================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6067
-----------------
DIMENSIONAL INVESTMENT GROUP INC.
(Exact name of registrant as specified in charter)
-----------------
6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices) (Zip code)
-----------------
Catherine L. Newell, Esquire, President and General Counsel
Dimensional Investment Group Inc.,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
-----------------
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 2018
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
LOGO
Annual Report
YEAR ENDED: OCTOBER 31, 2018
--------------------------------------------------------------------------------
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
U.S. LARGE CAP EQUITY PORTFOLIO
U.S. LARGE CAP VALUE PORTFOLIO
U.S. TARGETED VALUE PORTFOLIO
U.S. SMALL CAP VALUE PORTFOLIO
U.S. CORE EQUITY 1 PORTFOLIO
U.S. CORE EQUITY 2 PORTFOLIO
U.S. VECTOR EQUITY PORTFOLIO
U.S. SMALL CAP PORTFOLIO
U.S. MICRO CAP PORTFOLIO
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
DFA REAL ESTATE SECURITIES PORTFOLIO
LARGE CAP INTERNATIONAL PORTFOLIO
INTERNATIONAL CORE EQUITY PORTFOLIO
INTERNATIONAL SMALL COMPANY PORTFOLIO
GLOBAL SMALL COMPANY PORTFOLIO
JAPANESE SMALL COMPANY PORTFOLIO
ASIA PACIFIC SMALL COMPANY PORTFOLIO
UNITED KINGDOM SMALL COMPANY
PORTFOLIO
CONTINENTAL SMALL COMPANY PORTFOLIO
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
DFA GLOBAL REAL ESTATE SECURITIES
PORTFOLIO
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
INTERNATIONAL VECTOR EQUITY PORTFOLIO
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
WORLD EX U.S. VALUE PORTFOLIO
WORLD EX U.S. TARGETED VALUE PORTFOLIO
WORLD EX U.S. CORE EQUITY PORTFOLIO
WORLD CORE EQUITY PORTFOLIO
SELECTIVELY HEDGED GLOBAL EQUITY
PORTFOLIO
EMERGING MARKETS PORTFOLIO
EMERGING MARKETS SMALL CAP PORTFOLIO
EMERGING MARKETS VALUE PORTFOLIO
EMERGING MARKETS CORE EQUITY 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 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
DIMENSIONAL EMERGING MARKETS VALUE FUND
--------------------------------------------------------------------------------
LOGO
December 2018
Dear Fellow Shareholder,
Since our founding in 1981, we have put clients at the center of everything we
do.
Our investment approach and philosophy are grounded in rigorous academic
research and robust implementation to help you target higher expected returns
in an ever-evolving marketplace. And our 38-year track record of outperforming
indices and competitors is a testament to our approach.
Our mission is to improve people's lives.
We recognize and appreciate the trust and responsibility you've placed in us to
manage your assets and we take that responsibility seriously. Our company
strives to act with integrity and provide excellent investment solutions for
clients.
On behalf of the more than 1,300 employees at Dimensional working in 13 cities
across nine countries, we appreciate the opportunity to serve you.
Sincerely,
/s/ David Butler /s/ Gerard O'Reilly
DAVID BUTLER GERARD O'REILLY
Co-Chief Executive Officer Co-Chief Executive Officer and
Chief Investment Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES.......................................................... 2
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts............................................................................... 3
Management's Discussion and Analysis............................................................. 22
Disclosure of Fund Expenses...................................................................... 35
Disclosure of Portfolio Holdings................................................................. 40
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio........................................................ 43
U.S. Large Cap Equity Portfolio.............................................................. 48
U.S. Large Cap Value Portfolio............................................................... 51
U.S. Targeted Value Portfolio................................................................ 52
U.S. Small Cap Value Portfolio............................................................... 56
U.S. Core Equity 1 Portfolio................................................................. 59
U.S. Core Equity 2 Portfolio................................................................. 62
U.S. Vector Equity Portfolio................................................................. 65
U.S. Small Cap Portfolio..................................................................... 68
U.S. Micro Cap Portfolio..................................................................... 72
U.S. High Relative Profitability Portfolio................................................... 75
DFA Real Estate Securities Portfolio......................................................... 78
Large Cap International Portfolio............................................................ 80
International Core Equity Portfolio.......................................................... 84
International Small Company Portfolio........................................................ 88
Global Small Company Portfolio............................................................... 89
Japanese Small Company Portfolio............................................................. 90
Asia Pacific Small Company Portfolio......................................................... 91
United Kingdom Small Company Portfolio....................................................... 92
Continental Small Company Portfolio.......................................................... 93
DFA International Real Estate Securities Portfolio........................................... 94
DFA Global Real Estate Securities Portfolio.................................................. 98
DFA International Small Cap Value Portfolio.................................................. 100
International Vector Equity Portfolio........................................................ 104
International High Relative Profitability Portfolio.......................................... 108
World ex U.S. Value Portfolio................................................................ 112
World ex U.S. Targeted Value Portfolio....................................................... 113
World ex U.S. Core Equity Portfolio.......................................................... 118
World Core Equity Portfolio.................................................................. 124
Selectively Hedged Global Equity Portfolio................................................... 125
Emerging Markets Portfolio................................................................... 127
Emerging Markets Small Cap Portfolio......................................................... 128
Emerging Markets Value Portfolio............................................................. 129
Emerging Markets Core Equity Portfolio....................................................... 130
Statements of Assets and Liabilities............................................................. 135
Statements of Operations......................................................................... 143
Statements of Changes in Net Assets.............................................................. 151
Financial Highlights............................................................................. 163
Notes to Financial Statements.................................................................... 185
Report of Independent Registered Public Accounting Firm.......................................... 226
Section 19(a) Notice............................................................................. 228
DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO
Performance Charts............................................................................... 229
Management's Discussion and Analysis............................................................. 230
Consolidated Disclosure of Fund Expenses......................................................... 231
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
Consolidated Disclosure of Portfolio Holdings.................................................... 233
Consolidated Schedule of Investments............................................................. 234
Consolidated Statement of Assets and Liabilities................................................. 248
Consolidated Statement of Operations............................................................. 249
Consolidated Statement of Changes in Net Assets.................................................. 250
Consolidated Financial Highlights................................................................ 251
Consolidated Notes to Financial Statements....................................................... 252
Report of Independent Registered Public Accounting Firm.......................................... 266
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts............................................................................... 267
Management's Discussion and Analysis............................................................. 269
Disclosure of Fund Expenses...................................................................... 272
Disclosure of Portfolio Holdings................................................................. 274
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio............................................................ 275
U.S. Large Company Portfolio................................................................. 276
Statements of Assets and Liabilities............................................................. 279
Statements of Operations......................................................................... 280
Statements of Changes in Net Assets.............................................................. 281
Financial Highlights............................................................................. 282
Notes to Financial Statements.................................................................... 285
Report of Independent Registered Public Accounting Firm.......................................... 296
THE DFA INVESTMENT TRUST COMPANY
Performance Charts............................................................................... 297
Management's Discussion and Analysis............................................................. 302
Disclosure of Fund Expenses...................................................................... 307
Disclosure of Portfolio Holdings................................................................. 309
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series.............................................................. 311
The DFA International Value Series........................................................... 314
The Japanese Small Company Series............................................................ 318
The Asia Pacific Small Company Series........................................................ 321
The United Kingdom Small Company Series...................................................... 323
The Continental Small Company Series......................................................... 326
The Canadian Small Company Series............................................................ 330
The Emerging Markets Series.................................................................. 333
The Emerging Markets Small Cap Series........................................................ 337
Statements of Assets and Liabilities............................................................. 341
Statements of Operations......................................................................... 343
Statements of Changes in Net Assets.............................................................. 345
Financial Highlights............................................................................. 348
Notes to Financial Statements.................................................................... 357
Report of Independent Registered Public Accounting Firm.......................................... 371
DIMENSIONAL EMERGING MARKETS VALUE FUND
Performance Charts............................................................................... 372
Management Discussion............................................................................ 373
Disclosure of Fund Expenses...................................................................... 375
Disclosure of Portfolio Holdings................................................................. 377
Summary Schedules of Portfolio Holdings
Dimensional Emerging Markets Value Fund...................................................... 378
Statement of Assets and Liabilities.............................................................. 382
Statement of Operations.......................................................................... 383
ii
TABLE OF CONTENTS
CONTINUED
PAGE
----
Statements of Changes in Net Assets.............................................................. 384
Financial Highlights............................................................................. 385
Notes to Financial Statements.................................................................... 386
Report of Independent Registered Public Accounting Firm.......................................... 395
FUND MANAGEMENT..................................................................................... 396
Board of Independent Directors or Trustees Table................................................. 397
VOTING PROXIES ON FUND PORTFOLIO SECURITIES......................................................... 403
NOTICE TO SHAREHOLDERS.............................................................................. 404
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
iii
[THIS PAGE INTENTIONALLY LEFT BLANK]
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
P.L.C. Public Limited Company
SA Special Assessment
ADR American Depositary Receipt
REIT Real Estate Investment Trust
GDR Global Depositary Receipt
CAD Canadian Dollars
SEK Swedish Krona
USD United States Dollar
AUD Australian Dollars
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
NZD New Zealand Dollars
SGD Singapore Dollars
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
Investment Footnotes
^ Denominated in USD, unless otherwise
noted.
+ See Note B to Financial Statements.
W Rule 144A or Section 4(2) security
that is restricted as to resale to
institutional investors. The Fund's
Advisor deemed this security to be
liquid based upon procedures approved
by the Board of Trustees.
# Total or Partial Securities on Loan.
Security pledged as collateral for
(double left angle quote) Futures Contracts.
@ Security purchased with cash proceeds
from Securities on Loan.
(S) Affiliated Fund.
++ 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.
Securities that have generally been
(double right angle quote) fair value factored. See Note B to
Financial Statements.
~ Security pledged as collateral for
Swap Agreements.
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) Non-Annualized
(D) Annualized
(E) Because of commencement of operations
and related preliminary transaction
costs, these ratios are not
necessarily indicative of future
ratios.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
------------------------------------------------------------------------
-- Amounts designated as -- are either
zero or rounded to zero.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(R) INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Enhanced U.S. Large Company
Portfolio S&P 500/R/ Index
--------------------------------- ------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,320 9,283
12/31/2008 9,429 9,381
1/31/2009 8,639 8,591
2/28/2009 7,695 7,676
3/31/2009 8,395 8,348
4/30/2009 9,223 9,147
5/31/2009 9,774 9,659
6/30/2009 9,809 9,678
7/31/2009 10,585 10,410
8/31/2009 10,998 10,786
9/30/2009 11,431 11,188
10/31/2009 11,223 10,980
11/30/2009 11,933 11,639
12/31/2009 12,138 11,864
1/31/2010 11,721 11,437
2/28/2010 12,103 11,791
3/31/2010 12,816 12,503
4/30/2010 13,025 12,700
5/31/2010 11,999 11,686
6/30/2010 11,382 11,074
7/31/2010 12,185 11,850
8/31/2010 11,644 11,315
9/30/2010 12,686 12,325
10/31/2010 13,175 12,794
11/30/2010 13,158 12,796
12/31/2010 14,039 13,651
1/31/2011 14,389 13,975
2/28/2011 14,862 14,453
3/31/2011 14,862 14,459
4/30/2011 15,335 14,887
5/31/2011 15,195 14,719
6/30/2011 14,932 14,473
7/31/2011 14,652 14,179
8/31/2011 13,846 13,409
9/30/2011 12,864 12,466
10/31/2011 14,284 13,829
11/30/2011 14,196 13,798
12/31/2011 14,355 13,939
1/31/2012 15,028 14,564
2/29/2012 15,684 15,194
3/31/2012 16,215 15,694
4/30/2012 16,127 15,595
5/31/2012 15,152 14,658
6/30/2012 15,788 15,262
7/31/2012 16,055 15,474
8/31/2012 16,428 15,822
9/30/2012 16,850 16,231
10/31/2012 16,547 15,932
11/30/2012 16,654 16,024
12/31/2012 16,790 16,170
1/31/2013 17,650 17,008
2/28/2013 17,901 17,239
3/31/2013 18,563 17,885
4/30/2013 18,922 18,230
5/31/2013 19,352 18,656
6/30/2013 19,055 18,406
7/31/2013 20,061 19,342
8/31/2013 19,468 18,782
9/30/2013 20,079 19,371
10/31/2013 21,013 20,261
11/30/2013 21,659 20,879
12/31/2013 22,181 21,407
1/31/2014 21,444 20,667
2/28/2014 22,415 21,613
3/31/2014 22,588 21,794
4/30/2014 22,768 21,955
5/31/2014 23,326 22,471
6/30/2014 23,774 22,935
7/31/2014 23,432 22,619
8/31/2014 24,388 23,523
9/30/2014 24,027 23,194
10/31/2014 24,622 23,760
11/30/2014 25,326 24,399
12/31/2014 25,185 24,338
1/31/2015 24,504 23,607
2/28/2015 25,867 24,964
3/31/2015 25,495 24,569
4/30/2015 25,722 24,805
5/31/2015 26,073 25,124
6/30/2015 25,522 24,637
7/31/2015 26,080 25,154
8/31/2015 24,448 23,636
9/30/2015 23,869 23,051
10/31/2015 25,915 24,996
11/30/2015 25,956 25,070
12/31/2015 25,457 24,674
1/31/2016 24,241 23,450
2/29/2016 24,241 23,418
3/31/2016 25,967 25,007
4/30/2016 26,099 25,104
5/31/2016 26,542 25,555
6/30/2016 26,662 25,621
7/31/2016 27,660 26,566
8/31/2016 27,660 26,603
9/30/2016 27,658 26,608
10/31/2016 27,147 26,123
11/30/2016 28,102 27,090
12/31/2016 28,664 27,625
1/31/2017 29,214 28,149
2/28/2017 30,358 29,267
3/31/2017 30,420 29,301
4/30/2017 30,765 29,602
5/31/2017 31,224 30,019
6/30/2017 31,383 30,206
7/31/2017 32,097 30,827
8/31/2017 32,190 30,922
9/30/2017 32,772 31,560
10/31/2017 33,533 32,296
11/30/2017 34,479 33,286
12/31/2017 34,810 33,657
1/31/2018 36,693 35,584
2/28/2018 35,240 34,272
3/31/2018 34,288 33,401
4/30/2018 34,342 33,529
5/31/2018 35,230 34,337
6/30/2018 35,393 34,548
7/31/2018 36,692 35,834
8/31/2018 37,937 37,001
9/30/2018 38,108 37,212
10/31/2018 35,417 34,668
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- -------- --------- ---------
5.62% 11.01% 13.48%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Copyright 2018 S&P Dow Jones Indices LLC, a division of S&P Global. All rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO VS.
RUSSELL 1000(R) INDEX
JUNE 25, 2013-OCTOBER 31, 2018
[CHART]
U.S. Large Cap
Equity Portfolio Russell 1000/R/ Index
------------------ ---------------------
6/25/2013 $10,000 $10,000
6/30/2013 10,020 10,130
7/31/2013 10,550 10,672
8/31/2013 10,270 10,378
9/30/2013 10,630 10,740
10/31/2013 11,101 11,213
11/30/2013 11,452 11,527
12/31/2013 11,757 11,838
1/31/2014 11,333 11,460
2/28/2014 11,878 12,004
3/31/2014 11,985 12,080
4/30/2014 12,046 12,137
5/31/2014 12,319 12,416
6/30/2014 12,623 12,699
7/31/2014 12,410 12,493
8/31/2014 12,928 13,010
9/30/2014 12,654 12,781
10/31/2014 12,899 13,094
11/30/2014 13,205 13,437
12/31/2014 13,175 13,405
1/31/2015 12,775 13,037
2/28/2015 13,555 13,790
3/31/2015 13,391 13,619
4/30/2015 13,463 13,715
5/31/2015 13,659 13,895
6/30/2015 13,399 13,634
7/31/2015 13,564 13,897
8/31/2015 12,768 13,061
9/30/2015 12,374 12,703
10/31/2015 13,350 13,731
11/30/2015 13,391 13,776
12/31/2015 13,081 13,528
1/31/2016 12,350 12,800
2/29/2016 12,412 12,796
3/31/2016 13,260 13,687
4/30/2016 13,302 13,762
5/31/2016 13,522 14,003
6/30/2016 13,491 14,034
7/31/2016 14,029 14,569
8/31/2016 14,071 14,588
9/30/2016 14,104 14,600
10/31/2016 13,818 14,315
11/30/2016 14,495 14,879
12/31/2016 14,746 15,159
1/31/2017 15,065 15,464
2/28/2017 15,608 16,062
3/31/2017 15,614 16,073
4/30/2017 15,763 16,242
5/31/2017 15,913 16,450
6/30/2017 16,044 16,565
7/31/2017 16,355 16,893
8/31/2017 16,377 16,946
9/30/2017 16,779 17,306
10/31/2017 17,156 17,703
11/30/2017 17,748 18,243
12/31/2017 18,002 18,447
1/31/2018 19,019 19,459
2/28/2018 18,316 18,745
3/31/2018 17,896 18,319
4/30/2018 17,918 18,382
5/31/2018 18,341 18,851
6/30/2018 18,426 18,973
7/31/2018 19,080 19,627
8/31/2018 19,701 20,304
9/30/2018 19,770 20,381
10/31/2018 18,326 18,939
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- -------- --------- ---------
6.82% 10.54% 11.99%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index
-------------------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,019 9,283
12/31/2008 9,312 9,412
1/31/2009 8,208 8,330
2/28/2009 7,055 7,217
3/31/2009 7,749 7,834
4/30/2009 9,003 8,673
5/31/2009 9,693 9,210
