814,190 809,962
International Core Equity Portfolio....... 170,408 -- (304,819) 4,690,734 4,556,323
International Small Company
Portfolio............................... 219,245 375,722 -- 2,697,226 3,292,193
Global Small Company Portfolio............ 202 81 -- 1,247 1,530
Japanese Small Company Portfolio.......... 15,452 -- (3,708) 153,281 165,025
Asia Pacific Small Company Portfolio...... 11,507 -- (4,719) 3,771 10,559
United Kingdom Small Company
Portfolio............................... 552 1,572 -- 9,300 11,424
Continental Small Company Portfolio....... 1,366 4,962 -- 130,686 137,014
DFA International Real Estate Securities
Portfolio............................... 199,831 -- (169,753) (341,763) (311,685)
DFA Global Real Estate Securities
Portfolio............................... 60,421 43,337 -- 686,809 790,567
DFA International Small Cap Value
Portfolio............................... 323,970 477,826 -- 3,410,837 4,212,633
International Vector Equity Portfolio..... 23,629 10,130 -- 531,440 565,199
International High Relative Profitability
Portfolio............................... 146 -- (236) 3,719 3,629
World ex U.S. Value Portfolio............. 2,801 -- (226) 38,977 41,552
World ex U.S. Targeted Value
Portfolio............................... 1,430 8,307 -- 78,970 88,707
World ex U.S. Core Equity Portfolio....... 17,340 -- (5,291) 422,270 434,319
World Core Equity Portfolio............... -- 1,076 -- 88,330 89,406
Selectively Hedged Global Equity
Portfolio............................... 5,442 3,086 -- 75,594 84,122
Emerging Markets Portfolio................ 30,263 -- (222,047) 2,145,848 1,954,064
Emerging Markets Small Cap
Portfolio............................... 114,626 145,192 -- 1,028,031 1,287,849
Emerging Markets Value Portfolio.......... 215,411 -- (1,338,720) 2,456,083 1,332,774
Emerging Markets Core Equity
Portfolio............................... 124,552 -- (832,542) 5,300,099 4,592,109
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2017, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through October 31 of the indicated expiration
dates, as applicable (amounts in thousands):
2018 2019 2020 Unlimited Total
---- ---- ---- --------- -------
Enhanced U.S. Large Company Portfolio. -- -- -- -- --
U.S. Large Cap Equity Portfolio....... -- -- -- $10,499 $10,499
U.S. Large Cap Value Portfolio........ -- -- -- -- --
U.S. Targeted Value Portfolio......... -- -- -- -- --
U.S. Small Cap Value Portfolio........ -- -- -- -- --
171
2018 2019 2020 Unlimited Total
------- ------- ------ ---------- ----------
U.S. Core Equity 1 Portfolio........................ -- -- -- -- --
U.S. Core Equity 2 Portfolio........................ -- -- -- -- --
U.S. Vector Equity Portfolio........................ -- -- -- -- --
U.S. Small Cap Portfolio............................ -- -- -- -- --
U.S. Micro Cap Portfolio............................ -- -- -- -- --
U.S. High Relative Profitability Portfolio.......... -- -- -- $ 353 $ 353
DFA Real Estate Securities Portfolio................ -- -- -- -- --
Large Cap International Portfolio................... $14,311 $12,549 -- -- 26,860
International Core Equity Portfolio................. -- -- -- 304,819 304,819
International Small Company Portfolio............... -- -- -- -- --
Global Small Company Portfolio...................... -- -- -- -- --
Japanese Small Company Portfolio.................... -- 3,708 -- -- 3,708
Asia Pacific Small Company Portfolio................ -- -- -- 4,719 4,719
United Kingdom Small Company Portfolio.............. -- -- -- -- --
Continental Small Company Portfolio................. -- -- -- -- --
DFA International Real Estate Securities Portfolio.. 38,689 69,466 -- 61,598 169,753
DFA Global Real Estate Securities Portfolio......... -- -- -- -- --
DFA International Small Cap Value Portfolio......... -- -- -- -- --
International Vector Equity Portfolio............... -- -- -- -- --
International High Relative Profitability Portfolio. -- -- -- 236 236
World ex U.S. Value Portfolio....................... -- 226 -- -- 226
World ex U.S. Targeted Value Portfolio.............. -- -- -- -- --
World ex U.S. Core Equity Portfolio................. -- -- -- 5,291 5,291
World Core Equity Portfolio......................... -- -- -- -- --
Selectively Hedged Global Equity Portfolio.......... -- -- -- -- --
Emerging Markets Portfolio.......................... -- -- -- 222,047 222,047
Emerging Markets Small Cap Portfolio................ -- -- -- -- --
Emerging Markets Value Portfolio.................... -- -- -- 1,338,720 1,338,720
Emerging Markets Core Equity Portfolio.............. -- -- -- 832,542 832,542
During the year ended October 31, 2017, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
U.S. Large Cap Equity Portfolio........ $ 565
Large Cap International Portfolio...... 159,888
International Core Equity Portfolio.... 4,549
Japanese Small Company Portfolio....... 27,939
Asia Pacific Small Company Portfolio... 8,833
Continental Small Company Portfolio.... 10,132
World ex U.S. Value Portfolio.......... 2,457
World ex U.S. Targeted Value Portfolio. 8,263
World ex U.S. Core Equity Portfolio.... 6,772
At April 30, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
Enhanced U.S. Large Company Portfolio. $ 367,092 $ 949 $(27,333) $ (26,384)
U.S. Large Cap Equity Portfolio....... 1,125,457 323,348 (32,413) 290,935
U.S. Large Cap Value Portfolio........ 17,498,370 7,341,264 -- 7,341,264
172
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
U.S. Targeted Value Portfolio....................... $10,383,018 $2,707,644 $ (651,854) $2,055,790
U.S. Small Cap Value Portfolio...................... 13,479,674 4,592,520 (842,645) 3,749,875
U.S. Core Equity 1 Portfolio........................ 16,307,868 8,133,526 (580,044) 7,553,482
U.S. Core Equity 2 Portfolio........................ 17,549,547 9,117,379 (743,757) 8,373,622
U.S. Vector Equity Portfolio........................ 3,693,630 1,814,525 (245,807) 1,568,718
U.S. Small Cap Portfolio............................ 16,427,975 5,118,403 (951,509) 4,166,894
U.S. Micro Cap Portfolio............................ 5,145,723 2,597,350 (332,227) 2,265,123
U.S. High Relative Profitability Portfolio.......... 376,354 25,620 (12,268) 13,352
DFA Real Estate Securities Portfolio................ 7,175,747 2,046,341 (353,072) 1,693,269
Large Cap International Portfolio................... 4,463,649 1,127,723 (232,192) 895,531
International Core Equity Portfolio................. 26,073,259 6,643,852 (1,456,856) 5,186,996
International Small Company Portfolio............... 11,438,947 2,866,677 (107,978) 2,758,699
Global Small Company Portfolio...................... 24,573 1,025 (30) 995
Japanese Small Company Portfolio.................... 545,523 169,509 -- 169,509
Asia Pacific Small Company Portfolio................ 364,288 8,498 -- 8,498
United Kingdom Small Company Portfolio.............. 33,558 9,351 -- 9,351
Continental Small Company Portfolio................. 629,768 127,445 -- 127,445
DFA International Real Estate Securities Portfolio.. 6,048,620 178,087 (182,073) (3,986)
DFA Global Real Estate Securities Portfolio......... 6,832,075 739,512 (239,003) 500,509
DFA International Small Cap Value Portfolio......... 14,144,562 3,978,227 (1,056,217) 2,922,010
International Vector Equity Portfolio............... 2,354,061 713,333 (165,688) 547,645
International High Relative Profitability Portfolio. 185,757 9,511 (5,412) 4,099
World ex U.S. Value Portfolio....................... 205,984 42,926 -- 42,926
World ex U.S. Targeted Value Portfolio.............. 458,717 98,633 (27,083) 71,550
World ex U.S. Core Equity Portfolio................. 2,971,503 638,795 (146,754) 492,041
World Core Equity Portfolio......................... 593,015 104,132 -- 104,132
Selectively Hedged Global Equity Portfolio.......... 307,514 84,066 (829) 83,237
Emerging Markets Portfolio.......................... 4,016,362 2,273,974 -- 2,273,974
Emerging Markets Small Cap Portfolio................ 6,656,739 1,168,472 -- 1,168,472
Emerging Markets Value Portfolio.................... 16,570,910 3,355,243 -- 3,355,243
Emerging Markets Core Equity Portfolio.............. 24,544,520 8,507,086 (2,212,516) 6,294,570
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
173
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Ended Year Ended
April 30, 2018 Oct. 31, 2017
-------------------- ---------------------
(Unaudited)
Amount Shares Amount Shares
----------- ------- ----------- --------
U.S. Targeted Value Portfolio
Class R1 Shares
Shares Issued........................................ $ 15,872 630 $ 24,436 1,012
Shares Issued in Lieu of Cash Distributions.......... 2,654 108 1,891 78
Shares Redeemed...................................... (17,662) (706) (13,915) (583)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R1 Shares............ $ 864 32 $ 12,412 507
=========== ======= =========== ========
Class R2 Shares
Shares Issued........................................ $ 25,555 1,035 $ 59,748 2,511
Shares Issued in Lieu of Cash Distributions.......... 7,248 298 7,083 293
Shares Redeemed...................................... (23,516) (939) (83,900) (3,530)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ 9,287 394 $ (17,069) (726)
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,121,768 44,999 $ 2,997,263 124,486
Shares Issued in Lieu of Cash Distributions.......... 482,511 19,714 364,240 15,012
Shares Redeemed...................................... (1,233,492) (49,244) (2,200,921) (91,872)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 370,787 15,469 $ 1,160,582 47,626
=========== ======= =========== ========
Six Months Ended Year Ended
April 30, 2018 Oct. 31, 2017
-------------------- ---------------------
(Unaudited)
Amount Shares Amount Shares
----------- ------- ----------- --------
Emerging Markets Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 3,911 123 $ 21,637 832
Shares Issued in Lieu of Cash Distributions.......... 375 13 847 33
Shares Redeemed...................................... (7,851) (248) (100,936) (3,793)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ (3,565) (112) $ (78,452) (2,928)
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,369,170 42,754 $ 2,437,845 90,088
Shares Issued in Lieu of Cash Distributions.......... 216,370 7,191 321,969 11,684
Shares Redeemed...................................... (2,248,514) (70,934) (3,240,359) (118,738)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ (662,974) (20,989) $ (480,545) (16,966)
=========== ======= =========== ========
H. Financial Instruments:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest either directly or indirectly through their investment in
a corresponding Master/Underlying Fund, in certain financial instruments that
have off-balance sheet risk in excess of the amounts recognized in the
financial statements and concentrations of credit and market risk. These
instruments and their significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities
174
markets. These markets are generally smaller, less liquid and more volatile
than the major securities markets in the United States of America.
Consequently, acquisition and disposition of international securities held by
the Portfolios may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. Forward Currency Contracts: The Portfolios listed below may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk) or to transfer balances from one currency to another currency. The
Selectively Hedged Global Equity Portfolio may hedge some or all of the
currency exposure of its foreign securities by entering into forward currency
contracts. The decision to hedge the Selectively Hedged Global Equity
Portfolio's currency exposure with respect to a foreign market will be based
primarily on the Portfolio's existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the
Portfolio as an unrealized gain or loss, which is presented in the Statement of
Operations as the change in unrealized appreciation or depreciation from
translation of foreign-currency-denominated amounts. When the contract is
closed or offset with the same counterparty, the Portfolio records a realized
gain or loss equal to the change in the value of the contract when it was
opened and the value at the time it was closed or offset. This is presented in
the Statements of Operations as a net realized gain or loss on foreign currency
transactions. Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of foreign currency relative to the
U.S. dollar.
3. Futures Contracts: Each Portfolio listed below may purchase or sell
futures contracts and options on futures contracts for equity securities and
indices to adjust market exposure based on actual or expected cash inflows to
or outflows from the Portfolio. The Portfolios, however, do not intend to sell
futures contracts to establish short positions in individual securities. The
Enhanced U.S. Large Company Portfolio may also use futures contracts and
options thereon to hedge against securities prices or as part of its overall
investment strategy. The Selectively Hedged Global Equity Portfolio may also
use futures contracts to hedge some or all of the currency exposure of its
foreign securities. Upon entering into a futures contract, the Portfolios
deposit cash or pledge U.S. government securities to a broker, equal to the
minimum "initial margin" requirements of the exchange on which the contract is
traded. Subsequent payments are received from or paid to the broker each day,
based on the daily fluctuation in the market value of the contract. These
receipts or payments are known as "variation margin" and are recorded daily by
the Portfolios as unrealized gains or losses until the contracts are closed.
When the contracts are closed, the Portfolios record a realized gain or loss,
which is presented in the Statements of Operations as a net realized gain or
loss on futures, equal to the difference between the value of the contract at
the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolios could lose more than
the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amounts in
thousands):
Forward
Currency
Contracts Futures
--------- -------
Enhanced U.S. Large Company Portfolio. 45,046 340,329
U.S. Targeted Value Portfolio......... -- 86,759
U.S. Small Cap Value Portfolio........ -- 125,293
U.S. Core Equity 1 Portfolio.......... -- 171,523
U.S. Core Equity 2 Portfolio.......... -- 184,351
U.S. Vector Equity Portfolio.......... -- 33,947
175
Forward
Currency
Contracts Futures
--------- --------
U.S. Small Cap Portfolio............................ -- $133,708
U.S. Micro Cap Portfolio............................ -- 55,769
DFA Real Estate Securities Portfolio................ -- 77,649
Large Cap International Portfolio................... -- 42,839
International Core Equity Portfolio................. -- 187,088
International Small Company Portfolio............... -- 118,827
DFA International Real Estate Securities Portfolio.. -- 29,568
DFA International Small Cap Value Portfolio......... -- 146,367
International Vector Equity Portfolio............... -- 1,144
International High Relative Profitability Portfolio. -- 77
Selectively Hedged Global Equity Portfolio.......... $206,262 24,256
Emerging Markets Core Equity Portfolio.............. -- 237,432
Securities have been segregated as collateral for open futures contracts.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of April 30, 2018:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Forward currency Unrealized Gain on Unrealized Loss on
contracts Forward Currency Forward Currency
Contracts Contracts
Equity contracts Receivables: Futures Payables: Futures Margin
Margin Variation Variation
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
Asset Derivatives Value
----------------------------------
Total Value Forward
at Currency Equity
April 30, 2018 Contracts Contracts*
-------------- --------- ----------
Enhanced U.S. Large Company Portfolio.............. $ 899 $ 899 --
Large Cap International Portfolio.................. 7 -- $ 7
DFA International Real Estate Securities Portfolio. 665 -- 665
Selectively Hedged Global Equity Portfolio......... 2,795 2,795 --
Liability Derivatives Value
----------------------------------
Total Value Forward
at Currency Equity
April 30, 2018 Contracts Contracts*
-------------- --------- ----------
Enhanced U.S. Large Company Portfolio.............. $(7,394) $ (3) $(7,391)
U.S. Targeted Value Portfolio...................... (2,840) -- (2,840)
U.S. Small Cap Value Portfolio..................... (4,022) -- (4,022)
U.S. Core Equity 1 Portfolio....................... (5,840) -- (5,840)
U.S. Core Equity 2 Portfolio....................... (6,450) -- (6,450)
U.S. Vector Equity Portfolio....................... (1,061) -- (1,061)
U.S. Small Cap Portfolio........................... (3,859) -- (3,859)
U.S. Micro Cap Portfolio........................... (878) -- (878)
DFA Real Estate Securities Portfolio............... (2,410) -- (2,410)
Large Cap International Portfolio.................. (1,041) -- (1,041)
International Core Equity Portfolio................ (5,643) -- (5,643)
176
Liability Derivatives Value
----------------------------------
Total Value Forward
at Currency Equity
April 30, 2018 Contracts Contracts*
-------------- --------- ----------
International Small Company Portfolio...... $(2,671) -- $(2,671)
DFA International Small Cap Portfolio...... (4,550) -- (4,550)
International Vector Equity Portfolio...... (68) -- (68)
Selectively Hedged Global Equity Portfolio. (830) $(35) (795)
Emerging Markets Core Equity Portfolio..... (9,560) -- (9,560)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the six months ended
April 30, 2018:
Derivative Type Location of Gain (Loss) on Derivatives
--------------- --------------------------------------
Forward currency contracts Net Realized Gain (Loss) on: Forward Currency Contracts
Change in Unrealized Appreciation (Depreciation) of:
Forward Currency Contracts
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and
losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2018 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives
---------------------------
Forward
Currency Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio............... $32,513 $310 $32,203
U.S. Large Cap Equity Portfolio..................... 21 -- 21*
U.S. Targeted Value Portfolio....................... 8,335 -- 8,335
U.S. Small Cap Value Portfolio...................... 14,383 -- 14,383
U.S. Core Equity 1 Portfolio........................ 17,432 -- 17,432
U.S. Core Equity 2 Portfolio........................ 18,482 -- 18,482
U.S. Vector Equity Portfolio........................ 1,242 -- 1,242
U.S. Small Cap Portfolio............................ 14,625 -- 14,625
U.S. Micro Cap Portfolio............................ 4,412 -- 4,412
U.S. High Relative Profitability Portfolio.......... (37) -- (37)*
DFA Real Estate Securities Portfolio................ 6,473 -- 6,473
Large Cap International Portfolio................... 3,576 -- 3,576
International Core Equity Portfolio................. 33,099 -- 33,099
International Small Company Portfolio............... 11,806 -- 11,806
Global Small Company Portfolio...................... 2 -- 2*
DFA International Real Estate Securities Portfolio.. 2,020 -- 2,020
DFA International Small Cap Value Portfolio......... 15,893 -- 15,893
International Vector Equity Portfolio............... (17) -- (17)
International High Relative Profitability Portfolio. 24 -- 24*
World ex U.S. Targeted Value Portfolio.............. 22 -- 22*
World ex U.S. Core Equity Portfolio................. 657 -- 657*
World Core Equity Portfolio......................... 145 -- 145*
177
Realized Gain (Loss) on
Derivatives
----------------------------
Forward
Currency Equity
Total Contracts Contracts
-------- --------- ---------
Selectively Hedged Global Equity Portfolio......... $ (817) $(3,348) $ 2,531
Emerging Markets Core Equity Portfolio............. 18,221 -- 18,221
Change in Unrealized
Appreciation (Depreciation) on
Derivatives
----------------------------
Forward
Currency Equity
Total Contracts Contracts
-------- --------- ---------
Enhanced U.S. Large Company Portfolio.............. $(21,933) -- $(21,933)
U.S. Targeted Value Portfolio...................... (3,740) -- (3,740)
U.S. Small Cap Value Portfolio..................... (9,360) -- (9,360)
U.S. Core Equity 1 Portfolio....................... (12,650) -- (12,650)
U.S. Core Equity 2 Portfolio....................... (14,032) -- (14,032)
U.S. Vector Equity Portfolio....................... (1,061) -- (1,061)
U.S. Small Cap Portfolio........................... (9,693) -- (9,693)
U.S. Micro Cap Portfolio........................... (1,811) -- (1,811)
DFA Real Estate Securities Portfolio............... (4,754) -- (4,754)
Large Cap International Portfolio.................. (2,046) -- (2,046)
International Core Equity Portfolio................ (14,558) -- (14,558)
International Small Company Portfolio.............. (5,581) -- (5,581)
DFA International Real Estate Securities Portfolio. 215 -- 215
DFA International Small Cap Value Portfolio........ (10,499) -- (10,499)
International Vector Equity Portfolio.............. (68) -- (68)
Selectively Hedged Global Equity Portfolio......... (465) $ 1,336 (1,801)
Emerging Markets Core Equity Portfolio............. (15,447) -- (15,447)
* As of April 30, 2018, there were no futures contracts outstanding. During the
six months ended April 30, 2018, the Portfolio had limited activity in futures
contracts.
Offsetting of Derivative Assets and Derivative Liabilities
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and forward currency contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
"Statement of assets and liabilities."
178
The following table presents the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of April 30, 2018
(Amounts in thousands):
Net Net
Amounts Amounts
of Gross Amounts Not of Gross Amounts Not
Assets Offset in the Liabilities Offset in the
Presented Statements of Assets Presented Statements of Assets
Gross in the and Liabilities Gross in the and Liabilities
Amounts of Statements ---------------------- Amounts of Statements ----------------------
Recognized of Assets Financial Cash Net Recognized of Assets Financial Cash Net
Assets and Instruments Collateral Amount Liabilities and Instruments Collateral Amount
Description (a) Liabilities (b) Received (c) (a) Liabilities (d) Pledged (e)
----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- ------
Assets Liabilities
---------------------------------------------------- -----------------------------------------------------
Enhanced U.S.
Large Company
Portfolio
Citibank, N.A...... $ 72 $ 72 $ (3) -- $ 69 $ 3 $ 3 $ (3) -- --
Royal Bank of
Scotland.......... 764 764 -- -- 764 -- -- -- -- --
State Street Bank
and Trust......... 63 63 -- -- 63 -- -- -- -- --
----- ----- ---- -- ----- --- --- ---- -- --
$ 899 $ 899 $ (3) -- $ 896 $ 3 $ 3 $ (3) -- --
===== ===== ==== == ===== === === ==== == ==
Selectively Hedged
Global Equity
Portfolio
Bank of America
Corp.............. $ 339 $ 339 -- -- $ 339 -- -- -- -- --
Citibank, N.A...... 557 557 $ (2) -- 555 $ 2 $ 2 $ (2) -- --
JP Morgan.......... 168 168 -- -- 168 -- -- -- -- --
State Street Bank
and Trust......... 874 874 (33) -- 841 33 33 (33) -- --
UBS AG............. 857 857 -- -- 857 -- -- -- -- --
----- ----- ---- -- ----- --- --- ---- -- --
$2795 $2795 $(35) -- $2760 $35 $35 $(35) -- --
===== ===== ==== == ===== === === ==== == ==
(a)No amounts have been netted against the gross amounts recognized in the
Statements of Assets and Liabilities.
(b)Represents the amount of assets that could be offset by liabilities with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
Note K contains information regarding securities lending amounts that are
subject to netting arrangements.
I. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar
179
terms was in effect through January 5, 2018. Each portfolio is permitted to
borrow, subject to its investment limitations, up to a maximum of $500 million,
as long as total borrowings under the line of credit do not exceed $700 million
in the aggregate. Each portfolio is individually, and not jointly, liable for
its particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed upon by the parties at the time of
borrowing. There is no commitment fee on the unused portion of the line of
credit. The line of credit agreement expires on January 4, 2019.
For the six months ended April 30, 2018, borrowings by the Portfolios under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
U.S. Large Cap Equity Portfolio............ 2.01% $ 3,828 9 $ 2 $ 13,401
U.S. Vector Equity Portfolio............... 1.91% 4,459 3 1 4,459
U.S. High Relative Profitability Portfolio. 2.16% 2,653 4 1 2,990
Global Small Company Portfolio............. 1.91% 69 2 -- 69
DFA International Real Estate Securities
Portfolio................................ 2.16% 78,412 7 33 150,457
DFA Global Real Estate Securities
Portfolio................................ 2.17% 2,111 2 -- 3,392
International Vector Equity Portfolio...... 2.14% 1,073 3 -- 2,030
International High Relative Profitability
Portfolio................................ 2.16% 339 4 -- 491
World ex U.S. Value Portfolio.............. 2.27% 112 11 -- 307
World ex U.S. Targeted Value Portfolio..... 2.05% 171 4 -- 221
World ex U.S. Core Equity Portfolio........ 2.04% 9,216 2 1 16,115
World Core Equity Portfolio................ 2.24% 4,981 15 5 15,818
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that each Portfolio's available
line of credit was utilized.
At April 30, 2018, the World ex U.S. Value Portfolio had loans outstanding
in the amount of $18 (in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolios did not utilize the interfund lending program during the six
months ended April 30, 2018.
J. Affiliated Trades:
Cross trades for the six months ended April 30, 2018, if any, were executed
by the Portfolios pursuant to procedures adopted by the Board of Directors of
the Fund to ensure compliance with Rule 17a-7 under the Investment Company Act
of 1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
180
For the six months ended April 30, 2018, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
Portfolio Purchases Sales Realized Gain (Loss)
--------- --------- -------- --------------------
U.S. Large Cap Equity Portfolio...................... $ 26,705 $ 15,033 $ (1,449)
U.S. Targeted Value Portfolio........................ 69,628 154,720 38,206
U.S. Small Cap Value Portfolio....................... 71,694 202,733 72,487
U.S. Core Equity 1 Portfolio......................... 106,730 78,168 2,800
U.S. Core Equity 2 Portfolio......................... 86,924 179,637 3,616
U.S. Vector Equity Portfolio......................... 16,917 51,470 23,166
U.S. Small Cap Portfolio............................. 221,262 55,824 20,015
U.S. Micro Cap Portfolio............................. 41,344 76,851 34,628
U.S. High Relative Profitability Portfolio........... 5,666 1,848 (250)
DFA Real Estate Securities Portfolio................. -- 558 (33)
Large Cap International Portfolio.................... 42,845 22,701 2,473
International Core Equity Portfolio.................. 192,425 58,297 (11,656)
DFA Global Real Estate Securities Portfolio.......... 305 -- --
DFA International Small Cap Value Portfolio.......... 32,984 330,070 100,064
International Vector Equity Portfolio................ 17,243 14,008 3,591
International High Relative Profitability Portfolio.. 4,946 526 (79)
World ex U.S. Targeted Value Portfolio............... 4,194 4,889 1,489
World ex U.S. Core Equity Portfolio.................. 16,243 4,426 536
Emerging Markets Core Equity Portfolio............... 4,300 9,522 1,428
K. Securities Lending:
As of April 30, 2018, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. The
non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S.
government agency securities as follows (amounts in thousands):
Market
Value
----------
U.S. Large Cap Equity Portfolio..................... $ $8,522
U.S. Targeted Value Portfolio....................... 799,056
U.S. Small Cap Value Portfolio...................... 1,044,236
U.S. Core Equity 1 Portfolio........................ 1,143,269
U.S. Core Equity 2 Portfolio........................ 1,189,232
U.S. Vector Equity Portfolio........................ 320,972
U.S. Small Cap Portfolio............................ 1,589,031
U.S. Micro Cap Portfolio............................ 379,433
U.S. High Relative Profitability Portfolio.......... 2,263
DFA Real Estate Securities Portfolio................ 226,221
Large Cap International Portfolio................... 54,270
International Core Equity Portfolio................. 304,208
DFA International Real Estate Securities Portfolio.. 31,175
DFA International Small Cap Value Portfolio......... 258,270
International Vector Equity Portfolio............... 39,814
International High Relative Profitability Portfolio. 352
World ex U.S. Targeted Value Portfolio.............. 5,729
World ex U.S. Core Equity Portfolio................. 57,740
Emerging Markets Core Equity Portfolio.............. 1,090,378
Each Portfolio invests the cash collateral, as described below, and records
a liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured
181
by collateral in an amount (i) equal to at least 100% of the current market
value of the loaned securities with respect to securities of the U.S.
government or its agencies, (ii) generally equal to 102% of the current market
value of the loaned securities with respect to U.S. securities, and
(iii) generally equal to 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolio's collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, a Portfolio
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
Subject to their stated investment policies, each Portfolio will generally
invest the cash collateral received for the loaned securities in the Money
Market Series, an affiliated registered money market fund advised by the
Advisor for which the Advisor receives a management fee of 0.05% of the average
daily net assets of the Money Market Series. Income received from the Money
Market Series is netted with fees for securities lending and collateral
investment expenses, and other payments to and from borrowers of securities.
Each Portfolio also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Portfolio will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
------------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
-------------- -------- ------------ -------- --------------
Securities Lending
Transactions
Enhanced U.S. Large Company
Portfolio
Bonds.......................... $ 13,667,527 -- -- -- $ 13,667,527
U.S. Large Cap Equity Portfolio
Common Stocks.................. 39,284,894 -- -- -- 39,284,894
U.S. Targeted Value Portfolio
Common Stocks, Preferred
Stocks....................... 1,533,186,477 -- -- -- 1,533,186,477
U.S. Small Cap Value Portfolio
Common Stocks.................. 2,037,438,029 -- -- -- 2,037,438,029
U.S. Core Equity 1 Portfolio
Common Stocks, Rights/
Warrants..................... 1,583,499,719 -- -- -- 1,583,499,719
U.S. Core Equity 2 Portfolio
Common Stocks, Rights/
Warrants..................... 1,845,923,909 -- -- -- 1,845,923,909
U.S. Vector Equity Portfolio
Common Stocks, Rights/
Warrants..................... 508,794,277 -- -- -- 508,794,277
182
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
------------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
-------------- -------- ------------ -------- --------------
U.S. Small Cap Portfolio
Common Stocks................... $3,123,516,458 -- -- -- $3,123,516,458
U.S. Micro Cap Portfolio
Common Stocks, Preferred
Stocks........................ 952,861,850 -- -- -- 952,861,850
U.S. High Relative Profitability
Portfolio
Common Stocks................... 11,042,353 -- -- -- 11,042,353
DFA Real Estate Securities
Portfolio
Common Stocks................... 590,271,592 -- -- -- 590,271,592
Large Cap International
Portfolio
Common Stocks................... 456,108,075 -- -- -- 456,108,075
International Core Equity
Portfolio
Common Stocks, Preferred
Stocks........................ 2,698,602,797 -- -- -- 2,698,602,797
DFA International Real Estate
Securities Portfolio
Common Stocks................... 354,483,247 -- -- -- 354,483,247
DFA Global Real Estate
Securities Portfolio
Common Stocks................... 195,539,503 -- -- -- 195,539,503
DFA International Small Cap
Value Portfolio
Common Stocks................... 1,193,530,223 -- -- -- 1,193,530,223
International Vector Equity
Portfolio
Common Stocks................... 237,086,694 -- -- -- 237,086,694
International High Relative
Profitability Portfolio
Common Stocks................... 9,370,296 -- -- -- 9,370,296
World ex U.S. Targeted Value
Portfolio
Common Stocks................... 8,117,997 -- -- -- 8,117,997
World ex U.S. Core Equity
Portfolio
Common Stocks................... 234,935,550 -- -- -- 234,935,550
Emerging Markets Core Equity
Portfolio
Common Stocks................... 1,481,498,432 -- -- -- 1,481,498,432
L. Shareholder Servicing Fees:
The Class R1 Shares pay a shareholder servicing fee in an amount up to 0.10%
and Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25% of
their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and
Emerging Markets Value Portfolio Class R2 Shares.
183
M. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
N. In-Kind Redemptions:
During the six months ended April 30, 2018, the following Portfolio realized
net gains (losses) on in-kind redemptions as follows:
U.S. Targeted Value Portfolio. $16,160
O. Recently Issued Accounting Standards:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
P. Other:
At April 30, 2018, the following number of shareholders held the following
approximate percentages of the stated Portfolios' outstanding shares. One or
more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
Enhanced U.S. Large Company Portfolio -- Institutional
Class Shares...................................................... 3 62%
U.S. Large Cap Equity Portfolio -- Institutional Class Shares....... 4 93%
U.S. Large Cap Value Portfolio -- Institutional Class Shares........ 3 70%
U.S. Targeted Value Portfolio -- Class R1 Shares.................... 6 91%
U.S. Targeted Value Portfolio -- Class R2 Shares.................... 8 86%
U.S. Targeted Value Portfolio -- Institutional Class Shares......... 3 58%
U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 4 68%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 6 84%
U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 5 81%
U.S. Vector Equity Portfolio -- Institutional Class Shares.......... 5 91%
U.S. Small Cap Portfolio -- Institutional Class Shares.............. 3 53%
U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 4 76%
U.S. High Relative Profitability Portfolio -- Institutional
Class Shares...................................................... 3 95%
DFA Real Estate Securities Portfolio -- Institutional Class Shares.. 4 76%
Large Cap International Portfolio -- Institutional Class Shares..... 3 63%
International Core Equity Portfolio -- Institutional Class Shares... 4 71%
International Small Company Portfolio -- Institutional Class Shares. 3 60%
Global Small Company Portfolio -- Institutional Class Shares........ 4 96%
Japanese Small Company Portfolio -- Institutional Class Shares...... 4 86%
184
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
Asia Pacific Small Company Portfolio -- Institutional
Class Shares....................................................... 3 91%
United Kingdom Small Company Portfolio -- Institutional
Class Shares....................................................... 4 94%
Continental Small Company Portfolio -- Institutional Class Shares.... 2 88%
DFA International Real Estate Securities Portfolio -- Institutional
Class Shares....................................................... 5 94%
DFA Global Real Estate Securities Portfolio -- Institutional
Class Shares....................................................... 3 67%
DFA International Small Cap Value Portfolio -- Institutional
Class Shares....................................................... 4 71%
International Vector Equity Portfolio -- Institutional Class Shares.. 4 89%
International High Relative Profitability Portfolio -- Institutional
Class Shares....................................................... 3 94%
World ex U.S. Value Portfolio -- Institutional Class Shares.......... 5 88%
World ex U.S. Targeted Value Portfolio -- Institutional
Class Shares....................................................... 3 95%
World ex U.S. Core Equity Portfolio -- Institutional Class Shares.... 3 71%
World Core Equity Portfolio -- Institutional Class Shares............ 5 79%
Selectively Hedged Global Equity Portfolio -- Institutional
Class Shares....................................................... 4 95%
Emerging Markets Portfolio -- Institutional Class Shares............. 3 52%
Emerging Markets Small Cap Portfolio -- Institutional
Class Shares....................................................... 3 54%
Emerging Markets Value Portfolio -- Class R2 Shares.................. 2 91%
Emerging Markets Value Portfolio -- Institutional Class Shares....... 2 36%
Emerging Markets Core Equity Portfolio -- Institutional
Class Shares....................................................... 3 61%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee (the "Trustee") on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent
transfers and recover the stock repurchase proceeds paid to the Tribune
shareholders who participated in the LBO. On September 23, 2013, the Court
entered an order dismissing the Individual Creditor Actions in their entirety
on the grounds that the individual creditor plaintiffs lack standing to pursue
their claims. The parties appealed the Court's dismissal order to the United
States Court of Appeals for the Second Circuit (the "Second Circuit"), and, on
March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the
grounds that the individual creditor plaintiffs' claims are preempted by the
Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs have petitioned the
185
Supreme Court of the United States (the "Supreme Court") to review the Second
Circuit's ruling, and that petition is pending. Additionally, the individual
creditor plaintiffs have moved the Second Circuit to review its prior ruling in
light of a recent decision by the Supreme Court (in an unrelated case)
regarding the scope of the Bankruptcy Code's safe harbor for securities
transactions; such review is pending.
On January 6, 2017, the Court granted the shareholder defendants' motion to
dismiss the claims against them in the Committee Action. The Trustee requested
that the Court certify the dismissal order for appeal to the Second Circuit,
and the District Court advised that it will certify the dismissal order for
appeal after it rules on the additional pending motions to dismiss (not
involving the shareholder defendants). Additionally, the Trustee has requested
leave from the District Court to file an amended complaint to assert new claims
against the shareholder defendants in light of the recent Supreme Court
decision addressing the scope of the Bankruptcy Code's safe harbor for
securities transactions; that request is pending.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible to predict with
any reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits.
Until The U.S. Large Cap Value Series can do so, no reduction of the net asset
value of The U.S. Large Cap Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full
recovery the plaintiffs seek, the amount would be less than 1% of the net asset
value of The U.S. Large Cap Value Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses incurred by The U.S. Large Cap Value
Series.
Q. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
186
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of a Portfolio's fiscal year. As
a result, shareholders should not use the information provided in this notice
for tax reporting purposes.
Estimated % Breakdown of Distribution Sources
--------------------------------------------
Net income for Accumulated
the current or undistributed
preceding net profits Paid-in
fiscal year, from the sale surplus
and accumulated of securities or other
undistributed net or other capital
Portfolio Name income properties source
-------------- ----------------- ------------- --------
Enhanced U.S. Large Company Portfolio
December 15, 2017....................... 59% 0% 41%
U.S. Large Cap Equity Portfolio
December 15, 2017....................... 71% 0% 29%
U.S. Large Cap Value Portfolio
December 15, 2017....................... 95% 0% 5%
U.S. Targeted Value Portfolio
December 15, 2017....................... 67% 0% 33%
U.S. Small Cap Value Portfolio
December 15, 2017....................... 49% 0% 51%
U.S. Core Equity 1 Portfolio
December 14, 2017....................... 64% 0% 36%
U.S. Core Equity 2 Portfolio
December 14, 2017....................... 60% 0% 40%
U.S. Vector Equity Portfolio
December 15, 2017....................... 60% 0% 40%
U.S. Small Cap Portfolio
December 15, 2017....................... 72% 0% 28%
U.S. Micro Cap Portfolio
December 15, 2017....................... 56% 0% 44%
U.S. High Relative Profitability Portfolio
December 15, 2017....................... 92% 0% 8%
Large Cap International Portfolio
December 14, 2017....................... 62% 0% 38%
International Core Equity Portfolio
December 14, 2017....................... 44% 0% 56%
International Small Company Portfolio
December 15, 2017....................... 19% 0% 81%
Global Small Company Portfolio
December 15, 2017....................... 73% 0% 27%
Japanese Small Company Portfolio
December 15, 2017....................... 7% 0% 93%
Asia Pacific Small Company Portfolio
December 15, 2017....................... 27% 0% 73%
United Kingdom Small Company Portfolio
December 15, 2017....................... 22% 0% 78%
187
Estimated % Breakdown of Distribution Sources
--------------------------------------------
Net income for Accumulated
the current or undistributed
preceding net profits Paid-in
fiscal year, from the sale surplus
and accumulated of securities or other
undistributed net or other capital
Portfolio Name income properties source
-------------- ----------------- ------------- --------
Continental Small Company Portfolio
December 15, 2017................................ 27% 0% 73%
DFA International Real Estate Securities Portfolio
December 14, 2017................................ 0% 0% 100%
DFA International Small Cap Value Portfolio
December 14, 2017................................ 20% 0% 80%
International Vector Equity Portfolio
December 14, 2017................................ 28% 0% 72%
International High Relative Profitability Portfolio
December 15, 2017................................ 83% 0% 17%
World ex U.S. Value Portfolio
December 15, 2017................................ 76% 0% 24%
World Ex U.S. Targeted Value Portfolio
December 15, 2017................................ 81% 0% 19%
World ex U.S. Core equity Portfolio
December 15, 2017................................ 35% 0% 65%
World Core Equity Portfolio
December 15, 2017................................ 99% 0% 1%
Selectively Hedged Global Equity Portfolio
December 15, 2017................................ 79% 0% 21%
Emerging Markets Portfolio
December 15, 2017................................ 0% 0% 100%
Emerging Markets Small Cap Portfolio
December 15, 2017................................ 16% 0% 84%
Emerging Markets Value Portfolio
December 15, 2017................................ 4% 0% 96%
Emerging Markets Core Equity Portfolio
December 14, 2017................................ 12% 0% 88%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
188
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
DFA Commodity Strategy Portfolio
--------------------------------
Actual Fund Return............... $1,000.00 $1,046.70 0.32% $1.62
Hypothetical 5% Annual Return.... $1,000.00 $1,023.21 0.32% $1.61
----------
* DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (181), then divided by the
number of days in the year (365) to reflect the six-month period.
189
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 29, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DFA Commodity Strategy Portfolio
Corporate.................................... 49.5%
Government................................... 24.0%
Foreign Corporate............................ 20.7%
Foreign Government........................... 5.4%
Supranational................................ 0.4%
-----
100.0%
190
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Face
Amount^ Value+
- ------- ------
(000)
BONDS -- (71.6%)
AUSTRALIA -- (5.4%)
Australia & New Zealand Banking Group, Ltd.
3.250%, 06/03/20............................. AUD 1,665 $ 1,267,086
Commonwealth Bank of Australia
2.300%, 09/06/19............................. 10,100 10,018,418
5.000%, 10/15/19............................. 10,000 10,278,277
7.250%, 02/05/20............................. AUD 12,000 9,752,851
## 2.250%, 03/10/20............................. 5,000 4,921,084
2.300%, 03/12/20............................. 7,000 6,906,831
5.000%, 03/19/20............................. 5,000 5,167,464
# 2.400%, 11/02/20............................. 2,246 2,209,178
Macquarie Group, Ltd.
## 3.000%, 12/03/18............................. 4,500 4,508,077
Macquarie Group, Ltd.
## 6.250%, 01/14/21............................. 4,842 5,153,655
National Australia Bank, Ltd.
## 2.400%, 12/09/19............................. 9,500 9,422,648
2.125%, 05/22/20............................. 745 730,752
2.625%, 07/23/20............................. 4,052 4,009,558
2.000%, 11/12/20............................. EUR 4,150 5,256,448
Westpac Banking Corp.
7.250%, 02/11/20............................. AUD 9,700 7,888,543
2.150%, 03/06/20............................. 5,000 4,921,606
2.300%, 05/26/20............................. 18,774 18,481,057
------------
TOTAL AUSTRALIA.................................. 110,893,533
------------
AUSTRIA -- (0.1%)
Oesterreichische Kontrollbank AG
1.875%, 01/20/21............................. 1,500 1,462,527
------------
BELGIUM -- (0.5%)
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21............................. 10,000 9,883,499
------------
CANADA -- (8.8%)
Alberta, Province of Canada
1.900%, 12/06/19............................. 5,000 4,934,845
Bank of Montreal
# 2.375%, 01/25/19............................. 9,620 9,610,987
British Columbia, Province of Canada
4.650%, 12/18/18............................. CAD 10,000 7,939,639
Canada Housing Trust No 1
## 2.350%, 12/15/18............................. CAD 30,000 23,482,223
CPPIB Capital, Inc.
1.400%, 06/04/20............................. CAD 6,000 4,605,974
Nutrien, Ltd.
6.500%, 05/15/19............................. 1,446 1,499,592
Face
Amount^ Value+
- ------- ------
(000)
CANADA -- (Continued)
Ontario, Province of Canada
3.000%, 09/28/20............................. EUR 23,500 $ 30,588,802
Province of Ontario Canada
# 1.650%, 09/27/19............................. 6,103 6,019,145
Quebec, Province of Canada
4.500%, 12/01/18............................. CAD 10,000 7,921,259
Royal Bank of Canada
2.890%, 10/11/18............................. CAD 30,000 23,476,615
2.980%, 05/07/19............................. CAD 7,000 5,497,667
# 1.500%, 07/29/19............................. 4,625 4,552,302
2.150%, 03/06/20............................. 5,708 5,621,326
2.350%, 10/30/20............................. 5,913 5,805,404
Toronto-Dominion Bank (The)
2.447%, 04/02/19............................. CAD 17,000 13,293,088
2.125%, 07/02/19............................. 19,850 19,723,058
# 2.500%, 12/14/20............................. 1,000 984,370
------------
TOTAL CANADA...................................... 175,556,296
------------
FINLAND -- (0.3%)
Municipality Finance P.L.C.
1.250%, 04/18/19............................. 5,000 4,939,250
1.750%, 05/21/19............................. 1,150 1,140,565
------------
TOTAL FINLAND..................................... 6,079,815
------------
FRANCE -- (2.3%)
BNP Paribas SA
2.375%, 05/21/20............................. 2,720 2,690,595
BPCE SA
# 2.650%, 02/03/21............................. 330 323,995
Credit Agricole SA
### 2.750%, 06/10/20............................. 5,000 4,950,735
Electricite de France SA
## 2.350%, 10/13/20............................. 5,000 4,916,180
Orange SA
1.625%, 11/03/19............................. 2,000 1,962,240
Societe Generale SA
## 2.625%, 09/16/20............................. 2,000 1,971,643
Total Capital Canada, Ltd.
1.875%, 07/09/20............................. EUR 3,500 4,404,264
Total Capital International SA
2.100%, 06/19/19............................. 13,208 13,130,633
UNEDIC ASSEO
0.0%, 11/25/20............................... EUR 8,800 10,688,236
------------
TOTAL FRANCE...................................... 45,038,521
------------
GERMANY -- (3.3%)
Bayer U.S. Finance LLC
## 2.375%, 10/08/19............................. 1,500 1,485,477
191
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
GERMANY -- (Continued)
BMW US Capital LLC
## 2.000%, 04/11/21............................. 3,000 $ 2,892,590
Daimler Finance North America LLC
## 2.700%, 08/03/20............................. 2,000 1,976,621
Deutsche Bank AG
2.950%, 08/20/20............................. 7,018 6,906,066
# 3.125%, 01/13/21............................. 3,889 3,818,353
Deutsche Telekom International Finance BV
## 1.500%, 09/19/19............................. 3,000 2,941,448
EMD Finance LLC
## 2.400%, 03/19/20............................. 1,150 1,133,843
FMS Wertmanagement AoeR
0.0%, 10/20/20............................... EUR 24,000 29,199,760
State of North Rhine- Westphalia Germany
1.625%, 01/22/20............................. 3,650 3,581,019
Volkswagen Group of America Finance LLC
## 2.125%, 05/23/19............................. 10,000 9,929,484
## 2.400%, 05/22/20............................. 2,000 1,966,919
-----------
TOTAL GERMANY.................................... 65,831,580
-----------
IRELAND -- (0.5%)
Allergan Funding SCS
# 3.000%, 03/12/20............................. 5,000 4,965,990
Medtronic, Inc.
2.500%, 03/15/20............................. 4,750 4,720,883
-----------
TOTAL IRELAND.................................... 9,686,873
-----------
ITALY -- (0.1%)
Intesa Sanpaolo SpA
3.875%, 01/15/19............................. 2,570 2,584,520
-----------
JAPAN -- (2.2%)
American Honda Finance Corp.
2.250%, 08/15/19............................. 2,000 1,986,549
MUFG Bank, Ltd.
## 2.350%, 09/08/19............................. 850 842,458
Nomura Holdings, Inc.
2.750%, 03/19/19............................. 1,034 1,033,537
Sumitomo Mitsui Banking Corp.
# 2.450%, 01/10/19............................. 3,500 3,496,390
2.650%, 07/23/20............................. 3,760 3,713,033
Toyota Credit Canada, Inc.
2.800%, 11/21/18............................. CAD 10,000 7,830,367
Toyota Motor Credit Corp.
2.000%, 10/24/18............................. 4,149 4,141,516
1.400%, 05/20/19............................. 5,168 5,108,869
2.125%, 07/18/19............................. 1,080 1,072,989
# 1.550%, 10/18/19............................. 10,000 9,832,870
2.150%, 03/12/20............................. 5,550 5,477,882
-----------
TOTAL JAPAN...................................... 44,536,460
-----------
Face
Amount^ Value+
- ------- ------
(000)
NETHERLANDS -- (3.5%)
Bank Nederlandse Gemeenten NV
## 1.750%, 10/05/20............................. 24,800 $24,169,956
Cooperatieve Rabobank UA
2.250%, 01/14/19............................. 9,665 9,642,697
ING Bank NV
## 2.500%, 10/01/19............................. 3,000 2,976,737
LyondellBasell Industries NV
5.000%, 04/15/19............................. 1,022 1,036,752
Nederlandse Waterschapsbank NV
1.625%, 03/04/20............................. 4,362 4,276,505
Shell International Finance BV
# 1.900%, 08/10/18............................. 4,000 3,997,641
2.000%, 11/15/18............................. 2,350 2,343,434
4.300%, 09/22/19............................. 12,204 12,486,633
# 4.375%, 03/25/20............................. 9,400 9,671,524
-----------
TOTAL NETHERLANDS................................ 70,601,879
-----------
NORWAY -- (0.8%)
Kommunalbanken A.S.
1.750%, 05/28/19............................. 5,000 4,958,470
1.625%, 01/15/20............................. 5,450 5,355,546
Statoil ASA
# 2.900%, 11/08/20............................. 5,192 5,191,729
-----------
TOTAL NORWAY..................................... 15,505,745
-----------
SPAIN -- (1.4%)
Iberdrola Finance Ireland DAC
## 5.000%, 09/11/19............................. 2,000 2,048,889
Santander Holdings USA, Inc.
2.650%, 04/17/20............................. 4,992 4,933,143
Santander UK Group Holdings P.L.C.
2.875%, 10/16/20............................. 9,000 8,900,145
3.125%, 01/08/21............................. 1,808 1,792,957
Telefonica Emisiones SAU
# 5.134%, 04/27/20............................. 2,200 2,285,953
5.462%, 02/16/21............................. 8,000 8,460,624
-----------
TOTAL SPAIN...................................... 28,421,711
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (2.5%)
Asian Development Bank
2.800%, 01/19/21............................. AUD 2,000 1,518,293
Council Of Europe Development Bank
1.750%, 11/14/19............................. 7,000 6,912,990
European Investment Bank
6.000%, 08/06/20............................. AUD 3,500 2,843,530
2.800%, 01/15/21............................. AUD 9,000 6,838,541
192
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
International Bank for Reconstruction &
Development
0.125%, 10/23/20............................. EUR 20,100 $ 24,561,017
2.800%, 01/13/21............................. AUD 11,000 8,351,931
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 51,026,302
------------
SWEDEN -- (5.7%)
Kommuninvest I Sverige AB
0.750%, 02/16/20............................. SEK 300,000 34,839,625
Nordea Bank AB
2.375%, 04/04/19............................. 15,000 14,949,686
Svensk Exportkredit AB
1.875%, 06/17/19............................. 17,000 16,869,610
Svenska Handelsbanken AB
# 2.250%, 06/17/19............................. 5,000 4,967,510
## 5.125%, 03/30/20............................. 6,708 6,952,681
2.250%, 08/27/20............................. EUR 1,500 1,907,139
Sweden Government Bond
5.000%, 12/01/20............................. SEK 250,000 32,669,400
------------
TOTAL SWEDEN..................................... 113,155,651
------------
SWITZERLAND -- (0.9%)
Novartis Capital Corp.
# 4.400%, 04/24/20............................. 9,500 9,789,085
UBS AG
# 2.375%, 08/14/19............................. 1,500 1,491,675
2.350%, 03/26/20............................. 6,000 5,914,620
------------
TOTAL SWITZERLAND................................ 17,195,380
------------
UNITED KINGDOM -- (1.3%)
Aon Corp.
5.000%, 09/30/20............................. 1,000 1,039,211
Aon P.L.C.
2.800%, 03/15/21............................. 2,680 2,631,143
AstraZeneca P.L.C.
# 1.750%, 11/16/18............................. 6,958 6,932,956
Barclays P.L.C.
2.875%, 06/08/20............................. 5,000 4,944,380
GlaxoSmithKline Capital, Inc.
5.650%, 05/15/18............................. 1,028 1,029,326
HSBC USA, Inc.
# 2.750%, 08/07/20............................. 10,000 9,946,725
------------
TOTAL UNITED KINGDOM............................. 26,523,741
------------
UNITED STATES -- (31.9%)
21st Century Fox America, Inc.
4.500%, 02/15/21............................. 3,624 3,740,437
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
3M Co.
# 1.625%, 06/15/19............................. 3,200 $ 3,161,140
AbbVie, Inc.
# 2.500%, 05/14/20............................. 11,317 11,181,667
American Express Credit Corp.
2.375%, 05/26/20............................. 6,210 6,131,010
American International Group, Inc.
2.300%, 07/16/19............................. 1,500 1,487,330
3.375%, 08/15/20............................. 1,835 1,837,063
6.400%, 12/15/20............................. 7,000 7,539,177
Amgen, Inc.
2.200%, 05/11/20............................. 9,990 9,827,872
Anthem, Inc.
4.350%, 08/15/20............................. 1,128 1,156,891
2.500%, 11/21/20............................. 11,465 11,272,128
Apple, Inc.
1.900%, 02/07/20............................. 31,000 30,611,570
2.000%, 05/06/20............................. 4,522 4,459,470
AT&T, Inc.
2.300%, 03/11/19............................. 575 573,785
5.200%, 03/15/20............................. 6,000 6,221,216
Autodesk, Inc.
3.125%, 06/15/20............................. 1,355 1,349,878
AutoZone, Inc.
2.500%, 04/15/21............................. 2,045 2,002,337
Bank of America Corp.
2.600%, 01/15/19............................. 4,000 3,999,278
2.625%, 10/19/20............................. 1,670 1,650,024
Bank of New York Mellon Corp. (The)
# 2.100%, 01/15/19............................. 1,000 997,415
Berkshire Hathaway, Inc.
2.100%, 08/14/19............................. 2,800 2,787,115
Branch Banking & Trust Co.
2.300%, 10/15/18............................. 1,000 999,131
Burlington Northern Santa Fe LLC
4.700%, 10/01/19............................. 250 256,346
CA, Inc.
5.375%, 12/01/19............................. 5,245 5,431,801
Capital One Bank USA NA
2.300%, 06/05/19............................. 1,242 1,232,463
Capital One NA/Mclean
# 2.400%, 09/05/19............................. 6,536 6,477,347
Cardinal Health, Inc.
4.625%, 12/15/20............................. 2,150 2,214,514
Caterpillar Financial Services Corp.
2.450%, 09/06/18............................. 5,534 5,533,186
7.050%, 10/01/18............................. 5,000 5,090,984
CBS Corp.
2.300%, 08/15/19............................. 1,500 1,485,321
Celgene Corp.
2.875%, 02/19/21............................. 8,000 7,902,839
193
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
Chevron Corp.
# 2.193%, 11/15/19............................. 15,000 $14,872,427
# 1.961%, 03/03/20............................. 8,000 7,893,120
# 2.427%, 06/24/20............................. 3,650 3,627,408
Cisco Systems, Inc.
2.125%, 03/01/19............................. 10,000 9,977,435
1.400%, 09/20/19............................. 12,935 12,733,626
Citigroup, Inc.
2.050%, 12/07/18............................. 7,281 7,259,541
2.550%, 04/08/19............................. 750 748,765
2.650%, 10/26/20............................. 1,325 1,306,669
Coca-Cola Co. (The)
2.600%, 06/09/20............................. AUD 3,350 2,525,407
Comcast Corp.
5.700%, 05/15/18............................. 732 732,871
Comerica, Inc.
2.125%, 05/23/19............................. 4,000 3,975,688
CVS Health Corp.
2.250%, 12/05/18............................. 4,500 4,489,613
Danaher Corp.
# 1.650%, 09/15/18............................. 324 322,989
Discovery Communications LLC
## 2.750%, 11/15/19............................. 1,500 1,491,300
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20............................. 2,000 1,980,116
Dow Chemical Co. (The)
4.250%, 11/15/20............................. 9,625 9,856,369
Eastman Chemical Co.
2.700%, 01/15/20............................. 3,883 3,859,930
EI du Pont de Nemours & Co.
6.000%, 07/15/18............................. 10,927 11,007,493
Enterprise Products Operating LLC
1.650%, 05/07/18............................. 825 824,876
5.200%, 09/01/20............................. 3,839 4,008,969
Eversource Energy
2.500%, 03/15/21............................. 3,350 3,285,734
Exelon Corp.
# 2.850%, 06/15/20............................. 1,205 1,192,941
Exelon Generation Co. LLC
# 4.000%, 10/01/20............................. 4,282 4,341,840
Exxon Mobil Corp.
# 1.912%, 03/06/20............................. 3,950 3,897,116
2.222%, 03/01/21............................. 3,000 2,951,066
Fidelity National Information Services, Inc.
3.625%, 10/15/20............................. 1,214 1,226,138
Fifth Third Bancorp
# 2.875%, 07/27/20............................. 4,000 3,983,489
Ford Motor Credit Co. LLC
5.000%, 05/15/18............................. 1,500 1,501,453
# 2.551%, 10/05/18............................. 5,000 5,000,236
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
GE Capital International Funding Co., Unlimited
Co.
2.342%, 11/15/20............................. 2,937 $ 2,870,864
General Electric Co.
# 4.375%, 09/16/20............................. 7,000 7,185,394
General Mills, Inc.
2.200%, 10/21/19............................. 3,500 3,455,743
General Motors Financial Co., Inc.
# 3.150%, 01/15/20............................. 7,000 6,992,937
4.200%, 03/01/21............................. 500 508,822
Gilead Sciences, Inc.
1.850%, 09/04/18............................. 3,558 3,552,299
Goldman Sachs Group, Inc. (The)
7.500%, 02/15/19............................. 4,082 4,235,465
2.300%, 12/13/19............................. 600 593,998
# 2.600%, 04/23/20............................. 2,075 2,056,312
6.000%, 06/15/20............................. 8,000 8,459,239
Harley-Davidson Financial Services, Inc.
## 2.150%, 02/26/20............................. 585 573,927
## 2.400%, 06/15/20............................. 2,600 2,548,964
## 2.850%, 01/15/21............................. 6,000 5,914,969
Harris Corp.
2.700%, 04/27/20............................. 1,205 1,194,864
Hewlett Packard Enterprise Co.
3.600%, 10/15/20............................. 7,000 7,049,828
Huntington Bancshares, Inc.
# 2.600%, 08/02/18............................. 2,600 2,600,605
Integrys Energy Group, Inc.
4.170%, 11/01/20............................. 4,060 4,145,023
Intercontinental Exchange, Inc.
2.750%, 12/01/20............................. 2,347 2,325,455
International Business Machines Corp.
2.250%, 02/19/21............................. 3,615 3,552,068
John Deere Capital Corp.
# 2.800%, 03/04/21............................. 1,000 989,583
JPMorgan Chase & Co.
6.300%, 04/23/19............................. 3,500 3,623,389
# 2.750%, 06/23/20............................. 6,650 6,608,685
KeyBank NA
2.350%, 03/08/19............................. 7,000 6,986,471
KeyCorp
2.900%, 09/15/20............................. 3,128 3,105,793
Kraft Heinz Foods Co.
2.800%, 07/02/20............................. 14,365 14,259,848
Kroger Co. (The)
2.300%, 01/15/19............................. 1,000 996,942
1.500%, 09/30/19............................. 1,565 1,531,694
L3 Technologies, Inc.
# 4.750%, 07/15/20............................. 1,273 1,316,392
Lam Research Corp.
2.750%, 03/15/20............................. 1,098 1,094,575
194
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
LG&E & KU Energy LLC
# 3.750%, 11/15/20............................. 1,244 $ 1,256,635
Marriott International, Inc.
# 2.875%, 03/01/21............................. 1,000 989,922
Maxim Integrated Products, Inc.
2.500%, 11/15/18............................. 4,417 4,410,441
McDonald's Corp.
# 2.100%, 12/07/18............................. 8,000 7,996,469
McKesson Corp.
2.284%, 03/15/19............................. 4,500 4,484,493
Merck & Co., Inc.
1.850%, 02/10/20............................. 22,500 22,173,776
Microsoft Corp.
# 1.100%, 08/08/19............................. 4,930 4,842,317
1.850%, 02/12/20............................. 7,000 6,905,162
Molson Coors Brewing Co.
2.250%, 03/15/20............................. 12,857 12,633,072
Mondelez International, Inc.
## 1.625%, 10/28/19............................. 2,000 1,960,347
Monsanto Co.
1.850%, 11/15/18............................. 6,700 6,670,367
Morgan Stanley
7.300%, 05/13/19............................. 6,000 6,271,331
Nasdaq, Inc.
5.550%, 01/15/20............................. 1,850 1,921,817
NextEra Energy Capital Holdings, Inc.
2.700%, 09/15/19............................. 1,500 1,493,354
NiSource, Inc.
6.800%, 01/15/19............................. 307 315,412
Omnicom Group, Inc.
4.450%, 08/15/20............................. 2,190 2,248,278
Oracle Corp.
# 2.250%, 10/08/19............................. 29,780 29,642,283
PACCAR Financial Corp.
1.750%, 08/14/18............................. 1,900 1,896,647
Pfizer, Inc.
# 1.500%, 06/15/18............................. 1,000 999,348
# 2.100%, 05/15/19............................. 30,877 30,734,339
Philip Morris International, Inc.
5.650%, 05/16/18............................. 2,751 2,754,606
# 1.875%, 01/15/19............................. 2,500 2,487,670
2.000%, 02/21/20............................. 1,250 1,228,697
PNC Bank NA
2.300%, 06/01/20............................. 2,400 2,362,680
2.600%, 07/21/20............................. 3,600 3,561,940
Provident Cos., Inc.
7.000%, 07/15/18............................. 3,298 3,327,436
QUALCOMM, Inc.
1.400%, 05/18/18............................. 1,000 999,641
Regions Financial Corp.
3.200%, 02/08/21............................. 4,400 4,380,216
Republic Services, Inc.
5.500%, 09/15/19............................. 1,167 1,207,562
Reynolds American, Inc.
2.300%, 06/12/18............................. 1,606 1,605,671
Face
Amount^ Value+
- ------- ------
(000)
UNITED STATES -- (Continued)
Roper Technologies, Inc.
2.050%, 10/01/18............................. 1,500 $ 1,496,647
3.000%, 12/15/20............................. 5,070 5,040,580
Ryder System, Inc.
2.550%, 06/01/19............................. 1,500 1,493,091
Sempra Energy
2.850%, 11/15/20............................. 6,000 5,928,745
Southern Co. (The)
# 2.450%, 09/01/18............................. 2,324 2,322,128
Southern Power Co.
2.375%, 06/01/20............................. 1,645 1,616,924
Southwest Airlines Co.
2.750%, 11/06/19............................. 5,480 5,452,969
State Street Corp.
# 2.550%, 08/18/20............................. 3,366 3,339,793
Stryker Corp.
# 2.000%, 03/08/19............................. 8,000 7,957,247
SunTrust Banks, Inc.
2.500%, 05/01/19............................. 7,735 7,716,443
Target Corp.
2.300%, 06/26/19............................. 376 374,638
TD Ameritrade Holding Corp.
5.600%, 12/01/19............................. 1,000 1,040,090
Thermo Fisher Scientific, Inc.
2.400%, 02/01/19............................. 2,529 2,523,361
Time Warner, Inc.
# 4.875%, 03/15/20............................. 2,985 3,083,038
4.700%, 01/15/21............................. 9,000 9,315,560
Total System Services, Inc.
2.375%, 06/01/18............................. 5,500 5,498,312
UnitedHealth Group, Inc.
# 1.625%, 03/15/19............................. 3,000 2,974,611
US Bank NA
2.125%, 10/28/19............................. 5,000 4,950,605
Verizon Communications, Inc.
# 2.625%, 02/21/20............................. 1,288 1,281,432
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19............................. 470 468,355
Walt Disney Co. (The)
1.500%, 09/17/18............................. 255 254,530
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............................. 1,021 1,011,247
--------------
TOTAL UNITED STATES.............................. 638,717,783
--------------
TOTAL BONDS...................................... 1,432,701,816
--------------
U.S. TREASURY OBLIGATIONS -- (26.1%)
U.S. Treasury Notes
0.750%, 02/15/19............................. 126,000 124,548,046
++ 1.625%, 07/31/20............................. 304,000 297,920,000
1.375%, 08/31/20............................. 103,000 100,247,969
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 522,716,015
--------------
TOTAL INVESTMENT SECURITIES...................... 1,955,417,831
--------------
195
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Shares Value+
------ ------
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund............... 4,015,285 $ 46,456,849
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,025,097,732)............................ $2,001,874,680
==============
At April 30, 2018, DFA Commodity Strategy Portfolio had entered into the
following forward currency contracts and the net unrealized forward currency
gain (loss) is reflected in the accompanying financial statements:
Unrealized
Foreign
Exchange
Settlement Appreciation
Currency Purchased Currency Sold Counterparty Date (Depreciation)
------------------ --------------- ---------------------------- ------------------ --------------
USD 71,945,964 SEK 601,306,453 JP Morgan 07/05/18 $2,935,694
USD 96,503,226 CAD 121,297,809 JP Morgan 07/13/18 1,869,765
USD 42,506,320 AUD 55,246,248 JP Morgan 07/20/18 900,126
USD 109,114,022 EUR 88,964,273 State Street Bank and Trust 07/26/18 978,183
----------
Total Appreciation $6,683,768
==========
At April 30, 2018, DFA Commodity Strategy Portfolio had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
Brent Crude Futures......... 81 05/31/18 $ 5,326,963 $ 6,049,890 $ 722,927
Coffee 'c' Futures.......... 39 07/19/18 1,738,720 1,795,950 57,230
Copper Futures.............. 63 07/27/18 4,799,321 4,841,550 42,229
Corn Futures................ 250 07/13/18 4,893,842 5,009,375 115,533
Cotton No.2 Futures......... 27 07/09/18 1,091,595 1,131,840 40,245
Gasoline Rbob Futures....... 35 06/29/18 2,881,641 3,126,396 244,755
Gold 100 Oz Futures......... 65 06/27/18 8,654,262 8,574,800 (79,462)
Kc Hrw Wheat Futures........ 43 07/13/18 1,095,956 1,155,625 59,669
LME Nickel Futures.......... 97 05/14/18 7,839,849 7,915,782 75,933
LME Nickel Futures.......... 26 07/16/18 2,074,276 2,128,074 53,798
LME Prime Aluminium Futures. 217 05/14/18 11,873,539 12,279,487 405,948
LME Prime Aluminium Futures. 59 07/16/18 3,038,479 3,335,712 297,233
LME Zinc Futures............ 97 05/14/18 8,450,636 7,587,219 (863,417)
LME Zinc Futures............ 26 07/16/18 2,102,299 2,032,875 (69,424)
Lean Hogs Futures........... 52 06/14/18 1,616,053 1,512,160 (103,893)
Live Cattle Futures......... 65 06/29/18 2,898,404 2,758,600 (139,804)
Natural Gas Futures......... 209 06/27/18 5,941,710 5,852,000 (89,710)
Ny Harb Ulsd Futures........ 31 06/29/18 2,570,299 2,790,577 220,278
Silver Futures.............. 30 07/27/18 2,465,818 2,460,150 (5,668)
Soybean Futures............. 88 07/13/18 4,554,363 4,613,400 59,037
Soybean Meal Futures........ 68 07/13/18 2,606,653 2,677,840 71,187
Soybean Oil Futures......... 97 07/13/18 1,854,032 1,782,084 (71,948)
Sugar #11 Futures........... 150 06/29/18 2,088,293 1,974,000 (114,293)
Wheat Futures (cbt)......... 108 07/13/18 2,564,694 2,756,700 192,006
Wti Crude Futures........... 85 06/20/18 5,360,914 5,820,800 459,886
------------ ------------ ----------
Total....................... $100,382,611 $101,962,886 $1,580,275
------------ ------------ ----------
196
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Short position contracts:
LME Nickel Futures......... (97) 05/14/18 $ (7,819,125) $ (7,915,782) $ (96,657)
LME Prime Aluminum Futures. (217) 05/14/18 (11,241,223) (12,279,487) (1,038,264)
LME Zinc Futures........... (97) 05/14/18 (8,232,008) (7,587,219) 644,789
------------ ------------ -----------
Total...................... $(27,292,356) $(27,782,488) $ (490,132)
------------ ------------ -----------
Total futures contracts.... $ 73,090,255 $ 74,180,398 $ 1,090,143
============ ============ ===========
At April 30, 2018, DFA Commodity Strategy Portfolio had entered into the
following outstanding Total Return Swaps:
Payments
received Upfront Upfront Unrealized
Notional (paid) by Expiration Premiums Premiums Market Appreciation
Reference Entity Counterparty Amount the Fund Date Paid Received Value (Depreciation)
---------------- ------------------ --------------- ------------------- ---------- -------- -------- ---------- --------------
Citi Custom 3 Month
CIVICS H USD UST 13-Week
Total Return Bill High Discount
Index (1) CITIBANK, N.A. USD 271,780,677 Rate plus 0.14% 06/29/18 -- -- $ 86,867 $ 86,867
Citi Commodities 3 Month USD UST
Pre-Roll RS 13-Week Bill
Total Return High Discount Rate
Index (2) CITIBANK, N.A. USD 224,629,339 plus 0.18% 06/29/18 -- -- 36,779 36,779
Credit Suisse 3 Month USD UST
Custom 57 13-Week Bill
Total Return Credit Suisse High Discount Rate
Index (3) International USD 196,367,488 plus 0.14% 05/31/18 -- -- 84,931 84,931
Credit Suisse 3 Month USD UST
Custom 57R 13-Week Bill
Total Return Credit Suisse High Discount Rate
Index (4) International USD 238,632,772 plus 0.19% 05/31/18 -- -- 64,690 64,690
Deutsche Bank 3 Month USD UST
Benchmark 2 13-Week Bill
Flex Index Deutsche Bank AG, High Discount Rate
002 (5) London Branch USD 170,378,905 plus 0.14% 05/31/18 -- -- 73,749 73,749
Deutsche Bank
Bloomberg
Roll Select 3 Month USD UST
Commodity 13-Week Bill
Pre-Roll Deutsche Bank AG, High Discount Rate
Index (6) London Branch USD 60,425,712 plus 0.17% 05/31/18 -- -- 17,446 17,446
BofA Merrill
Lynch
Commodity 3 Month USD UST
MLBXPPDM 13-Week Bill
Total Return Bank of America, High Discount Rate
Index (7) N.A. USD 245,935,013 plus 0.14% 06/29/18 -- -- 78,259 78,259
BofA Merrill
Lynch 3 Month USD UST
MLBXRSDM 13-Week Bill
Total Return Bank of America, High Discount Rate
Index (8) N.A. USD 177,034,032 plus 0.18% 06/29/18 -- -- 29,005 29,005
UBS UBSIB190 3 Month USD UST
Custom 13-Week Bill
Strategy (9) High Discount Rate
UBS AG USD 273,639,724 plus 0.14% 07/29/18 -- -- 510,804 510,804
UBS UBSIDRST 3 Month USD UST
Custom 13-Week Bill
Strategy (10) High Discount Rate
UBS AG USD 108,605,668 plus 0.17% 07/29/18 -- -- 189,360 189,360
-- -- ---------- ----------
Total -- -- $1,171,890 $1,171,890
== == ========== ==========
197
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
(1) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 6.75% 18,351,982
CBOT Soybean Future...................... 6.21% 16,878,622
CBOT Soybean Meal Future................. 3.58% 9,737,401
CBOT Soybean Oil Future.................. 2.40% 6,535,676
CBOT Wheat Future........................ 3.73% 10,127,368
CME Lean Hogs Future..................... 2.13% 5,782,761
CME Live Cattle Future................... 3.65% 9,909,296
COMEX Copper Future...................... 6.57% 17,867,072
COMEX Gold 100 Troy Ounces Future........ 11.55% 31,394,555
COMEX Silver Future...................... 3.36% 9,138,426
ICE Brent Crude Oil Future............... 8.07% 21,920,665
KCBT Hard Red Winter Wheat Future........ 1.55% 4,203,531
LME Nickel Future........................ 2.90% 7,890,652
LME Primary Aluminum Future.............. 4.47% 12,143,167
LME Zinc Future.......................... 2.78% 7,558,064
NYBOT CSC C Coffee Future................ 2.40% 6,530,259
NYBOT CSC Number 11 World Sugar Future... 2.66% 7,225,659
NYBOT CTN Number 2 Cotton Future......... 1.51% 4,096,670
NYMEX Henry Hub Natural Gas Future....... 7.89% 21,434,936
NYMEX Light Sweet Crude Oil Future....... 7.87% 21,401,679
NYMEX NY Harbor ULSD Future.............. 3.71% 10,081,529
NYMEX Reformulated Gasoline Blend Future. 4.26% 11,570,707
-----------
Total Notional Amount.................... 271,780,677
===========
(2) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future.................. 7.08% 15,907,079
CBOT Soybean Future............... 6.25% 14,043,282
CBOT Soybean Meal Future.......... 3.49% 7,849,954
CBOT Soybean Oil Future........... 2.43% 5,457,304
CBOT Wheat Future................. 3.76% 8,456,376
CME Lean Hogs Future.............. 1.83% 4,106,315
CME Live Cattle Future............ 3.68% 8,274,285
COMEX Copper Future............... 6.74% 15,137,444
COMEX Gold 100 Troy Ounces Future. 11.67% 26,214,526
COMEX Silver Future............... 3.40% 7,630,607
ICE Brent Crude Oil Future........ 8.03% 18,040,191
KCBT Hard Red Winter Wheat Future. 1.68% 3,779,327
LME Nickel Future................. 2.95% 6,625,179
LME Primary Aluminum Future....... 4.48% 10,070,077
LME Zinc Future................... 2.80% 6,288,299
198
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
NYBOT CSC C Coffee Future................ 2.43% 5,452,781
NYBOT CSC Number 11 World Sugar Future... 2.69% 6,033,442
NYBOT CTN Number 2 Cotton Future......... 1.43% 3,214,277
NYMEX Henry Hub Natural Gas Future....... 7.94% 17,834,299
NYMEX Light Sweet Crude Oil Future....... 7.60% 17,074,527
NYMEX NY Harbor ULSD Future.............. 3.75% 8,418,100
NYMEX Reformulated Gasoline Blend Future. 3.88% 8,721,668
-----------
Total Notional Amount.................... 224,629,339
===========
(3) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 6.75% 13,254,805
CBOT Soybean Future...................... 6.21% 12,194,421
CBOT Soybean Meal Future................. 3.58% 7,029,956
CBOT Soybean Oil Future.................. 2.40% 4,712,820
CBOT Wheat Future........................ 3.73% 7,324,507
CME Lean Hogs Future..................... 2.13% 4,182,628
CME Live Cattle Future................... 3.65% 7,167,413
COMEX Copper Future...................... 6.57% 12,901,344
COMEX Gold 100 Troy Ounces Future........ 11.55% 22,680,445
COMEX Silver Future...................... 3.36% 6,597,948
ICE Brent Crude Oil Future............... 8.07% 15,846,856
KCBT Hard Red Winter Wheat Future........ 1.55% 3,043,696
LME Nickel Future........................ 2.90% 5,694,657
LME Primary Aluminum Future.............. 4.47% 8,777,627
LME Zinc Future.......................... 2.78% 5,459,016
NYBOT CSC C Coffee Future................ 2.40% 4,712,820
NYBOT CSC Number 11 World Sugar Future... 2.66% 5,223,375
NYBOT CTN Number 2 Cotton Future......... 1.51% 2,965,149
NYMEX Henry Hub Natural Gas Future....... 7.89% 15,493,395
NYMEX Light Sweet Crude Oil Future....... 7.87% 15,454,121
NYMEX NY Harbor ULSD Future.............. 3.71% 7,285,234
NYMEX Reformulated Gasoline Blend Future. 4.26% 8,365,255
-----------
Total Notional Amount.................... 196,367,488
===========
(4) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......... 7.08% 16,895,200
CBOT Soybean Future...... 6.25% 14,914,548
CBOT Soybean Meal Future. 3.49% 8,328,284
199
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Soybean Oil Future.................. 2.43% 5,798,776
CBOT Wheat Future........................ 3.76% 8,972,592
CME Lean Hogs Future..................... 1.83% 4,366,980
CME Live Cattle Future................... 3.68% 8,781,686
COMEX Copper Future...................... 6.74% 16,083,849
COMEX Gold 100 Troy Ounces Future........ 11.68% 27,872,308
COMEX Silver Future...................... 3.40% 8,113,514
ICE Brent Crude Oil Future............... 8.03% 19,162,212
KCBT Hard Red Winter Wheat Future........ 1.68% 4,009,030
LME Nickel Future........................ 2.95% 7,039,667
LME Primary Aluminum Future.............. 4.48% 10,690,748
LME Zinc Future.......................... 2.80% 6,681,718
NYBOT CSC C Coffee Future................ 2.43% 5,798,776
NYBOT CSC Number 11 World Sugar Future... 2.69% 6,419,222
NYBOT CTN Number 2 Cotton Future......... 1.43% 3,412,449
NYMEX Henry Hub Natural Gas Future....... 7.94% 18,947,442
NYMEX Light Sweet Crude Oil Future....... 7.60% 18,136,091
NYMEX NY Harbor ULSD Future.............. 3.75% 8,948,729
NYMEX Reformulated Gasoline Blend Future. 3.88% 9,258,951
-----------
Total Notional Amount.................... 238,632,772
===========
(5) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 6.73% 11,463,361
CBOT Soybean Future...................... 6.27% 10,680,940
CBOT Soybean Meal Future................. 3.60% 6,140,000
CBOT Soybean Oil Future.................. 2.42% 4,120,236
CBOT Wheat Future........................ 3.65% 6,212,126
CME Lean Hogs Future..................... 2.14% 3,649,288
CME Live Cattle Future................... 3.70% 6,311,030
COMEX Copper Future...................... 6.58% 11,207,051
COMEX Gold 100 Troy Ounces Future........ 11.61% 19,786,456
COMEX Silver Future...................... 3.39% 5,774,047
ICE Brent Crude Oil Future............... 7.98% 13,601,429
KCBT Hard Red Winter Wheat Future........ 1.53% 2,606,126
LME Nickel Future........................ 2.96% 5,043,296
LME Primary Aluminum Future.............. 4.41% 7,514,927
LME Zinc Future.......................... 2.78% 4,739,367
NYBOT CSC C Coffee Future................ 2.40% 4,088,723
NYBOT CSC Number 11 World Sugar Future... 2.61% 4,450,064
NYBOT CTN Number 2 Cotton Future......... 1.52% 2,593,953
NYMEX Henry Hub Natural Gas Future....... 7.93% 13,517,588
NYMEX Light Sweet Crude Oil Future....... 7.83% 13,345,642
NYMEX NY Harbor ULSD Future.............. 3.69% 6,284,413
NYMEX Reformulated Gasoline Blend Future. 4.25% 7,248,842
-----------
Total Notional Amount.................... 170,378,905
===========
200
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
(6) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 7.07% 4,274,993
CBOT Soybean Future...................... 6.28% 3,795,917
CBOT Soybean Meal Future................. 3.50% 2,117,293
CBOT Soybean Oil Future.................. 2.44% 1,477,234
CBOT Wheat Future........................ 3.69% 2,227,242
CME Lean Hogs Future..................... 1.83% 1,106,698
CME Live Cattle Future................... 3.74% 2,262,703
COMEX Copper Future...................... 6.75% 4,078,950
COMEX Gold 100 Troy Ounces Future........ 11.74% 7,094,066
COMEX Silver Future...................... 3.43% 2,070,177
ICE Brent Crude Oil Future............... 7.95% 4,806,779
KCBT Hard Red Winter Wheat Future........ 1.67% 1,007,473
LME Nickel Future........................ 3.01% 1,817,690
LME Primary Aluminum Future.............. 4.42% 2,670,151
LME Zinc Future.......................... 2.80% 1,691,456
NYBOT CSC C Coffee Future................ 2.43% 1,465,936
NYBOT CSC Number 11 World Sugar Future... 2.64% 1,595,488
NYBOT CTN Number 2 Cotton Future......... 1.44% 872,348
NYMEX Henry Hub Natural Gas Future....... 8.00% 4,836,136
NYMEX Light Sweet Crude Oil Future....... 7.56% 4,567,339
NYMEX NY Harbor ULSD Future.............. 3.73% 2,253,160
NYMEX Reformulated Gasoline Blend Future. 3.87% 2,336,483
----------
Total Notional Amount.................... 60,425,712
==========
(7) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future.................. 6.75% 16,606,754
CBOT Soybean Future............... 6.21% 15,273,507
CBOT Soybean Meal Future.......... 3.58% 8,811,398
CBOT Soybean Oil Future........... 2.40% 5,914,149
CBOT Wheat Future................. 3.73% 9,164,281
CME Lean Hogs Future.............. 2.13% 5,232,835
CME Live Cattle Future............ 3.65% 8,966,947
COMEX Copper Future............... 6.57% 16,167,958
COMEX Gold 100 Troy Ounces Future. 11.55% 28,409,011
COMEX Silver Future............... 3.36% 8,269,385
ICE Brent Crude Oil Future........ 8.07% 19,836,064
KCBT Hard Red Winter Wheat Future. 1.55% 3,803,786
LME Nickel Future................. 2.90% 7,140,271
201
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
LME Primary Aluminum Future.............. 4.47% 10,988,382
LME Zinc Future.......................... 2.78% 6,839,311
NYBOT CSC C Coffee Future................ 2.40% 5,909,248
NYBOT CSC Number 11 World Sugar Future... 2.66% 6,538,517
NYBOT CTN Number 2 Cotton Future......... 1.51% 3,707,087
NYMEX Henry Hub Natural Gas Future....... 7.89% 19,396,527
NYMEX Light Sweet Crude Oil Future....... 7.87% 19,366,432
NYMEX NY Harbor ULSD Future.............. 3.71% 9,122,801
NYMEX Reformulated Gasoline Blend Future. 4.26% 10,470,362
-----------
Total Notional Amount.................... 245,935,013
===========
(8) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 7.08% 12,536,628
CBOT Soybean Future...................... 6.25% 11,067,738
CBOT Soybean Meal Future................. 3.49% 6,186,676
CBOT Soybean Oil Future.................. 2.43% 4,300,990
CBOT Wheat Future........................ 3.76% 6,664,607
CME Lean Hogs Future..................... 1.83% 3,236,253
CME Live Cattle Future................... 3.68% 6,521,098
COMEX Copper Future...................... 6.74% 11,930,066
COMEX Gold 100 Troy Ounces Future........ 11.67% 20,660,094
COMEX Silver Future...................... 3.40% 6,013,806
ICE Brent Crude Oil Future............... 8.03% 14,217,768
KCBT Hard Red Winter Wheat Future........ 1.68% 2,978,549
LME Nickel Future........................ 2.95% 5,221,411
LME Primary Aluminum Future.............. 4.48% 7,936,391
LME Zinc Future.......................... 2.80% 4,955,911
NYBOT CSC C Coffee Future................ 2.43% 4,297,425
NYBOT CSC Number 11 World Sugar Future... 2.69% 4,755,054
NYBOT CTN Number 2 Cotton Future......... 1.43% 2,533,224
NYMEX Henry Hub Natural Gas Future....... 7.94% 14,055,501
NYMEX Light Sweet Crude Oil Future....... 7.60% 13,456,712
NYMEX NY Harbor ULSD Future.............. 3.75% 6,634,442
NYMEX Reformulated Gasoline Blend Future. 3.88% 6,873,688
-----------
Total Notional Amount.................... 177,034,032
===========
202
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
(9) The following table represents the individual positions within the Total
Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future......................... 6.75% 18,470,681
CBOT Soybean Future...................... 6.21% 16,993,027
CBOT Soybean Meal Future................. 3.58% 9,796,302
CBOT Soybean Oil Future.................. 2.40% 6,567,353
CBOT Wheat Future........................ 3.73% 10,206,762
CME Lean Hogs Future..................... 2.13% 5,828,526
CME Live Cattle Future................... 3.65% 9,987,850
COMEX Copper Future...................... 6.57% 17,978,130
COMEX Gold 100 Troy Ounces Future........ 11.55% 31,605,388
COMEX Silver Future...................... 3.36% 9,194,295
ICE Brent Crude Oil Future............... 8.07% 22,082,726
KCBT Hard Red Winter Wheat Future........ 1.55% 4,241,416
LME Nickel Future........................ 2.90% 7,935,552
LME Primary Aluminum Future.............. 4.47% 12,231,696
LME Zinc Future.......................... 2.78% 7,607,184
NYBOT CSC C Coffee Future................ 2.40% 6,567,353
NYBOT CSC Number 11 World Sugar Future... 2.66% 7,278,817
NYBOT CTN Number 2 Cotton Future......... 1.51% 4,131,960
NYMEX Henry Hub Natural Gas Future....... 7.89% 21,590,174
NYMEX Light Sweet Crude Oil Future....... 7.87% 21,535,446
NYMEX NY Harbor ULSD Future.............. 3.71% 10,152,034
NYMEX Reformulated Gasoline Blend Future. 4.26% 11,657,052
-----------
Total Notional Amount.................... 273,639,724
===========
(10) The following table represents the individual positions within the
Total Return Swap as of April 30, 2018:
Referenced Commodity -- Long Position
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
CBOT Corn Future.................. 7.08% 7,689,281
CBOT Soybean Future............... 6.25% 6,787,854
CBOT Soybean Meal Future.......... 3.49% 3,790,338
CBOT Soybean Oil Future........... 2.43% 2,639,118
CBOT Wheat Future................. 3.76% 4,083,573
CME Lean Hogs Future.............. 1.83% 1,987,484
CME Live Cattle Future............ 3.68% 3,996,689
COMEX Copper Future............... 6.74% 7,320,022
COMEX Gold 100 Troy Ounces Future. 11.68% 12,685,141
COMEX Silver Future............... 3.40% 3,692,593
ICE Brent Crude Oil Future........ 8.03% 8,721,035
KCBT Hard Red Winter Wheat Future. 1.68% 1,824,575
LME Nickel Future................. 2.95% 3,203,867
LME Primary Aluminum Future....... 4.48% 4,865,534
203
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Futures Contract % of Index Notional Amount
---------------- ---------- ---------------
LME Zinc Future.......................... 2.80% 3,040,959
NYBOT CSC C Coffee Future................ 2.43% 2,639,118
NYBOT CSC Number 11 World Sugar Future... 2.69% 2,921,492
NYBOT CTN Number 2 Cotton Future......... 1.43% 1,553,061
NYMEX Henry Hub Natural Gas Future....... 7.94% 8,623,290
NYMEX Light Sweet Crude Oil Future....... 7.60% 8,254,031
NYMEX NY Harbor ULSD Future.............. 3.75% 4,072,713
NYMEX Reformulated Gasoline Blend Future. 3.88% 4,213,900
-----------
Total Notional Amount.................... 108,605,668
===========
Summary of the Portfolio's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------
Level 1 Level 2 Level 3 Total
---------- -------------- ------- --------------
Bonds
Australia.............................. -- $ 110,893,533 -- $ 110,893,533
Austria................................ -- 1,462,527 -- 1,462,527
Belgium................................ -- 9,883,499 -- 9,883,499
Canada................................. -- 175,556,296 -- 175,556,296
Finland................................ -- 6,079,815 -- 6,079,815
France................................. -- 45,038,521 -- 45,038,521
Germany................................ -- 65,831,580 -- 65,831,580
Ireland................................ -- 9,686,873 -- 9,686,873
Italy.................................. -- 2,584,520 -- 2,584,520
Japan.................................. -- 44,536,460 -- 44,536,460
Netherlands............................ -- 70,601,879 -- 70,601,879
Norway................................. -- 15,505,745 -- 15,505,745
Spain.................................. -- 28,421,711 -- 28,421,711
Supranational Organization Obligations. -- 51,026,302 -- 51,026,302
Sweden................................. -- 113,155,651 -- 113,155,651
Switzerland............................ -- 17,195,380 -- 17,195,380
United Kingdom......................... -- 26,523,741 -- 26,523,741
United States.......................... -- 638,717,783 -- 638,717,783
U.S. Treasury Obligations................ -- 522,716,015 -- 522,716,015
Securities Lending Collateral............ -- 46,456,849 -- 46,456,849
Swap Agreements**........................ -- 1,171,890 -- 1,171,890
Futures Contracts**...................... $1,090,143 -- -- 1,090,143
Forward Currency Contracts**............. -- 6,683,768 -- 6,683,768
---------- -------------- -- --------------
TOTAL.................................... $1,090,143 $2,009,730,338 -- $2,010,820,481
========== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
204
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investments at Value (including $45,404 of securities on loan)................................ $ 1,955,418
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $46,455). 46,457
Segregated Cash for Swaps Contracts........................................................... 27,366
Foreign Currencies at Value................................................................... 2
Cash.......................................................................................... 83,531
Receivables:
Interest.................................................................................... 12,111
Securities Lending Income................................................................... 8
Fund Shares Sold............................................................................ 2,643
Unrealized Gain on Swap Contracts............................................................. 1,172
Unrealized Gain on Forward Currency Contracts................................................. 6,684
Prepaid Expenses and Other Assets............................................................. 33
--------------
Total Assets............................................................................. 2,135,425
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 46,486
Investment Securities Purchased............................................................. 13,663
Fund Shares Redeemed........................................................................ 1,205
Due to Advisor.............................................................................. 499
Futures Margin Variation.................................................................... 428
Segregated Cash for Swap Contracts.......................................................... 21,504
Accrued Expenses and Other Liabilities........................................................ 114
--------------
Total Liabilities......................................................................... 83,899
--------------
NET ASSETS.................................................................................... $ 2,051,526
==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)....................................................... 336,570,731
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE...................................... $ 6.10
==============
Investments at Cost........................................................................... $ 1,978,643
==============
Foreign Currencies at Cost.................................................................... $ 2
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................... $ 1,979,456
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........ 46
Accumulated Net Realized Gain (Loss).......................................................... 86,375
Net Unrealized Foreign Exchange Gain (Loss)................................................... 6,617
Net Unrealized Appreciation (Depreciation).................................................... (20,968)
--------------
NET ASSETS.................................................................................... $ 2,051,526
==============
(1) NUMBER OF SHARES AUTHORIZED............................................................... 1,800,000,000
==============
See accompanying Notes to Financial Statements.
205
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO#
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
Investment Income
Interest.......................................................................................... $ 15,028
Income from Securities Lending.................................................................... 32
--------
Total Investment Income........................................................................ 15,060
--------
Expenses
Investment Management Fees........................................................................ 3,357
Accounting & Transfer Agent Fees.................................................................. 56
Custodian Fees.................................................................................... 26
Filing Fees....................................................................................... 42
Shareholders' Reports............................................................................. 34
Directors'/Trustees' Fees & Expenses.............................................................. 7
Professional Fees................................................................................. 15
Other............................................................................................. 20
--------
Total Expenses................................................................................. 3,557
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D). (606)
Fees Paid Indirectly (Note D)..................................................................... (4)
--------
Net Expenses...................................................................................... 2,947
--------
Net Investment Income (Loss)...................................................................... 12,113
--------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................................... (3,773)
Affiliated Investment Companies Shares Sold..................................................... (9)
Futures......................................................................................... 5,574
Swap Contracts.................................................................................. 85,411
Foreign Currency Transactions................................................................... (11)
Forward Currency Contracts...................................................................... 942
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... (16,500)
Affiliated Investment Companies Shares.......................................................... 4
Futures......................................................................................... (1,957)
Swap Contracts.................................................................................. (3,317)
Translation of Foreign Currency Denominated Amounts............................................. (42)
Forward Currency Contracts...................................................................... 3,680
--------
Net Realized and Unrealized Gain (Loss)........................................................... 70,002
--------
Net Increase (Decrease) in Net Assets Resulting from Operations..................................... $ 82,115
========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
206
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Commodity Strategy
Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................................................... $ 12,113 $ 19,526
Net Realized Gain (Loss) on:
Investment Securities Sold*........................................................ (3,773) (2,466)
Affiliated Investment Companies Shares Sold........................................ (9) (22)
Futures............................................................................ 5,574 (4,294)
Swap Contracts..................................................................... 85,411 11,651
Foreign Currency Transactions...................................................... (11) (42)
Forward Currency Contracts......................................................... 942 49
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... (16,500) (8,171)
Affiliated Investment Companies Shares Sold........................................ 4 (4)
Futures............................................................................ (1,957) 4,164
Swap Contracts..................................................................... (3,317) 26,047
Translation of Foreign Currency Denominated Amounts................................ (42) (30)
Forward Currency Contracts......................................................... 3,680 3,005
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 82,115 49,413
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares......................................................... (42,351) (22,518)
Net Short-Term Gains:
Institutional Class Shares......................................................... -- (875)
Net Long-Term Gains:
---------- ----------
Total Distributions................................................................ (42,351) (23,393)
---------- ----------
Capital Share Transactions (1):
Shares Issued........................................................................ 501,160 723,399
Shares Issued in Lieu of Cash Distributions.......................................... 38,383 22,385
Shares Redeemed...................................................................... (256,102) (641,580)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions............................ 283,441 104,204
---------- ----------
Total Increase (Decrease) in Net Assets............................................ 323,205 130,224
Net Assets
Beginning of Period.................................................................. 1,728,321 1,598,097
---------- ----------
End of Period........................................................................ $2,051,526 $1,728,321
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................................................................ 83,760 123,067
Shares Issued in Lieu of Cash Distributions.......................................... 6,746 3,816
Shares Redeemed...................................................................... (43,040) (109,656)
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed............................ 47,466 17,227
========== ==========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 46 $ 30,284
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
207
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Commodity Strategy Portfolio
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 5.98 $ 5.88 $ 5.93 $ 8.00 $ 8.30 $ 9.40
---------- ---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.04 0.07 0.05 0.05 0.06 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.23 0.11 (0.07) (2.05) (0.31) (1.10)
---------- ---------- ---------- ---------- ---------- --------
Total from Investment Operations..... 0.27 0.18 (0.02) (2.00) (0.25) (1.04)
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.15) (0.08) (0.03) (0.06) (0.04) (0.04)
Net Realized Gains..................... -- -- -- (0.01) (0.01) (0.02)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions.................. (0.15) (0.08) (0.03) (0.07) (0.05) (0.06)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 6.10 $ 5.98 $ 5.88 $ 5.93 $ 8.00 $ 8.30
======================================= =========== ========== ========== ========== ========== ========
Total Return............................ 4.67%(D) 3.15% (0.26)% (25.16)% (3.08)% (11.15)%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $2,051,526 $1,728,321 $1,598,097 $1,207,071 $1,194,191 $786,314
Ratio of Expenses to Average Net Assets. 0.32%(E) 0.33% 0.33% 0.34% 0.33% 0.34%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly))...................... 0.39%(E) 0.39% 0.40% 0.40% 0.39% 0.40%
Ratio of Net Investment Income to
Average Net Assets..................... 1.32%(E) 1.17% 0.95% 0.77% 0.65% 0.66%
Portfolio Turnover Rate................. 41%(D) 102% 159% 124% 104% 64%
---------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
208
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of one hundred and two operational
portfolios, one of which, DFA Commodity Strategy Portfolio (the "Portfolio"),
is included in this section of the report. The remaining operational portfolios
are presented in separate reports. The Portfolio is an investment company, and
accordingly, follows the accounting and reporting guidance under Financial
Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC")
Topic 946, "Financial Services-Investment Companies."
The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I,
LTD. (the "Subsidiary"), a company organized under the laws of the Cayman
Islands. The Subsidiary is not registered as an investment company under the
1940 Act.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
Debt securities held by the Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. These
valuations are generally categorized as Level 2 in the hierarchy.
Securities for which quotations are not readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Portfolio may differ from the quoted
or published prices for the same securities on their primary markets or
exchanges. These securities are generally categorized as Level 2 in the
hierarchy.
209
Futures contracts held by the Portfolio are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy. Swap
agreements will be valued at the price provided by an independent third-party
pricing service or source. If a price is not available from an independent
third-party pricing service or source, the swap agreement will be valued in
good faith at fair value in accordance with procedures adopted by the Board.
These securities are generally categorized as Level 2 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolio's investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Schedule
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolio.
2. Deferred Compensation Plan: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolio estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to the
Portfolio are directly charged. Common expenses of the Fund or its portfolios
are allocated using methods approved by the Board, generally based on average
net assets.
C. Basis for Consolidation:
The Subsidiary commenced operations on November 9, 2010. The Portfolio
commenced reporting on a consolidated basis as of such commencement date in
accordance with the accounting principles relating to reporting of a
wholly-owned subsidiary. The Portfolio will seek to gain exposure to
commodities, commodities-
210
related instruments, derivatives and other investments by directly investing in
those instruments or through investments in the Subsidiary. The Subsidiary
participates in the same investment goal as the Portfolio. The Subsidiary
pursues its investment goal by investing in commodities, commodities-related
instruments, derivatives and other investments. The Subsidiary (unlike the
Portfolio) may invest without limitation in these instruments. However, the
Subsidiary is otherwise subject to the same fundamental, non-fundamental and
certain other investment restrictions as the Portfolio. The portion of the
Portfolio's or Subsidiary's assets exposed to any particular commodity,
derivative or other investment will vary based on market conditions, but from
time to time some exposure could be substantial.
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Portfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
The Subsidiary is classified as a controlled foreign corporation under
Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of April 30, 2018, the Portfolio held a $427,583,917 investment in the
Subsidiary, representing 20.84% of the Portfolio's total assets. The
accompanying consolidated financial statements include all assets, liabilities,
revenues and expenses of the Portfolio and its wholly-owned Subsidiary.
Intercompany balances and transactions have been eliminated in consolidation.
D. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the six months ended April 30, 2018, the
investment management fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.30% of the Portfolio's average daily net
assets.
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive all or a portion of the management fee and to assume the expenses of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in The DFA Short Term Investment Fund and its investment in
unaffiliated investment companies) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses to no more than 0.55% of the
Portfolio's average net assets on an annualized basis (the "Expense Limitation
Amount"). At any time that the Portfolio Expenses of the Portfolio are less
than the Expense Limitation Amount, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously assumed
to the extent that the amount of such reimbursement is within thirty-six months
and will not cause the annualized Portfolio Expenses of the Portfolio to exceed
the Expense Limitation Amount. The Portfolio is not obligated to reimburse the
Advisor for fees previously waived or expenses previously assumed by the
Advisor more than thirty-six months before the date of such reimbursement. The
Fee Waiver Agreement for the Portfolio will remain in effect through
February 28, 2019, and may only be terminated by the Fund's Board of Directors
prior to that date. The Fee Waiver Agreement will continue in effect from year
to year thereafter unless terminated by the Fund or the Advisor. Prior year
expenses can be recaptured only if the current expense ratio is less than the
prior year expense cap that was in place when such prior year expenses were
waived. At April 30, 2018, there were no previously waived fees/expenses
assumed subject to future recovery by the Advisor.
The Subsidiary has entered into a separate contract with the Advisor whereby
the Advisor or its affiliates provide investment advisory and other services to
the Subsidiary. For the investment advisory services it provides, the Advisor
is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's
average net assets on an annualized basis; however, pursuant to a contractual
agreement, the Advisor has agreed to waive the management fee of the Subsidiary.
211
For the six months ended April 30, 2018, approximately $606 (in thousands)
of the Subsidiary's management fees were waived pursuant to the Subsidiary fee
waiver agreement.
Earned Income Credit:
In addition, the Portfolio has entered into an arrangement with its
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of the
Portfolio's net assets. During the six months ended April 30, 2018, expenses
reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
DFA Commodity Strategy Portfolio. $4
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $158 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statement of Operations.
E. Deferred Compensation:
At April 30, 2018, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amount in thousands):
DFA Commodity Strategy Portfolio. $27
F. Purchases and Sales of Securities:
For the six months ended April 30, 2018, the Portfolio's transactions
related to investment securities, other than short-term securities and in-kind
redemptions (amounts in thousands), were as follows:
U.S. Government Other Investment
Securities Securities
------------------ ------------------
Purchases Sales Purchases Sales
--------- -------- --------- --------
DFA Commodity Strategy Portfolio. $504,671 $531,203 $550,734 $193,565
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
- ---------- --------- ---------- ------------ ------------- ---------- ------------ -----------
DFA Commodity Strategy
Portfolio
DFA Short Term Investment
Fund..................... $42,409 $137,244 $133,191 $(9) $4 $46,457 4,015 $277
------- -------- -------- --- -- ------- ----- ----
Total..................... $42,409 $137,244 $133,191 $(9) $4 $46,457 4,015 $277
======= ======== ======== === == ======= ===== ====
Capital Gain
Distributions
from
Affiliated
Investment
Companies
- -------------
DFA Commodity Strategy
Portfolio
DFA Short Term Investment
Fund..................... --
--
Total..................... --
==
212
G. Federal Income Taxes:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to adjustments
between financial and tax reporting related to the Subsidiary, the utilization
of accumulated earnings and profits distributed to shareholders on redemptions
of shares as part of the dividends paid deduction for tax purposes, reversal of
book income/loss from controlled foreign corporation and net foreign currency
gains/losses, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
DFA Commodity Strategy Portfolio. $5,774 $644 $(6,418)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2016 and October 31, 2017 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
DFA Commodity Strategy Portfolio
2016............................. $ 7,540 $154 $ 7,694
2017............................. 23,393 -- 23,393
At October 31, 2017, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
DFA Commodity Strategy Portfolio. $(5,774) -- $(5,774)
At October 31, 2017, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Capital Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryforwards (Depreciation) Losses)
-------------- ------------- ------------- -------------- -------------
DFA Commodity Strategy Portfolio. $39,616 -- $(1,758) $(5,453) $32,405
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after
213
October 31, 2011 will not be subject to expiration and will retain their
character as either short-term or long-term capital losses. In addition, such
losses must be utilized prior to the losses incurred in the years preceding
enactment. As of October 31, 2017, the Portfolio had the following capital loss
carryforwards available to offset future realized capital gains through
October 31 of the indicated expiration dates, as applicable (amounts in
thousands):
Unlimited Total
--------- ------
DFA Commodity Strategy Portfolio. $1,758 $1,758
During the year ended October 31, 2017, the Portfolio did not utilize
capital loss carryforwards to offset realized capital gains for federal income
tax purposes.
At April 30, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
DFA Commodity Strategy Portfolio. $2,034,333 $4,602 $(28,115) $(23,513)
ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
H. Financial Instruments:
In accordance with the Portfolio's investment objective and policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolio may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Portfolio. The Portfolio may gain exposure to commodity markets by
investing up to 25% of the Portfolio's total assets in the Subsidiary. The
Subsidiary may invest without limitation in commodity-linked notes, swap
agreements and other commodity-linked derivative instruments, including futures
contracts on individual commodities or a subset of commodities and options on
commodities. The accompanying consolidated schedule of investments includes
investments of the Portfolio and its wholly-owned Subsidiary.
2. Forward Currency Contracts: The Portfolio may acquire and sell forward
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge the Portfolio's currency exposure with respect to a foreign market will
be based primarily on the Portfolio's existing exposure to a given foreign
currency. Each contract is valued daily and the change in value is recorded by
the Portfolio as an unrealized gain or loss, which is presented in the
Statement of Operations as the
214
change in unrealized appreciation or depreciation from translation of
foreign-currency-denominated amounts. When the contract is closed or offset
with the same counterparty, the Portfolio records a realized gain or loss equal
to the change in the value of the contract when it was opened and the value at
the time it was closed or offset. This is presented in the Statement of
Operations as a net realized gain or loss on foreign currency transactions.
3. Commodity-Linked Derivatives: The Portfolio and the Subsidiary invest
in commodity-linked derivative instruments, such as swap agreements, commodity
options, futures, options on futures, and structured notes. The prices of
commodity-linked derivative instruments may move in different directions than
investments in traditional equity securities, fixed income securities and
commodity spot prices.
4. Swap Agreements: The Portfolio may enter into swap agreements with
respect to commodities, interest rates and indexes of commodities or
securities, specific securities and commodities, and mortgage, credit and
event-linked swaps, and, to the extent the Portfolio may invest in
foreign-currency-denominated securities, the Portfolio may enter into swap
agreements with respect to foreign currencies.
The Portfolio may enter into swap transactions for any legal purpose
consistent with its investment objective and policies, such as for the purpose
of attempting to obtain or preserve a particular return or spread at a lower
cost than obtaining a return or spread through purchases and/or sales of
instruments in other markets, to seek to increase total return (speculation),
to protect against currency fluctuations, as a duration management technique,
to protect against any increase in the price of securities the Portfolio
anticipates purchasing at a later date, or to gain exposure to certain markets
in the most economical way possible.
A swap agreement may be negotiated bilaterally and traded over-the-counter
between the two parties (for an uncleared swap), while other swaps must be
transacted through a futures commission merchant ("FCM") and cleared through a
clearinghouse that serves as a central counterparty (for a cleared swap), and
may be traded on swap execution facilities (exchanges). Swap agreements are
contracts entered into primarily by institutional investors for periods ranging
from a few weeks to more than one year. In a standard "swap" transaction, two
parties agree to exchange the returns (or differentials in rates of return)
earned or realized on particular predetermined investments or instruments,
which may be adjusted for an interest factor. In an uncleared swap, the swap
counterparty is typically a brokerage firm, bank or other financial
institution. In a cleared swap, the Portfolio's ultimate counterparty is a
central clearinghouse rather than a brokerage firm, bank or other financial
institution.
An investment in a commodity swap agreement may involve the exchange of
floating-rate interest payments for the total return on a commodity index. In a
total return commodity swap, the Portfolio will receive the price appreciation
of a commodity index, a portion of the index, or a single commodity in exchange
for paying an agreed-upon fee. The Portfolio may also enter into credit default
swap agreements. The "buyer" in a credit default contract is obligated to pay
the "seller" a periodic stream of payments over the term of the contract
provided that no event of default on an underlying reference obligation has
occurred. If an event of default occurs, the seller must pay the buyer the full
notional value, or "par value," of the reference obligation in exchange for the
reference obligation. The Portfolio may be either the buyer or seller in a
credit default swap transaction. Credit default swap transactions involve
greater risks than if the Portfolio had invested in the reference obligation
directly.
Most swap agreements entered into by the Portfolio will calculate the
obligations of the parties to the agreement on a "net" basis, which means that
the two payment streams are netted out, with the Portfolio receiving or paying,
as the case may be, only the net amount of the two payments. The Portfolio's
current obligations under a swap agreement will be accrued daily (offset
against any amounts owed to the Portfolio) and any accrued but unpaid net
amounts owed to a swap counterparty will be covered by the segregation of
assets determined to be liquid to avoid any potential leveraging of the
Portfolio's portfolio.
Uncleared swaps are typically executed bilaterally with a swap dealer rather
than traded on exchanges. Parties to uncleared swaps face greater counterparty
credit risk than those engaging in cleared swaps since performance of uncleared
swap obligations is the responsibility only of the swap counterparty rather
than a clearinghouse, as is the case with cleared swaps. As a result, the
Portfolio bears the risk of loss of the amount expected to be received under a
swap agreement in the event of the default, insolvency or bankruptcy of a swap
agreement counterparty beyond any collateral received. In such an event, the
Portfolio will have contractual remedies pursuant to the swap agreements, but
bankruptcy and insolvency laws could affect the Portfolio's rights
215
as a creditor. The Portfolio will enter into swap agreements only with
counterparties that meet certain standards of creditworthiness as determined by
the Advisor's Investment Committee. To the extent that the Portfolio cannot
dispose of a swap in the ordinary course of business within seven days at
approximately the value at which the Portfolio has valued the swap, the
Portfolio will treat the swap as illiquid and subject to its overall limit on
illiquid investments of 15% of the Portfolio's net assets.
The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and
implementing rules adopted by the Commodity Futures Trading Commission ("CFTC")
currently require the clearing and exchange-trading of the most common types of
credit default index swaps and interest rate swaps, and it is expected that
additional categories of swaps will in the future be designated as subject to
mandatory clearing and trade execution requirements. Central clearing is
intended to reduce counterparty credit risk and increase liquidity, but central
clearing does not eliminate these risks completely. There is also a risk of
loss by the Portfolio of the initial and variation margin deposits in the event
of bankruptcy of the FCM with which the Portfolio has an open position, or the
central counterparty in a swap contract. The assets of the Portfolio may not be
fully protected in the event of the bankruptcy of the FCM or central
counterparty because the Portfolio might be limited to recovering only a pro
rata share of all available funds and margin segregated on behalf of an FCM's
customers.
Futures Activities:
The Portfolio may enter into commodity, foreign currency, interest rate and
commodity or securities index futures contracts and purchase and write (sell)
related options traded on exchanges designated by the CFTC or, consistent with
CFTC regulations, on foreign exchanges.
5. Futures Contracts: A commodity futures contract provides for the future
sale by one party and the future purchase by the other party of a specified
amount of a commodity, such as an energy, agricultural or metal commodity, at a
specified price, date, time and place. A foreign currency futures contract
provides for the future sale by one party and the future purchase by the other
party of a certain amount of a specified non-U.S. currency at a specified
price, date, time and place. An interest rate futures contract provides for the
future sale by one party and the purchase by the other party of a certain
amount of a specific interest rate sensitive financial instrument (debt
security) at a specified price, date, time and place. Securities and
commodities indexes are typically capitalization or production weighted,
respectively. A securities index or commodities index futures contract is an
agreement to be settled by delivery of an amount of cash equal to a specified
multiplier times the difference between the value of the index at the close of
the last trading day on the contract and the price at which the agreement is
made. The clearing house of the exchange on which a futures contract is entered
into becomes the counterparty to each purchaser and seller of the futures
contract.
Payments, known as "variation margin," to and from the broker, will be made
daily as the currency, financial instrument or index underlying the futures
contract fluctuates, making the long and short positions in the futures
contract more or less valuable, a process known as "marking-to-market." As a
result of the small margin deposit that is required, a small change in the
market price of a futures contract can produce major losses.
At any time prior to the expiration of a futures contract, the Portfolio may
elect to close the position by taking an opposite position, which will operate
to terminate the Portfolio's existing position in the contract. Positions in
futures contracts and options on futures contracts (described below) may be
closed out only on the exchange on which they were entered into (or through a
linked exchange). However, there is no assurance that an active market will
exist at any particular time. Once the daily fluctuation limit has been reached
in a particular contract, most futures exchanges restrict trades at a price
beyond that limit or trading may be suspended for specified periods during the
day. Such restrictions prevent prompt liquidation of futures positions at an
advantageous price, potentially subjecting the Portfolio to substantial losses.
In such event, and in the event of adverse price movements, the Portfolio would
be required to make daily cash payments of variation margin. Losses incurred in
futures transactions and the costs of these transactions will affect the
Portfolio's performance.
The price volatility of commodity futures contracts has been historically
greater than that for traditional securities, such as stocks and bonds, and
there are a variety of factors associated with commodity futures contracts
which may subject the Portfolio's investments in the contracts to greater
volatility than investments in traditional securities.
216
6. Options on Futures Contracts: The Portfolio may purchase and write put
and call options on foreign currency, interest rate and stock and commodity
index futures contracts and may enter into closing transactions with respect to
such options to terminate existing positions. There is no guarantee that such
closing transactions can be effected; the ability to establish and close out
positions on such options will be subject to the existence of a liquid market.
An option on a currency, interest rate or commodity or securities index
futures contract, as contrasted with the direct investment in such a contract,
gives the purchaser the right, in return for the premium paid, to assume a
position in a futures contract at a specified exercise price at any time prior
to the expiration date of the option. The writer of the option is required upon
exercise to assume an offsetting futures position (a short position if the
option is a call and a long position if the option is a put). Upon exercise of
an option, the delivery of the futures position by the writer of the option to
the holder of the option will be accompanied by delivery of the accumulated
balance in the writer's futures margin account, which represents the amount by
which the market price of the futures contract exceeds, in the case of a call,
or is less than, in the case of a put, the exercise price of the option on the
futures contract. The potential loss related to the purchase of an option on a
futures contract is limited to the premium paid for the option (plus
transaction costs). The value of the option changes daily, and that change is
reflected in the net asset value of the Portfolio.
The Portfolio may enter into options and futures transactions for several
purposes, including generating current income to offset expenses or increase
return, and as hedges to reduce investment risk, generally by making an
investment expected to move in the opposite direction of a portfolio position.
A hedge is designed to offset a loss in a portfolio position with a gain in the
hedged position; at the same time, however, a properly correlated hedge will
result in a gain in the portfolio position being offset by a loss in the hedged
position.
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amounts in
thousands):
Forward
Currency Swap
Contracts Futures Contracts
--------- ------- ---------
DFA Commodity Strategy Portfolio. 270,425 104,129 1,768,710
The following is a summary of the location of derivatives on the Portfolio's
Statement of Assets and Liabilities as of April 30, 2018:
Location on the Statement of Assets and Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Forward Currency Unrealized Gain on Unrealized Loss on
Contracts Forward Currency Forward Currency
Contracts Contracts
Commodity Futures Receivables: Futures Payables: Futures Margin
Contracts Margin Variation Variation
Commodity Swap Contracts Unrealized Gain on Swap Unrealized Loss on Swap
Contracts Contracts
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
Asset Derivatives Value
---------------------------------------------
Total Value Forward Commodity
at Currency Futures Swap
April 30, 2018 Contracts Contracts* Contracts
-------------- --------- ---------- ---------
DFA Commodity Strategy Portfolio. $11,619 $6,684 $3,763 $1,172
217
Liability Derivatives Value
---------------------------
Total Value Forward Commodity
at Currency Futures Swap
April 30, 2018 Contracts Contracts* Contracts
-------------- --------- ---------- ---------
DFA Commodity Strategy Portfolio. $(2,673) -- $(2,673) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location on the Portfolio's Statement of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings for the six months ended April 30,
2018:
Derivative Type Location of Gain (Loss) on Derivatives
--------------- --------------------------------------
Commodity Futures Contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
Forward Currency Contracts Net Realized Gain (Loss) on: Forward Currency Contracts
Change in Unrealized Appreciation (Depreciation) of:
Forward Currency Contracts
Swap Contracts Net Realized Gain (Loss) on: Swap Contracts
Change in Unrealized Appreciation (Depreciation) of:
Swap Contracts
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2018 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives
-----------------------
Forward Commodity
Currency Futures Swap
Total Contracts Contracts Contracts
------- --------- --------- ---------
DFA Commodity Strategy Portfolio. $91,927 $ 942 $ 5,574 $85,411
Change in Unrealized
Appreciation (Depreciation)
on Derivatives
-----------------------
Forward Commodity
Currency Futures Swap
Total Contracts Contracts Contracts
------- --------- --------- ---------
DFA Commodity Strategy Portfolio. $(1,594) $3,680 $(1,957) $(3,317)
Offsetting of Derivative Assets and Derivative Liabilities
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and forward currency contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
218
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
"Statement of assets and liabilities."
The following table presents the Portfolio's gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolio as of April 30, 2018
(Amounts in thousands):
Net Net
Amounts Amounts
of Gross Amounts Not of Gross Amounts Not
Assets Offset in the Liabilities Offset in the
Presented Statements of Assets Presented Statements of Assets
Gross in the and Liabilities Gross in the and Liabilities
Amounts of Statements ---------------------- Amounts of Statements ----------------------
Recognized of Assets Financial Cash Net Recognized of Assets Financial Cash
Assets and Instruments Collateral Amount Liabilities and Instruments Collateral
Description (a) Liabilities (b) Received (c) (a) Liabilities (d) Pledged
----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ----------
Assets Liabilities
---------------------------------------------------- ----------------------------------------------
DFA Commodity
Strategy Portfolio
JP Morgan.............. $5,706 $5,706 -- -- $5,706 -- -- -- --
State Street Bank
and Trust............. 978 978 -- -- 978 -- -- -- --
Citibank, N.A.......... 124 124 -- -- 124 -- -- -- --
Credit Suisse.......... 150 150 -- -- 150 -- -- -- --
Deutsche Bank AG,
London Branch......... 91 91 -- -- 91 -- -- -- --
Merrill Lynch Capital
Services, Inc......... 107 107 -- -- 107 -- -- -- --
UBS AG................. 700 700 -- -- 700 -- -- -- --
------ ------ -- -- ------ -- -- -- --
$7,856 $7,856 -- -- $7,856 -- -- -- --
====== ====== == == ====== == == == ==
Net
Amount
Description (e)
----------- ------
-------
DFA Commodity
Strategy Portfolio
JP Morgan.............. --
State Street Bank
and Trust............. --
Citibank, N.A.......... --
Credit Suisse.......... --
Deutsche Bank AG,
London Branch......... --
Merrill Lynch Capital
Services, Inc......... --
UBS AG................. --
--
--
==
(a)No amounts have been netted against the gross amounts recognized in the
Statements of Assets and Liabilities.
(b)Represents the amount of assets that could be offset by liabilities with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
I. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 4, 2019.
219
There were no borrowings by the Portfolio under the lines of credit during
the six months ended April 30, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolio may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolio did not utilize the interfund lending program during the six
months ended April 30, 2018.
J. Securities Lending:
As of April 30, 2018, the Portfolio had a security on loan to a
broker/dealer, for which the Portfolio received cash collateral.
The Portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the
Portfolio's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policy, the Portfolio will generally invest
the cash collateral received for the loaned securities in the Money Market
Series, an affiliated registered money market fund advised by the Advisor for
which the Advisor receives a management fee of 0.05% of the average daily net
assets of the Money Market Series. Income received from the Money Market Series
is netted with fees for securities lending and collateral investment expenses,
and other payments to and from borrowers of securities. The Portfolio also may
invest the cash collateral received for the loaned securities in securities of
the U.S. government or its agencies, repurchase agreements collateralized by
securities of the U.S. government or its agencies, and affiliated and
unaffiliated registered and unregistered money market funds. For purposes of
this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, the Portfolio will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
220
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
--------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
------------- -------- ------------ -------- -----------
Securities Lending Transactions
DFA Commodity Strategy Portfolio
Bonds, U.S. Treasury Obligations. $46,456,849 -- -- -- $46,456,849
K. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. Recently Issued Accounting Standards:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
M. Other:
At April 30, 2018, 4 shareholders held 66% of the outstanding shares of the
Portfolio. One or more of the shareholders may be omnibus accounts, which
typically hold shares for the benefit of several other underlying investors.
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
N. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolio through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
221
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,047.90 0.68% $3.45
Institutional Class Shares......... $1,000.00 $1,049.40 0.43% $2.18
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.42 0.68% $3.41
Institutional Class Shares......... $1,000.00 $1,022.66 0.43% $2.16
222
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Company Portfolio
----------------------------
Actual Fund Return............ $1,000.00 $1,037.50 0.08% $0.40
Hypothetical 5% Annual Return. $1,000.00 $1,024.40 0.08% $0.40
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
223
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 29, 2018. They are available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
FEEDER FUND
Affiliated Investment Company
-----------------------------
DFA International Value Portfolio. 100.0%
DOMESTIC EQUITY PORTFOLIO
U.S. Large Company Portfolio
Consumer Discretionary....................... 12.9%
Consumer Staples............................. 7.0%
Energy....................................... 6.2%
Financials................................... 14.7%
Health Care.................................. 14.1%
Industrials.................................. 9.9%
Information Technology....................... 24.8%
Materials.................................... 2.9%
Real Estate.................................. 2.7%
Telecommunication Services................... 1.9%
Utilities.................................... 2.9%
-----
100.0%
224
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2018
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $10,432,935,162
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $10,432,935,162
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
225
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (97.8%)
Consumer Discretionary -- (12.7%)
* Amazon.com, Inc................... 146,080 $ 228,780,270 2.8%
* Booking Holdings, Inc............. 17,740 38,637,720 0.5%
Comcast Corp. Class A............. 1,685,108 52,895,540 0.6%
Home Depot, Inc. (The)............ 424,543 78,455,546 1.0%
McDonald's Corp................... 289,822 48,527,796 0.6%
* Netflix, Inc...................... 157,765 49,295,252 0.6%
Walt Disney Co. (The)............. 546,671 54,847,501 0.7%
Other Securities.................. 511,126,518 6.1%
-------------- -----
Total Consumer Discretionary.......... 1,062,566,143 12.9%
-------------- -----
Consumer Staples -- (6.8%)
Altria Group, Inc................. 690,921 38,767,577 0.5%
Coca-Cola Co. (The)............... 1,395,809 60,312,907 0.7%
PepsiCo, Inc...................... 517,030 52,189,008 0.6%
Philip Morris International, Inc.. 564,656 46,301,792 0.6%
Procter & Gamble Co. (The)........ 916,528 66,301,635 0.8%
Walmart, Inc...................... 527,727 46,682,730 0.6%
Other Securities.................. 261,079,554 3.1%
-------------- -----
Total Consumer Staples................ 571,635,203 6.9%
-------------- -----
Energy -- (6.1%)
Chevron Corp...................... 694,485 86,887,018 1.1%
Exxon Mobil Corp.................. 1,540,486 119,772,786 1.4%
Other Securities.................. 305,599,435 3.7%
-------------- -----
Total Energy.......................... 512,259,239 6.2%
-------------- -----
Financials -- (14.4%)
Bank of America Corp.............. 3,478,216 104,068,223 1.3%
* Berkshire Hathaway, Inc. Class B.. 699,705 135,553,850 1.6%
Citigroup, Inc.................... 934,365 63,789,099 0.8%
JPMorgan Chase & Co............... 1,247,711 135,726,003 1.6%
Wells Fargo & Co.................. 1,596,006 82,928,472 1.0%
Other Securities.................. 681,447,893 8.3%
-------------- -----
Total Financials...................... 1,203,513,540 14.6%
-------------- -----
Health Care -- (13.8%)
Abbott Laboratories............... 632,965 36,794,255 0.4%
AbbVie, Inc....................... 579,544 55,954,973 0.7%
Amgen, Inc........................ 243,024 42,402,828 0.5%
Johnson & Johnson................. 975,387 123,376,702 1.5%
Medtronic P.L.C................... 492,714 39,481,173 0.5%
Merck & Co., Inc.................. 980,218 57,705,434 0.7%
Pfizer, Inc....................... 2,164,204 79,231,508 1.0%
UnitedHealth Group, Inc........... 351,800 83,165,520 1.0%
Other Securities.................. 641,326,928 7.8%
-------------- -----
Total Health Care..................... 1,159,439,321 14.1%
-------------- -----
Industrials -- (9.7%)
3M Co............................. 216,498 42,085,046 0.5%
Boeing Co. (The).................. 201,112 67,082,919 0.8%
General Electric Co............... 3,156,608 44,413,475 0.5%
Honeywell International, Inc...... 273,395 39,554,789 0.5%
226
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Union Pacific Corp............................................ 286,206 $ 38,245,708 0.5%
Other Securities.............................................. 580,000,115 7.1%
-------------- ------
Total Industrials................................................... 811,382,052 9.9%
-------------- ------
Information Technology -- (24.2%)
* Adobe Systems, Inc............................................ 178,752 39,611,443 0.5%
* Alphabet, Inc. Class A........................................ 108,519 110,535,283 1.3%
* Alphabet, Inc. Class C........................................ 110,654 112,571,634 1.4%
Apple, Inc.................................................... 1,844,691 304,853,635 3.7%
Cisco Systems, Inc............................................ 1,751,440 77,571,278 0.9%
* Facebook, Inc. Class A........................................ 871,053 149,821,116 1.8%
Intel Corp.................................................... 1,701,445 87,828,591 1.1%
International Business Machines Corp.......................... 311,454 45,148,372 0.6%
Mastercard, Inc. Class A...................................... 335,617 59,830,443 0.7%
Microsoft Corp................................................ 2,799,311 261,791,565 3.2%
NVIDIA Corp................................................... 219,952 49,467,205 0.6%
Oracle Corp................................................... 1,098,635 50,174,660 0.6%
Texas Instruments, Inc........................................ 357,663 36,277,758 0.4%
# Visa, Inc. Class A............................................ 655,356 83,151,569 1.0%
Other Securities.............................................. 563,776,035 6.9%
-------------- ------
Total Information Technology........................................ 2,032,410,587 24.7%
-------------- ------
Materials -- (2.8%)
DowDuPont, Inc................................................ 850,719 53,799,470 0.7%
Other Securities.............................................. 180,124,095 2.1%
-------------- ------
Total Materials..................................................... 233,923,565 2.8%
-------------- ------
Real Estate -- (2.7%)
Other Securities.............................................. 225,491,475 2.7%
-------------- ------
Telecommunication Services -- (1.8%)
AT&T, Inc..................................................... 2,232,238 72,994,183 0.9%
Verizon Communications, Inc................................... 1,500,749 74,061,963 0.9%
Other Securities.............................................. 6,617,453 0.1%
-------------- ------
Total Telecommunication Services.................................... 153,673,599 1.9%
-------------- ------
Utilities -- (2.8%)
Other Securities.............................................. 238,680,024 2.9%
-------------- ------
TOTAL COMMON STOCKS................................................. 8,204,974,748 99.6%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 8,204,974,748
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 27,525,395 27,525,395 0.3%
-------------- ------
SECURITIES LENDING COLLATERAL -- (1.9%)
(S)@ DFA Short Term Investment Fund................................ 13,351,146 154,472,760 1.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,790,445,865)........................................... $8,386,972,903 101.8%
============== ======
227
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
At April 30, 2018, U.S. Large Company Portfolio had entered into the following
outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
S&P 500(R) Emini Index.. 261 06/15/18 $34,859,996 $34,543,350 $(316,646)
----------- ----------- ----------
Total futures contracts. $34,859,996 $34,543,350 $(316,646)
=========== =========== ==========
Summary of the Fund's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $1,062,566,143 -- -- $1,062,566,143
Consumer Staples............ 571,635,203 -- -- 571,635,203
Energy...................... 512,259,239 -- -- 512,259,239
Financials.................. 1,203,513,540 -- -- 1,203,513,540
Health Care................. 1,159,439,321 -- -- 1,159,439,321
Industrials................. 811,382,052 -- -- 811,382,052
Information Technology...... 2,032,410,587 -- -- 2,032,410,587
Materials................... 233,923,565 -- -- 233,923,565
Real Estate................. 225,491,475 -- -- 225,491,475
Telecommunication Services.. 153,673,599 -- -- 153,673,599
Utilities................... 238,680,024 -- -- 238,680,024
Temporary Cash Investments.... 27,525,395 -- -- 27,525,395
Securities Lending Collateral. -- $154,472,760 -- 154,472,760
Futures Contracts**........... (316,646) -- -- (316,646)
-------------- ------------ -- --------------
TOTAL......................... $8,232,183,497 $154,472,760 -- $8,386,656,257
============== ============ == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
228
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. Large
DFA International Company
Value Portfolio Portfolio *
----------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value....................................... $ 10,432,935 --
Investments at Value (including $0 and $368,928 of securities on loan, respectively)........ -- $ 8,204,975
Temporary Cash Investments at Value & Cost.................................................. -- 27,525
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0 and
$154,469).................................................................................. -- 154,473
Segregated Cash for Futures Contracts....................................................... -- 1,514
Receivables:
Dividends, Interest and Tax Reclaims...................................................... -- 7,114
Securities Lending Income................................................................. -- 55
Fund Shares Sold.......................................................................... 5,380 5,550
Prepaid Expenses and Other Assets........................................................... 81 90
-------------- ------------
Total Assets........................................................................... 10,438,396 8,401,296
-------------- ------------
LIABILITIES:
Payables:
Due to Custodian.......................................................................... -- 23
Upon Return of Securities Loaned.......................................................... -- 154,469
Fund Shares Redeemed...................................................................... 4,251 3,449
Due to Advisor............................................................................ 1,702 398
Futures Margin Variation.................................................................. -- 320
Accrued Expenses and Other Liabilities...................................................... 426 762
-------------- ------------
Total Liabilities...................................................................... 6,379 159,421
-------------- ------------
NET ASSETS.................................................................................. $ 10,432,017 $ 8,241,875
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $3,578 and $0 and shares outstanding of
173,174 and 0, respectively................................................................ $ 20.66 N/A
============== ============
NUMBER OF SHARES AUTHORIZED................................................................. 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $10,428,439 and $8,241,875 and
shares outstanding of 503,298,410 and 400,639,495, respectively............................ $ 20.72 $ 20.57
============== ============
NUMBER OF SHARES AUTHORIZED................................................................. 1,500,000,000 900,000,000
============== ============
Investments at Cost......................................................................... N/A $ 3,608,452
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................................. $ 8,460,001 $ 3,783,273
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income).................................................................................... 84,460 15,171
Accumulated Net Realized Gain (Loss)........................................................ 208,713 (152,788)
Net Unrealized Foreign Exchange Gain (Loss)................................................. (990) --
Net Unrealized Appreciation (Depreciation).................................................. 1,679,833 4,596,219
-------------- ------------
NET ASSETS.................................................................................. $ 10,432,017 $ 8,241,875
============== ============
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
229
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
DFA U.S.
International Large
Value Company
Portfolio*# Portfolio#
------------- ----------
Investment Income
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $17,490 and $0, respectively)............... $169,618 --
Income from Securities Lending.......................................................... 3,558 --
Expenses Allocated from Affiliated Investment Company................................... (10,884) --
-------- --------
Total Net Investment Income Received from Affiliated Investment Companies.............. 162,292 --
-------- --------
Fund Investment Income
Dividends................................................................................. -- $ 80,102
Income from Securities Lending............................................................ -- 341
-------- --------
Total Investment Income................................................................ -- 80,443
-------- --------
Fund Expenses
Investment Management Fees................................................................ 20,332 2,477
Accounting & Transfer Agent Fees.......................................................... 183 237
S&P 500(R) Fees........................................................................... -- 51
Custodian Fees............................................................................ -- 48
Shareholder Servicing Fees................................................................
Class R2 Shares......................................................................... 5 --
Filing Fees............................................................................... 98 81
Shareholders' Reports..................................................................... 150 68
Directors'/Trustees' Fees & Expenses...................................................... 39 32
Professional Fees......................................................................... 62 84
Other..................................................................................... 27 101
-------- --------
Total Expenses......................................................................... 20,896 3,179
-------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. -- 124
Institutional Class Shares.............................................................. (10,162) --
Class R2 Shares......................................................................... (4) --
-------- --------
Net Expenses.............................................................................. 10,730 3,303
-------- --------
Net Investment Income (Loss).............................................................. 151,562 77,140
-------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ -- 16,089
Affiliated Investment Companies Shares Sold............................................. -- (25)
Transactions Allocated from Affiliated Investment Company............................... 283,028 --
Futures................................................................................. -- 2,397
Foreign Currency Transactions........................................................... 1,424 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. -- 212,151
Affiliated Investment Companies Shares.................................................. -- (8)
Transactions Allocated from Affiliated Investment Company............................... 52,541 --
Futures................................................................................. -- (400)
Translation of Foreign Currency Denominated Amounts..................................... (950) --
-------- --------
Net Realized and Unrealized Gain (Loss)................................................... 336,043 230,204
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............................. $487,605 $307,344
======== ========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
230
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value U.S. Large Company
Portfolio Portfolio
------------------------ -----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017
----------- ----------- ----------- -----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................................. $ 151,562 $ 267,641 $ 77,140 $ 146,387
Net Realized Gain (Loss) on:
Investment Securities Sold*................................. -- -- 16,089 25,596
Affiliated Investment Companies Shares Sold................. -- -- (25) 21
Transactions Allocated from Affiliated Investment Company... 283,028 104,748 -- --
Futures..................................................... -- 12,673 2,397 4,571
Foreign Currency Transactions............................... 1,424 (1,987) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- 1,639,175 212,151 1,352,486
Affiliated Investment Companies Shares Sold................. -- -- (8) (37)
Transactions Allocated from Affiliated Investment Company... 52,541 -- -- --
Futures..................................................... -- 2,759 (400) 181
Translation of Foreign Currency Denominated Amounts......... (950) 803 -- --
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 487,605 2,025,812 307,344 1,529,205
----------- ----------- ---------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares............................................. (32) (109) -- --
Institutional Class Shares.................................. (97,696) (277,230) (70,019) (154,814)
Net Short-Term Gains:
Institutional Class Shares.................................. -- -- (2,185) (124)
Net Long-Term Gains:
Institutional Class Shares.................................. -- -- (19,860) (38,779)
----------- ----------- ---------- -----------
Total Distributions........................................ (97,728) (277,339) (92,064) (193,717)
----------- ----------- ---------- -----------
Capital Share Transactions (1):
Shares Issued................................................. 940,226 1,967,887 753,520 1,555,398
Shares Issued in Lieu of Cash Distributions................... 95,034 269,559 84,534 171,570
Shares Redeemed............................................... (834,259) (1,418,753) (807,637) (1,432,214)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Capital Share Transactions.... 201,001 818,693 30,417 294,754
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................... 590,878 2,567,166 245,697 1,630,242
Net Assets
Beginning of Period........................................... 9,841,139 7,273,973 7,996,178 6,365,936
----------- ----------- ---------- -----------
End of Period................................................. $10,432,017 $ 9,841,139 $8,241,875 $ 7,996,178
=========== =========== ========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................................. 45,710 109,955 36,130 84,803
Shares Issued in Lieu of Cash Distributions................... 4,758 14,996 4,134 9,395
Shares Redeemed............................................... (40,542) (77,571) (38,526) (77,231)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 9,926 47,380 1,738 16,967
=========== =========== ========== ===========
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income)...................................... $ 84,460 $ 30,626 $ 15,171 $ 8,050
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
231
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio-Class R2 Shares
-----------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $19.89 $16.27 $16.93 $ 18.48 $ 19.46 $15.72
------ ------ ------ ------- ------- ------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.27 0.55 0.53 0.51 0.74 0.49
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.68 3.61 (0.65) (1.55) (0.93) 3.77
------ ------ ------ ------- ------- ------
Total from Investment
Operations................. 0.95 4.16 (0.12) (1.04) (0.19) 4.26
--------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.18) (0.54) (0.54) (0.51) (0.79) (0.52)
------ ------ ------ ------- ------- ------
Total Distributions......... (0.18) (0.54) (0.54) (0.51) (0.79) (0.52)
--------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $20.66 $19.89 $16.27 $ 16.93 $ 18.48 $19.46
============================== =========== ======== ======== ======== ======== ========
Total Return................... 4.79%(D) 25.99% (0.43)% (5.78)% (1.21)% 27.61%
--------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $3,578 $3,508 $3,308 $10,404 $11,200 $5,517
Ratio of Expenses to Average
Net Assets(B)................. 0.68%(E) 0.68% 0.68% 0.68% 0.68% 0.69%
Ratio of Expenses to Average
Net Assets (Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor)(B). 0.88%(E) 0.88% 0.88% 0.73% 0.68% 0.69%
Ratio of Net Investment
Income to Average Net Assets.. 2.65%(E) 3.07% 3.42% 2.81% 3.79% 2.84%
--------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
232
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio-Institutional Class Shares
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 19.94 $ 16.30 $ 16.92 $ 18.47 $ 19.45 $ 15.72
----------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.30 0.56 0.55 0.56 0.84 0.52
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.68 3.66 (0.63) (1.56) (0.98) 3.78
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 0.98 4.22 (0.08) (1.00) (0.14) 4.30
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.20) (0.58) (0.54) (0.55) (0.84) (0.57)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.20) (0.58) (0.54) (0.55) (0.84) (0.57)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 20.72 $ 19.94 $ 16.30 $ 16.92 $ 18.47 $ 19.45
============================== =========== ========== ========== ========== ========== ==========
Total Return................... 4.94%(D) 26.36% (0.20)% (5.58)% (0.97)% 27.90%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $10,428,439 $9,837,631 $7,270,665 $6,795,481 $6,991,214 $6,522,355
Ratio of Expenses to Average
Net Assets(B)................. 0.43%(E) 0.43% 0.43% 0.43% 0.43% 0.43%
Ratio of Expenses to Average
Net Assets (Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor
and (Fees Paid Indirectly))
(B)........................... 0.63%(E) 0.63% 0.63% 0.49% 0.43% 0.43%
Ratio of Net Investment
Income to Average Net Assets.. 2.98%(E) 3.12% 3.51% 3.10% 4.29% 3.00%
--------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
233
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Company Portfolio
-------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 20.05 $ 16.67 $ 16.42 $ 15.94 $ 13.87 $ 11.15
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income (Loss)
(A)......................... 0.19 0.37 0.35 0.33 0.29 0.27
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.57 3.50 0.38 0.47 2.07 2.71
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 0.76 3.87 0.73 0.80 2.36 2.98
----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.18) (0.39) (0.34) (0.32) (0.29) (0.26)
Net Realized Gains............ (0.06) (0.10) (0.14) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.24) (0.49) (0.48) (0.32) (0.29) (0.26)
----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 20.57 $ 20.05 $ 16.67 $ 16.42 $ 15.94 $ 13.87
============================== =========== ========== ========== ========== ========== ==========
Total Return................... 3.75%(D) 23.55% 4.54% 5.09% 17.17% 27.10%
----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $8,241,875 $7,996,178 $6,365,936 $5,810,743 $5,668,374 $4,917,336
Ratio of Expenses to Average
Net Assets.................... 0.08%(E) 0.08% 0.08% 0.08% 0.08% 0.09%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.08%(E) 0.08% 0.08% 0.09% 0.08% 0.10%
Ratio of Net Investment
Income to Average Net Assets.. 1.87%(E) 1.99% 2.17% 2.05% 1.95% 2.13%
Portfolio Turnover Rate........ 3%(D) 7% 9% 2% 3% 3%
----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
234
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of twelve
portfolios, two of which, DFA International Value Portfolio and U.S. Large
Company Portfolio (the "Portfolios"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
The Portfolios are investment companies, and accordingly, follow the accounting
and reporting guidance under Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
series of The DFA Investment Trust Company. At April 30, 2018, the Feeder Fund
owned 78% of the Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Feeder Fund.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Feeder Fund's investment reflects its proportionate interest in the net
assets of the Series. This valuation is classified as Level 1 in the hierarchy.
Securities held by U.S. Large Company Portfolio, including over-the-counter
securities, are valued at the last quoted sale price of the day. Securities
held by the Portfolio that are listed on Nasdaq are valued at the Nasdaq
Official Closing Price ("NOCP"). If there is no last reported sale price or
NOCP for the day, the Portfolio values the securities within the range of the
most recent quoted bid and ask prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures
235
adopted by the Board of Directors of the Fund. Fair value pricing may also be
used if events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Portfolio may differ from the quoted
or published prices for the same securities on their primary markets or
exchanges. These securities are generally categorized as Level 2 in the
hierarchy.
Futures contracts held by U.S. Large Company Portfolio are valued using the
settlement price established each day on the exchange on which they are traded.
These valuations are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Summary
Schedule of Portfolio Holdings/Schedule of Investments. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. Deferred Compensation Plan: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of April 30, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. Other: The Feeder Fund recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities from the Series, which is treated as a partnership for
federal income tax purposes. Dividend income and distributions to shareholders
are recorded on the ex-dividend date. Distributions received on securities that
represent a return of capital or capital gains are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of distributions received that may be considered return
of capital distributions. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board of Directors, generally based on average
net assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of the Feeder Fund. Income, gains and losses, and common expenses
of the Feeder Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the six months ended April 30, 2018, the U.S.
Large Company Portfolio's and the Feeder Fund's investment
236
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.06% and 0.40%, respectively, of average daily net
assets.
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees, and in certain instances, assume certain expenses of the
Portfolios, as described in the notes below. The Fee Waiver Agreement for the
U.S. Large Company Portfolio, and a portion of the Fee Waiver Agreement for the
Feeder Fund, will remain in effect through February 28, 2019, and may only be
terminated by the Fund's Board of Directors prior to that date and shall
continue in effect from year to year thereafter unless terminated by the Fund
or the Advisor. The Fee Waiver Agreement with respect to the total management
fees paid by the Feeder Fund, as described in the notes below, will remain in
effect permanently, unless terminated by the Feeder Fund. For the six months
ended April 30, 2018, the Portfolios had expense limits based on a percentage
of average net assets on an annualized basis, and the Advisor recovered
previously waived fees and/or expenses assumed as listed below (amounts in
thousands). Previously waived fees/expenses assumed subject to future recovery
by the Advisor and the net amount of waived fees/expenses assumed (recovered
previously waived fees/expenses assumed) during the six months ended April 30,
2018, are also reflected below (amounts in thousands). The Portfolios are not
obligated to reimburse the Advisor for fees previously waived or expenses
previously assumed by the Advisor more than thirty-six months before the date
of recovery. Prior year expenses can be recaptured only if the current expense
ratio is less than the prior year expense cap that was in place when such prior
year expenses were waived.
Previously Net Waived Fees/
Recovery Waived Fees/ Expenses Assumed
Expense of Previously Expenses Assumed (Recovered Previously
Limitation Waived Fees/ Subject to Future Waived Fees/
Institutional Class Shares Amount Expenses Assumed Recovery Expenses Assumed)
-------------------------- ---------- ---------------- ----------------- ---------------------
DFA International Value Portfolio (1). 0.40% -- -- $10,162
U.S. Large Company Portfolio (2)...... 0.08% $152 $675 (124)
Class R2 Shares
---------------
DFA International Value Portfolio (1). 0.79% -- -- 4
(1) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the DFA
International Value Portfolio to the extent necessary to limit the total
management fees paid to the Advisor by the Portfolio, including the
proportionate share of the management fees the Portfolio pays indirectly
through its investment in other funds managed by the Advisor, except for the
fees paid indirectly through its investment of securities lending cash
collateral in The DFA Short Term Investment Fund, to 0.40% of the average net
assets of a class of the Portfolio on an annualized basis (the "Permanent Fee
Waiver"). In addition to the Permanent Fee Waiver, the Advisor has
contractually agreed (including for the time period prior to July 21, 2015) to
assume the direct expenses of Class R2 shares of the Portfolio (excluding
management fees and custodian fees), to the extent necessary to limit the
annualized expenses of Class R2 shares of the Portfolio (excluding the expenses
the Portfolio incurs indirectly through investment in other investment
companies) to the rate listed above (the "Annualized Expense Ratio"). At any
time that the annualized expenses of Class R2 shares of the Portfolio are less
than the Annualized Expense Ratio identified above, the Advisor retains the
right to recover any fees previously waived and/or expenses previously assumed
to the extent that the amount of such recovery does not cause the annualized
expense ratio of Class R2 shares of the Portfolio to exceed the Annualized
Expense Ratio identified above. Except, the Portfolio is not obligated to
reimburse the Advisor for fees waived in connection with the Permanent Fee
Waiver.
(2) Effective August 1, 2013, the Advisor has contractually agreed to waive
all or a portion of its management fee to the extent necessary to reduce the
ordinary operating expenses (excluding expenses incurred through investment in
other investment companies) ("Portfolio Expenses") of the U.S. Large Company
Portfolio so that the Portfolio Expenses, on an annualized basis, do not exceed
the rate listed above as a percentage of the Portfolio's average net assets
(the "Annualized Expense Ratio"). At any time that the annualized Portfolio
Expenses of the Portfolio are less than the Annualized Expense Ratio identified
above, the Advisor retains the right to recover any fees previously waived
and/or expenses previously assumed to the extent that the amount of such
recovery will not cause the annualized Portfolio Expenses of the Portfolio to
exceed the applicable Annualized Expense Ratio identified above.
237
Prior to August 1, 2013, the Advisor contractually agreed to waive all or a
portion of its administration fee to the extent necessary to reduce the
Portfolio Expenses of the Portfolio so that such Portfolio Expenses did not
exceed 0.10% of the Portfolio's average net assets on an annualized basis.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2018, the total related amounts paid by the
Fund to the CCO were $16 (in thousands). The total related amounts paid by each
Portfolio are included in Other Expenses on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio. $289
U.S. Large Company Portfolio...... 324
E. Purchases and Sales of Securities:
For the six months ended April 30, 2018, U.S. Large Company Portfolio's
transactions related to investment securities, other than short-term
securities, in-kind redemptions and U.S. government securities (amounts in
thousands), were as follows:
Purchases Sales
--------- --------
U.S. Large Company Portfolio. $254,160 $230,900
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized Capital Gain
Gain/(Loss) Dividend Distributions
on Sales of Change in Income from from
Affiliated Unrealized Affiliated Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies Companies
---------- --------- ---------- ------------ ------------- ---------- ------------ ----------- -------------
U.S. Large Company
Portfolio
DFA Short Term
Investment Fund... $185,593 $707,778 $738,865 $(25) $(8) $154,473 13,351 $1,554 $--
-------- -------- -------- ---- --- -------- ------ ------ ---
Total.............. $185,593 $707,778 $738,865 $(25) $(8) $154,473 13,351 $1,554 $--
======== ======== ======== ==== === ======== ====== ====== ===
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income, accumulated net realized gains or losses, or unrealized
appreciation, as appropriate, in the period that the differences arise.
Accordingly, the following permanent differences as of
238
October 31, 2017, primarily attributable to net foreign currency gains/losses,
foreign capital gains tax reclass and realized gains on securities considered
to be "passive foreign investment companies", were reclassified to the
following accounts. These reclassifications had no effect on net assets or net
asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
DFA International Value Portfolio. $ 322 $ (183) $(139)
U.S. Large Company Portfolio...... 3,250 (3,153) (97)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2016 and October 31, 2017 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
DFA International Value Portfolio
2016.............................. $224,802 -- $224,802
2017.............................. 277,339 -- 277,339
U.S. Large Company Portfolio
2016.............................. 125,202 $47,852 173,054
2017.............................. 154,938 38,779 193,717
At October 31, 2017, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
DFA International Value Portfolio. $ (322) -- $ (322)
U.S. Large Company Portfolio...... (2,859) $(391) (3,250)
At October 31, 2017, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Capital Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryforwards (Depreciation) Losses)
-------------- ------------- ------------- -------------- -------------
DFA International Value Portfolio. $54,032 -- $(54,014) $1,582,630 $1,582,648
U.S. Large Company Portfolio...... 10,562 $19,857 -- 4,213,230 4,243,649
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2017, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through October 31 of the indicated expiration
dates, as applicable (amounts in thousands):
Unlimited Total
--------- -------
DFA International Value Portfolio. $54,014 $54,014
U.S. Large Company Portfolio...... -- --
239
During the year ended October 31, 2017, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amount in thousands):
DFA International Value Portfolio. $122,423
At April 30, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
DFA International Value Portfolio. $8,795,765 $1,637,170 -- $1,637,170
U.S. Large Company Portfolio...... 3,961,688 4,529,677 $(104,709) 4,424,968
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Ended Year Ended
April 30, 2018 Oct. 31, 2017
------------------ --------------------
(Unaudited)
Amount Shares Amount Shares
--------- ------- ----------- -------
DFA International Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 722 34 $ 3,212 182
Shares Issued in Lieu of Cash Distributions.......... 32 2 109 6
Shares Redeemed...................................... (803) (39) (3,910) (215)
--------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares $ (49) (3) $ (589) (27)
========= ======= =========== =======
Institutional Class Shares
Shares Issued........................................ $ 939,504 45,676 $ 1,964,675 109,773
Shares Issued in Lieu of Cash Distributions.......... 95,002 4,756 269,450 14,990
Shares Redeemed...................................... (833,456) (40,503) (1,414,843) (77,356)
--------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares $ 201,050 9,929 $ 819,282 47,407
========= ======= =========== =======
H. Financial Instruments:
In accordance with the Portfolio's investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
240
1. Futures Contracts: The U.S. Large Company Portfolio may purchase or
sell futures contracts and options on futures contracts for equity securities
and indices to adjust market exposure based on actual or expected cash inflows
to or outflows from the Portfolio. The Portfolio, however, does not intend to
sell futures contracts to establish short positions in individual securities.
Upon entering into a futures contract, the Portfolio deposits cash or pledges
U.S. government securities to a broker, equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolio as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized gain or loss, which is presented
in the Statements of Operations as a net realized gain or loss on futures,
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolio could lose more than
the initial margin requirements. Entering into stock index futures subjects the
Portfolio to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amount in
thousands):
Futures
-------
U.S. Large Company Portfolio. 23,077
The following is a summary of the location of derivatives on the U.S. Large
Company Portfolio's Statements of Assets and Liabilities as of April 30, 2018:
Location on the
Statements of Assets and
Liabilities
------------------------
Derivative Type Liability Derivatives
--------------- ------------------------
Equity contracts Payables: Futures
Margin Variation
The following is a summary of the U.S. Large Company Portfolio's derivative
instrument holdings categorized by primary risk exposure as of April 30, 2018
(amounts in thousands):
Liability Derivatives Value
--------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
U.S. Large Company Portfolio. $(317) $(317)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location of realized and change in
unrealized gains and losses on the Portfolio's Statements of Operations for the
Portfolio's derivative instrument holdings for the six months ended April 30,
2018:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
241
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's direct investment in derivative instrument
holdings categorized by primary risk exposure for the six months ended
April 30, 2018 (amounts in thousands):
Realized Gain (Loss) on
Derivatives
----------------------
Equity
Total Contracts
------ ---------
U.S. Large Company Portfolio. $2,397 $2,397
Change in Unrealized
Appreciation (Depreciation)
on Derivatives
----------------------
Equity
Total Contracts
------ ---------
U.S. Large Company Portfolio. $ (400) $ (400)
I. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 4, 2019.
For the six months ended April 30, 2018, borrowings by the Portfolios under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
U.S. Large Company Portfolio. 2.21% $7,080 21 $9 $30,765
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that the Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by the Portfolios under the lines of
credit as of April 30, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order"), the U.S.
Large Company Portfolio may participate in an interfund lending program among
certain portfolios managed by the Advisor (portfolios that operate as feeder
funds do not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
242
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The U.S. Large Company Portfolio did not utilize the interfund lending
program during the six months ended April 30, 2018.
J. Securities Lending:
As of April 30, 2018, U.S. Large Company Portfolio had securities on loan to
brokers/dealers, for which the Portfolio received cash collateral. The non-cash
collateral includes short and/or long term U.S. Treasuries and U.S. government
agency securities as follows (amount in thousands).
Market
Value
--------
U.S. Large Company Portfolio. $223,666
The Portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the
Portfolio's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, the Portfolio will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Income received from the Money Market Series is netted with fees for
securities lending and collateral investment expenses, and other payments to
and from borrowers of securities. The Portfolio also may invest the cash
collateral received for the loaned securities in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies, and affiliated and unaffiliated
registered and unregistered money market funds. For purposes of this paragraph,
agencies include both agency debentures and agency mortgage-backed securities.
In addition, the Portfolio will be able to terminate the loan at any time and
will receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible to be taxed
at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
---------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
------------- -------- ------------ -------- ------------
Securities Lending Transactions
U.S. Large Company Portfolio
Common Stocks................... $154,472,760 -- -- -- $154,472,760
243
K. Shareholder Servicing Fees:
The Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the DFA International Value Portfolio's Class R2 Shares.
L. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
M. Recently Issued Accounting Standards:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
N. Other:
At April 30, 2018, the following number of shareholders held the following
approximate percentages of the Portfolios' outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
DFA International Value Portfolio-Class R2 Shares............ 4 98%
DFA International Value Portfolio-Institutional Class Shares. 4 73%
U.S. Large Company Portfolio................................. 4 76%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
O. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no other subsequent events requiring recognition or
disclosure in the financial statements.
244
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of a Portfolio's fiscal year. As
a result, shareholders should not use the information provided in this notice
for tax reporting purposes.
Estimated % Breakdown of Distribution Sources
--------------------------------------------
Net income for Accumulated
the current or undistributed
preceding net profits Paid-in
fiscal year, from the sale surplus
and accumulated of securities or other
undistributed net or other capital
Portfolio Name income properties source
-------------- ----------------- ------------- --------
DFA International Value Portfolio
December 15, 2017.............. 66% 0% 34%
U.S. Large Company Portfolio
December 14, 2017.............. 71% 0% 29%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
245
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,036.70 0.11% $0.56
Hypothetical 5% Annual Return...... $1,000.00 $1,024.25 0.11% $0.55
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,050.80 0.21% $1.07
Hypothetical 5% Annual Return...... $1,000.00 $1,023.75 0.21% $1.05
246
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
The Japanese Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $1,062.50 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
The Asia Pacific Small Company Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,039.70 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
The United Kingdom Small Company Series
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,046.80 0.11% $0.56
Hypothetical 5% Annual Return........... $1,000.00 $1,024.25 0.11% $0.55
The Continental Small Company Series
------------------------------------
Actual Fund Return...................... $1,000.00 $1,035.10 0.12% $0.61
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60
The Canadian Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $1,004.50 0.12% $0.60
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60
The Emerging Markets Series
---------------------------
Actual Fund Return...................... $1,000.00 $1,044.20 0.15% $0.76
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
The Emerging Markets Small Cap Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,062.70 0.26% $1.33
Hypothetical 5% Annual Return........... $1,000.00 $1,023.51 0.26% $1.30
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
247
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 29, 2018. They are available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
The U.S. Large Cap Value Series
Consumer Discretionary....................... 12.3%
Consumer Staples............................. 5.1%
Energy....................................... 13.7%
Financials................................... 24.4%
Health Care.................................. 14.5%
Industrials.................................. 7.7%
Information Technology....................... 14.2%
Materials.................................... 3.9%
Real Estate.................................. 0.2%
Telecommunication Services................... 3.9%
Utilities.................................... 0.1%
-----
100.0%
The DFA International Value Series
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 2.3%
Energy....................................... 16.2%
Financials................................... 30.0%
Health Care.................................. 2.6%
Industrials.................................. 8.1%
Information Technology....................... 2.7%
Materials.................................... 13.4%
Real Estate.................................. 2.7%
Telecommunication Services................... 4.0%
Utilities.................................... 2.0%
-----
100.0%
The Japanese Small Company Series
Consumer Discretionary....................... 19.7%
Consumer Staples............................. 8.7%
Energy....................................... 0.9%
Financials................................... 8.6%
Health Care.................................. 5.0%
Industrials.................................. 28.8%
Information Technology....................... 13.7%
Materials.................................... 11.0%
Real Estate.................................. 2.1%
Telecommunication Services................... 0.1%
Utilities.................................... 1.4%
-----
100.0%
248
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
The Asia Pacific Small Company Series
Consumer Discretionary....................... 21.9%
Consumer Staples............................. 7.2%
Energy....................................... 3.7%
Financials................................... 9.9%
Health Care.................................. 6.1%
Industrials.................................. 16.9%
Information Technology....................... 8.2%
Materials.................................... 14.8%
Real Estate.................................. 6.3%
Telecommunication Services................... 2.7%
Utilities.................................... 2.3%
-----
100.0%
The United Kingdom Small Company Series
Consumer Discretionary....................... 23.6%
Consumer Staples............................. 4.4%
Energy....................................... 4.9%
Financials................................... 16.0%
Health Care.................................. 3.6%
Industrials.................................. 26.1%
Information Technology....................... 9.3%
Materials.................................... 7.1%
Real Estate.................................. 2.6%
Telecommunication Services................... 0.9%
Utilities.................................... 1.5%
-----
100.0%
The Continental Small Company Series
Consumer Discretionary....................... 13.4%
Consumer Staples............................. 5.5%
Energy....................................... 3.5%
Financials................................... 13.0%
Health Care.................................. 6.9%
Industrials.................................. 25.7%
Information Technology....................... 10.8%
Materials.................................... 9.2%
Real Estate.................................. 5.6%
Telecommunication Services................... 2.8%
Utilities.................................... 3.6%
-----
100.0%
The Canadian Small Company Series
Consumer Discretionary....................... 7.5%
Consumer Staples............................. 4.9%
Energy....................................... 22.5%
Financials................................... 8.2%
Health Care.................................. 1.6%
Industrials.................................. 12.1%
Information Technology....................... 4.8%
Materials.................................... 29.0%
Real Estate.................................. 4.0%
Utilities.................................... 5.4%
-----
100.0%
The Emerging Markets Series
Consumer Discretionary....................... 9.0%
Consumer Staples............................. 8.1%
Energy....................................... 7.1%
Financials................................... 22.1%
Health Care.................................. 2.6%
Industrials.................................. 7.0%
Information Technology....................... 24.1%
Materials.................................... 10.2%
Real Estate.................................. 2.2%
Telecommunication Services................... 4.9%
Utilities.................................... 2.7%
-----
100.0%
The Emerging Markets Small Cap Series
Consumer Discretionary....................... 16.7%
Consumer Staples............................. 8.0%
Energy....................................... 1.3%
Financials................................... 8.6%
Health Care.................................. 7.1%
Industrials.................................. 15.2%
Information Technology....................... 16.5%
Materials.................................... 13.1%
Real Estate.................................. 7.7%
Telecommunication Services................... 0.8%
Utilities.................................... 5.0%
-----
100.0%
249
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.9%)
Consumer Discretionary -- (11.9%)
* Charter Communications, Inc. Class A..... 962,932 $ 261,233,822 0.9%
Comcast Corp. Class A.................... 21,576,111 677,274,124 2.3%
Ford Motor Co............................ 16,051,999 180,424,469 0.6%
General Motors Co........................ 6,055,833 222,491,304 0.8%
Royal Caribbean Cruises, Ltd............. 1,271,015 137,511,113 0.5%
Time Warner, Inc......................... 3,836,070 363,659,436 1.3%
Other Securities......................... 1,680,203,335 5.8%
-------------- -----
Total Consumer Discretionary................. 3,522,797,603 12.2%
-------------- -----
Consumer Staples -- (4.9%)
Mondelez International, Inc. Class A..... 3,576,652 141,277,754 0.5%
Tyson Foods, Inc. Class A................ 1,959,828 137,383,943 0.5%
Walgreens Boots Alliance, Inc............ 3,030,389 201,369,349 0.7%
Walmart, Inc............................. 5,689,778 503,317,762 1.7%
Other Securities......................... 475,589,016 1.7%
-------------- -----
Total Consumer Staples....................... 1,458,937,824 5.1%
-------------- -----
Energy -- (13.3%)
Andeavor................................. 1,297,132 179,419,298 0.6%
Chevron Corp............................. 5,879,241 735,551,842 2.5%
ConocoPhillips........................... 2,949,628 193,200,634 0.7%
Exxon Mobil Corp......................... 13,357,412 1,038,538,783 3.6%
Marathon Petroleum Corp.................. 2,321,313 173,889,557 0.6%
Occidental Petroleum Corp................ 2,538,795 196,147,302 0.7%
Valero Energy Corp....................... 2,730,237 302,865,190 1.1%
Other Securities......................... 1,095,405,202 3.8%
-------------- -----
Total Energy................................. 3,915,017,808 13.6%
-------------- -----
Financials -- (23.6%)
Bank of America Corp..................... 20,209,612 604,671,591 2.1%
Bank of New York Mellon Corp. (The)...... 4,465,867 243,434,410 0.8%
* Berkshire Hathaway, Inc. Class B......... 995,133 192,787,116 0.7%
Capital One Financial Corp............... 2,121,634 192,262,473 0.7%
Citigroup, Inc........................... 5,962,612 407,067,521 1.4%
Goldman Sachs Group, Inc. (The).......... 1,092,193 260,302,358 0.9%
JPMorgan Chase & Co...................... 11,108,809 1,208,416,243 4.2%
Morgan Stanley........................... 5,338,744 275,585,965 1.0%
PNC Financial Services Group, Inc. (The). 1,331,289 193,848,991 0.7%
Travelers Cos., Inc. (The)............... 1,165,331 153,357,560 0.5%
Wells Fargo & Co......................... 18,696,506 971,470,452 3.4%
Other Securities......................... 2,273,627,768 7.8%
-------------- -----
Total Financials............................. 6,976,832,448 24.2%
-------------- -----
Health Care -- (14.1%)
Abbott Laboratories...................... 4,212,247 244,857,918 0.9%
Aetna, Inc............................... 1,816,031 325,160,351 1.1%
Anthem, Inc.............................. 1,376,563 324,855,102 1.1%
CVS Health Corp.......................... 4,700,064 328,205,469 1.1%
Danaher Corp............................. 1,838,784 184,466,811 0.6%
* Express Scripts Holding Co............... 2,740,464 207,453,125 0.7%
Humana, Inc.............................. 674,755 198,499,426 0.7%
Medtronic P.L.C.......................... 4,282,974 343,194,707 1.2%
Pfizer, Inc.............................. 20,880,631 764,439,901 2.7%
250
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc................................. 1,050,474 $ 220,967,206 0.8%
Other Securities.............................................. 1,009,820,121 3.5%
--------------- ------
Total Health Care................................................... 4,151,920,137 14.4%
--------------- ------
Industrials -- (7.5%)
Delta Air Lines, Inc.......................................... 2,950,569 154,078,713 0.5%
Norfolk Southern Corp......................................... 1,385,379 198,760,325 0.7%
Stanley Black & Decker, Inc................................... 1,078,968 152,771,079 0.5%
Other Securities.............................................. 1,698,906,222 5.9%
--------------- ------
Total Industrials................................................... 2,204,516,339 7.6%
--------------- ------
Information Technology -- (13.7%)
Cisco Systems, Inc............................................ 18,075,606 800,568,590 2.8%
Hewlett Packard Enterprise Co................................. 8,708,938 148,487,393 0.5%
HP, Inc....................................................... 9,619,949 206,732,704 0.7%
Intel Corp.................................................... 23,083,456 1,191,567,999 4.1%
* Micron Technology, Inc........................................ 5,266,057 242,133,301 0.8%
QUALCOMM, Inc................................................. 5,066,475 258,440,890 0.9%
Other Securities.............................................. 1,201,389,237 4.2%
--------------- ------
Total Information Technology........................................ 4,049,320,114 14.0%
--------------- ------
Materials -- (3.8%)
DowDuPont, Inc................................................ 2,259,347 142,881,104 0.5%
# Nucor Corp.................................................... 2,491,419 153,521,239 0.5%
Other Securities.............................................. 815,715,009 2.8%
--------------- ------
Total Materials..................................................... 1,112,117,352 3.8%
--------------- ------
Real Estate -- (0.1%)
Other Securities.............................................. 45,272,636 0.2%
--------------- ------
Telecommunication Services -- (3.8%)
AT&T, Inc..................................................... 29,042,432 949,687,527 3.3%
Other Securities.............................................. 167,564,793 0.6%
--------------- ------
Total Telecommunication Services.................................... 1,117,252,320 3.9%
--------------- ------
Utilities -- (0.1%)
Other Securities.............................................. 44,808,268 0.2%
--------------- ------
TOTAL COMMON STOCKS................................................. 28,598,792,849 99.2%
--------------- ------
TOTAL INVESTMENT SECURITIES......................................... 28,598,792,849
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 272,826,637 272,826,637 0.9%
--------------- ------
SECURITIES LENDING COLLATERAL -- (2.2%)
(S)@ DFA Short Term Investment Fund................................ 54,572,766 631,406,902 2.2%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $20,591,542,665).......................................... $29,503,026,388 102.3%
=============== ======
251
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
At April 30, 2018, The U.S. Large Cap Value Series had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
S&P 500(R) Emini Index... 1,505 06/15/18 $206,026,096 $199,186,750 $(6,839,346)
------------ ------------ ------------
Total futures contracts.. $206,026,096 $199,186,750 $(6,839,346)
============ ============ ============
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary...... $ 3,522,797,603 -- -- $ 3,522,797,603
Consumer Staples............ 1,458,937,824 -- -- 1,458,937,824
Energy...................... 3,915,017,808 -- -- 3,915,017,808
Financials.................. 6,976,832,448 -- -- 6,976,832,448
Health Care................. 4,151,920,137 -- -- 4,151,920,137
Industrials................. 2,204,516,339 -- -- 2,204,516,339
Information Technology...... 4,049,320,114 -- -- 4,049,320,114
Materials................... 1,112,117,352 -- -- 1,112,117,352
Real Estate................. 45,272,636 -- -- 45,272,636
Telecommunication Services.. 1,117,252,320 -- -- 1,117,252,320
Utilities................... 44,808,268 -- -- 44,808,268
Temporary Cash Investments.... 272,826,637 -- -- 272,826,637
Securities Lending Collateral. -- $631,406,902 -- 631,406,902
Futures Contracts**........... (6,839,346) -- -- (6,839,346)
--------------- ------------ -- ---------------
TOTAL......................... $28,864,780,140 $631,406,902 -- $29,496,187,042
=============== ============ == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
252
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.2%)
AUSTRALIA -- (4.8%)
# Australia & New Zealand Banking Group, Ltd.. 8,219,619 $ 165,232,302 1.2%
BHP Billiton, Ltd........................... 3,664,796 85,496,933 0.6%
Woodside Petroleum, Ltd..................... 3,201,265 77,577,820 0.6%
Other Securities............................ 356,421,158 2.7%
-------------- -----
TOTAL AUSTRALIA................................. 684,728,213 5.1%
-------------- -----
AUSTRIA -- (0.1%)
Other Securities............................ 7,304,994 0.1%
-------------- -----
BELGIUM -- (1.0%)
Other Securities............................ 144,540,784 1.1%
-------------- -----
CANADA -- (7.7%)
Bank of Montreal............................ 1,689,557 128,288,063 1.0%
Suncor Energy, Inc.......................... 3,796,659 145,189,439 1.1%
Other Securities............................ 821,480,453 6.1%
-------------- -----
TOTAL CANADA.................................... 1,094,957,955 8.2%
-------------- -----
DENMARK -- (1.4%)
Other Securities............................ 203,035,875 1.5%
-------------- -----
FINLAND -- (1.0%)
Other Securities............................ 146,499,413 1.1%
-------------- -----
FRANCE -- (9.5%)
# AXA SA...................................... 2,859,375 81,774,218 0.6%
BNP Paribas SA.............................. 2,405,711 185,719,103 1.4%
Engie SA.................................... 5,673,142 99,515,295 0.7%
Orange SA................................... 6,230,588 113,269,720 0.8%
# Peugeot SA.................................. 3,133,702 77,162,951 0.6%
Renault SA.................................. 1,007,824 109,229,481 0.8%
Societe Generale SA......................... 1,362,535 74,569,829 0.6%
# Total SA.................................... 6,569,447 412,900,822 3.1%
Other Securities............................ 203,036,038 1.5%
-------------- -----
TOTAL FRANCE.................................... 1,357,177,457 10.1%
-------------- -----
GERMANY -- (6.5%)
Bayerische Motoren Werke AG................. 1,225,665 136,271,744 1.0%
Daimler AG.................................. 3,375,856 265,403,214 2.0%
RWE AG...................................... 3,077,276 73,552,210 0.5%
Other Securities............................ 452,725,601 3.4%
-------------- -----
TOTAL GERMANY................................... 927,952,769 6.9%
-------------- -----
HONG KONG -- (2.5%)
CK Hutchison Holdings, Ltd.................. 7,657,984 90,554,557 0.7%
Other Securities............................ 268,619,568 2.0%
-------------- -----
TOTAL HONG KONG................................. 359,174,125 2.7%
-------------- -----
IRELAND -- (0.2%)
Other Securities............................ 33,112,899 0.2%
-------------- -----
253
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ISRAEL -- (0.3%)
Other Securities...................... $ 40,711,469 0.3%
-------------- -----
ITALY -- (1.8%)
# UniCredit SpA......................... 4,747,111 102,916,952 0.8%
Other Securities...................... 158,283,451 1.1%
-------------- -----
TOTAL ITALY............................... 261,200,403 1.9%
-------------- -----
JAPAN -- (21.5%)
Hitachi, Ltd.......................... 10,604,000 77,393,891 0.6%
Honda Motor Co., Ltd.................. 4,474,100 153,846,114 1.1%
Mitsubishi Corp....................... 2,342,100 64,584,694 0.5%
# Mitsubishi UFJ Financial Group, Inc... 12,800,606 85,781,239 0.6%
Mizuho Financial Group, Inc........... 33,555,400 60,709,660 0.5%
Nissan Motor Co., Ltd................. 6,443,700 67,790,734 0.5%
Sumitomo Mitsui Financial Group, Inc.. 2,854,200 118,958,037 0.9%
Toyota Motor Corp..................... 5,457,190 357,840,739 2.7%
Other Securities...................... 2,084,028,371 15.5%
-------------- -----
TOTAL JAPAN............................... 3,070,933,479 22.9%
-------------- -----
NETHERLANDS -- (3.6%)
* ArcelorMittal......................... 1,780,735 60,355,602 0.5%
ING Groep NV.......................... 5,655,087 95,291,100 0.7%
# Koninklijke Ahold Delhaize NV......... 4,888,298 117,927,633 0.9%
Koninklijke DSM NV.................... 656,841 67,886,329 0.5%
Other Securities...................... 171,679,129 1.2%
-------------- -----
TOTAL NETHERLANDS......................... 513,139,793 3.8%
-------------- -----
NEW ZEALAND -- (0.2%)
Other Securities...................... 20,081,392 0.2%
-------------- -----
NORWAY -- (0.7%)
Other Securities...................... 103,076,050 0.8%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities...................... 5,196,727 0.0%
-------------- -----
SINGAPORE -- (0.9%)
Other Securities...................... 123,478,766 0.9%
-------------- -----
SPAIN -- (2.5%)
# Banco Santander SA.................... 30,929,715 199,834,457 1.5%
Repsol SA............................. 6,302,748 120,274,102 0.9%
Other Securities...................... 38,205,058 0.3%
-------------- -----
TOTAL SPAIN............................... 358,313,617 2.7%
-------------- -----
SWEDEN -- (2.4%)
Nordea Bank AB........................ 7,285,616 74,099,452 0.6%
Other Securities...................... 262,761,933 1.9%
-------------- -----
TOTAL SWEDEN.............................. 336,861,385 2.5%
-------------- -----
SWITZERLAND -- (6.9%)
Cie Financiere Richemont SA........... 863,598 82,092,467 0.6%
Novartis AG........................... 2,466,298 189,841,544 1.4%
# Swatch Group AG (The)................. 139,269 66,873,827 0.5%
Swiss Re AG........................... 692,371 65,961,648 0.5%
254
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
UBS Group AG.................................... 3,568,514 $ 59,897,119 0.5%
Zurich Insurance Group AG....................... 429,441 137,178,664 1.0%
Other Securities................................ 385,461,627 2.9%
--------------- ------
TOTAL SWITZERLAND..................................... 987,306,896 7.4%
--------------- ------
UNITED KINGDOM -- (15.6%)
# Anglo American P.L.C............................ 5,924,428 139,397,348 1.0%
BP P.L.C. Sponsored ADR......................... 8,549,806 381,235,850 2.8%
Glencore P.L.C.................................. 16,161,461 77,849,658 0.6%
HSBC Holdings P.L.C............................. 16,748,580 166,748,482 1.3%
# HSBC Holdings P.L.C. Sponsored ADR.............. 2,762,772 138,856,920 1.0%
Lloyds Banking Group P.L.C...................... 175,809,723 155,933,876 1.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 3,259,405 227,832,383 1.7%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 3,591,667 260,108,524 1.9%
Vodafone Group P.L.C............................ 58,351,986 170,283,365 1.3%
Vodafone Group P.L.C. Sponsored ADR............. 4,011,201 117,969,429 0.9%
Other Securities................................ 393,702,731 2.9%
--------------- ------
TOTAL UNITED KINGDOM.................................. 2,229,918,566 16.6%
--------------- ------
TOTAL COMMON STOCKS................................... 13,008,703,027 97.0%
--------------- ------
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Volkswagen AG................................... 652,333 134,533,773 1.0%
Other Securities................................ 34,501,288 0.3%
--------------- ------
TOTAL GERMANY......................................... 169,035,061 1.3%
--------------- ------
TOTAL PREFERRED STOCKS................................ 169,035,061 1.3%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
TOTAL INVESTMENT SECURITIES........................... 13,177,738,088
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (7.6%)
(S)@ DFA Short Term Investment Fund.................. 94,025,959 1,087,880,349 8.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,070,115,739)............................ $14,265,618,437 106.4%
=============== ======
At April 30, 2018, The DFA International Value Series had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ------------ ------------ --------------
Long Position contracts:
MSCI EAFE Index Future... 92 06/15/18 $ 9,315,658 $ 9,321,900 $ 6,242
S&P 500(R) Emini Index... 784 06/15/18 105,455,996 103,762,400 (1,693,596)
------------ ------------ ------------
Total futures contracts.. $114,771,654 $113,084,300 $(1,687,354)
============ ============ ============
255
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- --------------- ------- ---------------
Common Stocks
Australia................... $ 4,556,253 $ 680,171,960 -- $ 684,728,213
Austria..................... -- 7,304,994 -- 7,304,994
Belgium..................... -- 144,540,784 -- 144,540,784
Canada...................... 1,094,957,955 -- -- 1,094,957,955
Denmark..................... -- 203,035,875 -- 203,035,875
Finland..................... 2,263,361 144,236,052 -- 146,499,413
France...................... -- 1,357,177,457 -- 1,357,177,457
Germany..................... 77,629,919 850,322,850 -- 927,952,769
Hong Kong................... -- 359,174,125 -- 359,174,125
Ireland..................... 7,026,350 26,086,549 -- 33,112,899
Israel...................... -- 40,711,469 -- 40,711,469
Italy....................... 39,948,100 221,252,303 -- 261,200,403
Japan....................... 74,745,755 2,996,187,724 -- 3,070,933,479
Netherlands................. 49,423,303 463,716,490 -- 513,139,793
New Zealand................. -- 20,081,392 -- 20,081,392
Norway...................... 287,960 102,788,090 -- 103,076,050
Portugal.................... -- 5,196,727 -- 5,196,727
Singapore................... -- 123,478,766 -- 123,478,766
Spain....................... 459,204 357,854,413 -- 358,313,617
Sweden...................... 705,997 336,155,388 -- 336,861,385
Switzerland................. 57,868,765 929,438,131 -- 987,306,896
United Kingdom.............. 1,221,085,825 1,008,832,741 -- 2,229,918,566
Preferred Stocks
Germany..................... -- 169,035,061 -- 169,035,061
Securities Lending Collateral. -- 1,087,880,349 -- 1,087,880,349
Futures Contracts**........... (1,687,354) -- -- (1,687,354)
-------------- --------------- -- ---------------
TOTAL......................... $2,629,271,393 $11,634,659,690 -- $14,263,931,083
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
256
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.1%)
Consumer Discretionary -- (18.6%)
Aoyama Trading Co., Ltd............... 315,300 $ 12,143,526 0.3%
HIS Co., Ltd.......................... 282,100 10,294,918 0.2%
Wacoal Holdings Corp.................. 361,700 10,950,759 0.3%
Other Securities...................... 831,441,555 18.7%
-------------- -----
Total Consumer Discretionary.............. 864,830,758 19.5%
-------------- -----
Consumer Staples -- (8.2%)
Megmilk Snow Brand Co., Ltd........... 358,200 10,783,752 0.2%
Morinaga Milk Industry Co., Ltd....... 262,300 11,520,934 0.3%
Nippon Suisan Kaisha, Ltd............. 2,033,400 11,020,177 0.3%
# Sapporo Holdings, Ltd................. 439,100 12,563,724 0.3%
Takara Holdings, Inc.................. 930,900 11,229,578 0.3%
Other Securities...................... 325,530,582 7.2%
-------------- -----
Total Consumer Staples.................... 382,648,747 8.6%
-------------- -----
Energy -- (0.8%)
Other Securities...................... 39,099,899 0.9%
-------------- -----
Financials -- (8.1%)
77 Bank, Ltd. (The)................... 496,152 12,258,679 0.3%
Hokuhoku Financial Group, Inc......... 705,600 10,438,321 0.2%
Nishi-Nippon Financial Holdings, Inc.. 861,100 10,340,057 0.2%
Tokai Tokyo Financial Holdings, Inc... 1,447,500 10,484,771 0.2%
Other Securities...................... 334,757,668 7.6%
-------------- -----
Total Financials.......................... 378,279,496 8.5%
-------------- -----
Health Care -- (4.7%)
Miraca Holdings, Inc.................. 300,200 11,686,763 0.3%
Sawai Pharmaceutical Co., Ltd......... 282,700 12,217,051 0.3%
Ship Healthcare Holdings, Inc......... 303,400 10,534,977 0.2%
Other Securities...................... 183,892,596 4.1%
-------------- -----
Total Health Care......................... 218,331,387 4.9%
-------------- -----
Industrials -- (27.2%)
GS Yuasa Corp......................... 2,274,000 12,240,868 0.3%
Hanwa Co., Ltd........................ 244,200 10,669,600 0.3%
Japan Steel Works, Ltd. (The)......... 410,300 13,439,428 0.3%
#* Kawasaki Kisen Kaisha, Ltd............ 531,800 12,297,994 0.3%
Kokuyo Co., Ltd....................... 558,125 10,080,496 0.2%
Maeda Corp............................ 885,600 10,929,941 0.3%
Nagase & Co., Ltd..................... 623,200 10,642,476 0.3%
Nichias Corp.......................... 800,000 10,133,152 0.2%
Nikkon Holdings Co., Ltd.............. 392,500 10,443,629 0.2%
Nishi-Nippon Railroad Co., Ltd........ 441,200 12,251,255 0.3%
Nisshinbo Holdings, Inc............... 980,380 13,815,979 0.3%
Penta-Ocean Construction Co., Ltd..... 1,921,500 15,142,998 0.4%
Pilot Corp............................ 221,600 12,097,686 0.3%
TechnoPro Holdings, Inc............... 241,800 14,068,468 0.3%
Ushio, Inc............................ 746,200 10,518,755 0.2%
Other Securities...................... 1,087,036,531 24.3%
-------------- -----
Total Industrials......................... 1,265,809,256 28.5%
-------------- -----
257
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Information Technology -- (12.9%)
Amano Corp............................ 436,200 $ 10,811,606 0.3%
Citizen Watch Co., Ltd................ 1,505,500 11,217,204 0.3%
Ibiden Co., Ltd....................... 633,978 10,469,488 0.2%
Nihon Unisys, Ltd..................... 497,075 10,316,778 0.2%
Taiyo Yuden Co., Ltd.................. 773,000 13,708,734 0.3%
Tokyo Seimitsu Co., Ltd............... 265,700 10,091,658 0.2%
Topcon Corp........................... 567,800 11,269,655 0.3%
Other Securities...................... 523,928,176 11.7%
-------------- ------
Total Information Technology................ 601,813,299 13.5%
-------------- ------
Materials -- (10.3%)
ADEKA Corp............................ 580,700 10,311,777 0.2%
Fuji Seal International, Inc.......... 277,600 10,357,959 0.2%
Nippon Light Metal Holdings Co., Ltd.. 4,026,200 10,762,124 0.2%
# Nippon Paper Industries Co., Ltd...... 700,500 13,416,101 0.3%
NOF Corp.............................. 449,100 13,400,373 0.3%
Rengo Co., Ltd........................ 1,205,500 10,363,112 0.2%
Sumitomo Bakelite Co., Ltd............ 1,249,000 11,265,667 0.3%
# Sumitomo Osaka Cement Co., Ltd........ 2,623,000 12,008,178 0.3%
Tokuyama Corp......................... 462,998 13,790,562 0.3%
Toyobo Co., Ltd....................... 586,200 11,418,851 0.3%
Other Securities...................... 364,467,755 8.2%
-------------- ------
Total Materials............................. 481,562,459 10.8%
-------------- ------
Real Estate -- (1.9%)
Leopalace21 Corp...................... 1,702,800 14,768,257 0.3%
Other Securities...................... 75,823,997 1.7%
-------------- ------
Total Real Estate........................... 90,592,254 2.0%
-------------- ------
Telecommunication Services -- (0.1%)
Other Securities...................... 6,470,744 0.2%
-------------- ------
Utilities -- (1.3%)
#* Hokuriku Electric Power Co............ 1,293,400 13,198,577 0.3%
Nippon Gas Co., Ltd................... 254,700 12,505,163 0.3%
Other Securities...................... 34,430,273 0.8%
-------------- ------
Total Utilities............................. 60,134,013 1.4%
-------------- ------
TOTAL COMMON STOCKS......................... 4,389,572,312 98.8%
-------------- ------
TOTAL INVESTMENT SECURITIES................. 4,389,572,312
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (5.9%)
(S)@ DFA Short Term Investment Fund........ 23,599,833 273,050,068 6.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,525,312,761)................... $4,662,622,380 104.9%
============== ======
258
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------
Level 1 Level 2 Level 3 Total
---------- -------------- ------- --------------
Common Stocks
Consumer Discretionary...... -- $ 864,830,758 -- $ 864,830,758
Consumer Staples............ -- 382,648,747 -- 382,648,747
Energy...................... -- 39,099,899 -- 39,099,899
Financials.................. $7,018,645 371,260,851 -- 378,279,496
Health Care................. -- 218,331,387 -- 218,331,387
Industrials................. -- 1,265,809,256 -- 1,265,809,256
Information Technology...... -- 601,813,299 -- 601,813,299
Materials................... -- 481,562,459 -- 481,562,459
Real Estate................. -- 90,592,254 -- 90,592,254
Telecommunication Services.. -- 6,470,744 -- 6,470,744
Utilities................... -- 60,134,013 -- 60,134,013
Securities Lending Collateral. -- 273,050,068 -- 273,050,068
---------- -------------- -- --------------
TOTAL......................... $7,018,645 $4,655,603,735 -- $4,662,622,380
========== ============== == ==============
See accompanying Notes to Financial Statements.