6/30/2009 9,576 9,142
7/31/2009 10,478 9,890
8/31/2009 11,190 10,407
9/30/2009 11,678 10,809
10/31/2009 11,176 10,478
11/30/2009 11,805 11,069
12/31/2009 12,123 11,265
1/31/2010 11,839 10,948
2/28/2010 12,350 11,294
3/31/2010 13,314 12,029
4/30/2010 13,734 12,340
5/31/2010 12,559 11,326
6/30/2010 11,609 10,688
7/31/2010 12,517 11,412
8/31/2010 11,752 10,924
9/30/2010 12,904 11,771
10/31/2010 13,379 12,124
11/30/2010 13,278 12,060
12/31/2010 14,569 13,012
1/31/2011 15,039 13,306
2/28/2011 15,850 13,797
3/31/2011 15,922 13,852
4/30/2011 16,322 14,220
5/31/2011 16,089 14,070
6/30/2011 15,797 13,782
7/31/2011 15,076 13,325
8/31/2011 13,800 12,493
9/30/2011 12,406 11,549
10/31/2011 14,119 12,871
11/30/2011 14,002 12,804
12/31/2011 14,112 13,063
1/31/2012 14,812 13,557
2/29/2012 15,667 14,097
3/31/2012 15,954 14,515
4/30/2012 15,622 14,367
5/31/2012 14,512 13,524
6/30/2012 15,291 14,196
7/31/2012 15,439 14,343
8/31/2012 16,049 14,654
9/30/2012 16,635 15,119
10/31/2012 16,680 15,045
11/30/2012 16,717 15,039
12/31/2012 17,223 15,350
1/31/2013 18,419 16,347
2/28/2013 18,652 16,582
3/31/2013 19,549 17,239
4/30/2013 19,745 17,499
5/31/2013 20,560 17,949
6/30/2013 20,323 17,790
7/31/2013 21,542 18,751
8/31/2013 20,899 18,040
9/30/2013 21,516 18,492
10/31/2013 22,604 19,301
11/30/2013 23,547 19,840
12/31/2013 24,169 20,342
1/31/2014 23,213 19,620
2/28/2014 23,993 20,468
3/31/2014 24,555 20,957
4/30/2014 24,716 21,156
5/31/2014 25,253 21,466
6/30/2014 25,941 22,027
7/31/2014 25,748 21,651
8/31/2014 26,565 22,447
9/30/2014 25,903 21,984
10/31/2014 26,104 22,478
11/30/2014 26,406 22,938
12/31/2014 26,601 23,079
1/31/2015 25,279 22,156
2/28/2015 27,063 23,228
3/31/2015 26,544 22,912
4/30/2015 27,086 23,126
5/31/2015 27,377 23,404
6/30/2015 26,934 22,937
7/31/2015 26,863 23,038
8/31/2015 25,229 21,666
9/30/2015 24,414 21,012
10/31/2015 26,406 22,597
11/30/2015 26,501 22,683
12/31/2015 25,672 22,196
1/31/2016 23,923 21,049
2/29/2016 23,964 21,043
3/31/2016 25,704 22,559
4/30/2016 26,400 23,033
5/31/2016 26,752 23,391
6/30/2016 26,724 23,593
7/31/2016 27,642 24,278
8/31/2016 27,962 24,465
9/30/2016 28,096 24,414
10/31/2016 27,614 24,037
11/30/2016 29,781 25,409
12/31/2016 30,522 26,044
1/31/2017 30,966 26,230
2/28/2017 31,897 27,172
3/31/2017 31,599 26,896
4/30/2017 31,809 26,845
5/31/2017 31,774 26,819
6/30/2017 32,298 27,257
7/31/2017 32,842 27,620
8/31/2017 32,535 27,298
9/30/2017 33,788 28,106
10/31/2017 34,273 28,310
11/30/2017 35,491 29,177
12/31/2017 36,311 29,603
1/31/2018 38,177 30,748
2/28/2018 36,283 29,279
3/31/2018 35,457 28,764
4/30/2018 35,513 28,859
5/31/2018 35,840 29,031
6/30/2018 35,588 29,103
7/31/2018 37,059 30,254
8/31/2018 37,594 30,702
9/30/2018 37,620 30,763
10/31/2018 35,228 29,170
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- -------- -------- ---------
2.79% 9.28% 13.42%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Targeted
Value Portfolio - Class R1 Russell 2000/R/ Value Index
-------------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 8,694 8,842
12/31/2008 9,256 9,386
1/31/2009 7,993 8,045
2/28/2009 6,935 6,928
3/31/2009 7,698 7,543
4/30/2009 9,197 8,740
5/31/2009 9,510 8,928
6/30/2009 9,471 8,900
7/31/2009 10,605 9,930
8/31/2009 11,165 10,400
9/30/2009 11,785 10,921
10/31/2009 10,936 10,196
11/30/2009 11,306 10,520
12/31/2009 12,192 11,317
1/31/2010 11,917 10,985
2/28/2010 12,591 11,495
3/31/2010 13,630 12,451
4/30/2010 14,622 13,322
5/31/2010 13,300 12,196
6/30/2010 12,034 11,132
7/31/2010 12,972 11,926
8/31/2010 11,924 11,030
9/30/2010 13,383 12,214
10/31/2010 13,881 12,687
11/30/2010 14,444 13,009
12/31/2010 15,731 14,090
1/31/2011 15,835 14,098
2/28/2011 16,724 14,814
3/31/2011 17,045 15,020
4/30/2011 17,320 15,264
5/31/2011 16,894 14,990
6/30/2011 16,520 14,622
7/31/2011 15,943 14,138
8/31/2011 14,343 12,889
9/30/2011 12,559 11,482
10/31/2011 14,532 13,136
11/30/2011 14,579 13,110
12/31/2011 14,723 13,315
1/31/2012 15,616 14,200
2/29/2012 16,182 14,412
3/31/2012 16,483 14,859
4/30/2012 16,214 14,644
5/31/2012 15,004 13,749
6/30/2012 15,611 14,412
7/31/2012 15,534 14,264
8/31/2012 16,246 14,704
9/30/2012 16,759 15,228
10/31/2012 16,663 15,037
11/30/2012 16,943 15,083
12/31/2012 17,529 15,719
1/31/2013 18,735 16,656
2/28/2013 19,044 16,846
3/31/2013 19,971 17,547
4/30/2013 19,775 17,530
5/31/2013 20,744 18,054
6/30/2013 20,601 17,981
7/31/2013 22,047 19,136
8/31/2013 21,241 18,290
9/30/2013 22,421 19,346
10/31/2013 23,393 19,975
11/30/2013 24,426 20,754
12/31/2013 25,057 21,145
1/31/2014 23,870 20,327
2/28/2014 25,112 21,258
3/31/2014 25,607 21,521
4/30/2014 25,134 20,967
5/31/2014 25,376 21,100
6/30/2014 26,453 22,034
7/31/2014 25,131 20,701
8/31/2014 26,409 21,601
9/30/2014 24,824 20,144
10/31/2014 25,608 21,551
11/30/2014 25,464 21,451
12/31/2014 25,782 22,037
1/31/2015 24,655 21,120
2/28/2015 26,421 22,100
3/31/2015 26,785 22,473
4/30/2015 26,505 21,993
5/31/2015 26,889 22,176
6/30/2015 26,791 22,205
7/31/2015 26,091 21,592
8/31/2015 25,029 20,532
9/30/2015 23,803 19,821
10/31/2015 25,267 20,931
11/30/2015 25,864 21,526
12/31/2015 24,278 20,391
1/31/2016 22,632 19,021
2/29/2016 22,939 19,151
3/31/2016 24,892 20,738
4/30/2016 25,410 21,178
5/31/2016 25,570 21,566
6/30/2016 25,235 21,631
7/31/2016 26,483 22,798
8/31/2016 26,878 23,365
9/30/2016 27,124 23,549
10/31/2016 26,331 22,775
11/30/2016 29,936 25,798
12/31/2016 30,762 26,863
1/31/2017 30,813 26,672
2/28/2017 31,134 27,057
3/31/2017 30,847 26,828
4/30/2017 30,667 26,934
5/31/2017 29,639 26,095
6/30/2017 30,648 27,008
7/31/2017 30,918 27,179
8/31/2017 30,056 26,511
9/30/2017 32,251 28,388
10/31/2017 32,471 28,425
11/30/2017 33,491 29,248
12/31/2017 33,686 28,969
1/31/2018 34,377 29,326
2/28/2018 32,752 27,860
3/31/2018 32,941 28,204
4/30/2018 33,253 28,693
5/31/2018 34,934 30,362
6/30/2018 34,919 30,546
7/31/2018 35,612 31,085
8/31/2018 36,482 31,826
9/30/2018 35,437 31,036
10/31/2018 31,949 28,257
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- ---------
-1.61% 6.43% 12.32%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R2 VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Targeted Value
Portfolio - Class R2 Russell 2000/R/ Value Index
------------------------ ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 8,697 8,842
12/31/2008 9,254 9,386
1/31/2009 7,980 8,045
2/28/2009 6,924 6,928
3/31/2009 7,682 7,543
4/30/2009 9,180 8,740
5/31/2009 9,490 8,928
6/30/2009 9,460 8,900
7/31/2009 10,586 9,930
8/31/2009 11,156 10,400
9/30/2009 11,766 10,921
10/31/2009 10,923 10,196
11/30/2009 11,286 10,520
12/31/2009 12,173 11,317
1/31/2010 11,887 10,985
2/28/2010 12,551 11,495
3/31/2010 13,595 12,451
4/30/2010 14,571 13,322
5/31/2010 13,256 12,196
6/30/2010 12,002 11,132
7/31/2010 12,927 11,926
8/31/2010 11,885 11,030
9/30/2010 13,338 12,214
10/31/2010 13,835 12,687
11/30/2010 14,384 13,009
12/31/2010 15,659 14,090
1/31/2011 15,772 14,098
2/28/2011 16,647 14,814
3/31/2011 16,967 15,020
4/30/2011 17,231 15,264
5/31/2011 16,807 14,990
6/30/2011 16,445 14,622
7/31/2011 15,860 14,138
8/31/2011 14,267 12,889
9/30/2011 12,493 11,482
10/31/2011 14,458 13,136
11/30/2011 14,505 13,110
12/31/2011 14,644 13,315
1/31/2012 15,533 14,200
2/29/2012 16,087 14,412
3/31/2012 16,383 14,859
4/30/2012 16,115 14,644
5/31/2012 14,912 13,749
6/30/2012 15,508 14,412
7/31/2012 15,432 14,264
8/31/2012 16,140 14,704
9/30/2012 16,644 15,228
10/31/2012 16,548 15,037
11/30/2012 16,826 15,083
12/31/2012 17,401 15,719
1/31/2013 18,590 16,656
2/28/2013 18,907 16,846
3/31/2013 19,819 17,547
4/30/2013 19,624 17,530
5/31/2013 20,587 18,054
6/30/2013 20,438 17,981
7/31/2013 21,864 19,136
8/31/2013 21,053 18,290
9/30/2013 22,229 19,346
10/31/2013 23,185 19,975
11/30/2013 24,202 20,754
12/31/2013 24,828 21,145
1/31/2014 23,648 20,327
2/28/2014 24,872 21,258
3/31/2014 25,359 21,521
4/30/2014 24,889 20,967
5/31/2014 25,129 21,100
6/30/2014 26,190 22,034
7/31/2014 24,877 20,701
8/31/2014 26,147 21,601
9/30/2014 24,574 20,144
10/31/2014 25,341 21,551
11/30/2014 25,188 21,451
12/31/2014 25,510 22,037
1/31/2015 24,391 21,120
2/28/2015 26,133 22,100
3/31/2015 26,485 22,473
4/30/2015 26,208 21,993
5/31/2015 26,578 22,176
6/30/2015 26,484 22,205
7/31/2015 25,790 21,592
8/31/2015 24,736 20,532
9/30/2015 23,524 19,821
10/31/2015 24,963 20,931
11/30/2015 25,543 21,526
12/31/2015 23,990 20,391
1/31/2016 22,359 19,021
2/29/2016 22,651 19,151
3/31/2016 24,589 20,738
4/30/2016 25,090 21,178
5/31/2016 25,249 21,566
6/30/2016 24,920 21,631
7/31/2016 26,145 22,798
8/31/2016 26,525 23,365
9/30/2016 26,770 23,549
10/31/2016 25,972 22,775
11/30/2016 29,531 25,798
12/31/2016 30,345 26,863
1/31/2017 30,396 26,672
2/28/2017 30,701 27,057
3/31/2017 30,419 26,828
4/30/2017 30,241 26,934
5/31/2017 29,223 26,095
6/30/2017 30,197 27,008
7/31/2017 30,478 27,179
8/31/2017 29,623 26,511
9/30/2017 31,772 28,388
10/31/2017 31,989 28,425
11/30/2017 32,986 29,248
12/31/2017 33,173 28,969
1/31/2018 33,856 29,326
2/28/2018 32,248 27,860
3/31/2018 32,435 28,204
4/30/2018 32,731 28,693
5/31/2018 34,381 30,362
6/30/2018 34,367 30,546
7/31/2018 35,039 31,085
8/31/2018 35,886 31,826
9/30/2018 34,865 31,036
10/31/2018 31,416 28,257
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- ---------
-1.79% 6.27% 12.13%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Targeted Value
Portfolio - Institutional Class Russell 2000/R/ Value Index
--------------------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 8,699 8,842
12/31/2008 9,259 9,386
1/31/2009 7,986 8,045
2/28/2009 6,937 6,928
3/31/2009 7,694 7,543
4/30/2009 9,193 8,740
5/31/2009 9,510 8,928
6/30/2009 9,477 8,900
7/31/2009 10,607 9,930
8/31/2009 11,177 10,400
9/30/2009 11,798 10,921
10/31/2009 10,947 10,196
11/30/2009 11,312 10,520
12/31/2009 12,210 11,317
1/31/2010 11,928 10,985
2/28/2010 12,595 11,495
3/31/2010 13,643 12,451
4/30/2010 14,629 13,322
5/31/2010 13,314 12,196
6/30/2010 12,049 11,132
7/31/2010 12,989 11,926
8/31/2010 11,937 11,030
9/30/2010 13,405 12,214
10/31/2010 13,904 12,687
11/30/2010 14,460 13,009
12/31/2010 15,752 14,090
1/31/2011 15,857 14,098
2/28/2011 16,756 14,814
3/31/2011 17,078 15,020
4/30/2011 17,344 15,264
5/31/2011 16,917 14,990
6/30/2011 16,554 14,622
7/31/2011 15,975 14,138
8/31/2011 14,372 12,889
9/30/2011 12,588 11,482
10/31/2011 14,566 13,136
11/30/2011 14,613 13,110
12/31/2011 14,761 13,315
1/31/2012 15,656 14,200
2/29/2012 16,224 14,412
3/31/2012 16,529 14,859
4/30/2012 16,260 14,644
5/31/2012 15,047 13,749
6/30/2012 15,659 14,412
7/31/2012 15,581 14,264
8/31/2012 16,296 14,704
9/30/2012 16,815 15,228
10/31/2012 16,718 15,037
11/30/2012 16,999 15,083
12/31/2012 17,594 15,719
1/31/2013 18,793 16,656
2/28/2013 19,114 16,846
3/31/2013 20,045 17,547
4/30/2013 19,848 17,530
5/31/2013 20,831 18,054
6/30/2013 20,682 17,981
7/31/2013 22,134 19,136
8/31/2013 21,315 18,290
9/30/2013 22,506 19,346
10/31/2013 23,472 19,975
11/30/2013 24,521 20,754
12/31/2013 25,163 21,145
1/31/2014 23,970 20,327
2/28/2014 25,208 21,258
3/31/2014 25,709 21,521
4/30/2014 25,245 20,967
5/31/2014 25,488 21,100
6/30/2014 26,566 22,034
7/31/2014 25,247 20,701
8/31/2014 26,533 21,601
9/30/2014 24,945 20,144
10/31/2014 25,722 21,551
11/30/2014 25,589 21,451
12/31/2014 25,903 22,037
1/31/2015 24,781 21,120
2/28/2015 26,558 22,100
3/31/2015 26,917 22,473
4/30/2015 26,648 21,993
5/31/2015 27,035 22,176
6/30/2015 26,930 22,205
7/31/2015 26,237 21,592
8/31/2015 25,168 20,532
9/30/2015 23,941 19,821
10/31/2015 25,415 20,931
11/30/2015 26,016 21,526
12/31/2015 24,421 20,391
1/31/2016 22,765 19,021
2/29/2016 23,086 19,151
3/31/2016 25,045 20,738
4/30/2016 25,566 21,178
5/31/2016 25,739 21,566
6/30/2016 25,396 21,631
7/31/2016 26,652 22,798
8/31/2016 27,050 23,365
9/30/2016 27,304 23,549
10/31/2016 26,506 22,775
11/30/2016 30,134 25,798
12/31/2016 30,982 26,863
1/31/2017 31,034 26,672
2/28/2017 31,343 27,057
3/31/2017 31,061 26,828
4/30/2017 30,892 26,934
5/31/2017 29,858 26,095
6/30/2017 30,868 27,008
7/31/2017 31,153 27,179
8/31/2017 30,284 26,511
9/30/2017 32,491 28,388
10/31/2017 32,725 28,425
11/30/2017 33,752 29,248
12/31/2017 33,953 28,969
1/31/2018 34,649 29,326
2/28/2018 33,012 27,860
3/31/2018 33,211 28,204
4/30/2018 33,525 28,693
5/31/2018 35,219 30,362
6/30/2018 35,214 30,546
7/31/2018 35,912 31,085
8/31/2018 36,789 31,826
9/30/2018 35,745 31,036
10/31/2018 32,228 28,257
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- ---------
-1.52% 6.55% 12.41%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index
-------------------------------- -----------------------------
10/31/2008 $10,000 $10,000
11/30/2008 8,701 8,842
12/31/2008 9,157 9,386
1/31/2009 7,850 8,045
2/28/2009 6,853 6,928
3/31/2009 7,565 7,543
4/30/2009 9,052 8,740
5/31/2009 9,343 8,928
6/30/2009 9,376 8,900
7/31/2009 10,637 9,930
8/31/2009 11,183 10,400
9/30/2009 11,892 10,921
10/31/2009 10,997 10,196
11/30/2009 11,338 10,520
12/31/2009 12,236 11,317
1/31/2010 11,850 10,985
2/28/2010 12,579 11,495
3/31/2010 13,694 12,451
4/30/2010 14,804 13,322
5/31/2010 13,338 12,196
6/30/2010 11,985 11,132
7/31/2010 13,027 11,926
8/31/2010 11,935 11,030
9/30/2010 13,479 12,214
10/31/2010 14,041 12,687
11/30/2010 14,672 13,009
12/31/2010 16,018 14,090
1/31/2011 16,068 14,098
2/28/2011 17,076 14,814
3/31/2011 17,427 15,020
4/30/2011 17,646 15,264
5/31/2011 17,095 14,990
6/30/2011 16,786 14,622
7/31/2011 16,303 14,138
8/31/2011 14,579 12,889
9/30/2011 12,745 11,482
10/31/2011 14,762 13,136
11/30/2011 14,661 13,110
12/31/2011 14,809 13,315
1/31/2012 15,909 14,200
2/29/2012 16,414 14,412
3/31/2012 16,791 14,859
4/30/2012 16,523 14,644
5/31/2012 15,346 13,749
6/30/2012 16,019 14,412
7/31/2012 15,980 14,264
8/31/2012 16,654 14,704
9/30/2012 17,206 15,228
10/31/2012 17,064 15,037
11/30/2012 17,379 15,083
12/31/2012 18,026 15,719
1/31/2013 19,209 16,656
2/28/2013 19,546 16,846
3/31/2013 20,505 17,547
4/30/2013 20,278 17,530
5/31/2013 21,372 18,054
6/30/2013 21,222 17,981
7/31/2013 22,778 19,136
8/31/2013 21,828 18,290
9/30/2013 22,972 19,346
10/31/2013 23,779 19,975
11/30/2013 24,986 20,754
12/31/2013 25,666 21,145
1/31/2014 24,347 20,327
2/28/2014 25,674 21,258
3/31/2014 25,978 21,521
4/30/2014 25,478 20,967
5/31/2014 25,688 21,100
6/30/2014 26,828 22,034
7/31/2014 25,282 20,701
8/31/2014 26,755 21,601
9/30/2014 24,888 20,144
10/31/2014 26,037 21,551
11/30/2014 25,964 21,451
12/31/2014 26,560 22,037
1/31/2015 25,246 21,120
2/28/2015 26,734 22,100
3/31/2015 27,209 22,473
4/30/2015 26,844 21,993
5/31/2015 27,209 22,176
6/30/2015 27,223 22,205
7/31/2015 26,225 21,592
8/31/2015 25,166 20,532
9/30/2015 24,031 19,821
10/31/2015 25,301 20,931
11/30/2015 26,104 21,526
12/31/2015 24,485 20,391
1/31/2016 22,726 19,021
2/29/2016 22,991 19,151
3/31/2016 25,006 20,738
4/30/2016 25,457 21,178
5/31/2016 25,578 21,566
6/30/2016 25,282 21,631
7/31/2016 26,508 22,798
8/31/2016 26,968 23,365
9/30/2016 27,293 23,549
10/31/2016 26,438 22,775
11/30/2016 30,369 25,798
12/31/2016 31,405 26,863
1/31/2017 31,237 26,672
2/28/2017 31,338 27,057
3/31/2017 30,981 26,828
4/30/2017 31,124 26,934
5/31/2017 30,032 26,095
6/30/2017 30,809 27,008
7/31/2017 31,044 27,179
8/31/2017 30,253 26,511
9/30/2017 32,648 28,388
10/31/2017 32,960 28,425
11/30/2017 33,660 29,248
12/31/2017 33,670 28,969
1/31/2018 34,176 29,326
2/28/2018 32,578 27,860
3/31/2018 32,881 28,204
4/30/2018 33,316 28,693
5/31/2018 35,411 30,362
6/30/2018 35,433 30,546
7/31/2018 36,003 31,085
8/31/2018 37,026 31,826
9/30/2018 35,845 31,036
10/31/2018 32,472 28,257
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- ---------
-1.48% 6.43% 12.50%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. CORE EQUITY 1 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Core Equity 1 Portfolio Russell 3000/R/ Index
------------------------------ -----------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,155 9,211
12/31/2008 9,396 9,387
1/31/2009 8,547 8,599
2/28/2009 7,633 7,698
3/31/2009 8,334 8,373
4/30/2009 9,344 9,254
5/31/2009 9,784 9,747
6/30/2009 9,828 9,781
7/31/2009 10,660 10,542
8/31/2009 11,050 10,919
9/30/2009 11,573 11,376
10/31/2009 11,164 11,083
11/30/2009 11,726 11,713
12/31/2009 12,199 12,047
1/31/2010 11,806 11,613
2/28/2010 12,265 12,006
3/31/2010 13,080 12,763
4/30/2010 13,488 13,039
5/31/2010 12,423 12,009
6/30/2010 11,623 11,318
7/31/2010 12,454 12,104
8/31/2010 11,781 11,534
9/30/2010 12,983 12,623
10/31/2010 13,486 13,117
11/30/2010 13,658 13,192
12/31/2010 14,653 14,087
1/31/2011 14,946 14,394
2/28/2011 15,545 14,918
3/31/2011 15,709 14,986
4/30/2011 16,136 15,432
5/31/2011 15,909 15,256
6/30/2011 15,615 14,982
7/31/2011 15,173 14,639
8/31/2011 14,115 13,760
9/30/2011 12,880 12,693
10/31/2011 14,493 14,153
11/30/2011 14,467 14,115
12/31/2011 14,559 14,231
1/31/2012 15,344 14,949
2/29/2012 16,007 15,582
3/31/2012 16,432 16,062
4/30/2012 16,269 15,957
5/31/2012 15,198 14,971
6/30/2012 15,760 15,557
7/31/2012 15,869 15,711
8/31/2012 16,332 16,103
9/30/2012 16,797 16,526
10/31/2012 16,564 16,241
11/30/2012 16,742 16,367
12/31/2012 17,022 16,567
1/31/2013 18,056 17,476
2/28/2013 18,276 17,708
3/31/2013 19,025 18,402
4/30/2013 19,232 18,703
5/31/2013 19,868 19,144
6/30/2013 19,668 18,896
7/31/2013 20,805 19,932
8/31/2013 20,222 19,375
9/30/2013 21,055 20,095
10/31/2013 21,918 20,949
11/30/2013 22,629 21,557
12/31/2013 23,252 22,126
1/31/2014 22,451 21,427
2/28/2014 23,533 22,443
3/31/2014 23,722 22,562
4/30/2014 23,666 22,590
5/31/2014 24,131 23,083
6/30/2014 24,829 23,661
7/31/2014 24,192 23,195
8/31/2014 25,225 24,168
9/30/2014 24,534 23,664
10/31/2014 25,145 24,315
11/30/2014 25,670 24,904
12/31/2014 25,699 24,904
1/31/2015 24,896 24,211
2/28/2015 26,445 25,613
3/31/2015 26,272 25,352
4/30/2015 26,344 25,467
5/31/2015 26,690 25,819
6/30/2015 26,301 25,387
7/31/2015 26,474 25,812
8/31/2015 24,987 24,254
9/30/2015 24,166 23,547
10/31/2015 25,965 25,407
11/30/2015 26,139 25,548
12/31/2015 25,352 25,023
1/31/2016 23,861 23,611
2/29/2016 24,009 23,604
3/31/2016 25,738 25,266
4/30/2016 25,916 25,422
5/31/2016 26,316 25,877
6/30/2016 26,240 25,930
7/31/2016 27,313 26,959
8/31/2016 27,477 27,028
9/30/2016 27,533 27,071
10/31/2016 26,919 26,485
11/30/2016 28,564 27,670
12/31/2016 29,104 28,210
1/31/2017 29,617 28,741
2/28/2017 30,584 29,810
3/31/2017 30,605 29,830
4/30/2017 30,877 30,146
5/31/2017 31,044 30,455
6/30/2017 31,396 30,730
7/31/2017 31,929 31,309
8/31/2017 31,868 31,370
9/30/2017 32,912 32,135
10/31/2017 33,630 32,836
11/30/2017 34,776 33,833
12/31/2017 35,185 34,171
1/31/2018 36,945 35,972
2/28/2018 35,571 34,646
3/31/2018 34,978 33,951
4/30/2018 35,040 34,080
5/31/2018 36,077 35,042
6/30/2018 36,227 35,271
7/31/2018 37,392 36,442
8/31/2018 38,682 37,721
9/30/2018 38,596 37,784
10/31/2018 35,509 35,002
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- -------- --------- ---------
5.59% 10.13% 13.51%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Core Equity 2 Portfolio Russell 3000/R/ Index
------------------------------ -------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,094 9,211
12/31/2008 9,364 9,387
1/31/2009 8,389 8,599
2/28/2009 7,413 7,698
3/31/2009 8,143 8,373
4/30/2009 9,280 9,254
5/31/2009 9,724 9,747
6/30/2009 9,711 9,781
7/31/2009 10,590 10,542
8/31/2009 11,023 10,919
9/30/2009 11,573 11,376
10/31/2009 11,066 11,083
11/30/2009 11,568 11,713
12/31/2009 12,094 12,047
1/31/2010 11,723 11,613
2/28/2010 12,213 12,006
3/31/2010 13,086 12,763
4/30/2010 13,563 13,039
5/31/2010 12,489 12,009
6/30/2010 11,610 11,318
7/31/2010 12,461 12,104
8/31/2010 11,717 11,534
9/30/2010 12,955 12,623
10/31/2010 13,436 13,117
11/30/2010 13,649 13,192
12/31/2010 14,732 14,087
1/31/2011 15,014 14,394
2/28/2011 15,685 14,918
3/31/2011 15,875 14,986
4/30/2011 16,238 15,432
5/31/2011 15,983 15,256
6/30/2011 15,669 14,982
7/31/2011 15,142 14,639
8/31/2011 13,995 13,760
9/30/2011 12,667 12,693
10/31/2011 14,374 14,153
11/30/2011 14,319 14,115
12/31/2011 14,424 14,231
1/31/2012 15,227 14,949
2/29/2012 15,881 15,582
3/31/2012 16,265 16,062
4/30/2012 16,101 15,957
5/31/2012 14,996 14,971
6/30/2012 15,587 15,557
7/31/2012 15,669 15,711
8/31/2012 16,163 16,103
9/30/2012 16,654 16,526
10/31/2012 16,503 16,241
11/30/2012 16,654 16,367
12/31/2012 17,031 16,567
1/31/2013 18,108 17,476
2/28/2013 18,331 17,708
3/31/2013 19,101 18,402
4/30/2013 19,241 18,703
5/31/2013 19,970 19,144
6/30/2013 19,779 18,896
7/31/2013 20,975 19,932
8/31/2013 20,328 19,375
9/30/2013 21,196 20,095
10/31/2013 22,058 20,949
11/30/2013 22,806 21,557
12/31/2013 23,461 22,126
1/31/2014 22,587 21,427
2/28/2014 23,648 22,443
3/31/2014 23,923 22,562
4/30/2014 23,808 22,590
5/31/2014 24,224 23,083
6/30/2014 24,991 23,661
7/31/2014 24,299 23,195
8/31/2014 25,308 24,168
9/30/2014 24,504 23,664
10/31/2014 25,098 24,315
11/30/2014 25,546 24,904
12/31/2014 25,648 24,904
1/31/2015 24,724 24,211
2/28/2015 26,322 25,613
3/31/2015 26,196 25,352
4/30/2015 26,255 25,467
5/31/2015 26,593 25,819
6/30/2015 26,238 25,387
7/31/2015 26,194 25,812
8/31/2015 24,733 24,254
9/30/2015 23,845 23,547
10/31/2015 25,579 25,407
11/30/2015 25,787 25,548
12/31/2015 24,860 25,023
1/31/2016 23,340 23,611
2/29/2016 23,507 23,604
3/31/2016 25,220 25,266
4/30/2016 25,464 25,422
5/31/2016 25,862 25,877
6/30/2016 25,729 25,930
7/31/2016 26,788 26,959
8/31/2016 27,018 27,028
9/30/2016 27,083 27,071
10/31/2016 26,467 26,485
11/30/2016 28,407 27,670
12/31/2016 28,981 28,210
1/31/2017 29,417 28,741
2/28/2017 30,242 29,810
3/31/2017 30,177 29,830
4/30/2017 30,411 30,146
5/31/2017 30,364 30,455
6/30/2017 30,825 30,730
7/31/2017 31,312 31,309
8/31/2017 31,092 31,370
9/30/2017 32,315 32,135
10/31/2017 32,914 32,836
11/30/2017 34,048 33,833
12/31/2017 34,469 34,171
1/31/2018 36,020 35,972
2/28/2018 34,581 34,646
3/31/2018 34,108 33,951
4/30/2018 34,140 34,080
5/31/2018 35,084 35,042
6/30/2018 35,180 35,271
7/31/2018 36,321 36,442
8/31/2018 37,462 37,721
9/30/2018 37,251 37,784
10/31/2018 34,282 35,002
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- -------- -------- ---------
4.16% 9.22% 13.11%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. VECTOR EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Vector Equity Portfolio Russell 3000/R/ Index
------------------------------ -------------------------
10/31/2008 $10,000 $10,000
11/30/2008 8,904 9,211
12/31/2008 9,312 9,387
1/31/2009 8,178 8,599
2/28/2009 7,153 7,698
3/31/2009 7,874 8,373
4/30/2009 9,148 9,254
5/31/2009 9,541 9,747
6/30/2009 9,545 9,781
7/31/2009 10,524 10,542
8/31/2009 11,013 10,919
9/30/2009 11,588 11,376
10/31/2009 10,947 11,083
11/30/2009 11,356 11,713
12/31/2009 12,033 12,047
1/31/2010 11,691 11,613
2/28/2010 12,266 12,006
3/31/2010 13,186 12,763
4/30/2010 13,858 13,039
5/31/2010 12,747 12,009
6/30/2010 11,758 11,318
7/31/2010 12,624 12,104
8/31/2010 11,758 11,534
9/30/2010 13,053 12,623
10/31/2010 13,536 13,117
11/30/2010 13,867 13,192
12/31/2010 15,055 14,087
1/31/2011 15,263 14,394
2/28/2011 16,038 14,918
3/31/2011 16,305 14,986
4/30/2011 16,637 15,432
5/31/2011 16,318 15,256
6/30/2011 15,968 14,982
7/31/2011 15,384 14,639
8/31/2011 14,036 13,760
9/30/2011 12,517 12,693
10/31/2011 14,329 14,153
11/30/2011 14,259 14,115
12/31/2011 14,368 14,231
1/31/2012 15,251 14,949
2/29/2012 15,882 15,582
3/31/2012 16,264 16,062
4/30/2012 16,025 15,957
5/31/2012 14,860 14,971
6/30/2012 15,448 15,557
7/31/2012 15,420 15,711
8/31/2012 15,983 16,103
9/30/2012 16,499 16,526
10/31/2012 16,414 16,241
11/30/2012 16,612 16,367
12/31/2012 17,094 16,567
1/31/2013 18,278 17,476
2/28/2013 18,478 17,708
3/31/2013 19,304 18,402
4/30/2013 19,290 18,703
5/31/2013 20,133 19,144
6/30/2013 19,966 18,896
7/31/2013 21,256 19,932
8/31/2013 20,568 19,375
9/30/2013 21,578 20,095
10/31/2013 22,454 20,949
11/30/2013 23,317 21,557
12/31/2013 23,967 22,126
1/31/2014 22,987 21,427
2/28/2014 24,055 22,443
3/31/2014 24,375 22,562
4/30/2014 24,096 22,590
5/31/2014 24,448 23,083
6/30/2014 25,376 23,661
7/31/2014 24,450 23,195
8/31/2014 25,538 24,168
9/30/2014 24,436 23,664
10/31/2014 25,129 24,315
11/30/2014 25,291 24,904
12/31/2014 25,528 24,904
1/31/2015 24,410 24,211
2/28/2015 26,064 25,613
3/31/2015 26,117 25,352
4/30/2015 26,056 25,467
5/31/2015 26,363 25,819
6/30/2015 26,205 25,387
7/31/2015 25,866 25,812
8/31/2015 24,557 24,254
9/30/2015 23,538 23,547
10/31/2015 25,084 25,407
11/30/2015 25,455 25,548
12/31/2015 24,243 25,023
1/31/2016 22,555 23,611
2/29/2016 22,748 23,604
3/31/2016 24,523 25,266
4/30/2016 24,943 25,422
5/31/2016 25,234 25,877
6/30/2016 24,991 25,930
7/31/2016 26,125 26,959
8/31/2016 26,466 27,028
9/30/2016 26,574 27,071
10/31/2016 25,907 26,485
11/30/2016 28,591 27,670
12/31/2016 29,337 28,210
1/31/2017 29,604 28,741
2/28/2017 30,172 29,810
3/31/2017 30,026 29,830
4/30/2017 30,160 30,146
5/31/2017 29,674 30,455
6/30/2017 30,357 30,730
7/31/2017 30,760 31,309
8/31/2017 30,239 31,370
9/30/2017 31,909 32,135
10/31/2017 32,314 32,836
11/30/2017 33,343 33,833
12/31/2017 33,631 34,171
1/31/2018 34,807 35,972
2/28/2018 33,263 34,646
3/31/2018 33,154 33,951
4/30/2018 33,259 34,080
5/31/2018 34,401 35,042
6/30/2018 34,402 35,271
7/31/2018 35,389 36,442
8/31/2018 36,323 37,721
9/30/2018 35,685 37,784
10/31/2018 32,538 35,002
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- -------- -------- ---------
0.69% 7.70% 12.52%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Small Cap Portfolio Russell 2000/R/ Index
----------------------------- -----------------------
10/31/2008 $10,000 $10,000
11/30/2008 8,779 8,817
12/31/2008 9,210 9,329
1/31/2009 8,191 8,291
2/28/2009 7,202 7,284
3/31/2009 7,944 7,934
4/30/2009 9,419 9,160
5/31/2009 9,752 9,437
6/30/2009 10,005 9,575
7/31/2009 11,044 10,497
8/31/2009 11,438 10,798
9/30/2009 12,151 11,421
10/31/2009 11,308 10,646
11/30/2009 11,597 10,980
12/31/2009 12,558 11,864
1/31/2010 12,177 11,427
2/28/2010 12,771 11,942
3/31/2010 13,817 12,914
4/30/2010 14,755 13,644
5/31/2010 13,604 12,610
6/30/2010 12,516 11,632
7/31/2010 13,417 12,432
8/31/2010 12,394 11,511
9/30/2010 14,012 12,946
10/31/2010 14,586 13,475
11/30/2010 15,198 13,943
12/31/2010 16,413 15,050
1/31/2011 16,429 15,011
2/28/2011 17,351 15,834
3/31/2011 17,847 16,244
4/30/2011 18,270 16,673
5/31/2011 17,901 16,361
6/30/2011 17,615 15,984
7/31/2011 16,999 15,406
8/31/2011 15,474 14,066
9/30/2011 13,756 12,489
10/31/2011 15,863 14,379
11/30/2011 15,809 14,327
12/31/2011 15,896 14,421
1/31/2012 16,965 15,440
2/29/2012 17,453 15,810
3/31/2012 17,909 16,215
4/30/2012 17,661 15,964
5/31/2012 16,514 14,908
6/30/2012 17,212 15,651
7/31/2012 17,072 15,435
8/31/2012 17,671 15,950
9/30/2012 18,247 16,474
10/31/2012 18,021 16,116
11/30/2012 18,232 16,202
12/31/2012 18,820 16,779
1/31/2013 19,999 17,829
2/28/2013 20,198 18,026
3/31/2013 21,174 18,858
4/30/2013 20,999 18,789
5/31/2013 22,079 19,540
6/30/2013 22,054 19,440
7/31/2013 23,644 20,801
8/31/2013 22,845 20,140
9/30/2013 24,262 21,425
10/31/2013 25,054 21,964
11/30/2013 26,231 22,844
12/31/2013 26,764 23,293
1/31/2014 25,667 22,648
2/28/2014 26,841 23,715
3/31/2014 26,985 23,554
4/30/2014 26,190 22,640
5/31/2014 26,337 22,822
6/30/2014 27,589 24,036
7/31/2014 25,935 22,581
8/31/2014 27,165 23,701
9/30/2014 25,699 22,267
10/31/2014 27,226 23,735
11/30/2014 27,322 23,756
12/31/2014 27,952 24,433
1/31/2015 26,794 23,647
2/28/2015 28,562 25,051
3/31/2015 29,067 25,488
4/30/2015 28,393 24,838
5/31/2015 28,887 25,405
6/30/2015 29,179 25,595
7/31/2015 28,809 25,297
8/31/2015 27,367 23,708
9/30/2015 26,319 22,545
10/31/2015 27,864 23,815
11/30/2015 28,569 24,589
12/31/2015 27,033 23,355
1/31/2016 25,317 21,301
2/29/2016 25,584 21,300
3/31/2016 27,530 23,000
4/30/2016 27,788 23,361
5/31/2016 28,142 23,887
6/30/2016 27,997 23,872
7/31/2016 29,396 25,298
8/31/2016 29,837 25,745
9/30/2016 29,957 26,032
10/31/2016 28,948 24,794
11/30/2016 32,445 27,559
12/31/2016 33,393 28,331
1/31/2017 33,393 28,443
2/28/2017 33,788 28,992
3/31/2017 33,722 29,030
4/30/2017 34,019 29,348
5/31/2017 33,168 28,751
6/30/2017 34,032 29,745
7/31/2017 34,300 29,966
8/31/2017 33,507 29,585
9/30/2017 35,878 31,431
10/31/2017 36,246 31,699
11/30/2017 37,359 32,612
12/31/2017 37,241 32,481
1/31/2018 38,060 33,330
2/28/2018 36,350 32,039
3/31/2018 36,674 32,454
4/30/2018 36,975 32,734
5/31/2018 38,906 34,721
6/30/2018 39,242 34,970
7/31/2018 40,075 35,579
8/31/2018 41,552 37,113
9/30/2018 40,518 36,221
10/31/2018 36,523 32,286
AVERAGE ANNUAL ONE FIVE
TOTAL RETURN YEAR YEARS TEN YEARS
-------------- -------- -------- ---------
0.77% 7.83% 13.83%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Micro Cap Portfolio Russell 2000/R/ Index
-------------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 8,716 8,817
12/31/2008 9,209 9,329
1/31/2009 8,112 8,291
2/28/2009 7,048 7,284
3/31/2009 7,723 7,934
4/30/2009 9,066 9,160
5/31/2009 9,377 9,437
6/30/2009 9,636 9,575
7/31/2009 10,582 10,497
8/31/2009 10,871 10,798
9/30/2009 11,497 11,421
10/31/2009 10,661 10,646
11/30/2009 10,851 10,980
12/31/2009 11,793 11,864
1/31/2010 11,447 11,427
2/28/2010 11,950 11,942
3/31/2010 12,916 12,914
4/30/2010 13,854 13,644
5/31/2010 12,826 12,610
6/30/2010 11,898 11,632
7/31/2010 12,748 12,432
8/31/2010 11,730 11,511
9/30/2010 13,157 12,946
10/31/2010 13,728 13,475
11/30/2010 14,311 13,943
12/31/2010 15,483 15,050
1/31/2011 15,314 15,011
2/28/2011 16,214 15,834
3/31/2011 16,740 16,244
4/30/2011 17,022 16,673
5/31/2011 16,695 16,361
6/30/2011 16,335 15,984
7/31/2011 15,896 15,406
8/31/2011 14,477 14,066
9/30/2011 12,945 12,489
10/31/2011 14,943 14,379
11/30/2011 14,852 14,327
12/31/2011 14,980 14,421
1/31/2012 16,022 15,440
2/29/2012 16,328 15,810
3/31/2012 16,815 16,215
4/30/2012 16,577 15,964
5/31/2012 15,421 14,908
6/30/2012 16,211 15,651
7/31/2012 16,063 15,435
8/31/2012 16,564 15,950
9/30/2012 17,258 16,474
10/31/2012 16,905 16,116
11/30/2012 17,064 16,202
12/31/2012 17,712 16,779
1/31/2013 18,719 17,829
2/28/2013 18,926 18,026
3/31/2013 19,848 18,858
4/30/2013 19,690 18,789
5/31/2013 20,709 19,540
6/30/2013 20,803 19,440
7/31/2013 22,346 20,801
8/31/2013 21,568 20,140
9/30/2013 23,090 21,425
10/31/2013 23,893 21,964
11/30/2013 25,219 22,844
12/31/2013 25,694 23,293
1/31/2014 24,557 22,648
2/28/2014 25,592 23,715
3/31/2014 25,841 23,554
4/30/2014 24,959 22,640
5/31/2014 24,985 22,822
6/30/2014 26,069 24,036
7/31/2014 24,545 22,581
8/31/2014 25,659 23,701
9/30/2014 24,198 22,267
10/31/2014 25,775 23,735
11/30/2014 25,583 23,756
12/31/2014 26,445 24,433
1/31/2015 25,148 23,647
2/28/2015 26,664 25,051
3/31/2015 27,273 25,488
4/30/2015 26,740 24,838
5/31/2015 27,109 25,405
6/30/2015 27,550 25,595
7/31/2015 26,879 25,297
8/31/2015 25,688 23,708
9/30/2015 24,580 22,545
10/31/2015 26,061 23,815
11/30/2015 26,802 24,589
12/31/2015 25,487 23,355
1/31/2016 23,755 21,301
2/29/2016 24,017 21,300
3/31/2016 25,717 23,000
4/30/2016 25,994 23,361
5/31/2016 26,271 23,887
6/30/2016 26,225 23,872
7/31/2016 27,541 25,298
8/31/2016 27,979 25,745
9/30/2016 28,181 26,032
10/31/2016 27,186 24,794
11/30/2016 30,771 27,559
12/31/2016 32,020 28,331
1/31/2017 31,560 28,443
2/28/2017 31,775 28,992
3/31/2017 31,828 29,030
4/30/2017 32,334 29,348
5/31/2017 31,368 28,751
6/30/2017 32,533 29,745
7/31/2017 32,687 29,966
8/31/2017 31,980 29,585
9/30/2017 34,662 31,431
10/31/2017 35,047 31,699
11/30/2017 35,971 32,612
12/31/2017 35,599 32,481
1/31/2018 36,326 33,330
2/28/2018 34,759 32,039
3/31/2018 35,354 32,454
4/30/2018 35,645 32,734
5/31/2018 37,763 34,721
6/30/2018 38,292 34,970
7/31/2018 39,134 35,579
8/31/2018 40,608 37,113
9/30/2018 39,619 36,221
10/31/2018 35,498 32,286
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- -------- -------- ---------
1.29% 8.24% 13.51%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO VS.
RUSSELL 1000(R) INDEX
MAY 16, 2017-OCTOBER 31, 2018
[CHART]
U.S. High Relative
Profitability Portfolio Russell 1000/R/ Index
------------------------ -------------------
5/16/2017 $10,000 $10,000
5/31/2017 10,210 10,054
6/30/2017 10,186 10,124
7/31/2017 10,376 10,325
8/31/2017 10,436 10,357
9/30/2017 10,703 10,578
10/31/2017 10,984 10,820
11/30/2017 11,487 11,150
12/31/2017 11,777 11,274
1/31/2018 12,543 11,893
2/28/2018 12,079 11,457
3/31/2018 11,792 11,197
4/30/2018 11,731 11,235
5/31/2018 12,055 11,522
6/30/2018 12,106 11,596
7/31/2018 12,573 11,996
8/31/2018 13,090 12,410
9/30/2018 13,180 12,457
10/31/2018 12,070 11,575
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION
-------------- -------- ---------
9.88% 13.75%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500(R) INDEX, DOW JONES U.S. SELECT REIT INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA Real Estate Dow Jones U.S. Select
Securities Portfolio S&P 500/R/ Index REIT Index
---------------------- ------------------ ---------------------
10/31/2008 $10,000 $10,000 $10,000
11/30/2008 7,686 9,283 7,545
12/31/2008 8,997 9,381 8,881
1/31/2009 7,401 8,591 7,275
2/28/2009 5,849 7,676 5,685
3/31/2009 6,056 8,348 5,868
4/30/2009 7,951 9,147 7,794
5/31/2009 8,158 9,659 7,994
6/30/2009 7,906 9,678 7,714
7/31/2009 8,735 10,410 8,518
8/31/2009 9,916 10,786 9,765
9/30/2009 10,580 11,188 10,448
10/31/2009 10,098 10,980 9,974
11/30/2009 10,791 11,639 10,661
12/31/2009 11,532 11,864 11,408
1/31/2010 10,930 11,437 10,755
2/28/2010 11,532 11,791 11,366
3/31/2010 12,705 12,503 12,527
4/30/2010 13,598 12,700 13,413
5/31/2010 12,873 11,686 12,690
6/30/2010 12,206 11,074 12,010
7/31/2010 13,410 11,850 13,197
8/31/2010 13,241 11,315 13,021
9/30/2010 13,815 12,325 13,597
10/31/2010 14,461 12,794 14,226
11/30/2010 14,176 12,796 13,949
12/31/2010 14,838 13,651 14,610
1/31/2011 15,362 13,975 15,129
2/28/2011 16,057 14,453 15,820
3/31/2011 15,816 14,459 15,588
4/30/2011 16,731 14,887 16,513
5/31/2011 16,958 14,719 16,769
6/30/2011 16,400 14,473 16,207
7/31/2011 16,669 14,179 16,502
8/31/2011 15,773 13,409 15,598
9/30/2011 14,040 12,466 13,851
10/31/2011 16,065 13,829 15,886
11/30/2011 15,457 13,798 15,261
12/31/2011 16,167 13,939 15,979
1/31/2012 17,189 14,564 17,006
2/29/2012 17,007 15,194 16,817
3/31/2012 17,882 15,694 17,697
4/30/2012 18,393 15,595 18,230
5/31/2012 17,553 14,658 17,398
6/30/2012 18,543 15,262 18,361
7/31/2012 18,909 15,474 18,710
8/31/2012 18,881 15,822 18,659
9/30/2012 18,528 16,231 18,292
10/31/2012 18,386 15,932 18,124
11/30/2012 18,322 16,024 18,034
12/31/2012 18,993 16,170 18,714
1/31/2013 19,664 17,008 19,350
2/28/2013 19,880 17,239 19,511
3/31/2013 20,428 17,885 20,031
4/30/2013 21,808 18,230 21,409
5/31/2013 20,507 18,656 20,127
6/30/2013 20,124 18,406 19,773
7/31/2013 20,299 19,342 19,925
8/31/2013 18,870 18,782 18,558
9/30/2013 19,458 19,371 19,151
10/31/2013 20,276 20,261 19,930
11/30/2013 19,195 20,879 18,837
12/31/2013 19,257 21,407 18,942
1/31/2014 20,074 20,667 19,711
2/28/2014 21,091 21,613 20,720
3/31/2014 21,229 21,794 20,902
4/30/2014 21,997 21,955 21,671
5/31/2014 22,519 22,471 22,205
6/30/2014 22,753 22,935 22,396
7/31/2014 22,768 22,619 22,443
8/31/2014 23,415 23,523 23,068
9/30/2014 22,008 23,194 21,725
10/31/2014 24,291 23,760 24,055
11/30/2014 24,795 24,399 24,562
12/31/2014 25,249 24,338 25,003
1/31/2015 26,989 23,607 26,676
2/28/2015 25,989 24,964 25,720
3/31/2015 26,450 24,569 26,182
4/30/2015 24,894 24,805 24,665
5/31/2015 24,832 25,124 24,655
6/30/2015 23,744 24,637 23,564
7/31/2015 25,107 25,154 24,962
8/31/2015 23,581 23,636 23,499
9/30/2015 24,328 23,051 24,292
10/31/2015 25,722 24,996 25,708
11/30/2015 25,582 25,070 25,566
12/31/2015 26,066 24,674 26,123
1/31/2016 25,186 23,450 25,092
2/29/2016 25,099 23,418 24,868
3/31/2016 27,690 25,007 27,460
4/30/2016 26,999 25,104 26,656
5/31/2016 27,594 25,555 27,191
6/30/2016 29,537 25,621 28,950
7/31/2016 30,795 26,566 30,216
8/31/2016 29,753 26,603 29,194
9/30/2016 29,193 26,608 28,592
10/31/2016 27,494 26,123 26,982
11/30/2016 26,998 27,090 26,618
12/31/2016 28,252 27,625 27,868
1/31/2017 28,211 28,149 27,628
2/28/2017 29,152 29,267 28,596
3/31/2017 28,475 29,301 27,792
4/30/2017 28,500 29,602 27,726
5/31/2017 28,360 30,019 27,572
6/30/2017 28,957 30,206 28,247
7/31/2017 29,322 30,827 28,506
8/31/2017 29,355 30,922 28,279
9/30/2017 29,263 31,560 28,355
10/31/2017 29,105 32,296 28,046
11/30/2017 29,920 33,286 28,908
12/31/2017 29,865 33,657 28,916
1/31/2018 28,867 35,584 27,770
2/28/2018 26,718 34,272 25,770
3/31/2018 27,777 33,401 26,769
4/30/2018 27,913 33,529 27,165
5/31/2018 28,943 34,337 28,245
6/30/2018 30,187 34,548 29,443
7/31/2018 30,445 35,834 29,605
8/31/2018 31,305 37,001 30,486
9/30/2018 30,544 37,212 29,655
10/31/2018 29,871 34,668 28,899
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- -------- -------- ---------
2.63% 8.06% 11.56%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Copyright 2018 S&P Dow Jones Indices LLC, a division of S&P Global. All rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Large Cap International MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,399 9,458
12/31/2008 10,058 9,956
1/31/2009 8,928 9,027
2/28/2009 8,030 8,113
3/31/2009 8,648 8,648
4/30/2009 9,631 9,763
5/31/2009 10,977 10,998
6/30/2009 10,825 10,884
7/31/2009 11,864 11,906
8/31/2009 12,328 12,477
9/30/2009 12,853 12,992
10/31/2009 12,520 12,783
11/30/2009 12,985 13,099
12/31/2009 13,140 13,308
1/31/2010 12,460 12,684
2/28/2010 12,544 12,672
3/31/2010 13,334 13,487
4/30/2010 13,074 13,286
5/31/2010 11,649 11,820
6/30/2010 11,460 11,649
7/31/2010 12,643 12,726
8/31/2010 12,208 12,345
9/30/2010 13,409 13,530
10/31/2010 13,896 14,012
11/30/2010 13,288 13,418
12/31/2010 14,355 14,499
1/31/2011 14,679 14,811
2/28/2011 15,256 15,360
3/31/2011 14,907 15,052
4/30/2011 15,760 15,872
5/31/2011 15,312 15,402
6/30/2011 15,095 15,182
7/31/2011 14,787 14,932
8/31/2011 13,546 13,670
9/30/2011 12,055 12,297
10/31/2011 13,221 13,493
11/30/2011 12,889 12,869
12/31/2011 12,593 12,729
1/31/2012 13,353 13,416
2/29/2012 14,001 14,154
3/31/2012 13,976 14,049
4/30/2012 13,707 13,810
5/31/2012 12,190 12,236
6/30/2012 12,998 13,038
7/31/2012 13,036 13,200
8/31/2012 13,477 13,577
9/30/2012 13,878 13,989
10/31/2012 14,000 14,087
11/30/2012 14,283 14,383
12/31/2012 14,828 14,818
1/31/2013 15,429 15,547
2/28/2013 15,221 15,392
3/31/2013 15,428 15,514
4/30/2013 16,092 16,220
5/31/2013 15,667 15,857
6/30/2013 15,207 15,263
7/31/2013 16,046 16,075
8/31/2013 15,811 15,868
9/30/2013 16,928 16,989
10/31/2013 17,479 17,559
11/30/2013 17,573 17,667
12/31/2013 17,896 17,933
1/31/2014 17,096 17,209
2/28/2014 18,102 18,148
3/31/2014 18,052 18,067
4/30/2014 18,347 18,352
5/31/2014 18,602 18,636
6/30/2014 18,860 18,901
7/31/2014 18,423 18,564
8/31/2014 18,504 18,579
9/30/2014 17,716 17,816
10/31/2014 17,561 17,532
11/30/2014 17,610 17,748
12/31/2014 16,959 17,158
1/31/2015 16,959 17,097
2/28/2015 17,990 18,118
3/31/2015 17,675 17,816
4/30/2015 18,470 18,587
5/31/2015 18,405 18,426
6/30/2015 17,886 17,902
7/31/2015 18,028 18,186
8/31/2015 16,755 16,861
9/30/2015 15,972 16,010
10/31/2015 17,017 17,214
11/30/2015 16,858 16,940
12/31/2015 16,473 16,637
1/31/2016 15,565 15,491
2/29/2016 15,127 15,275
3/31/2016 16,182 16,312
4/30/2016 16,613 16,837
5/31/2016 16,520 16,646
6/30/2016 16,133 16,140
7/31/2016 16,811 16,934
8/31/2016 16,905 16,950
9/30/2016 17,132 17,156
10/31/2016 16,796 16,823
11/30/2016 16,564 16,553
12/31/2016 16,994 17,094
1/31/2017 17,609 17,603
2/28/2017 17,765 17,806
3/31/2017 18,260 18,258
4/30/2017 18,677 18,646
5/31/2017 19,268 19,267
6/30/2017 19,369 19,286
7/31/2017 19,933 19,860
8/31/2017 19,977 19,855
9/30/2017 20,464 20,370
10/31/2017 20,791 20,648
11/30/2017 20,968 20,857
12/31/2017 21,305 21,232
1/31/2018 22,355 22,221
2/28/2018 21,216 21,165
3/31/2018 21,094 20,799
4/30/2018 21,433 21,276
5/31/2018 21,103 20,873
6/30/2018 20,805 20,644
7/31/2018 21,357 21,151
8/31/2018 20,923 20,751
9/30/2018 21,095 20,914
10/31/2018 19,342 19,252
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- --------
-6.97% 2.05% 6.82%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
International Core Equity MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ----------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,397 9,458
12/31/2008 10,054 9,956
1/31/2009 8,964 9,027
2/28/2009 8,022 8,113
3/31/2009 8,698 8,648
4/30/2009 10,008 9,763
5/31/2009 11,521 10,998
6/30/2009 11,424 10,884
7/31/2009 12,559 11,906
8/31/2009 13,257 12,477
9/30/2009 13,901 12,992
10/31/2009 13,481 12,783
11/30/2009 13,839 13,099
12/31/2009 14,004 13,308
1/31/2010 13,411 12,684
2/28/2010 13,424 12,672
3/31/2010 14,426 13,487
4/30/2010 14,357 13,286
5/31/2010 12,670 11,820
6/30/2010 12,458 11,649
7/31/2010 13,776 12,726
8/31/2010 13,215 12,345
9/30/2010 14,628 13,530
10/31/2010 15,163 14,012
11/30/2010 14,558 13,418
12/31/2010 15,952 14,499
1/31/2011 16,363 14,811
2/28/2011 16,916 15,360
3/31/2011 16,619 15,052
4/30/2011 17,514 15,872
5/31/2011 16,974 15,402
6/30/2011 16,674 15,182
7/31/2011 16,300 14,932
8/31/2011 14,860 13,670
9/30/2011 13,127 12,297
10/31/2011 14,330 13,493
11/30/2011 13,895 12,869
12/31/2011 13,541 12,729
1/31/2012 14,536 13,416
2/29/2012 15,281 14,154
3/31/2012 15,280 14,049
4/30/2012 14,943 13,810
5/31/2012 13,156 12,236
6/30/2012 13,962 13,038
7/31/2012 13,947 13,200
8/31/2012 14,439 13,577
9/30/2012 14,952 13,989
10/31/2012 15,116 14,087
11/30/2012 15,371 14,383
12/31/2012 16,079 14,818
1/31/2013 16,773 15,547
2/28/2013 16,592 15,392
3/31/2013 16,792 15,514
4/30/2013 17,441 16,220
5/31/2013 17,049 15,857
6/30/2013 16,528 15,263
7/31/2013 17,555 16,075
8/31/2013 17,371 15,868
9/30/2013 18,700 16,989
10/31/2013 19,347 17,559
11/30/2013 19,439 17,667
12/31/2013 19,846 17,933
1/31/2014 19,180 17,209
2/28/2014 20,311 18,148
3/31/2014 20,268 18,067
4/30/2014 20,502 18,352
5/31/2014 20,720 18,636
6/30/2014 21,044 18,901
7/31/2014 20,476 18,564
8/31/2014 20,555 18,579
9/30/2014 19,525 17,816
10/31/2014 19,240 17,532
11/30/2014 19,193 17,748
12/31/2014 18,659 17,158
1/31/2015 18,595 17,097
2/28/2015 19,791 18,118
3/31/2015 19,429 17,816
4/30/2015 20,387 18,587
5/31/2015 20,419 18,426
6/30/2015 19,934 17,902
7/31/2015 19,950 18,186
8/31/2015 18,720 16,861
9/30/2015 17,907 16,010
10/31/2015 19,029 17,214
11/30/2015 18,947 16,940
12/31/2015 18,619 16,637
1/31/2016 17,475 15,491
2/29/2016 17,115 15,275
3/31/2016 18,451 16,312
4/30/2016 18,976 16,837
5/31/2016 18,911 16,646
6/30/2016 18,281 16,140
7/31/2016 19,213 16,934
8/31/2016 19,313 16,950
9/30/2016 19,688 17,156
10/31/2016 19,337 16,823
11/30/2016 19,103 16,553
12/31/2016 19,614 17,094
1/31/2017 20,405 17,603
2/28/2017 20,590 17,806