259
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.6%)
AUSTRALIA -- (51.6%)
# Adelaide Brighton, Ltd....................... 3,364,087 $ 16,230,411 0.8%
ALS, Ltd..................................... 2,475,697 14,448,074 0.7%
Altium, Ltd.................................. 756,548 11,489,185 0.6%
Ansell, Ltd.................................. 966,611 18,885,588 1.0%
Beach Energy, Ltd............................ 16,720,311 19,719,954 1.0%
# carsales.com, Ltd............................ 1,702,940 18,278,249 0.9%
Cleanaway Waste Management, Ltd.............. 13,779,656 16,363,957 0.8%
CSR, Ltd..................................... 3,680,857 15,530,958 0.8%
Downer EDI, Ltd.............................. 4,034,426 20,764,288 1.1%
DuluxGroup, Ltd.............................. 3,101,823 18,034,478 0.9%
Fairfax Media, Ltd........................... 19,821,806 10,609,859 0.5%
# Healthscope, Ltd............................. 8,543,532 15,565,749 0.8%
Iluka Resources, Ltd......................... 1,760,123 15,451,894 0.8%
# Independence Group NL........................ 3,049,253 11,730,613 0.6%
# IOOF Holdings, Ltd........................... 2,368,404 15,905,535 0.8%
# JB Hi-Fi, Ltd................................ 962,791 18,562,184 0.9%
Link Administration Holdings, Ltd............ 2,142,675 13,332,454 0.7%
Macquarie Atlas Roads Group.................. 3,516,909 17,004,838 0.9%
# Metcash, Ltd................................. 6,611,120 17,844,135 0.9%
Mineral Resources, Ltd....................... 1,168,088 15,641,803 0.8%
# Monadelphous Group, Ltd...................... 813,595 9,840,232 0.5%
nib holdings, Ltd............................ 2,972,376 12,425,083 0.6%
Northern Star Resources, Ltd................. 4,806,957 22,941,083 1.2%
Nufarm, Ltd.................................. 1,720,608 11,760,789 0.6%
Orora, Ltd................................... 7,096,268 17,797,679 0.9%
OZ Minerals, Ltd............................. 2,198,276 15,170,239 0.8%
# Perpetual, Ltd............................... 356,426 10,752,872 0.5%
Primary Health Care, Ltd..................... 3,326,526 9,483,692 0.5%
Regis Resources, Ltd......................... 3,227,165 11,388,171 0.6%
* Saracen Mineral Holdings, Ltd................ 7,247,386 10,187,827 0.5%
Sims Metal Management, Ltd................... 1,382,214 16,705,016 0.9%
Sirtex Medical, Ltd.......................... 549,789 11,498,229 0.6%
Spark Infrastructure Group................... 9,880,226 17,420,897 0.9%
St Barbara, Ltd.............................. 4,165,437 13,288,919 0.7%
Steadfast Group, Ltd......................... 4,895,617 10,080,408 0.5%
WorleyParsons, Ltd........................... 1,474,136 17,967,912 0.9%
Other Securities............................. 578,745,404 29.2%
-------------- -----
TOTAL AUSTRALIA.................................. 1,118,848,658 56.7%
-------------- -----
CANADA -- (0.0%)
Other Securities............................. 103,199 0.0%
-------------- -----
CHINA -- (0.0%)
Other Securities............................. 157,406 0.0%
-------------- -----
HONG KONG -- (24.2%)
Dah Sing Financial Holdings, Ltd............. 1,526,544 10,193,764 0.5%
# Haitong International Securities Group, Ltd.. 17,520,259 10,213,217 0.5%
Hopewell Holdings, Ltd....................... 3,604,500 12,786,298 0.7%
# IGG, Inc..................................... 7,730,000 11,625,114 0.6%
Luk Fook Holdings International, Ltd......... 3,329,000 13,914,340 0.7%
# Man Wah Holdings, Ltd........................ 13,457,600 9,952,949 0.5%
NagaCorp, Ltd................................ 12,782,000 13,214,612 0.7%
260
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (Continued)
Orient Overseas International, Ltd... 1,123,000 $ 10,677,992 0.6%
Vitasoy International Holdings, Ltd.. 5,663,000 15,017,627 0.8%
# VTech Holdings, Ltd.................. 961,000 11,701,390 0.6%
Other Securities..................... 405,251,111 20.4%
-------------- ------
TOTAL HONG KONG............................ 524,548,414 26.6%
-------------- ------
NEW ZEALAND -- (5.3%)
* a2 Milk Co., Ltd..................... 1,446,358 12,291,996 0.6%
SKYCITY Entertainment Group, Ltd..... 4,994,656 14,191,767 0.7%
Other Securities..................... 88,385,662 4.5%
-------------- ------
TOTAL NEW ZEALAND.......................... 114,869,425 5.8%
-------------- ------
SINGAPORE -- (9.5%)
# Singapore Post, Ltd.................. 10,888,300 10,963,590 0.6%
# Singapore Press Holdings, Ltd........ 6,191,500 12,651,933 0.7%
Other Securities..................... 182,634,843 9.2%
-------------- ------
TOTAL SINGAPORE............................ 206,250,366 10.5%
-------------- ------
TOTAL COMMON STOCKS........................ 1,964,777,468 99.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities..................... 3,946 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities..................... 38,864 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS...................... 42,810 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES................ 1,964,820,278
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (9.4%)
(S)@ DFA Short Term Investment Fund....... 17,704,883 204,845,502 10.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,060,735,021).................. $2,169,665,780 110.0%
============== ======
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------
Level 1 Level 2 Level 3 Total
-------- -------------- ------- --------------
Common Stocks
Australia................... $ 99,886 $1,118,748,772 -- $1,118,848,658
Canada...................... 103,199 -- -- 103,199
China....................... -- 157,406 -- 157,406
Hong Kong................... 128,772 524,419,642 -- 524,548,414
New Zealand................. -- 114,869,425 -- 114,869,425
Singapore................... 469,566 205,780,800 -- 206,250,366
Rights/Warrants
Hong Kong................... -- 3,946 -- 3,946
Singapore................... -- 38,864 -- 38,864
Securities Lending Collateral. -- 204,845,502 -- 204,845,502
-------- -------------- -- --------------
TOTAL......................... $801,423 $2,168,864,357 -- $2,169,665,780
======== ============== == ==============
See accompanying Notes to Financial Statements.
261
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (97.0%)
Consumer Discretionary -- (22.9%)
B&M European Value Retail SA....... 2,954,304 $ 16,463,263 0.7%
Bellway P.L.C...................... 675,617 30,785,368 1.3%
Bovis Homes Group P.L.C............ 921,633 15,681,182 0.7%
Cineworld Group P.L.C.............. 6,296,220 22,477,551 0.9%
GVC Holdings P.L.C................. 2,345,568 28,711,150 1.2%
Inchcape P.L.C..................... 2,461,419 24,590,456 1.0%
#* Ocado Group P.L.C.................. 2,765,277 20,440,094 0.8%
Playtech P.L.C..................... 1,474,852 16,450,648 0.7%
SSP Group P.L.C.................... 2,417,539 21,633,485 0.9%
# UBM P.L.C.......................... 2,225,114 29,624,081 1.2%
WH Smith P.L.C..................... 673,112 18,041,546 0.7%
William Hill P.L.C................. 5,282,292 21,246,242 0.9%
Other Securities................... 302,609,280 12.4%
------------ -----
Total Consumer Discretionary........... 568,754,346 23.4%
------------ -----
Consumer Staples -- (4.3%)
Tate & Lyle P.L.C.................. 2,817,200 22,249,665 0.9%
Tesco P.L.C........................ 5,861,451 18,984,864 0.8%
Other Securities................... 65,870,184 2.7%
------------ -----
Total Consumer Staples................. 107,104,713 4.4%
------------ -----
Energy -- (4.8%)
John Wood Group P.L.C.............. 3,309,790 25,799,665 1.1%
* Tullow Oil P.L.C................... 8,835,314 27,649,865 1.1%
Other Securities................... 65,352,825 2.7%
------------ -----
Total Energy........................... 118,802,355 4.9%
------------ -----
Financials -- (15.5%)
Beazley P.L.C...................... 3,286,678 26,695,454 1.1%
Close Brothers Group P.L.C......... 915,384 19,273,549 0.8%
Hiscox, Ltd........................ 1,587,870 32,469,620 1.3%
IG Group Holdings P.L.C............ 2,208,193 25,214,234 1.0%
Intermediate Capital Group P.L.C... 1,629,822 24,284,252 1.0%
Man Group P.L.C.................... 10,116,211 25,125,124 1.0%
NEX Group P.L.C.................... 1,743,102 23,653,967 1.0%
Phoenix Group Holdings............. 2,255,130 24,360,281 1.0%
TP ICAP P.L.C...................... 3,202,107 20,742,675 0.9%
Other Securities................... 162,692,366 6.7%
------------ -----
Total Financials....................... 384,511,522 15.8%
------------ -----
Health Care -- (3.5%)
* BTG P.L.C.......................... 1,825,868 17,117,430 0.7%
* Indivior P.L.C..................... 4,027,574 24,941,106 1.0%
Other Securities................... 44,708,861 1.9%
------------ -----
Total Health Care...................... 86,767,397 3.6%
------------ -----
Industrials -- (25.3%)
Babcock International Group P.L.C.. 1,882,719 19,003,545 0.8%
Balfour Beatty P.L.C............... 4,202,276 16,970,478 0.7%
BBA Aviation P.L.C................. 6,343,089 27,801,029 1.1%
* Cobham P.L.C....................... 12,959,557 20,467,992 0.8%
Hays P.L.C......................... 8,695,434 21,428,303 0.9%
HomeServe P.L.C.................... 1,540,342 15,656,085 0.6%
262
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
Howden Joinery Group P.L.C........... 3,999,301 $ 26,175,263 1.1%
IMI P.L.C............................ 1,419,616 21,277,233 0.9%
Meggitt P.L.C........................ 4,445,188 28,797,493 1.2%
Melrose Industries P.L.C............. 8,100,948 25,401,717 1.0%
Rotork P.L.C......................... 4,717,139 21,273,445 0.9%
Spirax-Sarco Engineering P.L.C....... 250,249 19,837,162 0.8%
Travis Perkins P.L.C................. 1,220,434 21,252,306 0.9%
Other Securities..................... 342,734,866 14.1%
-------------- ------
Total Industrials.......................... 628,076,917 25.8%
-------------- ------
Information Technology -- (9.0%)
Auto Trader Group P.L.C.............. 5,234,600 25,435,555 1.0%
Electrocomponents P.L.C.............. 2,859,505 23,905,253 1.0%
Halma P.L.C.......................... 1,169,892 19,629,613 0.8%
Rightmove P.L.C...................... 329,562 20,668,224 0.9%
Spectris P.L.C....................... 627,408 23,149,499 1.0%
Other Securities..................... 111,204,181 4.5%
-------------- ------
Total Information Technology............... 223,992,325 9.2%
-------------- ------
Materials -- (6.8%)
* KAZ Minerals P.L.C................... 1,451,372 18,338,051 0.8%
RPC Group P.L.C...................... 2,358,548 25,592,298 1.1%
Victrex P.L.C........................ 539,936 19,440,693 0.8%
Other Securities..................... 106,464,211 4.3%
-------------- ------
Total Materials............................ 169,835,253 7.0%
-------------- ------
Real Estate -- (2.5%)
Capital & Counties Properties P.L.C.. 4,280,670 16,941,983 0.7%
Other Securities..................... 45,290,342 1.9%
-------------- ------
Total Real Estate.......................... 62,232,325 2.6%
-------------- ------
Telecommunication Services -- (0.9%)
Other Securities..................... 21,469,248 0.9%
-------------- ------
Utilities -- (1.5%)
Pennon Group P.L.C................... 2,281,292 21,675,055 0.9%
Other Securities..................... 15,444,635 0.6%
-------------- ------
Total Utilities............................ 37,119,690 1.5%
-------------- ------
TOTAL COMMON STOCKS........................ 2,408,666,091 99.1%
-------------- ------
TOTAL INVESTMENT SECURITIES................ 2,408,666,091
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.0%)
(S)@ DFA Short Term Investment Fund....... 6,488,674 75,073,955 3.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,060,140,625).................. $2,483,740,046 102.2%
============== ======
263
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
------- -------------- ------- --------------
Common Stocks
Consumer Discretionary...... -- $568,754,346 -- $568,754,346
Consumer Staples............ $22,516 107,082,197 -- 107,104,713
Energy...................... -- 118,802,355 -- 118,802,355
Financials.................. -- 384,511,522 -- 384,511,522
Health Care................. -- 86,767,397 -- 86,767,397
Industrials................. -- 628,076,917 -- 628,076,917
Information Technology...... -- 223,992,325 -- 223,992,325
Materials................... -- 169,835,253 -- 169,835,253
Real Estate................. -- 62,232,325 -- 62,232,325
Telecommunication Services.. -- 21,469,248 -- 21,469,248
Utilities................... -- 37,119,690 -- 37,119,690
Securities Lending Collateral. -- 75,073,955 -- 75,073,955
------- -------------- -- --------------
TOTAL......................... $22,516 $2,483,717,530 -- $2,483,740,046
======= ============== == ==============
See accompanying Notes to Financial Statements.
264
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (88.7%)
AUSTRIA -- (2.8%)
Other Securities.......... $188,663,585 3.1%
------------ -----
BELGIUM -- (4.1%)
* Ablynx NV................. 382,567 20,622,770 0.3%
Ackermans & van Haaren NV. 144,400 26,056,350 0.4%
# Umicore SA................ 703,600 39,133,206 0.6%
Other Securities.......... 195,503,315 3.3%
------------ -----
TOTAL BELGIUM................. 281,315,641 4.6%
------------ -----
DENMARK -- (4.3%)
# Ambu A.S. Class B......... 919,394 21,321,851 0.4%
# GN Store Nord A.S......... 927,706 32,593,996 0.5%
Jyske Bank A.S............ 434,014 25,988,575 0.4%
Topdanmark A.S............ 491,266 23,104,078 0.4%
Other Securities.......... 193,956,718 3.1%
------------ -----
TOTAL DENMARK................. 296,965,218 4.8%
------------ -----
FINLAND -- (6.0%)
Amer Sports Oyj........... 814,164 24,904,626 0.4%
Elisa Oyj................. 834,271 36,876,820 0.6%
# Huhtamaki Oyj............. 626,788 25,494,491 0.4%
# Kesko Oyj Class B......... 466,452 27,389,954 0.4%
Metso Oyj................. 757,257 26,913,175 0.4%
Nokian Renkaat Oyj........ 811,148 32,455,519 0.5%
Other Securities.......... 236,783,611 3.9%
------------ -----
TOTAL FINLAND................. 410,818,196 6.6%
------------ -----
FRANCE -- (12.0%)
Altran Technologies SA.... 1,370,725 21,158,074 0.4%
# Edenred................... 1,178,862 40,612,334 0.7%
Euronext NV............... 291,850 20,921,019 0.3%
Ingenico Group SA......... 301,300 26,355,632 0.4%
Lagardere SCA............. 768,346 21,975,546 0.4%
Orpea..................... 178,098 22,822,558 0.4%
Rexel SA.................. 1,773,993 27,499,995 0.5%
# Rubis SCA................. 579,892 45,119,200 0.7%
Teleperformance........... 159,146 25,575,132 0.4%
* Ubisoft Entertainment SA.. 328,788 31,415,035 0.5%
Other Securities.......... 537,174,059 8.6%
------------ -----
TOTAL FRANCE.................. 820,628,584 13.3%
------------ -----
GERMANY -- (14.2%)
Aareal Bank AG............ 425,534 21,284,786 0.3%
Aurubis AG................ 242,477 21,668,776 0.4%
Freenet AG................ 889,655 28,241,073 0.5%
Hugo Boss AG.............. 332,465 31,167,160 0.5%
# K+S AG.................... 1,279,181 37,569,097 0.6%
Lanxess AG................ 482,578 35,746,624 0.6%
LEG Immobilien AG......... 360,131 41,524,226 0.7%
Rheinmetall AG............ 272,395 35,596,925 0.6%
Siltronic AG.............. 142,539 22,824,292 0.4%
265
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY -- (Continued)
Other Securities..................... $693,392,516 11.1%
------------ -----
TOTAL GERMANY............................ 969,015,475 15.7%
------------ -----
IRELAND -- (1.2%)
Kingspan Group P.L.C................. 708,796 32,086,423 0.5%
Other Securities..................... 48,075,296 0.8%
------------ -----
TOTAL IRELAND............................ 80,161,719 1.3%
------------ -----
ISRAEL -- (2.1%)
Other Securities..................... 145,089,682 2.4%
------------ -----
ITALY -- (10.5%)
A2A SpA.............................. 10,221,563 20,552,947 0.3%
#* Banco BPM SpA........................ 9,509,050 34,492,565 0.6%
FinecoBank Banca Fineco SpA.......... 2,273,171 27,068,385 0.5%
Moncler SpA.......................... 473,723 21,351,584 0.4%
Prysmian SpA......................... 1,022,877 30,069,544 0.5%
# Unione di Banche Italiane SpA........ 6,849,336 35,278,999 0.6%
Other Securities..................... 547,736,548 8.7%
------------ -----
TOTAL ITALY.............................. 716,550,572 11.6%
------------ -----
NETHERLANDS -- (5.7%)
Aalberts Industries NV............... 666,015 32,792,511 0.5%
# Koninklijke Vopak NV................. 448,556 22,120,611 0.4%
Other Securities..................... 335,568,484 5.4%
------------ -----
TOTAL NETHERLANDS........................ 390,481,606 6.3%
------------ -----
NORWAY -- (2.2%)
Other Securities..................... 148,234,073 2.4%
------------ -----
PORTUGAL -- (1.1%)
* Banco Comercial Portugues SA Class R. 67,440,721 22,576,043 0.3%
Other Securities..................... 51,786,897 0.9%
------------ -----
TOTAL PORTUGAL........................... 74,362,940 1.2%
------------ -----
SPAIN -- (5.7%)
Cellnex Telecom SA................... 909,420 24,389,943 0.4%
Enagas SA............................ 1,074,890 31,242,704 0.5%
Other Securities..................... 335,547,233 5.4%
------------ -----
TOTAL SPAIN.............................. 391,179,880 6.3%
------------ -----
SWEDEN -- (6.6%)
Other Securities..................... 447,338,307 7.2%
------------ -----
SWITZERLAND -- (10.1%)
# ams AG............................... 316,689 26,119,536 0.4%
Georg Fischer AG..................... 25,509 31,709,139 0.5%
Helvetia Holding AG.................. 43,900 26,077,101 0.4%
PSP Swiss Property AG................ 253,922 23,725,683 0.4%
Temenos Group AG..................... 177,013 22,273,170 0.4%
VAT Group AG......................... 139,293 20,543,121 0.3%
Other Securities..................... 537,486,469 8.7%
------------ -----
TOTAL SWITZERLAND........................ 687,934,219 11.1%
------------ -----
266
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (0.1%)
Other Securities............... $ 5,991,571 0.1%
-------------- ------
TOTAL COMMON STOCKS.................. 6,054,731,268 98.0%
-------------- ------
PREFERRED STOCKS -- (0.7%)
GERMANY -- (0.7%)
Other Securities............... 47,892,061 0.8%
-------------- ------
TOTAL PREFERRED STOCKS............... 47,892,061 0.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
ISRAEL -- (0.0%)
Other Securities............... 8,942 0.0%
-------------- ------
NORWAY -- (0.0%)
Other Securities............... 219 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............... 27,315 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS 36,476 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......... 6,102,659,805
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (10.6%)
(S)@ DFA Short Term Investment Fund. 62,244,594 720,169,955 11.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,135,530,755)............ $6,822,829,760 110.4%
============== ======
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------------ ------- ------------
Common Stocks
Austria........ -- $188,663,585 -- $188,663,585
Belgium........ $ 7,612,207 273,703,434 -- 281,315,641
Denmark........ -- 296,965,218 -- 296,965,218
Finland........ -- 410,818,196 -- 410,818,196
France......... -- 820,628,584 -- 820,628,584
Germany........ -- 969,015,475 -- 969,015,475
Ireland........ -- 80,161,719 -- 80,161,719
Israel......... -- 145,089,682 -- 145,089,682
Italy.......... -- 716,550,572 -- 716,550,572
Netherlands.... 13,950,141 376,531,465 -- 390,481,606
Norway......... 555,976 147,678,097 -- 148,234,073
Portugal....... -- 74,362,940 -- 74,362,940
Spain.......... -- 391,179,880 -- 391,179,880
Sweden......... -- 447,338,307 -- 447,338,307
Switzerland.... -- 687,934,219 -- 687,934,219
United Kingdom. -- 5,991,571 -- 5,991,571
Preferred Stocks
Germany........ -- 47,892,061 -- 47,892,061
267
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Investments in Securities (Market Value)
-------------------------------------------------
Level 1 Level 2 Level 3 Total
----------- -------------- ------- --------------
Rights/Warrants
Israel...................... -- $ 8,942 -- $ 8,942
Norway...................... -- 219 -- 219
Spain....................... -- 27,315 -- 27,315
Securities Lending Collateral. -- 720,169,955 -- 720,169,955
----------- -------------- -- --------------
TOTAL......................... $22,118,324 $6,800,711,436 -- $6,822,829,760
=========== ============== == ==============
See accompanying Notes to Financial Statements.
268
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (86.0%)
Consumer Discretionary -- (6.4%)
# Enercare, Inc............................ 615,359 $ 8,320,131 0.7%
* Great Canadian Gaming Corp............... 343,338 9,797,815 0.8%
* Stars Group, Inc. (The).................. 292,985 9,113,923 0.8%
Other Securities......................... 60,742,551 5.1%
------------ -----
Total Consumer Discretionary................. 87,974,420 7.4%
------------ -----
Consumer Staples -- (4.2%)
Cott Corp................................ 883,470 12,633,287 1.1%
Jean Coutu Group PJC, Inc. (The) Class A. 416,076 7,968,619 0.7%
Premium Brands Holdings Corp............. 142,762 13,410,588 1.1%
Other Securities......................... 23,519,696 2.0%
------------ -----
Total Consumer Staples....................... 57,532,190 4.9%
------------ -----
Energy -- (19.4%)
Enerplus Corp............................ 1,226,018 14,227,710 1.2%
# Gibson Energy, Inc....................... 814,301 10,508,951 0.9%
* Gran Tierra Energy, Inc.................. 2,733,152 9,004,426 0.8%
#* Kelt Exploration, Ltd.................... 1,174,340 7,426,801 0.6%
* MEG Energy Corp.......................... 1,516,583 7,843,071 0.7%
Mullen Group, Ltd........................ 651,427 7,382,112 0.6%
* NuVista Energy, Ltd...................... 1,310,626 8,605,146 0.7%
* Parex Resources, Inc..................... 879,102 15,124,704 1.3%
# Parkland Fuel Corp....................... 465,525 10,808,287 0.9%
Whitecap Resources, Inc.................. 1,866,514 13,519,670 1.1%
Other Securities......................... 160,925,270 13.7%
------------ -----
Total Energy................................. 265,376,148 22.5%
------------ -----
Financials -- (7.1%)
# Canadian Western Bank.................... 601,480 15,960,453 1.3%
# Genworth MI Canada, Inc.................. 313,480 10,132,342 0.9%
# Laurentian Bank of Canada................ 268,259 10,302,466 0.9%
TMX Group, Ltd........................... 188,458 11,366,632 1.0%
Other Securities......................... 49,316,888 4.1%
------------ -----
Total Financials............................. 97,078,781 8.2%
------------ -----
Health Care -- (1.4%)
Other Securities......................... 18,685,127 1.6%
------------ -----
Industrials -- (10.4%)
# Maxar Technologies, Ltd.................. 184,215 8,335,910 0.7%
New Flyer Industries, Inc................ 240,620 11,051,335 0.9%
Russel Metals, Inc....................... 396,906 9,020,380 0.8%
Stantec, Inc............................. 356,516 9,071,520 0.8%
TFI International, Inc................... 526,553 15,243,565 1.3%
Toromont Industries, Ltd................. 213,413 9,346,324 0.8%
Transcontinental, Inc. Class A........... 431,276 9,082,677 0.8%
Other Securities......................... 71,157,866 5.9%
------------ -----
Total Industrials............................ 142,309,577 12.0%
------------ -----
269
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Information Technology -- (4.1%)
* Celestica, Inc...................... 755,063 $ 8,691,796 0.8%
* Descartes Systems Group, Inc. (The). 493,188 14,577,269 1.2%
Other Securities.................... 32,909,635 2.8%
-------------- ------
Total Information Technology.............. 56,178,700 4.8%
-------------- ------
Materials -- (24.9%)
Alamos Gold, Inc. Class A........... 2,373,124 12,827,195 1.1%
* B2Gold Corp......................... 4,734,158 13,605,704 1.2%
* Canfor Corp......................... 476,770 10,950,541 0.9%
* Centerra Gold, Inc.................. 1,552,135 9,477,581 0.8%
* Detour Gold Corp.................... 1,073,245 7,757,088 0.7%
HudBay Minerals, Inc................ 1,655,086 11,562,850 1.0%
* IAMGOLD Corp........................ 3,203,040 17,512,630 1.5%
* Interfor Corp....................... 467,908 8,749,929 0.7%
Kirkland Lake Gold, Ltd............. 798,455 13,929,975 1.2%
* New Gold, Inc....................... 3,603,151 8,446,968 0.7%
OceanaGold Corp..................... 3,704,860 9,983,890 0.8%
Pan American Silver Corp............ 1,044,715 16,843,024 1.4%
* SSR Mining, Inc..................... 735,305 7,530,870 0.6%
Stella-Jones, Inc................... 269,206 9,755,952 0.8%
# Tahoe Resources, Inc................ 1,771,325 8,925,949 0.8%
Yamana Gold, Inc.................... 3,815,269 10,964,868 0.9%
Other Securities.................... 162,556,886 13.8%
-------------- ------
Total Materials........................... 341,381,900 28.9%
-------------- ------
Real Estate -- (3.4%)
Colliers International Group, Inc... 193,437 13,138,861 1.1%
FirstService Corp................... 184,286 12,917,746 1.1%
Other Securities.................... 20,670,867 1.8%
-------------- ------
Total Real Estate......................... 46,727,474 4.0%
-------------- ------
Utilities -- (4.7%)
Capital Power Corp.................. 617,409 11,723,534 1.0%
# Superior Plus Corp.................. 849,685 8,232,471 0.7%
TransAlta Corp...................... 1,769,559 9,316,733 0.8%
Other Securities.................... 34,487,348 2.9%
-------------- ------
Total Utilities........................... 63,760,086 5.4%
-------------- ------
TOTAL COMMON STOCKS....................... 1,177,004,403 99.7%
-------------- ------
TOTAL INVESTMENT SECURITIES............... 1,177,004,403
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (14.0%)
(S)@ DFA Short Term Investment Fund...... 16,501,424 190,921,477 16.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,482,580,550)................. $1,367,925,880 115.9%
============== ======
270
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 87,967,366 $ 7,054 -- $ 87,974,420
Consumer Staples............ 57,532,190 -- -- 57,532,190
Energy...................... 265,376,139 9 -- 265,376,148
Financials.................. 97,078,781 -- -- 97,078,781
Health Care................. 18,685,127 -- -- 18,685,127
Industrials................. 142,309,577 -- -- 142,309,577
Information Technology...... 56,178,700 -- -- 56,178,700
Materials................... 341,380,158 1,742 -- 341,381,900
Real Estate................. 46,727,474 -- -- 46,727,474
Utilities................... 63,760,086 -- -- 63,760,086
Securities Lending Collateral. -- 190,921,477 -- 190,921,477
-------------- ------------ -- --------------
TOTAL......................... $1,176,995,598 $190,930,282 -- $1,367,925,880
============== ============ == ==============
See accompanying Notes to Financial Statements.
271
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (93.4%)
BRAZIL -- (5.1%)
Ambev SA ADR........................................ 5,984,451 $ 39,617,066 0.6%
* Petroleo Brasileiro SA.............................. 2,706,971 19,031,941 0.3%
Vale SA............................................. 3,260,013 45,291,394 0.7%
Vale SA Sponsored ADR............................... 1,665,739 23,053,821 0.4%
Other Securities.................................... 208,234,446 3.3%
-------------- -----
TOTAL BRAZIL............................................ 335,228,668 5.3%
-------------- -----
CHILE -- (1.4%)
Other Securities.................................... 91,983,558 1.4%
-------------- -----
CHINA -- (16.5%)
#* Alibaba Group Holding, Ltd. Sponsored ADR........... 524,851 93,706,898 1.5%
* Baidu, Inc. Sponsored ADR........................... 106,675 26,764,758 0.4%
Bank of China, Ltd. Class H......................... 38,183,181 20,727,017 0.3%
China Construction Bank Corp. Class H............... 51,616,590 54,076,560 0.9%
China Mobile, Ltd. Sponsored ADR.................... 902,501 42,832,697 0.7%
China Overseas Land & Investment, Ltd............... 5,600,000 18,763,536 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 44,476,185 39,044,799 0.6%
# Ping An Insurance Group Co. of China, Ltd. Class H.. 3,690,000 36,056,465 0.6%
Tencent Holdings, Ltd............................... 3,704,000 182,099,318 2.9%
Other Securities.................................... 569,302,297 8.8%
-------------- -----
TOTAL CHINA............................................. 1,083,374,345 17.0%
-------------- -----
COLOMBIA -- (0.4%)
Other Securities.................................... 29,163,315 0.5%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 11,320,543 0.2%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 7,867,478 0.1%
-------------- -----
GREECE -- (0.3%)
Other Securities.................................... 16,993,952 0.3%
-------------- -----
HUNGARY -- (0.5%)
Other Securities.................................... 29,526,615 0.5%
-------------- -----
INDIA -- (11.7%)
HDFC Bank, Ltd...................................... 1,383,984 40,178,293 0.6%
Hindustan Unilever, Ltd............................. 992,915 22,261,640 0.4%
Housing Development Finance Corp., Ltd.............. 1,536,141 43,194,699 0.7%
Infosys, Ltd........................................ 1,805,229 32,365,991 0.5%
ITC, Ltd............................................ 4,651,621 19,622,074 0.3%
Maruti Suzuki India, Ltd............................ 138,331 18,190,216 0.3%
Reliance Industries, Ltd............................ 3,162,713 45,461,821 0.7%
Tata Consultancy Services, Ltd...................... 702,461 37,048,009 0.6%
Other Securities.................................... 511,920,870 8.0%
-------------- -----
TOTAL INDIA............................................. 770,243,613 12.1%
-------------- -----
INDONESIA -- (2.4%)
Other Securities.................................... 155,146,804 2.4%
-------------- -----
272
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (3.0%)
Public Bank Bhd.............................. 3,656,014 $ 22,122,427 0.4%
Other Securities............................. 173,447,644 2.7%
-------------- -----
TOTAL MALAYSIA................................... 195,570,071 3.1%
-------------- -----
MEXICO -- (3.7%)
America Movil S.A.B. de C.V. Series L........ 48,207,854 44,593,821 0.7%
Grupo Mexico S.A.B. de C.V. Series B......... 6,360,255 21,057,958 0.3%
Wal-Mart de Mexico S.A.B. de C.V............. 7,198,435 20,014,844 0.3%
Other Securities............................. 159,968,651 2.5%
-------------- -----
TOTAL MEXICO..................................... 245,635,274 3.8%
-------------- -----
PERU -- (0.3%)
Credicorp, Ltd............................... 78,885 18,339,974 0.3%
Other Securities............................. 2,784,756 0.0%
-------------- -----
TOTAL PERU....................................... 21,124,730 0.3%
-------------- -----
PHILIPPINES -- (1.2%)
Other Securities............................. 81,363,316 1.3%
-------------- -----
POLAND -- (1.6%)
Other Securities............................. 103,007,068 1.6%
-------------- -----
RUSSIA -- (1.5%)
Sberbank of Russia PJSC Sponsored ADR........ 1,818,206 26,884,454 0.4%
Other Securities............................. 71,830,889 1.1%
-------------- -----
TOTAL RUSSIA..................................... 98,715,343 1.5%
-------------- -----
SOUTH AFRICA -- (8.0%)
Barclays Africa Group, Ltd................... 2,048,355 30,002,817 0.5%
FirstRand, Ltd............................... 4,821,116 25,819,616 0.4%
MTN Group, Ltd............................... 3,210,942 32,227,237 0.5%
Naspers, Ltd. Class N........................ 341,078 83,093,265 1.3%
# Sasol, Ltd. Sponsored ADR.................... 776,248 27,580,091 0.4%
Standard Bank Group, Ltd..................... 2,064,368 35,405,121 0.6%
Other Securities............................. 288,655,212 4.5%
-------------- -----
TOTAL SOUTH AFRICA............................... 522,783,359 8.2%
-------------- -----
SOUTH KOREA -- (17.4%)
#* Celltrion, Inc............................... 86,084 21,595,636 0.3%
Hana Financial Group, Inc.................... 480,370 21,344,370 0.3%
# Hyundai Motor Co............................. 144,321 21,525,156 0.3%
KB Financial Group, Inc...................... 319,263 18,138,931 0.3%
NAVER Corp................................... 37,790 25,199,972 0.4%
POSCO........................................ 70,065 24,141,643 0.4%
Samsung Electronics Co., Ltd................. 98,259 243,485,802 3.8%
Samsung Electronics Co., Ltd. GDR............ 52,509 64,281,135 1.0%
SK Hynix, Inc................................ 821,484 64,604,772 1.0%
Other Securities............................. 634,128,095 10.0%
-------------- -----
TOTAL SOUTH KOREA................................ 1,138,445,512 17.8%
-------------- -----
TAIWAN -- (14.0%)
ASE Industrial Holdings Co., Ltd............. 7,079,781 19,215,061 0.3%
Hon Hai Precision Industry Co., Ltd.......... 17,063,653 47,460,530 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd.. 23,066,808 175,707,670 2.8%
273
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR. 1,815,491 $ 69,805,629 1.1%
Other Securities........................................... 609,575,734 9.4%
-------------- ------
TOTAL TAIWAN..................................................... 921,764,624 14.4%
-------------- ------
THAILAND -- (3.0%)
PTT PCL.................................................... 16,434,000 29,420,817 0.5%
Other Securities........................................... 168,588,601 2.6%
-------------- ------
TOTAL THAILAND................................................... 198,009,418 3.1%
-------------- ------
TURKEY -- (1.1%)
Other Securities........................................... 72,770,566 1.1%
-------------- ------
TOTAL COMMON STOCKS.............................................. 6,130,038,172 96.0%
-------------- ------
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA.......................................... 2,718,984 26,831,262 0.4%
Itau Unibanco Holding SA................................... 4,057,827 59,085,909 0.9%
* Petroleo Brasileiro SA..................................... 2,860,161 18,753,682 0.3%
Other Securities........................................... 47,573,680 0.8%
-------------- ------
TOTAL BRAZIL..................................................... 152,244,533 2.4%
-------------- ------
CHILE -- (0.0%)
Other Securities........................................... 874,139 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities........................................... 5,970,079 0.1%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities........................................... 90,595 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities........................................... 280,119 0.0%
-------------- ------
TOTAL PREFERRED STOCKS........................................... 159,459,465 2.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
MALAYSIA -- (0.0%)
Other Securities........................................... 34,866 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES...................................... 6,289,532,503
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (4.2%)
(S)@ DFA Short Term Investment Fund............................. 23,593,302 272,974,500 4.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,166,657,005)........................................ $6,562,507,003 102.8%
============== ======
274
THE EMERGING MARKETS SERIES
CONTINUED
At April 30, 2018, The Emerging Markets Series had entered into the following
outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
MSCI Emerging Markets Index(R). 650 06/15/18 $39,273,725 $37,446,500 $(1,827,225)
S&P 500(R) Emini Index......... 54 06/15/18 6,989,630 7,146,900 157,270
----------- ----------- ------------
Total futures contracts........ $46,263,355 $44,593,400 $(1,669,955)
=========== =========== ============
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Brazil...................... $ 335,228,668 -- -- $ 335,228,668
Chile....................... 45,788,299 $ 46,195,259 -- 91,983,558
China....................... 270,654,834 812,719,511 -- 1,083,374,345
Colombia.................... 29,163,315 -- -- 29,163,315
Czech Republic.............. -- 11,320,543 -- 11,320,543
Egypt....................... 660,723 7,206,755 -- 7,867,478
Greece...................... -- 16,993,952 -- 16,993,952
Hungary..................... -- 29,526,615 -- 29,526,615
India....................... 30,293,727 739,949,886 -- 770,243,613
Indonesia................... 5,361,928 149,784,876 -- 155,146,804
Malaysia.................... -- 195,570,071 -- 195,570,071
Mexico...................... 245,635,274 -- -- 245,635,274
Peru........................ 21,124,730 -- -- 21,124,730
Philippines................. 1,771,538 79,591,778 -- 81,363,316
Poland...................... -- 103,007,068 -- 103,007,068
Russia...................... 7,053,643 91,661,700 -- 98,715,343
South Africa................ 55,434,585 467,348,774 -- 522,783,359
South Korea................. 29,636,122 1,108,809,390 -- 1,138,445,512
Taiwan...................... 101,175,018 820,589,606 -- 921,764,624
Thailand.................... 198,009,418 -- -- 198,009,418
Turkey...................... 638,699 72,131,867 -- 72,770,566
Preferred Stocks
Brazil...................... 152,244,533 -- -- 152,244,533
Chile....................... -- 874,139 -- 874,139
Colombia.................... 5,970,079 -- -- 5,970,079
Malaysia.................... 90,595 -- -- 90,595
South Korea................. 280,119 -- -- 280,119
Rights/Warrants
Malaysia.................... -- 34,866 -- 34,866
Securities Lending Collateral. -- 272,974,500 -- 272,974,500
Futures Contracts**........... (1,669,955) -- -- (1,669,955)
-------------- -------------- -- --------------
TOTAL......................... $1,534,545,892 $5,026,291,156 -- $6,560,837,048
============== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
275
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.0%)
BRAZIL -- (6.4%)
* B2W Cia Digital.................................... 1,578,484 $ 13,021,866 0.2%
BR Malls Participacoes SA.......................... 7,687,922 23,964,406 0.3%
EDP - Energias do Brasil SA........................ 3,335,614 13,225,530 0.2%
Equatorial Energia SA.............................. 1,951,558 39,636,147 0.5%
Estacio Participacoes SA........................... 3,387,190 30,843,618 0.4%
Iguatemi Empresa de Shopping Centers SA............ 1,216,795 12,399,972 0.2%
Localiza Rent a Car SA............................. 2,339,234 18,623,326 0.2%
Qualicorp SA....................................... 2,251,805 15,651,819 0.2%
Sul America SA..................................... 2,893,754 17,858,801 0.2%
Transmissora Alianca de Energia Eletrica SA........ 2,532,218 15,389,050 0.2%
Via Varejo SA...................................... 1,547,219 13,139,348 0.2%
Other Securities................................... 317,074,309 4.0%
-------------- -----
TOTAL BRAZIL........................................... 530,828,192 6.8%
-------------- -----
CHILE -- (1.6%)
Engie Energia Chile SA............................. 5,751,282 12,401,303 0.2%
Parque Arauco SA................................... 6,109,643 19,078,415 0.3%
Other Securities................................... 102,734,902 1.2%
-------------- -----
TOTAL CHILE............................................ 134,214,620 1.7%
-------------- -----
CHINA -- (16.2%)
China Conch Venture Holdings, Ltd.................. 5,373,000 16,680,779 0.2%
China Everbright, Ltd.............................. 6,106,000 13,436,651 0.2%
China Jinmao Holdings Group, Ltd................... 27,318,300 15,464,229 0.2%
China Medical System Holdings, Ltd................. 5,765,500 14,118,415 0.2%
# China National Building Material Co., Ltd. Class H. 29,402,450 34,350,703 0.5%
China Resources Cement Holdings, Ltd............... 17,538,000 18,398,730 0.2%
CIFI Holdings Group Co., Ltd....................... 19,426,000 15,296,956 0.2%
Huaneng Renewables Corp., Ltd. Class H............. 29,660,000 13,172,080 0.2%
Kingboard Chemical Holdings, Ltd................... 3,756,421 15,282,210 0.2%
#* Kingdee International Software Group Co., Ltd...... 15,099,200 14,657,689 0.2%
KWG Property Holding, Ltd.......................... 10,848,950 14,613,994 0.2%
Shenzhen International Holdings, Ltd............... 7,775,367 16,988,384 0.2%
# SSY Group, Ltd..................................... 13,919,152 14,064,422 0.2%
Yuexiu Property Co., Ltd........................... 54,806,284 12,330,407 0.2%
Other Securities................................... 1,110,706,437 14.0%
-------------- -----
TOTAL CHINA............................................ 1,339,562,086 17.1%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities................................... 19,138,493 0.2%
-------------- -----
GREECE -- (0.3%)
Other Securities................................... 29,630,140 0.4%
-------------- -----
HONG KONG -- (0.0%)
Other Securities................................... 660,612 0.0%
-------------- -----
HUNGARY -- (0.1%)
Other Securities................................... 7,507,336 0.1%
-------------- -----
INDIA -- (13.4%)
Biocon, Ltd........................................ 1,280,367 12,727,828 0.2%
Federal Bank, Ltd.................................. 8,667,989 12,719,189 0.2%
276
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
INDIA -- (Continued)
IIFL Holdings, Ltd.................................. 1,460,861 $ 16,736,051 0.2%
MindTree, Ltd....................................... 861,247 13,930,546 0.2%
Tata Global Beverages, Ltd.......................... 2,778,424 12,344,622 0.2%
Other Securities.................................... 1,040,894,019 13.2%
-------------- -----
TOTAL INDIA............................................. 1,109,352,255 14.2%
-------------- -----
INDONESIA -- (2.7%)
Indah Kiat Pulp & Paper Corp. Tbk PT................ 15,829,900 14,945,460 0.2%
Other Securities.................................... 206,540,754 2.6%
-------------- -----
TOTAL INDONESIA......................................... 221,486,214 2.8%
-------------- -----
MALAYSIA -- (3.1%)
Other Securities.................................... 254,515,726 3.3%
-------------- -----
MEXICO -- (2.3%)
# Alsea S.A.B. de C.V................................. 5,090,080 18,896,552 0.3%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V.. 2,460,734 12,979,936 0.2%
# Regional S.A.B. de C.V.............................. 2,045,326 13,018,659 0.2%
Other Securities.................................... 144,063,228 1.7%
-------------- -----
TOTAL MEXICO............................................ 188,958,375 2.4%
-------------- -----
PHILIPPINES -- (1.1%)
Other Securities.................................... 92,272,728 1.2%
-------------- -----
POLAND -- (1.1%)
Other Securities.................................... 89,164,781 1.1%
-------------- -----
SOUTH AFRICA -- (6.2%)
AVI, Ltd............................................ 3,142,173 28,740,982 0.4%
Barloworld, Ltd..................................... 2,208,890 29,832,763 0.4%
Clicks Group, Ltd................................... 2,253,417 38,526,490 0.5%
Foschini Group, Ltd. (The).......................... 1,107,552 19,055,950 0.3%
JSE, Ltd............................................ 831,201 13,043,960 0.2%
Pick n Pay Stores, Ltd.............................. 2,687,210 17,396,231 0.2%
SPAR Group, Ltd. (The).............................. 1,306,934 22,142,969 0.3%
Truworths International, Ltd........................ 1,797,580 14,696,255 0.2%
Other Securities.................................... 331,732,560 4.1%
-------------- -----
TOTAL SOUTH AFRICA...................................... 515,168,160 6.6%
-------------- -----
SOUTH KOREA -- (16.5%)
# Cosmax, Inc......................................... 86,687 12,656,309 0.2%
Fila Korea, Ltd..................................... 101,983 12,387,329 0.2%
Other Securities.................................... 1,342,540,647 17.1%
-------------- -----
TOTAL SOUTH KOREA....................................... 1,367,584,285 17.5%
-------------- -----
TAIWAN -- (16.0%)
* Macronix International.............................. 8,930,820 14,187,462 0.2%
Walsin Technology Corp.............................. 2,159,793 13,576,606 0.2%
Other Securities.................................... 1,295,870,244 16.5%
-------------- -----
TOTAL TAIWAN............................................ 1,323,634,312 16.9%
-------------- -----
THAILAND -- (3.3%)
Other Securities.................................... 275,864,290 3.5%
-------------- -----
277
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TURKEY -- (1.5%)
Other Securities............................... $ 127,874,059 1.6%
-------------- ------
TOTAL COMMON STOCKS.................................. 7,627,416,664 97.4%
-------------- ------
PREFERRED STOCKS -- (1.4%)
BRAZIL -- (1.3%)
Cia Energetica de Minas Gerais................. 6,467,029 15,617,454 0.2%
Usinas Siderurgicas de Minas Gerais SA Class A. 4,124,699 12,833,758 0.2%
Other Securities............................... 81,019,411 1.0%
-------------- ------
TOTAL BRAZIL......................................... 109,470,623 1.4%
-------------- ------
CHILE -- (0.0%)
Other Securities............................... 1,711,091 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities............................... 3,703,646 0.1%
-------------- ------
TOTAL PREFERRED STOCKS............................... 114,885,360 1.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities............................... 607,922 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities............................... 135,341 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities............................... 11,812 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities............................... 136,457 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................ 891,532 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......................... 7,743,193,556
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (6.6%)
(S)@ DFA Short Term Investment Fund................. 47,054,399 544,419,393 7.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,029,209,424)............................ $8,287,612,949 105.9%
============== ======
At April 30, 2018, The Emerging Markets Small Cap Series had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
MSCI Emerging Markets Index(R). 650 06/15/18 $39,381,028 $37,446,500 $(1,934,528)
S&P 500(R) Emini Index......... 107 06/15/18 14,770,707 14,161,450 (609,257)
----------- ----------- ------------
Total futures contracts........ $54,151,735 $51,607,950 $(2,543,785)
=========== =========== ============
278
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Brazil...................... $ 530,828,192 -- -- $ 530,828,192
Chile....................... 630,711 $ 133,583,909 -- 134,214,620
China....................... 64,649,621 1,274,912,465 -- 1,339,562,086
Colombia.................... 19,138,493 -- -- 19,138,493
Greece...................... -- 29,630,140 -- 29,630,140
Hong Kong................... 2,081 658,531 -- 660,612
Hungary..................... -- 7,507,336 -- 7,507,336
India....................... 825,665 1,108,526,590 -- 1,109,352,255
Indonesia................... 1,101,770 220,384,444 -- 221,486,214
Malaysia.................... -- 254,515,726 -- 254,515,726
Mexico...................... 188,930,114 28,261 -- 188,958,375
Philippines................. -- 92,272,728 -- 92,272,728
Poland...................... -- 89,164,781 -- 89,164,781
South Africa................ 7,263,561 507,904,599 -- 515,168,160
South Korea................. -- 1,367,584,285 -- 1,367,584,285
Taiwan...................... 83,171 1,323,551,141 -- 1,323,634,312
Thailand.................... 275,502,166 362,124 -- 275,864,290
Turkey...................... -- 127,874,059 -- 127,874,059
Preferred Stocks
Brazil...................... 109,470,623 -- -- 109,470,623
Chile....................... -- 1,711,091 -- 1,711,091
Colombia.................... 3,703,646 -- -- 3,703,646
Rights/Warrants
Indonesia................... -- 607,922 -- 607,922
Malaysia.................... -- 135,341 -- 135,341
Taiwan...................... -- 11,812 -- 11,812
Thailand.................... -- 136,457 -- 136,457
Securities Lending Collateral. -- 544,419,393 -- 544,419,393
Futures Contracts**........... (2,543,785) -- -- (2,543,785)
-------------- -------------- -- --------------
TOTAL......................... $1,199,586,029 $7,085,483,135 -- $8,285,069,164
============== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
279
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
The Japanese The Asia
The U.S. Large The DFA Small Pacific Small
Cap Value International Company Company
Series* Value Series* Series* Series*
-------------- ------------- ------------ -------------
ASSETS:
Investments at Value (including $1,160,315, $1,077,124,
$335,897 and $321,847 of securities on loan,
respectively).................................................... $28,598,793 $13,177,738 $4,389,572 $1,964,820
Temporary Cash Investments at Value & Cost........................ 272,827 -- -- --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $631,384, $1,087,839, $273,047 and
$204,847)........................................................ 631,407 1,087,880 273,050 204,846
Segregated Cash for Futures Contracts............................. 8,729 4,961 -- --
Foreign Currencies at Value....................................... -- 126,795 10,733 4,470
Cash.............................................................. -- 40,636 8,408 783
Receivables:
Investment Securities Sold...................................... 21,567 44,997 7,050 2,314
Dividends, Interest and Tax Reclaims............................ 30,837 77,607 36,635 3,374
Securities Lending Income....................................... 198 1,163 1,202 682
Unrealized Gain on Foreign Currency Contracts..................... -- 4 -- 7
Prepaid Expenses and Other Assets................................. 26 14 4 2
----------- ----------- ---------- ----------
Total Assets................................................. 29,564,384 14,561,795 4,726,654 2,181,298
----------- ----------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 631,403 1,087,898 273,083 204,846
Investment Securities Purchased................................. 76,946 61,664 8,698 2,880
Due to Advisor.................................................. 2,385 2,190 366 163
Futures Margin Variation........................................ 1,836 995 -- --
Unrealized Loss on Foreign Currency Contracts..................... -- 2 -- 9
Accrued Expenses and Other Liabilities............................ 1,373 1,056 504 213
----------- ----------- ---------- ----------
Total Liabilities............................................ 713,943 1,153,805 282,651 208,111
----------- ----------- ---------- ----------
NET ASSETS........................................................ $28,850,441 $13,407,990 $4,444,003 $1,973,187
=========== =========== ========== ==========
Investments at Cost............................................... $19,687,331 $10,982,277 $3,252,265 $1,855,888
=========== =========== ========== ==========
Foreign Currencies at Cost........................................ $ -- $ 129,029 $ 10,745 $ 4,548
=========== =========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
280
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
The
The United Continental The Canadian
Kingdom Small Small Small The Emerging The Emerging
Company Company Company Markets Markets Small
Series* Series* Series* Series* Cap Series*
------------- ----------- ------------ ------------ -------------
ASSETS:
Investments at Value (including $70,044,
$791,835, $186,345, $418,132 and
$1,075,660 of securities on loan,
respectively).................................. $2,408,666 $6,102,660 $1,177,004 $6,289,533 $7,743,194
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $75,072,
$720,155, $190,918, $272,961 and
$544,414)...................................... 75,074 720,170 190,921 272,974 544,419
Segregated Cash for Futures Contracts........... -- -- -- 2,003 2,311
Foreign Currencies at Value..................... 3,659 11,587 1,936 29,077 74,667
Cash............................................ 2,976 12,213 971 49,849 6,788
Receivables:
Investment Securities Sold.................... 2,748 47,319 1,938 6,795 9,076
Dividends, Interest and Tax Reclaims.......... 15,401 19,265 839 5,645 8,644
Securities Lending Income..................... 67 2,214 391 584 5,330
Unrealized Gain on Foreign Currency
Contracts...................................... -- -- -- -- 1
Prepaid Expenses and Other Assets............... 2 5 1 6 7
---------- ---------- ---------- ---------- ----------
Total Assets............................... 2,508,593 6,915,433 1,374,001 6,656,466 8,394,437
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............. 75,078 720,230 190,909 272,984 544,408
Investment Securities Purchased............... 3,832 11,356 2,549 34 17,768
Due to Advisor................................ 199 511 96 526 1,297
Futures Margin Variation...................... -- -- -- 375 439
Unrealized Loss on Foreign Currency
Contracts...................................... -- 1 -- -- 13
Accrued Expenses and Other Liabilities.......... 163 651 93 1,386 2,094
---------- ---------- ---------- ---------- ----------
Total Liabilities.......................... 79,272 732,749 193,647 275,305 566,019
---------- ---------- ---------- ---------- ----------
NET ASSETS...................................... $2,429,321 $6,182,684 $1,180,354 $6,381,161 $7,828,418
========== ========== ========== ========== ==========
Investments at Cost............................. $1,985,069 $4,415,376 $1,291,663 $3,893,696 $6,484,795
========== ========== ========== ========== ==========
Foreign Currencies at Cost...................... $ 3,663 $ 11,800 $ 1,937 $ 29,392 $ 76,186
========== ========== ========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
281
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
The Japanese The Asia
The U.S. The DFA Small Pacific Small
Large Cap International Company Company
Value Series# Value Series# Series# Series#
------------- ------------- ------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $22,518,
$4,689 and $559, respectively)........................... $ 320,493 $205,749 $ 42,243 $25,554
Non Cash Income........................................... -- 12,718 -- 6,858
Income from Securities Lending............................ 1,222 4,583 7,025 3,466
---------- -------- -------- -------
Total Investment Income................................ 321,715 223,050 49,268 35,878
---------- -------- -------- -------
Expenses
Investment Management Fees................................ 14,450 13,103 2,116 963
Accounting & Transfer Agent Fees.......................... 598 277 90 45
Custodian Fees............................................ 130 515 356 179
Directors'/Trustees' Fees & Expenses...................... 111 51 16 7
Professional Fees......................................... 175 87 27 13
Other..................................................... 285 181 57 28
---------- -------- -------- -------
Total Expenses......................................... 15,749 14,214 2,662 1,235
---------- -------- -------- -------
Fees Paid Indirectly (Note C)............................. -- (183) (17) (7)
---------- -------- -------- -------
Net Expenses.............................................. 15,749 14,031 2,645 1,228
---------- -------- -------- -------
Net Investment Income (Loss).............................. 305,966 209,019 46,623 34,650
---------- -------- -------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ 577,939 356,134 106,917 8,134
Affiliated Investment Companies Shares Sold............. (38) (139) (132) (65)
Futures................................................. 21,852 5,965 -- (70)
Foreign Currency Transactions........................... -- 1,833 (578) (136)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 121,705 77,200 96,597 28,127
Affiliated Investment Companies Shares.................. (14) 55 73 39
Futures................................................. (14,899) (4,571) -- --
Translation of Foreign Currency Denominated Amounts..... -- (1,219) (713) (18)
---------- -------- -------- -------
Net Realized and Unrealized Gain (Loss)................... 706,545 435,258 202,164 36,011
---------- -------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. $1,012,511 $644,277 $248,787 $70,661
========== ======== ======== =======
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
282
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
The United The
Kingdom Continental The Canadian The Emerging
Small Small Small The Emerging Markets
Company Company Company Markets Small Cap
Series# Series# Series# Series# Series#
---------- ----------- ------------ ------------ ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of
$43, $9,589, $1,795, $5,166 and $5,517,
respectively)................................... $ 39,151 $ 60,298 $ 10,262 $ 53,281 $ 53,398
Income from Securities Lending................... 567 8,943 2,695 2,654 28,523
-------- -------- -------- -------- --------
Total Investment Income....................... 39,718 69,241 12,957 55,935 81,921
-------- -------- -------- -------- --------
Expenses
Investment Management Fees....................... 1,176 3,031 586 3,243 7,689
Accounting & Transfer Agent Fees................. 51 130 24 139 164
Custodian Fees................................... 60 439 41 1,326 1,820
Directors'/Trustees' Fees & Expenses............. 9 23 5 26 29
Professional Fees................................ 16 39 8 57 81
Other............................................ 32 86 18 102 105
-------- -------- -------- -------- --------
Total Expenses................................ 1,344 3,748 682 4,893 9,888
-------- -------- -------- -------- --------
Fees Paid Indirectly (Note C).................... (8) (46) (6) (85) (53)
-------- -------- -------- -------- --------
Net Expenses..................................... 1,336 3,702 676 4,808 9,835
-------- -------- -------- -------- --------
Net Investment Income (Loss)..................... 38,382 65,539 12,281 51,127 72,086
-------- -------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**................... 66,080 160,869 15,485 85,707 241,330
Affiliated Investment Companies Shares
Sold.......................................... (10) (115) (18) (22) (17)
Futures........................................ -- 161 -- 2,701 4,060
Foreign Currency Transactions.................. 398 (114) 82 1,008 (77)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign
Currency...................................... 4,292 (23,983) (20,928) 132,049 144,158
Affiliated Investment Companies Shares......... -- 81 (4) 9 (30)
Futures........................................ -- -- -- (2,333) (3,676)
Translation of Foreign Currency Denominated
Amounts....................................... (318) (569) 14 (43) (79)
-------- -------- -------- -------- --------
Net Realized and Unrealized Gain (Loss).......... 70,442 136,330 (5,369) 219,076 385,669
-------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................... $108,824 $201,869 $ 6,912 $270,203 $457,755
======== ======== ======== ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
283
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International Value The Japanese Small
Series Series Company Series
------------------------ -------------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......... $ 305,966 $ 540,980 $ 209,019 $ 373,063 $ 46,623 $ 65,529
Net Realized Gain (Loss) on:
Investment Securities Sold*........ 577,939 1,415,252 356,134 133,582 106,917 174,661
Affiliated Investment Companies
Shares Sold....................... (38) (4) (139) 55 (132) 70
Futures............................ 21,852 22,013 5,965 16,570 -- --
Foreign Currency
Transactions...................... -- -- 1,833 (2,679) (578) (2,843)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.................. 121,705 3,199,777 77,200 2,126,222 96,597 616,328
Affiliated Investment Companies
Shares............................ (14) (95) 55 (73) 73 (116)
Futures............................ (14,899) 11,932 (4,571) 3,736 -- --
Translation of Foreign Currency
Denominated Amounts............... -- -- (1,219) 1,069 (713) 489
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations....................... 1,012,511 5,189,855 644,277 2,651,545 248,787 854,118
----------- ----------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions........................ 1,218,206 2,626,519 401,774 995,812 309,788 195,960
Withdrawals.......................... (1,056,822) (1,056,396) (370,211) (644,747) (103,621) (193,623)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest......... 161,384 1,570,123 31,563 351,065 206,167 2,337
----------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets....................... 1,173,895 6,759,978 675,840 3,002,610 454,954 856,455
Net Assets
Beginning of Period.................. 27,676,546 20,916,568 12,732,150 9,729,540 3,989,049 3,132,594
----------- ----------- ----------- ----------- ---------- ----------
End of Period........................ $28,850,441 $27,676,546 $13,407,990 $12,732,150 $4,444,003 $3,989,049
=========== =========== =========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
284
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific Small The United Kingdom Small The Continental Small
Company Series Company Series Company Series
---------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 34,650 $ 63,045 $ 38,382 $ 68,684 $ 65,539 $ 114,873
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 8,134 57,205 66,080 68,209 160,869 217,209
Affiliated Investment Companies
Shares Sold.......................... (65) 63 (10) 2 (115) 32
Futures............................... (70) -- -- -- 161 --
Foreign Currency Transactions......... (136) (697) 398 330 (114) 992
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 28,127 131,297 4,292 383,963 (23,983) 1,106,864
Affiliated Investment Companies
Shares............................... 39 (85) -- (8) 81 (119)
Translation of Foreign Currency
Denominated Amounts.................. (18) (7) (318) 206 (569) 303
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 70,661 250,821 108,824 521,386 201,869 1,440,154
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 162,182 110,964 33,320 158,197 332,232 303,976
Withdrawals............................. (75,361) (101,816) (42,735) (33,136) (102,476) (140,996)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 86,821 9,148 (9,415) 125,061 229,756 162,980
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 157,482 259,969 99,409 646,447 431,625 1,603,134
Net Assets
Beginning of Period..................... 1,815,705 1,555,736 2,329,912 1,683,465 5,751,059 4,147,925
---------- ---------- ---------- ---------- ---------- ----------
End of Period........................... $1,973,187 $1,815,705 $2,429,321 $2,329,912 $6,182,684 $5,751,059
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
285
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Canadian Small The Emerging Markets The Emerging Markets
Company Series Series Small Cap Series
---------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 12,281 $ 24,738 $ 51,127 $ 128,502 $ 72,086 $ 176,036
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 15,485 (39,064) 85,707 (7,795) 241,330 173,946
Affiliated Investment Companies
Shares Sold.......................... (18) 21 (22) (8) (17) 23
Futures............................... -- -- 2,701 8,355 4,060 9,284
Foreign Currency Transactions......... 82 (26) 1,008 (35) (77) 79
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (20,928) 137,860 132,049 1,213,036 144,158 923,325
Affiliated Investment Companies
Shares............................... (4) (28) 9 (19) (30) (73)
Futures............................... -- -- (2,333) 929 (3,676) 843
Translation of Foreign Currency
Denominated Amounts.................. 14 (7) (43) (69) (79) (193)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 6,912 123,494 270,203 1,342,896 457,755 1,283,270
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 17,823 269,073 299,372 738,457 351,521 959,649
Withdrawals............................. (34,603) (135,609) (911,621) (355,877) (234,315) (505,109)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ (16,780) 133,464 (612,249) 382,580 117,206 454,540
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. (9,868) 256,958 (342,046) 1,725,476 574,961 1,737,810
Net Assets
Beginning of Period..................... 1,190,222 933,264 6,723,207 4,997,731 7,253,457 5,515,647
---------- ---------- ---------- ---------- ---------- ----------
End of Period........................... $1,180,354 $1,190,222 $6,381,161 $6,723,207 $7,828,418 $7,253,457
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
286
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series
----------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------------
(Unaudited)
---------------------------------------------------------------------------------------------------------------------------------
Total Return............................................. 3.67%(D) 24.31% 4.75% 1.32% 15.67%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................... $28,850,441 $27,676,546 $20,916,568 $19,094,057 $18,376,682
Ratio of Expenses to Average Net Assets.................. 0.11%(E) 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets..... 2.12%(E) 2.19% 2.39% 2.20% 1.90%
Portfolio Turnover Rate.................................. 6%(D) 15% 15% 16% 15%
---------------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series
----------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------------
(Unaudited)
---------------------------------------------------------------------------------------------------------------------------------
Total Return............................................. 5.08%(D) 26.53% (0.10)% (5.35)% (0.72)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................... $13,407,990 $12,732,150 $ 9,729,540 $ 9,227,905 $ 9,343,666
Ratio of Expenses to Average Net Assets.................. 0.21%(E) 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding (Fees
Paid Indirectly))....................................... 0.22%(E) 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets..... 3.19%(E) 3.33% 3.72% 3.31% 4.50%
Portfolio Turnover Rate.................................. 10%(D) 17% 17% 21% 17%
---------------------------------------------------------------------------------------------------------------------------------
-------------
Year
Ended
Oct. 31,
2013
------------
----------------------------------------------------------------------
Total Return............................................. 35.68%
----------------------------------------------------------------------
Net Assets, End of Period (thousands).................... $14,838,988
Ratio of Expenses to Average Net Assets.................. 0.11%
Ratio of Net Investment Income to Average Net Assets..... 1.98%
Portfolio Turnover Rate.................................. 15%
----------------------------------------------------------------------
-------------
Year
Ended
Oct. 31,
2013
------------
----------------------------------------------------------------------
Total Return............................................. 28.18%
----------------------------------------------------------------------
Net Assets, End of Period (thousands).................... $ 8,792,130
Ratio of Expenses to Average Net Assets.................. 0.22%
Ratio of Expenses to Average Net Assets (Excluding (Fees
Paid Indirectly))....................................... 0.22%
Ratio of Net Investment Income to Average Net Assets..... 3.20%
Portfolio Turnover Rate.................................. 15%
----------------------------------------------------------------------
See accompanying Notes to Financial Statements.
287
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Japanese Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 6.25%(D) 27.10% 14.53% 9.04% 2.46%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $4,444,003 $3,989,049 $3,132,594 $2,631,688 $2,505,409
Ratio of Expenses to Average Net Assets....................... 0.13%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.13%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets.......... 2.20%(E) 1.90% 1.99% 1.69% 1.71%
Portfolio Turnover Rate....................................... 6%(D) 13% 10% 6% 9%
--------------------------------------------------------------------------------------------------------------------------------
The Asia Pacific Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 3.97%(D) 16.21% 16.69% (11.83)% (3.46)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $1,973,187 $1,815,705 $1,555,736 $1,228,274 $1,453,786
Ratio of Expenses to Average Net Assets....................... 0.13%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.13%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets.......... 3.60%(E) 3.82% 4.00% 4.17% 3.96%
Portfolio Turnover Rate....................................... 8%(D) 14% 10% 7% 7%
--------------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 30.62%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $2,281,624
Ratio of Expenses to Average Net Assets....................... 0.14%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.14%
Ratio of Net Investment Income to Average Net Assets.......... 1.87%
Portfolio Turnover Rate....................................... 16%
--------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 10.97%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $1,265,498
Ratio of Expenses to Average Net Assets....................... 0.15%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.15%
Ratio of Net Investment Income to Average Net Assets.......... 4.64%
Portfolio Turnover Rate....................................... 9%
--------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
288
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 4.68%(D) 29.87% (15.82)% 9.95% 1.22%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $2,429,321 $2,329,912 $1,683,465 $2,084,113 $1,995,898
Ratio of Expenses to Average Net Assets....................... 0.11%(E) 0.12% 0.12% 0.11% 0.11%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.11%(E) 0.12% 0.12% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets.......... 3.26%(E) 3.40% 4.36% 3.44% 2.98%
Portfolio Turnover Rate....................................... 6%(D) 9% 15% 10% 8%
--------------------------------------------------------------------------------------------------------------------------------
The Continental Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 3.51%(D) 34.27% 6.10% 9.81% (2.25)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $6,182,684 $5,751,085 $4,147,925 $3,653,743 $3,152,277
Ratio of Expenses to Average Net Assets....................... 0.12%(E) 0.12% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.12%(E) 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets.......... 2.16%(E) 2.33% 2.49% 2.44% 2.40%
Portfolio Turnover Rate....................................... 6%(D) 13% 9% 14% 13%
--------------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 37.42%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $1,988,287
Ratio of Expenses to Average Net Assets....................... 0.12%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.12%
Ratio of Net Investment Income to Average Net Assets.......... 3.29%
Portfolio Turnover Rate....................................... 17%
--------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 43.67%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $3,217,766
Ratio of Expenses to Average Net Assets....................... 0.14%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.14%
Ratio of Net Investment Income to Average Net Assets.......... 2.67%
Portfolio Turnover Rate....................................... 13%
--------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
289
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Canadian Small Company Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 0.45%(D) 12.10% 20.77% (25.00)% (3.83)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $1,180,354 $1,190,222 $ 933,264 $ 623,132 $ 849,429
Ratio of Expenses to Average Net Assets....................... 0.12%(E) 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.12%(E) 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets.......... 2.09%(E) 2.14% 2.52% 2.73% 2.42%
Portfolio Turnover Rate....................................... 9%(D) 22% 8% 18% 5%
--------------------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
-----------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 4.42%(D) 25.26% 11.44% (14.86)% 1.74%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $6,381,161 $6,723,207 $4,997,731 $4,403,555 $4,185,451
Ratio of Expenses to Average Net Assets....................... 0.15%(E) 0.15% 0.15% 0.16% 0.15%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.15%(E) 0.15% 0.15% 0.16% 0.15%
Ratio of Net Investment Income to Average Net Assets.......... 1.58%(E) 2.23% 2.45% 2.39% 2.51%
Portfolio Turnover Rate....................................... 5%(D) 8% 5% 9% 5%
--------------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 5.71%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $ 741,204
Ratio of Expenses to Average Net Assets....................... 0.13%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.13%
Ratio of Net Investment Income to Average Net Assets.......... 2.99%
Portfolio Turnover Rate....................................... 14%
--------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 6.99%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $3,766,160
Ratio of Expenses to Average Net Assets....................... 0.16%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.16%
Ratio of Net Investment Income to Average Net Assets.......... 2.38%
Portfolio Turnover Rate....................................... 4%
--------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
290
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series
---------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014
----------------------------------------------------------------
(Unaudited)
-------------------------------------------------------------------------------------------------------------------------------
Total Return.................................................. 6.27%(D) 21.55% 14.45% (9.42)% 5.60%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $7,828,418 $7,253,457 $5,515,647 $4,898,307 $4,921,438
Ratio of Expenses to Average Net Assets....................... 0.26%(E) 0.27% 0.26% 0.26% 0.26%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.26%(E) 0.27% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to Average Net Assets.......... 1.88%(E) 2.78% 2.89% 2.62% 2.48%
Portfolio Turnover Rate....................................... 7%(D) 15% 18% 18% 9%
-------------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2013
-----------
--------------------------------------------------------------------------
Total Return.................................................. 9.41%
--------------------------------------------------------------------------
Net Assets, End of Period (thousands)......................... $4,091,523
Ratio of Expenses to Average Net Assets....................... 0.29%
Ratio of Expenses to Average Net Assets (Excluding (Fees Paid
Indirectly))................................................. 0.29%
Ratio of Net Investment Income to Average Net Assets.......... 2.37%
Portfolio Turnover Rate....................................... 11%
--------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
291
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports. The Series are investment
companies, and accordingly, follow the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
Domestic Equity Portfolio International Equity Portfolios
------------------------- -------------------------------
The U.S. Large Cap Value Series The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Domestic Equity Portfolio and the International
Equity Portfolios, including over-the-counter securities, are valued at the
last quoted sale price of the day. International equity securities are subject
to a fair value factor, as described later in this note. Securities held by the
Domestic Equity Portfolio and the International Equity Portfolios that are
listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If
there is no last reported sale price or NOCP for the day, the Domestic Equity
Portfolio and the International Equity Portfolios value the securities within
the range of the most recent quoted bid and ask prices. Price information on
listed securities is taken from the exchange where the security is primarily
traded. Generally, securities issued by open-end management investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
292
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Domestic Equity Portfolio and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Trustees of
the International Equity Portfolios has determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Equity Portfolios utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). When an
International Equity Portfolio uses fair value pricing, the values assigned to
the International Equity Portfolio's foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Equity Portfolios, whose values are initially
expressed in foreign currencies are translated to U.S. dollars using the mean
between the most recent bid and ask prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked-to-market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign currency rates when determining the realized gain or
loss upon the sale or maturity of foreign currency denominated debt obligations
pursuant to U.S. Federal income tax regulations; such amounts are categorized
as foreign exchange gain or loss for income tax reporting purposes.
293
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2018, none of the Trustees have requested
or received a distribution of proceeds of a deferred fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Series estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to a
Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board of Trustees, generally based on
average net assets.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The Series accrue such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
The Emerging Markets Series and The Emerging Markets Small Cap Series are
subject to a 15% tax on short-term capital gains for investments in India. Such
taxes are due upon sale of individual securities. The capital gains taxes are
recognized when the capital gains are earned.
294
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2018, the Series'
investment management fees were accrued daily and paid monthly to the Advisor
based on the following effective annual rates of average daily net assets:
The U.S. Large Cap Value Series......... 0.10%
The DFA International Value Series...... 0.20%
The Japanese Small Company Series....... 0.10%
The Asia Pacific Small Company Series... 0.10%
The United Kingdom Small Company Series. 0.10%
The Continental Small Company Series.... 0.10%
The Canadian Small Company Series....... 0.10%
The Emerging Markets Series............. 0.10%
The Emerging Markets Small Cap Series... 0.20%
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of each Series' net assets.
During the six months ended April 30, 2018, expenses reduced were as follows
(amounts in thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series...... $183
The Japanese Small Company Series....... 17
The Asia Pacific Small Company Series... 7
The United Kingdom Small Company Series. 8
The Continental Small Company Series.... 46
The Canadian Small Company Series....... 6
The Emerging Markets Series............. 85
The Emerging Markets Small Cap Series... 53
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2018, the total related amounts paid by the
Trust to the CCO were $43 (in thousands). The total related amounts paid by
each of the Series are included in Other Expenses on the Statement of
Operations.
D. Deferred Compensation:
At April 30, 2018, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities on the Statement of
Assets and Liabilities as follows (amounts in thousands):
The U.S. Large Cap Value Series......... $652
The DFA International Value Series...... 392
The Japanese Small Company Series....... 99
The Asia Pacific Small Company Series... 50
The United Kingdom Small Company Series. 64
The Continental Small Company Series.... 129
The Canadian Small Company Series....... 31
295
The Emerging Markets Series........... $161
The Emerging Markets Small Cap Series. 144
E. Purchases and Sales of Securities:
For the six months ended April 30, 2018, the Series' transactions related to
investment securities, other than short-term securities, in-kind redemptions
and U.S. government securities (amounts in thousands), were as follows:
Purchases Sales
---------- ----------
The U.S. Large Cap Value Series......... $2,176,121 $1,607,330
The DFA International Value Series...... 1,499,991 1,347,535
The Japanese Small Company Series....... 502,519 261,864
The Asia Pacific Small Company Series... 268,467 147,506
The United Kingdom Small Company Series. 187,781 147,491
The Continental Small Company Series.... 595,328 343,964
The Canadian Small Company Series....... 117,488 104,770
The Emerging Markets Series............. 342,805 893,878
The Emerging Markets Small Cap Series... 726,676 547,606
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
The U.S. Large Cap
Value Series
DFA Short Term
Investment Fund...... $522,421 $2,517,135 $2,408,097 $ (38) $(14) $ 631,407 54,572 $4,585
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $522,421 $2,517,135 $2,408,097 $ (38) $(14) $ 631,407 54,572 $4,585
The DFA International
Value Series
DFA Short Term
Investment Fund...... $593,861 $3,705,546 $3,211,443 $(139) $ 55 $1,087,880 94,026 $6,824
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $593,861 $3,705,546 $3,211,443 $(139) $ 55 $1,087,880 94,026 $6,824
The Japanese Small
Company Series
DFA Short Term
Investment Fund...... $399,385 $ 709,510 $ 835,786 $(132) $ 73 $ 273,050 23,600 $3,136
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $399,385 $ 709,510 $ 835,786 $(132) $ 73 $ 273,050 23,600 $3,136
The Asia Pacific
Small Company
Series
DFA Short Term
Investment Fund...... $257,951 $ 272,557 $ 325,636 $ (65) $ 39 $ 204,846 17,705 $1,773
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $257,951 $ 272,557 $ 325,636 $ (65) $ 39 $ 204,846 17,705 $1,773
The United Kingdom
Small Company
Series
DFA Short Term
Investment Fund...... $ 53,700 $ 258,299 $ 236,915 $ (10) $ -- $ 75,074 6,489 $ 554
-------- ---------- ---------- ----- ---- ---------- ------ ------
Total................. $ 53,700 $ 258,299 $ 236,915 $ (10) $ -- $ 75,074 6,489 $ 554
Capital Gain
Distributions
from
Affiliated
Investment
Companies
-------------
The U.S. Large Cap
Value Series
DFA Short Term
Investment Fund...... --
--
Total................. --
The DFA International
Value Series
DFA Short Term
Investment Fund...... --
--
Total................. --
The Japanese Small
Company Series
DFA Short Term
Investment Fund...... --
--
Total................. --
The Asia Pacific
Small Company
Series
DFA Short Term
Investment Fund...... --
--
Total................. --
The United Kingdom
Small Company
Series
DFA Short Term
Investment Fund...... --
--
Total................. --
296
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
The Continental Small
Company Series
DFA Short Term
Investment Fund...... $470,885 $1,106,444 $857,125 $(115) $ 81 $720,170 62,245 $4,176
-------- ---------- -------- ----- ---- -------- ------ ------
Total................. $470,885 $1,106,444 $857,125 $(115) $ 81 $720,170 62,245 $4,176
The Canadian Small
Company Series
DFA Short Term
Investment Fund...... $212,919 $ 401,106 $423,082 $ (18) $ (4) $190,921 16,501 $1,512
-------- ---------- -------- ----- ---- -------- ------ ------
Total................. $212,919 $ 401,106 $423,082 $ (18) $ (4) $190,921 16,501 $1,512
The Emerging Markets
Series
DFA Short Term
Investment Fund...... $202,669 $ 936,105 $865,787 $ (22) $ 9 $272,974 23,593 $1,948
-------- ---------- -------- ----- ---- -------- ------ ------
Total................. $202,669 $ 936,105 $865,787 $ (22) $ 9 $272,974 23,593 $1,948
The Emerging Markets
Small Cap Series
DFA Short Term
Investment Fund...... $584,551 $ 439,190 $479,275 $ (17) $(30) $544,419 47,054 $4,264
-------- ---------- -------- ----- ---- -------- ------ ------
Total................. $584,551 $ 439,190 $479,275 $ (17) $(30) $544,419 47,054 $4,264
Capital Gain
Distributions
from
Affiliated
Investment
Companies
-------------
The Continental Small
Company Series
DFA Short Term
Investment Fund...... --
--
Total................. --
The Canadian Small
Company Series
DFA Short Term
Investment Fund...... --
--
Total................. --
The Emerging Markets
Series
DFA Short Term
Investment Fund...... --
--
Total................. --
The Emerging Markets
Small Cap Series
DFA Short Term
Investment Fund...... --
--
Total................. --
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
The U.S. Large Cap Value Series......... $20,772,833 $9,324,903 $(601,549) $8,723,354
The DFA International Value Series...... 12,176,736 2,525,492 (438,297) 2,087,195
The Japanese Small Company Series....... 3,525,313 1,333,694 (196,385) 1,137,309
The Asia Pacific Small Company Series... 2,060,735 462,783 (353,852) 108,931
The United Kingdom Small Company Series. 2,060,141 664,558 (240,959) 423,599
The Continental Small Company Series.... 5,135,531 2,112,853 (425,554) 1,687,299
The Canadian Small Company Series....... 1,482,581 201,987 (316,642) (114,655)
The Emerging Markets Series............. 4,229,544 2,569,546 (238,253) 2,331,293
The Emerging Markets Small Cap Series... 7,079,407 2,098,490 (892,828) 1,205,662
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in any Series'
297
financial statements. The Series are not aware of any tax positions for which
it is more likely than not that the total amounts of unrecognized tax benefits
will significantly change in the next twelve months. The Series' federal tax
returns for the prior three fiscal years remain subject to examination by the
Internal Revenue Service.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Series.
2. Futures Contracts: The Series listed below may purchase or sell futures
contracts and options on futures contracts for equity securities and indices to
adjust market exposure based on actual or expected cash inflows to or outflows
from the Series. The Series, however, do not intend to sell futures contracts
to establish short positions in individual securities. Upon entering into a
futures contract, the Series deposit cash or pledge U.S. government securities
to a broker, equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and
are recorded daily by the Series as unrealized gains or losses until the
contracts are closed. When the contracts are closed, the Series record a
realized gain or loss, which is presented in the Statements of Operations as a
net realized gain or loss on futures, equal to the difference between the value
of the contract at the time it was opened and the value at the time it was
closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
3. Forward Currency Contracts: The International Equity Series may acquire
and sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk) or to transfer balances from one currency to another currency.
The decision to hedge a Series' currency exposure with respect to a foreign
market will be based primarily on the Series' existing exposure to a given
foreign currency. Each contract is valued daily and the change in value is
recorded by the Series as an unrealized gain or loss, which is presented in the
Statement of Operations as the change in unrealized appreciation or
depreciation from translation of foreign-currency-denominated amounts. When the
contract is closed or offset with the same counterparty, the Series records a
realized gain or loss equal to the change in the value of the contract when it
was opened and the value at the time it was closed or offset. This is presented
in the Statement of Operations as a net realized gain or loss on foreign
currency transactions. At April 30, 2018, the Series had no outstanding forward
currency contracts.
298
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amounts in
thousands):
Futures
-------
The U.S. Large Cap Value Series....... 197,143
The DFA International Value Series.... 105,057
The Asia Pacific Small Company Series. 1,169
The Emerging Markets Series........... 47,171
The Emerging Markets Small Cap Series. 49,079
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of April 30, 2018:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Equity contracts......... Receivables: Futures Payables: Futures Margin
Margin Variation Variation
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
Asset Derivatives Value
--------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
The DFA International Value Series.... $ 6 $ 6
The Emerging Markets Series........... 157 157
Liability Derivatives Value
--------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
The U.S. Large Cap Value Series....... $(6,839) $(6,839)
The DFA International Value Series.... (1,694) (1,694)
The Emerging Markets Series........... (1,827) (1,827)
The Emerging Markets Small Cap Series. (2,544) (2,544)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2018:
Location of Gain (Loss)
Derivative Type on Derivatives
--------------- ------------------------
Equity contracts Net Realized Gain (Loss)
on: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2018 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives
--------------------
Equity
Total Contracts
------- ---------
The U.S. Large Cap Value Series....... $21,852 $21,852
The DFA International Value Series.... 5,965 5,965
The Asia Pacific Small Company Series. (70) (70)*
The Continental Small Company Series.. 161 161*
The Emerging Markets Series........... 2,701 2,701
The Emerging Markets Small Cap Series. 4,060 4,060
299
Change in Unrealized
Appreciation (Depreciation)
on Derivatives
--------------------------
Equity
Total Contracts
-------- ---------
The U.S. Large Cap Value Series....... $(14,899) $(14,899)
The DFA International Value Series.... (4,571) (4,571)
The Emerging Markets Series........... (2,333) (2,333)
The Emerging Markets Small Cap Series. (3,676) (3,676)
* As of April 30, 2018, there were no futures contracts outstanding. During the
six months ended April 30, 2018, the Series had limited activity in futures
contracts.
H. Line of Credit and Interfund Lending Program:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 4, 2019.
For the six months ended April 30, 2018, borrowings by the Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred The Period
------------- ------------ ------------ -------- ---------------
The Japanese Small Company Series. 1.95% $ 2,738 6 $ 1 $ 4,310
The Asia Pacific Small Company
Series.......................... 2.13% 2,039 12 1 8,338
The United Kingdom Small Company
Series.......................... 2.17% 2,955 1 -- 2,955
The Canadian Small Company Series. 2.17% 103 3 -- 225
The Emerging Markets Series....... 2.01% 24,676 8 11 117,083
The Emerging Markets Small Cap
Series.......................... 1.99% 2,946 6 1 5,012
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order''), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be
300
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. lnterfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Series did not utilize the interfund lending program during the six
months ended April 30, 2018.
I. Affiliated Trades:
Cross trades for the six months ended April 30, 2018, if any, were executed by
the Series pursuant to procedures adopted by the Board of Trustees of the Trust
to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940
(the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common trustees and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the six months ended April 30, 2018, cross trades by the Series under
Rule 17a-7 were as follows (amounts in thousands):
Portfolio Purchases Sales Realized Gain (Loss)
--------- --------- ------- --------------------
The U.S. Large Cap Value Series....... $217,124 $63,445 $(6,312)
The DFA International Value Series.... 65,940 42,328 8,941
The Japanese Small Company Series..... 57,689 6,013 2,585
The Asia Pacific Small Company Series. 25,214 27,668 6,599
The Continental Small Company Series.. 35,178 12,904 5,559
The Canadian Small Company Series..... 21,416 5,453 606
The Emerging Markets Series........... 3,611 2,284 73
The Emerging Markets Small Cap Series. 11,171 3,655 1,954
J. Securities Lending:
As of April 30, 2018, each Series had securities on loan to brokers/dealers,
for which each such Series received cash collateral. The non-cash collateral
includes short-and/or long-term U.S. Treasuries and U.S. government agency
securities as follows (amounts in thousands):
Market
Value
--------
The U.S. Large Cap Value Series....... $563,472
The DFA International Value Series.... 46,750
The Japanese Small Company Series..... 81,683
The Asia Pacific Small Company Series. 146,034
The Continental Small Company Series.. 118,443
The Canadian Small Company Series..... 7,225
The Emerging Markets Series........... 165,940
The Emerging Markets Small Cap Series. 603,672
Each Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be
301
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities. In the event of the bankruptcy of the borrower, a Series could
experience delay in recovering the loaned securities or only recover cash or a
security of equivalent value.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Income received from the Money Market Series is netted with fees for
securities lending and collateral investment expenses, and other payments to
and from borrowers of securities. Such Series also may invest the cash
collateral received for the loaned securities in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies, and affiliated and unaffiliated
registered and unregistered money market funds. For purposes of this paragraph,
agencies include both agency debentures and agency mortgage-backed securities.
In addition, each Series will be able to terminate the loan at any time and
will receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible to be taxed
at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
------------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
-------------- -------- ------------ -------- --------------
Securities Lending Transactions
The U.S. Large Cap Value Series
Common Stocks................... $ 631,406,902 -- -- -- $ 631,406,902
The DFA International Value
Series
Common Stocks................... 1,087,880,349 -- -- -- 1,087,880,349
The Japanese Small Company
Series
Common Stocks................... 273,050,068 -- -- -- 273,050,068
The Asia Pacific Small Company
Series
Common Stocks................... 204,845,502 -- -- -- 204,845,502
The United Kingdom Small
Company Series
Common Stocks................... 75,073,955 -- -- -- 75,073,955
The Continental Small Company
Series
Common Stocks, Preferred
Stocks, Rights/Warrants....... 720,169,955 -- -- -- 720,169,955
The Canadian Small Company
Series
Common Stocks................... 190,921,477 -- -- -- 190,921,477
The Emerging Markets Series
Common Stocks................... 272,974,500 -- -- -- 272,974,500
302
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
---------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
------------- -------- ------------ -------- ------------
The Emerging Markets Small Cap
Series
Common Stocks.................. $544,419,393 -- -- -- $544,419,393
K. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. Recently Issued Accounting Standards:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
M. Other:
The Series and the Trust are subject to claims and suits that arise from
time to time in the ordinary course of business. Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee (the "Trustee") on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent
transfers and recover the stock repurchase proceeds paid to the Tribune
shareholders who participated in the LBO. On September 23, 2013, the Court
entered an order dismissing the Individual Creditor Actions in their entirety
on the grounds that the individual creditor plaintiffs lack standing to pursue
their claims. The parties appealed the Court's dismissal order to the United
States Court of Appeals for the Second Circuit (the "Second Circuit"), and, on
March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the
grounds that the individual creditor plaintiffs' claims are preempted by the
Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs have petitioned the Supreme Court of the United States (the
"Supreme Court") to review the Second Circuit's ruling, and that petition is
pending. Additionally, the individual creditor plaintiffs have moved the Second
Circuit to review its prior ruling in light of a recent decision by the Supreme
Court (in an unrelated case) regarding the scope of the Bankruptcy Code's safe
harbor for securities transactions; such review is pending.
On January 6, 2017, the Court granted the shareholder defendants' motion to
dismiss the claims against them in the Committee Action. The Trustee requested
that the Court certify the dismissal order for appeal to the Second
303
Circuit, and the District Court advised that it will certify the dismissal
order for appeal after it rules on the additional pending motions to dismiss
(not involving the shareholder defendants). Additionally, the Trustee has
requested leave from the District Court to file an amended complaint to assert
new claims against the shareholder defendants in light of the recent Supreme
Court decision addressing the scope of the Bankruptcy Code's safe harbor for
securities transactions; that request is pending.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The U.S. Large Cap Value
Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses incurred by The U.S. Large Cap Value
Series.
N. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
304
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2018
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/17 04/30/18 Ratio* Period*
--------- --------- ---------- --------
Dimensional Emerging Markets Value Fund
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,071.60 0.15% $0.77
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
305
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on March 29, 2018. They are available upon
request, without charge, by calling collect: (512) 306-7400 or by mailing a
request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One,
Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or
they may be reviewed and copied at the SEC's Public Reference Room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
Public Reference Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories shown below represent broad industry sectors. Each industry
sector consists of one or more specific industry classifications.
Dimensional Emerging Markets Value Fund
Consumer Discretionary....................... 8.4%
Consumer Staples............................. 3.2%
Energy....................................... 14.9%
Financials................................... 28.6%
Health Care.................................. 0.6%
Industrials.................................. 9.4%
Information Technology....................... 7.9%
Materials.................................... 18.1%
Real Estate.................................. 4.1%
Telecommunication Services................... 3.3%
Utilities.................................... 1.5%
-----
100.0%
306
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2018
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.2%)
BRAZIL -- (6.8%)
#* Petroleo Brasileiro SA Sponsored ADR................ 14,614,044 $ 205,911,880 1.0%
Vale SA............................................. 25,779,178 358,150,437 1.8%
Vale SA Sponsored ADR............................... 20,975,325 290,298,496 1.4%
Other Securities.................................... 553,050,789 2.8%
-------------- -----
TOTAL BRAZIL............................................ 1,407,411,602 7.0%
-------------- -----
CHILE -- (1.7%)
Other Securities.................................... 345,989,652 1.7%
-------------- -----
CHINA -- (17.1%)
Bank of China, Ltd. Class H......................... 398,265,817 216,191,056 1.1%
China Construction Bank Corp. Class H............... 446,135,101 467,397,237 2.3%
China Mobile, Ltd................................... 15,402,000 146,726,990 0.7%
China Overseas Land & Investment, Ltd............... 28,630,000 95,928,580 0.5%
China Petroleum & Chemical Corp. ADR................ 1,159,521 113,099,659 0.6%
China Petroleum & Chemical Corp. Class H............ 113,421,575 110,456,601 0.6%
China Resources Land, Ltd........................... 22,442,000 84,285,980 0.4%
#* China Unicom Hong Kong, Ltd. ADR.................... 6,768,426 94,961,017 0.5%
CNOOC, Ltd.......................................... 94,498,000 159,863,492 0.8%
Industrial & Commercial Bank of China, Ltd. Class H. 506,891,996 444,990,871 2.2%
PetroChina Co., Ltd. Class H........................ 147,646,000 108,795,781 0.6%
Other Securities.................................... 1,515,164,913 7.4%
-------------- -----
TOTAL CHINA............................................. 3,557,862,177 17.7%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities.................................... 40,350,803 0.2%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 40,665,071 0.2%
-------------- -----
GREECE -- (0.0%)
Other Securities.................................... 5,349,240 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 65,561 0.0%
-------------- -----
HUNGARY -- (0.3%)
Other Securities.................................... 63,731,408 0.3%
-------------- -----
INDIA -- (11.4%)
Axis Bank, Ltd...................................... 11,051,055 85,472,655 0.4%
Bharti Airtel, Ltd.................................. 13,689,037 83,764,411 0.4%
ICICI Bank, Ltd. Sponsored ADR...................... 10,946,768 93,156,995 0.5%
Larsen & Toubro, Ltd................................ 4,214,051 88,344,821 0.5%
Reliance Industries, Ltd............................ 34,030,289 489,161,967 2.4%
Vedanta, Ltd........................................ 19,014,264 84,414,582 0.4%
Other Securities.................................... 1,434,506,606 7.1%
-------------- -----
TOTAL INDIA............................................. 2,358,822,037 11.7%
-------------- -----
INDONESIA -- (2.4%)
Other Securities.................................... 502,750,632 2.5%
-------------- -----
MALAYSIA -- (2.8%)
Other Securities.................................... 583,316,226 2.9%
-------------- -----
307
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MEXICO -- (3.5%)
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 1,097,422 $ 106,076,810 0.5%
# Grupo Financiero Banorte S.A.B. de C.V.............. 18,991,148 118,767,978 0.6%
Grupo Mexico S.A.B. de C.V. Series B................ 39,241,344 129,922,871 0.7%
Other Securities.................................... 372,976,815 1.8%
-------------- -----
TOTAL MEXICO............................................ 727,744,474 3.6%
-------------- -----
PHILIPPINES -- (0.9%)
Other Securities.................................... 189,658,929 0.9%
-------------- -----
POLAND -- (1.3%)
Other Securities.................................... 269,523,084 1.3%
-------------- -----
RUSSIA -- (1.8%)
Gazprom PJSC Sponsored ADR.......................... 28,411,094 131,102,709 0.7%
Lukoil PJSC Sponsored ADR(BYZDW2900)................ 1,526,223 101,731,481 0.5%
Lukoil PJSC Sponsored ADR(BYZF386).................. 1,600,191 105,436,585 0.5%
Other Securities.................................... 36,120,727 0.2%
-------------- -----
TOTAL RUSSIA............................................ 374,391,502 1.9%
-------------- -----
SOUTH AFRICA -- (7.0%)
Barclays Africa Group, Ltd.......................... 7,309,742 107,067,795 0.5%
# MTN Group, Ltd...................................... 18,433,110 185,007,454 0.9%
Sasol, Ltd.......................................... 3,950,582 141,222,873 0.7%
Standard Bank Group, Ltd............................ 17,066,487 292,700,255 1.5%
Other Securities.................................... 729,030,620 3.6%
-------------- -----
TOTAL SOUTH AFRICA...................................... 1,455,028,997 7.2%
-------------- -----
SOUTH KOREA -- (17.3%)
Hana Financial Group, Inc........................... 3,234,305 143,710,459 0.7%
Hyundai Mobis Co., Ltd.............................. 619,429 143,449,561 0.7%
Hyundai Motor Co.................................... 1,477,708 220,396,859 1.1%
# KB Financial Group, Inc. ADR........................ 2,869,877 161,861,062 0.8%
LG Electronics, Inc................................. 1,598,413 151,559,589 0.8%
POSCO............................................... 622,870 214,616,504 1.1%
POSCO Sponsored ADR................................. 1,500,406 127,309,449 0.7%
Shinhan Financial Group Co., Ltd.................... 3,787,146 168,628,970 0.9%
SK Innovation Co., Ltd.............................. 879,496 161,164,347 0.8%
Other Securities.................................... 2,102,719,099 10.3%
-------------- -----
TOTAL SOUTH KOREA....................................... 3,595,415,899 17.9%
-------------- -----
TAIWAN -- (15.2%)
Cathay Financial Holding Co., Ltd................... 59,491,000 106,712,274 0.5%
# China Steel Corp.................................... 113,803,320 90,053,315 0.5%
CTBC Financial Holding Co., Ltd..................... 156,118,073 111,337,628 0.6%
First Financial Holding Co., Ltd.................... 127,821,158 87,878,011 0.5%
Fubon Financial Holding Co., Ltd.................... 90,265,471 154,431,296 0.8%
Hon Hai Precision Industry Co., Ltd................. 40,073,240 111,458,974 0.6%
Mega Financial Holding Co., Ltd..................... 123,127,796 108,698,083 0.6%
# United Microelectronics Corp........................ 201,966,681 108,914,955 0.6%
Other Securities.................................... 2,267,280,569 10.9%
-------------- -----
TOTAL TAIWAN............................................ 3,146,765,105 15.6%
-------------- -----
THAILAND -- (3.1%)
PTT PCL............................................. 143,475,500 256,855,695 1.3%
Other Securities.................................... 396,403,372 2.0%
-------------- -----
TOTAL THAILAND.......................................... 653,259,067 3.3%
-------------- -----
308
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TURKEY -- (1.2%)
Other Securities..................... $ 242,515,502 1.2%
--------------- ------
TOTAL COMMON STOCKS........................ 19,560,616,968 97.1%
--------------- ------
PREFERRED STOCKS -- (2.1%)
BRAZIL -- (2.0%)
* Petroleo Brasileiro SA............... 12,781,490 83,806,470 0.4%
#* Petroleo Brasileiro SA Sponsored ADR. 17,627,348 231,799,626 1.2%
Other Securities..................... 96,696,336 0.4%
--------------- ------
TOTAL BRAZIL............................... 412,302,432 2.0%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities..................... 17,072,504 0.1%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities..................... 498,903 0.0%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities..................... 2,391,478 0.0%
--------------- ------
TOTAL PREFERRED STOCKS..................... 432,265,317 2.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
Other Securities..................... 1,253,777 0.0%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities..................... 157,009 0.0%
--------------- ------
TAIWAN -- (0.0%)
Other Securities..................... 26,921 0.0%
--------------- ------
THAILAND -- (0.0%)
Other Securities..................... 7,415 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS...................... 1,445,122 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES................ 19,994,327,407
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund....... 67,284,012 778,476,021 3.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,115,459,128)................. $20,772,803,428 103.1%
=============== ======
At April 30, 2018, Dimensional Emerging Markets Value Fund had entered into the
following outstanding futures contracts:
Unrealized
Number of Expiration Notional Market Appreciation
Description Contracts Date Value Value (Depreciation)
----------- --------- ---------- ----------- ----------- --------------
Long Position contracts:
MSCI Emerging Markets Index(R). 650 06/15/18 $39,371,948 $37,446,500 $(1,925,448)
S&P 500(R) Emini Index......... 65 06/15/18 8,570,821 8,602,750 31,929
----------- ----------- -----------
Total futures contracts........ $47,942,769 $46,049,250 $(1,893,519)
=========== =========== ===========
309
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- --------------- ------- ---------------
Common Stocks
Brazil...................... $1,407,411,602 -- -- $ 1,407,411,602
Chile....................... 81,310,717 $ 264,678,935 -- 345,989,652
China....................... 316,497,901 3,241,364,276 -- 3,557,862,177
Colombia.................... 40,350,803 -- -- 40,350,803
Czech Republic.............. -- 40,665,071 -- 40,665,071
Greece...................... -- 5,349,240 -- 5,349,240
Hong Kong................... -- 65,561 -- 65,561
Hungary..................... -- 63,731,408 -- 63,731,408
India....................... 120,302,218 2,238,519,819 -- 2,358,822,037
Indonesia................... 2,037,387 500,713,245 -- 502,750,632
Malaysia.................... -- 583,316,226 -- 583,316,226
Mexico...................... 727,744,474 -- -- 727,744,474
Philippines................. -- 189,658,929 -- 189,658,929
Poland...................... -- 269,523,084 -- 269,523,084
Russia...................... 125,160,865 249,230,637 -- 374,391,502
South Africa................ 145,965,571 1,309,063,426 -- 1,455,028,997
South Korea................. 400,116,462 3,195,299,437 -- 3,595,415,899
Taiwan...................... 36,673,338 3,110,091,767 -- 3,146,765,105
Thailand.................... 653,200,259 58,808 -- 653,259,067
Turkey...................... -- 242,515,502 -- 242,515,502
Preferred Stocks
Brazil...................... 412,302,432 -- -- 412,302,432
Colombia.................... 17,072,504 -- -- 17,072,504
Malaysia.................... 498,903 -- -- 498,903
South Korea................. 2,391,478 -- -- 2,391,478
Rights/Warrants
Indonesia................... -- 1,253,777 -- 1,253,777
Malaysia.................... -- 157,009 -- 157,009
Taiwan...................... -- 26,921 -- 26,921
Thailand.................... -- 7,415 -- 7,415
Securities Lending Collateral. -- 778,476,021 -- 778,476,021
Futures Contracts**........... (1,893,519) -- -- (1,893,519)
-------------- --------------- -- ---------------
TOTAL......................... $4,487,143,395 $16,283,766,514 -- $20,770,909,909
============== =============== == ===============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
310
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
ASSETS:
Investments at Value (including $1,259,869 of securities on loan)*............................. $19,994,327
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $778,436). 778,476
Segregated Cash for Futures Contracts.......................................................... 2,067
Foreign Currencies at Value.................................................................... 43,403
Cash........................................................................................... 44,086
Receivables:
Investment Securities Sold................................................................... 63,052
Dividends, Interest and Tax Reclaims......................................................... 1,532
Securities Lending Income.................................................................... 2,768
Prepaid Expenses and Other Assets.............................................................. 19
-----------
Total Assets.............................................................................. 20,929,730
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 778,510
Investment Securities Purchased.............................................................. 434
Due to Advisor............................................................................... 1,666
Futures Margin Variation..................................................................... 969
Accrued Expenses and Other Liabilities......................................................... 5,230
-----------
Total Liabilities......................................................................... 786,809
-----------
NET ASSETS..................................................................................... $20,142,921
===========
Investments at Cost............................................................................ $16,337,023
===========
Foreign Currencies at Cost..................................................................... $ 43,595
===========
----------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
311
DIMENSIONAL EMERGING MARKETS VALUE FUND#
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $21,354).......... $ 170,166
Income from Securities Lending................................ 14,518
----------
Total Investment Income.................................... 184,684
----------
Expenses
Investment Management Fees.................................... 10,057
Accounting & Transfer Agent Fees.............................. 443
Custodian Fees................................................ 4,174
Directors'/Trustees' Fees & Expenses.......................... 78
Professional Fees............................................. 257
Other......................................................... 347
----------
Total Expenses............................................. 15,356
----------
Fees Paid Indirectly (Note C)................................. (93)
----------
Net Expenses.................................................. 15,263
----------
Net Investment Income (Loss).................................. 169,421
----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 290,670
Affiliated Investment Companies Shares Sold................. (92)
Futures..................................................... 5,564
Foreign Currency Transactions............................... 1,015
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 913,973
Affiliated Investment Companies Shares...................... 21
Futures..................................................... (5,274)
Translation of Foreign Currency Denominated Amounts......... (99)
----------
Net Realized and Unrealized Gain (Loss)....................... 1,205,778
----------
Net Increase (Decrease) in Net Assets Resulting from Operations. $1,375,199
==========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
312
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional Emerging
Markets Value Fund
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2018 2017
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 169,421 $ 475,435
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 290,670 (259,529)
Affiliated Investment Companies Shares Sold......................... (92) 1
Futures............................................................. 5,564 20,081
Foreign Currency Transactions....................................... 1,015 2,950
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 913,973 3,780,573
Affiliated Investment Companies Shares Sold......................... 21 (79)
Futures............................................................. (5,274) 3,775
Translation of Foreign Currency Denominated Amounts................. (99) (53)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 1,375,199 4,023,154
----------- -----------
Transactions in Interest:
Contributions......................................................... 567,350 842,290
Withdrawals........................................................... (1,411,839) (1,900,740)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.............. (844,489) (1,058,450)
----------- -----------
Total Increase (Decrease) in Net Assets............................ 530,710 2,964,704
Net Assets
Beginning of Period................................................... 19,612,211 16,647,507
----------- -----------
End of Period......................................................... $20,142,921 $19,612,211
=========== ===========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
313
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
Dimensional Emerging Markets Value Fund
---------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2018 2017 2016 2015 2014 2013
----------------------------------------------------------------------------------
(Unaudited)
-----------------------------------------------------------------------------------------------------------------------------
Total Return.............................. 7.16%(D) 24.89% 15.80% (17.95)% (1.09)% 8.43%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $20,142,921 $19,612,211 $16,647,507 $15,088,058 $18,927,517 $19,427,286
Ratio of Expenses to Average Net Assets... 0.15%(E) 0.16% 0.16% 0.15% 0.15% 0.16%
Ratio of Expenses to Average Net Assets
(Excluding (Fees Paid Indirectly))....... 0.15%(E) 0.16% 0.16% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average
Net Assets............................... 1.68%(E) 2.64% 2.72% 2.54% 2.76% 2.32%
Portfolio Turnover Rate................... 5%(D) 14% 12% 14% 12% 6%
-----------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
314
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Emerging Markets Value Fund (the "Fund") is an open-end
management investment company registered under the Investment Company Act of
1940. The Fund meets the definition as an investment company and follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies." The Fund consists of one series.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Fund utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
Securities held by the Fund, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq
Official Closing Price ("NOCP"). If there is no last reported sale price or
NOCP for the day, the Fund values the securities within the range of the most
recent quoted bid and ask prices. Price information on listed securities is
taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Fund is calculated. When fair value pricing is used, the
prices of securities used by the Fund may differ from the quoted or published
prices for the same securities on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
The Fund will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset
value of the Fund is computed. Due to the time differences between the closings
of the relevant foreign
315
securities exchanges and the time the Fund prices its shares at the close of
the NYSE, the Fund will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the Fund's foreign investments since the last closing prices of
the foreign investments were calculated on their primary foreign securities
markets or exchanges. For these purposes, the Board of Trustees of the Fund has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the Fund utilizes data furnished by an independent pricing service (and that
data draws upon, among other information, the market values of foreign
investments). When the Fund uses fair value pricing, the values assigned to the
foreign investments may not be the quoted or published prices of the
investments on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Fund are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund's investments by each major
security type, industry and/or country is disclosed previously in this note. A
valuation hierarchy table has been included at the end of the Summary Schedule
of Portfolio Holdings. The inputs or methodology used for valuing securities
are not necessarily an indication of the risk associated with investing in
those securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Fund.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the Fund whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and ask prices for the U.S. dollar as quoted by generally recognized
reliable sources. Dividend and interest income and certain expenses are
translated to U.S. dollars at the rate of exchange on their respective accrual
dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Fund does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Fund
and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Fund may elect
participation in The Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses. At April 30,
2018, the total liability for deferred compensation to Trustees is included in
Accrued Expenses and Other Liabilities on the Statement of Assets and
Liabilities in the amount of $620 (in thousands).
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Fund; and
(ii) five years following the effective date of the Trustee's
316
first deferral election. If a Trustee who elects to defer fees fails to
designate in the Notice a time or date as of which payment of the Trustee's
deferred fee account shall commence, payment of such amount shall commence as
of the first business day of January following the year in which the Trustee
ceases to be a member of the Board (unless the Trustee files an amended Notice
selecting a different distribution date). As of April 30, 2018, none of the
Trustees have requested or received a distribution of proceeds of a deferred
fee account.
4. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Fund estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to the Fund are directly charged.
The Fund may be subject to taxes imposed by countries in which it invests,
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Fund's investments in Chile are subject to governmental taxes on
investment income. Such taxes are due when currencies are repatriated from the
country. The Fund accrues for taxes on income as the income is earned.
The Fund is subject to a 15% tax on short-term capital gains for investments
in India. Such taxes are due upon sale of individual securities. The capital
gains taxes are recognized when the capital gains are earned.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Fund. For the six months ended April 30, 2018, the Fund's
investment management fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.10% of average daily net assets.
Earned Income Credit:
In addition, the Fund has entered into an arrangement with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Fund's custody expense. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of the Fund's net assets.
During the six months ended April 30, 2018, expenses reduced were $93 (amount
in thousands).
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Fund; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For
the six months ended April 30, 2018, the total related amounts paid by the Fund
to the CCO were $8 (in thousands). The total related amounts paid by the Fund
are included in Other Expenses on the Statement of Operations.
D. Purchases and Sales of Securities:
For the six months ended April 30, 2018, the Fund's transactions related to
investment securities, other than short-term securities, in-kind redemptions
and U.S. government securities (amounts in thousands), were as follows:
Purchases Sales
---------- ----------
Dimensional Emerging Markets Value Fund. $1,096,902 $1,726,689
317
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
Net Realized
Gain/(Loss) Dividend
on Sales of Change in Income from
Affiliated Unrealized Affiliated
Balance at Purchases Proceeds Investment Appreciation/ Balance at Shares as of Investment
10/31/17 at Cost from Sales Companies Depreciation 04/30/18 04/30/18 Companies
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
Dimensional Emerging
Markets Value Fund
DFA Short Term
Investment Fund..... $591,907 $2,111,738 $1,925,098 $(92) $21 $778,476 67,284 $6
-------- ---------- ---------- ---- --- -------- ------ --
Total................ $591,907 $2,111,738 $1,925,098 $(92) $21 $778,476 67,284 $6
======== ========== ========== ==== === ======== ====== ==
Capital Gain
Distributions
from
Affiliated
Investment
Companies
-------------
Dimensional Emerging
Markets Value Fund
DFA Short Term
Investment Fund..... $ --
----
Total................ $ --
====
E. Federal Income Taxes:
No provision for federal income taxes is required since the Fund is treated
as a partnership for federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
At April 30, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
Dimensional Emerging Markets Value Fund. $17,250,881 $5,263,190 $(1,743,161) $3,520,029
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Fund's tax positions and has concluded that no additional provision for income
tax is required in the Fund's financial statements. The Fund is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Fund's federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
F. Financial Instruments:
In accordance with the Fund's investment objective and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by the Fund may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Fund.
318
2. Futures Contracts: The Fund may purchase or sell futures contracts and
options on futures contracts for equity securities and indices to adjust market
exposure based on actual or expected cash inflows to or outflows from the Fund.
The Fund, however, does not intend to sell futures contracts to establish short
positions in individual securities. Upon entering into a futures contract, the
Fund deposits cash or pledges U.S. government securities to a broker, equal to
the minimum "initial margin" requirements of the exchange on which the contract
is traded. Subsequent payments are received from or paid to the broker each
day, based on the daily fluctuation in the market value of the contract. These
receipts or payments are known as "variation margin" and are recorded daily by
the Fund as unrealized gains or losses until the contracts are closed. When the
contracts are closed, the Fund records a realized gain or loss, which is
presented in the Statements of Operations as a net realized gain or loss on
futures, equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Fund could lose more than the
initial margin requirements. Entering into stock index futures subjects the
Fund to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
Securities have been segregated as collateral for open futures contracts.
3. Forward Currency Contracts: The Fund may acquire and sell forward
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies (foreign exchange rate risk) or to transfer
balances from one currency to another currency.
The decision to hedge the Fund's currency exposure with respect to a foreign
market will be based primarily on the Fund's existing exposure to a given
foreign currency. Each contract is valued daily and the change in value is
recorded by the Fund as an unrealized gain or loss, which is presented in the
Statement of Operations as the change in unrealized appreciation or
depreciation from translation of foreign-currency-denominated amounts. When the
contract is closed or offset with the same counterparty, the Fund records a
realized gain or loss equal to the change in the value of the contract when it
was opened and the value at the time it was closed or offset. This is presented
in the Statement of Operations as a net realized gain or loss on foreign
currency transactions. At April 30, 2018, the Fund had no outstanding forward
currency contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amounts in
thousands):
Futures
-------
Dimensional Emerging Markets Value Fund. 106,035
The following is a summary of the location of derivatives on the Fund's
Statements of Assets and Liabilities as of April 30, 2018:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Equity contracts Receivables: Futures Payables: Futures
Margin Variation Margin Variation
319
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2018 (amounts in
thousands):
Asset Derivatives Value
- --------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
Dimensional Emerging Markets Value Fund. $ 32 $ 32
Liability Derivatives Value
--------------------------
Total Value
at Equity
April 30, 2018 Contracts*
-------------- ----------
Dimensional Emerging Markets Value Fund. $(1,925) $(1,925)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Fund's Statements of
Operations of realized and change in unrealized gains and losses from the
Fund's derivative instrument holdings through the six months ended April 30,
2018:
Derivative Type Location of Gain (Loss) on Derivatives
--------------- --------------------------------------
Equity contracts Net Realized Gain (Loss)
on: Futures
Change in Unrealized
Appreciation
(Depreciation)
of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Fund's derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2018 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives
------------------------
Equity
Total Contracts
------- ---------
Dimensional Emerging Markets Value Fund. $ 5,564 $ 5,564
Change in Unrealized
Appreciation (Depreciation) on
Derivatives
------------------------
Equity
Total Contracts
------- ---------
Dimensional Emerging Markets Value Fund. $(5,274) $(5,274)
G. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment
320
limitations, up to a maximum of $500 million, as long as total borrowings under
the line of credit do not exceed $700 million in the aggregate. Each portfolio
is individually, and not jointly, liable for its particular advances under the
line of credit. Borrowings under the line of credit are charged interest at
rates agreed upon by the parties at the time of borrowing. There is no
commitment fee on the unused portion of the line of credit. The line of credit
agreement expires on January 4, 2019.
For the six months ended April 30, 2018, borrowings by the Fund under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
Dimensional Emerging Markets Value
Fund............................. 2.28% $27,068 23 $35 $106,083
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that the Fund's available line of
credit was utilized.
There were no outstanding borrowings by the Fund under the lines of credit
as of April 30, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Fund may
participate in an interfund lending program among certain portfolios managed by
the Advisor (portfolios that operate as feeder funds do not participate in the
program). The program allows the participating portfolios to borrow money from
and loan money to each other for temporary or emergency purposes, subject to
the conditions in the Order. A loan can only be made through the program if the
interfund loan rate on that day is more favorable to both the borrowing and
lending portfolios as compared to rates available through short-term bank loans
or investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objectives and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice.
The Fund did not utilize the interfund lending program during the six months
ended April 30, 2018.
H. Affiliated Trades:
Cross trades for the six months ended April 30, 2018, if any, were executed
by the Fund pursuant to procedures adopted by the Board of Trustees of the Fund
to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940
(the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common trustees and/or common officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the six months ended April 30, 2018, cross trades by the Fund under Rule
17a-7 were as follows (amounts in thousands):
Realized
Gain
Portfolio Purchases Sales (Loss)
--------- --------- ------ --------
Dimensional Emerging Markets Value Fund. $4,372 $6,150 $554
I. Securities Lending:
As of April 30, 2018, the Fund had securities on loan to brokers/dealers,
for which the Fund received cash collateral. The non-cash collateral includes
short and/or long term U.S. Treasuries and U.S. government agency securities as
follows (amount in thousands):
Market
Value
--------
Dimensional Emerging Markets Value Fund. $605,495
321
The Fund invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Fund's
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Fund or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Fund could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policy, the Fund will generally invest the
cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses, and other payments to and from
borrowers of securities. The Fund also may invest the cash collateral received
for the loaned securities in securities of the U.S. government or its agencies,
repurchase agreements collateralized by securities of the U.S. government or
its agencies, and affiliated and unaffiliated registered and unregistered money
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, the Fund will be
able to terminate the loan at any time and will receive reasonable interest on
the loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2018:
Remaining Contractual Maturity of the Agreements
As of April 30, 2018
---------------------------------------------------------
Overnight and Between
Continuous <30 days 30 & 90 days >90 days Total
------------- -------- ------------ -------- ------------
Securities Lending Transactions
Dimensional Emerging Markets
Value Fund
Common Stocks................... $778,476,021 -- -- -- $778,476,021
J. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call
322
date. The ASU is effective for annual periods beginning after December 15,
2018, and interim periods within those annual periods. At this time, management
is evaluating the implications of these changes on the financial statements.
L. Other:
The Fund is subject to claims and suits that arise from time to time in the
ordinary course of business (for example, in The Tribune Company Bankruptcy,
certain creditors have filed actions against all shareholders of The Tribune
Company who tendered shares when the Tribune Company went private in 2007 in a
leveraged buy-out transaction, seeking the return of proceeds received by the
shareholders). Although management currently believes that resolving claims
against us, individually or in aggregate, will not have a material adverse
impact on our financial position, our results of operations, or our cash flows,
these matters are subject to inherent uncertainties and management's view of
these matters may change in the future.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Fund
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
323
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
324
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2017 (the "Meeting"), the Boards
of Directors of DFA Investment Dimensions Group Inc. and Dimensional Investment
Group Inc., and the Boards of Trustees of The DFA Investment Trust Company and
Dimensional Emerging Markets Value Fund (together, the "Board") considered the
continuation of the investment management agreements for each portfolio/series
(collectively, the "Funds") and, if applicable, a Fund's sub-advisory
agreements. For certain Funds, Dimensional Fund Advisors Ltd. or DFA Australia
Limited serves as a sub-advisor. (The investment management agreements and the
sub-advisory agreements are referred to as the "Management Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members sent
to the Advisor a request for information, which identified the information that
the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by
Morningstar Associates, LLC (the "Morningstar Reports"), and issues related to
the continuation of the Management Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering the
continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the Advisor
to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment global advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Morningstar
Reports, which compared the performance of each Fund with other funds in its
respective peer group and investment category. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board determined, among other things, that after
considering each Fund's investment strategies and the expectations of its
shareholder base, the performance of each Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering the
reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
The Board considered the profitability of each Fund to the Advisor by reviewing
the profitability analysis provided by the Advisor, including information about
its fee revenues and income. The Board reviewed the overall profitability of
the Advisor, and the compensation that it received for providing services to
each Fund. The Board considered the profitability to the Advisor of managing
and servicing the Funds and the Advisor's unregistered clients, such as
collective trusts, group trusts and separate accounts. Upon closely examining
the Advisor's profitability, the Board concluded, among other things, that it
was reasonable.
The Board also discussed whether economies of scale are realized by the Advisor
with respect to each Fund as it grows larger, and the extent to which this is
reflected in the level of management fees charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of management fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single factor
identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
325
DFA043018-001S
[LOGO] 00211511
[LOGO]
Semi-Annual Report
SIX MONTHS ENDED: APRIL 30, 2018 (UNAUDITED)
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC. / THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE T.A. U.S. CORE EQUITY 2 PORTFOLIO
PORTFOLIO TAX-MANAGED DFA INTERNATIONAL VALUE
TAX-MANAGED U.S. EQUITY PORTFOLIO PORTFOLIO
TAX-MANAGED U.S. TARGETED VALUE T.A. WORLD EX U.S. CORE EQUITY
PORTFOLIO PORTFOLIO
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE
SERIES
[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............................................. 2
Disclosure of Fund Expenses.................................................. 2
Disclosure of Portfolio Holdings............................................. 4
Schedule of Investments/Summary Schedules of Portfolio Holdings
Tax-Managed U.S. Marketwide Value Portfolio.............................. 6
Tax-Managed U.S. Equity Portfolio........................................ 7
Tax-Managed U.S. Targeted Value Portfolio................................ 10
Tax-Managed U.S. Small Cap Portfolio..................................... 13
T.A. U.S. Core Equity 2 Portfolio........................................ 16
Tax-Managed DFA International Value Portfolio............................ 19
T.A. World ex U.S. Core Equity Portfolio................................. 23
Statements of Assets and Liabilities......................................... 29
Statements of Operations..................................................... 31
Statements of Changes in Net Assets.......................................... 33
Financial Highlights......................................................... 35
Notes to Financial Statements................................................ 39
Section 19(a) Notice......................................................... 55
THE DFA INVESTMENT TRUST COMPANY - THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Disclosure of Fund Expenses.................................................. 56
Disclosure of Portfolio Holdings............................................. 57
Summary Schedule of Portfolio Holdings....................................... 58
Statement of Assets and Liabilities.......................................... 61
Statement of Operations...................................................... 62
Statements of Changes in Net Assets.......................................... 63
Financial Highlights......................................................... 64
Notes to Financial Statements................................................ 65
VOTING PROXIES ON FUND PORTFOLIO SECURITIES..................................... 72
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS.............................. 73
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent
more than 1.0% of the net assets of the Fund. Some of the individual securities within this category
may include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Fund.
(C) Non-Annualized
(D) Annualized
N/A Does not apply to this fund.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
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*
--------- --------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,036.00 0.37% $1.87
Hypothetical 5% Annual Return................. $1,000.00 $1,022.96 0.37% $1.86
TAX-MANAGED U.S. EQUITY PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,039.80 0.21% $1.06
Hypothetical 5% Annual Return................. $1,000.00 $1,023.75 0.21% $1.05
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/17 04/30/18 RATIO* PERIOD*
--------- --------- ---------- --------
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
-----------------------------------------
Actual Fund Return............................ $1,000.00 $1,017.70 0.44% $2.20
Hypothetical 5% Annual Return................. $1,000.00 $1,022.61 0.44% $2.21
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
------------------------------------
Actual Fund Return............................ $1,000.00 $1,017.60 0.52% $2.60
Hypothetical 5% Annual Return................. $1,000.00 $1,022.22 0.52% $2.61
T.A. U.S. CORE EQUITY 2 PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,037.00 0.23% $1.16
Hypothetical 5% Annual Return................. $1,000.00 $1,023.65 0.23% $1.15
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,047.90 0.52% $2.64
Hypothetical 5% Annual Return................. $1,000.00 $1,022.22 0.52% $2.61
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,039.60 0.35% $1.77
Hypothetical 5% Annual Return................. $1,000.00 $1,023.06 0.35% $1.76
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the Feeder Fund's portion of the expenses of
its Master Fund (Affiliated Investment Company).
3
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
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings,
which reflect the investments by category.
FEEDER FUND
AFFILIATED INVESTMENT COMPANY
-----------------------------
Tax-Managed U.S. Marketwide Value Portfolio. 100.0%
4
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
TAX-MANAGED U.S. EQUITY PORTFOLIO
Consumer Discretionary....................... 13.6%
Consumer Staples............................. 6.6%
Energy....................................... 6.2%
Financials................................... 15.6%
Health Care.................................. 13.8%
Industrials.................................. 11.0%
Information Technology....................... 24.9%
Materials.................................... 3.4%
Real Estate.................................. 0.1%
Telecommunication Services................... 1.8%
Utilities.................................... 3.0%
-----
100.0%
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 14.9%
Consumer Staples............................. 3.2%
Energy....................................... 9.9%
Financials................................... 26.8%
Health Care.................................. 5.2%
Industrials.................................. 20.9%
Information Technology....................... 11.4%
Materials.................................... 6.9%
Real Estate.................................. 0.2%
Telecommunication Services................... 0.5%
Utilities.................................... 0.1%
-----
100.0%
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Consumer Discretionary....................... 15.4%
Consumer Staples............................. 3.9%
Energy....................................... 5.8%
Financials................................... 21.8%
Health Care.................................. 9.1%
Industrials.................................. 19.6%
Information Technology....................... 13.9%
Materials.................................... 5.6%
Real Estate.................................. 0.5%
Telecommunication Services................... 1.0%
Utilities.................................... 3.4%
-----
100.0%
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 14.9%
Consumer Staples............................. 5.5%
Energy....................................... 6.2%
Financials................................... 19.4%
Health Care.................................. 11.3%
Industrials.................................. 14.5%
Information Technology....................... 19.4%
Materials.................................... 4.6%
Real Estate.................................. 0.4%
Telecommunication Services................... 2.0%
Utilities.................................... 1.8%
-----
100.0%
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Consumer Discretionary....................... 16.5%
Consumer Staples............................. 2.3%
Energy....................................... 15.9%
Financials................................... 29.9%
Health Care.................................. 3.0%
Industrials.................................. 8.0%
Information Technology....................... 2.5%
Materials.................................... 13.6%
Real Estate.................................. 2.5%
Telecommunication Services................... 3.8%
Utilities.................................... 2.0%
-----
100.0%
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 15.4%
Consumer Staples............................. 7.3%
Energy....................................... 6.6%
Financials................................... 17.2%
Health Care.................................. 5.0%
Industrials.................................. 16.2%
Information Technology....................... 9.5%
Materials.................................... 13.2%
Real Estate.................................. 3.4%
Telecommunication Services................... 3.2%
Utilities.................................... 3.0%
-----
100.0%
5
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company...................... $4,967,321,558
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY....... $4,967,321,558
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2018,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
6
TAX-MANAGED U.S. EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.6%)
Consumer Discretionary -- (12.9%)
* Amazon.com, Inc................... 55,355 $ 86,693,126 2.5%
* Booking Holdings, Inc............. 6,433 14,011,074 0.4%
Comcast Corp. Class A............. 619,072 19,432,670 0.6%
Home Depot, Inc. (The)............ 157,438 29,094,542 0.9%
McDonald's Corp................... 106,816 17,885,271 0.5%
* Netflix, Inc...................... 57,020 17,816,469 0.5%
Walt Disney Co. (The)............. 203,856 20,452,872 0.6%
Other Securities.................. 266,778,602 7.6%
------------ ------
Total Consumer Discretionary.......... 472,164,626 13.6%
------------ ------
Consumer Staples -- (6.3%)
Altria Group, Inc................. 252,995 14,195,549 0.4%
Coca-Cola Co. (The)............... 542,530 23,442,721 0.7%
PepsiCo, Inc...................... 189,518 19,129,947 0.6%
Philip Morris International, Inc.. 206,803 16,957,846 0.5%
Procter & Gamble Co. (The)........ 337,156 24,389,865 0.7%
Walmart, Inc...................... 198,027 17,517,468 0.5%
Other Securities.................. 113,492,739 3.2%
------------ ------
Total Consumer Staples................ 229,126,135 6.6%
------------ ------
Energy -- (5.8%)
Chevron Corp...................... 258,011 32,279,756 0.9%
Exxon Mobil Corp.................. 570,323 44,342,613 1.3%
Other Securities.................. 136,564,181 3.9%
------------ ------
Total Energy.......................... 213,186,550 6.1%
------------ ------
Financials -- (14.7%)
Bank of America Corp.............. 1,395,864 41,764,251 1.2%
* Berkshire Hathaway, Inc. Class B.. 257,358 49,857,965 1.5%
Citigroup, Inc.................... 366,966 25,052,769 0.7%
JPMorgan Chase & Co............... 466,465 50,742,063 1.5%
Wells Fargo & Co.................. 625,599 32,506,124 1.0%
Other Securities.................. 338,700,362 9.6%
------------ ------
Total Financials...................... 538,623,534 15.5%
------------ ------
Health Care -- (13.0%)
Abbott Laboratories............... 232,111 13,492,612 0.4%
AbbVie, Inc....................... 212,137 20,481,827 0.6%
Amgen, Inc........................ 95,896 16,731,934 0.5%
Johnson & Johnson................. 360,665 45,620,516 1.3%
Medtronic P.L.C................... 180,778 14,485,741 0.4%
Merck & Co., Inc.................. 357,324 21,035,664 0.6%
Pfizer, Inc....................... 795,948 29,139,656 0.9%
UnitedHealth Group, Inc........... 129,493 30,612,145 0.9%
Other Securities.................. 285,394,956 8.2%
------------ ------
Total Health Care..................... 476,995,051 13.8%
------------ ------
Industrials -- (10.4%)
3M Co............................. 78,879 15,333,289 0.5%
Boeing Co. (The).................. 75,795 25,282,180 0.7%
General Electric Co............... 1,136,991 15,997,463 0.5%
Honeywell International, Inc...... 94,545 13,678,771 0.4%
7
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
Union Pacific Corp............................................ 105,247 $ 14,064,157 0.4%
Other Securities.............................................. 294,593,682 8.4%
-------------- ------
Total Industrials................................................... 378,949,542 10.9%
-------------- ------
Information Technology -- (23.6%)
* Adobe Systems, Inc............................................ 65,470 14,508,152 0.4%
* Alphabet, Inc. Class A........................................ 39,991 40,734,033 1.2%
* Alphabet, Inc. Class C........................................ 42,296 43,028,990 1.3%
Apple, Inc.................................................... 682,880 112,852,749 3.3%
Cisco Systems, Inc............................................ 659,405 29,205,047 0.9%
* Facebook, Inc. Class A........................................ 322,454 55,462,088 1.6%
Intel Corp.................................................... 627,598 32,396,609 0.9%
International Business Machines Corp.......................... 116,779 16,928,284 0.5%
Mastercard, Inc. Class A...................................... 124,858 22,258,436 0.7%
Microsoft Corp................................................ 985,953 92,206,325 2.7%
NVIDIA Corp................................................... 80,623 18,132,113 0.5%
Oracle Corp................................................... 411,580 18,796,859 0.6%
Texas Instruments, Inc........................................ 131,060 13,293,416 0.4%
# Visa, Inc. Class A............................................ 241,287 30,614,495 0.9%
Other Securities.............................................. 322,050,935 9.0%
-------------- ------
Total Information Technology........................................ 862,468,531 24.9%
-------------- ------
Materials -- (3.2%)
DowDuPont, Inc................................................ 309,430 19,568,353 0.6%
Other Securities.............................................. 96,613,640 2.8%
-------------- ------
Total Materials..................................................... 116,181,993 3.4%
-------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 5,217,774 0.2%
-------------- ------
Telecommunication Services -- (1.7%)
AT&T, Inc..................................................... 828,168 27,081,094 0.8%
Verizon Communications, Inc................................... 552,515 27,266,615 0.8%
Other Securities.............................................. 8,047,660 0.2%
-------------- ------
Total Telecommunication Services.................................... 62,395,369 1.8%
-------------- ------
Utilities -- (2.8%)
Other Securities.............................................. 103,769,945 3.0%
-------------- ------
TOTAL COMMON STOCKS 3,459,079,050 99.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 53,290 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES 3,459,132,340
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 7,087,165 7,087,165 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (5.2%)
(S)@ DFA Short Term Investment Fund................................ 16,587,905 191,922,061 5.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,993,485,285)........................................... $3,658,141,566 105.5%
============== ======
8
TAX-MANAGED U.S. 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...... $ 472,164,626 -- -- $ 472,164,626
Consumer Staples............ 229,126,135 -- -- 229,126,135
Energy...................... 213,186,550 -- -- 213,186,550
Financials.................. 538,621,647 $ 1,887 -- 538,623,534
Health Care................. 476,995,051 -- -- 476,995,051
Industrials................. 378,949,542 -- -- 378,949,542
Information Technology...... 862,468,531 -- -- 862,468,531
Materials................... 116,181,993 -- -- 116,181,993
Real Estate................. 5,217,774 -- -- 5,217,774
Telecommunication Services.. 62,395,369 -- -- 62,395,369
Utilities................... 103,769,945 -- -- 103,769,945
Rights/Warrants............... -- 53,290 -- 53,290
Temporary Cash Investments.... 7,087,165 -- -- 7,087,165
Securities Lending Collateral. -- 191,922,061 -- 191,922,061
-------------- ------------ -- --------------
TOTAL......................... $3,466,164,328 $191,977,238 -- $3,658,141,566
============== ============ == ==============
See accompanying Notes to Financial Statements.
9
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (90.1%)
Consumer Discretionary -- (13.4%)
Kohl's Corp......................... 482,977 $ 30,002,531 0.6%
# Macy's, Inc......................... 679,841 21,122,660 0.4%
PulteGroup, Inc..................... 1,006,767 30,565,446 0.6%
# Toll Brothers, Inc.................. 833,225 35,128,766 0.7%
* Urban Outfitters, Inc............... 477,160 19,215,233 0.4%
Other Securities.................... 576,105,758 12.1%
--------------- --------
Total Consumer Discretionary............ 712,140,394 14.8%
--------------- --------
Consumer Staples -- (2.9%)
#* Post Holdings, Inc.................. 241,453 19,212,415 0.4%
Other Securities.................... 133,806,714 2.8%
--------------- --------
Total Consumer Staples.................. 153,019,129 3.2%
--------------- --------
Energy -- (8.9%)
# Helmerich & Payne, Inc.............. 367,217 25,539,942 0.5%
HollyFrontier Corp.................. 551,296 33,458,154 0.7%
# Murphy Oil Corp..................... 588,788 17,728,407 0.4%
* RSP Permian, Inc.................... 558,204 27,692,500 0.6%
#* Whiting Petroleum Corp.............. 404,404 16,507,771 0.3%
Other Securities.................... 352,953,853 7.4%
--------------- --------
Total Energy............................ 473,880,627 9.9%
--------------- --------
Financials -- (24.2%)
American Financial Group, Inc....... 257,200 29,120,184 0.6%
Assurant, Inc....................... 319,133 29,621,925 0.6%
Assured Guaranty, Ltd............... 448,331 16,269,932 0.3%
Axis Capital Holdings, Ltd.......... 302,382 17,749,823 0.4%
CNO Financial Group, Inc............ 1,201,584 25,761,961 0.5%
Hanover Insurance Group, Inc. (The). 140,426 16,127,926 0.3%
Old Republic International Corp..... 876,356 17,877,662 0.4%
# People's United Financial, Inc...... 1,285,328 23,508,649 0.5%
Reinsurance Group of America, Inc... 170,010 25,399,494 0.5%
RenaissanceRe Holdings, Ltd......... 150,298 20,446,540 0.4%
# Sterling Bancorp.................... 674,193 16,012,084 0.3%
Synovus Financial Corp.............. 292,437 15,285,682 0.3%
Umpqua Holdings Corp................ 800,263 18,854,196 0.4%
Validus Holdings, Ltd............... 295,391 20,018,648 0.4%
Wintrust Financial Corp............. 182,739 16,346,004 0.4%
WR Berkley Corp..................... 223,655 16,675,717 0.4%
# Zions Bancorporation................ 556,927 30,491,753 0.6%
Other Securities.................... 931,479,145 19.5%
--------------- --------
Total Financials........................ 1,287,047,325 26.8%
--------------- --------
Health Care -- (4.7%)
Other Securities.................... 251,361,686 5.2%
--------------- --------
Industrials -- (18.8%)
#* AECOM............................... 589,177 20,291,256 0.4%
AGCO Corp........................... 273,209 17,124,740 0.4%
AMERCO.............................. 64,113 21,639,420 0.5%
Jacobs Engineering Group, Inc....... 471,823 27,408,198 0.6%
* JetBlue Airways Corp................ 1,410,800 27,073,252 0.6%
* Kirby Corp.......................... 189,466 16,161,450 0.3%
10
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
* KLX, Inc...................................................... 194,735 $ 15,234,119 0.3%
Owens Corning................................................. 335,482 21,970,716 0.5%
* Quanta Services, Inc.......................................... 516,102 16,773,315 0.4%
Ryder System, Inc............................................. 233,530 15,746,928 0.3%
Trinity Industries, Inc....................................... 637,050 20,302,784 0.4%
#* XPO Logistics, Inc............................................ 169,853 16,502,918 0.3%
Other Securities.............................................. 763,395,554 15.8%
-------------- ------
Total Industrials................................................... 999,624,650 20.8%
-------------- ------
Information Technology -- (10.2%)
* Arrow Electronics, Inc........................................ 406,704 30,397,057 0.6%
Avnet, Inc.................................................... 408,136 16,011,175 0.3%
* CACI International, Inc. Class A.............................. 127,408 19,244,978 0.4%
#* Cree, Inc..................................................... 431,600 16,107,312 0.3%
Jabil, Inc.................................................... 608,732 16,192,271 0.3%
MKS Instruments, Inc.......................................... 172,747 17,689,293 0.4%
SYNNEX Corp................................................... 181,005 18,131,271 0.4%
Other Securities.............................................. 411,287,096 8.6%
-------------- ------
Total Information Technology........................................ 545,060,453 11.3%
-------------- ------
Materials -- (6.2%)
* Alcoa Corp.................................................... 437,568 22,403,482 0.5%
Reliance Steel & Aluminum Co.................................. 236,532 20,795,893 0.4%
Steel Dynamics, Inc........................................... 352,849 15,811,164 0.3%
Other Securities.............................................. 270,284,109 5.7%
-------------- ------
Total Materials..................................................... 329,294,648 6.9%
-------------- ------
Real Estate -- (0.2%)
Other Securities.............................................. 8,864,928 0.2%
-------------- ------
Telecommunication Services -- (0.5%)
Other Securities.............................................. 25,935,356 0.5%
-------------- ------
Utilities -- (0.1%)
Other Securities.............................................. 6,523,800 0.1%
-------------- ------
TOTAL COMMON STOCKS 4,792,752,996 99.7%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 568,489 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 10,936 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES 4,793,332,421
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 13,507,046 13,507,046 0.3%
-------------- ------
SECURITIES LENDING COLLATERAL -- (9.6%)
(S)@ DFA Short Term Investment Fund................................ 44,145,174 510,759,667 10.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,321,807,715)........................................... $5,317,599,134 110.6%
============== ======
11
TAX-MANAGED 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
Consumer Discretionary...... $ 712,140,394 -- -- $ 712,140,394
Consumer Staples............ 153,019,129 -- -- 153,019,129
Energy...................... 473,880,627 -- -- 473,880,627
Financials.................. 1,286,968,708 $ 78,617 -- 1,287,047,325
Health Care................. 251,361,686 -- -- 251,361,686
Industrials................. 999,624,650 -- -- 999,624,650
Information Technology...... 545,049,355 11,098 -- 545,060,453
Materials................... 329,294,648 -- -- 329,294,648
Real Estate................. 8,864,928 -- -- 8,864,928
Telecommunication Services.. 25,935,356 -- -- 25,935,356
Utilities................... 6,523,800 -- -- 6,523,800
Preferred Stocks
Consumer Discretionary...... 568,489 -- -- 568,489
Rights/Warrants............... -- 10,936 -- 10,936
Temporary Cash Investments.... 13,507,046 -- -- 13,507,046
Securities Lending Collateral. -- 510,759,667 -- 510,759,667
-------------- ------------ -- --------------
TOTAL......................... $4,806,738,816 $510,860,318 -- $5,317,599,134
============== ============ == ==============
See accompanying Notes to Financial Statements.
12
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (85.8%)
Consumer Discretionary -- (13.2%)
#* Grand Canyon Education, Inc............. 76,856 $ 7,992,255 0.3%
# Texas Roadhouse, Inc.................... 116,041 7,435,907 0.3%
Wendy's Co. (The)....................... 362,549 6,069,070 0.2%
Other Securities........................ 443,621,737 14.6%
------------ ------
Total Consumer Discretionary................ 465,118,969 15.4%
------------ ------
Consumer Staples -- (3.4%)
# National Beverage Corp.................. 81,150 7,170,414 0.2%
Other Securities........................ 110,877,888 3.7%
------------ ------
Total Consumer Staples...................... 118,048,302 3.9%
------------ ------
Energy -- (5.0%)
# Delek US Holdings, Inc.................. 156,490 7,412,931 0.3%
# PBF Energy, Inc. Class A................ 222,394 8,524,362 0.3%
#* SRC Energy, Inc......................... 566,985 6,259,514 0.2%
#* Transocean, Ltd......................... 620,203 7,671,911 0.3%
#* Whiting Petroleum Corp.................. 152,777 6,236,357 0.2%
Other Securities........................ 138,386,947 4.5%
------------ ------
Total Energy................................ 174,492,022 5.8%
------------ ------
Financials -- (18.7%)
Associated Banc-Corp.................... 284,802 7,533,013 0.3%
# BancorpSouth Bank....................... 203,866 6,737,771 0.2%
Cathay General Bancorp.................. 226,084 9,045,621 0.3%
CNO Financial Group, Inc................ 336,171 7,207,506 0.2%
Columbia Banking System, Inc............ 170,269 6,846,516 0.2%
FirstCash, Inc.......................... 83,455 7,235,548 0.2%
Fulton Financial Corp................... 393,955 6,657,839 0.2%
# Home BancShares, Inc.................... 310,213 7,209,350 0.2%
# Interactive Brokers Group, Inc. Class A. 114,563 8,500,575 0.3%
MB Financial, Inc....................... 139,871 5,961,302 0.2%
Primerica, Inc.......................... 81,641 7,898,767 0.3%
# Sterling Bancorp........................ 462,647 10,987,866 0.4%
TCF Financial Corp...................... 357,388 8,873,944 0.3%
# UMB Financial Corp...................... 83,398 6,386,619 0.2%
# Valley National Bancorp................. 616,017 7,731,013 0.3%
Washington Federal, Inc................. 213,015 6,763,226 0.2%
Other Securities........................ 534,008,056 17.7%
------------ ------
Total Financials............................ 655,584,532 21.7%
------------ ------
Health Care -- (7.8%)
Cantel Medical Corp..................... 83,217 9,326,129 0.3%
# Chemed Corp............................. 24,202 7,459,540 0.3%
* ICU Medical, Inc........................ 24,253 6,104,480 0.2%
#* Integra LifeSciences Holdings Corp...... 104,090 6,415,067 0.2%
#* Molina Healthcare, Inc.................. 83,231 6,928,981 0.2%
Other Securities........................ 236,688,507 7.9%
------------ ------
Total Health Care........................... 272,922,704 9.1%
------------ ------
Industrials -- (16.8%)
* ASGN, Inc............................... 101,799 8,208,053 0.3%
#* Avis Budget Group, Inc.................. 141,110 6,972,245 0.2%
Curtiss-Wright Corp..................... 52,878 6,770,499 0.2%
13
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
#* Dycom Industries, Inc......................................... 72,056 $ 7,483,736 0.3%
EMCOR Group, Inc.............................................. 88,383 6,504,105 0.2%
# John Bean Technologies Corp................................... 62,171 6,698,925 0.2%
* Kirby Corp.................................................... 93,431 7,969,664 0.3%
* KLX, Inc...................................................... 106,596 8,339,005 0.3%
# Knight-Swift Transportation Holdings, Inc..................... 172,861 6,743,308 0.2%
Other Securities.............................................. 524,971,403 17.4%
-------------- ------
Total Industrials................................................... 590,660,943 19.6%
-------------- ------
Information Technology -- (11.9%)
* CACI International, Inc. Class A.............................. 47,362 7,154,030 0.2%
#* Conduent, Inc................................................. 348,720 6,786,091 0.2%
#* Cree, Inc..................................................... 164,924 6,154,964 0.2%
Entegris, Inc................................................. 204,204 6,575,369 0.2%
* Fair Isaac Corp............................................... 47,990 8,310,908 0.3%
# Littelfuse, Inc............................................... 36,894 6,896,226 0.2%
MKS Instruments, Inc.......................................... 93,116 9,535,078 0.3%
Monolithic Power Systems, Inc................................. 65,929 7,720,286 0.3%
Other Securities.............................................. 360,003,412 12.0%
-------------- ------
Total Information Technology........................................ 419,136,364 13.9%
-------------- ------
Materials -- (4.9%)
# United States Steel Corp...................................... 315,227 10,664,129 0.4%
Other Securities.............................................. 159,646,748 5.2%
-------------- ------
Total Materials..................................................... 170,310,877 5.6%
-------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 14,884,937 0.5%
-------------- ------
Telecommunication Services -- (0.8%)
Other Securities.............................................. 29,213,164 1.0%
-------------- ------
Utilities -- (2.9%)
# New Jersey Resources Corp..................................... 145,601 6,020,601 0.2%
WGL Holdings, Inc............................................. 82,214 6,996,411 0.2%
Other Securities.............................................. 89,636,736 3.0%
-------------- ------
Total Utilities..................................................... 102,653,748 3.4%
-------------- ------
TOTAL COMMON STOCKS................................................. 3,013,026,562 99.9%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 423,648 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 6,471 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 3,013,456,681
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 3,904,934 3,904,934 0.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (14.1%)
(S)@ DFA Short Term Investment Fund................................ 42,934,991 496,757,848 16.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,164,602,814)........................................... $3,514,119,463 116.5%
============== ======
14
TAX-MANAGED U.S. SMALL CAP 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...... $ 465,118,969 -- -- $ 465,118,969
Consumer Staples............ 118,048,302 -- -- 118,048,302
Energy...................... 174,492,022 -- -- 174,492,022
Financials.................. 655,528,955 $ 55,577 -- 655,584,532
Health Care................. 272,922,704 -- -- 272,922,704
Industrials................. 590,660,943 -- -- 590,660,943
Information Technology...... 419,121,079 15,285 -- 419,136,364
Materials................... 170,310,877 -- -- 170,310,877
Real Estate................. 14,884,937 -- -- 14,884,937
Telecommunication Services.. 29,213,164 -- -- 29,213,164
Utilities................... 102,653,748 -- -- 102,653,748
Preferred Stocks
Consumer Discretionary...... 423,648 -- -- 423,648
Rights/Warrants............... -- 6,471 -- 6,471
Temporary Cash Investments.... 3,904,934 -- -- 3,904,934
Securities Lending Collateral. -- 496,757,848 -- 496,757,848
-------------- ------------ -- --------------
TOTAL......................... $3,017,284,282 $496,835,181 -- $3,514,119,463
============== ============ == ==============
See accompanying Notes to Financial Statements.
15
T.A. U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (92.7%)
Consumer Discretionary -- (13.8%)
* Amazon.com, Inc...................... 72,394 $ 113,378,415 1.3%
* Charter Communications, Inc. Class A. 80,042 21,714,594 0.3%
Comcast Corp. Class A................ 2,173,428 68,223,905 0.8%
General Motors Co.................... 614,834 22,589,001 0.3%
Home Depot, Inc. (The)............... 192,413 35,557,922 0.4%
Time Warner, Inc..................... 259,315 24,583,062 0.3%
Walt Disney Co. (The)................ 365,590 36,679,645 0.4%
Other Securities..................... 1,000,226,700 11.1%
-------------- ------
Total Consumer Discretionary............. 1,322,953,244 14.9%
-------------- ------
Consumer Staples -- (5.1%)
Coca-Cola Co. (The).................. 673,843 29,116,756 0.3%
Procter & Gamble Co. (The)........... 458,732 33,184,673 0.4%
Walmart, Inc......................... 685,993 60,682,941 0.7%
Other Securities..................... 361,945,172 4.1%
-------------- ------
Total Consumer Staples................... 484,929,542 5.5%
-------------- ------
Energy -- (5.7%)
Andeavor............................. 154,065 21,310,271 0.3%
Chevron Corp......................... 448,370 56,095,571 0.6%
Exxon Mobil Corp..................... 1,076,694 83,712,959 1.0%
Other Securities..................... 387,554,818 4.3%
-------------- ------
Total Energy............................. 548,673,619 6.2%
-------------- ------
Financials -- (18.0%)
American Express Co.................. 272,571 26,916,386 0.3%
Bank of America Corp................. 2,439,613 72,993,221 0.8%
* Berkshire Hathaway, Inc. Class B..... 339,681 65,806,400 0.8%
Citigroup, Inc....................... 630,926 43,073,318 0.5%
Goldman Sachs Group, Inc. (The)...... 94,694 22,568,421 0.3%
JPMorgan Chase & Co.................. 1,060,963 115,411,555 1.3%
U.S. Bancorp......................... 445,407 22,470,783 0.3%
Wells Fargo & Co..................... 1,393,576 72,410,209 0.8%
Other Securities..................... 1,276,130,322 14.2%
-------------- ------
Total Financials......................... 1,717,780,615 19.3%
-------------- ------
Health Care -- (10.5%)
Abbott Laboratories.................. 386,097 22,443,819 0.3%
AbbVie, Inc.......................... 250,876 24,222,078 0.3%
CVS Health Corp...................... 339,252 23,689,967 0.3%
Gilead Sciences, Inc................. 347,506 25,100,358 0.3%
Johnson & Johnson.................... 524,505 66,344,637 0.8%
Merck & Co., Inc..................... 600,469 35,349,610 0.4%
Pfizer, Inc.......................... 2,030,930 74,352,347 0.9%
UnitedHealth Group, Inc.............. 234,939 55,539,580 0.6%
Other Securities..................... 673,063,111 7.3%
-------------- ------
Total Health Care........................ 1,000,105,507 11.2%
-------------- ------
Industrials -- (13.4%)
Boeing Co. (The)..................... 94,365 31,476,389 0.4%
FedEx Corp........................... 96,271 23,798,191 0.3%
Union Pacific Corp................... 237,535 31,741,802 0.4%
16
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
United Technologies Corp...................................... 294,265 $ 35,355,940 0.4%
Other Securities.............................................. 1,163,299,100 13.0%
-------------- ------
Total Industrials................................................... 1,285,671,422 14.5%
-------------- ------
Information Technology -- (18.0%)
* Alphabet, Inc. Class A........................................ 34,523 35,164,437 0.4%
* Alphabet, Inc. Class C........................................ 36,168 36,794,791 0.4%
Apple, Inc.................................................... 1,125,427 185,988,066 2.1%
Cisco Systems, Inc............................................ 1,672,490 74,074,582 0.8%
* Facebook, Inc. Class A........................................ 256,560 44,128,320 0.5%
Intel Corp.................................................... 1,852,635 95,633,019 1.1%
International Business Machines Corp.......................... 193,185 28,004,098 0.3%
Mastercard, Inc. Class A...................................... 145,355 25,912,436 0.3%
* Micron Technology, Inc........................................ 649,261 29,853,021 0.3%
Microsoft Corp................................................ 1,336,511 124,990,509 1.4%
NVIDIA Corp................................................... 162,000 36,433,800 0.4%
Oracle Corp................................................... 481,175 21,975,262 0.3%
QUALCOMM, Inc................................................. 467,869 23,865,998 0.3%
# Visa, Inc. Class A............................................ 326,662 41,446,875 0.5%
Other Securities.............................................. 918,016,813 10.3%
-------------- ------
Total Information Technology........................................ 1,722,282,027 19.4%
-------------- ------
Materials -- (4.2%)
DowDuPont, Inc................................................ 378,737 23,951,328 0.3%
Other Securities.............................................. 380,062,878 4.2%
-------------- ------
Total Materials..................................................... 404,014,206 4.5%
-------------- ------
Real Estate -- (0.4%)
Other Securities.............................................. 36,387,704 0.4%
-------------- ------
Telecommunication Services -- (1.9%)
AT&T, Inc..................................................... 2,786,172 91,107,824 1.0%
Verizon Communications, Inc................................... 999,847 49,342,449 0.6%
Other Securities.............................................. 38,760,162 0.4%
-------------- ------
Total Telecommunication Services.................................... 179,210,435 2.0%
-------------- ------
Utilities -- (1.7%)
Other Securities.............................................. 160,059,351 1.8%
-------------- ------
TOTAL COMMON STOCKS 8,862,067,672 99.7%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Consumer Discretionary -- (0.0%)
Other Securities.............................................. 223,870 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 55,145 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES 8,862,346,687
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 26,508,154 26,508,154 0.3%
-------------- ------
SECURITIES LENDING COLLATERAL -- (7.0%)
(S)@ DFA Short Term Investment Fund................................ 57,920,500 670,140,183 7.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,781,091,497)........................................... $9,558,995,024 107.5%
============== ======
17
T.A. U.S. CORE EQUITY 2 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...... $1,322,953,244 -- -- $1,322,953,244
Consumer Staples............ 484,929,542 -- -- 484,929,542
Energy...................... 548,673,619 -- -- 548,673,619
Financials.................. 1,717,759,562 $ 21,053 -- 1,717,780,615
Health Care................. 1,000,105,507 -- -- 1,000,105,507
Industrials................. 1,285,671,422 -- -- 1,285,671,422
Information Technology...... 1,722,282,027 -- -- 1,722,282,027
Materials................... 404,014,206 -- -- 404,014,206
Real Estate................. 36,387,704 -- -- 36,387,704
Telecommunication Services.. 179,210,435 -- -- 179,210,435
Utilities................... 160,059,351 -- -- 160,059,351
Preferred Stocks
Consumer Discretionary...... 223,870 -- -- 223,870
Rights/Warrants............... -- 55,145 -- 55,145
Temporary Cash Investments.... 26,508,154 -- -- 26,508,154
Securities Lending Collateral. -- 670,140,183 -- 670,140,183
-------------- ------------ -- --------------
TOTAL......................... $8,888,778,643 $670,216,381 -- $9,558,995,024
============== ============ == ==============
See accompanying Notes to Financial Statements.