3/31/2017 21,090 18,258
4/30/2017 21,646 18,646
5/31/2017 22,253 19,267
6/30/2017 22,436 19,286
7/31/2017 23,237 19,860
8/31/2017 23,340 19,855
9/30/2017 23,991 20,370
10/31/2017 24,368 20,648
11/30/2017 24,573 20,857
12/31/2017 25,117 21,232
1/31/2018 26,378 22,221
2/28/2018 25,082 21,165
3/31/2018 24,875 20,799
4/30/2018 25,238 21,276
5/31/2018 24,858 20,873
6/30/2018 24,378 20,644
7/31/2018 24,868 21,151
8/31/2018 24,308 20,751
9/30/2018 24,439 20,914
10/31/2018 22,225 19,252
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- --------
-8.79% 2.81% 8.31%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
International Small MSCI World ex USA Small Cap
Company Portfolio Index (net dividends)
--------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,484 9,515
12/31/2008 10,262 10,150
1/31/2009 9,451 9,560
2/28/2009 8,590 8,687
3/31/2009 9,158 9,245
4/30/2009 10,372 10,670
5/31/2009 11,917 12,249
6/30/2009 12,042 12,396
7/31/2009 12,945 13,393
8/31/2009 13,766 14,425
9/30/2009 14,499 15,236
10/31/2009 14,234 15,001
11/30/2009 14,427 15,117
12/31/2009 14,568 15,309
1/31/2010 14,342 15,107
2/28/2010 14,322 15,020
3/31/2010 15,345 16,137
4/30/2010 15,580 16,456
5/31/2010 13,737 14,479
6/30/2010 13,704 14,343
7/31/2010 14,957 15,573
8/31/2010 14,512 15,168
9/30/2010 16,108 16,889
10/31/2010 16,740 17,585
11/30/2010 16,274 17,125
12/31/2010 18,051 19,061
1/31/2011 18,271 19,161
2/28/2011 18,828 19,705
3/31/2011 18,799 19,687
4/30/2011 19,693 20,663
5/31/2011 19,146 20,091
6/30/2011 18,757 19,656
7/31/2011 18,577 19,549
8/31/2011 17,121 18,005
9/30/2011 15,097 15,938
10/31/2011 16,251 17,232
11/30/2011 15,738 16,366
12/31/2011 15,281 16,047
1/31/2012 16,583 17,373
2/29/2012 17,422 18,357
3/31/2012 17,490 18,235
4/30/2012 17,280 18,141
5/31/2012 15,269 16,009
6/30/2012 15,866 16,561
7/31/2012 15,821 16,689
8/31/2012 16,370 17,168
9/30/2012 17,053 17,982
10/31/2012 17,165 18,069
11/30/2012 17,311 18,162
12/31/2012 18,162 18,852
1/31/2013 18,960 19,759
2/28/2013 18,948 19,830
3/31/2013 19,293 20,217
4/30/2013 19,806 20,803
5/31/2013 19,373 20,315
6/30/2013 18,859 19,512
7/31/2013 20,107 20,731
8/31/2013 20,038 20,695
9/30/2013 21,688 22,432
10/31/2013 22,428 23,095
11/30/2013 22,532 23,125
12/31/2013 23,146 23,669
1/31/2014 22,736 23,260
2/28/2014 24,158 24,579
3/31/2014 24,122 24,487
4/30/2014 24,134 24,410
5/31/2014 24,291 24,716
6/30/2014 24,740 25,277
7/31/2014 23,953 24,623
8/31/2014 24,110 24,683
9/30/2014 22,645 23,188
10/31/2014 22,182 22,601
11/30/2014 21,964 22,578
12/31/2014 21,688 22,404
1/31/2015 21,509 22,206
2/28/2015 22,888 23,626
3/31/2015 22,531 23,307
4/30/2015 23,795 24,493
5/31/2015 24,076 24,640
6/30/2015 23,710 24,277
7/31/2015 23,556 24,240
8/31/2015 22,568 23,161
9/30/2015 21,818 22,328
10/31/2015 22,914 23,653
11/30/2015 22,939 23,602
12/31/2015 22,970 23,627
1/31/2016 21,475 21,829
2/29/2016 21,342 21,945
3/31/2016 23,058 23,770
4/30/2016 23,594 24,520
5/31/2016 23,728 24,551
6/30/2016 22,797 23,465
7/31/2016 24,112 24,859
8/31/2016 24,099 24,650
9/30/2016 24,810 25,343
10/31/2016 24,158 24,591
11/30/2016 23,723 23,983
12/31/2016 24,302 24,647
1/31/2017 25,315 25,534
2/28/2017 25,723 26,025
3/31/2017 26,342 26,523
4/30/2017 27,201 27,462
5/31/2017 28,003 28,364
6/30/2017 28,284 28,454
7/31/2017 29,275 29,456
8/31/2017 29,431 29,704
9/30/2017 30,258 30,519
10/31/2017 30,570 30,950
11/30/2017 30,812 31,387
12/31/2017 31,651 32,296
1/31/2018 33,184 33,803
2/28/2018 31,756 32,490
3/31/2018 31,532 32,134
4/30/2018 31,800 32,624
5/31/2018 31,532 32,392
6/30/2018 30,915 31,832
7/31/2018 31,213 32,013
8/31/2018 30,736 31,792
9/30/2018 30,559 31,561
10/31/2018 27,653 28,552
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- ---------
-9.54% 4.28% 10.71%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
GLOBAL SMALL COMPANY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD SMALL CAP INDEX (NET DIVIDENDS)
JANUARY 18, 2017-OCTOBER 31, 2018
[CHART]
Global Small MSCI All Country World
Company Portfolio Small Cap Index (net dividends)
------------------ -------------------------------
1/18/2017 $10,000 $10,000
1/31/2017 10,100 10,072
2/28/2017 10,280 10,318
3/31/2017 10,400 10,415
4/30/2017 10,570 10,614
5/31/2017 10,550 10,682
6/30/2017 10,740 10,839
7/31/2017 10,970 11,100
8/31/2017 10,890 11,119
9/30/2017 11,380 11,508
10/31/2017 11,530 11,701
11/30/2017 11,770 11,951
12/31/2017 11,921 12,160
1/31/2018 12,360 12,622
2/28/2018 11,819 12,116
3/31/2018 11,839 12,103
4/30/2018 11,910 12,200
5/31/2018 12,155 12,459
6/30/2018 12,023 12,338
7/31/2018 12,227 12,488
8/31/2018 12,360 12,710
9/30/2018 12,125 12,506
10/31/2018 10,951 11,259
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION
-------------- --------- ---------
-5.02% 5.23%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Japanese Small Company MSCI Japan Small Cap
Portfolio Index (net dividends)
------------------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,259 10,408
12/31/2008 11,303 11,219
1/31/2009 10,527 10,631
2/28/2009 9,152 9,233
3/31/2009 9,576 9,559
4/30/2009 9,956 10,048
5/31/2009 11,181 11,278
6/30/2009 11,920 11,995
7/31/2009 12,168 12,295
8/31/2009 12,807 12,985
9/30/2009 12,669 12,933
10/31/2009 12,208 12,460
11/30/2009 11,714 12,015
12/31/2009 11,665 11,790
1/31/2010 11,820 12,045
2/28/2010 12,043 12,273
3/31/2010 12,655 12,832
4/30/2010 13,024 13,179
5/31/2010 11,933 12,265
6/30/2010 12,117 12,319
7/31/2010 12,325 12,469
8/31/2010 11,987 12,205
9/30/2010 12,517 12,704
10/31/2010 12,248 12,599
11/30/2010 12,552 12,845
12/31/2010 13,707 14,141
1/31/2011 14,012 14,309
2/28/2011 14,658 14,885
3/31/2011 13,742 13,966
4/30/2011 13,672 13,979
5/31/2011 13,445 13,771
6/30/2011 14,114 14,284
7/31/2011 14,625 14,877
8/31/2011 14,228 14,269
9/30/2011 14,151 14,282
10/31/2011 13,420 13,755
11/30/2011 13,640 13,383
12/31/2011 13,568 13,591
1/31/2012 14,421 14,149
2/29/2012 14,438 14,303
3/31/2012 14,847 14,685
4/30/2012 14,536 14,472
5/31/2012 13,319 13,270
6/30/2012 14,025 13,837
7/31/2012 13,549 13,620
8/31/2012 13,549 13,542
9/30/2012 13,743 13,917
10/31/2012 13,447 13,616
11/30/2012 13,636 13,710
12/31/2012 14,133 14,136
1/31/2013 14,576 14,665
2/28/2013 14,929 15,163
3/31/2013 16,069 16,388
4/30/2013 16,920 17,465
5/31/2013 15,535 16,081
6/30/2013 15,671 16,038
7/31/2013 16,042 16,299
8/31/2013 15,680 16,078
9/30/2013 17,444 17,909
10/31/2013 17,490 17,835
11/30/2013 17,354 17,718
12/31/2013 17,477 17,860
1/31/2014 17,291 17,808
2/28/2014 17,216 17,413
3/31/2014 17,300 17,458
4/30/2014 17,039 17,133
5/31/2014 17,477 17,695
6/30/2014 18,707 18,948
7/31/2014 18,586 19,050
8/31/2014 18,763 18,913
9/30/2014 18,176 18,281
10/31/2014 17,840 17,792
11/30/2014 17,170 17,591
12/31/2014 17,314 17,776
1/31/2015 17,730 18,372
2/28/2015 18,460 19,034
3/31/2015 18,687 19,402
4/30/2015 19,142 19,764
5/31/2015 19,331 19,998
6/30/2015 19,729 20,290
7/31/2015 19,606 20,212
8/31/2015 19,000 19,520
9/30/2015 18,422 18,819
10/31/2015 19,378 20,075
11/30/2015 19,805 20,331
12/31/2015 19,736 20,499
1/31/2016 18,737 19,194
2/29/2016 18,075 18,996
3/31/2016 19,256 20,181
4/30/2016 19,496 21,059
5/31/2016 19,986 21,064
6/30/2016 19,890 20,939
7/31/2016 20,956 22,062
8/31/2016 20,466 21,281
9/30/2016 21,695 22,428
10/31/2016 22,099 22,727
11/30/2016 21,388 21,658
12/31/2016 21,544 22,050
1/31/2017 22,484 22,883
2/28/2017 23,248 23,586
3/31/2017 23,355 23,543
4/30/2017 23,620 23,946
5/31/2017 24,501 24,826
6/30/2017 25,050 25,060
7/31/2017 25,833 25,728
8/31/2017 26,391 26,207
9/30/2017 26,979 26,622
10/31/2017 27,968 27,534
11/30/2017 28,663 28,503
12/31/2017 29,231 28,943
1/31/2018 30,625 30,170
2/28/2018 29,943 29,806
3/31/2018 29,732 29,549
4/30/2018 29,672 29,589
5/31/2018 29,271 29,522
6/30/2018 28,488 28,618
7/31/2018 28,468 28,370
8/31/2018 28,057 28,189
9/30/2018 28,529 28,582
10/31/2018 25,780 25,878
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- --------
-7.82% 8.07% 9.93%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
ASIA PACIFIC SMALL COMPANY PORTFOLIO VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Asia Pacific Small MSCI Pacific ex Japan Small Cap
Company Portfolio Index (net dividends)
----------------------------- -------------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,041 8,909
12/31/2008 10,026 9,944
1/31/2009 8,786 8,849
2/28/2009 8,303 8,299
3/31/2009 9,590 9,489
4/30/2009 11,018 11,187
5/31/2009 13,865 13,870
6/30/2009 13,965 14,260
7/31/2009 15,976 16,319
8/31/2009 16,706 17,158
9/30/2009 18,002 18,595
10/31/2009 18,395 19,041
11/30/2009 19,253 19,588
12/31/2009 19,756 20,371
1/31/2010 18,681 19,068
2/28/2010 19,006 19,307
3/31/2010 20,569 20,899
4/30/2010 20,840 21,483
5/31/2010 17,952 18,239
6/30/2010 17,727 18,135
7/31/2010 19,689 19,980
8/31/2010 19,662 19,936
9/30/2010 22,644 22,929
10/31/2010 23,611 23,947
11/30/2010 23,289 23,627
12/31/2010 25,567 26,012
1/31/2011 25,014 25,255
2/28/2011 25,167 25,394
3/31/2011 25,695 26,173
4/30/2011 26,774 27,232
5/31/2011 25,981 26,608
6/30/2011 25,098 25,662
7/31/2011 25,503 26,041
8/31/2011 23,718 24,230
9/30/2011 19,291 19,824
10/31/2011 22,291 23,072
11/30/2011 21,691 21,499
12/31/2011 20,421 20,810
1/31/2012 22,527 22,970
2/29/2012 24,229 24,756
3/31/2012 23,867 23,981
4/30/2012 23,766 24,111
5/31/2012 20,798 20,981
6/30/2012 21,229 21,275
7/31/2012 21,536 21,974
8/31/2012 22,251 22,325
9/30/2012 23,346 23,513
10/31/2012 23,871 23,998
11/30/2012 24,200 24,235
12/31/2012 25,327 24,843
1/31/2013 26,591 26,160
2/28/2013 26,698 26,470
3/31/2013 26,814 26,537
4/30/2013 26,358 26,326
5/31/2013 24,392 24,388
6/30/2013 22,671 22,302
7/31/2013 23,776 23,194
8/31/2013 23,957 23,395
9/30/2013 25,635 25,195
10/31/2013 26,368 25,637
11/30/2013 25,433 24,554
12/31/2013 25,745 24,670
1/31/2014 24,526 23,527
2/28/2014 25,933 24,794
3/31/2014 26,310 25,251
4/30/2014 26,365 25,416
5/31/2014 26,388 25,624
6/30/2014 26,576 25,762
7/31/2014 27,130 26,324
8/31/2014 27,551 26,526
9/30/2014 25,002 24,089
10/31/2014 25,357 24,373
11/30/2014 24,348 23,601
12/31/2014 23,633 23,009
1/31/2015 23,072 22,556
2/28/2015 24,194 23,650
3/31/2015 23,843 23,224
4/30/2015 25,759 24,557
5/31/2015 26,039 24,437
6/30/2015 24,194 22,678
7/31/2015 23,014 21,654
8/31/2015 21,039 19,635
9/30/2015 20,736 19,229
10/31/2015 22,266 20,797
11/30/2015 22,184 20,626
12/31/2015 22,792 20,976
1/31/2016 21,138 19,153
2/29/2016 21,442 19,621
3/31/2016 23,996 21,886
4/30/2016 24,312 22,279
5/31/2016 24,045 21,908
6/30/2016 24,434 22,057
7/31/2016 26,112 23,688
8/31/2016 25,918 23,511
9/30/2016 26,684 24,004
10/31/2016 25,869 22,994
11/30/2016 25,358 22,626
12/31/2016 25,071 22,545
1/31/2017 26,207 23,272
2/28/2017 26,939 23,938
3/31/2017 27,394 24,290
4/30/2017 27,116 24,191
5/31/2017 27,078 24,341
6/30/2017 28,088 25,093
7/31/2017 28,972 25,709
8/31/2017 29,275 26,002
9/30/2017 29,275 26,162
10/31/2017 29,931 26,845
11/30/2017 30,284 27,353
12/31/2017 31,379 28,404
1/31/2018 32,694 29,645
2/28/2018 31,616 28,726
3/31/2018 31,169 27,888
4/30/2018 31,064 28,026
5/31/2018 31,590 28,160
6/30/2018 30,656 27,349
7/31/2018 30,735 27,407
8/31/2018 30,039 26,958
9/30/2018 30,025 26,922
10/31/2018 27,383 24,430
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- ---------
-8.51% 0.76% 10.60%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
MSCI UNITED KINGDOM SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
United Kingdom Small Company MSCI UK Small Cap
Portfolio Index (net dividends)
------------------------------ -----------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,285 9,073
12/31/2008 9,073 8,842
1/31/2009 8,853 8,794
2/28/2009 8,485 8,502
3/31/2009 8,849 8,996
4/30/2009 10,700 11,062
5/31/2009 11,792 12,230
6/30/2009 11,843 12,317
7/31/2009 12,868 13,450
8/31/2009 13,865 14,747
9/30/2009 14,267 15,087
10/31/2009 14,281 15,109
11/30/2009 14,231 14,952
12/31/2009 14,524 15,321
1/31/2010 14,378 15,250
2/28/2010 13,884 14,567
3/31/2010 15,042 15,851
4/30/2010 15,588 16,483
5/31/2010 13,819 14,502
6/30/2010 14,079 14,565
7/31/2010 15,975 16,317
8/31/2010 15,380 15,873
9/30/2010 17,017 17,622
10/31/2010 17,904 18,374
11/30/2010 17,017 17,608
12/31/2010 18,747 19,451
1/31/2011 19,015 19,639
2/28/2011 19,582 20,157
3/31/2011 19,209 19,809
4/30/2011 20,905 21,625
5/31/2011 20,770 21,351
6/30/2011 20,107 20,632
7/31/2011 19,964 20,575
8/31/2011 17,966 18,476
9/30/2011 16,147 16,528
10/31/2011 17,853 18,334
11/30/2011 17,305 17,622
12/31/2011 16,761 17,034
1/31/2012 18,234 18,762
2/29/2012 19,724 20,505
3/31/2012 20,140 20,572
4/30/2012 20,481 20,922
5/31/2012 18,168 18,330
6/30/2012 19,051 19,203
7/31/2012 19,366 19,552
8/31/2012 20,419 20,587
9/30/2012 21,463 21,686
10/31/2012 21,928 22,135
11/30/2012 22,062 22,143
12/31/2012 23,267 23,161
1/31/2013 23,675 23,771
2/28/2013 23,882 23,905
3/31/2013 24,589 24,549
4/30/2013 25,203 25,162
5/31/2013 25,427 25,502
6/30/2013 24,866 24,583
7/31/2013 26,959 26,630
8/31/2013 27,145 26,995
9/30/2013 28,970 29,021
10/31/2013 30,001 30,042
11/30/2013 30,675 30,750
12/31/2013 32,358 32,235
1/31/2014 31,584 31,550
2/28/2014 34,405 34,610
3/31/2014 33,340 33,361
4/30/2014 32,782 32,563
5/31/2014 32,740 32,626
6/30/2014 32,702 32,549
7/31/2014 31,674 31,629
8/31/2014 32,142 31,962
9/30/2014 30,306 30,087
10/31/2014 30,221 29,895
11/30/2014 29,986 29,905
12/31/2014 30,460 30,396
1/31/2015 29,761 29,568
2/28/2015 32,549 32,489
3/31/2015 30,847 30,993
4/30/2015 32,788 32,981
5/31/2015 34,425 34,494
6/30/2015 34,323 34,537
7/31/2015 34,387 34,784
8/31/2015 32,926 33,415
9/30/2015 31,926 32,183
10/31/2015 33,072 33,609
11/30/2015 33,016 33,336
12/31/2015 32,647 32,980
1/31/2016 30,054 29,779
2/29/2016 29,507 29,467
3/31/2016 31,268 31,545
4/30/2016 31,419 31,968
5/31/2016 31,912 32,889
6/30/2016 27,881 28,214
7/31/2016 29,386 29,836
8/31/2016 30,006 30,336
9/30/2016 30,035 30,594
10/31/2016 27,713 28,268
11/30/2016 28,364 28,902
12/31/2016 28,907 29,533
1/31/2017 29,824 30,207
2/28/2017 30,266 30,914
3/31/2017 31,036 31,408
4/30/2017 33,378 33,927
5/31/2017 33,734 34,611
6/30/2017 33,053 33,831
7/31/2017 34,338 35,306
8/31/2017 33,706 34,912
9/30/2017 35,454 36,680
10/31/2017 35,827 37,350
11/30/2017 35,783 37,489
12/31/2017 37,118 39,116
1/31/2018 38,298 40,520
2/28/2018 35,664 38,102
3/31/2018 36,248 38,534
4/30/2018 37,416 39,909
5/31/2018 37,332 39,782
6/30/2018 36,994 39,465
7/31/2018 36,779 39,335
8/31/2018 36,204 38,751
9/30/2018 35,772 37,942
10/31/2018 32,482 34,418
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- ---------
-9.34% 1.60% 12.50%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Continental Small Company MSCI Europe ex UK
Portfolio Small Cap Index (net dividends)
------------------------- --------------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,217 9,171
12/31/2008 10,178 10,018
1/31/2009 9,021 9,119
2/28/2009 8,237 8,316
3/31/2009 8,829 8,959
4/30/2009 10,267 10,824
5/31/2009 11,760 12,440
6/30/2009 11,608 12,280
7/31/2009 12,529 13,383
8/31/2009 13,573 14,756
9/30/2009 14,731 16,170
10/31/2009 14,312 15,729
11/30/2009 14,741 16,052
12/31/2009 14,690 16,125
1/31/2010 14,441 15,910
2/28/2010 14,135 15,457
3/31/2010 15,177 16,710
4/30/2010 15,034 16,605
5/31/2010 12,892 14,036
6/30/2010 12,801 13,826
7/31/2010 14,334 15,483
8/31/2010 13,674 14,747
9/30/2010 15,564 17,023
10/31/2010 16,437 18,115
11/30/2010 15,156 16,742
12/31/2010 17,124 19,086
1/31/2011 17,602 19,518
2/28/2011 17,895 19,849
3/31/2011 18,501 20,519
4/30/2011 19,741 21,952
5/31/2011 19,067 21,115
6/30/2011 18,447 20,433
7/31/2011 17,397 19,193
8/31/2011 15,614 17,188
9/30/2011 13,248 14,606
10/31/2011 14,614 16,206
11/30/2011 13,637 14,940
12/31/2011 13,104 14,432
1/31/2012 14,344 15,863
2/29/2012 15,255 17,081
3/31/2012 15,285 16,942
4/30/2012 14,924 16,660
5/31/2012 12,882 14,375
6/30/2012 13,436 15,084
7/31/2012 13,303 15,030
8/31/2012 13,896 15,685
9/30/2012 14,627 16,530
10/31/2012 14,884 16,814
11/30/2012 15,069 17,072
12/31/2012 15,978 17,993
1/31/2013 17,184 19,458
2/28/2013 17,009 19,398
3/31/2013 16,627 18,900
4/30/2013 17,297 19,634
5/31/2013 17,617 20,079
6/30/2013 17,029 19,186
7/31/2013 18,506 20,931
8/31/2013 18,527 20,892
9/30/2013 20,137 22,678
10/31/2013 21,282 24,043
11/30/2013 21,661 24,471
12/31/2013 22,263 25,106
1/31/2014 22,126 24,898
2/28/2014 24,062 27,074
3/31/2014 24,178 27,097
4/30/2014 24,399 27,211
5/31/2014 24,494 27,517
6/30/2014 24,276 27,248
7/31/2014 22,845 25,641
8/31/2014 22,567 25,435
9/30/2014 21,354 24,033
10/31/2014 20,712 23,248
11/30/2014 21,204 23,929
12/31/2014 20,531 23,358
1/31/2015 20,659 23,412
2/28/2015 22,076 25,139
3/31/2015 21,969 24,886
4/30/2015 23,138 26,217
5/31/2015 23,160 26,043
6/30/2015 22,661 25,427
7/31/2015 23,292 26,370
8/31/2015 22,411 25,351
9/30/2015 21,614 24,494
10/31/2015 22,651 25,894
11/30/2015 22,608 25,826
12/31/2015 22,881 26,209
1/31/2016 21,328 24,137
2/29/2016 21,284 24,221
3/31/2016 23,092 26,394
4/30/2016 23,563 26,723
5/31/2016 23,607 26,838
6/30/2016 22,312 25,094
7/31/2016 23,772 26,722
8/31/2016 24,072 26,950
9/30/2016 24,666 27,597
10/31/2016 23,942 26,571
11/30/2016 23,039 25,491
12/31/2016 24,223 26,839
1/31/2017 25,286 27,887
2/28/2017 25,543 28,205
3/31/2017 26,639 29,376
4/30/2017 28,273 31,183
5/31/2017 29,828 32,863
6/30/2017 29,827 32,701
7/31/2017 30,959 34,183
8/31/2017 31,027 34,476
9/30/2017 32,062 35,655
10/31/2017 32,006 35,666
11/30/2017 32,062 35,846
12/31/2017 32,733 36,763
1/31/2018 34,989 39,277
2/28/2018 33,500 37,545
3/31/2018 32,985 36,854
4/30/2018 33,054 37,476
5/31/2018 32,401 36,547
6/30/2018 31,738 36,094
7/31/2018 32,599 37,000
8/31/2018 32,192 36,667
9/30/2018 31,569 35,922
10/31/2018 28,441 32,281
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---------- -------- ---------
-11.14% 5.97% 11.02%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL EX U.S. REIT INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA International
Real Estate Securities S&P Global ex U.S.
Portfolio REIT Index (net dividends)
-------------------------- ----------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,306 9,331
12/31/2008 9,693 9,616
1/31/2009 8,682 8,700
2/28/2009 7,523 7,567
3/31/2009 8,041 8,014
4/30/2009 8,855 8,931
5/31/2009 10,039 9,925
6/30/2009 10,261 10,160
7/31/2009 11,173 11,068
8/31/2009 12,407 12,416
9/30/2009 13,196 13,260
10/31/2009 12,925 13,051
11/30/2009 13,073 13,060
12/31/2009 13,281 13,284
1/31/2010 12,785 12,852
2/28/2010 12,840 12,803
3/31/2010 13,281 13,248
4/30/2010 13,391 13,404
5/31/2010 11,986 11,931
6/30/2010 12,014 11,978
7/31/2010 13,419 13,282
8/31/2010 13,446 13,320
9/30/2010 14,742 14,598
10/31/2010 15,375 15,195
11/30/2010 14,411 14,262
12/31/2010 15,684 15,530
1/31/2011 15,747 15,527
2/28/2011 16,403 16,153
3/31/2011 16,434 16,194
4/30/2011 17,465 17,200
5/31/2011 17,371 17,104
6/30/2011 17,246 16,937
7/31/2011 16,965 16,694
8/31/2011 16,278 16,004
9/30/2011 14,184 14,032
10/31/2011 15,309 15,183
11/30/2011 14,997 14,558
12/31/2011 14,468 14,193
1/31/2012 15,459 15,112
2/29/2012 15,988 15,720
3/31/2012 16,186 15,779
4/30/2012 16,516 16,158
5/31/2012 15,558 15,104
6/30/2012 16,582 16,137
7/31/2012 17,342 17,013
8/31/2012 17,606 17,173
9/30/2012 18,003 17,631
10/31/2012 18,730 18,280
11/30/2012 18,862 18,408
12/31/2012 19,302 18,723
1/31/2013 19,601 19,204
2/28/2013 19,750 19,376
3/31/2013 20,535 20,111
4/30/2013 21,617 21,166
5/31/2013 19,638 19,257
6/30/2013 18,929 18,442
7/31/2013 19,004 18,482
8/31/2013 18,294 17,832
9/30/2013 19,862 19,360
10/31/2013 20,460 19,935
11/30/2013 19,825 19,315
12/31/2013 19,741 19,165
1/31/2014 19,387 18,819
2/28/2014 20,527 19,864
3/31/2014 20,488 19,791
4/30/2014 21,353 20,582
5/31/2014 21,982 21,198
6/30/2014 22,454 21,737
7/31/2014 22,415 21,773
8/31/2014 22,808 22,132
9/30/2014 21,314 20,646
10/31/2014 22,140 21,292
11/30/2014 22,218 21,498
12/31/2014 21,933 21,262
1/31/2015 22,770 21,969
2/28/2015 23,147 22,367
3/31/2015 22,519 21,723
4/30/2015 23,021 22,203
5/31/2015 22,393 21,583
6/30/2015 21,891 21,039
7/31/2015 22,058 21,268
8/31/2015 20,845 20,071
9/30/2015 21,012 20,135
10/31/2015 22,058 21,301
11/30/2015 21,389 20,630
12/31/2015 21,138 20,509
1/31/2016 20,797 19,953
2/29/2016 21,224 20,605
3/31/2016 22,971 22,273
4/30/2016 23,738 23,047
5/31/2016 23,099 22,370
6/30/2016 23,397 22,565
7/31/2016 24,463 23,648
8/31/2016 23,866 23,114
9/30/2016 23,866 23,078
10/31/2016 22,289 21,573
11/30/2016 21,224 20,553
12/31/2016 21,790 21,149
1/31/2017 22,068 21,348
2/28/2017 22,486 21,809
3/31/2017 22,717 21,916
4/30/2017 23,135 22,312
5/31/2017 23,506 22,757
6/30/2017 23,181 22,482
7/31/2017 23,969 23,184
8/31/2017 23,969 23,211
9/30/2017 23,691 22,975
10/31/2017 23,506 22,803
11/30/2017 24,340 23,641
12/31/2017 25,142 24,458
1/31/2018 25,964 25,239
2/28/2018 24,514 23,898
3/31/2018 24,949 24,150
4/30/2018 25,287 24,548
5/31/2018 25,046 24,260
6/30/2018 24,852 24,093
7/31/2018 25,191 24,388
8/31/2018 24,804 24,100
9/30/2018 24,562 23,754
10/31/2018 23,450 22,686
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- --------
-0.24% 2.77% 8.90%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Copyright 2018 S&P Dow Jones Indices LLC, a division of S&P Global. All rights
reserved.
--------------------------------------------------------------------------------
14
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL REIT INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA Global Real S&P Global
Estate Securities Portfolio REIT Index (net dividends)
--------------------------- --------------------------
10/31/2008 $10,000 $10,000
11/30/2008 8,344 8,343
12/31/2008 9,324 9,202
1/31/2009 7,975 7,910
2/28/2009 6,592 6,545
3/31/2009 6,930 6,854
4/30/2009 8,363 8,286
5/31/2009 9,003 8,815
6/30/2009 8,953 8,770
7/31/2009 9,830 9,624
8/31/2009 11,044 10,878
9/30/2009 11,769 11,600
10/31/2009 11,381 11,236
11/30/2009 11,853 11,613
12/31/2009 12,370 12,122
1/31/2010 11,810 11,592
2/28/2010 12,189 11,897
3/31/2010 13,038 12,724
4/30/2010 13,579 13,280
5/31/2010 12,568 12,241
6/30/2010 12,207 11,878
7/31/2010 13,507 13,086
8/31/2010 13,435 13,003
9/30/2010 14,320 13,859
10/31/2010 14,952 14,473
11/30/2010 14,374 13,916
12/31/2010 15,313 14,799
1/31/2011 15,642 15,065
2/28/2011 16,318 15,716
3/31/2011 16,202 15,588
4/30/2011 17,169 16,508
5/31/2011 17,266 16,590
6/30/2011 16,879 16,194
7/31/2011 16,918 16,243
8/31/2011 16,106 15,412
9/30/2011 14,211 13,628
10/31/2011 15,874 15,242
11/30/2011 15,390 14,637
12/31/2011 15,591 14,889
1/31/2012 16,589 15,848
2/29/2012 16,709 15,977
3/31/2012 17,307 16,487
4/30/2012 17,747 16,931
5/31/2012 16,848 16,027
6/30/2012 17,866 16,989
7/31/2012 18,385 17,534
8/31/2012 18,465 17,592
9/30/2012 18,405 17,552
10/31/2012 18,625 17,713
11/30/2012 18,625 17,724
12/31/2012 19,204 18,222
1/31/2013 19,736 18,808
2/28/2013 19,928 19,010
3/31/2013 20,568 19,618
4/30/2013 21,825 20,814
5/31/2013 20,248 19,316
6/30/2013 19,736 18,756
7/31/2013 19,864 18,880
8/31/2013 18,735 17,803
9/30/2013 19,715 18,725
10/31/2013 20,440 19,444
11/30/2013 19,545 18,590
12/31/2013 19,544 18,538
1/31/2014 19,875 18,850
2/28/2014 20,959 19,823
3/31/2014 21,025 19,841
4/30/2014 21,821 20,551
5/31/2014 22,396 21,079
6/30/2014 22,705 21,414
7/31/2014 22,705 21,425
8/31/2014 23,258 21,937
9/30/2014 21,799 20,543
10/31/2014 23,501 22,031
11/30/2014 23,833 22,376
12/31/2014 23,988 22,531
1/31/2015 25,366 23,754
2/28/2015 24,929 23,367
3/31/2015 24,952 23,348
4/30/2015 24,218 22,657
5/31/2015 23,919 22,372
6/30/2015 23,070 21,503
7/31/2015 23,942 22,335
8/31/2015 22,542 20,983
9/30/2015 23,070 21,388
10/31/2015 24,310 22,601
11/30/2015 23,965 22,244
12/31/2015 24,153 22,433
1/31/2016 23,495 21,712
2/29/2016 23,613 21,914
3/31/2016 25,870 23,989
4/30/2016 25,753 23,899
5/31/2016 25,870 23,953
6/30/2016 27,187 25,063
7/31/2016 28,363 26,201
8/31/2016 27,493 25,339
9/30/2016 27,164 25,006
10/31/2016 25,494 23,480
11/30/2016 24,765 22,832
12/31/2016 25,739 23,728
1/31/2017 25,813 23,746
2/28/2017 26,556 24,489
3/31/2017 26,234 24,071
4/30/2017 26,407 24,220
5/31/2017 26,482 24,249
6/30/2017 26,704 24,474
7/31/2017 27,249 24,916
8/31/2017 27,323 24,853
9/30/2017 27,100 24,751
10/31/2017 26,977 24,491
11/30/2017 27,818 25,228
12/31/2017 28,108 25,487
1/31/2018 27,826 25,079
2/28/2018 25,952 23,404
3/31/2018 26,799 24,011
4/30/2018 26,979 24,374
5/31/2018 27,543 24,893
6/30/2018 28,236 25,464
7/31/2018 28,544 25,677
8/31/2018 28,904 26,075
9/30/2018 28,339 25,456
10/31/2018 27,492 24,627
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- -------- -------- ---------
1.91% 6.11% 10.64%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Copyright 2018 S&P Dow Jones Indices LLC, a division of S&P Global. All rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA International Small Cap Value MSCI World ex USA
Portfolio Small Cap Index (net dividends)
--------------------------------- -------------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,445 9,515
12/31/2008 10,304 10,150
1/31/2009 9,435 9,560
2/28/2009 8,399 8,687
3/31/2009 8,946 9,245
4/30/2009 10,397 10,670
5/31/2009 11,829 12,249
6/30/2009 11,790 12,396
7/31/2009 12,887 13,393
8/31/2009 14,004 14,425
9/30/2009 14,663 15,236
10/31/2009 14,142 15,001
11/30/2009 14,208 15,117
12/31/2009 14,375 15,309
1/31/2010 14,099 15,107
2/28/2010 13,966 15,020
3/31/2010 15,099 16,137
4/30/2010 15,290 16,456
5/31/2010 13,232 14,479
6/30/2010 12,966 14,343
7/31/2010 14,227 15,573
8/31/2010 13,563 15,168
9/30/2010 15,086 16,889
10/31/2010 15,558 17,585
11/30/2010 15,115 17,125
12/31/2010 16,977 19,061
1/31/2011 17,333 19,161
2/28/2011 17,836 19,705
3/31/2011 17,925 19,687
4/30/2011 18,695 20,663
5/31/2011 18,053 20,091
6/30/2011 17,659 19,656
7/31/2011 17,320 19,549
8/31/2011 15,673 18,005
9/30/2011 13,824 15,938
10/31/2011 14,876 17,232
11/30/2011 14,395 16,366
12/31/2011 14,012 16,047
1/31/2012 15,416 17,373
2/29/2012 16,334 18,357
3/31/2012 16,355 18,235
4/30/2012 15,901 18,141
5/31/2012 13,878 16,009
6/30/2012 14,563 16,561
7/31/2012 14,521 16,689
8/31/2012 15,054 17,168
9/30/2012 15,758 17,982
10/31/2012 15,905 18,069
11/30/2012 16,125 18,162
12/31/2012 17,131 18,852
1/31/2013 18,010 19,759
2/28/2013 18,117 19,830
3/31/2013 18,486 20,217
4/30/2013 19,012 20,803
5/31/2013 18,636 20,315
6/30/2013 18,069 19,512
7/31/2013 19,416 20,731
8/31/2013 19,177 20,695
9/30/2013 21,035 22,432
10/31/2013 21,915 23,095
11/30/2013 21,948 23,125
12/31/2013 22,679 23,669
1/31/2014 22,367 23,260
2/28/2014 23,905 24,579
3/31/2014 24,061 24,487
4/30/2014 23,961 24,410
5/31/2014 24,150 24,716
6/30/2014 24,529 25,277
7/31/2014 23,668 24,623
8/31/2014 23,825 24,683
9/30/2014 22,438 23,188
10/31/2014 21,944 22,601
11/30/2014 21,787 22,578
12/31/2014 21,548 22,404
1/31/2015 21,409 22,206
2/28/2015 23,008 23,626
3/31/2015 22,556 23,307
4/30/2015 23,691 24,493
5/31/2015 24,062 24,640
6/30/2015 23,726 24,277
7/31/2015 23,436 24,240
8/31/2015 22,435 23,161
9/30/2015 21,539 22,328
10/31/2015 22,671 23,653
11/30/2015 22,496 23,602
12/31/2015 22,408 23,627
1/31/2016 20,752 21,829
2/29/2016 20,572 21,945
3/31/2016 22,226 23,770
4/30/2016 22,985 24,520
5/31/2016 22,804 24,551
6/30/2016 21,524 23,465
7/31/2016 23,074 24,859
8/31/2016 23,159 24,650
9/30/2016 23,793 25,343
10/31/2016 23,598 24,591
11/30/2016 23,463 23,983
12/31/2016 24,201 24,647
1/31/2017 25,245 25,534
2/28/2017 25,575 26,025
3/31/2017 26,072 26,523
4/30/2017 26,733 27,462
5/31/2017 27,230 28,364
6/30/2017 27,723 28,454
7/31/2017 28,769 29,456
8/31/2017 28,910 29,704
9/30/2017 29,829 30,519
10/31/2017 30,085 30,950
11/30/2017 30,110 31,387
12/31/2017 30,972 32,296
1/31/2018 32,334 33,803
2/28/2018 30,743 32,490
3/31/2018 30,271 32,134
4/30/2018 30,878 32,624
5/31/2018 29,988 32,392
6/30/2018 29,220 31,832
7/31/2018 29,678 32,013
8/31/2018 28,802 31,792
9/30/2018 28,935 31,561
10/31/2018 26,064 28,552
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---------- -------- ---------
-13.37% 3.53% 10.05%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
15
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL VECTOR EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
International Vector MSCI World ex USA
Equity Portfolio Index (net dividends)
---------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,407 9,458
12/31/2008 10,085 9,956
1/31/2009 8,998 9,027
2/28/2009 8,000 8,113
3/31/2009 8,758 8,648
4/30/2009 10,265 9,763
5/31/2009 11,847 10,998
6/30/2009 11,768 10,884
7/31/2009 12,930 11,906
8/31/2009 13,760 12,477
9/30/2009 14,452 12,992
10/31/2009 13,952 12,783
11/30/2009 14,255 13,099
12/31/2009 14,414 13,308
1/31/2010 13,913 12,684
2/28/2010 13,883 12,672
3/31/2010 14,984 13,487
4/30/2010 15,015 13,286
5/31/2010 13,161 11,820
6/30/2010 12,962 11,649
7/31/2010 14,330 12,726
8/31/2010 13,731 12,345
9/30/2010 15,266 13,530
10/31/2010 15,852 14,012
11/30/2010 15,282 13,418
12/31/2010 16,909 14,499
1/31/2011 17,300 14,811
2/28/2011 17,878 15,360
3/31/2011 17,628 15,052
4/30/2011 18,520 15,872
5/31/2011 17,909 15,402
6/30/2011 17,541 15,182
7/31/2011 17,129 14,932
8/31/2011 15,606 13,670
9/30/2011 13,738 12,297
10/31/2011 14,903 13,493
11/30/2011 14,440 12,869
12/31/2011 14,042 12,729
1/31/2012 15,190 13,416
2/29/2012 15,994 14,154
3/31/2012 15,994 14,049
4/30/2012 15,600 13,810
5/31/2012 13,679 12,236
6/30/2012 14,459 13,038
7/31/2012 14,392 13,200
8/31/2012 14,893 13,577
9/30/2012 15,483 13,989
10/31/2012 15,633 14,087
11/30/2012 15,885 14,383
12/31/2012 16,695 14,818
1/31/2013 17,440 15,547
2/28/2013 17,288 15,392
3/31/2013 17,484 15,514
4/30/2013 18,128 16,220
5/31/2013 17,722 15,857
6/30/2013 17,157 15,263
7/31/2013 18,257 16,075
8/31/2013 18,120 15,868
9/30/2013 19,559 16,989
10/31/2013 20,249 17,559
11/30/2013 20,300 17,667
12/31/2013 20,755 17,933
1/31/2014 20,196 17,209
2/28/2014 21,436 18,148
3/31/2014 21,385 18,067
4/30/2014 21,595 18,352
5/31/2014 21,788 18,636
6/30/2014 22,141 18,901
7/31/2014 21,503 18,564
8/31/2014 21,592 18,579
9/30/2014 20,411 17,816
10/31/2014 20,037 17,532
11/30/2014 19,948 17,748
12/31/2014 19,454 17,158
1/31/2015 19,310 17,097
2/28/2015 20,612 18,118
3/31/2015 20,251 17,816
4/30/2015 21,300 18,587
5/31/2015 21,354 18,426
6/30/2015 20,866 17,902
7/31/2015 20,756 18,186
8/31/2015 19,564 16,861
9/30/2015 18,686 16,010
10/31/2015 19,809 17,214
11/30/2015 19,717 16,940
12/31/2015 19,454 16,637
1/31/2016 18,172 15,491
2/29/2016 17,874 15,275
3/31/2016 19,290 16,312
4/30/2016 19,924 16,837
5/31/2016 19,850 16,646
6/30/2016 19,090 16,140
7/31/2016 20,131 16,934
8/31/2016 20,282 16,950
9/30/2016 20,730 17,156
10/31/2016 20,445 16,823
11/30/2016 20,218 16,553
12/31/2016 20,785 17,094
1/31/2017 21,666 17,603
2/28/2017 21,858 17,806
3/31/2017 22,378 18,258
4/30/2017 22,972 18,646
5/31/2017 23,547 19,267
6/30/2017 23,800 19,286
7/31/2017 24,711 19,860
8/31/2017 24,827 19,855
9/30/2017 25,561 20,370
10/31/2017 25,931 20,648
11/30/2017 26,145 20,857
12/31/2017 26,801 21,232
1/31/2018 28,144 22,221
2/28/2018 26,801 21,165
3/31/2018 26,524 20,799
4/30/2018 26,919 21,276
5/31/2018 26,505 20,873
6/30/2018 25,936 20,644
7/31/2018 26,394 21,151
8/31/2018 25,777 20,751
9/30/2018 25,881 20,914
10/31/2018 23,463 19,252
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- --------
-9.52% 2.99% 8.90%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
MAY 16, 2017-OCTOBER 31, 2018
[CHART]
International High Relative MSCI World ex USA Index
Profitability Portfolio (net dividends)
---------------------------- -------------------------
5/16/2017 $10,000 $10,000
5/31/2017 10,050 10,017
6/30/2017 10,038 10,026
7/31/2017 10,219 10,324
8/31/2017 10,329 10,322
9/30/2017 10,577 10,590
10/31/2017 10,738 10,734
11/30/2017 10,849 10,843
12/31/2017 10,968 11,038
1/31/2018 11,463 11,552
2/28/2018 10,887 11,003
3/31/2018 10,893 10,813
4/30/2018 11,014 11,061
5/31/2018 10,974 10,851
6/30/2018 10,802 10,732
7/31/2018 11,088 10,996
8/31/2018 10,915 10,788
9/30/2018 10,941 10,872
10/31/2018 9,966 10,008
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION
-------------- --------- ---------
-7.20% -0.23%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
16
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 23, 2010-OCTOBER 31, 2018
[CHART]
World Ex U.S. MSCI All Country World
Value Portfolio ex USA Index (net dividends)
----------------- ----------------------------
8/23/2010 $10,000 $10,000
8/31/2010 9,890 9,920
9/30/2010 10,980 10,906
10/31/2010 11,350 11,278
11/30/2010 10,850 10,843
12/31/2010 11,859 11,692
1/31/2011 12,122 11,807
2/28/2011 12,385 12,118
3/31/2011 12,311 12,090
4/30/2011 12,899 12,681
5/31/2011 12,433 12,315
6/30/2011 12,238 12,136
7/31/2011 11,920 11,971
8/31/2011 10,670 10,945
9/30/2011 9,314 9,727
10/31/2011 10,261 10,752
11/30/2011 9,880 10,203
12/31/2011 9,590 10,089
1/31/2012 10,422 10,774
2/29/2012 10,984 11,379
3/31/2012 10,811 11,222
4/30/2012 10,436 11,045
5/31/2012 9,177 9,791
6/30/2012 9,755 10,369
7/31/2012 9,703 10,515
8/31/2012 10,041 10,735
9/30/2012 10,475 11,136
10/31/2012 10,538 11,179
11/30/2012 10,687 11,392
12/31/2012 11,281 11,787
1/31/2013 11,720 12,266
2/28/2013 11,442 12,137
3/31/2013 11,460 12,161
4/30/2013 11,899 12,608
5/31/2013 11,696 12,316
6/30/2013 11,154 11,782
7/31/2013 11,796 12,298
8/31/2013 11,666 12,128
9/30/2013 12,556 12,971
10/31/2013 13,026 13,447
11/30/2013 12,993 13,470
12/31/2013 13,201 13,589
1/31/2014 12,652 12,972
2/28/2014 13,289 13,623
3/31/2014 13,361 13,658
4/30/2014 13,527 13,839
5/31/2014 13,760 14,108
6/30/2014 13,969 14,345
7/31/2014 13,778 14,203
8/31/2014 13,857 14,281
9/30/2014 13,101 13,590
10/31/2014 12,921 13,455
11/30/2014 12,864 13,552
12/31/2014 12,384 13,064
1/31/2015 12,293 13,044
2/28/2015 13,080 13,742
3/31/2015 12,783 13,520
4/30/2015 13,604 14,203
5/31/2015 13,490 13,981
6/30/2015 13,108 13,591
7/31/2015 12,774 13,553
8/31/2015 11,805 12,517
9/30/2015 11,128 11,937
10/31/2015 11,916 12,825
11/30/2015 11,696 12,561
12/31/2015 11,357 12,324
1/31/2016 10,526 11,486
2/29/2016 10,304 11,354
3/31/2016 11,258 12,278
4/30/2016 11,728 12,601
5/31/2016 11,399 12,388
6/30/2016 11,179 12,199
7/31/2016 11,763 12,802
8/31/2016 12,026 12,883
9/30/2016 12,182 13,042
10/31/2016 12,338 12,854
11/30/2016 12,266 12,557
12/31/2016 12,572 12,878
1/31/2017 13,175 13,334
2/28/2017 13,283 13,547
3/31/2017 13,588 13,890
4/30/2017 13,781 14,188
5/31/2017 14,023 14,648
6/30/2017 14,148 14,694
7/31/2017 14,821 15,235
8/31/2017 14,919 15,315
9/30/2017 15,212 15,599
10/31/2017 15,542 15,893
11/30/2017 15,652 16,022
12/31/2017 16,118 16,380
1/31/2018 17,149 17,292
2/28/2018 16,230 16,477
3/31/2018 16,026 16,186
4/30/2018 16,336 16,445
5/31/2018 15,728 16,065
6/30/2018 15,235 15,763
7/31/2018 15,750 16,140
8/31/2018 15,247 15,802
9/30/2018 15,438 15,874
10/31/2018 14,110 14,583
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION
-------------- --------- -------- ---------
-9.22% 1.61% 4.29%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD EX U.S. TARGETED VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
NOVEMBER 1, 2012-OCTOBER 31, 2018
[CHART]
World Ex U.S. Targeted MSCI All Country World ex USA
Value Portfolio Small Cap Index (net dividends)
------------------------ -------------------------------
11/1/2012 $10,000 $10,000
11/30/2012 10,120 10,013
12/31/2012 10,735 10,417
1/31/2013 11,157 10,868
2/28/2013 11,147 10,925
3/31/2013 11,278 11,098
4/30/2013 11,549 11,398
5/31/2013 11,298 11,175
6/30/2013 10,766 10,607
7/31/2013 11,376 11,134
8/31/2013 11,193 11,038
9/30/2013 12,191 11,920
10/31/2013 12,690 12,289
11/30/2013 12,629 12,257
12/31/2013 12,872 12,472
1/31/2014 12,497 12,231
2/28/2014 13,185 12,888
3/31/2014 13,404 12,904
4/30/2014 13,404 12,883
5/31/2014 13,633 13,090
6/30/2014 13,888 13,374
7/31/2014 13,616 13,121
8/31/2014 13,773 13,215
9/30/2014 12,908 12,464
10/31/2014 12,698 12,170
11/30/2014 12,571 12,119
12/31/2014 12,294 11,969
1/31/2015 12,219 11,925
2/28/2015 12,977 12,575
3/31/2015 12,710 12,439
4/30/2015 13,511 13,182
5/31/2015 13,489 13,256
6/30/2015 13,224 12,964
7/31/2015 12,816 12,717
8/31/2015 12,088 12,007
9/30/2015 11,599 11,665
10/31/2015 12,332 12,356
11/30/2015 12,170 12,268
12/31/2015 12,035 12,280
1/31/2016 11,171 11,339
2/29/2016 11,149 11,377
3/31/2016 12,256 12,364
4/30/2016 12,733 12,710
5/31/2016 12,408 12,626
6/30/2016 12,109 12,256
7/31/2016 12,909 12,938
8/31/2016 13,019 12,907
9/30/2016 13,305 13,225
10/31/2016 13,218 12,877
11/30/2016 13,042 12,495
12/31/2016 13,277 12,760
1/31/2017 14,026 13,249
2/28/2017 14,357 13,598
3/31/2017 14,724 13,880
4/30/2017 15,055 14,296
5/31/2017 15,331 14,684
6/30/2017 15,481 14,746
7/31/2017 16,127 15,267
8/31/2017 16,295 15,432
9/30/2017 16,609 15,764
10/31/2017 16,867 16,058
11/30/2017 16,911 16,297
12/31/2017 17,462 16,798
1/31/2018 18,401 17,624
2/28/2018 17,485 16,931
3/31/2018 17,261 16,739
4/30/2018 17,456 16,932
5/31/2018 17,078 16,761
6/30/2018 16,386 16,304
7/31/2018 16,641 16,418
8/31/2018 16,189 16,258
9/30/2018 16,093 16,057
10/31/2018 14,580 14,496
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION
-------------- ---------- -------- ---------
-13.56% 2.82% 6.49%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
17
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
APRIL 9, 2013-OCTOBER 31, 2018
[CHART]
World Ex U.S. Core MSCI All Country World
Equity Portfolio ex USA Index (net dividends)
------------------ ----------------------------
4/9/2013 $10,000 $10,000
4/30/2013 10,160 10,415
5/31/2013 9,890 10,174
6/30/2013 9,485 9,733
7/31/2013 9,971 10,159
8/31/2013 9,830 10,019
9/30/2013 10,575 10,715
10/31/2013 10,962 11,108
11/30/2013 10,952 11,127
12/31/2013 11,104 11,225
1/31/2014 10,653 10,715
2/28/2014 11,227 11,254
3/31/2014 11,309 11,282
4/30/2014 11,422 11,431
5/31/2014 11,597 11,654
6/30/2014 11,810 11,850
7/31/2014 11,592 11,732
8/31/2014 11,706 11,797
9/30/2014 11,072 11,226
10/31/2014 10,957 11,115
11/30/2014 10,916 11,195
12/31/2014 10,565 10,791
1/31/2015 10,565 10,775
2/28/2015 11,162 11,351
3/31/2015 10,968 11,168
4/30/2015 11,608 11,732
5/31/2015 11,534 11,549
6/30/2015 11,209 11,227
7/31/2015 10,976 11,196
8/31/2015 10,234 10,340
9/30/2015 9,847 9,860
10/31/2015 10,465 10,595
11/30/2015 10,348 10,376
12/31/2015 10,164 10,180
1/31/2016 9,533 9,488
2/29/2016 9,372 9,379
3/31/2016 10,212 10,142
4/30/2016 10,459 10,409
5/31/2016 10,319 10,233
6/30/2016 10,173 10,077
7/31/2016 10,705 10,575
8/31/2016 10,792 10,642
9/30/2016 10,993 10,773
10/31/2016 10,840 10,618
11/30/2016 10,610 10,373
12/31/2016 10,812 10,638
1/31/2017 11,295 11,015
2/28/2017 11,493 11,190
3/31/2017 11,793 11,474
4/30/2017 12,068 11,720
5/31/2017 12,376 12,100
6/30/2017 12,475 12,138
7/31/2017 12,965 12,585
8/31/2017 13,087 12,651
9/30/2017 13,340 12,886
10/31/2017 13,586 13,128
11/30/2017 13,698 13,235
12/31/2017 14,074 13,531
1/31/2018 14,863 14,284
2/28/2018 14,142 13,611
3/31/2018 14,040 13,371
4/30/2018 14,142 13,584
5/31/2018 13,883 13,270
6/30/2018 13,468 13,021
7/31/2018 13,753 13,332
8/31/2018 13,423 13,053
9/30/2018 13,400 13,113
10/31/2018 12,198 12,046
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION
-------------- ---------- ------ ---------
-10.22% 2.16% 3.64%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
MARCH 7, 2012-OCTOBER 31, 2018
[CHART]
MSCI All Country World
World Core Equity Portfolio Index (net dividends)
---------------------------- -------------------------
3/7/2012 $10,000 $10,000
3/31/2012 10,170 10,307
4/30/2012 10,050 10,189
5/31/2012 9,400 9,276
6/30/2012 9,822 9,734
7/31/2012 9,913 9,867
8/31/2012 10,175 10,082
9/30/2012 10,465 10,399
10/31/2012 10,354 10,330
11/30/2012 10,425 10,462
12/31/2012 10,644 10,699
1/31/2013 11,175 11,192
2/28/2013 11,266 11,190
3/31/2013 11,598 11,395
4/30/2013 11,843 11,720
5/31/2013 11,986 11,688
6/30/2013 11,754 11,346
7/31/2013 12,382 11,890
8/31/2013 12,053 11,642
9/30/2013 12,609 12,243
10/31/2013 13,125 12,735
11/30/2013 13,477 12,916
12/31/2013 13,786 13,138
1/31/2014 13,260 12,613
2/28/2014 13,902 13,222
3/31/2014 14,000 13,281
4/30/2014 14,074 13,407
5/31/2014 14,359 13,693
6/30/2014 14,684 13,950
7/31/2014 14,355 13,781
8/31/2014 14,726 14,086
9/30/2014 14,116 13,629
10/31/2014 14,222 13,725
11/30/2014 14,340 13,954
12/31/2014 14,128 13,685
1/31/2015 13,902 13,471
2/28/2015 14,731 14,221
3/31/2015 14,555 14,001
4/30/2015 14,944 14,407
5/31/2015 14,987 14,388
6/30/2015 14,696 14,049
7/31/2015 14,642 14,171
8/31/2015 13,729 13,200
9/30/2015 13,239 12,722
10/31/2015 14,135 13,720
11/30/2015 14,113 13,607
12/31/2015 13,780 13,362
1/31/2016 12,967 12,556
2/29/2016 12,901 12,469
3/31/2016 13,930 13,393
4/30/2016 14,140 13,591
5/31/2016 14,173 13,608
6/30/2016 14,055 13,526
7/31/2016 14,700 14,109
8/31/2016 14,789 14,156
9/30/2016 14,929 14,243
10/31/2016 14,662 14,001
11/30/2016 14,963 14,108
12/31/2016 15,257 14,412
1/31/2017 15,719 14,806
2/28/2017 16,114 15,222
3/31/2017 16,308 15,408
4/30/2017 16,579 15,648
5/31/2017 16,828 15,994
6/30/2017 17,001 16,066
7/31/2017 17,467 16,515
8/31/2017 17,524 16,579
9/30/2017 17,890 16,899
10/31/2017 18,347 17,250
11/30/2017 18,735 17,584
12/31/2017 19,085 17,867
1/31/2018 20,087 18,875
2/28/2018 19,235 18,083
3/31/2018 19,008 17,696
4/30/2018 19,088 17,865
5/31/2018 19,180 17,887
6/30/2018 18,969 17,790
7/31/2018 19,491 18,326
8/31/2018 19,630 18,470
9/30/2018 19,606 18,551
10/31/2018 17,951 17,161
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION
-------------- --------- -------- ---------
-2.16% 6.46% 9.19%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
18
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