18
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (97.9%)
AUSTRALIA -- (5.2%)
Australia & New Zealand Banking Group, Ltd.. 2,542,612 $ 51,112,057 1.2%
BHP Billiton, Ltd........................... 1,122,988 26,198,465 0.6%
Woodside Petroleum, Ltd..................... 1,002,060 24,283,410 0.6%
Other Securities............................ 112,218,003 2.7%
------------ -----
TOTAL AUSTRALIA................................. 213,811,935 5.1%
------------ -----
AUSTRIA -- (0.1%)
Other Securities............................ 5,986,353 0.1%
------------ -----
BELGIUM -- (1.2%)
Other Securities............................ 49,968,333 1.2%
------------ -----
CANADA -- (8.1%)
Bank of Montreal............................ 521,905 39,628,247 1.0%
Canadian Natural Resources, Ltd............. 691,089 24,934,491 0.6%
Suncor Energy, Inc.......................... 1,023,634 39,145,166 0.9%
Other Securities............................ 232,303,490 5.6%
------------ -----
TOTAL CANADA.................................... 336,011,394 8.1%
------------ -----
DENMARK -- (1.5%)
Other Securities............................ 60,175,869 1.4%
------------ -----
FINLAND -- (1.1%)
Other Securities............................ 43,514,073 1.0%
------------ -----
FRANCE -- (10.1%)
AXA SA...................................... 665,668 19,037,195 0.5%
BNP Paribas SA.............................. 778,765 60,120,080 1.4%
Engie SA.................................... 1,800,009 31,574,818 0.8%
Orange SA................................... 1,970,214 35,817,741 0.9%
# Peugeot SA.................................. 931,406 22,934,547 0.5%
Renault SA.................................. 313,901 34,021,063 0.8%
Societe Generale SA......................... 430,366 23,553,391 0.6%
Total SA.................................... 2,003,563 125,927,313 3.0%
Other Securities............................ 62,192,864 1.5%
------------ -----
TOTAL FRANCE.................................... 415,179,012 10.0%
------------ -----
GERMANY -- (6.8%)
Bayerische Motoren Werke AG................. 355,620 39,538,502 0.9%
Daimler AG.................................. 1,020,223 80,207,942 1.9%
RWE AG...................................... 901,332 21,543,391 0.5%
Other Securities............................ 140,236,279 3.5%
------------ -----
TOTAL GERMANY................................... 281,526,114 6.8%
------------ -----
HONG KONG -- (2.8%)
CK Hutchison Holdings, Ltd.................. 2,278,348 26,941,137 0.7%
Other Securities............................ 88,948,668 2.1%
------------ -----
TOTAL HONG KONG................................. 115,889,805 2.8%
------------ -----
IRELAND -- (0.3%)
Other Securities............................ 11,752,714 0.3%
------------ -----
19
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
ISRAEL -- (0.3%)
Other Securities...................... $ 12,433,354 0.3%
------------ -----
ITALY -- (2.1%)
Fiat Chrysler Automobiles NV.......... 814,171 18,089,877 0.5%
UniCredit SpA......................... 1,398,948 30,329,072 0.7%
Other Securities...................... 38,513,109 0.9%
------------ -----
TOTAL ITALY............................... 86,932,058 2.1%
------------ -----
JAPAN -- (23.0%)
Hitachi, Ltd.......................... 3,112,000 22,713,107 0.5%
Honda Motor Co., Ltd.................. 1,399,700 48,129,994 1.2%
Mitsubishi Corp....................... 761,900 21,009,811 0.5%
Mitsubishi UFJ Financial Group, Inc... 4,280,634 28,685,993 0.7%
Mizuho Financial Group, Inc........... 10,873,500 19,672,735 0.5%
Nissan Motor Co., Ltd................. 1,904,600 20,037,282 0.5%
Sumitomo Mitsui Financial Group, Inc.. 900,727 37,540,717 0.9%
Toyota Motor Corp..................... 1,805,488 118,390,080 2.8%
Other Securities...................... 633,534,503 15.2%
------------ -----
TOTAL JAPAN............................... 949,714,222 22.8%
------------ -----
NETHERLANDS -- (3.7%)
ING Groep NV.......................... 1,741,138 29,339,063 0.7%
Koninklijke Ahold Delhaize NV......... 1,346,177 32,475,811 0.8%
Koninklijke DSM NV.................... 198,898 20,556,657 0.5%
Other Securities...................... 69,977,436 1.7%
------------ -----
TOTAL NETHERLANDS......................... 152,348,967 3.7%
------------ -----
NEW ZEALAND -- (0.2%)
Other Securities...................... 6,288,216 0.2%
------------ -----
NORWAY -- (0.8%)
Other Securities...................... 33,367,961 0.8%
------------ -----
PORTUGAL -- (0.0%)
Other Securities...................... 1,816,950 0.0%
------------ -----
SINGAPORE -- (1.0%)
Other Securities...................... 41,517,528 1.0%
------------ -----
SPAIN -- (2.7%)
Banco Santander SA.................... 9,958,998 64,344,304 1.6%
Repsol SA............................. 1,611,504 30,752,017 0.8%
Other Securities...................... 15,393,110 0.3%
------------ -----
TOTAL SPAIN............................... 110,489,431 2.7%
------------ -----
SWEDEN -- (2.7%)
Nordea Bank AB........................ 2,287,912 23,269,553 0.6%
Other Securities...................... 88,316,983 2.1%
------------ -----
TOTAL SWEDEN.............................. 111,586,536 2.7%
------------ -----
SWITZERLAND -- (7.5%)
Cie Financiere Richemont SA........... 336,934 32,028,494 0.8%
LafargeHolcim, Ltd.................... 321,383 17,853,306 0.4%
Novartis AG........................... 694,844 53,485,125 1.3%
Swiss Re AG........................... 237,102 22,588,524 0.5%
20
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
UBS Group AG.................................... 1,170,317 $ 19,643,643 0.5%
Zurich Insurance Group AG....................... 133,732 42,718,737 1.0%
Other Securities................................ 120,761,642 2.9%
-------------- -----
TOTAL SWITZERLAND..................................... 309,079,471 7.4%
-------------- -----
UNITED KINGDOM -- (16.7%)
Anglo American P.L.C............................ 1,634,163 38,450,630 0.9%
BP P.L.C. Sponsored ADR......................... 2,849,521 127,060,153 3.1%
Glencore P.L.C.................................. 4,325,222 20,834,568 0.5%
HSBC Holdings P.L.C............................. 1,825,724 18,176,867 0.4%
HSBC Holdings P.L.C. Sponsored ADR.............. 1,452,878 73,021,648 1.8%
Lloyds Banking Group P.L.C...................... 55,980,496 49,651,723 1.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 1,096,933 76,675,599 1.8%
Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 967,420 70,060,556 1.7%
Vodafone Group P.L.C............................ 21,750,556 63,472,695 1.5%
Other Securities................................ 150,617,799 3.6%
-------------- -----
TOTAL UNITED KINGDOM.................................. 688,022,238 16.5%
-------------- -----
TOTAL COMMON STOCKS................................... 4,037,412,534 97.0%
-------------- -----
PREFERRED STOCKS -- (1.3%)
GERMANY -- (1.3%)
Volkswagen AG................................... 198,299 40,896,157 1.0%
Other Securities................................ 13,039,529 0.3%
-------------- -----
TOTAL GERMANY......................................... 53,935,686 1.3%
-------------- -----
TOTAL PREFERRED STOCKS................................ 53,935,686 1.3%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
TOTAL INVESTMENT SECURITIES........................... 4,091,348,220
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (0.8%)
(S)@ DFA Short Term Investment Fund.................. 2,847,279 32,943,020 0.8%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,461,189,342)............................. $4,124,291,240 99.1%
============== =====
At April 30, 2018, Tax-Managed DFA International Value Portfolio had entered
into the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
MSCI EAFE Index Future.. 65 06/15/18 $ 6,580,980 $ 6,586,125 $ 5,145
S&P 500(R) Emini Index.. 201 06/15/18 27,515,300 26,602,350 (912,950)
----------- ----------- ---------
TOTAL FUTURES CONTRACTS. $34,096,280 $33,188,475 $(907,805)
=========== =========== =========
21
TAX-MANAGED DFA INTERNATIONAL 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................... $ 2,969,710 $ 210,842,225 -- $ 213,811,935
Austria..................... -- 5,986,353 -- 5,986,353
Belgium..................... -- 49,968,333 -- 49,968,333
Canada...................... 336,011,394 -- -- 336,011,394
Denmark..................... -- 60,175,869 -- 60,175,869
Finland..................... -- 43,514,073 -- 43,514,073
France...................... 257,179 414,921,833 -- 415,179,012
Germany..................... 20,243,402 261,282,712 -- 281,526,114
Hong Kong................... -- 115,889,805 -- 115,889,805
Ireland..................... 4,854,786 6,897,928 -- 11,752,714
Israel...................... -- 12,433,354 -- 12,433,354
Italy....................... 6,337,249 80,594,809 -- 86,932,058
Japan....................... 16,604,387 933,109,835 -- 949,714,222
Netherlands................. 10,746,604 141,602,363 -- 152,348,967
New Zealand................. -- 6,288,216 -- 6,288,216
Norway...................... 1,423,693 31,944,268 -- 33,367,961
Portugal.................... -- 1,816,950 -- 1,816,950
Singapore................... -- 41,517,528 -- 41,517,528
Spain....................... 13,457 110,475,974 -- 110,489,431
Sweden...................... -- 111,586,536 -- 111,586,536
Switzerland................. 21,171,728 287,907,743 -- 309,079,471
United Kingdom.............. 388,953,957 299,068,281 -- 688,022,238
Preferred Stocks
Germany..................... -- 53,935,686 -- 53,935,686
Securities Lending Collateral. -- 32,943,020 -- 32,943,020
Futures Contracts**........... (907,805) -- -- (907,805)
------------ -------------- -- --------------
TOTAL......................... $808,679,741 $3,314,703,694 -- $4,123,383,435
============ ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
22
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (98.4%)
AUSTRALIA -- (4.3%)
BHP Billiton, Ltd................................... 414,517 $ 9,670,370 0.3%
Macquarie Group, Ltd................................ 70,545 5,745,079 0.2%
Other Securities.................................... 143,911,290 3.8%
------------ ----
TOTAL AUSTRALIA......................................... 159,326,739 4.3%
------------ ----
AUSTRIA -- (0.5%)
Other Securities.................................... 19,277,291 0.5%
------------ ----
BELGIUM -- (1.0%)
Other Securities.................................... 37,708,035 1.0%
------------ ----
BRAZIL -- (1.4%)
Vale SA............................................. 486,553 6,759,684 0.2%
Other Securities.................................... 45,889,095 1.2%
------------ ----
TOTAL BRAZIL............................................ 52,648,779 1.4%
------------ ----
CANADA -- (6.0%)
Royal Bank of Canada................................ 69,446 5,281,368 0.2%
Toronto-Dominion Bank (The)......................... 92,478 5,193,807 0.2%
Other Securities.................................... 215,943,952 5.6%
------------ ----
TOTAL CANADA............................................ 226,419,127 6.0%
------------ ----
CHILE -- (0.3%)
Other Securities.................................... 12,447,988 0.3%
------------ ----
CHINA -- (7.7%)
China Construction Bank Corp. Class H............... 12,259,200 12,843,455 0.4%
#* China Evergrande Group.............................. 2,232,000 7,070,024 0.2%
Geely Automobile Holdings, Ltd...................... 2,045,000 5,378,410 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 10,068,460 8,838,910 0.3%
Ping An Insurance Group Co. of China, Ltd. Class H.. 722,000 7,054,951 0.2%
Tencent Holdings, Ltd............................... 194,500 9,562,181 0.3%
Other Securities.................................... 235,904,746 6.0%
------------ ----
TOTAL CHINA............................................. 286,652,677 7.6%
------------ ----
COLOMBIA -- (0.1%)
Other Securities.................................... 3,407,748 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 1,036,155 0.0%
------------ ----
DENMARK -- (1.2%)
Other Securities.................................... 43,740,774 1.2%
------------ ----
EGYPT -- (0.0%)
Other Securities.................................... 154,473 0.0%
------------ ----
FINLAND -- (1.4%)
UPM-Kymmene Oyj..................................... 210,965 7,527,568 0.2%
Other Securities.................................... 44,209,084 1.2%
------------ ----
TOTAL FINLAND........................................... 51,736,652 1.4%
------------ ----
23
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FRANCE -- (5.6%)
BNP Paribas SA............................... 91,698 $ 7,079,018 0.2%
Cie Generale des Etablissements Michelin SCA. 44,181 6,212,859 0.2%
Engie SA..................................... 297,419 5,217,169 0.2%
Orange SA.................................... 397,540 7,227,126 0.2%
Peugeot SA................................... 228,135 5,617,500 0.2%
Total SA..................................... 222,395 13,977,901 0.4%
Other Securities............................. 163,732,221 4.2%
------------ -----
TOTAL FRANCE..................................... 209,063,794 5.6%
------------ -----
GERMANY -- (5.3%)
Allianz SE................................... 28,581 6,760,087 0.2%
BASF SE...................................... 125,517 13,059,216 0.4%
Bayerische Motoren Werke AG.................. 65,039 7,231,159 0.2%
Daimler AG................................... 179,552 14,116,028 0.4%
Deutsche Telekom AG.......................... 460,839 8,066,348 0.2%
E.ON SE...................................... 507,298 5,554,790 0.2%
Other Securities............................. 142,953,226 3.7%
------------ -----
TOTAL GERMANY.................................... 197,740,854 5.3%
------------ -----
GREECE -- (0.1%)
Other Securities............................. 2,876,403 0.1%
------------ -----
HONG KONG -- (2.0%)
AIA Group, Ltd............................... 751,000 6,711,835 0.2%
Other Securities............................. 69,612,827 1.8%
------------ -----
TOTAL HONG KONG.................................. 76,324,662 2.0%
------------ -----
HUNGARY -- (0.1%)
Other Securities............................. 3,323,929 0.1%
------------ -----
INDIA -- (2.9%)
Other Securities............................. 109,233,239 2.9%
------------ -----
INDONESIA -- (0.6%)
Other Securities............................. 22,401,420 0.6%
------------ -----
IRELAND -- (0.4%)
Other Securities............................. 16,335,785 0.4%
------------ -----
ISRAEL -- (0.5%)
Other Securities............................. 17,957,254 0.5%
------------ -----
ITALY -- (2.3%)
Other Securities............................. 85,301,773 2.3%
------------ -----
JAPAN -- (17.9%)
Hitachi, Ltd................................. 742,000 5,415,529 0.2%
Honda Motor Co., Ltd......................... 249,900 8,593,045 0.3%
Nissan Motor Co., Ltd........................ 515,200 5,420,145 0.2%
Toyota Motor Corp............................ 270,373 17,728,991 0.5%
Toyota Motor Corp. Sponsored ADR............. 42,528 5,570,317 0.2%
Other Securities............................. 627,889,828 16.5%
------------ -----
TOTAL JAPAN...................................... 670,617,855 17.9%
------------ -----
24
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (0.7%)
Other Securities.................. $ 25,843,299 0.7%
------------ ----
MEXICO -- (0.8%)
Other Securities.................. 28,004,660 0.8%
------------ ----
NETHERLANDS -- (2.1%)
Akzo Nobel NV..................... 64,558 5,846,263 0.2%
Koninklijke Ahold Delhaize NV..... 233,772 5,639,627 0.2%
Koninklijke DSM NV................ 57,969 5,991,256 0.2%
Other Securities.................. 61,050,150 1.5%
------------ ----
TOTAL NETHERLANDS..................... 78,527,296 2.1%
------------ ----
NEW ZEALAND -- (0.3%)
Other Securities.................. 12,363,750 0.3%
------------ ----
NORWAY -- (0.7%)
Other Securities.................. 25,327,818 0.7%
------------ ----
PERU -- (0.0%)
Other Securities.................. 808,727 0.0%
------------ ----
PHILIPPINES -- (0.3%)
Other Securities.................. 9,370,212 0.3%
------------ ----
POLAND -- (0.3%)
Other Securities.................. 12,164,623 0.3%
------------ ----
PORTUGAL -- (0.2%)
Other Securities.................. 7,553,944 0.2%
------------ ----
RUSSIA -- (0.3%)
Other Securities.................. 9,902,052 0.3%
------------ ----
SINGAPORE -- (0.9%)
Other Securities.................. 32,358,230 0.9%
------------ ----
SOUTH AFRICA -- (2.0%)
Other Securities.................. 74,734,544 2.0%
------------ ----
SOUTH KOREA -- (4.2%)
Samsung Electronics Co., Ltd...... 5,671 14,052,718 0.4%
Samsung Electronics Co., Ltd. GDR. 8,033 9,833,940 0.3%
SK Hynix, Inc..................... 69,101 5,434,378 0.2%
Other Securities.................. 129,733,156 3.3%
------------ ----
TOTAL SOUTH KOREA..................... 159,054,192 4.2%
------------ ----
SPAIN -- (1.8%)
Banco Santander SA................ 910,974 5,885,732 0.2%
Other Securities.................. 60,627,442 1.6%
------------ ----
TOTAL SPAIN........................... 66,513,174 1.8%
------------ ----
SWEDEN -- (2.0%)
Other Securities.................. 75,900,908 2.0%
------------ ----
SWITZERLAND -- (4.0%)
ABB, Ltd.......................... 219,337 5,113,965 0.2%
Nestle SA......................... 261,736 20,276,708 0.6%
25
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Novartis AG Sponsored ADR....................... 117,451 $ 9,007,317 0.3%
Other Securities................................ 115,608,129 2.9%
-------------- -----
TOTAL SWITZERLAND................................... 150,006,119 4.0%
-------------- -----
TAIWAN -- (3.6%)
Other Securities................................ 135,525,715 3.6%
-------------- -----
THAILAND -- (0.7%)
Other Securities................................ 27,059,947 0.7%
-------------- -----
TURKEY -- (0.3%)
Other Securities................................ 11,331,227 0.3%
-------------- -----
UNITED KINGDOM -- (11.6%)
Anglo American P.L.C............................ 444,183 10,451,293 0.3%
BP P.L.C. Sponsored ADR......................... 434,904 19,392,373 0.5%
HSBC Holdings P.L.C. Sponsored ADR.............. 236,494 11,886,188 0.3%
Rio Tinto P.L.C. Sponsored ADR.................. 118,367 6,504,267 0.2%
Royal Dutch Shell P.L.C. Class A................ 177,300 6,168,464 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A. 181,989 12,721,013 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR, Class B. 143,548 10,395,746 0.3%
Tesco P.L.C..................................... 2,119,528 6,865,017 0.2%
Vodafone Group P.L.C............................ 3,846,396 11,224,594 0.3%
Other Securities................................ 340,661,044 8.9%
-------------- -----
TOTAL UNITED KINGDOM................................ 436,269,999 11.6%
-------------- -----
TOTAL COMMON STOCKS................................. 3,684,353,842 98.3%
-------------- -----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.5%)
Other Securities................................ 18,029,572 0.5%
-------------- -----
CHILE -- (0.0%)
Other Securities................................ 119,452 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities................................ 621,412 0.0%
-------------- -----
GERMANY -- (0.4%)
Volkswagen AG................................... 37,158 7,663,273 0.2%
Other Securities................................ 8,405,830 0.2%
-------------- -----
TOTAL GERMANY....................................... 16,069,103 0.4%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities................................ 7,790 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities................................ 46,230 0.0%
-------------- -----
TOTAL PREFERRED STOCKS.............................. 34,893,559 0.9%
-------------- -----
26
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
RIGHTS/WARRANTS -- (0.0%)
FRANCE -- (0.0%)
Other Securities................ $ 114 0.0%
-------------- -----
INDONESIA -- (0.0%)
Other Securities................ 35,560 0.0%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities................ 268 0.0%
-------------- -----
NORWAY -- (0.0%)
Other Securities................ 51 0.0%
-------------- -----
SINGAPORE -- (0.0%)
Other Securities................ 3,447 0.0%
-------------- -----
SPAIN -- (0.0%)
Other Securities................ 1,789 0.0%
-------------- -----
TAIWAN -- (0.0%)
Other Securities................ 947 0.0%
-------------- -----
THAILAND -- (0.0%)
Other Securities................ 593 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS.................. 42,769 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES............ 3,719,290,170
--------------
VALUE+
- ------ -
SECURITIES LENDING COLLATERAL -- (0.7%)
(S)@ DFA Short Term Investment Fund.. 2,238,723 25,902,027 0.7%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,841,224,954).............. $3,745,192,197 99.9%
============== =====
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...... $ 2,846,169 $156,480,570 -- $159,326,739
Austria........ -- 19,277,291 -- 19,277,291
Belgium........ 984,566 36,723,469 -- 37,708,035
Brazil......... 52,648,779 -- -- 52,648,779
Canada......... 226,419,127 -- -- 226,419,127
Chile.......... 3,498,443 8,949,545 -- 12,447,988
China.......... 32,644,544 254,008,133 -- 286,652,677
Colombia....... 3,407,748 -- -- 3,407,748
Czech Republic. -- 1,036,155 -- 1,036,155
Denmark........ 977,291 42,763,483 -- 43,740,774
Egypt.......... -- 154,473 -- 154,473
Finland........ 35,613 51,701,039 -- 51,736,652
France......... 3,236,279 205,827,515 -- 209,063,794
Germany........ 7,383,664 190,357,190 -- 197,740,854
Greece......... -- 2,876,403 -- 2,876,403
27
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Hong Kong................... $ 389,271 $ 75,935,391 -- $ 76,324,662
Hungary..................... -- 3,323,929 -- 3,323,929
India....................... 2,720,931 106,512,308 -- 109,233,239
Indonesia................... 323,132 22,078,288 -- 22,401,420
Ireland..................... 2,435,491 13,900,294 -- 16,335,785
Israel...................... 2,640,729 15,316,525 -- 17,957,254
Italy....................... 2,755,191 82,546,582 -- 85,301,773
Japan....................... 15,529,317 655,088,538 -- 670,617,855
Malaysia.................... -- 25,843,299 -- 25,843,299
Mexico...................... 28,003,778 882 -- 28,004,660
Netherlands................. 14,560,522 63,966,774 -- 78,527,296
New Zealand................. 30,290 12,333,460 -- 12,363,750
Norway...................... 1,021,987 24,305,831 -- 25,327,818
Peru........................ 808,574 153 -- 808,727
Philippines................. 129,808 9,240,404 -- 9,370,212
Poland...................... -- 12,164,623 -- 12,164,623
Portugal.................... -- 7,553,944 -- 7,553,944
Russia...................... 2,182,451 7,719,601 -- 9,902,052
Singapore................... 8,492 32,349,738 -- 32,358,230
South Africa................ 6,396,060 68,338,484 -- 74,734,544
South Korea................. 6,533,894 152,520,298 -- 159,054,192
Spain....................... 3,979,857 62,533,317 -- 66,513,174
Sweden...................... 683,275 75,217,633 -- 75,900,908
Switzerland................. 15,459,712 134,546,407 -- 150,006,119
Taiwan...................... 6,112,566 129,413,149 -- 135,525,715
Thailand.................... 27,047,302 12,645 -- 27,059,947
Turkey...................... 79,208 11,252,019 -- 11,331,227
United Kingdom.............. 94,933,630 341,336,369 -- 436,269,999
Preferred Stocks
Brazil...................... 18,029,572 -- -- 18,029,572
Chile....................... -- 119,452 -- 119,452
Colombia.................... 621,412 -- -- 621,412
Germany..................... -- 16,069,103 -- 16,069,103
Malaysia.................... 7,790 -- -- 7,790
South Korea................. 46,230 -- -- 46,230
Rights/Warrants
France...................... -- 114 -- 114
Indonesia................... -- 35,560 -- 35,560
Malaysia.................... -- 268 -- 268
Norway...................... -- 51 -- 51
Singapore................... -- 3,447 -- 3,447
Spain....................... -- 1,789 -- 1,789
Taiwan...................... -- 947 -- 947
Thailand.................... -- 593 -- 593
Securities Lending Collateral. -- 25,902,027 -- 25,902,027
------------ -------------- -- --------------
TOTAL......................... $587,552,695 $3,157,639,502 -- $3,745,192,197
============ ============== == ==============
See accompanying Notes to Financial Statements.
28
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED TAX-MANAGED TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY U.S. TARGETED U.S. SMALL CAP
VALUE PORTFOLIO PORTFOLIO* VALUE PORTFOLIO* PORTFOLIO*
--------------- -------------- ---------------- --------------
ASSETS:
Investments in Affiliated Investment Company at
Value............................................... $ 4,967,322 -- -- --
Investments at Value (including $0, $324,822,
$848,861 and $723,224 of securities on loan,
respectively)....................................... -- $ 3,459,132 $ 4,793,332 $ 3,013,457
Temporary Cash Investments at Value & Cost........... -- 7,087 13,507 3,905
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $191,918,
$510,746 and $496,749).............................. -- 191,922 510,760 496,758
Foreign Currencies at Value.......................... -- -- 15 11
Receivables:
Investment Securities/Affiliated Investment
Company Sold...................................... -- -- 1,586 1,041
Dividends, Interest and Tax Reclaims............... -- 2,696 1,271 693
Securities Lending Income.......................... -- 84 226 278
Fund Shares Sold................................... 2,262 752 1,798 1,146
Prepaid Expenses and Other Assets.................... 38 29 55 31
-------------- -------------- -------------- --------------
Total Assets.................................... 4,969,622 3,661,702 5,322,550 3,517,320
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... -- 191,920 510,745 496,778
Investment Securities/Affiliated Investment
Company Purchased................................. -- -- 889 1,311
Fund Shares Redeemed............................... 867 866 1,171 709
Due to Advisor..................................... 616 573 1,673 1,249
Accrued Expenses and Other Liabilities............... 172 228 284 177
-------------- -------------- -------------- --------------
Total Liabilities............................... 1,655 193,587 514,762 500,224
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 4,967,967 $ 3,468,115 $ 4,807,788 $ 3,017,096
============== ============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).............. 164,500,734 119,916,880 130,098,782 69,053,930
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE.......................... $ 30.20 $ 28.92 $ 36.95 $ 43.69
============== ============== ============== ==============
Investments at Cost.................................. N/A $ 1,794,480 $ 2,797,555 $ 1,663,949
============== ============== ============== ==============
Foreign Currencies at Cost........................... $ -- $ -- $ 15 $ 11
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 2,627,101 $ 1,797,482 $ 2,711,683 $ 1,591,007
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 10,467 4,428 2,350 1,050
Accumulated Net Realized Gain (Loss)................. 84,675 1,544 97,964 75,522
Net Unrealized Appreciation (Depreciation)........... 2,245,724 1,664,661 1,995,791 1,349,517
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 4,967,967 $ 3,468,115 $ 4,807,788 $ 3,017,096
============== ============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED...................... 1,700,000,000 1,500,000,000 1,700,000,000 1,500,000,000
============== ============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
29
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED T.A. WORLD EX
T.A. U.S. CORE DFA U.S. CORE
EQUITY 2 INTERNATIONAL EQUITY
PORTFOLIO* VALUE PORTFOLIO* PORTFOLIO*
-------------- ---------------- --------------
ASSETS:
Investments at Value (including $1,097,203, $28,843 and $57,098 of
securities on loan, respectively).................................. $ 8,862,347 $ 4,091,348 $ 3,719,290
Temporary Cash Investments at Value & Cost.......................... 26,508 -- --
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $670,127, $32,943 and $25,901).................. 670,140 32,943 25,902
Segregated Cash for Futures Contracts............................... -- 1,458 --
Foreign Currencies at Value......................................... -- 31,940 6,461
Cash................................................................ -- 23,764 9,391
Receivables:
Investment Securities Sold........................................ -- 11,184 2,966
Dividends, Interest and Tax Reclaims.............................. 5,875 24,349 14,252
Securities Lending Income......................................... 334 93 198
Fund Shares Sold.................................................. 8,170 1,351 5,778
Prepaid Expenses and Other Assets................................... 103 51 54
-------------- -------------- --------------
Total Assets................................................... 9,573,477 4,218,481 3,784,292
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 670,208 32,954 25,901
Investment Securities Purchased................................... 5,264 21,157 5,493
Fund Shares Redeemed.............................................. 3,105 721 869
Due to Advisor.................................................... 1,614 1,698 981
Futures Margin Variation.......................................... -- 272 --
Unrealized Loss on Foreign Currency Contracts....................... -- 10 1
Accrued Expenses and Other Liabilities.............................. 402 370 506
-------------- -------------- --------------
Total Liabilities.............................................. 680,593 57,182 33,751
-------------- -------------- --------------
NET ASSETS.......................................................... $ 8,892,884 $ 4,161,299 $ 3,750,541
============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 495,734,751 244,480,997 314,882,013
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 17.94 $ 17.02 $ 11.91
============== ============== ==============
Investments at Cost................................................. $ 5,084,456 $ 3,428,246 $ 2,815,324
============== ============== ==============
Foreign Currencies at Cost.......................................... $ -- $ 32,329 $ 6,491
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 5,087,315 $ 3,460,885 $ 2,858,916
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 11,038 33,128 20,512
Accumulated Net Realized Gain (Loss)................................ 16,627 5,795 (32,587)
Net Unrealized Foreign Exchange Gain (Loss)......................... -- (325) (237)
Net Unrealized Appreciation (Depreciation).......................... 3,777,904 661,816 903,937
-------------- -------------- --------------
NET ASSETS.......................................................... $ 8,892,884 $ 4,161,299 $ 3,750,541
============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED..................................... 2,000,000,000 1,700,000,000 1,500,000,000
============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
30
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
U.S. TAX-MANAGED TAX-MANAGED
MARKETWIDE TAX-MANAGED U.S. TARGETED U.S. SMALL
VALUE U.S. EQUITY VALUE CAP
PORTFOLIO*# PORTFOLIO# PORTFOLIO# PORTFOLIO#
----------- ----------- ------------- -----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $3, $0, $0, and
$0, respectively).............................................. $ 54,714 -- -- --
Interest........................................................ 24 -- -- --
Income from Securities Lending.................................. 321 -- -- --
Expenses Allocated from Affiliated Investment Company........... (5,242) -- -- --
-------- -------- -------- --------
Total Net Investment Income Received from Affiliated
Investment Company............................................ 49,817 -- -- --
-------- -------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $2, $14, and $7,
respectively).................................................... -- $ 30,598 $ 34,380 $ 20,607
Non Cash Income................................................... -- -- 2,091 --
Income from Securities Lending.................................... -- 417 1,592 1,662
-------- -------- -------- --------
Total Investment Income........................................ -- 31,015 38,063 22,269
-------- -------- -------- --------
FUND EXPENSES
Investment Management Fees...................................... 8,766 3,448 10,073 7,460
Accounting & Transfer Agent Fees................................ 49 103 157 100
Custodian Fees.................................................. -- 18 27 19
Filing Fees..................................................... 34 29 44 28
Shareholders' Reports........................................... 34 20 34 24
Directors'/Trustees' Fees & Expenses............................ 19 13 19 12
Professional Fees............................................... 12 20 28 18
Other........................................................... 13 43 58 37
-------- -------- -------- --------
Total Expenses................................................. 8,927 3,694 10,440 7,698
-------- -------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)........................ (5,009) -- -- --
-------- -------- -------- --------
Net Expenses...................................................... 3,918 3,694 10,440 7,698
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS)...................................... 45,899 27,321 27,623 14,571
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................... -- 1,479 99,906 78,122
Affiliated Investment Companies Shares Sold..................... -- (53) (57) (39)
Transactions Allocated from Affiliated Investment Company....... 84,777 -- -- --
Futures......................................................... -- -- 1,400 485
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... -- 103,659 (45,399) (41,759)
Affiliated Investment Companies Shares.......................... -- 30 11 (7)
Transactions Allocated from Affiliated Investment Company....... 44,649 -- -- --
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 129,426 105,115 55,861 36,802
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS......................................................... $175,325 $132,436 $ 83,484 $ 51,373
======== ======== ======== ========
----------
* 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.
31
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA T.A. WORLD EX
T.A. U.S. CORE INTERNATIONAL U.S. CORE
EQUITY 2 VALUE EQUITY
PORTFOLIO# PORTFOLIO# PORTFOLIO#
-------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $13, $7,066, and $4,349,
respectively)........................................................ $ 73,610 $ 64,326 $ 41,918
Non Cash Income....................................................... -- 3,901 --
Income from Securities Lending........................................ 1,998 459 597
-------- -------- --------
Total Investment Income............................................ 75,608 68,686 42,515
-------- -------- --------
FUND EXPENSES
Investment Management Fees............................................ 9,579 10,138 5,744
Accounting & Transfer Agent Fees...................................... 243 144 120
Custodian Fees........................................................ 42 165 367
Filing Fees........................................................... 71 43 30
Shareholders' Reports................................................. 37 34 25
Directors'/Trustees' Fees & Expenses.................................. 33 16 14
Professional Fees..................................................... 49 26 33
Other................................................................. 101 63 59
-------- -------- --------
Total Expenses..................................................... 10,155 10,629 6,392
-------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)........................................ -- -- --
Fees Paid Indirectly (Note C)......................................... -- (32) (31)
-------- -------- --------
Net Expenses.......................................................... 10,155 10,597 6,361
-------- -------- --------
NET INVESTMENT INCOME (LOSS).......................................... 65,453 58,089 36,154
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................................ 17,421 58,764 14,927
Affiliated Investment Companies Shares Sold......................... (41) (9) (5)
Futures............................................................. 754 1,830 --
Foreign Currency Transactions....................................... -- 33 18
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 216,579 71,049 84,490
Affiliated Investment Companies Shares.............................. (36) 1 2
Futures............................................................. -- (1,568) --
Translation of Foreign Currency Denominated Amounts................. -- (354) (244)
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................... 234,677 129,746 99,188
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......... $300,130 $187,835 $135,342
======== ======== ========
----------
**Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
32
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S. TAX-MANAGED U.S.
MARKETWIDE VALUE TAX-MANAGED U.S. TARGETED VALUE
PORTFOLIO EQUITY 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).............. $ 45,899 $ 84,869 $ 27,321 $ 51,331 $ 27,623 $ 45,243
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Company Sold*................ -- -- 1,479 226,688 99,906 184,340
Affiliated Investment Companies Shares
Sold*................................... -- -- (53) 46 (57) 48
Transactions Allocated from Affiliated
Investment Company...................... 84,777 156,290 -- -- -- --
Futures.................................. -- 56 -- 3,359 1,400 1,430
Foreign Currency Transactions............ -- -- -- -- -- 2
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ -- -- 103,659 361,678 (45,399) 730,643
Affiliated Investment Companies Shares
Sold.................................... -- -- 30 (59) 11 (86)
Transactions Allocated from Affiliated
Investment Company...................... 44,649 653,780 -- -- -- --
Futures.................................. -- -- -- 507 -- --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 175,325 894,995 132,436 643,550 83,484 961,620
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income..................... (41,086) (82,721) (24,254) (52,066) (26,030) (43,922)
Net Long-Term Gains....................... (151,391) (101,284) -- -- (182,086) (127,982)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions..................... (192,477) (184,005) (24,254) (52,066) (208,116) (171,904)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................. 270,940 471,847 204,232 345,297 307,021 471,241
Shares Issued in Lieu of Cash
Distributions............................ 190,371 181,793 23,765 50,784 206,040 170,374
Shares Redeemed........................... (326,554) (526,743) (178,704) (313,364) (314,322) (470,952)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............. 134,757 126,897 49,293 82,717 198,739 170,663
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................. 117,605 837,887 157,475 674,201 74,107 960,379
NET ASSETS
Beginning of Period....................... 4,850,362 4,012,475 3,310,640 2,636,439 4,733,681 3,773,302
---------- ---------- ---------- ---------- ---------- ----------
End of Period............................. $4,967,967 $4,850,362 $3,468,115 $3,310,640 $4,807,788 $4,733,681
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 8,758 16,503 6,983 13,450 8,171 13,305
Shares Issued in Lieu of Cash
Distributions............................ 6,240 6,410 825 1,962 5,568 4,750
Shares Redeemed........................... (10,587) (18,433) (6,101) (12,181) (8,406) (13,207)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed.................... 4,411 4,480 1,707 3,231 5,333 4,848
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 10,467 $ 5,654 $ 4,428 $ 1,361 $ 2,350 $ 757
TAX-MANAGED 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).............. $ 14,571 $ 23,123
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Company Sold*................ 78,122 82,575
Affiliated Investment Companies Shares
Sold*................................... (39) 8
Transactions Allocated from Affiliated
Investment Company...................... -- --
Futures.................................. 485 294
Foreign Currency Transactions............ -- 3
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ (41,759) 504,335
Affiliated Investment Companies Shares
Sold.................................... (7) (58)
Transactions Allocated from Affiliated
Investment Company...................... -- --
Futures.................................. -- --
---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 51,373 610,280
---------- ----------
Distributions From:
Net Investment Income..................... (13,655) (22,983)
Net Long-Term Gains....................... (82,064) (54,088)
---------- ----------
Total Distributions..................... (95,719) (77,071)
---------- ----------
Capital Share Transactions (1):
Shares Issued............................. 222,617 305,494
Shares Issued in Lieu of Cash
Distributions............................ 94,333 75,950
Shares Redeemed........................... (189,213) (277,642)
---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............. 127,737 103,802
---------- ----------
Total Increase (Decrease) in Net
Assets................................. 83,391 637,011
NET ASSETS
Beginning of Period....................... 2,933,705 2,296,694
---------- ----------
End of Period............................. $3,017,096 $2,933,705
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 5,044 7,440
Shares Issued in Lieu of Cash
Distributions............................ 2,154 1,834
Shares Redeemed........................... (4,288) (6,751)
---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed.................... 2,910 2,523
========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................... $ 1,050 $ 134
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
33
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED DFA
T.A. U.S. CORE EQUITY 2 INTERNATIONAL VALUE T.A. WORLD EX U.S. CORE
PORTFOLIO PORTFOLIO EQUITY 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)...................... $ 65,453 $ 114,522 $ 58,089 $ 103,739 $ 36,154 $ 68,714
Net Realized Gain (Loss) on:
Investment Securities Sold*...................... 17,421 68,376 58,764 50,070 14,927 9,664
Affiliated Investment Companies Shares
Sold............................................ (41) (49) (9) (9) (5) 4
Futures.......................................... 754 -- 1,830 3,348 -- --
Foreign Currency Transactions.................... -- 2 33 (329) 18 (265)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency....... 216,579 1,376,859 71,049 644,611 84,490 582,092
Affiliated Investment Companies Shares
Sold............................................ (36) (68) 1 (6) 2 (7)
Futures.......................................... -- -- (1,568) 1,460 -- --
Translation of Foreign Currency Denominated
Amounts......................................... -- -- (354) 411 (244) 174
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations...................... 300,130 1,559,642 187,835 803,295 135,342 660,376
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income............................. (60,659) (115,587) (36,047) (99,420) (22,268) (68,459)
Net Long-Term Gains............................... (67,325) (231) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................. (127,984) (115,818) (36,047) (99,420) (22,268) (68,459)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued..................................... 905,171 1,216,846 269,401 521,234 428,824 636,884
Shares Issued in Lieu of Cash Distributions....... 126,714 114,916 35,704 98,482 21,944 68,018
Shares Redeemed................................... (542,085) (763,920) (213,663) (410,547) (182,300) (335,168)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions................................... 489,800 567,842 91,442 209,169 268,468 369,734
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets......... 661,946 2,011,666 243,230 913,044 381,542 961,651
NET ASSETS
Beginning of Period............................... 8,230,938 6,219,272 3,918,069 3,005,025 3,368,999 2,407,348
---------- ---------- ---------- ---------- ---------- ----------
End of Period..................................... $8,892,884 $8,230,938 $4,161,299 $3,918,069 $3,750,541 $3,368,999
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 49,763 74,772 15,904 35,464 36,024 62,099
Shares Issued in Lieu of Cash Distributions....... 7,055 7,003 2,172 6,610 1,897 6,507
Shares Redeemed................................... (29,757) (47,107) (12,602) (27,853) (15,302) (32,901)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares Issued
and Redeemed................................... 27,061 34,668 5,474 14,221 22,619 35,705
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 11,038 $ 6,244 $ 33,128 $ 11,086 $ 20,512 $ 6,626
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
34
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE 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........................ $ 30.30 $ 25.79 $ 25.60 $ 25.33 $ 22.35 $ 16.76
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.28 0.54 0.47 0.43 0.35 0.32
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.81 5.14 0.19 0.25 2.98 5.60
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 1.09 5.68 0.66 0.68 3.33 5.92
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.25) (0.52) (0.47) (0.41) (0.35) (0.33)
Net Realized Gains........... (0.94) (0.65) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (1.19) (1.17) (0.47) (0.41) (0.35) (0.33)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 30.20 $ 30.30 $ 25.79 $ 25.60 $ 25.33 $ 22.35
=============================== =========== ========== ========== ========== ========== ==========
Total Return................... 3.60%(C) 22.41% 2.66% 2.73% 14.98% 35.71%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $4,967,967 $4,850,362 $4,012,475 $3,860,871 $3,664,174 $3,110,436
Ratio of Expenses to Average
Net Assets.................... 0.37%(D) 0.37%(B) 0.37%(B) 0.37%(B) 0.37%(B) 0.37%(B)
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.57%(D) 0.57%(B) 0.57%(B) 0.43%(B) 0.37%(B) 0.37%(B)
Ratio of Net Investment Income
to Average Net Assets......... 1.83%(D) 1.87% 1.90% 1.65% 1.45% 1.66%
Portfolio Turnover Rate........ N/A N/A N/A N/A N/A N/A
--------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED U.S. 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........................ $ 28.01 $ 22.93 $ 22.46 $ 21.89 $ 19.20 $ 15.16
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.23 0.44 0.42 0.40 0.34 0.32
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 0.88 5.09 0.48 0.56 2.69 4.05
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 1.11 5.53 0.90 0.96 3.03 4.37
----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.20) (0.45) (0.43) (0.39) (0.34) (0.33)
Net Realized Gains........... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.20) (0.45) (0.43) (0.39) (0.34) (0.33)
----------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 28.92 $ 28.01 $ 22.93 $ 22.46 $ 21.89 $ 19.20
=============================== =========== ========== ========== ========== ========== ==========
Total Return................... 3.98%(C) 24.27% 4.05% 4.47% 15.89% 29.15%
----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $3,468,115 $3,310,640 $2,636,439 $2,494,153 $2,311,451 $1,991,461
Ratio of Expenses to Average
Net Assets.................... 0.21%(D) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)......... 0.21%(D) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income
to Average Net Assets......... 1.58%(D) 1.70% 1.87% 1.79% 1.66% 1.89%
Portfolio Turnover Rate........ 0%(C) 8% 4% 1% 2% 3%
----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. TARGETED VALUE 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........................... $ 37.94 $ 31.47 $ 32.34 $ 33.34 $ 31.06 $ 22.89 $ 44.35
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
-
Net Investment Income
(Loss) (A)..................... 0.22 0.37 0.36 0.39 0.26 0.33 0.21
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... 0.45 7.53 0.28 0.16 3.11 8.69 0.57
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 0.67 7.90 0.64 0.55 3.37 9.02 0.78
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income........... (0.21) (0.36) (0.37) (0.37) (0.27) (0.34) (0.20)
Net Realized Gains.............. (1.45) (1.07) (1.14) (1.18) (0.82) (0.51) (1.24)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (1.66) (1.43) (1.51) (1.55) (1.09) (0.85) (1.44)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 36.95 $ 37.94 $ 31.47 $ 32.34 $ 33.34 $ 31.06 $ 43.69
================================== =========== ========== ========== ========== ========== ========== ===========
Total Return...................... 1.77%(C) 25.40% 2.21% 1.89% 11.10% 40.60% 1.76%(C)
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $4,807,788 $4,733,681 $3,773,302 $3,670,472 $3,572,307 $3,201,053 $3,017,096
Ratio of Expenses to Average Net
Assets........................... 0.44%(D) 0.44% 0.44% 0.44% 0.43% 0.44% 0.52%(D)
Ratio of Net Investment Income to
Average Net Assets............... 1.15%(D) 1.04% 1.17% 1.19% 0.80% 1.24% 0.98%(D)
Portfolio Turnover Rate........... 7%(C) 14% 20% 14% 7% 6% 5%(C)
-----------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
----------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period........................... $ 36.10 $ 36.77 $ 36.99 $ 34.31 $ 24.93
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
-
Net Investment Income
(Loss) (A)..................... 0.36 0.36 0.36 0.25 0.35
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... 9.10 0.92 0.45 2.69 9.40
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 9.46 1.28 0.81 2.94 9.75
----------------------------------------------------------------------------------------------
Less Distributions
-
Net Investment Income........... (0.36) (0.37) (0.34) (0.26) (0.37)
Net Realized Gains.............. (0.85) (1.58) (0.69) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............ (1.21) (1.95) (1.03) (0.26) (0.37)
----------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 44.35 $ 36.10 $ 36.77 $ 36.99 $ 34.31
================================== ========== ========== ========== ========== ==========
Total Return...................... 26.46% 3.75% 2.31% 8.58% 39.55%
----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $2,933,705 $2,296,694 $2,190,308 $2,092,558 $1,872,935
Ratio of Expenses to Average Net
Assets........................... 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to
Average Net Assets............... 0.87% 1.04% 0.96% 0.70% 1.20%
Portfolio Turnover Rate........... 11% 10% 8% 7% 7%
----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. U.S. CORE EQUITY 2 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............................. $ 17.56 $ 14.33 $ 14.09 $ 14.21 $ 12.78 $ 9.75 $ 16.39
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).. 0.14 0.25 0.25 0.24 0.20 0.19 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.51 3.24 0.24 0.05 1.55 3.04 0.54
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 0.65 3.49 0.49 0.29 1.75 3.23 0.78
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.13) (0.26) (0.25) (0.23) (0.20) (0.19) (0.15)
Net Realized Gains................ (0.14) -- -- (0.18) (0.12) (0.01) --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.27) (0.26) (0.25) (0.41) (0.32) (0.20) (0.15)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 17.94 $ 17.56 $ 14.33 $ 14.09 $ 14.21 $ 12.78 $ 17.02
=================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ 3.70%(C) 24.47% 3.55% 2.14% 13.88% 33.58% 4.79%(C)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $8,892,884 $8,230,938 $6,219,272 $5,549,153 $5,056,211 $4,103,753 $4,161,299
Ratio of Expenses to Average
Net Assets......................... 0.23%(D) 0.24% 0.24% 0.24% 0.24% 0.24% 0.52%(D)
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered
by Advisor and (Fees Paid
Indirectly))....................... 0.23%(D) 0.24% 0.24% 0.24% 0.24% 0.24% 0.52%(D)
Ratio of Net Investment Income to
Average Net Assets................. 1.50%(D) 1.56% 1.82% 1.65% 1.51% 1.72% 2.86%(D)
Portfolio Turnover Rate............. 1%(C) 2% 7% 7% 7% 2% 10%(C)
-------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2017 2016 2015 2014 2013
---------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................. $ 13.37 $ 13.87 $ 15.17 $ 15.99 $ 12.91
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).. 0.45 0.42 0.44 0.66 0.39
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 3.00 (0.50) (1.32) (0.83) 3.09
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 3.45 (0.08) (0.88) (0.17) 3.48
---------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.43) (0.42) (0.41) (0.65) (0.40)
Net Realized Gains................ -- -- (0.01) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.43) (0.42) (0.42) (0.65) (0.40)
---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 16.39 $ 13.37 $ 13.87 $ 15.17 $ 15.99
=================================== ========== ========== ========== ========== ==========
Total Return........................ 26.13% (0.30)% (5.93)% (1.29)% 27.39%
---------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $3,918,069 $3,005,025 $2,994,931 $2,977,257 $2,758,384
Ratio of Expenses to Average
Net Assets......................... 0.53% 0.53% 0.53% 0.53% 0.53%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered
by Advisor and (Fees Paid
Indirectly))....................... 0.53% 0.53% 0.53% 0.53% 0.53%
Ratio of Net Investment Income to
Average Net Assets................. 3.01% 3.32% 2.99% 4.13% 2.70%
Portfolio Turnover Rate............. 16% 18% 25% 13% 12%
---------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. WORLD EX U.S. 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.... $ 11.53 $ 9.38 $ 9.30 $ 9.94 $ 10.25 $ 8.56
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.12 0.25 0.23 0.24 0.28 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.33 2.15 0.08 (0.65) (0.30) 1.70
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 0.45 2.40 0.31 (0.41) (0.02) 1.93
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.07) (0.25) (0.23) (0.23) (0.27) (0.24)
Net Realized Gains..................... -- -- -- -- (0.02) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.07) (0.25) (0.23) (0.23) (0.29) (0.24)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 11.91 $ 11.53 $ 9.38 $ 9.30 $ 9.94 $ 10.25
======================================= =========== ========== ========== ========== ========== ==========
Total Return............................ 3.96%(C) 25.86% 3.48% (4.15)% (0.25)% 22.88%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $3,750,541 $3,368,999 $2,407,348 $2,124,313 $1,995,500 $1,725,895
Ratio of Expenses to Average Net Assets. 0.35%(D) 0.39% 0.45% 0.45% 0.45% 0.46%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly))...................... 0.36%(D) 0.39% 0.45% 0.45% 0.45% 0.46%
Ratio of Net Investment Income to
Average Net Assets..................... 2.01%(D) 2.42% 2.57% 2.42% 2.71% 2.45%
Portfolio Turnover Rate................. 1% (C) 4% 7% 5% 8% 2%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
38
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, seven of which (the "Portfolios"), are included in
this section of the report. The remaining ninety-five portfolios are presented
in separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services-Investment Companies."
Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") primarily
invests its assets in The Tax-Managed U.S. Marketwide Value Series (the
"Series"), a corresponding series of The DFA Investment Trust Company. At
April 30, 2018, the Feeder Fund owned 73% of its Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the Feeder
Fund.
Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value
Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2
Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S.
Core Equity Portfolio each invests directly in securities.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S.
Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, and T.A. U.S.
Core Equity 2 Portfolio (the "Domestic Equity Portfolios") and Tax-Managed DFA
International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (the
"International Equity Portfolios"), including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Domestic Equity Portfolios and the International Equity
Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
the Domestic Equity Portfolios and the International Equity Portfolios value
the securities within the range of the most recent quoted bid and ask prices.
Price information on listed securities is taken from the exchange where the
security is
39
primarily traded. Generally, securities issued by open-end management
investment companies are valued using their respective net asset values or
public offering prices, as appropriate, for purchase orders placed at the close
of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Directors of
the Fund has determined that movements in relevant indices or other appropriate
market indicators, after the close of the Tokyo Stock Exchange or the London
Stock Exchange, demonstrate that market quotations may be unreliable. Fair
valuation of portfolio securities may occur on a daily basis. The fair value
pricing by the International Equity Portfolios utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the International Equity
Portfolios use fair value pricing, the values assigned to the foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
Futures contracts held by the Portfolios are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
Tax-Managed U.S. Marketwide Value Portfolio's investment reflects its
proportionate interest in the net assets of the Series. These valuations are
classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings (except for the Feeder Fund). The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the 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 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 exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized.
40
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors may defer payment of all or a portion of their total fees earned as a
Director. These deferred amounts may be treated as though such amounts had been
invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S.
Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Director shall have the right in a notice of election (the
"Notice") to defer the receipt of the Director's deferred compensation until a
date specified by such Director in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director ceases to be a member of the Board of Directors of the
Fund; and (ii) five years following the effective date of the Director's first
deferral election. If a Director who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Director's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Director ceases to be a
member of the Board (unless the Director files an amended Notice selecting a
different distribution date). As of 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 and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to a Portfolio are directly charged. Common expenses of the Fund or the
Portfolios are allocated using methods approved by the Board, generally based
on average net assets.
The Feeder Fund recognizes its pro-rata share of net investment income and
realized and unrealized gains/losses of investment securities, on a daily
basis, from its Series, which is treated as a partnership for federal income
tax purposes.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is a deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
T.A. World ex U.S. Core Equity Portfolio is subject to a 15% tax on
short-term capital gains for investments in India. Such taxes are due upon sale
of individual securities. The capital gains taxes are recognized when the
capital gains are earned.
41
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the six months ended April 30, 2018, the
Portfolios' investment management fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
INVESTMENT
MANAGEMENT FEES
- ---------------
Tax-Managed U.S. Marketwide Value Portfolio... 0.35%
Tax-Managed U.S. Equity Portfolio............. 0.20%
Tax-Managed U.S. Targeted Value Portfolio..... 0.42%
Tax-Managed U.S. Small Cap Portfolio.......... 0.50%
T.A. U.S. Core Equity 2 Portfolio............. 0.22%
Tax-Managed DFA International Value Portfolio. 0.50%
T.A. World ex U.S. Core Equity Portfolio...... 0.32%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (each, a "Fee Waiver Agreement"), the Advisor has contractually
agreed to waive certain fees and in certain instances, assume certain expenses
of the Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity 2 Portfolio,
and T.A. World ex U.S. Core Equity Portfolio, as described in the notes below.
The Fee Waiver Agreement for the Portfolios below will remain in effect through
February 28, 2019, and may only be terminated by the Fund's Board of Directors
prior to that date. Each Fee Waiver Agreement shall continue in effect from
year to year thereafter unless terminated by the Fund or the Advisor. Pursuant
to a Fee Waiver Agreement with the Feeder Fund, the Advisor has contractually
agreed to waive certain management fees paid by the Feeder Fund, as described
in the notes below. The Fee Waiver Agreement with the Feeder Fund will remain
in effect permanently, unless terminated by the Fund. For the six months ended
April 30, 2018, the Portfolios listed had expense limits based on a percentage
of average net assets on an annualized basis, and the Advisor recovered
previously waived fees and/or expenses assumed as listed below (amounts in
thousands). Previously waived fees/expenses assumed subject to future recovery
by the Advisor and the net amount of waived fees/expenses assumed (recovered
previously waived fees/expenses assumed) during the 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
thirty-six months before the date of recovery. With respect to each such 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.
PREVIOUSLY NET WAIVED FEES/
RECOVERY WAIVED FEES/ EXPENSES ASSUMED
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED (RECOVERED PREVIOUSLY
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE WAIVED FEES/
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY EXPENSES ASSUMED)
-------------------------- ---------- ---------------- ----------------- ---------------------
Tax-Managed U.S. Marketwide
Value Portfolio (1).......... 0.35% -- -- $5,009
Tax-Managed U.S. Equity
Portfolio (2)................ 0.22% -- -- --
T.A. U.S. Core Equity 2
Portfolio (3)................ 0.30% -- -- --
T.A. World ex U.S. Core Equity
Portfolio (4)................ 0.39% -- -- --
(1) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Feeder Fund to
the extent necessary to limit the total management fees paid to the Advisor by
the Feeder Fund, including the proportionate share of the management fees the
Feeder Fund pays indirectly through its investment in other funds managed by
the Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market Series"), to the rate listed above as a percentage of the average
net assets of a class of the Feeder Fund on an annualized basis.
42
(2) The Advisor has contractually agreed to waive its management fee and
assume the ordinary operating expenses of a class of the Tax-Managed U.S.
Equity Portfolio (excluding the expenses that the Portfolio incurs indirectly
through investment in other investment companies) ("Portfolio Expenses") to the
extent necessary to reduce the expenses of a class of the Portfolio when its
total operating expenses exceed the rate listed above as a percentage of the
average net assets of a class of the Portfolio on an annualized basis (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of the Portfolio are less than the Expense Limitation Amount for a class
of the Portfolio, the Advisor retains the right to recover any fees previously
waived and/or any expenses previously assumed to the extent that such recovery
will not cause the annualized Portfolio Expenses for such class of shares of
the Portfolio to exceed the Expense Limitation Amount.
(3) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of the
T.A. U.S. Core Equity 2 Portfolio (excluding the expenses that the Portfolio
incurs indirectly through investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of the Portfolio to the rate listed above as a percentage of the average net
assets of a class of the Portfolio on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a class of the
Portfolio are less than the Expense Limitation Amount for such class of shares
of the Portfolio, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery will
not cause the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the applicable Expense Limitation Amount.
(4) The Advisor has agreed to waive all or a portion of its management fee
and to assume the expenses of a class of the T.A. World ex U.S. Core Equity
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in the Money Market Series and its investment in unaffiliated
investment companies) ("Portfolio Expenses") to the extent necessary to limit
the Portfolio Expenses of a class of the Portfolio to the rate listed above as
a percentage of the average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). Prior to January 1, 2017,
the Expense Limitation Amount was 0.60% of the average net assets of such class
of the Portfolio on an annualized basis. At any time that the Portfolio
Expenses of a class of the Portfolio are less than the Expense Limitation
Amount for a class of the Portfolio, the Advisor retains the right to recover
any fees previously waived and/or expenses previously assumed to the extent
that such recovery will not cause the annualized Portfolio Expenses for such
class of shares of the Portfolio to exceed the Expense Limitation Amount.
EARNED INCOME CREDIT:
In addition, certain Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of each Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the six months ended April 30, 2018, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Tax-Managed DFA International Value Portfolio. $32
T.A. World ex U.S. Core Equity Portfolio...... 31
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 to the
CCO by the Fund were $158 (in thousands). The total related amounts paid by
each of the Portfolios are included in Other Expenses on the Statement of
Operations.
43
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):
Tax-Managed U.S. Marketwide Value Portfolio... $132
Tax-Managed U.S. Equity Portfolio............. 125
Tax-Managed U.S. Targeted Value Portfolio..... 133
Tax-Managed U.S. Small Cap Portfolio.......... 79
T.A. U.S. Core Equity 2 Portfolio............. 165
Tax-Managed DFA International Value Portfolio. 113
T.A. World ex U.S. Core Equity Portfolio...... 68
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2018, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities,
in-kind redemptions and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- --------
Tax-Managed U.S. Equity Portfolio............. $ 72,918 $ 9,737
Tax-Managed U.S. Targeted Value Portfolio..... 409,466 331,846
Tax-Managed U.S. Small Cap Portfolio.......... 226,138 137,875
T.A. U.S. Core Equity 2 Portfolio............. 572,859 88,084
Tax-Managed DFA International Value Portfolio. 469,522 394,876
T.A. World ex U.S. Core Equity Portfolio...... 322,382 53,511
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
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
TAX-MANAGED U.S.
EQUITY PORTFOLIO
DFA Short Term
Investment Fund..... $129,515 $ 387,419 $ 324,989 $(53) $30 $191,922 16,588 $1,262
-------- ---------- ---------- ---- --- -------- ------ ------
TOTAL................ $129,515 $ 387,419 $ 324,989 $(53) $30 $191,922 16,588 $1,262
======== ========== ========== ==== === ======== ====== ======
TAX-MANAGED U.S.
TARGETED VALUE
PORTFOLIO
DFA Short Term
Investment Fund..... $526,461 $1,248,175 $1,263,830 $(57) $11 $510,760 44,145 $4,144
-------- ---------- ---------- ---- --- -------- ------ ------
TOTAL................ $526,461 $1,248,175 $1,263,830 $(57) $11 $510,760 44,145 $4,144
======== ========== ========== ==== === ======== ====== ======
TAX-MANAGED U.S.
SMALL CAP PORTFOLIO
DFA Short Term
Investment Fund..... $475,650 $1,098,872 $1,077,718 $(39) $(7) $496,758 42,935 $3,948
-------- ---------- ---------- ---- --- -------- ------ ------
TOTAL................ $475,650 $1,098,872 $1,077,718 $(39) $(7) $496,758 42,935 $3,948
======== ========== ========== ==== === ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
COMPANIES
-------------
TAX-MANAGED U.S.
EQUITY PORTFOLIO
DFA Short Term
Investment Fund..... --
--
TOTAL................ --
==
TAX-MANAGED U.S.
TARGETED VALUE
PORTFOLIO
DFA Short Term
Investment Fund..... --
--
TOTAL................ --
==
TAX-MANAGED U.S.
SMALL CAP PORTFOLIO
DFA Short Term
Investment Fund..... --
--
TOTAL................ --
==
44
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
---------- ---------- ---------- ------------ ------------- ---------- ------------ -----------
T.A. U.S. CORE EQUITY 2
PORTFOLIO
DFA Short Term
Investment Fund........ $832,616 $1,716,814 $1,879,213 $(41) $(36) $670,140 57,921 $5,395
-------- ---------- ---------- ---- ---- -------- ------ ------
TOTAL................... $832,616 $1,716,814 $1,879,213 $(41) $(36) $670,140 57,921 $5,395
======== ========== ========== ==== ==== ======== ====== ======
TAX-MANAGED DFA
INTERNATIONAL VALUE
PORTFOLIO
DFA Short Term
Investment Fund........ $ 26,847 $ 528,847 $ 522,743 $ (9) $ 1 $ 32,943 2,847 $ 376
-------- ---------- ---------- ---- ---- -------- ------ ------
TOTAL................... $ 26,847 $ 528,847 $ 522,743 $ (9) $ 1 $ 32,943 2,847 $ 376
======== ========== ========== ==== ==== ======== ====== ======
T.A. WORLD EX U.S.
CORE EQUITY PORTFOLIO
DFA Short Term
Investment Fund........ $ 33,284 $ 82,311 $ 89,690 $ (5) $ 2 $ 25,902 2,239 $ 144
-------- ---------- ---------- ---- ---- -------- ------ ------
TOTAL................... $ 33,284 $ 82,311 $ 89,690 $ (5) $ 2 $ 25,902 2,239 $ 144
======== ========== ========== ==== ==== ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
COMPANIES
-------------
T.A. U.S. CORE EQUITY 2
PORTFOLIO
DFA Short Term
Investment Fund........ --
--
TOTAL................... --
==
TAX-MANAGED DFA
INTERNATIONAL VALUE
PORTFOLIO
DFA Short Term
Investment Fund........ --
--
TOTAL................... --
==
T.A. WORLD EX U.S.
CORE EQUITY PORTFOLIO
DFA Short Term
Investment Fund........ --
--
TOTAL................... --
==
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2017, primarily attributable to net foreign
currency gains/losses, realized gains on securities considered to be "passive
foreign investment companies", non-deductible expenses, foreign capital gains
tax, tax equalization, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio... $ 6,746 $(2,124) $(4,622)
Tax-Managed U.S. Equity Portfolio............. (1,006) (2,312) 3,318
Tax-Managed U.S. Targeted Value Portfolio..... 5,937 (1,150) (4,787)
Tax-Managed U.S. Small Cap Portfolio.......... 2,691 (553) (2,138)
T.A. U.S. Core Equity 2 Portfolio............. 3,198 (2,394) (804)
Tax-Managed DFA International Value Portfolio. 1,370 (846) (524)
T.A. World ex U.S. Core Equity Portfolio...... 1,222 23 (1,245)
45
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2016 and October 31, 2017 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
Tax-Managed U.S. Marketwide Value Portfolio
2016.......................................... $ 72,925 -- $ 72,925
2017.......................................... 82,721 $101,284 184,005
Tax-Managed U.S. Equity Portfolio
2016.......................................... 48,479 -- 48,479
2017.......................................... 52,066 -- 52,066
Tax-Managed U.S. Targeted Value Portfolio
2016.......................................... 43,823 128,582 172,405
2017.......................................... 43,922 127,982 171,904
Tax-Managed U.S. Small Cap Portfolio
2016.......................................... 22,739 94,184 116,923
2017.......................................... 22,983 54,088 77,071
T.A. U.S. Core Equity 2 Portfolio
2016.......................................... 104,283 166 104,449
2017.......................................... 115,587 231 115,818
Tax-Managed DFA International Value Portfolio
2016.......................................... 92,814 -- 92,814
2017.......................................... 99,420 -- 99,420
T.A. World ex U.S. Core Equity Portfolio
2016.......................................... 56,154 -- 56,154
2017.......................................... 68,459 -- 68,459
At October 31, 2017, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
Tax-Managed U.S. Marketwide Value Portfolio... $(2,378) $(4,368) $(6,746)
Tax-Managed U.S. Equity Portfolio............. (2,166) -- (2,166)
Tax-Managed U.S. Targeted Value Portfolio..... (1,158) (4,779) (5,937)
Tax-Managed U.S. Small Cap Portfolio.......... (580) (2,111) (2,691)
T.A. U.S. Core Equity 2 Portfolio............. (2,000) (1,198) (3,198)
Tax-Managed DFA International Value Portfolio. (1,370) -- (1,370)
T.A. World ex U.S. Core Equity Portfolio...... (1,222) -- (1,222)
At October 31, 2017, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
Tax-Managed U.S. Marketwide Value
Portfolio....................... $5,880 $151,391 -- $2,200,976 $2,358,247
Tax-Managed U.S. Equity Portfolio. 1,485 -- -- 1,561,081 1,562,566
46
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
Tax-Managed U.S. Targeted Value
Portfolio......................... $ 888 $182,085 -- $2,037,894 $2,220,867
Tax-Managed U.S. Small Cap
Portfolio......................... 212 82,063 -- 1,388,238 1,470,513
T.A. U.S. Core Equity 2 Portfolio... 6,404 67,321 -- 3,559,858 3,633,583
Tax-Managed DFA International Value
Portfolio......................... 13,608 -- $(38,372) 573,783 549,019
T.A. World ex U.S. Core Equity
Portfolio......................... 9,769 -- (44,688) 813,556 778,637
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2017, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through October 31 of the indicated expiration
dates, as applicable (amounts in thousands):
UNLIMITED TOTAL
--------- -------
Tax-Managed U.S. Marketwide Value Portfolio... -- --
Tax-Managed U.S. Equity Portfolio............. -- --
Tax-Managed U.S. Targeted Value Portfolio..... -- --
Tax-Managed U.S. Small Cap Portfolio.......... -- --
T.A. U.S. Core Equity 2 Portfolio............. -- --
Tax-Managed DFA International Value Portfolio. $38,372 $38,372
T.A. World ex U.S. Core Equity Portfolio...... 44,688 44,688
During the year ended October 31, 2017, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Tax-Managed U.S. Equity Portfolio............. $230,454
Tax-Managed DFA International Value Portfolio. 55,667
T.A. World ex U.S. Core Equity Portfolio...... 8,217
At April 30, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... $2,723,179 $2,244,143 -- $2,244,143
Tax-Managed U.S. Equity Portfolio............. 1,993,370 1,715,700 $ (50,928) 1,664,772
Tax-Managed U.S. Targeted Value Portfolio..... 3,325,093 2,059,647 (67,141) 1,992,506
Tax-Managed U.S. Small Cap Portfolio.......... 2,167,648 1,399,797 (53,326) 1,346,471
T.A. U.S. Core Equity 2 Portfolio............. 5,782,594 3,890,090 (113,689) 3,776,401
Tax-Managed DFA International Value Portfolio. 3,480,053 772,944 (129,614) 643,330
T.A. World ex U.S. Core Equity Portfolio...... 2,847,144 1,108,404 (210,356) 898,048
47
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. FUTURES CONTRACTS: The Portfolios 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 Portfolios. The Portfolios, however, do not intend to sell
futures contracts to establish short positions in individual securities. Upon
entering into a futures contract, the Portfolios deposit cash or pledge U.S.
government securities to a broker, equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolios as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized gain or loss, which is presented
in the Statements of Operations as a net realized gain or loss on futures,
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolios could lose more than
the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
3. FORWARD CURRENCY CONTRACTS: The T.A. World ex U.S. Core Equity
Portfolio may acquire and sell forward currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies
(foreign exchange rate risk). The decision to hedge the T.A. World ex U.S. Core
Equity Portfolio's currency exposure with respect to a foreign market will be
based primarily on the Portfolio's existing exposure to a given foreign
currency. Each contract is valued daily and the change in value is recorded by
the T.A. World ex U.S. Core Equity Portfolio as an unrealized gain or loss,
which is presented in the Portfolio's Statement of Operations as the change in
unrealized appreciation or depreciation from translation of
foreign-currency-denominated amounts. When the contract is closed or offset
with the same counterparty, the T.A. World ex U.S. Core Equity Portfolio
48
records a realized gain or loss equal to the change in the value of the
contract when it was opened and the value at the time it was closed or offset.
This is presented in the Statement of Operations as a net realized gain or loss
on foreign currency transactions.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2018 (amounts in
thousands):
FUTURES
-------
Tax-Managed DFA International Value Portfolio. 28,950
Tax-Managed U.S. Targeted Value Portfolio..... 6,165
Tax-Managed U.S. Small Cap Portfolio.......... 1,426
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
--------------- ------------------------ ------------------------
Equity contracts Receivables: Futures Payables: Futures
Margin Variation Margin 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
AT EQUITY
APRIL 30, 2018 CONTRACTS*
-------------- ----------
Tax-Managed DFA International Value Portfolio. $ 5 $ 5
LIABILITY DERIVATIVES VALUE
--------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2018 CONTRACTS*
-------------- ----------
Tax-Managed DFA International Value Portfolio. $(913) $(913)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings for the 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 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
-------------------
EQUITY
TOTAL CONTRACTS
------ ---------
Tax-Managed U.S. Targeted Value Portfolio..... $1,400 $1,400*
Tax-Managed U.S. Small Cap Portfolio.......... 485 485*
Tax-Managed U.S. Core Equity 2 Portfolio...... 754 754*
Tax-Managed DFA International Value Portfolio. 1,830 1,830
49
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES
-----------------------------
EQUITY
TOTAL CONTRACTS
------- ---------
Tax-Managed DFA International Value Portfolio. $(1,568) $(1,568)
* 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.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 4, 2019.
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
------------- ------------ ------------ -------- ---------------
Tax-Managed U.S. Targeted Value
Portfolio..................... 2.17% $652 1 -- $652
* 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.
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
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.
50
I. 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 Rule17a-7 under the Investment Company Act
of 1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors/trustees and/or common officers. At its
regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7 under
the 1940 Act.
For the 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)
--------- --------- ------- --------------------
Tax-Managed U.S. Equity Portfolio............. $15,923 $ 1,181 $ (2,860)
Tax-Managed U.S. Targeted Value Portfolio..... 7,286 89,188 2,159
Tax-Managed U.S. Small Cap Portfolio.......... 27,886 22,514 421
T.A. U.S. Core Equity 2 Portfolio............. 22,350 11,904 (11,870)
Tax-Managed DFA International Value Portfolio. 20,606 15,048 (2,105)
T.A. World ex U.S. Core Equity Portfolio...... 12,006 6,209 1,832
J. SECURITIES LENDING:
As of April 30, 2018, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolios received cash collateral. In
addition, the following Portfolios received non-cash collateral consisting of
short-and/or long-term U.S. Treasuries and U.S. government agency securities as
follows (amounts in thousands):
MARKET
VALUE
--------
Tax-Managed U.S. Equity Portfolio............. $142,191
Tax-Managed U.S. Targeted Value Portfolio..... 368,702
Tax-Managed U.S. Small Cap Portfolio.......... 250,231
T.A. U.S. Core Equity 2 Portfolio............. 460,186
Tax-Managed DFA International Value Portfolio. 6,002
T.A. World ex U.S. Core Equity Portfolio...... 37,083
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Portfolio or, at the option of the lending agent, to replace
the securities. In the event of the bankruptcy of the borrower, the Portfolio
could experience delay in recovering the loaned securities or only recover cash
or a security of equivalent value.
Subject to their stated investment policies, the Portfolios with securities
on loan will generally invest the cash collateral received for the loaned
securities in The DFA Short Term Investment Fund (the "Money Market Series"),
an affiliated registered money market fund advised by the Advisor for which the
Advisor receives a management
51
fee of 0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses, and other payments to and from
borrowers of securities. Such Portfolios also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Portfolio with securities on loan will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of 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
TAX-MANAGED U.S. EQUITY PORTFOLIO
Common Stocks, Rights/Warrants...... $191,922,061 -- -- -- $191,922,061
TAX-MANAGED U.S. TARGETED VALUE
PORTFOLIO
Common Stocks....................... 510,759,667 -- -- -- 510,759,667
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Common Stocks....................... 496,757,848 -- -- -- 496,757,848
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants...... 670,140,183 -- -- -- 670,140,183
TAX-MANAGED DFA INTERNATIONAL VALUE
PORTFOLIO
Common Stocks....................... 32,943,020 -- -- -- 32,943,020
T.A. WORLD EX U.S. CORE EQUITY
PORTFOLIO
Common Stocks....................... 25,902,027 -- -- -- 25,902,027
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.
52
M. 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
------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... 3 91%
Tax-Managed U.S. Equity Portfolio............. 3 88%
Tax-Managed U.S. Targeted Value Portfolio..... 3 96%
Tax-Managed U.S. Small Cap Portfolio.......... 3 93%
T.A. U.S. Core Equity 2 Portfolio............. 3 89%
Tax-Managed DFA International Value Portfolio. 3 94%
T.A. World ex U.S. Core Equity Portfolio...... 3 88%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee (the "Trustee") on
behalf of the committee of unsecured creditors of Tribune (the "Committee
Action," and with the Individual Creditor Actions, collectively referred to as
the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as
fraudulent transfers and recover the stock repurchase proceeds paid to the
Tribune shareholders who participated in the LBO. On September 23, 2013, the
Court entered an order dismissing the Individual Creditor Actions in their
entirety on the grounds that the individual creditor plaintiffs lack standing
to pursue their claims. The parties appealed the Court's dismissal order to the
United States Court of Appeals for the Second Circuit (the "Second Circuit"),
and, on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on
the grounds that the individual creditor plaintiffs' claims are preempted by
the Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs have petitioned the Supreme Court of the United States (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 defendant's motion to dismiss the claims
against them in the Committee Action. The Trustee requested that the Court
certify the dismissal order for appeal to the Second Circuit, and the District
Court advised that it will certify the dismissal order for appeal after it
rules on the additional pending motions to dismiss (not involving the
shareholder defendants). 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 Tax-Managed U.S. Marketwide Value Series in the
Lawsuits has advised management that it does not believe that it is possible,
at this early stage in the proceedings, to predict with any reasonable
certainty the probable outcome of the Lawsuits or quantify the ultimate
exposure to The Tax-Managed U.S. Marketwide Value Series arising from the
Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series
53
can do so, no reduction of the net asset value of The Tax-Managed U.S.
Marketwide Value Series will be made relating to the Lawsuits. However, even if
the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs
seek, the amount would be less than 1% of the net asset value of The
Tax-Managed U.S. Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be borne by The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expenses incurred by The Tax-Managed U.S. Marketwide Value Series.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date that the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
54
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING FISCAL NET PROFITS PAID-IN
YEAR, FROM THE SALE SURPLUS
AND ACCUMULATED OF SECURITIES OR OTHER
UNDISTRIBUTED NET OR OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- --------
Tax-Managed U.S. Marketwide Value Portfolio
December 15, 2017.......................... 97% 0% 3%
Tax-Managed U.S. Targeted Value Portfolio
December 15, 2017.......................... 74% 0% 26%
Tax-Managed U.S. Equity Portfolio
December 15, 2017.......................... 62% 0% 38%
Tax-Managed U.S. Small Cap Portfolio
December 15, 2017.......................... 68% 0% 32%
T.A. U.S. Core Equity 2 Portfolio
December 15, 2017.......................... 59% 0% 41%
Tax-Managed DFA International Value Portfolio
December 15, 2017.......................... 79% 0% 21%
T.A. World ex U.S. Core Equity Portfolio
December 15, 2017.......................... 69% 0% 31%
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.
55
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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,036.70 0.21% $1.06
Hypothetical 5% Annual Return................ $1,000.00 $1,023.75 0.21% $1.05
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
56
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 29, 2018. They are available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Consumer Discretionary....................... 13.7%
Consumer Staples............................. 5.7%
Energy....................................... 13.7%
Financials................................... 24.0%
Health Care.................................. 13.9%
Industrials.................................. 11.0%
Information Technology....................... 12.8%
Materials.................................... 1.9%
Telecommunication Services................... 3.3%
-----
100.0%
57
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (97.7%)
Consumer Discretionary -- (13.4%)
* Charter Communications, Inc. Class A... 339,394 $ 92,074,198 1.4%
Comcast Corp. Class A.................. 7,135,970 223,998,098 3.3%
Ford Motor Co.......................... 2,868,969 32,247,212 0.5%
General Motors Co...................... 1,095,598 40,252,270 0.6%
Royal Caribbean Cruises, Ltd........... 322,500 34,891,275 0.5%
Time Warner, Inc....................... 1,534,860 145,504,728 2.2%
Twenty-First Century Fox, Inc. Class A. 987,646 36,108,338 0.6%
Other Securities....................... 324,608,850 4.6%
-------------- -----
Total Consumer Discretionary............... 929,684,969 13.7%
-------------- -----
Consumer Staples -- (5.6%)
Archer-Daniels-Midland Co.............. 813,476 36,915,541 0.6%
Mondelez International, Inc. Class A... 2,081,099 82,203,410 1.2%
Walgreens Boots Alliance, Inc.......... 702,679 46,693,020 0.7%
Walmart, Inc........................... 1,266,497 112,034,325 1.7%
Other Securities....................... 109,746,507 1.5%
-------------- -----
Total Consumer Staples..................... 387,592,803 5.7%
-------------- -----
Energy -- (13.4%)
Chevron Corp........................... 1,121,044 140,253,815 2.1%
ConocoPhillips......................... 1,489,306 97,549,543 1.4%
Exxon Mobil Corp....................... 2,900,873 225,542,876 3.3%
Marathon Petroleum Corp................ 903,936 67,713,846 1.0%
Occidental Petroleum Corp.............. 484,588 37,439,269 0.6%
Phillips 66............................ 775,455 86,315,896 1.3%
Schlumberger, Ltd...................... 577,687 39,606,221 0.6%
Valero Energy Corp..................... 605,899 67,212,376 1.0%
Other Securities....................... 171,272,416 2.4%
-------------- -----
Total Energy............................... 932,906,258 13.7%
-------------- -----
Financials -- (23.4%)
American International Group, Inc...... 665,461 37,265,816 0.6%
Bank of America Corp................... 5,929,137 177,399,779 2.6%
Bank of New York Mellon Corp. (The).... 750,997 40,936,846 0.6%
Capital One Financial Corp............. 372,872 33,789,661 0.5%
Citigroup, Inc......................... 1,870,326 127,687,156 1.9%
Goldman Sachs Group, Inc. (The)........ 209,155 49,847,911 0.7%
JPMorgan Chase & Co.................... 2,748,095 298,937,774 4.4%
MetLife, Inc........................... 949,912 45,282,305 0.7%
Morgan Stanley......................... 1,102,617 56,917,090 0.8%
Prudential Financial, Inc.............. 497,625 52,907,490 0.8%
Wells Fargo & Co....................... 3,633,493 188,796,296 2.8%
Other Securities....................... 518,122,072 7.6%
-------------- -----
Total Financials........................... 1,627,890,196 24.0%
-------------- -----
Health Care -- (13.6%)
Abbott Laboratories.................... 915,297 53,206,215 0.8%
Aetna, Inc............................. 558,462 99,992,621 1.5%
Anthem, Inc............................ 504,640 119,089,994 1.8%
CVS Health Corp........................ 1,510,745 105,495,323 1.6%
Danaher Corp........................... 405,225 40,652,172 0.6%
* Express Scripts Holding Co............. 493,239 37,338,192 0.6%
Humana, Inc............................ 198,071 58,268,527 0.9%
58
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Medtronic P.L.C............................................... 814,175 $ 65,239,843 1.0%
Pfizer, Inc................................................... 3,696,959 135,345,669 2.0%
Thermo Fisher Scientific, Inc................................. 435,609 91,630,353 1.4%
Other Securities.............................................. 139,276,765 1.7%
-------------- ------
Total Health Care................................................... 945,535,674 13.9%
-------------- ------
Industrials -- (10.8%)
CSX Corp...................................................... 1,055,544 62,688,758 0.9%
Norfolk Southern Corp......................................... 545,229 78,224,005 1.2%
Union Pacific Corp............................................ 563,195 75,259,748 1.1%
United Technologies Corp...................................... 384,209 46,162,711 0.7%
Other Securities.............................................. 485,146,991 7.1%
-------------- ------
Total Industrials................................................... 747,482,213 11.0%
-------------- ------
Information Technology -- (12.5%)
Activision Blizzard, Inc...................................... 849,537 56,366,780 0.8%
Cisco Systems, Inc............................................ 4,715,767 208,861,320 3.1%
Intel Corp.................................................... 4,978,195 256,974,426 3.8%
* Micron Technology, Inc........................................ 842,584 38,742,012 0.6%
QUALCOMM, Inc................................................. 688,597 35,125,333 0.5%
Other Securities.............................................. 272,999,995 4.0%
-------------- ------
Total Information Technology........................................ 869,069,866 12.8%
-------------- ------
Materials -- (1.8%)
Other Securities.............................................. 126,567,953 1.9%
-------------- ------
Real Estate -- (0.0%)
Other Securities.............................................. 2,861,596 0.0%
-------------- ------
Telecommunication Services -- (3.2%)
AT&T, Inc..................................................... 6,281,506 205,405,246 3.0%
Other Securities.............................................. 15,509,266 0.2%
-------------- ------
Total Telecommunication Services.................................... 220,914,512 3.2%
-------------- ------
Utilities -- (0.0%)
Other Securities.............................................. 2,979,480 0.0%
-------------- ------
TOTAL COMMON STOCKS................................................. 6,793,485,520 99.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............................................. 2,519 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 6,793,488,039
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund,
1.630%....................................................... 1,407,061 1,407,061 0.0%
-------------- ------
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund................................ 13,800,329 $ 159,669,803 2.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,823,041,241)........................................... $6,954,564,903 102.3%
============== ======
59
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks.................
Consumer Discretionary...... $ 929,402,539 $ 282,430 -- $ 929,684,969
Consumer Staples............ 387,592,803 -- -- 387,592,803
Energy...................... 932,906,258 -- -- 932,906,258
Financials.................. 1,627,869,931 20,265 -- 1,627,890,196
Health Care................. 945,535,674 -- -- 945,535,674
Industrials................. 747,482,213 -- -- 747,482,213
Information Technology...... 869,069,866 -- -- 869,069,866
Materials................... 126,567,953 -- -- 126,567,953
Real Estate................. 2,861,596 -- -- 2,861,596
Telecommunication Services.. 220,914,512 -- -- 220,914,512
Utilities................... 2,979,480 -- -- 2,979,480
Rights/Warrants............... -- 2,519 -- 2,519
Temporary Cash Investments.... 1,407,061 -- -- 1,407,061
Securities Lending Collateral. -- 159,669,803 -- 159,669,803
-------------- ------------ -- --------------
TOTAL......................... $6,794,589,886 $159,975,017 -- $6,954,564,903
============== ============ == ==============
See accompanying Notes to Financial Statements.
60
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $272,528 of securities on loan)*............................... $6,793,488
Temporary Cash Investments at Value & Cost..................................................... 1,407
Collateral Received from Securities on Loan at Value & Cost.................................... 834,072
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $159,663). 159,670
Receivables:
Investment Securities Sold................................................................... 3,932
Dividends and Interest....................................................................... 6,825
Securities Lending Income.................................................................... 72
Prepaid Expenses and Other Assets.............................................................. 6
----------
Total Assets.............................................................................. 7,799,472
----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................. 993,733
Investment Securities Purchased.............................................................. 8,818
Due to Advisor............................................................................... 1,124
Accrued Expenses and Other Liabilities......................................................... 369
----------
Total Liabilities......................................................................... 1,004,044
==========
NET ASSETS..................................................................................... $6,795,428
==========
Investments at Cost............................................................................ $3,661,971
==========
----------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
61
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES#
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $4)............... $ 74,999
Income from Securities Lending................................ 440
--------
Total Investment Income.................................... 75,439
--------
EXPENSES
Investment Management Fees.................................... 6,862
Accounting & Transfer Agent Fees.............................. 142
Custodian Fees................................................ 33
Directors'/Trustees' Fees & Expenses.......................... 27
Professional Fees............................................. 42
Other......................................................... 75
--------
Total Expenses............................................. 7,181
--------
Net Expenses.................................................. 7,181
--------
NET INVESTMENT INCOME (LOSS).................................. 68,258
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 117,773
Affiliated Investment Companies Shares Sold................. (24)
Futures..................................................... 697
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................... 59,996
Affiliated Investment Companies Shares...................... 2
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 178,444
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $246,702
========
----------
**Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
62
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE TAX-MANAGED U.S.
MARKETWIDE VALUE SERIES
----------------------
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, OCT. 31,
2018 2017
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 68,258 $ 126,408
Net Realized Gain (Loss) on:
Investment Securities Sold*......................................... 117,773 218,751
Affiliated Investment Companies Shares Sold......................... (24) 22
Investment Securities Sold.......................................... -- --
Futures............................................................. 697 77
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... 59,996 896,370
Affiliated Investment Companies Shares Sold......................... 2 (29)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 246,702 1,241,599
---------- ----------
Transactions in Interest:
Contributions......................................................... 97,907 176,018
Withdrawals........................................................... (216,277) (288,925)
---------- ----------
Net Increase (Decrease) from Transactions in Interest.............. (118,370) (112,907)
---------- ----------
Total Increase (Decrease) in Net Assets............................ 128,332 1,128,692
NET ASSETS
Beginning of Period................................................... 6,667,096 5,538,404
---------- ----------
End of Period......................................................... $6,795,428 $6,667,096
========== ==========
----------
* Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
63
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APRIL 30, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2018 2017 2016 2015 2014 2013
--------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Total Return......................................... 3.67%(C) 22.61% 2.79% 2.93% 15.17% 35.92%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $6,795,428 $6,667,096 $5,538,404 $5,348,412 $5,143,977 $4,389,755
Ratio of Expenses to Average Net Assets.............. 0.21%(D) 0.21% 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to Average Net Assets. 1.99%(D) 2.02% 2.05% 1.82% 1.61% 1.82%
Portfolio Turnover Rate.............................. 3%(C) 7% 9% 6% 2% 5%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
64
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, one of which, The Tax-Managed
U.S. Marketwide Value Series (the "Series"), is presented in this section of
the report. The remaining ten operational portfolios are presented in separate
reports. The Series is an investment company, and accordingly, follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Series utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities within the range of the most recent quoted bid and
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. Futures contracts held by
the Series are valued using the settlement price established each day on the
exchange on which they are traded. These valuations are generally categorized
as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
65
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2018, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Trustees
may defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core
Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio;
U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core
Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity
Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses. 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 $184 (in thousands).
Each Trustee has the option to receive their distribution of proceeds in one
of the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election (the "Notice")
to defer the receipt of the Trustee's deferred compensation until a date
specified by such Trustee in the Notice, which date may not be sooner than the
earlier of: (i) the first business day of January following the year in which
such Trustee ceases to be a member of the Board of Trustees of the Trust; and
(ii) five years following the effective date of the Trustee's first deferral
election. If a Trustee who elects to defer fees fails to designate in the
Notice a time or date as of which payment of the Trustee's deferred fee account
shall commence, payment of such amount shall commence as of the first business
day of January following the year in which the Trustee ceases to be a member of
the Board (unless the Trustee files an amended Notice selecting a different
distribution date). As of April 30, 2018, none of the Trustees have requested
or received a distribution of proceeds of a deferred fee account.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are accounted for on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimates the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities,
utilizing the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or its Series are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2018, the Series'
investment management fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.20% of average daily net assets of the
Series.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the 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 the
Series is included in Other Expenses on the Statement of Operations.
66
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2018, the Series made the following
purchases and sales of investment securities, other than short-term securities,
in-kind redemptions and U.S. government securities (amounts in thousands):
PURCHASES SALES
- --------- --------
The Tax-Managed U.S. Marketwide Value Series. $197,163 $221,958
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
NET REALIZED
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 TAX-MANAGED U.S.
MARKETWIDE VALUE
SERIES
DFA Short Term
Investment Fund..... $108,958 $697,612 $646,878 $(24) $2 $159,670 13,800 --
-------- -------- -------- ---- -- -------- ------ --
TOTAL................ $108,958 $697,612 $646,878 $(24) $2 $159,670 13,800 --
======== ======== ======== ==== == ======== ====== ==
CAPITAL GAIN
DISTRIBUTIONS
FROM
AFFILIATED
INVESTMENT
COMPANIES
-------------
THE TAX-MANAGED U.S.
MARKETWIDE VALUE
SERIES
DFA Short Term
Investment Fund..... --
--
TOTAL................ --
==
E. FEDERAL INCOME TAXES:
The Series is treated as a partnership for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to its partners.
At April 30, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
The Tax-Managed U.S. Marketwide Value Series. $3,823,041 $3,226,161 $(94,637) $3,131,524
The difference between book-basis and tax-basis unrealized
appreciation/depreciation is primarily attributable to the tax deferral of
losses on wash sales.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in the Series' financial statements. The Series is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
1. FUTURES CONTRACTS: The Series may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows
67
from the Series. The Series, however, does not intend to sell futures contracts
to establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series records a realized gain or loss, which is presented in the Statements of
Operations as a net realized gain or loss on futures, equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series will be subject to equity price risk
when entering into stock index futures. Counterparty credit risk related to
exchange-traded futures is minimal because the exchange's clearinghouse, as
counterparty to all exchange-traded futures, guarantees the futures against
default.
The following is a summary of the location of derivatives on the Series'
Statement of Operations of realized and change in unrealized gains and losses
from the Series' derivative instrument holdings through 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
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 Tax-Managed U.S. Marketwide Value Series. $697 $697
* 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.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 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.
68
For the six months ended April 30, 2018, borrowings by the Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The Tax-Managed U.S. Marketwide Value
Series.............................. 2.28% $2,064 31 $4 $6,229
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2018, that the Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not utilize the interfund lending program during the six
months ended April 30, 2018.
H. 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 Tax-Managed U.S. Marketwide Value Series. $60,355 $1,369 $411
I. SECURITIES LENDING:
As of April 30, 2018, the Series had securities on loan to brokers/dealers,
for which the Series received cash collateral. In addition, the Series received
non-cash collateral consisting of short-and/or long-term U.S. Treasuries and
U.S. government agency securities as follows (amounts in thousands):
MARKET
VALUE
--------
The Tax-Managed U.S. Marketwide Value Series. $122,459
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the
69
loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities. In the event of the bankruptcy of the borrower, the Series could
experience delay in recovering the loaned securities or only recover cash or a
security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses, and other payments to and from
borrowers of securities. The Series also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, the Series will be able to terminate the loan at any time and will
receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible to be taxed
at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of 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 TAX-MANAGED U.S. MARKETWIDE
VALUE SERIES
Common Stocks................... $159,669,803 -- -- -- $159,669,803
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that contain a variety of representations and warranties that provide
general indemnification. The Trust's maximum exposure under these arrangements
is unknown as this would involve future claims that may be made against the
Trust and/or its affiliates that have not yet occurred. However, based on
experience, the Trust expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
L. OTHER:
The Series is subject to claims and suits that arise from time to time in
the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have
70
a material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee (the "Trustee") on
behalf of the committee of unsecured creditors of Tribune (the "Committee
Action," and with the Individual Creditor Actions, collectively referred to as
the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as
fraudulent transfers and recover the stock repurchase proceeds paid to the
Tribune shareholders who participated in the LBO. On September 23, 2013, the
Court entered an order dismissing the Individual Creditor Actions in their
entirety on the grounds that the individual creditor plaintiffs lack standing
to pursue their claims. The parties appealed the Court's dismissal order to the
United States Court of Appeals for the Second Circuit (the "Second Circuit"),
and, on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on
the grounds that the individual creditor plaintiffs' claims are preempted by
the Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs have petitioned the Supreme Court of the United States (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 defendant's motion to dismiss the claims
against them in the Committee Action. The Trustee requested that the Court
certify the dismissal order for appeal to the Second Circuit and the District
Court advised that it will certify the dismissal order for appeal after it
rules on the additional pending motions to dismiss (not involving the
shareholder defendants). 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 Tax-Managed U.S. Marketwide Value Series in the
Lawsuits has advised management that it does not believe that it is possible,
at this early stage in the proceedings, to predict with any reasonable
certainty the probable outcome of the Lawsuits or quantify the ultimate
exposure to The Tax-Managed U.S. Marketwide Value Series arising from the
Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The Tax-Managed U.S. Marketwide Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The Tax-Managed U.S.
Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be borne by The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expenses incurred by The Tax-Managed U.S. Marketwide Value Series.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date that the financial statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
71
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
72
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2017 (the "Meeting"), the Board of
Directors of DFA Investment Dimensions Group Inc. and the Board of Trustees of
The DFA Investment Trust Company (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.
73
DFA043018-002S
[LOGO] 00211522
THE DFA SHORT TERM INVESTMENT FUND
SEMI-ANNUAL REPORT
SIX MONTHS ENDED APRIL 30, 2018
(UNAUDITED)
TABLE OF CONTENTS
SCHEDULE OF PORTFOLIO HOLDINGS
SCHEDULE OF INVESTMENTS
STATEMENT OF ASSETS AND LIABILITIES
STATEMENT OF OPERATIONS
STATEMENTS OF CHANGES IN NET ASSETS
FINANCIAL HIGHLIGHTS
NOTES TO FINANCIAL STATEMENTS
SUPPLEMENTAL INFORMATION
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT
-------------------------------------------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Portfolio Holdings
April 30, 2018 (Unaudited)
-------------------------------------------------------------------------------------------------------------------
The following table indicates the allocation of investments among the asset
classes in the Fund as of April 30, 2018:
PERCENT OF
SECURITY ALLOCATION INVESTMENTS
------------------- -----------
Commercial Paper 60.8%
Repurchase Agreements 14.0
Yankee Certificates of Deposit 9.5
U.S. Government Agency Securities 8.9
U.S. Treasury Obligations 3.5
Corporate Bonds 2.2
Yankee Bonds 1.1
-----
TOTAL INVESTMENTS 100.0%
See Notes to Financial Statements.
----------------------------------------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments
April 30, 2018 (Unaudited)
----------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ------------------------- -------- ------------- ------------
CORPORATE BONDS - 2.2%
(r)Apple, Inc. 2.04% (US0003M + 25 bps) 05/03/18 237,278,000 237,279,972
(r)General Electric Capital Corp. 2.06% (US0003M + 27 bps) 08/07/18 1,000,000 1,000,041
(r)Merck & Co., Inc. 2.23% (US0003M + 36 bps) 05/18/18 26,700,000 26,704,406
(r)Toyota Motor Credit Corp. 1.96% (US0003M + 8 bps) 05/17/18 300,000,000 300,015,840
(r)Toyota Motor Credit Corp. 2.07% (US0003M + 23 bps) 08/15/18 30,000,000 30,016,048
----------- -----------
TOTAL CORPORATE BONDS (Cost $594,996,742) 594,978,000 595,016,307
----------- -----------
YANKEE BONDS - 1.1%
(r)Australia & New Zealand Banking Group 2.40% (US0003M + 56 bps) 05/15/18 8,300,000 8,301,604
(r)Bank of Montreal 2.17% (US0001M + 28 bps) 05/08/18 100,000,000 100,009,301
(r)++European Investment Bank 1.91% (US0001M + 2 bps) 07/06/18 23,580,000 23,578,652
(y)International Bank For Reconstruction 1.73% 05/07/18 100,000,000 99,971,700
(r)++National Australia Bank, Ltd. 3.00% (US0003M + 64 bps) 07/23/18 1,600,000 1,602,070
(r)National Australia Bank, Ltd. 3.00% (US0003M + 64 bps) 07/23/18 18,000,000 18,023,292
(r)Royal Bank of Canada 2.78% (US0003M + 45 bps) 01/10/19 5,000,000 5,012,870
(r)Statoil ASA 2.25% (US0003M + 46 bps) 11/08/18 29,816,000 29,876,492
(r)Toronto Dominion Bank 2.90% (US0003M + 54 bps) 07/23/18 11,000,000 11,012,388
(r)Toronto Dominion Bank 3.20% (US0003M + 84 bps) 01/22/19 7,985,000 8,026,191
(r)Westpac Banking Corp. 2.37% (US0003M + 43 bps) 05/25/18 1,500,000 1,500,419
(r)Westpac Banking Corp. 3.09% (US0003M + 74 bps) 07/30/18 4,405,000 4,412,248
----------- -----------
TOTAL YANKEE BONDS (Cost $311,311,648) 311,186,000 311,327,227
----------- -----------
COMMERCIAL PAPER - 60.8%
(y)++3M Co. 1.75% 05/01/18 100,000,000 99,995,269
(y)++3M Co. 1.80% 05/23/18 150,000,000 149,825,871
(r)++ANZ New Zealand International, Ltd. 2.06% (US0001M + 16 bps) 05/24/18 100,000,000 100,015,800
(r)++ANZ New Zealand International, Ltd. 2.08% (US0001M + 18 bps) 07/10/18 50,000,000 50,000,300
(y)++Apple, Inc. 1.83% 05/09/18 90,000,000 89,960,738
(y)++Apple, Inc. 1.84% 05/24/18 200,000,000 199,761,334
(y)++Apple, Inc. 1.89% 06/21/18 36,900,000 36,800,382
(y)++Archer-Daniels-Midland 1.81% 05/01/18 13,000,000 12,999,378
(y)++Archer-Daniels-Midland 1.81% 05/08/18 200,000,000 199,921,512
(y)++Archer-Daniels-Midland 1.85% 05/17/18 93,000,000 92,920,203
(y)++Archer-Daniels-Midland 1.88% 05/23/18 42,382,000 42,332,259
(y)++Archer-Daniels-Midland 1.87% 06/01/18 98,200,000 98,037,206
(r)++Australia & New Zealand Banking Group 2.01% (US0001M + 12 bps) 06/07/18 100,000,000 100,015,700
(r)++Australia & New Zealand Banking Group 2.06% (US0001M + 16 bps) 08/07/18 60,000,000 59,991,660
(r)++Australia & New Zealand Banking Group 2.10% (US0001M + 20 bps) 11/29/18 100,000,000 99,897,900
(y)++Bank Nederlandse Gemeenten 1.74% 05/07/18 50,000,000 49,982,889
(y)++Bank Nederlandse Gemeenten 1.92% 05/23/18 350,000,000 349,576,702
(y)++Bank Nederlandse Gemeenten 2.06% 05/31/18 250,000,000 249,581,499
(y)++Bank Nederlandse Gemeenten 2.11% 07/02/18 150,000,000 149,449,275
(y)++Bank of Nova Scotia 2.21% 06/15/18 150,000,000 149,632,959
(y)Banque Et Caisse d'Epargne de l'Etat 1.74% 05/02/18 18,000,000 17,998,281
(y)Banque Et Caisse d'Epargne de l'Etat 1.91% 06/14/18 50,000,000 49,878,438
(y)++Caisse des Depots et Consignations 1.73% 05/03/18 200,000,000 199,972,266
(y)++Caisse des Depots et Consignations 1.82% 05/17/18 150,000,000 149,873,775
(y)++Caisse des Depots et Consignations 2.04% 06/04/18 100,000,000 99,812,167
(y)++Coca-Cola Co. 1.77% 05/04/18 50,000,000 49,990,328
(y)++Coca-Cola Co. 1.75% 05/21/18 15,729,000 15,712,209
(r)++Commonwealth Bank of Australia 2.07% (US0001M + 18 bps) 05/02/18 29,000,000 29,000,551
(r)++Commonwealth Bank of Australia 2.06% (US0001M + 17 bps) 06/01/18 45,000,000 45,008,955
(r)++Commonwealth Bank of Australia 2.07% (US0001M + 19 bps) 10/05/18 120,000,000 119,936,400
(r)++Commonwealth Bank of Australia 2.13% (US0001M + 23 bps) 12/13/18 150,000,000 149,904,600
(y)++DBS Bank, Ltd. 1.91% 05/15/18 175,000,000 174,863,645
(y)++DBS Bank, Ltd. 1.85% 05/16/18 200,000,000 199,833,334
(y)++DBS Bank, Ltd. 2.04% 05/29/18 60,000,000 59,904,300
(y)++DBS Bank, Ltd. 1.88% 06/04/18 137,000,000 136,733,878
(y)++DBS Bank, Ltd. 2.16% 06/08/18 75,000,000 74,837,094
(y)++DBS Bank, Ltd. 2.12% 06/11/18 100,000,000 99,765,500
(y)++DBS Bank, Ltd. 2.27% 06/27/18 75,000,000 74,748,667
(y)++ELI Lilly & Co. 1.80% 05/02/18 200,000,000 199,981,012
(y)++Emerson Electric Co. 1.85% 05/02/18 45,000,000 44,995,677
(y)++Emerson Electric Co. 1.74% 05/09/18 12,500,000 12,494,463
(y)++Emerson Electric Co. 1.83% 05/23/18 19,530,000 19,507,079
(y)++Erste Abwicklungsanstalt 1.75% 05/04/18 100,000,000 99,980,767
(y)++Erste Abwicklungsanstalt 1.83% 05/16/18 25,500,000 25,479,487
(y)++Erste Abwicklungsanstalt 1.93% 06/14/18 25,000,000 24,937,031
See Notes to Financial Statements.
--------------------------------------------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2018 (Unaudited)
--------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ------------------------- -------- ------------- ------------
COMMERCIAL PAPER - 60.8% (CONTINUED)
(y)++Erste Abwicklungsanstalt 2.24% 06/21/18 20,000,000 19,940,778
(y)++Erste Abwicklungsanstalt 2.26% 06/22/18 15,000,000 14,954,619
(y)Export Development Canada 2.01% 06/04/18 100,000,000 99,819,847
(y)Export Development Canada 2.06% 06/06/18 100,000,000 99,808,936
(y)Export Development Canada 2.05% 06/07/18 37,515,000 37,441,306
(y)Exxon Mobil Corp. 1.76% 05/09/18 77,000,000 76,966,062
(y)Exxon Mobil Corp. 1.76% 05/11/18 41,600,000 41,577,565
(y)General Electric Capital Corp. 1.94% 05/22/18 100,000,000 99,889,633
(y)++Honeywell International Inc. 1.83% 05/08/18 50,000,000 49,980,378
(y)++Honeywell International Inc. 1.87% 05/15/18 32,000,000 31,975,867
(y)++Hydro-Quebec 1.80% 05/11/18 100,000,000 99,946,069
(y)++Hydro-Quebec 1.88% 06/08/18 150,000,000 149,697,101
(y)++JPMorgan Chase & Co. 2.21% 07/10/18 100,000,000 99,595,892
(y)++Koch Resources LLC 1.83% 05/07/18 100,000,000 99,965,972
(y)++Koch Resources LLC 1.88% 05/17/18 25,000,000 24,978,644
(y)++Kreditanstalt Fur Wiederaufbau 1.98% 06/01/18 24,500,000 24,460,212
(y)++Kreditanstalt Fur Wiederaufbau 2.05% 06/04/18 110,500,000 110,302,435
(y)++Kreditanstalt Fur Wiederaufbau 1.96% 06/13/18 33,200,000 33,124,038
(y)++Kreditanstalt Fur Wiederaufbau 2.15% 06/15/18 200,000,000 199,519,556
(y)++Kreditanstalt Fur Wiederaufbau 2.11% 07/09/18 30,000,000 29,882,575
(y)++Kreditanstalt Fur Wiederaufbau 2.13% 07/10/18 79,200,000 78,884,320
(y)++Kreditanstalt Fur Wiederaufbau 2.14% 07/11/18 92,300,000 91,925,447
(y)++Kreditanstalt Fur Wiederaufbau 2.14% 07/12/18 100,000,000 99,586,942
(y)++Kreditanstalt Fur Wiederaufbau 2.15% 07/13/18 122,320,000 121,805,814
(y)++Landesbank Hessen-Thueringen of New York 1.84% 05/21/18 200,000,000 199,785,450
(y)++Landesbank Hessen-Thueringen of New York 1.95% 06/07/18 49,500,000 49,400,411
(y)++Landesbank Hessen-Thueringen of New York 2.15% 06/11/18 200,000,000 199,553,400
(y)++Landesbank Hessen-Thueringen of New York 2.31% 06/19/18 50,000,000 49,865,972
(y)++Landesbank Hessen-Thueringen of New York 2.25% 07/17/18 100,000,000 99,543,700
(y)++Landesbank Hessen-Thueringen of New York 2.10% 07/19/18 65,000,000 64,693,344
(y)++Landesbank Hessen-Thueringen of New York 2.20% 08/02/18 150,000,000 149,133,242
(y)++L'Oreal USA, Inc. 1.82% 05/02/18 18,000,000 17,998,291
(y)++L'Oreal USA, Inc. 1.82% 05/11/18 30,000,000 29,983,821
(y)++L'Oreal USA, Inc. 1.85% 05/15/18 20,000,000 19,985,083
(y)++L'Oreal USA, Inc. 1.84% 05/16/18 50,000,000 49,960,156
(y)++L'Oreal USA, Inc. 1.83% 05/17/18 30,000,000 29,974,543
(r)++National Australia Bank, Ltd. 2.04% (US0001M + 14 bps) 06/11/18 50,000,000 50,008,900
(r)++National Australia Bank, Ltd. 2.08% (US0001M + 18 bps) 09/13/18 150,000,000 149,962,050
(r)++National Australia Bank, Ltd. 2.08% (US0001M + 18 bps) 10/12/18 40,000,000 39,985,320
(y)National Rural Utilities Cooperative Finance Corp. 1.74% 05/01/18 45,000,000 44,997,835
(y)National Rural Utilities Cooperative Finance Corp. 1.74% 05/02/18 22,650,000 22,647,812
(y)National Rural Utilities Cooperative Finance Corp. 1.73% 05/03/18 18,100,000 18,097,368
(y)National Rural Utilities Cooperative Finance Corp. 1.77% 05/09/18 20,500,000 20,490,867
(y)National Rural Utilities Cooperative Finance Corp. 1.75% 05/10/18 35,000,000 34,982,607
(y)++Nederlandse Waterschaps 1.91% 05/08/18 200,000,000 199,917,512
(y)++Nederlandse Waterschaps 1.90% 05/09/18 98,000,000 97,954,381
(y)++Nederlandse Waterschaps 1.90% 05/16/18 150,000,000 149,873,000
(y)++Nederlandse Waterschaps 1.92% 05/24/18 157,000,000 156,799,145
(y)++Novartis Finance Corp. 1.87% 05/23/18 44,596,000 44,544,230
(y)++NRW.Bank 1.76% 05/02/18 130,700,000 130,688,179
(y)++NRW.Bank 1.73% 05/04/18 200,000,000 199,963,466
(y)++NRW.Bank 2.11% 06/15/18 150,000,000 149,618,009
(y)++NRW.Bank 2.20% 08/01/18 200,000,000 198,877,800
(y)Oesterreich Kontrollbank 1.75% 05/04/18 88,000,000 87,983,075
(y)Oesterreich Kontrollbank 1.93% 05/09/18 157,000,000 156,930,802
(y)Oesterreich Kontrollbank 2.06% 06/22/18 150,000,000 149,561,646
(y)++Oversea-Chinese Banking Corp., Ltd. 1.84% 05/14/18 100,000,000 99,927,278
(y)++Oversea-Chinese Banking Corp., Ltd. 2.26% 06/20/18 175,000,000 174,490,531
(y)PACCAR Financial Corp. 1.83% 05/08/18 20,000,000 19,992,107
(y)PACCAR Financial Corp. 1.75% 05/10/18 27,500,000 27,486,334
(y)PACCAR Financial Corp. 1.85% 05/17/18 12,300,000 12,289,377
(y)PACCAR Financial Corp. 1.84% 05/21/18 20,000,000 19,978,440
(y)++PepsiCo, Inc. 1.83% 05/02/18 179,500,000 179,482,757
(y)++PepsiCo, Inc. 1.80% 05/08/18 47,600,000 47,581,320
(y)++PepsiCo, Inc. 1.73% 05/10/18 130,000,000 129,935,758
(y)Province of Ontario 1.85% 05/24/18 100,000,000 99,878,667
(y)++Province of Quebec 1.83% 05/18/18 100,000,000 99,910,000
(y)++Province of Quebec 1.84% 05/22/18 150,000,000 149,833,809
See Notes to Financial Statements.
-------------------------------------------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2018 (Unaudited)
-------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ------------------------- -------- -------------- --------------
COMMERCIAL PAPER - 60.8% (CONTINUED)
(y)++PSP Capital, Inc. 1.86% 05/03/18 100,000,000 99,985,625
(y)++PSP Capital, Inc. 1.82% 05/11/18 50,000,000 49,972,882
(y)++PSP Capital, Inc. 1.82% 05/16/18 175,000,000 174,859,612
(y)++PSP Capital, Inc. 1.81% 05/22/18 150,000,000 149,831,975
(y)++PSP Capital, Inc. 2.04% 06/08/18 100,000,000 99,792,542
(y)++PSP Capital, Inc. 2.06% 06/12/18 100,000,000 99,768,875
(y)++PSP Capital, Inc. 2.11% 07/16/18 35,000,000 34,840,321
(y)++Roche Holdings, Inc. 1.83% 05/04/18 47,500,000 47,490,917
(y)++Roche Holdings, Inc. 1.79% 05/16/18 13,750,000 13,739,043
(y)++Roche Holdings, Inc. 1.85% 06/05/18 60,000,000 59,888,640
(y)++Sanofi-Aventis 1.84% 05/07/18 125,000,000 124,957,709
(y)++Sanofi-Aventis 1.94% 06/11/18 99,050,000 98,829,052
(y)++Siemens Capital Co. LLC 1.78% 05/02/18 220,000,000 219,979,113
(y)++Siemens Capital Co. LLC 1.82% 05/21/18 61,500,000 61,435,066
(y)++Siemens Capital Co. LLC 1.82% 05/24/18 100,000,000 99,878,667
(y)++Simon Property GRP, LP 1.93% 06/04/18 56,125,000 56,020,506
(y)++Skandinaviska Enskilda Banken AB 1.76% 05/09/18 100,000,000 99,960,400
(y)++Skandinaviska Enskilda Banken AB 2.20% 06/19/18 100,000,000 99,745,833
(y)++Skandinaviska Enskilda Banken AB 2.21% 07/26/18 200,000,000 198,947,300
(y)++Statoil ASA 1.71% 05/14/18 100,000,000 99,930,622
(y)++Statoil ASA 2.11% 07/13/18 100,000,000 99,594,850
(y)++Statoil ASA 2.11% 07/24/18 150,000,000 149,287,416
(y)++Sumitomo Mitsui Bank NY 1.72% 05/03/18 125,000,000 124,981,646
(y)++Sumitomo Mitsui Bank NY 1.72% 05/04/18 50,000,000 49,990,184
(y)++Sumitomo Mitsui Bank NY 1.87% 05/24/18 175,000,000 174,783,700
(y)++Sumitomo Mitsui Bank NY 2.11% 06/01/18 200,000,000 199,664,178
(y)Swedbank 1.70% 05/01/18 300,000,000 299,985,890
(y)Swedbank 1.70% 05/03/18 300,000,000 299,957,624
(y)Swedbank 1.70% 05/04/18 200,000,000 199,962,312
(y)Target Corp. 1.73% 05/03/18 74,750,000 74,739,130
(r)++Toronto Dominion Bank NY 2.10% (US0001M + 20 bps) 11/14/18 150,000,000 149,916,600
(r)++Toronto Dominion Bank NY 2.14% (US0001M + 23 bps) 12/03/18 200,000,000 199,916,400
(r)++Toronto Dominion Bank NY 2.19% (US0001M + 30 bps) 12/03/18 50,000,000 49,999,700
(r)++Toronto Dominion Bank NY 2.30% (US0001M + 40 bps) 03/15/19 100,000,000 100,019,800
(r)++Toronto Dominion Bank NY 2.54% (US0003M + 27 bps) 03/26/19 45,000,000 45,063,842
(y)++Total Capital Canada, Ltd. 2.06% 06/07/18 77,000,000 76,838,988
(y)++Total Capital Canada, Ltd. 2.13% 07/10/18 100,000,000 99,594,511
(y)++Total Capital Canada, Ltd. 2.13% 07/18/18 80,000,000 79,635,898
(y)++Total Capital Canada, Ltd. 2.16% 07/24/18 250,000,000 248,767,499
(y)Toyota Motor Credit Corp. 2.15% 06/12/18 200,000,000 199,544,678
(y)Toyota Motor Credit Corp. 2.09% 06/13/18 100,000,000 99,766,433
(y)Toyota Motor Credit Corp. 2.32% 08/02/18 150,000,000 149,093,684
(y)++United Overseas Bank 1.85% 05/16/18 98,200,000 98,120,349
(y)++United Overseas Bank 1.92% 06/08/18 34,000,000 33,925,928
(y)++United Overseas Bank 2.31% 07/06/18 100,000,000 99,595,953
(y)++Wal-Mart Stores, Inc. 1.77% 05/07/18 231,641,000 231,562,628
(y)++Wal-Mart Stores, Inc. 1.88% 05/21/18 50,000,000 49,946,042
(r)++Westpac Banking Corp. 2.04% (US0001M + 15 bps) 07/02/18 80,000,000 80,011,360
(r)++Westpac Banking Corp. 2.43% (US0003M + 11 bps) 10/05/18 100,000,000 100,096,200
(r)++Westpac Banking Corp. 2.07% (US0001M + 19 bps) 10/05/18 25,000,000 24,985,325
(r)++Westpac Banking Corp. 2.10% (US0001M + 20 bps) 11/29/18 50,000,000 49,961,300
(r)++Westpac Securities NZ, Ltd. 2.11% (US0001M + 21 bps) 05/11/18 66,500,000 66,506,850
-------------- --------------
TOTAL COMMERCIAL PAPER (Cost $16,512,240,417) 16,536,838,000 16,512,098,141
-------------- --------------
YANKEE CERTIFICATES OF DEPOSIT - 9.5%
(r)Rabobank Nederland NY 2.04% (US0001M + 14 bps) 06/20/18 50,000,000 50,008,150
(r)Rabobank Nederland NY 2.05% (US0001M + 16 bps) 07/12/18 100,000,000 100,009,600
(r)Rabobank Nederland NY 2.10% (US0001M + 22 bps) 09/04/18 100,000,000 99,970,600
(r)Rabobank Nederland NY 2.06% (US0001M + 18 bps) 10/05/18 100,000,000 99,943,800
(r)Rabobank Nederland NY 2.07% (US0001M + 18 bps) 11/02/18 75,000,000 74,951,025
(r)Rabobank Nederland NY 2.09% (US0001M + 20 bps) 12/18/18 75,000,000 74,919,000
(r)Rabobank Nederland NY 2.27% (US0003M + 20 bps) 03/12/19 100,000,000 100,050,583
(r)Royal Bank of Canada NY 2.08% (US0001M + 18 bps) 05/25/18 50,000,000 50,008,800
(r)Royal Bank of Canada NY 2.20% (US0003M + 13 bps) 06/12/18 30,000,000 30,010,680
(r)Royal Bank of Canada NY 2.50% (US0003M + 13 bps) 07/27/18 100,000,000 99,989,300
(r)Royal Bank of Canada NY 2.90% (US0003M + 54 bps) 07/30/18 44,279,000 44,325,050
(r)Royal Bank of Canada NY 2.34% (US0001M + 44 bps) 09/17/18 200,000,000 200,090,799
(r)Royal Bank of Canada NY 2.44% (US0003M + 13 bps) 10/04/18 25,000,000 25,024,125
See Notes to Financial Statements.
-----------------------------------------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2018 (Unaudited)
-----------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ------------------------- -------- ------------- -------------
YANKEE CERTIFICATES OF DEPOSIT - 9.5% (CONTINUED)
(r)Royal Bank of Canada NY 2.14% (US0001M + 25 bps) 11/06/18 100,000,000 99,940,100
(r)Royal Bank of Canada NY 2.20% (US0001M + 30 bps) 11/29/18 60,000,000 59,926,800
(r)Royal Bank of Canada NY 2.13% (US0001M + 23 bps) 12/07/18 75,000,000 74,933,625
(r)Royal Bank of Canada NY 2.14% (US0001M + 24 bps) 12/19/18 150,000,000 149,865,300
(r)Royal Bank of Canada NY 2.56% (US0003M + 23 bps) 04/09/19 60,000,000 60,016,501
(r)Svenska Handelsbanken NY 2.04% (US0001M + 15 bps) 05/02/18 50,000,000 50,000,850
(r)Svenska Handelsbanken NY 2.05% (US0001M + 16 bps) 07/02/18 46,000,000 46,007,268
(r)Svenska Handelsbanken NY 2.04% (US0001M + 14 bps) 07/30/18 150,000,000 149,982,150
(r)Svenska Handelsbanken NY 2.08% (US0001M + 18 bps) 08/08/18 150,000,000 149,985,900
(r)Svenska Handelsbanken NY 2.05% (US0001M + 16 bps) 09/06/18 100,000,000 99,955,500
(r)Svenska Handelsbanken NY 2.06% (US0001M + 16 bps) 09/12/18 150,000,000 149,928,750
(r)Svenska Handelsbanken NY 2.20% (US0001M + 30 bps) 12/10/18 75,000,000 74,990,175
(r)Toronto Dominion Bank NY 2.16% (US0001M + 26 bps) 05/07/18 100,000,000 100,007,800
(r)Toronto Dominion Bank NY 2.07% (US0001M + 17 bps) 05/23/18 80,000,000 80,012,880
(r)Toronto Dominion Bank NY 2.07% (US0001M + 18 bps) 07/12/18 55,000,000 55,007,535
(r)Toronto Dominion Bank NY 2.43% (US0003M + 11 bps) 11/06/18 25,000,000 25,029,850
(r)Toronto Dominion Bank NY 2.24% (US0003M + 20 bps) 03/06/19 100,000,000 100,180,200
------------- -------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT
(Cost $2,575,324,142) 2,575,279,000 2,575,072,696
------------- -------------
U.S. GOVERNMENT AGENCY SECURITIES - 8.9%
(y)Federal Home Loan Bank 1.62% 05/16/18 150,000,000 149,893,800
(y)Federal Home Loan Bank 1.64% 05/18/18 100,000,000 99,919,700
(y)Federal Home Loan Bank 1.70% 05/21/18 150,000,000 149,858,400
(y)Federal Home Loan Bank 1.66% 05/23/18 100,000,000 99,896,100
(y)Federal Home Loan Bank 1.68% 05/25/18 100,000,000 99,886,700
(y)Federal Home Loan Bank 1.68% 05/30/18 123,000,000 122,831,613
(y)Federal Home Loan Bank 1.66% 06/01/18 100,000,000 99,851,000
(y)Federal Home Loan Bank 1.68% 06/06/18 100,000,000 99,827,000
(y)Federal Home Loan Bank 1.69% 06/08/18 100,000,000 99,817,400
(y)Federal Home Loan Bank 1.72% 06/13/18 100,000,000 99,793,400
(y)Federal Home Loan Bank 1.75% 06/22/18 50,000,000 49,875,050
(y)Federal Home Loan Bank 1.72% 06/25/18 100,000,000 99,735,700
(y)Federal Home Loan Bank 1.72% 06/26/18 100,000,000 99,730,900
(y)Federal Home Loan Bank 1.76% 06/27/18 100,000,000 99,726,100
(y)Federal Home Loan Bank 1.76% 07/05/18 150,000,000 149,501,700
(y)Federal Home Loan Bank 1.73% 07/06/18 75,000,000 74,747,025
(y)Federal Home Loan Bank 1.73% 07/11/18 100,000,000 99,637,100
(y)Federal Home Loan Bank 1.75% 07/13/18 100,000,000 99,626,900
(y)Federal Home Loan Bank 1.84% 07/20/18 175,000,000 174,284,425
(y)Federal Home Loan Bank 1.81% 07/24/18 100,000,000 99,570,700
(y)Federal Home Loan Bank 1.82% 07/25/18 100,000,000 99,565,600
(y)Federal Home Loan Bank 1.82% 07/26/18 150,000,000 149,340,600
------------- -------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $2,417,071,961) 2,423,000,000 2,416,916,913
------------- -------------
REPURCHASE AGREEMENTS - 14.0%
Bank of America Corp. (Purchased on 04/30/2018,
Proceeds at maturity $150,007,125,
collateralized by U.S. Treasury Security,
2.38%, 04/15/21, market value $153,000,088) 1.71% 05/01/18 150,000,000 150,000,000
Barclays Capital, Inc. (Purchased on 04/30/2018,
Proceeds at maturity $800,038,000,
collateralized by U.S. Treasury Securities,
0.00% - 7.63%, 06/30/18 - 02/15/28, market
value $816,000,000) 1.71% 05/01/18 800,000,000 800,000,000
Goldman Sachs & Co. (Purchased on 04/30/2018,
Proceeds at maturity $200,009,500,
collateralized by U.S. Government Agency Backed
Securities, 2.50% - 6.50%, 08/15/23 - 02/15/53,
market value $204,000,000) 1.71% 05/01/18 200,000,000 200,000,000
HSBC Securities (USA), Inc. (Purchased on
04/30/2018, Proceeds at maturity $650,030,875,
collateralized by U.S. Treasury Securities,
0.00% - 2.88%, 05/15/18 - 01/01/50, market
value $661,375,715) 1.71% 05/01/18 650,000,000 650,000,000
JPMorgan Securities (Purchased on 04/30/2018,
Proceeds at maturity $400,019,111,
collateralized by U.S. Government Agency Backed
Securities and U.S. Treasury Securities, 0.00%
- 3.75%, 05/21/18 - 01/15/28, market value
$408,001,016) 1.72% 05/01/18 400,000,000 400,000,000
Mizuho Securities USA, Inc. (Purchased on
04/30/2018, Proceeds at maturity $300,014,417,
collateralized by U.S. Treasury Securities,
0.00% - 2.00%, 03/28/19 - 02/15/22, market
value $306,000,067) 1.73% 05/01/18 300,000,000 300,000,000
See Notes to Financial Statements.
-------------------------------------------------------------------------------------------------------------------
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (concluded)
April 30, 2018 (Unaudited)
-------------------------------------------------------------------------------------------------------------------
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---------------------- -------- ------------- ---------------
REPURCHASE AGREEMENTS - 14.0% (CONTINUED)
Royal Bank of Canada (Purchased on 04/30/2018, Proceeds at
maturity $800,038,000, collateralized by U.S. Treasury
Securities, 0.00% -3.63%, 05/10/18 - 07/15/27, market value
$816,000,062) 1.71% 05/01/18 800,000,000 800,000,000
Toronto Dominion Bank NY (Purchased on 04/30/2018, Proceeds at
maturity $500,024,028, collateralized by U.S. Treasury
Securities and U.S. Government Agency Backed Securities, 1.50%
- 2.88%, 10/31/19 - 09/24/26, market value $510,000,005) 1.73% 05/01/18 500,000,000 500,000,000
------------- ---------------
TOTAL REPURCHASE AGREEMENTS (Cost $3,800,000,000) 3,800,000,000 3,800,000,000
------------- ---------------
U.S. TREASURY OBLIGATIONS - 3.5%
(y)U.S. Treasury Bill 1.54% 05/10/18 100,000,000 99,961,625
(y)U.S. Treasury Bill 1.66% 05/17/18 100,000,000 99,929,222
(y)U.S. Treasury Bill 1.74% 06/14/18 200,000,000 199,597,278
(y)U.S. Treasury Bill 1.69% 06/21/18 200,000,000 199,522,584
(y)U.S. Treasury Bill 1.73% 07/12/18 200,000,000 199,304,000
(y)U.S. Treasury Bill 1.70% 07/26/18 150,000,000 149,363,063
------------- ---------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $947,691,224) 950,000,000 947,677,772
------------- ---------------
TOTAL INVESTMENTS (Cost $27,158,636,134) - 100.0% $27,158,109,056
===============
AB--Aktiebolag (Swedish Stock Company)
ASA--Allmennaksjeselskap (Norwegian Stock Company)
LLC--Limited Liability Co.
LP--Limited Partnership
NY--New York Shares
NZ--New Zealand
US0001M--1 Month US Dollar LIBOR
US0003M--3 Month US Dollar LIBOR
++ Rule 144A, Section 4(2), or other security which is restricted as to resale
to institutional investors. The Fund's Advisor has deemed this security to
be liquid based upon procedures approved by the Board of Directors/Trustees.
The aggregate value of these securities at April 30, 2018 was
$13,975,532,107 which represented 51.5% of the total investments of the Fund.
(r)The adjustable/variable rate shown is effective as of April 30, 2018.
(y)The rate shown is the effective yield.
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2018 (Unaudited)
ASSETS:
Investments, at value $23,358,109,056
Repurchase agreements, at value 3,800,000,000
---------------
Total Investments 27,158,109,056
---------------
Cash 1,257,925,481
Interest receivable 9,928,284
Prepaid expenses 25,154
---------------
Total Assets 28,425,987,975
---------------
LIABILITIES:
Distributions payable 43,267,492
Accrued expenses and other payables:
Investment Management Fees 1,189,706
Director/Trustee Fees 508,113
Transfer Agent Fees 9,127
Professional Fees 73,306
CCO Fees 2,075
Other Expenses 119,396
---------------
Total Liabilities 45,169,215
---------------
Net Assets $28,380,818,760
===============
NET ASSETS CONSIST OF:
Capital $28,381,512,399
Accumulated Net Investment Loss (165,000)
Accumulated Net Realized Losses from Investment Transactions (1,561)
Net Unrealized Depreciation on Investments (527,078)
---------------
NET ASSETS $28,380,818,760
===============
Shares of Beneficial Interest (Unlimited Number of Shares Authorized,
No Par value) 2,452,893,658
===============
Net Asset Value (Offering and Redemption Price Per Share) $ 11.5703
===============
Investments at cost $27,158,636,134
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2018 (Unaudited)
INVESTMENT INCOME:
Interest $217,142,847
------------
Total Investment Income 217,142,847
------------
EXPENSES:
Investment Management Fees 6,998,598
Administration Fees 842,121
Transfer Agent Fees 53,499
Professional Fees 82,243
Director/Trustee Fees 71,974
CCO Fees 11,359
Other Expenses 272,200
------------
Total Expenses Before Fee Reductions 8,331,994
------------
Fees Paid Indirectly (813,580)
------------
Net Expenses 7,518,414
------------
Net Investment Income 209,624,433
------------
UNREALIZED LOSSES FROM INVESTMENTS
Net Change in Unrealized Depreciation on Investments (2,826,753)
------------
Net Unrealized Losses from Investments (2,826,753)
------------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $206,797,680
============
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX
MONTHS FOR THE YEAR
ENDED ENDED
APRIL 30, 2018 OCTOBER 31, 2017
---------------- -----------------
(UNAUDITED)
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net Investment Income $ 209,624,433 $ 248,554,675
Net Realized Gains from Investment Transactions -- 109,822
Net Change in Unrealized Depreciation on Investments (2,826,753) (2,591,932)
---------------- -----------------
Change in net assets resulting from operations 206,797,680 246,072,565
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (209,624,433) (248,683,812)
Net Realized Gains (110,814) (19,983)
---------------- -----------------
Change in Net Assets from Distributions to Shareholders (209,735,247) (248,703,795)
---------------- -----------------
CAPITAL TRANSACTIONS:
Proceeds from Shares Issued 64,600,317,193 116,171,372,725
Dividends Reinvested 69,643 35,755
Cost of Shares Redeemed (61,493,082,010) (113,325,139,268)
---------------- -----------------
Change in Net Assets from Capital Transactions 3,107,304,826 2,846,269,212
---------------- -----------------
Change in Net Assets 3,104,367,259 2,843,637,982
NET ASSETS:
Beginning of Period 25,276,451,501 22,432,813,519
---------------- -----------------
End of Period $ 28,380,818,760 $ 25,276,451,501
================ =================
Accumulated Net Investment Loss $ (165,000) $ (165,000)
================ =================
SHARES TRANSACTIONS:
Shares Issued 5,583,299,241 10,038,493,888
Reinvested 6,019 3,090
Shares Redeemed (5,314,787,647) (9,792,598,203)
---------------- -----------------
Change in Shares 268,517,613 245,898,775
================ =================
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
--------------------------------------------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
ENDED OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
APRIL 30, 2018 2017 2016/(a)/ 2015 2014 2013
-------------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF
PERIOD $ 11.5715 $ 11.5723 $ 11.5700 $ 11.57 $ 11.57 $ 11.57
----------- ----------- ----------- ----------- ----------- -----------
INVESTMENT ACTIVITIES:
Net Investment
Income 0.0856 0.1090 0.0472 0.01 0.01 0.01
Net Realized and
Unrealized
Gain/ (Losses)
on Investments (0.0012) (0.0007) 0.0024 -- /(b)/ -- /(b)/ -- /(b)/
----------- ----------- ----------- ----------- ----------- -----------
Total from
Investment
Activities 0.0844 0.1083 0.0496 0.01 0.01 0.01
----------- ----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment
Income (0.0856) (0.1091) (0.0472) (0.01) (0.01) (0.01)
Net Realized
Gains -- /(b)/ -- /(b)/ (0.0001) -- /(b)/ -- /(b)/ -- /(b)/
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.0856) (0.1091) (0.0473) (0.01) (0.01) (0.01)
----------- ----------- ----------- ----------- ----------- -----------
NET ASSET VALUE,
END OF PERIOD $ 11.5703 $ 11.5715 $ 11.5723 $ 11.57 $ 11.57 $ 11.57
=========== =========== =========== =========== =========== ===========
Total Return 0.73%/(c)/ 0.94% 0.43% 0.11% 0.08% 0.13%
SUPPLEMENTAL DATA:
Net Assets, End of
Period (000's) $28,380,819 $25,276,452 $22,432,814 $23,230,655 $24,343,666 $19,492,456
RATIOS TO AVERAGE
NET ASSETS:
Net Investment
Income/(d) / 1.50% 0.95% 0.41% 0.11% 0.08% 0.12%
Gross Expenses/(d) / 0.06% 0.06% 0.06% 0.06% 0.06% 0.06%
Net Expenses/(d)(e)
/ 0.05% 0.05% 0.05% 0.06% 0.06% 0.06%
(a)As a result of the SEC's rules on money market reform, the financial
highlight values are now presented to 4 digits beginning in 2016.
(b)Amount less than $0.005.
(c)Not annualized.
(d)Annualized for periods less than one year.
(e)Ratio as disclosed reflects the impact of custody fee credits earned by the
fund on cash balances.
See Notes to Financial Statements.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
April 30, 2018 (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
"1940 Act"). The Trust consists of eleven series, one of which, The DFA Short
Term Investment Fund (the "Fund"), is included in this report. The remaining
series are presented in separate reports. The Fund 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 investment objective of the Fund is to seek to provide a high level of
current income consistent with liquidity and the preservation of capital. As a
money market fund, the Fund will pursue its investment objective by investing
in U.S. dollar-denominated short-term debt securities that meet the strict
standards established by the Board of Trustees of the Trust (the "Board"),
which are in accordance with Rule 2a-7 under the 1940 Act.
The Board is responsible for establishing the Trust's policies and for
overseeing the management of the Trust. Under the Trust's organizational
documents, its officers and trustees are indemnified against certain
liabilities arising out of the performance of their duties to the Trust. In the
normal course of business, the Trust enters into contracts that contain a
variety of representations and warranties that provide general indemnification.
The Trust's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Trust and/or its affiliates
that have not yet occurred. However, based on prior experience, the Trust
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America ("U.S. GAAP").
Such policies are consistently followed by the Trust in preparation of its
financial statements. The preparation of financial statements in accordance
with U.S. GAAP requires management to make estimates and assumptions that
affect 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
. 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)
The securities held by the Fund are valued at market value or fair value in
accordance with procedures adopted by the Board. Debt securities 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 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. These valuations are generally categorized as Level 2 in the
hierarchy.
Changes in valuation techniques may result in transfers in or out of an
assigned level within the disclosure hierarchy. The Fund determines transfers
between fair value hierarchy levels at the reporting period end. During the six
months ended April 30, 2018, only securities classified as Level 2 in the fair
value hierarchy were held by the Fund.
A summary of the inputs used to value the Fund's investments is disclosed
previously in this Note. A valuation hierarchy table has been provided below.
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements (continued)
April 30, 2018 (Unaudited)
For the six months ended April 30, 2018, there were no transfers between
Level 1 and Level 2, and no Level 3 investments were held by the Fund.
When determining the fair value of the Fund's investments, additional
consideration is given to those assets or liabilities that have experienced a
decrease in the volume or level of activity or have identified circumstances
that indicate that a transaction is not orderly.
The following table provides the fair value measurements of the Fund's
investments by level within the fair value hierarchy as of April 30, 2018:
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
IN IN IN
SECURITIES SECURITIES SECURITIES
----------- --------------- -----------
THE DFA SHORT TERM INVESTMENT FUND
Corporate Bonds $-- $ 595,016,307 $--
Yankee Bonds -- 311,327,227 --
Commercial Paper -- 16,512,098,141 --
Yankee Certificates of Deposit -- 2,575,072,696 --
U.S. Government Agency Securities -- 2,416,916,913 --
Repurchase Agreements -- 3,800,000,000 --
U.S. Treasury Obligations -- 947,677,772 --
--- --------------- ---
Total Investments $ - $27,158,109,056 $ -
=== =============== ===
2. DEFERRED COMPENSATION PLAN - Each eligible trustee (each a "Trustee" and
collectively, the "Trustees") 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
Director/Trustee Fees.
Each Trustee has the option to receive the 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 to defer
compensation (the "Notice") to elect 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; 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.
At April 30, 2018, the Fund's total liability of $582,824 for deferred
compensation to Trustees is included in the "Director/Trustee Fees" payable (a
line item which also includes Trustee fees/expenses, currently in a prepaid
state) on the Statement of Assets and Liabilities.
3. SECURITY TRANSACTIONS AND RELATED INCOME - Security transactions are
accounted for as of the trade date. Costs used in determining realized gains
and losses on the sale of investment securities are on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The Fund generally declares distributions from net investment
income on a daily basis and pays dividends monthly. Any capital gains are
distributed at least annually. The Fund does not expect to realize any
long-term capital gains and losses. The Fund may distribute such income
dividends and capital gains more frequently, if necessary, in order to reduce
or eliminate federal excise or income taxes on the Fund. Interest income is
recognized on an accrual basis and includes amortization or accretion of premia
or discount using the straight-line method. Costs used in determining net
realized gains and losses on the sales of investment securities are those of
the specific securities sold, adjusted for the accretion or amortization of
purchase discounts or premia during the respective holding period.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements (continued)
April 30, 2018 (Unaudited)
4. ALLOCATIONS - The Trust bears all of its own fees, expenses, charges,
assessments, taxes, and other costs incurred in its operation, whether incurred
directly by the Trust or by Dimensional Fund Advisors LP, the Fund's investment
adviser (the "Advisor" or "DFA"), on its behalf. Expenses directly attributable
to the Fund are charged to the Fund. Expenses not directly attributable to the
Fund are allocated among the respective portfolios in the Trust on the basis of
their relative net assets.
C. FEDERAL INCOME TAXES
The Fund is classified as a regulated investment company for tax purposes. As a
regulated investment company, the Fund generally pays no U.S. federal income
tax on the income and gains that the Fund distributes to shareholders.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulation, which may
differ from those amounts determined under U.S. GAAP. These book/tax
differences are either temporary (e.g., wash sale losses) or permanent (e.g.,
reclassification of certain gain/loss and distributions) 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,
as appropriate, in the period that the differences arise. There were no
permanent differences as of April 30, 2018, attributable to distribution
redesignations.
As of April 30, 2018, the tax cost of securities and the breakdown of
unrealized appreciation and depreciation of securities for federal income tax
purposes are as follows:
Net Unrealized
Tax Cost of Unrealized Unrealized Appreciation /
Securities Appreciation Depreciation (Depreciation)
--------------- ------------ ------------ --------------
The DFA Short Term Investment Fund $27,158,636,134 $1,433,326 $(1,960,404) $(527,078)
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.
For all open tax years and all major taxing jurisdictions, management of the
Fund has concluded that there are no significant uncertain tax positions that
would require recognition 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. Each of the Fund's federal tax returns for the prior three
fiscal years remains subject to examination by the Internal Revenue Service.
The tax character of distributions paid to shareholders during the years ended
October 31, 2017 and October 31, 2016 was as follows:
Distributions Paid From
------------------------------------------
Total
Net Investment Long-Term Distributions
Income Capital Gains Paid
-------------- ------------- -------------
The DFA Short Term Investment Fund
2017 $232,171,035 $ 985 $232,172,020
2016 82,921,419 2,002 82,923,421
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements (continued)
April 30, 2018 (Unaudited)
As of October 31, 2017, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
Undistributed
--------------------------------------------------------------------------------------------------
Accumulated Unrealized
Ordinary Long-Term Accumulated Distributions Capital And Appreciation Total Accumulated
Income Capital Gains Earnings Payable Other Losses (Depreciation) Earnings (Deficit)
----------- ------------- ----------- ------------- ------------ -------------- ------------------
The DFA
Short Term
Investment
Fund $27,909,841 $-- $27,909,841 $(27,314,202) $-- $2,299,675 $2,895,314
D. FINANCIAL INSTRUMENTS
REPURCHASE AGREEMENTS - The Fund may engage in repurchase agreement
transactions with institutions that the Advisor has determined are
creditworthy. The Fund, through its custodian, receives delivery of underlying
securities collateralizing a repurchase agreement. Collateral for certain
tri-party repurchase agreements is held at the counterparty's custodian in a
segregated account for the benefit of the Fund and the counterparty. The
counterparty will be required to maintain collateral with a value at least
equal, at all times, to the value of the repurchase obligation including
interest. A repurchase agreement transaction involves certain risks in the
event of default or insolvency of the counterparty. These risks include
possible delay or restrictions upon the Fund's ability to dispose of the
collateral and a possible decline in the value of the collateral during the
period while the Fund seeks to assert its rights.
Repurchase agreements ("RA") permit the Fund, under certain circumstances
including an event of default (such as bankruptcy or insolvency), to offset
payables and/or receivables under the RA with collateral held and/or posted to
the counterparty and create one single net payment due to or from the Fund.
However, bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against such a right of offset in the event of
the RA counterparty's bankruptcy or insolvency. Pursuant to the terms of the
RA, the Fund receives securities as collateral with a market value in excess of
the repurchase price to be received by the Fund upon the maturity of the
repurchase transaction. Upon a bankruptcy or insolvency of the RA counterparty,
the Fund would recognize a liability with respect to such excess collateral to
reflect the Fund's obligation under bankruptcy law to return the excess to the
counterparty.
E. RELATED PARTY TRANSACTIONS
INVESTMENT MANAGER - Dimensional Fund Advisors LP serves as investment advisor
to the Fund. Pursuant to an investment management agreement with the Trust with
respect to the Fund (the "Investment Management Agreement"), the Advisor
manages the investment and reinvestment of the Fund's assets. DFA has served as
the Fund's investment advisor since the Fund's commencement of operations.
Pursuant to the terms of the investment management agreement, the Advisor
receives a management fee calculated daily and payable monthly from the Fund at
an annual rate of 0.05% of the average daily net assets.
FEES PAID TO OFFICERS AND 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. Amounts paid to the Trust's CCO are reflected
on the Statement of Operations as "CCO fees".
At April 30, 2018, the following number of shareholders held the approximate
percentage of the stated Portfolio's outstanding shares:
Number of Approximate Percentage
Shareholders of Outstanding Shares
------------ ----------------------
The DFA Short Term Investment Fund 7 50%
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements (continued)
April 30, 2018 (Unaudited)
F. INTEREST RATE AND CREDIT RISKS
The Fund invests primarily in money market instruments maturing in 397 days or
less and which are considered Eligible Securities (as defined in Rule 2a-7
under the 1940 Act). The ability of the issuers of the securities held by the
Fund to meet their obligations may be affected by economic developments in a
specific industry, state or region.
The Fund is subject to the risk that the Advisor's security selection and
expectations regarding interest rate trends will cause the yields of the Fund
to lag the performance of other mutual funds with similar investment objectives
or the performance of short-term debt instruments. The emphasis of the Fund on
quality and liquidity also could cause the Fund to underperform when compared
to other money market funds, particularly those that take greater maturity and
credit risks.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM
The Fund, together with other Dimensional-advised portfolios, has entered into
a $700 million unsecured line of credit with its custodian bank effective
January 5, 2018. A similar line of credit for $700 million was in effect
through January 4, 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 to by the parties at the time of
borrowing. There is no commitment fee on the unused portion of the line of
credit. The agreement for the line of credit expires on January 4, 2019. There
were no borrowings by the Fund under this line of credit during the six month
period ended 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 objective and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice. The Fund
had no interfund loans through the program during the period and there were no
outstanding loans as of April 30, 2018.
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements (concluded)
April 30, 2018 (Unaudited)
H. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund
through the date these financials statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information
April 30, 2018 (Unaudited)
EXPENSE EXAMPLES
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 example is based on an investment of $1,000 invested at the beginning of
the period and held for the entire period from November 1, 2017 to April 30,
2018.
Actual Expenses
---------------
The table below provides information about actual account values and actual
expenses. You may use the information below, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you
paid on your account during this period.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
11/1/17 4/30/18 11/1/17 - 4/30/18 11/1/17 - 4/30/18
------------- ------------- ----------------- -----------------
The DFA Short Term
Investment Fund $1,000.00 $1,007.30 $0.25 0.05%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from November 1, 2017 to April 30, 2018, divided by the number of
days in the fiscal year.
Hypothetical Example for Comparison Purposes
--------------------------------------------
The table below provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not the Fund's actual
return. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare this 5% hypothetical example with the
5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
11/1/17 4/30/18 11/1/17 - 4/30/18 11/1/17 - 4/30/18
------------- ------------- ----------------- -----------------
The DFA Short Term
Investment Fund $1,000.00 $1,024.55 $0.25 0.05%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from November 1, 2017 to April 30, 2018, divided by the number of
days in the fiscal year.
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information (continued)
April 30, 2018 (Unaudited)
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use in
voting proxies relating to securities held in the portfolios 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.
PORTFOLIO HOLDINGS INFORMATION
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 Trust or
the 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. The
Trust filed its most recent Form N-Q with the SEC on March 29, 2018. The Forms
N-Q 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, DC (call 1-800-732-0330 for the information on
the operation of the Public Reference Room).
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information (concluded)
April 30, 2018 (Unaudited)
Money Market Series
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT
At the Board meeting held on December 14-15, 2017 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement (the "Management
Agreement") for the Fund.
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 Agreement. 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 Agreement. 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 the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund;
(ii) the performance of the Fund and the Advisor; (iii) the fees and expenses
borne by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; and (v) whether economies of scale are realized by
the Advisor with respect to the 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 the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's global investment advisory capabilities. The Board evaluated the
Advisor's portfolio management process and discussed the unique features of the
Advisor's investment approach. The Board also considered the nature and
character of non-investment advisory services provided by the Advisor,
including administrative services. After analyzing the caliber of services
provided by the Advisor to the 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 the 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 the Fund, the Board analyzed the
Morningstar Reports, which compared the performance of the 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 the 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 Fund. The Board determined,
among other things, that after considering the Fund's investment strategies and
the expectations of its shareholder base, the performance of the Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by the 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 the 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 the 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 the Fund. The Board considered the profitability to the
Advisor of managing and servicing the Fund 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 the 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
the 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 the Fund was in
the best interests of the Fund and its shareholders.