NOVEMBER 14, 2011-OCTOBER 31, 2018
[CHART]
Selectively Hedged MSCI All Country World Index
Global Equity Portfolio (net dividends)
----------------------- ----------------------------
11/14/2011 $10,000 $10,000
11/30/2011 $9,920 $9,873
12/31/2011 $9,828 $9,853
1/31/2012 $10,533 $10,426
2/29/2012 $11,077 $10,951
3/31/2012 $11,141 $11,024
4/30/2012 $10,939 $10,898
5/31/2012 $9,962 $9,921
6/30/2012 $10,442 $10,410
7/31/2012 $10,463 $10,553
8/31/2012 $10,748 $10,782
9/30/2012 $11,122 $11,122
10/31/2012 $11,112 $11,048
11/30/2012 $11,265 $11,189
12/31/2012 $11,718 $11,443
1/31/2013 $12,225 $11,970
2/28/2013 $12,287 $11,968
3/31/2013 $12,576 $12,187
4/30/2013 $12,814 $12,535
5/31/2013 $12,897 $12,501
6/30/2013 $12,514 $12,135
7/31/2013 $13,114 $12,716
8/31/2013 $12,845 $12,451
9/30/2013 $13,569 $13,094
10/31/2013 $14,096 $13,621
11/30/2013 $14,324 $13,813
12/31/2013 $14,611 $14,052
1/31/2014 $14,001 $13,490
2/28/2014 $14,675 $14,141
3/31/2014 $14,847 $14,204
4/30/2014 $14,879 $14,339
5/31/2014 $15,136 $14,644
6/30/2014 $15,500 $14,920
7/31/2014 $15,200 $14,739
8/31/2014 $15,628 $15,065
9/30/2014 $15,061 $14,576
10/31/2014 $15,200 $14,679
11/30/2014 $15,360 $14,924
12/31/2014 $15,182 $14,636
1/31/2015 $14,958 $14,408
2/28/2015 $15,878 $15,210
3/31/2015 $15,766 $14,974
4/30/2015 $16,136 $15,409
5/31/2015 $16,226 $15,388
6/30/2015 $15,867 $15,026
7/31/2015 $15,754 $15,157
8/31/2015 $14,700 $14,118
9/30/2015 $14,172 $13,606
10/31/2015 $15,148 $14,674
11/30/2015 $15,204 $14,553
12/31/2015 $14,728 $14,290
1/31/2016 $13,907 $13,429
2/29/2016 $13,768 $13,336
3/31/2016 $14,797 $14,324
4/30/2016 $14,948 $14,536
5/31/2016 $15,063 $14,554
6/30/2016 $14,971 $14,466
7/31/2016 $15,641 $15,090
8/31/2016 $15,792 $15,140
9/30/2016 $15,930 $15,233
10/31/2016 $15,803 $14,975
11/30/2016 $16,254 $15,088
12/31/2016 $16,619 $15,414
1/31/2017 $17,012 $15,836
2/28/2017 $17,477 $16,280
3/31/2017 $17,679 $16,479
4/30/2017 $17,906 $16,736
5/31/2017 $18,072 $17,106
6/30/2017 $18,239 $17,183
7/31/2017 $18,656 $17,664
8/31/2017 $18,716 $17,731
9/30/2017 $19,121 $18,074
10/31/2017 $19,681 $18,449
11/30/2017 $20,002 $18,806
12/31/2017 $20,383 $19,109
1/31/2018 $21,253 $20,187
2/28/2018 $20,396 $19,340
3/31/2018 $20,163 $18,926
4/30/2018 $20,347 $19,106
5/31/2018 $20,457 $19,130
6/30/2018 $20,224 $19,027
7/31/2018 $20,812 $19,600
8/31/2018 $20,934 $19,754
9/30/2018 $20,885 $19,840
10/31/2018 $19,233 $18,354
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION
-------------- --------- -------- ---------
-2.28% 6.41% 9.85%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
MSCI Emerging Markets
Emerging Markets Portfolio Index (net dividends)
-------------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,091 9,247
12/31/2008 9,800 9,968
1/31/2009 9,050 9,325
2/28/2009 8,457 8,799
3/31/2009 9,679 10,063
4/30/2009 11,109 11,738
5/31/2009 13,002 13,743
6/30/2009 12,887 13,558
7/31/2009 14,357 15,083
8/31/2009 14,405 15,029
9/30/2009 15,668 16,393
10/31/2009 15,339 16,413
11/30/2009 16,251 17,118
12/31/2009 16,833 17,794
1/31/2010 15,911 16,802
2/28/2010 16,102 16,861
3/31/2010 17,445 18,222
4/30/2010 17,545 18,443
5/31/2010 15,908 16,821
6/30/2010 15,932 16,697
7/31/2010 17,331 18,088
8/31/2010 16,925 17,736
9/30/2010 18,844 19,707
10/31/2010 19,410 20,280
11/30/2010 18,970 19,744
12/31/2010 20,505 21,153
1/31/2011 19,970 20,579
2/28/2011 19,823 20,387
3/31/2011 20,920 21,586
4/30/2011 21,649 22,256
5/31/2011 21,047 21,672
6/30/2011 20,790 21,338
7/31/2011 20,622 21,244
8/31/2011 18,947 19,345
9/30/2011 16,079 16,525
10/31/2011 18,086 18,714
11/30/2011 17,449 17,466
12/31/2011 16,934 17,256
1/31/2012 18,751 19,213
2/29/2012 19,763 20,364
3/31/2012 19,243 19,684
4/30/2012 18,893 19,449
5/31/2012 16,856 17,268
6/30/2012 17,680 17,934
7/31/2012 17,823 18,284
8/31/2012 17,931 18,223
9/30/2012 18,932 19,323
10/31/2012 18,824 19,206
11/30/2012 19,070 19,450
12/31/2012 20,178 20,401
1/31/2013 20,281 20,682
2/28/2013 20,039 20,422
3/31/2013 19,749 20,070
4/30/2013 19,962 20,222
5/31/2013 19,309 19,703
6/30/2013 18,093 18,448
7/31/2013 18,352 18,641
8/31/2013 17,916 18,321
9/30/2013 19,193 19,512
10/31/2013 20,063 20,460
11/30/2013 19,758 20,161
12/31/2013 19,549 19,870
1/31/2014 18,186 18,580
2/28/2014 18,841 19,195
3/31/2014 19,496 19,784
4/30/2014 19,609 19,850
5/31/2014 20,272 20,543
6/30/2014 20,829 21,089
7/31/2014 21,071 21,497
8/31/2014 21,722 21,981
9/30/2014 20,117 20,352
10/31/2014 20,331 20,592
11/30/2014 20,125 20,374
12/31/2014 19,214 19,435
1/31/2015 19,337 19,552
2/28/2015 19,920 20,157
3/31/2015 19,498 19,870
4/30/2015 20,795 21,399
5/31/2015 19,959 20,542
6/30/2015 19,472 20,008
7/31/2015 18,217 18,621
8/31/2015 16,708 16,937
9/30/2015 16,254 16,428
10/31/2015 17,233 17,599
11/30/2015 16,635 16,913
12/31/2015 16,176 16,536
1/31/2016 15,488 15,463
2/29/2016 15,394 15,438
3/31/2016 17,425 17,481
4/30/2016 17,527 17,576
5/31/2016 16,836 16,920
6/30/2016 17,726 17,596
7/31/2016 18,634 18,482
8/31/2016 18,856 18,941
9/30/2016 19,091 19,185
10/31/2016 19,131 19,230
11/30/2016 18,132 18,345
12/31/2016 18,132 18,386
1/31/2017 19,217 19,392
2/28/2017 19,855 19,985
3/31/2017 20,493 20,490
4/30/2017 20,884 20,939
5/31/2017 21,507 21,558
6/30/2017 21,706 21,775
7/31/2017 22,852 23,073
8/31/2017 23,324 23,587
9/30/2017 23,096 23,493
10/31/2017 23,880 24,317
11/30/2017 23,953 24,366
12/31/2017 24,764 25,240
1/31/2018 26,625 27,344
2/28/2018 25,349 26,083
3/31/2018 25,219 25,598
4/30/2018 24,894 25,485
5/31/2018 23,910 24,582
6/30/2018 22,893 23,560
7/31/2018 23,717 24,078
8/31/2018 23,171 23,427
9/30/2018 22,894 23,303
10/31/2018 20,982 21,273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---------- -------- --------
-12.14% 0.90% 7.69%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
19
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Emerging Markets Small Cap MSCI Emerging Markets
Portfolio Index (net dividends)
------------------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,388 9,247
12/31/2008 10,711 9,968
1/31/2009 9,887 9,325
2/28/2009 9,280 8,799
3/31/2009 10,557 10,063
4/30/2009 12,694 11,738
5/31/2009 15,602 13,743
6/30/2009 15,524 13,558
7/31/2009 17,494 15,083
8/31/2009 17,701 15,029
9/30/2009 19,178 16,393
10/31/2009 19,156 16,413
11/30/2009 20,276 17,118
12/31/2009 21,393 17,794
1/31/2010 20,446 16,802
2/28/2010 20,798 16,861
3/31/2010 22,575 18,222
4/30/2010 22,938 18,443
5/31/2010 20,623 16,821
6/30/2010 21,169 16,697
7/31/2010 23,112 18,088
8/31/2010 23,223 17,736
9/30/2010 26,035 19,707
10/31/2010 27,073 20,280
11/30/2010 26,336 19,744
12/31/2010 27,851 21,153
1/31/2011 26,670 20,579
2/28/2011 25,883 20,387
3/31/2011 27,318 21,586
4/30/2011 28,754 22,256
5/31/2011 28,094 21,672
6/30/2011 27,866 21,338
7/31/2011 28,181 21,244
8/31/2011 25,501 19,345
9/30/2011 20,966 16,525
10/31/2011 23,275 18,714
11/30/2011 22,138 17,466
12/31/2011 21,550 17,256
1/31/2012 23,980 19,213
2/29/2012 25,938 20,364
3/31/2012 25,261 19,684
4/30/2012 24,657 19,449
5/31/2012 22,396 17,268
6/30/2012 23,254 17,934
7/31/2012 22,962 18,284
8/31/2012 23,558 18,223
9/30/2012 24,935 19,323
10/31/2012 24,838 19,206
11/30/2012 25,265 19,450
12/31/2012 26,818 20,401
1/31/2013 27,312 20,682
2/28/2013 27,591 20,422
3/31/2013 27,461 20,070
4/30/2013 28,019 20,222
5/31/2013 27,613 19,703
6/30/2013 25,225 18,448
7/31/2013 25,339 18,641
8/31/2013 24,281 18,321
9/30/2013 26,054 19,512
10/31/2013 27,054 20,460
11/30/2013 26,669 20,161
12/31/2013 26,448 19,870
1/31/2014 25,317 18,580
2/28/2014 26,434 19,195
3/31/2014 27,342 19,784
4/30/2014 27,566 19,850
5/31/2014 28,499 20,543
6/30/2014 29,232 21,089
7/31/2014 29,298 21,497
8/31/2014 30,195 21,981
9/30/2014 28,692 20,352
10/31/2014 28,439 20,592
11/30/2014 28,108 20,374
12/31/2014 27,241 19,435
1/31/2015 27,680 19,552
2/28/2015 28,392 20,157
3/31/2015 28,173 19,870
4/30/2015 30,172 21,399
5/31/2015 29,748 20,542
6/30/2015 28,727 20,008
7/31/2015 26,973 18,621
8/31/2015 24,327 16,937
9/30/2015 24,288 16,428
10/31/2015 25,631 17,599
11/30/2015 25,105 16,913
12/31/2015 24,873 16,536
1/31/2016 23,387 15,463
2/29/2016 23,288 15,438
3/31/2016 26,154 17,481
4/30/2016 26,807 17,576
5/31/2016 25,686 16,920
6/30/2016 27,107 17,596
7/31/2016 28,681 18,482
8/31/2016 28,853 18,941
9/30/2016 29,324 19,185
10/31/2016 29,209 19,230
11/30/2016 27,433 18,345
12/31/2016 27,588 18,386
1/31/2017 29,195 19,392
2/28/2017 30,726 19,985
3/31/2017 31,678 20,490
4/30/2017 32,080 20,939
5/31/2017 32,199 21,558
6/30/2017 32,399 21,775
7/31/2017 33,757 23,073
8/31/2017 34,533 23,587
9/30/2017 34,365 23,493
10/31/2017 35,343 24,317
11/30/2017 35,884 24,366
12/31/2017 37,315 25,240
1/31/2018 39,753 27,344
2/28/2018 38,065 26,083
3/31/2018 37,846 25,598
4/30/2018 37,471 25,485
5/31/2018 36,643 24,582
6/30/2018 34,173 23,560
7/31/2018 34,720 24,078
8/31/2018 33,704 23,427
9/30/2018 32,620 23,303
10/31/2018 29,528 21,273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---------- -------- ---------
-16.45% 1.77% 11.44%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Emerging Markets Value MSCI Emerging Markets Index
Portfolio - Class R2 (net dividends)
---------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,232 9,247
12/31/2008 10,346 9,968
1/31/2009 9,446 9,325
2/28/2009 8,611 8,799
3/31/2009 10,106 10,063
4/30/2009 12,115 11,738
5/31/2009 14,836 13,743
6/30/2009 14,631 13,558
7/31/2009 16,563 15,083
8/31/2009 16,701 15,029
9/30/2009 18,257 16,393
10/31/2009 17,829 16,413
11/30/2009 18,970 17,118
12/31/2009 19,897 17,794
1/31/2010 18,786 16,802
2/28/2010 18,887 16,861
3/31/2010 20,503 18,222
4/30/2010 20,705 18,443
5/31/2010 18,483 16,821
6/30/2010 18,587 16,697
7/31/2010 20,379 18,088
8/31/2010 19,931 17,736
9/30/2010 22,291 19,707
10/31/2010 23,125 20,280
11/30/2010 22,291 19,744
12/31/2010 24,167 21,153
1/31/2011 23,405 20,579
2/28/2011 23,018 20,387
3/31/2011 24,334 21,586
4/30/2011 25,189 22,256
5/31/2011 24,227 21,672
6/30/2011 23,719 21,338
7/31/2011 23,518 21,244
8/31/2011 21,124 19,345
9/30/2011 17,332 16,525
10/31/2011 19,601 18,714
11/30/2011 18,602 17,466
12/31/2011 17,933 17,256
1/31/2012 20,413 19,213
2/29/2012 21,650 20,364
3/31/2012 20,717 19,684
4/30/2012 20,040 19,449
5/31/2012 17,816 17,268
6/30/2012 18,618 17,934
7/31/2012 18,500 18,284
8/31/2012 18,750 18,223
9/30/2012 19,950 19,323
10/31/2012 19,685 19,206
11/30/2012 19,901 19,450
12/31/2012 21,346 20,401
1/31/2013 21,690 20,682
2/28/2013 21,318 20,422
3/31/2013 21,134 20,070
4/30/2013 21,313 20,222
5/31/2013 20,697 19,703
6/30/2013 18,948 18,448
7/31/2013 19,316 18,641
8/31/2013 18,905 18,321
9/30/2013 20,297 19,512
10/31/2013 21,210 20,460
11/30/2013 20,696 20,161
12/31/2013 20,483 19,870
1/31/2014 19,044 18,580
2/28/2014 19,466 19,195
3/31/2014 20,327 19,784
4/30/2014 20,453 19,850
5/31/2014 21,284 20,543
6/30/2014 21,835 21,089
7/31/2014 22,243 21,497
8/31/2014 22,733 21,981
9/30/2014 20,869 20,352
10/31/2014 20,839 20,592
11/30/2014 20,487 20,374
12/31/2014 19,530 19,435
1/31/2015 19,371 19,552
2/28/2015 20,054 20,157
3/31/2015 19,485 19,870
4/30/2015 21,412 21,399
5/31/2015 20,456 20,542
6/30/2015 19,803 20,008
7/31/2015 18,210 18,621
8/31/2015 16,556 16,937
9/30/2015 15,998 16,428
10/31/2015 16,986 17,599
11/30/2015 16,320 16,913
12/31/2015 15,823 16,536
1/31/2016 14,937 15,463
2/29/2016 15,022 15,438
3/31/2016 17,225 17,481
4/30/2016 17,686 17,576
5/31/2016 16,530 16,920
6/30/2016 17,429 17,596
7/31/2016 18,523 18,482
8/31/2016 18,862 18,941
9/30/2016 19,121 19,185
10/31/2016 19,532 19,230
11/30/2016 18,844 18,345
12/31/2016 18,921 18,386
1/31/2017 20,113 19,392
2/28/2017 21,019 19,985
3/31/2017 21,606 20,490
4/30/2017 21,757 20,939
5/31/2017 22,139 21,558
6/30/2017 22,192 21,775
7/31/2017 23,377 23,073
8/31/2017 23,958 23,587
9/30/2017 23,419 23,493
10/31/2017 24,240 24,317
11/30/2017 24,361 24,366
12/31/2017 25,252 25,240
1/31/2018 27,466 27,344
2/28/2018 26,163 26,083
3/31/2018 25,805 25,598
4/30/2018 25,895 25,485
5/31/2018 24,771 24,582
6/30/2018 23,412 23,560
7/31/2018 24,478 24,078
8/31/2018 23,892 23,427
9/30/2018 23,912 23,303
10/31/2018 21,898 21,273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- --------
-9.66% 0.64% 8.15%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
20
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Emerging Markets
Value Portfolio - MSCI Emerging Markets
Institutional Class Index (net dividends)
------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,241 9,247
12/31/2008 10,369 9,968
1/31/2009 9,433 9,325
2/28/2009 8,631 8,799
3/31/2009 10,124 10,063
4/30/2009 12,115 11,738
5/31/2009 14,841 13,743
6/30/2009 14,658 13,558
7/31/2009 16,623 15,083
8/31/2009 16,746 15,029
9/30/2009 18,291 16,393
10/31/2009 17,859 16,413
11/30/2009 18,996 17,118
12/31/2009 19,937 17,794
1/31/2010 18,802 16,802
2/28/2010 18,948 16,861
3/31/2010 20,615 18,222
4/30/2010 20,748 18,443
5/31/2010 18,573 16,821
6/30/2010 18,689 16,697
7/31/2010 20,419 18,088
8/31/2010 20,048 17,736
9/30/2010 22,455 19,707
10/31/2010 23,224 20,280
11/30/2010 22,468 19,744
12/31/2010 24,334 21,153
1/31/2011 23,574 20,579
2/28/2011 23,177 20,387
3/31/2011 24,509 21,586
4/30/2011 25,384 22,256
5/31/2011 24,415 21,672
6/30/2011 23,915 21,338
7/31/2011 23,712 21,244
8/31/2011 21,305 19,345
9/30/2011 17,480 16,525
10/31/2011 19,777 18,714
11/30/2011 18,775 17,466
12/31/2011 18,101 17,256
1/31/2012 20,611 19,213
2/29/2012 21,866 20,364
3/31/2012 20,924 19,684
4/30/2012 20,241 19,449
5/31/2012 18,003 17,268
6/30/2012 18,817 17,934
7/31/2012 18,698 18,284
8/31/2012 18,957 18,223
9/30/2012 20,176 19,323
10/31/2012 19,915 19,206
11/30/2012 20,134 19,450
12/31/2012 21,605 20,401
1/31/2013 21,953 20,682
2/28/2013 21,584 20,422
3/31/2013 21,399 20,070
4/30/2013 21,587 20,222
5/31/2013 20,971 19,703
6/30/2013 19,206 18,448
7/31/2013 19,578 18,641
8/31/2013 19,162 18,321
9/30/2013 20,577 19,512
10/31/2013 21,510 20,460
11/30/2013 20,989 20,161
12/31/2013 20,784 19,870
1/31/2014 19,331 18,580
2/28/2014 19,760 19,195
3/31/2014 20,641 19,784
4/30/2014 20,776 19,850
5/31/2014 21,619 20,543
6/30/2014 22,183 21,089
7/31/2014 22,598 21,497
8/31/2014 23,103 21,981
9/30/2014 21,208 20,352
10/31/2014 21,185 20,592
11/30/2014 20,835 20,374
12/31/2014 19,866 19,435
1/31/2015 19,704 19,552
2/28/2015 20,406 20,157
3/31/2015 19,828 19,870
4/30/2015 21,803 21,399
5/31/2015 20,831 20,542
6/30/2015 20,167 20,008
7/31/2015 18,547 18,621
8/31/2015 16,865 16,937
9/30/2015 16,302 16,428
10/31/2015 17,315 17,599
11/30/2015 16,637 16,913
12/31/2015 16,137 16,536
1/31/2016 15,227 15,463
2/29/2016 15,322 15,438
3/31/2016 17,573 17,481
4/30/2016 18,048 17,576
5/31/2016 16,875 16,920
6/30/2016 17,798 17,596
7/31/2016 18,917 18,482
8/31/2016 19,261 18,941
9/30/2016 19,527 19,185
10/31/2016 19,953 19,230
11/30/2016 19,254 18,345
12/31/2016 19,339 18,386
1/31/2017 20,558 19,392
2/28/2017 21,494 19,985
3/31/2017 22,084 20,490
4/30/2017 22,245 20,939
5/31/2017 22,649 21,558
6/30/2017 22,708 21,775
7/31/2017 23,922 23,073
8/31/2017 24,521 23,587
9/30/2017 23,971 23,493
10/31/2017 24,822 24,317
11/30/2017 24,945 24,366
12/31/2017 25,868 25,240
1/31/2018 28,138 27,344
2/28/2018 26,812 26,083
3/31/2018 26,448 25,598
4/30/2018 26,547 25,485
5/31/2018 25,395 24,582
6/30/2018 24,012 23,560
7/31/2018 25,114 24,078
8/31/2018 24,517 23,427
9/30/2018 24,540 23,303
10/31/2018 22,477 21,273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- --------
-9.45% 0.88% 8.44%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Emerging Markets Core Equity MSCI Emerging Markets
Portfolio Index (net dividends)
------------------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,332 9,247
12/31/2008 10,244 9,968
1/31/2009 9,331 9,325
2/28/2009 8,701 8,799
3/31/2009 10,074 10,063
4/30/2009 11,914 11,738
5/31/2009 14,262 13,743
6/30/2009 14,124 13,558
7/31/2009 15,833 15,083
8/31/2009 15,894 15,029
9/30/2009 17,266 16,393
10/31/2009 16,947 16,413
11/30/2009 17,985 17,118
12/31/2009 18,806 17,794
1/31/2010 17,774 16,802
2/28/2010 17,970 16,861
3/31/2010 19,520 18,222
4/30/2010 19,706 18,443
5/31/2010 17,796 16,821
6/30/2010 17,947 16,697
7/31/2010 19,568 18,088
8/31/2010 19,308 17,736
9/30/2010 21,615 19,707
10/31/2010 22,252 20,280
11/30/2010 21,657 19,744
12/31/2010 23,248 21,153
1/31/2011 22,513 20,579
2/28/2011 22,125 20,387
3/31/2011 23,384 21,586
4/30/2011 24,307 22,256
5/31/2011 23,636 21,672
6/30/2011 23,307 21,338
7/31/2011 23,254 21,244
8/31/2011 21,156 19,345
9/30/2011 17,655 16,525
10/31/2011 19,897 18,714
11/30/2011 19,047 17,466
12/31/2011 18,448 17,256
1/31/2012 20,620 19,213
2/29/2012 21,915 20,364
3/31/2012 21,230 19,684
4/30/2012 20,759 19,449
5/31/2012 18,577 17,268
6/30/2012 19,409 17,934
7/31/2012 19,420 18,284
8/31/2012 19,625 18,223
9/30/2012 20,743 19,323
10/31/2012 20,602 19,206
11/30/2012 20,917 19,450
12/31/2012 22,227 20,401
1/31/2013 22,423 20,682
2/28/2013 22,271 20,422
3/31/2013 22,034 20,070
4/30/2013 22,285 20,222
5/31/2013 21,674 19,703
6/30/2013 20,117 18,448
7/31/2013 20,392 18,641
8/31/2013 19,864 18,321
9/30/2013 21,282 19,512
10/31/2013 22,200 20,460
11/30/2013 21,835 20,161
12/31/2013 21,641 19,870
1/31/2014 20,273 18,580
2/28/2014 21,007 19,195
3/31/2014 21,774 19,784
4/30/2014 21,930 19,850
5/31/2014 22,653 20,543
6/30/2014 23,241 21,089
7/31/2014 23,454 21,497
8/31/2014 24,180 21,981
9/30/2014 22,496 20,352
10/31/2014 22,620 20,592
11/30/2014 22,383 20,374
12/31/2014 21,443 19,435
1/31/2015 21,613 19,552
2/28/2015 22,236 20,157
3/31/2015 21,862 19,870
4/30/2015 23,370 21,399
5/31/2015 22,542 20,542
6/30/2015 21,941 20,008
7/31/2015 20,474 18,621
8/31/2015 18,688 16,937
9/30/2015 18,294 16,428
10/31/2015 19,341 17,599
11/30/2015 18,720 16,913
12/31/2015 18,257 16,536
1/31/2016 17,411 15,463
2/29/2016 17,307 15,438
3/31/2016 19,583 17,481
4/30/2016 19,816 17,576
5/31/2016 18,967 16,920
6/30/2016 20,018 17,596
7/31/2016 21,118 18,482
8/31/2016 21,328 18,941
9/30/2016 21,614 19,185
10/31/2016 21,638 19,230
11/30/2016 20,462 18,345
12/31/2016 20,513 18,386
1/31/2017 21,765 19,392
2/28/2017 22,616 19,985
3/31/2017 23,319 20,490
4/30/2017 23,732 20,939
5/31/2017 24,193 21,558
6/30/2017 24,410 21,775
7/31/2017 25,611 23,073
8/31/2017 26,205 23,587
9/30/2017 26,007 23,493
10/31/2017 26,834 24,317
11/30/2017 27,002 24,366
12/31/2017 28,011 25,240
1/31/2018 29,990 27,344
2/28/2018 28,626 26,083
3/31/2018 28,482 25,598
4/30/2018 28,108 25,485
5/31/2018 27,082 24,582
6/30/2018 25,671 23,560
7/31/2018 26,484 24,078
8/31/2018 25,829 23,427
9/30/2018 25,361 23,303
10/31/2018 23,217 21,273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---------- -------- --------
-13.48% 0.90% 8.79%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
21
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
6.6%. Small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a
subset of the large-cap universe, underperformed large-cap stocks but
outperformed small-cap stocks as measured by Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-----------------------------------------------------------
Russell 3000(R) Index....................................... 6.60%
Russell Microcap(R) Index (micro-cap stocks)................ 1.42%
Russell 2000(R) Index (small-cap stocks).................... 1.85%
Russell Midcap(R) Index (mid-cap stocks).................... 2.79%
Russell 1000(R) Index (large-cap stocks).................... 6.98%
Dow Jones U.S. Select REIT Index SM......................... 3.04%
Value stocks underperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-----------------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)........ -0.59%
Russell 2000(R) Growth Index (small-cap growth stocks)...... 4.13%
Russell 1000(R) Value Index (large-cap value stocks)........ 3.03%
Russell 1000(R) Growth Index (large-cap growth stocks)...... 10.71%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
ENHANCED U.S. LARGE COMPANY PORTFOLIO
The Enhanced U.S. Large Company Portfolio seeks to outperform the total
return of the S&P 500(R) Index. This strategy uses S&P 500(R) Index futures
contracts, swaps, and/or ETFs in conjunction with short-term investment grade
fixed income instruments. As of October 31, 2018, 100% of the equity exposure
consisted of S&P 500(R) Index futures contracts. The behavior of S&P 500(R)
Index futures contracts is determined principally by the performance of the S&P
500(R) Index.
For the 12 months ended October 31, 2018, total returns were 5.62% for the
Portfolio and 7.35% for the S&P 500(R) Index, the Portfolio's benchmark. The
Portfolio's underperformance relative to the benchmark was primarily due to the
performance of the fixed income component of the Portfolio. The net return of
the fixed income component was less than the financing cost of the S&P 500(R)
Index futures contracts that the Portfolio purchased throughout the year.
U.S. LARGE CAP EQUITY PORTFOLIO
The U.S. Large Cap Equity Portfolio invests in a broadly diversified group
of U.S. securities with increased exposure to smaller total market
capitalization stocks, lower relative price (value) stocks, and higher-
profitability stocks within the large-cap segment of the U.S. market. Value is
measured primarily by book-to-market ratio. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2018, the Portfolio held
approximately 810 securities. In general, average cash exposure throughout the
year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 6.82% for the
Portfolio and 6.98% for the Russell 1000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater exposure to
smaller large-cap stocks detracted from performance relative to the benchmark,
as these stocks underperformed their larger counterparts for the period. With
low relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Portfolio's greater emphasis on value stocks also
detracted from relative performance. Conversely, the Portfolio's emphasis on
stocks with higher profitability had a positive impact on relative performance,
as higher-profitability stocks generally outperformed lower-profitability
stocks. At the sector level, the Portfolio's general exclusion of real estate
investment trusts (REITs) also benefited relative performance, as REITs
generally underperformed in the U.S.
22
U.S. LARGE CAP VALUE PORTFOLIO
The U.S. Large Cap Value Portfolio is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. Value
is measured primarily by book-to-market ratio. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification, and weights stocks in proportion to their
market capitalization. The strategy overweights certain stocks, including
smaller companies, lower relative price (value) stocks, and
higher-profitability stocks within the large-cap value segment of the U.S.
market. As of October 31, 2018, the Master Fund held approximately 320
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 2.79% for the
Portfolio and 3.03% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than by the behavior of a limited number of stocks. The Master
Fund's greater exposure to smaller large-cap stocks detracted from performance
relative to the benchmark, as these stocks underperformed their larger
counterparts the period. With low relative price (value) stocks generally
underperforming high relative price (growth) stocks, the Master Fund's greater
emphasis on value stocks also detracted from relative performance. Conversely,
the Master Fund's emphasis on stocks with higher profitability had a positive
impact on relative performance, as higher-profitability stocks generally
outperformed lower-profitability stocks. At the sector level, the Master Fund's
general exclusions of real estate investment trusts (REITs) and certain
utilities also benefited relative performance, as REITs and utilities generally
underperformed in the U.S.
U.S. TARGETED VALUE PORTFOLIO
The U.S. Targeted Value Portfolio invests in a broadly diversified group of
U.S. small- and mid-cap value stocks. Value is measured primarily by
book-to-market ratio. The U.S. Targeted Value Portfolio also may consider
profitability in the Portfolio's construction. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2018, the Portfolio held
approximately 1,500 securities. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -1.61% for the
Portfolio's Class R1 shares, -1.79% for the Portfolio's Class R2 shares, -1.52%
for the Portfolio's Institutional Class shares, and -0.59% for the Russell
2000(R) Value Index, the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in the U.S. equity market, rather than the behavior of a limited
number of stocks. With low relative price (value) stocks underperforming high
relative price (growth) stocks, the Portfolio's greater emphasis on value
stocks detracted from performance relative to the benchmark.
U.S. SMALL CAP VALUE PORTFOLIO
The U.S. Small Cap Value Portfolio invests in a broadly diversified group of
U.S. small-cap value stocks. Value is measured primarily by book-to-market
ratio. The U.S. Small Cap Value Portfolio also may consider profitability in
the Portfolio's construction. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Portfolio held approximately 1,000
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -1.48% for the
Portfolio and -0.59% for the Russell 2000(R) Value Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market, rather than the behavior of a limited number of stocks. With low
relative price (value) stocks underperforming high relative price (growth)
stocks, the Portfolio's greater emphasis on value stocks detracted from
performance relative to the benchmark.
U.S. CORE EQUITY 1 PORTFOLIO
The U.S. Core Equity 1 Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller market capitalization
stocks, lower relative price (value) stocks, and higher-profitability stocks
relative to the market. Value is measured primarily by book-to-market ratio. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2018, the Portfolio held approximately 2,800 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
23
For the 12 months ended October 31, 2018, total returns were 5.59% for the
Portfolio and 6.60% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater emphasis on
small-cap stocks detracted from performance relative to the benchmark, as
small-caps generally underperformed large-caps for the period. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Portfolio's greater emphasis on value stocks also
detracted from relative performance.
U.S. CORE EQUITY 2 PORTFOLIO
The U.S. Core Equity 2 Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller market capitalization
stocks, lower relative price (value) stocks, and higher-profitability stocks
relative to the U.S. Core Equity 1 Portfolio and the market. Value is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Portfolio held approximately 2,800
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 4.16% for the
Portfolio and 6.60% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater emphasis on
small-cap stocks detracted from performance relative to the benchmark, as
small-caps generally underperformed large-caps for the period. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Portfolio's greater emphasis on value stocks also
detracted from relative performance.
U.S. VECTOR EQUITY PORTFOLIO
The U.S. Vector Equity Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller market capitalization
stocks, lower relative price (value) stocks, and higher-profitability stocks
relative to the market. The Portfolio's increased exposure to small
capitalization and value stocks may be achieved by decreasing the allocation to
or excluding the largest high relative price (growth) stocks in the U.S.
market. Value is measured primarily by book-to-market ratio. In assessing
profitability, Dimensional may consider such factors as earnings or profits
from operations relative to book value or assets. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2018, the
Portfolio held approximately 2,600 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 0.69% for the
Portfolio and 6.60% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater emphasis on
small-cap stocks detracted from performance relative to the benchmark, as
small-caps generally underperformed large-caps for the period. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Portfolio's greater emphasis on value stocks also
detracted from relative performance.
U.S. SMALL CAP PORTFOLIO
The U.S. Small Cap Portfolio invests in a broadly diversified group of U.S.
small-cap stocks. The Portfolio generally excludes stocks with the lowest
profitability and highest relative price. Relative price is measured primarily
by book-to-market ratio. In assessing profitability, Dimensional may consider
such factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Portfolio held approximately 2,000
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 0.77% for the
Portfolio and 1.85% for the Russell 2000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's exclusion of stocks
with the lowest profitability and highest relative price detracted from
performance relative to the benchmark, as those stocks outperformed.
U.S. MICRO CAP PORTFOLIO
The U.S. Micro Cap Portfolio invests in a broadly diversified group of U.S.
micro-cap companies. The Portfolio
24
generally excluded stocks with the lowest profitability and highest relative
price. Relative price is measured primarily by book-to-market ratio. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2018, the Portfolio held approximately 1,600 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 1.29% for the
Portfolio and 1.85% for the Russell 2000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's exclusion of stocks
with the lowest profitability and highest relative price detracted from
performance relative to the benchmark, as those stocks outperformed.
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
The U.S. High Relative Profitability Portfolio seeks to capture the returns
of U.S. large-cap stocks with higher profitability. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification with increased exposure to stocks with
smaller total market capitalizations, lower relative price (value) stocks, and
higher-profitability stocks within the large-cap high relative profitability
segment of the U.S. market. As of October 31, 2018, the Portfolio held
approximately 230 securities. In general, average cash exposure throughout the
year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 9.88% for the
Portfolio and 6.98% for the Russell 1000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's focus on stocks
with higher profitability contributed positively to performance relative to the
benchmark, as higher-profitability stocks generally outperformed
lower-profitability stocks. At the sector level, the Portfolio's general
exclusions of real estate investment trusts (REITs) and certain utilities had a
positive impact on relative performance, as REITs and utilities generally
underperformed in the U.S.
DFA REAL ESTATE SECURITIES PORTFOLIO
The DFA Real Estate Securities Portfolio is designed to capture the returns
of a broadly diversified portfolio of U.S. real estate securities. As of
October 31, 2018, the Portfolio held approximately 160 securities. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 2.63% for the
Portfolio, 7.35% for the S&P 500(R) Index, and 3.04% for the Dow Jones U.S.
Select REIT IndexSM, the Portfolio's benchmarks. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in the U.S. real estate securities market rather than by the
behavior of a limited number of securities. The Portfolio's underperformance
relative to the REIT benchmark was primarily driven by differences in REIT
eligibility between the Portfolio and the benchmark, most notably among data
center REITs. The Portfolio includes data center REITs, which underperformed,
whereas the REIT benchmark typically excludes these securities.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Performance of non-U.S. developed markets was negative for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed both large-cap and small-cap stocks. Value stocks underperformed
growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index..................................... -6.76%
MSCI World ex USA Mid Cap Index............................. -8.02%
MSCI World ex USA Small Cap Index........................... -7.75%
MSCI World ex USA Value Index............................... -7.54%
MSCI World ex USA Growth Index.............................. -6.01%
25
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against currencies of most other developed markets. Overall, currency movements
had a negative impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP ------------ ----------------------
Japan....................................................... -4.22% -3.56%
United Kingdom.............................................. -0.91% -4.65%
France...................................................... -4.30% -6.92%
Canada...................................................... -4.08% -5.84%
Germany..................................................... -12.26% -14.66%
Switzerland................................................. 0.19% -0.72%
Australia................................................... 2.96% -4.83%
Hong Kong................................................... -8.47% -8.88%
Netherlands................................................. -7.68% -9.99%
Spain....................................................... -13.55% -15.92%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
Emerging markets had negative performance for the period, underperforming
both the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap
stocks, a subset of the large-cap universe, outperformed both large-cap and
small-cap stocks. Value stocks outperformed growth stocks as measured by the
MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index................................. -12.52%
MSCI Emerging Markets Mid Cap Index......................... -11.85%
MSCI Emerging Markets Small Cap Index....................... -17.21%
MSCI Emerging Markets Value Index........................... -8.27%
MSCI Emerging Markets Growth Index.......................... -16.70%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against most emerging markets currencies. Overall, currency movements had a
negative impact on the U.S. dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ ----------------------
China....................................................... -16.33% -16.73%
Korea....................................................... -18.52% -19.90%
Taiwan...................................................... -6.62% -8.98%
India....................................................... -0.01% -12.42%
Brazil...................................................... 18.95% 4.76%
South Africa................................................ -13.80% -17.45%
Russia...................................................... 22.79% 10.69%
Mexico...................................................... -9.54% -14.55%
Thailand.................................................... 4.01% 4.23%
Malaysia.................................................... -0.18% 0.99%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities
26
at the closing of the U.S. market, while benchmark indices may use local market
closing prices. For the one-year period ended October 31, 2018, these
differences generally detracted from the Portfolios' relative performance.
GLOBAL REAL ESTATE MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Publicly traded global real estate investment trusts (REITs) had positive
returns for the period. REITs generally underperformed U.S. equities but
outperformed both developed non-U.S. and emerging markets equities. The U.S.
REIT market, the world's largest, had positive performance for the period and
outperformed non-U.S. REITs. Among non-U.S. REIT markets, Japan, Canada, and
Hong Kong were among the strongest performers, while Turkey, Mexico, and South
Africa REITs lagged. At the REIT industry level, industrial REITs generally
outperformed, while diversified REITs generally underperformed.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
S&P Global ex U.S. REIT Index............................... - 0.51%
S&P Global REIT Index....................................... 0.55%
--------
Source: Returns are of Standard and Poor's (S&P) indices net of foreign
withholding taxes on dividends. Copyright S&P, 2018. All rights reserved.
For Portfolios investing in non-U.S. REITs and REIT-like securities traded
outside of the U.S. market time zone, differences in the valuation timing and
methodology between a Portfolio and its benchmark index may impact relative
performance over the referenced period. The Portfolios price foreign exchange
rates at the closing of the U.S. market, while their benchmark indices use
rates at 4 p.m. London time. The Portfolios also may use fair value pricing to
price certain portfolio securities at the closing of the U.S. market, while
benchmark indices may use local market closing prices. For the one-year period
ended October 31, 2018, these differences generally detracted from the
Portfolios' relative performance.
LARGE CAP INTERNATIONAL PORTFOLIO
The Large Cap International Portfolio seeks to capture the returns of a
broadly diversified portfolio of developed ex U.S. large company stocks. The
investment strategy is process driven, emphasizing broad diversification with
increased exposure to stocks with smaller total market capitalizations, lower
relative price (value) stocks, and higher-profitability stocks within the
large-cap segment of developed ex U.S. markets. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. As of October 31, 2018, the Portfolio held
approximately 1,500 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2018, total returns were -6.97% for the
Portfolio and -6.76% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio's greater exposure to smaller large-cap stocks detracted
from performance relative to the benchmark, as these stocks underperformed
their larger counterparts. Conversely, the Portfolio's emphasis on
higher-profitability stocks had a positive impact on relative performance, as
these stocks generally outperformed. At the sector level, the Portfolio's
general exclusion of real estate investment trusts (REITs) had a negative
impact on relative performance, as REITs generally outperformed in developed ex
U.S. markets.
INTERNATIONAL CORE EQUITY PORTFOLIO
The International Core Equity Portfolio invests in a broadly diversified
group of stocks in developed ex U.S. markets, with increased exposure to stocks
with smaller market capitalization, lower relative price (value), and higher
profitability. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Portfolio held approximately 5,400
securities in 22 eligible developed markets. In general, average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -8.79% for the
Portfolio and -6.76% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. With small-cap stocks underperforming large-cap stocks in developed ex
27
U.S. markets for the period, the Portfolio's inclusion of and emphasis on
small-caps had a negative impact on performance relative to the benchmark
(which is composed primarily of large- and mid-cap stocks). The Portfolio's
greater emphasis on low relative price (value) stocks also detracted from
relative performance, as value stocks underperformed high relative price
(growth) stocks.
INTERNATIONAL SMALL COMPANY PORTFOLIO
The International Small Company Portfolio is designed to capture the returns
of developed ex U.S. small company stocks by purchasing shares of five Master
Funds managed by Dimensional that invest individually in Canada, the United
Kingdom, Europe (including Israel and excluding the U.K.), Japan, and the Asia
Pacific region (ex Japan). The Portfolio generally excluded stocks with the
lowest profitability and highest relative price. Relative price is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Master Funds collectively held
approximately 4,600 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2018, total returns were -9.54% for the
Portfolio and -7.75% for the MSCI World ex USA Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of the Master Funds' diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity markets rather than by the behavior of a limited
number of stocks. The Master Funds and their benchmark use different
methodologies to determine which small-cap stocks are eligible for purchase or
to hold. This methodology variance led to country-by-country differences
between the maximum market capitalization of small-cap stocks bought and held
by the Master Funds relative to the benchmark, which in turn led to differences
in holdings between the Master Funds and the benchmark. These holdings
differences detracted from the Master Funds' performance relative to the
benchmark. At the sector level, the Master Funds' general exclusion of real
estate investment trusts (REITs) also detracted from relative performance, as
REITs generally outperformed in developed ex U.S. markets.
GLOBAL SMALL COMPANY PORTFOLIO
The Global Small Company Portfolio is designed to capture the returns of
global small company stocks by purchasing shares of seven funds (which shall be
collectively referred to below as the "Underlying Funds") managed by
Dimensional that invest individually in Canada, the United States, the United
Kingdom, Europe (including Israel and excluding the U.K.), Japan, the Asia
Pacific region (ex Japan), and emerging markets. The Underlying Funds generally
exclude stocks with the lowest profitability and highest relative price.
Relative price is measured primarily by book-to-market ratio. In assessing
profitability, Dimensional may consider such factors as earnings or profits
from operations relative to book value or assets. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2018, the
Underlying Funds collectively held approximately 10,950 securities in 41
eligible developed and emerging markets. In general, average cash exposure
throughout the period since the Portfolio launched was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -5.02% for the
Portfolio and -3.78% for the MSCI All Country World Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Underlying Funds'
diversified investment approach, performance was determined principally by
broad trends in global equity markets rather than by the behavior of a limited
number of stocks. The Underlying Funds' greater emphasis on stocks with smaller
market capitalizations had a negative impact on performance relative to the
benchmark, as these stocks underperformed. At the sector level, the Underlying
Funds' general exclusion of real estate investment trusts (REITs) detracted
from relative performance, as REITs generally outperformed in developed ex U.S.
and emerging markets. The Underlying Funds' exclusion of stocks with the lowest
profitability and highest relative price also detracted from relative
performance, as those stocks outperformed.
JAPANESE SMALL COMPANY PORTFOLIO
The Japanese Small Company Portfolio is designed to capture the returns of
Japanese small company stocks by purchasing shares of the Japanese Small
Company Series, a Master Fund managed by Dimensional that invests in such
securities. The Portfolio generally excluded stocks with the lowest
profitability and highest relative price. Relative price is measured primarily
by book-to-market ratio. In assessing profitability, Dimensional may consider
such factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Master Fund held over 1,800
securities. In general, average cash exposure throughout the year was less than
1% of the Master Fund's assets.
For the 12 months ended October 31, 2018, total returns were -7.82% for the
Portfolio and -6.01% for the MSCI Japan Small Cap Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
28
approach, performance was determined principally by broad trends in the
Japanese equity market rather than by the behavior of a limited number of
stocks. The Master Fund's general exclusion of real estate investment trusts
(REITs) detracted from performance relative to the benchmark, as REITs
generally outperformed in Japan.
ASIA PACIFIC SMALL COMPANY PORTFOLIO
The Asia Pacific Small Company Portfolio is designed to capture the returns
of small company stocks in Australia, Hong Kong, New Zealand, and Singapore by
purchasing shares of the Asia Pacific Small Company Series, a Master Fund
managed by Dimensional that invests in such securities. The Portfolio generally
excluded stocks with the lowest profitability and highest relative price.
Relative price is measured primarily by book-to-market ratio. In assessing
profitability, Dimensional may consider such factors as earnings or profits
from operations relative to book value or assets. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2018, the
Master Fund held approximately 900 securities across the eligible countries. In
general, average cash exposure throughout the year was less than 1% of the
Master Fund's assets.
For the 12 months ended October 31, 2018, total returns were -8.51% for the
Portfolio and -9.00% for the MSCI Pacific ex Japan Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Master Fund's
diversified investment approach, performance was determined principally by
broad trends in Asia Pacific equity markets rather than by the behavior of a
limited number of stocks. The Master Fund and its benchmark use different
methodologies to determine which small-cap stocks are eligible for purchase or
to hold. This methodology variance led to country-by-country differences
between the maximum market capitalization of small-cap stocks bought and held
by the Master Fund relative to the benchmark, which in turn led to differences
in holdings between the Master Fund and the benchmark. These holdings
differences contributed positively to the Master Fund's performance relative to
the benchmark. At the sector level, the Master Fund's general exclusion of real
estate investment trusts (REITs) detracted from relative performance, as REITs
generally outperformed in Asia Pacific (ex Japan) markets.
UNITED KINGDOM SMALL COMPANY PORTFOLIO
The United Kingdom Small Company Portfolio is designed to capture the
returns of small company stocks in the U.K. by purchasing shares of the United
Kingdom Small Company Series, a Master Fund managed by Dimensional that invests
in such securities. The Portfolio generally excluded stocks with the lowest
profitability and highest relative price. Relative price is measured primarily
by book-to-market ratio. In assessing profitability, Dimensional may consider
such factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Master Fund held approximately 350
securities. In general, average cash exposure throughout the year was less than
1% of the Master Fund's assets.
For the 12 months ended October 31, 2018, total returns were -9.34% for the
Portfolio and -7.85% for the MSCI United Kingdom Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Master Fund's
diversified investment approach, performance was determined principally by
broad trends in the U.K. equity market rather than by the behavior of a limited
number of stocks. The Master Fund's general exclusion of real estate investment
trusts (REITs) detracted from performance relative to the benchmark, as REITs
generally outperformed in the U.K.
CONTINENTAL SMALL COMPANY PORTFOLIO
The Continental Small Company Portfolio is designed to capture the returns
of small company stocks in the developed markets of Europe (excluding the U.K.)
and Israel by purchasing shares of the Continental Small Company Series, a
Master Fund managed by Dimensional that invests in such securities. The
Portfolio generally excluded stocks with the lowest profitability and highest
relative price. Relative price is measured primarily by book-to-market ratio.
In assessing profitability, Dimensional may consider such factors as earnings
or profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2018, the Master Fund held approximately 1,200 securities in 15
eligible countries. In general, average cash exposure throughout the year was
less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -11.14% for the
Portfolio and -9.49% for the MSCI Europe ex U.K. Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Master Fund's
diversified investment approach, performance was determined principally by
broad trends in European ex U.K. equity markets rather than by the behavior of
a limited number of stocks. The Master Fund and its benchmark use different
methodologies to determine which small-cap stocks are eligible for purchase or
to hold. This methodology variance led to country-by-country differences
between the maximum market capitalization of small-cap stocks bought and held
by the Master Fund relative to the benchmark, which in turn led to differences
in holdings between the Master Fund and the benchmark. These holdings
differences detracted from the Master Fund's performance relative to the
benchmark. At the sector level, the Master Fund's general exclusion of real
estate investment trusts (REITs) also detracted from relative performance,
29
as REITs generally outperformed in continental Europe (ex U.K.) markets.
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
The DFA International Real Estate Securities Portfolio is designed to
capture the returns of a broadly diversified portfolio of real estate
securities in developed ex U.S. and emerging markets. As of October 31, 2018,
the Portfolio held approximately 280 securities in 21 eligible developed ex
U.S. and emerging markets. In general, average cash exposure throughout the
year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -0.24% for the
Portfolio and -0.51% for the S&P Global ex US REIT Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was generally determined by broad trends in international
real estate securities markets rather than by the behavior of a limited number
of stocks. Withholding tax rate differences between the Portfolio and the
benchmark had a positive impact on performance relative to the benchmark, as
the Portfolio's actual tax rate was lower than the assumed tax rates of the
benchmark.
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
The DFA Global Real Estate Securities Portfolio is designed to capture the
returns of a broadly diversified group of real estate securities in domestic
and international markets, including emerging markets. As of the date of this
report, the Portfolio's investments included the DFA International Real Estate
Securities Portfolio, the DFA Real Estate Securities Portfolio, and individual
securities. As of October 31, 2018, the Portfolio held, either directly or
through the underlying portfolios, approximately 440 securities in 22 eligible
developed and emerging markets. In general, average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 1.91% for the
Portfolio and 0.55% for the S&P Global REIT Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was generally determined by broad trends in global real
estate markets rather than by the behavior of a limited number of stocks. The
Portfolio's general exclusion of hybrid REITs (REITs that own properties and
mortgages) benefited performance relative to the benchmark, as those securities
were held by the benchmark and generally underperformed for the period. The
Portfolio's broader inclusion of specialized REITs also had a positive impact
on relative performance, as did withholding tax rate differences between the
Portfolio and the benchmark.
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
The DFA International Small Cap Value Portfolio is designed to capture the
returns of small-cap value stocks in developed ex U.S. markets, with an
emphasis on those with higher profitability. Value is measured primarily by
book-to-market ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Portfolio held over 2,100
securities in 22 eligible developed markets. In general, average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -13.37% for the
Portfolio and -7.75% for the MSCI World ex USA Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity markets rather than by the behavior of a limited
number of stocks. With low relative price (value) stocks underperforming high
relative price (growth) stocks, the Portfolio's focus on value stocks detracted
from performance relative to the style-neutral benchmark. The Portfolio's
greater emphasis on stocks with smaller market capitalizations also detracted
from relative performance, as these stocks underperformed. At the sector level,
the Portfolio's general exclusion of real estate investment trusts (REITs) also
had a negative impact on relative performance, as REITs generally outperformed
in developed ex U.S. markets.
INTERNATIONAL VECTOR EQUITY PORTFOLIO
The International Vector Equity Portfolio is designed to capture the returns
of a broadly diversified group of stocks in developed ex U.S. markets, with
increased exposure to stocks with smaller market capitalization, lower relative
price (value), and higher profitability. The Portfolio's increased exposure to
small capitalization and value stocks may be achieved by decreasing the
allocation to or excluding the largest high relative price (growth) stocks in
developed ex U.S. markets. In assessing profitability Dimensional may consider
such factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Portfolio held approximately 4,700
securities in 22 eligible developed markets. In general, average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
30
For the 12 months ended October 31, 2018, total returns were -9.52% for the
Portfolio and -6.76% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. With small-cap stocks underperforming large-cap stocks in developed ex
U.S. markets for the period, the Portfolio's inclusion of and emphasis on
small-caps had a negative impact on performance relative to the benchmark
(which is composed primarily of large- and mid-cap stocks). The Portfolio's
greater emphasis on low relative price (value) stocks also detracted from
relative performance, as value stocks underperformed high relative price
(growth) stocks.