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant that provided a summary schedule of portfolio holdings in a report
to stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF INVESTMENTS IS PROVIDED
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
The Tax-Managed U.S. Marketwide Value Series
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (96.9%)
Consumer Discretionary -- (11.9%)
# Adient P.L.C. 324,454 $ 19,885,786 0.1%
# Advance Auto Parts, Inc. 147,858 16,922,348 0.1%
# Autoliv, Inc. 418,017 56,035,179 0.2%
#* AutoNation, Inc. 464,747 21,466,664 0.1%
BorgWarner, Inc. 1,060,592 51,905,372 0.2%
Carnival Corp. 1,265,734 79,817,186 0.3%
# CBS Corp. Class A 5,058 250,320 0.0%
* Charter Communications, Inc. Class A 962,932 261,233,822 0.9%
Comcast Corp. Class A 21,576,111 677,274,124 2.3%
#* Discovery, Inc. Class A 644,292 15,237,506 0.1%
#* Discovery, Inc. Class C 621,252 13,804,219 0.0%
* Dollar Tree, Inc. 369,560 35,437,108 0.1%
DR Horton, Inc. 3,044,785 134,396,810 0.5%
# Foot Locker, Inc. 106,680 4,595,774 0.0%
Ford Motor Co. 16,051,999 180,424,469 0.6%
# Garmin, Ltd. 486,736 28,556,801 0.1%
* GCI Liberty, Inc. Class A 59,566 2,656,644 0.0%
General Motors Co. 6,055,833 222,491,304 0.8%
Gentex Corp. 1,338,862 30,445,722 0.1%
Goodyear Tire & Rubber Co. (The) 1,549,233 38,901,241 0.1%
Hyatt Hotels Corp. Class A 44,108 3,390,582 0.0%
International Game Technology P.L.C. 11,477 324,455 0.0%
# Kohl's Corp. 1,387,664 86,201,688 0.3%
Lear Corp. 297,292 55,584,685 0.2%
Lennar Corp. Class A 1,444,704 76,410,395 0.3%
Lennar Corp. Class B 37,985 1,621,580 0.0%
#* Liberty Broadband Corp. Class A 27,366 1,928,756 0.0%
#* Liberty Broadband Corp. Class C 172,660 12,239,867 0.0%
#* Liberty Media Corp.-Liberty Braves Class A 13,703 301,055 0.0%
#* Liberty Media Corp.-Liberty Braves Class C 24,606 542,316 0.0%
#* Liberty Media Corp.-Liberty Formula One Class A 39,281 1,104,189 0.0%
#* Liberty Media Corp.-Liberty Formula One Class C 78,562 2,319,150 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 157,126 6,563,153 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class C 314,252 13,091,738 0.0%
* LKQ Corp. 1,167,836 36,226,273 0.1%
# Macy's, Inc. 1,932,620 60,046,503 0.2%
* Madison Square Garden Co. (The) Class A 12,058 2,930,335 0.0%
MGM Resorts International 2,471,336 77,649,377 0.3%
* Mohawk Industries, Inc. 582,542 122,263,915 0.4%
# Newell Brands, Inc. 686,895 18,978,909 0.1%
News Corp. Class A 377,812 6,037,436 0.0%
News Corp. Class B 40,936 665,210 0.0%
* Norwegian Cruise Line Holdings, Ltd. 1,519,001 81,220,983 0.3%
# PulteGroup, Inc. 2,391,049 72,592,248 0.3%
PVH Corp. 445,206 71,086,042 0.2%
* Qurate Retail Group, Inc. QVC Group Class A 2,762,021 64,658,912 0.2%
# Ralph Lauren Corp. 316,488 34,766,207 0.1%
Royal Caribbean Cruises, Ltd. 1,271,015 137,511,113 0.5%
* Skechers U.S.A., Inc. Class A 187,666 5,348,481 0.0%
Target Corp. 1,192,437 86,570,926 0.3%
TEGNA, Inc. 81,650 863,041 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Consumer Discretionary -- (Continued)
Time Warner, Inc. 3,836,070 $ 363,659,436 1.3%
Toll Brothers, Inc. 338,804 14,283,977 0.1%
Viacom, Inc. Class A 2,694 95,772 0.0%
Viacom, Inc. Class B 913,727 27,558,006 0.1%
Whirlpool Corp. 544,837 84,422,493 0.3%
-------------- ----
Total Consumer Discretionary 3,522,797,603 12.2%
-------------- ----
Consumer Staples -- (4.9%)
Archer-Daniels-Midland Co. 1,399,825 63,524,058 0.2%
Bunge, Ltd. 854,141 61,694,604 0.2%
# Coty, Inc. Class A 419,572 7,279,574 0.0%
Ingredion, Inc. 146,985 17,798,414 0.1%
# JM Smucker Co. (The) 897,022 102,332,270 0.4%
Kraft Heinz Co. (The) 1,012,962 57,110,797 0.2%
Molson Coors Brewing Co. Class B 1,008,879 71,872,540 0.3%
Mondelez International, Inc. Class A 3,576,652 141,277,754 0.5%
Pinnacle Foods, Inc. 489,872 29,588,269 0.1%
#* Post Holdings, Inc. 380,520 30,277,976 0.1%
Seaboard Corp. 13 52,092 0.0%
Tyson Foods, Inc. Class A 1,959,828 137,383,943 0.5%
* US Foods Holding Corp. 996,443 34,058,422 0.1%
Walgreens Boots Alliance, Inc. 3,030,389 201,369,349 0.7%
Walmart, Inc. 5,689,778 503,317,762 1.7%
-------------- ----
Total Consumer Staples 1,458,937,824 5.1%
-------------- ----
Energy -- (13.3%)
Anadarko Petroleum Corp. 1,005,192 67,669,525 0.2%
Andeavor 1,297,132 179,419,298 0.6%
#* Antero Resources Corp. 274,772 5,220,668 0.0%
# Apache Corp. 550,345 22,536,628 0.1%
# Baker Hughes a GE Co. 1,033,235 37,310,116 0.1%
Chevron Corp. 5,879,241 735,551,842 2.5%
#* Concho Resources, Inc. 695,714 109,373,198 0.4%
ConocoPhillips 2,949,628 193,200,634 0.7%
#* Continental Resources, Inc. 28,197 1,862,694 0.0%
Devon Energy Corp. 885,734 32,178,716 0.1%
#* Diamondback Energy, Inc. 247,001 31,727,279 0.1%
Exxon Mobil Corp. 13,357,412 1,038,538,783 3.6%
# Helmerich & Payne, Inc. 394,637 27,447,003 0.1%
# Hess Corp. 918,391 52,339,103 0.2%
HollyFrontier Corp. 854,942 51,886,430 0.2%
Kinder Morgan, Inc. 7,052,291 111,567,244 0.4%
Marathon Oil Corp. 3,191,128 58,238,086 0.2%
Marathon Petroleum Corp. 2,321,313 173,889,557 0.6%
# Murphy Oil Corp. 644,526 19,406,678 0.1%
# National Oilwell Varco, Inc. 1,338,190 51,747,807 0.2%
# Noble Energy, Inc. 1,726,287 58,400,289 0.2%
Occidental Petroleum Corp. 2,538,795 196,147,302 0.7%
Phillips 66 985,837 109,733,517 0.4%
Pioneer Natural Resources Co. 70,533 14,215,926 0.0%
* RSP Permian, Inc. 43,338 2,149,998 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Energy -- (Continued)
Schlumberger, Ltd. 1,532,862 $ 105,093,019 0.4%
# Targa Resources Corp. 888,528 41,734,160 0.1%
TechnipFMC P.L.C. 1,601,490 52,785,110 0.2%
Valero Energy Corp. 2,730,237 302,865,190 1.1%
Williams Cos., Inc. (The) 1,196,347 30,782,008 0.1%
-------------- ----
Total Energy 3,915,017,808 13.6%
-------------- ----
Financials -- (23.6%)
Aflac, Inc. 2,661,690 121,293,213 0.4%
Alleghany Corp. 32,159 18,480,813 0.1%
Allstate Corp. (The) 960,776 93,983,108 0.3%
Ally Financial, Inc. 2,960,989 77,281,813 0.3%
American Financial Group, Inc. 387,836 43,910,792 0.2%
American International Group, Inc. 1,977,587 110,744,872 0.4%
#* Arch Capital Group, Ltd. 179,406 14,375,803 0.0%
Assurant, Inc. 246,917 22,918,836 0.1%
Axis Capital Holdings, Ltd. 165,056 9,688,787 0.0%
Bank of America Corp. 20,209,612 604,671,591 2.1%
Bank of New York Mellon Corp. (The) 4,465,867 243,434,410 0.8%
# Bank of the Ozarks, Inc. 123,689 5,788,645 0.0%
BB&T Corp. 2,097,063 110,724,926 0.4%
* Berkshire Hathaway, Inc. Class B 995,133 192,787,116 0.7%
# BOK Financial Corp. 6,114 615,557 0.0%
#* Brighthouse Financial, Inc. 185,840 9,436,955 0.0%
Capital One Financial Corp. 2,121,634 192,262,473 0.7%
Chubb, Ltd. 588,870 79,891,993 0.3%
# CIT Group, Inc. 473,057 25,048,368 0.1%
Citigroup, Inc. 5,962,612 407,067,521 1.4%
Citizens Financial Group, Inc. 912,076 37,842,033 0.1%
# CNA Financial Corp. 411,635 20,771,102 0.1%
Comerica, Inc. 93,036 8,799,345 0.0%
Everest Re Group, Ltd. 177,695 41,344,296 0.1%
Fifth Third Bancorp 3,987,928 132,279,572 0.5%
First American Financial Corp. 115,297 5,892,830 0.0%
Goldman Sachs Group, Inc. (The) 1,092,193 260,302,358 0.9%
Hartford Financial Services Group, Inc. (The) 1,506,378 81,103,391 0.3%
Huntington Bancshares, Inc. 5,537,519 82,564,408 0.3%
Invesco, Ltd. 920,299 26,661,062 0.1%
# Janus Henderson Group P.L.C. 57,192 1,806,695 0.0%
JPMorgan Chase & Co. 11,108,809 1,208,416,243 4.2%
KeyCorp 2,339,105 46,594,972 0.2%
Leucadia National Corp. 249,860 6,006,634 0.0%
Lincoln National Corp. 842,198 59,492,867 0.2%
Loews Corp. 1,304,005 68,408,102 0.2%
M&T Bank Corp. 204,757 37,321,058 0.1%
MetLife, Inc. 1,856,059 88,478,332 0.3%
* MGIC Investment Corp. 174,382 1,747,308 0.0%
Morgan Stanley 5,338,744 275,585,965 1.0%
# New York Community Bancorp, Inc. 1,100,233 13,070,768 0.0%
Old Republic International Corp. 816,263 16,651,765 0.1%
PacWest Bancorp 335,209 17,176,109 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Financials -- (Continued)
# People's United Financial, Inc. 396,896 $ 7,259,228 0.0%
# Pinnacle Financial Partners, Inc. 44,579 2,855,285 0.0%
PNC Financial Services Group, Inc. (The) 1,331,289 193,848,991 0.7%
Principal Financial Group, Inc. 1,447,757 85,736,170 0.3%
# Prosperity Bancshares, Inc. 69,192 4,965,910 0.0%
Prudential Financial, Inc. 983,255 104,539,672 0.4%
Regions Financial Corp. 6,233,501 116,566,469 0.4%
Reinsurance Group of America, Inc. 343,304 51,289,618 0.2%
RenaissanceRe Holdings, Ltd. 118,695 16,147,268 0.1%
Santander Consumer USA Holdings, Inc. 597,888 11,031,034 0.0%
State Street Corp. 409,424 40,852,327 0.1%
SunTrust Banks, Inc. 1,285,995 85,904,466 0.3%
Synchrony Financial 349,095 11,579,481 0.0%
Travelers Cos., Inc. (The) 1,165,331 153,357,560 0.5%
Unum Group 1,204,396 58,268,678 0.2%
Voya Financial, Inc. 184,436 9,655,225 0.0%
Wells Fargo & Co. 18,696,506 971,470,452 3.4%
WR Berkley Corp. 380,116 28,341,449 0.1%
XL Group, Ltd. 950,991 52,865,590 0.2%
# Zions Bancorporation 868,909 47,572,768 0.2%
-------------- ----
Total Financials 6,976,832,448 24.2%
-------------- ----
Health Care -- (14.1%)
Abbott Laboratories 4,212,247 244,857,918 0.9%
Aetna, Inc. 1,816,031 325,160,351 1.1%
Allergan P.L.C. 496,938 76,354,524 0.3%
Anthem, Inc. 1,376,563 324,855,102 1.1%
Becton Dickinson and Co. 682 158,135 0.0%
* Bio-Rad Laboratories, Inc. Class A 7,494 1,901,303 0.0%
# Cardinal Health, Inc. 63,195 4,055,223 0.0%
* Centene Corp. 1,257,364 136,524,583 0.5%
Cigna Corp. 403,350 69,303,597 0.2%
CVS Health Corp. 4,700,064 328,205,469 1.1%
Danaher Corp. 1,838,784 184,466,811 0.6%
* DaVita, Inc. 970,392 60,930,914 0.2%
DENTSPLY SIRONA, Inc. 220,294 11,089,600 0.0%
* Express Scripts Holding Co. 2,740,464 207,453,125 0.7%
Humana, Inc. 674,755 198,499,426 0.7%
* IQVIA Holdings, Inc. 480,892 46,050,218 0.2%
* Laboratory Corp. of America Holdings 740,399 126,423,129 0.4%
McKesson Corp. 520,807 81,355,261 0.3%
* MEDNAX, Inc. 413,651 18,990,717 0.1%
Medtronic P.L.C. 4,282,974 343,194,707 1.2%
* Mylan NV 2,318,430 89,862,347 0.3%
# PerkinElmer, Inc. 106,902 7,842,331 0.0%
# Perrigo Co. P.L.C. 386,345 30,188,998 0.1%
Pfizer, Inc. 20,880,631 764,439,901 2.7%
Quest Diagnostics, Inc. 954,608 96,606,330 0.3%
# STERIS P.L.C. 192,061 18,153,606 0.1%
Thermo Fisher Scientific, Inc. 1,050,474 220,967,206 0.8%
* United Therapeutics Corp. 205,248 22,599,857 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Health Care -- (Continued)
Universal Health Services, Inc. Class B 508,954 $ 58,122,547 0.2%
* WellCare Health Plans, Inc. 48,158 9,880,095 0.0%
Zimmer Biomet Holdings, Inc. 377,067 43,426,806 0.2%
-------------- ----
Total Health Care 4,151,920,137 14.4%
-------------- ----
Industrials -- (7.5%)
#* AECOM 580,731 20,000,376 0.1%
AGCO Corp. 472,685 29,627,896 0.1%
Alaska Air Group, Inc. 37,045 2,405,332 0.0%
AMERCO 61,718 20,831,059 0.1%
Arconic, Inc. 2,065,928 36,794,178 0.1%
Carlisle Cos., Inc. 341,140 36,751,012 0.1%
Copa Holdings SA Class A 146,352 17,148,064 0.1%
Cummins, Inc. 175,294 28,022,499 0.1%
Delta Air Lines, Inc. 2,950,569 154,078,713 0.5%
Dover Corp. 830,218 76,961,209 0.3%
Eaton Corp. P.L.C. 1,816,899 136,321,932 0.5%
EMCOR Group, Inc. 10,035 738,476 0.0%
FedEx Corp. 267,024 66,008,333 0.2%
Fluor Corp. 906,547 53,440,946 0.2%
General Electric Co. 2,163,101 30,434,831 0.1%
#* Genesee & Wyoming, Inc. Class A 39,860 2,838,032 0.0%
Ingersoll-Rand P.L.C. 830,409 69,663,011 0.2%
Jacobs Engineering Group, Inc. 377,362 21,920,959 0.1%
* JetBlue Airways Corp. 2,305,410 44,240,818 0.2%
Johnson Controls International P.L.C. 1,557,928 52,767,021 0.2%
Kansas City Southern 676,598 72,145,645 0.2%
# Knight-Swift Transportation Holdings, Inc. 72,938 2,845,311 0.0%
L3 Technologies, Inc. 393,053 76,991,222 0.3%
ManpowerGroup, Inc. 425,572 40,735,752 0.1%
# Nielsen Holdings P.L.C. 809,304 25,452,611 0.1%
Norfolk Southern Corp. 1,385,379 198,760,325 0.7%
Orbital ATK, Inc. 77,125 10,209,808 0.0%
Oshkosh Corp. 454,128 32,769,876 0.1%
Owens Corning 878,164 57,510,960 0.2%
PACCAR, Inc. 541,728 34,491,822 0.1%
Pentair P.L.C. 1,092,445 73,499,700 0.3%
* Quanta Services, Inc. 749,677 24,364,502 0.1%
Republic Services, Inc. 1,946,533 125,901,754 0.4%
Rockwell Collins, Inc. 10,306 1,365,957 0.0%
# Snap-on, Inc. 121,858 17,699,874 0.1%
Spirit Aerosystems Holdings, Inc. Class A 31,638 2,542,746 0.0%
Stanley Black & Decker, Inc. 1,078,968 152,771,079 0.5%
#* Stericycle, Inc. 176,533 10,364,252 0.0%
* Teledyne Technologies, Inc. 16,413 3,070,708 0.0%
Textron, Inc. 1,940,539 120,585,093 0.4%
Trinity Industries, Inc. 210,820 6,718,833 0.0%
* United Continental Holdings, Inc. 1,508,620 101,892,195 0.4%
#* USG Corp. 231,469 9,311,998 0.0%
# Wabtec Corp. 240,625 21,369,906 0.1%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
#* XPO Logistics, Inc. 824,925 $ 80,149,713 0.3%
-------------- ----
Total Industrials 2,204,516,339 7.6%
-------------- ----
Information Technology -- (13.7%)
* Akamai Technologies, Inc. 44,939 3,219,879 0.0%
# Amdocs, Ltd. 552,007 37,122,471 0.1%
* ARRIS International P.L.C. 839,758 22,673,466 0.1%
* Arrow Electronics, Inc. 652,120 48,739,449 0.2%
Avnet, Inc. 507,596 19,912,991 0.1%
CA, Inc. 3,016,908 104,988,398 0.4%
Cisco Systems, Inc. 18,075,606 800,568,590 2.8%
Corning, Inc. 3,685,701 99,587,641 0.4%
* Dell Technologies, Inc. Class V 703,394 50,482,587 0.2%
Dolby Laboratories, Inc. Class A 16,116 964,059 0.0%
DXC Technology Co. 1,074,893 110,778,473 0.4%
#* EchoStar Corp. Class A 14,785 776,804 0.0%
Fidelity National Information Services, Inc. 1,297,798 123,251,876 0.4%
* First Solar, Inc. 39,472 2,798,960 0.0%
* Flex, Ltd. 1,552,059 20,176,767 0.1%
FLIR Systems, Inc. 105,840 5,667,732 0.0%
Hewlett Packard Enterprise Co. 8,708,938 148,487,393 0.5%
HP, Inc. 9,619,949 206,732,704 0.7%
Intel Corp. 23,083,456 1,191,567,999 4.1%
Jabil, Inc. 917,888 24,415,821 0.1%
Juniper Networks, Inc. 2,634,266 64,776,601 0.2%
Lam Research Corp. 494,553 91,521,978 0.3%
Leidos Holdings, Inc. 646,968 41,554,755 0.1%
# LogMeIn, Inc. 2,397 264,149 0.0%
# Marvell Technology Group, Ltd. 808,260 16,213,696 0.1%
* Micron Technology, Inc. 5,266,057 242,133,301 0.8%
* Microsemi Corp. 168,270 10,885,386 0.0%
* Nuance Communications, Inc. 145,478 2,141,436 0.0%
* ON Semiconductor Corp. 550,404 12,152,920 0.0%
#* Qorvo, Inc. 364,638 24,576,601 0.1%
QUALCOMM, Inc. 5,066,475 258,440,890 0.9%
SS&C Technologies Holdings, Inc. 122,197 6,067,081 0.0%
SYNNEX Corp. 245,705 24,612,270 0.1%
* Synopsys, Inc. 14,655 1,253,149 0.0%
TE Connectivity, Ltd. 831,307 76,272,417 0.3%
Teradyne, Inc. 37,379 1,216,686 0.0%
Western Digital Corp. 1,222,328 96,307,223 0.3%
* Worldpay, Inc. Class A 16,100 1,307,642 0.0%
Xerox Corp. 1,739,519 54,707,873 0.2%
-------------- ----
Total Information Technology 4,049,320,114 14.0%
-------------- ----
Materials -- (3.8%)
# Albemarle Corp. 492,856 47,787,318 0.2%
* Alcoa Corp. 738,962 37,834,854 0.1%
# Ashland Global Holdings, Inc. 376,541 24,919,483 0.1%
# CF Industries Holdings, Inc. 1,279,879 49,659,305 0.2%
DowDuPont, Inc. 2,259,347 142,881,104 0.5%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
----------- --------------- ---------------
Materials -- (Continued)
Eastman Chemical Co. 1,053,642 $ 107,555,775 0.4%
Freeport-McMoRan, Inc. 4,951,916 75,318,642 0.3%
Huntsman Corp. 277,543 8,262,455 0.0%
# Martin Marietta Materials, Inc. 88,405 17,218,642 0.1%
Mosaic Co. (The) 1,232,432 33,214,042 0.1%
Newmont Mining Corp. 1,816,911 71,386,433 0.2%
# Nucor Corp. 2,491,419 153,521,239 0.5%
Olin Corp. 958,374 28,933,311 0.1%
Reliance Steel & Aluminum Co. 456,094 40,099,785 0.1%
# Royal Gold, Inc. 121,993 10,832,978 0.0%
Sonoco Products Co. 27,518 1,413,325 0.0%
Steel Dynamics, Inc. 1,698,064 76,090,248 0.3%
# United States Steel Corp. 1,014,821 34,331,395 0.1%
# Valvoline, Inc. 1,033,732 20,964,085 0.1%
# Vulcan Materials Co. 275,139 30,730,275 0.1%
# Westlake Chemical Corp. 342,667 36,655,089 0.1%
WestRock Co. 1,056,585 62,507,569 0.2%
--------------- -----
Total Materials 1,112,117,352 3.8%
--------------- -----
Real Estate -- (0.2%)
* Howard Hughes Corp. (The) 5,701 771,345 0.0%
Jones Lang LaSalle, Inc. 262,529 44,501,291 0.2%
--------------- -----
Total Real Estate 45,272,636 0.2%
--------------- -----
Telecommunication Services -- (3.8%)
AT&T, Inc. 29,042,432 949,687,527 3.3%
# CenturyLink, Inc. 5,281,976 98,139,114 0.4%
#* Sprint Corp. 2,014,058 11,298,865 0.0%
* T-Mobile US, Inc. 960,615 58,126,814 0.2%
--------------- -----
Total Telecommunication Services 1,117,252,320 3.9%
--------------- -----
Utilities -- (0.1%)
NRG Energy, Inc. 1,445,428 44,808,268 0.2%
--------------- -----
TOTAL COMMON STOCKS 28,598,792,849 99.2%
--------------- -----
TOTAL INVESTMENT SECURITIES 28,598,792,849
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market
Fund, 1.630% 272,826,637 272,826,637 0.9%
--------------- -----
SECURITIES LENDING COLLATERAL -- (2.2%)
(S)@ DFA Short Term Investment Fund 54,572,766 631,406,902 2.2%
--------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $20,591,542,665) $29,503,026,388 102.3%
=============== =====
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
At April 30, 2018, The U.S. Large Cap Value Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index 1,505 06/15/18 $206,026,096 $199,186,750 $(6,839,346)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS $206,026,096 $199,186,750 $(6,839,346)
============ ============ ===========
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary $ 3,522,797,603 -- -- $ 3,522,797,603
Consumer Staples 1,458,937,824 -- -- 1,458,937,824
Energy 3,915,017,808 -- -- 3,915,017,808
Financials 6,976,832,448 -- -- 6,976,832,448
Health Care 4,151,920,137 -- -- 4,151,920,137
Industrials 2,204,516,339 -- -- 2,204,516,339
Information Technology 4,049,320,114 -- -- 4,049,320,114
Materials 1,112,117,352 -- -- 1,112,117,352
Real Estate 45,272,636 -- -- 45,272,636
Telecommunication Services 1,117,252,320 -- -- 1,117,252,320
Utilities 44,808,268 -- -- 44,808,268
Temporary Cash Investments 272,826,637 -- -- 272,826,637
Securities Lending Collateral -- $631,406,902 -- 631,406,902
Futures Contracts** (6,839,346) -- -- (6,839,346)
--------------- ------------ -- ---------------
TOTAL $28,864,780,140 $631,406,902 -- $29,496,187,042
=============== ============ == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
COMMON STOCKS -- (91.2%)
AUSTRALIA -- (4.8%)
Aurizon Holdings, Ltd. 1,715,379 $ 5,772,665 0.0%
# Australia & New Zealand Banking Group, Ltd. 8,219,619 165,232,302 1.2%
# Bank of Queensland, Ltd. 1,088,107 8,198,127 0.1%
Bendigo & Adelaide Bank, Ltd. 1,319,286 10,500,470 0.1%
BHP Billiton, Ltd. 3,664,796 85,496,933 0.6%
BlueScope Steel, Ltd. 3,157,074 38,798,690 0.3%
Boral, Ltd. 2,473,349 12,728,562 0.1%
Crown Resorts, Ltd. 214,728 2,084,134 0.0%
Downer EDI, Ltd. 697,796 3,591,400 0.0%
Fortescue Metals Group, Ltd. 8,803,143 29,867,862 0.2%
# Harvey Norman Holdings, Ltd. 718,208 1,893,182 0.0%
Incitec Pivot, Ltd. 5,290,767 15,056,033 0.1%
LendLease Group 1,762,765 23,641,084 0.2%
National Australia Bank, Ltd. 280,626 6,100,539 0.1%
Newcrest Mining, Ltd. 1,328,526 21,057,063 0.2%
Oil Search, Ltd. 906,477 5,332,864 0.0%
* Origin Energy, Ltd. 3,191,167 23,297,987 0.2%
QBE Insurance Group, Ltd. 3,145,991 23,496,083 0.2%
* Santos, Ltd. 4,838,494 22,285,188 0.2%
South32, Ltd. 16,666,560 46,250,047 0.3%
South32, Ltd. ADR 328,024 4,556,253 0.0%
Star Entertainment Grp, Ltd. (The) 4,545,302 17,987,027 0.1%
Suncorp Group, Ltd. 2,082,711 21,905,322 0.2%
Tabcorp Holdings, Ltd. 209,166 687,810 0.0%
Treasury Wine Estates, Ltd. 160,288 2,289,552 0.0%
Whitehaven Coal, Ltd. 2,622,546 9,043,214 0.1%
Woodside Petroleum, Ltd. 3,201,265 77,577,820 0.6%
------------ ---
TOTAL AUSTRALIA 684,728,213 5.1%
------------ ---
AUSTRIA -- (0.1%)
Erste Group Bank AG 29,693 1,452,036 0.0%
* Raiffeisen Bank International AG 139,561 4,711,028 0.1%
Voestalpine AG 21,645 1,141,930 0.0%
------------ ---
TOTAL AUSTRIA 7,304,994 0.1%
------------ ---
BELGIUM -- (1.0%)
Ageas 642,764 34,383,059 0.3%
KBC Group NV 555,135 48,263,434 0.4%
Solvay SA 311,433 43,311,074 0.3%
# UCB SA 246,743 18,583,217 0.1%
------------ ---
TOTAL BELGIUM 144,540,784 1.1%
------------ ---
CANADA -- (7.7%)
# ARC Resources, Ltd. 291,555 3,251,737 0.0%
Bank of Montreal 1,689,557 128,288,063 1.0%
Barrick Gold Corp.(2024677) 909,928 12,256,730 0.1%
Barrick Gold Corp.(2024644) 1,010,314 13,597,279 0.1%
# Cameco Corp.(2158684) 571,821 6,021,275 0.0%
Cameco Corp.(2166160) 468,671 4,935,108 0.0%
# Canadian Natural Resources, Ltd.(2125202) 1,265,811 45,670,461 0.3%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
CANADA -- (Continued)
Canadian Natural Resources, Ltd.(2171573) 614,945 $ 22,184,861 0.2%
# Cenovus Energy, Inc. 2,110,053 21,163,832 0.2%
Crescent Point Energy Corp.(B67C8W8) 822,786 7,209,270 0.1%
Crescent Point Energy Corp.(B67C970) 1,508,054 13,225,637 0.1%
Empire Co., Ltd. Class A 520,996 10,075,416 0.1%
# Enbridge Income Fund Holdings, Inc. 377,558 8,074,880 0.1%
# Encana Corp.(2793182) 1,370,633 17,105,500 0.1%
Encana Corp.(2793193) 2,191,132 27,287,823 0.2%
Fairfax Financial Holdings, Ltd. 65,293 36,147,999 0.3%
First Quantum Minerals, Ltd. 1,679,519 24,199,617 0.2%
# Genworth MI Canada, Inc. 137,465 4,443,162 0.0%
Goldcorp, Inc.(2676302) 1,375,989 18,261,500 0.1%
# Goldcorp, Inc.(2676636) 925,799 12,303,869 0.1%
Husky Energy, Inc. 1,605,697 22,460,624 0.2%
* IAMGOLD Corp. 95,000 519,413 0.0%
# Imperial Oil, Ltd.(2454241) 187,707 5,837,564 0.0%
Imperial Oil, Ltd.(2454252) 255,211 7,944,718 0.1%
Industrial Alliance Insurance & Financial Services, Inc. 527,331 22,149,586 0.2%
* Kinross Gold Corp. 6,346,308 24,565,716 0.2%
# Linamar Corp. 182,108 10,204,970 0.1%
Lundin Mining Corp. 3,846,864 25,466,992 0.2%
# Magna International, Inc. 631,550 37,261,450 0.3%
Manulife Financial Corp.(2492519) 2,603,564 49,133,031 0.4%
# Manulife Financial Corp.(2492520) 1,490,899 28,133,264 0.2%
Nutrien, Ltd. 443,823 20,207,252 0.1%
* Seven Generations Energy, Ltd. Class A 211,337 3,015,455 0.0%
Sun Life Financial, Inc.(2566124) 925,794 38,215,726 0.3%
Sun Life Financial, Inc.(2568283) 313,850 12,955,728 0.1%
Suncor Energy, Inc.(B3NB1P2) 3,796,659 145,189,439 1.1%
Suncor Energy, Inc.(B3NB0P5) 1,096,997 41,938,195 0.3%
Teck Resources, Ltd. Class B(2879327) 1,355,792 34,033,394 0.2%
Teck Resources, Ltd. Class B(2124533) 1,643,698 41,306,131 0.3%
TMX Group, Ltd. 33,900 2,044,640 0.0%
Tourmaline Oil Corp. 1,098,688 20,665,380 0.1%
* Turquoise Hill Resources, Ltd.(B7XCYK9) 127,382 378,325 0.0%
* Turquoise Hill Resources, Ltd.(B7WJ1F5) 1,611,490 4,769,393 0.0%
#* Valeant Pharmaceuticals International, Inc. 1,639,619 29,627,915 0.2%
West Fraser Timber Co., Ltd. 5,049 342,001 0.0%
Wheaton Precious Metals Corp. 9,023 187,588 0.0%
Whitecap Resources, Inc. 989,184 7,164,929 0.1%
# WSP Global, Inc. 289,160 14,316,680 0.1%
Yamana Gold, Inc. 3,207,591 9,218,437 0.1%
-------------- ---
TOTAL CANADA 1,094,957,955 8.2%
-------------- ---
DENMARK -- (1.4%)
AP Moller - Maersk A.S. Class A 7,706 11,761,728 0.1%
# AP Moller - Maersk A.S. Class B 16,058 25,724,837 0.2%
Carlsberg A.S. Class B 288,439 32,256,627 0.2%
Danske Bank A.S. 910,236 31,678,150 0.2%
DSV A.S. 470,071 37,227,613 0.3%
H Lundbeck A.S. 88,403 5,121,329 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
DENMARK -- (Continued)
ISS A.S. 553,648 $ 19,307,999 0.2%
Jyske Bank A.S. 94,849 5,679,518 0.1%
Novozymes A.S. Class B 47,990 2,256,148 0.0%
Rockwool International A.S. Class B 379 114,263 0.0%
Tryg A.S. 87,539 2,071,929 0.0%
Vestas Wind Systems A.S. 461,198 29,835,734 0.2%
-------------- ----
TOTAL DENMARK 203,035,875 1.5%
-------------- ----
FINLAND -- (1.0%)
Fortum Oyj 998,955 22,978,745 0.2%
Nokia Oyj 6,619,570 39,718,835 0.3%
Stora Enso Oyj Class R 1,742,950 34,378,997 0.3%
Stora Enso Oyj Sponsored ADR 35,395 700,290 0.0%
# UPM-Kymmene Oyj 1,321,675 47,159,475 0.3%
UPM-Kymmene Oyj Sponsored ADR 43,576 1,563,071 0.0%
-------------- ----
TOTAL FINLAND 146,499,413 1.1%
-------------- ----
FRANCE -- (9.5%)
# AXA SA 2,859,375 81,774,218 0.6%
BNP Paribas SA 2,405,711 185,719,103 1.4%
Bollore SA(4572709) 1,351,384 6,716,541 0.1%
* Bollore SA(BF99RQ7) 6,871 33,715 0.0%
# Bouygues SA 709,374 36,181,703 0.3%
# Carrefour SA 650,318 13,342,834 0.1%
# Casino Guichard Perrachon SA 143,286 7,432,471 0.1%
Cie de Saint-Gobain 642,411 33,611,595 0.2%
Cie Generale des Etablissements Michelin SCA 105,407 14,822,635 0.1%
CNP Assurances 528,771 13,543,802 0.1%
Credit Agricole SA 1,026,329 16,900,918 0.1%
# Electricite de France SA 1,491,050 20,924,951 0.1%
Engie SA 5,673,142 99,515,295 0.7%
Natixis SA 1,957,358 16,075,665 0.1%
Orange SA 6,230,588 113,269,720 0.8%
# Peugeot SA 3,133,702 77,162,951 0.6%
Renault SA 1,007,824 109,229,481 0.8%
# SCOR SE 349,012 14,153,510 0.1%
Societe Generale SA 1,362,535 74,569,829 0.6%
STMicroelectronics NV 370,555 8,091,169 0.1%
# Total SA 6,569,447 412,900,822 3.1%
# Vivendi SA 45,675 1,204,529 0.0%
-------------- ----
TOTAL FRANCE 1,357,177,457 10.1%
-------------- ----
GERMANY -- (6.5%)
Allianz SE Sponsored ADR 2,311,555 54,691,391 0.4%
Bayerische Motoren Werke AG 1,225,665 136,271,744 1.0%
* Commerzbank AG 3,189,381 41,090,778 0.3%
Daimler AG 3,375,856 265,403,214 2.0%
Deutsche Bank AG(5750355) 1,847,986 25,264,433 0.2%
# Deutsche Bank AG(D18190898) 1,679,248 22,938,528 0.2%
Deutsche Lufthansa AG 1,461,363 42,474,825 0.3%
Evonik Industries AG 321,206 11,412,499 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
GERMANY -- (Continued)
Fraport AG Frankfurt Airport Services Worldwide 157,663 $ 15,257,910 0.1%
Hannover Rueck SE 25,709 3,610,714 0.0%
#* Hapag-Lloyd AG 13,811 591,211 0.0%
HeidelbergCement AG 583,480 57,056,803 0.4%
Innogy SE 333,880 14,670,741 0.1%
* Linde AG 157,109 34,805,184 0.2%
METRO AG 823,103 11,907,903 0.1%
Muenchener Rueckversicherungs-Gesellschaft AG 212,293 48,585,836 0.4%
RWE AG 3,077,276 73,552,210 0.5%
* Talanx AG 184,281 8,302,786 0.1%
Telefonica Deutschland Holding AG 1,542,429 7,361,273 0.1%
Uniper SE 886,107 27,397,690 0.2%
Volkswagen AG 113,812 23,172,028 0.2%
Wacker Chemie AG 11,870 2,133,068 0.0%
------------ ---
TOTAL GERMANY 927,952,769 6.9%
------------ ---
HONG KONG -- (2.5%)
Bank of East Asia, Ltd. (The) 169,275 743,298 0.0%
# BOC Aviation, Ltd. 66,800 390,567 0.0%
Cathay Pacific Airways, Ltd. 6,220,000 9,986,819 0.1%
CK Asset Holdings, Ltd. 1,006,500 8,689,078 0.1%
CK Hutchison Holdings, Ltd. 7,657,984 90,554,557 0.7%
Great Eagle Holdings, Ltd. 20,363 102,859 0.0%
Guoco Group, Ltd. 9,000 119,455 0.0%
Hang Lung Group, Ltd. 3,025,000 9,137,049 0.1%
Hang Lung Properties, Ltd. 4,746,000 11,231,757 0.1%
Henderson Land Development Co., Ltd. 1,146,046 7,266,563 0.1%
Hopewell Holdings, Ltd. 938,669 3,329,755 0.0%
Kerry Properties, Ltd. 2,937,500 14,042,775 0.1%
Li & Fung, Ltd. 1,908,000 959,577 0.0%
Melco International Development, Ltd. 257,000 951,501 0.0%
MTR Corp., Ltd. 1,816,502 10,206,489 0.1%
New World Development Co., Ltd. 21,640,810 31,736,686 0.2%
# NWS Holdings, Ltd. 2,739,400 5,401,582 0.0%
Orient Overseas International, Ltd. 72,000 684,609 0.0%
Shangri-La Asia, Ltd. 3,398,000 6,612,898 0.1%
Sino Land Co., Ltd. 6,686,217 11,541,579 0.1%
SJM Holdings, Ltd. 2,332,000 2,335,797 0.0%
Sun Hung Kai Properties, Ltd. 3,420,920 55,091,971 0.4%
Swire Pacific, Ltd. Class A 2,529,000 24,989,829 0.2%
Swire Pacific, Ltd. Class B 2,685,000 4,524,549 0.0%
Wharf Holdings, Ltd. (The) 5,144,990 17,116,636 0.1%
Wheelock & Co., Ltd. 3,620,000 26,857,541 0.2%
Yue Yuen Industrial Holdings, Ltd. 1,612,000 4,568,349 0.0%
------------ ---
TOTAL HONG KONG 359,174,125 2.7%
------------ ---
IRELAND -- (0.2%)
AIB Group P.L.C. 9,357 55,762 0.0%
Bank of Ireland Group P.L.C. 1,584,425 14,214,509 0.1%
CRH P.L.C. 293,793 10,433,000 0.1%
CRH P.L.C. Sponsored ADR 198,709 7,026,350 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
IRELAND -- (Continued)
Paddy Power Betfair P.L.C. 13,978 $ 1,383,278 0.0%
------------ ---
TOTAL IRELAND 33,112,899 0.2%
------------ ---
ISRAEL -- (0.3%)
Bank Hapoalim BM 2,464,097 16,828,339 0.1%
Bank Leumi Le-Israel BM 3,728,087 21,994,405 0.2%
Mizrahi Tefahot Bank, Ltd. 103,338 1,888,725 0.0%
------------ ---
TOTAL ISRAEL 40,711,469 0.3%
------------ ---
ITALY -- (1.8%)
Eni SpA 535,545 10,469,049 0.1%
Fiat Chrysler Automobiles NV(BRJFWP3) 1,384,361 30,758,797 0.2%
Fiat Chrysler Automobiles NV(N31738102) 983,033 21,459,610 0.1%
Intesa Sanpaolo SpA 2,890,203 10,994,201 0.1%
Mediobanca Banca di Credito Finanziario SpA 1,878,911 22,767,735 0.2%
#* Telecom Italia SpA 43,938,462 43,345,569 0.3%
#* Telecom Italia SpA Sponsored ADR 1,847,002 18,488,490 0.1%
# UniCredit SpA 4,747,111 102,916,952 0.8%
------------ ---
TOTAL ITALY 261,200,403 1.9%
------------ ---
JAPAN -- (21.5%)
Aeon Co., Ltd. 695,500 13,897,668 0.1%
Aisin Seiki Co., Ltd. 178,900 9,691,889 0.1%
Alfresa Holdings Corp. 140,900 3,108,825 0.0%
Amada Holdings Co., Ltd. 242,900 2,915,842 0.0%
Aoyama Trading Co., Ltd. 41,900 1,613,745 0.0%
Asahi Glass Co., Ltd. 859,800 35,682,709 0.3%
Asahi Kasei Corp. 819,000 11,261,437 0.1%
Bank of Kyoto, Ltd. (The) 113,679 6,833,871 0.1%
Canon Marketing Japan, Inc. 153,100 3,327,008 0.0%
Chiba Bank, Ltd. (The) 1,064,000 8,584,795 0.1%
Chugoku Bank, Ltd. (The) 256,900 2,983,637 0.0%
Citizen Watch Co., Ltd. 1,064,500 7,931,394 0.1%
Coca-Cola Bottlers Japan Holdings, Inc. 80,257 3,451,808 0.0%
Concordia Financial Group, Ltd. 2,530,100 14,709,338 0.1%
Credit Saison Co., Ltd. 211,100 3,780,692 0.0%
Dai Nippon Printing Co., Ltd. 460,900 9,924,208 0.1%
Dai-ichi Life Holdings, Inc. 1,751,200 34,765,778 0.3%
Daicel Corp. 686,500 7,921,008 0.1%
Daido Steel Co., Ltd. 83,500 4,509,049 0.0%
Daiwa Securities Group, Inc. 4,124,000 25,298,824 0.2%
# Dena Co., Ltd. 155,400 2,961,870 0.0%
Denka Co., Ltd. 234,800 8,359,189 0.1%
Denso Corp. 160,500 8,440,188 0.1%
DIC Corp. 297,800 10,105,821 0.1%
# Dowa Holdings Co., Ltd. 55,500 2,085,733 0.0%
Ebara Corp. 266,800 10,190,559 0.1%
Fuji Media Holdings, Inc. 52,200 855,823 0.0%
FUJIFILM Holdings Corp. 1,123,900 45,198,869 0.3%
Fukuoka Financial Group, Inc. 1,687,000 9,032,386 0.1%
# Fukuyama Transporting Co., Ltd. 15,900 663,481 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
JAPAN -- (Continued)
Glory, Ltd. 185,800 $ 6,388,959 0.0%
Gunma Bank, Ltd. (The) 604,496 3,527,949 0.0%
H2O Retailing Corp. 268,800 5,058,204 0.0%
Hachijuni Bank, Ltd. (The) 622,531 3,287,571 0.0%
Hankyu Hanshin Holdings, Inc. 621,600 24,452,245 0.2%
Hiroshima Bank, Ltd. (The) 381,000 2,899,305 0.0%
Hitachi Capital Corp. 168,800 4,510,591 0.0%
Hitachi Chemical Co., Ltd. 320,500 7,029,775 0.1%
Hitachi Metals, Ltd. 675,900 7,724,420 0.1%
Hitachi Transport System, Ltd. 105,000 2,812,070 0.0%
Hitachi, Ltd. 10,604,000 77,393,891 0.6%
Hokuhoku Financial Group, Inc. 191,900 2,838,880 0.0%
Honda Motor Co., Ltd. 4,474,100 153,846,114 1.1%
Honda Motor Co., Ltd. Sponsored ADR 26,040 894,734 0.0%
House Foods Group, Inc. 64,900 2,285,730 0.0%
Ibiden Co., Ltd. 476,900 7,875,508 0.1%
Idemitsu Kosan Co., Ltd. 573,496 22,404,135 0.2%
IHI Corp. 49,900 1,631,040 0.0%
Iida Group Holdings Co., Ltd. 567,600 11,065,011 0.1%
Inpex Corp. 2,451,200 31,335,658 0.2%
Isetan Mitsukoshi Holdings, Ltd. 606,900 6,751,885 0.1%
Isuzu Motors, Ltd. 83,900 1,280,674 0.0%
ITOCHU Corp. 986,900 19,736,435 0.1%
Iyo Bank, Ltd. (The) 492,300 3,891,014 0.0%
J Front Retailing Co., Ltd. 748,600 12,128,882 0.1%
Japan Post Holdings Co., Ltd. 780,500 9,484,108 0.1%
JFE Holdings, Inc. 1,980,900 40,652,709 0.3%
JGC Corp. 20,200 495,081 0.0%
JSR Corp. 234,100 4,409,990 0.0%
JTEKT Corp. 814,700 13,181,956 0.1%
JXTG Holdings, Inc. 7,687,103 50,110,401 0.4%
K's Holdings Corp. 304,400 4,390,379 0.0%
Kamigumi Co., Ltd. 225,800 5,083,117 0.0%
Kaneka Corp. 1,156,542 11,428,094 0.1%
Kawasaki Heavy Industries, Ltd. 138,000 4,613,627 0.0%
#* Kawasaki Kisen Kaisha, Ltd. 195,599 4,523,270 0.0%
Kinden Corp. 200,200 3,491,663 0.0%
Kobe Steel, Ltd. 1,348,600 13,872,452 0.1%
Konica Minolta, Inc. 2,063,500 17,712,695 0.1%
Kuraray Co., Ltd. 1,406,600 23,425,727 0.2%
Kurita Water Industries, Ltd. 7,500 242,878 0.0%
Kyocera Corp. 282,900 18,075,379 0.1%
Kyushu Financial Group, Inc. 514,749 2,524,824 0.0%
LIXIL Group Corp. 543,700 12,176,650 0.1%
Marubeni Corp. 3,380,400 25,385,295 0.2%
# Maruichi Steel Tube, Ltd. 22,700 774,798 0.0%
Mazda Motor Corp. 2,878,100 40,016,844 0.3%
Mebuki Financial Group, Inc. 1,177,020 4,568,511 0.0%
Medipal Holdings Corp. 483,650 10,375,662 0.1%
Mitsubishi Chemical Holdings Corp. 1,603,000 15,163,742 0.1%
Mitsubishi Corp. 2,342,100 64,584,694 0.5%
Mitsubishi Gas Chemical Co., Inc. 570,500 13,369,927 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
JAPAN -- (Continued)
# Mitsubishi Heavy Industries, Ltd. 1,070,100 $42,302,908 0.3%
Mitsubishi Logistics Corp. 40,000 922,604 0.0%
Mitsubishi Materials Corp. 518,200 15,772,558 0.1%
Mitsubishi Motors Corp. 165,700 1,233,107 0.0%
# Mitsubishi UFJ Financial Group, Inc. 12,800,606 85,781,239 0.6%
# Mitsubishi UFJ Financial Group, Inc. Sponsored ADR 4,469,376 29,855,432 0.2%
Mitsubishi UFJ Lease & Finance Co., Ltd. 1,638,400 10,415,425 0.1%
Mitsui & Co., Ltd. 1,156,000 20,834,793 0.2%
Mitsui & Co., Ltd. Sponsored ADR 11,723 4,237,923 0.0%
Mitsui Chemicals, Inc. 633,960 18,173,207 0.1%
Mitsui Fudosan Co., Ltd. 878,200 22,495,475 0.2%
# Mitsui OSK Lines, Ltd. 429,300 12,716,544 0.1%
Mizuho Financial Group, Inc. 33,555,400 60,709,660 0.5%
Mizuho Financial Group, Inc. ADR 184,055 669,960 0.0%
MS&AD Insurance Group Holdings, Inc. 826,753 27,858,442 0.2%
NEC Corp. 1,086,410 29,778,576 0.2%
NGK Spark Plug Co., Ltd. 16,000 410,348 0.0%
NH Foods, Ltd. 299,567 13,087,046 0.1%
NHK Spring Co., Ltd. 727,500 8,039,346 0.1%
Nikon Corp. 36,000 626,417 0.0%
Nippo Corp. 235,900 5,410,344 0.0%
Nippon Electric Glass Co., Ltd. 145,800 4,201,669 0.0%
Nippon Express Co., Ltd. 352,924 26,663,416 0.2%
Nippon Paper Industries Co., Ltd. 451,300 8,643,378 0.1%
Nippon Shokubai Co., Ltd. 102,400 6,958,083 0.1%
Nippon Steel & Sumitomo Metal Corp. 2,142,693 46,584,856 0.3%
Nippon Yusen K.K. 771,300 16,405,959 0.1%
Nissan Motor Co., Ltd. 6,443,700 67,790,734 0.5%
Nisshin Seifun Group, Inc. 41,700 911,195 0.0%
Nisshinbo Holdings, Inc. 415,400 5,854,014 0.0%
NOK Corp. 385,220 7,878,262 0.1%
Nomura Holdings, Inc. 8,175,402 47,086,649 0.4%
Nomura Real Estate Holdings, Inc. 470,500 11,643,184 0.1%
NSK, Ltd. 29,000 388,069 0.0%
NTN Corp. 1,649,000 7,253,066 0.1%
Obayashi Corp. 514,182 5,921,429 0.0%
Oji Holdings Corp. 3,851,000 27,090,231 0.2%
ORIX Corp. 3,210,200 56,303,208 0.4%
Resona Holdings, Inc. 6,274,800 35,653,911 0.3%
Ricoh Co., Ltd. 3,215,400 31,418,568 0.2%
# Rohm Co., Ltd. 13,300 1,232,418 0.0%
Sankyo Co., Ltd. 73,900 2,590,722 0.0%
SBI Holdings, Inc. 518,800 13,081,691 0.1%
Sega Sammy Holdings, Inc. 280,500 4,607,689 0.0%
Seino Holdings Co., Ltd. 413,700 7,748,912 0.1%
Sekisui Chemical Co., Ltd. 58,500 1,034,870 0.0%
Sekisui House, Ltd. 1,967,400 36,059,645 0.3%
Shimamura Co., Ltd. 16,300 1,896,884 0.0%
Shimizu Corp. 381,000 3,769,546 0.0%
Shinsei Bank, Ltd. 313,400 4,879,506 0.0%
Shizuoka Bank, Ltd. (The) 851,000 8,629,834 0.1%
Sojitz Corp. 3,179,600 10,466,472 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
JAPAN -- (Continued)
Sompo Holdings, Inc. 493,110 $ 20,646,567 0.2%
Sumitomo Chemical Co., Ltd. 7,243,000 41,441,913 0.3%
# Sumitomo Corp. 970,000 17,412,021 0.1%
Sumitomo Dainippon Pharma Co., Ltd. 37,700 685,642 0.0%
Sumitomo Electric Industries, Ltd. 3,010,500 46,087,926 0.3%
Sumitomo Forestry Co., Ltd. 541,600 8,974,440 0.1%
Sumitomo Heavy Industries, Ltd. 461,300 17,626,408 0.1%
Sumitomo Metal Mining Co., Ltd. 166,000 7,081,618 0.1%
Sumitomo Mitsui Financial Group, Inc. 2,854,200 118,958,037 0.9%
Sumitomo Mitsui Trust Holdings, Inc. 405,244 17,185,196 0.1%
Sumitomo Rubber Industries, Ltd. 696,800 12,443,231 0.1%
Suzuken Co., Ltd. 113,000 4,858,824 0.0%
T&D Holdings, Inc. 1,338,500 22,733,064 0.2%
Taiheiyo Cement Corp. 279,821 10,566,036 0.1%
Taisho Pharmaceutical Holdings Co., Ltd. 2,000 191,301 0.0%
Takashimaya Co., Ltd. 832,634 7,150,195 0.1%
TDK Corp. 399,200 34,406,571 0.3%
Teijin, Ltd. 771,690 14,508,433 0.1%
Toda Corp. 321,000 2,646,862 0.0%
Tokai Rika Co., Ltd. 165,500 3,306,203 0.0%
Tokio Marine Holdings, Inc. 1,011,819 47,755,068 0.4%
Tokyo Broadcasting System Holdings, Inc. 56,000 1,244,760 0.0%
Tokyo Tatemono Co., Ltd. 488,100 7,433,351 0.1%
Tokyu Fudosan Holdings Corp. 1,964,300 15,458,050 0.1%
Toppan Printing Co., Ltd. 1,370,000 11,456,173 0.1%
Tosoh Corp. 603,000 10,666,063 0.1%
Toyo Seikan Group Holdings, Ltd. 503,949 7,928,700 0.1%
Toyoda Gosei Co., Ltd. 268,100 6,769,252 0.1%
Toyota Industries Corp. 198,500 11,705,729 0.1%
Toyota Motor Corp. 5,457,190 357,840,739 2.7%
Toyota Motor Corp. Sponsored ADR 298,425 39,087,706 0.3%
Toyota Tsusho Corp. 823,300 29,520,641 0.2%
TS Tech Co., Ltd. 41,200 1,666,934 0.0%
TV Asahi Holdings Corp. 31,700 743,416 0.0%
Ube Industries, Ltd. 460,500 14,028,754 0.1%
Universal Entertainment Corp. 10,500 498,777 0.0%
# Yamada Denki Co., Ltd. 2,456,700 12,849,715 0.1%
Yamaguchi Financial Group, Inc. 320,148 3,999,140 0.0%
Yokohama Rubber Co., Ltd. (The) 479,000 11,278,573 0.1%
Zeon Corp. 65,000 839,429 0.0%
-------------- ----
TOTAL JAPAN 3,070,933,479 22.9%
-------------- ----
NETHERLANDS -- (3.6%)
ABN AMRO Group NV 1,000,856 31,037,775 0.2%
Aegon NV(5927375) 4,840,384 35,474,132 0.3%
Aegon NV(007924103) 211,963 1,538,851 0.0%
Akzo Nobel NV 33,168 3,003,638 0.0%
* ArcelorMittal(BD4H9V1) 726,121 24,571,938 0.2%
* ArcelorMittal(BYPBS67) 1,780,735 60,355,602 0.5%
Coca-Cola European Partners P.L.C. 31,954 1,261,257 0.0%
ING Groep NV 5,655,087 95,291,100 0.7%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NETHERLANDS -- (Continued)
ING Groep NV Sponsored ADR 1,003,902 $ 16,855,515 0.1%
# Koninklijke Ahold Delhaize NV 4,888,298 117,927,633 0.9%
Koninklijke Ahold Delhaize NV Sponsored ADR 211,969 5,087,256 0.0%
Koninklijke DSM NV 656,841 67,886,329 0.5%
Koninklijke Philips NV(2614313) 32,443 1,369,743 0.0%
Koninklijke Philips NV(5986622) 269,643 11,412,965 0.1%
NN Group NV 739,761 35,452,819 0.3%
Randstad NV 71,675 4,613,240 0.0%
------------ ---
TOTAL NETHERLANDS 513,139,793 3.8%
------------ ---
NEW ZEALAND -- (0.2%)
Air New Zealand, Ltd. 2,720,019 6,241,247 0.1%
Auckland International Airport, Ltd. 1,104,366 4,941,690 0.0%
EBOS Group, Ltd. 10,032 125,333 0.0%
Fletcher Building, Ltd. 1,637,344 7,251,838 0.1%
# Fonterra Co-operative Group, Ltd. 200,886 808,848 0.0%
SKYCITY Entertainment Group, Ltd. 250,735 712,436 0.0%
------------ ---
TOTAL NEW ZEALAND 20,081,392 0.2%
------------ ---
NORWAY -- (0.7%)
Aker ASA Class A 35,437 2,214,793 0.0%
Austevoll Seafood ASA 90,175 1,085,279 0.0%
DNB ASA 1,228,180 22,968,609 0.2%
Norsk Hydro ASA 2,442,037 15,252,847 0.1%
Norsk Hydro ASA Sponsored ADR 46,000 287,960 0.0%
SpareBank 1 SR-Bank ASA 247,289 2,445,670 0.0%
Statoil ASA 849,564 21,725,647 0.2%
# Storebrand ASA 867,737 7,415,900 0.1%
# Subsea 7 SA 985,246 13,765,582 0.1%
Yara International ASA 377,295 15,913,763 0.1%
------------ ---
TOTAL NORWAY 103,076,050 0.8%
------------ ---
PORTUGAL -- (0.1%)
EDP Renovaveis SA 541,158 5,196,727 0.0%
------------ ---
SINGAPORE -- (0.9%)
CapitaLand, Ltd. 6,764,900 19,075,977 0.1%
City Developments, Ltd. 1,661,200 15,786,220 0.1%
Frasers Property, Ltd. 485,400 741,244 0.0%
Golden Agri-Resources, Ltd. 13,299,300 3,448,330 0.0%
Hongkong Land Holdings, Ltd. 107,500 776,928 0.0%
Hutchison Port Holdings Trust 16,251,500 5,418,266 0.0%
Keppel Corp., Ltd. 4,631,400 28,405,120 0.2%
Olam International, Ltd. 204,800 350,387 0.0%
SembCorp Industries, Ltd. 4,298,500 9,901,254 0.1%
Singapore Airlines, Ltd. 2,593,000 21,157,241 0.2%
United Industrial Corp., Ltd. 1,867,970 4,589,418 0.0%
UOL Group, Ltd. 1,165,974 7,700,819 0.1%
Wilmar International, Ltd. 2,504,700 6,127,562 0.1%
------------ ---
TOTAL SINGAPORE 123,478,766 0.9%
------------ ---
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SPAIN -- (2.5%)
Banco de Sabadell SA 18,523,466 $ 36,248,339 0.3%
# Banco Santander SA 30,929,715 199,834,457 1.5%
# Banco Santander SA Sponsored ADR 70,430 459,204 0.0%
Bankia SA 229,466 1,006,807 0.0%
Mapfre SA 141,456 490,708 0.0%
Repsol SA 6,302,748 120,274,102 0.9%
------------ ---
TOTAL SPAIN 358,313,617 2.7%
------------ ---
SWEDEN -- (2.4%)
* Arjo AB Class B 148,151 438,902 0.0%
BillerudKorsnas AB 105,668 1,552,644 0.0%
# Boliden AB 1,273,315 44,119,894 0.3%
Essity AB Class A 21,843 553,040 0.0%
# Getinge AB Class B 255,437 2,379,916 0.0%
Holmen AB(BDQQ1Q5) 476,284 11,743,841 0.1%
Holmen AB(BDQQ198) 5,562 145,455 0.0%
# ICA Gruppen AB 9,177 284,949 0.0%
# Intrum Justitia AB 27,251 723,155 0.0%
# Millicom International Cellular SA 123,600 8,187,099 0.1%
Nordea Bank AB 7,285,616 74,099,452 0.6%
Skandinaviska Enskilda Banken AB Class A 4,352,124 40,857,875 0.3%
# Skandinaviska Enskilda Banken AB Class C 28,685 289,239 0.0%
# SSAB AB Class A 488,788 2,763,622 0.0%
SSAB AB Class B 1,231,759 5,572,807 0.0%
# Svenska Cellulosa AB SCA Class A 63,918 718,365 0.0%
Svenska Cellulosa AB SCA Class B 2,018,807 22,357,607 0.2%
Svenska Handelsbanken AB Class A 2,680,553 29,894,216 0.2%
# Svenska Handelsbanken AB Class B 26,361 313,904 0.0%
Swedbank AB Class A 241,976 5,256,509 0.0%
Tele2 AB Class B 614,314 7,962,686 0.1%
# Telefonaktiebolaget LM Ericsson Class A 28,098 214,664 0.0%
Telefonaktiebolaget LM Ericsson Class B 4,180,669 31,871,181 0.2%
# Telefonaktiebolaget LM Ericsson Sponsored ADR 74,244 560,542 0.0%
Telia Co. AB 7,369,423 36,284,886 0.3%
# Trelleborg AB Class B 330,139 7,714,935 0.1%
------------ ---
TOTAL SWEDEN 336,861,385 2.5%
------------ ---
SWITZERLAND -- (6.9%)
ABB, Ltd. 116,058 2,705,957 0.0%
Adecco Group AG 683,506 45,265,311 0.3%
Baloise Holding AG 216,241 34,275,256 0.3%
Banque Cantonale Vaudoise 468 372,975 0.0%
Cie Financiere Richemont SA 863,598 82,092,467 0.6%
Clariant AG 1,276,330 29,464,459 0.2%
Credit Suisse Group AG 1,363,427 22,995,873 0.2%
# Credit Suisse Group AG Sponsored ADR 1,052,790 17,655,288 0.1%
#* Dufry AG 152,017 21,500,957 0.2%
Flughafen Zurich AG 25,219 5,266,492 0.0%
# Helvetia Holding AG 2,332 1,385,235 0.0%
Julius Baer Group, Ltd. 634,580 37,661,255 0.3%
LafargeHolcim, Ltd. 822,246 45,676,996 0.4%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
SWITZERLAND -- (Continued)
LafargeHolcim, Ltd. 375,078 $ 20,926,629 0.2%
# Lonza Group AG 16,770 4,097,445 0.0%
Novartis AG 2,466,298 189,841,544 1.4%
Novartis AG Sponsored ADR 395,376 30,321,385 0.2%
Swatch Group AG (The)(7184736) 176,687 15,743,453 0.1%
# Swatch Group AG (The)(7184725) 139,269 66,873,827 0.5%
Swiss Life Holding AG 104,266 36,474,201 0.3%
Swiss Re AG 692,371 65,961,648 0.5%
UBS Group AG(BRJL176) 3,568,514 59,897,119 0.5%
* UBS Group AG(H42097107) 588,815 9,892,092 0.1%
# Vifor Pharma AG 23,955 3,780,368 0.0%
Zurich Insurance Group AG 429,441 137,178,664 1.0%
------------ ---
TOTAL SWITZERLAND 987,306,896 7.4%
------------ ---
UNITED KINGDOM -- (15.6%)
# Anglo American P.L.C. 5,924,428 139,397,348 1.0%
Antofagasta P.L.C. 156,105 2,085,706 0.0%
Aviva P.L.C. 5,717,314 41,540,109 0.3%
Barclays P.L.C. 2,463,031 7,022,348 0.1%
Barclays P.L.C. Sponsored ADR 5,064,733 58,447,019 0.4%
Barratt Developments P.L.C. 2,687,603 20,608,686 0.2%
BHP Billiton P.L.C. 6,454 137,615 0.0%
BP P.L.C. Sponsored ADR 8,549,806 381,235,850 2.8%
Glencore P.L.C. 16,161,461 77,849,658 0.6%
HSBC Holdings P.L.C. 16,748,580 166,748,482 1.3%
# HSBC Holdings P.L.C. Sponsored ADR 2,762,772 138,856,920 1.0%
Investec P.L.C. 164,899 1,304,478 0.0%
J Sainsbury P.L.C. 8,162,535 34,634,983 0.3%
John Wood Group P.L.C. 288,222 2,246,678 0.0%
Kingfisher P.L.C. 7,427,275 30,974,930 0.2%
Lloyds Banking Group P.L.C. 175,809,723 155,933,876 1.2%
# Lloyds Banking Group P.L.C. ADR 1,479,223 5,280,826 0.0%
Mediclinic International P.L.C. 54,336 499,989 0.0%
Old Mutual P.L.C. 2,864,108 9,867,046 0.1%
# Pearson P.L.C. 748,020 8,575,771 0.1%
# Pearson P.L.C. Sponsored ADR 1,119,256 12,781,903 0.1%
* Royal Bank of Scotland Group P.L.C. 2,796,353 10,355,439 0.1%
#* Royal Bank of Scotland Group P.L.C. Sponsored ADR 632,031 4,727,592 0.0%
Royal Dutch Shell P.L.C. Class A 454,759 15,821,608 0.1%
Royal Dutch Shell P.L.C. Sponsored ADR, Class A 3,259,405 227,832,383 1.7%
# Royal Dutch Shell P.L.C. Sponsored ADR, Class B 3,591,667 260,108,524 1.9%
Royal Mail P.L.C. 2,144,092 17,099,037 0.1%
Shire P.L.C.(B39JBM7) 86,843 13,845,379 0.1%
Shire P.L.C.(B2QKY05) 293,960 15,653,329 0.1%
Standard Chartered P.L.C. 5,065,521 53,208,365 0.4%
Standard Life Aberdeen P.L.C. 341,936 1,710,600 0.0%
Vodafone Group P.L.C. 58,351,986 170,283,365 1.3%
Vodafone Group P.L.C. Sponsored ADR 4,011,201 117,969,429 0.9%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- --------------- ---------------
UNITED KINGDOM -- (Continued)
WM Morrison Supermarkets P.L.C. 7,577,829 $ 25,273,295 0.2%
--------------- -----
TOTAL UNITED KINGDOM 2,229,918,566 16.6%
--------------- -----
TOTAL COMMON STOCKS 13,008,703,027 97.0%
--------------- -----
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Bayerische Motoren Werke AG 98,507 9,510,692 0.1%
Porsche Automobil Holding SE 294,114 24,990,596 0.2%
Volkswagen AG 652,333 134,533,773 1.0%
--------------- -----
TOTAL GERMANY 169,035,061 1.3%
--------------- -----
TOTAL PREFERRED STOCKS 169,035,061 1.3%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
NEW ZEALAND -- (0.0%)
* Fletcher Building, Ltd. Rights 05/18/18 299,880 -- 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES 13,177,738,088
---------------
VALUE+
---------------
SECURITIES LENDING COLLATERAL -- (7.6%)
(S)@ DFA Short Term Investment Fund 94,025,959 1,087,880,349 8.1%
--------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $12,070,115,739) $14,265,618,437 106.4%
=============== =====
At April 30, 2018, The DFA International Value Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
MSCI EAFE Index Future 92 06/15/18 $ 9,315,658 $ 9,321,900 $ 6,242
S&P 500(R) Emini Index 784 06/15/18 105,455,996 103,762,400 (1,693,596)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS $114,771,654 $113,084,300 $(1,687,354)
============ ============ ===========
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- ------- ---------------
Common Stocks
Australia $ 4,556,253 $ 680,171,960 -- $ 684,728,213
Austria -- 7,304,994 -- 7,304,994
Belgium -- 144,540,784 -- 144,540,784
Canada 1,094,957,955 -- -- 1,094,957,955
Denmark -- 203,035,875 -- 203,035,875
Finland 2,263,361 144,236,052 -- 146,499,413
France -- 1,357,177,457 -- 1,357,177,457
Germany 77,629,919 850,322,850 -- 927,952,769
Hong Kong -- 359,174,125 -- 359,174,125
Ireland 7,026,350 26,086,549 -- 33,112,899
Israel -- 40,711,469 -- 40,711,469
Italy 39,948,100 221,252,303 -- 261,200,403
Japan 74,745,755 2,996,187,724 -- 3,070,933,479
Netherlands 49,423,303 463,716,490 -- 513,139,793
New Zealand -- 20,081,392 -- 20,081,392
Norway 287,960 102,788,090 -- 103,076,050
Portugal -- 5,196,727 -- 5,196,727
Singapore -- 123,478,766 -- 123,478,766
Spain 459,204 357,854,413 -- 358,313,617
Sweden 705,997 336,155,388 -- 336,861,385
Switzerland 57,868,765 929,438,131 -- 987,306,896
United Kingdom 1,221,085,825 1,008,832,741 -- 2,229,918,566
Preferred Stocks
Germany -- 169,035,061 -- 169,035,061
Securities Lending Collateral -- 1,087,880,349 -- 1,087,880,349
Futures Contracts** (1,687,354) -- -- (1,687,354)
-------------- --------------- -- ---------------
TOTAL $2,629,271,393 $11,634,659,690 -- $14,263,931,083
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
COMMON STOCKS -- (94.1%)
Consumer Discretionary -- (18.6%)
# Adastria Co., Ltd. 186,240 $ 3,230,932 0.1%
Adventure, Inc. 5,900 830,166 0.0%
# Aeon Fantasy Co., Ltd. 49,332 2,594,301 0.1%
* AGORA Hospitality Group Co., Ltd. 372,000 118,503 0.0%
Ahresty Corp. 137,600 1,248,966 0.0%
#* Aigan Co., Ltd. 86,100 348,676 0.0%
Aisan Industry Co., Ltd. 241,800 2,494,740 0.1%
#* Akebono Brake Industry Co., Ltd. 630,900 1,620,638 0.1%
Alpen Co., Ltd. 122,400 2,687,208 0.1%
Alpha Corp. 41,200 669,377 0.0%
Alpine Electronics, Inc. 277,500 5,247,504 0.1%
Amiyaki Tei Co., Ltd. 26,600 1,306,389 0.0%
Amuse, Inc. 73,898 2,151,629 0.1%
* Anrakutei Co., Ltd. 1,800 76,811 0.0%
AOI TYO Holdings, Inc. 109,931 1,528,384 0.0%
AOKI Holdings, Inc. 247,700 3,800,480 0.1%
Aoyama Trading Co., Ltd. 315,300 12,143,526 0.3%
Arata Corp. 77,200 4,575,335 0.1%
Arcland Sakamoto Co., Ltd. 192,500 3,037,117 0.1%
Arcland Service Holdings Co., Ltd. 106,300 2,267,951 0.1%
As-me ESTELLE Co., Ltd. 12,600 101,564 0.0%
Asahi Broadcasting Group Holdings Corp. 62,100 500,668 0.0%
Asahi Co., Ltd. 105,600 1,297,163 0.0%
Asante, Inc. 37,400 670,699 0.0%
# Ashimori Industry Co., Ltd. 28,699 637,567 0.0%
ASKUL Corp. 87,300 2,745,103 0.1%
# Asrapport Dining Co., Ltd. 99,000 510,756 0.0%
# Asti Corp. 17,900 679,416 0.0%
# Atom Corp. 642,100 5,797,035 0.1%
Atsugi Co., Ltd. 112,600 1,269,204 0.0%
Autobacs Seven Co., Ltd. 482,200 9,102,640 0.2%
Avex, Inc. 247,100 3,410,936 0.1%
Baroque Japan, Ltd. 87,000 914,088 0.0%
Beauty Garage, Inc. 5,100 115,387 0.0%
Belluna Co., Ltd. 276,800 3,219,508 0.1%
Bic Camera, Inc. 331,600 5,434,239 0.1%
Bookoff Corp. 59,400 453,402 0.0%
BRONCO BILLY Co., Ltd. 68,300 2,675,855 0.1%
# Can Do Co., Ltd. 58,900 978,070 0.0%
Central Automotive Products, Ltd. 79,300 1,229,892 0.0%
Central Sports Co., Ltd. 44,100 1,498,943 0.0%
CHIMNEY Co., Ltd. 33,700 893,557 0.0%
Chiyoda Co., Ltd. 104,400 2,509,405 0.1%
# Chofu Seisakusho Co., Ltd. 137,100 3,256,343 0.1%
Chori Co., Ltd. 76,300 1,461,245 0.0%
Choushimaru Co., Ltd. 600 31,156 0.0%
Chuo Spring Co., Ltd. 20,000 640,144 0.0%
Clarion Co., Ltd. 805,000 2,253,825 0.1%
Cleanup Corp. 127,800 1,040,888 0.0%
# Coco's Japan Co., Ltd. 49,200 1,027,960 0.0%
# Colowide Co., Ltd. 396,100 10,075,830 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Consumer Discretionary -- (Continued)
Corona Corp. 103,100 $1,215,803 0.0%
Create Restaurants Holdings, Inc. 299,300 3,769,738 0.1%
Cross Plus, Inc. 9,800 72,958 0.0%
* D.A. Consortium Holdings, Inc. 175,300 3,655,587 0.1%
Daido Metal Co., Ltd. 228,900 2,715,865 0.1%
# Daidoh, Ltd. 171,100 725,397 0.0%
# Daikoku Denki Co., Ltd. 56,700 936,300 0.0%
Daikyonishikawa Corp. 253,900 4,563,566 0.1%
Dainichi Co., Ltd. 69,100 509,116 0.0%
# Daisyo Corp. 47,200 742,666 0.0%
Daiyu Lic Holdings Co., Ltd. 64,300 589,147 0.0%
# DCM Holdings Co., Ltd. 667,500 6,641,737 0.2%
# DD Holdings Co., Ltd. 27,000 672,948 0.0%
# Descente, Ltd. 286,100 4,827,328 0.1%
Doshisha Co., Ltd. 153,900 3,584,523 0.1%
Doutor Nichires Holdings Co., Ltd. 206,786 4,323,281 0.1%
# Dynic Corp. 42,200 407,084 0.0%
Eagle Industry Co., Ltd. 171,600 3,094,692 0.1%
# EAT&Co, Ltd. 30,300 559,881 0.0%
# EDION Corp. 477,000 5,591,113 0.1%
# ES-Con Japan, Ltd. 228,200 1,946,516 0.1%
ESCRIT, Inc. 52,300 403,329 0.0%
# Evolable Asia Corp. 35,300 640,197 0.0%
Exedy Corp. 210,200 7,119,026 0.2%
F-Tech, Inc. 80,100 1,003,479 0.0%
FCC Co., Ltd. 224,800 6,358,724 0.2%
# Felissimo Corp. 20,000 250,474 0.0%
# Fields Corp. 101,400 1,103,262 0.0%
# Fine Sinter Co., Ltd. 9,800 200,207 0.0%
# First Juken Co., Ltd. 40,300 592,204 0.0%
First-corp, Inc. 49,600 554,880 0.0%
FJ Next Co., Ltd. 101,500 792,843 0.0%
Foster Electric Co., Ltd. 155,800 3,649,822 0.1%
France Bed Holdings Co., Ltd. 150,600 1,354,263 0.0%
#* FreakOut Holdings, Inc. 36,100 577,108 0.0%
Fuji Co. Ltd/Ehime 147,400 3,219,340 0.1%
# Fuji Corp. 36,900 872,099 0.0%
Fuji Corp., Ltd. 173,900 1,436,833 0.0%
# Fuji Kyuko Co., Ltd. 154,200 4,283,242 0.1%
Fuji Oozx, Inc. 200 9,880 0.0%
Fujibo Holdings, Inc. 72,900 2,813,945 0.1%
Fujikura Rubber, Ltd. 134,600 950,918 0.0%
# Fujio Food System Co., Ltd. 59,400 1,097,274 0.0%
# Fujishoji Co., Ltd. 56,600 670,605 0.0%
Fujita Kanko, Inc. 52,100 1,578,265 0.1%
Fujitsu General, Ltd. 421,600 6,864,357 0.2%
FuKoKu Co., Ltd. 61,500 563,097 0.0%
#* Funai Electric Co., Ltd. 145,300 1,005,074 0.0%
# Furukawa Battery Co., Ltd. (The) 96,500 868,827 0.0%
Furyu Corp. 77,200 660,920 0.0%
Futaba Industrial Co., Ltd. 408,400 3,264,052 0.1%
G-Tekt Corp. 132,800 2,565,418 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Consumer Discretionary -- (Continued)
Gakken Holdings Co., Ltd. 31,300 $ 1,419,161 0.0%
Gakkyusha Co., Ltd. 53,400 864,745 0.0%
# Genki Sushi Co., Ltd. 34,800 896,653 0.0%
# Geo Holdings Corp. 235,300 3,845,112 0.1%
# Gfoot Co., Ltd. 88,800 644,612 0.0%
# Global, Ltd. (The) 57,700 485,382 0.0%
GLOBERIDE, Inc. 64,099 1,728,990 0.1%
# Gokurakuyu Holdings Co., Ltd. 74,200 453,475 0.0%
Goldwin, Inc. 75,000 4,730,857 0.1%
# Golf Digest Online, Inc. 69,000 748,275 0.0%
Gourmet Kineya Co., Ltd. 59,000 629,390 0.0%
# GSI Creos Corp. 39,100 578,345 0.0%
Gunze, Ltd. 119,500 7,340,366 0.2%
H-One Co., Ltd. 132,000 1,601,449 0.1%
H2O Retailing Corp. 325,100 6,117,641 0.2%
Hagihara Industries, Inc. 83,200 1,447,042 0.0%
# Hakuyosha Co., Ltd. 13,600 396,508 0.0%
# Hamee Corp. 41,500 629,046 0.0%
Handsman Co., Ltd. 37,500 463,211 0.0%
Happinet Corp. 106,600 1,476,732 0.0%
# Harada Industry Co., Ltd. 54,500 535,355 0.0%
Hard Off Corp. Co., Ltd. 60,900 632,723 0.0%
# Haruyama Holdings, Inc. 56,500 560,513 0.0%
Heian Ceremony Service Co., Ltd. 8,300 68,265 0.0%
Heiwa Corp. 358,400 7,113,737 0.2%
HI-LEX Corp. 93,500 2,432,163 0.1%
Hiday Hidaka Corp. 152,387 3,965,625 0.1%
# Himaraya Co., Ltd. 35,900 393,238 0.0%
# Hinokiya Group Co., Ltd. 42,200 1,490,279 0.0%
# Hiramatsu, Inc. 240,300 1,122,766 0.0%
HIS Co., Ltd. 282,100 10,294,918 0.2%
Honeys Holdings Co., Ltd. 110,140 1,053,136 0.0%
# Hoosiers Holdings 213,000 1,566,000 0.0%
# Hotland Co., Ltd. 65,400 827,469 0.0%
# House Do Co., Ltd. 22,600 825,411 0.0%
HUB Co., Ltd. 35,400 341,282 0.0%
# I K K, Inc. 65,900 473,459 0.0%
# I.K Co., Ltd. 34,200 527,812 0.0%
IBJ, Inc. 114,400 1,027,806 0.0%
Ichibanya Co., Ltd. 89,158 3,712,249 0.1%
# Ichikoh Industries, Ltd. 244,500 2,652,337 0.1%
IDOM, Inc. 469,800 3,394,404 0.1%
IJT Technology Holdings Co., Ltd. 160,380 1,315,184 0.0%
# Imagica Robot Holdings, Inc. 98,700 1,089,738 0.0%
Imasen Electric Industrial 119,900 1,338,058 0.0%
Intage Holdings, Inc. 231,500 2,534,965 0.1%
#* Izutsuya Co., Ltd. 61,699 198,453 0.0%
Janome Sewing Machine Co., Ltd. 127,600 848,571 0.0%
# Japan Best Rescue System Co., Ltd. 132,900 975,644 0.0%
Japan Wool Textile Co., Ltd. (The) 365,600 3,810,920 0.1%
# JINS, Inc. 91,400 4,949,813 0.1%
# Joban Kosan Co., Ltd. 41,199 723,314 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
# Jolly - Pasta Co., Ltd. 20,800 $ 314,368 0.0%
Joshin Denki Co., Ltd. 133,200 5,508,461 0.1%
Joyful Honda Co., Ltd. 56,900 2,009,297 0.1%
# JP-Holdings, Inc. 374,800 1,129,545 0.0%
# JVC Kenwood Corp. 1,000,930 3,487,002 0.1%
* Kadokawa Dwango 373,933 3,867,160 0.1%
Kasai Kogyo Co., Ltd. 164,500 2,311,762 0.1%
Kawai Musical Instruments Manufacturing Co., Ltd. 44,800 1,457,837 0.0%
Keihin Corp. 293,300 5,793,866 0.1%
# Keiyo Co., Ltd. 226,400 1,180,009 0.0%
# KFC Holdings Japan, Ltd. 105,200 1,927,300 0.1%
Ki-Star Real Estate Co., Ltd. 45,700 1,214,756 0.0%
King Co., Ltd. 44,900 255,524 0.0%
* Kintetsu Department Store Co., Ltd. 56,100 1,997,057 0.1%
# Kitamura Co., Ltd. 28,200 255,989 0.0%
* KNT-CT Holdings Co., Ltd. 79,500 1,284,429 0.0%
Kohnan Shoji Co., Ltd. 179,800 4,695,505 0.1%
* Kojima Co., Ltd. 218,800 971,681 0.0%
# Komatsu Seiren Co., Ltd. 219,700 2,142,528 0.1%
KOMEDA Holdings Co., Ltd. 330,600 6,671,977 0.2%
Komehyo Co., Ltd. 49,600 818,877 0.0%
Komeri Co., Ltd. 205,600 5,487,366 0.1%
Konaka Co., Ltd. 165,206 895,324 0.0%
Koshidaka Holdings Co., Ltd. 79,000 4,779,081 0.1%
# Kourakuen Corp. 71,100 1,204,136 0.0%
KU Holdings Co., Ltd. 130,900 1,385,283 0.0%
# Kura Corp. 72,800 5,231,362 0.1%
Kurabo Industries, Ltd. 1,299,000 4,286,564 0.1%
Kushikatsu Tanaka Co. 20,100 610,254 0.0%
KYB Corp. 144,300 6,951,883 0.2%
# Kyoritsu Maintenance Co., Ltd. 208,562 9,822,711 0.2%
* Laox Co., Ltd. 206,900 968,556 0.0%
# LEC, Inc. 85,500 3,002,873 0.1%
LIFULL Co., Ltd. 371,300 3,016,137 0.1%
#* Litalico, Inc. 38,500 581,218 0.0%
# Look Holdings, Inc. 228,000 712,647 0.0%
# Mamiya-Op Co., Ltd. 32,700 350,244 0.0%
Mars Engineering Corp. 74,400 1,658,863 0.1%
* Maruzen CHI Holdings Co., Ltd. 66,900 217,627 0.0%
# Matsuya Co., Ltd. 174,800 2,237,978 0.1%
Matsuya Foods Co., Ltd. 62,700 2,191,151 0.1%
Meiko Network Japan Co., Ltd. 136,000 1,541,650 0.0%
Meiwa Estate Co., Ltd. 80,000 549,187 0.0%
Mikuni Corp. 159,200 915,986 0.0%
Misawa Homes Co., Ltd. 150,400 1,270,038 0.0%
Mitsuba Corp. 220,790 3,222,885 0.1%
Mitsui Home Co., Ltd. 191,000 1,267,670 0.0%
Mizuno Corp. 130,100 4,206,512 0.1%
Monogatari Corp. (The) 35,300 3,829,185 0.1%
Morito Co., Ltd. 98,900 932,720 0.0%
MrMax Holdings, Ltd. 176,100 1,195,598 0.0%
Murakami Corp. 28,700 814,109 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Musashi Seimitsu Industry Co., Ltd. 148,200 $5,192,241 0.1%
Nafco Co., Ltd. 47,500 800,689 0.0%
Nagawa Co., Ltd. 37,800 1,613,526 0.1%
* Naigai Co., Ltd. 29,700 155,202 0.0%
# Nakayamafuku Co., Ltd. 53,500 368,359 0.0%
# Nextage Co., Ltd. 205,600 2,103,382 0.1%
NHK Spring Co., Ltd. 83,600 923,834 0.0%
Nice Holdings, Inc. 44,400 597,106 0.0%
Nichirin Co., Ltd. 62,660 1,528,386 0.0%
Nihon Eslead Corp. 53,800 988,188 0.0%
# Nihon House Holdings Co., Ltd. 274,900 1,444,098 0.0%
# Nihon Plast Co., Ltd. 88,800 832,945 0.0%
# Nihon Tokushu Toryo Co., Ltd. 87,400 1,822,345 0.1%
Nikki Co., Ltd. 2,100 76,164 0.0%
Nippon Felt Co., Ltd. 80,200 379,368 0.0%
Nippon Piston Ring Co., Ltd. 48,600 973,933 0.0%
Nippon Seiki Co., Ltd. 291,700 5,626,662 0.1%
# Nippon View Hotel Co., Ltd. 41,400 573,893 0.0%
Nishikawa Rubber Co., Ltd. 28,100 617,449 0.0%
Nishimatsuya Chain Co., Ltd. 325,800 4,004,884 0.1%
Nissan Shatai Co., Ltd. 516,300 5,527,930 0.1%
Nissan Tokyo Sales Holdings Co., Ltd. 170,000 616,446 0.0%
Nissei Build Kogyo Co., Ltd. 216,500 2,695,937 0.1%
Nissin Kogyo Co., Ltd. 283,100 4,967,463 0.1%
Nittan Valve Co., Ltd. 117,800 367,010 0.0%
Nojima Corp. 208,300 5,142,547 0.1%
Ohashi Technica, Inc. 63,600 1,054,330 0.0%
Ohsho Food Service Corp. 89,200 4,476,667 0.1%
# Omikenshi Co., Ltd. 322,000 324,973 0.0%
Onward Holdings Co., Ltd. 847,200 6,981,673 0.2%
# Ootoya Holdings Co., Ltd. 37,600 758,469 0.0%
#* Open Door, Inc. 67,300 1,241,587 0.0%
# OPT Holding, Inc. 72,900 1,086,400 0.0%
# Otsuka Kagu, Ltd. 80,200 463,646 0.0%
Ozu Corp. 18,200 397,191 0.0%
Pacific Industrial Co., Ltd. 327,600 4,646,677 0.1%
PAL GROUP Holdings Co., Ltd. 70,900 1,942,226 0.1%
PALTAC Corp. 62,334 3,119,974 0.1%
# PAPYLESS Co., Ltd. 28,600 521,887 0.0%
Parco Co., Ltd. 144,400 1,805,613 0.1%
Paris Miki Holdings, Inc. 171,000 814,581 0.0%
PC Depot Corp. 8,081 52,904 0.0%
People Co., Ltd. 19,600 287,748 0.0%
# Pepper Food Service Co., Ltd. 88,200 5,077,663 0.1%
# PIA Corp. 36,900 2,232,444 0.1%
Piolax, Inc. 195,600 5,479,149 0.1%
#* Pioneer Corp. 2,489,100 3,882,757 0.1%
# Plenus Co., Ltd. 140,700 2,425,129 0.1%
Press Kogyo Co., Ltd. 623,200 3,591,364 0.1%
Pressance Corp. 250,100 3,821,124 0.1%
Proto Corp. 88,400 1,268,939 0.0%
# Raccoon Co., Ltd. 83,300 488,303 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Consumer Discretionary -- (Continued)
Regal Corp. 1,500 $ 39,435 0.0%
# Renaissance, Inc. 60,600 1,055,677 0.0%
#* Renown, Inc. 346,100 519,683 0.0%
# Resol Holdings Co., Ltd. 16,799 669,140 0.0%
Resorttrust, Inc. 324,400 6,717,271 0.2%
Rhythm Watch Co., Ltd. 55,900 1,205,140 0.0%
# Riberesute Corp. 54,900 502,685 0.0%
# Ride On Express Holdings Co., Ltd. 55,300 527,968 0.0%
# Right On Co., Ltd. 106,125 1,004,956 0.0%
Riken Corp. 65,400 3,761,577 0.1%
Ringer Hut Co., Ltd. 151,900 3,690,907 0.1%
# Riso Kyoiku Co., Ltd. 223,500 1,720,595 0.1%
Round One Corp. 473,900 6,854,352 0.2%
Royal Holdings Co., Ltd. 182,600 4,963,355 0.1%
* Royal Hotel, Ltd. (The) 2,100 37,073 0.0%
#* RVH, Inc. 85,200 347,914 0.0%
Sac's Bar Holdings, Inc. 127,150 1,360,099 0.0%
Saizeriya Co., Ltd. 198,600 4,587,743 0.1%
Sakai Ovex Co., Ltd. 33,999 743,415 0.0%
San Holdings, Inc. 29,200 789,043 0.0%
#* Sanden Holdings Corp. 150,400 2,184,969 0.1%
Sanei Architecture Planning Co., Ltd. 52,300 880,869 0.0%
Sangetsu Corp. 348,450 7,191,144 0.2%
Sanko Marketing Foods Co., Ltd. 23,700 221,296 0.0%
Sankyo Seiko Co., Ltd. 222,500 1,010,424 0.0%
Sanoh Industrial Co., Ltd. 169,300 1,209,517 0.0%
Sanyei Corp. 4,300 154,901 0.0%
# Sanyo Electric Railway Co., Ltd. 113,698 2,905,137 0.1%
Sanyo Housing Nagoya Co., Ltd. 73,600 805,706 0.0%
# Sanyo Shokai, Ltd. 81,999 1,899,546 0.1%
# Scroll Corp. 203,300 817,908 0.0%
# Seiko Holdings Corp. 206,281 5,370,450 0.1%
Seiren Co., Ltd. 331,300 6,387,182 0.2%
* Senshukai Co., Ltd. 205,800 1,078,321 0.0%
Septeni Holdings Co., Ltd. 643,700 1,654,681 0.1%
SFP Holdings Co., Ltd. 74,500 1,372,511 0.0%
# Shidax Corp. 149,000 664,870 0.0%
Shikibo, Ltd. 77,900 981,641 0.0%
Shimachu Co., Ltd. 282,300 9,113,327 0.2%
# Shimojima Co., Ltd. 31,900 346,148 0.0%
# Shobunsha Publications, Inc. 258,500 1,970,813 0.1%
# Shoei Co., Ltd. 80,100 2,969,920 0.1%
Showa Corp. 346,700 5,211,212 0.1%
SKY Perfect JSAT Holdings, Inc. 993,500 4,527,401 0.1%
SNT Corp. 211,400 946,044 0.0%
Soft99 Corp. 81,800 941,304 0.0%
# Sotoh Co., Ltd. 41,400 384,626 0.0%
SPK Corp. 22,200 575,022 0.0%
# SRS Holdings Co., Ltd. 23,400 207,836 0.0%
St Marc Holdings Co., Ltd. 107,200 3,035,171 0.1%
Starts Corp., Inc. 202,800 5,599,126 0.1%
Step Co., Ltd. 59,400 935,374 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Consumer Discretionary -- (Continued)
Studio Alice Co., Ltd. 60,200 $1,350,800 0.0%
Suminoe Textile Co., Ltd. 37,900 991,334 0.0%
Sumitomo Riko Co., Ltd. 274,000 2,864,218 0.1%
Suncall Corp. 113,000 757,294 0.0%
# Syuppin Co., Ltd. 119,100 1,338,400 0.0%
T RAD Co., Ltd. 51,200 1,833,280 0.1%
T-Gaia Corp. 139,000 3,884,286 0.1%
Tachi-S Co., Ltd. 224,140 4,062,188 0.1%
Tachikawa Corp. 71,100 991,396 0.0%
Taiho Kogyo Co., Ltd. 113,100 1,526,752 0.0%
# Take And Give Needs Co., Ltd. 67,570 707,818 0.0%
Takihyo Co., Ltd. 31,700 684,595 0.0%
# Tama Home Co., Ltd. 104,700 1,078,548 0.0%
Tamron Co., Ltd. 126,400 2,565,445 0.1%
TBK Co., Ltd. 138,800 697,787 0.0%
Tear Corp. 60,500 595,016 0.0%
* Ten Allied Co., Ltd. 14,600 63,412 0.0%
# Tenpos Holdings Co., Ltd. 30,500 679,429 0.0%
Tigers Polymer Corp. 80,900 615,999 0.0%
Toa Corp. 155,200 1,833,068 0.1%
# Toabo Corp. 54,799 294,630 0.0%
# Toei Animation Co., Ltd. 87,300 2,499,637 0.1%
Toei Co., Ltd. 45,600 5,122,179 0.1%
Tohokushinsha Film Corp. 55,100 388,815 0.0%
Tokai Rika Co., Ltd. 372,900 7,449,445 0.2%
# Token Corp. 52,450 4,994,832 0.1%
#* Tokyo Base Co., Ltd. 122,700 1,237,277 0.0%
Tokyo Dome Corp. 628,300 6,108,824 0.2%
Tokyo Individualized Educational Institute, Inc. 121,000 1,327,727 0.0%
Tokyo Radiator Manufacturing Co., Ltd. 24,300 229,799 0.0%
# Tokyotokeiba Co., Ltd. 108,300 4,150,570 0.1%
# Tokyu Recreation Co., Ltd. 102,000 924,952 0.0%
Tomy Co., Ltd. 590,293 5,779,256 0.1%
Topre Corp. 242,200 7,601,340 0.2%
Toridoll Holdings Corp. 153,500 5,139,544 0.1%
# Torikizoku Co., Ltd. 51,200 1,331,872 0.0%
Tosho Co., Ltd. 107,000 3,933,853 0.1%
# Tow Co., Ltd. 114,900 994,953 0.0%
Toyo Tire & Rubber Co., Ltd. 235,100 4,001,919 0.1%
TPR Co., Ltd. 162,200 4,913,736 0.1%
TS Tech Co., Ltd. 182,300 7,375,779 0.2%
TSI Holdings Co., Ltd. 522,195 4,169,543 0.1%
# Tsukada Global Holdings, Inc. 109,400 645,533 0.0%
Tsukamoto Corp. Co., Ltd. 19,000 220,995 0.0%
Tsutsumi Jewelry Co., Ltd. 57,100 1,072,447 0.0%
TV Asahi Holdings Corp. 148,100 3,473,181 0.1%
Tv Tokyo Holdings Corp. 104,500 2,855,154 0.1%
#* U-Shin, Ltd. 134,800 895,562 0.0%
Ukai Co., Ltd. 5,900 241,094 0.0%
# Umenohana Co., Ltd. 12,000 317,898 0.0%
Unipres Corp. 261,000 6,145,440 0.2%
United Arrows, Ltd. 160,800 5,905,949 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Consumer Discretionary -- (Continued)
#* Unitika, Ltd. 399,200 $ 2,624,606 0.1%
ValueCommerce Co., Ltd. 124,900 1,897,742 0.1%
# Vector, Inc. 180,600 3,483,707 0.1%
#* VIA Holdings, Inc. 127,600 804,817 0.0%
# Village Vanguard Co., Ltd. 40,600 373,718 0.0%
#* Visionary Holdings Co., Ltd. 637,300 526,919 0.0%
# VT Holdings Co., Ltd. 560,300 2,549,115 0.1%
Wacoal Holdings Corp. 361,700 10,950,759 0.3%
# WATAMI Co., Ltd. 147,300 1,998,294 0.1%
# Watts Co., Ltd. 57,100 601,803 0.0%
Weds Co., Ltd. 10,300 76,575 0.0%
Workman Co., Ltd. 20,200 803,174 0.0%
Wowow, Inc. 42,600 1,338,246 0.0%
Xebio Holdings Co., Ltd. 202,000 3,805,644 0.1%
Yachiyo Industry Co., Ltd. 50,300 609,160 0.0%
Yagi & Co., Ltd. 14,600 303,938 0.0%
Yamato International, Inc. 110,600 614,145 0.0%
# Yasunaga Corp. 51,100 1,093,982 0.0%
Yellow Hat, Ltd. 112,200 3,327,837 0.1%
Yomiuri Land Co., Ltd. 26,300 1,143,355 0.0%
# Yondoshi Holdings, Inc. 127,320 3,135,732 0.1%
# Yonex Co., Ltd. 56,400 314,437 0.0%
Yorozu Corp. 131,800 2,269,439 0.1%
# Yoshinoya Holdings Co., Ltd. 183,300 3,402,835 0.1%
Yossix Co., Ltd. 23,300 700,966 0.0%
# Yume No Machi Souzou Iinkai Co., Ltd. 162,700 2,816,785 0.1%
Yutaka Giken Co., Ltd. 7,900 209,457 0.0%
Zenrin Co., Ltd. 239,950 4,827,905 0.1%
# Zojirushi Corp. 277,700 3,720,378 0.1%
------------ ----
Total Consumer Discretionary 864,830,758 19.5%
------------ ----
Consumer Staples -- (8.2%)
# Aeon Hokkaido Corp. 261,700 1,909,692 0.0%
# AFC-HD AMS Life Science Co., Ltd. 33,900 271,337 0.0%
# Ain Holdings, Inc. 94,100 6,267,338 0.1%
Albis Co., Ltd. 38,600 1,284,666 0.0%
Aohata Corp. 3,000 68,866 0.0%
Arcs Co., Ltd. 271,800 7,445,641 0.2%
Ariake Japan Co., Ltd. 69,700 5,978,727 0.1%
Artnature, Inc. 138,200 944,878 0.0%
Axial Retailing, Inc. 103,800 4,231,464 0.1%
Belc Co., Ltd. 71,500 3,846,825 0.1%
# Bourbon Corp. 43,500 1,155,481 0.0%
Bull-Dog Sauce Co., Ltd. 1,500 30,143 0.0%
# C'BON COSMETICS Co., Ltd. 5,700 163,924 0.0%
Cawachi, Ltd. 116,600 2,711,041 0.1%
Chubu Shiryo Co., Ltd. 180,300 4,053,056 0.1%
Chuo Gyorui Co., Ltd. 9,800 248,316 0.0%
Cocokara fine, Inc. 124,360 8,994,353 0.2%
# Como Co., Ltd. 2,000 44,790 0.0%
Cota Co., Ltd. 69,465 1,065,034 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Consumer Staples -- (Continued)
Create SD Holdings Co., Ltd. 185,000 $5,361,007 0.1%
Daikokutenbussan Co., Ltd. 39,900 2,063,240 0.1%
Delica Foods Holdings Co., Ltd. 29,000 424,339 0.0%
Dr Ci:Labo Co., Ltd. 146,600 7,052,517 0.2%
DyDo Group Holdings, Inc. 57,900 3,603,342 0.1%
# Earth Corp. 89,100 4,680,669 0.1%
Ebara Foods Industry, Inc. 15,600 300,348 0.0%
# Eco's Co., Ltd. 55,300 939,819 0.0%
Ensuiko Sugar Refining Co., Ltd. 86,200 209,323 0.0%
Feed One Co., Ltd. 899,040 2,000,334 0.1%
* First Baking Co., Ltd. 17,200 191,482 0.0%
Fuji Oil Holdings, Inc. 278,500 8,927,842 0.2%
# Fujicco Co., Ltd. 146,500 3,371,628 0.1%
Fujiya Co., Ltd. 38,200 950,644 0.0%
G-7 Holdings, Inc. 40,800 905,050 0.0%
#* Genky DrugStores Co., Ltd. 46,800 1,829,260 0.0%
# HABA Laboratories, Inc. 15,700 1,190,065 0.0%
Hagoromo Foods Corp. 39,000 487,066 0.0%
Halows Co., Ltd. 55,400 1,378,372 0.0%
Havix Corp. 8,800 78,663 0.0%
Hayashikane Sangyo Co., Ltd. 29,400 229,218 0.0%
Heiwado Co., Ltd. 192,000 4,579,069 0.1%
Hokkaido Coca-Cola Bottling Co., Ltd. 90,000 630,787 0.0%
Hokuryo Co., Ltd. 14,900 166,220 0.0%
Hokuto Corp. 169,400 2,990,985 0.1%
Ichimasa Kamaboko Co., Ltd. 27,100 341,121 0.0%
# Imuraya Group Co., Ltd. 51,000 1,543,125 0.0%
Inageya Co., Ltd. 175,800 2,915,294 0.1%
Itochu-Shokuhin Co., Ltd. 32,100 1,786,532 0.0%
Ivy Cosmetics Corp. 6,800 191,066 0.0%
Iwatsuka Confectionery Co., Ltd. 4,000 191,224 0.0%
J-Oil Mills, Inc. 76,300 2,633,374 0.1%
Japan Meat Co., Ltd. 51,600 922,807 0.0%
Kadoya Sesame Mills, Inc. 14,100 813,874 0.0%
Kakiyasu Honten Co., Ltd. 62,700 1,706,332 0.0%
Kameda Seika Co., Ltd. 80,900 3,980,724 0.1%
Kaneko Seeds Co., Ltd. 38,600 589,036 0.0%
Kanemi Co., Ltd. 1,400 41,310 0.0%
# Kansai Super Market, Ltd. 70,800 763,879 0.0%
Kato Sangyo Co., Ltd. 162,900 5,997,702 0.1%
Kenko Mayonnaise Co., Ltd. 88,200 3,090,130 0.1%
Key Coffee, Inc. 128,600 2,557,320 0.1%
# Kirindo Holdings Co., Ltd. 42,800 1,159,560 0.0%
# Kitanotatsujin Corp. 327,600 2,492,213 0.1%
# Kobe Bussan Co., Ltd. 69,900 3,386,578 0.1%
Kotobuki Spirits Co., Ltd. 128,900 6,111,929 0.1%
Kusuri no Aoki Holdings Co., Ltd. 86,800 5,953,662 0.1%
# Kyokuyo Co., Ltd. 66,099 2,273,188 0.1%
# Lacto Japan Co., Ltd. 21,200 991,700 0.0%
Life Corp. 157,800 3,943,551 0.1%
Mandom Corp. 181,800 6,553,936 0.2%
Marudai Food Co., Ltd. 747,000 3,674,214 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Consumer Staples -- (Continued)
Maruha Nichiro Corp. 295,807 $ 9,956,942 0.2%
# Maxvalu Nishinihon Co., Ltd. 20,700 339,745 0.0%
# Maxvalu Tokai Co., Ltd. 49,300 1,102,312 0.0%
Medical System Network Co., Ltd. 150,000 791,426 0.0%
Megmilk Snow Brand Co., Ltd. 358,200 10,783,752 0.2%
Meito Sangyo Co., Ltd. 61,300 994,160 0.0%
Milbon Co., Ltd. 156,252 6,788,650 0.2%
# Ministop Co., Ltd. 109,500 2,271,784 0.1%
Mitsubishi Shokuhin Co., Ltd. 103,100 3,008,480 0.1%
Mitsui Sugar Co., Ltd. 110,870 4,428,909 0.1%
Miyoshi Oil & Fat Co., Ltd. 46,800 623,736 0.0%
Morinaga & Co., Ltd. 4,500 219,136 0.0%
Morinaga Milk Industry Co., Ltd. 262,300 11,520,934 0.3%
Morishita Jintan Co., Ltd. 400 10,455 0.0%
Morozoff, Ltd. 20,100 1,218,656 0.0%
Nagatanien Holdings Co., Ltd. 157,000 2,095,446 0.1%
Nakamuraya Co., Ltd. 27,600 1,224,301 0.0%
# Natori Co., Ltd. 60,700 1,078,932 0.0%
Nichimo Co., Ltd. 17,000 281,768 0.0%
Nihon Chouzai Co., Ltd. 49,360 1,537,740 0.0%
Niitaka Co., Ltd. 2,860 47,461 0.0%
Nippon Beet Sugar Manufacturing Co., Ltd. 83,000 1,839,057 0.0%
Nippon Flour Mills Co., Ltd. 346,900 5,657,952 0.1%
Nippon Suisan Kaisha, Ltd. 2,033,400 11,020,177 0.3%
Nisshin Oillio Group, Ltd. (The) 183,500 5,275,895 0.1%
Nissin Sugar Co., Ltd. 112,100 2,192,948 0.1%
Nitto Fuji Flour Milling Co., Ltd. 6,800 295,043 0.0%
Noevir Holdings Co., Ltd. 91,100 6,551,163 0.2%
Oenon Holdings, Inc. 444,900 1,890,934 0.0%
# OIE Sangyo Co., Ltd. 20,900 258,019 0.0%
Okuwa Co., Ltd. 170,000 1,833,110 0.0%
# Olympic Group Corp. 67,800 348,847 0.0%
# OUG Holdings, Inc. 16,300 399,485 0.0%
Pickles Corp. 18,900 342,973 0.0%
# Plant Co., Ltd. 23,300 289,020 0.0%
Prima Meat Packers, Ltd. 961,000 5,863,198 0.1%
Qol Co., Ltd. 132,700 2,720,039 0.1%
# Retail Partners Co., Ltd. 99,000 1,469,219 0.0%
Riken Vitamin Co., Ltd. 71,100 2,675,944 0.1%
# Rock Field Co., Ltd. 151,800 2,900,409 0.1%
# Rokko Butter Co., Ltd. 96,900 2,310,577 0.1%
S Foods, Inc. 89,862 3,775,592 0.1%
S&B Foods, Inc. 16,999 1,674,905 0.0%
Sagami Rubber Industries Co., Ltd. 57,000 932,669 0.0%
# Sakata Seed Corp. 88,300 3,234,267 0.1%
San-A Co., Ltd. 120,800 6,441,780 0.2%
# Sapporo Holdings, Ltd. 439,100 12,563,724 0.3%
Shinobu Foods Products Co., Ltd. 1,600 11,697 0.0%
# Shoei Foods Corp. 77,200 3,045,618 0.1%
Showa Sangyo Co., Ltd. 149,400 3,953,861 0.1%
Sogo Medical Co., Ltd. 128,000 2,987,341 0.1%
ST Corp. 24,200 539,097 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
Starzen Co., Ltd. 52,200 $ 2,627,580 0.1%
Takara Holdings, Inc. 930,900 11,229,578 0.3%
Tobu Store Co., Ltd. 19,000 526,661 0.0%
Toho Co., Ltd. 53,800 1,286,207 0.0%
Tohto Suisan Co., Ltd. 18,099 321,825 0.0%
Torigoe Co., Ltd. (The) 102,200 915,627 0.0%
# Toyo Sugar Refining Co., Ltd. 15,700 179,944 0.0%
# Transaction Co., Ltd. 98,600 898,715 0.0%
United Super Markets Holdings, Inc. 353,500 4,648,322 0.1%
Uoriki Co., Ltd. 33,600 431,121 0.0%
Valor Holdings Co., Ltd. 240,900 6,721,362 0.2%
Warabeya Nichiyo Holdings Co., Ltd. 102,260 2,596,233 0.1%
Watahan & Co., Ltd. 46,400 1,637,846 0.0%
# YA-MAN, Ltd. 181,000 3,937,349 0.1%
Yaizu Suisankagaku Industry Co., Ltd. 49,800 574,255 0.0%
# Yakuodo Co., Ltd. 74,600 2,582,611 0.1%
Yamatane Corp. 70,100 1,250,402 0.0%
Yamaya Corp. 27,100 916,375 0.0%
Yamazawa Co., Ltd. 6,600 107,704 0.0%
Yaoko Co., Ltd. 132,100 7,326,337 0.2%
# Yokohama Reito Co., Ltd. 274,200 2,778,951 0.1%
Yomeishu Seizo Co., Ltd. 49,800 1,118,575 0.0%
Yuasa Funashoku Co., Ltd. 13,000 443,359 0.0%
Yutaka Foods Corp. 6,000 110,281 0.0%
------------ ---
Total Consumer Staples 382,648,747 8.6%
------------ ---
Energy -- (0.8%)
# BP Castrol K.K. 53,100 840,347 0.0%
Cosmo Energy Holdings Co., Ltd. 185,900 6,124,133 0.2%
Fuji Kosan Co., Ltd. 33,100 185,053 0.0%
Fuji Oil Co., Ltd. 317,100 1,311,434 0.0%
Itochu Enex Co., Ltd. 323,000 3,168,080 0.1%
#* Japan Drilling Co., Ltd. 40,800 711,785 0.0%
Japan Oil Transportation Co., Ltd. 13,900 423,483 0.0%
Japan Petroleum Exploration Co., Ltd. 220,200 5,730,131 0.1%
Mitsuuroko Group Holdings Co., Ltd. 193,100 1,548,575 0.0%
Modec, Inc. 132,500 3,516,263 0.1%
Nippon Coke & Engineering Co., Ltd. 1,114,100 1,190,049 0.0%
# Sala Corp. 321,100 1,998,706 0.1%
San-Ai Oil Co., Ltd. 379,900 5,980,812 0.1%
Shinko Plantech Co., Ltd. 261,300 2,452,919 0.1%
Sinanen Holdings Co., Ltd. 53,100 1,365,746 0.0%
Toa Oil Co., Ltd. 444,000 819,540 0.0%
Toyo Kanetsu K.K. 56,800 1,732,843 0.1%
------------ ---
Total Energy 39,099,899 0.9%
------------ ---
Financials -- (8.1%)
77 Bank, Ltd. (The) 496,152 12,258,679 0.3%
Accretive Co., Ltd. 51,500 160,101 0.0%
Advance Create Co., Ltd. 42,500 794,972 0.0%
Aichi Bank, Ltd. (The) 53,100 2,537,484 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
Aizawa Securities Co., Ltd. 211,700 $ 1,496,995 0.0%
# Akatsuki Corp. 109,000 443,216 0.0%
Akita Bank, Ltd. (The) 117,340 3,209,488 0.1%
Anicom Holdings, Inc. 111,500 3,664,167 0.1%
# Aomori Bank, Ltd. (The) 128,200 3,991,036 0.1%
Asax Co., Ltd. 1,700 29,578 0.0%
Awa Bank, Ltd. (The) 1,318,000 8,605,956 0.2%
Bank of Iwate, Ltd. (The) 112,100 4,390,815 0.1%
Bank of Kochi, Ltd. (The) 45,700 538,518 0.0%
# Bank of Nagoya, Ltd. (The) 98,330 3,656,882 0.1%
Bank of Okinawa, Ltd. (The) 152,460 6,411,704 0.1%
Bank of Saga, Ltd. (The) 103,500 2,374,739 0.1%
Bank of the Ryukyus, Ltd. 227,380 3,488,004 0.1%
# Bank of Toyama, Ltd. (The) 12,100 439,088 0.0%
Chiba Kogyo Bank, Ltd. (The) 326,800 1,515,115 0.0%
Chugoku Bank, Ltd. (The) 333,200 3,869,785 0.1%
# Chukyo Bank, Ltd. (The) 73,700 1,586,709 0.0%
Daishi Bank, Ltd. (The) 215,000 9,640,937 0.2%
Daito Bank, Ltd. (The) 87,300 1,047,439 0.0%
DSB Co., Ltd. 61,300 327,446 0.0%
eGuarantee, Inc. 87,400 1,745,136 0.0%
Ehime Bank, Ltd. (The) 209,900 2,530,066 0.1%
Eighteenth Bank, Ltd. (The) 1,048,000 2,772,211 0.1%
FIDEA Holdings Co., Ltd. 1,311,000 2,299,734 0.1%
Financial Products Group Co., Ltd. 449,900 5,728,447 0.1%
First Bank of Toyama, Ltd. (The) 237,300 1,074,807 0.0%
# First Brothers Co., Ltd. 36,600 452,148 0.0%
Fukui Bank, Ltd. (The) 150,800 3,392,013 0.1%
Fukushima Bank, Ltd. (The) 162,000 1,195,895 0.0%
Fuyo General Lease Co., Ltd. 125,500 8,500,708 0.2%
# GMO Financial Holdings, Inc. 146,900 1,112,440 0.0%
* Hirose Tusyo, Inc. 9,700 214,812 0.0%
Hiroshima Bank, Ltd. (The) 398,100 3,029,431 0.1%
Hokkoku Bank, Ltd. (The) 174,200 6,952,292 0.2%
Hokuetsu Bank, Ltd. (The) 131,600 2,915,689 0.1%
Hokuhoku Financial Group, Inc. 705,600 10,438,321 0.2%
Hyakugo Bank, Ltd. (The) 1,626,009 7,586,901 0.2%
Hyakujushi Bank, Ltd. (The) 1,588,000 5,357,244 0.1%
IBJ Leasing Co., Ltd. 197,000 5,440,797 0.1%
Ichiyoshi Securities Co., Ltd. 258,500 3,163,348 0.1%
IwaiCosmo Holdings, Inc. 115,400 1,602,237 0.0%
# J Trust Co., Ltd. 424,600 3,002,436 0.1%
Jaccs Co., Ltd. 174,500 3,950,887 0.1%
Jafco Co., Ltd. 228,300 10,012,788 0.2%
#* Japan Asia Investment Co., Ltd. 127,300 415,265 0.0%
# Japan Investment Adviser Co., Ltd. 66,700 2,481,187 0.1%
Japan Securities Finance Co., Ltd. 705,500 4,635,892 0.1%
Jimoto Holdings, Inc. 1,000,300 1,746,689 0.0%
Juroku Bank, Ltd. (The) 237,000 6,252,280 0.1%
kabu.com Securities Co., Ltd. 929,400 3,376,869 0.1%
#* Kansai Mirai Financial Group, Inc. 548,253 4,343,095 0.1%
Keiyo Bank, Ltd. (The) 1,557,000 7,126,476 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
# Kita-Nippon Bank, Ltd. (The) 50,906 $ 1,329,076 0.0%
Kiyo Bank, Ltd. (The) 417,290 6,794,075 0.2%
# Kosei Securities Co., Ltd. (The) 31,999 413,864 0.0%
Kyokuto Securities Co., Ltd. 155,800 2,234,132 0.1%
Kyushu Financial Group, Inc. 252,927 1,240,598 0.0%
Kyushu Leasing Service Co., Ltd. 2,800 19,950 0.0%
* M&A Capital Partners Co., Ltd. 43,000 3,102,295 0.1%
# Marusan Securities Co., Ltd. 307,900 2,931,804 0.1%
Matsui Securities Co., Ltd. 773,800 7,544,281 0.2%
# Mercuria Investment Co., Ltd. 36,500 359,564 0.0%
# Michinoku Bank, Ltd. (The) 101,998 1,651,882 0.0%
Mito Securities Co., Ltd. 424,800 1,640,623 0.0%
Miyazaki Bank, Ltd. (The) 101,200 3,275,737 0.1%
# Monex Group, Inc. 1,286,400 7,316,897 0.2%
# Money Partners Group Co., Ltd. 162,900 652,794 0.0%
Musashino Bank, Ltd. (The) 198,000 6,596,860 0.2%
# Nagano Bank, Ltd. (The) 52,599 886,291 0.0%
Nanto Bank, Ltd. (The) 199,300 5,532,179 0.1%
NEC Capital Solutions, Ltd. 62,200 1,186,836 0.0%
Newton Financial Consulting, Inc. 3,100 68,562 0.0%
Nishi-Nippon Financial Holdings, Inc. 861,100 10,340,057 0.2%
North Pacific Bank, Ltd. 2,096,400 7,073,139 0.2%
# OAK Capital Corp. 342,700 794,259 0.0%
Ogaki Kyoritsu Bank, Ltd. (The) 290,700 7,328,090 0.2%
Oita Bank, Ltd. (The) 101,489 3,724,040 0.1%
Okasan Securities Group, Inc. 1,099,000 6,279,723 0.1%
Ricoh Leasing Co., Ltd. 102,300 3,411,815 0.1%
* San ju San Financial Group, Inc. 126,510 2,675,550 0.1%
San-In Godo Bank, Ltd. (The) 976,000 9,176,278 0.2%
# Sawada Holdings Co., Ltd. 146,200 1,335,917 0.0%
Senshu Ikeda Holdings, Inc. 1,643,400 6,480,867 0.2%
Shiga Bank, Ltd. (The) 1,701,000 8,616,720 0.2%
Shikoku Bank, Ltd. (The) 246,600 3,600,483 0.1%
SHIMANE BANK, Ltd. / THE 24,900 304,066 0.0%
Shimizu Bank, Ltd. (The) 52,700 1,482,136 0.0%
# Sparx Group Co., Ltd. 623,300 1,684,660 0.0%
# Strike Co., Ltd. 16,700 1,034,185 0.0%
Taiko Bank, Ltd. (The) 34,100 745,513 0.0%
Tochigi Bank, Ltd. (The) 672,700 2,549,012 0.1%
Toho Bank, Ltd. (The) 1,303,100 5,054,917 0.1%
Tohoku Bank, Ltd. (The) 61,100 810,822 0.0%
Tokai Tokyo Financial Holdings, Inc. 1,447,500 10,484,771 0.2%
# Tokyo TY Financial Group, Inc. 196,638 5,190,036 0.1%
Tomato Bank, Ltd. 54,700 762,846 0.0%
TOMONY Holdings, Inc. 989,350 4,414,555 0.1%
Tottori Bank, Ltd. (The) 57,700 915,761 0.0%
Towa Bank, Ltd. (The) 227,200 3,031,262 0.1%
Toyo Securities Co., Ltd. 461,000 1,209,821 0.0%
Tsukuba Bank, Ltd. 534,200 1,852,001 0.0%
* Uzabase, Inc. 30,200 638,293 0.0%
# Yamagata Bank, Ltd. (The) 204,300 4,506,737 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Yamanashi Chuo Bank, Ltd. (The) 1,056,000 $ 4,665,470 0.1%
------------ ---
Total Financials 378,279,496 8.5%
------------ ---
Health Care -- (4.7%)
# Advantage Risk Management Co., Ltd. 42,200 525,548 0.0%
As One Corp. 84,568 5,743,860 0.1%
ASKA Pharmaceutical Co., Ltd. 164,300 2,502,433 0.1%
Biofermin Pharmaceutical Co., Ltd. 23,700 614,184 0.0%
BML, Inc. 152,700 3,864,766 0.1%
Charm Care Corp. K.K. 1,100 10,497 0.0%
CMIC Holdings Co., Ltd. 79,200 1,816,219 0.0%
Create Medic Co., Ltd. 41,200 451,142 0.0%
# Daiken Medical Co., Ltd. 120,900 828,323 0.0%
Daito Pharmaceutical Co., Ltd. 80,180 2,757,709 0.1%
Dvx, Inc. 45,800 554,462 0.0%
Eiken Chemical Co., Ltd. 217,000 5,121,974 0.1%
# Elan Corp. 44,700 774,784 0.0%
EM Systems Co., Ltd. 121,600 1,436,831 0.0%
EPS Holdings, Inc. 217,700 4,435,305 0.1%
Falco Holdings Co., Ltd. 55,100 935,150 0.0%
# FINDEX, Inc. 124,100 902,524 0.0%
Fuji Pharma Co., Ltd. 49,800 1,979,513 0.1%
Fukuda Denshi Co., Ltd. 38,400 2,747,786 0.1%
Fuso Pharmaceutical Industries, Ltd. 44,800 1,202,818 0.0%
Hogy Medical Co., Ltd. 156,400 6,521,302 0.2%
# I'rom Group Co., Ltd. 43,400 1,032,661 0.0%
# Iwaki & Co., Ltd. 193,000 718,921 0.0%
* Japan Animal Referral Medical Center Co., Ltd. 7,000 197,933 0.0%
Japan Lifeline Co., Ltd. 81,800 2,396,376 0.1%
Japan Medical Dynamic Marketing, Inc. 115,600 1,071,399 0.0%
JCR Pharmaceuticals Co., Ltd. 100,700 5,270,213 0.1%
Jeol, Ltd. 258,000 2,211,047 0.1%
JMS Co., Ltd. 111,657 652,246 0.0%
Kanamic Network Co., Ltd. 29,600 505,878 0.0%
Kawasumi Laboratories, Inc. 96,180 721,382 0.0%
Kissei Pharmaceutical Co., Ltd. 182,400 5,145,808 0.1%
KYORIN Holdings, Inc. 283,700 5,547,681 0.1%
Linical Co., Ltd. 68,200 1,115,306 0.0%
Mani, Inc. 157,400 6,386,375 0.2%
#* Medical Data Vision Co., Ltd. 111,000 1,604,644 0.0%
Medius Holdings Co., Ltd. 62,100 577,762 0.0%
Menicon Co., Ltd. 172,800 4,510,047 0.1%
Miraca Holdings, Inc. 300,200 11,686,763 0.3%
Mizuho Medy Co., Ltd. 5,600 313,236 0.0%
Mochida Pharmaceutical Co., Ltd. 88,999 6,270,704 0.2%
# N Field Co., Ltd. 85,200 1,602,973 0.0%
Nagaileben Co., Ltd. 51,200 1,354,077 0.0%
Nakanishi, Inc. 328,400 6,846,311 0.2%
ND Software Co., Ltd. 9,600 90,093 0.0%
# Nichi-iko Pharmaceutical Co., Ltd. 326,450 5,223,151 0.1%
NichiiGakkan Co., Ltd. 271,300 2,802,259 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Health Care -- (Continued)
Nihon Kohden Corp. 254,100 $ 7,261,902 0.2%
Nikkiso Co., Ltd. 472,400 5,378,818 0.1%
Nippon Chemiphar Co., Ltd. 17,100 722,424 0.0%
# Nipro Corp. 630,500 9,074,736 0.2%
Nissui Pharmaceutical Co., Ltd. 80,300 1,049,794 0.0%
# Ohki Healthcare Holdings Co., Ltd. 6,600 103,706 0.0%
Paramount Bed Holdings Co., Ltd. 119,500 5,945,734 0.1%
Rion Co., Ltd. 60,200 1,372,807 0.0%
Sawai Pharmaceutical Co., Ltd. 282,700 12,217,051 0.3%
# Seed Co., Ltd. 35,400 2,373,358 0.1%
Seikagaku Corp. 150,200 2,482,768 0.1%
#* Shin Nippon Biomedical Laboratories, Ltd. 154,200 770,594 0.0%
Ship Healthcare Holdings, Inc. 303,400 10,534,977 0.2%
Shofu, Inc. 63,800 843,989 0.0%
Software Service, Inc. 18,000 1,259,071 0.0%
Solasto Corp. 114,800 3,038,382 0.1%
St-Care Holding Corp. 82,800 589,686 0.0%
# Techno Medica Co., Ltd. 28,800 549,672 0.0%
# Toho Holdings Co., Ltd. 349,200 8,522,162 0.2%
Tokai Corp. 149,300 3,362,590 0.1%
Torii Pharmaceutical Co., Ltd. 102,700 2,797,483 0.1%
# Towa Pharmaceutical Co., Ltd. 60,700 3,862,307 0.1%
# Tsukui Corp. 373,000 2,944,286 0.1%
Uchiyama Holdings Co., Ltd. 26,400 156,984 0.0%
UNIMAT Retirement Community Co., Ltd. 19,100 277,328 0.0%
# Value HR Co., Ltd. 20,500 362,994 0.0%
Vital KSK Holdings, Inc. 306,000 2,999,046 0.1%
# Wakamoto Pharmaceutical Co., Ltd. 107,000 284,808 0.0%
WIN-Partners Co., Ltd. 113,000 1,513,385 0.0%
ZERIA Pharmaceutical Co., Ltd. 199,699 4,096,169 0.1%
------------ ---
Total Health Care 218,331,387 4.9%
------------ ---
Industrials -- (27.2%)
A&A Material Corp. 26,000 308,579 0.0%
Abist Co., Ltd. 20,200 880,012 0.0%
ACKG, Ltd. 1,900 31,554 0.0%
Advan Co., Ltd. 146,800 1,339,930 0.0%
# Advanex, Inc. 22,099 483,962 0.0%
Aeon Delight Co., Ltd. 147,600 5,163,922 0.1%
Aica Kogyo Co., Ltd. 244,900 9,208,114 0.2%
# Aichi Corp. 235,300 1,673,621 0.0%
Aida Engineering, Ltd. 371,400 4,326,692 0.1%
Airtech Japan, Ltd. 20,400 165,911 0.0%
AIT Corp. 66,800 730,095 0.0%
# Ajis Co., Ltd. 30,300 869,533 0.0%
# Alconix Corp. 156,900 2,803,137 0.1%
Alinco, Inc. 90,500 901,241 0.0%
Alps Logistics Co., Ltd. 115,100 950,765 0.0%
Altech Co., Ltd. 10,900 35,557 0.0%
Altech Corp. 104,700 2,481,380 0.1%
Anest Iwata Corp. 223,900 2,382,842 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
Industrials -- (Continued)
#* Arrk Corp. 466,800 $ 532,231 0.0%
Asahi Diamond Industrial Co., Ltd. 377,800 3,618,881 0.1%
# Asahi Kogyosha Co., Ltd. 30,100 991,042 0.0%
Asanuma Corp. 465,000 1,705,117 0.0%
# Asukanet Co., Ltd. 66,700 951,167 0.0%
Asunaro Aoki Construction Co., Ltd. 138,400 1,334,204 0.0%
Bando Chemical Industries, Ltd. 246,400 2,957,132 0.1%
BayCurrent Consulting, Inc. 75,600 2,687,478 0.1%
Bell System24 Holdings, Inc. 228,400 3,657,754 0.1%
# Benefit One, Inc. 185,700 4,342,435 0.1%
# Br Holdings Corp. 164,900 625,614 0.0%
Bunka Shutter Co., Ltd. 400,400 3,979,583 0.1%
Canare Electric Co., Ltd. 22,700 492,755 0.0%
# Career Co., Ltd. 16,400 500,112 0.0%
Career Design Center Co., Ltd. 34,700 625,063 0.0%
Central Glass Co., Ltd. 242,800 5,752,604 0.1%
Central Security Patrols Co., Ltd. 46,300 1,662,927 0.0%
# Chilled & Frozen Logistics Holdings Co., Ltd. 83,200 1,145,976 0.0%
# Chiyoda Corp. 753,000 7,731,640 0.2%
Chiyoda Integre Co., Ltd. 83,500 1,917,920 0.1%
Chodai Co., Ltd. 3,900 26,981 0.0%
Chudenko Corp. 207,700 5,775,587 0.1%
Chugai Ro Co., Ltd. 43,800 1,176,833 0.0%
Chuo Warehouse Co., Ltd. 4,400 45,207 0.0%
CKD Corp. 362,900 7,609,217 0.2%
CMC Corp. 6,800 177,737 0.0%
Comany, Inc. 4,700 63,534 0.0%
Cosel Co., Ltd. 131,400 1,767,758 0.1%
# Creek & River Co., Ltd. 72,700 781,739 0.0%
CTI Engineering Co., Ltd. 83,400 1,115,379 0.0%
# CTS Co., Ltd. 160,400 1,121,908 0.0%
Dai-Dan Co., Ltd. 110,000 2,661,631 0.1%
Dai-Ichi Cutter Kogyo K.K. 11,100 234,897 0.0%
# Daido Kogyo Co., Ltd. 53,000 726,401 0.0%
# Daihatsu Diesel Manufacturing Co., Ltd. 114,000 929,529 0.0%
Daihen Corp. 654,000 5,073,009 0.1%
Daiho Corp. 615,000 3,742,077 0.1%
Daiichi Jitsugyo Co., Ltd. 62,300 1,903,918 0.1%
Daiichi Kensetsu Corp. 20,300 329,973 0.0%
Daiki Axis Co., Ltd. 44,300 609,549 0.0%
* Daikokuya Holdings Co., Ltd. 117,200 62,999 0.0%
Daiohs Corp. 9,100 113,733 0.0%
Daiseki Co., Ltd. 239,363 7,452,783 0.2%
# Daiseki Eco. Solution Co., Ltd. 43,659 429,786 0.0%
Daisue Construction Co., Ltd. 53,200 504,527 0.0%
Daiwa Industries, Ltd. 208,900 2,283,143 0.1%
Denyo Co., Ltd. 118,700 2,075,179 0.1%
DMG Mori Co., Ltd. 403,500 7,539,246 0.2%
DMW Corp. 4,800 101,306 0.0%
Duskin Co., Ltd. 264,500 6,668,017 0.2%
Ebara Jitsugyo Co., Ltd. 42,700 924,572 0.0%
# EF-ON, Inc. 80,900 1,112,428 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Eidai Co., Ltd. 152,000 $ 757,981 0.0%
en-japan, Inc. 114,300 5,343,301 0.1%
#* EnBio Holdings, Inc. 20,900 356,271 0.0%
Endo Lighting Corp. 71,400 668,101 0.0%
#* Enshu, Ltd. 301,000 423,397 0.0%
EPCO Co., Ltd. 29,500 364,725 0.0%
ERI Holdings Co., Ltd. 1,500 15,858 0.0%
#* Escrow Agent Japan Co., Ltd. 149,600 586,106 0.0%
# F&M Co., Ltd. 40,500 428,642 0.0%
#* FDK Corp. 589,000 1,107,137 0.0%
# Freund Corp. 75,300 766,392 0.0%
Fudo Tetra Corp. 1,193,300 2,035,960 0.1%
# Fuji Corp. 433,900 7,787,361 0.2%
Fuji Die Co., Ltd. 59,400 538,136 0.0%
Fujikura, Ltd. 842,400 5,756,153 0.1%
Fujimak Corp. 6,300 138,606 0.0%
# Fujisash Co., Ltd. 620,800 560,792 0.0%
Fujitec Co., Ltd. 412,900 5,734,074 0.1%
Fukuda Corp. 77,200 4,841,626 0.1%
Fukushima Industries Corp. 81,300 3,769,902 0.1%
Fukuvi Chemical Industry Co., Ltd. 10,600 73,966 0.0%
Fukuyama Transporting Co., Ltd. 195,280 8,148,709 0.2%
# FULLCAST Holdings Co., Ltd. 135,300 2,924,638 0.1%
Funai Soken Holdings, Inc. 238,690 5,587,225 0.1%
Furukawa Co., Ltd. 228,600 4,598,158 0.1%
Furusato Industries, Ltd. 65,100 1,095,159 0.0%
Futaba Corp. 242,100 5,016,792 0.1%
Gecoss Corp. 96,400 969,184 0.0%
# Giken, Ltd. 87,600 2,033,459 0.1%
Glory, Ltd. 193,500 6,653,732 0.2%
GS Yuasa Corp. 2,274,000 12,240,868 0.3%
Hamakyorex Co., Ltd. 110,000 3,834,224 0.1%
Hanwa Co., Ltd. 244,200 10,669,600 0.3%
Hashimoto Sogyo Holdings Co., Ltd. 2,000 32,904 0.0%
Hazama Ando Corp. 1,189,100 9,554,306 0.2%
# Helios Techno Holdings Co., Ltd. 33,800 282,556 0.0%
Hibiya Engineering, Ltd. 144,700 2,808,718 0.1%
Hirakawa Hewtech Corp. 75,600 1,014,807 0.0%
# Hirano Tecseed Co., Ltd. 75,900 1,603,260 0.0%
# Hirata Corp. 56,200 5,306,128 0.1%
Hisaka Works, Ltd. 157,600 1,676,645 0.0%
Hitachi Zosen Corp. 1,232,179 6,689,016 0.2%
# Hito Communications, Inc. 50,000 944,589 0.0%
Hoden Seimitsu Kako Kenkyusho Co., Ltd. 30,400 491,579 0.0%
Hokuetsu Industries Co., Ltd. 139,900 1,514,601 0.0%
# Hokuriku Electrical Construction Co., Ltd. 73,600 815,505 0.0%
Hosokawa Micron Corp. 49,100 3,260,942 0.1%
# Howa Machinery, Ltd. 83,400 840,323 0.0%
# HyAS&Co, Inc. 30,100 150,602 0.0%
Ichikawa Co., Ltd. 5,000 16,953 0.0%
# Ichiken Co., Ltd. 33,900 756,253 0.0%
Ichinen Holdings Co., Ltd. 131,100 1,763,169 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
# Idec Corp. 203,100 $ 4,661,059 0.1%
Ihara Science Corp. 47,400 1,246,613 0.0%
Iino Kaiun Kaisha, Ltd. 664,400 3,305,638 0.1%
Inaba Denki Sangyo Co., Ltd. 166,600 7,145,566 0.2%
# Inaba Seisakusho Co., Ltd. 64,400 834,914 0.0%
Inabata & Co., Ltd. 283,200 4,346,983 0.1%
# Insource Co., Ltd. 33,200 672,452 0.0%
Interworks, Inc. 8,400 78,555 0.0%
# Inui Global Logistics Co., Ltd. 147,680 1,130,439 0.0%
IR Japan Holdings, Ltd. 27,100 610,925 0.0%
Iseki & Co., Ltd. 126,900 2,447,078 0.1%
# Ishii Iron Works Co., Ltd. 11,000 197,660 0.0%
# Isolite Insulating Products Co., Ltd. 67,700 550,342 0.0%
Itoki Corp. 257,700 1,726,813 0.0%
Iwaki Co., Ltd. 18,800 634,905 0.0%
# Iwasaki Electric Co., Ltd. 37,200 567,755 0.0%
Iwatani Corp. 248,300 9,166,498 0.2%
JAC Recruitment Co., Ltd. 102,800 2,086,679 0.1%
# Jalux, Inc. 45,800 1,315,516 0.0%
# Jamco Corp. 68,400 1,573,903 0.0%
Japan Asia Group, Ltd. 138,100 691,966 0.0%
Japan Foundation Engineering Co., Ltd. 165,900 611,207 0.0%
Japan Pulp & Paper Co., Ltd. 66,600 2,767,497 0.1%
Japan Steel Works, Ltd. (The) 410,300 13,439,428 0.3%
Japan Transcity Corp. 242,000 1,120,995 0.0%
JK Holdings Co., Ltd. 104,640 898,660 0.0%
Juki Corp. 204,500 2,963,594 0.1%
Kamei Corp. 139,700 1,938,108 0.1%
Kanaden Corp. 124,200 1,534,580 0.0%
Kanagawa Chuo Kotsu Co., Ltd. 42,000 1,419,535 0.0%
Kanamoto Co., Ltd. 205,100 7,008,292 0.2%
Kandenko Co., Ltd. 611,700 7,244,378 0.2%
Kanematsu Corp. 529,825 8,092,319 0.2%
# Katakura Industries Co., Ltd. 161,500 2,050,109 0.1%
Kato Works Co., Ltd. 62,800 1,470,281 0.0%
KAWADA TECHNOLOGIES, Inc. 48,400 2,805,905 0.1%
Kawagishi Bridge Works Co., Ltd. 11,200 466,714 0.0%
Kawanishi Warehouse Co., Ltd. 1,700 31,744 0.0%
Kawasaki Kinkai Kisen Kaisha, Ltd. 9,599 348,132 0.0%
#* Kawasaki Kisen Kaisha, Ltd. 531,800 12,297,994 0.3%
Keihin Co., Ltd. 24,900 376,415 0.0%
KFC, Ltd. 5,000 98,650 0.0%
#* KI Holdings Co., Ltd. 109,000 515,047 0.0%
Kimura Chemical Plants Co., Ltd. 115,200 521,860 0.0%
Kimura Unity Co., Ltd. 8,800 93,098 0.0%
King Jim Co., Ltd. 97,300 955,795 0.0%
#* Kinki Sharyo Co., Ltd. (The) 24,999 585,400 0.0%
Kintetsu World Express, Inc. 257,900 4,798,087 0.1%
Kitagawa Iron Works Co., Ltd. 57,300 1,460,416 0.0%
Kitano Construction Corp. 305,000 1,110,490 0.0%
Kito Corp. 132,600 2,551,036 0.1%
Kitz Corp. 623,900 5,216,181 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Kobayashi Metals, Ltd. 7,900 $ 25,541 0.0%
#* Kobe Electric Railway Co., Ltd. 25,899 942,366 0.0%
# Kobelco Eco-Solutions Co., Ltd. 21,399 375,465 0.0%
Koike Sanso Kogyo Co., Ltd. 14,500 398,384 0.0%
# Kokusai Co., Ltd. 51,600 461,396 0.0%
Kokuyo Co., Ltd. 558,125 10,080,496 0.2%
KOMAIHALTEC, Inc. 25,700 583,117 0.0%
Komatsu Wall Industry Co., Ltd. 49,100 1,071,127 0.0%
Komori Corp. 388,800 4,944,622 0.1%
Kondotec, Inc. 131,000 1,107,711 0.0%
Konoike Transport Co., Ltd. 174,100 3,044,156 0.1%
# Kosaido Co., Ltd. 231,200 1,104,771 0.0%
KRS Corp. 41,500 1,057,849 0.0%
Kumagai Gumi Co., Ltd. 244,600 8,323,347 0.2%
Kyodo Printing Co., Ltd. 50,600 1,547,180 0.0%
# Kyokuto Boeki Kaisha, Ltd. 205,000 931,172 0.0%
Kyokuto Kaihatsu Kogyo Co., Ltd. 207,000 3,273,072 0.1%
Kyoritsu Printing Co., Ltd. 195,100 660,682 0.0%
Kyowa Exeo Corp. 120,300 3,128,417 0.1%
# Like Co., Ltd. 63,100 1,126,224 0.0%
# Link And Motivation, Inc. 230,400 2,335,723 0.1%
Lonseal Corp. 13,900 292,162 0.0%
Luckland Co., Ltd. 24,100 571,816 0.0%
Maeda Corp. 885,600 10,929,941 0.3%
Maeda Kosen Co., Ltd. 134,400 2,040,931 0.1%
Maeda Road Construction Co., Ltd. 420,000 9,062,555 0.2%
Maezawa Industries, Inc. 25,300 105,528 0.0%
# Maezawa Kasei Industries Co., Ltd. 79,400 873,962 0.0%
Maezawa Kyuso Industries Co., Ltd. 65,700 1,152,319 0.0%
Makino Milling Machine Co., Ltd. 692,000 6,530,636 0.2%
Marubeni Construction Material Lease Co., Ltd. 50,000 107,224 0.0%
Marufuji Sheet Piling Co., Ltd. 11,800 313,219 0.0%
Maruka Machinery Co., Ltd. 40,600 766,939 0.0%
# Marumae Co., Ltd. 40,300 624,356 0.0%
# Maruwa Unyu Kikan Co., Ltd. 75,400 2,195,103 0.1%
Maruyama Manufacturing Co., Inc. 27,900 484,664 0.0%
Maruzen Co., Ltd. 64,000 1,509,128 0.0%
Maruzen Showa Unyu Co., Ltd. 363,000 1,715,950 0.0%
Matching Service Japan Co., Ltd. 4,200 253,068 0.0%
Matsuda Sangyo Co., Ltd. 102,182 1,720,253 0.0%
Matsui Construction Co., Ltd. 135,300 1,074,483 0.0%
Max Co., Ltd. 206,800 2,689,593 0.1%
Meidensha Corp. 1,318,050 5,186,810 0.1%
Meiji Electric Industries Co., Ltd. 48,200 791,592 0.0%
Meiji Shipping Co., Ltd. 111,000 434,980 0.0%
Meisei Industrial Co., Ltd. 251,000 1,874,766 0.1%
Meitec Corp. 167,100 9,162,503 0.2%
Meiwa Corp. 173,800 839,517 0.0%
# Mesco, Inc. 29,800 363,107 0.0%
METAWATER Co., Ltd. 57,700 1,698,997 0.0%
# Mie Kotsu Group Holdings, Inc. 336,600 1,600,030 0.0%
Mirait Holdings Corp. 386,685 6,132,594 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Mitani Corp. 73,300 $ 3,479,274 0.1%
Mitani Sangyo Co., Ltd. 35,600 148,296 0.0%
# Mitsubishi Kakoki Kaisha, Ltd. 37,900 789,169 0.0%
Mitsubishi Logisnext Co., Ltd. 212,200 1,828,616 0.1%
# Mitsubishi Logistics Corp. 284,100 6,552,796 0.2%
Mitsubishi Pencil Co., Ltd. 251,300 4,993,947 0.1%
Mitsuboshi Belting, Ltd. 319,000 3,638,632 0.1%
* Mitsui E&S Holdings Co., Ltd. 529,100 9,067,502 0.2%
Mitsui Matsushima Co., Ltd. 72,100 1,032,663 0.0%
* Mitsui-Soko Holdings Co., Ltd. 735,000 2,382,339 0.1%
# Mitsumura Printing Co., Ltd. 9,300 209,250 0.0%
Miyaji Engineering Group, Inc. 38,518 752,214 0.0%
# Mori-Gumi Co., Ltd. 69,500 382,203 0.0%
Morita Holdings Corp. 201,300 3,947,807 0.1%
# Musashi Co., Ltd. 5,000 103,163 0.0%
NAC Co., Ltd. 77,300 644,699 0.0%
Nachi-Fujikoshi Corp. 1,262,000 6,543,480 0.2%
# Nadex Co., Ltd. 36,300 407,815 0.0%
Nagase & Co., Ltd. 623,200 10,642,476 0.3%
Naigai Trans Line, Ltd. 39,800 665,773 0.0%
Nakabayashi Co., Ltd. 126,600 731,526 0.0%
Nakakita Seisakusho Co., Ltd. 3,700 124,976 0.0%
Nakamoto Packs Co., Ltd. 32,000 549,637 0.0%
#* Nakamura Choukou Co., Ltd. 25,000 1,226,419 0.0%
Nakanishi Manufacturing Co., Ltd. 5,700 78,257 0.0%
Nakano Corp. 98,800 562,092 0.0%
# Namura Shipbuilding Co., Ltd. 377,028 2,337,107 0.1%
Narasaki Sangyo Co., Ltd. 127,000 493,017 0.0%
NDS Co., Ltd. 33,600 1,336,855 0.0%
Nichias Corp. 800,000 10,133,152 0.2%
Nichiban Co., Ltd. 78,100 2,495,742 0.1%
Nichiden Corp. 89,600 1,777,428 0.1%
Nichiha Corp. 189,280 7,504,572 0.2%
Nichireki Co., Ltd. 162,100 1,779,480 0.1%
# Nihon Dengi Co., Ltd. 29,100 722,500 0.0%
Nihon Flush Co., Ltd. 61,200 1,510,327 0.0%
Nikkato Corp. 54,700 521,267 0.0%
Nikko Co., Ltd. 36,700 822,557 0.0%
Nikkon Holdings Co., Ltd. 392,500 10,443,629 0.2%
Nippi, Inc. 11,500 473,599 0.0%
Nippo Corp. 173,400 3,976,912 0.1%
Nippon Air Conditioning Services Co., Ltd. 188,100 1,332,570 0.0%
Nippon Aqua Co., Ltd. 108,500 436,347 0.0%
Nippon Concept Corp. 32,900 443,741 0.0%
Nippon Densetsu Kogyo Co., Ltd. 221,900 4,554,418 0.1%
Nippon Dry-Chemical Co., Ltd. 900 20,433 0.0%
# Nippon Filcon Co., Ltd. 80,500 462,744 0.0%
Nippon Hume Corp. 140,000 1,066,973 0.0%
Nippon Kanzai Co., Ltd. 106,900 2,036,489 0.1%
Nippon Koei Co., Ltd. 87,900 2,576,809 0.1%
Nippon Parking Development Co., Ltd. 1,350,900 2,265,867 0.1%
Nippon Rietec Co., Ltd. 8,300 108,217 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
Nippon Road Co., Ltd. (The) 46,100 $ 2,299,023 0.1%
# Nippon Seisen Co., Ltd. 21,800 953,966 0.0%
#* Nippon Sharyo, Ltd. 452,000 1,216,332 0.0%
#* Nippon Sheet Glass Co., Ltd. 632,100 5,160,123 0.1%
Nippon Steel & Sumikin Bussan Corp. 97,360 5,340,500 0.1%
Nippon Thompson Co., Ltd. 398,800 2,936,403 0.1%
Nippon Tungsten Co., Ltd. 6,699 167,658 0.0%
Nishi-Nippon Railroad Co., Ltd. 441,200 12,251,255 0.3%
Nishimatsu Construction Co., Ltd. 358,800 9,863,047 0.2%
Nishio Rent All Co., Ltd. 121,200 3,598,436 0.1%
# Nissei ASB Machine Co., Ltd. 52,300 3,235,446 0.1%
Nissei Corp. 38,900 468,549 0.0%
Nissei Plastic Industrial Co., Ltd. 175,800 2,268,949 0.1%
Nisshinbo Holdings, Inc. 980,380 13,815,979 0.3%
Nissin Corp. 103,900 2,693,203 0.1%
Nissin Electric Co., Ltd. 404,400 4,054,556 0.1%
Nitta Corp. 134,200 5,101,940 0.1%
Nitto Boseki Co., Ltd. 197,900 4,274,341 0.1%
Nitto Kogyo Corp. 190,100 3,263,334 0.1%
Nitto Kohki Co., Ltd. 70,200 1,845,059 0.1%
Nitto Seiko Co., Ltd. 207,300 1,485,738 0.0%
Nittoc Construction Co., Ltd. 173,600 998,116 0.0%
Nittoku Engineering Co., Ltd. 97,000 3,350,608 0.1%
NJS Co., Ltd. 39,300 581,600 0.0%
# nms Holdings Co. 69,000 522,023 0.0%
Noda Corp. 145,800 1,576,865 0.0%
Nomura Co., Ltd. 271,700 5,458,471 0.1%
Noritake Co., Ltd. 75,800 3,234,202 0.1%
Noritz Corp. 195,000 3,553,013 0.1%
NS Tool Co., Ltd. 48,000 1,307,341 0.0%
NS United Kaiun Kaisha, Ltd. 70,100 1,455,056 0.0%
NTN Corp. 996,900 4,384,828 0.1%
Obara Group, Inc. 79,200 4,679,659 0.1%
Ochi Holdings Co., Ltd. 4,700 63,390 0.0%
Odelic Co., Ltd. 24,700 1,003,883 0.0%
# Ohba Co., Ltd. 88,400 513,756 0.0%
Ohmoto Gumi Co., Ltd. 4,100 196,422 0.0%
Oiles Corp. 143,150 3,093,589 0.1%
Okabe Co., Ltd. 248,200 2,357,945 0.1%
# Okada Aiyon Corp. 32,200 458,425 0.0%
# Okamoto Machine Tool Works, Ltd. 25,399 837,521 0.0%
Okamura Corp. 485,000 6,548,291 0.2%
# OKK Corp. 49,500 512,208 0.0%
OKUMA Corp. 169,800 9,699,098 0.2%
Okumura Corp. 213,480 8,837,825 0.2%
Onoken Co., Ltd. 108,500 1,904,684 0.1%
Organo Corp. 48,300 1,508,810 0.0%
Origin Electric Co., Ltd. 34,600 564,666 0.0%
OSG Corp. 450,600 9,973,701 0.2%
OSJB Holdings Corp. 873,300 2,558,964 0.1%
Outsourcing, Inc. 542,500 9,095,232 0.2%
Oyo Corp. 147,700 2,118,033 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
# Paraca, Inc. 34,500 $ 769,190 0.0%
Parker Corp. 34,000 187,213 0.0%
#* Pasco Corp. 137,000 404,459 0.0%
# Pasona Group, Inc. 115,100 1,910,945 0.1%
# Pegasus Sewing Machine Manufacturing Co., Ltd. 140,500 983,990 0.0%
Penta-Ocean Construction Co., Ltd. 1,921,500 15,142,998 0.4%
#* Phil Co., Inc. 8,300 460,161 0.0%
Pilot Corp. 221,600 12,097,686 0.3%
Prestige International, Inc. 318,900 3,663,378 0.1%
# Pronexus, Inc. 125,000 1,615,758 0.0%
PS Mitsubishi Construction Co., Ltd. 216,100 1,424,479 0.0%
Punch Industry Co., Ltd. 116,000 1,250,343 0.0%
Quick Co., Ltd. 67,700 1,111,012 0.0%
Raito Kogyo Co., Ltd. 333,100 3,619,563 0.1%
Rasa Corp. 56,800 477,381 0.0%
#* Refinverse, Inc. 6,800 176,120 0.0%
Relia, Inc. 256,400 3,259,784 0.1%
Rheon Automatic Machinery Co., Ltd. 114,800 2,112,865 0.1%
Rix Corp. 16,300 308,491 0.0%
Ryobi, Ltd. 183,640 4,691,729 0.1%
# S LINE Co., Ltd. 22,500 253,424 0.0%
# S-Pool, Inc. 29,800 398,971 0.0%
# Sakai Heavy Industries, Ltd. 26,800 1,135,936 0.0%
Sakai Moving Service Co., Ltd. 71,600 3,869,297 0.1%
* Sanix, Inc. 173,800 429,609 0.0%
Sanki Engineering Co., Ltd. 298,200 3,319,565 0.1%
Sanko Gosei, Ltd. 113,400 575,913 0.0%
# Sanko Metal Industrial Co., Ltd. 14,300 462,443 0.0%
Sankyo Tateyama, Inc. 175,200 2,599,165 0.1%
Sankyu, Inc. 27,900 1,355,980 0.0%
# Sanoyas Holdings Corp. 159,500 385,942 0.0%
Sansei Technologies, Inc. 66,000 850,333 0.0%
# Sansha Electric Manufacturing Co., Ltd. 68,900 895,780 0.0%
Sanyo Denki Co., Ltd. 59,700 5,151,877 0.1%
Sanyo Engineering & Construction, Inc. 72,700 526,229 0.0%
Sanyo Industries, Ltd. 9,900 189,831 0.0%
Sanyo Trading Co., Ltd. 81,700 1,604,877 0.0%
Sata Construction Co., Ltd. 88,499 389,069 0.0%
Sato Holdings Corp. 161,100 4,519,708 0.1%
Sato Shoji Corp. 88,200 992,583 0.0%
Sawafuji Electric Co., Ltd. 6,200 114,154 0.0%
SBS Holdings, Inc. 134,300 1,671,694 0.0%
SEC Carbon, Ltd. 11,700 706,023 0.0%
# Secom Joshinetsu Co., Ltd. 32,000 1,077,517 0.0%
Seibu Electric & Machinery Co., Ltd. 2,800 30,278 0.0%
Seibu Electric Industry Co., Ltd. 24,400 639,010 0.0%
# Seika Corp. 68,600 1,736,712 0.1%
Seikitokyu Kogyo Co., Ltd. 203,400 1,307,590 0.0%
Sekisui Jushi Corp. 204,200 4,446,259 0.1%
Senko Group Holdings Co., Ltd. 745,500 5,729,011 0.1%
# Senshu Electric Co., Ltd. 53,700 1,588,847 0.0%
Shibusawa Warehouse Co., Ltd. (The) 62,300 1,055,959 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Shibuya Corp. 108,000 $3,682,654 0.1%
Shima Seiki Manufacturing, Ltd. 37,400 2,370,838 0.1%
Shin Nippon Air Technologies Co., Ltd. 90,680 1,342,342 0.0%
# Shin-Keisei Electric Railway Co., Ltd. 39,999 820,945 0.0%
# Shinmaywa Industries, Ltd. 522,700 5,858,154 0.1%
Shinnihon Corp. 185,000 2,052,194 0.1%
Shinsho Corp. 35,500 1,135,947 0.0%
Shinwa Co., Ltd. 61,500 1,441,347 0.0%
* Shoko Co., Ltd. 444,000 452,376 0.0%
Showa Aircraft Industry Co., Ltd. 48,937 584,296 0.0%
SIGMAXYZ, Inc. 65,000 1,120,402 0.0%
# Sinfonia Technology Co., Ltd. 806,000 2,844,681 0.1%
Sinko Industries, Ltd. 123,800 2,006,376 0.1%
Sintokogio, Ltd. 301,000 3,206,909 0.1%
Soda Nikka Co., Ltd. 115,500 771,961 0.0%
# Sodick Co., Ltd. 304,000 3,741,602 0.1%
Space Co., Ltd. 94,562 1,293,821 0.0%
# Srg Takamiya Co., Ltd. 127,200 784,618 0.0%
# Star Micronics Co., Ltd. 214,600 3,839,569 0.1%
# Subaru Enterprise Co., Ltd. 8,500 545,491 0.0%
Sugimoto & Co., Ltd. 64,800 1,227,396 0.0%
# Sumiseki Holdings, Inc. 379,600 576,352 0.0%
Sumitomo Densetsu Co., Ltd. 120,900 2,565,440 0.1%
Sumitomo Mitsui Construction Co., Ltd. 1,144,540 7,010,963 0.2%
Sumitomo Precision Products Co., Ltd. 221,000 772,124 0.0%
Sumitomo Warehouse Co., Ltd. (The) 801,000 5,480,068 0.1%
SWCC Showa Holdings Co., Ltd. 156,200 1,345,171 0.0%
# Tacmina Corp. 14,200 218,794 0.0%
Tadano, Ltd. 534,100 8,219,283 0.2%
Taihei Dengyo Kaisha, Ltd. 111,500 2,879,466 0.1%
Taiheiyo Kouhatsu, Inc. 44,200 420,412 0.0%
Taikisha, Ltd. 165,400 5,767,991 0.1%
Taisei Oncho Co., Ltd. 11,300 220,641 0.0%
Takadakiko Co., Ltd. 7,500 239,571 0.0%
* Takagi Seiko Corp. 10,800 340,888 0.0%
Takamatsu Construction Group Co., Ltd. 90,700 2,447,458 0.1%
Takamatsu Machinery Co., Ltd. 21,600 227,060 0.0%
Takano Co., Ltd. 57,200 499,871 0.0%
# Takaoka Toko Co., Ltd. 76,820 1,308,672 0.0%
# Takara Printing Co., Ltd. 52,755 976,432 0.0%
Takara Standard Co., Ltd. 252,000 4,282,399 0.1%
Takasago Thermal Engineering Co., Ltd. 326,000 6,180,463 0.2%
Takashima & Co., Ltd. 26,600 532,486 0.0%
Takeei Corp. 148,100 1,807,323 0.1%
Takeuchi Manufacturing Co., Ltd. 245,900 5,616,140 0.1%
Takigami Steel Construction Co., Ltd. (The) 5,300 275,317 0.0%
# Takisawa Machine Tool Co., Ltd. 40,300 710,633 0.0%
Takuma Co., Ltd. 501,700 5,497,001 0.1%
# Tanabe Engineering Corp. 39,500 359,215 0.0%
Tanabe Management Consulting Co., Ltd. 5,100 103,431 0.0%
Tanseisha Co., Ltd. 223,349 2,646,454 0.1%
Tatsuta Electric Wire and Cable Co., Ltd. 290,800 1,795,414 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
TECHNO ASSOCIE Co., Ltd. 56,800 $ 640,902 0.0%
Techno Ryowa, Ltd. 71,390 560,113 0.0%
# Techno Smart Corp. 51,800 559,182 0.0%
TechnoPro Holdings, Inc. 241,800 14,068,468 0.3%
Teikoku Electric Manufacturing Co., Ltd. 127,200 1,893,514 0.1%
Teikoku Sen-I Co., Ltd. 125,100 2,606,314 0.1%
Tekken Corp. 76,400 2,290,471 0.1%
# Tenox Corp. 22,500 202,581 0.0%
Teraoka Seisakusho Co., Ltd. 78,800 507,095 0.0%
Terasaki Electric Co., Ltd. 23,500 322,229 0.0%
Toa Corp. 94,600 2,411,889 0.1%
TOA ROAD Corp. 26,600 949,803 0.0%
# Toba, Inc. 7,700 211,513 0.0%
# Tobishima Corp. 1,233,500 1,977,957 0.1%
Tocalo Co., Ltd. 382,000 4,740,104 0.1%
Toda Corp. 1,073,000 8,847,610 0.2%
Toenec Corp. 53,200 1,661,888 0.0%
# Togami Electric Manufacturing Co., Ltd. 17,800 366,660 0.0%
TOKAI Holdings Corp. 579,700 5,872,280 0.1%
Tokai Lease Co., Ltd. 19,300 377,045 0.0%
Tokyo Energy & Systems, Inc. 148,800 1,755,631 0.1%
# Tokyo Keiki, Inc. 84,199 910,989 0.0%
Tokyo Sangyo Co., Ltd. 125,800 641,503 0.0%
Tokyu Construction Co., Ltd. 546,300 5,834,311 0.1%
Toli Corp. 320,900 1,141,844 0.0%
Tomoe Corp. 176,000 969,012 0.0%
# Tomoe Engineering Co., Ltd. 48,900 950,925 0.0%
Tonami Holdings Co., Ltd. 39,700 2,496,141 0.1%
Toppan Forms Co., Ltd. 313,900 3,506,321 0.1%
Torishima Pump Manufacturing Co., Ltd. 128,600 1,204,748 0.0%
Toshiba Machine Co., Ltd. 740,000 4,901,751 0.1%
Toshiba Plant Systems & Services Corp. 291,850 6,090,579 0.1%
# Tosho Printing Co., Ltd. 151,199 1,346,732 0.0%
# Totech Corp. 48,400 1,161,340 0.0%
Totetsu Kogyo Co., Ltd. 161,700 4,829,845 0.1%
Totoku Electric Co., Ltd. 18,100 515,902 0.0%
Toyo Construction Co., Ltd. 531,300 2,540,873 0.1%
# Toyo Denki Seizo K.K. 52,100 876,314 0.0%
#* Toyo Engineering Corp. 200,679 2,087,814 0.1%
Toyo Logistics Co., Ltd. 69,600 234,675 0.0%
Toyo Machinery & Metal Co., Ltd. 107,700 784,684 0.0%
Toyo Tanso Co., Ltd. 77,400 2,276,111 0.1%
# Toyo Wharf & Warehouse Co., Ltd. 41,300 649,293 0.0%
Trancom Co., Ltd. 51,600 3,907,056 0.1%
Trinity Industrial Corp. 36,000 330,887 0.0%
Trusco Nakayama Corp. 335,300 8,802,802 0.2%
Trust Tech, Inc. 55,500 1,769,489 0.1%
Tsubaki Nakashima Co., Ltd. 279,900 6,590,920 0.2%
Tsubakimoto Chain Co. 818,700 7,094,317 0.2%
Tsubakimoto Kogyo Co., Ltd. 27,800 870,482 0.0%
#* Tsudakoma Corp. 320,000 702,159 0.0%
Tsugami Corp. 375,000 4,514,153 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- -------------- ---------------
Industrials -- (Continued)
Tsukishima Kikai Co., Ltd. 185,600 $ 2,608,893 0.1%
Tsurumi Manufacturing Co., Ltd. 120,800 2,346,950 0.1%
TTK Co., Ltd. 81,000 466,353 0.0%
Uchida Yoko Co., Ltd. 59,400 1,656,034 0.0%
Ueki Corp. 34,800 839,322 0.0%
Union Tool Co. 56,400 1,972,783 0.1%
Ushio, Inc. 746,200 10,518,755 0.2%
* UT Group Co., Ltd. 170,100 4,675,010 0.1%
Utoc Corp. 102,200 439,372 0.0%
Wakachiku Construction Co., Ltd. 105,200 1,664,069 0.0%
Wakita & Co., Ltd. 269,200 2,844,362 0.1%
WDB Holdings Co., Ltd. 55,300 1,746,348 0.1%
Weathernews, Inc. 41,500 1,310,268 0.0%
# Will Group, Inc. 76,900 933,295 0.0%
World Holdings Co., Ltd. 48,200 1,744,342 0.1%
Yahagi Construction Co., Ltd. 175,600 1,336,933 0.0%
YAMABIKO Corp. 250,928 3,584,183 0.1%
YAMADA Consulting Group Co., Ltd. 68,900 1,946,767 0.1%
# Yamashin-Filter Corp. 222,200 2,425,208 0.1%
Yamato Corp. 104,900 712,588 0.0%
Yamaura Corp. 53,300 437,283 0.0%
Yamazen Corp. 381,800 3,858,947 0.1%
# Yasuda Logistics Corp. 113,600 1,034,281 0.0%
# Yokogawa Bridge Holdings Corp. 214,100 4,662,368 0.1%
Yondenko Corp. 28,060 683,036 0.0%
Yuasa Trading Co., Ltd. 108,500 3,467,991 0.1%
Yuken Kogyo Co., Ltd. 21,900 602,997 0.0%
# Yumeshin Holdings Co., Ltd. 290,100 3,127,418 0.1%
Yurtec Corp. 267,200 2,335,779 0.1%
Zaoh Co., Ltd. 18,100 281,710 0.0%
Zenitaka Corp. (The) 19,000 944,318 0.0%
Zuiko Corp. 26,600 916,348 0.0%
-------------- ----
Total Industrials 1,265,809,256 28.5%
-------------- ----
Information Technology -- (12.9%)
A&D Co., Ltd. 113,900 716,703 0.0%
#* Access Co., Ltd. 232,200 2,299,146 0.1%
# Ad-sol Nissin Corp. 38,100 460,328 0.0%
# Adtec Plasma Technology Co., Ltd. 35,800 607,960 0.0%
# Aeria, Inc. 82,600 1,143,056 0.0%
AGS Corp. 11,600 93,505 0.0%
Ai Holdings Corp. 253,600 6,767,816 0.2%
Aichi Tokei Denki Co., Ltd. 19,500 737,603 0.0%
Aiphone Co., Ltd. 71,900 1,202,692 0.0%
#* Akatsuki, Inc. 24,300 1,043,802 0.0%
#* Allied Telesis Holdings KK 407,700 651,233 0.0%
Alpha Systems, Inc. 49,760 1,032,416 0.0%
Amano Corp. 436,200 10,811,606 0.3%
AOI Electronic Co., Ltd. 30,900 1,197,463 0.0%
#* Apic Yamada Corp. 71,800 227,624 0.0%
Argo Graphics, Inc. 55,800 1,810,808 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Information Technology -- (Continued)
* Arisawa Manufacturing Co., Ltd. 200,900 $ 1,911,908 0.1%
ArtSpark Holdings, Inc. 44,300 393,780 0.0%
Asahi Net, Inc. 117,800 555,181 0.0%
# Ateam, Inc. 75,900 1,577,682 0.0%
* Atrae, Inc. 24,600 704,085 0.0%
# Aval Data Corp. 20,700 478,668 0.0%
Avant Corp. 8,200 65,854 0.0%
# Axell Corp. 44,900 348,849 0.0%
Azia Co., Ltd. 11,600 153,666 0.0%
#* Bengo4.com, Inc. 47,500 774,063 0.0%
#* BrainPad, Inc. 26,000 622,739 0.0%
# Broadband Tower, Inc. 292,600 494,021 0.0%
# Broadleaf Co., Ltd. 599,400 2,852,281 0.1%
Business Brain Showa-Ota, Inc. 4,400 101,849 0.0%
CAC Holdings Corp. 88,700 897,496 0.0%
Canon Electronics, Inc. 135,400 3,149,384 0.1%
Capcom Co., Ltd. 188,700 3,607,078 0.1%
Capital Asset Planning, Inc. 1,300 63,671 0.0%
CareerIndex, Inc. 4,500 108,218 0.0%
CCS, Inc. 10,800 446,051 0.0%
CDS Co., Ltd. 10,000 134,419 0.0%
Chino Corp. 42,700 633,430 0.0%
Citizen Watch Co., Ltd. 1,505,500 11,217,204 0.3%
CMK Corp. 373,100 3,008,488 0.1%
# COLOPL, Inc. 351,100 2,651,528 0.1%
Computer Engineering & Consulting, Ltd. 85,500 2,621,892 0.1%
Computer Institute of Japan, Ltd. 109,800 747,944 0.0%
# Comture Corp. 69,400 2,285,002 0.1%
CONEXIO Corp. 109,800 2,436,364 0.1%
# Core Corp. 41,400 559,162 0.0%
# Cresco, Ltd. 34,400 1,179,177 0.0%
# Cube System, Inc. 48,400 356,294 0.0%
#* Cyberstep, Inc. 27,000 596,476 0.0%
Cybozu, Inc. 151,500 759,144 0.0%
Dai-ichi Seiko Co., Ltd. 55,600 1,090,200 0.0%
# Daiko Denshi Tsushin, Ltd. 40,000 366,912 0.0%
Daishinku Corp. 47,299 563,790 0.0%
Daitron Co., Ltd. 58,400 1,111,662 0.0%
Daiwabo Holdings Co., Ltd. 121,000 5,489,591 0.1%
Denki Kogyo Co., Ltd. 73,500 2,221,261 0.1%
Densan System Co., Ltd. 38,600 736,072 0.0%
# Designone Japan, Inc. 44,700 565,470 0.0%
Dexerials Corp. 340,000 3,189,892 0.1%
# Digital Arts, Inc. 70,700 2,785,107 0.1%
# Digital Information Technologies Corp. 60,000 648,499 0.0%
# Dip Corp. 217,100 5,264,072 0.1%
DKK-Toa Corp. 10,800 136,098 0.0%
Double Standard, Inc. 14,000 434,047 0.0%
* Drecom Co., Ltd. 70,900 866,829 0.0%
DTS Corp. 133,300 4,831,065 0.1%
# E-Guardian, Inc. 62,700 1,918,399 0.1%
Eizo Corp. 113,500 5,305,866 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Information Technology -- (Continued)
Elecom Co., Ltd. 113,300 $ 2,539,680 0.1%
Elematec Corp. 54,371 1,211,672 0.0%
#* Enigmo, Inc. 73,800 905,533 0.0%
Enomoto Co., Ltd. 26,600 393,009 0.0%
# Enplas Corp. 64,400 1,852,314 0.1%
ESPEC Corp. 128,600 3,025,004 0.1%
Excel Co., Ltd. 44,000 1,127,395 0.0%
F@N Communications, Inc. 303,400 1,906,219 0.1%
# Faith, Inc. 51,610 534,012 0.0%
# Fenwal Controls of Japan, Ltd. 20,600 302,693 0.0%
Ferrotec Holdings Corp. 263,800 5,869,149 0.1%
#* FFRI, Inc. 25,800 936,787 0.0%
#* FIRSTLOGIC, Inc. 26,800 210,965 0.0%
# Fixstars Corp. 131,000 1,663,701 0.1%
#* Flight Holdings, Inc. 60,400 443,029 0.0%
Forval Corp. 52,300 422,497 0.0%
# FTGroup Co., Ltd. 74,000 651,994 0.0%
Fuji Soft, Inc. 156,200 6,049,842 0.1%
Fujitsu Frontech, Ltd. 77,900 1,150,693 0.0%
# Fukui Computer Holdings, Inc. 46,600 912,688 0.0%
#* Full Speed, Inc. 45,200 332,207 0.0%
Furuno Electric Co., Ltd. 169,800 1,393,696 0.0%
Future Corp. 167,100 1,923,878 0.1%
G Three Holdings Corp. 12,600 15,616 0.0%
# Geomatec Co., Ltd. 29,900 290,348 0.0%
# GL Sciences, Inc. 41,700 635,043 0.0%
# GMO Cloud K.K. 26,700 589,566 0.0%
# GMO internet, Inc. 482,300 8,837,764 0.2%
Gree, Inc. 750,300 4,145,642 0.1%
#* Gunosy, Inc. 80,500 1,190,790 0.0%
Gurunavi, Inc. 190,500 2,600,117 0.1%
Hagiwara Electric Holdings Co., Ltd. 41,000 1,139,450 0.0%
Hakuto Co., Ltd. 97,100 1,420,108 0.0%
# Hearts United Group Co., Ltd. 92,400 1,462,970 0.0%
# Hibino Corp. 27,500 407,495 0.0%
Hioki EE Corp. 63,300 2,414,749 0.1%
Hochiki Corp. 129,700 2,606,803 0.1%
# Hokuriku Electric Industry Co., Ltd. 48,200 652,121 0.0%
Honda Tsushin Kogyo Co., Ltd. 108,400 1,095,775 0.0%
Hosiden Corp. 400,600 4,776,040 0.1%
* Hotto Link, Inc. 48,200 304,022 0.0%
I-Net Corp. 74,090 1,134,053 0.0%
I-O Data Device, Inc. 47,600 492,037 0.0%
Ibiden Co., Ltd. 633,978 10,469,488 0.2%
# Icom, Inc. 74,000 1,853,260 0.1%
# Ikegami Tsushinki Co., Ltd. 385,000 599,578 0.0%
Ines Corp. 170,000 1,823,973 0.1%
Infocom Corp. 80,400 1,851,786 0.1%
# Infomart Corp. 634,300 5,770,966 0.1%
Information Development Co. 42,700 556,431 0.0%
Information Services International-Dentsu, Ltd. 80,300 2,074,540 0.1%
# Innotech Corp. 111,100 1,345,365 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Information Technology -- (Continued)
# Intelligent Wave, Inc. 68,500 $ 346,194 0.0%
# Inter Action Corp. 61,000 673,756 0.0%
Internet Initiative Japan, Inc. 187,700 3,544,757 0.1%
Iriso Electronics Co., Ltd. 128,700 8,152,439 0.2%
# ISB Corp. 9,300 137,146 0.0%
#* Ishii Hyoki Co., Ltd. 31,000 310,521 0.0%
# Istyle, Inc. 312,300 4,157,716 0.1%
#* ITbook Co., Ltd. 98,700 494,823 0.0%
# ITmedia, Inc. 20,400 133,360 0.0%
* Itokuro, Inc. 23,600 1,279,367 0.0%
Iwatsu Electric Co., Ltd. 66,600 502,356 0.0%
Japan Aviation Electronics Industry, Ltd. 321,000 5,467,843 0.1%
Japan Cash Machine Co., Ltd. 106,200 1,194,858 0.0%
#* Japan Display, Inc. 2,472,700 3,267,611 0.1%
Japan Electronic Materials Corp. 33,500 254,629 0.0%
# Japan Material Co., Ltd. 401,300 5,305,976 0.1%
# Jastec Co., Ltd. 86,100 962,657 0.0%
# JBCC Holdings, Inc. 102,600 988,687 0.0%
#* JIG-SAW, Inc. 22,600 764,922 0.0%
# Justsystems Corp. 223,100 5,273,527 0.1%
Kaga Electronics Co., Ltd. 116,600 2,883,613 0.1%
# Kamakura Shinsho, Ltd. 22,500 775,709 0.0%
Kanematsu Electronics, Ltd. 80,100 2,539,638 0.1%
KEL Corp. 27,900 320,132 0.0%
# KLab, Inc. 227,500 3,867,444 0.1%
Koa Corp. 195,900 4,273,643 0.1%
# Kozo Keikaku Engineering, Inc. 19,600 456,149 0.0%
# Kyoden Co., Ltd. 121,700 490,309 0.0%
Kyosan Electric Manufacturing Co., Ltd. 281,000 1,805,200 0.1%
Kyowa Electronics Instruments Co., Ltd. 144,400 574,299 0.0%
# LAC Co., Ltd. 101,400 1,194,098 0.0%
Lasertec Corp. 268,400 8,867,733 0.2%
# m-up, Inc. 36,000 493,241 0.0%
Macnica Fuji Electronics Holdings, Inc. 267,450 4,575,634 0.1%
# Mamezou Holdings Co., Ltd. 115,200 1,355,535 0.0%
MarkLines Co., Ltd. 68,600 957,924 0.0%
Marubun Corp. 106,900 957,371 0.0%
# Maruwa Co., Ltd. 61,600 5,077,122 0.1%
# Marvelous, Inc. 206,300 1,764,884 0.1%
Maxell Holdings, Ltd. 299,500 5,905,872 0.1%
MCJ Co., Ltd. 233,800 3,102,518 0.1%
# Media Do Holdings Co., Ltd. 42,900 757,299 0.0%
#* Megachips Corp. 115,400 3,701,416 0.1%
Meiko Electronics Co., Ltd. 133,000 2,245,430 0.1%
Melco Holdings, Inc. 62,700 2,304,735 0.1%
# Mimaki Engineering Co., Ltd. 113,700 892,384 0.0%
# Mimasu Semiconductor Industry Co., Ltd. 117,781 2,074,077 0.1%
Miraial Co., Ltd. 45,200 630,841 0.0%
Miroku Jyoho Service Co., Ltd. 117,900 3,356,462 0.1%
Mitachi Co., Ltd. 17,900 182,130 0.0%
# Mitsubishi Research Institute, Inc. 46,900 1,645,206 0.1%
# Mitsui High-Tec, Inc. 175,000 2,563,391 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Information Technology -- (Continued)
Mobile Create Co., Ltd. 20,400 $ 69,046 0.0%
# Mobile Factory, Inc. 35,100 396,972 0.0%
#* Morpho, Inc. 30,400 1,030,907 0.0%
MTI, Ltd. 199,300 1,191,201 0.0%
# Mutoh Holdings Co., Ltd. 14,600 328,141 0.0%
#* Mynet, Inc. 25,600 296,325 0.0%
Nagano Keiki Co., Ltd. 86,100 1,024,337 0.0%
# Naigai Tec Corp. 13,100 401,836 0.0%
Nakayo, Inc. 78,000 1,360,462 0.0%
NEC Networks & System Integration Corp. 152,500 3,990,070 0.1%
NET One Systems Co., Ltd. 566,000 9,109,562 0.2%
#* New Japan Radio Co., Ltd. 96,000 820,956 0.0%
Nexyz Group Corp. 48,000 751,818 0.0%
Nichicon Corp. 331,500 3,740,387 0.1%
# Nihon Dempa Kogyo Co., Ltd. 106,600 668,075 0.0%
Nihon Denkei Co., Ltd. 26,000 459,701 0.0%
Nihon Unisys, Ltd. 497,075 10,316,778 0.2%
Nippon Ceramic Co., Ltd. 62,200 1,650,945 0.1%
Nippon Chemi-Con Corp. 103,700 2,400,505 0.1%
# Nippon Computer Dynamics Co., Ltd. 36,400 430,390 0.0%
# Nippon Information Development Co., Ltd. 4,200 138,058 0.0%
# Nippon Kodoshi Corp. 54,900 1,537,880 0.0%
Nippon Signal Co., Ltd. 360,300 3,419,524 0.1%
Nippon Systemware Co., Ltd. 49,700 1,111,246 0.0%
Nohmi Bosai, Ltd. 143,100 3,077,765 0.1%
# Noritsu Koki Co., Ltd. 134,500 3,359,865 0.1%
NS Solutions Corp. 167,700 4,855,153 0.1%
NSD Co., Ltd. 239,180 4,986,702 0.1%
Nuflare Technology, Inc. 29,800 1,967,865 0.1%
#* Ohizumi Mfg. Co., Ltd. 35,200 283,198 0.0%
# Okaya Electric Industries Co., Ltd. 73,000 405,250 0.0%
Oki Electric Industry Co., Ltd. 590,700 7,969,766 0.2%
# ONO Sokki Co., Ltd. 58,400 454,089 0.0%
# Optex Group Co., Ltd. 201,200 6,043,348 0.1%
#* Optim Corp. 26,100 614,685 0.0%
Osaki Electric Co., Ltd. 279,300 2,024,219 0.1%
# Oval Corp. 31,600 87,705 0.0%
Paltek Corp. 38,500 232,216 0.0%
PCA Corp. 2,500 39,864 0.0%
Poletowin Pitcrew Holdings, Inc. 93,100 1,594,126 0.0%
Pro-Ship, Inc. 17,300 439,722 0.0%
# Rakus Co., Ltd. 80,000 1,133,853 0.0%
# RECOMM Co., Ltd. 352,100 836,801 0.0%
Renesas Easton Co., Ltd. 95,800 602,919 0.0%
Riken Keiki Co., Ltd. 114,300 2,573,183 0.1%
Riso Kagaku Corp. 171,600 3,431,170 0.1%
Roland DG Corp. 84,700 1,966,768 0.1%
# Rorze Corp. 68,500 1,539,415 0.0%
RS Technologies Co., Ltd. 26,200 1,644,600 0.1%
Ryoden Corp. 98,000 1,643,452 0.0%
Ryosan Co., Ltd. 188,800 7,025,712 0.2%
Ryoyo Electro Corp. 140,200 2,321,367 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Information Technology -- (Continued)
# Saison Information Systems Co., Ltd. 22,800 $ 368,565 0.0%
# Sakura Internet, Inc. 131,500 942,683 0.0%
Samco, Inc. 3,600 41,303 0.0%
Sanken Electric Co., Ltd. 805,000 5,152,056 0.1%
# Sanshin Electronics Co., Ltd. 151,900 3,086,515 0.1%
# Satori Electric Co., Ltd. 85,880 868,213 0.0%
# Saxa Holdings, Inc. 32,600 633,812 0.0%
# Scala, Inc. 98,200 729,517 0.0%
Seikoh Giken Co., Ltd. 13,800 215,243 0.0%
Shibaura Electronics Co., Ltd. 49,000 2,335,114 0.1%
Shibaura Mechatronics Corp. 230,000 918,332 0.0%
#* SHIFT, Inc. 46,200 2,134,233 0.1%
Shindengen Electric Manufacturing Co., Ltd. 54,300 3,406,632 0.1%
#* Shinkawa, Ltd. 112,200 1,021,436 0.0%
Shinko Electric Industries Co., Ltd. 461,300 3,588,814 0.1%
Shinko Shoji Co., Ltd. 139,300 2,421,312 0.1%
# Shirai Electronics Industrial Co., Ltd. 61,600 303,353 0.0%
# Shizuki Electric Co., Inc. 127,400 882,743 0.0%
Showa Shinku Co., Ltd. 23,300 478,326 0.0%
# Showcase TV, Inc. 25,700 337,978 0.0%
Sigma Koki Co., Ltd. 27,600 588,442 0.0%
# Siix Corp. 207,200 4,163,746 0.1%
# SK-Electronics Co., Ltd. 50,500 1,099,501 0.0%
# SMK Corp. 333,000 1,179,641 0.0%
SMS Co., Ltd. 223,600 8,465,729 0.2%
# Softbank Technology Corp. 70,300 1,102,914 0.0%
# Softbrain Co., Ltd. 125,200 504,229 0.0%
Softcreate Holdings Corp. 53,400 836,993 0.0%
# Soliton Systems K.K. 52,900 712,435 0.0%
# Solxyz Co., Ltd. 40,500 433,725 0.0%
# Soshin Electric Co., Ltd. 58,400 358,409 0.0%
# Sourcenext Corp. 172,600 1,222,695 0.0%
SRA Holdings 69,600 2,006,405 0.1%
# Sumida Corp. 173,649 2,382,015 0.1%
Sun Corp. 104,900 712,776 0.0%
Sun-Wa Technos Corp. 63,600 943,517 0.0%
Suzuden Corp. 26,100 387,981 0.0%
Suzuki Co., Ltd. 52,700 528,527 0.0%
* Synchro Food Co., Ltd. 45,900 460,404 0.0%
System Information Co., Ltd. 36,700 341,256 0.0%
# Systemsoft Corp. 278,600 355,963 0.0%
Systena Corp. 109,900 4,169,132 0.1%
Tachibana Eletech Co., Ltd. 111,560 2,127,925 0.1%
Taiyo Yuden Co., Ltd. 773,000 13,708,734 0.3%
Takachiho Koheki Co., Ltd. 33,300 351,914 0.0%
TAKEBISHI Corp. 49,600 775,033 0.0%
Tamura Corp. 527,100 4,003,863 0.1%
# Tazmo Co., Ltd. 43,800 620,052 0.0%
TDC Soft, Inc. 50,100 596,063 0.0%
#* Teac Corp. 819,000 330,101 0.0%
TechMatrix Corp. 105,900 1,621,303 0.0%
# Techno Horizon Holdings Co., Ltd. 76,000 597,973 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Information Technology -- (Continued)
# Tecnos Japan, Inc. 103,000 $ 904,252 0.0%
# Teikoku Tsushin Kogyo Co., Ltd. 52,500 627,728 0.0%
# Temairazu, Inc. 11,200 308,316 0.0%
* TerraSky Co., Ltd. 1,000 34,677 0.0%
# TESEC Corp. 19,400 321,718 0.0%
TKC Corp. 120,400 4,808,083 0.1%
Toho System Science Co., Ltd. 9,900 79,918 0.0%
Tokyo Electron Device, Ltd. 42,900 823,802 0.0%
Tokyo Seimitsu Co., Ltd. 265,700 10,091,658 0.2%
# Tomen Devices Corp. 14,300 369,926 0.0%
Topcon Corp. 567,800 11,269,655 0.3%
# Torex Semiconductor, Ltd. 44,300 584,113 0.0%
Toshiba TEC Corp. 884,000 5,059,262 0.1%
Toukei Computer Co., Ltd. 22,710 646,934 0.0%
# Towa Corp. 148,100 1,819,065 0.1%
Toyo Corp. 163,900 1,464,658 0.0%
Transcosmos, Inc. 13,600 375,334 0.0%
# Tri Chemical Laboratories, Inc. 39,000 1,573,508 0.0%
# Tsuzuki Denki Co., Ltd. 32,200 252,123 0.0%
UKC Holdings Corp. 93,100 1,961,583 0.1%
# UMC Electronics Co., Ltd. 35,200 947,653 0.0%
* Uniden Holdings Corp. 406,000 1,012,223 0.0%
UNIRITA, Inc. 7,300 117,521 0.0%
# UNITED, Inc. 82,600 3,488,851 0.1%
V Technology Co., Ltd. 29,900 7,775,137 0.2%
#* V-Cube, Inc. 89,200 484,243 0.0%
# VeriServe Corp. 13,400 382,813 0.0%
# Vitec Holdings Co., Ltd. 55,000 1,291,543 0.0%
Voyage Group, Inc. 60,300 644,884 0.0%
Wacom Co., Ltd. 666,600 3,367,840 0.1%
# YAC Holdings Co., Ltd. 52,800 505,698 0.0%
# Yamaichi Electronics Co., Ltd. 136,500 2,444,559 0.1%
Yashima Denki Co., Ltd. 112,800 959,296 0.0%
# Yokowo Co., Ltd. 101,600 2,134,941 0.1%
#* Zappallas, Inc. 55,900 198,432 0.0%
* ZIGExN Co., Ltd. 375,800 3,001,347 0.1%
Zuken, Inc. 99,900 1,383,751 0.0%
------------ ----
Total Information Technology 601,813,299 13.5%
------------ ----
Materials -- (10.3%)
Achilles Corp. 104,300 2,167,138 0.1%
ADEKA Corp. 580,700 10,311,777 0.2%
Agro-Kanesho Co., Ltd. 57,600 1,525,200 0.0%
Aichi Steel Corp. 80,700 3,483,055 0.1%
Arakawa Chemical Industries, Ltd. 113,800 2,075,228 0.1%
Araya Industrial Co., Ltd. 26,800 519,628 0.0%
Asahi Holdings, Inc. 148,550 2,712,468 0.1%
Asahi Printing Co., Ltd. 19,400 213,331 0.0%
Asahi Yukizai Corp. 96,000 1,601,874 0.0%
Asahipen Corp. 21,000 35,136 0.0%
Asia Pile Holdings Corp. 184,600 1,084,590 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
C Uyemura & Co., Ltd. 32,600 $ 2,226,166 0.1%
# Carlit Holdings Co., Ltd. 143,900 1,394,136 0.0%
Chuetsu Pulp & Paper Co., Ltd. 55,200 979,183 0.0%
* Chugai Mining Co., Ltd. 1,012,400 258,946 0.0%
Chugoku Marine Paints, Ltd. 415,600 4,099,294 0.1%
CI Takiron Corp. 330,000 2,013,672 0.1%
# CK-San-Etsu Co., Ltd. 19,700 1,004,225 0.0%
Dai Nippon Toryo Co., Ltd. 160,600 2,266,385 0.1%
Daido Steel Co., Ltd. 185,200 10,000,909 0.2%
Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 131,500 1,585,065 0.0%
Daiken Corp. 98,800 2,479,411 0.1%
Daiki Aluminium Industry Co., Ltd. 195,600 1,347,098 0.0%
Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 84,300 3,452,721 0.1%
# Daio Paper Corp. 452,100 6,338,037 0.1%
Daito Chemix Corp. 3,700 23,217 0.0%
DKS Co., Ltd. 304,000 1,924,179 0.0%
Dowa Holdings Co., Ltd. 180,200 6,772,055 0.2%
Dynapac Co., Ltd. 8,500 130,756 0.0%
FP Corp. 87,500 5,412,544 0.1%
Fuji Seal International, Inc. 277,600 10,357,959 0.2%
Fujikura Kasei Co., Ltd. 169,000 1,047,392 0.0%
Fujimi, Inc. 124,500 2,695,179 0.1%
Fujimori Kogyo Co., Ltd. 104,400 3,537,278 0.1%
# Fumakilla, Ltd. 51,501 935,344 0.0%
Fuso Chemical Co., Ltd. 121,600 3,081,809 0.1%
Geostr Corp. 105,900 672,019 0.0%
# Godo Steel, Ltd. 77,700 1,813,859 0.0%
Gun-Ei Chemical Industry Co., Ltd. 30,600 1,022,604 0.0%
Hakudo Co., Ltd. 33,000 663,795 0.0%
# Haneda Zenith Holdings Co., Ltd. 218,200 790,541 0.0%
Harima Chemicals Group, Inc. 97,100 791,787 0.0%
# Hodogaya Chemical Co., Ltd. 46,100 1,955,867 0.0%
Hokkan Holdings, Ltd. 278,000 995,526 0.0%
Hokko Chemical Industry Co., Ltd. 137,900 869,489 0.0%
Hokuetsu Kishu Paper Co., Ltd. 875,199 5,452,939 0.1%
Honshu Chemical Industry Co., Ltd. 27,200 294,871 0.0%
# Ise Chemical Corp. 74,000 500,604 0.0%
# Ishihara Chemical Co., Ltd. 31,600 604,291 0.0%
* Ishihara Sangyo Kaisha, Ltd. 238,350 2,738,515 0.1%
Ishizuka Glass Co., Ltd. 17,800 405,665 0.0%
JCU Corp. 147,800 3,341,840 0.1%
JSP Corp. 87,300 2,825,647 0.1%
Kanto Denka Kogyo Co., Ltd. 294,300 2,728,515 0.1%
Katakura & Co-op Agri Corp. 21,500 244,982 0.0%
Kawakin Holdings Co., Ltd. 15,300 66,857 0.0%
# KeePer Technical Laboratory Co., Ltd. 44,500 570,137 0.0%
KH Neochem Co., Ltd. 178,300 5,391,949 0.1%
# Kimoto Co., Ltd. 228,000 631,797 0.0%
Koatsu Gas Kogyo Co., Ltd. 192,993 1,699,660 0.0%
# Kogi Corp. 5,499 100,549 0.0%
Kohsoku Corp. 71,700 888,324 0.0%
Konishi Co., Ltd. 214,800 3,502,099 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
# Konoshima Chemical Co., Ltd. 41,300 $ 405,608 0.0%
Krosaki Harima Corp. 33,300 1,536,635 0.0%
# Kumiai Chemical Industry Co., Ltd. 639,687 4,060,306 0.1%
# Kunimine Industries Co., Ltd. 21,900 209,887 0.0%
Kureha Corp. 108,450 7,364,178 0.2%
Kurimoto, Ltd. 63,300 1,184,338 0.0%
Kuriyama Holdings Corp. 49,100 999,679 0.0%
# Kyoei Steel, Ltd. 149,700 3,117,261 0.1%
Kyowa Leather Cloth Co., Ltd. 83,600 746,486 0.0%
Lintec Corp. 322,700 9,338,267 0.2%
# MEC Co., Ltd. 111,500 1,856,678 0.0%
# Mipox Corp. 58,500 310,499 0.0%
Mitani Sekisan Co., Ltd. 65,900 1,507,402 0.0%
Mitsubishi Paper Mills, Ltd. 191,500 1,207,711 0.0%
Mitsubishi Steel Manufacturing Co., Ltd. 91,700 2,215,778 0.1%
# Molitec Steel Co., Ltd. 79,300 499,756 0.0%
# MORESCO Corp. 43,300 769,623 0.0%
Mory Industries, Inc. 36,900 1,115,774 0.0%
#* Muto Seiko Co. 35,700 397,011 0.0%
# Nakayama Steel Works, Ltd. 148,700 1,044,707 0.0%
Neturen Co., Ltd. 225,300 2,272,029 0.1%
#* New Japan Chemical Co., Ltd. 200,600 466,802 0.0%
Nicca Chemical Co., Ltd. 49,300 566,882 0.0%
Nichia Steel Works, Ltd. 164,900 527,655 0.0%
# Nihon Kagaku Sangyo Co., Ltd. 84,800 995,886 0.0%
# Nihon Nohyaku Co., Ltd. 335,400 2,174,659 0.1%
Nihon Parkerizing Co., Ltd. 612,200 9,692,468 0.2%
Nihon Yamamura Glass Co., Ltd. 589,000 1,013,701 0.0%
Nippon Carbide Industries Co., Inc. 47,900 962,872 0.0%
Nippon Chemical Industrial Co., Ltd. 47,700 1,489,360 0.0%
Nippon Concrete Industries Co., Ltd. 293,500 1,215,738 0.0%
# Nippon Denko Co., Ltd. 725,314 2,418,964 0.1%
Nippon Fine Chemical Co., Ltd. 82,800 945,250 0.0%
Nippon Kayaku Co., Ltd. 285,500 3,572,392 0.1%
Nippon Kinzoku Co., Ltd. 31,500 671,842 0.0%
# Nippon Koshuha Steel Co., Ltd. 50,899 392,522 0.0%
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%
Nippon Pillar Packing Co., Ltd. 145,900 2,107,262 0.1%
Nippon Soda Co., Ltd. 811,000 4,659,053 0.1%
Nippon Valqua Industries, Ltd. 107,099 2,950,579 0.1%
Nippon Yakin Kogyo Co., Ltd. 831,300 2,228,704 0.1%
# Nisshin Steel Co., Ltd. 334,692 4,429,159 0.1%
# Nitta Gelatin, Inc. 90,900 708,637 0.0%
Nittetsu Mining Co., Ltd. 36,700 2,236,385 0.1%
Nitto FC Co., Ltd. 113,100 759,875 0.0%
NOF Corp. 449,100 13,400,373 0.3%
Nozawa Corp. 51,700 586,130 0.0%
Oat Agrio Co., Ltd. 19,800 735,917 0.0%
Okamoto Industries, Inc. 356,000 3,562,133 0.1%
Okura Industrial Co., Ltd. 294,000 1,638,054 0.0%
# Osaka Organic Chemical Industry, Ltd. 108,700 1,416,742 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
# Osaka Soda Co., Ltd. 93,999 $ 2,625,903 0.1%
Osaka Steel Co., Ltd. 88,500 1,908,749 0.0%
# OSAKA Titanium Technologies Co., Ltd. 129,500 2,400,766 0.1%
#* Pacific Metals Co., Ltd. 107,299 3,764,651 0.1%
Pack Corp. (The) 85,200 3,226,374 0.1%
# Rasa Industries, Ltd. 50,400 1,030,922 0.0%
Rengo Co., Ltd. 1,205,500 10,363,112 0.2%
Riken Technos Corp. 234,300 1,137,561 0.0%
Sakai Chemical Industry Co., Ltd. 114,000 2,977,532 0.1%
Sakata INX Corp. 281,600 4,302,959 0.1%
Sanyo Chemical Industries, Ltd. 80,800 3,812,850 0.1%
# Sanyo Special Steel Co., Ltd. 147,060 3,741,665 0.1%
# Seiko PMC Corp. 70,600 796,508 0.0%
Sekisui Plastics Co., Ltd. 173,900 2,335,920 0.1%
Shikoku Chemicals Corp. 251,000 3,552,545 0.1%
Shin-Etsu Polymer Co., Ltd. 305,500 2,900,351 0.1%
Shinagawa Refractories Co., Ltd. 41,700 1,123,939 0.0%
# Shinko Wire Co., Ltd. 18,400 254,082 0.0%
SK Kaken Co., Ltd. 8,000 814,066 0.0%
Soken Chemical & Engineering Co., Ltd. 49,000 1,068,066 0.0%
# Stella Chemifa Corp. 70,800 2,357,440 0.1%
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%
Sumitomo Seika Chemicals Co., Ltd. 65,700 3,145,108 0.1%
Sun A Kaken Co., Ltd. 9,300 65,401 0.0%
T Hasegawa Co., Ltd. 166,800 3,585,437 0.1%
T&K Toka Co., Ltd. 135,000 1,653,257 0.0%
Taisei Lamick Co., Ltd. 41,100 1,187,289 0.0%
Taiyo Holdings Co., Ltd. 118,300 5,027,116 0.1%
Takasago International Corp. 92,200 2,872,048 0.1%
Takemoto Yohki Co., Ltd. 8,900 221,641 0.0%
Taki Chemical Co., Ltd. 4,900 204,549 0.0%
Tayca Corp. 117,100 3,081,493 0.1%
Tenma Corp. 113,300 2,161,287 0.1%
# Titan Kogyo, Ltd. 1,800 44,086 0.0%
Toagosei Co., Ltd. 706,700 8,339,927 0.2%
# Toda Kogyo Corp. 30,800 1,069,051 0.0%
Toho Acetylene Co., Ltd. 12,700 158,269 0.0%
Toho Chemical Industry Co., Ltd. 47,000 254,906 0.0%
Toho Titanium Co., Ltd. 231,100 2,858,511 0.1%
Toho Zinc Co., Ltd. 92,799 4,269,688 0.1%
Tohoku Steel Co., Ltd. 16,300 301,633 0.0%
Tokushu Tokai Paper Co., Ltd. 61,858 2,418,764 0.1%
Tokuyama Corp. 462,998 13,790,562 0.3%
Tokyo Ohka Kogyo Co., Ltd. 254,600 8,944,962 0.2%
Tokyo Printing Ink Manufacturing Co., Ltd. 10,200 357,007 0.0%
# Tokyo Rope Manufacturing Co., Ltd. 103,400 2,222,191 0.1%
Tokyo Steel Manufacturing Co., Ltd. 845,800 7,058,149 0.2%
Tokyo Tekko Co., Ltd. 50,200 784,542 0.0%
Tomoegawa Co., Ltd. 166,000 451,585 0.0%
Tomoku Co., Ltd. 72,000 1,332,232 0.0%
Topy Industries, Ltd. 108,500 3,213,606 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
# Toyo Gosei Co., Ltd. 34,600 $ 446,234 0.0%
Toyo Ink SC Holdings Co., Ltd. 1,270,000 7,848,885 0.2%
Toyo Kohan Co., Ltd. 330,000 2,163,533 0.1%
Toyobo Co., Ltd. 586,200 11,418,851 0.3%
# TYK Corp. 147,300 577,249 0.0%
# UACJ Corp. 216,541 5,643,236 0.1%
Wood One Co., Ltd. 48,500 653,562 0.0%
Yamato Kogyo Co., Ltd. 287,900 8,486,911 0.2%
Yodogawa Steel Works, Ltd. 136,700 3,900,771 0.1%
Yoshicon Co., Ltd. 2,100 32,474 0.0%
# Yotai Refractories Co., Ltd. 106,600 740,648 0.0%
Yuki Gosei Kogyo Co., Ltd. 36,200 101,046 0.0%
Yushiro Chemical Industry Co., Ltd. 71,500 1,184,009 0.0%
------------ ----
Total Materials 481,562,459 10.8%
------------ ----
Real Estate -- (1.9%)
# AD Works Co., Ltd. 1,649,300 602,066 0.0%
Airport Facilities Co., Ltd. 137,270 794,194 0.0%
Anabuki Kosan, Inc. 3,700 106,527 0.0%
Aoyama Zaisan Networks Co., Ltd. 58,500 1,036,015 0.0%
# Apaman Co., Ltd. 77,300 923,487 0.0%
# Arealink Co., Ltd. 56,700 1,871,185 0.1%
B-Lot Co., Ltd. 10,100 185,526 0.0%
Cosmos Initia Co., Ltd. 79,900 602,996 0.0%
CRE, Inc. 30,400 500,792 0.0%
Daibiru Corp. 317,900 3,790,473 0.1%
Daikyo, Inc. 211,000 4,592,346 0.1%
# Dear Life Co., Ltd. 108,600 581,715 0.0%
Goldcrest Co., Ltd. 113,090 2,402,191 0.1%
# Grandy House Corp. 101,200 453,583 0.0%
Heiwa Real Estate Co., Ltd. 236,600 5,541,918 0.1%
# Ichigo, Inc. 1,573,900 7,008,759 0.2%
Intellex Co., Ltd. 30,000 294,062 0.0%
#* Japan Asset Marketing Co., Ltd. 1,649,800 1,863,523 0.0%
Japan Corporate Housing Service, Inc. 10,500 81,496 0.0%
Japan Property Management Center Co., Ltd. 87,700 1,285,512 0.0%
Kabuki-Za Co., Ltd. 25,700 1,364,803 0.0%
Keihanshin Building Co., Ltd. 230,800 1,966,454 0.1%
Kenedix, Inc. 630,000 3,638,814 0.1%
#* LAND Co., Ltd. 1,824,900 245,193 0.0%
Leopalace21 Corp. 1,702,800 14,768,257 0.3%
Mugen Estate Co., Ltd. 77,000 977,598 0.0%
# Nippon Commercial Development Co., Ltd. 67,500 1,104,283 0.0%
Nisshin Fudosan Co. 205,200 1,541,032 0.0%
# Prospect Co., Ltd. 2,897,000 1,417,963 0.0%
# Raysum Co., Ltd. 107,100 1,395,962 0.0%
SAMTY Co., Ltd. 122,600 2,265,762 0.1%
Sankyo Frontier Co., Ltd. 21,700 647,304 0.0%
# Sansei Landic Co., Ltd. 37,500 456,695 0.0%
# Shinoken Group Co., Ltd. 86,000 2,614,762 0.1%
Star Mica Co., Ltd. 78,400 1,693,848 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Real Estate -- (Continued)
Sun Frontier Fudousan Co., Ltd. 198,500 $ 2,395,035 0.1%
Takara Leben Co., Ltd. 592,100 2,508,572 0.1%
# Tateru, Inc. 166,000 2,805,083 0.1%
TOC Co., Ltd. 416,650 3,689,348 0.1%
Tokyo Rakutenchi Co., Ltd. 20,700 1,038,102 0.0%
# Tokyo Theatres Co., Inc. 46,799 624,483 0.0%
Tosei Corp. 232,500 2,849,988 0.1%
# Unizo Holdings Co., Ltd. 152,900 3,640,818 0.1%
Urbanet Corp. Co., Ltd. 123,500 423,729 0.0%
-------------- -----
Total Real Estate 90,592,254 2.0%
-------------- -----
Telecommunication Services -- (0.1%)
#* Broadmedia Corp. 548,000 350,037 0.0%
# Freebit Co., Ltd. 79,500 777,893 0.0%
Okinawa Cellular Telephone Co. 68,900 2,564,656 0.1%
#* Usen-Next Holdings Co., Ltd. 103,000 846,198 0.0%
* Vision, Inc. 39,900 1,154,306 0.1%
WirelessGate, Inc. 59,400 777,654 0.0%
-------------- -----
Total Telecommunication Services 6,470,744 0.2%
-------------- -----
Utilities -- (1.3%)
#* Eneres Co., Ltd. 169,200 818,656 0.0%
# eRex Co., Ltd. 286,800 2,274,992 0.1%
Hiroshima Gas Co., Ltd. 303,400 1,040,480 0.0%
# Hokkaido Electric Power Co., Inc. 1,406,600 9,334,609 0.2%
Hokkaido Gas Co., Ltd. 480,000 1,307,012 0.0%
#* Hokuriku Electric Power Co. 1,293,400 13,198,577 0.3%
Hokuriku Gas Co., Ltd. 10,100 302,059 0.0%
K&O Energy Group, Inc. 96,900 1,536,958 0.1%
Nippon Gas Co., Ltd. 254,700 12,505,163 0.3%
Okinawa Electric Power Co., Inc. (The) 229,217 6,989,748 0.2%
Saibu Gas Co., Ltd. 213,900 5,781,170 0.1%
Shikoku Electric Power Co., Inc. 53,800 685,956 0.0%
Shizuoka Gas Co., Ltd. 354,000 3,202,952 0.1%
# Toell Co., Ltd. 46,100 445,965 0.0%
# West Holdings Corp. 96,800 709,716 0.0%
-------------- -----
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%
============== =====
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
========== ============== == ==============
THE ASIA PACIFIC SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
COMMON STOCKS -- (90.6%)
AUSTRALIA -- (51.6%)
* 3P Learning, Ltd. 93,233 $ 103,247 0.0%
* 88 Energy, Ltd. 604,262 18,509 0.0%
Accent Group, Ltd. 1,031,453 969,194 0.1%
Adacel Technologies, Ltd. 140,130 194,590 0.0%
Adairs, Ltd. 179,515 286,131 0.0%
# Adelaide Brighton, Ltd. 3,364,087 16,230,411 0.8%
* Aeon Metals, Ltd. 45,332 10,666 0.0%
# Ainsworth Game Technology, Ltd. 981,684 1,407,732 0.1%
#* Alkane Resources, Ltd. 1,811,839 380,189 0.0%
Alliance Aviation Services, Ltd. 27,285 34,616 0.0%
ALS, Ltd. 2,475,697 14,448,074 0.7%
Altium, Ltd. 756,548 11,489,185 0.6%
# AMA Group, Ltd. 1,445,951 1,051,104 0.1%
# Amaysim Australia, Ltd. 1,355,718 1,219,963 0.1%
Ansell, Ltd. 966,611 18,885,588 1.0%
* Antares Energy, Ltd. 13,289 24 0.0%
# AP Eagers, Ltd. 296,589 1,961,511 0.1%
APN Property Group, Ltd. 26,661 8,416 0.0%
Apollo Tourism & Leisure, Ltd. 27,089 31,158 0.0%
Appen, Ltd. 615,643 4,429,873 0.2%
# ARB Corp., Ltd. 545,787 8,513,062 0.4%
# Ardent Leisure Group 2,996,851 4,243,171 0.2%
Asaleo Care, Ltd. 2,714,720 2,640,995 0.1%
* Atlas Iron, Ltd. 8,964,247 200,707 0.0%
AUB Group, Ltd. 293,607 3,104,525 0.2%
* Aurelia Metals, Ltd. 586,705 169,440 0.0%
Ausdrill, Ltd. 2,087,632 4,366,508 0.2%
Austal, Ltd. 1,540,941 2,044,520 0.1%
* Austin Engineering, Ltd. 95,866 17,606 0.0%
#* Australian Agricultural Co., Ltd. 2,990,515 2,467,096 0.1%
Australian Finance Group, Ltd. 481,622 497,584 0.0%
Australian Pharmaceutical Industries, Ltd. 2,860,486 2,904,678 0.2%
#* Australian Property Systems, Ltd. 1,170,797 4,794,459 0.2%
Australian Vintage, Ltd. 4,199,886 1,890,908 0.1%
Auswide Bank, Ltd. 102,961 415,009 0.0%
# Automotive Holdings Group, Ltd. 1,948,477 4,933,918 0.3%
* Avanco Resources, Ltd. 2,444,368 293,800 0.0%
Aveo Group 2,672,788 5,249,215 0.3%
AVJennings, Ltd. 7,085,798 3,785,951 0.2%
Axsesstoday, Ltd. 20,251 32,544 0.0%
# Baby Bunting Group, Ltd. 278,031 283,906 0.0%
# Bapcor, Ltd. 1,582,825 6,983,397 0.4%
* Base Resources, Ltd. 215,873 41,265 0.0%
Beach Energy, Ltd. 16,720,311 19,719,954 1.0%
#* Beadell Resources, Ltd. 7,171,491 433,015 0.0%
# Bega Cheese, Ltd. 1,272,859 6,783,845 0.3%
Bell Financial Group, Ltd. 67,033 36,516 0.0%
#* Bellamy's Australia, Ltd. 568,208 7,697,307 0.4%
# Blackmores, Ltd. 83,730 7,411,370 0.4%
* Blue Energy, Ltd. 97,807 9,151 0.0%
# Blue Sky Alternative Investments, Ltd. 95,426 221,397 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
# Bravura Solutions, Ltd. 540,499 $ 1,178,750 0.1%
Breville Group, Ltd. 831,688 7,098,379 0.4%
# Brickworks, Ltd. 350,185 4,199,480 0.2%
BT Investment Management, Ltd. 1,209,577 8,309,974 0.4%
#* Buru Energy, Ltd. 632,180 162,977 0.0%
# BWX, Ltd. 335,452 1,272,708 0.1%
# Cabcharge Australia, Ltd. 863,423 1,194,972 0.1%
Capilano Honey, Ltd. 18,636 211,451 0.0%
Capitol Health, Ltd. 2,931,070 603,434 0.0%
Capral, Ltd. 58,499 6,150 0.0%
#* Cardno, Ltd. 1,687,871 1,534,545 0.1%
* Carnarvon Petroleum, Ltd. 5,245,141 570,310 0.0%
* Carnegie Clean Energy, Ltd. 1,015,131 22,761 0.0%
# carsales.com, Ltd. 1,702,940 18,278,249 0.9%
#* Cash Converters International, Ltd. 2,406,480 630,145 0.0%
#* Catapult Group International, Ltd. 308,182 278,929 0.0%
Cedar Woods Properties, Ltd. 370,461 1,704,464 0.1%
Centuria Capital Group 9,881 10,193 0.0%
Citadel Group, Ltd. (The) 22,073 99,479 0.0%
# Class, Ltd. 399,883 691,352 0.0%
* Clean Seas Seafood, Ltd. 1,404,602 53,840 0.0%
Cleanaway Waste Management, Ltd. 13,779,656 16,363,957 0.8%
* Clinuvel Pharmaceuticals, Ltd. 30,557 271,094 0.0%
Codan, Ltd. 552,241 1,022,704 0.1%
# Collection House, Ltd. 2,172,576 2,321,464 0.1%
Collins Foods, Ltd. 721,192 2,902,054 0.2%
#* Cooper Energy, Ltd. 7,132,290 1,845,813 0.1%
# Corporate Travel Management, Ltd. 454,464 8,461,498 0.4%
Costa Group Holdings, Ltd. 1,722,696 9,389,989 0.5%
# Credit Corp. Group, Ltd. 483,007 6,499,453 0.3%
* CSG, Ltd. 1,252,605 376,917 0.0%
CSR, Ltd. 3,680,857 15,530,958 0.8%
* CuDeco, Ltd. 387,893 68,626 0.0%
Data#3, Ltd. 799,710 1,017,016 0.1%
* Decmil Group, Ltd. 990,896 931,654 0.1%
* Devine, Ltd. 25,368 6,743 0.0%
Dicker Data, Ltd. 186,807 410,607 0.0%
Domain Holdings Australia, Ltd. 1,530,389 3,548,180 0.2%
# Domino's Pizza Enterprises, Ltd. 290,881 9,208,459 0.5%
Donaco International, Ltd. 28,566 5,451 0.0%
* Doray Minerals, Ltd. 95,238 20,660 0.0%
Downer EDI, Ltd. 4,034,426 20,764,288 1.1%
DuluxGroup, Ltd. 3,101,823 18,034,478 0.9%
DWS, Ltd. 514,109 481,274 0.0%
Eclipx Group, Ltd. 1,526,923 3,719,340 0.2%
# Elders, Ltd. 886,555 5,260,351 0.3%
#* Emeco Holdings, Ltd. 722,681 150,490 0.0%
* EML Payments, Ltd. 53,154 49,847 0.0%
#* Energy Resources of Australia, Ltd. 1,487,868 596,978 0.0%
#* Energy World Corp., Ltd. 4,255,918 641,515 0.0%
EQT Holdings, Ltd. 28,836 456,015 0.0%
ERM Power, Ltd. 1,079,863 1,384,920 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
Estia Health, Ltd. 1,328,385 $ 3,540,246 0.2%
Euroz, Ltd. 101,762 89,684 0.0%
Event Hospitality and Entertainment, Ltd. 539,705 5,645,042 0.3%
Evolution Mining, Ltd. 2,030,419 4,853,602 0.3%
Fairfax Media, Ltd. 19,821,806 10,609,859 0.5%
#* FAR, Ltd. 9,219,905 622,980 0.0%
# Finbar Group, Ltd. 197,129 151,377 0.0%
# Fleetwood Corp., Ltd. 423,260 705,739 0.0%
# FlexiGroup, Ltd. 1,862,660 2,880,069 0.2%
Flight Centre Travel Group, Ltd. 40,874 1,712,279 0.1%
# G8 Education, Ltd. 2,747,111 4,666,858 0.2%
#* Galaxy Resources, Ltd. 2,286,516 5,185,309 0.3%
#* Gascoyne Resources, Ltd. 262,673 102,496 0.0%
# Gateway Lifestyle 1,805,353 2,693,140 0.1%
# GBST Holdings, Ltd. 178,479 301,015 0.0%
# Genworth Mortgage Insurance Australia, Ltd. 1,788,239 3,114,084 0.2%
# Global Construction Services, Ltd. 251,929 133,752 0.0%
#* Gold Road Resources, Ltd. 1,299,690 774,321 0.0%
GR Engineering Services, Ltd. 55,230 58,065 0.0%
GrainCorp, Ltd. Class A 1,258,179 8,371,919 0.4%
Grange Resources, Ltd. 1,724,297 225,679 0.0%
# Greencross, Ltd. 524,522 2,091,537 0.1%
* Greenland Minerals & Energy, Ltd. 114,047 7,361 0.0%
# GUD Holdings, Ltd. 956,193 9,084,103 0.5%
GWA Group, Ltd. 2,071,266 5,980,062 0.3%
# Hansen Technologies, Ltd. 1,061,558 3,420,866 0.2%
# Harvey Norman Holdings, Ltd. 1,042,499 2,748,007 0.1%
# Healthscope, Ltd. 8,543,532 15,565,749 0.8%
Helloworld Travel, Ltd. 12,955 45,247 0.0%
#* Highfield Resources, Ltd. 160,730 105,781 0.0%
* Hills, Ltd. 455,585 73,212 0.0%
* Horizon Oil, Ltd. 4,073,887 440,345 0.0%
# HT&E, Ltd. 2,174,438 3,821,588 0.2%
IDP Education, Ltd. 346,502 2,002,566 0.1%
Iluka Resources, Ltd. 1,760,123 15,451,894 0.8%
* Imdex, Ltd. 2,104,336 1,962,302 0.1%
# IMF Bentham, Ltd. 1,241,488 2,323,361 0.1%
#* Immutep, Ltd. 1,409,121 25,131 0.0%
# Independence Group NL 3,049,253 11,730,613 0.6%
* Infigen Energy 5,060,179 2,622,300 0.1%
Infomedia, Ltd. 2,521,963 1,675,476 0.1%
# Inghams Group, Ltd. 714,686 2,016,512 0.1%
Integral Diagnostics, Ltd. 14,901 26,307 0.0%
Integrated Research, Ltd. 603,334 1,737,531 0.1%
# InvoCare, Ltd. 920,100 8,992,232 0.5%
# IOOF Holdings, Ltd. 2,368,404 15,905,535 0.8%
# IPH, Ltd. 875,080 2,399,778 0.1%
IRESS, Ltd. 1,175,824 9,224,117 0.5%
# iSelect, Ltd. 742,596 318,701 0.0%
# iSentia Group, Ltd. 995,634 597,720 0.0%
IVE Group, Ltd. 343,043 574,048 0.0%
# Japara Healthcare, Ltd. 1,648,443 2,352,684 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
AUSTRALIA -- (Continued)
# JB Hi-Fi, Ltd. 962,791 $18,562,184 0.9%
Jumbo Interactive, Ltd. 121,411 398,076 0.0%
* Jupiter Mines, Ltd. 344,616 99,886 0.0%
K&S Corp., Ltd. 274,800 352,282 0.0%
#* Karoon Gas Australia, Ltd. 1,703,069 1,616,636 0.1%
#* Kingsgate Consolidated, Ltd. 1,797,365 383,479 0.0%
* Kingsrose Mining, Ltd. 937,248 57,772 0.0%
# Kogan.com, Ltd. 178,055 1,032,400 0.1%
LifeHealthcare Group, Ltd. 8,683 23,640 0.0%
Lifestyle Communities, Ltd. 52,964 199,262 0.0%
Link Administration Holdings, Ltd. 2,142,675 13,332,454 0.7%
Lovisa Holdings, Ltd. 107,266 776,558 0.0%
* Lynas Corp., Ltd. 1,344,893 2,591,865 0.1%
MACA, Ltd. 948,928 919,062 0.1%
* Macmahon Holdings, Ltd. 7,324,803 1,203,799 0.1%
Macquarie Atlas Roads Group 3,516,909 17,004,838 0.9%
# Magellan Financial Group, Ltd. 457,651 7,995,377 0.4%
Mantra Group, Ltd. 1,991,957 5,915,326 0.3%
MaxiTRANS Industries, Ltd. 915,613 469,445 0.0%
#* Mayne Pharma Group, Ltd. 6,757,843 3,445,076 0.2%
McMillan Shakespeare, Ltd. 487,275 6,156,959 0.3%
McPherson's, Ltd. 645,090 605,825 0.0%
* Medusa Mining, Ltd. 1,334,671 559,575 0.0%
# Melbourne IT, Ltd. 949,920 2,637,553 0.1%
#* Mermaid Marine Australia, Ltd. 4,749,942 839,279 0.0%
#* Mesoblast, Ltd. 782,426 860,142 0.0%
# Metals X, Ltd. 2,933,458 1,718,199 0.1%
# Metcash, Ltd. 6,611,120 17,844,135 0.9%
# Michael Hill International, Ltd.(BD8D249) 1,490,263 1,138,697 0.1%
# Michael Hill International, Ltd.(BD8D250) 94,305 72,234 0.0%
* Millennium Minerals, Ltd. 946,708 151,739 0.0%
* Mincor Resources NL 766,120 238,274 0.0%
* Mineral Deposits, Ltd. 19,495 21,615 0.0%
Mineral Resources, Ltd. 1,168,088 15,641,803 0.8%
# MNF Group, Ltd. 191,475 748,725 0.0%
# Monadelphous Group, Ltd. 813,595 9,840,232 0.5%
# Monash IVF Group, Ltd. 929,280 817,624 0.0%
# Money3 Corp., Ltd. 621,964 827,675 0.0%
# Mortgage Choice, Ltd. 826,970 1,084,883 0.1%
Motorcycle Holdings, Ltd. 14,469 34,163 0.0%
Mount Gibson Iron, Ltd. 4,879,718 1,522,262 0.1%
# Myer Holdings, Ltd. 5,669,367 1,637,160 0.1%
# MYOB Group, Ltd. 2,577,605 6,284,932 0.3%
MyState, Ltd. 467,834 1,636,356 0.1%
Navigator Global Investments, Ltd. 752,455 2,163,593 0.1%
# Navitas, Ltd. 1,767,557 5,659,377 0.3%
* Neometals, Ltd. 533,756 134,001 0.0%
#* NetComm Wireless, Ltd. 216,798 223,735 0.0%
New Hope Corp., Ltd. 328,650 534,649 0.0%
#* NEXTDC, Ltd. 432,738 2,222,439 0.1%
nib holdings, Ltd. 2,972,376 12,425,083 0.6%
Nick Scali, Ltd. 270,546 1,412,225 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
AUSTRALIA -- (Continued)
Nine Entertainment Co. Holdings, Ltd. 4,195,529 $ 7,429,570 0.4%
Northern Star Resources, Ltd. 4,806,957 22,941,083 1.2%
* NRW Holdings, Ltd. 2,540,504 2,435,670 0.1%
Nufarm, Ltd. 1,720,608 11,760,789 0.6%
# OFX Group, Ltd. 1,481,807 2,003,194 0.1%
* OM Holdings, Ltd. 58,046 52,321 0.0%
* Onevue Holdings, Ltd. 501,494 267,944 0.0%
oOh!media, Ltd. 591,646 2,160,452 0.1%
Orora, Ltd. 7,096,268 17,797,679 0.9%
OZ Minerals, Ltd. 2,198,276 15,170,239 0.8%
Pacific Current Group, Ltd. 164,960 779,026 0.0%
Pacific Energy, Ltd. 30,060 12,066 0.0%
Pacific Smiles Group, Ltd. 256,946 315,888 0.0%
# Pact Group Holdings, Ltd. 894,358 3,808,146 0.2%
* Panoramic Resources, Ltd. 2,802,164 1,110,867 0.1%
* Pantoro, Ltd. 407,293 105,216 0.0%
# Paragon Care, Ltd. 553,775 303,909 0.0%
Peet, Ltd. 1,846,384 1,962,606 0.1%
#* Peninsula Energy, Ltd. 268,623 50,225 0.0%
# Perpetual, Ltd. 356,426 10,752,872 0.5%
#* Perseus Mining, Ltd. 7,749,285 2,661,435 0.1%
Pioneer Credit, Ltd. 149,811 392,845 0.0%
# Platinum Asset Management, Ltd. 1,290,958 5,476,059 0.3%
* PMP, Ltd. 2,421,092 509,554 0.0%
#* Praemium, Ltd. 1,016,687 532,108 0.0%
# Premier Investments, Ltd. 610,324 7,206,380 0.4%
Primary Health Care, Ltd. 3,326,526 9,483,692 0.5%
# Prime Media Group, Ltd. 2,115,465 460,464 0.0%
Pro Medicus, Ltd. 192,067 1,153,155 0.1%
PWR Holdings, Ltd. 61,827 109,463 0.0%
QMS Media, Ltd. 322,350 254,514 0.0%
# Qube Holdings, Ltd. 4,318,664 7,443,162 0.4%
#* Quintis, Ltd. 2,130,129 415,376 0.0%
#* Ramelius Resources, Ltd. 3,502,863 1,351,972 0.1%
RCR Tomlinson, Ltd. 1,214,629 3,701,676 0.2%
* Reckon, Ltd. 446,073 432,233 0.0%
* Red River Resources, Ltd. 322,302 69,585 0.0%
Reece, Ltd. 1,034,014 8,252,440 0.4%
# Regis Healthcare, Ltd. 1,232,221 3,540,952 0.2%
Regis Resources, Ltd. 3,227,165 11,388,171 0.6%
Reject Shop, Ltd. (The) 277,760 1,539,187 0.1%
# Reliance Worldwide Corp., Ltd. 2,172,912 7,711,023 0.4%
# Resolute Mining, Ltd. 7,575,156 6,469,359 0.3%
# Retail Food Group, Ltd. 1,339,855 927,003 0.1%
Ridley Corp., Ltd. 1,705,857 1,635,425 0.1%
* RPMGlobal Holdings, Ltd. 52,065 26,646 0.0%
Ruralco Holdings, Ltd. 164,672 389,338 0.0%
# RXP Services, Ltd. 495,127 211,797 0.0%
Salmat, Ltd. 645,788 328,738 0.0%
Sandfire Resources NL 1,295,934 7,669,803 0.4%
* Saracen Mineral Holdings, Ltd. 7,247,386 10,187,827 0.5%
# SeaLink Travel Group, Ltd. 185,649 549,163 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
# Select Harvests, Ltd. 674,833 $ 3,159,588 0.2%
* Senetas Corp., Ltd. 131,335 11,265 0.0%
#* Senex Energy, Ltd. 11,411,198 3,541,770 0.2%
# Servcorp, Ltd. 342,797 1,231,631 0.1%
Service Stream, Ltd. 2,120,468 2,517,534 0.1%
Seven Group Holdings, Ltd. 625,509 8,529,355 0.4%
Seven West Media, Ltd. 7,785,820 3,238,028 0.2%
SG Fleet Group, Ltd. 351,830 935,247 0.1%
Shine Corporate, Ltd. 15,573 10,517 0.0%
# Shriro Holdings, Ltd. 148,697 153,133 0.0%
# Sigma Healthcare, Ltd. 8,320,487 4,834,828 0.2%
#* Silex Systems, Ltd. 411,622 91,362 0.0%
# Silver Chef, Ltd. 138,918 361,431 0.0%
#* Silver Lake Resources, Ltd. 4,060,760 1,701,676 0.1%
Sims Metal Management, Ltd. 1,382,214 16,705,016 0.9%
* Sino Gas & Energy Holdings, Ltd. 5,053,842 643,526 0.0%
Sirtex Medical, Ltd. 549,789 11,498,229 0.6%
SmartGroup Corp., Ltd. 568,829 4,634,351 0.2%
Southern Cross Media Group, Ltd. 3,965,374 3,433,630 0.2%
Spark Infrastructure Group 9,880,226 17,420,897 0.9%
SpeedCast International, Ltd. 1,854,862 8,238,408 0.4%
SRG, Ltd. 2,002 2,758 0.0%
St Barbara, Ltd. 4,165,437 13,288,919 0.7%
Steadfast Group, Ltd. 4,895,617 10,080,408 0.5%
* Strike Energy, Ltd. 1,789,423 82,890 0.0%
#* Sundance Energy Australia, Ltd. 32,443,254 1,508,384 0.1%
Sunland Group, Ltd. 740,896 979,771 0.1%
# Super Retail Group, Ltd. 1,288,021 6,963,774 0.4%
# Superloop, Ltd. 320,615 455,263 0.0%
#* Syrah Resources, Ltd. 1,570,227 3,759,434 0.2%
# Tassal Group, Ltd. 1,418,519 4,132,495 0.2%
Technology One, Ltd. 1,793,577 6,662,190 0.3%
# Thorn Group, Ltd. 719,236 330,756 0.0%
* Tiger Resources, Ltd. 9,447,997 141,718 0.0%
# Tox Free Solutions, Ltd. 1,278,532 3,308,408 0.2%
Tribune Resources, Ltd. 3,093 15,176 0.0%
#* Troy Resources, Ltd. 2,230,415 218,974 0.0%
Villa World, Ltd. 767,485 1,425,028 0.1%
#* Village Roadshow, Ltd. 836,651 1,358,856 0.1%
#* Virgin Australia Holdings, Ltd. 11,947,588 1,971,377 0.1%
Virtus Health, Ltd. 524,539 2,224,645 0.1%
Vita Group, Ltd. 454,794 369,908 0.0%
# Vocus Group, Ltd. 4,330,071 7,958,000 0.4%
* Watpac, Ltd. 760,701 453,356 0.0%
# Webjet, Ltd. 892,407 7,350,714 0.4%
Webster, Ltd. 85,362 99,648 0.0%
Western Areas, Ltd. 2,274,784 5,857,719 0.3%
#* Westgold Resources, Ltd. 1,493,841 1,653,487 0.1%
Whitehaven Coal, Ltd. 2,214,418 7,635,883 0.4%
# WiseTech Global, Ltd. 165,792 1,245,197 0.1%
WorleyParsons, Ltd. 1,474,136 17,967,912 0.9%
WPP AUNZ, Ltd. 2,476,651 1,708,292 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
AUSTRALIA -- (Continued)
Xenith IP Group, Ltd. 9,607 $ 8,513 0.0%
-------------- ----
TOTAL AUSTRALIA 1,118,848,658 56.7%
-------------- ----
CANADA -- (0.0%)
* Copper Mountain Mining Corp. 107,936 103,199 0.0%
-------------- ----
CHINA -- (0.0%)
Nanfang Communication Holdings, Ltd. 272,000 157,406 0.0%
-------------- ----
HONG KONG -- (24.2%)
* 13 Holdings, Ltd. (The) 156,750 11,368 0.0%
Aeon Credit Service Asia Co., Ltd. 752,000 609,364 0.0%
Aeon Stores Hong Kong Co., Ltd. 248,000 152,134 0.0%
# Agritrade Resources, Ltd. 20,035,000 3,748,032 0.2%
Alco Holdings, Ltd. 1,614,000 283,190 0.0%
Allan International Holdings 32,000 8,393 0.0%
Allied Group, Ltd. 661,200 4,160,440 0.2%
# Allied Properties HK, Ltd. 12,111,857 2,413,486 0.1%
Alltronics Holdings, Ltd. 2,453,600 785,803 0.0%
APAC Resources, Ltd. 2,270,888 368,521 0.0%
#* Applied Development Holdings, Ltd. 13,190,000 1,054,328 0.1%
# APT Satellite Holdings, Ltd. 3,008,500 1,425,015 0.1%
Arts Optical International Hldgs, Ltd. 730,000 186,190 0.0%
Asia Financial Holdings, Ltd. 2,404,908 1,491,546 0.1%
* Asia Investment Finance Group, Ltd. 15,652,000 195,393 0.0%
Asia Satellite Telecommunications Holdings, Ltd. 934,500 736,245 0.0%
Asia Standard Hotel Group, Ltd. 34,101,654 2,132,124 0.1%
# Asia Standard International Group, Ltd. 13,270,917 3,181,419 0.2%
Associated International Hotels, Ltd. 952,000 3,003,622 0.2%
* Auto Italia Holdings 1,900,000 21,214 0.0%
* Automated Systems Holdings, Ltd. 192,000 36,416 0.0%
* Beijing Gas Blue Sky Holdings, Ltd. 18,800,000 1,218,253 0.1%
BeijingWest Industries International, Ltd. 1,277,600 184,326 0.0%
* Best Food Holding Co., Ltd. 330,000 51,744 0.0%
BOC Aviation, Ltd. 145,000 847,787 0.1%
# BOE Varitronix, Ltd. 3,046,293 1,465,527 0.1%
* Bonjour Holdings, Ltd. 13,988,600 594,120 0.0%
Bossini International Holdings, Ltd. 3,699,500 167,099 0.0%
# Bright Smart Securities & Commodities Group, Ltd. 6,366,000 2,074,941 0.1%
* Brightoil Petroleum Holdings, Ltd. 10,052,000 1,440,821 0.1%
* Brockman Mining, Ltd. 22,810,814 341,189 0.0%
* Burwill Holdings, Ltd. 34,142,960 1,533,148 0.1%
Cafe de Coral Holdings, Ltd. 2,448,000 6,010,842 0.3%
* Camsing International Holding, Ltd. 1,222,000 937,196 0.1%
* Cash Financial Services Group, Ltd. 2,934,000 63,363 0.0%
* CCT Land Holdings, Ltd. 18,640,000 23,749 0.0%
#* CEFC Hong Kong Financial Investment Co., Ltd. 810,000 34,331 0.0%
Century City International Holdings, Ltd. 6,723,460 639,467 0.0%
# CGN Mining Co., Ltd. 4,855,000 319,557 0.0%
* Champion Technology Holdings, Ltd. 864,254 83,482 0.0%
Chen Hsong Holdings 1,212,000 344,307 0.0%
Cheuk Nang Holdings, Ltd. 679,350 392,167 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
HONG KONG -- (Continued)
Chevalier International Holdings, Ltd. 820,989 $ 1,288,628 0.1%
* China Baofeng International, Ltd. 22,000 8,365 0.0%
* China Best Group Holding, Ltd. 8,500,000 90,391 0.0%
* China Chuanglian Education Financial Group, Ltd. 5,416,000 67,643 0.0%
China Display Optoelectronics Technology Holdings, Ltd. 4,928,000 416,891 0.0%
* China Energy Development Holdings, Ltd. 53,782,000 527,408 0.0%
China Flavors & Fragrances Co., Ltd. 1,561,028 527,608 0.0%
* China Fortune Financial Group, Ltd. 6,570,000 108,994 0.0%
# China Goldjoy Group, Ltd. 10,716,000 702,824 0.0%
* China HKBridge Holdings, Ltd. 103,000 28,826 0.0%
#* China LNG Group, Ltd. 7,534,001 1,054,890 0.1%
* China Ludao Technology Co., Ltd. 580,000 95,212 0.0%
* China Medical & Healthcare Group, Ltd. 42,916,800 1,596,889 0.1%
China Motor Bus Co., Ltd. 60,600 759,079 0.0%
* China Oceanwide International Financial, Ltd. 890,000 118,715 0.0%
#* China Shandong Hi-Speed Financial Group, Ltd. 2,406,000 91,526 0.0%
* China Soft Power Technology Holdings, Ltd. 23,892,402 329,480 0.0%
* China Solar Energy Holdings, Ltd. 1,669,500 7,179 0.0%
* China Star Entertainment, Ltd. 1,900,000 79,145 0.0%
#* China Strategic Holdings, Ltd. 74,181,250 789,651 0.0%
China Ting Group Holdings, Ltd. 2,565,151 125,117 0.0%
# Chinese Estates Holdings, Ltd. 2,963,500 4,407,759 0.2%
* Chinlink International Holdings, Ltd. 909,800 110,142 0.0%
Chinney Investments, Ltd. 1,180,000 489,452 0.0%
Chong Hing Bank, Ltd. 146,000 295,126 0.0%
Chow Sang Sang Holdings International, Ltd. 2,405,000 5,279,865 0.3%
CHTC Fong's Industries Co., Ltd. 42,000 9,586 0.0%
Chuang's China Investments, Ltd. 8,251,407 596,392 0.0%
Chuang's Consortium International, Ltd. 7,399,043 1,670,165 0.1%
CITIC Telecom International Holdings, Ltd. 12,575,125 3,704,016 0.2%
CK Life Sciences Intl Holdings, Inc. 22,972,000 1,658,466 0.1%
* CMMB Vision Holdings, Ltd. 9,204,000 222,693 0.0%
CNQC International Holdings, Ltd. 3,780,000 1,372,821 0.1%
CNT Group, Ltd. 8,303,264 434,309 0.0%
* Common Splendor International Health Industry Group, Ltd. 10,726,000 1,105,802 0.1%
* Continental Holdings, Ltd. 450,000 7,651 0.0%
# Convenience Retail Asia, Ltd. 142,000 66,781 0.0%
#* Convoy Global Holdings, Ltd. 38,622,000 616,582 0.0%
* Cosmopolitan International Holdings, Ltd. 2,040,000 284,539 0.0%
# Cowell e Holdings, Inc. 3,513,000 805,307 0.1%
* CP Lotus Corp. 11,880,000 173,684 0.0%
* Crocodile Garments 2,196,000 225,898 0.0%
# Cross-Harbour Holdings, Ltd. (The) 989,956 1,634,819 0.1%
CSI Properties, Ltd. 41,656,383 2,691,773 0.1%
* CST Group, Ltd. 140,296,000 622,360 0.0%
* Culturecom Holdings, Ltd. 45,000 2,769 0.0%
# CW Group Holdings, Ltd. 2,804,500 429,663 0.0%
Dah Sing Banking Group, Ltd. 3,943,916 9,365,489 0.5%
Dah Sing Financial Holdings, Ltd. 1,526,544 10,193,764 0.5%
* Daohe Global Group, Ltd. 467,000 35,051 0.0%
Dickson Concepts International, Ltd. 1,282,500 468,855 0.0%
#* Digital Domain Holdings, Ltd. 1,080,000 22,579 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
HONG KONG -- (Continued)
* DTXS Silk Road Investment Holdings Co., Ltd. 22,000 $ 13,085 0.0%
Dynamic Holdings, Ltd. 70,000 67,196 0.0%
Eagle Nice International Holdings, Ltd. 2,086,000 973,961 0.1%
EcoGreen International Group, Ltd. 1,782,640 321,490 0.0%
* eForce Holdings, Ltd. 5,912,000 148,430 0.0%
* Elegance Optical International Holdings, Ltd. 542,000 126,209 0.0%
Emperor Capital Group, Ltd. 31,527,000 2,429,619 0.1%
Emperor Entertainment Hotel, Ltd. 4,725,000 1,062,573 0.1%
Emperor International Holdings, Ltd. 9,506,753 2,883,910 0.2%
Emperor Watch & Jewellery, Ltd. 28,650,000 1,961,957 0.1%
# Enerchina Holdings, Ltd. 5,426,700 309,010 0.0%
* ENM Holdings, Ltd. 14,680,000 1,445,067 0.1%
#* Esprit Holdings, Ltd. 14,906,850 5,150,581 0.3%
* eSun Holdings, Ltd. 4,444,000 703,816 0.0%
* Eternity Investment, Ltd. 830,000 19,576 0.0%
# Fairwood Holdings, Ltd. 753,600 2,873,856 0.2%
Far East Consortium International, Ltd. 10,136,463 5,788,754 0.3%
* Far East Holdings International, Ltd. 1,728,000 161,431 0.0%
# FIH Mobile, Ltd. 19,005,000 3,258,284 0.2%
First Pacific Co., Ltd. 9,464,000 4,846,223 0.3%
* First Shanghai Investments, Ltd. 6,944,000 725,515 0.0%
Fountain SET Holdings, Ltd. 5,842,000 898,460 0.1%
Four Seas Mercantile Holdings, Ltd. 610,000 267,970 0.0%
* Freeman FinTech Corp., Ltd. 27,440,000 4,070,164 0.2%
# Future Bright Holdings, Ltd. 3,288,000 342,149 0.0%
* Future World Financial Holdings, Ltd. 205,723 4,919 0.0%
* G-Resources Group, Ltd. 174,891,600 1,421,099 0.1%
* GCL New Energy Holdings, Ltd. 44,718,000 2,480,344 0.1%
Get Nice Financial Group, Ltd. 2,998,600 485,333 0.0%
# Get Nice Holdings, Ltd. 51,222,000 1,884,517 0.1%
Giordano International, Ltd. 11,528,000 7,044,470 0.4%
#* Global Brands Group Holding, Ltd. 40,918,000 2,016,400 0.1%
Glorious Sun Enterprises, Ltd. 4,328,000 477,634 0.0%
Gold Peak Industries Holdings, Ltd. 3,029,642 328,581 0.0%
#* Gold-Finance Holdings, Ltd. 9,352,000 3,712,280 0.2%
Golden Resources Development International, Ltd. 3,330,500 201,280 0.0%
#* Good Resources Holdings, Ltd. 9,720,000 332,929 0.0%
# Goodbaby International Holdings, Ltd. 3,165,000 2,008,927 0.1%
* GR Properties, Ltd. 1,296,000 131,555 0.0%
Great Eagle Holdings, Ltd. 668,566 3,377,125 0.2%
* Greenheart Group, Ltd. 668,000 86,339 0.0%
* Greentech Technology International, Ltd. 6,240,000 106,243 0.0%
Guangnan Holdings, Ltd. 2,363,600 276,343 0.0%
# Guotai Junan International Holdings, Ltd. 23,547,797 7,035,726 0.4%
# Haitong International Securities Group, Ltd. 17,520,259 10,213,217 0.5%
Hanison Construction Holdings, Ltd. 2,405,649 437,294 0.0%
* Hao Tian Development Group, Ltd. 19,412,400 726,072 0.0%
Harbour Centre Development, Ltd. 935,500 1,736,343 0.1%
High Fashion International, Ltd. 250,000 58,793 0.0%
HIN Sang Group International Holding Co., Ltd. 74,000 12,380 0.0%
# HKBN, Ltd. 4,150,500 5,811,258 0.3%
HKR International, Ltd. 6,178,336 3,759,196 0.2%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
HONG KONG -- (Continued)
* Hoifu Energy Group, Ltd. 876,000 $ 113,596 0.0%
Hon Kwok Land Investment Co., Ltd. 388,800 220,811 0.0%
Hong Kong Aircraft Engineering Co., Ltd. 150,800 859,997 0.1%
Hong Kong Ferry Holdings Co., Ltd. 866,300 995,555 0.1%
# Hong Kong International Construction Investment Management Group
Co., Ltd. 2,532,000 664,603 0.0%
Hong Kong Shanghai Alliance Holdings, Ltd. 1,248,002 108,287 0.0%
#* Hong Kong Television Network, Ltd. 4,014,751 1,451,544 0.1%
# Hongkong & Shanghai Hotels, Ltd. (The) 2,933,845 4,446,505 0.2%
Hongkong Chinese, Ltd. 5,038,000 878,234 0.1%
Hop Hing Group Holdings, Ltd. 13,596,000 317,638 0.0%
Hopewell Holdings, Ltd. 3,604,500 12,786,298 0.7%
#* Hsin Chong Group Holdings, Ltd. 10,323,403 86,284 0.0%
* Huarong International Financial Holdings, Ltd. 732,000 143,640 0.0%
#* Huarong Investment Stock Corp., Ltd. 1,050,000 114,360 0.0%
* Huisheng International Holdings, Ltd. 2,408,000 88,593 0.0%
Hung Hing Printing Group, Ltd. 2,728,000 621,421 0.0%
# Hutchison Telecommunications Hong Kong Holdings, Ltd. 11,986,000 4,405,649 0.2%
* I-CABLE Communications, Ltd. 1,030,000 21,911 0.0%
# IGG, Inc. 7,730,000 11,625,114 0.6%
* Imagi International Holdings, Ltd. 2,142,300 269,869 0.0%
International Housewares Retail Co., Ltd. 766,000 154,777 0.0%
iOne Holdings, Ltd. 2,560,000 48,273 0.0%
IPE Group, Ltd. 3,345,000 609,934 0.0%
#* IRC, Ltd. 23,876,266 509,568 0.0%
IT, Ltd. 4,344,532 2,108,323 0.1%
# ITC Properties Group, Ltd. 5,940,836 2,092,688 0.1%
Jacobson Pharma Corp., Ltd. 600,000 143,888 0.0%
Johnson Electric Holdings, Ltd. 2,623,750 9,134,663 0.5%
Kader Holdings Co., Ltd. 788,000 151,012 0.0%
Kam Hing International Holdings, Ltd. 1,830,000 155,315 0.0%
Karrie International Holdings, Ltd. 2,278,000 338,613 0.0%
Keck Seng Investments 878,600 769,716 0.0%
Kerry Logistics Network, Ltd. 3,024,500 4,618,510 0.2%
Kingmaker Footwear Holdings, Ltd. 2,200,955 578,646 0.0%
Kowloon Development Co., Ltd. 2,549,000 2,871,453 0.2%
* Kwan On Holdings, Ltd. 2,340,000 286,508 0.0%
Kwoon Chung Bus Holdings, Ltd. 44,000 24,410 0.0%
L'Occitane International SA 1,194,250 2,215,272 0.1%
Lai Sun Development Co., Ltd. 1,916,410 2,960,910 0.2%
Lai Sun Garment International, Ltd. 673,055 968,254 0.1%
Lam Soon Hong Kong, Ltd. 302,310 573,259 0.0%
* Landing International Development, Ltd. 168,800,000 3,827,429 0.2%
Landsea Green Group Co., Ltd. 2,272,000 298,838 0.0%
* LEAP Holdings Group, Ltd. 5,160,000 398,830 0.0%
Lifestyle International Holdings, Ltd. 2,741,000 5,123,762 0.3%
Lippo China Resources, Ltd. 20,922,000 648,387 0.0%
Lippo, Ltd. 1,161,700 610,535 0.0%
Liu Chong Hing Investment, Ltd. 1,323,200 2,127,496 0.1%
Luk Fook Holdings International, Ltd. 3,329,000 13,914,340 0.7%
Luks Group Vietnam Holdings Co., Ltd. 514,913 162,218 0.0%
Lung Kee Bermuda Holdings 1,609,875 833,347 0.1%
#* Macau Legend Development, Ltd. 18,092,000 2,869,555 0.2%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HONG KONG -- (Continued)
Magnificent Hotel Investment, Ltd. 13,170,000 $ 357,683 0.0%
* Man Sang International, Ltd. 132,000 7,646 0.0%
# Man Wah Holdings, Ltd. 13,457,600 9,952,949 0.5%
#* Mason Group Holdings, Ltd. 55,573,399 1,456,564 0.1%
#* Master Glory Group, Ltd.(BYTP1T9) 48,990,592 467,182 0.0%
* Master Glory Group, Ltd.(BYTP1T9) 394,860 3,773 0.0%
Matrix Holdings, Ltd. 1,067,414 395,105 0.0%
* Maxnerva Technology Services, Ltd. 982,000 165,331 0.0%
* Mei Ah Entertainment Group, Ltd. 480,000 16,483 0.0%
Meilleure Health International Industry Group, Ltd. 1,248,000 66,043 0.0%
Melbourne Enterprises, Ltd. 39,500 949,368 0.1%
Melco International Development, Ltd. 1,281,000 4,742,694 0.3%
Microport Scientific Corp. 1,295,000 1,508,038 0.1%
Midas International Holdings, Ltd. 8,460,000 295,337 0.0%
* Midland Holdings, Ltd. 5,254,000 1,425,519 0.1%
* Midland IC&I, Ltd. 2,591,000 108,892 0.0%
Ming Fai International Holdings, Ltd. 2,148,000 323,008 0.0%
# Miramar Hotel & Investment 1,039,000 2,036,818 0.1%
Modern Dental Group, Ltd. 2,018,000 578,116 0.0%
* Mongolian Mining Corp. 17,058,500 324,115 0.0%
NagaCorp, Ltd. 12,782,000 13,214,612 0.7%
Nameson Holdings, Ltd. 5,052,000 1,003,491 0.1%
Nanyang Holdings, Ltd. 133,500 967,118 0.1%
National Electronic Hldgs 2,668,600 393,458 0.0%
* National United Resources Holdings, Ltd. 18,280,000 61,953 0.0%
* Neo-Neon Holdings, Ltd. 2,337,500 254,977 0.0%
* New Century Group Hong Kong, Ltd. 13,351,464 232,461 0.0%
* NEW Concepts Holdings, Ltd. 1,012,000 501,239 0.0%
* New Sports Group, Ltd. 1,186,000 119,902 0.0%
* New Times Energy Corp., Ltd. 10,056,600 234,941 0.0%
* Newocean Energy Holdings, Ltd. 8,034,000 1,871,258 0.1%
* Newtree Group Holdings, Ltd. 6,126,000 459,902 0.0%
* Next Digital, Ltd. 4,295,183 147,450 0.0%
* Nimble Holdings Co., Ltd. 1,002,000 174,174 0.0%
* Nine Express, Ltd. 1,440,000 62,087 0.0%
* OCI International Holdings, Ltd. 56,000 9,638 0.0%
# OP Financial, Ltd. 4,204,000 1,677,237 0.1%
Orange Sky Golden Harvest Entertainment Holdings, Ltd. 10,589,706 696,267 0.0%
Orient Overseas International, Ltd. 1,123,000 10,677,992 0.6%
Oriental Watch Holdings 3,078,800 1,007,419 0.1%
* Pacific Andes International Holdings, Ltd. 19,435,067 67,849 0.0%
* Pacific Basin Shipping, Ltd. 33,538,000 8,917,557 0.5%
Pacific Plywood Holdings, Ltd. 2,200,000 52,977 0.0%
Pacific Textiles Holdings, Ltd. 6,737,000 6,163,152 0.3%
Pak Fah Yeow International, Ltd. 5,000 2,251 0.0%
Paliburg Holdings, Ltd. 3,180,830 1,390,549 0.1%
#* Paradise Entertainment, Ltd. 3,652,000 449,013 0.0%
PC Partner Group, Ltd. 1,550,000 1,033,052 0.1%
* Pearl Oriental Oil, Ltd. 11,849,400 220,422 0.0%
Pegasus International Holdings, Ltd. 226,000 30,645 0.0%
Perfect Shape Beauty Technology, Ltd. 1,348,000 191,341 0.0%
# Pico Far East Holdings, Ltd. 5,824,000 2,366,525 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
HONG KONG -- (Continued)
Playmates Holdings, Ltd. 7,082,000 $ 970,599 0.1%
Playmates Toys, Ltd. 6,328,000 699,696 0.0%
Plover Bay Technologies, Ltd. 1,984,000 401,104 0.0%
# Pokfulam Development Co. 234,000 522,793 0.0%
Polytec Asset Holdings, Ltd. 11,323,526 964,147 0.1%
* PT International Development Co., Ltd. 2,839,150 195,201 0.0%
Public Financial Holdings, Ltd. 3,166,000 1,356,049 0.1%
PuraPharm Corp., Ltd. 137,000 42,281 0.0%
* PYI Corp., Ltd. 29,673,973 523,588 0.0%
* Qianhai Health Holdings, Ltd. 1,077,499 11,948 0.0%
* Quali-Smart Holdings, Ltd. 152,000 11,993 0.0%
#* Realord Group Holdings, Ltd. 2,912,000 1,780,472 0.1%
Regal Hotels International Holdings, Ltd. 2,915,800 1,952,058 0.1%
* Regent Pacific Group, Ltd. 8,730,000 287,249 0.0%
# Regina Miracle International Holdings, Ltd. 1,995,000 1,711,740 0.1%
SA SA International Holdings, Ltd. 12,296,429 7,629,669 0.4%
Safety Godown Co., Ltd. 400,000 874,828 0.1%
SAS Dragon Holdings, Ltd. 2,182,000 643,424 0.0%
# SEA Holdings, Ltd. 1,661,523 2,743,764 0.1%
# Shenwan Hongyuan HK, Ltd. 4,291,250 1,322,449 0.1%
* Shougang Concord Grand Group, Ltd. 1,158,000 28,419 0.0%
Shun Ho Property Investments, Ltd. 1,254,757 455,101 0.0%
Shun Tak Holdings, Ltd. 13,739,419 5,654,710 0.3%
#* Shunten International Holdings, Ltd. 6,064,000 856,433 0.1%
* Silver base Group Holdings, Ltd. 6,545,515 514,213 0.0%
* Sincere Watch Hong Kong, Ltd. 4,450,000 65,016 0.0%
Sing Tao News Corp., Ltd. 1,974,000 273,596 0.0%
Singamas Container Holdings, Ltd. 12,698,000 2,022,751 0.1%
SIS International Holdings 34,000 20,815 0.0%
SITC International Holdings Co., Ltd. 3,597,000 3,832,408 0.2%
# Sitoy Group Holdings, Ltd. 1,463,000 313,457 0.0%
Sky Light Holdings, Ltd. 721,000 81,754 0.0%
# SmarTone Telecommunications Holdings, Ltd. 3,975,980 4,203,461 0.2%
* SOCAM Development, Ltd. 2,136,771 485,829 0.0%
#* Solartech International Holdings, Ltd. 15,580,000 2,498,054 0.1%
* Solomon Systech International, Ltd. 11,680,000 502,300 0.0%
Soundwill Holdings, Ltd. 612,500 1,089,524 0.1%
* South China Financial Holdings, Ltd. 21,850,000 110,664 0.0%
* South China Holdings Co., Ltd. 17,774,503 598,277 0.0%
* South Sea Petroleum Holdings, Ltd. 1,920,000 10,747 0.0%
Stella International Holdings, Ltd. 1,999,500 2,356,186 0.1%
* Stelux Holdings International, Ltd. 3,011,400 240,747 0.0%
Strong Petrochemical Holdings, Ltd. 2,016,000 229,197 0.0%
* Success Universe Group, Ltd. 6,716,000 210,465 0.0%
#* Summit Ascent Holdings, Ltd. 7,590,000 906,778 0.1%
Sun Hing Vision Group Holdings, Ltd. 358,000 144,924 0.0%
Sun Hung Kai & Co., Ltd. 5,113,429 3,154,664 0.2%
Sunwah Kingsway Capital Holdings, Ltd. 9,612,500 120,761 0.0%
TAI Cheung Holdings, Ltd. 2,130,000 2,346,105 0.1%
Tai Sang Land Development, Ltd. 781,910 507,211 0.0%
* Talent Property Group, Ltd. 14,355,000 157,371 0.0%
# Tan Chong International, Ltd. 1,176,000 405,791 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HONG KONG -- (Continued)
Tao Heung Holdings, Ltd. 1,439,000 $ 261,595 0.0%
# Television Broadcasts, Ltd. 2,412,600 7,656,497 0.4%
* Termbray Industries International Holdings, Ltd. 2,304,900 176,834 0.0%
Tern Properties Co., Ltd. 51,200 31,538 0.0%
# Texwinca Holdings, Ltd. 7,044,000 3,541,600 0.2%
* Theme International Holdings, Ltd. 3,620,000 83,798 0.0%
# Tian Teck Land, Ltd. 1,024,000 1,198,869 0.1%
TK Group Holdings, Ltd. 612,000 453,235 0.0%
#* Tom Group, Ltd. 1,434,000 400,121 0.0%
# Town Health International Medical Group, Ltd. 6,692,000 441,236 0.0%
# Tradelink Electronic Commerce, Ltd. 5,670,000 964,183 0.1%
Transport International Holdings, Ltd. 1,400,541 4,243,414 0.2%
* Trinity, Ltd. 8,046,000 812,338 0.1%
* TSC Group Holdings, Ltd. 3,386,000 293,361 0.0%
# Tsui Wah Holdings, Ltd. 3,578,000 504,959 0.0%
Union Medical Healthcare, Ltd. 663,097 309,043 0.0%
#* United Laboratories International Holdings, Ltd. (The) 6,004,000 6,513,462 0.3%
* Universal Technologies Holdings, Ltd. 7,410,000 299,931 0.0%
* Universe International Financial Holdings, Ltd. 405,000 36,031 0.0%
* Up Energy Development Group, Ltd. 3,929,000 12,114 0.0%
Upbest Group, Ltd. 72,000 9,366 0.0%
* Value Convergence Holdings, Ltd. 4,736,000 824,464 0.1%
Value Partners Group, Ltd. 4,460,000 4,218,736 0.2%
Vanke Property Overseas, Ltd. 49,000 29,866 0.0%
Vantage International Holdings, Ltd. 3,160,000 339,637 0.0%
Vedan International Holdings, Ltd. 3,576,000 355,890 0.0%
* Victory City International Holdings, Ltd. 31,219,660 427,361 0.0%
Vitasoy International Holdings, Ltd. 5,663,000 15,017,627 0.8%
# VPower Group International Holdings, Ltd. 868,000 451,719 0.0%
* VS International Group, Ltd. 1,022,000 25,572 0.0%
# VSTECS Holdings, Ltd. 5,429,600 2,832,896 0.2%
# VTech Holdings, Ltd. 961,000 11,701,390 0.6%
Wai Kee Holdings, Ltd. 7,582,738 4,385,550 0.2%
* Wan Kei Group Holdings, Ltd. 360,000 62,712 0.0%
Wang On Group, Ltd. 17,520,000 255,430 0.0%
Win Hanverky Holdings, Ltd. 2,938,000 283,492 0.0%
* Winfull Group Holdings, Ltd. 9,512,000 182,662 0.0%
Wing On Co. International, Ltd. 759,000 2,822,931 0.2%
Wing Tai Properties, Ltd. 2,107,331 1,633,562 0.1%
Wonderful Sky Financial Group Holdings, Ltd. 1,386,000 238,590 0.0%
Wong's International Holdings, Ltd. 737,641 283,090 0.0%
Wong's Kong King International 322,000 50,838 0.0%
Xinyi Glass Holdings, Ltd. 3,252,000 4,675,073 0.2%
Yangtzekiang Garment, Ltd. 592,500 222,378 0.0%
#* Yat Sing Holdings, Ltd. 950,000 55,305 0.0%
Yau Lee Holdings, Ltd. 424,000 76,545 0.0%
Yeebo International Holdings, Ltd. 2,828,000 795,439 0.1%
YGM Trading, Ltd. 447,000 345,320 0.0%
* YT Realty Group, Ltd. 749,000 238,334 0.0%
* Yuan Heng Gas Holdings, Ltd. 184,000 17,579 0.0%
Yugang International, Ltd. 90,818,000 2,454,058 0.1%
* Yunfeng Financial Group, Ltd. 270,000 159,122 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
HONG KONG -- (Continued)
* ZH International Holdings, Ltd. 280,000 $ 10,568 0.0%
------------ ----
TOTAL HONG KONG 524,548,414 26.6%
------------ ----
NEW ZEALAND -- (5.3%)
* a2 Milk Co., Ltd. 1,446,358 12,291,996 0.6%
Abano Healthcare Group, Ltd. 30,725 182,954 0.0%
Air New Zealand, Ltd. 1,448,237 3,323,067 0.2%
# Arvida Group, Ltd. 306,433 258,451 0.0%
Briscoe Group, Ltd. 2,235 5,500 0.0%
# CBL Corp., Ltd. 52,334 116,726 0.0%
# Chorus, Ltd. 2,364,083 6,707,415 0.3%
Colonial Motor Co., Ltd. (The) 144,588 792,454 0.1%
# Comvita, Ltd. 18,026 88,977 0.0%
EBOS Group, Ltd. 449,499 5,615,735 0.3%
Evolve Education Group, Ltd. 36,611 12,344 0.0%
# Freightways, Ltd. 960,640 5,051,963 0.3%
Genesis Energy, Ltd. 1,346,764 2,129,277 0.1%
# Gentrack Group, Ltd. 33,424 164,652 0.0%
Hallenstein Glasson Holdings, Ltd. 242,445 778,487 0.0%
Heartland Bank, Ltd. 1,297,373 1,633,055 0.1%
Infratil, Ltd. 3,273,797 7,339,196 0.4%
Investore Property, Ltd. 29,015 28,960 0.0%
Kathmandu Holdings, Ltd. 713,580 1,314,633 0.1%
Mainfreight, Ltd. 536,356 9,324,522 0.5%
Methven, Ltd. 96,877 69,201 0.0%
# Metlifecare, Ltd. 596,599 2,422,616 0.1%
# Metro Performance Glass, Ltd. 28,996 17,675 0.0%
Millennium & Copthorne Hotels New Zealand, Ltd. 395,725 790,901 0.1%
* New Zealand Oil & Gas, Ltd. 61,708 26,202 0.0%
New Zealand Refining Co., Ltd. (The) 640,364 1,058,347 0.1%
NZME, Ltd.(BD5W4X2) 945,851 555,073 0.0%
NZME, Ltd.(BD310N3) 16,366 9,562 0.0%
NZX, Ltd. 973,717 739,303 0.0%
* Pacific Edge, Ltd. 442,720 106,085 0.0%
PGG Wrightson, Ltd. 999,976 428,433 0.0%
Port of Tauranga, Ltd. 2,313,913 7,942,007 0.4%
* Pushpay Holdings, Ltd. 136,023 381,515 0.0%
Restaurant Brands New Zealand, Ltd. 597,312 3,012,427 0.2%
* Rubicon, Ltd. 1,442,620 246,577 0.0%
Ryman Healthcare, Ltd. 90,553 673,982 0.0%
Sanford Ltd/NZ 382,357 2,033,609 0.1%
Scales Corp., Ltd. 182,612 568,430 0.0%
Scott Technology, Ltd. 45,734 105,923 0.0%
# Skellerup Holdings, Ltd. 663,496 833,809 0.1%
# SKY Network Television, Ltd. 2,080,268 3,324,961 0.2%
SKYCITY Entertainment Group, Ltd. 4,994,656 14,191,767 0.7%
# Steel & Tube Holdings, Ltd. 441,625 620,685 0.0%
# Summerset Group Holdings, Ltd. 836,490 4,049,529 0.2%
#* Synlait Milk, Ltd. 104,341 732,381 0.0%
Tegel Group Holdings, Ltd. 202,323 161,982 0.0%
Tilt Renewables, Ltd. 87,581 118,764 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NEW ZEALAND -- (Continued)
# Tourism Holdings, Ltd. 429,086 $ 1,831,835 0.1%
* Tower, Ltd. 887,040 491,981 0.0%
Trade Me Group, Ltd. 1,783,440 5,817,424 0.3%
# Trustpower, Ltd. 150,487 599,971 0.0%
Turners Automotive Group, Ltd. 13,182 27,620 0.0%
Vector, Ltd. 1,198,563 2,698,700 0.1%
Vista Group International, Ltd. 13,410 28,294 0.0%
Warehouse Group, Ltd. (The) 698,604 991,490 0.1%
------------ ---
TOTAL NEW ZEALAND 114,869,425 5.8%
------------ ---
SINGAPORE -- (9.5%)
* Abterra, Ltd. 230,320 9,485 0.0%
Accordia Golf Trust 3,605,400 1,670,445 0.1%
# AEM Holdings, Ltd. 319,300 1,442,242 0.1%
Amara Holdings, Ltd. 974,800 378,143 0.0%
Ascendas India Trust 2,216,800 1,736,189 0.1%
* ASL Marine Holdings, Ltd. 148,950 9,280 0.0%
Baker Technology, Ltd. 289,580 122,970 0.0%
#* Banyan Tree Holdings, Ltd. 1,006,300 445,959 0.0%
Best World International, Ltd. 1,922,850 2,158,330 0.1%
# Bonvests Holdings, Ltd. 950,000 938,885 0.1%
# Boustead Projects, Ltd. 497,612 296,096 0.0%
Boustead Singapore, Ltd. 1,827,636 1,110,751 0.1%
# Breadtalk Group, Ltd. 894,200 1,323,585 0.1%
# Bukit Sembawang Estates, Ltd. 963,703 4,490,870 0.2%
Bund Center Investment, Ltd. 659,825 354,625 0.0%
Centurion Corp., Ltd. 1,207,600 427,144 0.0%
# China Aviation Oil Singapore Corp., Ltd. 2,440,199 2,971,274 0.2%
# China Sunsine Chemical Holdings, Ltd. 891,000 1,000,647 0.1%
# Chip Eng Seng Corp., Ltd. 3,678,400 2,761,280 0.1%
Chuan Hup Holdings, Ltd. 3,853,500 871,074 0.1%
CITIC Envirotech, Ltd. 1,322,300 710,982 0.0%
#* Cityneon Holdings, Ltd. 320,400 251,803 0.0%
Civmec, Ltd. 162,700 68,565 0.0%
ComfortDelGro Corp., Ltd. 2,383,200 4,022,337 0.2%
#* COSCO Shipping International Singapore Co., Ltd. 6,639,300 2,326,834 0.1%
#* Creative Technology, Ltd. 272,200 1,178,634 0.1%
# CSE Global, Ltd. 3,443,600 1,073,024 0.1%
Del Monte Pacific, Ltd. 2,363,364 349,794 0.0%
Delfi, Ltd. 788,500 856,818 0.1%
#* Delong Holdings, Ltd. 74,500 231,997 0.0%
DMX Technologies Group, Ltd. 2,096,000 30,261 0.0%
Duty Free International, Ltd. 720,700 116,183 0.0%
#* Dyna-Mac Holdings, Ltd. 2,007,300 194,917 0.0%
Elec & Eltek International Co., Ltd. 163,500 263,973 0.0%
EnGro Corp., Ltd. 287,900 213,772 0.0%
#* Ezion Holdings, Ltd. 12,591,378 1,128,448 0.1%
#* Ezra Holdings, Ltd. 19,242,923 292,257 0.0%
Far East Orchard, Ltd. 1,110,085 1,236,518 0.1%
# First Resources, Ltd. 4,909,700 6,243,006 0.3%
First Sponsor Group, Ltd. 484,727 463,337 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
SINGAPORE -- (Continued)
# Food Empire Holdings, Ltd. 1,418,200 $ 692,989 0.0%
#* Fragrance Group, Ltd. 6,077,000 686,788 0.0%
# Frencken Group, Ltd. 918,000 380,806 0.0%
Fu Yu Corp., Ltd. 2,352,600 339,209 0.0%
#* Gallant Venture, Ltd. 4,992,500 491,170 0.0%
# Geo Energy Resources, Ltd. 3,369,600 554,556 0.0%
GK Goh Holdings, Ltd. 1,484,065 1,238,740 0.1%
GL, Ltd. 3,431,500 2,092,946 0.1%
Golden Agri-Resources, Ltd. 22,363,500 5,798,555 0.3%
# Golden Energy & Resources, Ltd. 479,600 131,641 0.0%
GP Industries, Ltd. 2,567,609 1,448,904 0.1%
GuocoLand, Ltd. 1,260,214 2,054,046 0.1%
# Halcyon Agri Corp., Ltd. 1,718,048 729,304 0.0%
# Hanwell Holdings, Ltd. 1,888,219 324,628 0.0%
Haw Par Corp., Ltd. 137,500 1,442,378 0.1%
# Health Management International, Ltd. 1,542,930 760,313 0.0%
# Hi-P International, Ltd. 1,409,500 1,739,587 0.1%
# Hiap Hoe, Ltd. 498,000 334,061 0.0%
Ho Bee Land, Ltd. 1,604,700 3,113,278 0.2%
# Hong Fok Corp., Ltd. 3,531,394 2,123,231 0.1%
Hong Leong Asia, Ltd. 896,300 643,420 0.0%
Hong Leong Finance, Ltd. 403,100 853,384 0.1%
Hotel Grand Central, Ltd. 1,531,768 1,831,588 0.1%
Hour Glass, Ltd. (The) 1,814,832 888,734 0.1%
Hutchison Port Holdings Trust 8,725,800 2,909,190 0.2%
Hwa Hong Corp., Ltd. 2,123,500 510,514 0.0%
# Hyflux, Ltd.(BDZV6P5) 200,000 45,249 0.0%
# Hyflux, Ltd.(6320058) 3,707,700 696,628 0.0%
# iFAST Corp., Ltd. 197,300 135,564 0.0%
# Indofood Agri Resources, Ltd. 3,432,100 826,753 0.1%
InnoTek, Ltd. 166,400 48,913 0.0%
Isetan Singapore, Ltd. 119,000 349,239 0.0%
# Japfa, Ltd. 2,449,400 880,964 0.1%
# k1 Ventures, Ltd. 1,005,220 74,292 0.0%
Keppel Infrastructure Trust 10,068,032 4,089,663 0.2%
# Keppel Telecommunications & Transportation, Ltd. 1,369,300 1,563,243 0.1%
Koh Brothers Group, Ltd. 1,432,000 326,750 0.0%
# KSH Holdings, Ltd. 1,222,100 600,772 0.0%
Lee Metal Group, Ltd. 137,900 43,078 0.0%
# Lian Beng Group, Ltd. 2,611,200 1,220,923 0.1%
Low Keng Huat Singapore, Ltd. 912,900 457,044 0.0%
Lum Chang Holdings, Ltd. 1,094,030 292,690 0.0%
# M1, Ltd. 2,742,100 3,734,796 0.2%
# Mandarin Oriental International, Ltd. 1,113,700 2,662,447 0.1%
#* Marco Polo Marine, Ltd. 3,322,500 67,653 0.0%
# Memtech International, Ltd. 158,000 157,546 0.0%
Metro Holdings, Ltd. 2,781,892 2,449,135 0.1%
Mewah International, Inc. 89,000 18,841 0.0%
Micro-Mechanics Holdings, Ltd. 300 410 0.0%
#* Midas Holdings, Ltd. 9,974,000 1,444,199 0.1%
#* mm2 Asia, Ltd. 1,247,400 462,839 0.0%
* Nam Cheong, Ltd. 6,557,040 37,087 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
SINGAPORE -- (Continued)
Nera Telecommunications, Ltd. 1,143,400 $ 322,238 0.0%
New Toyo International Holdings, Ltd. 1,624,000 311,406 0.0%
# NSL, Ltd. 409,900 423,720 0.0%
# OUE, Ltd. 2,008,500 2,732,819 0.1%
# Oxley Holdings, Ltd. 4,040,356 1,469,157 0.1%
#* Pacc Offshore Services Holdings, Ltd. 1,132,900 276,056 0.0%
# Pan-United Corp., Ltd. 2,435,750 707,066 0.0%
* Penguin International, Ltd. 446,032 121,632 0.0%
Perennial Real Estate Holdings, Ltd. 148,900 97,893 0.0%
# Q&M Dental Group Singapore, Ltd. 2,269,300 1,031,787 0.1%
QAF, Ltd. 1,414,056 1,105,773 0.1%
#* Raffles Education Corp., Ltd. 5,429,723 751,255 0.0%
# Raffles Medical Group, Ltd. 5,452,278 4,713,359 0.2%
RHT Health Trust 3,131,500 1,889,291 0.1%
Riverstone Holdings, Ltd. 1,235,600 976,597 0.1%
# Roxy-Pacific Holdings, Ltd. 423,940 171,047 0.0%
SBS Transit, Ltd. 926,200 1,808,723 0.1%
# SembCorp Marine, Ltd. 3,612,200 5,775,333 0.3%
Sheng Siong Group, Ltd. 4,513,000 3,464,966 0.2%
# SHS Holdings, Ltd. 2,304,100 389,624 0.0%
SIA Engineering Co., Ltd. 697,900 1,707,800 0.1%
# SIIC Environment Holdings, Ltd. 4,783,320 1,566,324 0.1%
# Sinarmas Land, Ltd. 6,897,100 1,889,644 0.1%
# Sing Holdings, Ltd. 1,623,100 542,233 0.0%
Sing Investments & Finance, Ltd. 324,075 376,396 0.0%
# Singapore Post, Ltd. 10,888,300 10,963,590 0.6%
# Singapore Press Holdings, Ltd. 6,191,500 12,651,933 0.7%
Singapore Reinsurance Corp., Ltd. 1,514,530 365,138 0.0%
Singapore Shipping Corp., Ltd. 1,640,700 351,840 0.0%
Singapura Finance, Ltd. 348,124 275,383 0.0%
#* Sino Grandness Food Industry Group, Ltd. 4,336,435 646,034 0.0%
Stamford Land Corp., Ltd. 3,188,100 1,176,996 0.1%
# StarHub, Ltd. 2,437,800 4,158,683 0.2%
Straco Corp., Ltd. 130,000 77,354 0.0%
# Sunningdale Tech, Ltd. 1,117,560 1,083,169 0.1%
* SunVic Chemical Holdings, Ltd. 841,445 42,242 0.0%
#* Swiber Holdings, Ltd. 2,895,250 44,542 0.0%
* Tat Hong Holdings, Ltd. 2,662,560 1,090,324 0.1%
#* Thomson Medical Group, Ltd. 4,294,500 302,144 0.0%
* Tiong Woon Corp. Holding, Ltd. 228,100 51,828 0.0%
# Tuan Sing Holdings, Ltd. 4,868,495 1,569,917 0.1%
UMS Holdings, Ltd. 3,202,575 2,567,972 0.1%
United Engineers, Ltd. 3,318,328 6,802,960 0.4%
United Industrial Corp., Ltd. 174,269 428,162 0.0%
United Overseas Insurance, Ltd. 181,850 1,005,475 0.1%
UOB-Kay Hian Holdings, Ltd. 2,008,761 2,040,880 0.1%
UPP Holdings, Ltd. 3,076,900 577,522 0.0%
# Valuetronics Holdings, Ltd. 2,410,850 1,413,834 0.1%
Venture Corp., Ltd. 546,600 8,549,401 0.4%
Vibrant Group, Ltd. 2,058,620 527,049 0.0%
Vicom, Ltd. 119,500 544,006 0.0%
# Wee Hur Holdings, Ltd. 2,769,000 478,381 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SINGAPORE -- (Continued)
# Wheelock Properties Singapore, Ltd. 1,933,000 $ 2,643,612 0.1%
Wing Tai Holdings, Ltd. 3,453,267 5,290,988 0.3%
* Xinghua Port Holdings, Ltd. 2,435,750 384,822 0.0%
Yeo Hiap Seng, Ltd. 223,731 193,741 0.0%
YHI International, Ltd. 176,200 62,077 0.0%
#* Yongnam Holdings, Ltd. 2,917,700 675,725 0.0%
Zhongmin Baihui Retail Group, Ltd. 26,900 17,091 0.0%
-------------- -----
TOTAL SINGAPORE 206,250,366 10.5%
-------------- -----
TOTAL COMMON STOCKS 1,964,777,468 99.6%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
* International Standard Resources Holdings, Ltd. Warrants 05/10/18 3,097,050 3,946 0.0%
-------------- -----
SINGAPORE -- (0.0%)
* Ezion Holdings, Ltd. Warrants 04/16/23 7,554,827 -- 0.0%
* Thomson Medical Group, Ltd. Warrants 04/24/19 8,589,000 38,864 0.0%
-------------- -----
TOTAL SINGAPORE 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%
============== =====
THE ASIA PACIFIC 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
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
======== ============== == ==============
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (97.0%)
Consumer Discretionary -- (22.9%)
4imprint Group P.L.C. 105,838 $ 2,504,992 0.1%
888 Holdings P.L.C. 1,328,751 5,024,535 0.2%
AA P.L.C. 3,246,551 6,068,671 0.3%
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%
Bloomsbury Publishing P.L.C. 311,604 757,304 0.0%
Bovis Homes Group P.L.C. 921,633 15,681,182 0.7%
Card Factory P.L.C. 1,228,787 3,908,985 0.2%
* Carpetright P.L.C. 95,402 55,437 0.0%
# Centaur Media P.L.C. 537,905 391,715 0.0%
Cineworld Group P.L.C. 6,296,220 22,477,551 0.9%
Connect Group P.L.C. 1,312,384 1,090,651 0.1%
Countryside Properties P.L.C. 1,048,164 5,165,185 0.2%
Crest Nicholson Holdings P.L.C. 1,693,312 11,353,726 0.5%
Daily Mail & General Trust P.L.C. 1,647,479 15,303,681 0.6%
# Debenhams P.L.C. 6,862,458 2,183,761 0.1%
DFS Furniture P.L.C. 815,730 2,553,438 0.1%
Dignity P.L.C. 288,661 4,330,156 0.2%
Dixons Carphone P.L.C. 4,933,592 13,756,814 0.6%
Domino's Pizza Group P.L.C. 2,661,691 13,267,246 0.6%
Dunelm Group P.L.C. 506,904 3,932,340 0.2%
* EI Group P.L.C. 3,227,233 5,718,046 0.2%
Entertainment One, Ltd. 1,606,938 6,019,053 0.3%
Euromoney Institutional Investor P.L.C. 271,732 4,910,645 0.2%
* Findel P.L.C. 239,314 837,454 0.0%
Fuller Smith & Turner P.L.C. Class A 137,989 1,801,139 0.1%
* Future P.L.C. 47,922 293,846 0.0%
GAME Digital P.L.C. 15,397 7,718 0.0%
Games Workshop Group P.L.C. 153,682 5,125,087 0.2%
# Greene King P.L.C. 1,838,093 13,809,452 0.6%
Greggs P.L.C. 594,391 9,936,495 0.4%
GVC CVR 6,643,757 990,561 0.0%
GVC Holdings P.L.C. 2,345,568 28,711,150 1.2%
Gym Group P.L.C. (The) 507,889 1,724,314 0.1%
Halfords Group P.L.C. 1,287,580 6,710,129 0.3%
Headlam Group P.L.C. 470,006 2,890,149 0.1%
Henry Boot P.L.C. 438,814 1,728,689 0.1%
Hollywood Bowl Group P.L.C. 63,477 185,117 0.0%
Hostelworld Group P.L.C. 142,387 798,451 0.0%
Huntsworth P.L.C. 1,145,315 1,571,162 0.1%
Inchcape P.L.C. 2,461,419 24,590,456 1.0%
ITE Group P.L.C. 1,593,582 3,347,063 0.1%
J D Wetherspoon P.L.C. 481,928 7,696,510 0.3%
* Jackpotjoy P.L.C. 269,296 3,036,463 0.1%
JD Sports Fashion P.L.C. 2,289,045 12,279,164 0.5%
# John Menzies P.L.C. 472,761 4,131,126 0.2%
* Laura Ashley Holdings P.L.C. 564,411 32,853 0.0%
Lookers P.L.C. 1,879,684 2,611,269 0.1%
Marston's P.L.C. 4,171,154 6,175,283 0.3%
McCarthy & Stone P.L.C. 1,796,401 3,349,382 0.1%
Merlin Entertainments P.L.C. 2,085,075 10,547,800 0.4%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
Consumer Discretionary -- (Continued)
Millennium & Copthorne Hotels P.L.C. 995,879 $ 7,846,186 0.3%
Mitchells & Butlers P.L.C. 1,270,976 4,927,441 0.2%
MJ Gleeson P.L.C. 191,456 1,928,511 0.1%
#* Mothercare P.L.C. 771,640 193,133 0.0%
Motorpoint group P.L.C. 24,005 85,282 0.0%
N Brown Group P.L.C. 1,083,230 3,045,853 0.1%
#* Ocado Group P.L.C. 2,765,277 20,440,094 0.8%
On the Beach Group P.L.C. 492,792 4,137,928 0.2%
Pendragon P.L.C. 7,223,334 2,876,883 0.1%
Pets at Home Group P.L.C. 1,657,371 3,481,612 0.1%
Photo-Me International P.L.C. 1,345,530 2,950,370 0.1%
Playtech P.L.C. 1,474,852 16,450,648 0.7%
Rank Group P.L.C. 866,364 2,086,732 0.1%
Redrow P.L.C. 1,404,094 12,099,213 0.5%
# Restaurant Group P.L.C. (The) 1,050,739 4,388,601 0.2%
Revolution Bars Group P.L.C. 14,864 30,818 0.0%
Sportech P.L.C. 396,817 341,278 0.0%
* Sports Direct International P.L.C. 1,270,241 7,034,322 0.3%
SSP Group P.L.C. 2,417,539 21,633,485 0.9%
St. Ives P.L.C. 767,358 909,109 0.0%
STV Group P.L.C. 4,868 22,080 0.0%
Superdry P.L.C. 347,061 7,170,102 0.3%
Tarsus Group P.L.C. 223,954 900,424 0.0%
Ted Baker P.L.C. 155,410 5,693,679 0.2%
Thomas Cook Group P.L.C. 8,687,680 14,754,973 0.6%
Topps Tiles P.L.C. 925,429 884,881 0.0%
Trinity Mirror P.L.C. 1,727,506 2,021,480 0.1%
# UBM P.L.C. 2,225,114 29,624,081 1.2%
Vitec Group P.L.C. (The) 176,078 2,885,332 0.1%
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%
------------ ----
Total Consumer Discretionary 568,754,346 23.4%
------------ ----
Consumer Staples -- (4.3%)
A.G. Barr P.L.C. 667,187 6,408,899 0.3%
Anglo-Eastern Plantations P.L.C. 104,452 1,083,153 0.0%
Britvic P.L.C. 1,368,941 13,531,192 0.6%
Cranswick P.L.C. 291,613 11,639,870 0.5%
# Dairy Crest Group P.L.C. 934,749 6,973,840 0.3%
# Devro P.L.C. 956,939 2,792,711 0.1%
# Greencore Group P.L.C. 3,643,038 7,945,109 0.3%
Hilton Food Group P.L.C. 110,667 1,348,695 0.1%
McBride P.L.C.(0574635) 1,090,323 2,263,037 0.1%
McBride P.L.C.(BFX1KB5) 16,354,845 22,516 0.0%
McColl's Retail Group P.L.C. 112,765 366,609 0.0%
* Premier Foods P.L.C. 4,677,570 2,401,684 0.1%
PZ Cussons P.L.C. 1,596,632 5,405,361 0.2%
* REA Holdings P.L.C. 50,639 202,282 0.0%
Stock Spirits Group P.L.C. 1,019,726 3,485,226 0.1%
Tate & Lyle P.L.C. 2,817,200 22,249,665 0.9%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
Consumer Staples -- (Continued)
Tesco P.L.C. 5,861,451 $ 18,984,864 0.8%
------------ ---
Total Consumer Staples 107,104,713 4.4%
------------ ---
Energy -- (4.8%)
Anglo Pacific Group P.L.C. 850,793 1,870,101 0.1%
* Cairn Energy P.L.C. 3,637,097 11,320,113 0.5%
* EnQuest P.L.C. 6,334,413 3,120,739 0.1%
* Gulf Keystone Petroleum, Ltd. 941,025 2,335,863 0.1%
* Gulf Marine Services P.L.C. 122,883 60,584 0.0%
* Hunting P.L.C. 882,299 9,750,610 0.4%
James Fisher & Sons P.L.C. 276,131 6,345,163 0.3%
John Wood Group P.L.C. 3,309,790 25,799,665 1.1%
* Lamprell P.L.C. 1,201,647 1,528,563 0.1%
* Nostrum Oil & Gas P.L.C. 184,064 754,782 0.0%
* Ophir Energy P.L.C. 4,489,031 3,721,308 0.1%
Petrofac, Ltd. 1,465,190 12,159,105 0.5%
* Premier Oil P.L.C. 4,715,713 6,112,304 0.2%
Soco International P.L.C. 1,265,317 1,830,826 0.1%
Stobart Group, Ltd. 1,319,617 4,442,764 0.2%
* Tullow Oil P.L.C. 8,835,314 27,649,865 1.1%
------------ ---
Total Energy 118,802,355 4.9%
------------ ---
Financials -- (15.5%)
Arrow Global Group P.L.C. 964,887 4,906,395 0.2%
Ashmore Group P.L.C. 2,065,004 11,666,079 0.5%
Beazley P.L.C. 3,286,678 26,695,454 1.1%
BGEO Group P.L.C. 236,037 11,283,473 0.5%
Brewin Dolphin Holdings P.L.C. 1,676,558 8,328,690 0.3%
Charles Stanley Group P.L.C. 122,025 574,935 0.0%
Charles Taylor P.L.C. 195,491 706,036 0.0%
Chesnara P.L.C. 717,229 3,996,078 0.2%
Close Brothers Group P.L.C. 915,384 19,273,549 0.8%
CMC Markets P.L.C. 624,661 1,629,482 0.1%
CYBG P.L.C. 3,540,279 14,694,165 0.6%
esure Group P.L.C. 1,683,935 5,213,787 0.2%
Hansard Global P.L.C. 16,468 17,913 0.0%
Hastings Group Holdings P.L.C. 1,077,083 4,082,674 0.2%
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%
International Personal Finance P.L.C. 1,254,197 4,199,213 0.2%
#* IP Group P.L.C. 2,114,366 3,875,556 0.2%
Jardine Lloyd Thompson Group P.L.C. 748,711 12,601,130 0.5%
Jupiter Fund Management P.L.C. 2,350,436 14,698,823 0.6%
Just Group P.L.C. 3,109,122 6,009,378 0.2%
Lancashire Holdings, Ltd. 1,260,827 10,332,666 0.4%
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%
Non-Standard Finance P.L.C. 197,790 174,374 0.0%
# OneSavings Bank P.L.C. 903,004 4,907,786 0.2%
Paragon Banking Group P.L.C. 1,654,581 11,862,125 0.5%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
Financials -- (Continued)
Phoenix Group Holdings 2,255,130 $ 24,360,281 1.0%
Provident Financial P.L.C. 67,188 613,978 0.0%
Rathbone Brothers P.L.C. 269,490 8,681,831 0.4%
River & Mercantile Group P.L.C. 2,983 12,471 0.0%
S&U P.L.C. 20,417 711,089 0.0%
Saga P.L.C. 5,752,086 10,724,985 0.4%
TP ICAP P.L.C. 3,202,107 20,742,675 0.9%
Virgin Money Holdings UK P.L.C. 1,617,711 6,186,822 0.3%
Waterloo Investment Holdings, Ltd. 4,000 432 0.0%
------------ ----
Total Financials 384,511,522 15.8%
------------ ----
Health Care -- (3.5%)
* BTG P.L.C. 1,825,868 17,117,430 0.7%
Cambian Group P.L.C. 559,761 1,290,023 0.1%
#* Circassia Pharmaceuticals P.L.C. 498,540 617,642 0.0%
Consort Medical P.L.C. 277,334 4,572,453 0.2%
Dechra Pharmaceuticals P.L.C. 177,603 6,670,844 0.3%
Genus P.L.C. 298,343 10,317,842 0.4%
Hikma Pharmaceuticals P.L.C. 346,149 6,103,454 0.2%
* Indivior P.L.C. 4,027,574 24,941,106 1.0%
Integrated Diagnostics Holdings P.L.C. 330,094 1,556,739 0.1%
Spire Healthcare Group P.L.C. 1,237,627 3,871,433 0.2%
UDG Healthcare P.L.C. 449,832 5,651,642 0.2%
* Vectura Group P.L.C. 3,637,945 4,056,789 0.2%
------------ ----
Total Health Care 86,767,397 3.6%
------------ ----
Industrials -- (25.3%)
# Aggreko P.L.C. 1,404,819 14,129,074 0.6%
Air Partner P.L.C. 253,425 357,968 0.0%
Alumasc Group P.L.C. (The) 23,633 45,396 0.0%
Avon Rubber P.L.C. 151,817 2,809,800 0.1%
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%
Biffa P.L.C. 398,692 1,141,093 0.0%
Bodycote P.L.C. 1,153,652 14,203,620 0.6%
Braemar Shipping Services P.L.C. 141,381 507,361 0.0%
# Capita P.L.C. 1,656,575 4,356,762 0.2%
# Carillion P.L.C. 2,236,594 459,155 0.0%
Carr's Group P.L.C. 343,111 653,681 0.0%
Castings P.L.C. 157,187 926,712 0.0%
Chemring Group P.L.C. 1,688,550 4,873,999 0.2%
Clarkson P.L.C. 136,822 4,547,945 0.2%
# Clipper Logistics P.L.C. 93,107 576,991 0.0%
* Cobham P.L.C. 12,959,557 20,467,992 0.8%
Communisis P.L.C. 1,085,623 911,506 0.0%
Costain Group P.L.C. 610,467 3,876,267 0.2%
De La Rue P.L.C. 662,727 4,856,670 0.2%
#* Dialight P.L.C. 102,467 728,085 0.0%
Diploma P.L.C. 657,776 10,853,035 0.4%
Fenner P.L.C. 1,157,315 9,667,979 0.4%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
* Firstgroup P.L.C. 7,315,687 $11,349,051 0.5%
* Flybe Group P.L.C. 616,871 331,912 0.0%
G4S P.L.C. 686,732 2,439,768 0.1%
# Galliford Try P.L.C. 644,891 8,124,617 0.3%
Go-Ahead Group P.L.C. 246,990 6,567,496 0.3%
Goodwin P.L.C. 383 9,352 0.0%
Grafton Group P.L.C. 1,317,087 13,643,500 0.6%
Harvey Nash Group P.L.C. 29,146 40,536 0.0%
Hays P.L.C. 8,695,434 21,428,303 0.9%
Hogg Robinson Group P.L.C. 182,016 295,697 0.0%
HomeServe P.L.C. 1,540,342 15,656,085 0.6%
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%
#* Interserve P.L.C. 841,666 1,085,247 0.0%
IWG P.L.C. 3,349,423 11,377,483 0.5%
John Laing Group P.L.C. 1,732,283 6,730,370 0.3%
Keller Group P.L.C. 453,098 6,476,976 0.3%
Kier Group P.L.C. 565,613 8,346,190 0.3%
* Management Consulting Group P.L.C. 788,035 41,426 0.0%
Mears Group P.L.C. 751,984 3,405,077 0.1%
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%
# Mitie Group P.L.C. 2,122,246 5,347,493 0.2%
Morgan Advanced Materials P.L.C. 1,627,460 7,691,655 0.3%
Morgan Sindall Group P.L.C. 222,576 3,835,004 0.2%
National Express Group P.L.C. 2,509,163 13,540,368 0.6%
Norcros P.L.C. 75,283 195,492 0.0%
Northgate P.L.C. 818,775 4,180,175 0.2%
Pagegroup P.L.C. 1,939,404 14,313,967 0.6%
PayPoint P.L.C. 332,998 3,920,865 0.2%
Polypipe Group P.L.C. 1,146,130 6,023,748 0.3%
Porvair P.L.C. 15,052 101,704 0.0%
QinetiQ Group P.L.C. 3,214,308 10,161,205 0.4%
Renewi P.L.C. 4,064,738 4,018,292 0.2%
* Renold P.L.C. 193,435 62,796 0.0%
Rentokil Initial P.L.C. 488,649 2,061,570 0.1%
Ricardo P.L.C. 283,566 3,701,166 0.2%
Robert Walters P.L.C. 381,498 3,775,099 0.2%
Rotork P.L.C. 4,717,139 21,273,445 0.9%
Royal Mail P.L.C. 1,051,386 8,384,756 0.3%
RPS Group P.L.C. 1,379,834 4,915,856 0.2%
Senior P.L.C. 2,513,529 10,199,382 0.4%
* Serco Group P.L.C. 459,983 607,855 0.0%
Severfield P.L.C. 1,267,641 1,380,085 0.1%
SIG P.L.C. 3,729,465 7,290,801 0.3%
Speedy Hire P.L.C. 2,890,361 2,138,312 0.1%
Spirax-Sarco Engineering P.L.C. 250,249 19,837,162 0.8%
Stagecoach Group P.L.C. 2,117,596 4,522,584 0.2%
Sthree P.L.C. 580,839 2,586,232 0.1%
T Clarke P.L.C. 147,457 166,691 0.0%
Travis Perkins P.L.C. 1,220,434 21,252,306 0.9%
Trifast P.L.C. 463,836 1,660,027 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
# Tyman P.L.C. 730,826 $ 3,169,533 0.1%
# Ultra Electronics Holdings P.L.C. 410,895 7,952,508 0.3%
Vesuvius P.L.C. 1,477,677 11,933,476 0.5%
* Volex P.L.C. 307,047 321,356 0.0%
Volution Group P.L.C. 232,393 629,922 0.0%
Vp P.L.C. 159,998 1,966,392 0.1%
Weir Group P.L.C. (The) 534,541 15,641,629 0.6%
Wilmington P.L.C. 334,384 1,140,430 0.0%
Wincanton P.L.C. 672,312 2,204,612 0.1%
* Wizz Air Holdings P.L.C. 138,995 6,103,349 0.3%
XP Power, Ltd. 86,143 4,140,682 0.2%
------------ ----
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%
AVEVA Group P.L.C. 416,682 12,301,234 0.5%
Computacenter P.L.C. 393,351 6,830,995 0.3%
DiscoverIE Group P.L.C. 356,828 2,063,387 0.1%
Electrocomponents P.L.C. 2,859,505 23,905,253 1.0%
Equiniti Group P.L.C. 1,442,052 5,439,489 0.2%
FDM Group Holdings P.L.C. 171,980 2,408,924 0.1%
Fidessa Group P.L.C. 217,048 11,725,483 0.5%
Gocompare.Com Group P.L.C. 1,706,395 2,635,301 0.1%
Halma P.L.C. 1,169,892 19,629,613 0.8%
Kainos Group P.L.C. 148,168 738,917 0.0%
Laird P.L.C. 3,016,962 8,149,002 0.3%
Moneysupermarket.com Group P.L.C. 2,650,925 10,919,005 0.4%
NCC Group P.L.C. 1,384,375 3,724,451 0.2%
Oxford Instruments P.L.C. 314,473 3,941,914 0.2%
Renishaw P.L.C. 216,917 14,042,483 0.6%
Rightmove P.L.C. 329,562 20,668,224 0.9%
RM P.L.C. 331,309 944,943 0.0%
SDL P.L.C. 434,547 2,330,210 0.1%
Softcat P.L.C. 571,019 5,363,787 0.2%
Spectris P.L.C. 627,408 23,149,499 1.0%
Spirent Communications P.L.C. 3,322,181 5,453,266 0.2%
TT Electronics P.L.C. 907,250 2,787,018 0.1%
Xaar P.L.C. 386,193 1,880,911 0.1%
ZPG P.L.C. 1,526,071 7,523,461 0.3%
------------ ----
Total Information Technology 223,992,325 9.2%
------------ ----
Materials -- (6.8%)
# Acacia Mining P.L.C. 900,534 1,776,645 0.1%
* Carclo P.L.C. 238,794 324,992 0.0%
Centamin P.L.C. 6,191,392 13,378,563 0.6%
DS Smith P.L.C. 447,428 3,205,156 0.1%
Elementis P.L.C. 2,720,624 10,597,060 0.4%
Essentra P.L.C. 1,502,610 9,119,109 0.4%
Evraz P.L.C. 1,584,820 9,972,609 0.4%
Ferrexpo P.L.C. 1,750,724 5,668,297 0.2%
Forterra P.L.C. 693,588 3,009,401 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
Materials -- (Continued)
* Gem Diamonds, Ltd. 654,715 $ 901,541 0.0%
Hill & Smith Holdings P.L.C. 457,223 8,343,861 0.3%
Hochschild Mining P.L.C. 1,434,696 4,149,859 0.2%
Ibstock P.L.C. 1,950,607 7,974,780 0.3%
* KAZ Minerals P.L.C. 1,451,372 18,338,051 0.8%
* Lonmin P.L.C. 1,584,135 1,280,884 0.1%
Low & Bonar P.L.C. 1,194,255 910,088 0.0%
Marshalls P.L.C. 1,156,886 6,795,676 0.3%
#* Petra Diamonds, Ltd. 3,145,803 2,955,935 0.1%
#* Petropavlovsk P.L.C. 13,841,290 1,315,501 0.1%
RPC Group P.L.C. 2,358,548 25,592,298 1.1%
Synthomer P.L.C. 1,445,902 9,814,698 0.4%
Vedanta Resources P.L.C. 424,451 4,247,851 0.2%
Victrex P.L.C. 539,936 19,440,693 0.8%
Zotefoams P.L.C. 93,537 721,705 0.0%
------------ ---
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%
CLS Holdings P.L.C. 387,202 1,330,829 0.1%
* Countrywide P.L.C. 752,817 1,119,694 0.0%
Daejan Holdings P.L.C. 42,272 3,479,522 0.1%
# Foxtons Group P.L.C. 1,116,455 1,192,281 0.1%
Grainger P.L.C. 2,874,831 12,380,915 0.5%
Harworth Group P.L.C. 30,680 46,687 0.0%
Helical P.L.C. 654,139 3,385,761 0.1%
LSL Property Services P.L.C. 374,418 1,276,109 0.1%
* Raven Russia, Ltd. 1,019,157 637,802 0.0%
Savills P.L.C. 827,507 11,148,527 0.5%
St. Modwen Properties P.L.C. 1,210,642 6,834,943 0.3%
U & I Group P.L.C. 743,150 2,239,234 0.1%
Urban & Civic P.L.C. 49,850 218,038 0.0%
------------ ---
Total Real Estate 62,232,325 2.6%
------------ ---
Telecommunication Services -- (0.9%)
Inmarsat P.L.C. 2,371,810 12,253,400 0.5%
KCOM Group P.L.C. 3,263,487 4,526,712 0.2%
# TalkTalk Telecom Group P.L.C. 2,658,372 4,689,136 0.2%
------------ ---
Total Telecommunication Services 21,469,248 0.9%
------------ ---
Utilities -- (1.5%)
Drax Group P.L.C. 2,401,002 10,396,760 0.4%
Pennon Group P.L.C. 2,281,292 21,675,055 0.9%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
Utilities -- (Continued)
Telecom Plus P.L.C. 340,923 $ 5,047,875 0.2%
-------------- -----
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%
============== =====
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
======= ============== == ==============
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (88.7%)
AUSTRIA -- (2.8%)
Agrana Beteiligungs AG 18,464 $ 2,159,531 0.0%
ANDRITZ AG 351,021 18,867,906 0.3%
Atrium European Real Estate, Ltd. 793,939 3,851,754 0.1%
Austria Technologie & Systemtechnik AG 162,266 4,006,772 0.1%
CA Immobilien Anlagen AG 447,444 15,515,480 0.3%
# DO & CO AG 37,748 2,346,424 0.0%
EVN AG 214,387 4,389,302 0.1%
* FACC AG 130,063 3,192,468 0.1%
Flughafen Wien AG 21,758 884,227 0.0%
# IMMOFINANZ AG 5,007,188 13,108,631 0.2%
Josef Manner & Co. AG 870 63,748 0.0%
Kapsch TrafficCom AG 33,915 1,509,726 0.0%
# Lenzing AG 66,004 7,680,674 0.1%
Mayr Melnhof Karton AG 49,633 7,521,289 0.1%
Oberbank AG 45,017 4,699,077 0.1%
Oesterreichische Post AG 202,551 9,727,206 0.2%
# Palfinger AG 92,883 3,482,779 0.1%
POLYTEC Holding AG 103,266 1,858,554 0.0%
# Porr AG 58,567 2,084,343 0.0%
* Raiffeisen Bank International AG 299,584 10,112,773 0.2%
# Rosenbauer International AG 19,267 1,171,365 0.0%
S IMMO AG 330,386 6,535,473 0.1%
* Schoeller-Bleckmann Oilfield Equipment AG 63,374 7,834,692 0.1%
# Semperit AG Holding 68,546 1,511,923 0.0%
Strabag SE 105,005 4,321,014 0.1%
Telekom Austria AG 843,228 8,040,790 0.1%
UBM Development AG 9,606 484,900 0.0%
UNIQA Insurance Group AG 823,486 9,860,731 0.2%
Verbund AG 258,436 8,003,547 0.1%
# Vienna Insurance Group AG Wiener Versicherung Gruppe 205,934 6,693,957 0.1%
Wienerberger AG 617,965 15,571,418 0.3%
# Zumtobel Group AG 173,368 1,571,111 0.0%
------------ ---
TOTAL AUSTRIA 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%
* AGFA-Gevaert NV 1,218,771 4,345,155 0.1%
#* Argenx SE 39,932 3,495,729 0.1%
Atenor 12,905 728,858 0.0%
Banque Nationale de Belgique 87 309,378 0.0%
Barco NV 67,758 8,753,030 0.2%
Bekaert SA 214,947 9,028,765 0.2%
#* Biocartis NV 157,318 2,416,215 0.0%
bpost SA 503,661 11,045,670 0.2%
#* Celyad SA 42,198 1,443,375 0.0%
Cie d'Entreprises CFE 48,913 6,156,793 0.1%
# Cie Immobiliere de Belgique SA 15,632 1,024,960 0.0%
Co.Br.Ha Societe Commerciale de Brasserie SA 111 535,709 0.0%
D'ieteren SA 142,311 6,057,064 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
BELGIUM -- (Continued)
Deceuninck NV 385,581 $ 1,363,353 0.0%
Econocom Group SA 686,666 4,420,965 0.1%
Elia System Operator SA 171,886 10,859,336 0.2%
# Euronav NV 780,068 6,294,234 0.1%
EVS Broadcast Equipment SA 75,122 2,461,607 0.0%
#* Exmar NV 187,317 1,308,270 0.0%
* Fagron 262,019 4,511,454 0.1%
* Galapagos NV(B07Q2V5) 220,186 19,729,475 0.3%
* Galapagos NV(B07MXC1) 84,250 7,612,207 0.1%
Gimv NV 76,261 4,569,568 0.1%
# Ion Beam Applications 115,719 2,359,619 0.0%
Jensen-Group NV 16,912 908,906 0.0%
Kinepolis Group NV 94,699 6,616,873 0.1%
# Lotus Bakeries 1,500 4,256,976 0.1%
#* MDxHealth 214,040 963,173 0.0%
# Melexis NV 113,154 10,767,589 0.2%
#* Nyrstar NV 745,540 5,144,825 0.1%
# Ontex Group NV 473,271 12,131,131 0.2%
Orange Belgium SA 179,876 3,733,652 0.1%
# Picanol 28,690 3,177,835 0.1%
RealDolmen(B3M0622) 17,503 776,415 0.0%
RealDolmen(5529094) 120 3 0.0%
Recticel SA 247,048 3,084,690 0.1%
Resilux 5,092 864,693 0.0%
Roularta Media Group NV 15,671 417,242 0.0%
Sioen Industries NV 50,085 1,844,043 0.0%
Sipef SA 34,715 2,508,096 0.0%
TER Beke SA 2,816 575,023 0.0%
* Tessenderlo Group SA 213,754 8,961,222 0.2%
* ThromboGenics NV 205,315 1,185,762 0.0%
#* TiGenix NV 1,307,407 2,782,621 0.1%
# Umicore SA 703,600 39,133,206 0.6%
Van de Velde NV 35,498 1,466,416 0.0%
* Viohalco SA 583,796 2,505,340 0.0%
------------ ---
TOTAL BELGIUM 281,315,641 4.6%
------------ ---
DENMARK -- (4.3%)
#* ALK-Abello A.S. 36,938 4,667,002 0.1%
Alm Brand A.S. 562,935 5,949,281 0.1%
# Ambu A.S. Class B 919,394 21,321,851 0.4%
Arkil Holding A.S. Class B 504 107,995 0.0%
* Bang & Olufsen A.S. 256,627 6,316,911 0.1%
BankNordik P/F 10,800 185,227 0.0%
#* Bavarian Nordic A.S. 204,295 5,576,406 0.1%
Brodrene Hartmann A.S. 16,148 954,034 0.0%
# Columbus A.S. 381,319 956,688 0.0%
#* D/S Norden A.S. 196,089 3,577,435 0.1%
DFDS A.S. 199,035 12,391,706 0.2%
# Djurslands Bank A.S. 8,970 361,829 0.0%
FLSmidth & Co. A.S. 270,276 16,694,302 0.3%
Fluegger A.S. Class B 4,198 240,215 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
DENMARK -- (Continued)
# GN Store Nord A.S. 927,706 $ 32,593,996 0.5%
Gronlandsbanken A.S. 1,125 112,984 0.0%
#* H+H International A.S. Class B 62,902 1,331,472 0.0%
Harboes Bryggeri A.S. Class B 17,239 237,025 0.0%
IC Group A.S. 41,449 1,090,022 0.0%
Jeudan A.S. 6,589 1,054,628 0.0%
Jyske Bank A.S. 434,014 25,988,575 0.4%
Lan & Spar Bank 4,981 394,320 0.0%
Matas A.S. 231,085 2,661,252 0.1%
* Nilfisk Holding A.S. 182,797 8,951,700 0.2%
#* NKT A.S. 206,194 6,129,364 0.1%
NNIT A.S. 66,505 1,844,047 0.0%
Nordjyske Bank A.S. 47,045 1,463,001 0.0%
# Parken Sport & Entertainment A.S. 34,515 429,146 0.0%
Per Aarsleff Holding A.S. 127,997 4,792,480 0.1%
Ringkjoebing Landbobank A.S. 126,846 7,641,676 0.1%
Roblon A.S. Class B 2,700 135,347 0.0%
Rockwool International A.S. Class A 455 123,703 0.0%
Rockwool International A.S. Class B 50,421 15,201,256 0.3%
Royal Unibrew A.S. 282,513 18,705,217 0.3%
# RTX A.S. 45,802 1,213,085 0.0%
* Santa Fe Group A.S. 127,806 694,338 0.0%
Scandinavian Tobacco Group A.S. Class A 126,283 2,109,316 0.0%
Schouw & Co., A.S. 79,510 7,820,579 0.1%
SimCorp A.S. 244,707 17,741,106 0.3%
Solar A.S. Class B 37,199 2,400,378 0.1%
Spar Nord Bank A.S. 500,969 5,721,458 0.1%
Sydbank A.S. 504,857 18,663,637 0.3%
# Tivoli A.S. 9,776 1,018,092 0.0%
#* TK Development A.S. 600,824 686,286 0.0%
Topdanmark A.S. 491,266 23,104,078 0.4%
TORM P.L.C. 45,402 362,192 0.0%
United International Enterprises 10,277 2,301,759 0.0%
#* Vestjysk Bank A.S. 1,476,022 609,327 0.0%
#* Zealand Pharma A.S. 155,305 2,337,494 0.0%
------------ ---
TOTAL DENMARK 296,965,218 4.8%
------------ ---
FINLAND -- (6.0%)
# Afarak Group Oyj 316,672 397,214 0.0%
# Ahlstrom-Munksjo Oyj 118,362 2,359,539 0.0%
Aktia Bank Oyj 247,840 2,464,189 0.0%
Alandsbanken Abp Class B 21,354 343,459 0.0%
Alma Media Oyj 121,768 1,100,354 0.0%
Amer Sports Oyj 814,164 24,904,626 0.4%
Apetit Oyj 19,668 317,640 0.0%
Aspo Oyj 92,762 1,065,052 0.0%
# Atria Oyj 69,686 991,228 0.0%
#* BasWare Oyj 56,551 2,789,436 0.1%
# Bittium Oyj 178,633 1,162,877 0.0%
Cargotec Oyj Class B 259,720 13,228,235 0.2%
#* Caverion Oyj 658,056 5,498,177 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
FINLAND -- (Continued)
# Citycon Oyj 2,564,059 $ 5,864,193 0.1%
Cramo Oyj 232,336 5,454,261 0.1%
Digia Oyj 69,731 214,350 0.0%
Elisa Oyj 834,271 36,876,820 0.6%
F-Secure Oyj 631,341 2,813,620 0.1%
Finnair Oyj 472,532 6,440,929 0.1%
Fiskars Oyj Abp 201,944 5,025,750 0.1%
Glaston Oyj Abp 46,084 26,420 0.0%
HKScan Oyj Class A 208,771 777,327 0.0%
# Huhtamaki Oyj 626,788 25,494,491 0.4%
# Ilkka-Yhtyma Oyj 61,503 237,822 0.0%
Kemira Oyj 707,159 9,464,611 0.2%
Kesko Oyj Class A 40,561 2,313,436 0.0%
# Kesko Oyj Class B 466,452 27,389,954 0.4%
Konecranes Oyj 403,802 16,468,002 0.3%
Lassila & Tikanoja Oyj 199,934 4,012,154 0.1%
Lehto Group Oyj 112,847 1,543,144 0.0%
Metsa Board Oyj 1,398,928 15,674,028 0.3%
Metso Oyj 757,257 26,913,175 0.4%
Nokian Renkaat Oyj 811,148 32,455,519 0.5%
Olvi Oyj Class A 82,411 2,765,403 0.1%
Oriola Oyj Class A 6,054 20,241 0.0%
Oriola Oyj Class B 628,439 2,118,316 0.0%
# Orion Oyj Class A 123,563 4,061,911 0.1%
Orion Oyj Class B 236,640 7,177,443 0.1%
Outokumpu Oyj 2,921,503 18,907,329 0.3%
* Outotec Oyj 1,238,541 11,264,925 0.2%
Pihlajalinna Oyj 70,738 1,123,458 0.0%
Ponsse Oyj 69,106 2,597,905 0.0%
Poyry Oyj 188,253 1,314,582 0.0%
* QT Group Oyj 55,899 406,426 0.0%
Raisio Oyj Class V 659,233 2,805,110 0.1%
Ramirent Oyj 524,612 4,559,912 0.1%
Rapala VMC Oyj 109,543 454,636 0.0%
Raute Oyj Class A 2,644 96,296 0.0%
Revenio Group Oyj 106,653 1,709,163 0.0%
Sanoma Oyj 749,458 8,331,492 0.1%
# SRV Group OYJ 66,041 225,042 0.0%
* Stockmann Oyj Abp Class A 49,045 237,224 0.0%
#* Stockmann Oyj Abp Class B 173,382 841,899 0.0%
Technopolis Oyj 956,192 4,472,577 0.1%
Teleste Oyj 51,567 395,737 0.0%
Tieto Oyj 355,339 12,728,023 0.2%
# Tikkurila Oyj 242,268 4,380,074 0.1%
Tokmanni Group Corp. 126,808 1,077,074 0.0%
Uponor Oyj 343,265 5,980,465 0.1%
Vaisala Oyj Class A 106,128 2,610,135 0.0%
Valmet Oyj 865,528 16,407,085 0.3%
Viking Line Abp 10,366 199,962 0.0%
# YIT Oyj 1,410,604 9,466,319 0.2%
------------ ---
TOTAL FINLAND 410,818,196 6.6%
------------ ---
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
FRANCE -- (12.0%)
ABC Arbitrage 176,146 $ 1,459,112 0.0%
Actia Group 48,398 475,939 0.0%
#* Adocia 6,367 147,783 0.0%
* Air France-KLM 1,087,234 10,655,350 0.2%
Akka Technologies 51,478 3,588,090 0.1%
Albioma SA 157,219 3,887,878 0.1%
Altamir 135,037 2,269,793 0.0%
Alten SA 142,403 14,144,649 0.2%
Altran Technologies SA 1,370,725 21,158,074 0.4%
* Amplitude Surgical SAS 4,749 23,069 0.0%
#* Antalis International SAS 120,399 237,139 0.0%
April SA 75,049 1,360,368 0.0%
#* Archos 194,634 215,654 0.0%
Arkema SA 6,471 847,666 0.0%
Assystem 62,252 2,095,733 0.0%
Aubay 31,239 1,508,223 0.0%
Axway Software SA 38,973 952,496 0.0%
# Bastide le Confort Medical 16,987 1,001,857 0.0%
Beneteau SA 216,231 4,885,991 0.1%
Bigben Interactive 74,415 1,237,005 0.0%
BioMerieux 34,757 2,747,650 0.1%
Boiron SA 38,163 3,401,419 0.1%
Bonduelle SCA 82,233 3,659,944 0.1%
# Bourbon Corp. 141,557 889,762 0.0%
Burelle SA 905 1,448,344 0.0%
# Casino Guichard Perrachon SA 254,831 13,218,487 0.2%
Catering International Services 14,124 319,609 0.0%
* Cegedim SA 25,022 1,061,516 0.0%
#* CGG SA 412,287 1,004,526 0.0%
# Chargeurs SA 108,742 3,282,126 0.1%
Cie des Alpes 51,236 1,824,313 0.0%
Cie Plastic Omnium SA 312,439 15,015,026 0.3%
* Coface SA 488,476 6,188,781 0.1%
Derichebourg SA 584,687 5,174,522 0.1%
Devoteam SA 28,114 2,998,024 0.1%
Dom Security 2,414 174,615 0.0%
# Edenred 1,178,862 40,612,334 0.7%
Electricite de Strasbourg SA 21,353 3,318,522 0.1%
Elior Group SA 578,748 11,817,469 0.2%
Elis SA 601,401 14,383,281 0.2%
* Eramet 60,555 10,540,003 0.2%
* Esso SA Francaise 15,303 926,895 0.0%
* Etablissements Maurel et Prom 79,940 459,857 0.0%
Euronext NV 291,850 20,921,019 0.3%
Europcar Groupe SA 451,417 5,259,066 0.1%
Eutelsat Communications SA 726,775 15,739,761 0.3%
Exel Industries Class A 10,330 1,315,077 0.0%
Faurecia SA 187,966 15,349,089 0.3%
Fleury Michon SA 5,962 346,537 0.0%
* Fnac Darty SA 107,103 11,491,784 0.2%
Gaumont SA 13,052 2,100,693 0.0%
Gaztransport Et Technigaz SA 115,771 7,177,322 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
FRANCE -- (Continued)
GEA 2,433 $ 298,095 0.0%
Getlink 1,262,810 17,820,718 0.3%
Gevelot SA 3,466 832,717 0.0%
GL Events 48,992 1,543,163 0.0%
Groupe Crit 23,123 2,515,854 0.0%
#* Groupe Gorge 22,858 471,854 0.0%
Groupe Open 28,806 1,218,381 0.0%
# Guerbet 32,440 2,056,303 0.0%
Haulotte Group SA 74,466 1,467,484 0.0%
# Herige Sadcs 4,147 216,617 0.0%
#* HiPay Group SA 24,579 446,915 0.0%
* ID Logistics Group 9,239 1,648,014 0.0%
Imerys SA 132,780 12,119,167 0.2%
Ingenico Group SA 301,300 26,355,632 0.4%
Interparfums SA 39,291 1,815,909 0.0%
Ipsen SA 47,538 7,694,818 0.1%
IPSOS 193,979 7,384,974 0.1%
Jacquet Metal Service SA 71,359 2,754,874 0.1%
Kaufman & Broad SA 96,997 5,109,985 0.1%
Korian SA 259,783 9,083,300 0.2%
Lagardere SCA 768,346 21,975,546 0.4%
Lanson-BCC 8,795 341,760 0.0%
Laurent-Perrier 12,886 1,628,193 0.0%
Le Belier 10,417 719,347 0.0%
# Lectra 133,460 3,485,334 0.1%
Linedata Services 11,841 481,532 0.0%
LISI 99,064 3,651,699 0.1%
LNA Sante SA 29,442 1,896,957 0.0%
Maisons du Monde SA 84,100 3,417,348 0.1%
# Maisons France Confort SA 15,908 992,831 0.0%
Manitou BF SA 51,719 2,346,787 0.0%
Manutan International 14,949 1,499,508 0.0%
Mersen SA 117,956 5,542,219 0.1%
#* METabolic EXplorer SA 151,621 361,833 0.0%
Metropole Television SA 290,250 7,146,193 0.1%
MGI Coutier 56,783 1,960,183 0.0%
Mr Bricolage 30,731 555,056 0.0%
* Naturex 35,471 5,756,111 0.1%
Neopost SA 196,501 5,302,239 0.1%
# Nexans SA 185,479 9,784,314 0.2%
Nexity SA 241,351 15,091,730 0.3%
#* Nicox 136,752 1,514,944 0.0%
* NRJ Group 73,487 762,546 0.0%
# Oeneo SA 157,938 1,902,783 0.0%
#* Onxeo SA(BPFJVR0) 48,958 78,615 0.0%
#* Onxeo SA(B04P0G6) 246,319 396,872 0.0%
Orpea 178,098 22,822,558 0.4%
* Parrot SA 112,753 750,090 0.0%
#* Pierre & Vacances SA 29,600 1,458,642 0.0%
# Plastivaloire 45,387 1,037,905 0.0%
PSB Industries SA 8,805 492,161 0.0%
# Rallye SA 139,003 2,169,060 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
FRANCE -- (Continued)
#* Recylex SA 102,008 $ 1,319,683 0.0%
Rexel SA 1,773,993 27,499,995 0.5%
Robertet SA 3,734 2,244,481 0.0%
Rothschild & Co. 44,852 1,703,320 0.0%
# Rubis SCA 579,892 45,119,200 0.7%
Samse SA 8,068 1,724,234 0.0%
Sartorius Stedim Biotech 101,854 9,494,645 0.2%
Savencia SA 33,010 3,419,071 0.1%
SEB SA 23,172 4,439,847 0.1%
Seche Environnement SA 13,339 484,064 0.0%
#* Sequana SA 289,137 201,767 0.0%
* SES-imagotag SA 8,385 255,360 0.0%
# Societe BIC SA 111,530 11,379,125 0.2%
* Societe des Bains de Mer et du Cercle des Etrangers a Monaco 60,258 3,820,597 0.1%
Societe Marseillaise du Tunnel Prado-Carenage SA 5,211 144,736 0.0%
Societe pour l'Informatique Industrielle 39,961 1,204,170 0.0%
* SOITEC 87,729 7,133,879 0.1%
#* Solocal Group 3,289,445 4,222,105 0.1%
Somfy SA 104,615 10,405,345 0.2%
Sopra Steria Group 88,489 18,888,663 0.3%
SPIE SA 453,235 10,255,340 0.2%
* SRP Groupe SA 16,799 153,820 0.0%
* Stallergenes Greer P.L.C. 17,371 517,033 0.0%
#* Ste Industrielle d'Aviation Latecoere SA 362,344 2,347,883 0.0%
Stef SA 28,044 3,458,699 0.1%
Sword Group 35,526 1,553,446 0.0%
Synergie SA 69,728 4,267,053 0.1%
# Tarkett SA 121,413 3,588,207 0.1%
# Technicolor SA 1,531,532 2,513,261 0.0%
Teleperformance 159,146 25,575,132 0.4%
# Television Francaise 1 615,411 7,693,456 0.1%
#* Tessi SA 6,874 1,438,203 0.0%
TFF Group 20,464 983,863 0.0%
# Thermador Groupe 17,612 2,538,752 0.1%
Total Gabon 2,296 432,377 0.0%
#* Touax SA 9,530 119,012 0.0%
Trigano SA 46,958 8,849,042 0.2%
* Ubisoft Entertainment SA 328,788 31,415,035 0.5%
Union Financiere de France BQE SA 16,855 623,139 0.0%
#* Vallourec SA 1,879,147 11,348,635 0.2%
#* Valneva SE 322,635 1,520,068 0.0%
Vetoquinol SA 19,343 1,225,980 0.0%
Vicat SA 96,640 7,122,175 0.1%
VIEL & Cie SA 161,700 1,082,310 0.0%
Vilmorin & Cie SA 29,068 2,052,911 0.0%
#* Virbac SA 22,063 3,445,612 0.1%
Vranken-Pommery Monopole SA 18,262 522,792 0.0%
* Worldline SA 47,271 2,384,149 0.0%
------------ ----
TOTAL FRANCE 820,628,584 13.3%
------------ ----
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
GERMANY -- (14.2%)
1&1 Drillisch AG 147,052 $10,632,287 0.2%
Aareal Bank AG 425,534 21,284,786 0.3%
* Adler Modemaerkte AG 47,849 282,820 0.0%
* ADLER Real Estate AG 152,507 2,833,376 0.1%
ADO Properties SA 126,623 6,960,486 0.1%
#* ADVA Optical Networking SE 283,586 1,947,295 0.0%
* AIXTRON SE 634,440 9,005,054 0.1%
All for One Steeb AG 2,055 165,391 0.0%
Allgeier SE 35,806 1,138,213 0.0%
Amadeus Fire AG 30,551 3,348,163 0.1%
* AS Creation Tapeten 6,666 154,673 0.0%
Atoss Software AG 559 59,951 0.0%
Aurubis AG 242,477 21,668,776 0.4%
Axel Springer SE 152,209 12,467,824 0.2%
Basler AG 7,850 1,607,716 0.0%
Bauer AG 60,410 1,880,083 0.0%
BayWa AG(5838057) 83,776 2,925,421 0.1%
BayWa AG(5838068) 124 5,148 0.0%
Bechtle AG 198,589 16,770,875 0.3%
Bertrandt AG 28,824 3,216,176 0.1%
Bijou Brigitte AG 20,841 1,195,403 0.0%
Bilfinger SE 201,109 9,571,291 0.2%
Borussia Dortmund GmbH & Co. KGaA 478,728 3,163,839 0.1%
CANCOM SE 98,161 11,504,553 0.2%
Carl Zeiss Meditec AG 180,477 12,274,626 0.2%
CECONOMY AG 935,953 10,488,141 0.2%
CENIT AG 49,616 1,227,718 0.0%
CENTROTEC Sustainable AG 46,917 752,661 0.0%
Cewe Stiftung & Co. KGAA 34,027 3,483,284 0.1%
Comdirect Bank AG 184,745 2,833,410 0.1%
CompuGroup Medical SE 125,310 6,528,600 0.1%
CropEnergies AG 118,349 729,859 0.0%
CTS Eventim AG & Co. KGaA 251,993 11,784,770 0.2%
Data Modul AG 11,455 1,004,475 0.0%
Delticom AG 28,981 339,517 0.0%
Deutsche Beteiligungs AG 86,088 3,824,261 0.1%
Deutsche EuroShop AG 302,380 10,867,682 0.2%
Deutsche Pfandbriefbank AG 630,269 10,195,341 0.2%
Deutz AG 767,680 7,416,603 0.1%
* Dialog Semiconductor P.L.C. 382,079 8,133,919 0.1%
DIC Asset AG 310,990 3,826,329 0.1%
* Diebold Nixdorf AG 20,873 1,657,850 0.0%
DMG Mori AG 15,692 903,999 0.0%
Dr Hoenle AG 28,404 2,463,824 0.0%
Draegerwerk AG & Co. KGaA 16,396 1,007,296 0.0%
Duerr AG 143,919 14,282,861 0.2%
Eckert & Ziegler AG 19,546 858,898 0.0%
EDAG Engineering Group AG 27,416 524,067 0.0%
Elmos Semiconductor AG 69,818 2,263,275 0.0%
# ElringKlinger AG 169,211 3,059,157 0.1%
* Euromicron AG 45,575 384,547 0.0%
Ferratum Oyj 59,304 1,909,177 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
GERMANY -- (Continued)
Fielmann AG 120,578 $ 9,901,739 0.2%
* First Sensor AG 37,578 1,059,062 0.0%
Francotyp-Postalia Holding AG Class A 55,619 230,833 0.0%
Freenet AG 889,655 28,241,073 0.5%
FRIWO AG 210 9,051 0.0%
Fuchs Petrolub SE 134,741 6,923,063 0.1%
Gerresheimer AG 193,945 15,776,487 0.3%
# Gerry Weber International AG 126,717 1,207,082 0.0%
Gesco AG 54,857 1,874,223 0.0%
GFT Technologies SE 88,655 1,400,668 0.0%
Grammer AG 80,206 5,167,741 0.1%
Grand City Properties SA 22,972 553,437 0.0%
GRENKE AG 81,982 9,665,620 0.2%
* H&R GmbH & Co. KGaA 64,747 952,332 0.0%
Hamburger Hafen und Logistik AG 134,558 3,231,061 0.1%
#* Hapag-Lloyd AG 41,885 1,792,981 0.0%
* Heidelberger Druckmaschinen AG 1,602,835 5,954,355 0.1%
Hella GmbH & Co KGaA 174,699 10,775,508 0.2%
Highlight Communications AG 97,995 662,761 0.0%
* HolidayCheck Group AG 157,494 532,532 0.0%
Hornbach Baumarkt AG 25,689 864,167 0.0%
Hornbach Holding AG & Co. KGaA 5,404 434,246 0.0%
Hugo Boss AG 332,465 31,167,160 0.5%
Indus Holding AG 128,956 9,229,042 0.2%
Init Innovation In Traffic Systems AG 32,137 767,755 0.0%
Isra Vision AG 18,494 4,072,577 0.1%
* IVU Traffic Technologies AG 38,250 233,646 0.0%
Jenoptik AG 296,880 10,770,323 0.2%
# K+S AG 1,279,181 37,569,097 0.6%
Kloeckner & Co. SE 526,099 6,412,710 0.1%
Koenig & Bauer AG 73,522 6,034,218 0.1%
# Krones AG 92,506 11,850,939 0.2%
KSB SE & Co. KGaA 3,466 1,830,694 0.0%
KWS Saat SE 15,926 5,746,656 0.1%
Lanxess AG 482,578 35,746,624 0.6%
LEG Immobilien AG 360,131 41,524,226 0.7%
Leifheit AG 44,598 1,309,662 0.0%
Leoni AG 213,465 13,368,735 0.2%
* LPKF Laser & Electronics AG 67,178 603,792 0.0%
* Manz AG 25,755 1,054,028 0.0%
MasterFlex SE 20,259 211,356 0.0%
* Mediclin AG 88,966 658,571 0.0%
* Medigene AG 108,058 1,741,046 0.0%
METRO AG 159,657 2,309,772 0.0%
MLP SE 358,972 2,169,317 0.0%
MTU Aero Engines AG 16,123 2,773,328 0.0%
Nemetschek SE 117,230 14,048,482 0.2%
Nexus AG 70,253 2,348,025 0.0%
#* Nordex SE 307,691 3,525,218 0.1%
Norma Group SE 202,672 14,860,771 0.2%
OHB SE 34,003 1,509,669 0.0%
OSRAM Licht AG 210,842 12,121,496 0.2%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
GERMANY -- (Continued)
# paragon AG 14,446 $ 924,826 0.0%
* Patrizia Immobilien AG 297,176 5,932,334 0.1%
#* Petro Welt Technologies AG 12,774 100,286 0.0%
Pfeiffer Vacuum Technology AG 52,225 7,726,635 0.1%
PNE Wind AG 441,975 1,310,262 0.0%
Progress-Werk Oberkirch AG 8,316 437,082 0.0%
PSI Software AG 40,552 811,279 0.0%
Puma SE 11,101 5,405,312 0.1%
* PVA TePla AG 50,786 961,454 0.0%
* QIAGEN NV 540,364 17,676,073 0.3%
QSC AG 536,325 1,063,670 0.0%
R Stahl AG 14,952 522,806 0.0%
Rational AG 14,451 9,037,811 0.2%
Rheinmetall AG 272,395 35,596,925 0.6%
RHOEN-KLINIKUM AG 233,180 7,624,619 0.1%
RIB Software SE 197,541 5,234,750 0.1%
S&T AG 302,174 7,756,839 0.1%
SAF-Holland SA 355,555 6,620,447 0.1%
Salzgitter AG 268,219 14,729,416 0.2%
#* Schaltbau Holding AG 36,413 1,128,048 0.0%
Schloss Wachenheim AG 7,479 182,552 0.0%
Scout24 AG 63,358 3,274,223 0.1%
Secunet Security Networks AG 3,809 450,402 0.0%
* SGL Carbon SE 5,065 68,007 0.0%
SHW AG 25,624 1,094,109 0.0%
Siltronic AG 142,539 22,824,292 0.4%
Sixt Leasing SE 53,039 1,138,778 0.0%
Sixt SE 80,910 9,520,668 0.2%
# SMA Solar Technology AG 85,104 5,230,450 0.1%
* SMT Scharf AG 20,115 411,856 0.0%
Softing AG 22,353 239,526 0.0%
Software AG 325,372 15,994,775 0.3%
Stabilus SA 123,004 11,057,428 0.2%
STRATEC Biomedical AG 7,321 667,601 0.0%
Stroeer SE & Co. KGaA 145,850 10,675,459 0.2%
Suedzucker AG 438,206 7,283,236 0.1%
* SUESS MicroTec SE 134,258 2,063,126 0.0%
Surteco SE 43,961 1,404,241 0.0%
TAG Immobilien AG 828,939 17,517,090 0.3%
Takkt AG 182,922 3,778,466 0.1%
Technotrans AG 34,509 1,744,629 0.0%
* Tele Columbus AG 211,445 1,939,829 0.0%
TLG Immobilien AG 448,089 12,890,967 0.2%
* Tom Tailor Holding SE 206,505 2,224,034 0.0%
Uniper SE 312,671 9,667,527 0.2%
VERBIO Vereinigte BioEnergie AG 127,536 613,817 0.0%
* Vossloh AG 68,437 3,465,796 0.1%
# VTG AG 80,992 4,620,322 0.1%
Wacker Chemie AG 69,639 12,514,298 0.2%
Wacker Neuson SE 177,780 5,719,309 0.1%
Washtec AG 58,227 5,597,003 0.1%
Wuestenrot & Wuerttembergische AG 100,875 2,430,763 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
GERMANY -- (Continued)
XING SE 16,563 $ 5,134,027 0.1%
Zeal Network SE 42,784 1,381,291 0.0%
------------ ----
TOTAL GERMANY 969,015,475 15.7%
------------ ----
IRELAND -- (1.2%)
C&C Group P.L.C.(B010DT8) 399,607 1,520,349 0.0%
C&C Group P.L.C.(B011Y09) 1,085,694 4,081,540 0.1%
Datalex P.L.C. 91,110 289,558 0.0%
FBD Holdings P.L.C. 125,459 1,795,070 0.0%
Glanbia P.L.C.(0066950) 700,613 11,866,577 0.2%
Glanbia P.L.C.(4058629) 214,971 3,630,921 0.1%
IFG Group P.L.C. 302,015 587,809 0.0%
* Independent News & Media P.L.C. 1,939,277 210,426 0.0%
Irish Continental Group P.L.C.(BLP5857) 485,129 3,286,497 0.1%
Irish Continental Group P.L.C.(BLP59W1) 234,200 1,591,405 0.0%
Kingspan Group P.L.C. 708,796 32,086,423 0.5%
* Permanent TSB Group Holdings P.L.C. 49,226 103,433 0.0%
Smurfit Kappa Group P.L.C. 448,337 19,111,711 0.3%
------------ ----
TOTAL IRELAND 80,161,719 1.3%
------------ ----
ISRAEL -- (2.1%)
Adgar Investment and Development, Ltd. 6,982 11,630 0.0%
#* ADO Group, Ltd. 86,646 1,579,767 0.0%
Afcon Holdings, Ltd. 764 31,238 0.0%
* Africa Israel Properties, Ltd. 87,019 2,005,910 0.1%
Africa Israel Residences, Ltd. 2,237 43,814 0.0%
#* Airport City, Ltd. 421,822 4,815,871 0.1%
Albaad Massuot Yitzhak, Ltd. 2,660 35,033 0.0%
* Allot Communications, Ltd. 164,855 833,977 0.0%
# Alony Hetz Properties & Investments, Ltd. 280,782 2,490,699 0.1%
# Alrov Properties and Lodgings, Ltd. 48,457 1,636,332 0.0%
Amot Investments, Ltd. 640,380 3,155,912 0.1%
# Arad, Ltd. 9,057 82,756 0.0%
#* Arko Holdings, Ltd. 1,243,736 739,392 0.0%
# Ashtrom Group, Ltd. 35,138 144,212 0.0%
Ashtrom Properties, Ltd. 180,433 756,745 0.0%
#* AudioCodes, Ltd. 165,181 1,185,087 0.0%
Avgol Industries 1953, Ltd. 435,107 441,560 0.0%
* Azorim-Investment Development & Construction Co., Ltd. 434,861 424,587 0.0%
Bayside Land Corp. 4,564 1,980,408 0.0%
# Big Shopping Centers, Ltd. 27,978 1,796,209 0.0%
* BioLine RX, Ltd. 83,966 68,003 0.0%
Blue Square Real Estate, Ltd. 33,250 1,189,719 0.0%
* Bonus Biogroup, Ltd. 316,725 50,180 0.0%
#* Brack Capital Properties NV 16,139 1,791,408 0.0%
Camtek, Ltd. 29,589 202,057 0.0%
# Carasso Motors, Ltd. 102,282 639,026 0.0%
* Cellcom Israel, Ltd. 310,154 2,113,753 0.1%
Ceragon Networks, Ltd. 266,244 700,222 0.0%
* Clal Biotechnology Industries, Ltd. 291,561 220,373 0.0%
* Clal Insurance Enterprises Holdings, Ltd. 123,888 1,938,547 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
ISRAEL -- (Continued)
Cohen Development & Industrial Buildings, Ltd. 3,184 $ 68,305 0.0%
* Compugen, Ltd. 188,351 663,663 0.0%
Danel Adir Yeoshua, Ltd. 14,349 675,218 0.0%
# Delek Automotive Systems, Ltd. 204,232 1,464,719 0.0%
Delek Group, Ltd. 4,229 632,091 0.0%
# Delta-Galil Industries, Ltd. 72,570 2,076,090 0.1%
Direct Insurance Financial Investments, Ltd. 111,017 1,352,088 0.0%
Dor Alon Energy in Israel 1988, Ltd. 2,756 34,937 0.0%
# El Al Israel Airlines 1,852,806 531,565 0.0%
Electra Consumer Products 1970, Ltd. 51,141 735,751 0.0%
Electra, Ltd. 10,539 2,642,539 0.1%
* Elron Electronic Industries, Ltd. 92,425 384,616 0.0%
#* Energix-Renewable Energies, Ltd. 685,848 624,724 0.0%
* Enlight Renewable Energy, Ltd. 1,948,423 894,403 0.0%
* Evogene, Ltd. 79,189 240,091 0.0%
First International Bank Of Israel, Ltd. 233,290 4,809,136 0.1%
# FMS Enterprises Migun, Ltd. 18,743 563,053 0.0%
#* Foresight Autonomous Holdings, Ltd. 172,589 106,347 0.0%
Formula Systems 1985, Ltd. 55,198 1,898,094 0.0%
Fox Wizel, Ltd. 45,821 794,178 0.0%
* Gilat Satellite Networks, Ltd. 200,464 1,692,865 0.0%
# Hadera Paper, Ltd. 17,300 1,154,838 0.0%
# Ham-Let Israel-Canada, Ltd. 28,889 617,063 0.0%
Harel Insurance Investments & Financial Services, Ltd. 636,496 4,620,285 0.1%
Hilan, Ltd. 66,254 1,447,832 0.0%
IDI Insurance Co., Ltd. 34,124 2,054,199 0.1%
#* Industrial Buildings Corp., Ltd. 674,414 863,461 0.0%
# Inrom Construction Industries, Ltd. 298,882 1,257,163 0.0%
* Intec Pharma, Ltd. 38,173 196,809 0.0%
* Israel Discount Bank, Ltd. Class A 2,395,977 6,634,248 0.1%
Israel Land Development Co., Ltd. (The) 27,929 286,429 0.0%
Isras Investment Co., Ltd. 4,293 488,535 0.0%
# Issta Lines, Ltd. 7,952 166,877 0.0%
* Jerusalem Oil Exploration 51,061 2,866,992 0.1%
* Kamada, Ltd. 160,188 755,638 0.0%
Kenon Holdings, Ltd. 56,082 870,673 0.0%
Kerur Holdings, Ltd. 26,533 732,880 0.0%
# Klil Industries, Ltd. 5,219 470,543 0.0%
Maabarot Products, Ltd. 22,937 244,955 0.0%
Magic Software Enterprises, Ltd. 107,519 879,885 0.0%
Matrix IT, Ltd. 212,640 2,340,016 0.1%
# Maytronics, Ltd. 204,288 974,627 0.0%
#* Mazor Robotics, Ltd. 228,777 6,107,690 0.1%
Mediterranean Towers, Ltd. 284,845 526,405 0.0%
# Mega Or Holdings, Ltd. 60,314 722,745 0.0%
# Meitav Dash Investments, Ltd. 87,037 270,995 0.0%
# Melisron, Ltd. 73,243 2,990,583 0.1%
Menora Mivtachim Holdings, Ltd. 153,843 1,722,861 0.0%
# Migdal Insurance & Financial Holding, Ltd. 2,192,100 2,146,900 0.1%
Minrav Holdings, Ltd. 263 32,342 0.0%
# Mivtach Shamir Holdings, Ltd. 23,078 457,891 0.0%
# Naphtha Israel Petroleum Corp., Ltd. 197,260 1,237,804 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
ISRAEL -- (Continued)
# Nawi Brothers, Ltd. 74,094 $ 367,037 0.0%
Neto ME Holdings, Ltd. 8,982 792,843 0.0%
* Nova Measuring Instruments, Ltd. 154,998 4,113,872 0.1%
* NR Spuntech Industries, Ltd. 27,323 71,487 0.0%
Oil Refineries, Ltd. 7,014,234 3,035,089 0.1%
* Partner Communications Co., Ltd. 672,023 2,767,906 0.1%
Paz Oil Co., Ltd. 34,627 5,072,867 0.1%
* Perion Network, Ltd. 16,455 11,702 0.0%
* Phoenix Holdings, Ltd. (The) 364,522 1,860,272 0.0%
Plasson Industries, Ltd. 19,499 906,278 0.0%
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. 39,611 1,809,951 0.0%
* Redhill Biopharma, Ltd. 155,702 76,717 0.0%
Scope Metals Group, Ltd. 37,589 988,446 0.0%
# Shapir Engineering and Industry, Ltd. 417,649 1,342,302 0.0%
Shikun & Binui, Ltd. 1,180,819 2,001,243 0.0%
Shufersal, Ltd. 411,270 2,354,355 0.1%
* SodaStream International, Ltd. 5,759 542,682 0.0%
* Space Communication, Ltd. 17,611 66,254 0.0%
Strauss Group, Ltd. 150,152 3,089,100 0.1%
Summit Real Estate Holdings, Ltd. 160,678 1,444,667 0.0%
#* Suny Cellular Communication, Ltd. 382,310 217,840 0.0%
# Tadiran Holdings, Ltd. 12,911 366,530 0.0%
* Tower Semiconductor, Ltd. 331,070 8,634,151 0.2%
#* Union Bank of Israel 199,952 1,027,027 0.0%
------------ ---
TOTAL ISRAEL 145,089,682 2.4%
------------ ---
ITALY -- (10.5%)
#* A.S. Roma SpA 279,994 195,949 0.0%
A2A SpA 10,221,563 20,552,947 0.3%
ACEA SpA 328,226 5,758,311 0.1%
#* Aeffe SpA 227,820 812,886 0.0%
# Aeroporto Guglielmo Marconi Di Bologna SpA 27,600 538,535 0.0%
Amplifon SpA 558,705 10,437,040 0.2%
Anima Holding SpA 1,756,233 12,600,875 0.2%
* Ansaldo STS SpA 521,080 7,795,713 0.1%
* Arnoldo Mondadori Editore SpA 883,435 1,727,934 0.0%
Ascopiave SpA 450,902 1,849,646 0.0%
# Astaldi SpA 309,909 878,502 0.0%
Autogrill SpA 738,453 9,411,320 0.2%
Autostrade Meridionali SpA 2,764 107,547 0.0%
# Azimut Holding SpA 648,062 13,606,033 0.2%
B&C Speakers SpA 14,740 228,926 0.0%
#* Banca Carige SpA 148,414,098 1,606,034 0.0%
Banca Finnat Euramerica SpA 616,149 341,094 0.0%
Banca Generali SpA 339,615 11,016,820 0.2%
Banca IFIS SpA 143,766 5,664,070 0.1%
Banca Mediolanum SpA 1,541,757 12,356,405 0.2%
#* Banca Monte dei Paschi di Siena SpA 19,884 64,160 0.0%
Banca Popolare di Sondrio SCPA 2,702,742 12,768,995 0.2%
# Banca Profilo SpA 1,745,024 476,366 0.0%
# Banca Sistema SpA 280,519 770,505 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
ITALY -- (Continued)
#* Banco BPM SpA 9,509,050 $34,492,565 0.6%
# Banco di Desio e della Brianza SpA 228,444 654,039 0.0%
BasicNet SpA 184,584 860,928 0.0%
# BE 494,275 553,010 0.0%
Biesse SpA 84,710 4,461,911 0.1%
# BPER Banca 3,362,946 19,412,550 0.3%
Brembo SpA 958,192 14,116,624 0.2%
Brunello Cucinelli SpA 180,035 5,979,862 0.1%
# Buzzi Unicem SpA 484,863 12,242,121 0.2%
# Cairo Communication SpA 476,255 2,147,686 0.0%
* Caltagirone Editore SpA 6,277 10,026 0.0%
#* Carraro SpA 162,374 610,247 0.0%
Cembre SpA 37,981 1,146,127 0.0%
Cementir Holding SpA 334,012 2,792,699 0.1%
Cerved Information Solutions SpA 1,212,485 14,672,178 0.2%
CIR-Compagnie Industriali Riunite SpA 2,176,173 2,860,795 0.1%
Credito Emiliano SpA 508,982 4,476,143 0.1%
#* Credito Valtellinese SpA 45,885,728 7,141,224 0.1%
#* d'Amico International Shipping SA 1,350,290 329,295 0.0%
Danieli & C Officine Meccaniche SpA 78,883 2,169,517 0.0%
# Datalogic SpA 118,736 3,783,633 0.1%
De' Longhi SpA 287,319 8,589,336 0.2%
DeA Capital SpA 617,167 1,116,727 0.0%
DiaSorin SpA 137,764 12,980,911 0.2%
Digital Bros SpA 21,727 249,116 0.0%
Ei Towers SpA 100,202 5,799,692 0.1%
El.En. SpA 37,123 1,461,021 0.0%
* Elica SpA 72,212 198,885 0.0%
Emak SpA 283,893 457,602 0.0%
Enav SpA 880,066 4,797,036 0.1%
ePrice SpA 99,656 227,024 0.0%
ERG SpA 403,269 9,661,503 0.2%
# Esprinet SpA 178,939 943,026 0.0%
#* Eurotech SpA 125,772 244,337 0.0%
* Exprivia SpA 109,673 178,080 0.0%
Falck Renewables SpA 890,272 2,155,326 0.0%
# Fila SpA 95,278 2,004,546 0.0%
* Fincantieri SpA 3,372,028 5,298,296 0.1%
FinecoBank Banca Fineco SpA 2,273,171 27,068,385 0.5%
FNM SpA 801,311 647,916 0.0%
#* GEDI Gruppo Editoriale SpA 927,122 470,261 0.0%
# Gefran SpA 37,987 395,472 0.0%
# Geox SpA 496,677 1,670,554 0.0%
# Gruppo MutuiOnline SpA 124,765 2,394,198 0.1%
Hera SpA 4,998,353 18,478,240 0.3%
IMA Industria Macchine Automatiche SpA 83,089 8,062,564 0.1%
* IMMSI SpA 1,248,352 907,500 0.0%
Infrastrutture Wireless Italiane SpA 972,624 7,828,454 0.1%
#* Intek Group SpA 1,768,514 672,399 0.0%
Interpump Group SpA 418,191 13,284,618 0.2%
Iren SpA 3,714,391 11,285,045 0.2%
Italgas SpA 3,115,681 20,161,907 0.3%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
ITALY -- (Continued)
Italmobiliare SpA 40,178 $ 1,090,456 0.0%
IVS Group SA 51,533 692,115 0.0%
#* Juventus Football Club SpA 2,763,968 2,096,999 0.0%
La Doria SpA 68,280 995,671 0.0%
Leonardo SpA 343,551 3,969,593 0.1%
Maire Tecnimont SpA 772,032 3,923,854 0.1%
MARR SpA 195,453 5,896,510 0.1%
Massimo Zanetti Beverage Group SpA 61,245 535,938 0.0%
#* Mediaset SpA 4,201,139 16,669,728 0.3%
Moncler SpA 473,723 21,351,584 0.4%
#* Mondo TV SpA 89,356 479,549 0.0%
Nice SpA 148,276 546,580 0.0%
* Openjobmetis SpA agenzia per il lavoro 47,155 685,074 0.0%
OVS SpA 977,759 4,152,887 0.1%
# Panariagroup Industrie Ceramiche SpA 73,107 320,854 0.0%
Parmalat SpA 697,227 2,542,302 0.1%
Piaggio & C SpA 1,124,262 2,949,350 0.1%
Prima Industrie SpA 29,434 1,456,227 0.0%
Prysmian SpA 1,022,877 30,069,544 0.5%
RAI Way SpA 398,319 2,254,163 0.0%
# Reno de Medici SpA 913,765 836,481 0.0%
Reply SpA 109,860 6,943,320 0.1%
#* Retelit SpA 871,525 2,050,388 0.0%
#* Rizzoli Corriere Della Sera Mediagroup SpA 644,744 908,150 0.0%
Sabaf SpA 44,595 1,029,344 0.0%
SAES Getters SpA 43,539 1,175,903 0.0%
#* Safilo Group SpA 176,776 886,257 0.0%
#* Saipem SpA 4,006,166 15,300,482 0.3%
# Salini Impregilo SpA 1,282,257 3,668,759 0.1%
# Salvatore Ferragamo SpA 263,675 7,791,127 0.1%
Saras SpA 2,990,342 7,136,695 0.1%
Servizi Italia SpA 57,477 374,448 0.0%
Sesa SpA 39,011 1,237,001 0.0%
#* Snaitech SpA 538,898 1,421,844 0.0%
Societa Cattolica di Assicurazioni SC 1,092,502 11,631,758 0.2%
Societa Iniziative Autostradali e Servizi SpA 481,719 10,204,264 0.2%
* Sogefi SpA 323,297 1,265,773 0.0%
# SOL SpA 165,521 2,268,708 0.0%
# Tamburi Investment Partners SpA 469,632 3,474,366 0.1%
# Technogym SpA 557,600 6,764,392 0.1%
Tecnoinvestimenti SpA 26,124 197,923 0.0%
#* Tiscali SpA 9,160,788 335,284 0.0%
# Tod's SpA 68,456 5,285,881 0.1%
#* Trevi Finanziaria Industriale SpA 509,518 259,025 0.0%
# Unione di Banche Italiane SpA 6,849,336 35,278,999 0.6%
Unipol Gruppo SpA 2,793,385 14,961,742 0.3%
# UnipolSai Assicurazioni SpA 5,849,621 15,720,615 0.3%
Vittoria Assicurazioni SpA 144,869 2,056,581 0.0%
* Yoox Net-A-Porter Group SpA 342,380 15,665,437 0.3%
Zignago Vetro SpA 156,379 1,570,877 0.0%
------------ ----
TOTAL ITALY 716,550,572 11.6%
------------ ----
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
NETHERLANDS -- (5.7%)
Aalberts Industries NV 666,015 $ 32,792,511 0.5%
# Accell Group 150,045 3,507,872 0.1%
# AFC Ajax NV 18,134 238,850 0.0%
# AMG Advanced Metallurgical Group NV 179,772 8,400,027 0.1%
# Amsterdam Commodities NV 107,098 2,859,127 0.1%
APERAM SA 390,560 19,029,811 0.3%
# Arcadis NV 486,979 9,576,562 0.2%
# ASM International NV 339,707 20,395,835 0.3%
ASR Nederland NV 137,552 6,487,470 0.1%
#* Basic-Fit NV 51,675 1,552,745 0.0%
# BE Semiconductor Industries NV 252,954 17,482,454 0.3%
# Beter Bed Holding NV 131,483 1,320,857 0.0%
# BinckBank NV 440,223 2,561,806 0.0%
# Boskalis Westminster 627,709 18,595,414 0.3%
Brunel International NV 147,514 2,647,955 0.1%
Corbion NV 398,317 12,752,300 0.2%
# Flow Traders 143,328 5,556,540 0.1%
ForFarmers NV 89,486 1,255,372 0.0%
#* Fugro NV 562,724 8,899,026 0.2%
Gemalto NV(B9MS8P5) 306,999 18,488,260 0.3%
Gemalto NV(B011JK4) 231,595 13,950,141 0.2%
# GrandVision NV 195,308 4,801,787 0.1%
#* Heijmans NV 161,687 1,920,330 0.0%
Hunter Douglas NV 23,046 1,757,905 0.0%
IMCD NV 234,524 14,431,006 0.2%
Intertrust NV 258,397 5,147,606 0.1%
KAS Bank NV 91,818 1,106,524 0.0%
Kendrion NV 94,151 3,799,964 0.1%
# Koninklijke BAM Groep NV 2,042,063 9,726,164 0.2%
# Koninklijke Vopak NV 448,556 22,120,611 0.4%
* Lucas Bols NV 17,507 372,296 0.0%
Nederland Apparatenfabriek 32,862 1,998,689 0.0%
#* OCI NV 521,247 12,369,974 0.2%
Ordina NV 859,201 1,940,849 0.0%
# Philips Lighting NV 673,333 20,477,299 0.3%
PostNL NV 2,879,558 11,178,321 0.2%
SBM Offshore NV 1,217,053 20,421,199 0.3%
# SIF Holding NV 24,515 553,268 0.0%
Sligro Food Group NV 164,297 8,510,187 0.1%
* Takeaway.com NV 30,704 1,784,889 0.0%
# TKH Group NV 258,617 16,348,132 0.3%
* TomTom NV 971,261 9,583,906 0.2%
Van Lanschot Kempen NV 65,207 2,014,257 0.0%
# Wessanen 484,021 9,765,508 0.2%
------------ ---
TOTAL NETHERLANDS 390,481,606 6.3%
------------ ---
NORWAY -- (2.2%)
ABG Sundal Collier Holding ASA 1,986,744 1,565,235 0.0%
# AF Gruppen ASA 32,100 519,670 0.0%
* Akastor ASA 1,070,994 2,125,832 0.0%
* Aker Solutions ASA 837,596 5,670,105 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
NORWAY -- (Continued)
American Shipping Co. ASA 261,391 $ 893,899 0.0%
* Archer, Ltd. 584,367 680,386 0.0%
Arendals Fossekompani A.S. 90 44,306 0.0%
Atea ASA 408,010 6,056,183 0.1%
Austevoll Seafood ASA 452,355 5,444,209 0.1%
#* Avance Gas Holding, Ltd. 358,569 903,067 0.0%
#* Axactor AB 7,012,165 2,462,536 0.1%
B2Holding ASA 172,141 431,857 0.0%
Bakkafrost P/F 121,155 6,951,533 0.1%
Bonheur ASA 140,320 1,673,289 0.0%
Borregaard ASA 524,093 5,556,236 0.1%
#* BW LPG, Ltd. 498,904 1,731,158 0.0%
* BW Offshore, Ltd. 845,823 4,607,469 0.1%
* DNO ASA 3,859,961 7,147,813 0.1%
#* DOF ASA 2,897,853 319,304 0.0%
Ekornes ASA 129,482 1,800,905 0.0%
Entra ASA 59,049 809,823 0.0%
Europris ASA 472,161 1,643,370 0.0%
* FLEX LNG, Ltd. 267,787 342,973 0.0%
#* Fred Olsen Energy ASA 247,595 374,544 0.0%
# Frontline, Ltd. 383,371 1,651,246 0.0%
Funcom NV(B0TLFN1) 204,222 555,976 0.0%
#* Funcom NV(BFYVCD0) 8,835 23,929 0.0%
Grieg Seafood ASA 283,304 3,036,567 0.1%
# Hexagon Composites ASA 433,619 1,132,296 0.0%
# Hoegh LNG Holdings, Ltd. 277,724 1,613,505 0.0%
* Kongsberg Automotive ASA 2,171,519 2,538,778 0.1%
Kongsberg Gruppen ASA 65,774 1,610,271 0.0%
* Kvaerner ASA 1,605,790 3,379,145 0.1%
#* NEL ASA 3,765,869 1,296,817 0.0%
#* Next Biometrics Group A.S. 24,877 114,485 0.0%
#* Nordic Nanovector ASA 197,914 1,225,665 0.0%
#* Nordic Semiconductor ASA 703,953 4,428,765 0.1%
Norway Royal Salmon ASA 69,992 1,654,502 0.0%
#* Norwegian Air Shuttle ASA 152,601 5,791,443 0.1%
Norwegian Property ASA 766,079 961,383 0.0%
# Ocean Yield ASA 274,841 2,363,604 0.1%
* Odfjell Drilling, Ltd. 327,900 1,456,637 0.0%
Odfjell SE Class A 134,257 512,831 0.0%
Olav Thon Eiendomsselskap ASA 88,914 1,613,026 0.0%
* Otello Corp. ASA 592,306 1,511,511 0.0%
#* Petroleum Geo-Services ASA 1,859,599 8,004,003 0.1%
#* PhotoCure ASA 87,031 304,907 0.0%
#* Prosafe SE 163,111 263,305 0.0%
Protector Forsikring ASA 366,464 3,428,167 0.1%
* Q-Free ASA 179,836 180,202 0.0%
#* REC Silicon ASA 13,725,666 2,326,728 0.1%
Sbanken ASA 288,595 2,605,381 0.1%
# Scatec Solar ASA 368,087 2,283,621 0.1%
Selvaag Bolig ASA 256,708 1,303,826 0.0%
#* Sevan Marine ASA 124,800 229,378 0.0%
Solon Eiendom ASA 15,831 54,721 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
NORWAY -- (Continued)
#* Solstad Farstad ASA 287,823 $ 222,095 0.0%
SpareBank 1 SR-Bank ASA 100,705 995,965 0.0%
Stolt-Nielsen, Ltd. 150,060 2,120,661 0.0%
TGS NOPEC Geophysical Co. ASA 95,221 3,002,691 0.1%
Tomra Systems ASA 537,200 9,965,624 0.2%
# Treasure ASA 306,583 658,502 0.0%
# Veidekke ASA 441,721 5,365,096 0.1%
* Wallenius Wilhelmsen Logistics 101,766 703,077 0.0%
Wilh Wilhelmsen Holding ASA Class A 68,304 1,974,089 0.0%
# XXL ASA 462,058 4,013,950 0.1%
------------ ---
TOTAL NORWAY 148,234,073 2.4%
------------ ---
PORTUGAL -- (1.1%)
Altri SGPS SA 574,741 4,155,277 0.1%
* Banco Comercial Portugues SA Class R 67,440,721 22,576,043 0.3%
# CTT-Correios de Portugal SA 894,043 3,296,878 0.1%
EDP Renovaveis SA 58,571 562,456 0.0%
Ibersol SGPS SA 30,601 418,151 0.0%
Mota-Engil SGPS SA 850,092 3,683,040 0.1%
Navigator Co. SA (The) 1,987,069 11,594,077 0.2%
NOS SGPS SA 1,531,178 9,101,542 0.1%
Novabase SGPS SA 65,729 219,067 0.0%
REN - Redes Energeticas Nacionais SGPS SA 1,964,904 6,197,450 0.1%
Semapa-Sociedade de Investimento e Gestao 151,206 3,381,134 0.1%
Sonae Capital SGPS SA 789,547 964,840 0.0%
Sonae SGPS SA 5,843,514 7,946,339 0.1%
Teixeira Duarte SA 797,539 266,646 0.0%
------------ ---
TOTAL PORTUGAL 74,362,940 1.2%
------------ ---
SPAIN -- (5.7%)
# Acciona SA 206,462 17,269,782 0.3%
Acerinox SA 1,133,252 15,914,851 0.2%
* Adveo Group International SA 104,096 268,068 0.0%
Alantra Partners SA 34,644 661,897 0.0%
# Almirall SA 391,066 4,861,012 0.1%
#* Amper SA 5,811,798 1,655,988 0.0%
Applus Services SA 858,754 11,604,053 0.2%
# Atresmedia Corp. de Medios de Comunicacion SA 564,727 5,289,254 0.1%
Azkoyen SA 67,253 656,752 0.0%
* Baron de Ley 13,441 1,821,476 0.0%
# Bolsas y Mercados Espanoles SHMSF SA 461,801 16,185,425 0.2%
Cellnex Telecom SA 909,420 24,389,943 0.4%
Cia de Distribucion Integral Logista Holdings SA 261,258 5,875,528 0.1%
Cie Automotive SA 344,752 12,887,472 0.2%
Construcciones y Auxiliar de Ferrocarriles SA 102,340 4,907,852 0.1%
#* Deoleo SA 1,865,424 400,293 0.0%
Distribuidora Internacional de Alimentacion SA 3,849,981 17,841,577 0.3%
#* Duro Felguera SA 489,623 156,274 0.0%
Ebro Foods SA 439,054 10,587,732 0.2%
* eDreams ODIGEO SA 398,808 1,823,107 0.0%
Elecnor SA 199,318 3,125,695 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SPAIN -- (Continued)
Enagas SA 1,074,890 $ 31,242,704 0.5%
Ence Energia y Celulosa SA 1,118,132 8,626,296 0.1%
Ercros SA 815,730 4,164,105 0.1%
Euskaltel SA 470,855 4,365,863 0.1%
Faes Farma SA 1,846,280 7,496,080 0.1%
# Fluidra SA 305,244 4,417,414 0.1%
* Fomento de Construcciones y Contratas SA 257,241 3,315,104 0.1%
* Global Dominion Access SA 221,011 1,286,949 0.0%
Grupo Catalana Occidente SA 237,865 10,473,591 0.1%
#* Grupo Empresarial San Jose SA 122,109 563,993 0.0%
* Grupo Ezentis SA 1,296,563 1,141,933 0.0%
Iberpapel Gestion SA 44,111 1,765,958 0.0%
* Indra Sistemas SA 817,501 11,297,004 0.2%
Inmobiliaria del Sur SA 2,902 41,845 0.0%
# Laboratorios Farmaceuticos Rovi SA 69,605 1,411,400 0.0%
* Liberbank SA 8,204,181 4,692,693 0.1%
# Mediaset Espana Comunicacion SA 1,104,946 10,574,510 0.2%
Melia Hotels International SA 708,458 10,533,573 0.2%
Miquel y Costas & Miquel SA 86,840 3,498,272 0.1%
NH Hotel Group SA 1,501,179 11,574,617 0.2%
#* Obrascon Huarte Lain SA 926,681 4,320,815 0.1%
Papeles y Cartones de Europa SA 320,535 6,202,356 0.1%
Parques Reunidos Servicios Centrales SAU 37,609 619,449 0.0%
#* Pharma Mar SA 1,078,930 2,105,625 0.0%
Prim SA 39,424 570,752 0.0%
#* Promotora de Informaciones SA Class A 1,879,166 4,401,966 0.1%
Prosegur Cia de Seguridad SA 1,713,380 12,951,769 0.2%
#* Quabit Inmobiliaria SA 501,164 1,167,202 0.0%
* Realia Business SA 1,341,390 1,778,260 0.0%
# Sacyr SA 2,898,931 8,316,338 0.1%
Saeta Yield SA 243,660 3,623,031 0.1%
#* Solaria Energia y Medio Ambiente SA 340,345 1,409,710 0.0%
# Talgo SA 527,275 3,221,514 0.1%
# Tecnicas Reunidas SA 212,450 6,847,777 0.1%
* Telepizza Group SA 90,534 605,953 0.0%
#* Tubacex SA 752,478 3,210,877 0.1%
#* Tubos Reunidos SA 785,848 382,579 0.0%
Vidrala SA 93,790 9,836,265 0.1%
Viscofan SA 261,752 17,346,497 0.3%
* Vocento SA 341,900 567,895 0.0%
Zardoya Otis SA 1,080,214 11,025,315 0.2%
------------ ---
TOTAL SPAIN 391,179,880 6.3%
------------ ---
SWEDEN -- (6.6%)
AAK AB 120,395 10,624,761 0.2%
* AcadeMedia AB 116,321 773,230 0.0%
# Acando AB 901,661 3,037,391 0.1%
AddLife AB 59,317 1,241,077 0.0%
# AddNode Group AB 41,065 387,448 0.0%
AddTech AB Class B 301,868 6,268,615 0.1%
# AF AB Class B 573,975 11,941,822 0.2%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWEDEN -- (Continued)
# Alimak Group AB 152,737 $ 2,258,733 0.0%
#* Anoto Group AB 313,692 140,963 0.0%
* Arise AB 36,861 51,822 0.0%
Atrium Ljungberg AB Class B 152,438 2,410,832 0.1%
Attendo AB 367,568 3,732,808 0.1%
# Avanza Bank Holding AB 133,985 6,298,348 0.1%
* BE Group AB 22,326 133,671 0.0%
Beijer Alma AB 127,695 3,666,491 0.1%
#* Beijer Electronics Group AB 80,992 310,453 0.0%
Beijer Ref AB 246,015 3,780,670 0.1%
Bergman & Beving AB 144,190 1,498,469 0.0%
# Besqab AB 20,994 266,548 0.0%
# Betsson AB 687,069 4,894,378 0.1%
Bilia AB Class A 628,332 5,180,365 0.1%
BillerudKorsnas AB 120,069 1,764,246 0.0%
# BioGaia AB Class B 97,406 4,677,174 0.1%
#* BioInvent International AB 300,911 64,808 0.0%
Biotage AB 269,681 2,757,852 0.1%
Bjorn Borg AB 99,769 290,251 0.0%
# Bonava AB 12,135 145,382 0.0%
# Bonava AB Class B 407,814 4,950,515 0.1%
# Bravida Holding AB 383,312 2,745,175 0.1%
# Bufab AB 197,821 2,668,548 0.1%
# Bulten AB 107,130 1,356,086 0.0%
Bure Equity AB 361,889 3,880,102 0.1%
# Byggmax Group AB 372,728 1,978,520 0.0%
Capio AB 304,128 1,373,591 0.0%
# Catena AB 112,950 2,225,532 0.0%
# Cavotec SA 53,001 148,627 0.0%
Clas Ohlson AB Class B 213,059 2,330,510 0.0%
Cloetta AB Class B 1,509,438 5,402,108 0.1%
#* CLX Communications AB 25,407 190,811 0.0%
* Collector AB 115,119 833,389 0.0%
Com Hem Holding AB 807,301 13,982,003 0.2%
Concentric AB 370,121 6,042,940 0.1%
* Concordia Maritime AB Class B 100,760 118,264 0.0%
Coor Service Management Holding AB 144,766 1,002,638 0.0%
Corem Property Group AB Class B 152,477 163,210 0.0%
* D Carnegie & Co. AB 22,947 356,951 0.0%
# Dedicare AB Class B 20,550 144,145 0.0%
# Dios Fastigheter AB 684,301 4,341,405 0.1%
Dometic Group AB 250,551 2,398,030 0.0%
#* Doro AB 155,569 777,953 0.0%
Duni AB 215,861 2,930,547 0.1%
Dustin Group AB 213,309 1,784,788 0.0%
Eastnine AB 109,780 1,187,767 0.0%
# Elanders AB Class B 48,081 402,982 0.0%
#* Eltel AB 192,132 554,707 0.0%
Enea AB 72,046 680,505 0.0%
# eWork Group AB 28,929 291,205 0.0%
Fabege AB 1,221,050 14,059,074 0.2%
# Fagerhult AB 207,289 2,115,177 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWEDEN -- (Continued)
Fenix Outdoor International AG 14,381 $ 1,735,583 0.0%
* Fingerprint Cards AB Class B 634,700 548,394 0.0%
Granges AB 530,047 7,414,643 0.1%
Gunnebo AB 208,485 719,556 0.0%
* Haldex AB 218,762 2,349,549 0.0%
Heba Fastighets AB Class B 45,417 573,969 0.0%
Hemfosa Fastigheter AB 903,916 11,196,928 0.2%
# Hexpol AB 7,179 74,289 0.0%
HIQ International AB 254,760 2,061,757 0.0%
# HMS Networks AB 60,696 1,013,828 0.0%
# Hoist Finance AB 302,024 2,669,388 0.1%
Holmen AB 392,178 9,670,021 0.2%
# Indutrade AB 442,678 10,440,068 0.2%
Inwido AB 344,615 2,999,832 0.1%
# ITAB Shop Concept AB Class B 121,363 546,283 0.0%
JM AB 381,548 7,548,677 0.1%
KappAhl AB 458,925 1,330,193 0.0%
# Karo Pharma AB 561,244 2,070,844 0.0%
# Kindred Group P.L.C. 1,251,492 16,139,953 0.3%
# Klovern AB Class B 3,466,834 4,326,020 0.1%
KNOW IT AB 108,281 2,204,895 0.0%
# Kungsleden AB 1,116,586 7,918,515 0.1%
Lagercrantz Group AB Class B 360,259 3,383,101 0.1%
# Lifco AB Class B 53,458 1,941,296 0.0%
Lindab International AB 485,412 3,746,522 0.1%
Loomis AB Class B 387,412 14,108,316 0.2%
#* Medivir AB Class B 169,635 771,322 0.0%
# Mekonomen AB 150,926 2,306,919 0.0%
Modern Times Group MTG AB Class B 314,159 12,347,331 0.2%
* Momentum Group AB Class B 172,644 1,939,534 0.0%
# MQ Holding AB 212,980 368,613 0.0%
# Mycronic AB 464,036 5,327,865 0.1%
NCC AB Class B 500,321 9,215,845 0.2%
Nederman Holding AB 7,097 217,968 0.0%
#* Net Insight AB Class B 945,946 453,987 0.0%
# NetEnt AB 939,633 5,359,863 0.1%
New Wave Group AB Class B 336,043 1,995,054 0.0%
Nobia AB 740,155 5,822,600 0.1%
Nobina AB 534,930 3,510,516 0.1%
Nolato AB Class B 171,585 12,884,318 0.2%
# Nordic Waterproofing Holding A.S. 27,369 229,337 0.0%
NP3 Fastigheter AB 116,476 822,410 0.0%
# OEM International AB Class B 46,319 976,680 0.0%
# Opus Group AB 1,383,885 1,114,791 0.0%
Oriflame Holding AG 237,287 11,244,356 0.2%
Pandox AB 142,822 2,403,791 0.0%
# Peab AB 920,779 8,151,987 0.1%
# Platzer Fastigheter Holding AB Class B 92,891 622,110 0.0%
# Pricer AB Class B 832,220 798,549 0.0%
Proact IT Group AB 50,363 946,096 0.0%
* Qliro Group AB 795,678 962,895 0.0%
# Ratos AB Class B 1,481,561 5,845,824 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SWEDEN -- (Continued)
#* RaySearch Laboratories AB 129,144 $ 1,924,894 0.0%
# Recipharm AB Class B 199,589 2,703,231 0.1%
# Resurs Holding AB 266,196 1,715,008 0.0%
* Rezidor Hotel Group AB 148,193 425,416 0.0%
# Rottneros AB 506,830 566,954 0.0%
Sagax AB Class B 146,593 1,715,350 0.0%
* SAS AB 937,161 2,338,791 0.0%
# Scandi Standard AB 286,069 1,961,447 0.0%
Scandic Hotels Group AB 357,195 3,515,859 0.1%
Sectra AB Class B 75,781 1,672,842 0.0%
# Semcon AB 108,401 690,681 0.0%
#* Sensys Gatso Group AB 2,263,603 346,729 0.0%
SkiStar AB 146,905 3,029,115 0.1%
# Sweco AB Class B 325,168 6,622,726 0.1%
Swedol AB Class B 206,900 751,118 0.0%
# Systemair AB 82,924 1,096,295 0.0%
Thule Group AB 441,894 10,212,872 0.2%
#* Tobii AB 166,601 687,330 0.0%
# Troax Group AB 30,192 931,380 0.0%
VBG Group AB Class B 22,373 334,672 0.0%
# Victoria Park AB Class B 681,163 2,796,823 0.1%
# Vitrolife AB 71,728 5,250,853 0.1%
# Wallenstam AB Class B 977,095 8,753,604 0.2%
# Wihlborgs Fastigheter AB 427,404 9,904,923 0.2%
------------ ---
TOTAL SWEDEN 447,338,307 7.2%
------------ ---
SWITZERLAND -- (10.1%)
Allreal Holding AG 80,200 13,185,648 0.2%
* Alpiq Holding AG 8,767 664,897 0.0%
ALSO Holding AG 32,252 3,973,806 0.1%
# ams AG 316,689 26,119,536 0.4%
APG SGA SA 7,790 3,197,598 0.1%
#* Arbonia AG 250,441 4,455,028 0.1%
#* Aryzta AG 543,826 11,461,617 0.2%
Ascom Holding AG 208,330 4,168,256 0.1%
# Autoneum Holding AG 18,869 4,940,860 0.1%
# Bachem Holding AG Class B 23,995 3,076,986 0.1%
# Bank Cler AG 30,941 1,310,595 0.0%
Banque Cantonale de Geneve 8,576 1,609,273 0.0%
Banque Cantonale du Jura SA 4,442 246,098 0.0%
Banque Cantonale Vaudoise 11,753 9,366,603 0.2%
Belimo Holding AG 2,345 9,682,797 0.2%
Bell Food Group AG 5,541 2,176,642 0.0%
Bellevue Group AG 53,293 1,254,028 0.0%
# Berner Kantonalbank AG 25,042 4,685,268 0.1%
BFW Liegenschaften AG 2,860 125,669 0.0%
BKW AG 79,223 5,163,470 0.1%
Bobst Group SA 51,799 5,526,347 0.1%
Bossard Holding AG Class A 34,764 7,124,095 0.1%
Bucher Industries AG 46,025 16,867,425 0.3%
# Burckhardt Compression Holding AG 17,827 5,784,744 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWITZERLAND -- (Continued)
# Burkhalter Holding AG 20,988 $ 1,972,996 0.0%
Calida Holding AG 26,738 973,495 0.0%
Carlo Gavazzi Holding AG 2,093 713,013 0.0%
Cembra Money Bank AG 170,100 14,418,227 0.2%
Cham Group AG 2,138 949,682 0.0%
Cicor Technologies, Ltd. 12,637 751,767 0.0%
Cie Financiere Tradition SA 10,069 1,070,738 0.0%
Coltene Holding AG 20,595 1,917,133 0.0%
Conzzeta AG 8,316 10,601,189 0.2%
Daetwyler Holding AG 39,273 7,491,040 0.1%
DKSH Holding AG 160,246 12,851,801 0.2%
dormakaba Holding AG 16,814 13,005,818 0.2%
* Dottikon Es Holding AG 143 104,246 0.0%
EFG International AG 538,864 4,377,223 0.1%
Emmi AG 12,679 10,227,725 0.2%
Energiedienst Holding AG 71,956 1,867,958 0.0%
#* Evolva Holding SA 2,861,683 756,662 0.0%
Feintool International Holding AG 13,066 1,490,078 0.0%
Flughafen Zurich AG 52,318 10,925,585 0.2%
Forbo Holding AG 6,853 9,586,024 0.2%
GAM Holding AG 1,118,131 17,847,850 0.3%
Georg Fischer AG 25,509 31,709,139 0.5%
Gurit Holding AG 2,373 2,014,873 0.0%
Helvetia Holding AG 43,900 26,077,101 0.4%
Hiag Immobilien Holding AG 10,203 1,277,212 0.0%
# HOCHDORF Holding AG 6,549 1,838,717 0.0%
# Huber & Suhner AG 72,236 4,125,906 0.1%
Hypothekarbank Lenzburg AG 3 13,561 0.0%
* Idorsia, Ltd. 31,628 725,376 0.0%
Implenia AG 92,838 7,086,883 0.1%
Inficon Holding AG 9,382 5,617,362 0.1%
Interroll Holding AG 3,569 5,912,756 0.1%
Intershop Holding AG 8,917 4,450,861 0.1%
# Investis Holding SA 839 52,782 0.0%
Jungfraubahn Holding AG 7,104 1,175,486 0.0%
Kardex AG 36,252 5,093,446 0.1%
Komax Holding AG 21,318 5,859,784 0.1%
# Kudelski SA 197,997 1,821,598 0.0%
#* Lastminute.com NV 22,395 344,474 0.0%
LEM Holding SA 3,773 5,957,972 0.1%
Liechtensteinische Landesbank AG 40,594 2,593,619 0.0%
Logitech International SA 542,117 20,027,511 0.3%
Luzerner Kantonalbank AG 17,332 9,344,733 0.2%
* MCH Group AG 5,265 269,734 0.0%
# Meier Tobler Group AG 22,913 754,678 0.0%
Metall Zug AG Class B 903 3,029,071 0.1%
# Mobilezone Holding AG 177,820 2,103,659 0.0%
* Mobimo Holding AG 37,462 9,675,946 0.2%
OC Oerlikon Corp. AG 1,191,830 19,241,191 0.3%
#* Orascom Development Holding AG 81,862 1,261,363 0.0%
# Orell Fuessli Holding AG 5,028 585,187 0.0%
Orior AG 34,326 2,839,715 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
SWITZERLAND -- (Continued)
# Panalpina Welttransport Holding AG 61,671 $ 7,805,661 0.1%
Phoenix Mecano AG 3,713 2,505,636 0.0%
Plazza AG Class A 6,404 1,467,038 0.0%
PSP Swiss Property AG 253,922 23,725,683 0.4%
Rieter Holding AG 18,515 3,575,309 0.1%
Romande Energie Holding SA 2,625 3,065,750 0.1%
Schaffner Holding AG 3,145 939,078 0.0%
* Schmolz + Bickenbach AG 3,110,491 2,503,867 0.0%
Schweiter Technologies AG 5,758 6,547,481 0.1%
SFS Group AG 87,134 9,797,019 0.2%
Siegfried Holding AG 22,150 7,696,696 0.1%
St Galler Kantonalbank AG 12,502 6,704,783 0.1%
# Sulzer AG 106,641 12,268,902 0.2%
Sunrise Communications Group AG 207,771 16,286,206 0.3%
Swiss Prime Site AG 75,424 7,066,771 0.1%
Swissquote Group Holding SA 52,871 2,984,952 0.1%
Tamedia AG 14,841 2,275,110 0.0%
Tecan Group AG 55,658 12,237,846 0.2%
Temenos Group AG 177,013 22,273,170 0.4%
Thurgauer Kantonalbank 3,152 329,101 0.0%
* Tornos Holding AG 17,058 260,653 0.0%
# u-blox Holding AG 32,779 5,989,422 0.1%
Valiant Holding AG 103,420 12,418,399 0.2%
Valora Holding AG 20,014 6,694,412 0.1%
VAT Group AG 139,293 20,543,121 0.3%
Vaudoise Assurances Holding SA 5,894 3,210,114 0.1%
Vetropack Holding AG 1,209 2,485,598 0.0%
#* Von Roll Holding AG 330,046 432,024 0.0%
Vontobel Holding AG 158,155 10,429,921 0.2%
VP Bank AG 16,323 2,668,646 0.0%
# VZ Holding AG 13,689 3,846,044 0.1%
Walliser Kantonalbank 18,155 2,152,200 0.0%
# Ypsomed Holding AG 19,935 3,024,559 0.1%
Zehnder Group AG 65,843 2,760,368 0.0%
# Zug Estates Holding AG Class B 1,044 1,790,041 0.0%
Zuger Kantonalbank AG 676 4,223,406 0.1%
-------------- ----
TOTAL SWITZERLAND 687,934,219 11.1%
-------------- ----
UNITED KINGDOM -- (0.1%)
* Rhi Magnesita NV 100,276 5,991,571 0.1%
-------------- ----
TOTAL COMMON STOCKS 6,054,731,268 98.0%
-------------- ----
PREFERRED STOCKS -- (0.7%)
GERMANY -- (0.7%)
Biotest AG 89,937 2,865,029 0.1%
Draegerwerk AG & Co. KGaA 40,848 3,005,206 0.1%
Fuchs Petrolub SE 151,076 8,112,025 0.1%
Jungheinrich AG 258,252 10,891,011 0.2%
Sartorius AG 87,562 13,449,592 0.2%
Sixt SE 89,543 7,317,162 0.1%
STO SE & Co. KGaA 9,574 1,276,177 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
GERMANY -- (Continued)
Villeroy & Boch AG 43,697 $ 975,859 0.0%
-------------- -----
TOTAL GERMANY 47,892,061 0.8%
-------------- -----
TOTAL PREFERRED STOCKS 47,892,061 0.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
* Intercell AG Rights 05/16/13 254,689 -- 0.0%
-------------- -----
FRANCE -- (0.0%)
* Maurel et prom Rights 12/31/00 844,597 -- 0.0%
-------------- -----
ISRAEL -- (0.0%)
* Space Communication, Ltd.(BZ2YQP1) 4,696 2,740 0.0%
* Space Communication, Ltd.(BZ2YQR3) 4,109 3,755 0.0%
* Space Communication, Ltd.(BZ2YQS4) 3,522 2,447 0.0%
-------------- -----
TOTAL ISRAEL 8,942 0.0%
-------------- -----
NORWAY -- (0.0%)
* Solon Eiendom ASA Rights 06/08/18 475 219 0.0%
-------------- -----
SPAIN -- (0.0%)
* Quabit Inmobiliaria SA Rights 05/11/18 491,710 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%
============== =====
THE CONTINENTAL 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
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
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
=========== ============== == ==============
THE CANADIAN SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
COMMON STOCKS -- (86.0%)
Consumer Discretionary -- (6.4%)
# Aimia, Inc. 923,817 $ 1,590,121 0.1%
#* Aritzia, Inc. 140,980 1,342,876 0.1%
AutoCanada, Inc. 178,738 3,037,551 0.3%
BMTC Group, Inc. 20,581 247,174 0.0%
Cara Operations, Ltd. 87,977 1,830,870 0.2%
# Cineplex, Inc. 293,783 6,866,644 0.6%
Cogeco Communications, Inc. 4,363 232,465 0.0%
Cogeco, Inc. 39,668 2,032,910 0.2%
# Corus Entertainment, Inc. Class B 729,712 3,637,335 0.3%
# DHX Media, Ltd. 842,935 2,297,809 0.2%
Dorel Industries, Inc. Class B 194,280 4,198,972 0.4%
# Enercare, Inc. 615,359 8,320,131 0.7%
# Gamehost, Inc. 64,073 533,463 0.0%
* Glacier Media, Inc. 171,625 109,609 0.0%
# goeasy, Ltd. 59,433 1,735,844 0.1%
* Great Canadian Gaming Corp. 343,338 9,797,815 0.8%
# Hudson's Bay Co. 455,186 3,219,042 0.3%
* Indigo Books & Music, Inc. 11,252 169,575 0.0%
* Intertain Group, Ltd. (The) 47,234 574,261 0.0%
Leon's Furniture, Ltd. 141,175 1,867,013 0.2%
Martinrea International, Inc. 564,348 6,733,760 0.6%
MTY Food Group, Inc. 111,734 4,011,773 0.3%
# Pizza Pizza Royalty Corp. 171,912 1,851,741 0.2%
Pollard Banknote, Ltd. 10,400 172,368 0.0%
Reitmans Canada, Ltd. Class A 263,612 817,147 0.1%
Sleep Country Canada Holdings, Inc. 212,200 5,827,464 0.5%
* Stars Group, Inc. (The) 292,985 9,113,923 0.8%
Torstar Corp. Class B 393,289 566,677 0.0%
* TVA Group, Inc. Class B 7,000 17,991 0.0%
Uni-Select, Inc. 258,031 3,993,205 0.3%
#* Yellow Pages, Ltd. 223,425 1,219,837 0.1%
Zenith Capital Corp. 111,820 7,054 0.0%
----------- ---
Total Consumer Discretionary 87,974,420 7.4%
----------- ---
Consumer Staples -- (4.2%)
# AGT Food & Ingredients, Inc. 151,923 1,940,525 0.2%
# Andrew Peller, Ltd. Class A 104,900 1,474,703 0.1%
# Clearwater Seafoods, Inc. 103,395 425,998 0.0%
Corby Spirit and Wine, Ltd. 73,867 1,144,293 0.1%
Cott Corp.(2228952) 883,470 12,633,287 1.1%
# Cott Corp.(2228941) 96,682 1,382,553 0.1%
High Liner Foods, Inc. 110,691 948,324 0.1%
Jean Coutu Group PJC, Inc. (The) Class A 416,076 7,968,619 0.7%
KP Tissue, Inc. 11,000 92,270 0.0%
Lassonde Industries, Inc. Class A 8,000 1,733,962 0.2%
Liquor Stores N.A., Ltd. 226,411 1,819,823 0.2%
* Neptune Technologies & Bioressources, Inc. 54,324 154,009 0.0%
North West Co., Inc. (The) 329,536 7,086,326 0.6%
Premium Brands Holdings Corp. 142,762 13,410,588 1.1%
Rogers Sugar, Inc. 575,336 2,688,591 0.2%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Consumer Staples -- (Continued)
#* SunOpta, Inc. 388,350 $ 2,619,347 0.2%
Ten Peaks Coffee Co., Inc. 1,800 8,972 0.0%
----------- ---
Total Consumer Staples 57,532,190 4.9%
----------- ---
Energy -- (19.4%)
* Advantage Oil & Gas, Ltd. 1,154,775 3,678,515 0.3%
#* Africa Oil Corp. 1,257,399 1,165,392 0.1%
AKITA Drilling, Ltd. Class A 40,600 230,834 0.0%
#* Athabasca Oil Corp. 3,163,297 3,744,859 0.3%
#* Baytex Energy Corp. 1,635,206 7,323,053 0.6%
#* Bellatrix Exploration, Ltd. 325,319 483,943 0.0%
# Birchcliff Energy, Ltd. 1,271,435 4,604,675 0.4%
#* BlackPearl Resources, Inc. 1,608,401 1,741,250 0.2%
# Bonavista Energy Corp. 1,499,841 1,845,671 0.2%
# Bonterra Energy Corp. 157,995 1,944,251 0.2%
#* Calfrac Well Services, Ltd. 874,615 4,563,979 0.4%
#* Canacol Energy, Ltd. 921,342 3,078,434 0.3%
# Cardinal Energy, Ltd. 666,361 2,688,382 0.2%
* Cathedral Energy Services, Ltd. 18,900 23,111 0.0%
# CES Energy Solutions Corp. 1,317,997 6,456,794 0.6%
#* Chinook Energy, Inc. 190,656 30,441 0.0%
Cona Resources, Ltd. 195,900 387,543 0.0%
* Crew Energy, Inc. 1,228,076 2,496,420 0.2%
#* Delphi Energy Corp. 1,076,339 821,537 0.1%
#* Denison Mines Corp. 3,346,331 1,537,704 0.1%
Enerflex, Ltd. 574,158 7,016,269 0.6%
#* Energy Fuels, Inc. 411,090 730,001 0.1%
Enerplus Corp. 1,226,018 14,227,710 1.2%
Ensign Energy Services, Inc. 847,727 4,060,533 0.3%
* Epsilon Energy, Ltd. 312,073 612,504 0.1%
#* Essential Energy Services Trust 1,034,741 499,661 0.0%
#* Fission Uranium Corp. 1,781,000 901,632 0.1%
# Freehold Royalties, Ltd. 552,172 5,595,045 0.5%
#* Frontera Energy Corp. 51,440 1,593,741 0.1%
* GASFRAC Energy Services, Inc. 91,560 9 0.0%
* Gear Energy, Ltd. 696,500 509,919 0.0%
# Gibson Energy, Inc. 814,301 10,508,951 0.9%
* Gran Tierra Energy, Inc. 2,733,152 9,004,426 0.8%
# Granite Oil Corp. 214,508 474,475 0.0%
# High Arctic Energy Services, Inc. 55,100 171,229 0.0%
#* Iron Bridge Resources, Inc. 1,197,822 457,131 0.0%
#* 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%
#* Newalta Corp. 579,398 577,615 0.1%
North American Construction Group, Ltd. 161,334 910,995 0.1%
* NuVista Energy, Ltd. 1,310,626 8,605,146 0.7%
#* Obsidian Energy, Ltd. 3,864,779 4,274,299 0.4%
#* Painted Pony Energy, Ltd. 572,361 1,248,188 0.1%
#* Paramount Resources, Ltd. Class A 499,113 7,125,468 0.6%
* Parex Resources, Inc. 879,102 15,124,704 1.3%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
# Parkland Fuel Corp. 465,525 $ 10,808,287 0.9%
Pason Systems, Inc. 421,414 5,891,492 0.5%
#* Pengrowth Energy Corp. 3,142,869 2,814,984 0.2%
#* Petrus Resources, Ltd. 19,582 17,234 0.0%
# Peyto Exploration & Development Corp. 501,965 4,746,178 0.4%
#* PHX Energy Services Corp. 285,274 519,912 0.0%
#* Pine Cliff Energy, Ltd. 496,700 116,056 0.0%
#* Precision Drilling Corp. 1,980,945 7,066,263 0.6%
# Pulse Seismic, Inc. 308,039 719,745 0.1%
#* Questerre Energy Corp. Class A 797,460 571,411 0.1%
* Raging River Exploration, Inc. 1,292,943 7,190,011 0.6%
# Secure Energy Services, Inc. 1,047,816 6,593,990 0.6%
ShawCor, Ltd. 332,675 6,436,113 0.5%
* Spartan Energy Corp. 1,033,715 5,120,468 0.4%
* Strad Energy Services, Ltd. 19,447 24,385 0.0%
# Surge Energy, Inc. 1,856,256 3,455,315 0.3%
* Tamarack Valley Energy, Ltd. 803,383 2,227,535 0.2%
Tidewater Midstream and Infrastructure, Ltd. 57,800 58,522 0.0%
TORC Oil & Gas, Ltd. 950,612 5,389,973 0.5%
Total Energy Services, Inc. 275,579 2,923,314 0.3%
* TransGlobe Energy Corp. 516,845 929,874 0.1%
#* Trican Well Service, Ltd. 2,020,540 5,382,022 0.5%
#* Trinidad Drilling, Ltd. 1,629,084 2,359,979 0.2%
#* Western Energy Services Corp. 548,797 500,091 0.0%
Whitecap Resources, Inc. 1,866,514 13,519,670 1.1%
* Xtreme Drilling Corp. 108,261 168,637 0.0%
* Yangarra Resources, Ltd. 489,771 2,433,692 0.2%
ZCL Composites, Inc. 176,127 1,662,572 0.1%
------------ ----
Total Energy 265,376,148 22.5%
------------ ----
Financials -- (7.1%)
AGF Management, Ltd. Class B 487,635 2,677,539 0.2%
# Alaris Royalty Corp. 284,445 3,772,809 0.3%
# Callidus Capital Corp. 82,720 445,185 0.0%
Canaccord Genuity Group, Inc. 810,365 3,831,080 0.3%
# Canadian Western Bank 601,480 15,960,453 1.3%
# Chesswood Group, Ltd. 79,442 661,424 0.1%
Clairvest Group, Inc. 1,900 65,703 0.0%
E-L Financial Corp., Ltd. 5,578 3,497,051 0.3%
#* Echelon Financial Holdings, Inc. 14,650 136,351 0.0%
ECN Capital Corp. 2,243,908 5,942,044 0.5%
Element Fleet Management Corp. 522,800 1,974,828 0.2%
# Equitable Group, Inc. 73,424 3,312,215 0.3%
Fiera Capital Corp. 267,337 2,356,988 0.2%
Firm Capital Mortgage Investment Corp. 160,918 1,628,042 0.1%
# First National Financial Corp. 95,537 1,975,550 0.2%
# Genworth MI Canada, Inc. 313,480 10,132,342 0.9%
# Gluskin Sheff + Associates, Inc. 215,296 2,604,110 0.2%
GMP Capital, Inc. 331,687 829,250 0.1%
Guardian Capital Group, Ltd. Class A 58,614 1,106,588 0.1%
#* Home Capital Group, Inc. 476,446 5,339,817 0.5%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
* Kingsway Financial Services, Inc. 13,070 $ 51,102 0.0%
# Laurentian Bank of Canada 268,259 10,302,466 0.9%
# Sprott, Inc. 1,478,288 3,914,621 0.3%
#* Street Capital Group, Inc. 120,227 70,229 0.0%
Timbercreek Financial Corp. 391,009 2,792,595 0.2%
TMX Group, Ltd. 188,458 11,366,632 1.0%
* Trisura Group, Ltd. 17,211 331,767 0.0%
----------- ---
Total Financials 97,078,781 8.2%
----------- ---
Health Care -- (1.4%)
#* CRH Medical Corp. 470,396 1,304,264 0.1%
# Extendicare, Inc. 577,071 3,743,917 0.3%
* Knight Therapeutics, Inc. 733,325 4,489,220 0.4%
# Medical Facilities Corp. 188,969 2,076,680 0.2%
* MedReleaf Corp. 65,500 1,074,364 0.1%
# Sienna Senior Living, Inc. 312,115 4,239,484 0.4%
#* Theratechnologies, Inc. 245,501 1,757,198 0.1%
----------- ---
Total Health Care 18,685,127 1.6%
----------- ---
Industrials -- (10.4%)
Aecon Group, Inc. 432,401 6,078,771 0.5%
# Ag Growth International, Inc. 102,558 4,158,394 0.3%
Algoma Central Corp. 38,390 454,180 0.0%
* ATS Automation Tooling Systems, Inc. 526,630 7,206,580 0.6%
# Badger Daylighting, Ltd. 235,081 4,527,866 0.4%
# Bird Construction, Inc. 308,144 2,083,173 0.2%
Black Diamond Group, Ltd. 335,792 640,750 0.1%
Calian Group, Ltd. 30,855 728,149 0.1%
CanWel Building Materials Group, Ltd. 508,922 2,655,693 0.2%
Cargojet, Inc. 16,249 815,013 0.1%
Cervus Equipment Corp. 44,297 455,752 0.0%
#* DIRTT Environmental Solutions 470,168 2,061,642 0.2%
# Exchange Income Corp. 89,484 2,113,828 0.2%
# Exco Technologies, Ltd. 179,248 1,361,165 0.1%
* GDI Integrated Facility Services, Inc. 700 9,007 0.0%
* Heroux-Devtek, Inc. 191,454 2,190,474 0.2%
# Horizon North Logistics, Inc. 897,744 1,657,115 0.1%
* IBI Group, Inc. 96,900 547,159 0.0%
K-Bro Linen, Inc. 55,753 1,541,952 0.1%
Magellan Aerospace Corp. 91,876 1,385,349 0.1%
# Maxar Technologies, Ltd. 184,215 8,335,910 0.7%
# Morneau Shepell, Inc. 322,211 6,366,675 0.5%
New Flyer Industries, Inc. 240,620 11,051,335 0.9%
# Richelieu Hardware, Ltd. 288,855 6,234,022 0.5%
Rocky Mountain Dealerships, Inc. 112,555 1,083,516 0.1%
Russel Metals, Inc. 396,906 9,020,380 0.8%
Savaria Corp. 126,100 1,616,578 0.1%
Stantec, Inc. 356,516 9,071,520 0.8%
Stuart Olson, Inc. 139,659 801,656 0.1%
Student Transportation, Inc. 583,243 4,360,865 0.4%
TFI International, Inc. 526,553 15,243,565 1.3%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
Toromont Industries, Ltd. 213,413 $ 9,346,324 0.8%
Transcontinental, Inc. Class A 431,276 9,082,677 0.8%
Wajax Corp. 135,566 2,498,144 0.2%
* Westport Fuel Systems, Inc. 6,600 15,370 0.0%
# Westshore Terminals Investment Corp. 319,049 5,509,028 0.5%
------------ ----
Total Industrials 142,309,577 12.0%
------------ ----
Information Technology -- (4.1%)
* 5N Plus, Inc. 474,729 1,109,223 0.1%
# Absolute Software Corp. 235,588 1,278,904 0.1%
* BSM Technologies, Inc. 21,200 21,300 0.0%
* Celestica, Inc.(2263362) 755,063 8,691,796 0.8%
* Celestica, Inc.(2262659) 36,408 418,692 0.0%
Computer Modelling Group, Ltd. 478,983 3,521,632 0.3%
* Descartes Systems Group, Inc. (The) 493,188 14,577,269 1.2%
Enghouse Systems, Ltd. 108,457 5,624,103 0.5%
Evertz Technologies, Ltd. 155,353 2,146,472 0.2%
#* EXFO, Inc. 60,487 223,773 0.0%
* GoldMoney, Inc. 11,600 29,814 0.0%
* Kinaxis, Inc. 112,374 7,263,459 0.6%
# Mediagrif Interactive Technologies, Inc. 26,270 224,859 0.0%
* Mitel Networks Corp. 463,224 5,169,981 0.5%
Pivot Technology Solutions, Inc. 53,300 78,459 0.0%
* Points International, Ltd. 36,359 385,126 0.0%
# Quarterhill, Inc. 785,133 1,180,191 0.1%
#* Sierra Wireless, Inc. 188,147 3,258,997 0.3%
* Solium Capital, Inc. 101,806 801,634 0.1%
#* UrtheCast Corp. 543,814 131,300 0.0%
Vecima Networks, Inc. 6,059 41,716 0.0%
------------ ----
Total Information Technology 56,178,700 4.8%
------------ ----
Materials -- (24.9%)
# Acadian Timber Corp. 60,338 925,313 0.1%
# AirBoss of America Corp. 100,662 1,112,500 0.1%
* Alacer Gold Corp. 1,879,892 3,118,634 0.3%
Alamos Gold, Inc. Class A 2,373,124 12,827,195 1.1%
* Alexco Resource Corp. 4,700 6,919 0.0%
#* Alio Gold, Inc. 204,318 399,423 0.0%
Altius Minerals Corp. 255,400 2,850,486 0.2%
#* Americas Silver Corp. 161,212 617,754 0.1%
* Amerigo Resources, Ltd. 456,200 362,416 0.0%
* Argonaut Gold, Inc. 1,135,038 2,183,530 0.2%
#* Asanko Gold, Inc. 792,999 883,203 0.1%
* Auryn Resources, Inc. 22,000 29,129 0.0%
* B2Gold Corp. 4,734,158 13,605,704 1.2%
#* Balmoral Resources, Ltd. 11,000 1,799 0.0%
Caledonia Mining Corp. P.L.C. 540 5,144 0.0%
* Canfor Corp. 476,770 10,950,541 0.9%
Canfor Pulp Products, Inc. 217,215 3,053,648 0.3%
* Capstone Mining Corp. 3,069,355 2,677,423 0.2%
Cascades, Inc. 460,293 4,391,596 0.4%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Materials -- (Continued)
* Centerra Gold, Inc. 1,552,135 $ 9,477,581 0.8%
#* China Gold International Resources Corp., Ltd. 1,644,400 3,342,719 0.3%
* Conifex Timber, Inc. 4,200 20,935 0.0%
#* Continental Gold, Inc. 978,648 2,644,892 0.2%
#* Copper Mountain Mining Corp. 907,730 841,309 0.1%
#* Dalradian Resources, Inc. 144,894 115,107 0.0%
* Detour Gold Corp. 1,073,245 7,757,088 0.7%
* Dundee Precious Metals, Inc. 1,421,222 3,608,539 0.3%
* eCobalt Solutions, Inc. 100,900 114,735 0.0%
#* Eldorado Gold Corp. 4,240,346 4,029,146 0.3%
#* Endeavour Mining Corp. 351,229 5,993,551 0.5%
#* Endeavour Silver Corp. 501,492 1,507,659 0.1%
#* First Majestic Silver Corp. 923,692 5,999,917 0.5%
* First Mining Gold Corp. 678,900 269,667 0.0%
* Fortress Global Enterprises, Inc. 16,706 39,034 0.0%
* Fortuna Silver Mines, Inc. 1,199,191 6,808,756 0.6%
#* Golden Star Resources, Ltd. 2,409,227 1,745,069 0.1%
#* Great Panther Silver, Ltd. 834,051 1,019,868 0.1%
* Guyana Goldfields, Inc. 1,066,018 4,134,717 0.4%
HudBay Minerals, Inc. 1,655,086 11,562,850 1.0%
* IAMGOLD Corp. 3,203,040 17,512,630 1.5%
#* Imperial Metals Corp. 337,392 525,553 0.0%
* Interfor Corp. 467,908 8,749,929 0.7%
* International Tower Hill Mines, Ltd. 13,001 7,898 0.0%
Intertape Polymer Group, Inc. 351,377 5,459,692 0.5%
#* Ivanhoe Mines, Ltd. Class A 1,567,161 3,234,531 0.3%
Kirkland Lake Gold, Ltd. 798,455 13,929,975 1.2%
#* Klondex Mines, Ltd. 996,563 2,437,173 0.2%
# Labrador Iron Ore Royalty Corp. 417,556 7,105,883 0.6%
* Largo Resources, Ltd. 183,300 254,117 0.0%
* Leagold Mining Corp. 206,742 439,585 0.0%
#* Liberty Gold Corp. 105,861 34,217 0.0%
# Lucara Diamond Corp. 1,680,258 2,656,586 0.2%
#* Lundin Gold, Inc. 173,209 665,073 0.1%
* Lydian International, Ltd. 83,014 27,155 0.0%
* Major Drilling Group International, Inc. 615,212 3,076,180 0.3%
# Mandalay Resources Corp. 1,371,135 224,260 0.0%
#* Marathon Gold Corp. 114,400 77,517 0.0%
#* Midas Gold Corp. 119,684 82,962 0.0%
* Mountain Province Diamonds, Inc. 35,300 85,229 0.0%
* Nautilus Minerals, Inc. 227,078 39,793 0.0%
# Nevsun Resources, Ltd. 1,952,673 5,444,581 0.5%
* New Gold, Inc. 3,603,151 8,446,968 0.7%
* Nighthawk Gold Corp. 17,500 8,450 0.0%
# Norbord, Inc. 149,180 6,160,308 0.5%
OceanaGold Corp. 3,704,860 9,983,890 0.8%
* Orbite Technologies, Inc. 73,500 1,544 0.0%
Osisko Gold Royalties, Ltd. 745,064 7,271,035 0.6%
* Osisko Mining, Inc. 282,777 585,838 0.1%
Pan American Silver Corp. 1,044,715 16,843,024 1.4%
#* PolyMet Mining Corp. 642,081 525,087 0.0%
* Premier Gold Mines, Ltd. 1,123,049 2,379,137 0.2%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
#* Pretium Resources, Inc.(B57Q8S9) 315,693 $ 2,124,372 0.2%
#* Pretium Resources, Inc.(74139C102) 293,903 1,977,967 0.2%
#* RB Energy, Inc. 396,013 198 0.0%
* Roxgold, Inc. 749,160 676,838 0.1%
#* Royal Nickel Corp. 385,500 66,054 0.0%
#* Sabina Gold & Silver Corp. 1,649,221 2,183,633 0.2%
#* Sandstorm Gold, Ltd. 1,294,252 5,987,661 0.5%
* Seabridge Gold, Inc. 109,635 1,147,626 0.1%
* SEMAFO, Inc. 2,058,758 6,381,757 0.5%
* Sherritt International Corp. 2,539,461 2,412,977 0.2%
#* Sprott Resource Holdings, Inc. 597,898 60,537 0.0%
* SSR Mining, Inc. 735,305 7,530,870 0.6%
Stella-Jones, Inc. 269,206 9,755,952 0.8%
#* Stornoway Diamond Corp. 1,818,797 821,607 0.1%
Supremex, Inc. 11,691 37,788 0.0%
# Tahoe Resources, Inc. 1,771,325 8,925,949 0.8%
#* Tanzanian Royalty Exploration Corp. 207,891 140,866 0.0%
* Taseko Mines, Ltd. 1,417,826 1,689,531 0.1%
* Teranga Gold Corp. 628,014 2,396,720 0.2%
#* TMAC Resources, Inc. 80,513 472,186 0.0%
#* Torex Gold Resources, Inc. 427,760 4,397,704 0.4%
* Trevali Mining Corp. 4,079,074 3,780,597 0.3%
#* Wesdome Gold Mines, Ltd. 645,283 949,869 0.1%
Western Forest Products, Inc. 2,555,509 5,513,268 0.5%
Winpak, Ltd. 152,835 5,673,209 0.5%
Yamana Gold, Inc. 3,815,269 10,964,868 0.9%
------------ ----
Total Materials 341,381,900 28.9%
------------ ----
Real Estate -- (3.4%)
Altus Group, Ltd. 263,514 6,629,154 0.6%
Brookfield Real Estate Services, Inc. 39,669 545,007 0.0%
Colliers International Group, Inc. 193,437 13,138,861 1.1%
* DREAM Unlimited Corp. Class A 330,407 2,462,709 0.2%
FirstService Corp.(BYL7ZF7) 184,286 12,917,746 1.1%
FirstService Corp.(BY9C8H7) 1,234 86,380 0.0%
Genesis Land Development Corp. 76,842 218,446 0.0%
Information Services Corp. 11,174 144,989 0.0%
Invesque, Inc. 130,566 1,139,841 0.1%
* Mainstreet Equity Corp. 29,849 967,341 0.1%
Melcor Developments, Ltd. 52,840 592,621 0.1%
Morguard Corp. 16,068 2,058,010 0.2%
Tricon Capital Group, Inc. 743,615 5,826,369 0.5%
------------ ----
Total Real Estate 46,727,474 4.0%
------------ ----
Utilities -- (4.7%)
# Boralex, Inc. Class A 371,884 6,647,251 0.6%
Capital Power Corp. 617,409 11,723,534 1.0%
# Innergex Renewable Energy, Inc. 578,950 6,105,364 0.5%
Just Energy Group, Inc. 720,976 3,015,414 0.2%
* Maxim Power Corp. 92,234 175,998 0.0%
# Northland Power, Inc. 401,388 7,237,145 0.6%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Utilities -- (Continued)
Polaris Infrastructure, Inc. 87,500 $ 1,302,329 0.1%
# Superior Plus Corp. 849,685 8,232,471 0.7%
TransAlta Corp. 1,769,559 9,316,733 0.8%
# TransAlta Renewables, Inc. 622,146 5,553,015 0.5%
# Valener, Inc. 283,887 4,450,832 0.4%
-------------- -----
Total Utilities 63,760,086 5.4%
-------------- -----
TOTAL COMMON STOCKS 1,177,004,403 99.7%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
* QLT, Inc. Warrants 11/23/17 219,010 -- 0.0%
* QLT, Inc. Warrants 11/23/17 Class A 219,010 -- 0.0%
TOTAL RIGHTS/WARRANTS -- 0.0%
-------------- -----
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%
============== =====
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
============== ============ == ==============
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (93.4%)
BRAZIL -- (5.1%)
Ambev SA 855,320 $ 5,696,111 0.1%
Ambev SA ADR 5,984,451 39,617,066 0.6%
B3 SA - Brasil Bolsa Balcao 1,907,290 13,774,388 0.2%
Banco Bradesco SA 1,129,129 10,281,804 0.2%
Banco do Brasil SA 863,018 9,041,094 0.1%
Banco Santander Brasil SA 362,957 3,948,473 0.1%
BB Seguridade Participacoes SA 873,543 6,852,296 0.1%
Braskem SA Sponsored ADR 154,641 4,005,202 0.1%
* BRF SA 287,141 2,032,741 0.0%
CCR SA 2,367,268 8,081,904 0.1%
* Centrais Eletricas Brasileiras SA 204,377 1,112,545 0.0%
# Centrais Eletricas Brasileiras SA ADR 49,971 320,314 0.0%
Cia de Saneamento Basico do Estado de Sao Paulo 457,600 4,592,720 0.1%
Cia de Saneamento Basico do Estado de Sao Paulo ADR 75,638 754,867 0.0%
* Cia Siderurgica Nacional SA 575,321 1,441,915 0.0%
* Cia Siderurgica Nacional SA Sponsored ADR 380,551 955,183 0.0%
Cielo SA 1,808,236 9,910,407 0.2%
Cosan SA Industria e Comercio 213,190 2,420,843 0.0%
# Embraer SA ADR 255,258 6,437,607 0.1%
Engie Brasil Energia SA 290,301 3,065,264 0.0%
Equatorial Energia SA 333,000 6,763,231 0.1%
Fibria Celulose SA 22,600 443,910 0.0%
Fibria Celulose SA Sponsored ADR 196,863 3,850,640 0.1%
Gerdau SA 222,944 895,416 0.0%
# Gerdau SA Sponsored ADR 631,681 2,949,950 0.0%
Hypermarcas SA 345,249 3,104,403 0.1%
Itau Unibanco Holding SA 447,826 5,637,453 0.1%
JBS SA 2,669,748 6,668,273 0.1%
Klabin SA 768,100 4,654,819 0.1%
Kroton Educacional SA 1,126,424 4,504,796 0.1%
Localiza Rent a Car SA 606,300 4,826,932 0.1%
Lojas Americanas SA 102,484 436,183 0.0%
Lojas Renner SA 1,274,302 11,862,009 0.2%
M Dias Branco SA 54,400 683,261 0.0%
Magazine Luiza SA 106,400 3,241,021 0.1%
Multiplan Empreendimentos Imobiliarios SA 51,300 974,103 0.0%
Natura Cosmeticos SA 186,600 1,715,685 0.0%
* Petroleo Brasileiro SA 2,706,971 19,031,941 0.3%
* Petroleo Brasileiro SA Sponsored ADR 695,333 9,797,242 0.2%
Porto Seguro SA 65,129 840,326 0.0%
Raia Drogasil SA 381,000 7,480,355 0.1%
* Rumo SA 1,147,900 4,865,927 0.1%
Suzano Papel e Celulose SA 714,655 8,376,266 0.1%
# Telefonica Brasil SA ADR 50,319 710,504 0.0%
Tim Participacoes SA 1,162,813 5,294,264 0.1%
Ultrapar Participacoes SA 394,184 6,801,902 0.1%
# Ultrapar Participacoes SA Sponsored ADR 254,308 4,404,615 0.1%
Vale SA 3,260,013 45,291,394 0.7%
Vale SA Sponsored ADR 1,665,739 23,053,821 0.4%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
BRAZIL -- (Continued)
WEG SA 339,933 $ 1,725,282 0.0%
------------ ---
TOTAL BRAZIL 335,228,668 5.3%
------------ ---
CHILE -- (1.4%)
AES Gener SA 2,468,815 691,830 0.0%
Aguas Andinas SA Class A 4,770,656 3,172,410 0.1%
Banco de Chile ADR 43,853 4,297,594 0.1%
Banco de Credito e Inversiones SA 72,567 5,490,437 0.1%
Banco Santander Chile ADR 227,071 7,500,155 0.1%
Cencosud SA 2,239,644 6,656,262 0.1%
Cia Cervecerias Unidas SA 109,017 1,509,670 0.0%
Cia Cervecerias Unidas SA ADR 95,396 2,634,837 0.0%
Colbun SA 11,333,704 2,816,901 0.1%
Embotelladora Andina SA Class B ADR 22,761 685,789 0.0%
Empresa Nacional de Telecomunicaciones SA 71,152 838,557 0.0%
Empresas CMPC SA 1,872,888 7,683,903 0.1%
Empresas COPEC SA 366,864 5,977,540 0.1%
Enel Americas SA ADR 853,477 9,686,965 0.2%
Enel Chile SA(BYMLZD6) 5,100,567 631,950 0.0%
Enel Chile SA(BYYHKR1) 811,093 5,044,999 0.1%
Itau CorpBanca(BZ30DD5) 30,902 469,710 0.0%
Itau CorpBanca(BYT25P4) 178,092,356 1,819,115 0.0%
# Latam Airlines Group SA Sponsored ADR 459,640 7,018,703 0.1%
SACI Falabella 918,716 8,906,684 0.1%
# Sociedad Quimica y Minera de Chile SA Sponsored ADR 153,936 8,449,547 0.1%
------------ ---
TOTAL CHILE 91,983,558 1.4%
------------ ---
CHINA -- (16.5%)
AAC Technologies Holdings, Inc. 634,000 9,099,655 0.2%
Agile Group Holdings, Ltd. 2,128,000 4,197,678 0.1%
Agricultural Bank of China, Ltd. Class H 12,316,000 6,943,907 0.1%
Air China, Ltd. Class H 2,406,000 3,171,822 0.1%
#* Alibaba Group Holding, Ltd. Sponsored ADR 524,851 93,706,898 1.5%
* Aluminum Corp. of China, Ltd. ADR 107,180 1,502,664 0.0%
* Aluminum Corp. of China, Ltd. Class H 1,514,000 855,087 0.0%
# Angang Steel Co., Ltd. Class H 828,000 887,555 0.0%
Anhui Conch Cement Co., Ltd. Class H 1,089,500 6,800,089 0.1%
Anta Sports Products, Ltd. 1,125,000 6,419,467 0.1%
# BAIC Motor Corp., Ltd. Class H 1,725,000 1,665,145 0.0%
* Baidu, Inc. Sponsored ADR 106,675 26,764,758 0.4%
Bank of China, Ltd. Class H 38,183,181 20,727,017 0.3%
Bank of Communications Co., Ltd. Class H 3,692,515 3,021,528 0.1%
# BBMG Corp. Class H 877,500 400,235 0.0%
Beijing Capital International Airport Co., Ltd. Class H 1,312,000 1,786,909 0.0%
Beijing Enterprises Holdings, Ltd. 372,472 1,860,457 0.0%
Beijing Enterprises Water Group, Ltd. 4,292,000 2,491,859 0.0%
# Brilliance China Automotive Holdings, Ltd. 1,964,000 3,496,933 0.1%
# Byd Co., Ltd. Class H 644,386 4,504,946 0.1%
# BYD Electronic International Co., Ltd. 547,000 834,069 0.0%
CGN Power Co., Ltd. Class H 6,045,000 1,648,496 0.0%
China Cinda Asset Management Co., Ltd. Class H 6,323,000 2,256,723 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
China CITIC Bank Corp., Ltd. Class H 3,686,928 $ 2,635,594 0.0%
China Coal Energy Co., Ltd. Class H 1,577,777 684,010 0.0%
China Communications Construction Co., Ltd. Class H 5,836,000 6,724,118 0.1%
China Communications Services Corp., Ltd. Class H 1,226,000 769,707 0.0%
China Construction Bank Corp. Class H 51,616,590 54,076,560 0.9%
China Eastern Airlines Corp., Ltd. 2,200 89,452 0.0%
# China Eastern Airlines Corp., Ltd. Class H 1,734,000 1,432,394 0.0%
China Energy Engineering Corp., Ltd. Class H 346,000 67,716 0.0%
China Everbright Bank Co., Ltd. Class H 1,711,000 855,054 0.0%
# China Everbright International, Ltd. 2,332,000 3,270,990 0.1%
#* China Evergrande Group 3,652,000 11,567,978 0.2%
China Galaxy Securities Co., Ltd. Class H 1,647,000 1,081,807 0.0%
China Gas Holdings, Ltd. 1,845,200 6,538,797 0.1%
# China Hongqiao Group, Ltd. 2,630,000 2,860,963 0.1%
China Huarong Asset Management Co., Ltd. Class H 13,590,000 4,680,505 0.1%
* China Huishan Dairy Holdings Co., Ltd. 2,888,000 1,083 0.0%
# China International Capital Corp., Ltd. Class H 347,600 786,485 0.0%
China International Marine Containers Group Co., Ltd.
Class H 346,600 551,606 0.0%
China Jinmao Holdings Group, Ltd. 3,474,000 1,966,547 0.0%
# China Life Insurance Co., Ltd. ADR 550,205 7,757,891 0.1%
# China Lodging Group, Ltd. ADR 23,542 3,287,876 0.1%
China Longyuan Power Group Corp., Ltd. Class H 2,767,000 2,717,803 0.1%
China Medical System Holdings, Ltd. 530,000 1,297,851 0.0%
China Mengniu Dairy Co., Ltd. 1,631,000 5,258,002 0.1%
China Merchants Bank Co., Ltd. Class H 2,139,054 9,327,127 0.2%
China Merchants Port Holdings Co., Ltd. 970,970 2,169,502 0.0%
China Merchants Securities Co., Ltd. Class H 227,800 319,060 0.0%
# China Minsheng Banking Corp., Ltd. Class H 2,290,500 2,143,450 0.0%
China Mobile, Ltd. Sponsored ADR 902,501 42,832,697 0.7%
# China Molybdenum Co., Ltd. Class H 1,587,966 1,193,305 0.0%
# China National Building Material Co., Ltd. Class H 4,188,000 4,892,815 0.1%
China Oilfield Services, Ltd. Class H 1,036,000 1,033,613 0.0%
China Overseas Land & Investment, Ltd. 5,600,000 18,763,536 0.3%
China Pacific Insurance Group Co., Ltd. Class H 1,016,800 4,486,811 0.1%
China Petroleum & Chemical Corp. ADR 123,421 12,038,455 0.2%
China Petroleum & Chemical Corp. Class H 10,440,800 10,167,865 0.2%
China Railway Construction Corp., Ltd. Class H 2,789,000 3,302,812 0.1%
China Railway Group, Ltd. Class H 4,143,000 3,320,726 0.1%
China Railway Signal & Communication Corp., Ltd. Class H 1,100,000 857,589 0.0%
China Reinsurance Group Corp. Class H 4,184,000 881,475 0.0%
China Resources Beer Holdings Co., Ltd. 849,611 3,659,214 0.1%
China Resources Cement Holdings, Ltd. 746,000 782,612 0.0%
China Resources Gas Group, Ltd. 1,108,000 4,074,785 0.1%
China Resources Land, Ltd. 3,844,666 14,439,508 0.2%
China Resources Pharmaceutical Group, Ltd. 900,000 1,244,213 0.0%
China Resources Power Holdings Co., Ltd. 1,790,517 3,434,412 0.1%
China Shenhua Energy Co., Ltd. Class H 2,188,000 5,366,853 0.1%
China Southern Airlines Co., Ltd. Class H 2,050,000 2,207,359 0.0%
# China Southern Airlines Co., Ltd. Sponsored ADR 12,306 665,262 0.0%
China State Construction International Holdings, Ltd. 1,914,250 2,489,583 0.0%
China Taiping Insurance Holdings Co., Ltd. 1,044,306 3,492,338 0.1%
China Telecom Corp., Ltd. ADR 56,720 2,733,904 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
China Telecom Corp., Ltd. Class H 3,440,000 $ 1,667,478 0.0%
* China Unicom Hong Kong, Ltd. 4,230,000 5,981,426 0.1%
* China Unicom Hong Kong, Ltd. ADR 523,460 7,344,144 0.1%
China Vanke Co., Ltd. Class H 927,700 3,834,044 0.1%
Chongqing Rural Commercial Bank Co., Ltd. Class H 2,828,000 2,163,344 0.0%
CIFI Holdings Group Co., Ltd. 1,542,000 1,214,244 0.0%
CITIC Securities Co., Ltd. Class H 1,145,500 2,792,419 0.1%
CITIC, Ltd. 4,388,000 6,691,700 0.1%
CNOOC, Ltd. 1,597,000 2,701,666 0.0%
# CNOOC, Ltd. Sponsored ADR 104,426 17,649,038 0.3%
* COSCO SHIPPING Development Co., Ltd. Class H 2,657,000 492,045 0.0%
#* COSCO SHIPPING Holdings Co., Ltd. Class H 2,789,500 1,416,924 0.0%
COSCO SHIPPING Ports, Ltd. 221,786 195,055 0.0%
Country Garden Holdings Co., Ltd. 6,294,686 12,835,268 0.2%
CRRC Corp., Ltd. 1,677,000 1,482,266 0.0%
CSC Financial Co., Ltd. Class H 62,500 51,583 0.0%
CSPC Pharmaceutical Group, Ltd. 4,712,000 12,001,739 0.2%
#* Ctrip.com International, Ltd. ADR 212,221 8,679,839 0.1%
Dali Foods Group Co., Ltd. 1,145,500 792,978 0.0%
Dalian Port PDA Co., Ltd. Class H 961,000 156,121 0.0%
#* Datang International Power Generation Co., Ltd. Class H 3,068,000 1,004,830 0.0%
Dongfeng Motor Group Co., Ltd. Class H 2,126,000 2,351,003 0.0%
ENN Energy Holdings, Ltd. 741,000 6,929,478 0.1%
Everbright Securities Co., Ltd. Class H 129,400 155,281 0.0%
Fosun International, Ltd. 1,692,222 3,595,961 0.1%
# Fullshare Holdings, Ltd. 3,307,500 1,815,847 0.0%
Fuyao Glass Industry Group Co., Ltd. Class H 517,200 1,777,655 0.0%
Geely Automobile Holdings, Ltd. 4,750,000 12,492,640 0.2%
GF Securities Co., Ltd. Class H 607,800 1,070,089 0.0%
# Great Wall Motor Co., Ltd. Class H 2,660,500 2,759,471 0.1%
Guangdong Investment, Ltd. 2,550,000 3,946,971 0.1%
Guangshen Railway Co., Ltd. Sponsored ADR 27,353 793,237 0.0%
Guangzhou Automobile Group Co., Ltd. Class H 1,132,259 2,073,976 0.0%
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd.
Class H 140,000 538,583 0.0%
Guangzhou R&F Properties Co., Ltd. Class H 1,808,800 4,300,599 0.1%
#* Guotai Junan Securities Co., Ltd. Class H 253,600 594,456 0.0%
Haier Electronics Group Co., Ltd. 1,145,000 3,961,440 0.1%
Haitian International Holdings, Ltd. 530,000 1,410,490 0.0%
Haitong Securities Co., Ltd. Class H 2,638,800 3,603,040 0.1%
* Hanergy Thin Film Power Group, Ltd. 5,416,000 28,809 0.0%
Hengan International Group Co., Ltd. 853,000 7,586,019 0.1%
Huadian Power International Corp., Ltd. Class H 1,738,000 705,292 0.0%
Huaneng Power International, Inc. Class H 1,598,000 1,056,118 0.0%
# Huaneng Power International, Inc. Sponsored ADR 34,452 899,886 0.0%
Huatai Securities Co., Ltd. Class H 750,400 1,520,000 0.0%
Huishang Bank Corp., Ltd. Class H 728,000 350,861 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 44,476,185 39,044,799 0.6%
* JD.com, Inc. ADR 254,678 9,298,294 0.2%
Jiangsu Expressway Co., Ltd. Class H 1,192,000 1,634,379 0.0%
Jiangxi Copper Co., Ltd. Class H 930,000 1,322,178 0.0%
Kingboard Chemical Holdings, Ltd. 916,500 3,728,588 0.1%
Kingboard Laminates Holdings, Ltd. 177,500 236,588 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
Kunlun Energy Co., Ltd. 4,814,000 $ 4,121,823 0.1%
Lee & Man Paper Manufacturing, Ltd. 1,126,000 1,240,265 0.0%
Legend Holdings Corp. Class H 337,700 1,127,192 0.0%
# Lenovo Group, Ltd. 10,021,278 4,757,864 0.1%
Livzon Pharmaceutical Group, Inc. Class H 2,200 15,847 0.0%
# Logan Property Holdings Co., Ltd. 1,624,000 2,381,062 0.0%
Longfor Properties Co., Ltd. 1,986,000 5,939,595 0.1%
* Maanshan Iron & Steel Co., Ltd. Class H 1,048,000 514,415 0.0%
Metallurgical Corp. of China, Ltd. Class H 1,188,000 379,345 0.0%
Minth Group, Ltd. 492,000 2,336,073 0.0%
* Momo, Inc. Sponsored ADR 80,047 2,793,640 0.1%
NetEase, Inc. ADR 55,240 14,200,547 0.2%
New China Life Insurance Co., Ltd. Class H 436,700 2,036,070 0.0%
Nexteer Automotive Group, Ltd. 976,000 1,501,644 0.0%
Nine Dragons Paper Holdings, Ltd. 1,888,000 2,815,873 0.1%
People's Insurance Co. Group of China, Ltd. (The) Class H 5,044,000 2,374,640 0.0%
PetroChina Co., Ltd. ADR 118,623 8,731,839 0.1%
PetroChina Co., Ltd. Class H 3,056,000 2,251,872 0.0%
PICC Property & Casualty Co., Ltd. Class H 2,402,132 4,300,222 0.1%
# Ping An Insurance Group Co. of China, Ltd. Class H 3,690,000 36,056,465 0.6%
# Postal Savings Bank of China Co., Ltd. Class H 3,306,000 2,264,946 0.0%
Red Star Macalline Group Corp., Ltd. Class H 290,200 389,682 0.0%
#* Semiconductor Manufacturing International Corp. 4,418,600 5,682,730 0.1%
#* Semiconductor Manufacturing International Corp. ADR 10,378 67,249 0.0%
#* Shanghai Electric Group Co., Ltd. Class H 1,302,000 472,709 0.0%
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 240,500 1,304,553 0.0%
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 443,900 1,211,701 0.0%
Shengjing Bank Co., Ltd. Class H 225,000 150,315 0.0%
Shenzhou International Group Holdings, Ltd. 574,000 6,265,919 0.1%
Shimao Property Holdings, Ltd. 2,297,871 6,078,016 0.1%
Sino Biopharmaceutical, Ltd. 5,247,000 11,049,179 0.2%
Sino-Ocean Group Holding, Ltd. 2,194,000 1,523,429 0.0%
Sinopec Engineering Group Co., Ltd. Class H 812,500 837,689 0.0%
Sinopec Shanghai Petrochemical Co., Ltd. Class H 3,763,000 2,498,665 0.0%
# Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 7,418 489,703 0.0%
Sinopharm Group Co., Ltd. Class H 1,310,800 5,527,277 0.1%
Sun Art Retail Group, Ltd. 3,039,500 3,416,253 0.1%
Sunac China Holdings, Ltd. 953,000 4,048,084 0.1%
Sunny Optical Technology Group Co., Ltd. 536,000 8,746,249 0.1%
Tencent Holdings, Ltd. 3,704,000 182,099,318 2.9%
Tingyi Cayman Islands Holding Corp. 2,732,000 5,177,692 0.1%
Travelsky Technology, Ltd. Class H 725,000 2,117,745 0.0%
Tsingtao Brewery Co., Ltd. Class H 204,000 1,056,188 0.0%
Want Want China Holdings, Ltd. 6,644,000 5,871,103 0.1%
Weichai Power Co., Ltd. Class H 3,416,800 3,955,449 0.1%
# Xinjiang Goldwind Science & Technology Co., Ltd. Class H 520,519 985,658 0.0%
Yanzhou Coal Mining Co., Ltd. Class H 1,436,000 1,796,896 0.0%
Yum China Holdings, Inc. 133,007 5,687,379 0.1%
Zhejiang Expressway Co., Ltd. Class H 1,332,000 1,367,856 0.0%
Zhongsheng Group Holdings, Ltd. 475,000 1,361,670 0.0%
Zhuzhou CRRC Times Electric Co., Ltd. Class H 292,200 1,549,207 0.0%
Zijin Mining Group Co., Ltd. Class H 7,523,000 3,412,422 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
CHINA -- (Continued)
# Zoomlion Heavy Industry Science and Technology Co., Ltd.
Class H 724,400 $ 311,153 0.0%
#* ZTE Corp. Class H 454,885 1,028,040 0.0%
# ZTO Express Cayman, Inc. ADR 160,011 2,640,182 0.0%
-------------- ----
TOTAL CHINA 1,083,374,345 17.0%
-------------- ----
COLOMBIA -- (0.4%)
Banco de Bogota SA 48,940 1,210,888 0.0%
Bancolombia SA 263,306 3,112,104 0.0%
Bancolombia SA Sponsored ADR 102,465 4,883,482 0.1%
Cementos Argos SA 330,653 1,168,899 0.0%
Ecopetrol SA 3,327,922 3,672,739 0.1%
# Ecopetrol SA Sponsored ADR 172,877 3,817,124 0.1%
Grupo Argos SA 179,087 1,275,115 0.0%
Grupo Aval Acciones y Valores SA 84,617 749,706 0.0%
Grupo de Inversiones Suramericana SA 255,008 3,538,758 0.1%
Grupo Energia Bogota SA ESP 1,271,428 932,426 0.0%
Grupo Nutresa SA 169,196 1,638,378 0.0%
Interconexion Electrica SA ESP 613,721 3,163,696 0.1%
-------------- ----
TOTAL COLOMBIA 29,163,315 0.5%
-------------- ----
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 305,092 7,791,155 0.1%
Komercni Banka A.S. 43,650 1,883,248 0.1%
Moneta Money Bank A.S. 30,234 108,675 0.0%
O2 Czech Republic A.S. 70,083 958,018 0.0%
# Philip Morris CR A.S. 755 579,447 0.0%
-------------- ----
TOTAL CZECH REPUBLIC 11,320,543 0.2%
-------------- ----
EGYPT -- (0.1%)
# Commercial International Bank Egypt S.A.E. GDR(5668287) 1,400,823 7,168,041 0.1%
Commercial International Bank Egypt S.A.E. GDR(201712205) 116,260 596,414 0.0%
Egyptian Financial Group-Hermes Holding Co. GDR(710232901) 13,986 38,714 0.0%
Egyptian Financial Group-Hermes Holding Co. GDR(268425402) 22,886 64,309 0.0%
-------------- ----
TOTAL EGYPT 7,867,478 0.1%
-------------- ----
GREECE -- (0.3%)
* Alpha Bank AE 105,217 277,963 0.0%
* Eurobank Ergasias SA 331 418 0.0%
* FF Group 12,618 239,231 0.0%
Hellenic Petroleum SA 112,224 1,141,869 0.0%
Hellenic Telecommunications Organization SA 340,319 4,954,495 0.1%
JUMBO SA 168,373 3,081,978 0.1%
Motor Oil Hellas Corinth Refineries SA 96,253 2,293,424 0.0%
* National Bank of Greece SA 128,189 53,293 0.0%
OPAP SA 278,698 3,334,722 0.1%
Titan Cement Co. SA 61,385 1,616,559 0.0%
-------------- ----
TOTAL GREECE 16,993,952 0.3%
-------------- ----
HUNGARY -- (0.5%)
MOL Hungarian Oil & Gas P.L.C. 1,279,647 14,787,310 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
HUNGARY -- (Continued)
OTP Bank P.L.C. 283,456 $12,359,633 0.2%
Richter Gedeon Nyrt 117,849 2,379,672 0.1%
----------- ---
TOTAL HUNGARY 29,526,615 0.5%
----------- ---
INDIA -- (11.7%)
* 3M India, Ltd. 76 23,247 0.0%
* 5Paisa Capital, Ltd. 4,048 24,517 0.0%
ABB India, Ltd. 30,827 625,255 0.0%
ACC, Ltd. 48,206 1,140,541 0.0%
Adani Enterprises, Ltd. 274,364 571,991 0.0%
* Adani Green Energy, Ltd. 208,791 80,369 0.0%
Adani Ports & Special Economic Zone, Ltd. 833,961 5,064,627 0.1%
* Adani Transmissions, Ltd. 272,206 681,921 0.0%
* Aditya Birla Capital, Ltd. 324,352 773,343 0.0%
* Aditya Birla Fashion and Retail, Ltd. 411,628 901,487 0.0%
Alkem Laboratories, Ltd. 6,502 191,520 0.0%
Ambuja Cements, Ltd. 601,982 2,253,956 0.0%
Apollo Hospitals Enterprise, Ltd. 29,982 488,730 0.0%
Ashok Leyland, Ltd. 2,765,773 6,779,657 0.1%
Asian Paints, Ltd. 448,324 8,048,329 0.1%
Aurobindo Pharma, Ltd. 625,132 5,992,507 0.1%
Axis Bank, Ltd. 1,523,806 11,785,639 0.2%
Bajaj Auto, Ltd. 98,805 4,345,378 0.1%
Bajaj Finance, Ltd. 262,176 7,449,184 0.1%
Bajaj Finserv, Ltd. 76,033 6,225,270 0.1%
Bajaj Holdings & Investment, Ltd. 60,666 2,449,696 0.0%
Balkrishna Industries, Ltd. 53,481 1,020,132 0.0%
Bank of Baroda 408,484 904,079 0.0%
* Bank of India 242,165 374,374 0.0%
Berger Paints India, Ltd. 347,022 1,487,797 0.0%
Bharat Electronics, Ltd. 720,775 1,410,482 0.0%
Bharat Forge, Ltd. 306,682 3,549,306 0.1%
Bharat Heavy Electricals, Ltd. 1,100,247 1,439,398 0.0%
Bharat Petroleum Corp., Ltd. 829,380 4,786,755 0.1%
Bharti Airtel, Ltd. 1,859,037 11,375,610 0.2%
Bharti Infratel, Ltd. 713,002 3,371,024 0.1%
Biocon, Ltd. 121,818 1,210,964 0.0%
Bosch, Ltd. 7,147 2,071,978 0.0%
Britannia Industries, Ltd. 31,591 2,606,067 0.0%
Cadila Healthcare, Ltd. 362,605 2,238,363 0.0%
Canara Bank 181,947 719,905 0.0%
Castrol India, Ltd. 247,880 721,694 0.0%
Cholamandalam Investment and Finance Co., Ltd. 70,179 1,818,323 0.0%
Cipla, Ltd. 555,658 5,026,107 0.1%
Coal India, Ltd. 745,896 3,163,463 0.1%
Colgate-Palmolive India, Ltd. 115,396 1,935,676 0.0%
Container Corp. Of India, Ltd. 36,763 722,769 0.0%
Cummins India, Ltd. 95,747 1,103,484 0.0%
Dabur India, Ltd. 743,476 4,121,412 0.1%
Dalmia Bharat, Ltd. 26,093 1,191,239 0.0%
Dewan Housing Finance Corp., Ltd. 341,630 3,258,595 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Divi's Laboratories, Ltd. 147,169 $ 2,637,087 0.0%
DLF, Ltd. 681,927 2,258,536 0.0%
Dr Reddy's Laboratories, Ltd. 71,015 2,248,408 0.0%
# Dr Reddy's Laboratories, Ltd. ADR 148,465 4,796,904 0.1%
Edelweiss Financial Services, Ltd. 715,880 3,052,461 0.1%
Eicher Motors, Ltd. 20,610 9,585,233 0.2%
Emami, Ltd. 90,332 1,506,285 0.0%
Exide Industries, Ltd. 375,923 1,389,282 0.0%
Federal Bank, Ltd. 2,004,333 2,941,108 0.1%
* Future Retail, Ltd. 104,881 945,919 0.0%
GAIL India, Ltd. 668,588 3,253,332 0.1%
GAIL India, Ltd. GDR 51,184 1,503,920 0.0%
Gillette India, Ltd. 353 34,512 0.0%
GlaxoSmithKline Consumer Healthcare, Ltd. 13,803 1,265,417 0.0%
GlaxoSmithKline Pharmaceuticals, Ltd. 13,217 462,834 0.0%
Glenmark Pharmaceuticals, Ltd. 15,948 136,195 0.0%
Godrej Consumer Products, Ltd. 337,726 5,637,844 0.1%
Godrej Industries, Ltd. 71,533 642,239 0.0%
Grasim Industries, Ltd. 302,268 4,907,112 0.1%
Gruh Finance, Ltd. 92,408 932,772 0.0%
Havells India, Ltd. 234,115 1,908,219 0.0%
HCL Technologies, Ltd. 862,054 13,568,539 0.2%
HDFC Bank, Ltd. 1,383,984 40,178,293 0.6%
Hero Motocorp, Ltd. 85,976 4,793,451 0.1%
Hindalco Industries, Ltd. 3,486,881 12,210,864 0.2%
Hindustan Petroleum Corp., Ltd. 801,193 3,641,636 0.1%
Hindustan Unilever, Ltd. 992,915 22,261,640 0.4%
Housing Development Finance Corp., Ltd. 1,536,141 43,194,699 0.7%
ICICI Bank, Ltd. Sponsored ADR 1,069,869 9,104,581 0.2%
ICICI Prudential Life Insurance Co., Ltd. 72,511 461,804 0.0%
* IDBI Bank, Ltd. 97,901 96,377 0.0%
* Idea Cellular, Ltd. 5,576,048 5,761,181 0.1%
IDFC Bank, Ltd. 1,324,674 953,117 0.0%
IIFL Holdings, Ltd. 111,769 1,280,458 0.0%
Indiabulls Housing Finance, Ltd. 656,568 12,801,450 0.2%
Indian Bank 99,818 479,551 0.0%
Indian Oil Corp., Ltd. 1,522,278 3,680,285 0.1%
Indraprastha Gas, Ltd. 240,300 1,029,957 0.0%
IndusInd Bank, Ltd. 173,449 4,910,346 0.1%
Infosys, Ltd. 1,805,229 32,365,991 0.5%
# Infosys, Ltd. Sponsored ADR 847,888 14,982,181 0.2%
InterGlobe Aviation, Ltd. 58,641 1,226,490 0.0%
ITC, Ltd. 4,651,621 19,622,074 0.3%
* Jindal Steel & Power, Ltd. 372,123 1,389,326 0.0%
JSW Steel, Ltd. 2,677,650 12,988,954 0.2%
Kansai Nerolac Paints, Ltd. 70,642 526,951 0.0%
Kotak Mahindra Bank, Ltd. 591,986 10,728,756 0.2%
L&T Finance Holdings, Ltd. 792,785 2,044,980 0.0%
Larsen & Toubro Infotech, Ltd. 4,977 116,517 0.0%
Larsen & Toubro, Ltd. 593,379 12,439,802 0.2%
LIC Housing Finance, Ltd. 817,984 6,675,692 0.1%
Lupin, Ltd. 355,461 4,301,707 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Mahindra & Mahindra Financial Services, Ltd. 322,686 $ 2,537,247 0.0%
Mahindra & Mahindra, Ltd. 649,954 8,469,387 0.1%
Mangalore Refinery & Petrochemicals, Ltd. 285,511 462,479 0.0%
Marico, Ltd. 748,884 3,726,064 0.1%
Maruti Suzuki India, Ltd. 138,331 18,190,216 0.3%
* Max Financial Services, Ltd. 11,034 85,528 0.0%
Motherson Sumi Systems, Ltd. 864,629 4,559,776 0.1%
Motilal Oswal Financial Services, Ltd. 34,676 507,412 0.0%
MRF, Ltd. 2,969 3,540,303 0.1%
Muthoot Finance, Ltd. 191,569 1,284,318 0.0%
Natco Pharma, Ltd. 5,022 60,642 0.0%
NBCC India, Ltd. 239,532 375,176 0.0%
Nestle India, Ltd. 37,106 5,220,454 0.1%
NHPC, Ltd. 2,269,230 968,508 0.0%
NTPC, Ltd. 1,319,738 3,395,483 0.1%
Oil & Natural Gas Corp., Ltd. 990,901 2,675,461 0.1%
Oil India, Ltd. 271,393 943,418 0.0%
* Oracle Financial Services Software, Ltd. 23,161 1,479,648 0.0%
Page Industries, Ltd. 5,038 1,817,840 0.0%
Petronet LNG, Ltd. 1,094,125 3,707,040 0.1%
Pidilite Industries, Ltd. 195,176 3,155,809 0.1%
Piramal Enterprises, Ltd. 72,015 2,793,378 0.1%
Power Finance Corp., Ltd. 860,631 1,130,472 0.0%
Power Grid Corp. of India, Ltd. 1,969,562 6,116,435 0.1%
* Praxis Home Retail, Ltd. 1,458 6,206 0.0%
Procter & Gamble Hygiene & Health Care, Ltd. 10,367 1,482,635 0.0%
* Punjab National Bank 669,278 953,141 0.0%
Rajesh Exports, Ltd. 146,511 1,488,293 0.0%
Ramco Cements, Ltd. (The) 41,801 516,045 0.0%
RBL Bank, Ltd. 65,034 511,149 0.0%
Reliance Capital, Ltd. 128,364 831,525 0.0%
* Reliance Home Finance, Ltd. 174,706 161,812 0.0%
Reliance Industries, Ltd. 3,162,713 45,461,821 0.7%
Reliance Industries, Ltd. GDR 3,374 97,509 0.0%
Rural Electrification Corp., Ltd. 1,952,124 3,715,771 0.1%
Shree Cement, Ltd. 10,928 2,767,750 0.1%
Shriram City Union Finance, Ltd. 1,315 47,503 0.0%
Shriram Transport Finance Co., Ltd. 157,374 3,780,617 0.1%
Siemens, Ltd. 50,501 849,282 0.0%
State Bank of India 1,586,800 5,827,519 0.1%
* Steel Authority of India, Ltd. 770,722 888,224 0.0%
Sun Pharmaceutical Industries, Ltd. 602,527 4,754,194 0.1%
Sun TV Network, Ltd. 129,047 1,693,464 0.0%
* Sundaram Finance Holdings, Ltd. 27,690 61,176 0.0%
Sundaram Finance, Ltd. 27,690 730,567 0.0%
Tata Communications, Ltd. 76,225 706,844 0.0%
Tata Consultancy Services, Ltd. 702,461 37,048,009 0.6%
Tata Global Beverages, Ltd. 36,041 160,131 0.0%
* Tata Motors, Ltd. 1,650,833 8,353,434 0.1%
* Tata Motors, Ltd. Sponsored ADR 41,094 1,032,281 0.0%
Tata Power Co., Ltd. (The) 2,311,735 3,031,235 0.1%
Tata Steel, Ltd.(6101156) 1,295,722 11,475,313 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
* Tata Steel, Ltd.(BD3NJK9) 89,360 $ 212,889 0.0%
Tech Mahindra, Ltd. 790,878 7,896,514 0.1%
Titan Co., Ltd. 364,783 5,346,159 0.1%
Torrent Pharmaceuticals, Ltd. 94,358 2,005,784 0.0%
TVS Motor Co., Ltd. 97,703 974,290 0.0%
Ultratech Cement, Ltd. 79,522 4,871,983 0.1%
United Breweries, Ltd. 54,550 974,986 0.0%
* United Spirits, Ltd. 67,614 3,668,497 0.1%
UPL, Ltd. 812,040 8,875,426 0.1%
Vakrangee, Ltd. 367,011 547,574 0.0%
Vedanta, Ltd. 2,958,495 13,134,357 0.2%
Voltas, Ltd. 77,532 742,171 0.0%
Whirlpool of India, Ltd. 2,154 51,028 0.0%
Wipro, Ltd. 1,408,295 5,843,049 0.1%
Yes Bank, Ltd. 2,730,973 14,698,614 0.2%
Zee Entertainment Enterprises, Ltd. 608,477 5,374,919 0.1%
------------ ----
TOTAL INDIA 770,243,613 12.1%
------------ ----
INDONESIA -- (2.4%)
Adaro Energy Tbk PT 53,869,600 7,054,285 0.1%
AKR Corporindo Tbk PT 120,100 42,054 0.0%
Astra Agro Lestari Tbk PT 1,267,944 1,162,461 0.0%
Astra International Tbk PT 22,239,310 11,382,678 0.2%
Bank Central Asia Tbk PT 9,568,000 15,129,700 0.3%
Bank Danamon Indonesia Tbk PT 4,531,379 2,160,025 0.0%
Bank Mandiri Persero Tbk PT 17,401,834 8,814,974 0.2%
Bank Negara Indonesia Persero Tbk PT 10,722,322 6,173,010 0.1%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 1,514,200 224,073 0.0%
Bank Rakyat Indonesia Persero Tbk PT 63,168,800 14,564,731 0.2%
Bank Tabungan Negara Persero Tbk PT 7,450,900 1,660,489 0.0%
* Barito Pacific Tbk PT 10,393,800 1,837,817 0.0%
* Bayan Resources Tbk PT 79,500 62,830 0.0%
Bukit Asam Tbk PT 8,340,900 1,928,295 0.0%
Bumi Serpong Damai Tbk PT 11,318,200 1,366,721 0.0%
Charoen Pokphand Indonesia Tbk PT 12,216,600 3,220,627 0.1%
Gudang Garam Tbk PT 812,100 4,034,408 0.1%
Indah Kiat Pulp & Paper Corp. Tbk PT 3,159,000 2,982,502 0.1%
Indo Tambangraya Megah Tbk PT 194,700 329,949 0.0%
Indocement Tunggal Prakarsa Tbk PT 1,467,400 1,857,011 0.0%
Indofood CBP Sukses Makmur Tbk PT 3,456,800 2,147,581 0.0%
Indofood Sukses Makmur Tbk PT 14,721,500 7,360,316 0.1%
Indosat Tbk PT 1,720,800 466,396 0.0%
Jasa Marga Persero Tbk PT 3,871,113 1,210,154 0.0%
Kalbe Farma Tbk PT 27,775,800 2,998,521 0.1%
Matahari Department Store Tbk PT 2,898,700 2,146,267 0.0%
Mayora Indah Tbk PT 19,330,125 4,094,763 0.1%
Media Nusantara Citra Tbk PT 7,939,500 751,128 0.0%
Mitra Keluarga Karyasehat Tbk PT 2,215,000 306,077 0.0%
Pakuwon Jati Tbk PT 46,392,900 1,961,016 0.0%
Perusahaan Gas Negara Persero Tbk 12,012,100 1,700,361 0.0%
Semen Baturaja Persero Tbk PT 1,298,200 390,892 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDONESIA -- (Continued)
Semen Indonesia Persero Tbk PT 4,604,700 $ 3,180,396 0.1%
Sinar Mas Agro Resources & Technology Tbk PT 1,096,400 291,610 0.0%
Surya Citra Media Tbk PT 8,854,700 1,620,779 0.0%
Telekomunikasi Indonesia Persero Tbk PT 37,216,900 10,155,539 0.2%
# Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 196,768 5,361,928 0.1%
Tower Bersama Infrastructure Tbk PT 2,551,800 1,016,311 0.0%
Unilever Indonesia Tbk PT 2,015,700 6,699,496 0.1%
United Tractors Tbk PT 4,537,396 11,070,718 0.2%
* Vale Indonesia Tbk PT 2,598,200 584,175 0.0%
Waskita Karya Persero Tbk PT 12,515,379 1,977,022 0.0%
* XL Axiata Tbk PT 10,996,700 1,666,718 0.0%
------------ ---
TOTAL INDONESIA 155,146,804 2.4%
------------ ---
MALAYSIA -- (3.0%)
Affin Bank Bhd 548,300 350,894 0.0%
AirAsia Group Bhd 5,016,800 4,901,000 0.1%
Alliance Bank Malaysia Bhd 1,209,400 1,335,154 0.0%
AMMB Holdings Bhd 2,508,759 2,477,790 0.0%
Astro Malaysia Holdings Bhd 2,488,700 1,205,255 0.0%
Axiata Group Bhd 4,014,602 5,386,664 0.1%
Batu Kawan Bhd 105,400 493,784 0.0%
BIMB Holdings Bhd 1,138,455 1,209,120 0.0%
Boustead Holdings Bhd 264,800 173,035 0.0%
# British American Tobacco Malaysia Bhd 236,000 1,471,503 0.0%
CIMB Group Holdings Bhd 4,570,655 8,329,809 0.1%
Dialog Group BHD 1,487,318 1,162,239 0.0%
# DiGi.Com Bhd 5,082,520 5,965,676 0.1%
Felda Global Ventures Holdings Bhd 4,302,300 1,861,956 0.0%
Fraser & Neave Holdings Bhd 47,800 437,883 0.0%
Gamuda Bhd 2,144,600 2,800,334 0.1%
Genting Bhd 4,743,900 10,773,359 0.2%
Genting Malaysia Bhd 3,824,300 4,979,133 0.1%
# Genting Plantations Bhd 378,500 955,293 0.0%
# HAP Seng Consolidated Bhd 1,001,300 2,491,453 0.0%
# Hartalega Holdings Bhd 2,213,600 3,294,488 0.1%
Hong Leong Bank Bhd 446,566 2,152,957 0.0%
Hong Leong Financial Group Bhd 680,183 3,357,916 0.1%
# IHH Healthcare Bhd 1,455,900 2,249,303 0.0%
IJM Corp. Bhd 4,270,962 3,233,311 0.1%
# Inari Amertron Bhd 2,004,000 868,017 0.0%
IOI Corp. Bhd 3,931,105 4,775,930 0.1%
IOI Properties Group Bhd 2,614,929 1,038,419 0.0%
Kuala Lumpur Kepong Bhd 495,300 3,209,974 0.1%
* Lafarge Malayan Bhd 16,380 17,557 0.0%
Malayan Banking Bhd 4,708,636 12,908,567 0.2%
Malaysia Airports Holdings Bhd 1,240,841 2,842,749 0.1%
Malaysia Building Society Bhd 1,759,800 513,663 0.0%
Maxis Bhd 2,881,400 4,267,352 0.1%
MISC Bhd 1,880,198 3,414,064 0.1%
MMC Corp. Bhd 1,730,200 630,272 0.0%
My EG Services Bhd 3,146,800 2,086,610 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
Nestle Malaysia Bhd 35,700 $ 1,254,056 0.0%
Petronas Chemicals Group Bhd 3,389,400 7,281,749 0.1%
Petronas Dagangan BHD 351,300 2,411,485 0.0%
Petronas Gas Bhd 890,500 4,029,123 0.1%
PPB Group Bhd 751,800 3,678,658 0.1%
# Press Metal Aluminium Holdings Bhd 1,771,200 2,160,951 0.0%
Public Bank Bhd 3,656,014 22,122,427 0.4%
# QL Resources Bhd 502,190 656,878 0.0%
RHB Bank Bhd 1,308,605 1,759,565 0.0%
# Sapura Energy Bhd 1,536,800 247,410 0.0%
Sime Darby Bhd 1,829,561 1,239,025 0.0%
Sime Darby Plantation Bhd 3,018,761 4,279,290 0.1%
Sime Darby Property Bhd 3,018,761 1,143,777 0.0%
SP Setia Bhd Group 1,255,149 1,016,295 0.0%
# Sunway Bhd 2,531,825 971,108 0.0%
Telekom Malaysia Bhd 1,435,664 1,931,103 0.0%
# Tenaga Nasional Bhd 4,375,250 17,617,707 0.3%
Top Glove Corp. Bhd 1,101,700 2,659,558 0.1%
* UMW Holdings Bhd 1,257,866 1,952,906 0.0%
United Plantations Bhd 49,700 337,280 0.0%
Westports Holdings Bhd 1,553,100 1,312,164 0.0%
YTL Corp. Bhd 14,205,299 5,221,048 0.1%
# YTL Power International Bhd 2,843,597 664,025 0.0%
------------ ---
TOTAL MALAYSIA 195,570,071 3.1%
------------ ---
MEXICO -- (3.7%)
Alfa S.A.B. de C.V. Class A 7,708,309 9,875,446 0.2%
America Movil S.A.B. de C.V. Series L 48,207,854 44,593,821 0.7%
America Movil S.A.B. de C.V. Series L ADR 109,448 2,023,694 0.0%
Arca Continental S.A.B. de C.V. 562,184 3,874,135 0.1%
# Banco Santander Mexico SA Institucion de Banca Multiple
Grupo Financiero Santand Class B 2,749,646 4,068,148 0.1%
#* Cemex S.A.B. de C.V. 19,131,714 11,938,109 0.2%
Coca-Cola Femsa S.A.B. de C.V. Series L 365,012 2,367,439 0.0%
# Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 22,737 1,492,457 0.0%
# El Puerto de Liverpool S.A.B. de C.V. 262,611 1,743,574 0.0%
Fomento Economico Mexicano S.A.B. de C.V. 1,733,500 16,772,323 0.3%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 37,589 3,633,353 0.1%
# Gruma S.A.B. de C.V. Class B 573,607 7,013,801 0.1%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 13,641 1,420,983 0.0%
# Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 462,543 4,804,973 0.1%
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 32,374 5,820,845 0.1%
# Grupo Bimbo S.A.B. de C.V. Series A 2,085,945 4,846,223 0.1%
# Grupo Carso S.A.B. de C.V. Series A1 805,914 2,918,209 0.0%
# Grupo Elektra S.A.B. de C.V. 95,655 2,615,545 0.0%
# Grupo Financiero Banorte S.A.B. de C.V. 2,449,511 15,318,899 0.2%
# Grupo Financiero Inbursa S.A.B. de C.V. 3,829,726 6,374,669 0.1%
# Grupo Lala S.A.B. de C.V. 1,099,455 1,403,856 0.0%
Grupo Mexico S.A.B. de C.V. Series B 6,360,255 21,057,958 0.3%
# Grupo Televisa S.A.B. Series CPO 3,641,138 13,061,881 0.2%
# Grupo Televisa S.A.B. Sponsored ADR 135,493 2,428,035 0.0%
#* Impulsora del Desarrollo y El Empleo en America Latina
S.A.B. de C.V. 2,339,450 4,164,265 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (Continued)
Industrias Penoles S.A.B. de C.V. 365,578 $ 7,681,965 0.1%
Infraestructura Energetica Nova S.A.B. de C.V. 759,365 3,346,118 0.1%
# Kimberly-Clark de Mexico S.A.B. de C.V. Class A 2,348,560 4,255,827 0.1%
* La Comer S.A.B. de C.V. 11,756 12,201 0.0%
Megacable Holdings S.A.B. de C.V. 252,934 1,162,152 0.0%
Mexichem S.A.B. de C.V. Series * 2,747,350 8,586,364 0.1%
#* Organizacion Soriana S.A.B. de C.V. Class B 1,083,351 2,001,952 0.0%
Promotora y Operadora de Infraestructura S.A.B. de
C.V.(2393388) 284,767 2,918,770 0.1%
Promotora y Operadora de Infraestructura S.A.B. de
C.V.(BP85573) 3,236 22,440 0.0%
Wal-Mart de Mexico S.A.B. de C.V. 7,198,435 20,014,844 0.3%
------------ ---
TOTAL MEXICO 245,635,274 3.8%
------------ ---
PERU -- (0.3%)
Cementos Pacasmayo SAA ADR 15,158 194,026 0.0%
Cia de Minas Buenaventura SAA ADR 139,674 2,227,800 0.0%
Credicorp, Ltd. 78,885 18,339,974 0.3%
* Grana y Montero SAA Sponsored ADR 108,988 362,930 0.0%
------------ ---
TOTAL PERU 21,124,730 0.3%
------------ ---
PHILIPPINES -- (1.2%)
Aboitiz Equity Ventures, Inc. 2,290,670 3,077,655 0.1%
Aboitiz Power Corp. 1,888,900 1,384,537 0.0%
* Alliance Global Group, Inc. 9,703,400 2,444,017 0.1%
Ayala Corp. 321,242 5,975,425 0.1%
Ayala Land, Inc. 9,812,818 7,710,826 0.1%
Bank of the Philippine Islands 990,562 2,004,933 0.0%
BDO Unibank, Inc. 1,519,302 3,853,621 0.1%
Bloomberry Resorts Corp. 960,400 227,499 0.0%
DMCI Holdings, Inc. 10,645,700 2,262,849 0.0%
* DoubleDragon Properties Corp. 88,000 53,017 0.0%
Emperador, Inc. 1,850,900 257,308 0.0%
Energy Development Corp. 2,973,913 310,076 0.0%
Globe Telecom, Inc. 62,495 1,860,624 0.0%
GT Capital Holdings, Inc. 142,875 2,895,784 0.1%
International Container Terminal Services, Inc. 1,287,400 2,099,793 0.0%
JG Summit Holdings, Inc. 2,849,560 3,510,219 0.1%
Jollibee Foods Corp. 695,840 3,824,048 0.1%
LT Group, Inc. 4,387,900 1,711,096 0.0%
Manila Electric Co. 335,730 2,084,183 0.0%
Megaworld Corp. 18,359,400 1,593,161 0.0%
Metro Pacific Investments Corp. 18,788,700 1,847,919 0.0%
Metropolitan Bank & Trust Co. 1,261,427 2,066,045 0.0%
* Philippine National Bank 73,048 73,907 0.0%
PLDT, Inc. 87,155 2,439,137 0.1%
PLDT, Inc. Sponsored ADR 64,443 1,771,538 0.0%
Puregold Price Club, Inc. 1,734,500 1,586,048 0.0%
Robinsons Land Corp. 3,184,682 1,098,324 0.0%
Robinsons Retail Holdings, Inc. 541,860 951,866 0.0%
San Miguel Corp. 1,462,960 3,942,543 0.1%
Security Bank Corp. 356,280 1,434,679 0.0%
Semirara Mining & Power Corp. 1,900,100 1,131,767 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
PHILIPPINES -- (Continued)
SM Investments Corp. 249,883 $ 4,518,638 0.1%
SM Prime Holdings, Inc. 8,589,810 5,660,749 0.1%
* Top Frontier Investment Holdings, Inc. 42,789 217,951 0.0%
Universal Robina Corp. 1,282,840 3,481,534 0.1%
------------ ---
TOTAL PHILIPPINES 81,363,316 1.3%
------------ ---
POLAND -- (1.6%)
* Alior Bank SA 216,989 4,365,444 0.1%
* AmRest Holdings SE 344 45,069 0.0%
Bank Handlowy w Warszawie SA 45,291 1,068,951 0.0%
* Bank Millennium SA 1,319,118 3,207,316 0.1%
Bank Pekao SA 120,869 4,011,266 0.1%
# Bank Zachodni WBK SA 44,055 4,647,734 0.1%
Budimex SA 1,450 77,407 0.0%
CCC SA 36,838 2,706,096 0.0%
CD Projekt SA 88,611 3,127,045 0.0%
Cyfrowy Polsat SA 442,307 3,225,913 0.1%
Enea SA 154,249 456,922 0.0%
Grupa Azoty SA 95,471 1,452,997 0.0%
Grupa Lotos SA 352,784 5,526,759 0.1%
# ING Bank Slaski SA 37,589 2,104,879 0.0%
* Jastrzebska Spolka Weglowa SA 115,275 2,703,064 0.0%
KGHM Polska Miedz SA 353,608 9,373,064 0.1%
# LPP SA 1,669 4,340,459 0.1%
* mBank SA 31,312 3,812,466 0.1%
* Orange Polska SA 888,457 1,330,093 0.0%
* PGE Polska Grupa Energetyczna SA 2,140,775 6,364,399 0.1%
Polski Koncern Naftowy Orlen S.A. 565,808 14,411,063 0.2%
Polskie Gornictwo Naftowe i Gazownictwo SA 2,283,734 4,008,266 0.1%
* Powszechna Kasa Oszczednosci Bank Polski SA 760,338 9,026,846 0.1%
Powszechny Zaklad Ubezpieczen SA 808,411 9,827,856 0.2%
#* Tauron Polska Energia SA 2,675,765 1,785,694 0.0%
------------ ---
TOTAL POLAND 103,007,068 1.6%
------------ ---
RUSSIA -- (1.5%)
Gazprom PJSC Sponsored ADR(5140989) 2,397,765 11,064,463 0.2%
Gazprom PJSC Sponsored ADR(368287207) 263,846 1,203,138 0.0%
* Lenta, Ltd.(BJ621Y903) 30,830 173,198 0.0%
* Lenta, Ltd.(BJ621Y3) 44,444 250,220 0.0%
Lukoil PJSC Sponsored ADR(BYZDW2900) 171,816 11,452,518 0.2%
Lukoil PJSC Sponsored ADR(BYZF386) 18,628 1,227,399 0.0%
Magnitogorsk Iron & Steel Works PJSC Sponsored GDR 199,210 1,982,508 0.0%
* Mail.Ru Group, Ltd. GDR 981 31,000 0.0%
MegaFon PJSC GDR 139,778 1,237,806 0.0%
MMC Norilsk Nickel PJSC ADR(BYSW6D901) 406,377 6,983,900 0.1%
MMC Norilsk Nickel PJSC ADR(BYSW6M9) 36,191 616,695 0.0%
Novatek PJSC GDR 46,176 5,865,108 0.1%
Novolipetsk Steel PJSC GDR 123,601 3,150,161 0.1%
Phosagro PJSC GDR 83,207 1,199,864 0.0%
Rosneft Oil Co. PJSC GDR 700,727 4,262,514 0.1%
Rostelecom PJSC Sponsored ADR(B114RM8) 78,867 482,181 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
RUSSIA -- (Continued)
Rostelecom PJSC Sponsored ADR(778529107) 20,806 $ 129,933 0.0%
RusHydro PJSC ADR(BYZ5W4903) 1,251,910 1,424,090 0.0%
RusHydro PJSC ADR(782183404) 12,131 13,708 0.0%
Sberbank of Russia PJSC Sponsored ADR 1,818,206 26,884,454 0.4%
Severstal PJSC GDR 191,829 3,053,087 0.0%
Tatneft PJSC Sponsored ADR 154,215 9,905,170 0.2%
VTB Bank PJSC GDR(B1W7FX3) 1,358,280 2,540,678 0.0%
VTB Bank PJSC GDR(46630Q202) 1,913,221 3,581,550 0.1%
----------- ---
TOTAL RUSSIA 98,715,343 1.5%
----------- ---
SOUTH AFRICA -- (8.0%)
Anglo American Platinum, Ltd. 87,480 2,347,538 0.0%
AngloGold Ashanti, Ltd. 30,125 269,277 0.0%
AngloGold Ashanti, Ltd. Sponsored ADR 1,637,102 14,701,176 0.2%
Aspen Pharmacare Holdings, Ltd. 574,874 12,395,232 0.2%
Assore, Ltd. 23,402 577,694 0.0%
AVI, Ltd. 429,602 3,929,505 0.1%
Barclays Africa Group, Ltd. 2,048,355 30,002,817 0.5%
Bid Corp., Ltd. 694,776 15,971,661 0.2%
Bidvest Group, Ltd. (The) 873,084 17,102,966 0.3%
* Brait SE 7,826 27,042 0.0%
# Capitec Bank Holdings, Ltd. 75,595 5,381,911 0.1%
Clicks Group, Ltd. 378,720 6,474,946 0.1%
Discovery, Ltd. 595,256 8,265,049 0.1%
Distell Group, Ltd. 54,658 584,329 0.0%
Exxaro Resources, Ltd. 494,393 4,385,252 0.1%
FirstRand, Ltd. 4,821,116 25,819,616 0.4%
Foschini Group, Ltd. (The) 102,151 1,757,556 0.0%
Gold Fields, Ltd. Sponsored ADR 3,443,277 13,153,318 0.2%
Imperial Holdings, Ltd. 583,684 11,227,792 0.2%
Investec, Ltd. 684,825 5,402,130 0.1%
# Kumba Iron Ore, Ltd. 164,394 3,511,858 0.1%
Liberty Holdings, Ltd. 302,881 3,223,348 0.1%
Life Healthcare Group Holdings, Ltd. 3,525,337 8,310,217 0.1%
MMI Holdings, Ltd. 2,167,694 3,858,886 0.1%
Mondi, Ltd. 303,793 8,863,114 0.1%
Mr. Price Group, Ltd. 421,817 9,256,285 0.1%
MTN Group, Ltd. 3,210,942 32,227,237 0.5%
Naspers, Ltd. Class N 341,078 83,093,265 1.3%
Nedbank Group, Ltd. 545,382 13,006,271 0.2%
# NEPI Rockcastle P.L.C. 366,756 4,041,920 0.1%
Netcare, Ltd. 2,825,287 7,035,210 0.1%
Novus Holdings, Ltd. 82,866 26,633 0.0%
Pick n Pay Stores, Ltd. 261,842 1,695,090 0.0%
Pioneer Foods Group, Ltd. 145,145 1,411,602 0.0%
PSG Group, Ltd. 158,836 2,857,844 0.0%
Sanlam, Ltd. 2,016,187 12,736,290 0.2%
Sappi, Ltd. 1,675,815 10,694,494 0.2%
Sasol, Ltd. 143,763 5,139,148 0.1%
# Sasol, Ltd. Sponsored ADR 776,248 27,580,091 0.4%
Shoprite Holdings, Ltd. 905,692 18,019,475 0.3%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
#* Sibanye Gold, Ltd. 3,894,346 $ 3,413,624 0.1%
SPAR Group, Ltd. (The) 284,382 4,818,194 0.1%
Standard Bank Group, Ltd. 2,064,368 35,405,121 0.6%
# Steinhoff International Holdings NV 3,896,458 600,199 0.0%
Telkom SA SOC, Ltd. 482,180 2,202,042 0.0%
Tiger Brands, Ltd. 311,532 9,736,428 0.2%
Truworths International, Ltd. 979,184 8,005,395 0.1%
Vodacom Group, Ltd. 750,143 9,378,212 0.1%
Woolworths Holdings, Ltd. 2,502,184 12,859,059 0.2%
------------ ---
TOTAL SOUTH AFRICA 522,783,359 8.2%
------------ ---
SOUTH KOREA -- (17.4%)
Amorepacific Corp. 30,623 9,963,548 0.2%
AMOREPACIFIC Group 42,761 5,698,227 0.1%
BGF Co., Ltd. 216,994 2,567,404 0.0%
BNK Financial Group, Inc. 377,365 3,672,403 0.1%
#* Celltrion Pharm, Inc. 7,682 617,420 0.0%
#* Celltrion, Inc. 86,084 21,595,636 0.3%
#* Chabiotech Co., Ltd. 9,715 193,081 0.0%
Cheil Worldwide, Inc. 57,841 1,029,771 0.0%
# CJ CGV Co., Ltd. 18,162 1,260,640 0.0%
# CJ CheilJedang Corp. 18,671 5,969,542 0.1%
CJ Corp. 44,364 6,720,874 0.1%
CJ E&M Corp. 29,913 2,523,791 0.0%
#* CJ Logistics Corp. 14,891 2,171,060 0.0%
CJ O Shopping Co., Ltd. 2,962 617,858 0.0%
Com2uSCorp 12,702 1,892,652 0.0%
Coway Co., Ltd. 80,403 6,570,555 0.1%
Cuckoo Holdings Co., Ltd. 1,093 121,416 0.0%
* Cuckoo Homesys Co., Ltd. 922 183,110 0.0%
Daelim Industrial Co., Ltd. 39,953 3,206,374 0.1%
* Daewoo Engineering & Construction Co., Ltd. 136,911 810,204 0.0%
#* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 16,540 367,175 0.0%
DB Insurance Co., Ltd. 149,451 8,772,778 0.1%
DGB Financial Group, Inc. 228,009 2,548,381 0.0%
# Dongsuh Cos., Inc. 15,171 390,170 0.0%
Dongwon Systems Corp. 417 17,518 0.0%
Doosan Corp. 21,369 2,409,877 0.0%
#* Doosan Heavy Industries & Construction Co., Ltd. 191,142 3,186,197 0.1%
#* Doosan Infracore Co., Ltd. 492,270 4,683,968 0.1%
Douzone Bizon Co., Ltd. 4,142 190,514 0.0%
E-MART, Inc. 19,767 4,976,037 0.1%
Grand Korea Leisure Co., Ltd. 38,572 980,688 0.0%
Green Cross Corp. 2,754 555,969 0.0%
# Green Cross Holdings Corp. 22,011 783,501 0.0%
# GS Engineering & Construction Corp. 78,919 2,995,710 0.1%
GS Holdings Corp. 180,713 10,344,237 0.2%
GS Home Shopping, Inc. 4,597 746,146 0.0%
# GS Retail Co., Ltd. 49,567 1,721,927 0.0%
Hana Financial Group, Inc. 480,370 21,344,370 0.3%
#* Hanall Biopharma Co., Ltd. 7,801 220,712 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
Hankook Tire Co., Ltd. 122,536 $ 5,659,140 0.1%
Hanmi Pharm Co., Ltd. 3,042 1,316,900 0.0%
Hanmi Science Co., Ltd. 5,273 381,612 0.0%
Hanon Systems 266,528 2,706,782 0.1%
# Hanssem Co., Ltd. 16,476 1,792,444 0.0%
#* Hanwha Aerospace Co., Ltd. 50,134 1,123,819 0.0%
Hanwha Chemical Corp. 222,590 5,983,752 0.1%
Hanwha Corp. 185,255 6,887,740 0.1%
Hanwha Life Insurance Co., Ltd. 845,510 4,913,263 0.1%
Hite Jinro Co., Ltd. 56,016 1,139,577 0.0%
#* HLB, Inc. 12,951 1,458,104 0.0%
Hotel Shilla Co., Ltd. 27,295 2,935,921 0.1%
* Hugel, Inc. 2,135 1,002,156 0.0%
Hyosung Corp. 62,471 7,642,725 0.1%
* Hyundai Construction Equipment Co., Ltd. 8,892 1,569,060 0.0%
Hyundai Department Store Co., Ltd. 29,795 2,872,920 0.1%
Hyundai Development Co-Engineering & Construction 110,630 4,806,172 0.1%
# Hyundai Engineering & Construction Co., Ltd. 188,181 11,144,688 0.2%
Hyundai Glovis Co., Ltd. 25,586 4,020,795 0.1%
Hyundai Greenfood Co., Ltd. 38,183 548,373 0.0%
* Hyundai Heavy Industries Co., Ltd. 52,698 5,833,795 0.1%
* Hyundai Heavy Industries Holdings Co., Ltd. 21,736 8,540,628 0.1%
Hyundai Home Shopping Network Corp. 5,020 508,301 0.0%
Hyundai Marine & Fire Insurance Co., Ltd. 191,326 6,835,521 0.1%
#* Hyundai Merchant Marine Co., Ltd. 124,410 701,390 0.0%
#* Hyundai Mipo Dockyard Co., Ltd. 16,531 1,372,832 0.0%
Hyundai Mobis Co., Ltd. 61,715 14,292,178 0.2%
# Hyundai Motor Co. 144,321 21,525,156 0.3%
#* Hyundai Rotem Co., Ltd. 32,868 819,735 0.0%
Hyundai Steel Co. 191,753 10,837,981 0.2%
# Hyundai Wia Corp. 25,756 1,289,903 0.0%
# Iljin Materials Co., Ltd. 17,651 547,074 0.0%
# Industrial Bank of Korea 364,871 5,721,841 0.1%
Innocean Worldwide, Inc. 3,114 193,061 0.0%
IS Dongseo Co., Ltd. 8,114 247,392 0.0%
Jeil Pharmaceutical Co., Ltd. 157 5,903 0.0%
Kakao Corp. 25,354 2,608,823 0.0%
# Kakao M Corp. 7,273 607,647 0.0%
# Kangwon Land, Inc. 104,801 2,827,159 0.1%
KB Financial Group, Inc. 319,263 18,138,931 0.3%
KB Financial Group, Inc. ADR 73,512 4,146,077 0.1%
KCC Corp. 8,160 2,978,568 0.1%
# KEPCO Plant Service & Engineering Co., Ltd. 17,268 816,404 0.0%
Kia Motors Corp. 384,791 11,880,302 0.2%
# KIWOOM Securities Co., Ltd. 19,696 2,161,930 0.0%
Kolon Industries, Inc. 33,244 2,118,057 0.0%
#* Komipharm International Co., Ltd. 20,283 737,250 0.0%
#* Korea Aerospace Industries, Ltd. 37,044 1,488,693 0.0%
Korea Electric Power Corp. 216,158 7,561,584 0.1%
Korea Electric Power Corp. Sponsored ADR 130,759 2,273,899 0.0%
* Korea Gas Corp. 48,786 2,493,620 0.0%
Korea Investment Holdings Co., Ltd. 75,306 6,361,198 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
# Korea Kolmar Co., Ltd. 20,573 $ 1,569,025 0.0%
Korea Petrochemical Ind Co., Ltd. 6,572 1,681,630 0.0%
Korea Zinc Co., Ltd. 12,459 5,042,501 0.1%
Korean Air Lines Co., Ltd. 153,221 4,869,473 0.1%
Korean Reinsurance Co. 69,779 768,796 0.0%
KT Corp. Sponsored ADR 82,100 1,102,603 0.0%
KT&G Corp. 103,456 9,460,254 0.2%
Kumho Petrochemical Co., Ltd. 31,285 3,128,743 0.1%
#* Kumho Tire Co., Inc. 104,196 600,463 0.0%
LG Chem, Ltd. 48,103 16,101,454 0.3%
LG Corp. 86,068 6,510,593 0.1%
LG Display Co., Ltd. 525,059 11,464,197 0.2%
# LG Display Co., Ltd. ADR 808,137 8,727,880 0.1%
LG Electronics, Inc. 187,705 17,797,961 0.3%
LG Household & Health Care, Ltd. 13,908 17,758,833 0.3%
# LG Innotek Co., Ltd. 31,119 3,355,395 0.1%
LG International Corp. 23,266 573,373 0.0%
LG Uplus Corp. 398,980 4,567,643 0.1%
LIG Nex1 Co., Ltd. 11,058 407,904 0.0%
# Lotte Chemical Corp. 42,164 16,236,378 0.3%
Lotte Chilsung Beverage Co., Ltd. 60 90,947 0.0%
Lotte Confectionery Co., Ltd. 237 41,995 0.0%
LOTTE Fine Chemical Co., Ltd. 24,070 1,532,610 0.0%
LOTTE Himart Co., Ltd. 12,164 845,223 0.0%
Lotte Shopping Co., Ltd. 19,612 4,675,644 0.1%
LS Corp. 33,839 2,453,648 0.0%
LS Industrial Systems Co., Ltd. 27,263 1,740,777 0.0%
# Macquarie Korea Infrastructure Fund 454,204 3,804,437 0.1%
# Mando Corp. 9,882 2,090,728 0.0%
Medy-Tox, Inc. 6,364 4,136,127 0.1%
Meritz Financial Group, Inc. 128,182 1,668,883 0.0%
Meritz Fire & Marine Insurance Co., Ltd. 148,940 2,911,135 0.1%
Meritz Securities Co., Ltd. 775,459 2,993,812 0.1%
Mirae Asset Daewoo Co., Ltd. 550,734 4,986,502 0.1%
* Naturecell Co., Ltd. 5,139 158,870 0.0%
NAVER Corp. 37,790 25,199,972 0.4%
NCSoft Corp. 16,404 5,498,177 0.1%
# Netmarble Corp. 23,056 3,158,611 0.1%
Nexen Tire Corp. 64,506 726,997 0.0%
NH Investment & Securities Co., Ltd. 236,346 3,410,565 0.1%
* NHN Entertainment Corp. 13,146 753,552 0.0%
NongShim Co., Ltd. 3,492 1,055,458 0.0%
OCI Co., Ltd. 19,850 2,877,465 0.1%
Orion Corp. 8,589 997,087 0.0%
# Orion Holdings Corp. 98,326 2,245,641 0.0%
Ottogi Corp. 1,053 780,865 0.0%
#* Pan Ocean Co., Ltd. 431,074 2,201,153 0.0%
# Paradise Co., Ltd. 42,701 926,694 0.0%
POSCO 70,065 24,141,643 0.4%
POSCO Sponsored ADR 104,186 8,840,182 0.1%
POSCO Chemtech Co., Ltd. 20,052 682,917 0.0%
Posco Daewoo Corp. 79,776 1,674,534 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
SOUTH KOREA -- (Continued)
S-1 Corp. 25,186 $ 2,309,584 0.0%
S-Oil Corp. 48,433 4,967,229 0.1%
#* Samsung Biologics Co., Ltd. 6,405 2,909,091 0.1%
Samsung C&T Corp. 51,407 6,705,171 0.1%
Samsung Card Co., Ltd. 43,084 1,502,423 0.0%
Samsung Electro-Mechanics Co., Ltd. 61,779 6,783,751 0.1%
Samsung Electronics Co., Ltd. 98,259 243,485,802 3.8%
Samsung Electronics Co., Ltd. GDR 52,509 64,281,135 1.0%
* Samsung Engineering Co., Ltd. 73,989 1,232,269 0.0%
Samsung Fire & Marine Insurance Co., Ltd. 48,894 12,208,333 0.2%
* Samsung Heavy Industries Co., Ltd. 584,479 3,995,337 0.1%
Samsung Life Insurance Co., Ltd. 57,757 6,305,156 0.1%
Samsung SDI Co., Ltd. 56,437 9,610,075 0.2%
Samsung SDS Co., Ltd. 30,938 7,027,198 0.1%
Samsung Securities Co., Ltd. 94,032 3,234,056 0.1%
Seoul Semiconductor Co., Ltd. 47,279 833,261 0.0%
SFA Engineering Corp. 28,906 873,796 0.0%
Shinhan Financial Group Co., Ltd. 355,520 15,830,119 0.3%
Shinhan Financial Group Co., Ltd. ADR 84,869 3,786,855 0.1%
Shinsegae, Inc. 16,151 6,268,738 0.1%
* SK Chemicals Co., Ltd. 15,687 1,481,043 0.0%
SK Discovery Co., Ltd. 14,610 580,706 0.0%
SK Holdings Co., Ltd. 52,616 14,402,569 0.2%
SK Hynix, Inc. 821,484 64,604,772 1.0%
SK Innovation Co., Ltd. 79,370 14,544,254 0.2%
# SK Materials Co., Ltd. 9,016 1,294,874 0.0%
# SK Networks Co., Ltd. 311,683 1,634,326 0.0%
SK Telecom Co., Ltd. 19,738 4,217,279 0.1%
SK Telecom Co., Ltd. ADR 24,883 590,971 0.0%
SKC Co., Ltd. 45,410 1,608,573 0.0%
Ssangyong Cement Industrial Co., Ltd. 49,362 1,376,876 0.0%
Taekwang Industrial Co., Ltd. 135 164,078 0.0%
Tongyang Life Insurance Co., Ltd. 60,459 465,065 0.0%
WONIK IPS Co., Ltd. 6,099 193,894 0.0%
Woori Bank 610,127 9,108,853 0.2%
Woori Bank Sponsored ADR 3,749 167,655 0.0%
Young Poong Corp. 438 345,449 0.0%
Youngone Corp. 39,869 1,112,611 0.0%
# Yuhan Corp. 8,837 1,887,629 0.0%
#* Yungjin Pharmaceutical Co., Ltd. 60,994 486,489 0.0%
-------------- ----
TOTAL SOUTH KOREA 1,138,445,512 17.8%
-------------- ----
TAIWAN -- (14.0%)
# Accton Technology Corp. 624,000 1,426,167 0.0%
Acer, Inc. 3,564,811 2,718,674 0.1%
# Advantech Co., Ltd. 471,663 3,237,965 0.1%
Airtac International Group 152,518 2,646,404 0.1%
ASE Industrial Holding Co., Ltd. ADR 133,966 732,795 0.0%
ASE Industrial Holdings Co., Ltd. 7,079,781 19,215,061 0.3%
Asia Cement Corp. 3,424,758 3,654,820 0.1%
* Asia Pacific Telecom Co., Ltd. 2,975,000 882,174 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
# Asustek Computer, Inc. 964,180 $ 9,010,865 0.2%
# AU Optronics Corp. 29,635,873 12,220,520 0.2%
AU Optronics Corp. Sponsored ADR 326,626 1,299,971 0.0%
# Casetek Holdings, Ltd. 371,709 909,388 0.0%
Catcher Technology Co., Ltd. 1,524,429 16,906,176 0.3%
Cathay Financial Holding Co., Ltd. 6,576,450 11,796,539 0.2%
Chailease Holding Co., Ltd. 2,403,840 8,770,947 0.1%
Chang Hwa Commercial Bank, Ltd. 8,867,283 5,104,342 0.1%
# Cheng Shin Rubber Industry Co., Ltd. 3,477,965 5,608,131 0.1%
Chicony Electronics Co., Ltd. 1,166,664 2,874,336 0.1%
* China Airlines, Ltd. 9,417,536 3,435,300 0.1%
China Development Financial Holding Corp. 20,614,121 7,794,157 0.1%
China Life Insurance Co., Ltd. 3,617,014 3,918,829 0.1%
China Motor Corp. 722,000 679,266 0.0%
* China Petrochemical Development Corp. 3,819,000 1,672,456 0.0%
China Steel Corp. 16,351,932 12,939,392 0.2%
Chipbond Technology Corp. 1,027,000 2,035,101 0.0%
Chroma ATE, Inc. 336,000 1,689,487 0.0%
# Chunghwa Precision Test Tech Co., Ltd. 16,000 407,399 0.0%
Chunghwa Telecom Co., Ltd. 1,693,000 6,441,979 0.1%
# Chunghwa Telecom Co., Ltd. ADR 266,427 10,121,562 0.2%
Compal Electronics, Inc. 6,898,541 4,493,382 0.1%
# Compeq Manufacturing Co., Ltd. 2,481,000 2,471,919 0.0%
CTBC Financial Holding Co., Ltd. 20,702,175 14,764,025 0.2%
CTCI Corp. 1,199,000 2,019,772 0.0%
# Delta Electronics, Inc. 1,950,486 7,071,506 0.1%
# E Ink Holdings, Inc. 612,000 677,175 0.0%
E.Sun Financial Holding Co., Ltd. 14,162,745 10,015,234 0.2%
# Eclat Textile Co., Ltd. 258,402 3,117,476 0.1%
# Elite Material Co., Ltd. 434,000 1,063,576 0.0%
# Ennoconn Corp. 41,000 663,455 0.0%
#* Epistar Corp. 1,411,000 1,920,342 0.0%
Eternal Materials Co., Ltd. 1,523,917 1,459,761 0.0%
Eva Airways Corp. 7,272,592 3,905,304 0.1%
* Evergreen Marine Corp. Taiwan, Ltd. 4,633,008 2,343,414 0.0%
Far Eastern New Century Corp. 7,623,085 7,275,786 0.1%
Far EasTone Telecommunications Co., Ltd. 2,601,000 6,881,533 0.1%
Farglory Land Development Co., Ltd. 136,393 149,458 0.0%
Feng TAY Enterprise Co., Ltd. 500,424 2,269,221 0.0%
First Financial Holding Co., Ltd. 14,963,226 10,287,331 0.2%
# FLEXium Interconnect, Inc. 458,000 1,196,832 0.0%
Formosa Chemicals & Fibre Corp. 2,448,518 8,996,223 0.1%
Formosa Petrochemical Corp. 1,719,000 7,014,113 0.1%
Formosa Plastics Corp. 3,419,153 11,998,623 0.2%
Formosa Taffeta Co., Ltd. 1,030,000 1,164,590 0.0%
Foxconn Technology Co., Ltd. 1,305,627 3,241,720 0.1%
Fubon Financial Holding Co., Ltd. 9,281,233 15,878,861 0.3%
# General Interface Solution Holding, Ltd. 368,000 2,202,868 0.0%
* Genius Electronic Optical Co., Ltd. 81,000 953,148 0.0%
Giant Manufacturing Co., Ltd. 489,506 2,486,070 0.0%
# Gigabyte Technology Co., Ltd. 516,000 1,128,282 0.0%
Globalwafers Co., Ltd. 209,000 3,371,701 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
Gourmet Master Co., Ltd. 101,305 $ 1,167,279 0.0%
HannStar Display Corp. 7,103,000 1,947,988 0.0%
# Highwealth Construction Corp. 1,084,190 1,669,201 0.0%
Hiwin Technologies Corp. 197,925 2,981,526 0.1%
Hon Hai Precision Industry Co., Ltd. 17,063,653 47,460,530 0.8%
# Hota Industrial Manufacturing Co., Ltd. 290,235 1,275,808 0.0%
Hotai Motor Co., Ltd. 366,000 3,587,475 0.1%
#* HTC Corp. 399,235 809,404 0.0%
Hua Nan Financial Holdings Co., Ltd. 11,793,307 7,131,801 0.1%
# Innolux Corp. 29,692,241 11,049,261 0.2%
# Inventec Corp. 5,034,551 3,814,389 0.1%
Kenda Rubber Industrial Co., Ltd. 820,377 947,789 0.0%
King Slide Works Co., Ltd. 57,000 805,495 0.0%
King Yuan Electronics Co., Ltd. 1,471,000 1,451,013 0.0%
King's Town Bank Co., Ltd. 1,560,000 1,868,579 0.0%
# Kinsus Interconnect Technology Corp. 365,000 599,596 0.0%
# Largan Precision Co., Ltd. 133,860 15,569,017 0.3%
LCY Chemical Corp. 817,123 1,210,962 0.0%
Lien Hwa Industrial Corp. 76,000 97,024 0.0%
Lite-On Technology Corp. 4,381,410 5,781,759 0.1%
# Long Chen Paper Co., Ltd. 1,312,509 1,531,446 0.0%
* Macronix International 2,561,000 4,068,394 0.1%
MediaTek, Inc. 1,241,995 14,125,959 0.2%
Mega Financial Holding Co., Ltd. 17,457,369 15,411,488 0.3%
Merida Industry Co., Ltd. 145,287 646,849 0.0%
Merry Electronics Co., Ltd. 223,000 1,026,907 0.0%
# Micro-Star International Co., Ltd. 1,080,000 3,373,008 0.1%
Nan Ya Plastics Corp. 3,935,599 10,779,544 0.2%
Nanya Technology Corp. 1,155,010 3,595,407 0.1%
Nien Made Enterprise Co., Ltd. 204,000 1,812,037 0.0%
# Novatek Microelectronics Corp. 883,000 3,706,416 0.1%
Parade Technologies, Ltd. 82,000 1,269,753 0.0%
Pegatron Corp. 4,155,345 9,688,077 0.2%
Phison Electronics Corp. 250,000 2,263,207 0.0%
Pou Chen Corp. 6,059,487 7,577,835 0.1%
Powertech Technology, Inc. 2,217,819 6,348,788 0.1%
Poya International Co., Ltd. 73,275 813,477 0.0%
President Chain Store Corp. 875,831 8,608,945 0.1%
# Qisda Corp. 3,366,000 2,307,077 0.0%
Quanta Computer, Inc. 4,491,000 8,165,183 0.1%
Realtek Semiconductor Corp. 728,950 2,756,671 0.1%
* Ruentex Development Co., Ltd. 1,260,050 1,508,818 0.0%
# Ruentex Industries, Ltd. 704,182 1,364,423 0.0%
# Shin Kong Financial Holding Co., Ltd. 12,037,656 4,892,366 0.1%
Silergy Corp. 55,000 1,150,162 0.0%
* Siliconware Precision Industries Co., Ltd. Sponsored ADR 21,813 189,529 0.0%
Simplo Technology Co., Ltd. 280,000 1,565,453 0.0%
# Sino-American Silicon Products, Inc. 1,338,000 5,742,586 0.1%
SinoPac Financial Holdings Co., Ltd. 15,332,101 5,517,495 0.1%
St Shine Optical Co., Ltd. 58,000 1,554,999 0.0%
Standard Foods Corp. 525,418 1,178,349 0.0%
Synnex Technology International Corp. 1,622,343 2,330,009 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
Taichung Commercial Bank Co., Ltd. 162,383 $ 56,138 0.0%
* TaiMed Biologics, Inc. 109,000 1,132,955 0.0%
Taishin Financial Holding Co., Ltd. 15,320,023 7,444,310 0.1%
# Taiwan Business Bank 5,539,684 1,702,385 0.0%
Taiwan Cement Corp. 5,017,720 6,895,474 0.1%
Taiwan Cooperative Financial Holding Co., Ltd. 13,054,278 7,585,345 0.1%
# Taiwan FamilyMart Co., Ltd. 85,000 508,026 0.0%
Taiwan Fertilizer Co., Ltd. 1,158,000 1,562,728 0.0%
* Taiwan Glass Industry Corp. 2,124,375 1,419,518 0.0%
Taiwan High Speed Rail Corp. 2,031,000 1,560,010 0.0%
Taiwan Mobile Co., Ltd. 2,215,300 8,180,889 0.1%
# Taiwan Paiho, Ltd. 168,000 449,531 0.0%
Taiwan Secom Co., Ltd. 420,670 1,264,344 0.0%
Taiwan Semiconductor Manufacturing Co., Ltd. 23,066,808 175,707,670 2.8%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR 1,815,491 69,805,629 1.1%
#* Tatung Co., Ltd. 3,317,000 2,466,754 0.0%
Teco Electric and Machinery Co., Ltd. 2,649,000 2,150,094 0.0%
Tong Yang Industry Co., Ltd. 693,000 1,248,059 0.0%
#* TPK Holding Co., Ltd. 805,000 1,755,787 0.0%
Transcend Information, Inc. 353,181 995,914 0.0%
Tripod Technology Corp. 821,870 2,486,071 0.0%
Uni-President Enterprises Corp. 6,976,033 16,788,968 0.3%
# United Microelectronics Corp. 31,756,000 17,125,118 0.3%
Vanguard International Semiconductor Corp. 1,270,000 2,574,305 0.0%
Voltronic Power Technology Corp. 64,350 1,145,178 0.0%
Walsin Lihwa Corp. 3,808,000 2,589,146 0.0%
# Walsin Technology Corp. 470,000 2,954,452 0.1%
Wan Hai Lines, Ltd. 1,467,800 846,522 0.0%
# Win Semiconductors Corp. 472,034 3,539,445 0.1%
# Winbond Electronics Corp. 6,587,407 4,031,822 0.1%
Wintek Corp. 604,760 7,013 0.0%
# Wistron Corp. 6,562,940 5,218,870 0.1%
WPG Holdings, Ltd. 2,259,869 3,040,967 0.1%
# Yageo Corp. 202,900 4,252,982 0.1%
Yuanta Financial Holding Co., Ltd. 15,304,806 7,304,253 0.1%
Yulon Motor Co., Ltd. 869,000 662,803 0.0%
Zhen Ding Technology Holding, Ltd. 1,183,700 2,575,692 0.0%
------------ ----
TOTAL TAIWAN 921,764,624 14.4%
------------ ----
THAILAND -- (3.0%)
Advanced Info Service PCL 1,483,600 9,777,845 0.2%
Airports of Thailand PCL 5,701,800 12,872,410 0.2%
Bangchak Corp. PCL 1,521,400 1,747,489 0.0%
Bangkok Bank PCL(6077019) 207,800 1,330,025 0.0%
Bangkok Bank PCL(6368360) 30,080 183,949 0.0%
Bangkok Dusit Medical Services PCL Class F 5,700,500 4,064,045 0.1%
Bangkok Expressway & Metro PCL 10,034,099 2,464,014 0.1%
Bangkok Life Assurance PCL 571,100 655,969 0.0%
Banpu PCL 4,609,350 2,833,377 0.1%
Banpu Power PCL 837,900 655,771 0.0%
Beauty Community PCL 1,589,900 1,173,785 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
THAILAND -- (Continued)
Berli Jucker PCL 1,309,800 $ 2,479,739 0.1%
BTS Group Holdings PCL 3,433,000 973,554 0.0%
Bumrungrad Hospital PCL 402,600 2,423,764 0.1%
Carabao Group PCL Class F 298,700 511,084 0.0%
Central Pattana PCL 1,851,100 4,736,259 0.1%
Central Plaza Hotel PCL 979,500 1,629,396 0.0%
CH Karnchang PCL 500,300 380,456 0.0%
Charoen Pokphand Foods PCL 7,457,800 5,789,483 0.1%
CP ALL PCL 5,252,500 14,479,325 0.2%
Delta Electronics Thailand PCL 673,200 1,434,496 0.0%
Electricity Generating PCL 194,500 1,374,319 0.0%
Energy Absolute PCL Class F 2,027,900 2,313,194 0.0%
* Esso Thailand PCL 2,616,000 1,483,726 0.0%
Global Power Synergy PCL Class F 530,900 1,270,055 0.0%
Glow Energy PCL 737,100 2,014,413 0.0%
Home Product Center PCL 8,486,513 4,033,514 0.1%
Indorama Ventures PCL 1,976,800 3,773,834 0.1%
Intouch Holdings PCL 571,300 1,040,867 0.0%
IRPC PCL 10,607,100 2,369,457 0.0%
Jasmine International PCL 5,215,000 966,659 0.0%
Kasikornbank PCL(6888794) 990,400 6,307,681 0.1%
Kasikornbank PCL(6364766) 75,400 467,069 0.0%
Kiatnakin Bank PCL 632,100 1,477,103 0.0%
Krung Thai Bank PCL 5,149,187 2,969,430 0.1%
Krungthai Card PCL 190,400 2,208,061 0.0%
Land & Houses PCL(6581941) 3,568,340 1,243,718 0.0%
Land & Houses PCL(6581930) 790,000 275,349 0.0%
Minor International PCL 1,994,970 2,544,282 0.1%
MK Restaurants Group PCL 508,200 1,292,239 0.0%
Muangthai Leasing PCL Class F 1,040,600 1,203,482 0.0%
Pruksa Holding PCL 1,867,300 1,319,417 0.0%
PTT Exploration & Production PCL 1,900,155 8,067,832 0.1%
PTT Global Chemical PCL 2,436,872 7,566,966 0.1%
PTT PCL 16,434,000 29,420,817 0.5%
Ratchaburi Electricity Generating Holding PCL 661,500 1,095,164 0.0%
Robinson PCL 352,800 735,000 0.0%
Siam Cement PCL (The)(6609906) 172,700 2,560,951 0.1%
Siam Cement PCL (The)(6609928) 230,100 3,412,129 0.1%
Siam City Cement PCL 119,867 934,324 0.0%
Siam Commercial Bank PCL (The) 1,116,866 4,635,914 0.1%
Siam Global House PCL 2,170,633 1,121,081 0.0%
Srisawad Corp. PCL 587,000 967,174 0.0%
Star Petroleum Refining PCL 4,020,900 2,000,258 0.0%
Thai Oil PCL 1,864,000 5,566,603 0.1%
Thai Union Group PCL Class F 2,117,640 1,207,779 0.0%
Thanachart Capital PCL 1,561,100 2,658,717 0.1%
Tisco Financial Group PCL 403,600 1,134,965 0.0%
TMB Bank PCL 18,593,800 1,390,411 0.0%
Total Access Communication PCL(B1YWK08) 1,459,300 2,358,184 0.0%
Total Access Communication PCL(B231MK7) 551,500 891,207 0.0%
TPI Polene PCL 2,289,800 137,127 0.0%
True Corp. PCL 20,435,331 4,921,056 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
THAILAND -- (Continued)
TTW PCL 581,700 $ 228,551 0.0%
WHA Corp. PCL 3,611,100 453,104 0.0%
-------------- ----
TOTAL THAILAND 198,009,418 3.1%
-------------- ----
TURKEY -- (1.1%)
Akbank Turk A.S. 2,070,078 4,307,156 0.1%
Anadolu Efes Biracilik Ve Malt Sanayii A.S. 248,847 1,633,115 0.0%
# Arcelik A.S. 311,045 1,386,910 0.0%
Aselsan Elektronik Sanayi Ve Ticaret A.S. 93,060 576,049 0.0%
BIM Birlesik Magazalar A.S. 342,629 5,821,488 0.1%
Coca-Cola Icecek A.S. 163,722 1,442,438 0.0%
# Enka Insaat ve Sanayi A.S. 589,794 709,688 0.0%
Eregli Demir ve Celik Fabrikalari TAS 2,461,933 6,145,568 0.1%
Ford Otomotiv Sanayi A.S. 126,138 1,736,500 0.0%
KOC Holding A.S. 1,011,450 3,417,049 0.1%
Petkim Petrokimya Holding A.S. 1,186,034 2,096,135 0.0%
TAV Havalimanlari Holding A.S. 393,004 2,115,375 0.1%
Tofas Turk Otomobil Fabrikasi A.S. 212,178 1,307,530 0.0%
Tupras Turkiye Petrol Rafinerileri A.S. 248,087 6,341,653 0.1%
* Turk Hava Yollari AO 1,457,515 6,020,494 0.1%
#* Turk Telekomunikasyon A.S. 802,767 1,243,933 0.0%
Turkcell Iletisim Hizmetleri A.S. 1,578,005 5,433,348 0.1%
# Turkcell Iletisim Hizmetleri A.S. ADR 73,838 638,699 0.0%
Turkiye Garanti Bankasi A.S. 2,586,760 5,857,536 0.1%
# Turkiye Halk Bankasi A.S. 819,488 1,676,665 0.0%
Turkiye Is Bankasi 3,915,782 5,933,453 0.1%
Turkiye Sise ve Cam Fabrikalari A.S. 1,476,715 1,640,988 0.0%
# Turkiye Vakiflar Bankasi TAO 1,893,088 2,785,470 0.1%
Ulker Biskuvi Sanayi A.S. 244,375 1,281,040 0.0%
#* Yapi ve Kredi Bankasi A.S. 1,248,055 1,222,286 0.0%
-------------- ----
TOTAL TURKEY 72,770,566 1.1%
-------------- ----
TOTAL COMMON STOCKS 6,130,038,172 96.0%
-------------- ----
PREFERRED STOCKS -- (2.4%)
BRAZIL -- (2.3%)
Banco Bradesco SA 2,718,984 26,831,262 0.4%
Banco Bradesco SA ADR 1,056,734 10,355,993 0.2%
Centrais Eletricas Brasileiras SA Class B 162,432 1,057,162 0.0%
Cia Brasileira de Distribuicao 243,459 5,471,434 0.1%
Gerdau SA 924,321 4,393,111 0.1%
Itau Unibanco Holding SA 4,057,827 59,085,909 0.9%
Lojas Americanas SA 429,871 2,448,026 0.0%
* Petroleo Brasileiro SA 2,860,161 18,753,682 0.3%
#* Petroleo Brasileiro SA Sponsored ADR 1,299,604 17,089,793 0.3%
Telefonica Brasil SA 339,962 4,768,706 0.1%
Usinas Siderurgicas de Minas Gerais SA Class A 639,400 1,989,455 0.0%
-------------- ----
TOTAL BRAZIL 152,244,533 2.4%
-------------- ----
CHILE -- (0.0%)
Embotelladora Andina SA Class B 175,781 874,139 0.0%
-------------- ----
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
COLOMBIA -- (0.1%)
Banco Davivienda SA 178,070 $ 2,140,171 0.1%
Bancolombia SA 30,330 359,560 0.0%
Grupo Argos SA 55,405 327,425 0.0%
Grupo Aval Acciones y Valores SA 3,848,843 1,692,203 0.0%
Grupo de Inversiones Suramericana SA 111,644 1,450,720 0.0%
-------------- -----
TOTAL COLOMBIA 5,970,079 0.1%
-------------- -----
MALAYSIA -- (0.0%)
SP Setia Bhd Group, 5.930% 407,394 90,595 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
* Mirae Asset Daewoo Co., Ltd. 64,828 280,119 0.0%
-------------- -----
TOTAL PREFERRED STOCKS 159,459,465 2.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
MALAYSIA -- (0.0%)
* Sunway Bhd Warrants 10/03/24 346,323 34,866 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 6,289,532,503
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (4.2%)
(S)@ DFA Short Term Investment Fund 23,593,302 272,974,500 4.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $4,166,657,005) $6,562,507,003 102.8%
============== =====
At April 30, 2018, The Emerging Markets Series had entered into the following
outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R) 650 06/15/18 $39,273,725 $37,446,500 $(1,827,225)
S&P 500(R) Emini Index 54 06/15/18 6,989,630 7,146,900 157,270
----------- ----------- -----------
TOTAL FUTURES CONTRACTS $46,263,355 $44,593,400 $(1,669,955)
=========== =========== ===========
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Brazil $ 335,228,668 -- -- $ 335,228,668
Chile 45,788,299 $ 46,195,259 -- 91,983,558
China 270,654,834 812,719,511 -- 1,083,374,345
Colombia 29,163,315 -- -- 29,163,315
Czech Republic -- 11,320,543 -- 11,320,543
Egypt 660,723 7,206,755 -- 7,867,478
Greece -- 16,993,952 -- 16,993,952
Hungary -- 29,526,615 -- 29,526,615
India 30,293,727 739,949,886 -- 770,243,613
Indonesia 5,361,928 149,784,876 -- 155,146,804
Malaysia -- 195,570,071 -- 195,570,071
Mexico 245,635,274 -- -- 245,635,274
Peru 21,124,730 -- -- 21,124,730
Philippines 1,771,538 79,591,778 -- 81,363,316
Poland -- 103,007,068 -- 103,007,068
Russia 7,053,643 91,661,700 -- 98,715,343
South Africa 55,434,585 467,348,774 -- 522,783,359
South Korea 29,636,122 1,108,809,390 -- 1,138,445,512
Taiwan 101,175,018 820,589,606 -- 921,764,624
Thailand 198,009,418 -- -- 198,009,418
Turkey 638,699 72,131,867 -- 72,770,566
Preferred Stocks
Brazil 152,244,533 -- -- 152,244,533
Chile -- 874,139 -- 874,139
Colombia 5,970,079 -- -- 5,970,079
Malaysia 90,595 -- -- 90,595
South Korea 280,119 -- -- 280,119
Rights/Warrants
Malaysia -- 34,866 -- 34,866
Securities Lending Collateral -- 272,974,500 -- 272,974,500
Futures Contracts** (1,669,955) -- -- (1,669,955)
-------------- -------------- -- --------------
TOTAL $1,534,545,892 $5,026,291,156 -- $6,560,837,048
============== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (92.0%)
BRAZIL -- (6.4%)
AES Tiete Energia SA(BZ8W2L7) 2,010,997 $ 6,544,121 0.1%
AES Tiete Energia SA(BZ8W2J5) 878 584 0.0%
Aliansce Shopping Centers SA 1,135,066 5,576,183 0.1%
* Alliar Medicos A Frente SA 118,800 492,061 0.0%
Alupar Investimento SA 1,305,002 6,485,523 0.1%
Anima Holding SA 285,200 1,668,931 0.0%
Arezzo Industria e Comercio SA 472,135 7,140,247 0.1%
* B2W Cia Digital 1,578,484 13,021,866 0.2%
* Biosev SA 2,500 2,833 0.0%
BR Malls Participacoes SA 7,687,922 23,964,406 0.3%
BR Properties SA 733,853 1,864,379 0.0%
* Brasil Brokers Participacoes SA 2,855,468 456,458 0.0%
BrasilAgro - Co. Brasileira de Propriedades Agricolas 222,542 846,158 0.0%
Cia de Locacao das Americas 94,100 816,579 0.0%
Cia de Saneamento de Minas Gerais-COPASA 638,992 9,193,080 0.1%
Cia de Saneamento do Parana 139,787 2,354,257 0.0%
* Cia Energetica de Minas Gerais 649,989 1,428,670 0.0%
Cia Hering 1,540,736 8,400,336 0.1%
Cia Paranaense de Energia 169,800 1,108,023 0.0%
Cia Paranaense de Energia Sponsored ADR 127,664 979,183 0.0%
* Cia Siderurgica Nacional SA 4,766,830 11,947,011 0.2%
* Construtora Tenda SA 516,135 3,758,450 0.1%
* Cosan Logistica SA 634,862 1,975,336 0.0%
CSU Cardsystem SA 143,535 415,871 0.0%
CVC Brasil Operadora e Agencia de Viagens SA 312,586 5,174,373 0.1%
Cyrela Brazil Realty SA Empreendimentos e Participacoes 2,696,667 10,699,838 0.1%
Cyrela Commercial Properties SA Empreendimentos e
Participacoes 41,900 137,546 0.0%
Dimed SA Distribuidora da Medicamentos 1,100 117,906 0.0%
* Direcional Engenharia SA 1,125,009 1,955,728 0.0%
Duratex SA 3,220,733 9,837,247 0.1%
EcoRodovias Infraestrutura e Logistica SA 2,475,007 7,029,664 0.1%
EDP - Energias do Brasil SA 3,335,614 13,225,530 0.2%
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 993,699 9,689,643 0.1%
Embraer SA ADR 261,258 6,588,927 0.1%
Energisa SA 534,380 5,053,668 0.1%
* Eneva SA 225,100 854,599 0.0%
Equatorial Energia SA 1,951,558 39,636,147 0.5%
Estacio Participacoes SA 3,387,190 30,843,618 0.4%
* Eternit SA 883,978 179,157 0.0%
* Even Construtora e Incorporadora SA 2,184,488 2,824,769 0.0%
Ez Tec Empreendimentos e Participacoes SA 738,642 4,238,042 0.1%
Fleury SA 1,626,029 12,119,096 0.2%
Fras-Le SA 215,060 337,029 0.0%
* Gafisa SA 284,570 956,906 0.0%
# Gafisa SA ADR 73,263 498,921 0.0%
#* Gol Linhas Aereas Inteligentes SA ADR 335,128 3,669,652 0.1%
Grendene SA 922,817 7,199,300 0.1%
Guararapes Confeccoes SA 83,800 3,277,175 0.1%
* Helbor Empreendimentos SA 2,569,948 1,063,720 0.0%
Iguatemi Empresa de Shopping Centers SA 1,216,795 12,399,972 0.2%
Industrias Romi SA 86,800 200,201 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
BRAZIL -- (Continued)
Instituto Hermes Pardini SA 98,900 $ 733,732 0.0%
International Meal Co. Alimentacao SA 1,180,495 2,746,356 0.0%
Iochpe-Maxion SA 1,140,852 9,151,045 0.1%
* JHSF Participacoes SA 890,347 426,976 0.0%
* JSL SA 584,907 1,177,094 0.0%
* Kepler Weber SA 135,346 461,688 0.0%
Light SA 723,407 3,621,991 0.1%
Linx SA 1,016,436 6,487,642 0.1%
Localiza Rent a Car SA 2,339,234 18,623,326 0.2%
Magnesita Refratarios SA 371,991 6,105,696 0.1%
Mahle-Metal Leve SA 500,114 3,504,738 0.1%
Marcopolo SA 373,900 346,876 0.0%
* Marfrig Global Foods SA 2,412,440 5,454,021 0.1%
* Marisa Lojas SA 768,020 1,291,287 0.0%
* Mills Estruturas e Servicos de Engenharia SA 1,109,308 1,101,962 0.0%
Minerva SA 1,003,369 2,348,603 0.0%
MRV Engenharia e Participacoes SA 2,678,860 11,470,341 0.2%
Multiplan Empreendimentos Imobiliarios SA 252,055 4,786,109 0.1%
Multiplus SA 454,184 3,707,942 0.1%
Natura Cosmeticos SA 238,818 2,195,800 0.0%
Odontoprev SA 2,653,921 11,386,285 0.2%
* Paranapanema SA 1,823,443 671,455 0.0%
* Petro Rio SA 39,000 808,678 0.0%
Porto Seguro SA 691,743 8,925,207 0.1%
Portobello SA 821,551 1,205,404 0.0%
* Profarma Distribuidora de Produtos Farmaceuticos SA 77,402 124,835 0.0%
QGEP Participacoes SA 845,794 3,083,121 0.0%
Qualicorp SA 2,251,805 15,651,819 0.2%
* Renova Energia SA 23,000 16,939 0.0%
* Restoque Comercio e Confeccoes de Roupas SA 137,181 1,193,556 0.0%
* RNI Negocios Imobiliarios SA 83,638 134,654 0.0%
* Santos Brasil Participacoes SA 2,613,040 2,468,932 0.0%
Sao Carlos Empreendimentos e Participacoes SA 78,309 827,082 0.0%
Sao Martinho SA 1,514,386 7,340,224 0.1%
Ser Educacional SA 537,517 2,547,038 0.0%
SLC Agricola SA 632,873 8,078,922 0.1%
Smiles Fidelidade SA 505,800 10,395,524 0.1%
Sonae Sierra Brasil SA 257,946 1,649,346 0.0%
* Springs Global Participacoes SA 125,500 338,899 0.0%
Sul America SA 2,893,754 17,858,801 0.2%
T4F Entretenimento SA 260,100 743,206 0.0%
* Technos SA 286,300 219,841 0.0%
* Tecnisa SA 1,488,036 671,128 0.0%
Tegma Gestao Logistica SA 142,902 938,620 0.0%
* Terra Santa Agro SA 4,000 16,100 0.0%
Totvs SA 1,014,426 9,266,282 0.1%
TPI - Triunfo Participacoes e Investimentos SA 329,501 234,202 0.0%
Transmissora Alianca de Energia Eletrica SA 2,532,218 15,389,050 0.2%
Tupy SA 472,089 2,546,952 0.0%
Usinas Siderurgicas de Minas Gerais SA 42,600 156,260 0.0%
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao S.A 778,475 4,066,594 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
BRAZIL -- (Continued)
Via Varejo SA(B7VY430) 205,862 $ 476,576 0.0%
Via Varejo SA(BGSHPP4) 1,547,219 13,139,348 0.2%
* Vulcabras Azaleia SA 466,000 1,114,718 0.0%
Wiz Solucoes e Corretagem de Seguros SA 404,644 1,150,449 0.0%
------------ ---
TOTAL BRAZIL 530,828,192 6.8%
------------ ---
CHILE -- (1.6%)
AES Gener SA 4,463,882 1,250,902 0.0%
Banvida SA 28,774 22,763 0.0%
Besalco SA 2,961,810 3,411,493 0.1%
CAP SA 725,630 8,420,152 0.1%
Cementos BIO BIO SA 352,724 531,922 0.0%
* Cia Pesquera Camanchaca SA 657,125 67,598 0.0%
* Cia Sud Americana de Vapores SA 166,163,659 7,434,121 0.1%
Clinica LAS Condes SA 2,364 140,705 0.0%
Cristalerias de Chile SA 130,323 1,287,579 0.0%
# Embotelladora Andina SA Class B ADR 20,933 630,711 0.0%
Empresa Nacional de Telecomunicaciones SA 712,408 8,396,037 0.1%
* Empresas AquaChile SA 1,421,706 896,174 0.0%
Empresas Hites SA 1,227,475 1,256,414 0.0%
* Empresas La Polar SA 19,698,286 1,596,558 0.0%
Empresas Lipigas SA 1,019 9,299 0.0%
Engie Energia Chile SA 5,751,282 12,401,303 0.2%
* Enjoy SA 2,562,139 241,302 0.0%
Forus SA 821,357 3,078,704 0.1%
Grupo Security SA 6,007,122 3,053,397 0.0%
Hortifrut SA 21,005 70,782 0.0%
Instituto de Diagnostico SA 2,928 11,875 0.0%
Inversiones Aguas Metropolitanas SA 3,875,679 7,302,033 0.1%
Inversiones La Construccion SA 315,084 6,241,574 0.1%
* Masisa SA 19,436,071 1,803,248 0.0%
Multiexport Foods SA 4,697,961 2,480,569 0.0%
Parque Arauco SA 6,109,643 19,078,415 0.3%
PAZ Corp. SA 1,318,253 2,071,346 0.0%
Ripley Corp. SA 9,177,741 9,946,851 0.1%
Salfacorp SA 3,382,346 6,475,117 0.1%
Sigdo Koppers SA 934,500 1,783,274 0.0%
* SMU SA 305,629 96,660 0.0%
Sociedad Matriz SAAM SA 38,537,551 4,010,045 0.1%
Socovesa SA 3,120,839 2,088,057 0.0%
Sonda SA 3,439,792 6,331,496 0.1%
Vina Concha y Toro SA 4,512,422 10,296,144 0.1%
------------ ---
TOTAL CHILE 134,214,620 1.7%
------------ ---
CHINA -- (16.2%)
* 21Vianet Group, Inc. ADR 572,261 3,015,815 0.1%
# 361 Degrees International, Ltd. 5,552,000 1,755,510 0.0%
#* 3SBio, Inc. 4,617,500 9,921,466 0.1%
#* 500.com, Ltd. Class A ADR 133,502 2,436,411 0.0%
#* 51job, Inc. ADR 117,722 9,716,774 0.1%
* A8 New Media Group, Ltd. 5,228,000 287,825 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
* Advanced Semiconductor Manufacturing Corp., Ltd. Class H 1,112,000 $ 125,233 0.0%
Agile Group Holdings, Ltd. 1,101,500 2,172,811 0.0%
Ajisen China Holdings, Ltd. 4,260,000 2,017,143 0.0%
* AKM Industrial Co., Ltd. 2,660,000 489,177 0.0%
#* Alibaba Pictures Group, Ltd. 53,690,000 6,047,991 0.1%
AMVIG Holdings, Ltd. 2,508,000 644,774 0.0%
Anhui Expressway Co., Ltd. Class H 2,926,000 2,163,156 0.0%
#* Anton Oilfield Services Group 12,730,000 1,782,070 0.0%
* Anxin-China Holdings, Ltd. 16,347,000 150,377 0.0%
* Aowei Holdings, Ltd. 1,833,000 454,473 0.0%
* Art Group Holdings, Ltd. 320,000 12,415 0.0%
Asia Cement China Holdings Corp. 3,072,500 1,645,032 0.0%
* Asian Citrus Holdings, Ltd. 2,314,000 33,168 0.0%
ATA, Inc. ADR 1,400 7,252 0.0%
# Ausnutria Dairy Corp., Ltd. 1,246,000 1,382,813 0.0%
#* AVIC International Holding HK, Ltd. 43,771,722 1,850,814 0.0%
# AVIC International Holdings, Ltd. Class H 1,960,000 1,349,451 0.0%
AviChina Industry & Technology Co., Ltd. Class H 12,524,000 7,896,411 0.1%
BAIOO Family Interactive, Ltd. 5,960,000 361,136 0.0%
Bank of Chongqing Co., Ltd. Class H 2,439,500 1,843,942 0.0%
Bank of Zhengzhou Co., Ltd. Class H 105,000 49,597 0.0%
* Baofeng Modern International Holdings Co., Ltd. 234,000 16,129 0.0%
* Baoye Group Co., Ltd. Class H 1,758,000 1,167,533 0.0%
#* Baozun, Inc. Sponsored ADR 136,671 6,285,499 0.1%
BBI Life Sciences Corp. 1,299,000 535,106 0.0%
Beijing Capital Land, Ltd. Class H 8,706,500 4,636,756 0.1%
#* Beijing Enterprises Clean Energy Group, Ltd. 52,988,570 1,620,730 0.0%
#* Beijing Enterprises Environment Group, Ltd. 625,000 71,211 0.0%
#* Beijing Enterprises Medical & Health Group, Ltd. 30,162,000 1,529,649 0.0%
Beijing Enterprises Water Group, Ltd. 3,972,000 2,306,073 0.0%
Beijing Jingneng Clean Energy Co., Ltd. Class H 10,584,000 2,659,304 0.0%
# Beijing North Star Co., Ltd. Class H 6,030,000 2,147,700 0.0%
#* Beijing Properties Holdings, Ltd. 10,632,000 383,973 0.0%
Beijing Urban Construction Design & Development Group Co.,
Ltd. Class H 2,032,000 1,001,101 0.0%
# Best Pacific International Holdings, Ltd. 2,128,000 838,127 0.0%
* BII Railway Transportation Technology Holdings Co., Ltd. 2,636,000 213,734 0.0%
Billion Industrial Holdings, Ltd. 64,000 83,623 0.0%
* Bitauto Holdings, Ltd. ADR 175,017 3,705,110 0.1%
#* Boer Power Holdings, Ltd. 2,836,000 542,964 0.0%
Bosideng International Holdings, Ltd. 20,196,000 2,073,709 0.0%
#* Boyaa Interactive International, Ltd. 3,206,000 1,254,659 0.0%
Brilliant Circle Holdings International, Ltd. 250,000 36,848 0.0%
# BYD Electronic International Co., Ltd. 540,000 823,395 0.0%
* C C Land Holdings, Ltd. 15,497,015 3,533,584 0.1%
#* C.banner International Holdings, Ltd. 4,867,000 1,520,268 0.0%
Cabbeen Fashion, Ltd. 1,566,000 549,917 0.0%
# Canvest Environmental Protection Group Co., Ltd. 4,729,000 2,623,663 0.0%
* Capital Environment Holdings, Ltd. 21,762,000 728,598 0.0%
#* CAR, Inc. 5,982,000 5,704,248 0.1%
#* Carnival Group International Holdings, Ltd. 25,900,000 1,136,189 0.0%
Carrianna Group Holdings Co., Ltd. 2,031,257 283,606 0.0%
* CECEP COSTIN New Materials Group, Ltd. 4,494,000 64,416 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
# Central China Real Estate, Ltd. 6,614,626 $ 3,019,327 0.1%
# Central China Securities Co., Ltd. Class H 4,305,000 1,641,200 0.0%
* Century Sunshine Group Holdings, Ltd. 12,725,000 396,318 0.0%
#* CGN Meiya Power Holdings Co., Ltd. 9,134,000 1,228,553 0.0%
Changshouhua Food Co., Ltd. 1,773,000 843,261 0.0%
Changyou.com, Ltd. ADR 79,825 1,519,070 0.0%
# Chaowei Power Holdings, Ltd. 4,529,000 2,529,089 0.0%
* Cheetah Mobile, Inc. ADR 205,689 2,758,289 0.0%
* Chigo Holding, Ltd. 20,666,000 253,906 0.0%
#* Chiho Environmental Group, Ltd. 2,108,000 1,032,236 0.0%
# China Aerospace International Holdings, Ltd. 17,454,500 1,861,301 0.0%
China Agri-Industries Holdings, Ltd. 14,885,800 6,247,841 0.1%
# China Aircraft Leasing Group Holdings, Ltd. 1,627,500 1,734,904 0.0%
China All Access Holdings, Ltd. 6,278,000 1,638,042 0.0%
China Aluminum Cans Holdings, Ltd. 432,000 55,858 0.0%
* China Animal Healthcare, Ltd. 3,671,000 216,966 0.0%
# China Animation Characters Co., Ltd. 5,686,000 1,935,113 0.0%
China Aoyuan Property Group, Ltd. 8,910,000 7,157,837 0.1%
* China Beidahuang Industry Group Holdings, Ltd. 4,032,000 174,309 0.0%
China BlueChemical, Ltd. Class H 12,878,000 3,384,669 0.1%
#* China Chengtong Development Group, Ltd. 2,628,000 125,299 0.0%
* China City Infrastructure Group, Ltd. 1,220,000 53,764 0.0%
China Communications Services Corp., Ltd. Class H 15,302,000 9,606,895 0.1%
China Conch Venture Holdings, Ltd. 5,373,000 16,680,779 0.2%
China Datang Corp. Renewable Power Co., Ltd. Class H 15,306,000 3,163,479 0.1%
* China Daye Non-Ferrous Metals Mining, Ltd. 7,434,000 77,699 0.0%
China Distance Education Holdings, Ltd. ADR 19,412 152,967 0.0%
China Dongxiang Group Co., Ltd. 24,303,985 4,448,633 0.1%
#* China Dynamics Holdings, Ltd. 10,040,000 196,597 0.0%
# China Electronics Huada Technology Co., Ltd. 5,858,000 928,340 0.0%
# China Electronics Optics Valley Union Holding Co., Ltd. 14,592,000 1,201,152 0.0%
#* China Energine International Holding, Ltd. 6,166,000 254,305 0.0%
China Everbright, Ltd. 6,106,000 13,436,651 0.2%
* China Fiber Optic Network System Group, Ltd. 9,639,999 161,267 0.0%
China Financial Services Holdings, Ltd. 7,270,000 646,473 0.0%
* China Fire Safety Enterprise Group, Ltd. 9,220,000 425,968 0.0%
# China Foods, Ltd. 7,158,000 3,285,890 0.1%
#* China Glass Holdings, Ltd. 4,632,000 421,917 0.0%
#* China Grand Pharmaceutical and Healthcare Holdings, Ltd.
Class A 4,428,000 3,304,127 0.1%
China Greenfresh Group Co., Ltd. 2,904,000 436,661 0.0%
# China Greenland Broad Greenstate Group Co., Ltd. 5,628,000 719,296 0.0%
China Hanking Holdings, Ltd. 4,368,000 600,812 0.0%
#* China Harmony New Energy Auto Holding, Ltd. 6,001,000 3,375,116 0.1%
* China High Precision Automation Group, Ltd. 1,289,000 37,568 0.0%
# China High Speed Transmission Equipment Group Co., Ltd. 2,578,000 3,754,999 0.1%
* China Huiyuan Juice Group, Ltd. 4,929,500 1,268,701 0.0%
* China ITS Holdings Co., Ltd. 3,835,412 200,355 0.0%
China Jinmao Holdings Group, Ltd. 27,318,300 15,464,229 0.2%
China Lesso Group Holdings, Ltd. 7,387,000 5,693,355 0.1%
China Lilang, Ltd. 3,849,000 4,827,109 0.1%
#* China Logistics Property Holdings Co., Ltd. 682,000 238,630 0.0%
#* China Longevity Group Co., Ltd. 1,076,350 35,245 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
#* China LotSynergy Holdings, Ltd. 32,400,000 $ 582,297 0.0%
China Machinery Engineering Corp. Class H 6,714,000 3,900,683 0.1%
China Maple Leaf Educational Systems, Ltd. 4,134,000 5,728,344 0.1%
China Medical System Holdings, Ltd. 5,765,500 14,118,415 0.2%
China Meidong Auto Holdings, Ltd. 2,292,000 999,503 0.0%
# China Merchants Land, Ltd. 11,794,000 2,475,240 0.0%
#* China Minsheng Financial Holding Corp., Ltd. 3,040,000 91,610 0.0%
* China Modern Dairy Holdings, Ltd. 2,937,000 498,128 0.0%
# China National Building Material Co., Ltd. Class H 29,402,450 34,350,703 0.5%
#* China New Town Development Co., Ltd. 11,720,648 416,058 0.0%
# China NT Pharma Group Co., Ltd. 5,642,000 1,388,308 0.0%
* China Nuclear Energy Technology Corp., Ltd. 3,192,000 546,802 0.0%
* China Oceanwide Holdings, Ltd. 4,994,000 272,303 0.0%
China Oil & Gas Group, Ltd. 32,918,000 2,458,743 0.0%
#* China Online Education Group ADR 11,484 128,161 0.0%
# China Oriental Group Co., Ltd. 3,590,000 2,572,573 0.0%
* China Outfitters Holdings, Ltd. 24,000 827 0.0%
China Overseas Grand Oceans Group, Ltd. 13,020,749 5,652,233 0.1%
# China Overseas Property Holdings, Ltd. 10,065,000 3,008,233 0.1%
China Pioneer Pharma Holdings, Ltd. 3,489,000 1,121,791 0.0%
# China Power Clean Energy Development Co., Ltd. 3,760,499 2,139,723 0.0%
# China Power International Development, Ltd. 31,014,333 8,313,781 0.1%
* China Properties Group, Ltd. 2,751,000 528,475 0.0%
* China Rare Earth Holdings, Ltd. 7,810,799 466,176 0.0%
China Resources Cement Holdings, Ltd. 17,538,000 18,398,730 0.2%
# China Resources Phoenix Healthcare Holdings Co., Ltd. 3,464,000 4,527,660 0.1%
#* China Ruifeng Renewable Energy Holdings, Ltd. 5,192,000 456,327 0.0%
* China Rundong Auto Group, Ltd. 160,000 65,064 0.0%
* China Saite Group Co., Ltd. 2,376,000 156,969 0.0%
* China Sandi Holdings, Ltd. 132,000 7,034 0.0%
China Sanjiang Fine Chemicals Co., Ltd. 5,457,000 2,101,551 0.0%
China SCE Property Holdings, Ltd. 10,374,200 5,205,901 0.1%
#* China Shengmu Organic Milk, Ltd. 9,035,000 1,053,034 0.0%
China Shineway Pharmaceutical Group, Ltd. 2,902,200 5,951,442 0.1%
# China Silver Group, Ltd. 7,396,000 1,360,055 0.0%
# China Singyes Solar Technologies Holdings, Ltd. 4,487,040 1,616,088 0.0%
# China South City Holdings, Ltd. 23,892,000 5,194,774 0.1%
China Starch Holdings, Ltd. 7,990,000 303,583 0.0%
China Sunshine Paper Holdings Co., Ltd. 1,908,000 546,720 0.0%
China Suntien Green Energy Corp., Ltd. Class H 11,172,000 3,735,411 0.1%
* China Taifeng Beddings Holdings, Ltd. 1,336,000 34,470 0.0%
China Tian Lun Gas Holdings, Ltd. 1,747,500 1,202,012 0.0%
# China Traditional Chinese Medicine Holdings Co., Ltd. 12,676,000 10,899,864 0.2%
China Travel International Investment Hong Kong, Ltd. 17,251,900 6,432,289 0.1%
# China Vast Industrial Urban Development Co., Ltd. 1,537,000 789,906 0.0%
China Water Affairs Group, Ltd. 6,844,000 6,495,300 0.1%
#* China Water Industry Group, Ltd. 8,460,000 1,742,054 0.0%
China Wood Optimization Holding, Ltd. 2,376,000 635,501 0.0%
China XLX Fertiliser, Ltd. 2,016,000 792,764 0.0%
#* China Yurun Food Group, Ltd. 10,907,000 1,713,440 0.0%
# China ZhengTong Auto Services Holdings, Ltd. 6,456,000 5,220,557 0.1%
# China Zhongwang Holdings, Ltd. 11,651,600 6,528,267 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Chinasoft International, Ltd. 15,102,000 $11,098,656 0.2%
Chongqing Machinery & Electric Co., Ltd. Class H 8,914,000 859,027 0.0%
* Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 2,662,000 280,639 0.0%
Chu Kong Shipping Enterprise Group Co., Ltd. 1,366,000 350,346 0.0%
CIFI Holdings Group Co., Ltd. 19,426,000 15,296,956 0.2%
#* CIMC Enric Holdings, Ltd. 5,278,000 5,459,444 0.1%
* CITIC Dameng Holdings, Ltd. 6,291,000 314,025 0.0%
# CITIC Resources Holdings, Ltd. 18,826,600 2,120,427 0.0%
# Citychamp Watch & Jewellery Group, Ltd. 11,676,000 2,495,400 0.0%
Clear Media, Ltd. 383,000 292,789 0.0%
* Coastal Greenland, Ltd. 5,730,000 259,852 0.0%
* COFCO Meat Holdings, Ltd. 1,651,000 255,785 0.0%
# Cogobuy Group 4,806,000 2,324,289 0.0%
# Colour Life Services Group Co., Ltd. 1,883,000 1,602,167 0.0%
Comba Telecom Systems Holdings, Ltd. 10,949,338 1,555,986 0.0%
* Comtec Solar Systems Group, Ltd. 4,958,000 114,250 0.0%
Concord New Energy Group, Ltd. 40,674,964 1,910,985 0.0%
Consun Pharmaceutical Group, Ltd. 3,182,000 3,428,891 0.1%
#* Coolpad Group, Ltd. 20,467,606 200,583 0.0%
#* COSCO SHIPPING Development Co., Ltd. Class H 5,994,000 1,110,019 0.0%
COSCO SHIPPING Energy Transportation Co., Ltd. Class H 9,880,000 4,878,673 0.1%
# COSCO SHIPPING International Hong Kong Co., Ltd. 3,777,000 1,501,388 0.0%
COSCO SHIPPING Ports, Ltd. 9,730,469 8,557,700 0.1%
* Coslight Technology International Group Co., Ltd. 1,168,000 461,575 0.0%
# Cosmo Lady China Holdings Co., Ltd. 4,637,000 2,968,413 0.1%
CP Pokphand Co., Ltd. 42,714,594 3,848,207 0.1%
# CPMC Holdings, Ltd. 2,311,000 1,424,770 0.0%
# CRCC High-Tech Equipment Corp., Ltd. Class H 3,707,500 817,562 0.0%
* CSMall Group, Ltd. 123,266 27,484 0.0%
# CSSC Offshore and Marine Engineering Group Co., Ltd. Class H 1,100,000 1,429,797 0.0%
# CT Environmental Group, Ltd. 21,818,000 3,319,639 0.1%
#* CWT International, Ltd. 24,080,000 916,823 0.0%
* Cybernaut International Holdings Co., Ltd. 3,148,000 107,594 0.0%
# Da Ming International Holdings, Ltd. 880,000 278,339 0.0%
* DaChan Food Asia, Ltd. 1,523,955 96,707 0.0%
Dah Chong Hong Holdings, Ltd. 6,350,000 3,372,870 0.1%
Dalian Port PDA Co., Ltd. Class H 4,738,400 769,785 0.0%
* Daphne International Holdings, Ltd. 7,022,000 360,244 0.0%
Dawnrays Pharmaceutical Holdings, Ltd. 3,502,943 1,934,460 0.0%
#* DBA Telecommunication Asia Holdings, Ltd. 876,000 7,322 0.0%
#* Differ Group Holding Co., Ltd. 11,852,000 889,621 0.0%
#* Digital China Holdings, Ltd. 7,334,500 4,179,886 0.1%
#* Dongfang Electric Corp., Ltd. Class H 2,218,000 1,730,357 0.0%
# Dongjiang Environmental Co., Ltd. Class H 1,269,775 1,792,058 0.0%
Dongyue Group, Ltd. 6,260,000 5,211,786 0.1%
Dragon Crown Group Holdings, Ltd. 62,000 7,853 0.0%
# Dynagreen Environmental Protection Group Co., Ltd. Class H 3,319,000 1,712,995 0.0%
#* Dynasty Fine Wines Group, Ltd. 1,614,000 55,523 0.0%
E-Commodities Holdings, Ltd. 8,448,000 671,162 0.0%
#* eHi Car Services, Ltd. Sponsored ADR 149,080 1,948,476 0.0%
Embry Holdings, Ltd. 473,000 183,307 0.0%
Essex Bio-technology, Ltd. 575,000 507,479 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
EVA Precision Industrial Holdings, Ltd. 5,156,435 $ 803,513 0.0%
* EverChina International Holdings Co., Ltd. 13,120,000 294,726 0.0%
Evergreen International Holdings, Ltd. 860,000 66,457 0.0%
#* Fang Holdings, Ltd. ADR 448,178 2,240,890 0.0%
# Fantasia Holdings Group Co., Ltd. 18,175,500 3,574,613 0.1%
Far East Horizon, Ltd. 10,901,000 10,816,919 0.2%
* Feiyu Technology International Co., Ltd. 1,878,000 183,016 0.0%
# First Tractor Co., Ltd. Class H 2,633,176 918,904 0.0%
* Forgame Holdings, Ltd. 282,300 358,828 0.0%
Fu Shou Yuan International Group, Ltd. 5,805,000 5,537,369 0.1%
Fufeng Group, Ltd. 9,461,600 5,272,594 0.1%
#* Fuguiniao Co., Ltd. Class H 2,430,200 225,258 0.0%
# Future Land Development Holdings, Ltd. 13,022,000 10,783,077 0.2%
* GCL-Poly Energy Holdings, Ltd. 85,046,000 10,519,746 0.1%
Gemdale Properties & Investment Corp., Ltd. 19,344,000 2,194,024 0.0%
# Genscript Biotech Corp. 1,626,000 5,420,349 0.1%
* Glorious Property Holdings, Ltd. 21,264,501 1,722,789 0.0%
# Golden Eagle Retail Group, Ltd. 3,313,000 3,805,870 0.1%
Golden Meditech Holdings, Ltd. 356,000 38,518 0.0%
Golden Throat Holdings Group Co., Ltd. 1,011,500 219,187 0.0%
Golden Wheel Tiandi Holdings Co., Ltd. 546,000 53,965 0.0%
Goldlion Holdings, Ltd. 1,872,962 775,525 0.0%
Goldpac Group, Ltd. 2,369,000 727,941 0.0%
# GOME Retail Holdings, Ltd. 84,442,000 9,083,132 0.1%
Good Friend International Holdings, Inc. 398,667 88,853 0.0%
#* Grand Baoxin Auto Group, Ltd. 3,403,492 1,420,586 0.0%
* Greater China Financial Holdings, Ltd. 1,780,000 48,801 0.0%
Greatview Aseptic Packaging Co., Ltd. 7,310,000 4,844,758 0.1%
Greenland Hong Kong Holdings, Ltd. 7,666,000 3,531,963 0.1%
# Greentown China Holdings, Ltd. 5,689,148 7,497,279 0.1%
# Greentown Service Group Co., Ltd. 964,000 801,685 0.0%
#* Ground International Development, Ltd. 355,000 75,938 0.0%
* Guangdong Land Holdings, Ltd. 4,818,800 1,083,772 0.0%
Guangdong Yueyun Transportation Co., Ltd. Class H 1,380,000 794,483 0.0%
Guangshen Railway Co., Ltd. Class H 1,002,000 581,027 0.0%
* Guodian Technology & Environment Group Corp., Ltd. Class H 4,485,000 267,753 0.0%
Guolian Securities Co., Ltd. Class H 1,700,500 594,578 0.0%
# Guorui Properties, Ltd. 2,699,000 889,286 0.0%
* Haichang Ocean Park Holdings, Ltd. 5,792,000 1,411,490 0.0%
#* Hailiang Education Group, Inc. ADR 18,009 1,476,738 0.0%
Haitian International Holdings, Ltd. 4,300,000 11,443,598 0.2%
* Hanergy Thin Film Power Group, Ltd. 17,084,000 90,874 0.0%
#* Harbin Bank Co., Ltd. Class H 1,594,000 432,428 0.0%
# Harbin Electric Co., Ltd. Class H 5,515,413 1,612,704 0.0%
# Harmonicare Medical Holdings, Ltd. 2,403,000 739,772 0.0%
# HC International, Inc. 3,777,500 2,546,478 0.0%
* Health and Happiness H&H International Holdings, Ltd. 1,486,500 10,676,626 0.2%
Henderson Investment, Ltd. 1,863,000 158,837 0.0%
* Heng Tai Consumables Group, Ltd. 2,515,000 143,417 0.0%
Hengdeli Holdings, Ltd. 15,133,399 688,935 0.0%
* Hi Sun Technology China, Ltd. 13,182,000 2,017,279 0.0%
Hilong Holding, Ltd. 7,044,000 1,067,948 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Hisense Kelon Electrical Holdings Co., Ltd. Class H 2,764,000 $ 2,806,937 0.1%
HKC Holdings, Ltd. 1,441,577 1,074,316 0.0%
HNA Infrastructure Co., Ltd. Class H 832,000 1,101,438 0.0%
* Honghua Group, Ltd. 21,447,000 2,141,989 0.0%
Honworld Group, Ltd. 1,187,500 535,841 0.0%
Hopefluent Group Holdings, Ltd. 1,725,670 788,817 0.0%
Hopewell Highway Infrastructure, Ltd. 3,432,000 2,088,704 0.0%
Hopson Development Holdings, Ltd. 4,514,000 4,802,131 0.1%
# HOSA International, Ltd. 5,034,000 1,822,576 0.0%
#* Hua Han Health Industry Holdings, Ltd. 25,871,698 655,309 0.0%
Hua Hong Semiconductor, Ltd. 2,146,000 4,842,511 0.1%
Huadian Fuxin Energy Corp., Ltd. Class H 18,354,000 5,208,613 0.1%
# Huadian Power International Corp., Ltd. Class H 4,044,000 1,641,083 0.0%
Huaneng Renewables Corp., Ltd. Class H 29,660,000 13,172,080 0.2%
Huaxi Holdings Co., Ltd. 444,000 128,581 0.0%
Huazhang Technology Holding, Ltd. 432,000 209,866 0.0%
Huazhong In Vehicle Holdings Co.,ltd. 1,052,000 198,690 0.0%
#* Hydoo International Holding, Ltd. 2,570,000 153,246 0.0%
* IMAX China Holding, Inc. 893,900 2,966,560 0.1%
# Inner Mongolia Yitai Coal Co., Ltd. Class H 209,000 242,098 0.0%
Inspur International, Ltd. 132,000 44,778 0.0%
# Jiangnan Group, Ltd. 11,392,000 680,488 0.0%
#* Jiayuan International Group, Ltd. 1,920,000 3,562,568 0.1%
#* Jinchuan Group International Resources Co., Ltd. 9,137,000 1,863,662 0.0%
* Jingrui Holdings, Ltd. 728,000 433,082 0.0%
#* JinkoSolar Holding Co., Ltd. ADR 170,941 3,141,896 0.1%
Jinmao Hotel and Jinmao China Hotel Investments and
Management, Ltd. 356,000 217,815 0.0%
# JNBY Design, Ltd. 864,500 1,753,714 0.0%
Joy City Property, Ltd. 18,126,000 2,797,535 0.0%
Ju Teng International Holdings, Ltd. 6,058,000 1,179,188 0.0%
#* Jutal Offshore Oil Services, Ltd. 1,074,000 240,767 0.0%
K Wah International Holdings, Ltd. 6,490,952 3,984,254 0.1%
* Kai Yuan Holdings, Ltd. 13,400,000 88,785 0.0%
* Kaisa Group Holdings, Ltd. 17,438,000 9,315,098 0.1%
Kangda International Environmental Co., Ltd. 4,426,000 758,622 0.0%
* Kasen International Holdings, Ltd. 4,399,000 1,020,930 0.0%
Kinetic Mines and Energy, Ltd. 312,000 20,804 0.0%
Kingboard Chemical Holdings, Ltd. 3,756,421 15,282,210 0.2%
Kingboard Laminates Holdings, Ltd. 5,858,500 7,808,749 0.1%
#* Kingdee International Software Group Co., Ltd. 15,099,200 14,657,689 0.2%
# Kingsoft Corp., Ltd. 3,885,000 11,536,012 0.2%
* Kong Sun Holdings, Ltd. 825,000 23,170 0.0%
#* Koradior Holdings, Ltd. 1,008,000 1,165,983 0.0%
#* KuangChi Science, Ltd. 4,611,000 1,047,614 0.0%
KWG Property Holding, Ltd. 10,848,950 14,613,994 0.2%
* Labixiaoxin Snacks Group, Ltd. 1,152,000 71,774 0.0%
Lai Fung Holdings, Ltd. 614,467 913,980 0.0%
Le Saunda Holdings, Ltd. 2,049,799 298,296 0.0%
Lee & Man Chemical Co., Ltd. 1,070,785 813,033 0.0%
Lee & Man Paper Manufacturing, Ltd. 6,293,000 6,931,603 0.1%
# Lee's Pharmaceutical Holdings, Ltd. 1,866,000 2,412,597 0.0%
Leoch International Technology, Ltd. 2,764,000 416,868 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
#* Leyou Technologies Holdings, Ltd. 9,420,000 $ 2,407,748 0.0%
* Li Ning Co., Ltd. 10,086,000 11,356,407 0.2%
* Lianhua Supermarket Holdings Co., Ltd. Class H 3,187,600 855,444 0.0%
#* Lifestyle China Group, Ltd. 1,736,000 760,608 0.0%
#* Lifetech Scientific Corp. 16,038,000 4,879,317 0.1%
#* Link Motion, Inc. Sponsored ADR 690,534 1,346,541 0.0%
#* Lisi Group Holdings, Ltd. 1,006,000 153,425 0.0%
Livzon Pharmaceutical Group, Inc. Class H 707,434 5,095,643 0.1%
LK Technology Holdings, Ltd. 322,500 56,785 0.0%
Logan Property Holdings Co., Ltd. 676,000 991,132 0.0%
* LongiTech Smart Energy Holding, Ltd. 995,000 277,659 0.0%
Lonking Holdings, Ltd. 15,779,000 7,170,310 0.1%
# Luye Pharma Group, Ltd. 9,943,500 10,542,024 0.1%
* Maanshan Iron & Steel Co., Ltd. Class H 13,188,000 6,473,380 0.1%
Maoye International Holdings, Ltd. 8,664,000 919,709 0.0%
* MIE Holdings Corp. 1,662,000 92,414 0.0%
# MIN XIN Holdings, Ltd. 922,000 622,726 0.0%
* Mingfa Group International Co., Ltd. 7,108,000 50,987 0.0%
* Mingyuan Medicare Development Co., Ltd. 6,950,000 38,165 0.0%
Minmetals Land, Ltd. 11,150,000 2,118,138 0.0%
Minth Group, Ltd. 1,439,000 6,832,539 0.1%
* MMG, Ltd. 16,230,999 12,041,258 0.2%
MOBI Development Co., Ltd. 1,014,000 104,771 0.0%
Mobile Internet China Holding, Ltd. 4,050,000 1,071,905 0.0%
Modern Land China Co., Ltd. 5,786,800 1,081,322 0.0%
#* Munsun Capital Group, Ltd. 48,214,318 122,135 0.0%
# Nan Hai Corp., Ltd. 19,650,000 507,974 0.0%
Nanjing Panda Electronics Co., Ltd. Class H 38,000 18,976 0.0%
#* National Agricultural Holdings, Ltd. 3,114,000 88,516 0.0%
* Nature Home Holding Co., Ltd. 520,000 88,249 0.0%
NetDragon Websoft Holdings, Ltd. 182,500 439,874 0.0%
* New Century Healthcare Holding Co., Ltd. 41,000 59,925 0.0%
#* New Provenance Everlasting Holdings, Ltd. 10,120,000 143,128 0.0%
New Universe Environmental Group, Ltd. 300,000 22,835 0.0%
* New World Department Store China, Ltd. 3,567,462 821,150 0.0%
Nexteer Automotive Group, Ltd. 4,627,000 7,118,962 0.1%
#* Noah Holdings, Ltd. Sponsored ADR 121,711 6,288,807 0.1%
#* North Mining Shares Co., Ltd. 87,980,000 1,625,152 0.0%
# NVC Lighting Holdings, Ltd. 8,280,000 837,400 0.0%
#* O-Net Technologies Group, Ltd. 2,967,000 1,895,231 0.0%
#* Ourgame International Holdings, Ltd. 1,943,000 354,558 0.0%
Overseas Chinese Town Asia Holdings, Ltd. 1,392,183 853,692 0.0%
#* Ozner Water International Holding, Ltd. 2,638,000 719,163 0.0%
# Pacific Online, Ltd. 3,033,365 477,921 0.0%
#* Panda Green Energy Group, Ltd. 15,188,000 1,619,391 0.0%
#* Parkson Retail Group, Ltd. 8,563,500 1,050,396 0.0%
# PAX Global Technology, Ltd. 6,305,000 2,852,028 0.1%
* Peking University Resources Holdings Co., Ltd. 176,000 8,366 0.0%
# Phoenix Media Investment Holdings, Ltd. 8,454,000 900,214 0.0%
* Phoenix New Media, Ltd. ADR 146,073 594,517 0.0%
# Poly Culture Group Corp., Ltd. Class H 628,800 1,066,792 0.0%
* Poly Property Group Co., Ltd. 16,591,000 7,711,297 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
CHINA -- (Continued)
# Pou Sheng International Holdings, Ltd. 15,028,806 $ 2,505,907 0.0%
# Powerlong Real Estate Holdings, Ltd. 9,846,000 5,077,048 0.1%
* Prosperity International Holdings HK, Ltd. 11,620,000 103,588 0.0%
* PW Medtech Group, Ltd. 5,084,000 952,653 0.0%
# Q Technology Group Co., Ltd. 2,488,000 3,029,189 0.1%
Qingdao Port International Co., Ltd. Class H 3,365,000 2,756,040 0.0%
Qingling Motors Co., Ltd. Class H 4,372,000 1,397,587 0.0%
# Qinhuangdao Port Co., Ltd. Class H 3,805,500 1,007,593 0.0%
#* Qinqin Foodstuffs Group Cayman Co., Ltd. 65,000 19,214 0.0%
Qunxing Paper Holdings Co., Ltd. 669,913 32,264 0.0%
* Real Gold Mining, Ltd. 300,500 10,069 0.0%
# Redco Group 7,018,000 4,395,554 0.1%
#* Renhe Commercial Holdings Co., Ltd. 127,643,000 2,573,953 0.0%
#* Renren, Inc. ADR 43,630 391,361 0.0%
#* Rentian Technology Holdings, Ltd. 2,730,000 128,236 0.0%
#* REXLot Holdings, Ltd. 109,802,252 569,783 0.0%
* Rici Healthcare Holdings, Ltd. 58,000 14,699 0.0%
# Rivera Holdings, Ltd. 1,382,000 106,658 0.0%
Road King Infrastructure, Ltd. 1,979,000 3,752,016 0.1%
#* Ronshine China Holdings, Ltd. 1,747,000 2,591,407 0.0%
* Royale Furniture Holdings, Ltd. 130,000 11,887 0.0%
# Sany Heavy Equipment International Holdings Co., Ltd. 7,377,000 2,286,991 0.0%
* Scud Group, Ltd. 1,876,000 46,609 0.0%
# Seaspan Corp. 430,472 3,310,330 0.1%
# Shandong Chenming Paper Holdings, Ltd. Class H 2,152,000 3,267,647 0.1%
Shandong Weigao Group Medical Polymer Co., Ltd. Class H 11,976,000 7,359,712 0.1%
Shandong Xinhua Pharmaceutical Co., Ltd. Class H 1,168,000 1,189,342 0.0%
# Shanghai Dasheng Agricultural Finance Technology Co., Ltd.
Class H 23,272,000 397,323 0.0%
Shanghai Dazhong Public Utilities Group Co., Ltd. Class H 87,000 34,283 0.0%
* Shanghai Fudan Microelectronics Group Co., Ltd. Class H 1,060,000 974,024 0.0%
Shanghai Fudan-Zhangjiang Bio-Pharmaceutical Co., Ltd.
Class H 1,723,000 810,164 0.0%
Shanghai Haohai Biological Technology Co., Ltd. Class H 174,400 1,140,334 0.0%
Shanghai Industrial Holdings, Ltd. 3,724,000 9,765,405 0.1%
Shanghai Industrial Urban Development Group, Ltd. 14,974,000 3,220,443 0.1%
Shanghai Jin Jiang International Hotels Group Co., Ltd.
Class H 8,524,000 3,525,316 0.1%
Shanghai La Chapelle Fashion Co., Ltd. Class H 139,800 145,681 0.0%
Shanghai Prime Machinery Co., Ltd. Class H 5,358,000 885,320 0.0%
* Shanghai Zendai Property, Ltd. 21,220,000 511,084 0.0%
Sheen Tai Holdings Grp Co., Ltd. 2,482,000 99,107 0.0%
Shengjing Bank Co., Ltd. Class H 62,500 41,754 0.0%
* Shengli Oil & Gas Pipe Holdings, Ltd. 2,272,500 88,221 0.0%
Shenguan Holdings Group, Ltd. 7,454,000 370,724 0.0%
Shenzhen Expressway Co., Ltd. Class H 4,714,400 4,784,013 0.1%
Shenzhen International Holdings, Ltd. 7,775,367 16,988,384 0.2%
Shenzhen Investment, Ltd. 23,568,643 9,525,607 0.1%
* Shougang Concord International Enterprises Co., Ltd. 51,776,000 1,420,852 0.0%
Shougang Fushan Resources Group, Ltd. 18,764,000 4,599,778 0.1%
Shui On Land, Ltd. 28,643,643 7,712,582 0.1%
#* Shunfeng International Clean Energy, Ltd. 10,264,000 395,682 0.0%
Sichuan Expressway Co., Ltd. Class H 5,366,000 1,852,951 0.0%
Sihuan Pharmaceutical Holdings Group, Ltd. 28,512,000 6,891,006 0.1%
* Silver Grant International Industries, Ltd. 6,502,000 1,397,455 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
SIM Technology Group, Ltd. 1,050,000 $ 47,852 0.0%
# Sino Harbour Holdings Group, Ltd. 1,360,000 59,505 0.0%
#* Sino Oil And Gas Holdings, Ltd. 79,417,766 524,834 0.0%
* Sino-I Technology, Ltd. 3,950,000 40,121 0.0%
Sino-Ocean Group Holding, Ltd. 9,280,500 6,444,023 0.1%
#* Sinofert Holdings, Ltd. 17,731,327 2,110,260 0.0%
#* Sinolink Worldwide Holdings, Ltd. 17,834,800 2,116,357 0.0%
#* SinoMedia Holding, Ltd. 1,126,000 300,819 0.0%
Sinopec Engineering Group Co., Ltd. Class H 7,546,000 7,779,939 0.1%
Sinopec Kantons Holdings, Ltd. 7,250,000 3,429,483 0.1%
# Sinosoft Technology Group, Ltd. 5,758,599 2,411,578 0.0%
# Sinotrans Shipping, Ltd. 9,567,086 2,477,318 0.0%
Sinotrans, Ltd. Class H 14,820,000 8,491,266 0.1%
# Sinotruk Hong Kong, Ltd. 6,298,000 7,378,891 0.1%
* Skyfame Realty Holdings, Ltd. 6,268,000 4,405,550 0.1%
Skyworth Digital Holdings, Ltd. 15,097,628 6,860,371 0.1%
# SMI Holdings Group, Ltd. 6,450,413 2,785,303 0.0%
SOHO China, Ltd. 15,316,500 7,864,807 0.1%
#* Sohu.com, Inc. 194,172 6,015,449 0.1%
#* Sparkle Roll Group, Ltd. 6,296,000 391,344 0.0%
Springland International Holdings, Ltd. 5,403,000 1,521,436 0.0%
* SPT Energy Group, Inc. 5,064,000 544,576 0.0%
* SRE Group, Ltd. 34,584,346 802,336 0.0%
# SSY Group, Ltd. 13,919,152 14,064,422 0.2%
#* Starrise Media Holdings, Ltd. 2,410,000 220,259 0.0%
Suchuang Gas Corp., Ltd. 528,000 162,232 0.0%
# Sun King Power Electronics Group 3,610,000 716,755 0.0%
* Sunshine 100 China Holdings, Ltd. 426,000 158,490 0.0%
Symphony Holdings, Ltd. 8,260,000 1,100,942 0.0%
Tang Palace China Holdings, Ltd. 220,000 100,469 0.0%
# Tarena International, Inc. ADR 256,026 2,588,423 0.0%
* Taung Gold International, Ltd. 37,090,000 179,093 0.0%
# TCL Multimedia Technology Holdings, Ltd. 5,011,347 2,282,472 0.0%
* Tech Pro Technology Development, Ltd. 43,862,000 285,012 0.0%
#* Technovator International, Ltd. 3,506,000 864,204 0.0%
Ten Pao Group Holdings, Ltd. 1,296,000 172,644 0.0%
Tenfu Cayman Holdings Co Ltd 244,000 120,105 0.0%
# Tenwow International Holdings, Ltd. 4,336,000 634,324 0.0%
* Tesson Holdings, Ltd. 162,000 23,610 0.0%
Texhong Textile Group, Ltd. 2,011,500 2,802,399 0.1%
# Tian An China Investment Co., Ltd. 1,718,000 1,042,787 0.0%
Tian Ge Interactive Holdings, Ltd. 2,718,000 2,317,196 0.0%
# Tian Shan Development Holdings, Ltd. 1,742,000 502,903 0.0%
Tiande Chemical Holdings, Ltd. 744,000 100,779 0.0%
Tiangong International Co., Ltd. 896,000 198,972 0.0%
# Tianjin Capital Environmental Protection Group Co., Ltd.
Class H 2,876,000 1,562,087 0.0%
# Tianjin Development Holdings, Ltd. 3,908,000 1,749,254 0.0%
Tianjin Port Development Holdings, Ltd. 14,638,800 2,024,725 0.0%
Tianneng Power International, Ltd. 6,014,048 8,677,643 0.1%
Tianyi Summi Holdings, Ltd. 3,872,000 414,400 0.0%
Tianyun International Holdings, Ltd. 1,978,000 349,533 0.0%
* Tibet Water Resources, Ltd. 12,578,000 5,417,246 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
Time Watch Investments, Ltd. 1,562,000 $ 207,173 0.0%
Tomson Group, Ltd. 2,624,641 1,311,317 0.0%
Tong Ren Tang Technologies Co., Ltd. Class H 4,173,000 6,708,237 0.1%
# Tongda Group Holdings, Ltd. 23,530,000 5,211,418 0.1%
Tonly Electronics Holdings, Ltd. 626,176 635,055 0.0%
Top Spring International Holdings, Ltd. 1,349,000 559,580 0.0%
* Tou Rong Chang Fu Group, Ltd. 15,604,000 265,874 0.0%
Towngas China Co., Ltd. 7,254,657 6,465,056 0.1%
TPV Technology, Ltd. 5,419,964 667,649 0.0%
Trigiant Group, Ltd. 3,878,000 575,003 0.0%
* Trony Solar Holdings Co., Ltd. 1,757,000 26,415 0.0%
# Truly International Holdings, Ltd. 8,919,573 2,026,774 0.0%
Tsaker Chemical Group, Ltd. 721,000 379,045 0.0%
#* Tuniu Corp. Sponsored ADR 95,458 591,840 0.0%
Uni-President China Holdings, Ltd. 8,237,000 7,786,701 0.1%
# United Energy Group, Ltd. 39,712,900 3,323,626 0.1%
# Universal Medical Financial & Technical Advisory Services
Co., Ltd. 5,613,500 5,177,857 0.1%
#* V1 Group, Ltd. 11,809,600 659,908 0.0%
# Vinda International Holdings, Ltd. 841,000 1,453,852 0.0%
Wanguo International Mining Group, Ltd. 492,000 113,378 0.0%
Wasion Group Holdings, Ltd. 4,144,000 2,320,840 0.0%
Weiqiao Textile Co. Class H 2,152,000 1,042,620 0.0%
Wenzhou Kangning Hospital Co., Ltd. Class H 2,700 13,645 0.0%
* West China Cement, Ltd. 17,834,000 3,617,194 0.1%
Wisdom Education International Holdings Co., Ltd. 510,000 363,698 0.0%
# Wisdom Sports Group 3,653,000 364,664 0.0%
* Wuzhou International Holdings, Ltd. 1,686,000 130,491 0.0%
# Xiabuxiabu Catering Management China Holdings Co., Ltd. 1,182,500 2,030,210 0.0%
Xiamen International Port Co., Ltd. Class H 7,366,000 1,290,381 0.0%
* Xinchen China Power Holdings, Ltd. 3,568,000 393,161 0.0%
Xingda International Holdings, Ltd. 6,496,235 2,320,309 0.0%
* Xingfa Aluminium Holdings, Ltd. 503,000 407,887 0.0%
Xinhua Winshare Publishing and Media Co., Ltd. Class H 2,708,103 2,113,363 0.0%
* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 5,127,598 707,349 0.0%
* Xinming China Holdings, Ltd. 224,000 32,299 0.0%
Xinyi Solar Holdings, Ltd. 16,712,000 7,614,873 0.1%
# Xinyuan Real Estate Co., Ltd. ADR 96,039 483,076 0.0%
XTEP International Holdings, Ltd. 6,006,500 3,489,610 0.1%
* Xunlei, Ltd. ADR 32,839 426,579 0.0%
# Yadea Group Holdings, Ltd. 6,110,000 2,098,312 0.0%
* Yanchang Petroleum International, Ltd. 30,720,000 414,674 0.0%
# Yangtze Optical Fibre and Cable Joint Stock, Ltd. Co.
Class H 1,018,000 4,309,767 0.1%
#* Yashili International Holdings, Ltd. 5,308,000 1,207,039 0.0%
# YiChang HEC ChangJiang Pharmaceutical Co., Ltd. Class H 557,200 2,645,954 0.0%
Yida China Holdings, Ltd. 1,148,000 372,957 0.0%
# Yihai International Holding, Ltd. 457,000 624,279 0.0%
Yip's Chemical Holdings, Ltd. 1,954,000 687,331 0.0%
# Yirendai, Ltd. ADR 103,132 3,637,466 0.1%
Yorkey Optical International Cayman, Ltd. 396,000 70,320 0.0%
#* Youyuan International Holdings, Ltd. 3,539,070 2,020,239 0.0%
* Yuanda China Holdings, Ltd. 12,884,000 174,758 0.0%
#* YuanShengTai Dairy Farm, Ltd. 6,459,000 246,350 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
CHINA -- (Continued)
Yuexiu Property Co., Ltd. 54,806,284 $ 12,330,407 0.2%
# Yuexiu Transport Infrastructure, Ltd. 4,586,018 3,458,029 0.1%
# Yunnan Water Investment Co., Ltd. Class H 1,871,000 734,618 0.0%
Yusin Holding Corp. 6,000 14,645 0.0%
Yuzhou Properties Co., Ltd. 11,092,120 8,068,744 0.1%
# Zhaojin Mining Industry Co., Ltd. Class H 9,157,000 7,168,089 0.1%
Zhejiang Expressway Co., Ltd. Class H 1,646,000 1,690,309 0.0%
Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 1,861,200 1,098,686 0.0%
#* Zhong An Real Estate, Ltd. 23,399,800 1,536,313 0.0%
Zhongsheng Group Holdings, Ltd. 4,248,000 12,177,631 0.2%
#* Zhongyu Gas Holdings, Ltd. 1,788,000 1,667,043 0.0%
# Zhou Hei Ya International Holdings Co., Ltd. 1,045,500 918,187 0.0%
* Zhuguang Holdings Group Co., Ltd. 5,110,000 979,795 0.0%
Zhuhai Holdings Investment Group, Ltd. 1,800,000 230,888 0.0%
# Zoomlion Heavy Industry Science and Technology Co., Ltd.
Class H 6,587,400 2,829,501 0.1%
-------------- ----
TOTAL CHINA 1,339,562,086 17.1%
-------------- ----
COLOMBIA -- (0.2%)
Almacenes Exito SA 1,552,050 9,371,018 0.1%
Bolsa de Valores de Colombia 29,054,344 232,728 0.0%
Celsia SA ESP 1,653,284 2,725,108 0.0%
* Cemex Latam Holdings SA 1,118,385 3,447,978 0.1%
Constructora Conconcreto SA 323,906 110,699 0.0%
Corp. Financiera Colombiana SA 130,432 1,121,857 0.0%
* Empresa de Telecomunicaciones de Bogota 3,376,051 496,380 0.0%
Grupo Nutresa SA 74,673 723,082 0.0%
Interconexion Electrica SA ESP 152,354 785,376 0.0%
Mineros SA 115,553 97,290 0.0%
Promigas SA ESP 10,240 26,977 0.0%
-------------- ----
TOTAL COLOMBIA 19,138,493 0.2%
-------------- ----
GREECE -- (0.3%)
Aegean Airlines SA 207,860 2,341,235 0.0%
Athens Water Supply & Sewage Co. SA (The) 125,722 899,995 0.0%
Bank of Greece 142,242 2,592,495 0.1%
* Ellaktor SA 801,522 1,592,566 0.0%
Fourlis Holdings SA 278,982 1,987,384 0.0%
* GEK Terna Holding Real Estate Construction SA 475,188 2,890,353 0.1%
Hellenic Exchanges - Athens Stock Exchange SA 437,421 2,752,297 0.1%
* Iaso SA 528,264 609,821 0.0%
* Intracom Holdings SA 664,642 686,729 0.0%
* Intralot SA-Integrated Lottery Systems & Services 848,730 1,210,209 0.0%
* Lamda Development SA 92,510 744,600 0.0%
* Marfin Investment Group Holdings SA 5,032,612 994,940 0.0%
* Mytilineos Holdings SA 522,191 6,296,745 0.1%
Piraeus Port Authority SA 42,172 834,412 0.0%
Sarantis SA 93,848 1,607,287 0.0%
Terna Energy SA 257,713 1,589,072 0.0%
-------------- ----
TOTAL GREECE 29,630,140 0.4%
-------------- ----
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
HONG KONG -- (0.0%)
* AAG Energy Holdings, Ltd. 219,000 $ 41,802 0.0%
* Beijing Gas Blue Sky Holdings, Ltd. 4,728,000 306,378 0.0%
* China Minsheng Drawin Technology Group, Ltd. 500,000 12,002 0.0%
#* GCL New Energy Holdings, Ltd. 3,230,000 179,156 0.0%
* Huajun Holdings, Ltd. 13,720 56,255 0.0%
* Sino Haijing Holdings, Ltd. 2,640,000 52,519 0.0%
* Tongda Hong Tai Holdings, Ltd. 11,750 2,081 0.0%
* Tongfang Kontafarma Holdings, Ltd. 186,000 10,419 0.0%
---------- ---
TOTAL HONG KONG 660,612 0.0%
---------- ---
HUNGARY -- (0.1%)
#* CIG Pannonia Life Insurance P.L.C. Class A 147,938 265,595 0.0%
Magyar Telekom Telecommunications P.L.C. 1,601,424 2,769,918 0.0%
Richter Gedeon Nyrt 221,459 4,471,823 0.1%
---------- ---
TOTAL HUNGARY 7,507,336 0.1%
---------- ---
INDIA -- (13.4%)
* 3i Infotech, Ltd. 918,152 67,808 0.0%
* 3M India, Ltd. 6,639 2,030,712 0.0%
* 5Paisa Capital, Ltd. 38,558 233,495 0.0%
8K Miles Software Services, Ltd. 83,617 977,763 0.0%
Aarti Drugs, Ltd. 17,045 146,193 0.0%
Aarti Industries 195,320 3,901,206 0.1%
* Aban Offshore, Ltd. 137,519 357,379 0.0%
Abbott India, Ltd. 12,853 1,194,641 0.0%
Accelya Kale Solutions, Ltd. 3,300 65,489 0.0%
* Adani Power, Ltd. 6,769,452 2,572,911 0.0%
* Adani Transmissions, Ltd. 522,126 1,308,011 0.0%
* Aditya Birla Capital, Ltd. 515,058 1,228,038 0.0%
* Aditya Birla Fashion and Retail, Ltd. 566,712 1,241,129 0.0%
Advanced Enzyme Technologies, Ltd. 56,924 222,008 0.0%
Aegis Logistics, Ltd. 844,356 3,636,830 0.1%
Agro Tech Foods, Ltd. 65,329 678,714 0.0%
* Ahluwalia Contracts India Ltd. 19,575 122,998 0.0%
AIA Engineering, Ltd. 240,532 5,194,644 0.1%
Ajanta Pharma, Ltd. 217,451 4,405,408 0.1%
Akzo Nobel India, Ltd. 78,036 2,249,649 0.0%
Alembic Pharmaceuticals, Ltd. 456,557 3,657,968 0.1%
Alembic, Ltd. 649,379 554,420 0.0%
Alkyl Amines Chemicals 21,001 224,566 0.0%
* Allahabad Bank 1,230,427 901,314 0.0%
Allcargo Logistics, Ltd. 442,806 923,954 0.0%
Amara Raja Batteries, Ltd. 210,677 2,708,301 0.0%
* Amtek Auto, Ltd. 217,501 47,180 0.0%
Anant Raj, Ltd. 823,171 576,890 0.0%
* Andhra Bank 1,351,886 801,247 0.0%
Andhra Sugars, Ltd. (The) 28,418 168,068 0.0%
Apar Industries, Ltd. 98,495 1,189,233 0.0%
APL Apollo Tubes, Ltd. 36,582 1,199,129 0.0%
Apollo Hospitals Enterprise, Ltd. 295,332 4,814,145 0.1%
Apollo Tyres, Ltd. 2,135,080 9,376,843 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Aptech, Ltd. 111,411 $ 483,811 0.0%
Arvind, Ltd. 1,218,343 7,697,884 0.1%
Asahi India Glass, Ltd. 459,536 2,504,678 0.0%
Ashiana Housing, Ltd. 235,767 562,234 0.0%
Ashok Leyland, Ltd. 987,355 2,420,274 0.0%
Ashoka Buildcon, Ltd. 351,062 1,484,393 0.0%
Asian Granito India, Ltd. 36,562 262,356 0.0%
Astra Microwave Products, Ltd. 63,332 101,360 0.0%
Astral Polytechnik, Ltd. 102,411 1,447,262 0.0%
* AstraZeneca Pharma India, Ltd. 18,120 287,031 0.0%
Atul, Ltd. 66,521 2,946,982 0.1%
Automotive Axles, Ltd. 31,492 717,794 0.0%
Avanti Feeds, Ltd. 57,146 2,127,054 0.0%
Bajaj Corp., Ltd. 460,255 3,301,529 0.1%
Bajaj Electricals, Ltd. 255,255 2,486,235 0.0%
* Bajaj Hindusthan Sugar, Ltd. 2,965,216 385,464 0.0%
Bajaj Holdings & Investment, Ltd. 124,491 5,026,953 0.1%
Balaji Amines, Ltd. 58,328 618,952 0.0%
Balaji Telefilms, Ltd. 222,789 435,329 0.0%
Balkrishna Industries, Ltd. 564,402 10,765,782 0.2%
* Ballarpur Industries, Ltd. 1,316,382 259,744 0.0%
Balmer Lawrie & Co., Ltd. 354,007 1,165,011 0.0%
Balrampur Chini Mills, Ltd. 1,210,655 1,272,920 0.0%
Banco Products India, Ltd. 143,745 497,573 0.0%
* Bank of India 557,528 861,907 0.0%
* Bank Of Maharashtra 654,671 136,142 0.0%
Bannari Amman Sugars, Ltd. 14,297 357,860 0.0%
BASF India, Ltd. 87,802 2,796,081 0.1%
Bata India, Ltd. 261,464 3,123,930 0.1%
Bayer CropScience, Ltd. 4,160 294,727 0.0%
BEML, Ltd. 110,323 1,750,581 0.0%
Berger Paints India, Ltd. 1,408,035 6,036,700 0.1%
* BF Utilities, Ltd. 80,023 516,905 0.0%
Bhansali Engineering Polymers, Ltd. 528,977 1,501,577 0.0%
* Bharat Financial Inclusion, Ltd. 367,223 6,359,148 0.1%
Bharat Forge, Ltd. 103,384 1,196,489 0.0%
Bharat Rasayan, Ltd. 1,660 147,325 0.0%
Biocon, Ltd. 1,280,367 12,727,828 0.2%
Birla Corp., Ltd. 167,366 1,913,653 0.0%
* BL Kashyap & Sons, Ltd. 99,300 74,183 0.0%
Bliss Gvs Pharma, Ltd. 327,325 971,960 0.0%
Blue Dart Express, Ltd. 33,643 1,834,432 0.0%
Blue Star, Ltd. 225,630 2,704,538 0.0%
Bodal Chemicals, Ltd. 317,320 560,039 0.0%
Bombay Dyeing & Manufacturing Co., Ltd. 737,242 3,396,201 0.1%
* Bombay Rayon Fashions, Ltd. 112,907 38,931 0.0%
Brigade Enterprises, Ltd. 299,780 1,249,896 0.0%
Can Fin Homes, Ltd. 252,875 1,592,907 0.0%
Canara Bank 488,422 1,932,526 0.0%
Capital First, Ltd. 216,844 2,078,648 0.0%
Caplin Point Laboratories, Ltd. 120,778 1,077,582 0.0%
Carborundum Universal, Ltd. 396,390 2,265,869 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Care Ratings, Ltd. 131,965 $ 2,509,859 0.0%
Castrol India, Ltd. 310,832 904,976 0.0%
CCL Products India, Ltd. 448,823 2,102,103 0.0%
Ceat, Ltd. 189,680 4,496,962 0.1%
Century Plyboards India, Ltd. 571,338 2,777,146 0.1%
Cera Sanitaryware, Ltd. 28,409 1,341,524 0.0%
CESC, Ltd. 632,178 10,040,400 0.1%
* CG Power and Industrial Solutions, Ltd. 3,403,119 4,254,103 0.1%
Chambal Fertilizers & Chemicals, Ltd. 1,130,592 3,284,399 0.1%
Chennai Petroleum Corp., Ltd. 356,359 1,700,561 0.0%
Chennai Super Kings Cricket, Ltd. 1,658,632 10,485 0.0%
Cholamandalam Investment and Finance Co., Ltd. 66,818 1,731,240 0.0%
City Union Bank, Ltd. 1,191,749 3,278,233 0.1%
Clariant Chemicals India, Ltd. 47,951 386,895 0.0%
* Coffee Day Enterprises, Ltd. 188,360 973,418 0.0%
Coromandel International, Ltd. 571,426 4,011,366 0.1%
* Corp. Bank 1,304,019 584,987 0.0%
Cox & Kings, Ltd. 791,270 2,585,231 0.0%
CRISIL, Ltd. 111,039 3,134,145 0.1%
Crompton Greaves Consumer Electricals, Ltd. 3,469,530 12,156,273 0.2%
Cyient, Ltd. 403,145 4,573,652 0.1%
Dalmia Bharat Sugar & Industries, Ltd. 7,896 7,663 0.0%
Dalmia Bharat, Ltd. 147,822 6,748,603 0.1%
* DB Corp., Ltd. 161,644 726,488 0.0%
* DB Realty, Ltd. 612,648 584,969 0.0%
DCB Bank, Ltd. 1,562,826 4,544,531 0.1%
DCM Shriram, Ltd. 305,718 1,513,407 0.0%
* DCW, Ltd. 118,398 60,175 0.0%
Deepak Fertilisers & Petrochemicals Corp., Ltd. 233,813 1,233,904 0.0%
Deepak Nitrite, Ltd. 243,074 977,781 0.0%
Delta Corp., Ltd. 606,111 2,429,015 0.0%
* DEN Networks, Ltd. 202,357 311,409 0.0%
* Dena Bank 1,251,365 364,346 0.0%
Dewan Housing Finance Corp., Ltd. 1,161,690 11,080,636 0.2%
DFM Foods, Ltd. 7,092 154,594 0.0%
Dhampur Sugar Mills, Ltd. 159,357 227,498 0.0%
Dhanuka Agritech, Ltd. 45,282 399,586 0.0%
* Diligent Media Corp., Ltd. 11,051 1,450 0.0%
Dilip Buildcon, Ltd. 130,609 2,258,585 0.0%
* Dish TV India, Ltd. 3,118,653 3,506,748 0.1%
* Dishman Carbogen Amcis, Ltd. 699,600 3,946,083 0.1%
Dr Lal PathLabs, Ltd. 100,460 1,272,909 0.0%
* Dredging Corp. Of India, Ltd. 22,728 211,004 0.0%
Dwarikesh Sugar Industries, Ltd. 66,104 25,252 0.0%
* Dynamatic Technologies, Ltd. 8,983 248,827 0.0%
eClerx Services, Ltd. 145,483 2,887,299 0.1%
Edelweiss Financial Services, Ltd. 1,727,487 7,365,880 0.1%
EID Parry India, Ltd. 533,750 2,191,303 0.0%
EIH, Ltd. 1,012,839 2,642,119 0.0%
Electrosteel Castings, Ltd. 761,096 333,890 0.0%
Elgi Equipments, Ltd. 339,966 1,440,529 0.0%
Emami, Ltd. 12,892 214,975 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
Endurance Technologies, Ltd. 7,454 $ 141,565 0.0%
Engineers India, Ltd. 1,496,253 3,538,847 0.1%
Entertainment Network India, Ltd. 68,042 701,328 0.0%
* Eros International Media, Ltd. 280,262 730,887 0.0%
Escorts, Ltd. 580,021 8,681,952 0.1%
Essel Propack, Ltd. 425,690 1,703,590 0.0%
* Eveready Industries India, Ltd. 338,702 1,589,939 0.0%
* Excel Crop Care, Ltd. 4,184 220,904 0.0%
Exide Industries, Ltd. 1,512,540 5,589,828 0.1%
FDC, Ltd. 442,091 1,657,899 0.0%
Federal Bank, Ltd. 8,667,989 12,719,189 0.2%
* Federal-Mogul Goetze India, Ltd. 82,059 585,789 0.0%
FIEM Industries, Ltd. 22,301 308,827 0.0%
Finolex Cables, Ltd. 764,245 7,952,665 0.1%
Finolex Industries, Ltd. 307,630 3,012,091 0.1%
* Firstsource Solutions, Ltd. 1,861,967 1,765,201 0.0%
* Fortis Healthcare, Ltd. 2,321,065 5,237,670 0.1%
* Future Consumer, Ltd. 1,849,467 1,635,573 0.0%
Future Enterprises, Ltd. 718,215 409,906 0.0%
Future Lifestyle Fashions, Ltd. 92,764 601,949 0.0%
* Future Retail, Ltd. 377,129 3,401,318 0.1%
Gabriel India, Ltd. 453,192 1,038,642 0.0%
Garware Wall Ropes, Ltd. 52,974 776,094 0.0%
Gateway Distriparks, Ltd. 681,275 1,716,492 0.0%
Gati, Ltd. 273,618 495,147 0.0%
* Gayatri Highways, Ltd. 297,572 32,548 0.0%
* Gayatri Projects, Ltd. 297,572 910,952 0.0%
GE Power India, Ltd. 122,291 1,554,005 0.0%
GE T&D India, Ltd. 187,875 1,061,550 0.0%
Genus Power Infrastructures, Ltd. 55,804 43,087 0.0%
Geojit Financial Services, Ltd. 271,451 416,505 0.0%
GHCL, Ltd. 201,230 828,371 0.0%
GIC Housing Finance, Ltd. 103,084 669,796 0.0%
Gillette India, Ltd. 19,465 1,903,074 0.0%
GlaxoSmithKline Consumer Healthcare, Ltd. 746 68,391 0.0%
GlaxoSmithKline Pharmaceuticals, Ltd. 7,932 277,763 0.0%
Glenmark Pharmaceuticals, Ltd. 529,253 4,519,806 0.1%
GM Breweries, Ltd. 22,849 375,082 0.0%
* GMR Infrastructure, Ltd. 15,924,296 4,859,865 0.1%
GOCL Corp., Ltd. 46,790 352,900 0.0%
* Godawari Power and Ispat, Ltd. 48,400 407,596 0.0%
Godfrey Phillips India, Ltd. 76,979 1,013,186 0.0%
Godrej Industries, Ltd. 422,968 3,797,500 0.1%
* Godrej Properties, Ltd. 388,265 4,666,623 0.1%
Granules India, Ltd. 456,902 741,082 0.0%
Graphite India, Ltd. 397,865 4,108,304 0.1%
Grasim Industries, Ltd. 367,899 5,972,596 0.1%
Great Eastern Shipping Co., Ltd. (The) 522,487 2,862,274 0.1%
Greaves Cotton, Ltd. 568,315 1,056,210 0.0%
Greenply Industries, Ltd. 173,476 799,884 0.0%
Grindwell Norton, Ltd. 97,139 755,366 0.0%
Gruh Finance, Ltd. 630,894 6,368,282 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
* GTL Infrastructure, Ltd. 938,311 $ 28,129 0.0%
Gujarat Alkalies & Chemicals, Ltd. 188,929 2,121,385 0.0%
Gujarat Ambuja Exports, Ltd. 210,002 909,755 0.0%
Gujarat Fluorochemicals, Ltd. 224,424 2,858,549 0.1%
Gujarat Gas, Ltd. 319,983 4,229,822 0.1%
Gujarat Industries Power Co., Ltd. 320,510 498,504 0.0%
Gujarat Mineral Development Corp., Ltd. 803,287 1,623,458 0.0%
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 325,771 2,322,673 0.0%
Gujarat Pipavav Port, Ltd. 1,215,321 2,666,308 0.0%
Gujarat State Fertilizers & Chemicals, Ltd. 969,096 1,943,503 0.0%
Gujarat State Petronet, Ltd. 1,250,382 3,320,848 0.1%
Gulf Oil Lubricants India, Ltd. 98,950 1,391,103 0.0%
* GVK Power & Infrastructure, Ltd. 5,289,365 1,178,833 0.0%
* Hathway Cable & Datacom, Ltd. 2,304,459 1,203,902 0.0%
Hatsun Agro Products, Ltd. 49,532 579,693 0.0%
HBL Power Systems, Ltd. 601,914 434,858 0.0%
* HealthCare Global Enterprises, Ltd. 75,402 337,929 0.0%
HEG, Ltd. 36,273 1,496,189 0.0%
HeidelbergCement India, Ltd. 547,065 1,270,787 0.0%
Heritage Foods, Ltd. 70,017 744,680 0.0%
Hester Biosciences, Ltd. 8,083 193,086 0.0%
Hexaware Technologies, Ltd. 1,197,434 8,025,984 0.1%
Hikal, Ltd. 153,294 583,368 0.0%
HIL, Ltd. 13,502 460,846 0.0%
* Himachal Futuristic Communications, Ltd. 3,834,328 1,588,836 0.0%
Himadri Speciality Chemical, Ltd. 775,051 1,702,416 0.0%
Himatsingka Seide, Ltd. 255,293 1,475,157 0.0%
Hinduja Global Solutions, Ltd. 47,804 678,316 0.0%
Hinduja Ventures, Ltd. 37,897 459,083 0.0%
* Hindustan Construction Co., Ltd. 1,002,649 351,465 0.0%
Hindustan Media Ventures, Ltd. 25,017 86,757 0.0%
* Hindustan Oil Exploration Co., Ltd. 165,786 306,982 0.0%
Honda SIEL Power Products, Ltd. 16,776 375,362 0.0%
Honeywell Automation India, Ltd. 13,522 3,853,317 0.1%
* Hotel Leela Venture, Ltd. 260,996 70,950 0.0%
* Housing Development & Infrastructure, Ltd. 2,608,534 1,286,963 0.0%
HSIL, Ltd. 252,622 1,428,713 0.0%
HT Media, Ltd. 728,149 980,879 0.0%
Huhtamaki PPL, Ltd. 138,171 738,327 0.0%
I G Petrochemicals, Ltd. 68,077 775,820 0.0%
ICRA, Ltd. 2,398 139,943 0.0%
IDFC Bank, Ltd. 5,530,613 3,979,335 0.1%
IDFC, Ltd. 3,132,913 2,724,645 0.1%
* IFB Industries, Ltd. 51,171 936,591 0.0%
* IFCI, Ltd. 5,290,292 1,568,085 0.0%
IIFL Holdings, Ltd. 1,460,861 16,736,051 0.2%
* IL&FS Transportation Networks, Ltd. 807,052 764,402 0.0%
India Cements, Ltd. (The) 1,763,985 3,862,420 0.1%
India Glycols, Ltd. 85,907 768,060 0.0%
India Nippon Electricals, Ltd. 10,713 87,973 0.0%
* Indiabulls Real Estate, Ltd. 1,791,660 5,719,459 0.1%
Indiabulls Ventures, Ltd.(B2QP4C2) 994,414 7,152,813 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
* Indiabulls Ventures, Ltd.(BDRNRV2) 152,225 $ 684,374 0.0%
Indian Bank 673,455 3,235,451 0.1%
Indian Hotels Co., Ltd. (The) 3,572,725 7,863,093 0.1%
Indian Hume Pipe Co., Ltd. 51,809 267,410 0.0%
Indian Metals & Ferro Alloys, Ltd. 18,453 131,191 0.0%
* Indian Overseas Bank 2,002,490 549,346 0.0%
Indo Count Industries, Ltd. 435,926 610,455 0.0%
Indoco Remedies, Ltd. 261,571 787,753 0.0%
Indraprastha Gas, Ltd. 1,175,255 5,037,293 0.1%
INEOS Styrolution India, Ltd. 30,905 425,591 0.0%
Ingersoll-Rand India, Ltd. 78,519 797,878 0.0%
* Inox Leisure, Ltd. 418,146 1,719,822 0.0%
* Inox Wind, Ltd. 280,425 451,195 0.0%
Insecticides India, Ltd. 32,706 358,969 0.0%
* Intellect Design Arena, Ltd. 342,953 1,014,728 0.0%
* International Paper APPM, Ltd. 22,357 110,869 0.0%
Ipca Laboratories, Ltd. 375,952 4,233,354 0.1%
IRB Infrastructure Developers, Ltd. 1,464,915 6,114,192 0.1%
ITD Cementation India, Ltd. 345,228 854,736 0.0%
* ITI, Ltd. 259,588 467,728 0.0%
J Kumar Infraprojects, Ltd. 147,262 621,669 0.0%
Jagran Prakashan, Ltd. 811,954 2,064,505 0.0%
Jai Corp., Ltd. 360,310 848,298 0.0%
Jain Irrigation Systems, Ltd. 2,913,946 5,062,544 0.1%
* Jaiprakash Associates, Ltd. 10,389,053 3,041,458 0.1%
* Jaiprakash Power Ventures, Ltd. 14,119,051 788,480 0.0%
* Jammu & Kashmir Bank, Ltd. (The) 2,109,565 1,784,830 0.0%
Jamna Auto Industries, Ltd. 1,100,429 1,599,931 0.0%
Jay Bharat Maruti, Ltd. 1,161 8,184 0.0%
Jayant Agro-Organics, Ltd. 23,785 117,979 0.0%
* Jaypee Infratech, Ltd. 3,812,775 294,536 0.0%
JB Chemicals & Pharmaceuticals, Ltd. 212,153 1,016,041 0.0%
JBF Industries, Ltd. 220,446 338,471 0.0%
JBM Auto, Ltd. 21,428 136,892 0.0%
* Jet Airways India, Ltd. 172,736 1,652,971 0.0%
Jindal Poly Films, Ltd. 130,599 598,947 0.0%
Jindal Saw, Ltd. 1,136,957 2,101,077 0.0%
* Jindal Stainless Hisar, Ltd. 288,467 799,071 0.0%
* Jindal Stainless, Ltd. 475,544 652,937 0.0%
* JITF Infralogistics, Ltd. 44,336 23,748 0.0%
JK Cement, Ltd. 180,313 2,700,881 0.0%
JK Lakshmi Cement, Ltd. 291,833 1,781,919 0.0%
JK Paper, Ltd. 341,973 720,637 0.0%
JK Tyre & Industries, Ltd. 583,112 1,359,251 0.0%
JM Financial, Ltd. 2,268,631 4,747,671 0.1%
JMC Projects India, Ltd. 50,166 500,270 0.0%
Johnson Controls-Hitachi Air Conditioning India, Ltd. 67,333 2,596,210 0.0%
JSW Energy, Ltd. 3,100,743 3,941,945 0.1%
* JSW Holdings, Ltd. 22,564 659,303 0.0%
Jubilant Foodworks, Ltd. 306,898 11,646,066 0.2%
Jubilant Life Sciences, Ltd. 505,015 6,662,290 0.1%
* Just Dial, Ltd. 283,534 1,876,892 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Jyothy Laboratories, Ltd. 476,151 $ 2,575,672 0.0%
Kajaria Ceramics, Ltd. 595,639 4,870,321 0.1%
Kalpataru Power Transmission, Ltd. 426,584 3,117,585 0.1%
Kalyani Steels, Ltd. 113,000 538,532 0.0%
Kansai Nerolac Paints, Ltd. 405,117 3,021,956 0.1%
Karnataka Bank, Ltd. (The) 1,457,310 2,668,590 0.0%
Karur Vysya Bank, Ltd. (The) 2,752,820 4,489,540 0.1%
Kaveri Seed Co., Ltd. 227,504 1,810,026 0.0%
KCP, Ltd. 278,078 560,419 0.0%
KEC International, Ltd. 746,494 4,538,921 0.1%
KEI Industries, Ltd. 252,146 1,647,508 0.0%
Kewal Kiran Clothing, Ltd. 2,328 53,763 0.0%
* Kiri Industries, Ltd. 84,521 515,216 0.0%
Kirloskar Brothers, Ltd. 130,859 559,972 0.0%
Kirloskar Oil Engines, Ltd. 257,475 1,285,342 0.0%
Kitex Garments, Ltd. 157,648 558,584 0.0%
KNR Constructions, Ltd. 219,172 1,060,231 0.0%
Kolte-Patil Developers, Ltd. 150,761 733,105 0.0%
KPIT Technologies, Ltd. 1,273,758 4,895,110 0.1%
KPR Mill, Ltd. 95,961 1,010,368 0.0%
KRBL, Ltd. 496,720 3,321,990 0.1%
KSB Pumps, Ltd. 40,851 502,981 0.0%
Kwality, Ltd. 227,403 165,212 0.0%
L&T Finance Holdings, Ltd. 3,759,476 9,697,525 0.1%
LA Opala RG, Ltd. 106,594 443,624 0.0%
Lakshmi Machine Works, Ltd. 26,279 3,318,529 0.1%
Lakshmi Vilas Bank, Ltd. (The) 628,630 852,472 0.0%
* Lanco Infratech, Ltd. 1,815,800 25,630 0.0%
Larsen & Toubro Infotech, Ltd. 3,226 75,524 0.0%
Laurus Labs, Ltd. 79,308 601,876 0.0%
LEEL Electricals, Ltd. 73,531 253,153 0.0%
LG Balakrishnan & Bros, Ltd. 20,732 404,964 0.0%
Linde India, Ltd. 91,102 612,087 0.0%
LT Foods, Ltd. 736,889 995,110 0.0%
Lumax Industries, Ltd. 3,871 132,773 0.0%
LUX Industries, Ltd. 15,306 450,815 0.0%
Magma Fincorp, Ltd. 189,225 485,263 0.0%
Maharashtra Scooters, Ltd. 4,507 165,128 0.0%
Maharashtra Seamless, Ltd. 210,955 1,452,499 0.0%
Mahindra & Mahindra Financial Services, Ltd. 1,488,242 11,701,893 0.2%
* Mahindra CIE Automotive, Ltd. 290,499 1,092,932 0.0%
Mahindra Holidays & Resorts India, Ltd. 319,401 1,561,868 0.0%
Mahindra Lifespace Developers, Ltd. 144,374 1,007,594 0.0%
Maithan Alloys, Ltd. 32,370 393,692 0.0%
Majesco, Ltd. 96,730 828,246 0.0%
Man Infraconstruction, Ltd. 406,032 319,779 0.0%
Manappuram Finance, Ltd. 4,119,074 7,498,774 0.1%
Mangalam Cement, Ltd. 5,720 26,270 0.0%
Marksans Pharma, Ltd. 1,431,414 711,201 0.0%
Mastek, Ltd. 18,654 156,964 0.0%
* Max Financial Services, Ltd. 399,832 3,099,210 0.1%
* MAX India, Ltd. 960,513 1,139,246 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Mayur Uniquoters, Ltd. 85,327 $ 633,008 0.0%
McLeod Russel India, Ltd. 439,710 1,022,407 0.0%
Meghmani Organics, Ltd. 661,259 1,018,357 0.0%
MEP Infrastructure Developers, Ltd. 129,335 158,580 0.0%
Mercator, Ltd. 755,032 331,417 0.0%
Merck, Ltd. 47,301 1,496,673 0.0%
Minda Corp., Ltd. 198,926 547,716 0.0%
Minda Industries, Ltd. 70,213 1,166,864 0.0%
MindTree, Ltd. 861,247 13,930,546 0.2%
Mirza International, Ltd. 256,140 523,410 0.0%
MM Forgings, Ltd. 2,667 44,517 0.0%
MOIL, Ltd. 426,873 1,306,350 0.0%
Monsanto India, Ltd. 47,843 1,920,333 0.0%
Monte Carlo Fashions, Ltd. 8,972 73,219 0.0%
* Morepen Laboratories, Ltd. 1,468,378 820,007 0.0%
Motilal Oswal Financial Services, Ltd. 150,686 2,204,980 0.0%
Mphasis, Ltd. 585,835 9,236,477 0.1%
* MPS, Ltd. 38,083 375,565 0.0%
Multi Commodity Exchange of India, Ltd. 41,822 485,372 0.0%
Munjal Showa, Ltd. 39,839 135,209 0.0%
* Muthoot Capital Services, Ltd. 14,693 196,844 0.0%
Muthoot Finance, Ltd. 683,789 4,584,261 0.1%
* Nagarjuna Fertilizers & Chemicals, Ltd. 688,495 177,519 0.0%
* Narayana Hrudayalaya, Ltd. 136,731 561,834 0.0%
Natco Pharma, Ltd. 593,168 7,162,720 0.1%
National Aluminium Co., Ltd. 3,342,747 3,983,336 0.1%
National Fertilizers, Ltd. 87,654 74,144 0.0%
Nava Bharat Ventures, Ltd. 465,953 1,034,898 0.0%
Navin Fluorine International, Ltd. 79,411 912,353 0.0%
* Navkar Corp., Ltd. 172,764 454,742 0.0%
Navneet Education, Ltd. 693,444 1,517,981 0.0%
NBCC India, Ltd. 208,982 327,326 0.0%
NCC, Ltd. 3,509,710 6,965,284 0.1%
Nectar Lifesciences, Ltd. 229,932 93,577 0.0%
NESCO, Ltd. 189,147 1,658,489 0.0%
* Network 18 Media & Investments, Ltd. 295,560 237,864 0.0%
* Neuland Laboratories, Ltd. 12,517 133,033 0.0%
NIIT Technologies, Ltd. 306,008 5,271,271 0.1%
* NIIT, Ltd. 554,088 955,567 0.0%
Nilkamal, Ltd. 44,708 1,141,531 0.0%
NOCIL, Ltd. 427,549 1,386,796 0.0%
NRB Bearings, Ltd. 151,289 390,600 0.0%
Nucleus Software Exports, Ltd. 15,812 115,090 0.0%
Oberoi Realty, Ltd. 715,935 5,868,936 0.1%
OCL India, Ltd. 73,065 1,541,246 0.0%
Omaxe, Ltd. 332,416 1,104,993 0.0%
Orient Cement, Ltd. 418,388 889,242 0.0%
Orient Electric, Ltd. 307,079 506,354 0.0%
Orient Paper & Industries, Ltd. 307,079 194,314 0.0%
Orient Refractories, Ltd. 157,042 384,948 0.0%
* Oriental Bank of Commerce 588,747 825,032 0.0%
Oriental Carbon & Chemicals, Ltd. 12,474 220,619 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Orissa Minerals Development Co., Ltd. 1 $ 25 0.0%
Page Industries, Ltd. 32,419 11,697,609 0.2%
Paisalo Digital, Ltd. 7,508 33,822 0.0%
Panama Petrochem, Ltd. 122,555 400,626 0.0%
Parag Milk Foods, Ltd. 210,484 957,203 0.0%
* Parsvnath Developers, Ltd. 9,193 2,029 0.0%
* Patel Engineering, Ltd. 96,255 90,103 0.0%
PC Jeweller, Ltd. 836,526 1,770,223 0.0%
Persistent Systems, Ltd. 271,838 3,276,095 0.1%
Pfizer, Ltd. 91,657 3,122,943 0.1%
Phillips Carbon Black, Ltd. 297,455 1,152,717 0.0%
Phoenix Mills, Ltd. 344,947 3,213,251 0.1%
PI Industries, Ltd. 437,024 5,618,818 0.1%
Poly Medicure, Ltd. 54,673 212,472 0.0%
Polyplex Corp., Ltd. 40,526 290,212 0.0%
Power Mech Projects, Ltd. 6,197 94,597 0.0%
Prabhat Dairy, Ltd. 204,709 545,325 0.0%
Praj Industries, Ltd. 655,281 916,995 0.0%
* Prakash Industries, Ltd. 430,664 1,349,405 0.0%
* Praxis Home Retail, Ltd. 3,702 15,755 0.0%
Prestige Estates Projects, Ltd. 734,365 3,351,749 0.1%
* Prime Focus, Ltd. 120,134 172,162 0.0%
* Prism Cement, Ltd. 621,984 1,152,348 0.0%
Procter & Gamble Hygiene & Health Care, Ltd. 192 27,459 0.0%
PTC India Financial Services, Ltd. 1,650,202 623,050 0.0%
PTC India, Ltd. 1,758,724 2,412,232 0.0%
Puravankara, Ltd. 389,976 922,241 0.0%
PVR, Ltd. 180,325 3,882,488 0.1%
Quick Heal Technologies, Ltd. 12,990 64,695 0.0%
Radico Khaitan, Ltd. 458,108 2,852,116 0.1%
Rain Commodities, Ltd. 648,863 3,073,264 0.1%
Rajesh Exports, Ltd. 348,160 3,536,690 0.1%
Rallis India, Ltd. 493,675 1,633,399 0.0%
Ramco Cements, Ltd. (The) 485,411 5,992,536 0.1%
Ramco Industries, Ltd. 176,508 711,446 0.0%
* Ramco Systems, Ltd. 28,350 197,979 0.0%
Ramkrishna Forgings, Ltd. 70,345 876,272 0.0%
* Ramky Infrastructure, Ltd. 80,139 240,743 0.0%
Rane Holdings, Ltd. 12,422 498,245 0.0%
Rashtriya Chemicals & Fertilizers, Ltd. 768,568 924,710 0.0%
Ratnamani Metals & Tubes, Ltd. 66,098 961,416 0.0%
* RattanIndia Power, Ltd. 5,251,328 399,270 0.0%
Raymond, Ltd. 318,848 5,314,621 0.1%
Redington India, Ltd. 1,850,473 3,810,709 0.1%
* Relaxo Footwears, Ltd. 132,798 1,375,098 0.0%
Reliance Capital, Ltd. 983,665 6,372,051 0.1%
* Reliance Communications, Ltd. 8,827,821 2,002,327 0.0%
* Reliance Home Finance, Ltd. 983,665 911,067 0.0%
Reliance Infrastructure, Ltd. 994,174 6,664,692 0.1%
* Reliance Naval and Engineering, Ltd. 855,404 231,286 0.0%
* Reliance Power, Ltd. 5,374,443 2,959,254 0.1%
Repco Home Finance, Ltd. 200,944 1,924,709 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Rico Auto Industries, Ltd. 148,401 $ 173,228 0.0%
* Rolta India, Ltd. 356,162 328,834 0.0%
* Ruchi Soya Industries, Ltd. 200,054 45,516 0.0%
Rushil Decor, Ltd. 8,003 91,830 0.0%
Sadbhav Engineering, Ltd. 484,088 2,773,574 0.1%
Sadbhav Infrastructure Project, Ltd. 142,545 282,351 0.0%
Sagar Cements, Ltd. 15,163 236,556 0.0%
Sangam India, Ltd. 10,222 19,564 0.0%
* Sanghi Industries, Ltd. 334,528 565,519 0.0%
Sanghvi Movers, Ltd. 38,342 118,901 0.0%
Sanofi India, Ltd. 42,070 3,047,408 0.1%
Sanwaria Consumer, Ltd. 1,076,173 310,599 0.0%
Sarda Energy & Minerals, Ltd. 38,052 267,915 0.0%
Saregama India, Ltd. 52,535 566,973 0.0%
Sasken Technologies, Ltd. 31,014 449,829 0.0%
Savita Oil Technologies, Ltd. 1,504 32,633 0.0%
Schaeffler India, Ltd. 36,354 2,932,673 0.1%
Sequent Scientific, Ltd. 15,341 15,088 0.0%
SH Kelkar & Co., Ltd. 107,480 390,490 0.0%
Shanthi Gears, Ltd. 5,154 10,766 0.0%
Sharda Cropchem, Ltd. 72,068 434,905 0.0%
Sharda Motor Industries, Ltd. 2,845 81,578 0.0%
Shemaroo Entertainment, Ltd. 16,694 119,552 0.0%
Shilpa Medicare, Ltd. 112,295 788,411 0.0%
* Shipping Corp. of India, Ltd. 975,179 1,086,909 0.0%
Shoppers Stop, Ltd. 61,138 520,895 0.0%
Shriram City Union Finance, Ltd. 51,479 1,859,616 0.0%
* Shriram EPC Ltd. 106,141 41,052 0.0%
Shriram Transport Finance Co., Ltd. 90,738 2,179,811 0.0%
* Sical Logistics, Ltd. 65,637 206,347 0.0%
Simplex Infrastructures, Ltd. 111,735 1,010,078 0.0%
Sintex Industries, Ltd. 2,728,631 723,171 0.0%
* Sintex Plastics Technology, Ltd. 3,697,541 2,964,437 0.1%
* SITI Networks, Ltd. 1,597,465 404,933 0.0%
Siyaram Silk Mills, Ltd. 26,219 268,439 0.0%
SJVN, Ltd. 2,885,240 1,431,507 0.0%
SKF India, Ltd. 130,203 3,671,341 0.1%
Skipper, Ltd. 150,744 484,762 0.0%
SML ISUZU, Ltd. 42,899 570,836 0.0%
Sobha, Ltd. 398,680 3,266,818 0.1%
Solar Industries India, Ltd. 140,252 2,237,030 0.0%
* Solara Active Pharma Sciences, Ltd. 59,568 103,445 0.0%
Somany Ceramics, Ltd. 37,729 318,794 0.0%
Sonata Software, Ltd. 341,739 1,840,492 0.0%
* SORIL Holdings & Ventures, Ltd. 27,485 175,572 0.0%
South Indian Bank, Ltd. (The) 7,875,831 3,103,998 0.1%
SREI Infrastructure Finance, Ltd. 1,205,273 1,537,640 0.0%
SRF, Ltd. 130,770 4,659,520 0.1%
Srikalahasthi Pipes, Ltd. 112,732 582,544 0.0%
* Star Cement, Ltd. 183,269 359,683 0.0%
State Bank of India 640,412 2,351,911 0.0%
Sterlite Technologies, Ltd. 1,319,184 6,915,246 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
INDIA -- (Continued)
Strides Arcolab, Ltd. 353,724 $ 3,375,911 0.1%
Subros, Ltd. 90,966 441,420 0.0%
Sudarshan Chemical Industries, Ltd. 129,777 1,112,473 0.0%
* Sundaram Finance Holdings, Ltd. 56,821 125,536 0.0%
Sundaram Finance, Ltd. 56,821 1,499,152 0.0%
Sundaram-Clayton, Ltd. 5,693 429,473 0.0%
Sundram Fasteners, Ltd. 492,338 4,383,917 0.1%
Sunteck Realty, Ltd. 273,462 1,744,965 0.0%
Suprajit Engineering, Ltd. 189,395 787,592 0.0%
Supreme Industries, Ltd. 309,088 6,381,798 0.1%
Supreme Petrochem, Ltd. 159,422 738,526 0.0%
Surya Roshni, Ltd. 94,776 598,706 0.0%
Sutlej Textiles and Industries, Ltd. 90,167 95,640 0.0%
Suven Life Sciences, Ltd. 426,853 1,142,279 0.0%
* Suzlon Energy, Ltd. 15,310,443 2,473,174 0.0%
Swaraj Engines, Ltd. 25,172 797,124 0.0%
Symphony, Ltd. 54,894 1,490,722 0.0%
* Syndicate Bank 1,945,418 1,598,084 0.0%
Syngene International, Ltd. 145,712 1,355,586 0.0%
TAKE Solutions, Ltd. 388,754 1,249,607 0.0%
Tamil Nadu Newsprint & Papers, Ltd. 173,348 913,424 0.0%
Tata Chemicals, Ltd. 600,945 6,858,835 0.1%
Tata Communications, Ltd. 156,112 1,447,647 0.0%
Tata Elxsi, Ltd. 136,304 2,519,800 0.0%
Tata Global Beverages, Ltd. 2,778,424 12,344,622 0.2%
Tata Metaliks, Ltd. 70,832 874,097 0.0%
Tata Power Co., Ltd. (The) 1,742,793 2,285,217 0.0%
Tata Sponge Iron, Ltd. 37,056 592,264 0.0%
* Tata Teleservices Maharashtra, Ltd. 4,584,815 383,674 0.0%
TCI Express, Ltd. 123,000 972,294 0.0%
* Techno Electric & Engineering Co., Ltd. 261,424 1,343,201 0.0%
Texmaco Rail & Engineering, Ltd. 452,037 569,839 0.0%
Thermax, Ltd. 239,769 4,046,418 0.1%
Thirumalai Chemicals, Ltd. 28,679 938,628 0.0%
Thomas Cook India, Ltd. 191,189 835,201 0.0%
Thyrocare Technologies, Ltd. 43,255 431,940 0.0%
TI Financial Holdings, Ltd. 522,196 5,700,894 0.1%
Tide Water Oil Co India, Ltd. 6,814 651,263 0.0%
Time Technoplast, Ltd. 760,995 1,812,187 0.0%
Timken India, Ltd. 179,694 1,845,638 0.0%
Tinplate Co. of India, Ltd. (The) 200,035 687,532 0.0%
Titagarh Wagons, Ltd. 317,621 552,679 0.0%
Torrent Pharmaceuticals, Ltd. 21,081 448,122 0.0%
Torrent Power, Ltd. 1,102,960 4,054,509 0.1%
Tourism Finance Corp. of India, Ltd. 194,283 459,339 0.0%
Transport Corp. of India, Ltd. 252,375 1,102,925 0.0%
Trent, Ltd. 449,150 2,371,894 0.0%
Trident, Ltd. 764,283 782,297 0.0%
Triveni Engineering & Industries, Ltd. 461,377 279,297 0.0%
Triveni Turbine, Ltd. 412,775 615,316 0.0%
TTK Prestige, Ltd. 28,601 2,661,660 0.0%
Tube Investments of India, Ltd. 522,196 1,825,740 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
INDIA -- (Continued)
TV Today Network, Ltd. 166,610 $ 1,194,221 0.0%
* TV18 Broadcast, Ltd. 4,354,184 4,147,358 0.1%
TVS Srichakra, Ltd. 12,790 705,261 0.0%
* UCO Bank 1,375,491 403,357 0.0%
Uflex, Ltd. 232,965 1,176,260 0.0%
UFO Moviez India, Ltd. 38,046 222,335 0.0%
Unichem Laboratories, Ltd. 272,693 1,143,645 0.0%
* Union Bank of India 1,291,040 1,831,371 0.0%
* Unitech, Ltd. 10,664,431 919,851 0.0%
United Breweries, Ltd. 61,577 1,100,581 0.0%
UPL, Ltd. 220,106 2,405,712 0.0%
V-Guard Industries, Ltd. 1,094,212 3,916,214 0.1%
V-Mart Retail, Ltd. 38,063 1,180,122 0.0%
* V2 Retail, Ltd. 92,038 602,446 0.0%
VA Tech Wabag, Ltd. 263,438 1,997,151 0.0%
* Vaibhav Global, Ltd. 49,067 526,474 0.0%
Vardhman Textiles, Ltd. 147,950 2,714,507 0.0%
Venky's India, Ltd. 40,885 2,381,659 0.0%
Vesuvius India, Ltd. 9,930 197,797 0.0%
Vijaya Bank 1,985,203 1,892,096 0.0%
Vinati Organics, Ltd. 73,728 982,758 0.0%
Vindhya Telelinks, Ltd. 8,879 161,137 0.0%
VIP Industries, Ltd. 466,160 2,903,668 0.1%
Visaka Industries, Ltd. 27,778 327,218 0.0%
Voltas, Ltd. 494,265 4,731,326 0.1%
* VRL Logistics, Ltd. 197,305 1,249,716 0.0%
VST Industries, Ltd. 30,720 1,404,702 0.0%
VST Tillers Tractors, Ltd. 11,356 516,584 0.0%
WABCO India, Ltd. 27,700 3,342,405 0.1%
Welspun Corp., Ltd. 775,975 1,640,320 0.0%
Welspun Enterprises, Ltd. 411,154 924,136 0.0%
Welspun India, Ltd. 2,373,128 2,027,790 0.0%
West Coast Paper Mills, Ltd. 116,197 498,683 0.0%
Wheels India, Ltd. 1,724 56,855 0.0%
Whirlpool of India, Ltd. 86,730 2,054,634 0.0%
* Wockhardt, Ltd. 207,973 2,591,199 0.0%
Wonderla Holidays, Ltd. 70,436 388,564 0.0%
Zee Learn, Ltd. 956,093 505,807 0.0%
* Zee Media Corp., Ltd. 838,464 463,182 0.0%
Zensar Technologies, Ltd. 115,503 2,201,305 0.0%
Zuari Agro Chemicals, Ltd. 16,783 124,425 0.0%
Zydus Wellness, Ltd. 91,576 1,858,536 0.0%
-------------- ----
TOTAL INDIA 1,109,352,255 14.2%
-------------- ----
INDONESIA -- (2.7%)
Ace Hardware Indonesia Tbk PT 55,652,000 5,201,019 0.1%
Acset Indonusa Tbk PT 65,000 12,979 0.0%
Adhi Karya Persero Tbk PT 15,974,788 2,136,892 0.0%
Agung Podomoro Land Tbk PT 50,464,100 766,593 0.0%
AKR Corporindo Tbk PT 13,583,300 4,756,298 0.1%
Alam Sutera Realty Tbk PT 94,303,400 2,457,714 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
INDONESIA -- (Continued)
Aneka Tambang Tbk PT 76,230,291 $ 4,581,532 0.1%
Arwana Citramulia Tbk PT 29,196,500 729,148 0.0%
Asahimas Flat Glass Tbk PT 978,600 359,142 0.0%
Astra Agro Lestari Tbk PT 2,686,600 2,463,095 0.0%
Astra Graphia Tbk PT 2,211,000 230,251 0.0%
Astra Otoparts Tbk PT 631,600 78,136 0.0%
* Asuransi Kresna Mitra Tbk PT 5,428,500 288,627 0.0%
* Bakrie and Brothers Tbk PT 139,233,000 500,388 0.0%
* Bakrie Telecom Tbk PT 49,756,298 178,819 0.0%
* Bank Artha Graha Internasional Tbk PT 6,018,100 38,860 0.0%
Bank Bukopin Tbk 36,050,766 1,104,942 0.0%
* Bank Ina Perdana PT 5,644,900 218,808 0.0%
Bank Maybank Indonesia Tbk PT 5,144,600 95,205 0.0%
* Bank Nationalnobu Tbk PT 715,800 46,763 0.0%
* Bank Pan Indonesia Tbk PT 28,300,400 1,919,871 0.0%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 22,623,700 3,347,876 0.1%
Bank Pembangunan Daerah Jawa Timur Tbk PT 28,802,100 1,476,542 0.0%
* Bank Permata Tbk PT 25,919,802 1,032,717 0.0%
Bank Tabungan Negara Persero Tbk PT 5,014,549 1,117,530 0.0%
Bank Tabungan Pensiunan Nasional Tbk PT 687,700 144,237 0.0%
* Barito Pacific Tbk PT 18,782,300 3,321,060 0.1%
Bekasi Fajar Industrial Estate Tbk PT 38,131,800 726,963 0.0%
* Benakat Integra Tbk PT 133,672,100 689,288 0.0%
BFI Finance Indonesia Tbk PT 648,400 37,688 0.0%
* Bintang Oto Global Tbk PT 631,600 27,900 0.0%
BISI International Tbk PT 16,025,900 2,198,159 0.0%
Blue Bird Tbk PT 2,078,900 422,944 0.0%
* Buana Lintas Lautan Tbk PT 653,800 5,412 0.0%
Bukit Asam Tbk PT 10,651,300 2,462,425 0.0%
* Bumi Resources Tbk PT 70,558,100 1,208,515 0.0%
* Bumi Teknokultura Unggul Tbk PT 57,107,600 555,079 0.0%
Catur Sentosa Adiprana Tbk PT 2,986,100 129,240 0.0%
Ciputra Development Tbk PT 109,002,020 8,574,433 0.1%
* Citra Marga Nusaphala Persada Tbk PT 18,379,502 1,846,782 0.0%
* Clipan Finance Indonesia Tbk PT 1,482,000 34,720 0.0%
* Delta Dunia Makmur Tbk PT 35,879,700 2,223,497 0.0%
Dharma Satya Nusantara Tbk PT 2,071,600 63,446 0.0%
* Eagle High Plantations Tbk PT 102,829,300 1,839,133 0.0%
Elnusa Tbk PT 31,603,800 955,882 0.0%
* Energi Mega Persada Tbk PT 30,715,900 457,108 0.0%
Erajaya Swasembada Tbk PT 10,697,000 1,310,367 0.0%
* Eureka Prima Jakarta Tbk PT 10,333,800 56,915 0.0%
Fajar Surya Wisesa Tbk PT 808,400 328,899 0.0%
Gajah Tunggal Tbk PT 14,278,000 833,572 0.0%
* Garuda Indonesia Persero Tbk PT 45,535,149 935,396 0.0%
Global Mediacom Tbk PT 65,455,600 2,719,097 0.1%
* Hanson International Tbk PT 366,223,700 3,695,299 0.1%
* Harum Energy Tbk PT 7,937,900 1,452,293 0.0%
Hexindo Adiperkasa Tbk PT 508,500 122,450 0.0%
* Holcim Indonesia Tbk PT 6,836,200 392,692 0.0%
Impack Pratama Industri Tbk PT 169,800 12,142 0.0%
Indah Kiat Pulp & Paper Corp. Tbk PT 15,829,900 14,945,460 0.2%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
INDONESIA -- (Continued)
* Indika Energy Tbk PT 12,820,200 $3,115,945 0.1%
Indo Tambangraya Megah Tbk PT 2,841,900 4,816,032 0.1%
* Indofarma Persero Tbk PT 30,500 12,471 0.0%
Indosat Tbk PT 238,100 64,533 0.0%
Industri Jamu Dan Farmasi Sido Muncul Tbk PT 19,526,400 1,143,386 0.0%
Inovisi Infracom Tbk PT 1,806,467 390 0.0%
* Inti Agri Resources Tbk PT 16,469,700 248,011 0.0%
Intiland Development Tbk PT 67,911,532 1,502,906 0.0%
Japfa Comfeed Indonesia Tbk PT 42,139,500 4,563,931 0.1%
Jaya Real Property Tbk PT 13,610,300 802,115 0.0%
Kawasan Industri Jababeka Tbk PT 158,397,457 2,796,428 0.1%
KMI Wire & Cable Tbk PT 17,852,200 560,948 0.0%
* Krakatau Steel Persero Tbk PT 34,945,702 1,102,010 0.0%
* Kresna Graha Investama Tbk PT 104,573,400 4,922,544 0.1%
Link Net Tbk PT 6,324,700 2,463,536 0.0%
* Lippo Cikarang Tbk PT 3,930,000 651,242 0.0%
Lippo Karawaci Tbk PT 124,895,000 3,989,316 0.1%
Malindo Feedmill Tbk PT 7,226,400 404,707 0.0%
Matahari Department Store Tbk PT 200,300 148,307 0.0%
* Matahari Putra Prima Tbk PT 10,215,728 249,340 0.0%
* Medco Energi Internasional Tbk PT 62,649,733 5,384,373 0.1%
Media Nusantara Citra Tbk PT 27,288,200 2,581,640 0.1%
* Mega Manunggal Property Tbk PT 1,096,800 46,225 0.0%
Metrodata Electronics Tbk PT 1,048,500 57,329 0.0%
Metropolitan Kentjana Tbk PT 7,900 13,058 0.0%
* Minna Padi Investama Tbk PT 62,900 2,362 0.0%
Mitra Adiperkasa Tbk PT 6,467,900 3,834,703 0.1%
Mitra Keluarga Karyasehat Tbk PT 4,722,400 652,559 0.0%
Mitra Pinasthika Mustika Tbk PT 6,567,100 542,922 0.0%
* MNC Investama Tbk PT 193,556,400 1,438,866 0.0%
* MNC Land Tbk PT 1,031,700 92,704 0.0%
* MNC Vision Network PT 1,540,200 77,126 0.0%
Modernland Realty Tbk PT 85,525,100 2,178,764 0.0%
Multipolar Tbk PT 53,453,100 471,219 0.0%
* Multistrada Arah Sarana Tbk PT 6,893,700 153,977 0.0%
Nippon Indosari Corpindo Tbk PT 19,082,689 1,726,265 0.0%
* Nirvana Development Tbk PT 12,056,400 78,535 0.0%
Nusantara Infrastructure Tbk PT 111,055,500 1,562,199 0.0%
Pabrik Kertas Tjiwi Kimia Tbk PT 4,650,900 3,426,633 0.1%
* Pacific Strategic Financial Tbk PT 5,979,900 217,237 0.0%
Pakuwon Jati Tbk PT 19,517,800 825,012 0.0%
Pan Brothers Tbk PT 28,932,000 954,491 0.0%
* Panin Financial Tbk PT 146,358,300 2,472,699 0.0%
* Panin Insurance Tbk PT 8,919,100 731,848 0.0%
Panin Sekuritas Tbk PT 31,500 3,735 0.0%
* Pelat Timah Nusantara Tbk PT 52,300 18,014 0.0%
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 27,446,700 2,482,072 0.1%
* Pool Advista Indonesia Tbk PT 5,203,000 1,758,424 0.0%
PP Persero Tbk PT 26,675,014 4,630,085 0.1%
PP Properti Tbk PT 92,869,900 1,063,561 0.0%
Ramayana Lestari Sentosa Tbk PT 28,633,300 2,922,127 0.1%
Resource Alam Indonesia Tbk PT 2,456,000 70,289 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
INDONESIA -- (Continued)
* Rimo International Lestari Tbk PT 95,650,300 $ 946,603 0.0%
Salim Ivomas Pratama Tbk PT 34,236,200 1,387,276 0.0%
Sampoerna Agro PT 5,969,300 1,008,745 0.0%
Sawit Sumbermas Sarana Tbk PT 19,169,100 1,803,620 0.0%
* Sekawan Intipratama Tbk PT 9,367,900 53,868 0.0%
Selamat Sempurna Tbk PT 21,783,500 2,268,508 0.0%
Semen Baturaja Persero Tbk PT 22,194,700 6,682,890 0.1%
* Sentul City Tbk PT 177,404,700 2,367,455 0.0%
* Siloam International Hospitals Tbk PT 3,727,450 1,876,818 0.0%
Sinar Mas Agro Resources & Technology Tbk PT 1,037,460 275,934 0.0%
* Sitara Propertindo Tbk PT 30,427,300 1,771,030 0.0%
Sri Rejeki Isman Tbk PT 69,942,631 1,714,082 0.0%
Steel Pipe Industry of Indonesia PT 5,809,800 51,189 0.0%
* Sugih Energy Tbk PT 100,457,800 361,034 0.0%
Sumber Alfaria Trijaya Tbk PT 293,400 13,702 0.0%
Summarecon Agung Tbk PT 70,356,364 4,552,055 0.1%
Surya Semesta Internusa Tbk PT 32,513,600 1,243,167 0.0%
Tempo Scan Pacific Tbk PT 1,314,400 149,921 0.0%
* Tiga Pilar Sejahtera Food Tbk 19,238,200 750,029 0.0%
Timah Tbk PT 26,432,514 1,934,673 0.0%
Tiphone Mobile Indonesia Tbk PT 18,845,000 1,115,788 0.0%
Total Bangun Persada Tbk PT 13,256,800 647,090 0.0%
Tower Bersama Infrastructure Tbk PT 5,646,800 2,248,964 0.0%
* Trada Alam Minera Tbk PT 167,946,900 3,907,462 0.1%
Trias Sentosa Tbk PT 33,492,700 920,919 0.0%
* Truba Alam Manunggal Engineering PT 21,316,500 7,661 0.0%
Tunas Baru Lampung Tbk PT 20,389,900 1,727,468 0.0%
Tunas Ridean Tbk PT 12,252,300 1,188,891 0.0%
Ultrajaya Milk Industry & Trading Co. Tbk PT 14,873,500 1,587,461 0.0%
Unggul Indah Cahaya Tbk PT 48,239 12,236 0.0%
* Vale Indonesia Tbk PT 17,738,100 3,988,203 0.1%
* Visi Media Asia Tbk PT 58,082,200 1,501,968 0.0%
Waskita Beton Precast Tbk PT 55,410,500 1,599,993 0.0%
Wijaya Karya Beton Tbk PT 20,302,800 693,238 0.0%
Wijaya Karya Persero Tbk PT 25,733,007 2,917,991 0.1%
* XL Axiata Tbk PT 2,051,200 310,891 0.0%
------------ ---
TOTAL INDONESIA 221,486,214 2.8%
------------ ---
MALAYSIA -- (3.1%)
# 7-Eleven Malaysia Holdings Bhd Class B 2,618,800 1,014,341 0.0%
Aeon Co. M Bhd 4,025,600 2,071,193 0.0%
# Aeon Credit Service M Bhd 682,300 2,270,138 0.1%
Affin Bank Bhd 1,576,220 1,008,729 0.0%
#* AirAsia X Bhd 17,602,300 1,712,603 0.0%
Ajinomoto Malaysia Bhd 113,300 633,596 0.0%
Alliance Bank Malaysia Bhd 3,282,200 3,623,486 0.1%
Allianz Malaysia Bhd 114,000 335,872 0.0%
Amway Malaysia Holdings Bhd 294,000 567,230 0.0%
# Ann Joo Resources Bhd 787,050 590,030 0.0%
APM Automotive Holdings Bhd 256,900 220,778 0.0%
Benalec Holdings Bhd 3,667,000 273,668 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
#* Berjaya Assets BHD 3,305,200 $ 385,011 0.0%
* Berjaya Corp. Bhd 23,607,127 1,736,386 0.0%
Berjaya Food Bhd 370,400 162,044 0.0%
* Berjaya Land Bhd 3,734,000 300,651 0.0%
Berjaya Sports Toto Bhd 4,198,867 2,244,653 0.0%
#* Bermaz Auto Bhd 4,921,800 2,778,535 0.1%
BIMB Holdings Bhd 1,490,308 1,582,812 0.0%
Bintulu Port Holdings Bhd 25,900 39,324 0.0%
# Bonia Corp. Bhd 1,427,000 148,784 0.0%
* Borneo Aqua Harvest Bhd 120,300 35,620 0.0%
#* Borneo Oil Bhd 6,671,999 151,384 0.0%
Boustead Holdings Bhd 2,775,328 1,813,553 0.0%
# Boustead Plantations Bhd 3,007,900 956,127 0.0%
#* Bumi Armada Bhd 17,512,700 3,732,877 0.1%
Bursa Malaysia Bhd 5,366,700 9,846,080 0.1%
CAB Cakaran Corp. Bhd 2,050,200 441,002 0.0%
Cahya Mata Sarawak Bhd 3,362,500 3,455,358 0.1%
Can-One Bhd 435,800 279,378 0.0%
# Carlsberg Brewery Malaysia Bhd 1,217,100 6,133,681 0.1%
# CB Industrial Product Holding Bhd 2,733,840 1,022,589 0.0%
CCM Duopharma Biotech Bhd 152,800 112,254 0.0%
Century Logistics Holdings Bhd Class B 1,140,500 212,745 0.0%
Chin Teck Plantations Bhd 33,000 58,613 0.0%
Coastal Contracts Bhd 1,880,866 562,173 0.0%
* Comfort Glove Bhd 687,200 135,251 0.0%
CSC Steel Holdings Bhd 875,500 301,335 0.0%
Cypark Resources Bhd 1,059,700 664,649 0.0%
D&O Green Technologies Bhd 3,253,600 518,820 0.0%
# Dagang NeXchange Bhd 9,409,900 946,506 0.0%
Daibochi Plastic & Packaging Industry Bhd 133,056 75,243 0.0%
# Datasonic Group Bhd 3,464,100 796,657 0.0%
* Dayang Enterprise Holdings Bhd 2,370,596 468,164 0.0%
#* Destinii Bhd 2,853,000 317,342 0.0%
DKSH Holdings Malaysia Bhd 32,400 29,586 0.0%
# DRB-Hicom Bhd 6,676,000 3,655,053 0.1%
Dutch Lady Milk Industries BHD 141,100 2,428,257 0.1%
# Eastern & Oriental Bhd 6,217,847 2,212,179 0.0%
#* Eco World Development Group Bhd 7,097,100 2,072,827 0.0%
# Econpile Holldings Bhd 4,724,750 1,231,269 0.0%
# Ekovest Bhd 7,754,850 1,609,983 0.0%
Engtex Group Bhd 410,200 101,531 0.0%
# Evergreen Fibreboard Bhd 4,241,250 457,880 0.0%
Excel Force MSC Bhd 845,100 213,103 0.0%
FAR East Holdings Bhd 61,500 173,631 0.0%
# Felda Global Ventures Holdings Bhd 10,509,200 4,548,187 0.1%
# Gabungan AQRS Bhd 1,795,500 765,893 0.0%
Gadang Holdings Bhd 2,590,300 534,700 0.0%
# Gas Malaysia Bhd 1,164,100 851,824 0.0%
# George Kent Malaysia BHD 2,578,000 2,572,585 0.1%
# Globetronics Technology Bhd 1,817,860 1,989,229 0.0%
Glomac Bhd 3,140,280 387,977 0.0%
Guan Chong Bhd 22,600 8,220 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
# GuocoLand Malaysia Bhd 1,578,400 $ 365,107 0.0%
Hai-O Enterprise Bhd 1,171,420 1,477,681 0.0%
HAP Seng Consolidated Bhd 1,665,340 4,143,729 0.1%
Hap Seng Plantations Holdings Bhd 1,284,500 802,647 0.0%
# Heineken Malaysia Bhd 965,000 5,016,946 0.1%
Hengyuan Refining Co. Bhd 846,300 1,617,120 0.0%
# HeveaBoard Bhd 2,917,000 576,112 0.0%
* Hiap Teck Venture Bhd 6,471,400 618,546 0.0%
#* Hibiscus Petroleum Bhd 6,437,600 1,229,489 0.0%
Hock Seng LEE BHD 1,371,808 535,061 0.0%
Hong Leong Industries Bhd 641,400 1,758,040 0.0%
HSS Engineers Bhd 610,800 221,109 0.0%
Hua Yang Bhd 1,873,866 226,343 0.0%
Hume Industries Bhd 281,872 127,777 0.0%
Hup Seng Industries Bhd 1,433,633 394,378 0.0%
I-Bhd 2,260,900 276,204 0.0%
IFCA MSC Bhd 203,100 14,641 0.0%
IGB Bhd 604,277 452,372 0.0%
IJM Plantations Bhd 1,595,400 959,024 0.0%
# Inari Amertron Bhd 9,034,545 3,913,242 0.1%
Inch Kenneth Kajang Rubber P.L.C. 1,045,300 183,556 0.0%
Insas Bhd 3,987,881 772,569 0.0%
* Iris Corp. Bhd 12,704,400 526,493 0.0%
#* Iskandar Waterfront City Bhd 3,063,100 559,365 0.0%
#* JAKS Resources Bhd 2,581,000 932,410 0.0%
# Jaya Tiasa Holdings Bhd 3,143,327 629,191 0.0%
# JCY International Bhd 3,967,600 307,220 0.0%
JHM Consolidation Bhd 125,300 34,831 0.0%
# Karex Bhd 2,710,149 527,401 0.0%
Keck Seng Malaysia Bhd 858,750 873,110 0.0%
Kenanga Investment Bank Bhd 1,871,360 277,267 0.0%
# Kerjaya Prospek Group Bhd 1,810,180 704,948 0.0%
Kesm Industries Bhd 65,400 261,050 0.0%
Kian JOO CAN Factory Bhd 1,801,180 1,167,700 0.0%
Kim Loong Resources Bhd 997,080 329,268 0.0%
# Kimlun Corp. Bhd 706,409 381,028 0.0%
#* KNM Group Bhd 13,496,680 702,453 0.0%
Kossan Rubber Industries 2,910,000 4,939,735 0.1%
# KPJ Healthcare Bhd 22,454,500 5,298,993 0.1%
# Kretam Holdings Bhd 4,653,800 969,631 0.0%
* KSL Holdings Bhd 4,681,218 1,130,297 0.0%
Kumpulan Fima Bhd 880,850 331,674 0.0%
Kumpulan Perangsang Selangor Bhd 1,580,100 532,779 0.0%
* Kwantas Corp. Bhd 243,000 89,366 0.0%
#* Lafarge Malayan Bhd 1,196,200 1,282,123 0.0%
Land & General Bhd 15,164,960 652,370 0.0%
* Landmarks BHD 1,775,200 315,966 0.0%
# LBS Bina Group Bhd 4,417,380 1,079,307 0.0%
Lii Hen Indsustries Bhd 775,400 508,833 0.0%
Lingkaran Trans Kota Holdings Bhd 1,257,000 1,742,612 0.0%
#* Lion Industries Corp. Bhd 2,663,300 635,005 0.0%
# LPI Capital Bhd 357,324 1,495,132 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
Magni-Tech Industries Bhd 364,800 $ 417,109 0.0%
# Magnum Bhd 5,097,700 2,322,044 0.1%
Mah Sing Group Bhd 9,866,187 2,556,264 0.1%
Malakoff Corp. Bhd 8,011,400 1,837,752 0.0%
Malayan Flour Mills Bhd 2,022,650 788,506 0.0%
* Malayan United Industries Bhd 2,568,600 110,141 0.0%
Malaysia Building Society Bhd 7,911,263 2,309,196 0.1%
# Malaysia Marine and Heavy Engineering Holdings Bhd 1,698,800 341,440 0.0%
* Malaysian Bulk Carriers Bhd 2,787,000 459,534 0.0%
Malaysian Pacific Industries Bhd 771,813 1,525,323 0.0%
# Malaysian Resources Corp. Bhd 12,953,298 3,365,068 0.1%
Malton Bhd 3,090,500 633,121 0.0%
# Matrix Concepts Holdings Bhd 2,818,158 1,445,980 0.0%
MBM Resources Bhd 1,379,696 840,182 0.0%
# Media Chinese International, Ltd. 4,708,500 365,231 0.0%
# Media Prima Bhd 6,440,803 518,935 0.0%
Mega First Corp. Bhd 1,198,800 1,006,139 0.0%
Mitrajaya Holdings Bhd 2,495,610 376,279 0.0%
* MK Land Holdings Bhd 3,019,200 122,556 0.0%
# MKH Bhd 2,280,734 798,374 0.0%
# MMC Corp. Bhd 2,055,100 748,625 0.0%
* MNRB Holdings Bhd 1,167,050 725,450 0.0%
#* MPHB Capital Bhd 1,429,100 458,173 0.0%
Muda Holdings Bhd 303,400 167,499 0.0%
* Mudajaya Group Bhd 2,167,066 363,499 0.0%
Muhibbah Engineering M Bhd 2,475,450 1,859,250 0.0%
* Mulpha International Bhd 1,345,930 699,005 0.0%
* Naim Holdings Bhd 1,264,500 305,944 0.0%
NTPM Holdings Bhd 640,000 88,518 0.0%
# OCK Group Bhd 1,962,300 399,420 0.0%
Oriental Holdings Bhd 481,700 769,086 0.0%
OSK Holdings Bhd 8,212,455 2,082,824 0.0%
Pacific & Orient Bhd 239,167 65,871 0.0%
# Padini Holdings Bhd 2,987,800 3,228,741 0.1%
Panasonic Manufacturing Malaysia BHD 158,984 1,414,420 0.0%
Pantech Group Holdings Bhd 2,443,030 364,737 0.0%
Paramount Corp. Bhd 726,725 347,739 0.0%
#* Parkson Holdings Bhd 2,674,947 270,659 0.0%
#* Pentamaster Corp., Bhd 1,209,520 580,524 0.0%
* Perdana Petroleum Bhd 720,333 42,503 0.0%
#* PESTECH International Bhd 1,856,000 742,846 0.0%
# Petron Malaysia Refining & Marketing Bhd 491,300 965,503 0.0%
Pharmaniaga Bhd 649,060 691,248 0.0%
# Pie Industrial BHD 1,306,900 459,472 0.0%
# POS Malaysia BHD 2,923,200 2,736,920 0.1%
Power Root Bhd 189,500 67,222 0.0%
Prestariang Bhd 140,400 51,430 0.0%
Protasco Bhd 2,718,975 541,226 0.0%
#* Puncak Niaga Holdings Bhd 1,671,020 197,290 0.0%
# QL Resources Bhd 5,073,159 6,635,828 0.1%
Ranhill Holdings Bhd 61,300 10,809 0.0%
RGB International Bhd 2,064,200 125,032 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
#* Rimbunan Sawit Bhd 3,667,900 $ 292,637 0.0%
* Salcon Bhd 3,458,733 350,325 0.0%
Salutica Bhd 275,500 37,185 0.0%
Sam Engineering & Equipment M Bhd 160,400 280,735 0.0%
# Sapura Energy Bhd 26,988,800 4,344,939 0.1%
Sarawak Oil Palms Bhd 1,033,504 946,076 0.0%
SCGM Bhd 20,100 7,630 0.0%
Scicom MSC Bhd 353,200 185,137 0.0%
# Scientex Bhd 1,528,224 2,961,120 0.1%
* Scomi Group Bhd 2,096,350 58,727 0.0%
# SEG International Bhd 145,885 24,294 0.0%
Selangor Dredging Bhd 1,118,200 216,372 0.0%
# Selangor Properties Bhd 230,200 245,944 0.0%
# Serba Dinamik Holdings Bhd 550,300 464,804 0.0%
Shangri-La Hotels Malaysia Bhd 426,800 637,881 0.0%
SHL Consolidated Bhd 246,000 158,094 0.0%
# SKP Resources Bhd 5,257,600 1,979,701 0.0%
# Star Media Group Bhd 1,923,800 536,818 0.0%
* Sumatec Resources Bhd 12,844,200 213,449 0.0%
* Sunsuria Bhd 49,400 13,262 0.0%
# Sunway Bhd 2,402,479 921,496 0.0%
# Sunway Construction Group Bhd 1,853,836 1,059,101 0.0%
# Supermax Corp. Bhd 3,327,100 2,427,648 0.1%
Suria Capital Holdings Bhd 699,800 296,459 0.0%
Syarikat Takaful Malaysia Bhd 2,358,400 2,082,284 0.0%
Symphony Life Bhd 439,187 79,348 0.0%
# Ta Ann Holdings Bhd 1,647,489 1,314,139 0.0%
# TA Enterprise Bhd 8,873,900 1,250,552 0.0%
TA Global Bhd 8,747,540 622,575 0.0%
# Taliworks Corp. Bhd 2,231,650 465,043 0.0%
Tambun Indah Land Bhd 1,389,500 259,524 0.0%
TAN Chong Motor Holdings Bhd 1,625,200 695,173 0.0%
Tasek Corp. Bhd 86,800 180,847 0.0%
# TDM Bhd 5,725,420 492,904 0.0%
TH Plantations Bhd 1,616,060 297,983 0.0%
Thong Guan Industries Bhd 230,900 144,166 0.0%
# Time dotCom Bhd 2,063,588 4,218,818 0.1%
Tiong NAM Logistics Holdings 1,439,016 398,557 0.0%
Titijaya Land Bhd 186,100 21,625 0.0%
# TMC Life Sciences Bhd 1,230,100 234,531 0.0%
Tropicana Corp. Bhd 4,261,355 953,807 0.0%
TSH Resources Bhd 4,102,200 1,344,730 0.0%
# Tune Protect Group Bhd 3,855,300 703,316 0.0%
# Uchi Technologies Bhd 1,630,400 1,123,726 0.0%
UEM Edgenta Bhd 2,702,400 1,655,182 0.0%
* UEM Sunrise Bhd 12,259,000 2,871,390 0.1%
#* UMW Holdings Bhd 955,600 1,483,622 0.0%
#* UMW Oil & Gas Corp. Bhd 26,275,708 1,787,739 0.0%
# Unisem M Bhd 3,906,890 1,785,796 0.0%
United Malacca Bhd 447,250 695,737 0.0%
United Plantations Bhd 436,000 2,958,832 0.1%
United U-Li Corp. Bhd 613,900 248,781 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
MALAYSIA -- (Continued)
UOA Development Bhd 4,855,600 $ 2,999,875 0.1%
ViTrox Corp. Bhd 775,800 1,017,449 0.0%
#* Vivocom International Holdings Bhd 7,000,700 115,237 0.0%
# VS Industry Bhd 5,480,030 3,119,508 0.1%
* Wah Seong Corp. Bhd 2,187,269 786,168 0.0%
#* WCE Holdings Bhd 758,500 187,622 0.0%
#* WCT Holdings Bhd 7,319,802 2,283,823 0.1%
# Wellcall Holdings Bhd 2,990,700 1,006,526 0.0%
WTK Holdings Bhd 2,322,000 395,862 0.0%
# Yinson Holdings BHD 3,684,000 3,703,610 0.1%
* YNH Property Bhd 3,521,488 1,229,568 0.0%
#* Yong Tai BHD 1,273,200 470,641 0.0%
* YTL Land & Development Bhd 1,028,200 121,891 0.0%
Zhulian Corp. Bhd 585,033 220,468 0.0%
------------ ---
TOTAL MALAYSIA 254,515,726 3.3%
------------ ---
MEXICO -- (2.3%)
Alpek S.A.B. de C.V. 4,175,735 5,965,958 0.1%
# Alsea S.A.B. de C.V. 5,090,080 18,896,552 0.3%
#* Axtel S.A.B. de C.V. 7,917,886 1,795,089 0.0%
Banco del Bajio SA 301,396 642,854 0.0%
* Bio Pappel S.A.B. de C.V. 360,076 347,714 0.0%
Bolsa Mexicana de Valores S.A.B. de C.V. 4,098,507 7,915,607 0.1%
* CMR S.A.B. de C.V. 1,323 349 0.0%
Consorcio ARA S.A.B. de C.V. Series * 8,536,918 3,218,111 0.0%
* Controladora Vuela Cia de Aviacion S.A.B. de C.V. ADR 205,047 1,279,493 0.0%
#* Controladora Vuela Cia de Aviacion S.A.B. de C.V. Class A 1,727,133 1,080,494 0.0%
* Corp Interamericana de Entretenimiento S.A.B. de C.V.
Class B 960,372 942,551 0.0%
Corp. Actinver S.A.B. de C.V. 187,852 137,609 0.0%
Corp. Inmobiliaria Vesta S.A.B. de C.V. 5,603,084 8,044,188 0.1%
Corp. Moctezuma S.A.B. de C.V. Series * 861,300 3,500,087 0.1%
Corporativo Fragua S.A.B. de C.V. 3 39 0.0%
Corporativo GBM S.A.B. de C.V. 22,477 15,612 0.0%
Corpovael S.A. de C.V. 73,341 54,549 0.0%
# Credito Real S.A.B. de C.V. SOFOM ER 1,659,003 2,416,379 0.0%
Cydsa S.A.B. de C.V. 3,875 6,527 0.0%
* Desarrolladora Homex S.A.B. de C.V. 303,783 2,891 0.0%
#* Elementia S.A.B. de C.V. 574,539 513,035 0.0%
#* Empresas ICA S.A.B. de C.V. 3,768,186 28,261 0.0%
* Financiera Independencia S.A.B. de C.V. SOFOM ENR 62,171 9,640 0.0%
#* Genomma Lab Internacional S.A.B. de C.V. Class B 7,268,330 7,046,010 0.1%
# Gentera S.A.B. de C.V. 8,007,004 6,370,650 0.1%
#* Grupo Aeromexico S.A.B. de C.V. 1,883,378 2,626,370 0.0%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 2,460,734 12,979,936 0.2%
Grupo Cementos de Chihuahua S.A.B. de C.V. 888,135 5,176,262 0.1%
# Grupo Comercial Chedraui S.A. de C.V. 3,005,046 6,322,759 0.1%
* Grupo Famsa S.A.B. de C.V. Class A 2,385,086 1,562,251 0.0%
Grupo Financiero Interacciones SA de C.V. Class O 804,047 3,934,239 0.1%
#* Grupo GICSA S.A. de C.V. 1,565,921 822,228 0.0%
Grupo Herdez S.A.B. de C.V. Series * 1,985,528 4,757,313 0.1%
* Grupo Hotelero Santa Fe S.A.B. de C.V. 375,462 215,616 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (Continued)
Grupo Industrial Saltillo S.A.B. de C.V. 949,753 $ 1,440,216 0.0%
Grupo KUO S.A.B. de C.V. Series B 758,658 1,703,751 0.0%
# Grupo Lala S.A.B. de C.V. 333,966 426,430 0.0%
* Grupo Pochteca S.A.B. de C.V. 585,177 289,427 0.0%
Grupo Posadas S.A.B. de C.V. 198,900 372,232 0.0%
# Grupo Rotoplas S.A.B. de C.V. 643,003 981,246 0.0%
Grupo Sanborns S.A.B. de C.V. 905,924 936,826 0.0%
#* Grupo Simec S.A.B. de C.V. Series B 1,221,725 3,974,417 0.1%
* Grupo Sports World S.A.B. de C.V. 583,706 568,037 0.0%
#* Hoteles City Express S.A.B. de C.V. 2,041,875 2,893,249 0.0%
Industrias Bachoco S.A.B. de C.V. Series B 1,350,035 6,925,570 0.1%
Industrias Bachoco S.A.B. de C.V. Sponsored ADR 30,230 1,867,609 0.0%
* Industrias CH S.A.B. de C.V. Series B 1,952,195 9,727,546 0.1%
#* La Comer S.A.B. de C.V. 3,269,579 3,393,346 0.1%
#* Maxcom Telecomunicaciones S.A.B. de C.V. 246,465 94,226 0.0%
Megacable Holdings S.A.B. de C.V. 1,420,832 6,528,273 0.1%
#* Minera Frisco S.A.B. de C.V. 2,242,920 1,228,074 0.0%
# Nemak S.A.B. de C.V. 4,280,261 3,213,277 0.0%
# OHL Mexico S.A.B. de C.V. 52,996 78,777 0.0%
# Organizacion Cultiba S.A.B. de C.V. 1,205,623 941,185 0.0%
Qualitas Controladora S.A.B. de C.V. 1,830,513 5,119,002 0.1%
Rassini S.A.B. de C.V. 398,256 1,674,834 0.0%
Rassini S.A.B. De C.V. Class A 255,358 532,643 0.0%
# Regional S.A.B. de C.V. 2,045,326 13,018,659 0.2%
#* Telesites S.A.B. de C.V. 7,312,072 5,673,077 0.1%
# TV Azteca S.A.B. de C.V. 12,256,140 1,913,583 0.0%
# Unifin Financiera S.A.B. de C.V. SOFOM ENR 517,075 1,852,419 0.0%
Vitro S.A.B. de C.V. Series A 927,503 2,963,221 0.0%
------------ ---
TOTAL MEXICO 188,958,375 2.4%
------------ ---
PHILIPPINES -- (1.1%)
A Soriano Corp. 3,430,211 432,773 0.0%
ACR Mining Corp. 48,205 3,126 0.0%
Alsons Consolidated Resources, Inc. 7,605,000 186,027 0.0%
* Apex Mining Co., Inc. 9,649,000 316,053 0.0%
* Atlas Consolidated Mining & Development Corp. 6,148,000 510,897 0.0%
Belle Corp. 31,652,400 2,050,870 0.0%
Bloomberry Resorts Corp. 18,028,900 4,270,679 0.1%
Cebu Air, Inc. 1,594,810 2,727,680 0.1%
Cebu Holdings, Inc. 3,291,900 390,985 0.0%
* CEMEX Holdings Philippines, Inc. 7,671,600 530,358 0.0%
Century Pacific Food, Inc. 5,934,000 1,893,659 0.0%
Century Properties Group, Inc. 26,261,151 231,071 0.0%
China Banking Corp. 2,405,428 1,615,398 0.0%
Cirtek Holdings Philippines Corp. 931,700 930,084 0.0%
COL Financial Group, Inc. 130,900 40,977 0.0%
Cosco Capital, Inc. 17,041,800 2,202,485 0.0%
D&L Industries, Inc. 19,440,600 4,068,687 0.1%
* DoubleDragon Properties Corp. 2,960,090 1,783,368 0.0%
East West Banking Corp. 5,108,400 1,714,958 0.0%
* EEI Corp. 3,466,400 816,765 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
PHILIPPINES -- (Continued)
Emperador, Inc. 6,617,400 $ 919,937 0.0%
* Empire East Land Holdings, Inc. 19,893,000 252,523 0.0%
Energy Development Corp. 11,405,382 1,189,185 0.0%
Filinvest Development Corp. 3,314,322 470,953 0.0%
Filinvest Land, Inc. 102,139,577 3,278,282 0.1%
First Gen Corp. 9,938,800 2,989,138 0.1%
First Philippine Holdings Corp. 2,216,690 2,780,673 0.1%
* Global Ferronickel Holdings, Inc. 12,737,294 579,044 0.0%
* Global-Estate Resorts, Inc. 2,410,000 59,058 0.0%
Holcim Philippines, Inc. 80,600 14,524 0.0%
Integrated Micro-Electronics, Inc. 4,053,614 1,202,098 0.0%
Leisure & Resorts World Corp. 3,397,640 301,033 0.0%
* Lepanto Consolidated Mining Co. 42,985,455 122,226 0.0%
Lopez Holdings Corp. 20,270,300 1,687,209 0.0%
Macroasia Corp. 2,728,800 1,355,082 0.0%
Manila Water Co., Inc. 9,107,600 4,886,037 0.1%
Max's Group, Inc. 1,834,200 513,114 0.0%
Megawide Construction Corp. 5,721,808 2,644,406 0.0%
* Melco Resorts And Entertainment Philippines Corp. 14,188,700 1,875,851 0.0%
Metro Retail Stores Group, Inc. 5,661,900 343,467 0.0%
Nickel Asia Corp. 8,927,000 895,283 0.0%
Pepsi-Cola Products Philippines, Inc. 12,311,900 624,257 0.0%
Petron Corp. 15,670,800 2,810,376 0.1%
Philex Mining Corp. 4,409,700 482,151 0.0%
* Philippine National Bank 2,015,095 2,038,797 0.0%
* Philippine National Construction Corp. 173,000 3,072 0.0%
Philippine Savings Bank 356,863 594,642 0.0%
Philippine Seven Corp. 2,850 7,058 0.0%
Philippine Stock Exchange, Inc. (The) 121,592 516,615 0.0%
* Philweb Corp. 3,009,240 347,153 0.0%
Phinma Energy Corp. 13,182,000 376,123 0.0%
Phoenix Petroleum Philippines, Inc. 2,243,580 512,357 0.0%
Pilipinas Shell Petroleum Corp. 459,020 463,689 0.0%
Premium Leisure Corp. 35,394,000 697,193 0.0%
* Prime Orion Philippines, Inc. 1,955,000 121,652 0.0%
Puregold Price Club, Inc. 4,655,100 4,256,680 0.1%
* PXP Energy Corp. 2,873,800 771,728 0.0%
RFM Corp. 8,856,668 829,225 0.0%
Rizal Commercial Banking Corp. 2,814,370 2,114,486 0.0%
Robinsons Land Corp. 15,040,251 5,187,037 0.1%
Robinsons Retail Holdings, Inc. 1,629,840 2,863,080 0.1%
San Miguel Food and Beverage, Inc. 1,247,800 1,564,945 0.0%
* SSI Group, Inc. 9,264,000 430,591 0.0%
STI Education Systems Holdings, Inc. 20,247,000 512,347 0.0%
Travellers International Hotel Group, Inc. 8,686,000 834,473 0.0%
Union Bank Of Philippines 1,459,531 2,572,271 0.0%
Vista Land & Lifescapes, Inc. 43,057,800 5,398,927 0.1%
Xurpas, Inc. 4,266,400 265,780 0.0%
----------- ---
TOTAL PHILIPPINES 92,272,728 1.2%
----------- ---
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
POLAND -- (1.1%)
* AB SA 1,082 $ 7,860 0.0%
* Agora SA 266,452 1,179,425 0.0%
Alumetal SA 1,983 30,340 0.0%
Amica SA 24,073 820,590 0.0%
Apator SA 68,208 486,396 0.0%
Asseco Poland SA 549,318 6,858,669 0.1%
* Bank Ochrony Srodowiska SA 12,873 35,258 0.0%
#* Bioton SA 539,811 805,710 0.0%
* Boryszew SA 861,931 2,168,728 0.0%
Budimex SA 82,445 4,401,255 0.1%
CD Projekt SA 141,961 5,009,744 0.1%
* CI Games SA 252,830 63,929 0.0%
* Ciech SA 223,721 3,615,890 0.1%
# ComArch SA 9,258 382,150 0.0%
Dom Development SA 6,103 156,020 0.0%
# Echo Investment SA 31,788 48,691 0.0%
Elektrobudowa SA 8,568 233,507 0.0%
Enea SA 1,137,043 3,368,188 0.1%
# Energa SA 869,043 2,539,346 0.0%
# Eurocash SA 366,424 2,548,914 0.0%
Fabryki Mebli Forte SA 120,332 1,712,112 0.0%
* Famur SA 731,147 1,243,223 0.0%
Firma Oponiarska Debica SA 29,483 1,127,504 0.0%
* Getin Holding SA 3,004,455 810,932 0.0%
#* Getin Noble Bank SA 2,368,074 779,795 0.0%
Globe Trade Centre SA 336,053 883,122 0.0%
Grupa Azoty Zaklady Chemiczne Police SA 76,751 429,164 0.0%
Grupa Kety SA 70,874 7,223,053 0.1%
* Impexmetal SA 935,588 1,142,494 0.0%
Inter Cars SA 38,333 2,625,313 0.0%
Kernel Holding SA 387,855 5,256,185 0.1%
# KRUK SA 108,283 7,067,160 0.1%
LC Corp. SA 819,791 642,297 0.0%
Lentex SA 124,367 267,217 0.0%
# Lubelski Wegiel Bogdanka SA 70,267 1,100,440 0.0%
Netia SA 2,240,278 3,303,178 0.1%
Neuca SA 17,032 1,499,426 0.0%
Newag SA 493 2,521 0.0%
Orbis SA 133,161 3,634,026 0.1%
# Pfleiderer Group SA 61,165 647,701 0.0%
#* PKP Cargo SA 110,833 1,293,727 0.0%
* Polnord SA 256,968 596,924 0.0%
* Rafako SA 524,953 612,482 0.0%
Stalexport Autostrady SA 517,231 576,420 0.0%
Stalprodukt SA 9,024 1,174,385 0.0%
#* Tauron Polska Energia SA 6,611,144 4,412,001 0.1%
# Trakcja SA 280,606 512,954 0.0%
* Vistula Group SA 1,340,725 1,757,036 0.0%
Warsaw Stock Exchange 122,600 1,375,495 0.0%
Wawel SA 1,392 411,091 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
POLAND -- (Continued)
Zespol Elektrowni Patnow Adamow Konin SA 86,991 $ 284,793 0.0%
----------- ---
TOTAL POLAND 89,164,781 1.1%
----------- ---
SOUTH AFRICA -- (6.2%)
# Adcock Ingram Holdings, Ltd. 799,025 4,352,369 0.1%
* Adcorp Holdings, Ltd. 896,475 1,143,380 0.0%
Advtech, Ltd. 3,318,771 4,342,087 0.1%
Aeci, Ltd. 1,083,668 10,256,258 0.1%
African Oxygen, Ltd. 920,937 2,248,004 0.0%
* African Phoenix Investments, Ltd. 6,110,928 324,619 0.0%
African Rainbow Minerals, Ltd. 1,068,934 8,739,213 0.1%
Afrimat, Ltd. 143,286 353,908 0.0%
Alexander Forbes Group Holdings, Ltd. 4,073,058 2,104,756 0.0%
* Allied Electronics Corp., Ltd. Class A 334,150 352,932 0.0%
Alviva Holdings, Ltd. 1,332,356 2,170,266 0.0%
* ArcelorMittal South Africa, Ltd. 1,784,999 422,718 0.0%
# Ascendis Health, Ltd. 1,529,922 1,195,578 0.0%
Assore, Ltd. 137,435 3,392,676 0.1%
Astral Foods, Ltd. 434,252 10,711,928 0.1%
* Attacq, Ltd. 4,004,787 6,176,600 0.1%
* Aveng, Ltd. 3,795,612 294,957 0.0%
AVI, Ltd. 3,142,173 28,740,982 0.4%
Balwin Properties, Ltd. 71,496 33,886 0.0%
Barloworld, Ltd. 2,208,890 29,832,763 0.4%
Blue Label Telecoms, Ltd. 3,959,693 3,930,001 0.1%
#* Brait SE 781,312 2,699,775 0.0%
Cashbuild, Ltd. 202,876 7,056,070 0.1%
Caxton and CTP Publishers and Printers, Ltd. 313,704 252,501 0.0%
City Lodge Hotels, Ltd. 309,599 4,049,230 0.1%
Clicks Group, Ltd. 2,253,417 38,526,490 0.5%
Clover Industries, Ltd. 1,360,664 2,094,352 0.0%
#* Consolidated Infrastructure Group, Ltd. 822,411 255,682 0.0%
Coronation Fund Managers, Ltd. 1,913,797 11,364,833 0.2%
#* Curro Holdings, Ltd. 624,167 1,679,516 0.0%
DataTec, Ltd. 3,846,402 6,545,706 0.1%
Distell Group, Ltd. 275,355 2,943,722 0.0%
DRDGOLD, Ltd. 2,932,131 693,192 0.0%
DRDGOLD, Ltd. Sponsored ADR 9,400 21,432 0.0%
* enX Group, Ltd. 408,074 439,801 0.0%
EOH Holdings, Ltd. 1,098,252 3,338,208 0.0%
#* Famous Brands, Ltd. 630,000 5,606,932 0.1%
Foschini Group, Ltd. (The) 1,107,552 19,055,950 0.3%
Gold Fields, Ltd. 95,527 362,673 0.0%
Gold Fields, Ltd. Sponsored ADR 467,848 1,787,179 0.0%
Grand Parade Investments, Ltd. 3,033,383 445,479 0.0%
* Grindrod, Ltd. 4,947,298 5,707,095 0.1%
Group Five, Ltd. 1,015,485 280,077 0.0%
Harmony Gold Mining Co., Ltd. 1,343,111 2,740,615 0.0%
Harmony Gold Mining Co., Ltd. Sponsored ADR 2,663,280 5,406,458 0.1%
* Howden Africa Holdings, Ltd. 39,220 128,443 0.0%
Hudaco Industries, Ltd. 276,957 3,567,003 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SOUTH AFRICA -- (Continued)
Hulamin, Ltd. 1,296,594 $ 538,025 0.0%
#* Impala Platinum Holdings, Ltd. 3,658,435 6,516,010 0.1%
Imperial Holdings, Ltd. 226,379 4,354,644 0.1%
# Invicta Holdings, Ltd. 362,206 1,300,565 0.0%
Italtile, Ltd. 294,690 338,555 0.0%
JSE, Ltd. 831,201 13,043,960 0.2%
KAP Industrial Holdings, Ltd. 10,466,629 7,398,858 0.1%
Lewis Group, Ltd. 877,469 3,303,762 0.0%
Liberty Holdings, Ltd. 1,089,081 11,590,318 0.2%
Life Healthcare Group Holdings, Ltd. 3,545,234 8,357,120 0.1%
* Long4Life, Ltd. 2,574,768 1,130,004 0.0%
Massmart Holdings, Ltd. 692,340 9,245,432 0.1%
Merafe Resources, Ltd. 11,489,424 1,475,430 0.0%
# Metair Investments, Ltd. 1,327,517 2,291,772 0.0%
Metrofile Holdings, Ltd. 147,716 47,403 0.0%
MiX Telematics, Ltd. 37,895 25,469 0.0%
MiX Telematics, Ltd. Sponsored ADR 2,902 48,492 0.0%
MMI Holdings, Ltd. 6,193,335 11,025,253 0.1%
Mpact, Ltd. 1,578,001 3,611,453 0.1%
Murray & Roberts Holdings, Ltd. 3,959,853 4,950,541 0.1%
#* Nampak, Ltd. 5,214,254 5,801,960 0.1%
* Net 1 UEPS Technologies, Inc. 776 5,814 0.0%
Netcare, Ltd. 1,115,980 2,778,887 0.0%
* Northam Platinum, Ltd. 3,268,937 10,096,890 0.1%
Oceana Group, Ltd. 447,176 2,966,909 0.0%
Omnia Holdings, Ltd. 609,560 7,011,569 0.1%
Peregrine Holdings, Ltd. 1,938,857 3,355,283 0.1%
Pick n Pay Stores, Ltd. 2,687,210 17,396,231 0.2%
Pioneer Foods Group, Ltd. 323,078 3,142,082 0.0%
* PPC, Ltd. 14,661,585 10,244,151 0.1%
PSG Konsult, Ltd. 42,544 31,029 0.0%
Raubex Group, Ltd. 1,306,791 2,170,398 0.0%
RCL Foods, Ltd. 705,154 1,027,915 0.0%
Reunert, Ltd. 1,622,219 10,106,435 0.1%
# Rhodes Food Group Pty, Ltd. 671,444 967,027 0.0%
* Royal Bafokeng Platinum, Ltd. 701,039 1,312,081 0.0%
Santam, Ltd. 320,610 8,179,261 0.1%
#* Sibanye Gold, Ltd. 3,307,601 2,899,307 0.0%
SPAR Group, Ltd. (The) 1,306,934 22,142,969 0.3%
Spur Corp., Ltd. 627,199 1,357,153 0.0%
#* Stadio Holdings, Ltd. 618,529 236,250 0.0%
#* Sun International, Ltd. 1,059,882 4,819,401 0.1%
* Super Group, Ltd. 3,359,375 10,014,216 0.1%
Telkom SA SOC, Ltd. 2,036,964 9,302,502 0.1%
Tongaat Hulett, Ltd. 1,021,284 7,403,244 0.1%
Transaction Capital, Ltd. 1,055,403 1,481,711 0.0%
Trencor, Ltd. 1,369,751 3,794,488 0.1%
Truworths International, Ltd. 1,797,580 14,696,255 0.2%
Tsogo Sun Holdings, Ltd. 2,858,414 5,225,140 0.1%
Wilson Bayly Holmes-Ovcon, Ltd. 506,623 6,440,241 0.1%
------------ ---
TOTAL SOUTH AFRICA 515,168,160 6.6%
------------ ---
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (16.5%)
#* 3S Korea Co., Ltd. 151,842 $ 343,115 0.0%
#* A-Tech Solution Co., Ltd. 40,016 400,620 0.0%
# ABco Electronics Co., Ltd. 76,717 581,171 0.0%
#* Able C&C Co., Ltd. 82,423 1,323,301 0.0%
# ABOV Semiconductor Co., Ltd. 118,431 635,142 0.0%
#* Ace Technologies Corp. 178,732 720,988 0.0%
#* Actoz Soft Co., Ltd. 50,910 821,344 0.0%
#* ADTechnology Co., Ltd. 47,909 410,966 0.0%
#* Advanced Digital Chips, Inc. 169,506 333,475 0.0%
# Advanced Nano Products Co., Ltd. 68,114 1,151,426 0.0%
* Advanced Process Systems Corp. 15,723 338,511 0.0%
# Aekyung Petrochemical Co., Ltd. 126,838 1,723,378 0.0%
# AfreecaTV Co., Ltd. 74,661 2,400,220 0.1%
#* Agabang&Company 253,993 1,377,576 0.0%
# Ahn-Gook Pharmaceutical Co., Ltd. 58,793 872,976 0.0%
# Ahnlab, Inc. 53,146 3,166,481 0.1%
# AJ Networks Co., Ltd. 92,793 551,281 0.0%
* AJ Rent A Car Co., Ltd. 125,497 1,579,544 0.0%
#* Ajin Industrial Co., Ltd. 102,112 293,299 0.0%
AJINEXTEK Co., Ltd. 31,359 407,608 0.0%
AK Holdings, Inc. 38,738 2,644,478 0.1%
#* Alticast Corp. 73,734 299,320 0.0%
# ALUKO Co., Ltd. 367,542 1,546,545 0.0%
* Alvogen Korea Co., Ltd 116 2,996 0.0%
#* Aminologics Co., Ltd. 348,653 916,733 0.0%
* Amotech Co., Ltd. 72,347 2,267,684 0.1%
#* Anam Electronics Co., Ltd. 738,248 2,169,927 0.0%
# Anapass, Inc. 70,895 1,212,754 0.0%
#* Aprogen Healthcare & Games, Inc. 158,780 463,352 0.0%
#* Aprogen KIC, Inc. 72,652 839,506 0.0%
#* APS Holdings Corp. 341,526 2,083,119 0.0%
#* Arion Technology, Inc. 129,146 119,305 0.0%
# Asia Cement Co., Ltd. 15,324 2,116,066 0.0%
ASIA Holdings Co., Ltd. 10,133 1,425,703 0.0%
# Asia Paper Manufacturing Co., Ltd. 41,937 1,210,178 0.0%
* Asiana Airlines, Inc. 972,693 4,795,198 0.1%
# Atec Co., Ltd. 20,052 213,552 0.0%
# Atinum Investment Co., Ltd. 291,863 1,125,002 0.0%
AtlasBX Co., Ltd. 571 24,925 0.0%
# AUK Corp. 220,465 584,202 0.0%
# Aurora World Corp. 42,236 483,131 0.0%
# Austem Co., Ltd. 160,334 579,291 0.0%
# Autech Corp. 123,048 1,731,877 0.0%
#* Automobile & PCB 392,603 298,097 0.0%
#* Avaco Co., Ltd. 105,551 802,076 0.0%
# Avatec Co., Ltd. 5,446 38,785 0.0%
# Baiksan Co., Ltd. 100,931 564,849 0.0%
#* Barun Electronics Co., Ltd. 568,830 730,956 0.0%
#* Barunson Entertainment & Arts Corp. 473,902 832,987 0.0%
# Bcworld Pharm Co., Ltd. 42,626 1,164,019 0.0%
#* BG T&A Co. 60,626 183,391 0.0%
* BH Co., Ltd. 186,587 3,739,485 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Binex Co., Ltd. 145,862 $2,016,494 0.0%
Binggrae Co., Ltd. 52,039 3,236,683 0.1%
#* Biolog Device Co., Ltd. 126,061 277,742 0.0%
#* BioSmart Co., Ltd. 134,659 724,295 0.0%
#* Biotoxtech Co., Ltd. 65,339 1,209,634 0.0%
#* BIT Computer Co., Ltd. 113,558 620,620 0.0%
# Bixolon Co., Ltd. 87,925 498,130 0.0%
# Bluecom Co., Ltd. 103,817 584,088 0.0%
# Boditech Med, Inc. 116,248 1,913,252 0.0%
#* Bohae Brewery Co., Ltd. 632,425 663,468 0.0%
# BoKwang Industry Co., Ltd. 98,060 555,602 0.0%
Bookook Securities Co., Ltd. 14,493 329,275 0.0%
#* Boryung Medience Co., Ltd. 53,361 725,249 0.0%
# Boryung Pharmaceutical Co., Ltd. 251,820 2,832,451 0.1%
#* Bosung Power Technology Co., Ltd. 453,255 1,918,741 0.0%
#* Brain Contents Co., Ltd. 805,232 725,871 0.0%
# BRIDGETEC Corp. 35,241 147,030 0.0%
#* Bubang Co., Ltd. 218,353 622,188 0.0%
Bukwang Pharmaceutical Co., Ltd. 113,474 2,739,737 0.1%
Busan City Gas Co., Ltd. 1,886 63,632 0.0%
# BYC Co., Ltd. 1,007 265,958 0.0%
#* BYON Co., Ltd. 248,505 707,987 0.0%
# Byucksan Corp. 369,822 1,438,350 0.0%
#* C&S Asset Management Co., Ltd. 166,435 51,133 0.0%
#* CammSys Corp. 308,501 674,023 0.0%
# Capro Corp. 332,967 2,360,054 0.1%
Caregen Co., Ltd. 18,100 1,508,704 0.0%
Cell Biotech Co., Ltd. 51,500 2,047,806 0.0%
#* Celltrion Pharm, Inc. 78,721 6,326,989 0.1%
#* Chabiotech Co., Ltd. 290,944 5,782,387 0.1%
# Changhae Ethanol Co., Ltd. 51,020 831,095 0.0%
#* Charm Engineering Co., Ltd. 264,298 521,667 0.0%
#* Chemtronics Co., Ltd. 71,610 425,349 0.0%
# Cheryong Electric Co., Ltd. 76,160 1,067,925 0.0%
# Cheryong Industrial Co. Ltd/new 49,903 664,914 0.0%
#* Chin Hung International, Inc. 234,602 520,299 0.0%
Chinyang Holdings Corp. 167,246 442,979 0.0%
#* Choa Pharmaceutical Co. 135,100 715,170 0.0%
# Choheung Corp. 382 79,597 0.0%
#* Chokwang Leather Co., Ltd. 607 21,681 0.0%
# Chokwang Paint, Ltd. 46,428 409,944 0.0%
Chong Kun Dang Pharmaceutical Corp. 48,122 5,235,857 0.1%
# Chongkundang Holdings Corp. 27,820 1,814,846 0.0%
# Choong Ang Vaccine Laboratory 43,598 976,995 0.0%
#* Chorokbaem Media Co., Ltd. 319,784 568,789 0.0%
Chosun Refractories Co., Ltd. 6,715 524,404 0.0%
# Chungdahm Learning, Inc. 42,900 646,185 0.0%
CJ CGV Co., Ltd. 82,715 5,741,317 0.1%
CJ Freshway Corp. 48,800 1,728,022 0.0%
CJ Hello Co., Ltd. 217,479 1,732,201 0.0%
CJ O Shopping Co., Ltd. 29,131 6,076,575 0.1%
#* CJ Seafood Corp. 191,102 504,128 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
# CKD Bio Corp. 31,884 $ 682,029 0.0%
# Clean & Science Co., Ltd. 34,870 435,617 0.0%
# CLIO Cosmetics Co., Ltd. 20,195 683,547 0.0%
#* Codes Combine Co., Ltd. 76,049 272,261 0.0%
# Commax Co., Ltd. 69,572 391,437 0.0%
Coreana Cosmetics Co., Ltd. 174,532 1,308,631 0.0%
# Cosmax BTI, Inc. 38,714 1,545,927 0.0%
# Cosmax, Inc. 86,687 12,656,309 0.2%
# Cosmecca Korea Co., Ltd. 23,824 878,674 0.0%
#* CosmoAM&T Co., Ltd. 92,915 1,683,353 0.0%
#* Cosmochemical Co., Ltd. 83,357 1,601,662 0.0%
#* COSON Co., Ltd. 117,294 1,699,657 0.0%
# COWELL FASHION Co., Ltd. 234,384 1,187,037 0.0%
#* Creaplanet Co., Ltd. 191,995 377,063 0.0%
#* Creative & Innovative System 281,148 751,591 0.0%
# Crown Confectionery Co., Ltd. 39,940 533,092 0.0%
# CROWNHAITAI Holdings Co., Ltd. 65,516 1,018,217 0.0%
#* CrucialTec Co., Ltd. 756,561 1,335,253 0.0%
# CS Wind Corp. 46,867 1,448,726 0.0%
#* CTC BIO, Inc. 82,400 1,128,418 0.0%
#* CTL, Inc. 160,964 761,673 0.0%
# Cuckoo Holdings Co., Ltd. 7,396 821,870 0.0%
#* Cuckoo Homesys Co., Ltd. 4,090 811,935 0.0%
#* Curo Co., Ltd. 805,869 936,290 0.0%
#* CUROCOM Co., Ltd. 85,800 201,639 0.0%
#* Curoholdings Co., Ltd. 423,171 398,261 0.0%
# Cymechs, Inc. 35,317 441,305 0.0%
# D.I Corp. 210,467 957,943 0.0%
# Dae Dong Industrial Co., Ltd. 96,824 820,565 0.0%
Dae Han Flour Mills Co., Ltd. 7,679 1,348,930 0.0%
# Dae Hyun Co., Ltd. 240,518 580,373 0.0%
#* Dae Won Chemical Co., Ltd. 273,923 609,398 0.0%
Dae Won Kang Up Co., Ltd. 161,566 656,395 0.0%
#* Dae Young Packaging Co., Ltd. 622,311 581,626 0.0%
# Dae-Il Corp. 101,568 709,114 0.0%
# Daea TI Co., Ltd. 552,451 2,609,182 0.1%
# Daebongls Co., Ltd. 69,097 729,100 0.0%
# Daechang Co., Ltd. 314,932 345,970 0.0%
Daechang Forging Co., Ltd. 8,880 418,220 0.0%
Daeduck Electronics Co. 277,627 2,158,839 0.0%
Daeduck GDS Co., Ltd. 157,900 2,180,071 0.0%
Daegu Department Store 32,833 311,339 0.0%
#* Daehan New Pharm Co., Ltd. 79,981 1,209,593 0.0%
Daehan Steel Co., Ltd. 125,858 1,385,968 0.0%
# Daehwa Pharmaceutical Co., Ltd. 58,936 1,645,942 0.0%
# Daejoo Co., Ltd. 12,773 21,887 0.0%
#* Daejoo Electronic Materials Co., Ltd. 81,087 1,544,057 0.0%
Daekyo Co., Ltd. 242,152 1,776,554 0.0%
# Daelim B&Co Co., Ltd. 98,313 585,843 0.0%
# Daelim C&S Co., Ltd. 6,122 81,630 0.0%
#* DAEMYUNG Corp. Co., Ltd. 358,770 1,236,092 0.0%
# Daeryuk Can Co., Ltd. 104,537 656,033 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Daesang Corp. 198,429 $4,922,843 0.1%
# Daesang Holdings Co., Ltd. 142,191 1,244,231 0.0%
Daesung Energy Co., Ltd. 65,638 364,684 0.0%
# Daesung Holdings Co., Ltd. 26,734 201,518 0.0%
#* Daesung Industrial Co., Ltd. 54,152 257,508 0.0%
#* Daesung Private Equity, Inc. 82,949 208,645 0.0%
#* Daewon Cable Co., Ltd. 404,913 726,834 0.0%
#* Daewon Media Co., Ltd. 77,129 687,155 0.0%
# Daewon Pharmaceutical Co., Ltd. 117,733 2,185,891 0.0%
Daewon San Up Co., Ltd. 104,480 705,669 0.0%
#* Daewoo Electronic Components Co., Ltd. 243,055 706,808 0.0%
#* Daewoo Shipbuilding & Marine Engineering Co., Ltd. 67,632 1,501,375 0.0%
Daewoong Co., Ltd. 185,019 3,206,859 0.1%
Daewoong Pharmaceutical Co., Ltd. 20,238 3,345,380 0.1%
* Dahaam E-Tec Co., Ltd. 2,100 6,636 0.0%
# Daihan Pharmaceutical Co., Ltd. 37,153 1,540,055 0.0%
Daishin Securities Co., Ltd. 297,668 3,796,920 0.1%
#* Danal Co., Ltd. 376,500 1,697,700 0.0%
# Danawa Co., Ltd. 54,302 907,624 0.0%
# Daou Data Corp. 161,737 1,833,279 0.0%
# Daou Technology, Inc. 267,720 6,004,488 0.1%
#* Dasan Networks, Inc. 120,319 748,970 0.0%
# Dawonsys Co., Ltd. 167,481 3,084,388 0.1%
#* DAYLI BlockChian Co., Ltd. 73,950 254,824 0.0%
# Dayou Automotive Seat Technology Co., Ltd. 502,384 587,929 0.0%
* Dayou Plus Co., Ltd. 443,110 430,837 0.0%
DB Financial Investment Co., Ltd. 276,105 1,199,051 0.0%
DB HiTek Co., Ltd. 293,840 3,667,370 0.1%
#* DB, Inc. 831,396 627,146 0.0%
# DCM Corp. 42,882 495,270 0.0%
#* Deco&E Co., Ltd. 465,488 334,304 0.0%
#* Deutsch Motors, Inc. 186,431 1,163,094 0.0%
# Development Advance Solution Co., Ltd. 9,029 91,861 0.0%
# DHP Korea Co., Ltd. 85,942 904,349 0.0%
Digital Chosun Co., Ltd. 216,515 473,088 0.0%
#* Digital Optics Co., Ltd. 63,634 121,258 0.0%
# Digital Power Communications Co., Ltd. 257,065 1,028,801 0.0%
#* DIO Corp. 101,568 3,940,592 0.1%
# Display Tech Co., Ltd. 52,616 196,398 0.0%
# DMS Co., Ltd. 162,618 1,045,619 0.0%
# DNF Co., Ltd. 71,511 771,567 0.0%
# Dong A Eltek Co., Ltd. 78,504 759,941 0.0%
#* Dong Ah Tire & Rubber Co., Ltd. 44,790 576,518 0.0%
Dong-A Socio Holdings Co., Ltd. 21,487 2,524,130 0.1%
Dong-A ST Co., Ltd. 45,846 4,694,175 0.1%
# Dong-Ah Geological Engineering Co., Ltd. 76,065 1,482,255 0.0%
# Dong-Il Corp. 6,596 322,316 0.0%
# Dongbang Transport Logistics Co., Ltd. 64,316 118,995 0.0%
#* Dongbu Corp. 70,461 831,497 0.0%
#* Dongbu Steel Co., Ltd. 74,241 778,469 0.0%
Dongil Industries Co., Ltd. 11,279 760,425 0.0%
Dongjin Semichem Co., Ltd. 255,935 3,352,832 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Dongkook Industrial Co., Ltd. 157,704 $ 189,996 0.0%
DongKook Pharmaceutical Co., Ltd. 38,218 2,500,357 0.1%
# Dongkuk Industries Co., Ltd. 312,436 1,136,078 0.0%
Dongkuk Steel Mill Co., Ltd. 544,707 5,574,510 0.1%
# Dongkuk Structures & Construction Co., Ltd. 299,839 1,402,949 0.0%
#* Dongnam Marine Crane Co., Ltd. 240,030 343,966 0.0%
# Dongsung Chemical Co., Ltd. 17,370 283,622 0.0%
# DONGSUNG Corp. 226,392 1,440,160 0.0%
#* Dongsung Finetec Co., Ltd. 138,157 823,578 0.0%
# Dongwha Enterprise Co., Ltd. 28,221 897,578 0.0%
# Dongwha Pharm Co., Ltd. 200,939 2,152,822 0.0%
#* DongWon Co., Ltd. 31,542 209,992 0.0%
Dongwon Development Co., Ltd. 519,419 2,407,711 0.1%
# Dongwon F&B Co., Ltd. 11,805 2,631,260 0.1%
Dongwon Industries Co., Ltd. 12,260 3,869,089 0.1%
# Dongwon Systems Corp. 23,538 988,826 0.0%
# Dongwoo Farm To Table Co., Ltd. 75,970 298,951 0.0%
Dongwoon Anatech Co., Ltd. 13,481 178,712 0.0%
Dongyang E&P, Inc. 41,389 452,426 0.0%
#* Dongyang Steel Pipe Co., Ltd. 757,870 1,811,951 0.0%
#* Doosan Engine Co., Ltd. 411,154 2,401,897 0.1%
# DoubleUGames Co., Ltd. 69,759 4,053,772 0.1%
Douzone Bizon Co., Ltd. 117,910 5,423,350 0.1%
#* Dragonfly GF Co., Ltd. 51,555 296,618 0.0%
DRB Holding Co., Ltd. 64,591 498,539 0.0%
#* DRTECH Corp. 152,670 331,821 0.0%
# DSK Co., Ltd. 98,543 662,458 0.0%
# DSR Corp. 23,050 134,079 0.0%
# DSR Wire Corp. 66,361 406,675 0.0%
#* DST ROBOT Co., Ltd. 474,308 728,304 0.0%
* DT&C Co., Ltd. 3,240 35,016 0.0%
# DTR Automotive Corp. 32,595 997,048 0.0%
#* Duk San Neolux Co., Ltd. 83,684 1,174,354 0.0%
#* Duksan Hi-Metal Co., Ltd. 66,695 438,629 0.0%
# Duksung Co., Ltd. 81,764 348,884 0.0%
DY Corp. 135,846 803,088 0.0%
# DY POWER Corp. 60,459 1,298,483 0.0%
e Tec E&C, Ltd. 12,949 1,762,727 0.0%
e-Credible Co., Ltd. 22,531 297,752 0.0%
# e-LITECOM Co., Ltd. 58,444 319,796 0.0%
#* E-TRON Co., Ltd. 1,491,477 406,627 0.0%
E1 Corp. 25,214 1,472,914 0.0%
Eagon Industrial, Ltd. 60,472 569,454 0.0%
Easy Bio, Inc. 374,482 2,681,420 0.1%
#* EcoBio Holdings Co., Ltd. 62,460 544,291 0.0%
* Ecopro Co., Ltd. 158,695 5,334,707 0.1%
# Eehwa Construction Co., Ltd. 92,257 1,043,737 0.0%
# EG Corp. 47,517 541,944 0.0%
#* Ehwa Technologies Information Co., Ltd. 3,050,382 1,570,270 0.0%
# Elcomtec Co., Ltd. 261,529 627,278 0.0%
#* Elentec Co., Ltd. 116,016 396,801 0.0%
* ELK Corp. 192,381 175,320 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
# EM-Tech Co., Ltd. 102,271 $ 1,617,809 0.0%
#* Emerson Pacific, Inc. 55,198 1,948,378 0.0%
#* EMKOREA Co., Ltd. 88,519 417,138 0.0%
#* EMW Co., Ltd. 173,518 557,226 0.0%
#* Enerzent Co., Ltd. 195,288 688,432 0.0%
# Enex Co., Ltd. 335,866 649,440 0.0%
ENF Technology Co., Ltd. 79,474 1,245,181 0.0%
# Eo Technics Co., Ltd. 69,018 4,838,712 0.1%
# Estechpharma Co., Ltd. 89,268 1,114,321 0.0%
#* ESTsoft Corp. 33,140 214,884 0.0%
Eugene Corp. 453,657 3,420,330 0.1%
* Eugene Investment & Securities Co., Ltd. 588,034 2,051,414 0.0%
# Eugene Technology Co., Ltd. 128,700 2,172,657 0.0%
#* Eusu Holdings Co., Ltd. 119,655 762,138 0.0%
# EVERDIGM Corp. 87,678 833,666 0.0%
#* EXA E&C, Inc. 99,097 144,248 0.0%
#* Exem Co., Ltd. 152,435 574,161 0.0%
# Exicon Co., Ltd. 31,648 316,655 0.0%
# Ezwelfare Co., Ltd. 43,872 447,768 0.0%
F&F Co., Ltd. 61,898 2,522,314 0.1%
# Farmsco 168,568 1,866,231 0.0%
#* FarmStory Co., Ltd. 547,789 737,976 0.0%
#* Feelingk Co., Ltd. 300,145 941,490 0.0%
# Feelux Co., Ltd. 283,759 4,754,987 0.1%
Fila Korea, Ltd. 101,983 12,387,329 0.2%
# Fine DNC Co., Ltd. 103,000 263,969 0.0%
#* Fine Technix Co., Ltd. 206,246 453,760 0.0%
#* Finetex EnE, Inc. 76,323 255,827 0.0%
#* Firstec Co., Ltd. 209,199 1,090,746 0.0%
#* Foosung Co., Ltd. 431,979 3,778,134 0.1%
Fursys, Inc. 15,442 445,197 0.0%
#* G-SMATT GLOBAL Co., Ltd. 127,846 1,372,452 0.0%
# Gabia, Inc. 56,369 394,224 0.0%
# Galaxia Communications Co., Ltd.(B1Z2V60) 90,457 374,105 0.0%
Galaxia Communications co., Ltd.() 11,884 7,566 0.0%
#* Gamevil, Inc. 45,326 2,530,674 0.1%
Gaon Cable Co., Ltd. 23,823 601,485 0.0%
#* Genic Co., Ltd. 42,514 763,276 0.0%
#* Genie Music Corp. 218,948 1,048,421 0.0%
# Geumhwa PSC Co., Ltd. 6,153 210,324 0.0%
#* Gigalane Co., Ltd. 240,818 700,726 0.0%
GIIR, Inc. 22,387 179,952 0.0%
* Global Display Co., Ltd. 36,299 40,104 0.0%
Global Standard Technology Co., Ltd. 11,274 99,174 0.0%
# GMB Korea Corp. 79,071 595,546 0.0%
#* GMP Co., Ltd. 62,450 427,934 0.0%
#* GNCO Co., Ltd. 682,448 1,844,538 0.0%
Golfzon Co., Ltd. 26,580 1,110,915 0.0%
# Golfzon Newdin Holdings Co., Ltd. 213,783 1,104,847 0.0%
#* Good People Co., Ltd. 142,207 945,777 0.0%
Grand Korea Leisure Co., Ltd. 107,130 2,723,767 0.1%
Green Cross Holdings Corp. 6,856 244,046 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# GS Global Corp. 415,668 $1,541,873 0.0%
GS Home Shopping, Inc. 26,507 4,302,389 0.1%
# Gwangju Shinsegae Co., Ltd. 3,686 787,210 0.0%
#* GY Commerce Co., Ltd. 149,142 665,108 0.0%
# HAESUNG DS Co., Ltd. 76,086 1,245,231 0.0%
# Haesung Industrial Co., Ltd. 25,164 375,893 0.0%
#* Haesung Optics Co., Ltd. 60,772 198,240 0.0%
Haimarrow Food Service Co., ltd. 95,747 228,024 0.0%
Haitai Confectionery & Foods Co., Ltd. 58,817 866,856 0.0%
# Halla Corp. 151,009 1,143,576 0.0%
# Halla Holdings Corp. 90,239 4,320,636 0.1%
#* Han Chang Corp. 60,815 159,228 0.0%
# Han Kuk Carbon Co., Ltd. 265,268 1,482,112 0.0%
#* Hana Micron, Inc. 152,743 720,360 0.0%
# Hana Tour Service, Inc. 79,962 8,835,527 0.1%
# Hancom MDS, Inc. 52,411 850,131 0.0%
Hancom, Inc. 152,021 2,243,274 0.1%
# Handok, Inc. 46,806 1,429,110 0.0%
# Handsome Co., Ltd. 153,029 4,749,966 0.1%
Hanil Cement Co., Ltd. 28,711 4,458,913 0.1%
#* Hanil Vacuum Co., Ltd. 342,141 767,759 0.0%
* Hanjin Heavy Industries & Construction Co., Ltd. 712,169 2,242,751 0.1%
#* Hanjin Heavy Industries & Construction Holdings Co., Ltd. 87,816 323,389 0.0%
# Hanjin Kal Corp. 415,081 9,442,515 0.1%
Hanjin Transportation Co., Ltd. 86,910 2,088,813 0.0%
#* Hankook Cosmetics Co., Ltd. 77,549 1,301,410 0.0%
# Hankook Cosmetics Manufacturing Co., Ltd. 15,080 692,378 0.0%
Hankook Shell Oil Co., Ltd. 5,352 1,668,885 0.0%
* Hankook Technology, Inc. 57,234 93,533 0.0%
Hankuk Glass Industries, Inc. 9,314 350,578 0.0%
Hankuk Paper Manufacturing Co., Ltd. 23,476 523,835 0.0%
# Hankuk Steel Wire Co., Ltd. 58,735 206,855 0.0%
# Hanla IMS Co., Ltd. 43,244 318,654 0.0%
# Hanmi Semiconductor Co., Ltd. 230,587 2,252,538 0.1%
# HanmiGlobal Co., Ltd. 65,410 628,225 0.0%
# Hans Biomed Corp. 62,852 1,744,271 0.0%
# Hansae Co., Ltd. 179,726 3,791,265 0.1%
# Hansae MK Co., Ltd. 44,029 407,834 0.0%
Hansae Yes24 Holdings Co., Ltd. 96,969 1,002,649 0.0%
# Hanshin Construction 60,839 1,318,922 0.0%
# Hanshin Machinery Co. 226,979 739,003 0.0%
# Hansol Chemical Co., Ltd. 76,789 5,059,351 0.1%
Hansol Holdings Co., Ltd. 389,445 1,918,593 0.0%
# Hansol HomeDeco Co., Ltd. 664,337 1,055,653 0.0%
Hansol Paper Co., Ltd. 145,379 2,333,220 0.1%
#* Hansol SeenTec Co., Ltd. 318,065 375,902 0.0%
* Hansol Technics Co., Ltd. 166,414 1,887,212 0.0%
#* Hanwha Aerospace Co., Ltd. 52,111 1,168,136 0.0%
#* Hanwha Galleria Timeworld Co., Ltd. 17,255 837,486 0.0%
Hanwha General Insurance Co., Ltd. 440,168 3,077,712 0.1%
#* Hanwha Investment & Securities Co., Ltd. 1,037,505 3,106,897 0.1%
# Hanyang Eng Co., Ltd. 80,741 1,060,056 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
Hanyang Securities Co., Ltd. 41,592 $ 303,834 0.0%
#* Harim Co., Ltd. 428,356 1,540,218 0.0%
Harim Holdings Co., Ltd. 300,775 1,129,110 0.0%
# HB Technology Co., Ltd. 451,483 1,160,339 0.0%
# HDC I-Controls Co., Ltd. 43,044 586,669 0.0%
#* HDPRO Co., Ltd. 61,590 231,705 0.0%
#* Heung-A Shipping Co., Ltd. 1,444,950 1,126,915 0.0%
#* Heungkuk Fire & Marine Insurance Co., Ltd. 307,381 1,642,322 0.0%
# High Tech Pharm Co., Ltd. 23,615 283,196 0.0%
Hite Jinro Co., Ltd. 8,453 171,966 0.0%
Hitejinro Holdings Co., Ltd. 72,185 638,369 0.0%
#* HizeAero Co., Ltd. 9,927 65,376 0.0%
HMC Investment Securities Co., Ltd. 155,856 1,713,009 0.0%
# Home Center Holdings Co., Ltd. 534,946 1,131,581 0.0%
#* Homecast Co., Ltd. 232,691 2,078,114 0.0%
# HS Industries Co., Ltd. 331,416 2,642,400 0.1%
# HS R&A Co., Ltd. 262,709 548,173 0.0%
#* Huayi Brothers Korea Co., Ltd. 77,945 311,127 0.0%
Huchems Fine Chemical Corp. 207,472 5,150,721 0.1%
* Humax Co., Ltd. 155,122 1,180,639 0.0%
Humedix Co., Ltd. 47,028 1,740,000 0.0%
#* Huneed Technologies 87,618 905,919 0.0%
Huons Co., Ltd. 36,938 4,189,731 0.1%
# Huons Global Co., Ltd. 43,499 2,894,192 0.1%
# Husteel Co., Ltd. 20,207 287,786 0.0%
Huvis Corp. 124,216 1,560,859 0.0%
# Huvitz Co., Ltd. 86,724 972,925 0.0%
# Hwa Shin Co., Ltd. 153,608 541,610 0.0%
Hwacheon Machine Tool Co., Ltd. 6,481 341,172 0.0%
# Hwail Pharm Co., Ltd. 74,710 538,916 0.0%
#* Hwajin Co., Ltd. 136,667 439,170 0.0%
# Hwangkum Steel & Technology Co., Ltd. 78,961 901,549 0.0%
HwaSung Industrial Co., Ltd. 79,316 1,221,696 0.0%
# Hy-Lok Corp. 76,315 1,965,315 0.0%
# Hyosung ONB Co., Ltd. 15,415 171,926 0.0%
# HyosungITX Co., Ltd. 29,128 337,141 0.0%
Hyundai BNG Steel Co., Ltd. 92,077 1,111,517 0.0%
#* Hyundai Cement Co. 22,245 544,300 0.0%
# Hyundai Corp Holdings, Inc. 45,036 613,090 0.0%
Hyundai Corp. 68,663 1,434,681 0.0%
# Hyundai Elevator Co., Ltd. 91,581 8,847,954 0.1%
Hyundai Engineering Plastics Co., Ltd. 161,066 1,016,018 0.0%
Hyundai Greenfood Co., Ltd. 251,306 3,609,182 0.1%
Hyundai Home Shopping Network Corp. 35,887 3,633,746 0.1%
Hyundai Hy Communications & Networks Co., Ltd. 332,548 1,353,763 0.0%
* Hyundai Information Technology Co., Ltd. 20,856 61,003 0.0%
# Hyundai Livart Furniture Co., Ltd. 120,416 2,724,058 0.1%
#* Hyundai Merchant Marine Co., Ltd. 1,115,504 6,288,912 0.1%
# Hyundai Pharmaceutical Co., Ltd. 191,697 1,081,992 0.0%
#* Hyundai Rotem Co., Ltd. 180,784 4,508,790 0.1%
# Hyundai Telecommunication Co., Ltd. 26,501 288,784 0.0%
# HyVision System, Inc. 99,434 1,854,025 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* I&C Technology Co., Ltd. 60,475 $ 286,264 0.0%
#* i-Components Co., Ltd. 43,399 229,791 0.0%
i-SENS, Inc. 98,612 2,583,681 0.1%
# I3System, Inc. 34,950 727,499 0.0%
#* iA, Inc. 211,507 691,379 0.0%
# ICD Co., Ltd. 110,626 1,008,175 0.0%
* ICK Co., Ltd. 90,280 147,199 0.0%
#* IHQ, Inc. 535,723 1,065,079 0.0%
# IL Dong Pharmaceutical Co., Ltd. 56,461 1,307,388 0.0%
# IlDong Holdings Co., Ltd. 33,200 464,316 0.0%
# Ilji Technology Co., Ltd. 10,190 37,156 0.0%
# Iljin Diamond Co., Ltd. 39,011 818,123 0.0%
# Iljin Display Co., Ltd. 132,591 666,826 0.0%
# Iljin Electric Co., Ltd. 135,159 775,509 0.0%
#* Iljin Holdings Co., Ltd. 203,422 996,578 0.0%
# Iljin Materials Co., Ltd. 139,448 4,322,045 0.1%
# Ilshin Spinning Co., Ltd. 11,815 1,159,679 0.0%
#* Ilshin Stone Co., Ltd. 361,869 1,004,379 0.0%
#* ilShinbiobase Co,Ltd. 238,817 591,281 0.0%
# Ilsung Pharmaceuticals Co., Ltd. 4,076 437,969 0.0%
* Ilyang Pharmaceutical Co., Ltd. 70,011 2,673,079 0.1%
#* IM Co., Ltd. 191,725 513,730 0.0%
iMarketKorea, Inc. 170,219 1,439,329 0.0%
InBody Co., Ltd. 93,707 3,757,236 0.1%
#* INCON Co., Ltd. 82,490 1,029,818 0.0%
#* Incross Co., Ltd. 19,098 498,535 0.0%
#* Infinitt Healthcare Co., Ltd. 124,252 1,010,377 0.0%
InfoBank Corp. 4,325 31,756 0.0%
#* Infraware, Inc. 184,486 370,734 0.0%
# INITECH Co., Ltd. 67,933 549,611 0.0%
#* InkTec Co., Ltd. 12,678 54,961 0.0%
# Innocean Worldwide, Inc. 55,829 3,461,267 0.1%
#* InnoWireless, Inc. 21,995 363,555 0.0%
#* Innox Advanced Materials Co., Ltd. 46,014 2,885,007 0.1%
* Innox Corp. 3,016 28,942 0.0%
#* Insun ENT Co., Ltd. 266,481 1,978,051 0.0%
#* Insung Information Co., Ltd. 84,518 362,660 0.0%
# Intelligent Digital Integrated Security Co., Ltd. 33,909 226,723 0.0%
#* Interflex Co., Ltd. 78,782 1,400,830 0.0%
Intergis Co., Ltd. 11,220 39,024 0.0%
# Interojo Co., Ltd. 64,732 2,143,271 0.0%
# Interpark Corp. 108,768 894,555 0.0%
Interpark Holdings Corp. 396,877 1,299,519 0.0%
INTOPS Co., Ltd. 116,641 1,006,770 0.0%
# INVENIA Co., Ltd. 110,992 419,969 0.0%
# Inzi Controls Co., Ltd. 69,983 474,438 0.0%
# INZI Display Co., Ltd. 32,254 52,520 0.0%
#* Iones Co., Ltd. 69,542 890,930 0.0%
IS Dongseo Co., Ltd. 111,985 3,414,372 0.1%
# ISC Co., Ltd. 74,346 1,069,075 0.0%
ISU Chemical Co., Ltd. 96,249 1,191,910 0.0%
# IsuPetasys Co., Ltd. 234,729 901,720 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# It's Hanbul Co., Ltd. 49,259 $2,732,014 0.1%
# J.ESTINA Co., Ltd. 101,245 964,306 0.0%
# Jahwa Electronics Co., Ltd. 95,508 1,511,902 0.0%
# JASTECH, Ltd. 69,839 852,641 0.0%
#* Jayjun Cosmetic Co., Ltd. 181,470 4,340,610 0.1%
JB Financial Group Co., Ltd. 1,158,388 6,634,563 0.1%
# JC Hyun System, Inc. 93,701 679,258 0.0%
* Jcontentree Corp. 291,540 1,990,437 0.0%
# Jeil Pharma Holdings, Inc. 16,398 464,048 0.0%
Jeil Pharmaceutical Co., Ltd. 5,220 196,288 0.0%
Jeju Air Co., Ltd. 58,366 2,653,888 0.1%
#* Jeju Semiconductor Corp. 134,291 685,584 0.0%
#* Jeongsan Aikang Co., Ltd. 237,589 698,414 0.0%
Jinro Distillers Co., Ltd. 15,561 457,570 0.0%
# Jinsung T.E.C. 93,414 987,618 0.0%
# JLS Co., Ltd. 62,953 435,484 0.0%
* Joymax Co., Ltd. 10,140 176,488 0.0%
# JS Corp. 32,047 444,570 0.0%
# Jusung Engineering Co., Ltd. 315,545 3,003,867 0.1%
# JVM Co., Ltd. 30,590 1,364,125 0.0%
# JW Holdings Corp. 265,962 2,142,538 0.0%
JW Life Science Corp. 37,540 915,127 0.0%
# JW Pharmaceutical Corp. 70,819 2,739,325 0.1%
#* JYP Entertainment Corp. 211,588 4,216,956 0.1%
#* Kanglim Co., Ltd. 227,330 855,606 0.0%
# Kangnam Jevisco Co., Ltd. 29,571 896,351 0.0%
# KAON Media Co., Ltd. 111,714 1,020,982 0.0%
* KB Metal Co., Ltd. 4,711 12,119 0.0%
KC Co., Ltd. 65,150 1,243,520 0.0%
KC Cottrell Co., Ltd. 15,012 81,861 0.0%
# KC Green Holdings Co., Ltd. 122,562 630,500 0.0%
# KC Tech Co., Ltd. 95,361 1,879,534 0.0%
# KCC Engineering & Construction Co., Ltd. 62,491 560,190 0.0%
KCI, Ltd. 12,732 96,577 0.0%
#* KD Construction Co., Ltd. 2,642,950 394,733 0.0%
KEC Corp. 598,573 731,096 0.0%
# KEPCO Engineering & Construction Co., Inc. 111,799 3,844,922 0.1%
# Keyang Electric Machinery Co., Ltd. 205,292 928,125 0.0%
#* KEYEAST Co., Ltd. 466,462 1,168,012 0.0%
# KG Chemical Corp. 68,855 1,818,210 0.0%
# KG Eco Technology Service Co., Ltd. 281,477 1,178,880 0.0%
Kginicis Co., Ltd. 136,223 2,961,743 0.1%
# KGMobilians Co., Ltd. 138,520 1,198,902 0.0%
#* KH Vatec Co., Ltd. 135,110 1,473,646 0.0%
KISCO Corp. 37,570 1,347,250 0.0%
# KISCO Holdings Co., Ltd. 10,719 713,563 0.0%
# Kishin Corp. 49,420 208,435 0.0%
KISWIRE, Ltd. 56,369 1,545,842 0.0%
#* Kiwi Media Group Co., Ltd. 1,304,498 745,055 0.0%
# KL-Net Corp. 122,853 559,843 0.0%
#* KleanNara Co., Ltd. 154,710 600,935 0.0%
* KMH Co., Ltd. 123,798 958,519 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* KMH Hitech Co., Ltd. 147,148 $ 141,156 0.0%
#* KMW Co., Ltd. 48,956 1,142,347 0.0%
# Kocom Co., Ltd. 59,560 438,720 0.0%
# Kodaco Co., Ltd. 278,877 796,866 0.0%
* KODI-M Co., Ltd. 243,904 433,891 0.0%
Koentec Co., Ltd. 46,777 242,481 0.0%
Koh Young Technology, Inc. 87,881 8,345,095 0.1%
Kolmar BNH Co., Ltd. 61,048 1,763,054 0.0%
Kolon Corp. 56,224 2,716,377 0.1%
# Kolon Global Corp. 46,405 500,179 0.0%
* Kolon Life Science, Inc. 42,301 3,124,173 0.1%
Kolon Plastic, Inc. 122,692 888,013 0.0%
# Komelon Corp. 39,167 320,067 0.0%
#* KONA I Co., Ltd. 116,957 1,102,478 0.0%
# Kook Soon Dang Brewery Co., Ltd. 102,707 580,390 0.0%
# Kopla Co., Ltd. 117,693 444,709 0.0%
Korea Airport Service Co., Ltd. 1,112 47,019 0.0%
# Korea Alcohol Industrial Co., Ltd. 112,755 1,028,562 0.0%
# Korea Asset In Trust Co., Ltd. 250,261 1,447,190 0.0%
# Korea Autoglass Corp. 70,686 1,106,650 0.0%
# Korea Cast Iron Pipe Industries Co., Ltd. 75,632 1,001,118 0.0%
#* Korea Circuit Co., Ltd. 98,725 779,068 0.0%
Korea District Heating Corp. 26,322 1,980,920 0.0%
Korea Electric Terminal Co., Ltd. 47,596 2,253,919 0.1%
# Korea Electronic Certification Authority, Inc. 134,221 872,067 0.0%
# Korea Electronic Power Industrial Development Co., Ltd. 74,881 288,769 0.0%
Korea Export Packaging Industrial Co., Ltd. 5,621 134,172 0.0%
* Korea Flange Co., Ltd. 20,776 213,975 0.0%
# Korea Fuel-Tech Corp. 79,102 202,690 0.0%
# Korea Industrial Co., Ltd. 95,471 323,490 0.0%
#* Korea Information & Communications Co, Ltd. 117,495 1,404,225 0.0%
# Korea Information Certificate Authority, Inc. 150,707 775,983 0.0%
Korea Kolmar Holdings Co., Ltd. 57,270 3,052,689 0.1%
#* Korea Line Corp. 121,541 3,235,149 0.1%
#* Korea Materials & Analysis Corp. 41,315 508,059 0.0%
Korea Real Estate Investment & Trust Co., Ltd. 1,030,820 2,959,204 0.1%
# Korea United Pharm, Inc. 88,713 2,341,177 0.1%
Korean Reinsurance Co. 485,702 5,351,256 0.1%
Kortek Corp. 89,452 1,389,804 0.0%
#* KPM Tech Co., Ltd. 25,287 55,749 0.0%
# KPX Chemical Co., Ltd. 17,179 964,680 0.0%
#* KR Motors Co., Ltd. 37,711 23,468 0.0%
#* KSCB Co., Ltd. 159,002 580,211 0.0%
# Ksign Co., Ltd. 353,174 621,397 0.0%
# KSS LINE, Ltd. 114,094 897,320 0.0%
* KT Hitel Co., Ltd. 107,174 583,910 0.0%
KT Skylife Co., Ltd. 191,759 2,235,627 0.1%
# KT Submarine Co., Ltd. 129,898 634,533 0.0%
#* KTB Investment & Securities Co., Ltd. 443,890 2,715,331 0.1%
# KTCS Corp. 260,233 566,306 0.0%
Ktis Corp. 217,997 587,430 0.0%
#* Kuk Il Paper Manufacturing Co., Ltd. 596,864 466,438 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Kuk Young G&M 186,943 $ 269,068 0.0%
# Kukbo Design Co., Ltd. 30,314 598,686 0.0%
Kukdo Chemical Co., Ltd. 31,215 2,019,449 0.0%
* Kukdong Corp. 2,138 8,909 0.0%
# Kukdong Oil & Chemicals Co., Ltd. 89,179 307,953 0.0%
#* Kum Yang Co., Ltd. . 101,497 218,968 0.0%
#* Kumho Electric Co., Ltd. 19,049 145,055 0.0%
Kumho Industrial Co., Ltd. 199,815 2,458,291 0.1%
#* Kumho Tire Co., Inc. 951,984 5,486,115 0.1%
# Kumkang Kind Co., Ltd. 21,211 659,394 0.0%
Kwang Dong Pharmaceutical Co., Ltd. 313,294 2,690,012 0.1%
#* Kwang Myung Electric Co., Ltd. 378,243 1,580,667 0.0%
Kwangju Bank Co., Ltd. 228,418 2,385,682 0.1%
#* Kyeryong Construction Industrial Co., Ltd. 26,466 476,073 0.0%
Kyobo Securities Co., Ltd. 192,176 1,855,093 0.0%
# Kyongbo Pharmaceutical Co., Ltd. 95,168 1,249,132 0.0%
# Kyung Dong Navien Co., Ltd. 51,000 2,829,172 0.1%
#* Kyung Nam Pharm Co., Ltd. 62,169 1,001,177 0.0%
# Kyung-In Synthetic Corp. 254,644 1,361,821 0.0%
# Kyungbang, Ltd. 87,364 1,218,054 0.0%
# Kyungchang Industrial Co., Ltd. 87,499 275,768 0.0%
KyungDong City Gas Co., Ltd. 23,254 876,227 0.0%
# KyungDong Invest Co., Ltd. 9,266 375,531 0.0%
Kyungdong Pharm Co., Ltd. 62,602 1,462,403 0.0%
# L&F Co., Ltd. 108,005 3,829,286 0.1%
#* L&K Biomed Co., Ltd. 20,600 202,105 0.0%
#* LabGenomics Co., Ltd. 43,191 442,407 0.0%
#* LB Semicon, Inc. 266,066 600,917 0.0%
# LEADCORP, Inc. (The) 150,125 923,587 0.0%
#* Leaders Cosmetics Co., Ltd. 101,387 2,141,089 0.0%
Lee Ku Industrial Co., Ltd. 223,689 516,614 0.0%
LEENO Industrial, Inc. 79,506 4,247,094 0.1%
#* Leenos Corp. 218,914 741,123 0.0%
LF Corp. 177,753 4,674,537 0.1%
LG Hausys, Ltd. 58,549 4,450,400 0.1%
LG International Corp. 267,838 6,600,661 0.1%
# LIG Nex1 Co., Ltd. 111,234 4,103,165 0.1%
# Lion Chemtech Co., Ltd. 57,397 684,923 0.0%
#* Liveplex Co., Ltd. 686,550 846,397 0.0%
# LMS Co., Ltd. 53,714 394,881 0.0%
Lock & Lock Co., Ltd. 160,625 3,534,077 0.1%
#* LONGTU KOREA, Inc. 93,923 540,704 0.0%
# LOT Vacuum Co., Ltd. 71,129 873,969 0.0%
Lotte Chilsung Beverage Co., Ltd. 197 298,610 0.0%
LOTTE Fine Chemical Co., Ltd. 59,749 3,804,401 0.1%
Lotte Food Co., Ltd. 1,183 823,288 0.0%
LOTTE Himart Co., Ltd. 34,813 2,419,004 0.1%
# Lotte Non-Life Insurance Co., Ltd. 650,312 1,874,224 0.0%
#* Lotte Tour Development Co., Ltd. 46,545 926,015 0.0%
LS Cable & System Asia, Ltd. 78,837 519,255 0.0%
* Lumens Co., Ltd. 376,967 1,401,759 0.0%
# Lutronic Corp. 112,227 1,854,930 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
LVMC Holdings 211,135 $ 992,586 0.0%
#* Macrogen, Inc. 76,933 3,141,479 0.1%
# Maeil Holdings Co., Ltd. 79,034 1,185,057 0.0%
#* Majestar Co., Ltd. 253,982 263,066 0.0%
* Maniker Co., Ltd. 42,141 32,640 0.0%
# Mcnex Co., Ltd. 51,891 827,720 0.0%
#* ME2ON Co., Ltd. 155,056 1,226,888 0.0%
# Mediana Co., Ltd. 39,351 387,206 0.0%
# Meerecompany, Inc. 25,470 3,439,076 0.1%
# MegaStudy Co., Ltd. 21,522 740,604 0.0%
# MegaStudyEdu Co., Ltd. 6,070 747,322 0.0%
#* Melfas, Inc. 166,086 610,739 0.0%
# META BIOMED Co., Ltd. 157,118 769,181 0.0%
#* Mgame Corp. 136,770 585,707 0.0%
#* MGENPLUS Co., Ltd. 101,778 1,490,728 0.0%
# Mi Chang Oil Industrial Co., Ltd. 6,207 463,037 0.0%
#* MiCo, Ltd. 235,572 1,054,280 0.0%
* Microfriend, Inc. 45,677 343,834 0.0%
* Midong & Cinema Co., Ltd. 11,719 48,213 0.0%
Minwise Co., Ltd. 72,098 1,623,166 0.0%
Mirae Asset Life Insurance Co., Ltd. 720,495 3,674,929 0.1%
#* Mirae Corp. 4,197,122 876,343 0.0%
#* MiraeSCI Co., Ltd. 74,501 473,994 0.0%
# Miwon Chemicals Co., Ltd. 3,853 201,333 0.0%
* Miwon Commercial Co., Ltd. 716 156,859 0.0%
* Miwon Holdings Co., Ltd. 3,706 153,575 0.0%
# Miwon Specialty Chemical Co., Ltd. 13,060 721,272 0.0%
# MK Electron Co., Ltd. 135,468 1,256,223 0.0%
#* MNTech Co., Ltd. 154,760 600,610 0.0%
# Mobase Co., Ltd. 130,616 567,294 0.0%
#* Moda, Inc. 65,986 486,222 0.0%
#* Moda-InnoChips Co., Ltd. 14,702 132,050 0.0%
Modetour Network, Inc. 132,911 4,595,224 0.1%
# Monalisa Co., Ltd. 108,874 499,911 0.0%
# MonAmi Co., Ltd. 112,097 361,232 0.0%
# Moorim P&P Co., Ltd. 196,736 1,202,679 0.0%
# Moorim Paper Co., Ltd. 149,278 463,270 0.0%
# Motonic Corp. 88,699 850,604 0.0%
#* MPK Group, Inc. 151,072 69,751 0.0%
# MS Autotech Co., Ltd. 143,953 409,487 0.0%
Muhak Co., Ltd. 122,263 1,935,226 0.0%
# Multicampus Co, Ltd. 18,718 568,619 0.0%
# Myungmoon Pharm Co., Ltd. 169,439 1,299,023 0.0%
# Namhae Chemical Corp. 211,659 3,589,455 0.1%
#* Namsun Aluminum Co., Ltd. 677,470 745,933 0.0%
#* Namuga Co., Ltd. 9,406 184,849 0.0%
Namyang Dairy Products Co., Ltd. 2,928 1,856,259 0.0%
* NanoenTek, Inc. 25,769 147,375 0.0%
#* Nanomedics Co., Ltd. 34,383 600,676 0.0%
# Nasmedia Co., Ltd. 29,359 1,927,919 0.0%
#* Nature & Environment Co., Ltd. 116,892 284,398 0.0%
# NeoPharm Co., Ltd. 38,474 2,115,499 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Neowiz 136,646 $2,217,603 0.0%
#* Neowiz Holdings Corp. 42,417 571,138 0.0%
# NEPES Corp. 158,873 1,283,505 0.0%
#* Neuros Co., Ltd. 104,581 794,982 0.0%
# New Power Plasma Co., Ltd. 31,538 776,783 0.0%
# Nexen Corp. 257,315 1,730,059 0.0%
Nexen Tire Corp. 264,279 2,978,485 0.1%
#* Nexon GT Co., Ltd. 122,123 1,276,389 0.0%
#* Next Entertainment World Co., Ltd. 119,100 928,675 0.0%
# NextEye Co., Ltd. 135,087 498,674 0.0%
# Nexturn Co., Ltd. 56,906 674,955 0.0%
* NHN BUGS Corp. 55,774 437,204 0.0%
#* NHN Entertainment Corp. 107,792 6,178,828 0.1%
#* NHN KCP Corp. 102,773 1,433,552 0.0%
NI Steel Co., Ltd. 6,100 20,338 0.0%
NICE Holdings Co., Ltd. 131,395 2,439,986 0.1%
Nice Information & Telecommunication, Inc. 47,343 1,119,018 0.0%
NICE Information Service Co., Ltd. 272,052 2,518,442 0.1%
# NICE Total Cash Management Co., Ltd. 178,566 2,157,260 0.0%
#* NK Co., Ltd. 525,544 1,108,031 0.0%
# Nong Shim Holdings Co., Ltd. 14,750 1,467,076 0.0%
# Nong Woo Bio Co., Ltd. 68,663 1,221,309 0.0%
# Noroo Holdings Co., Ltd. 15,804 236,229 0.0%
# NOROO Paint & Coatings Co., Ltd. 81,625 677,115 0.0%
NPC 66,771 338,671 0.0%
NS Shopping Co., Ltd. 145,658 1,905,260 0.0%
* NSN Co., Ltd. 21,387 59,572 0.0%
#* nTels Co., Ltd. 20,243 238,676 0.0%
#* Nuri Telecom Co., Ltd. 57,184 498,092 0.0%
#* NUTRIBIOTECH Co., Ltd. 87,742 2,274,878 0.1%
#* NUVOTEC Co., Ltd. 153,125 245,877 0.0%
#* Omnisystem Co., Ltd. 306,179 807,017 0.0%
# Openbase, Inc. 221,380 678,329 0.0%
# Opto Device Technology Co., Ltd. 83,155 625,321 0.0%
# OptoElectronics Solutions Co., Ltd. 10,853 112,429 0.0%
#* OPTRON-TEC, Inc. 145,768 835,623 0.0%
#* Orbitech Co., Ltd. 159,009 1,304,248 0.0%
#* Orientbio, Inc. 750,819 755,172 0.0%
Orion Holdings Corp. 50,717 1,158,312 0.0%
#* OSANGJAIEL Co., Ltd. 77,591 778,735 0.0%
* Osstem Implant Co., Ltd. 90,651 4,646,548 0.1%
Osung Advanced Materials Co., Ltd.() 78,117 57,415 0.0%
#* Osung Advanced Materials Co., Ltd.(6383404) 143,768 433,536 0.0%
# Paik Kwang Industrial Co., Ltd. 100,733 321,697 0.0%
#* Pan-Pacific Co., Ltd. 235,398 731,377 0.0%
# Pang Rim Co., Ltd. 10,174 194,156 0.0%
#* PaperCorea, Inc. 299,792 419,881 0.0%
# Paradise Co., Ltd. 396,551 8,605,924 0.1%
Partron Co., Ltd. 393,810 3,083,847 0.1%
#* Paru Co., Ltd. 240,818 822,994 0.0%
#* PATI Games Corp. 37,610 373,265 0.0%
#* Paxnet Co., Ltd. 46,757 381,710 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* People & Technologies, Inc. 52,901 $ 651,288 0.0%
# Pharma Research Products Co., Ltd. 41,159 1,880,907 0.0%
#* Phoenix Materials Co., Ltd. 340,119 386,024 0.0%
# Pixelplus Co., Ltd. 29,482 241,633 0.0%
#* PNE Solution Co., Ltd. 86,108 1,258,508 0.0%
#* Pobis TNC Co., Ltd. 261,932 360,165 0.0%
Poongsan Corp. 186,949 6,631,111 0.1%
Poongsan Holdings Corp. 34,674 1,571,202 0.0%
POSCO Coated & Color Steel Co., Ltd. 20,770 525,141 0.0%
# Posco ICT Co., Ltd. 427,451 2,784,921 0.1%
# Posco M-Tech Co., Ltd. 153,695 865,404 0.0%
* Power Logics Co., Ltd. 232,551 1,000,118 0.0%
#* Prostemics Co., Ltd. 21,701 206,248 0.0%
# Protec Co., Ltd. 45,127 802,700 0.0%
# PS TEC Co., Ltd. 105,727 597,001 0.0%
PSK, Inc. 121,588 2,608,970 0.1%
# Pulmuone Co., Ltd. 8,052 1,124,361 0.0%
# Pungkuk Alcohol Industry Co., Ltd. 20,749 229,708 0.0%
# Pyeong Hwa Automotive Co., Ltd. 109,829 1,072,729 0.0%
#* RaonSecure Co., Ltd. 215,355 743,878 0.0%
Rayence Co., Ltd. 14,186 253,632 0.0%
#* Redrover Co., Ltd. 314,062 1,006,875 0.0%
# Reyon Pharmaceutical Co., Ltd. 56,716 1,316,926 0.0%
RFHIC Corp. 15,072 285,940 0.0%
# RFTech Co., Ltd. 166,961 754,483 0.0%
# Robostar Co., Ltd. 51,380 973,339 0.0%
# Rorze Systems Corp. 64,507 254,324 0.0%
# S Net Systems, Inc. 102,884 518,081 0.0%
# S&S Tech Corp. 132,790 552,939 0.0%
#* S&T Corp. 15,383 212,295 0.0%
#* S&T Dynamics Co., Ltd. 188,584 1,291,526 0.0%
S&T Holdings Co., Ltd. 67,890 833,098 0.0%
# S&T Motiv Co., Ltd. 91,766 2,810,346 0.1%
#* S-Connect Co., Ltd. 422,477 991,449 0.0%
# S-Energy Co., Ltd. 89,497 659,100 0.0%
#* S-MAC Co., Ltd. 928,392 2,121,574 0.0%
#* S.Y. Panel Co., Ltd. 119,490 1,097,517 0.0%
Sajo Industries Co., Ltd. 25,607 1,690,064 0.0%
* Sajodongaone Co., Ltd. 256,108 390,318 0.0%
* SAJOHAEPYO Corp. 574 5,735 0.0%
# Sam Chun Dang Pharm Co., Ltd. 128,414 5,534,498 0.1%
#* SAM KANG M&T Co., Ltd. 75,787 464,312 0.0%
Sam Young Electronics Co., Ltd. 95,284 1,076,632 0.0%
# Sam Yung Trading Co., Ltd. 82,857 1,355,149 0.0%
# Sam-A Pharm Co., Ltd. 4,439 94,213 0.0%
# Sambo Motors Co., Ltd. 55,200 512,644 0.0%
Samchully Co., Ltd. 23,546 2,454,804 0.1%
# Samchuly Bicycle Co., Ltd. 71,468 618,406 0.0%
# Samho Development Co., Ltd. 159,829 1,028,579 0.0%
#* Samho International Co., Ltd. 46,386 700,470 0.0%
# SAMHWA Paints Industrial Co., Ltd. 83,835 607,964 0.0%
# Samick Musical Instruments Co., Ltd. 555,003 1,311,938 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Samick THK Co., Ltd. 84,001 $1,363,033 0.0%
# Samil Pharmaceutical Co., Ltd. 13,515 428,345 0.0%
# Samji Electronics Co., Ltd. 104,626 1,343,283 0.0%
#* Samjin LND Co., Ltd. 98,862 258,137 0.0%
# Samjin Pharmaceutical Co., Ltd. 82,503 3,439,619 0.1%
# Samkee Automotive Co., Ltd. 179,493 562,090 0.0%
# Samkwang Glass Co., Ltd. 26,261 1,063,315 0.0%
Sammok S-Form Co., Ltd. 80,813 1,171,266 0.0%
# SAMPYO Cement Co., Ltd. 226,765 1,184,060 0.0%
Samsung Climate Control Co., Ltd. 3,552 39,411 0.0%
#* Samsung Pharmaceutical Co., Ltd. 140,759 513,047 0.0%
# SAMT Co., Ltd. 453,527 840,392 0.0%
# Samwha Capacitor Co., Ltd. 63,837 3,831,976 0.1%
# Samwha Electric Co., Ltd. 26,254 416,722 0.0%
# Samyang Corp. 27,989 2,331,823 0.1%
# Samyang Foods Co., Ltd. 26,240 2,194,127 0.0%
Samyang Holdings Corp. 33,101 3,426,856 0.1%
# Samyang Tongsang Co., Ltd. 16,412 674,793 0.0%
Samyoung M-Tek Co., Ltd. 10,739 47,409 0.0%
# Sang-A Frontec Co., Ltd. 60,793 893,348 0.0%
#* Sangbo Corp. 203,435 349,229 0.0%
#* Sangsangin Co., Ltd. 277,671 5,612,984 0.1%
Sangsin Brake 47,715 316,728 0.0%
Sangsin Energy Display Precision Co., Ltd. 43,455 471,424 0.0%
# SaraminHR Co, Ltd. 49,012 983,308 0.0%
# Satrec Initiative Co., Ltd. 23,839 663,072 0.0%
# SAVEZONE I&C Corp. 118,777 491,858 0.0%
#* SBI Investment Korea Co., Ltd. 702,519 873,093 0.0%
* SBS Contents Hub Co., Ltd. 45,751 371,378 0.0%
* SBS Media Holdings Co., Ltd. 408,842 1,128,923 0.0%
* SBW 1,093,979 1,549,443 0.0%
#* SDN Co., Ltd. 233,470 416,953 0.0%
Seah Besteel Corp. 119,407 3,009,223 0.1%
SeAH Holdings Corp. 5,096 655,408 0.0%
# SeAH Steel Corp. 28,020 2,438,762 0.1%
# Sebang Co., Ltd. 83,682 1,039,121 0.0%
Sebang Global Battery Co., Ltd. 58,927 1,790,768 0.0%
# Sebo Manufacturing Engineer Corp. 50,252 574,803 0.0%
# Secuve Co., Ltd. 165,015 391,925 0.0%
* Seegene, Inc. 95,742 3,107,212 0.1%
# Sejong Industrial Co., Ltd. 76,315 560,804 0.0%
* Sejong Telecom, Inc. 2,720,131 1,620,933 0.0%
#* Sejoong Co., Ltd. 80,478 208,993 0.0%
#* Sekonix Co., Ltd. 78,901 732,761 0.0%
#* Selvas AI, Inc. 119,025 751,642 0.0%
# Sempio Foods Co. 14,221 496,027 0.0%
# Semyung Electric Machinery Co., Ltd. 40,738 405,018 0.0%
#* Seobu T&D 257,072 2,525,277 0.1%
# Seohan Co., Ltd. 665,350 1,599,163 0.0%
# Seohee Construction Co., Ltd. 1,374,142 1,595,482 0.0%
# Seondo Electric Co., Ltd. 91,667 622,724 0.0%
# Seoul Auction Co., Ltd. 95,204 818,299 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* Seoul Electronics & Telecom 269,734 $ 350,720 0.0%
#* Seoul Food Industrial Co., Ltd. 2,129,169 481,457 0.0%
# Seoul Pharma Co., Ltd. 56,814 678,704 0.0%
Seoul Semiconductor Co., Ltd. 304,747 5,370,966 0.1%
#* Seouleaguer Co., Ltd. 89,569 360,009 0.0%
# Seoulin Bioscience Co., Ltd. 26,970 338,155 0.0%
#* Seowon Co., Ltd. 169,363 212,308 0.0%
# SEOWONINTECH Co., Ltd. 91,951 595,747 0.0%
# Seoyon Co., Ltd. 112,588 644,501 0.0%
Seoyon E-Hwa Co., Ltd. 73,913 569,756 0.0%
# Sewha P&C, Inc. 78,410 521,578 0.0%
#* Sewon Cellontech Co., Ltd. 413,385 1,849,370 0.0%
Sewon Precision Industry Co., Ltd. 28,422 324,503 0.0%
# SEWOONMEDICAL Co., Ltd. 179,369 765,298 0.0%
# SFA Engineering Corp. 154,588 4,673,024 0.1%
* SFA Semicon Co, Ltd. 632,106 1,387,607 0.0%
#* SFC Co., Ltd. 216,420 1,493,350 0.0%
#* SG Corp. 1,029,814 837,671 0.0%
#* SG&G Corp. 183,445 436,656 0.0%
#* SGA Co., Ltd. 659,121 536,479 0.0%
# SGA Solutions Co., Ltd. 160,395 416,401 0.0%
# SH Energy & Chemical Co., Ltd. 739,431 1,159,576 0.0%
#* Shin Poong Pharmaceutical Co., Ltd. 286,037 2,748,447 0.1%
# Shinil Industrial Co., Ltd. 573,704 927,685 0.0%
# Shinsegae Engineering & Construction Co., Ltd. 22,925 793,633 0.0%
# Shinsegae Food Co., Ltd. 17,956 2,523,265 0.1%
# Shinsegae Information & Communication Co., Ltd. 9,260 1,411,885 0.0%
# Shinsegae International, Inc. 25,637 3,200,906 0.1%
#* Shinsung E&G Energy Co., Ltd. 872,014 1,305,417 0.0%
#* Shinsung Tongsang Co., Ltd. 518,762 615,529 0.0%
#* Shinwha Intertek Corp. 252,278 636,992 0.0%
#* Shinwon Construction Co., Ltd. 102,422 581,859 0.0%
#* Shinwon Corp. 352,571 1,160,390 0.0%
Shinyoung Securities Co., Ltd. 33,458 1,827,201 0.0%
SHOWBOX Corp. 272,250 1,358,772 0.0%
#* Signetics Corp. 465,872 669,728 0.0%
# SIGONG TECH Co., Ltd. 91,546 764,867 0.0%
# Silicon Works Co., Ltd. 89,032 3,110,175 0.1%
# Silla Co., Ltd. 52,411 818,383 0.0%
# SIMMTECH Co., Ltd. 121,212 914,328 0.0%
# SIMMTECH HOLDINGS Co., Ltd. 126,986 253,997 0.0%
SIMPAC, Inc. 117,344 468,171 0.0%
Sindoh Co., Ltd. 40,393 2,285,231 0.1%
Sinil Pharm Co., Ltd. 1,227 15,183 0.0%
# Sinjin SM Co., Ltd. 4,208 31,444 0.0%
# SJM Co., Ltd. 34,349 136,743 0.0%
# SK Bioland Co., Ltd. 88,968 1,729,748 0.0%
# SK D&D Co., Ltd. 60,188 1,661,662 0.0%
# SK Gas, Ltd. 35,424 3,105,728 0.1%
SK Networks Co., Ltd. 646,469 3,389,793 0.1%
#* SK Securities Co., Ltd. 3,688,769 4,156,952 0.1%
SKC Co., Ltd. 149,016 5,278,641 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
#* SKC Solmics Co., Ltd. 223,189 $1,008,316 0.0%
SKCKOLONPI, Inc. 112,448 4,516,805 0.1%
#* Skin n Skin Co., Ltd. 561,997 508,788 0.0%
SL Corp. 107,299 2,220,593 0.0%
#* SM Culture & Contents Co., Ltd. 287,389 760,162 0.0%
#* SM Entertainment Co. 173,695 5,772,474 0.1%
#* SMARK Co., Ltd. 907,008 539,742 0.0%
# SMCo.re, Inc. 32,430 399,054 0.0%
# SMEC Co., Ltd. 216,193 777,499 0.0%
#* SNTEK Co., Ltd. 5,937 34,951 0.0%
#* SNU Precision Co., Ltd. 165,332 513,635 0.0%
#* Solborn, Inc. 137,586 789,010 0.0%
#* Solco Biomedical Co., Ltd. 1,037,575 721,307 0.0%
#* Solid, Inc. 189,405 831,954 0.0%
Songwon Industrial Co., Ltd. 137,771 3,705,952 0.1%
#* Sonokong Co., Ltd. 143,503 493,838 0.0%
#* Soosan Heavy Industries Co., Ltd. 206,213 396,382 0.0%
# Soulbrain Co., Ltd. 98,004 5,377,547 0.1%
# SPC Samlip Co., Ltd. 16,259 1,957,514 0.0%
# SPG Co., Ltd. 135,956 1,403,144 0.0%
# Spigen Korea Co., Ltd. 23,823 1,148,426 0.0%
#* Ssangyong Motor Co. 342,624 1,614,474 0.0%
# Suheung Co., Ltd. 59,398 1,886,448 0.0%
# Sun Kwang Co., Ltd. 21,996 435,590 0.0%
#* Sunchang Corp. 58,177 393,263 0.0%
#* SundayToz Corp. 46,655 1,943,467 0.0%
# Sung Bo Chemicals Co., Ltd. 89,031 538,418 0.0%
# Sung Kwang Bend Co., Ltd. 191,121 2,236,897 0.1%
#* Sungchang Enterprise Holdings, Ltd. 521,155 1,483,668 0.0%
# Sungdo Engineering & Construction Co., Ltd. 100,287 677,512 0.0%
#* Sungshin Cement Co., Ltd. 156,234 1,384,361 0.0%
# Sungwoo Hitech Co., Ltd. 361,484 1,991,355 0.0%
#* Sunjin Co., Ltd. 117,430 1,762,511 0.0%
#* Sunny Electronics Corp. 186,379 607,104 0.0%
#* Suprema HQ, Inc. 36,612 207,254 0.0%
#* Suprema, Inc. 40,485 821,086 0.0%
#* Synopex, Inc. 525,038 1,861,000 0.0%
Systems Technology, Inc. 97,218 1,680,465 0.0%
#* T'way Holdings, Inc. 280,509 1,552,259 0.0%
# Tae Kyung Industrial Co., Ltd. 42,292 223,620 0.0%
Taekwang Industrial Co., Ltd. 3,147 3,824,836 0.1%
#* Taewoong Co., Ltd. 96,535 1,715,227 0.0%
Taeyoung Engineering & Construction Co., Ltd. 356,998 3,884,916 0.1%
#* Taihan Electric Wire Co., Ltd. 898,686 1,411,546 0.0%
* Taihan Fiberoptics Co., Ltd.(BFXW137) 69,403 113,717 0.0%
#* Taihan Fiberoptics Co., Ltd.(6278351) 296,162 1,977,124 0.0%
* Taihan Textile Co., Ltd. 6,240 72,668 0.0%
# Tailim Packaging Co., Ltd. 82,439 269,588 0.0%
#* TBH Global Co., Ltd. 136,438 885,043 0.0%
# TechWing, Inc. 107,408 1,829,739 0.0%
# Telechips, Inc. 44,506 539,599 0.0%
#* Tellus Co., Ltd. 503,791 929,507 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# TES Co., Ltd. 110,645 $3,096,283 0.1%
# Tesna Co., Ltd. 46,344 723,761 0.0%
* Theragen Etex Co., Ltd. 41,416 730,947 0.0%
#* Thinkware Systems Corp. 71,761 689,755 0.0%
#* TK Chemical Corp. 525,195 1,067,589 0.0%
TK Corp. 143,769 1,929,692 0.0%
# TLI, Inc. 23,474 105,798 0.0%
#* TOBESOFT Co., Ltd. 105,940 733,870 0.0%
Tokai Carbon Korea Co., Ltd. 40,094 2,388,443 0.1%
# Tong Yang Moolsan Co., Ltd. 438,988 1,135,856 0.0%
Tongyang Life Insurance Co., Ltd. 328,423 2,526,307 0.1%
Tongyang pile, Inc. 3,387 18,790 0.0%
# Tongyang, Inc. 1,569,288 3,227,997 0.1%
# Tonymoly Co., Ltd. 53,842 970,839 0.0%
# Top Engineering Co., Ltd. 93,464 623,523 0.0%
#* Toptec Co., Ltd. 162,584 4,020,758 0.1%
Tovis Co., Ltd. 131,103 1,068,513 0.0%
#* Trais Co., Ltd. 24,456 33,316 0.0%
TS Corp. 29,662 692,941 0.0%
#* U-Tech Co., Ltd. 53,701 287,811 0.0%
# UBCare Co., Ltd. 195,810 940,973 0.0%
#* Ubiquoss Holdings, Inc. 93,359 520,749 0.0%
Ubiquoss, Inc. 23,646 531,745 0.0%
#* Ubivelox, Inc. 25,329 259,154 0.0%
#* Ugint Co., Ltd. 555,301 924,448 0.0%
# UIL Co., Ltd. 100,293 575,054 0.0%
# Uju Electronics Co., Ltd. 57,758 606,425 0.0%
#* Unick Corp. 77,072 372,707 0.0%
Unid Co., Ltd. 45,001 2,346,206 0.1%
# Union Materials Corp. 170,937 451,985 0.0%
# Union Semiconductor Equipment & Materials Co., Ltd. 202,613 1,720,745 0.0%
# Uniquest Corp. 116,456 850,977 0.0%
#* Unison Co., Ltd. 476,576 1,303,650 0.0%
* Unitekno Co., Ltd. 7,390 111,673 0.0%
# UniTest, Inc. 138,797 2,041,267 0.0%
Value Added Technologies Co., Ltd. 71,764 2,669,695 0.1%
# Very Good Tour Co., Ltd. 43,291 526,683 0.0%
# Vessel Co., Ltd. 58,246 310,854 0.0%
# Viatron Technologies, Inc. 83,609 1,078,397 0.0%
#* VICTEK Co., Ltd. 129,990 344,521 0.0%
# Vieworks Co., Ltd. 62,880 2,273,749 0.1%
# Visang Education, Inc. 56,882 540,792 0.0%
#* Vitzrocell Co., Ltd. 80,528 205,005 0.0%
#* W Holding Co., Ltd. 499,901 258,391 0.0%
* Webzen, Inc. 127,638 3,368,903 0.1%
#* Welcron Co., Ltd. 189,702 893,145 0.0%
WeMade Entertainment Co., Ltd. 74,204 4,142,865 0.1%
Whanin Pharmaceutical Co., Ltd. 120,322 2,414,420 0.1%
* WillBes & Co. (The) 423,575 747,127 0.0%
# Winix, Inc. 60,058 1,093,952 0.0%
# Wins Co., Ltd. 68,892 856,852 0.0%
# WiSoL Co., Ltd. 180,027 2,297,750 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
SOUTH KOREA -- (Continued)
#* WIZIT Co., Ltd. 590,043 $ 925,803 0.0%
#* WONIK CUBE Corp. 16,809 42,463 0.0%
* Wonik Holdings Co., Ltd. 302,482 1,893,749 0.0%
WONIK IPS Co., Ltd. 205,994 6,548,781 0.1%
#* Wonik Materials Co., Ltd. 29,890 1,681,531 0.0%
#* Wonik QnC Corp. 145,417 1,930,193 0.0%
# Wonik Tera Semicon Co., Ltd. 72,779 1,338,573 0.0%
#* Woojin Plaimm Co., Ltd. 14,745 95,460 0.0%
#* Woojin, Inc. 2,070 12,378 0.0%
#* Woongjin Co., Ltd. 415,291 1,750,036 0.0%
#* Woongjin Energy Co., Ltd. 144,759 822,940 0.0%
Woongjin Thinkbig Co., Ltd. 217,960 1,439,149 0.0%
#* Woori Investment Bank Co., Ltd. 3,270,585 1,860,843 0.0%
#* Woori Technology, Inc. 485,786 1,454,489 0.0%
#* Wooridul Pharmaceutical, Ltd. 110,993 1,225,813 0.0%
#* Woorison F&G Co., Ltd. 64,300 144,019 0.0%
# Woory Industrial Co., Ltd. 44,126 1,318,308 0.0%
# Wooshin Systems Co., Ltd. 87,771 610,065 0.0%
# Woosu AMS Co., Ltd. 139,479 594,504 0.0%
# WooSung Feed Co., Ltd. 171,724 575,847 0.0%
# Worldex Industry & Trading Co., Ltd. 46,320 242,225 0.0%
# Y G-1 Co., Ltd. 117,616 1,774,788 0.0%
* YD Online Corp. 64,649 161,128 0.0%
#* YeaRimDang Publishing Co., Ltd. 114,015 1,218,382 0.0%
# Yeong Hwa Metal Co., Ltd. 195,869 326,129 0.0%
# YES24 Co., Ltd. 60,891 333,889 0.0%
#* Yest Co., Ltd. 47,251 684,413 0.0%
# YG Entertainment, Inc. 93,654 2,558,138 0.1%
#* YG Plus 130,692 310,462 0.0%
* YIK Corp. 114,124 477,245 0.0%
#* YJM Games Co., Ltd. 305,083 798,973 0.0%
# YMC Co., Ltd. 53,744 875,237 0.0%
# Yong Pyong Resort Co., Ltd. 146,919 1,197,013 0.0%
#* Yonwoo Co., Ltd. 30,633 924,111 0.0%
# Yoosung Enterprise Co., Ltd. 149,937 466,792 0.0%
# YooSung T&S Co., Ltd. 106,473 400,985 0.0%
Youlchon Chemical Co., Ltd. 86,600 1,339,561 0.0%
# Young Heung Iron & Steel Co., Ltd. 267,579 409,044 0.0%
#* Young In Frontier Co., Ltd. 65,480 392,249 0.0%
# Young Poong Precision Corp. 90,134 733,323 0.0%
Youngone Corp. 97,966 2,733,905 0.1%
Youngone Holdings Co., Ltd. 38,622 1,935,179 0.0%
#* YoungWoo DSP Co., Ltd. 84,317 329,528 0.0%
YTN Co., Ltd. 73,837 168,791 0.0%
#* Yuanta Securities Korea Co., Ltd. 893,872 3,773,299 0.1%
# YuHwa Securities Co., Ltd. 17,992 247,066 0.0%
#* Yuyang DNU Co., Ltd. 155,941 1,713,890 0.0%
Yuyu Pharma, Inc. 1,676 24,523 0.0%
# Zeus Co., Ltd. 56,787 820,349 0.0%
#* Zungwon En-Sys, Inc. 86,136 216,166 0.0%
-------------- ----
TOTAL SOUTH KOREA 1,367,584,285 17.5%
-------------- ----
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (16.0%)
# A-DATA Technology Co., Ltd. 1,847,879 $4,460,186 0.1%
Aaeon Technology, Inc. 12,000 33,676 0.0%
# ABC Taiwan Electronics Corp. 402,000 706,707 0.0%
Ability Enterprise Co., Ltd. 1,872,293 1,092,046 0.0%
# Ability Opto-Electronics Technology Co., Ltd. 401,000 638,426 0.0%
AcBel Polytech, Inc. 3,384,599 2,162,431 0.0%
# Ace Pillar Co., Ltd. 448,000 414,979 0.0%
ACES Electronic Co., Ltd. 790,000 697,072 0.0%
* Acon Holding, Inc. 1,305,000 299,373 0.0%
# Acter Co., Ltd. 279,000 2,159,154 0.0%
* Action Electronics Co., Ltd. 1,465,000 312,147 0.0%
Actron Technology Corp. 513,150 1,795,652 0.0%
# Addcn Technology Co., Ltd. 114,299 989,802 0.0%
* Adimmune Corp. 95,000 61,548 0.0%
# Adlink Technology, Inc. 933,031 1,913,304 0.0%
# Advanced Ceramic X Corp. 297,000 2,518,850 0.1%
Advanced International Multitech Co., Ltd. 898,000 1,300,664 0.0%
* Advanced Lithium Electrochemistry Cayman Co., Ltd. 1,155,000 907,899 0.0%
# Advanced Optoelectronic Technology, Inc. 634,000 607,609 0.0%
# Advanced Power Electronics Corp. 174,000 153,142 0.0%
# Advanced Wireless Semiconductor Co. 1,076,000 2,242,207 0.0%
# Advancetek Enterprise Co., Ltd. 1,403,519 932,284 0.0%
AEON Motor Co., Ltd. 9,000 11,721 0.0%
Aerospace Industrial Development Corp. 1,467,000 1,715,486 0.0%
#* AGV Products Corp. 3,439,433 870,488 0.0%
AimCore Technology Co., Ltd. 324,551 210,333 0.0%
Airmate Cayman International Co., Ltd. 150,000 114,495 0.0%
#* Alchip Technologies, Ltd. 372,000 1,686,793 0.0%
Alcor Micro Corp. 312,000 189,966 0.0%
#* ALI Corp. 2,225,000 1,008,897 0.0%
# All Ring Tech Co., Ltd. 451,000 962,847 0.0%
Allied Circuit Co., Ltd. 178,000 834,488 0.0%
# Allis Electric Co., Ltd. 1,117,000 623,965 0.0%
# Alltek Technology Corp. 1,041,784 718,055 0.0%
# Alltop Technology Co., Ltd. 429,000 875,532 0.0%
# Alpha Networks, Inc. 2,302,386 1,544,476 0.0%
# Altek Corp. 2,160,945 2,273,123 0.0%
# Amazing Microelectronic Corp. 353,560 1,066,324 0.0%
# Ambassador Hotel (The) 1,701,000 1,318,602 0.0%
# AMICCOM Electronics Corp. 351,000 376,579 0.0%
Ampire Co., Ltd. 730,000 427,902 0.0%
# AMPOC Far-East Co., Ltd. 685,444 596,358 0.0%
# AmTRAN Technology Co., Ltd. 7,487,951 3,214,807 0.1%
# Anderson Industrial Corp. 766,000 417,108 0.0%
# Anpec Electronics Corp. 658,590 1,004,367 0.0%
# AP Memory Technology Corp. 249,000 669,386 0.0%
# Apacer Technology, Inc. 695,325 896,361 0.0%
# APAQ Technology Co., Ltd.(BJK4W75) 381,000 759,498 0.0%
APAQ Technology Co., Ltd.() 20,122 7,889 0.0%
# APCB, Inc. 974,000 783,273 0.0%
Apex Biotechnology Corp. 829,483 843,444 0.0%
# Apex International Co., Ltd. 992,470 706,318 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Apex Medical Corp. 477,500 $ 475,505 0.0%
# Apex Science & Engineering 1,046,132 334,636 0.0%
# Apogee Optocom Co., Ltd. 80,216 144,316 0.0%
# Arcadyan Technology Corp. 1,080,718 2,054,978 0.0%
Ardentec Corp. 2,966,274 3,336,414 0.1%
Argosy Research, Inc. 262,000 395,351 0.0%
* Asia Electronic Material Co., Ltd. 373,000 233,509 0.0%
# Asia Optical Co., Inc. 1,615,000 4,970,252 0.1%
Asia Plastic Recycling Holding, Ltd. 1,694,774 639,935 0.0%
Asia Polymer Corp. 2,691,806 1,613,855 0.0%
# Asia Tech Image, Inc. 382,000 572,932 0.0%
Asia Vital Components Co., Ltd. 2,421,058 2,196,324 0.0%
# ASMedia Technology, Inc. 170,424 1,962,736 0.0%
# ASPEED Technology, Inc. 157,599 4,500,093 0.1%
# ASROCK, Inc. 305,000 785,123 0.0%
ATE Energy International Co., Ltd. 9,000 11,662 0.0%
Aten International Co., Ltd. 641,479 2,117,990 0.0%
Audix Corp. 614,600 881,675 0.0%
# AURAS Technology Co., Ltd. 474,148 987,602 0.0%
# Aurona Industries, Inc. 485,000 430,501 0.0%
# Aurora Corp. 504,349 1,502,252 0.0%
# Avalue Technology, Inc. 320,000 489,177 0.0%
# Avermedia Technologies 1,525,446 621,601 0.0%
* Avision, Inc. 437,000 99,143 0.0%
# AVY Precision Technology, Inc. 545,668 863,742 0.0%
# Awea Mechantronic Co., Ltd. 273,210 298,896 0.0%
# Axiomtek Co., Ltd. 421,000 797,657 0.0%
#* Azurewave Technologies, Inc. 457,000 297,297 0.0%
Bank of Kaohsiung Co., Ltd. 3,391,079 1,070,673 0.0%
# Basso Industry Corp. 923,900 1,638,838 0.0%
#* BenQ Materials Corp. 1,408,000 818,798 0.0%
# BES Engineering Corp. 12,579,750 3,215,585 0.1%
# Bin Chuan Enterprise Co., Ltd. 561,070 529,801 0.0%
#* Bionet Corp. 132,000 116,595 0.0%
# Bionime Corp. 202,000 392,862 0.0%
#* Biostar Microtech International Corp. 1,292,975 870,132 0.0%
Bioteque Corp. 444,308 1,792,986 0.0%
# Bizlink Holding, Inc. 862,492 6,368,994 0.1%
# Boardtek Electronics Corp. 893,000 785,221 0.0%
# Bon Fame Co., Ltd. 142,000 361,598 0.0%
# Bothhand Enterprise, Inc. 388,000 892,736 0.0%
# Bright Led Electronics Corp. 809,520 417,912 0.0%
# Brighton-Best International Taiwan, Inc. 550,000 447,695 0.0%
# Browave Corp. 479,000 487,617 0.0%
C Sun Manufacturing, Ltd. 1,173,221 1,051,084 0.0%
# C-Media Electronics, Inc. 337,000 311,802 0.0%
#* C-Tech United Corp. 347,000 296,598 0.0%
Cameo Communications, Inc. 1,675,818 400,177 0.0%
# Capital Futures Corp. 696,039 1,444,950 0.0%
Capital Securities Corp. 14,105,142 5,332,701 0.1%
# Career Technology MFG. Co., Ltd. 2,912,472 4,265,236 0.1%
* Carnival Industrial Corp. 1,419,000 216,674 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Casetek Holdings, Ltd. 1,242,571 $3,039,956 0.1%
Cathay Chemical Works 30,000 17,823 0.0%
# Cathay Real Estate Development Co., Ltd. 4,504,700 2,618,884 0.1%
# Cayman Engley Industrial Co., Ltd. 234,000 1,188,174 0.0%
CCP Contact Probes Co., Ltd. 137,000 134,140 0.0%
# Celxpert Energy Corp. 581,000 755,542 0.0%
#* Center Laboratories, Inc. 1,375,600 3,270,874 0.1%
Central Reinsurance Co., Ltd. 919,410 586,635 0.0%
# Chain Chon Industrial Co., Ltd. 1,330,000 588,498 0.0%
# ChainQui Construction Development Co., Ltd. 444,083 437,537 0.0%
#* Champion Building Materials Co., Ltd. 2,387,851 659,408 0.0%
# Champion Microelectronic Corp. 145,758 255,733 0.0%
Chang Wah Electromaterials, Inc. 251,905 1,248,142 0.0%
# Chang Wah Technology Co., Ltd. 67,817 835,322 0.0%
# Channel Well Technology Co., Ltd. 1,216,000 1,216,348 0.0%
# Chant Sincere Co., Ltd. 411,000 380,833 0.0%
# Charoen Pokphand Enterprise 1,319,985 2,845,422 0.1%
# Chaun-Choung Technology Corp. 457,000 1,175,518 0.0%
CHC Healthcare Group 703,000 891,059 0.0%
CHC Resources Corp. 429,348 866,342 0.0%
# Chen Full International Co., Ltd. 686,000 990,731 0.0%
# Chenbro Micom Co., Ltd. 463,000 724,761 0.0%
# Cheng Loong Corp. 6,327,383 3,590,140 0.1%
Cheng Uei Precision Industry Co., Ltd. 3,100,331 4,024,249 0.1%
# Chenming Mold Industry Corp. 816,437 517,283 0.0%
# Chia Chang Co., Ltd. 878,000 676,506 0.0%
Chia Hsin Cement Corp. 2,603,121 1,046,664 0.0%
# Chian Hsing Forging Industrial Co., Ltd. 280,000 644,218 0.0%
# Chicony Power Technology Co., Ltd. 1,146,721 2,043,045 0.0%
# Chieftek Precision Co., Ltd. 315,000 1,793,280 0.0%
# Chien Kuo Construction Co., Ltd. 1,660,312 662,820 0.0%
# Chilisin Electronics Corp. 1,098,173 3,413,969 0.1%
# Chime Ball Technology Co., Ltd. 197,840 421,837 0.0%
#* Chimei Materials Technology Corp. 5,012,900 1,819,501 0.0%
# Chin-Poon Industrial Co., Ltd. 2,580,207 3,396,947 0.1%
# China Bills Finance Corp. 5,734,000 2,797,177 0.1%
China Chemical & Pharmaceutical Co., Ltd. 1,958,000 1,340,369 0.0%
# China Ecotek Corp. 214,000 317,278 0.0%
#* China Electric Manufacturing Corp. 2,593,900 1,071,292 0.0%
#* China Fineblanking Technology Co., Ltd. 384,000 514,237 0.0%
# China General Plastics Corp. 3,359,341 3,592,918 0.1%
# China Glaze Co., Ltd. 507,002 208,583 0.0%
* China Man-Made Fiber Corp. 10,795,972 3,566,399 0.1%
China Metal Products 1,945,603 2,021,949 0.0%
China Motor Corp. 1,019,000 958,687 0.0%
* China Petrochemical Development Corp. 21,223,000 9,294,193 0.1%
# China Steel Chemical Corp. 1,110,554 5,855,563 0.1%
# China Steel Structure Co., Ltd. 621,000 638,739 0.0%
China Synthetic Rubber Corp. 4,172,751 5,959,218 0.1%
# China Wire & Cable Co., Ltd. 716,160 637,758 0.0%
# Chinese Maritime Transport, Ltd. 847,594 834,504 0.0%
* Ching Feng Home Fashions Co., Ltd. 509,000 315,905 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Chipbond Technology Corp. 4,640,000 $9,194,614 0.1%
# ChipMOS TECHNOLOGIES, Inc. 1,612,000 1,116,388 0.0%
ChipMOS TECHNOLOGIES, Inc. ADR 6,040 83,171 0.0%
Chlitina Holding, Ltd. 388,000 2,530,762 0.1%
Chong Hong Construction Co., Ltd. 1,282,666 3,725,102 0.1%
Chun YU Works & Co., Ltd. 1,442,000 973,313 0.0%
Chun Yuan Steel 2,655,529 1,016,179 0.0%
Chung Hsin Electric & Machinery Manufacturing Corp. 3,002,375 2,165,980 0.0%
* Chung Hung Steel Corp. 7,637,979 2,762,747 0.1%
Chung Hwa Food Industrial Co., Ltd. 96,850 217,500 0.0%
# Chung Hwa Pulp Corp. 3,805,405 1,406,361 0.0%
Chunghwa Chemical Synthesis & Biotech Co., Ltd. 165,000 138,294 0.0%
* Chunghwa Picture Tubes, Ltd. 14,410,000 886,085 0.0%
# Chunghwa Precision Test Tech Co., Ltd. 42,000 1,069,424 0.0%
# Chyang Sheng Dyeing & Finishing Co., Ltd. 1,255,000 934,673 0.0%
Cleanaway Co., Ltd. 553,000 3,551,469 0.1%
Clevo Co. 3,762,200 3,711,644 0.1%
* CMC Magnetics Corp. 15,197,566 3,083,135 0.1%
#* Co-Tech Development Corp. 1,202,533 1,577,038 0.0%
#* CoAsia Microelectronics Corp. 803,397 325,767 0.0%
# Coland Holdings, Ltd. 343,000 483,404 0.0%
# Collins Co., Ltd. 562,431 206,070 0.0%
# Compeq Manufacturing Co., Ltd. 4,458,000 4,441,682 0.1%
Compucase Enterprise 527,000 604,766 0.0%
* Concord Securities Co., Ltd. 3,802,000 1,070,934 0.0%
# Concraft Holding Co., Ltd. 267,000 2,320,534 0.0%
# Continental Holdings Corp. 3,306,320 1,465,729 0.0%
# Contrel Technology Co., Ltd. 1,045,000 484,537 0.0%
# Coremax Corp. 442,000 1,783,710 0.0%
Coretronic Corp. 3,276,200 4,360,762 0.1%
# Cowealth Medical Holding Co., Ltd. 127,000 235,980 0.0%
# Coxon Precise Industrial Co., Ltd. 841,000 759,481 0.0%
# Creative Sensor, Inc. 757,000 607,878 0.0%
Crown Bioscience International 451,000 1,131,641 0.0%
* Crystalwise Technology, Inc. 501,000 251,714 0.0%
* CSBC Corp. Taiwan 3,490,610 2,835,845 0.1%
CTCI Corp. 1,999,000 3,367,410 0.1%
# Cub Elecparts, Inc. 365,482 4,677,375 0.1%
# CviLux Corp. 567,040 515,983 0.0%
# CX Technology Co., Ltd. 391,755 249,623 0.0%
Cyberlink Corp. 539,697 1,173,976 0.0%
# CyberPower Systems, Inc. 295,000 888,971 0.0%
# CyberTAN Technology, Inc. 2,414,779 1,421,835 0.0%
# Cypress Technology Co., Ltd. 271,700 653,768 0.0%
# D-Link Corp. 5,120,668 1,885,215 0.0%
# DA CIN Construction Co., Ltd. 1,190,711 948,829 0.0%
# Da-Li Development Co., Ltd. 1,211,032 1,532,615 0.0%
# Dadi Early-Childhood Education Group, Ltd. 155,956 1,236,022 0.0%
Dafeng TV, Ltd. 493,870 646,946 0.0%
* Danen Technology Corp. 2,771,000 561,237 0.0%
# Darfon Electronics Corp. 1,769,550 1,853,025 0.0%
# Darwin Precisions Corp. 2,503,635 1,931,494 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Davicom Semiconductor, Inc. 611,888 $ 456,083 0.0%
# Daxin Materials Corp. 372,000 1,011,890 0.0%
# De Licacy Industrial Co., Ltd. 2,191,407 1,866,884 0.0%
# Delpha Construction Co., Ltd. 847,931 429,414 0.0%
Depo Auto Parts Ind Co., Ltd. 794,000 2,141,591 0.0%
Dimerco Data System Corp. 280,000 385,728 0.0%
# Dimerco Express Corp. 828,000 575,314 0.0%
# Draytek Corp. 332,000 320,853 0.0%
# Dyaco International, Inc. 35,000 45,828 0.0%
# Dynacolor, Inc. 306,000 382,783 0.0%
#* Dynamic Electronics Co., Ltd. 2,052,321 618,226 0.0%
# Dynapack International Technology Corp. 1,182,000 1,553,759 0.0%
# E-Lead Electronic Co., Ltd. 507,942 425,018 0.0%
E-LIFE MALL Corp. 505,000 1,105,590 0.0%
* E-Ton Solar Tech Co., Ltd. 2,909,209 444,046 0.0%
* Eastern Media International Corp. 4,310,889 1,974,782 0.0%
# ECOVE Environment Corp. 214,000 1,257,466 0.0%
Edimax Technology Co., Ltd. 1,489,108 409,726 0.0%
* Edison Opto Corp. 887,000 449,306 0.0%
Edom Technology Co., Ltd. 1,255,968 711,320 0.0%
# eGalax_eMPIA Technology, Inc. 397,131 707,263 0.0%
#* Egis Technology, Inc. 469,000 2,242,796 0.0%
Elan Microelectronics Corp. 2,837,715 4,107,219 0.1%
#* Electric Power Technology, Ltd. 141,000 133,895 0.0%
Elite Advanced Laser Corp. 903,024 3,163,992 0.1%
# Elite Material Co., Ltd. 2,005,350 4,914,381 0.1%
# Elite Semiconductor Memory Technology, Inc. 1,994,200 2,605,116 0.1%
* Elitegroup Computer Systems Co., Ltd. 2,670,254 1,511,858 0.0%
eMemory Technology, Inc. 523,000 6,452,874 0.1%
# Emerging Display Technologies Corp. 748,000 236,793 0.0%
ENG Electric Co., Ltd. 1,207,923 173,795 0.0%
# Ennoconn Corp. 325,972 5,274,820 0.1%
# EnTie Commercial Bank Co., Ltd. 2,229,603 1,026,440 0.0%
#* Epileds Technologies, Inc. 607,000 407,812 0.0%
#* Episil Holdings, Inc. 867,000 634,288 0.0%
#* Epistar Corp. 4,310,000 5,865,822 0.1%
Eslite Spectrum Corp. (The) 72,000 330,524 0.0%
# Eson Precision Ind. Co., Ltd. 538,000 583,304 0.0%
Eternal Materials Co., Ltd. 4,808,398 4,605,968 0.1%
* Etron Technology, Inc. 3,017,000 1,099,839 0.0%
# Eurocharm Holdings Co., Ltd. 282,000 840,892 0.0%
# Everest Textile Co., Ltd. 2,964,664 1,229,710 0.0%
Evergreen International Storage & Transport Corp. 4,083,000 1,857,302 0.0%
# Everlight Chemical Industrial Corp. 3,499,606 2,116,365 0.0%
# Everlight Electronics Co., Ltd. 2,945,000 4,127,448 0.1%
# Everspring Industry Co., Ltd. 1,073,000 378,749 0.0%
Excelsior Medical Co., Ltd. 670,217 1,109,561 0.0%
# EZconn Corp. 346,000 394,644 0.0%
Far Eastern Department Stores, Ltd. 9,125,000 5,991,845 0.1%
Far Eastern International Bank 17,647,852 5,921,037 0.1%
Faraday Technology Corp. 334,305 747,024 0.0%
* Farglory F T Z Investment Holding Co., Ltd. 485,000 293,889 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
Farglory Land Development Co., Ltd. 2,337,000 $2,560,857 0.1%
# Federal Corp. 3,492,238 1,524,673 0.0%
Feedback Technology Corp. 254,200 969,283 0.0%
Feng Hsin Steel Co., Ltd. 3,347,100 6,740,750 0.1%
Fine Blanking & Tool Co., Ltd. 13,000 18,372 0.0%
#* First Copper Technology Co., Ltd. 1,173,000 443,948 0.0%
# First Hi-Tec Enterprise Co., Ltd. 464,205 604,943 0.0%
First Hotel 1,055,124 537,563 0.0%
First Insurance Co., Ltd. (The) 1,395,179 644,242 0.0%
#* First Steamship Co., Ltd. 4,871,424 2,022,773 0.0%
# FLEXium Interconnect, Inc. 2,307,087 6,028,810 0.1%
Flytech Technology Co., Ltd. 790,309 2,062,474 0.0%
# FocalTech Systems Co., Ltd. 2,071,048 1,804,183 0.0%
# Forest Water Environment Engineering Co., Ltd. 319,000 731,618 0.0%
Formosa Advanced Technologies Co., Ltd. 1,172,000 1,301,424 0.0%
Formosa International Hotels Corp. 386,329 2,000,820 0.0%
# Formosa Laboratories, Inc. 658,000 1,296,240 0.0%
# Formosa Oilseed Processing Co., Ltd. 676,567 1,672,591 0.0%
Formosa Optical Technology Co., Ltd. 160,000 345,590 0.0%
Formosan Rubber Group, Inc. 2,586,952 1,308,285 0.0%
# Formosan Union Chemical 2,429,193 1,532,685 0.0%
# Fortune Electric Co., Ltd. 1,070,078 966,872 0.0%
# Founding Construction & Development Co., Ltd. 1,114,623 620,284 0.0%
Foxlink Image Technology Co., Ltd. 884,000 748,867 0.0%
# Foxsemicon Integrated Technology, Inc. 389,550 2,524,825 0.1%
Froch Enterprise Co., Ltd. 1,287,189 697,620 0.0%
FSP Technology, Inc. 1,062,427 863,068 0.0%
# Fulgent Sun International Holding Co., Ltd. 610,827 1,306,077 0.0%
# Fullerton Technology Co., Ltd. 668,600 539,495 0.0%
# Fulltech Fiber Glass Corp. 2,588,083 1,492,769 0.0%
# Fwusow Industry Co., Ltd. 867,138 543,588 0.0%
# G Shank Enterprise Co., Ltd. 952,281 805,763 0.0%
* G Tech Optoelectronics Corp. 780,354 424,518 0.0%
# Gallant Precision Machining Co., Ltd. 1,186,000 922,771 0.0%
# GCS Holdings, Inc. 498,000 1,107,480 0.0%
# GEM Services, Inc. 337,000 940,083 0.0%
# Gemtek Technology Corp. 2,470,219 1,997,012 0.0%
# General Plastic Industrial Co., Ltd. 410,357 536,274 0.0%
# Generalplus Technology, Inc. 380,000 544,179 0.0%
* Genesis Photonics, Inc. 639,976 63,362 0.0%
# Genesys Logic, Inc. 633,000 637,876 0.0%
#* Genius Electronic Optical Co., Ltd. 485,427 5,712,144 0.1%
* Genmont Biotech, Inc. 299,000 271,235 0.0%
Genovate Biotechnology Co., Ltd. 256,000 312,240 0.0%
# GeoVision, Inc. 510,096 520,480 0.0%
Getac Technology Corp. 2,816,360 4,050,100 0.1%
# Giantplus Technology Co., Ltd. 2,805,900 1,428,833 0.0%
# Gigabyte Technology Co., Ltd. 3,920,800 8,573,191 0.1%
# Gigasolar Materials Corp. 152,880 783,167 0.0%
#* Gigastorage Corp. 2,770,561 1,168,493 0.0%
# Ginko International Co., Ltd. 373,000 3,133,609 0.1%
* Gintech Energy Corp. 4,384,561 2,347,066 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Global Brands Manufacture, Ltd. 2,093,359 $ 882,544 0.0%
# Global Lighting Technologies, Inc. 622,000 760,038 0.0%
Global Mixed Mode Technology, Inc. 552,000 1,209,922 0.0%
# Global PMX Co., Ltd. 278,000 1,657,693 0.0%
# Global Unichip Corp. 638,000 6,002,742 0.1%
Globe Union Industrial Corp. 1,587,914 1,177,947 0.0%
# Gloria Material Technology Corp. 4,040,547 2,615,248 0.1%
# Glory Science Co., Ltd. 330,296 499,148 0.0%
* GlycoNex, Inc. 227,000 252,645 0.0%
#* Gold Circuit Electronics, Ltd. 3,261,227 1,032,351 0.0%
Golden Friends Corp. 239,600 485,723 0.0%
* Goldsun Building Materials Co., Ltd. 9,509,722 3,088,353 0.1%
Good Way Technology Co., Ltd. 202,000 278,905 0.0%
# Good Will Instrument Co., Ltd. 355,869 276,065 0.0%
Grand Fortune Securities Co., Ltd. 1,666,000 868,977 0.0%
# Grand Ocean Retail Group, Ltd. 701,000 731,501 0.0%
Grand Pacific Petrochemical 7,236,000 8,006,091 0.1%
Grand Plastic Technology Corp. 133,000 698,496 0.0%
# GrandTech CG Systems, Inc. 375,000 721,125 0.0%
Grape King Bio, Ltd. 755,000 6,318,599 0.1%
# Great China Metal Industry 1,134,000 1,031,285 0.0%
# Great Taipei Gas Co., Ltd. 1,912,000 1,799,499 0.0%
Great Wall Enterprise Co., Ltd. 3,872,774 5,008,436 0.1%
Greatek Electronics, Inc. 2,152,000 3,894,536 0.1%
#* Green Energy Technology, Inc. 2,369,457 1,240,245 0.0%
# Green River Holding Co., Ltd. 103,950 459,958 0.0%
# Green Seal Holding, Ltd. 589,700 742,392 0.0%
GTM Holdings Corp. 763,000 505,583 0.0%
# Gudeng Precision Industrial Co., Ltd. 44,000 54,403 0.0%
# Hannstar Board Corp. 2,292,049 1,330,570 0.0%
# HannStar Display Corp. 21,469,506 5,887,981 0.1%
* HannsTouch Solution, Inc. 3,960,805 930,711 0.0%
# Hanpin Electron Co., Ltd. 455,000 388,095 0.0%
#* Harvatek Corp. 1,000,949 606,984 0.0%
# Hey Song Corp. 2,037,750 2,149,839 0.0%
Hi-Clearance, Inc. 185,000 667,623 0.0%
Highlight Tech Corp. 556,000 512,342 0.0%
HIM International Music, Inc. 175,400 982,613 0.0%
# Hiroca Holdings, Ltd. 643,448 2,222,648 0.0%
#* HiTi Digital, Inc. 1,013,935 341,061 0.0%
Hitron Technology, Inc. 1,784,213 1,274,617 0.0%
* Ho Tung Chemical Corp. 6,813,684 1,886,793 0.0%
#* Hocheng Corp. 2,223,700 724,776 0.0%
Hold-Key Electric Wire & Cable Co., Ltd. 205,908 65,366 0.0%
Holiday Entertainment Co., Ltd. 553,800 1,030,287 0.0%
Holtek Semiconductor, Inc. 1,280,000 3,035,070 0.1%
# Holy Stone Enterprise Co., Ltd. 988,910 4,808,264 0.1%
Hong Pu Real Estate Development Co., Ltd. 1,826,185 1,392,015 0.0%
# Hong TAI Electric Industrial 1,589,000 614,128 0.0%
Hong YI Fiber Industry Co. 1,282,652 891,275 0.0%
* Horizon Securities Co., Ltd. 2,874,000 734,252 0.0%
# Hota Industrial Manufacturing Co., Ltd. 1,550,932 6,817,550 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Hotron Precision Electronic Industrial Co., Ltd. 408,300 $ 672,602 0.0%
# Hsin Kuang Steel Co., Ltd. 1,975,443 2,966,259 0.1%
# Hsin Yung Chien Co., Ltd. 256,100 772,676 0.0%
Hsing TA Cement Co. 513,855 239,421 0.0%
# Hu Lane Associate, Inc. 616,866 2,887,942 0.1%
* HUA ENG Wire & Cable Co., Ltd. 2,905,565 1,193,661 0.0%
Huaku Development Co., Ltd. 1,809,816 4,178,551 0.1%
# Huang Hsiang Construction Corp. 846,800 804,861 0.0%
# Hung Ching Development & Construction Co., Ltd. 1,225,000 1,203,197 0.0%
Hung Sheng Construction, Ltd. 3,538,400 4,156,708 0.1%
Huxen Corp. 301,244 480,889 0.0%
# Hwa Fong Rubber Industrial Co., Ltd. 1,843,890 940,079 0.0%
* Hwacom Systems, Inc. 442,000 185,756 0.0%
#* I-Chiun Precision Industry Co., Ltd. 1,337,313 411,729 0.0%
# I-Sheng Electric Wire & Cable Co., Ltd. 791,000 1,201,243 0.0%
# Ibase Technology, Inc. 919,206 1,391,032 0.0%
#* Ichia Technologies, Inc. 2,428,000 1,295,682 0.0%
# Ideal Bike Corp. 1,382,734 527,824 0.0%
# IEI Integration Corp. 1,487,209 1,738,311 0.0%
# Info-Tek Corp. 478,000 328,780 0.0%
# Infortrend Technology, Inc. 1,371,163 588,512 0.0%
Innodisk Corp. 449,592 1,987,844 0.0%
Inpaq Technology Co., Ltd. 659,000 934,725 0.0%
# Intai Technology Corp. 252,000 823,639 0.0%
# Integrated Service Technology, Inc. 432,178 1,055,240 0.0%
# IntelliEPI, Inc. 236,000 626,622 0.0%
International Games System Co., Ltd. 403,000 2,169,312 0.0%
# Iron Force Industrial Co., Ltd. 374,393 1,127,612 0.0%
# ITE Technology, Inc. 1,145,095 1,339,456 0.0%
ITEQ Corp. 1,437,614 3,196,940 0.1%
J Touch Corp. 11,000 211 0.0%
# Jarllytec Co., Ltd. 383,000 612,779 0.0%
# Jentech Precision Industrial Co., Ltd. 448,868 930,235 0.0%
Jess-Link Products Co., Ltd. 842,925 809,945 0.0%
# Jian Sin Industrial Co., Ltd. 12,000 29,645 0.0%
# Jih Lin Technology Co., Ltd. 285,000 795,975 0.0%
# Jih Sun Financial Holdings Co., Ltd. 11,470,896 3,414,638 0.1%
# Jinan Acetate Chemical Co., Ltd. 49,000 208,917 0.0%
Jinli Group Holdings, Ltd. 1,010,058 668,617 0.0%
# Johnson Health Tech Co., Ltd. 737,257 745,958 0.0%
# Jourdeness Group, Ltd. 179,000 630,661 0.0%
# K Laser Technology, Inc. 1,102,000 563,968 0.0%
# Kaori Heat Treatment Co., Ltd. 613,197 883,524 0.0%
Kaulin Manufacturing Co., Ltd. 919,330 647,287 0.0%
# KEE TAI Properties Co., Ltd. 2,783,473 1,017,945 0.0%
# Kenda Rubber Industrial Co., Ltd. 1,000,000 1,155,308 0.0%
# Kenmec Mechanical Engineering Co., Ltd. 1,494,000 525,853 0.0%
Kerry TJ Logistics Co., Ltd. 1,641,000 2,225,144 0.0%
* Key Ware Electronics Co., Ltd. 207,000 85,257 0.0%
Kindom Construction Corp. 2,658,000 1,732,647 0.0%
# King Chou Marine Technology Co., Ltd. 478,920 549,056 0.0%
# King Yuan Electronics Co., Ltd. 8,804,979 8,685,343 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
King's Town Bank Co., Ltd. 4,412,701 $5,285,563 0.1%
#* King's Town Construction Co., Ltd. 921,074 706,006 0.0%
# Kingcan Holdings, Ltd. 422,273 275,289 0.0%
# Kingpak Technology, Inc. 196,117 1,279,649 0.0%
Kinik Co. 858,000 2,233,772 0.0%
# Kinko Optical Co., Ltd. 964,000 916,547 0.0%
Kinpo Electronics 9,845,157 3,481,399 0.1%
# Kinsus Interconnect Technology Corp. 2,128,000 3,495,725 0.1%
# KMC Kuei Meng International, Inc. 442,146 1,945,221 0.0%
KNH Enterprise Co., Ltd. 333,020 131,783 0.0%
# KS Terminals, Inc. 913,482 1,559,924 0.0%
# Kung Long Batteries Industrial Co., Ltd. 462,000 2,226,902 0.0%
# Kung Sing Engineering Corp. 1,965,000 889,442 0.0%
* Kuo Toong International Co., Ltd. 1,744,511 1,097,681 0.0%
#* Kuoyang Construction Co., Ltd. 3,345,384 1,666,986 0.0%
Kwong Fong Industries Corp. 840,764 494,712 0.0%
# Kwong Lung Enterprise Co., Ltd. 504,000 807,822 0.0%
#* KYE Systems Corp. 1,939,672 654,583 0.0%
# L&K Engineering Co., Ltd. 1,281,048 1,579,946 0.0%
La Kaffa International Co., Ltd. 101,000 368,978 0.0%
#* LAN FA Textile 1,708,933 506,472 0.0%
# Land Mark Optoelectronics Corp. 418,300 3,901,399 0.1%
# Lanner Electronics, Inc. 731,006 1,161,283 0.0%
# Laser Tek Taiwan Co., Ltd. 516,504 534,879 0.0%
# Laster Tech Corp., Ltd. 314,000 660,797 0.0%
LCY Chemical Corp. 1,757,383 2,604,412 0.1%
# Leader Electronics, Inc. 828,000 226,561 0.0%
Leadtrend Technology Corp. 120,086 105,148 0.0%
#* Lealea Enterprise Co., Ltd. 6,003,892 2,311,975 0.0%
Ledlink Optics, Inc. 340,300 445,455 0.0%
Ledtech Electronics Corp. 351,000 121,674 0.0%
LEE CHI Enterprises Co., Ltd. 1,386,000 485,552 0.0%
# Lelon Electronics Corp. 628,300 1,235,683 0.0%
# Lemtech Holdings Co., Ltd. 153,000 826,117 0.0%
* Leofoo Development Co., Ltd. 1,913,116 435,566 0.0%
* LES Enphants Co., Ltd. 1,029,754 486,602 0.0%
#* Lextar Electronics Corp. 2,699,500 1,624,936 0.0%
# Li Cheng Enterprise Co., Ltd. 537,912 753,600 0.0%
#* Li Peng Enterprise Co., Ltd. 5,193,897 1,445,337 0.0%
# Lian HWA Food Corp. 577,525 680,107 0.0%
# Lida Holdings, Ltd. 300,000 901,216 0.0%
# Lien Chang Electronic Enter 476,000 211,688 0.0%
Lien Hwa Industrial Corp. 4,474,170 5,711,856 0.1%
Lifestyle Global Enterprise, Inc. 110,000 402,458 0.0%
# Lingsen Precision Industries, Ltd. 2,722,506 1,142,392 0.0%
# Lion Travel Service Co., Ltd. 273,000 1,004,363 0.0%
Lite-On Semiconductor Corp. 1,656,539 2,108,756 0.0%
Long Bon International Co., Ltd. 2,805,945 1,323,951 0.0%
# Long Chen Paper Co., Ltd. 4,432,006 5,171,300 0.1%
# Longwell Co. 747,000 907,900 0.0%
# Lotes Co., Ltd. 460,778 2,975,755 0.1%
* Lotus Pharmaceutical Co., Ltd. 261,000 784,589 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
TAIWAN -- (Continued)
# Lu Hai Holding Corp. 315,690 $ 416,542 0.0%
# Lucky Cement Corp. 1,645,000 423,149 0.0%
Lumax International Corp., Ltd. 640,592 1,284,525 0.0%
Lung Yen Life Service Corp. 1,259,000 2,648,809 0.1%
#* LuxNet Corp. 736,153 590,248 0.0%
# Macauto Industrial Co., Ltd. 371,000 1,745,592 0.0%
# Machvision, Inc. 236,000 2,977,159 0.1%
# Macroblock, Inc. 230,550 642,958 0.0%
* Macronix International 8,930,820 14,187,462 0.2%
# Mag Layers Scientific-Technics Co., Ltd. 352,933 785,198 0.0%
# Makalot Industrial Co., Ltd. 1,424,677 6,858,678 0.1%
Marketech International Corp. 965,000 1,900,260 0.0%
Masterlink Securities Corp. 8,580,728 3,191,428 0.1%
# Materials Analysis Technology, Inc. 281,041 668,308 0.0%
# Mayer Steel Pipe Corp. 944,567 496,290 0.0%
Maywufa Co., Ltd. 69,322 33,369 0.0%
# Mechema Chemicals International Corp. 342,000 1,104,205 0.0%
# Meiloon Industrial Co. 959,730 838,976 0.0%
Mercuries & Associates Holding, Ltd. 2,871,015 2,331,345 0.0%
* Mercuries Life Insurance Co., Ltd. 7,718,147 4,208,971 0.1%
# Merry Electronics Co., Ltd. 1,080,477 4,975,558 0.1%
#* Microbio Co., Ltd. 2,948,607 2,025,047 0.0%
# Microelectronics Technology, Inc. 367,655 317,295 0.0%
Microlife Corp. 374,600 1,082,478 0.0%
# Mildef Crete, Inc. 356,000 602,519 0.0%
MIN AIK Technology Co., Ltd. 1,059,452 781,631 0.0%
# Mirle Automation Corp. 1,333,098 1,924,314 0.0%
Mitac Holdings Corp. 4,557,004 4,929,891 0.1%
MJ International Co., Ltd. 16,000 44,042 0.0%
# Mobiletron Electronics Co., Ltd. 509,800 623,499 0.0%
# momo.com, Inc. 189,000 1,567,463 0.0%
* Mosel Vitelic, Inc. 178,482 194,056 0.0%
#* Motech Industries, Inc. 3,353,731 2,330,519 0.0%
# MPI Corp. 474,000 851,167 0.0%
# Nak Sealing Technologies Corp. 394,954 1,155,077 0.0%
Namchow Holdings Co., Ltd. 1,306,000 2,657,260 0.1%
# Nan Kang Rubber Tire Co., Ltd. 4,187,952 3,529,729 0.1%
# Nan Liu Enterprise Co., Ltd. 309,000 1,653,077 0.0%
Nan Ren Lake Leisure Amusement Co., Ltd. 855,000 223,366 0.0%
# Nan Ya Printed Circuit Board Corp. 1,778,000 1,602,765 0.0%
# Nang Kuang Pharmaceutical co., Ltd. 449,000 598,324 0.0%
# Nantex Industry Co., Ltd. 1,989,149 1,680,671 0.0%
National Petroleum Co., Ltd. 217,824 294,835 0.0%
* Neo Solar Power Corp. 6,312,744 2,616,876 0.1%
# Netronix, Inc. 519,000 554,377 0.0%
New Asia Construction & Development Corp. 338,835 69,149 0.0%
New Best Wire Industrial Co., Ltd. 195,600 192,894 0.0%
# New Era Electronics Co., Ltd. 312,000 178,404 0.0%
#* Newmax Technology Co., Ltd. 549,009 609,808 0.0%
# Nexcom International Co., Ltd. 751,094 695,371 0.0%
# Nichidenbo Corp. 1,008,801 2,418,376 0.1%
# Nien Hsing Textile Co., Ltd. 999,345 834,904 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
#* Niko Semiconductor Co., Ltd. 374,000 $ 461,441 0.0%
# Nishoku Technology, Inc. 328,000 879,288 0.0%
Nova Technology Corp. 58,000 396,531 0.0%
# Nuvoton Technology Corp. 551,000 1,019,138 0.0%
O-Bank Co., Ltd. 953,000 278,157 0.0%
#* O-TA Precision Industry Co., Ltd. 138,000 180,793 0.0%
#* Ocean Plastics Co., Ltd. 1,107,200 1,043,323 0.0%
# On-Bright Electronics, Inc. 227,052 1,832,514 0.0%
* Oneness Biotech Co., Ltd. 196,000 215,639 0.0%
OptoTech Corp. 3,188,358 2,358,541 0.1%
# Orient Europharma Co., Ltd. 321,000 768,111 0.0%
* Orient Semiconductor Electronics, Ltd. 5,229,000 1,438,912 0.0%
Oriental Union Chemical Corp. 5,582,267 5,986,003 0.1%
# P-Duke Technology Co., Ltd. 299,500 711,409 0.0%
P-Two Industries, Inc. 174,000 134,911 0.0%
# Pacific Construction Co. 1,868,921 732,099 0.0%
Pacific Hospital Supply Co., Ltd. 420,000 1,052,817 0.0%
# Paiho Shih Holdings Corp. 908,928 1,604,997 0.0%
# Pan Jit International, Inc. 2,371,541 4,005,057 0.1%
# Pan-International Industrial Corp. 2,834,747 1,836,397 0.0%
# Paolung International Co., Ltd. 466,000 404,222 0.0%
Parade Technologies, Ltd. 336,401 5,209,100 0.1%
# Paragon Technologies Co., Ltd. 480,246 465,952 0.0%
Parpro Corp. 79,000 92,123 0.0%
# PChome Online, Inc. 534,676 2,476,726 0.1%
# PCL Technologies, Inc. 244,040 620,152 0.0%
# PharmaEngine, Inc. 453,581 2,141,198 0.0%
# Pharmally International Holding Co., Ltd. 285,452 3,741,969 0.1%
#* Phihong Technology Co., Ltd. 2,365,401 862,426 0.0%
# Phoenix Tours International, Inc. 318,450 389,850 0.0%
Pili International Multimedia Co., Ltd. 47,000 90,985 0.0%
# Pixart Imaging, Inc. 593,150 2,258,674 0.0%
Planet Technology Corp. 190,000 389,951 0.0%
Plastron Precision Co., Ltd. 535,400 328,496 0.0%
# Plotech Co., Ltd. 616,000 639,291 0.0%
# Polytronics Technology Corp. 357,027 730,152 0.0%
# Posiflex Technology, Inc. 355,457 1,371,366 0.0%
#* Power Quotient International Co., Ltd. 1,306,600 395,624 0.0%
Power Wind Health Industry, Inc. 110,000 577,816 0.0%
Powertech Industrial Co., Ltd. 80,000 37,628 0.0%
Poya International Co., Ltd. 312,098 3,464,818 0.1%
* President Securities Corp. 6,630,524 3,322,930 0.1%
# Primax Electronics, Ltd. 2,765,000 5,592,996 0.1%
* Prime Electronics & Satellitics, Inc. 667,822 172,445 0.0%
Prince Housing & Development Corp. 9,008,644 3,582,474 0.1%
#* Princeton Technology Corp. 1,099,000 278,342 0.0%
Pro Hawk Corp. 122,000 576,333 0.0%
# Promate Electronic Co., Ltd. 1,227,000 1,171,086 0.0%
* Promise Technology, Inc. 1,152,286 364,260 0.0%
# Prosperity Dielectrics Co., Ltd. 708,559 1,260,080 0.0%
# Qisda Corp. 2,915,900 1,998,576 0.0%
# QST International Corp. 407,000 1,598,892 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Qualipoly Chemical Corp. 646,713 $ 731,463 0.0%
# Quang Viet Enterprise Co., Ltd. 101,000 373,705 0.0%
# Quanta Storage, Inc. 1,507,000 1,365,101 0.0%
# Quintain Steel Co., Ltd. 1,685,000 608,745 0.0%
# Radiant Opto-Electronics Corp. 3,344,000 6,902,525 0.1%
* Radium Life Tech Co., Ltd. 5,152,100 1,870,238 0.0%
# Rafael Microelectronics, Inc. 148,000 712,990 0.0%
# Rechi Precision Co., Ltd. 2,626,181 2,835,716 0.1%
Rich Development Co., Ltd. 4,476,036 1,834,386 0.0%
# RichWave Technology Corp. 309,000 693,239 0.0%
#* Right WAY Industrial Co., Ltd. 115,000 89,041 0.0%
* Ritek Corp. 14,699,860 2,910,009 0.1%
#* Roo Hsing Co., Ltd. 4,874,000 2,467,755 0.1%
# Rotam Global Agrosciences, Ltd. 508,268 427,689 0.0%
# Ruentex Engineering & Construction Co. 226,000 295,423 0.0%
# Run Long Construction Co., Ltd. 537,292 1,001,376 0.0%
# Sagittarius Life Science Corp. 168,889 370,082 0.0%
# Samebest Co., Ltd. 134,000 1,587,828 0.0%
# Sampo Corp. 3,467,327 1,560,371 0.0%
# San Fang Chemical Industry Co., Ltd. 1,333,647 1,456,345 0.0%
San Far Property, Ltd. 124,000 60,803 0.0%
# San Shing Fastech Corp. 794,875 1,529,339 0.0%
Sanitar Co., Ltd. 301,000 420,655 0.0%
# Sanyang Motor Co., Ltd. 4,189,628 2,992,277 0.1%
#* Savior Lifetec Corp. 562,000 504,860 0.0%
# SCI Pharmtech, Inc. 502,395 1,045,078 0.0%
# Scientech Corp. 357,000 675,221 0.0%
# ScinoPharm Taiwan, Ltd. 327,000 356,586 0.0%
# SDI Corp. 891,000 2,105,668 0.0%
Sea Sonic Electronics Co., Ltd. 57,000 67,020 0.0%
# Senao International Co., Ltd. 813,541 1,436,279 0.0%
# Senao Networks, Inc. 194,000 838,181 0.0%
# Sercomm Corp. 1,655,000 4,462,181 0.1%
# Sesoda Corp. 1,290,712 1,286,493 0.0%
Shan-Loong Transportation Co., Ltd. 558,000 627,796 0.0%
# Sharehope Medicine Co., Ltd. 736,293 920,525 0.0%
Sheng Yu Steel Co., Ltd. 867,980 779,956 0.0%
ShenMao Technology, Inc. 607,891 502,391 0.0%
Shieh Yih Machinery Industry Co., Ltd. 166,000 64,076 0.0%
# Shih Her Technologies, Inc. 360,000 414,120 0.0%
* Shih Wei Navigation Co., Ltd. 2,023,384 504,057 0.0%
# Shihlin Electric & Engineering Corp. 1,745,000 2,414,140 0.1%
* Shihlin Paper Corp. 9,000 10,047 0.0%
Shin Hai Gas Corp. 1,245 1,704 0.0%
# Shin Zu Shing Co., Ltd. 1,268,144 3,332,944 0.1%
Shinih Enterprise Co., Ltd. 128,000 83,098 0.0%
* Shining Building Business Co., Ltd. 2,813,593 1,096,629 0.0%
Shinkong Insurance Co., Ltd. 1,471,131 1,596,258 0.0%
Shinkong Synthetic Fibers Corp. 10,411,395 3,572,703 0.1%
# Shinkong Textile Co., Ltd. 979,542 1,583,635 0.0%
# Shiny Chemical Industrial Co., Ltd. 434,031 1,182,136 0.0%
# ShunSin Technology Holding, Ltd. 203,000 991,352 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Shuttle, Inc. 2,436,152 $1,290,154 0.0%
Sigurd Microelectronics Corp. 2,739,974 3,174,323 0.1%
#* Silicon Integrated Systems Corp. 3,406,887 970,154 0.0%
* Silitech Technology Corp. 994,774 568,204 0.0%
Simplo Technology Co., Ltd. 1,263,800 7,065,783 0.1%
# Sinbon Electronics Co., Ltd. 1,519,813 4,020,940 0.1%
Sincere Navigation Corp. 2,424,786 1,432,842 0.0%
# Single Well Industrial Corp. 315,916 255,313 0.0%
# Sinher Technology, Inc. 332,000 543,229 0.0%
# Sinmag Equipment Corp. 303,436 1,582,808 0.0%
Sino-American Electronic Co., Ltd. 564,703 52,249 0.0%
Sino-American Silicon Products, Inc. 1,427,000 6,124,567 0.1%
Sinon Corp. 3,065,510 1,751,608 0.0%
# Sinphar Pharmaceutical Co., Ltd. 1,103,938 864,831 0.0%
Sinyi Realty Co. 1,465,659 2,133,732 0.0%
# Sirtec International Co., Ltd. 937,000 1,217,379 0.0%
Sitronix Technology Corp. 901,879 2,579,702 0.1%
# Siward Crystal Technology Co., Ltd. 1,207,000 754,564 0.0%
Soft-World International Corp. 817,000 2,402,999 0.1%
#* Solar Applied Materials Technology Co. 2,008,846 1,450,775 0.0%
* Solartech Energy Corp. 2,620,616 1,160,689 0.0%
# Solomon Technology Corp. 869,000 598,918 0.0%
# Solteam Electronics Co., Ltd. 484,034 603,061 0.0%
# Song Shang Electronics Co., Ltd. 671,000 435,430 0.0%
# Sonix Technology Co., Ltd. 1,108,000 1,221,610 0.0%
Southeast Cement Co., Ltd. 1,053,700 495,702 0.0%
#* Speed Tech Corp. 582,000 965,792 0.0%
# Spirox Corp. 667,824 666,868 0.0%
# Sporton International, Inc. 506,131 2,807,904 0.1%
St Shine Optical Co., Ltd. 134,000 3,592,585 0.1%
# Standard Chemical & Pharmaceutical Co., Ltd. 904,571 1,115,215 0.0%
# Stark Technology, Inc. 787,688 1,092,521 0.0%
Strong H Machinery Technology Cayman, Inc. 18,000 39,295 0.0%
# Sun Race Sturmey-Archer, Inc. 213,000 422,378 0.0%
Sunjuice Holdings Co., Ltd. 48,000 278,483 0.0%
# Sunko INK Co., Ltd. 827,000 337,259 0.0%
# Sunny Friend Environmental Technology Co., Ltd. 479,000 3,138,359 0.1%
# Sunonwealth Electric Machine Industry Co., Ltd. 1,382,487 1,684,528 0.0%
# Sunplus Technology Co., Ltd. 4,013,000 1,952,672 0.0%
Sunrex Technology Corp. 1,024,567 535,971 0.0%
# Sunspring Metal Corp. 842,000 1,028,427 0.0%
* Sunty Development Co., Ltd. 42,000 15,728 0.0%
# Supreme Electronics Co., Ltd. 2,838,508 3,035,022 0.1%
# Swancor Holding Co., Ltd. 497,206 2,525,501 0.1%
Sweeten Real Estate Development Co., Ltd. 538,874 328,576 0.0%
# Symtek Automation Asia Co., Ltd. 270,172 666,816 0.0%
Syncmold Enterprise Corp. 1,173,000 2,568,864 0.1%
# Synmosa Biopharma Corp. 583,799 590,412 0.0%
# Sysage Technology Co., Ltd. 693,258 792,217 0.0%
* Sysgration 1,336,000 272,306 0.0%
# Systex Corp. 1,328,388 2,874,219 0.1%
T-Mac Techvest PCB Co., Ltd. 380,000 157,507 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# T3EX Global Holdings Corp. 713,117 $ 561,886 0.0%
# TA Chen Stainless Pipe 5,225,478 5,949,299 0.1%
# Ta Liang Technology Co., Ltd. 388,000 599,337 0.0%
#* Ta Ya Electric Wire & Cable 4,305,306 2,272,332 0.0%
# Ta Yih Industrial Co., Ltd. 219,000 602,169 0.0%
# TA-I Technology Co., Ltd. 866,718 1,553,372 0.0%
Tah Hsin Industrial Corp. 439,600 397,437 0.0%
TAI Roun Products Co., Ltd. 201,000 79,724 0.0%
# Tai Tung Communication Co., Ltd. 638,197 384,594 0.0%
# Tai-Saw Technology Co., Ltd. 235,120 154,798 0.0%
Taichung Commercial Bank Co., Ltd. 17,131,698 5,922,696 0.1%
# TaiDoc Technology Corp. 374,470 1,792,316 0.0%
Taiflex Scientific Co., Ltd. 1,480,340 1,938,990 0.0%
# Taimide Tech, Inc. 731,250 1,495,520 0.0%
# Tainan Enterprises Co., Ltd. 902,370 701,028 0.0%
Tainan Spinning Co., Ltd. 9,304,044 4,119,163 0.1%
#* Tainergy Tech Co., Ltd. 1,760,000 564,059 0.0%
Tainet Communication System Corp. 66,000 148,159 0.0%
#* Taisun Enterprise Co., Ltd. 3,024,648 1,740,698 0.0%
#* Taita Chemical Co., Ltd. 1,331,951 558,285 0.0%
Taiwan Cement Corp. 2,132,152 2,930,055 0.1%
# Taiwan Chinsan Electronic Industrial Co., Ltd. 648,000 1,321,453 0.0%
# Taiwan Cogeneration Corp. 2,714,566 2,699,684 0.1%
# Taiwan Fertilizer Co., Ltd. 238,000 321,182 0.0%
Taiwan Fire & Marine Insurance Co., Ltd. 1,356,338 949,176 0.0%
# Taiwan FU Hsing Industrial Co., Ltd. 1,173,000 1,409,422 0.0%
Taiwan Hon Chuan Enterprise Co., Ltd. 2,302,468 4,004,993 0.1%
# Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,276,120 783,670 0.0%
* Taiwan IC Packaging Corp. 106,000 21,428 0.0%
#* Taiwan Land Development Corp. 6,351,991 2,015,318 0.0%
# Taiwan Line Tek Electronic 678,306 566,164 0.0%
#* Taiwan Mask Corp. 1,360,412 774,539 0.0%
* Taiwan Navigation Co., Ltd. 1,384,777 791,899 0.0%
Taiwan Optical Platform Co., Ltd. 9,360 37,658 0.0%
# Taiwan Paiho, Ltd. 1,991,287 5,328,240 0.1%
Taiwan PCB Techvest Co., Ltd. 2,125,238 2,023,258 0.0%
#* Taiwan Prosperity Chemical Corp. 425,000 299,983 0.0%
* Taiwan Pulp & Paper Corp. 2,174,980 1,325,303 0.0%
# Taiwan Sakura Corp. 1,463,803 1,889,544 0.0%
Taiwan Sanyo Electric Co., Ltd. 417,400 323,887 0.0%
Taiwan Semiconductor Co., Ltd. 1,582,000 3,619,619 0.1%
# Taiwan Shin Kong Security Co., Ltd. 1,728,710 2,259,349 0.0%
# Taiwan Styrene Monomer 3,812,209 2,754,648 0.1%
Taiwan Surface Mounting Technology Corp. 2,208,388 1,888,922 0.0%
Taiwan Taxi Co., Ltd. 56,000 131,402 0.0%
# Taiwan TEA Corp. 5,299,897 2,760,373 0.1%
# Taiwan Union Technology Corp. 1,548,000 4,292,760 0.1%
Taiyen Biotech Co., Ltd. 857,883 836,970 0.0%
#* Tatung Co., Ltd. 13,234,015 9,841,744 0.1%
Tayih Lun An Co., Ltd. 330,890 528,924 0.0%
# TCI Co., Ltd. 480,991 7,056,856 0.1%
Te Chang Construction Co., Ltd. 334,206 230,372 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
#* Teapo Electronic Corp. 558,000 $ 876,743 0.0%
Tehmag Foods Corp. 151,800 1,126,557 0.0%
Ten Ren Tea Co., Ltd. 164,980 211,021 0.0%
Test Research, Inc. 1,233,821 2,261,611 0.0%
Test-Rite International Co., Ltd. 2,243,495 1,745,328 0.0%
#* Tex-Ray Industrial Co., Ltd. 803,000 296,307 0.0%
# Thinking Electronic Industrial Co., Ltd. 629,204 1,771,820 0.0%
# Thye Ming Industrial Co., Ltd. 1,153,669 1,548,565 0.0%
Ton Yi Industrial Corp. 5,500,644 2,337,115 0.0%
# Tong Hsing Electronic Industries, Ltd. 1,101,963 3,869,586 0.1%
Tong Yang Industry Co., Ltd. 3,434,741 6,185,798 0.1%
Tong-Tai Machine & Tool Co., Ltd. 1,590,892 1,049,817 0.0%
TOPBI International Holdings, Ltd. 289,109 971,306 0.0%
# Topco Scientific Co., Ltd. 1,403,087 3,781,824 0.1%
# Topco Technologies Corp. 231,000 614,537 0.0%
Topkey Corp. 52,000 143,677 0.0%
Topoint Technology Co., Ltd. 1,118,776 749,919 0.0%
# Toung Loong Textile Manufacturing 694,000 1,456,227 0.0%
#* TPK Holding Co., Ltd. 2,577,000 5,620,700 0.1%
Trade-Van Information Services Co. 245,000 273,057 0.0%
Transart Graphics Co., Ltd. 18,000 28,109 0.0%
Transcend Information, Inc. 940,000 2,650,651 0.1%
# TrueLight Corp. 550,700 445,731 0.0%
# Tsang Yow Industrial Co., Ltd. 618,000 571,709 0.0%
Tsann Kuen Enterprise Co., Ltd. 357,686 296,780 0.0%
# TSC Auto ID Technology Co., Ltd. 185,700 1,454,842 0.0%
* TSEC Corp. 2,822,205 895,118 0.0%
# TSRC Corp. 4,903,200 4,935,849 0.1%
# Ttet Union Corp. 300,000 951,393 0.0%
TTFB Co., Ltd. 71,000 556,329 0.0%
# TTY Biopharm Co., Ltd. 1,849,979 6,256,841 0.1%
#* Tul Corp. 92,000 532,702 0.0%
Tung Ho Steel Enterprise Corp. 6,579,000 5,462,807 0.1%
# Tung Thih Electronic Co., Ltd. 466,600 1,698,355 0.0%
# TURVO International Co., Ltd. 385,112 1,445,303 0.0%
#* TWi Pharmaceuticals, Inc. 307,000 1,017,502 0.0%
TXC Corp. 2,392,053 2,868,855 0.1%
# TYC Brother Industrial Co., Ltd. 1,595,980 1,572,425 0.0%
* Tycoons Group Enterprise 3,227,182 747,234 0.0%
# Tyntek Corp. 2,229,039 1,171,864 0.0%
U-Ming Marine Transport Corp. 3,747,000 4,586,537 0.1%
# UDE Corp. 486,000 591,536 0.0%
# Ultra Chip, Inc. 439,000 429,044 0.0%
# Unimicron Technology Corp. 10,194,000 5,728,681 0.1%
# Union Bank Of Taiwan 7,745,149 2,535,430 0.1%
#* Union Insurance Co., Ltd. 467,660 291,096 0.0%
Unitech Computer Co., Ltd. 684,804 473,296 0.0%
#* Unitech Printed Circuit Board Corp. 3,895,370 2,641,200 0.1%
United Integrated Services Co., Ltd. 1,808,439 3,903,444 0.1%
# United Orthopedic Corp. 720,935 1,586,188 0.0%
United Radiant Technology 735,000 412,850 0.0%
#* Unity Opto Technology Co., Ltd. 2,760,500 810,470 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
Univacco Technology, Inc. 32,000 $ 20,775 0.0%
Universal Cement Corp. 2,965,433 2,200,885 0.0%
* Universal Microelectronics Co., Ltd. 103,000 72,760 0.0%
# Universal Microwave Technology, Inc. 350,526 713,345 0.0%
Unizyx Holding Corp. 2,738,430 1,208,310 0.0%
UPC Technology Corp. 6,615,233 4,409,635 0.1%
# Userjoy Technology Co., Ltd. 216,991 652,251 0.0%
USI Corp. 6,911,408 3,364,601 0.1%
# Usun Technology Co., Ltd. 506,000 726,058 0.0%
# Utechzone Co., Ltd. 390,000 527,752 0.0%
* UVAT Technology Co., Ltd. 9,000 15,175 0.0%
# Ve Wong Corp. 660,696 574,183 0.0%
VHQ Media Holdings, Ltd. 22,000 177,571 0.0%
* Via Technologies, Inc. 1,263,000 1,421,609 0.0%
# Victory New Materials, Ltd. Co. 769,200 1,178,535 0.0%
# Visual Photonics Epitaxy Co., Ltd. 1,313,772 4,194,885 0.1%
# Vivotek, Inc. 168,000 460,459 0.0%
Voltronic Power Technology Corp. 9,000 160,165 0.0%
#* Wafer Works Corp. 897,746 1,401,900 0.0%
# Waffer Technology Co., Ltd. 759,000 449,387 0.0%
* Wah Hong Industrial Corp. 182,021 114,174 0.0%
Wah Lee Industrial Corp. 1,227,000 2,283,095 0.0%
# Walsin Technology Corp. 2,159,793 13,576,606 0.2%
# Walton Advanced Engineering, Inc. 2,305,197 1,012,759 0.0%
WAN HWA Enterprise Co. 761,812 337,576 0.0%
Waterland Financial Holdings Co., Ltd. 15,634,370 5,460,130 0.1%
* Wei Chuan Foods Corp. 1,210,000 959,712 0.0%
# Weikeng Industrial Co., Ltd. 2,028,980 1,515,339 0.0%
Well Shin Technology Co., Ltd. 683,000 1,176,807 0.0%
# Wha Yu Industrial Co., Ltd. 301,000 173,742 0.0%
Winmate, Inc. 237,000 365,898 0.0%
# Winstek Semiconductor Co., Ltd. 469,000 601,998 0.0%
Wintek Corp. 5,447,000 63,166 0.0%
# Wisdom Marine Lines Co., Ltd. 2,762,953 2,627,097 0.1%
# Wisechip Semiconductor, Inc. 137,302 341,594 0.0%
# Wistron NeWeb Corp. 2,217,796 5,205,154 0.1%
Wowprime Corp. 456,000 1,840,711 0.0%
WT Microelectronics Co., Ltd. 3,400,450 5,082,606 0.1%
WUS Printed Circuit Co., Ltd. 1,786,700 953,418 0.0%
# XAC Automation Corp. 553,000 603,601 0.0%
XPEC Entertainment, Inc. 192,135 16,105 0.0%
# Xxentria Technology Materials Corp. 953,207 2,417,715 0.1%
* Yang Ming Marine Transport Corp. 8,606,981 2,980,563 0.1%
YC Co., Ltd. 3,093,453 1,797,728 0.0%
YC INOX Co., Ltd. 2,587,388 2,317,704 0.0%
YCC Parts Manufacturing Co., Ltd. 204,000 268,110 0.0%
Yea Shin International Development Co., Ltd. 946,215 592,127 0.0%
# Yeong Guan Energy Technology Group Co., Ltd. 754,929 2,055,027 0.0%
# YFC-Boneagle Electric Co., Ltd. 771,000 924,312 0.0%
* YFY, Inc. 10,973,212 4,680,212 0.1%
# Yi Jinn Industrial Co., Ltd. 1,676,284 790,006 0.0%
Yieh Phui Enterprise Co., Ltd. 9,185,508 3,180,150 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
TAIWAN -- (Continued)
Ying Han Technology Co., Ltd. 73,000 $ 99,112 0.0%
# Yonyu Plastics Co., Ltd. 497,600 573,409 0.0%
#* Young Fast Optoelectronics Co., Ltd. 905,872 493,126 0.0%
#* Young Optics, Inc. 409,111 812,309 0.0%
Youngtek Electronics Corp. 892,666 1,762,076 0.0%
Yuanta Futures Co., Ltd. 280,000 428,386 0.0%
# Yulon Finance Corp. 807,480 3,566,979 0.1%
# Yulon Motor Co., Ltd. 3,178,000 2,423,922 0.1%
# Yung Chi Paint & Varnish Manufacturing Co., Ltd. 466,869 1,262,090 0.0%
Yungshin Construction & Development Co., Ltd. 711,000 789,931 0.0%
# YungShin Global Holding Corp. 1,491,015 2,051,385 0.0%
# Yungtay Engineering Co., Ltd. 2,989,000 5,207,186 0.1%
Zeng Hsing Industrial Co., Ltd. 419,107 1,822,444 0.0%
Zenitron Corp. 1,416,000 1,074,220 0.0%
# Zero One Technology Co., Ltd. 731,000 483,068 0.0%
# Zig Sheng Industrial Co., Ltd. 3,607,732 1,264,741 0.0%
Zinwell Corp. 2,279,586 1,941,152 0.0%
# Zippy Technology Corp. 933,948 1,123,525 0.0%
# ZongTai Real Estate Development Co., Ltd. 1,491,277 1,073,895 0.0%
-------------- ----
TOTAL TAIWAN 1,323,634,312 16.9%
-------------- ----
THAILAND -- (3.3%)
AAPICO Hitech PCL(B013L48) 1,013,740 1,156,357 0.0%
AAPICO Hitech PCL(B013KZ2) 110,000 125,475 0.0%
Advanced Information Technology PCL Class F 610,900 532,311 0.0%
Aeon Thana Sinsap Thailand PCL(B01KHN0) 146,900 814,560 0.0%
AEON Thana Sinsap Thailand PCL(B01KHP2) 74,500 413,102 0.0%
* AJ Advance Technology PCL Class F 4,098,800 68,833 0.0%
AJ Plast PCL 1,513,388 623,385 0.0%
* Amarin Printing & Publishing PCL 415,000 78,240 0.0%
Amata Corp. PCL 4,963,510 3,224,080 0.1%
Amata VN PCL 44,300 10,106 0.0%
Ananda Development PCL 14,870,700 1,847,058 0.0%
AP Thailand PCL 13,859,216 3,688,765 0.1%
* Apex Development PCL 3,536 30 0.0%
Apex Development Pcl Foreign D 1,179 3 0.0%
Asia Aviation PCL 13,800,800 2,558,133 0.0%
* Asia Capital Group PCL 915,600 319,125 0.0%
Asia Plus Group Holdings PCL 8,667,900 1,032,678 0.0%
Asia Sermkij Leasing PCL 1,058,500 751,280 0.0%
Asian Insulators PCL 12,731,600 97,585 0.0%
Asian Phytoceuticals PCL 148,043 27,207 0.0%
Bangchak Corp. PCL 2,877,700 3,305,343 0.1%
Bangkok Airways PCL 6,459,800 3,111,184 0.1%
Bangkok Aviation Fuel Services PCL 1,869,746 2,295,712 0.0%
Bangkok Chain Hospital PCL 10,885,037 6,001,256 0.1%
Bangkok Insurance PCL 182,381 2,080,392 0.0%
Bangkok Land PCL 99,437,770 5,891,908 0.1%
Bangkok Ranch PCL 5,989,200 1,290,449 0.0%
BEC World PCL 7,286,500 2,401,128 0.0%
Better World Green PCL 18,081,400 750,527 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
Big Camera Corp. PCL 11,680,100 $ 969,641 0.0%
BJC Heavy Industries PCL Class F 3,770,200 286,707 0.0%
Buriram Sugar PCL Class F 1,978,400 514,033 0.0%
Cal-Comp Electronics Thailand PCL Class F 16,469,544 1,085,445 0.0%
CH Karnchang PCL 4,626,300 3,518,099 0.1%
Charoong Thai Wire & Cable PCL Class F 967,100 263,532 0.0%
Christiani & Nielsen Thai Class F 2,930,600 221,002 0.0%
Chularat Hospital PCL Class F 46,523,500 2,889,292 0.1%
* CIMB Thai Bank PCL 6,018,800 198,338 0.0%
CK Power PCL 21,430,690 2,607,536 0.0%
COL PCL 1,100,400 984,991 0.0%
Com7 PCL Class F 3,714,400 2,212,634 0.0%
* Country Group Development PCL 25,972,700 1,267,362 0.0%
Country Group Holdings PCL Class F 8,423,100 333,615 0.0%
* Demco PCL 1,971,100 315,401 0.0%
Dhipaya Insurance PCL 2,254,600 1,803,823 0.0%
Diamond Building Products PCL 1,389,700 250,991 0.0%
Dusit Thani PCL 114,500 38,094 0.0%
Dynasty Ceramic PCL 21,468,080 2,027,087 0.0%
Eastern Polymer Group PCL Class F 8,504,600 1,886,318 0.0%
Eastern Printing PCL(B13J3B2) 795,912 79,188 0.0%
Eastern Printing PCL(B13J3C3) 39,796 3,959 0.0%
Eastern Water Resources Development and Management PCL 5,072,600 1,848,381 0.0%
Energy Earth PCL 4,765,400 41,342 0.0%
Erawan Group PCL (The) 11,487,370 2,984,678 0.1%
* Esso Thailand PCL 2,550,500 1,446,576 0.0%
Forth Corp. PCL 2,232,900 470,494 0.0%
Forth Smart Service PCL 2,541,300 793,150 0.0%
Fortune Parts Industry PCL Class F 2,977,900 352,894 0.0%
* G J Steel PCL 15,742,180 189,545 0.0%
GFPT PCL 4,326,100 1,686,028 0.0%
* GMM Grammy PCL 121,460 34,637 0.0%
Golden Land Property Development PCL 9,296,100 2,930,805 0.1%
Grand Canal Land PCL 7,360,100 541,047 0.0%
Grande Asset Hotels & Property PCL 896,350 28,117 0.0%
Group Lease PCL 132,500 30,228 0.0%
Hana Microelectronics PCL 4,040,696 4,449,119 0.1%
ICC International PCL 204,600 256,074 0.0%
* Ichitan Group PCL 4,085,100 1,022,569 0.0%
* Inter Far East Energy Corp. Class F 4,679,700 86,195 0.0%
Interhides PCL 568,700 162,177 0.0%
Interlink Communication PCL 1,050,800 306,317 0.0%
* International Engineering PCL 39,494,487 4,755 0.0%
Italian-Thai Development PCL 15,880,327 1,549,791 0.0%
Jasmine International PCL 21,108,700 3,912,734 0.1%
Jaymart PCL 2,350,195 915,951 0.0%
JMT Network Services PCL 819,000 823,931 0.0%
JSP Property PCL 2,885,000 62,161 0.0%
Jubilee Enterprise PCL 73,600 56,203 0.0%
Kang Yong Electric PCL 56,400 822,053 0.0%
Karmarts PCL 3,429,500 728,062 0.0%
Kaset Thai International Sugar Corp. PCL 93,100 18,290 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
KCE Electronics PCL 2,010,200 $4,347,153 0.1%
KGI Securities Thailand PCL 8,126,000 1,132,902 0.0%
Khon Kaen Sugar Industry PCL 15,064,390 1,489,255 0.0%
Khonburi Sugar PCL 178,500 24,547 0.0%
L.P.N Development PCL 136,400 43,219 0.0%
Lam Soon Thailand PCL 1,535,300 255,397 0.0%
Lanna Resources PCL 1,833,750 854,123 0.0%
LH Financial Group PCL 56,352,039 2,874,740 0.1%
Loxley PCL 7,709,376 586,264 0.0%
LPN Development PCL 6,597,103 2,090,337 0.0%
Major Cineplex Group PCL 3,058,500 2,834,636 0.1%
Malee Group PCL 984,600 630,194 0.0%
Master Ad PCL 3,136,500 194,789 0.0%
Maybank Kim Eng Securities Thailand PCL 974,300 589,643 0.0%
MBK PCL 7,529,400 5,463,348 0.1%
MC Group PCL 2,725,100 1,027,525 0.0%
* MCOT PCL 2,516,300 821,226 0.0%
MCS Steel PCL 1,815,400 414,160 0.0%
Mega Lifesciences PCL 3,083,000 4,029,587 0.1%
* Millcon Steel PCL 1,659,500 88,338 0.0%
MK Real Estate Development PCL 1,885,900 221,097 0.0%
Modernform Group PCL 2,352,200 391,288 0.0%
Mono Technology PCL Class F 11,136,900 1,404,463 0.0%
Muang Thai Insurance PCL 61,288 256,338 0.0%
Muramoto Electron Thailand PCL 14,000 88,720 0.0%
Namyong Terminal PCL 4,335,100 824,164 0.0%
* Nation Multimedia Group PCL 8,825,500 106,264 0.0%
Netbay PCL 577,600 814,423 0.0%
* Nirvana Daii PCL 72,100 10,737 0.0%
* Noble Development PCL 762,600 256,133 0.0%
Origin Property PCL 2,069,900 1,193,669 0.0%
Padaeng Industry PCL 998,900 799,183 0.0%
PCS Machine Group Holding PCL 1,940,800 430,469 0.0%
Plan B Media Pcl 8,164,600 1,526,335 0.0%
Platinum Group PCL (The) Class F 3,835,400 1,002,600 0.0%
Polyplex Thailand PCL 3,840,950 2,032,442 0.0%
* Precious Shipping PCL 6,654,700 2,804,420 0.1%
Premier Marketing PCL 2,255,800 800,537 0.0%
* Principal Capital PCL 1,217,100 231,388 0.0%
Property Perfect PCL 28,720,100 773,513 0.0%
Pruksa Holding PCL 2,356,900 1,665,363 0.0%
PTG Energy PCL 4,974,400 2,947,442 0.1%
Pylon PCL 228,300 100,550 0.0%
Quality Houses PCL 62,924,126 6,101,008 0.1%
Raimon Land PCL 11,010,600 415,165 0.0%
Ratchthani Leasing PCL 12,172,750 3,201,325 0.1%
Regional Container Lines PCL 4,163,100 1,035,499 0.0%
Rojana Industrial Park PCL 8,647,311 1,822,073 0.0%
* RS PCL 3,295,100 2,871,206 0.1%
S 11 Group PCL 1,096,300 255,317 0.0%
Saha Pathana Inter-Holding PCL 699,100 1,561,678 0.0%
Saha-Union PCL 834,400 1,136,857 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
Sahamitr Pressure Container PCL 57,000 $ 24,382 0.0%
Sahaviriya Steel Industries PCL 87,225,900 25,980 0.0%
Samart Corp. PCL 4,186,800 1,134,257 0.0%
* Samart Digital Public Co., Ltd. 14,993,100 137,769 0.0%
Samart Telcoms PCL 2,020,600 659,448 0.0%
Sansiri PCL 54,468,410 2,899,459 0.1%
Sappe PCL 1,401,100 1,087,673 0.0%
SC Asset Corp. PCL 19,112,415 2,301,241 0.0%
Scan Inter PCL Class F 3,602,500 440,610 0.0%
SEAFCO PCL 1,454,200 412,392 0.0%
Sena Development PCL 1,328,600 180,178 0.0%
Siam Future Development PCL 9,495,273 2,722,821 0.0%
Siam Wellness Group PCL Class F 1,727,300 1,007,044 0.0%
Siamgas & Petrochemicals PCL 3,453,300 3,282,605 0.1%
* Singha Estate PCL 25,348,700 2,779,040 0.0%
* Sino-Thai Engineering & Construction PCL 6,751,100 3,743,481 0.1%
SNC Former PCL 266,200 129,895 0.0%
Somboon Advance Technology PCL 1,875,737 1,289,718 0.0%
SPCG PCL 3,098,100 2,071,290 0.0%
Sri Ayudhya Capital PCL 289,800 408,622 0.0%
Sri Trang Agro-Industry PCL 7,159,908 2,677,025 0.0%
Sriracha Construction PCL 881,900 472,247 0.0%
Srisawad Finance PCL 102,200 108,482 0.0%
Srithai Superware PCL 10,647,500 502,686 0.0%
Srivichai Vejvivat PCL 40,800 10,665 0.0%
* Stars Microelectronics Thailand PCL 2,352,400 238,520 0.0%
STP & I PCL 7,004,164 989,815 0.0%
Sub Sri Thai PCL 459,030 96,722 0.0%
Supalai PCL 9,246,691 6,797,314 0.1%
* Superblock PCL 92,352,300 3,365,182 0.1%
Susco PCL 1,295,200 142,817 0.0%
SVI PCL 8,184,700 1,125,526 0.0%
* Symphony Communication PCL 371,305 100,003 0.0%
Synnex Thailand PCL 2,274,400 1,030,542 0.0%
Syntec Construction PCL 4,454,200 618,168 0.0%
Taokaenoi Food & Marketing PCL 3,846,680 1,828,270 0.0%
Tapaco PCL 999,500 338,867 0.0%
* Tata Steel Thailand PCL 26,758,900 686,778 0.0%
Thai Agro Energy PCL Class F 378,870 26,410 0.0%
* Thai Airways International PCL(6888868) 6,398,500 3,284,401 0.1%
* Thai Airways International PCL(6364971) 141,400 72,582 0.0%
Thai Central Chemical PCL 295,800 363,189 0.0%
Thai Metal Trade PCL 1,176,100 558,983 0.0%
Thai Nakarin Hospital PCL 238,100 303,660 0.0%
* Thai President Foods PCL 1,430 7,885 0.0%
Thai Rayon PCL 38,400 64,183 0.0%
Thai Reinsurance PCL 12,259,300 664,240 0.0%
Thai Solar Energy PCL Class F 4,365,795 514,599 0.0%
Thai Stanley Electric PCL Class F 206,600 1,492,548 0.0%
Thai Steel Cable PCL 3,400 1,314 0.0%
Thai Vegetable Oil PCL 4,039,975 4,512,330 0.1%
Thai Wacoal PCL 78,000 117,395 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
Thai Wah PCL Class F 2,714,100 $ 902,980 0.0%
Thai-German Ceramic Industry PCL 3,970,400 334,641 0.0%
Thaicom PCL 3,372,700 967,140 0.0%
Thaifoods Group PCL Class F 7,096,900 1,106,361 0.0%
Thaire Life Assurance PCL Class F 2,447,500 783,262 0.0%
Thitikorn PCL 1,622,400 668,289 0.0%
Thoresen Thai Agencies PCL 8,998,554 2,380,796 0.0%
TICON Industrial Connection PCL Class F 7,106,984 3,985,856 0.1%
Tipco Asphalt PCL 4,065,200 2,331,436 0.0%
TIPCO Foods PCL 2,066,682 831,650 0.0%
TPBI Public Co. 41,000 15,459 0.0%
TPC Power Holdings Co., Ltd. 1,620,900 500,753 0.0%
TPI Polene PCL 59,439,800 3,559,608 0.1%
TRC Construction PCL 28,287,385 681,192 0.0%
TTCL PCL(B5ML0D8) 1,350,871 308,184 0.0%
TTCL PCL(BWY4Y10) 1,474,000 336,274 0.0%
TTW PCL 11,977,000 4,705,792 0.1%
* U City PCL 72,671,400 69,079 0.0%
Unique Engineering & Construction PCL 4,482,670 1,832,270 0.0%
United Paper PCL 2,884,300 1,096,692 0.0%
* United Power of Asia PCL Class F 500,000 7,446 0.0%
Univanich Palm Oil PCL 1,908,200 480,678 0.0%
Univentures PCL 8,030,500 2,290,067 0.0%
Vanachai Group PCL 5,178,959 1,476,889 0.0%
VGI Global Media PCL 18,053,300 4,404,639 0.1%
Vibhavadi Medical Center PCL 41,437,700 3,282,454 0.1%
Vinythai PCL 3,286,534 2,629,435 0.0%
WHA Corp. PCL 48,061,400 6,030,518 0.1%
Workpoint Entertainment PCL 1,187,340 2,332,544 0.0%
------------ ---
TOTAL THAILAND 275,864,290 3.5%
------------ ---
TURKEY -- (1.5%)
# Adana Cimento Sanayii TAS Class A 597,080 1,000,038 0.0%
#* Afyon Cimento Sanayi TAS 706,817 1,129,656 0.0%
# Akcansa Cimento A.S. 508,879 1,255,827 0.0%
#* Akenerji Elektrik Uretim A.S. 3,042,841 615,034 0.0%
Aksa Akrilik Kimya Sanayii A.S. 775,850 2,541,082 0.1%
#* Aksa Enerji Uretim A.S. 1,445,457 1,477,736 0.0%
Aksigorta A.S. 960,265 1,028,222 0.0%
# Alarko Holding A.S. 1,054,314 1,514,771 0.0%
# Albaraka Turk Katilim Bankasi A.S. 4,195,697 1,627,400 0.0%
Alkim Alkali Kimya A.S. 147,695 837,729 0.0%
Anadolu Anonim Turk Sigorta Sirketi 2,052,847 2,164,420 0.1%
Anadolu Cam Sanayii A.S. 2,496,562 1,915,803 0.1%
Anadolu Hayat Emeklilik A.S. 902,314 1,720,383 0.0%
#* Anadolu Isuzu Otomotiv Sanayi Ve Ticaret A.S. 150,053 425,595 0.0%
AvivaSA Emeklilik ve Hayat A.S. Class A 70,983 306,789 0.0%
# Aygaz A.S. 703,260 2,337,740 0.1%
#* Bagfas Bandirma Gubre Fabrikalari A.S. 348,690 754,926 0.0%
#* Baticim Bati Anadolu Cimento Sanayii A.S. 383,478 609,673 0.0%
#* Bera Holding A.S. 2,671,310 1,601,648 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TURKEY -- (Continued)
#* Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 1,361,900 $ 981,262 0.0%
#* Bizim Toptan Satis Magazalari A.S. 410,191 809,938 0.0%
Bolu Cimento Sanayii A.S. 504,714 820,389 0.0%
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 574,604 1,763,194 0.0%
# Borusan Yatirim ve Pazarlama A.S. 23,691 227,404 0.0%
#* Boyner Perakende Ve Tekstil Yatirimlari A.S. 312,961 734,062 0.0%
#* Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 474,006 803,392 0.0%
Bursa Cimento Fabrikasi A.S. 289,855 391,392 0.0%
Celebi Hava Servisi A.S. 63,837 529,311 0.0%
# Cimsa Cimento Sanayi VE Ticaret A.S. 601,879 1,863,914 0.0%
#* Deva Holding A.S. 356,487 353,955 0.0%
#* Dogan Sirketler Grubu Holding A.S. 11,568,115 2,916,062 0.1%
#* Dogus Otomotiv Servis ve Ticaret A.S. 484,393 902,558 0.0%
# Eczacibasi Yatirim Holding Ortakligi A.S. 328,936 820,335 0.0%
# EGE Endustri VE Ticaret A.S. 14,470 1,135,970 0.0%
EGE Seramik Sanayi ve Ticaret A.S. 274,358 243,572 0.0%
# EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi
ve Ticaret A.S. 1,804,200 1,812,515 0.0%
# Erbosan Erciyas Boru Sanayii ve Ticaret A.S. 50,575 940,565 0.0%
#* Fenerbahce Futbol A.S. 84,211 699,197 0.0%
#* Flap Kongre Toplanti Hizmetleri & Turism A.S. 30,189 118,390 0.0%
#* Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 1,483,600 830,018 0.0%
#* Global Yatirim Holding A.S. 2,762,694 2,833,629 0.1%
# Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 47,262 644,860 0.0%
# Goodyear Lastikleri TAS 960,540 844,131 0.0%
#* Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 1,592,055 1,767,597 0.0%
#* GSD Holding AS 3,446,040 783,178 0.0%
#* Gubre Fabrikalari TAS 1,206,045 1,143,918 0.0%
Hektas Ticaret TAS 451,165 1,273,824 0.0%
#* Ihlas Gayrimenkul Proje Gelistirme Ve Ticaret A.S. 1,773,128 641,582 0.0%
#* Ihlas Holding A.S. 8,173,996 885,619 0.0%
Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret
A.S. 275,403 790,018 0.0%
#* Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S. 678,189 809,786 0.0%
#* Is Finansal Kiralama A.S. 1,096,350 1,562,037 0.0%
Is Yatirim Menkul Degerler A.S. Class A 852,813 452,271 0.0%
#* Izmir Demir Celik Sanayi A.S. 1,055,577 656,364 0.0%
* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 2,124,050 1,763,268 0.0%
#* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 1,033,126 864,117 0.0%
* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 7,346,389 7,349,501 0.1%
#* Karsan Otomotiv Sanayii Ve Ticaret A.S. 2,434,994 1,164,707 0.0%
# Kartonsan Karton Sanayi ve Ticaret A.S. 9,278 580,962 0.0%
#* Kerevitas Gida Sanayi ve Ticaret A.S. 8,914 172,987 0.0%
# Konya Cimento Sanayii A.S. 13,263 731,031 0.0%
# Kordsa Teknik Tekstil AS 494,072 857,709 0.0%
#* Koza Altin Isletmeleri A.S. 226,641 2,537,669 0.1%
#* Koza Anadolu Metal Madencilik Isletmeleri A.S. 831,604 1,180,411 0.0%
* Logo Yazilim Sanayi Ve Ticaret A.S. 95,247 1,126,937 0.0%
# Mardin Cimento Sanayii ve Ticaret A.S. 379,497 410,908 0.0%
#* Metro Ticari ve Mali Yatirimlar Holding A.S. 2,397,037 561,428 0.0%
* Migros Ticaret A.S. 384,519 2,160,021 0.1%
#* NET Holding A.S. 2,565,316 1,260,595 0.0%
#* Netas Telekomunikasyon A.S. 601,078 1,736,393 0.0%
Nuh Cimento Sanayi A.S. 430,960 1,074,662 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
TURKEY -- (Continued)
# Otokar Otomotiv Ve Savunma Sanayi A.S. 83,957 $ 1,662,470 0.0%
#* Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 499,000 446,349 0.0%
#* Parsan Makina Parcalari Sanayii A.S. 126,184 562,089 0.0%
* Pegasus Hava Tasimaciligi A.S. 379,876 2,649,246 0.1%
Pinar Entegre Et ve Un Sanayi A.S. 152,148 344,814 0.0%
# Pinar SUT Mamulleri Sanayii A.S. 143,024 425,711 0.0%
# Polisan Holding A.S. 219,857 335,709 0.0%
#* Polyester Sanayi A.S. 505,365 1,655,298 0.0%
# Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 1,472,408 1,270,004 0.0%
#* Sekerbank TAS 3,551,462 1,323,293 0.0%
Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 1,287,294 1,073,495 0.0%
# Soda Sanayii A.S. 2,928,748 3,486,013 0.1%
# Tat Gida Sanayi A.S. 766,213 917,373 0.0%
TAV Havalimanlari Holding A.S. 252,209 1,357,535 0.0%
# Tekfen Holding A.S. 1,560,177 5,904,082 0.1%
* Teknosa Ic Ve Dis Ticaret A.S. 238,336 247,557 0.0%
# Trakya Cam Sanayii A.S. 4,358,170 5,050,845 0.1%
#* Tumosan Motor ve Traktor Sanayi A.S. 569,872 838,595 0.0%
# Turcas Petrol A.S. 1,214,852 635,081 0.0%
Turk Traktor ve Ziraat Makineleri A.S. 102,376 1,526,364 0.0%
# Turkiye Sinai Kalkinma Bankasi A.S. 10,563,385 3,648,223 0.1%
Ulker Biskuvi Sanayi A.S. 45,217 237,032 0.0%
#* Vestel Elektronik Sanayi ve Ticaret A.S. 834,662 2,037,718 0.1%
* Yatas Yatak ve Yorgan Sanayi ve Ticaret A.S. 256,610 1,721,859 0.0%
#* Zorlu Enerji Elektrik Uretim A.S. 7,974,005 3,333,317 0.1%
-------------- ----
TOTAL TURKEY 127,874,059 1.6%
-------------- ----
TOTAL COMMON STOCKS 7,627,416,664 97.4%
-------------- ----
PREFERRED STOCKS -- (1.4%)
BRAZIL -- (1.3%)
AES Tiete Energia SA 7,992 5,179 0.0%
Alpargatas SA 1,473,274 6,564,800 0.1%
Banco ABC Brasil SA 835,329 4,473,274 0.1%
Banco do Estado do Rio Grande do Sul SA Class B 1,885,945 10,815,436 0.1%
Banco Pan SA 1,866,640 1,012,393 0.0%
* Banco Pine SA 282,703 253,393 0.0%
* Centrais Eletricas Santa Catarina 79,700 680,016 0.0%
Cia de Gas de Sao Paulo - COMGAS Class A 255,476 4,328,186 0.1%
Cia de Saneamento do Parana 1,830,601 5,575,620 0.1%
Cia de Transmissao de Energia Eletrica Paulista 515,958 10,015,170 0.1%
Cia Energetica de Minas Gerais 6,467,029 15,617,454 0.2%
Cia Energetica de Sao Paulo Class B 1,898,100 9,508,922 0.1%
Cia Energetica do Ceara Class A 128,539 2,025,759 0.0%
Cia Ferro Ligas da Bahia - Ferbasa 458,849 2,725,693 0.0%
Cia Paranaense de Energia 857,600 6,558,319 0.1%
Eucatex SA Industria e Comercio 160,378 214,710 0.0%
* Gol Linhas Aereas Inteligentes SA 455,048 2,522,560 0.0%
Grazziotin SA 7,900 60,166 0.0%
Marcopolo SA 4,905,253 5,712,900 0.1%
Randon SA Implementos e Participacoes 2,137,857 5,345,863 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
BRAZIL -- (Continued)
Unipar Carbocloro SA 323,085 $ 2,621,052 0.0%
Usinas Siderurgicas de Minas Gerais SA Class A 4,124,699 12,833,758 0.2%
-------------- -----
TOTAL BRAZIL 109,470,623 1.4%
-------------- -----
CHILE -- (0.0%)
Coca-Cola Embonor SA Class B 605,718 1,711,091 0.0%
-------------- -----
COLOMBIA -- (0.1%)
Avianca Holdings SA 2,900,133 3,014,782 0.1%
Banco Davivienda SA 57,316 688,864 0.0%
-------------- -----
TOTAL COLOMBIA 3,703,646 0.1%
-------------- -----
TOTAL PREFERRED STOCKS 114,885,360 1.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
* Medco Energi Internasional Tbk PT Warrants 12/11/20 15,662,433 607,922 0.0%
-------------- -----
MALAYSIA -- (0.0%)
* Hibiscus Petroleum Bhd Rights 03/18/21 1,030,920 94,592 0.0%
* Kim Loong Resources Bhd Rights 10/04/25 49,854 4,130 0.0%
* Protasco Bhd Rights 04/25/23 582,638 5,197 0.0%
* Scomi Group Bhd Warrants 02/18/23 2,054,750 31,422 0.0%
-------------- -----
TOTAL MALAYSIA 135,341 0.0%
-------------- -----
POLAND -- (0.0%)
* Hawe SA Rights 09/30/15 846,548 -- 0.0%
-------------- -----
TAIWAN -- (0.0%)
* Wafer Works Corp. Rights 06/08/18 44,803 11,812 0.0%
-------------- -----
THAILAND -- (0.0%)
* Country Group Hold W3 03/29/19 2,807,700 111,205 0.0%
* Sri Ayudhya Capital PCL Warrants 05/20/20 144,900 25,252 0.0%
-------------- -----
TOTAL THAILAND 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%
============== =====
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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)
=========== =========== ===========
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.
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2018
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (97.7%)
Consumer Discretionary -- (13.4%)
* 1-800-Flowers.com, Inc. Class A 44,330 $ 562,991 0.0%
Aaron's, Inc. 59,930 2,503,276 0.1%
# Adient P.L.C. 22,979 1,408,383 0.0%
* Adtalem Global Education, Inc. 35,557 1,692,513 0.0%
#* American Axle & Manufacturing Holdings, Inc. 59,171 907,683 0.0%
#* Ascena Retail Group, Inc. 6,576 14,599 0.0%
#* Ascent Capital Group, Inc. Class A 8,450 29,237 0.0%
# Autoliv, Inc. 9,404 1,260,606 0.0%
#* AV Homes, Inc. 3,852 64,136 0.0%
* Ballantyne Strong, Inc. 9,030 42,893 0.0%
* Barnes & Noble Education, Inc. 7,710 55,435 0.0%
# Barnes & Noble, Inc. 55,600 308,580 0.0%
Bassett Furniture Industries, Inc. 2,900 84,245 0.0%
Beasley Broadcast Group, Inc. Class A 9,471 107,496 0.0%
* Beazer Homes USA, Inc. 4,326 63,506 0.0%
#* Belmond, Ltd. Class A 78,498 839,929 0.0%
Best Buy Co., Inc. 197,800 15,137,634 0.2%
# Big 5 Sporting Goods Corp. 16,901 141,968 0.0%
* Biglari Holdings, Inc. 8 2,738 0.0%
# BJ's Restaurants, Inc. 16,658 930,349 0.0%
* Bridgepoint Education, Inc. 1,999 11,674 0.0%
#* Build-A-Bear Workshop, Inc. 25,874 235,453 0.0%
Caleres, Inc. 74,697 2,444,833 0.1%
Callaway Golf Co. 67,043 1,157,162 0.0%
* Cambium Learning Group, Inc. 37,733 382,613 0.0%
Canterbury Park Holding Corp. 2,755 41,049 0.0%
Carnival Corp. 489,649 30,877,266 0.5%
# Carriage Services, Inc. 20,916 544,443 0.0%
* Cavco Industries, Inc. 7,600 1,294,660 0.0%
# CBS Corp. Class A 14,832 734,036 0.0%
* Century Communities, Inc. 1,809 55,627 0.0%
* Charter Communications, Inc. Class A 339,394 92,074,198 1.4%
Churchill Downs, Inc. 7,682 2,109,477 0.1%
Citi Trends, Inc. 3,415 104,601 0.0%
Columbia Sportswear Co. 8,634 716,708 0.0%
Comcast Corp. Class A 7,135,970 223,998,098 3.3%
#* Conn's, Inc. 25,450 648,975 0.0%
# Cooper Tire & Rubber Co. 12,345 301,835 0.0%
* Cooper-Standard Holdings, Inc. 5,802 718,288 0.0%
# Core-Mark Holding Co., Inc. 96,236 1,983,424 0.1%
CSS Industries, Inc. 10,465 178,533 0.0%
Culp, Inc. 10,036 296,564 0.0%
* Deckers Outdoor Corp. 18,126 1,690,431 0.0%
#* Delta Apparel, Inc. 7,532 136,254 0.0%
# Dillard's, Inc. Class A 120,300 8,968,365 0.2%
#* Discovery, Inc. Class B 3,762 132,799 0.0%
* Discovery, Inc. Class C 3,762 83,592 0.0%
#* Dixie Group, Inc. (The) 11,800 35,400 0.0%
#* Dorman Products, Inc. 9,311 598,325 0.0%
DR Horton, Inc. 208,125 9,186,637 0.2%
#* Educational Development Corp. 1,679 40,800 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Consumer Discretionary -- (Continued)
#* Eldorado Resorts, Inc. 18,512 $ 749,736 0.0%
Escalade, Inc. 277 3,670 0.0%
# EW Scripps Co. (The) Class A 81,265 904,479 0.0%
# Finish Line, Inc. (The) Class A 38,600 523,802 0.0%
Flanigan's Enterprises, Inc. 865 21,582 0.0%
Flexsteel Industries, Inc. 2,068 75,813 0.0%
Ford Motor Co. 2,868,969 32,247,212 0.5%
# Fred's, Inc. Class A 32,745 78,424 0.0%
* G-III Apparel Group, Ltd. 31,225 1,139,400 0.0%
# GameStop Corp. Class A 104,752 1,429,865 0.0%
Gaming Partners International Corp. 500 4,450 0.0%
# Gannett Co., Inc. 59,819 578,450 0.0%
#* GCI Liberty, Inc. Class A 123,145 5,492,267 0.1%
General Motors Co. 1,095,598 40,252,270 0.6%
#* Genesco, Inc. 6,456 275,994 0.0%
Gentex Corp. 35,743 812,796 0.0%
* Gentherm, Inc. 1,581 53,438 0.0%
Goodyear Tire & Rubber Co. (The) 21,510 540,116 0.0%
Graham Holdings Co. Class B 5,780 3,485,629 0.1%
#* Gray Television, Inc. 46,874 529,676 0.0%
# Group 1 Automotive, Inc. 57,936 3,786,118 0.1%
# Guess?, Inc. 59,800 1,392,742 0.0%
# Hamilton Beach Brands Holding Co. Class A 11,699 260,303 0.0%
# Haverty Furniture Cos., Inc. 33,479 607,644 0.0%
* Helen of Troy, Ltd. 61,653 5,496,365 0.1%
Hooker Furniture Corp. 14,814 559,228 0.0%
Hyatt Hotels Corp. Class A 14,601 1,122,379 0.0%
ILG, Inc. 900 30,717 0.0%
International Speedway Corp. Class A 24,844 1,021,088 0.0%
* J Alexander's Holdings, Inc. 2,666 31,859 0.0%
#* JAKKS Pacific, Inc. 6,201 14,572 0.0%
#* JC Penney Co., Inc. 85,215 247,976 0.0%
John Wiley & Sons, Inc. Class A 1,300 85,735 0.0%
Johnson Outdoors, Inc. Class A 15,588 1,009,479 0.0%
KB Home 30,800 817,740 0.0%
# Kohl's Corp. 14,353 891,608 0.0%
# La-Z-Boy, Inc. 56,332 1,622,362 0.0%
* Lakeland Industries, Inc. 9,887 128,037 0.0%
#* Lands' End, Inc. 16,864 326,318 0.0%
Lennar Corp. Class A 224,100 11,852,649 0.2%
Lennar Corp. Class B 12,506 533,881 0.0%
#* Liberty Broadband Corp. Class A 24,095 1,698,216 0.0%
* Liberty Broadband Corp. Class B 1,905 135,684 0.0%
#* Liberty Broadband Corp. Class C 67,601 4,792,235 0.1%
* Liberty Expedia Holdings, Inc. Class A 80,904 3,300,883 0.1%
* Liberty Expedia Holdings, Inc. Class B 3,457 144,122 0.0%
#* Liberty Media Corp.-Liberty Braves Class A 7,613 167,258 0.0%
* Liberty Media Corp.-Liberty Braves Class B 762 17,945 0.0%
#* Liberty Media Corp.-Liberty Braves Class C 16,901 372,498 0.0%
#* Liberty Media Corp.-Liberty Formula One Class A 17,043 479,079 0.0%
#* Liberty Media Corp.-Liberty Formula One Class C 44,409 1,310,954 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class A 96,383 4,025,918 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Consumer Discretionary -- (Continued)
* Liberty Media Corp.-Liberty SiriusXM Class B 7,622 $ 329,385 0.0%
* Liberty Media Corp.-Liberty SiriusXM Class C 208,010 8,665,697 0.1%
* Liberty TripAdvisor Holdings, Inc. Class A 76,802 706,578 0.0%
* Liberty TripAdvisor Holdings, Inc. Class B 3,570 35,878 0.0%
(degrees)* Liberty Ventures Series B 5,186 282,430 0.0%
Lifetime Brands, Inc. 16,431 195,529 0.0%
# Lions Gate Entertainment Corp. Class A 4,691 116,759 0.0%
Lions Gate Entertainment Corp. Class B 1 23 0.0%
# Lithia Motors, Inc. Class A 34,933 3,348,677 0.1%
* Luby's, Inc. 1,284 3,313 0.0%
* M/I Homes, Inc. 37,930 1,156,106 0.0%
* Madison Square Garden Co. (The) Class A 11,952 2,904,575 0.1%
Marcus Corp. (The) 18,899 563,190 0.0%
#* MarineMax, Inc. 29,164 629,942 0.0%
# Marriott Vacations Worldwide Corp. 2,531 310,326 0.0%
# Meredith Corp. 32,676 1,692,617 0.0%
* Meritage Homes Corp. 28,156 1,252,942 0.0%
MGM Resorts International 227,871 7,159,707 0.1%
* Modine Manufacturing Co. 14,650 251,980 0.0%
* Mohawk Industries, Inc. 98,740 20,723,551 0.3%
* Monarch Casino & Resort, Inc. 1,103 47,054 0.0%
#* Motorcar Parts of America, Inc. 14,638 278,707 0.0%
# Movado Group, Inc. 21,998 867,821 0.0%
#* MSG Networks, Inc. Class A 29,558 605,939 0.0%
#* Murphy USA, Inc. 30,778 1,925,779 0.0%
# Newell Brands, Inc. 209,562 5,790,198 0.1%
News Corp. Class A 402,247 6,427,907 0.1%
News Corp. Class B 99,903 1,623,424 0.0%
# Nexstar Media Group, Inc. Class A 5,246 326,563 0.0%
# Office Depot, Inc. 181,609 415,885 0.0%
* Overstock.com, Inc. 20,830 793,623 0.0%
# Penske Automotive Group, Inc. 43,845 1,977,409 0.0%
* Perry Ellis International, Inc. 15,092 391,637 0.0%
PulteGroup, Inc. 143,221 4,348,190 0.1%
PVH Corp. 31,964 5,103,692 0.1%
* Qurate Retail Group, Inc. QVC Group Class A 815,470 19,090,153 0.3%
#* Qurate Retail Group, Inc. QVC Group Class B 35,706 851,945 0.0%
RCI Hospitality Holdings, Inc. 12,026 326,987 0.0%
#* Red Robin Gourmet Burgers, Inc. 31,175 1,943,761 0.0%
#* Regis Corp. 44,912 701,525 0.0%
Rocky Brands, Inc. 8,729 208,187 0.0%
Royal Caribbean Cruises, Ltd. 322,500 34,891,275 0.5%
Saga Communications, Inc. Class A 8,693 322,510 0.0%
Salem Media Group, Inc. 10,922 34,404 0.0%
Scholastic Corp. 31,200 1,291,680 0.0%
#* Shiloh Industries, Inc. 15,461 128,481 0.0%
# Shoe Carnival, Inc. 32,650 795,680 0.0%
# Sinclair Broadcast Group, Inc. Class A 3,500 99,225 0.0%
# Sonic Automotive, Inc. Class A 17,000 336,600 0.0%
Speedway Motorsports, Inc. 14,935 263,603 0.0%
Standard Motor Products, Inc. 37,342 1,693,460 0.0%
* Stoneridge, Inc. 19,361 509,775 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
# Strattec Security Corp. 5,224 $ 170,825 0.0%
# Superior Industries International, Inc. 23,275 306,066 0.0%
Superior Uniform Group, Inc. 17,956 481,580 0.0%
* Tandy Leather Factory, Inc. 9,974 73,808 0.0%
Target Corp. 277,933 20,177,936 0.3%
* Taylor Morrison Home Corp. Class A 24,886 591,291 0.0%
TEGNA, Inc. 155,539 1,644,047 0.0%
Thor Industries, Inc. 961 102,001 0.0%
Time Warner, Inc. 1,534,860 145,504,728 2.2%
Toll Brothers, Inc. 179,799 7,580,326 0.1%
* TopBuild Corp. 300 23,910 0.0%
#* Tuesday Morning Corp. 60,500 214,775 0.0%
Twenty-First Century Fox, Inc. Class A 987,646 36,108,338 0.6%
Twenty-First Century Fox, Inc. Class B 429,924 15,507,359 0.2%
#* Unifi, Inc. 41,401 1,225,884 0.0%
#* Universal Electronics, Inc. 3,206 148,438 0.0%
#* Urban Outfitters, Inc. 18,300 736,941 0.0%
#* Vista Outdoor, Inc. 59,750 1,000,812 0.0%
Walt Disney Co. (The) 26,220 2,630,653 0.1%
Whirlpool Corp. 30,049 4,656,093 0.1%
* William Lyon Homes Class A 23,600 633,896 0.0%
------------ ----
Total Consumer Discretionary 929,684,969 13.7%
------------ ----
Consumer Staples -- (5.6%)
Alico, Inc. 960 31,008 0.0%
* Alliance One International, Inc. 3,508 73,317 0.0%
Andersons, Inc. (The) 23,660 772,499 0.0%
Archer-Daniels-Midland Co. 813,476 36,915,541 0.6%
Bunge, Ltd. 118,184 8,536,430 0.1%
* CCA Industries, Inc. 8,323 24,968 0.0%
#* Central Garden & Pet Co. 25,184 944,148 0.0%
* Central Garden & Pet Co. Class A 48,121 1,708,295 0.0%
Constellation Brands, Inc. Class B 12,615 2,932,987 0.1%
* Craft Brew Alliance, Inc. 9,754 188,252 0.0%
* Darling Ingredients, Inc. 43,600 747,304 0.0%
Fresh Del Monte Produce, Inc. 39,437 1,938,329 0.0%
#* Hain Celestial Group, Inc. (The) 87,292 2,542,816 0.0%
# Ingles Markets, Inc. Class A 11,437 391,717 0.0%
Ingredion, Inc. 62,117 7,521,748 0.1%
# JM Smucker Co. (The) 108,204 12,343,912 0.2%
John B. Sanfilippo & Son, Inc. 10,428 593,249 0.0%
Kraft Heinz Co. (The) 180,916 10,200,044 0.2%
* Landec Corp. 37,056 492,845 0.0%
# Molson Coors Brewing Co. Class A 1,908 129,820 0.0%
Molson Coors Brewing Co. Class B 186,550 13,289,822 0.2%
Mondelez International, Inc. Class A 2,081,099 82,203,410 1.2%
Nature's Sunshine Products, Inc. 1,029 9,518 0.0%
Oil-Dri Corp. of America 5,047 195,622 0.0%
#* Pilgrim's Pride Corp. 7,300 157,680 0.0%
#* Post Holdings, Inc. 50,201 3,994,494 0.1%
# Sanderson Farms, Inc. 17,700 1,967,532 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
Seaboard Corp. 1,812 $ 7,260,775 0.1%
* Seneca Foods Corp. Class A 6,301 173,593 0.0%
* Seneca Foods Corp. Class B 300 8,880 0.0%
SpartanNash Co. 32,983 599,631 0.0%
Tyson Foods, Inc. Class A 405,030 28,392,603 0.4%
Universal Corp. 22,290 1,048,745 0.0%
Walgreens Boots Alliance, Inc. 702,679 46,693,020 0.7%
Walmart, Inc. 1,266,497 112,034,325 1.7%
# Weis Markets, Inc. 11,602 533,924 0.0%
------------ ---
Total Consumer Staples 387,592,803 5.7%
------------ ---
Energy -- (13.4%)
Adams Resources & Energy, Inc. 6,004 274,983 0.0%
Anadarko Petroleum Corp. 258,932 17,431,302 0.3%
Andeavor 185,538 25,663,616 0.4%
# Apache Corp. 15,708 643,243 0.0%
Arch Coal, Inc. Class A 3,347 270,538 0.0%
# Archrock, Inc. 69,200 747,360 0.0%
# Baker Hughes a GE Co. 4,305 155,454 0.0%
# Bristow Group, Inc. 32,315 518,656 0.0%
#* Callon Petroleum Co. 87,316 1,214,566 0.0%
Chevron Corp. 1,121,044 140,253,815 2.1%
* Cloud Peak Energy, Inc. 33,115 105,637 0.0%
#* Concho Resources, Inc. 40,987 6,443,566 0.1%
ConocoPhillips 1,489,306 97,549,543 1.4%
* Dawson Geophysical Co. 11 79 0.0%
Delek US Holdings, Inc. 69,731 3,303,157 0.1%
Devon Energy Corp. 60,406 2,194,550 0.0%
* Dorian LPG, Ltd. 3,567 25,647 0.0%
# Ensco P.L.C. Class A 186,369 1,052,985 0.0%
EOG Resources, Inc. 8,874 1,048,641 0.0%
* Era Group, Inc. 24,458 258,032 0.0%
* Exterran Corp. 34,600 1,013,434 0.0%
Exxon Mobil Corp. 2,900,873 225,542,876 3.3%
# Green Plains, Inc. 26,534 493,532 0.0%
# Gulf Island Fabrication, Inc. 13,009 130,090 0.0%
#* Gulfport Energy Corp. 17,252 160,444 0.0%
#* Helix Energy Solutions Group, Inc. 103,010 795,237 0.0%
# Helmerich & Payne, Inc. 95,808 6,663,446 0.1%
# Hess Corp. 165,152 9,412,012 0.2%
HollyFrontier Corp. 32,210 1,954,825 0.0%
#* Hornbeck Offshore Services, Inc. 6,900 24,840 0.0%
#* International Seaways, Inc. 12 242 0.0%
Kinder Morgan, Inc. 1,124,143 17,783,942 0.3%
#* Kosmos Energy, Ltd. 26,900 189,376 0.0%
Marathon Oil Corp. 467,019 8,523,097 0.1%
Marathon Petroleum Corp. 903,936 67,713,846 1.0%
* Matrix Service Co. 15,423 237,514 0.0%
# Murphy Oil Corp. 117,193 3,528,681 0.1%
# Nabors Industries, Ltd. 344,211 2,619,446 0.0%
NACCO Industries, Inc. Class A 6,832 251,759 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Energy -- (Continued)
# National Oilwell Varco, Inc. 213,118 $ 8,241,273 0.1%
* Natural Gas Services Group, Inc. 15,026 362,127 0.0%
#* Newfield Exploration Co. 5,300 157,940 0.0%
#* Newpark Resources, Inc. 85,815 901,057 0.0%
# Noble Energy, Inc. 133,794 4,526,251 0.1%
* Oasis Petroleum, Inc. 119,212 1,314,908 0.0%
Occidental Petroleum Corp. 484,588 37,439,269 0.6%
# Oceaneering International, Inc. 16,983 360,719 0.0%
#* Parker Drilling Co. 83,844 52,855 0.0%
Patterson-UTI Energy, Inc. 155,425 3,329,203 0.1%
PBF Energy, Inc. Class A 28,700 1,100,071 0.0%
* PDC Energy, Inc. 26,003 1,392,201 0.0%
Peabody Energy Corp. 41,000 1,510,850 0.0%
* PHI, Inc. Non-Voting 13,870 173,791 0.0%
Phillips 66 775,455 86,315,896 1.3%
* Pioneer Energy Services Corp. 74,262 256,204 0.0%
Pioneer Natural Resources Co. 88,400 17,817,020 0.3%
* QEP Resources, Inc. 71,156 866,680 0.0%
#* REX American Resources Corp. 4,050 302,859 0.0%
#* Rowan Cos. P.L.C. Class A 118,378 1,709,378 0.0%
Schlumberger, Ltd. 577,687 39,606,221 0.6%
#* SEACOR Holdings, Inc. 16,104 883,143 0.0%
#* SEACOR Marine Holdings, Inc. 12,678 300,342 0.0%
# SemGroup Corp. Class A 18,242 458,786 0.0%
# Ship Finance International, Ltd. 12,481 177,854 0.0%
# SM Energy Co. 17,976 430,525 0.0%
#* SRC Energy, Inc. 108,967 1,202,996 0.0%
#* Transocean, Ltd. 9,000 111,330 0.0%
#* Unit Corp. 52,140 1,182,535 0.0%
# US Silica Holdings, Inc. 40,824 1,229,211 0.0%
Valero Energy Corp. 605,899 67,212,376 1.0%
#* Whiting Petroleum Corp. 4,001 163,321 0.0%
Williams Cos., Inc. (The) 216,857 5,579,731 0.1%
World Fuel Services Corp. 2,018 43,326 0.0%
------------ ----
Total Energy 932,906,258 13.7%
------------ ----
Financials -- (23.4%)
1st Constitution Bancorp 995 21,492 0.0%
# 1st Source Corp. 45,305 2,355,860 0.0%
Aflac, Inc. 428,750 19,538,137 0.3%
Alleghany Corp. 3,115 1,790,097 0.0%
Allstate Corp. (The) 169,260 16,557,013 0.3%
American Equity Investment Life Holding Co. 88,700 2,678,740 0.0%
American Financial Group, Inc. 168,865 19,118,895 0.3%
American International Group, Inc. 665,461 37,265,816 0.6%
American National Insurance Co. 23,302 2,811,852 0.1%
AmeriServ Financial, Inc. 30,968 126,969 0.0%
* Arch Capital Group, Ltd. 3,094 247,922 0.0%
Argo Group International Holdings, Ltd. 59,381 3,470,819 0.1%
Aspen Insurance Holdings, Ltd. 102,623 4,356,346 0.1%
Associated Banc-Corp 74,242 1,963,701 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Assurant, Inc. 65,820 $ 6,109,412 0.1%
Assured Guaranty, Ltd. 122,989 4,463,271 0.1%
Asta Funding, Inc. 885 3,098 0.0%
* Atlanticus Holdings Corp. 12,567 27,522 0.0%
Axis Capital Holdings, Ltd. 17,810 1,045,447 0.0%
Baldwin & Lyons, Inc. Class A 300 7,170 0.0%
Baldwin & Lyons, Inc. Class B 5,929 138,146 0.0%
* Bancorp, Inc. (The) 459 4,751 0.0%
Bank of America Corp. 5,929,137 177,399,779 2.6%
Bank of New York Mellon Corp. (The) 750,997 40,936,846 0.6%
BankFinancial Corp. 18,849 319,114 0.0%
Banner Corp. 1,628 93,447 0.0%
# Bar Harbor Bankshares 2,733 79,858 0.0%
BB&T Corp. 249,646 13,181,309 0.2%
BCB Bancorp, Inc. 1,059 16,415 0.0%
Berkshire Hills Bancorp, Inc. 30,747 1,166,849 0.0%
#* Brighthouse Financial, Inc. 86,355 4,385,107 0.1%
#* Cannae Holdings, Inc. 15,438 318,949 0.0%
Capital City Bank Group, Inc. 14,283 319,654 0.0%
Capital One Financial Corp. 372,872 33,789,661 0.5%
Capitol Federal Financial, Inc. 9,250 115,348 0.0%
Carolina Financial Corp. 1,153 45,209 0.0%
Cathay General Bancorp 17,730 709,377 0.0%
Century Bancorp, Inc. Class A 495 39,600 0.0%
Chubb, Ltd. 159,855 21,687,528 0.3%
Cincinnati Financial Corp. 12,284 864,057 0.0%
CIT Group, Inc. 45,907 2,430,776 0.0%
Citigroup, Inc. 1,870,326 127,687,156 1.9%
Citizens Community Bancorp, Inc. 10,355 144,659 0.0%
CME Group, Inc. 77,028 12,145,775 0.2%
CNA Financial Corp. 199,398 10,061,623 0.2%
CNO Financial Group, Inc. 301,264 6,459,100 0.1%
Codorus Valley Bancorp, Inc. 151 4,411 0.0%
# Community West Bancshares 400 4,580 0.0%
#* Consumer Portfolio Services, Inc. 26,500 90,630 0.0%
#* Cowen, Inc. 3,989 61,830 0.0%
#* Customers Bancorp, Inc. 1,100 31,702 0.0%
Donegal Group, Inc. Class A 12,386 172,413 0.0%
* E*TRADE Financial Corp. 89,699 5,442,935 0.1%
EMC Insurance Group, Inc. 23,450 609,231 0.0%
Enterprise Financial Services Corp. 436 22,171 0.0%
ESSA Bancorp, Inc. 8,217 120,133 0.0%
Evans Bancorp, Inc. 1,681 76,149 0.0%
Everest Re Group, Ltd. 34,913 8,123,208 0.1%
Farmers Capital Bank Corp. 302 15,145 0.0%
# FBL Financial Group, Inc. Class A 24,660 1,917,315 0.0%
Federal Agricultural Mortgage Corp. Class A 177 14,270 0.0%
# Federal Agricultural Mortgage Corp. Class C 9,200 786,692 0.0%
Federated National Holding Co. 13,665 230,939 0.0%
Fidelity Southern Corp. 7,213 163,951 0.0%
Fifth Third Bancorp 173,516 5,755,526 0.1%
* First Acceptance Corp. 27,347 22,971 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
First American Financial Corp. 61,982 $ 3,167,900 0.1%
First Bancorp 16,138 615,665 0.0%
First Business Financial Services, Inc. 964 25,054 0.0%
First Citizens BancShares, Inc. Class A 8,627 3,729,366 0.1%
First Commonwealth Financial Corp. 30,547 462,482 0.0%
First Community Bancshares, Inc. 183 5,678 0.0%
First Defiance Financial Corp. 10,880 649,101 0.0%
# First Financial Bancorp 62,437 1,932,425 0.0%
First Financial Northwest, Inc. 25,371 428,770 0.0%
First Interstate Bancsystem, Inc. Class A 2,348 95,094 0.0%
First Merchants Corp. 36,312 1,564,321 0.0%
# First Midwest Bancorp, Inc. 57,537 1,398,724 0.0%
# FNB Corp. 103,317 1,343,121 0.0%
* Genworth Financial, Inc. Class A 34,964 96,501 0.0%
# Global Indemnity, Ltd. 8,282 338,651 0.0%
Goldman Sachs Group, Inc. (The) 209,155 49,847,911 0.7%
Great Southern Bancorp, Inc. 1,616 85,406 0.0%
Great Western Bancorp, Inc. 8,161 335,744 0.0%
Guaranty Federal Bancshares, Inc. 1,684 39,557 0.0%
* Hallmark Financial Services, Inc. 16,734 171,858 0.0%
Hancock Holding Co. 37,600 1,836,760 0.0%
Hanover Insurance Group, Inc. (The) 88,829 10,202,011 0.2%
Hartford Financial Services Group, Inc. (The) 245,844 13,236,241 0.2%
# Heartland Financial USA, Inc. 465 24,947 0.0%
Hilltop Holdings, Inc. 26,171 586,754 0.0%
* HMN Financial, Inc. 3,456 66,355 0.0%
Home Bancorp, Inc. 719 31,169 0.0%
Hope Bancorp, Inc. 16,628 287,498 0.0%
HopFed Bancorp, Inc. 6,781 101,647 0.0%
Horace Mann Educators Corp. 58,206 2,601,808 0.0%
Huntington Bancshares, Inc. 70,847 1,056,329 0.0%
Iberiabank Corp. 13,797 1,034,085 0.0%
Infinity Property & Casualty Corp. 15,800 2,085,600 0.0%
International Bancshares Corp. 5,000 199,000 0.0%
# Investment Technology Group, Inc. 23,677 478,749 0.0%
Investors Title Co. 1,069 208,134 0.0%
Janus Henderson Group P.L.C. 62,621 1,978,197 0.0%
JPMorgan Chase & Co. 2,748,095 298,937,774 4.4%
# Kemper Corp. 39,635 2,675,363 0.0%
Kentucky First Federal Bancorp 2,300 20,240 0.0%
KeyCorp 526,210 10,482,103 0.2%
Lakeland Bancorp, Inc. 8,740 170,430 0.0%
Landmark Bancorp, Inc. 2,390 68,832 0.0%
# Legg Mason, Inc. 43,400 1,722,980 0.0%
Lincoln National Corp. 134,595 9,507,791 0.2%
Loews Corp. 243,798 12,789,643 0.2%
M&T Bank Corp. 4,341 791,234 0.0%
Macatawa Bank Corp. 291 3,108 0.0%
# Mackinac Financial Corp. 6,893 108,703 0.0%
* Malvern Bancorp, Inc. 867 22,065 0.0%
Marlin Business Services Corp. 14,241 390,203 0.0%
MB Financial, Inc. 19,678 838,676 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
* MBIA, Inc. 82,267 $ 700,915 0.0%
MBT Financial Corp. 9,396 95,604 0.0%
Mercantile Bank Corp. 4,422 156,097 0.0%
MetLife, Inc. 949,912 45,282,305 0.7%
* MGIC Investment Corp. 30,300 303,606 0.0%
MidWestOne Financial Group, Inc. 346 11,165 0.0%
Morgan Stanley 1,102,617 56,917,090 0.8%
# MutualFirst Financial, Inc. 2,300 84,525 0.0%
National Western Life Group, Inc. Class A 900 285,669 0.0%
Navigators Group, Inc. (The) 7,370 416,405 0.0%
# New York Community Bancorp, Inc. 52,185 619,958 0.0%
(degrees) NewStar Financial, Inc. 41,166 20,265 0.0%
Northrim BanCorp, Inc. 5,734 201,837 0.0%
OFG Bancorp 30,191 407,579 0.0%
Old National Bancorp 46,415 798,338 0.0%
Old Republic International Corp. 174,823 3,566,389 0.1%
Oppenheimer Holdings, Inc. Class A 3,097 83,154 0.0%
PacWest Bancorp 1,076 55,134 0.0%
# People's United Financial, Inc. 92,156 1,685,533 0.0%
# Peoples Bancorp of North Carolina, Inc. 275 8,456 0.0%
Peoples Bancorp, Inc. 15,923 570,999 0.0%
#* PHH Corp. 33,325 353,578 0.0%
# Piper Jaffray Cos. 312 21,856 0.0%
PNC Financial Services Group, Inc. (The) 217,040 31,603,194 0.5%
Popular, Inc. 61,036 2,825,356 0.1%
Premier Financial Bancorp, Inc. 4,877 95,979 0.0%
Principal Financial Group, Inc. 218,754 12,954,612 0.2%
Provident Financial Holdings, Inc. 544 9,982 0.0%
Provident Financial Services, Inc. 23,359 610,137 0.0%
Prudential Financial, Inc. 497,625 52,907,490 0.8%
Radian Group, Inc. 161,945 2,315,814 0.0%
Regions Financial Corp. 1,302,555 24,357,778 0.4%
Reinsurance Group of America, Inc. 153,566 22,942,760 0.3%
RenaissanceRe Holdings, Ltd. 20,967 2,852,351 0.1%
# Renasant Corp. 42,102 1,904,273 0.0%
Riverview Bancorp, Inc. 1,682 15,794 0.0%
Safety Insurance Group, Inc. 26,197 2,095,760 0.0%
Sandy Spring Bancorp, Inc. 9,125 361,624 0.0%
* Select Bancorp, Inc. 600 7,824 0.0%
# Selective Insurance Group, Inc. 45,200 2,675,840 0.0%
SI Financial Group, Inc. 5,661 80,952 0.0%
# Simmons First National Corp. Class A 22,648 683,970 0.0%
South State Corp. 838 72,529 0.0%
Southern National Bancorp of Virginia, Inc. 193 3,136 0.0%
# State Auto Financial Corp. 15,100 471,573 0.0%
# Sterling Bancorp 139,478 3,312,603 0.1%
Stewart Information Services Corp. 12,271 511,823 0.0%
Stifel Financial Corp. 23,200 1,352,096 0.0%
# SunTrust Banks, Inc. 255,532 17,069,538 0.3%
Synchrony Financial 544,549 18,062,690 0.3%
Synovus Financial Corp. 13,996 731,571 0.0%
Timberland Bancorp, Inc. 2,500 81,625 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Financials -- (Continued)
Tiptree, Inc. 37,071 $ 235,401 0.0%
Travelers Cos., Inc. (The) 184,026 24,217,822 0.4%
Trico Bancshares 854 31,914 0.0%
# Trustmark Corp. 26,783 838,576 0.0%
Umpqua Holdings Corp. 73,432 1,730,058 0.0%
* Unico American Corp. 1,900 14,630 0.0%
# Union Bankshares Corp. 37,042 1,400,558 0.0%
# United Bankshares, Inc. 12,121 411,508 0.0%
United Financial Bancorp, Inc. 9,193 151,960 0.0%
United Fire Group, Inc. 24,429 1,228,534 0.0%
United Security Bancshares 440 4,884 0.0%
# Unity Bancorp, Inc. 3,999 87,978 0.0%
Univest Corp. of Pennsylvania 156 4,485 0.0%
Unum Group 517,445 25,033,989 0.4%
Validus Holdings, Ltd. 8,958 607,084 0.0%
# Valley National Bancorp 13,468 169,023 0.0%
Voya Financial, Inc. 14,373 752,427 0.0%
Washington Federal, Inc. 97,887 3,107,912 0.1%
Waterstone Financial, Inc. 1,426 24,456 0.0%
Wells Fargo & Co. 3,633,493 188,796,296 2.8%
WesBanco, Inc. 31,678 1,387,496 0.0%
# Western New England Bancorp, Inc. 11,698 126,338 0.0%
Wintrust Financial Corp. 24,224 2,166,837 0.0%
WR Berkley Corp. 5,305 395,541 0.0%
XL Group, Ltd. 240,766 13,384,182 0.2%
# Zions Bancorporation 53,325 2,919,544 0.1%
-------------- ----
Total Financials 1,627,890,196 24.0%
-------------- ----
Health Care -- (13.6%)
Abbott Laboratories 915,297 53,206,215 0.8%
# Aceto Corp. 31,686 79,849 0.0%
* Addus HomeCare Corp. 2,044 107,310 0.0%
Aetna, Inc. 558,462 99,992,621 1.5%
Allergan P.L.C. 131,701 20,235,859 0.3%
* Allscripts Healthcare Solutions, Inc. 95,444 1,109,059 0.0%
Analogic Corp. 2,988 248,303 0.0%
* AngioDynamics, Inc. 14,354 278,181 0.0%
#* Anika Therapeutics, Inc. 14,671 645,671 0.0%
Anthem, Inc. 504,640 119,089,994 1.8%
* Aptevo Therapeutics, Inc. 4,339 19,222 0.0%
Baxter International, Inc. 6,557 455,711 0.0%
* Centene Corp. 20,136 2,186,367 0.0%
Cigna Corp. 136,754 23,497,072 0.3%
CONMED Corp. 43,239 2,811,832 0.0%
Cooper Cos., Inc. (The) 13,956 3,191,877 0.1%
* Cross Country Healthcare, Inc. 7,595 95,545 0.0%
#* CryoLife, Inc. 17,502 392,920 0.0%
#* Cumberland Pharmaceuticals, Inc. 23,319 151,340 0.0%
* Cutera, Inc. 1,289 64,643 0.0%
CVS Health Corp. 1,510,745 105,495,323 1.6%
Danaher Corp. 405,225 40,652,172 0.6%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
Digirad Corp. 26,711 $ 40,067 0.0%
* Diplomat Pharmacy, Inc. 5,500 119,845 0.0%
* Emergent BioSolutions, Inc. 18,678 968,641 0.0%
#* Endo International P.L.C. 14,700 84,231 0.0%
#* Envision Healthcare Corp. 50,543 1,878,683 0.0%
* Enzo Biochem, Inc. 6,287 37,722 0.0%
* Express Scripts Holding Co. 493,239 37,338,192 0.6%
#* Halyard Health, Inc. 25,838 1,223,946 0.0%
* HMS Holdings Corp. 6,400 115,264 0.0%
Humana, Inc. 198,071 58,268,527 0.9%
#* Impax Laboratories, Inc. 4,700 88,360 0.0%
* Integer Holdings Corp. 41,672 2,287,793 0.0%
#* IntriCon Corp. 2,835 66,056 0.0%
# Invacare Corp. 7,330 133,406 0.0%
Kewaunee Scientific Corp. 1,631 56,351 0.0%
Kindred Healthcare, Inc. 22,803 202,947 0.0%
* Laboratory Corp. of America Holdings 8,149 1,391,442 0.0%
* LHC Group, Inc. 1,418 105,528 0.0%
#* LifePoint Health, Inc. 82,208 3,937,763 0.1%
* LivaNova P.L.C. 17,600 1,562,528 0.0%
Luminex Corp. 1,400 29,890 0.0%
* Magellan Health, Inc. 17,899 1,500,831 0.0%
McKesson Corp. 70,069 10,945,478 0.2%
Medtronic P.L.C. 814,175 65,239,843 1.0%
* Merit Medical Systems, Inc. 13,395 649,657 0.0%
#* Molina Healthcare, Inc. 25,541 2,126,288 0.0%
* Mylan NV 28,680 1,111,637 0.0%
* Myriad Genetics, Inc. 75,816 2,144,835 0.0%
National HealthCare Corp. 6,484 397,340 0.0%
#* Natus Medical, Inc. 16,198 535,344 0.0%
* Nuvectra Corp. 13,890 178,903 0.0%
#* Omnicell, Inc. 35,405 1,525,955 0.0%
# PerkinElmer, Inc. 76,500 5,612,040 0.1%
Pfizer, Inc. 3,696,959 135,345,669 2.0%
#* Prestige Brands Holdings, Inc. 111,489 3,282,236 0.1%
Quest Diagnostics, Inc. 10,366 1,049,039 0.0%
* RTI Surgical, Inc. 73,086 321,578 0.0%
* Select Medical Holdings Corp. 56,304 1,016,287 0.0%
* Surmodics, Inc. 5,593 208,899 0.0%
Teleflex, Inc. 37,223 9,971,297 0.1%
Thermo Fisher Scientific, Inc. 435,609 91,630,353 1.4%
* Triple-S Management Corp. Class B 20,684 586,391 0.0%
* United Therapeutics Corp. 400 44,044 0.0%
UnitedHealth Group, Inc. 89,716 21,208,862 0.3%
* WellCare Health Plans, Inc. 18,375 3,769,815 0.1%
Zimmer Biomet Holdings, Inc. 10,322 1,188,785 0.0%
------------ ----
Total Health Care 945,535,674 13.9%
------------ ----
Industrials -- (10.8%)
AAR Corp. 32,906 1,424,830 0.0%
# ABM Industries, Inc. 64,500 2,007,885 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
# Acme United Corp. 1,030 $ 22,001 0.0%
#* AECOM 55,835 1,922,957 0.0%
* Aegion Corp. 42,549 965,437 0.0%
#* Aerovironment, Inc. 35,065 1,911,042 0.0%
AGCO Corp. 58,973 3,696,428 0.1%
* Air Transport Services Group, Inc. 6,308 127,674 0.0%
Alamo Group, Inc. 22,751 2,490,552 0.1%
# Alaska Air Group, Inc. 105,252 6,834,012 0.1%
# Albany International Corp. Class A 20,551 1,215,592 0.0%
# AMERCO 29,431 9,933,551 0.2%
* Ameresco, Inc. Class A 981 11,625 0.0%
# American Railcar Industries, Inc. 20,003 759,114 0.0%
# Apogee Enterprises, Inc. 36,374 1,495,335 0.0%
ArcBest Corp. 12,135 389,533 0.0%
Arconic, Inc. 318,251 5,668,050 0.1%
Argan, Inc. 21 840 0.0%
* Armstrong Flooring, Inc. 1,000 12,350 0.0%
* ASGN, Inc. 53,951 4,350,069 0.1%
# Astec Industries, Inc. 22,925 1,273,713 0.0%
#* Atlas Air Worldwide Holdings, Inc. 31,815 2,017,071 0.0%
# AZZ, Inc. 3,500 155,925 0.0%
Barnes Group, Inc. 45,700 2,537,721 0.1%
Brady Corp. Class A 38,500 1,401,400 0.0%
Briggs & Stratton Corp. 41,033 739,825 0.0%
* CAI International, Inc. 17,082 384,003 0.0%
Carlisle Cos., Inc. 4,854 522,921 0.0%
* Casella Waste Systems, Inc. Class A 5,201 127,477 0.0%
Caterpillar, Inc. 84,002 12,126,529 0.2%
* CBIZ, Inc. 38,149 709,571 0.0%
CECO Environmental Corp. 3,773 17,733 0.0%
#* Chart Industries, Inc. 2,220 125,963 0.0%
Chicago Rivet & Machine Co. 700 20,311 0.0%
# CIRCOR International, Inc. 9,719 411,794 0.0%
#* Colfax Corp. 7,300 226,373 0.0%
Columbus McKinnon Corp. 17,542 629,407 0.0%
Comfort Systems USA, Inc. 44,560 1,880,432 0.0%
CompX International, Inc. 500 6,875 0.0%
Copa Holdings SA Class A 6,400 749,888 0.0%
* Covenant Transportation Group, Inc. Class A 7,080 196,470 0.0%
CRA International, Inc. 7,613 429,906 0.0%
CSX Corp. 1,055,544 62,688,758 0.9%
# Cubic Corp. 3,576 220,818 0.0%
Curtiss-Wright Corp. 46,353 5,935,038 0.1%
Delta Air Lines, Inc. 433,135 22,618,310 0.4%
DMC Global, Inc. 1,436 55,573 0.0%
Douglas Dynamics, Inc. 30,234 1,262,269 0.0%
* Ducommun, Inc. 12,645 367,843 0.0%
* DXP Enterprises, Inc. 402 14,593 0.0%
Eastern Co. (The) 10,193 289,481 0.0%
Eaton Corp. P.L.C. 265,270 19,903,208 0.3%
* Echo Global Logistics, Inc. 6,500 177,450 0.0%
EMCOR Group, Inc. 55,640 4,094,548 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Encore Wire Corp. 19,966 $ 1,051,210 0.0%
EnerSys 43,639 2,991,890 0.1%
* Engility Holdings, Inc. 7,988 203,055 0.0%
Ennis, Inc. 30,835 551,946 0.0%
EnPro Industries, Inc. 8,338 626,601 0.0%
ESCO Technologies, Inc. 17,601 983,016 0.0%
# Espey Manufacturing & Electronics Corp. 1,671 44,365 0.0%
Essendant, Inc. 14,123 105,075 0.0%
* Esterline Technologies Corp. 44,968 3,230,951 0.1%
Federal Signal Corp. 71,923 1,557,852 0.0%
FedEx Corp. 127,314 31,472,021 0.5%
Fortune Brands Home & Security, Inc. 123,726 6,766,575 0.1%
* Franklin Covey Co. 3,046 74,322 0.0%
Franklin Electric Co., Inc. 3,474 142,434 0.0%
FreightCar America, Inc. 4,692 65,406 0.0%
* FTI Consulting, Inc. 36,136 2,110,342 0.0%
# GATX Corp. 65,445 4,269,632 0.1%
* Gencor Industries, Inc. 13,149 204,467 0.0%
General Electric Co. 2,120,584 29,836,617 0.5%
#* Genesee & Wyoming, Inc. Class A 4,800 341,760 0.0%
#* Gibraltar Industries, Inc. 34,603 1,216,295 0.0%
#* Goldfield Corp. (The) 4,304 18,077 0.0%
Gorman-Rupp Co. (The) 22,062 694,512 0.0%
* GP Strategies Corp. 18,583 387,456 0.0%
Granite Construction, Inc. 27,179 1,423,636 0.0%
* Great Lakes Dredge & Dock Corp. 69,820 321,172 0.0%
# Greenbrier Cos., Inc. (The) 22,451 984,476 0.0%
# Griffon Corp. 67,323 1,339,728 0.0%
Hawaiian Holdings, Inc. 21,035 866,642 0.0%
Heidrick & Struggles International, Inc. 18,234 686,510 0.0%
#* Hertz Global Holdings, Inc. 55,682 1,219,436 0.0%
* Hub Group, Inc. Class A 4,311 189,468 0.0%
Hurco Cos., Inc. 7,910 349,622 0.0%
* Huron Consulting Group, Inc. 4,001 149,837 0.0%
Hyster-Yale Materials Handling, Inc. 12,246 871,915 0.0%
ICF International, Inc. 31,660 2,124,386 0.0%
Ingersoll-Rand P.L.C. 213,109 17,877,714 0.3%
* InnerWorkings, Inc. 96,587 975,529 0.0%
# Insteel Industries, Inc. 17,578 527,867 0.0%
ITT, Inc. 30,000 1,466,700 0.0%
* JetBlue Airways Corp. 324,893 6,234,697 0.1%
Johnson Controls International P.L.C. 151,178 5,120,399 0.1%
Kadant, Inc. 8,486 782,833 0.0%
Kaman Corp. 1,988 120,552 0.0%
KAR Auction Services, Inc. 18,100 941,019 0.0%
KBR, Inc. 3,600 60,084 0.0%
Kimball International, Inc. Class B 30,344 501,283 0.0%
* Kirby Corp. 18,700 1,595,110 0.0%
Korn/Ferry International 60,004 3,207,814 0.1%
#* Kratos Defense & Security Solutions, Inc. 2,711 27,137 0.0%
L3 Technologies, Inc. 100,470 19,680,064 0.3%
* Lawson Products, Inc. 8,847 204,808 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
* LB Foster Co. Class A 6,682 $ 157,361 0.0%
LSI Industries, Inc. 27,715 169,893 0.0%
* Lydall, Inc. 14,605 651,383 0.0%
ManpowerGroup, Inc. 22,886 2,190,648 0.0%
Marten Transport, Ltd. 79,636 1,552,902 0.0%
* Masonite International Corp. 4,798 291,239 0.0%
#* MasTec, Inc. 12,600 554,400 0.0%
Matson, Inc. 62,316 1,821,497 0.0%
# Matthews International Corp. Class A 22,887 1,124,896 0.0%
McGrath RentCorp 17,552 1,034,339 0.0%
#* Mercury Systems, Inc. 2,055 65,924 0.0%
Miller Industries, Inc. 20,099 497,450 0.0%
Mobile Mini, Inc. 54,461 2,287,362 0.1%
* Moog, Inc. Class A 35,339 2,896,738 0.1%
#* MRC Global, Inc. 104,097 1,949,737 0.0%
# Mueller Industries, Inc. 30,912 840,188 0.0%
Mueller Water Products, Inc. Class A 20,300 198,737 0.0%
# Multi-Color Corp. 8,408 546,100 0.0%
* MYR Group, Inc. 19,582 587,460 0.0%
# National Presto Industries, Inc. 571 54,673 0.0%
* Navigant Consulting, Inc. 12,297 263,033 0.0%
* NL Industries, Inc. 38,770 296,590 0.0%
# NN, Inc. 18,396 373,439 0.0%
Norfolk Southern Corp. 545,229 78,224,005 1.2%
#* Northwest Pipe Co. 5,286 104,293 0.0%
Orbital ATK, Inc. 56,610 7,494,032 0.1%
Oshkosh Corp. 40,566 2,927,243 0.1%
Owens Corning 149,300 9,777,657 0.2%
PACCAR, Inc. 93,329 5,942,257 0.1%
* PAM Transportation Services, Inc. 6,449 232,099 0.0%
Pentair P.L.C. 117,934 7,934,600 0.1%
* Perma-Pipe International Holdings, Inc. 8,900 80,545 0.0%
# Powell Industries, Inc. 5,719 171,856 0.0%
Quad/Graphics, Inc. 1,591 39,314 0.0%
Quanex Building Products Corp. 21,431 367,542 0.0%
* Quanta Services, Inc. 168,307 5,469,977 0.1%
Raytheon Co. 44,355 9,090,114 0.2%
RCM Technologies, Inc. 15,745 81,874 0.0%
Regal Beloit Corp. 16,070 1,144,184 0.0%
Republic Services, Inc. 429,755 27,796,553 0.4%
Resources Connection, Inc. 25,955 406,196 0.0%
#* Rexnord Corp. 53,778 1,479,433 0.0%
#* Roadrunner Transportation Systems, Inc. 879 1,890 0.0%
RPX Corp. 33,100 358,473 0.0%
* Rush Enterprises, Inc. Class A 32,603 1,331,180 0.0%
* Rush Enterprises, Inc. Class B 18,522 720,691 0.0%
Ryder System, Inc. 89,844 6,058,181 0.1%
* Saia, Inc. 9,125 602,706 0.0%
* SIFCO Industries, Inc. 6,623 36,095 0.0%
SkyWest, Inc. 40,306 2,293,411 0.1%
Southwest Airlines Co. 531,263 28,066,624 0.4%
Spartan Motors, Inc. 16,820 300,237 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Industrials -- (Continued)
* Sparton Corp. 8,563 $ 158,159 0.0%
#* Spirit Airlines, Inc. 33,593 1,199,942 0.0%
* SPX FLOW, Inc. 20,167 907,515 0.0%
Standex International Corp. 22,341 2,165,960 0.0%
Stanley Black & Decker, Inc. 129,900 18,392,541 0.3%
Steelcase, Inc. Class A 55,469 734,964 0.0%
#* Team, Inc. 6,674 113,124 0.0%
# Terex Corp. 51,978 1,898,237 0.0%
Tetra Tech, Inc. 53,222 2,575,945 0.1%
Textron, Inc. 1,844 114,586 0.0%
* Thermon Group Holdings, Inc. 4,300 97,997 0.0%
Titan International, Inc. 8,000 82,400 0.0%
#* Titan Machinery, Inc. 2,883 55,700 0.0%
Trinity Industries, Inc. 183,814 5,858,152 0.1%
# Triton International, Ltd. 24,053 745,884 0.0%
# Triumph Group, Inc. 54,800 1,296,020 0.0%
#* Tutor Perini Corp. 33,844 698,879 0.0%
* Twin Disc, Inc. 900 19,872 0.0%
* Ultralife Corp. 3,309 27,961 0.0%
UniFirst Corp. 18,705 3,004,023 0.1%
Union Pacific Corp. 563,195 75,259,748 1.1%
* United Continental Holdings, Inc. 114,796 7,753,322 0.1%
United Technologies Corp. 384,209 46,162,711 0.7%
Universal Forest Products, Inc. 95,400 3,041,352 0.1%
#* USA Truck, Inc. 7,482 179,792 0.0%
#* USG Corp. 52,100 2,095,983 0.0%
* Vectrus, Inc. 6,869 247,284 0.0%
#* Veritiv Corp. 9,437 359,078 0.0%
Viad Corp. 23,193 1,177,045 0.0%
Virco Manufacturing Corp. 12,601 52,924 0.0%
# VSE Corp. 610 31,287 0.0%
Watts Water Technologies, Inc. Class A 4,634 345,233 0.0%
# Werner Enterprises, Inc. 34,105 1,169,801 0.0%
#* Wesco Aircraft Holdings, Inc. 6,228 62,903 0.0%
* WESCO International, Inc. 11,687 695,961 0.0%
#* Willis Lease Finance Corp. 6,713 219,381 0.0%
#* XPO Logistics, Inc. 12,216 1,186,907 0.0%
------------ ----
Total Industrials 747,482,213 11.0%
------------ ----
Information Technology -- (12.5%)
Activision Blizzard, Inc. 849,537 56,366,780 0.8%
#* Acxiom Corp. 7,769 201,839 0.0%
* Agilysys, Inc. 14,791 174,238 0.0%
* Alpha & Omega Semiconductor, Ltd. 20,661 313,221 0.0%
Analog Devices, Inc. 33,465 2,923,168 0.1%
* Anixter International, Inc. 8,801 518,379 0.0%
* ARRIS International P.L.C. 70,523 1,904,121 0.0%
* Arrow Electronics, Inc. 175,521 13,118,440 0.2%
AstroNova, Inc. 6,285 112,187 0.0%
Avnet, Inc. 139,400 5,468,662 0.1%
AVX Corp. 72,760 1,073,938 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
* Aware, Inc. 14,326 $ 55,871 0.0%
* Axcelis Technologies, Inc. 175 3,850 0.0%
#* AXT, Inc. 22,521 131,748 0.0%
Bel Fuse, Inc. Class A 3,574 63,939 0.0%
Bel Fuse, Inc. Class B 11,381 220,222 0.0%
# Belden, Inc. 9,300 572,880 0.0%
Benchmark Electronics, Inc. 62,063 1,632,257 0.0%
# Black Box Corp. 11,305 22,045 0.0%
* Blackhawk Network Holdings, Inc. 25,926 1,164,077 0.0%
#* Blucora, Inc. 57,127 1,485,302 0.0%
# Brooks Automation, Inc. 50,847 1,265,073 0.0%
* BSQUARE Corp. 4,065 18,293 0.0%
* CACI International, Inc. Class A 24,830 3,750,571 0.1%
#* Calix, Inc. 10,904 72,512 0.0%
* Cardtronics P.L.C. Class A 9,100 238,875 0.0%
#* Cars.com, Inc. 39,879 1,135,754 0.0%
# CCUR Holdings, Inc. 11,740 61,048 0.0%
* Cirrus Logic, Inc. 19,500 711,165 0.0%
Cisco Systems, Inc. 4,715,767 208,861,320 3.1%
Cohu, Inc. 28,915 618,781 0.0%
* CommerceHub, Inc. Series A 5,992 135,839 0.0%
* CommerceHub, Inc. Series C 9,435 213,891 0.0%
Comtech Telecommunications Corp. 15,569 476,256 0.0%
#* Conduent, Inc. 177,926 3,462,440 0.1%
# Convergys Corp. 197,364 4,610,423 0.1%
* CoreLogic, Inc. 96,545 4,778,977 0.1%
Corning, Inc. 785,955 21,236,504 0.3%
#* Cray, Inc. 12,866 306,854 0.0%
#* Cree, Inc. 29,400 1,097,208 0.0%
CSP, Inc. 2,414 26,288 0.0%
CTS Corp. 66,936 2,004,733 0.0%
#* CyberOptics Corp. 3,281 50,035 0.0%
# Cypress Semiconductor Corp. 78,922 1,150,683 0.0%
* Dell Technologies, Inc. Class V 38,133 2,736,805 0.1%
* Digi International, Inc. 25,438 292,537 0.0%
* Diodes, Inc. 4,709 134,442 0.0%
* DSP Group, Inc. 46,713 558,220 0.0%
DXC Technology Co. 228,936 23,594,144 0.4%
* EchoStar Corp. Class A 25,651 1,347,704 0.0%
* Edgewater Technology, Inc. 9,510 54,683 0.0%
#* Electro Scientific Industries, Inc. 6,085 109,530 0.0%
#* Electronics for Imaging, Inc. 58,110 1,609,647 0.0%
* Emcore Corp. 744 3,348 0.0%
Entegris, Inc. 300 9,660 0.0%
* ePlus, Inc. 17,490 1,396,576 0.0%
* Fabrinet 4,055 114,392 0.0%
Fidelity National Information Services, Inc. 198,899 18,889,438 0.3%
#* Finisar Corp. 61,526 958,575 0.0%
* First Solar, Inc. 28,266 2,004,342 0.0%
* FormFactor, Inc. 46,295 531,235 0.0%
* Frequency Electronics, Inc. 7,390 65,106 0.0%
#* GSI Technology, Inc. 3,363 24,651 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
#* Harmonic, Inc. 13,666 $ 49,881 0.0%
Hewlett Packard Enterprise Co. 894,616 15,253,203 0.2%
* IAC/InterActiveCorp 99,525 16,136,983 0.3%
#* II-VI, Inc. 27,179 1,035,520 0.0%
#* Inseego Corp. 2,423 5,185 0.0%
* Insight Enterprises, Inc. 42,100 1,492,445 0.0%
Intel Corp. 4,978,195 256,974,426 3.8%
#* Itron, Inc. 31,001 2,027,465 0.0%
Juniper Networks, Inc. 212,100 5,215,539 0.1%
* Key Tronic Corp. 17,623 123,890 0.0%
* Kimball Electronics, Inc. 23,443 371,572 0.0%
* Kulicke & Soffa Industries, Inc. 71,688 1,640,938 0.0%
* KVH Industries, Inc. 17,840 189,104 0.0%
Lam Research Corp. 11,111 2,056,202 0.1%
* Lattice Semiconductor Corp. 35,397 191,852 0.0%
* Limelight Networks, Inc. 10,944 56,471 0.0%
# Littelfuse, Inc. 205 38,319 0.0%
ManTech International Corp. Class A 2,048 121,016 0.0%
# Marvell Technology Group, Ltd. 166,418 3,338,345 0.1%
# Methode Electronics, Inc. 79,272 3,162,953 0.1%
* Micron Technology, Inc. 842,584 38,742,012 0.6%
* Microsemi Corp. 7,940 513,639 0.0%
MKS Instruments, Inc. 61,200 6,266,880 0.1%
* NETGEAR, Inc. 31,028 1,715,848 0.0%
#* Netscout Systems, Inc. 21,784 591,436 0.0%
#* Optical Cable Corp. 10,793 30,220 0.0%
#* PAR Technology Corp. 12,896 184,284 0.0%
Park Electrochemical Corp. 2,472 42,098 0.0%
PC Connection, Inc. 35,467 946,614 0.0%
PC-Tel, Inc. 22,216 158,844 0.0%
#* PCM, Inc. 10,471 135,599 0.0%
* Perficient, Inc. 6,900 170,637 0.0%
* Photronics, Inc. 79,712 609,797 0.0%
* Plexus Corp. 14,452 792,548 0.0%
#* Qorvo, Inc. 24,909 1,678,867 0.0%
QUALCOMM, Inc. 688,597 35,125,333 0.5%
#* Rambus, Inc. 9,315 125,753 0.0%
Reis, Inc. 13,511 283,731 0.0%
* Ribbon Communications, Inc. 6,622 38,540 0.0%
Richardson Electronics, Ltd. 15,464 143,351 0.0%
* Rogers Corp. 9,843 1,050,248 0.0%
* Rudolph Technologies, Inc. 16,097 408,059 0.0%
* Sanmina Corp. 39,846 1,175,457 0.0%
* ScanSource, Inc. 15,841 543,346 0.0%
SS&C Technologies Holdings, Inc. 51,586 2,561,245 0.1%
#* StarTek, Inc. 20,310 179,540 0.0%
#* Super Micro Computer, Inc. 5,886 104,182 0.0%
* Sykes Enterprises, Inc. 20,292 583,598 0.0%
#* Synaptics, Inc. 12,463 542,390 0.0%
SYNNEX Corp. 55,900 5,599,503 0.1%
TE Connectivity, Ltd. 197,255 18,098,146 0.3%
* Tech Data Corp. 81,325 6,201,031 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Information Technology -- (Continued)
* Telenav, Inc. 6,765 $ 34,840 0.0%
Teradyne, Inc. 26,789 871,982 0.0%
Tessco Technologies, Inc. 8,689 153,361 0.0%
# TiVo Corp. 19,000 268,850 0.0%
#* TTM Technologies, Inc. 55,241 770,060 0.0%
#* Veeco Instruments, Inc. 15,978 246,860 0.0%
* VeriFone Systems, Inc. 43,089 991,478 0.0%
* Verint Systems, Inc. 29,658 1,248,602 0.0%
#* ViaSat, Inc. 200 12,796 0.0%
* Viavi Solutions, Inc. 16,203 153,118 0.0%
* Virtusa Corp. 30,064 1,447,281 0.0%
# Vishay Intertechnology, Inc. 151,731 2,678,052 0.1%
* Vishay Precision Group, Inc. 16,480 466,384 0.0%
Western Digital Corp. 215,907 17,011,313 0.3%
* Xcerra Corp. 20,165 243,593 0.0%
Xerox Corp. 222,408 6,994,732 0.1%
* XO Group, Inc. 6,284 136,237 0.0%
Xperi Corp. 54,435 1,197,570 0.0%
* Zynga, Inc. Class A 311,000 1,072,950 0.0%
------------ ----
Total Information Technology 869,069,866 12.8%
------------ ----
Materials -- (1.8%)
* Alcoa Corp. 110,583 5,661,850 0.1%
#* Allegheny Technologies, Inc. 22,777 605,185 0.0%
# Ampco-Pittsburgh Corp. 4,007 39,469 0.0%
Ashland Global Holdings, Inc. 112,560 7,449,221 0.1%
# Bemis Co., Inc. 24,092 1,042,461 0.0%
Boise Cascade Co. 41,564 1,729,062 0.0%
Cabot Corp. 46,280 2,585,201 0.1%
#* Century Aluminum Co. 15,822 276,410 0.0%
#* Clearwater Paper Corp. 16,822 397,840 0.0%
* Coeur Mining, Inc. 13,910 105,299 0.0%
Commercial Metals Co. 85,208 1,790,220 0.0%
Core Molding Technologies, Inc. 11,847 183,628 0.0%
Domtar Corp. 12,207 535,887 0.0%
DowDuPont, Inc. 31,359 1,983,143 0.0%
Freeport-McMoRan, Inc. 24,064 366,013 0.0%
Friedman Industries, Inc. 3,048 18,745 0.0%
FutureFuel Corp. 6,104 71,417 0.0%
Graphic Packaging Holding Co. 154,000 2,202,200 0.0%
Greif, Inc. Class A 8,453 494,670 0.0%
Hawkins, Inc. 409 13,293 0.0%
# HB Fuller Co. 22,808 1,128,312 0.0%
Huntsman Corp. 50,242 1,495,704 0.0%
Innospec, Inc. 2,233 162,339 0.0%
Kaiser Aluminum Corp. 27,181 2,678,416 0.1%
KapStone Paper and Packaging Corp. 93,014 3,201,542 0.1%
* Kraton Corp. 5,435 248,216 0.0%
Louisiana-Pacific Corp. 173,457 4,914,037 0.1%
# Martin Marietta Materials, Inc. 23,633 4,602,999 0.1%
Materion Corp. 18,497 938,723 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
Mercer International, Inc. 21,725 $ 291,115 0.0%
Minerals Technologies, Inc. 34,280 2,367,034 0.0%
Mosaic Co. (The) 17,274 465,534 0.0%
Neenah, Inc. 7,684 599,352 0.0%
Newmont Mining Corp. 141,468 5,558,278 0.1%
Northern Technologies International Corp. 3,035 90,595 0.0%
# Nucor Corp. 103,401 6,371,570 0.1%
Olin Corp. 91,401 2,759,396 0.1%
# Olympic Steel, Inc. 9,986 234,172 0.0%
PH Glatfelter Co. 50,600 1,057,034 0.0%
Reliance Steel & Aluminum Co. 93,801 8,246,984 0.1%
# Schnitzer Steel Industries, Inc. Class A 400 11,780 0.0%
Sensient Technologies Corp. 38,101 2,539,432 0.0%
Steel Dynamics, Inc. 94,919 4,253,320 0.1%
Stepan Co. 900 63,288 0.0%
* SunCoke Energy, Inc. 62,210 714,793 0.0%
# Synalloy Corp. 949 16,370 0.0%
Tredegar Corp. 26,545 467,192 0.0%
Tronox, Ltd. Class A 42,013 721,783 0.0%
United States Steel Corp. 2,730 92,356 0.0%
* Universal Stainless & Alloy Products, Inc. 6,269 183,932 0.0%
# Valvoline, Inc. 253,649 5,144,002 0.1%
# Vulcan Materials Co. 58,246 6,505,496 0.1%
# Westlake Chemical Corp. 158,152 16,917,519 0.3%
WestRock Co. 200,591 11,866,964 0.2%
Worthington Industries, Inc. 47,320 2,107,160 0.0%
------------ ---
Total Materials 126,567,953 1.9%
------------ ---
Real Estate -- (0.0%)
Alexander & Baldwin, Inc. 81,208 1,859,663 0.0%
Griffin Industrial Realty, Inc. 1,500 55,650 0.0%
#* Howard Hughes Corp. (The) 1,500 202,950 0.0%
# Kennedy-Wilson Holdings, Inc. 33,927 642,917 0.0%
#* Rafael Holdings, Inc. Class B 550 4,510 0.0%
* Stratus Properties, Inc. 3,069 95,906 0.0%
------------ ---
Total Real Estate 2,861,596 0.0%
------------ ---
Telecommunication Services -- (3.2%)
AT&T, Inc. 6,281,506 205,405,246 3.0%
ATN International, Inc. 84 4,452 0.0%
# CenturyLink, Inc. 70,603 1,311,803 0.0%
# Frontier Communications Corp. 46,463 385,643 0.0%
#* Iridium Communications, Inc. 14,800 176,120 0.0%
#* ORBCOMM, Inc. 44,499 401,381 0.0%
Spok Holdings, Inc. 12,522 186,578 0.0%
#* Sprint Corp. 422,600 2,370,786 0.0%
* T-Mobile US, Inc. 113,786 6,885,191 0.1%
Telephone & Data Systems, Inc. 92,433 2,526,194 0.1%
#* United States Cellular Corp. 7,591 300,376 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Telecommunication Services -- (Continued)
* Vonage Holdings Corp. 85,934 $ 960,742 0.0%
-------------- -----
Total Telecommunication Services 220,914,512 3.2%
-------------- -----
Utilities -- (0.0%)
Consolidated Water Co., Ltd. 6,656 94,182 0.0%
NRG Energy, Inc. 55,469 1,719,539 0.0%
# Ormat Technologies, Inc. 20,134 1,165,759 0.0%
-------------- -----
Total Utilities 2,979,480 0.0%
-------------- -----
TOTAL COMMON STOCKS 6,793,485,520 99.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
(degrees)* Media General, Inc. Contingent Value Rights 25,196 2,519 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 6,793,488,039
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market
Fund, 1.630% 1,407,061 1,407,061 0.0%
-------------- -----
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund 13,800,329 159,669,803 2.4%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $3,823,041,241) $6,954,564,903 102.3%
============== =====
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2018, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary $ 929,402,539 $ 282,430 -- $ 929,684,969
Consumer Staples 387,592,803 -- -- 387,592,803
Energy 932,906,258 -- -- 932,906,258
Financials 1,627,869,931 20,265 -- 1,627,890,196
Health Care 945,535,674 -- -- 945,535,674
Industrials 747,482,213 -- -- 747,482,213
Information Technology 869,069,866 -- -- 869,069,866
Materials 126,567,953 -- -- 126,567,953
Real Estate 2,861,596 -- -- 2,861,596
Telecommunication Services 220,914,512 -- -- 220,914,512
Utilities 2,979,480 -- -- 2,979,480
Rights/Warrants -- 2,519 -- 2,519
Temporary Cash Investments 1,407,061 -- -- 1,407,061
Securities Lending Collateral -- 159,669,803 -- 159,669,803
-------------- ------------ -- --------------
TOTAL $6,794,589,886 $159,975,017 -- $6,954,564,903
============== ============ == ==============
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this
Form N-CSR (the "Report"), the Registrant's Co-Principal Executive
Officers and Principal Financial Officer believe that the disclosure
controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended) are effectively designed
to ensure that information required to be disclosed by the Registrant
in the Report is recorded, processed, summarized and reported by the
filing date, including ensuring that information required to be
disclosed in the Report is accumulated and communicated to the
Registrant's officers that are making certifications in the Report, as
appropriate, to allow timely decisions regarding required disclosure.
The Registrant's management, including the Co-Principal Executive
Officers and the Principal Financial Officer, recognizes that any set
of controls and procedures, no matter how well designed and operated,
can provide only reasonable assurance of achieving the desired control
objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 13. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
The DFA Investment Trust Company
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
The DFA Investment Trust Company
Date: July 5, 2018
By: /s/ Gerard K. O'Reilly
--------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
The DFA Investment Trust Company
Date: July 5, 2018
By: /s/ Gregory K. Hinkle
--------------------------------
Gregory K. Hinkle
Principal Financial Officer
The DFA Investment Trust Company
Date: July 5, 2018