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
The International High Relative Profitability Portfolio seeks to capture the
returns of developed ex U.S. large cap stocks with higher profitability. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification with increased
exposure to stocks with smaller total market capitalizations, lower relative
price (value) stocks, and higher-profitability stocks within the large-cap high
relative profitability segment of developed ex U.S. markets. As of October 31,
2018, the Portfolio held approximately 550 securities in 22 eligible developed
markets. In general, average cash exposure since inception was less than 1% of
the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -7.20% for the
Portfolio and -6.76% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio's greater exposure to smaller large-cap stocks detracted
from performance relative to the benchmark, as these stocks underperformed
their larger counterparts. Conversely, the Portfolio's focus on stocks with
higher profitability contributed positively to relative performance, as
higher-profitability stocks generally outperformed lower-profitability stocks
within large-cap segment of the market for the period.
WORLD EX U.S. VALUE PORTFOLIO
The World ex U.S. Value Portfolio is designed to capture the returns of
value stocks across all market capitalizations in developed ex U.S. and
emerging markets. The Portfolio may pursue its objective by holding direct
securities; by purchasing shares of funds managed by Dimensional: the DFA
International Value Series, the DFA International Small Cap Value Portfolio,
and the Dimensional Emerging Markets Value Fund (the "Underlying Funds"); or by
a combination of securities and Underlying Funds. Value is measured primarily
by price-to-book ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2018, the Underlying Funds
collectively held approximately 5,200 securities in 41 eligible developed ex
U.S. and emerging markets. In general, average cash exposure throughout the
year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -9.22% for the
Portfolio and -8.24% for the MSCI All Country World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Underlying Funds'
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging equity markets rather than by
the behavior of a limited number of stocks. With small-caps underperforming
large-caps globally for the period, the Underlying Funds' inclusion of and
emphasis on small-cap stocks detracted from performance relative to the
benchmark (which is composed primarily of large- and mid-cap stocks). While low
relative price (value) stocks outperformed high relative price (growth) stocks
in emerging markets, value stocks underperformed in developed ex U.S. markets.
Overall, the Underlying Funds' focus on value stocks had a negative impact on
relative performance.
WORLD EX U.S. TARGETED VALUE PORTFOLIO
The World ex U.S. Targeted Value Portfolio is designed to capture the
returns of small- and mid-cap value stocks in developed ex U.S. and emerging
markets, with an emphasis on those with higher profitability. Value is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process-driven, emphasizing broad
diversification. As of October 31, 2018, the Portfolio held approximately 4,500
securities in 40 eligible developed ex U.S. and emerging markets. In general,
average cash exposure throughout the year was less than 1% of the Portfolio's
assets.
For the 12 months ended October 31, 2018, total returns were -13.56% for the
Portfolio and -9.73% for the MSCI All Country World ex USA Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging markets rather than by the
behavior of a limited number of stocks. With low relative price (value) stocks
underperforming high relative price (growth) stocks in developed ex U.S.
markets, the Portfolio's focus on value stocks detracted from performance
relative to the benchmark. At the sector level, the Portfolio's general
exclusion of real estate
31
investment trusts (REITs) also had a negative impact on relative performance,
as REITs generally outperformed in developed ex U.S. and emerging markets.
WORLD EX U.S. CORE EQUITY PORTFOLIO
The World ex U.S. Core Equity Portfolio is designed to capture the returns
of a broadly diversified group of stocks in developed ex U.S. and emerging
markets with increased exposure to stocks with smaller market capitalization,
lower relative price (value), and higher profitability. In assessing
profitability Dimensional may consider such factors as earnings or profits from
operations relative to book value or assets. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2018, the
Portfolio held approximately 9,000 securities in 43 eligible developed ex U.S.
and emerging markets. In general, average cash exposure throughout the year was
less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -10.22% for the
Portfolio and -8.24% for the MSCI All Country World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging equity markets rather than by
the behavior of a limited number of stocks. With small-cap stocks
underperforming large-cap stocks in developed ex U.S. and emerging markets for
the period, the Portfolio's inclusion of and emphasis on small-caps had a
negative impact on performance relative to the benchmark (which is composed
primarily of large- and mid-cap stocks). To a lesser extent, the Portfolio's
greater emphasis on low relative price (value) stocks also detracted from
relative performance, as value stocks underperformed high relative price
(growth) stocks in developed ex U.S. markets.
WORLD CORE EQUITY PORTFOLIO
The World Core Equity Portfolio seeks long-term capital appreciation
generally by investing in a combination of other mutual funds managed by
Dimensional. As of the date of this report, the Portfolio's investments
included the U.S. Core Equity 1 Portfolio, International Core Equity Portfolio,
and Emerging Markets Core Equity Portfolio (collectively, the "Underlying
Funds"). The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Underlying Funds collectively held
more than 13,300 equity securities in 44 eligible developed and emerging
markets.
For the 12 months ended October 31, 2018, total returns were -2.16% for the
Portfolio and -0.52% for the MSCI All Country World Index (net dividends), the
Portfolio's benchmark. As a result of the Underlying Funds' diversified
investment approach, performance was determined principally by broad trends in
global equity markets rather than by the behavior of a limited group of stocks.
With small-caps underperforming large-caps globally for the period, the
Underlying Funds' inclusion of and emphasis on small-cap stocks detracted from
performance relative to the benchmark (which is composed primarily of large-
and mid-cap stocks). With low relative price (value) stocks generally
underperforming high relative price (growth) stocks in developed markets, the
Underlying Funds' greater emphasis on value stocks also had a negative impact
on relative performance.
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
The Selectively Hedged Global Equity Portfolio seeks long-term capital
appreciation by investing in a combination of other mutual funds managed by
Dimensional. As of the date of this report, the Portfolio invests in the U.S.
Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging
Markets Core Equity Portfolio (the "Underlying Funds"). The Portfolio hedges
foreign currency exposure on a selective basis to capture positive forward
currency premiums. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Underlying Funds collectively held
approximately 13,400 equity securities in 44 eligible developed and emerging
markets.
For the 12 months ended October 31, 2018, total returns were -2.28% for the
Portfolio and -0.52% for the MSCI All Country World Index (net dividends), the
Portfolio's benchmark. As a result of the Underlying Funds' diversified
investment approach, performance was determined principally by broad trends in
global equity markets (rather than by the behavior of a limited group of stocks
in a particular industry or country) and by the effect of the Portfolio's
currency hedging activity. The Underlying Funds' greater allocation to emerging
markets had a negative impact on performance relative to the benchmark, as
emerging markets underperformed developed markets. With small-caps
underperforming large-caps globally for the period, the Underlying Funds'
inclusion of and emphasis on small-cap stocks detracted from performance
relative to the benchmark (which is composed primarily of large- and mid-cap
stocks). With low relative price (value) stocks generally underperforming high
relative price (growth) stocks in developed markets, the Underlying Funds'
greater emphasis on value stocks also had a negative impact on relative
performance. The Portfolio's strategy of selectively hedging foreign currency
exposure contributed positively to performance relative to the benchmark (which
does not hedge currency exposure), as the U.S. dollar generally strengthened
against the currencies that the Portfolio had hedged.
32
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio is designed to capture the returns of
large-cap stocks in selected emerging markets countries by purchasing shares of
The Emerging Markets Series, a Master Fund managed by Dimensional that invests
in such securities. Value is measured primarily by book-to-market ratio. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification with increased
exposure to smaller total market capitalizations, lower relative price (value)
stocks, and higher-profitability stocks within the large-cap segment of
emerging markets. As of October 31, 2018, the Master Fund held approximately
1,200 securities across 21 eligible emerging markets. In general, average cash
exposure throughout the year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2018, total returns were -12.14% for the
Portfolio and -12.52% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was generally determined by broad trends in emerging
markets rather than by the behavior of a limited number of stocks. The Master
Fund's greater emphasis on low relative price (value) stocks had a positive
impact on performance relative to the benchmark, as value stocks outperformed
high relative price (growth) stocks in emerging markets for the period.
Additionally, the Master Fund's greater emphasis on stocks with higher
profitability benefited relative performance, as higher-profitability stocks
outperformed lower-profitability stocks in emerging markets.
EMERGING MARKETS SMALL CAP PORTFOLIO
The Emerging Markets Small Cap Portfolio is designed to capture the returns
of small company stocks in selected emerging markets by purchasing shares of
The Emerging Markets Small Cap Series, a Master Fund managed by Dimensional
that invests in such securities. The Master Fund's investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2018, the
Master Fund held approximately 4,300 securities across 18 eligible emerging
markets. In general, average cash exposure throughout the year was less than 1%
of the Master Fund's assets.
For the 12 months ended October 31, 2018, total returns were -16.45% for the
Portfolio and -12.52% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was principally determined by broad trends in emerging
markets rather than by the behavior of a limited number of stocks. With
small-cap stocks underperforming large-cap stocks, the Master Fund's focus on
small-caps detracted from performance relative to the benchmark (which is
composed primarily of large- and mid-cap stocks).
EMERGING MARKETS VALUE PORTFOLIO
The Emerging Markets Value Portfolio is designed to capture the returns of
value stocks of large and small companies in selected emerging markets by
purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund
managed by Dimensional that invests in such securities. Value is measured
primarily by price-to-book ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification with increased exposure to smaller total market
capitalizations, lower relative price (value) stocks, and higher-profitability
stocks within the value segment of emerging markets. As of October 31, 2018,
the Master Fund held approximately 2,600 securities across 19 eligible emerging
markets. In general, average cash exposure throughout the year was less than 1%
of the Master Fund's assets.
For the 12 months ended October 31, 2018, total returns were -9.66% for the
Portfolio's Class R2 shares, -9.45% for the Portfolio's Institutional
Class shares, and -12.52% for the MSCI Emerging Markets Index (net dividends),
the Portfolio's benchmark. As a result of the Master Fund's diversified
investment approach, the Portfolio's performance was generally determined by
broad trends in emerging markets rather than by the behavior of a limited
number of stocks. The Master Fund's focus on low relative price (value) stocks
had a positive impact on performance relative to the benchmark, as value stocks
outperformed high relative price (growth) stocks in emerging markets for the
period. Conversely, with small-cap stocks underperforming large-cap stocks, the
Master Fund's inclusion of small-caps detracted from performance relative to
the benchmark (which is composed primarily of large- and mid-cap stocks).
EMERGING MARKETS CORE EQUITY PORTFOLIO
The Emerging Markets Core Equity Portfolio is designed to capture the
returns of a broadly diversified group of stocks in emerging markets, with
increased exposure to stocks with smaller market capitalization, lower relative
price (value), and higher profitability. In assessing profitability Dimensional
may consider such factors as earnings or profits from operations relative to
book value or assets. The investment strategy is process driven, emphasizing
broad
33
diversification. As of October 31, 2018, the Portfolio held approximately 5,000
securities across 21 eligible emerging markets. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were -13.48% for the
Portfolio and -12.52% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was generally determined by broad trends in emerging
markets rather than by the behavior of a limited number of stocks. With
small-cap stocks underperforming large-cap stocks in emerging markets for the
period, the Portfolio's inclusion of and emphasis on small-caps had a negative
impact on performance relative to the benchmark (which is composed primarily of
large- and mid-cap stocks). Conversely, the Portfolio's greater emphasis on low
relative price (value) stocks and consequent lesser allocation to high relative
price (growth) stocks contributed positively to relative performance, as value
stocks outperformed growth stocks in emerging markets for the period.
34
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and 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"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
------------- ------------- ---------- ---------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
-------------------------------------
Actual Fund Return.......................................... $ 1,000.00 $ 1,031.30 0.15% $ 0.77
Hypothetical 5% Annual Return............................... $ 1,000.00 $ 1,024.45 0.15% $ 0.77
U.S. LARGE CAP EQUITY PORTFOLIO
-------------------------------
Actual Fund Return.......................................... $ 1,000.00 $ 1,022.80 0.17% $ 0.87
Hypothetical 5% Annual Return............................... $ 1,000.00 $ 1,024.35 0.17% $ 0.87
35
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
U.S. LARGE CAP VALUE PORTFOLIO(2)
---------------------------------
Actual Fund Return.......................................... $1,000.00 $ 992.00 0.27% $1.36
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.84 0.27% $1.38
U.S. TARGETED VALUE PORTFOLIO
-----------------------------
Actual Fund Return
Class R1 Shares.......................................... $1,000.00 $ 960.80 0.47% $2.32
Class R2 Shares.......................................... $1,000.00 $ 959.80 0.62% $3.06
Institutional Class Shares............................... $1,000.00 $ 961.30 0.37% $1.83
Hypothetical 5% Annual Return
Class R1 Shares.......................................... $1,000.00 $1,022.84 0.47% $2.40
Class R2 Shares.......................................... $1,000.00 $1,022.08 0.62% $3.16
Institutional Class Shares............................... $1,000.00 $1,023.34 0.37% $1.89
U.S. SMALL CAP VALUE PORTFOLIO
------------------------------
Actual Fund Return.......................................... $1,000.00 $ 974.70 0.52% $2.59
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.58 0.52% $2.65
U.S. CORE EQUITY 1 PORTFOLIO
----------------------------
Actual Fund Return.......................................... $1,000.00 $1,013.40 0.19% $0.96
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.25 0.19% $0.97
U.S. CORE EQUITY 2 PORTFOLIO
----------------------------
Actual Fund Return.......................................... $1,000.00 $1,004.20 0.22% $1.11
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.10 0.22% $1.12
U.S. VECTOR EQUITY PORTFOLIO
----------------------------
Actual Fund Return.......................................... $1,000.00 $ 978.30 0.32% $1.60
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.59 0.32% $1.63
U.S. SMALL CAP PORTFOLIO
------------------------
Actual Fund Return.......................................... $1,000.00 $ 987.80 0.37% $1.85
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.34 0.37% $1.89
U.S. MICRO CAP PORTFOLIO
------------------------
Actual Fund Return.......................................... $1,000.00 $ 995.90 0.52% $2.62
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.58 0.52% $2.65
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
------------------------------------------
Actual Fund Return.......................................... $1,000.00 $1,028.90 0.25% $1.28
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.95 0.25% $1.28
36
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------
Actual Fund Return.......................................... $1,000.00 $1,070.10 0.18% $0.94
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.30 0.18% $0.92
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------
Actual Fund Return.......................................... $1,000.00 $ 902.00 0.21% $1.01
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.15 0.21% $1.07
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return.......................................... $1,000.00 $ 880.60 0.28% $1.33
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.79 0.28% $1.43
INTERNATIONAL SMALL COMPANY PORTFOLIO(3)
----------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 869.60 0.52% $2.45
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.58 0.52% $2.65
GLOBAL SMALL COMPANY PORTFOLIO(3)
---------------------------------
Actual Fund Return.......................................... $1,000.00 $ 919.50 0.48% $2.32
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.79 0.48% $2.45
JAPANESE SMALL COMPANY PORTFOLIO(2)
-----------------------------------
Actual Fund Return.......................................... $1,000.00 $ 868.80 0.53% $2.50
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.53 0.53% $2.70
ASIA PACIFIC SMALL COMPANY PORTFOLIO(2)
---------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 881.50 0.54% $2.56
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.48 0.54% $2.75
UNITED KINGDOM SMALL COMPANY PORTFOLIO(2)
-----------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 868.10 0.57% $2.68
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.33 0.57% $2.91
CONTINENTAL SMALL COMPANY PORTFOLIO(2)
--------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 860.40 0.53% $2.49
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.53 0.53% $2.70
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 927.30 0.26% $1.26
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.90 0.26% $1.33
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO(4)
----------------------------------------------
Actual Fund Return.......................................... $1,000.00 $1,019.00 0.24% $1.22
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.00 0.24% $1.22
37
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-------------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 844.10 0.66% $3.07
Hypothetical 5% Annual Return............................... $1,000.00 $1,021.88 0.66% $3.36
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 871.60 0.48% $2.26
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.79 0.48% $2.45
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
---------------------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 904.80 0.32% $1.54
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.59 0.32% $1.63
WORLD EX U.S. VALUE PORTFOLIO(3)
--------------------------------
Actual Fund Return.......................................... $1,000.00 $ 863.70 0.50% $2.35
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.69 0.50% $2.55
WORLD EX U.S. TARGETED VALUE PORTFOLIO
--------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 835.20 0.65% $3.01
Hypothetical 5% Annual Return............................... $1,000.00 $1,021.93 0.65% $3.31
WORLD EX U.S. CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return.......................................... $1,000.00 $ 862.50 0.38% $1.78
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.29 0.38% $1.94
WORLD CORE EQUITY PORTFOLIO(3)
------------------------------
Actual Fund Return.......................................... $1,000.00 $ 940.40 0.35% $1.71
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.44 0.35% $1.79
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO(3)
---------------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 945.20 0.34% $1.67
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.49 0.34% $1.73
EMERGING MARKETS PORTFOLIO(2)
-----------------------------
Actual Fund Return.......................................... $1,000.00 $ 842.90 0.44% $2.04
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.99 0.44% $2.24
EMERGING MARKETS SMALL CAP PORTFOLIO(2)
---------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 788.00 0.68% $3.06
Hypothetical 5% Annual Return............................... $1,000.00 $1,021.78 0.68% $3.47
38
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
EMERGING MARKETS VALUE PORTFOLIO(2)
-----------------------------------
Actual Fund Return
Class R2 Shares.......................................... $1,000.00 $ 845.60 0.77% $3.58
Institutional Class Shares............................... $1,000.00 $ 846.70 0.52% $2.42
Hypothetical 5% Annual Return
Class R2 Shares.......................................... $1,000.00 $1,021.32 0.77% $3.92
Institutional Class Shares............................... $1,000.00 $1,022.58 0.52% $2.65
EMERGING MARKETS CORE EQUITY PORTFOLIO
--------------------------------------
Actual Fund Return.......................................... $1,000.00 $ 826.00 0.49% $2.26
Hypothetical 5% Annual Return............................... $1,000.00 $1,022.74 0.49% $2.50
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2)The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
(3)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 Underlying Funds (Affiliated Investment Companies).
(4)The Portfolio invests directly and indirectly through other funds. The
expenses shown reflect the direct expenses of the fund and the fund's
portion of the expenses of its Master and/or Underlying Funds (Affiliated
Investment Companies).
39
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400; by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX
78746; or by visiting the SEC's website at http://www.sec.gov.
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; by mailing a request to Dimensional Fund Advisors LP,
6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC's
website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this 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 in 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%
FUND OF FUNDS
AFFILIATED INVESTMENT COMPANIES
-------------------------------
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%
40
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
ENHANCED DOMESTIC EQUITY PORTFOLIO
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Corporate................................................... 31.3%
Government.................................................. 14.1%
Foreign Corporate........................................... 26.1%
Foreign Government.......................................... 24.7%
Supranational............................................... 3.8%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. LARGE CAP EQUITY PORTFOLIO
Communication Services...................................... 9.6%
Consumer Discretionary...................................... 11.4%
Consumer Staples............................................ 7.1%
Energy...................................................... 5.5%
Financials.................................................. 13.7%
Health Care................................................. 14.4%
Industrials................................................. 11.7%
Information Technology...................................... 20.8%
Materials................................................... 3.3%
Real Estate................................................. 0.2%
Utilities................................................... 2.3%
-----
100.0%
U.S. TARGETED VALUE PORTFOLIO
Communication Services...................................... 3.0%
Consumer Discretionary...................................... 12.9%
Consumer Staples............................................ 3.7%
Energy...................................................... 9.2%
Financials.................................................. 27.7%
Health Care................................................. 5.9%
Industrials................................................. 20.0%
Information Technology...................................... 11.3%
Materials................................................... 5.8%
Real Estate................................................. 0.4%
Utilities................................................... 0.1%
-----
100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Communication Services...................................... 4.2%
Consumer Discretionary...................................... 13.2%
Consumer Staples............................................ 3.9%
Energy...................................................... 11.5%
Financials.................................................. 26.3%
Health Care................................................. 4.8%
Industrials................................................. 18.4%
Information Technology...................................... 11.3%
Materials................................................... 5.8%
Real Estate................................................. 0.5%
Utilities................................................... 0.1%
-----
100.0%
U.S. CORE EQUITY 1 PORTFOLIO
Communication Services...................................... 7.7%
Consumer Discretionary...................................... 13.0%
Consumer Staples............................................ 6.4%
Energy...................................................... 5.7%
Financials.................................................. 14.9%
Health Care................................................. 12.6%
Industrials................................................. 13.0%
Information Technology...................................... 19.7%
Materials................................................... 3.9%
Real Estate................................................. 0.3%
Utilities................................................... 2.8%
-----
100.0%
U.S. CORE EQUITY 2 PORTFOLIO
Communication Services...................................... 8.0%
Consumer Discretionary...................................... 12.3%
Consumer Staples............................................ 6.1%
Energy...................................................... 6.3%
Financials.................................................. 17.5%
Health Care................................................. 12.0%
Industrials................................................. 13.6%
Information Technology...................................... 17.8%
Materials................................................... 4.2%
Real Estate................................................. 0.3%
Utilities................................................... 1.9%
-----
100.0%
U.S. VECTOR EQUITY PORTFOLIO
Communication Services...................................... 6.3%
Consumer Discretionary...................................... 11.3%
Consumer Staples............................................ 4.1%
Energy...................................................... 7.9%
Financials.................................................. 24.9%
Health Care................................................. 9.3%
Industrials................................................. 15.9%
Information Technology...................................... 13.7%
Materials................................................... 5.0%
Real Estate................................................. 0.5%
Utilities................................................... 1.1%
-----
100.0%
U.S. SMALL CAP PORTFOLIO
Communication Services...................................... 3.9%
Consumer Discretionary...................................... 15.2%
Consumer Staples............................................ 4.5%
Energy...................................................... 6.5%
Financials.................................................. 19.4%
Health Care................................................. 9.4%
Industrials................................................. 19.2%
Information Technology...................................... 12.8%
Materials................................................... 5.0%
Real Estate................................................. 0.7%
Utilities................................................... 3.4%
-----
100.0%
U.S. MICRO CAP PORTFOLIO
Communication Services...................................... 3.5%
Consumer Discretionary...................................... 14.3%
Consumer Staples............................................ 4.1%
Energy...................................................... 7.0%
Financials.................................................. 21.7%
Health Care................................................. 10.3%
Industrials................................................. 20.0%
Information Technology...................................... 11.5%
Materials................................................... 4.4%
Real Estate................................................. 1.1%
Utilities................................................... 2.1%
-----
100.0%
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
Communication Services...................................... 7.0%
Consumer Discretionary...................................... 19.4%
Consumer Staples............................................ 11.2%
Energy...................................................... 1.0%
Financials.................................................. 4.3%
Health Care................................................. 7.7%
Industrials................................................. 19.2%
Information Technology...................................... 27.5%
Materials................................................... 2.7%
-----
100.0%
41
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA REAL ESTATE SECURITIES PORTFOLIO
Real Estate................................................. 100.0%
-----
100.0%
LARGE CAP INTERNATIONAL PORTFOLIO
Communication Services...................................... 5.7%
Consumer Discretionary...................................... 12.2%
Consumer Staples............................................ 10.3%
Energy...................................................... 7.4%
Financials.................................................. 19.0%
Health Care................................................. 9.5%
Industrials................................................. 15.1%
Information Technology...................................... 5.4%
Materials................................................... 10.2%
Real Estate................................................. 2.0%
Utilities................................................... 3.2%
-----
100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO
Communication Services...................................... 5.9%
Consumer Discretionary...................................... 13.7%
Consumer Staples............................................ 7.4%
Energy...................................................... 7.5%
Financials.................................................. 17.4%
Health Care................................................. 5.9%
Industrials................................................. 17.6%
Information Technology...................................... 5.9%
Materials................................................... 13.1%
Real Estate................................................. 2.6%
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............................. 52.7%
Real Estate................................................. 47.3%
-----
100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Communication Services...................................... 2.7%
Consumer Discretionary...................................... 13.4%
Consumer Staples............................................ 5.2%
Energy...................................................... 7.9%
Financials.................................................. 20.4%
Health Care................................................. 2.2%
Industrials................................................. 23.1%
Information Technology...................................... 4.1%
Materials................................................... 16.0%
Real Estate................................................. 3.1%
Utilities................................................... 1.9%
-----
100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Communication Services...................................... 5.0%
Consumer Discretionary...................................... 13.5%
Consumer Staples............................................ 6.3%
Energy...................................................... 7.7%
Financials.................................................. 18.5%
Health Care................................................. 4.5%
Industrials................................................. 19.3%
Information Technology...................................... 6.2%
Materials................................................... 14.2%
Real Estate................................................. 2.6%
Utilities................................................... 2.2%
-----
100.0%
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
Communication Services...................................... 9.0%
Consumer Discretionary...................................... 16.8%
Consumer Staples............................................ 12.4%
Energy...................................................... 4.4%
Financials.................................................. 4.8%
Health Care................................................. 10.9%
Industrials................................................. 19.7%
Information Technology...................................... 5.8%
Materials................................................... 13.0%
Real Estate................................................. 0.7%
Utilities................................................... 2.5%
-----
100.0%
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Communication Services...................................... 4.4%
Consumer Discretionary...................................... 13.1%
Consumer Staples............................................ 5.6%
Energy...................................................... 6.0%
Financials.................................................. 17.6%
Health Care................................................. 3.3%
Industrials................................................. 20.9%
Information Technology...................................... 6.8%
Materials................................................... 15.5%
Real Estate................................................. 4.6%
Utilities................................................... 2.2%
-----
100.0%
WORLD EX U.S. CORE EQUITY PORTFOLIO
Communication Services...................................... 6.1%
Consumer Discretionary...................................... 13.2%
Consumer Staples............................................ 7.1%
Energy...................................................... 7.3%
Financials.................................................. 17.4%
Health Care................................................. 5.2%
Industrials................................................. 16.2%
Information Technology...................................... 8.1%
Materials................................................... 12.9%
Real Estate................................................. 3.3%
Utilities................................................... 3.2%
-----
100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Communication Services...................................... 7.9%
Consumer Discretionary...................................... 10.4%
Consumer Staples............................................ 7.5%
Energy...................................................... 6.7%
Financials.................................................. 18.5%
Health Care................................................. 3.5%
Industrials................................................. 9.0%
Information Technology...................................... 17.9%
Materials................................................... 11.6%
Real Estate................................................. 3.6%
Utilities................................................... 3.4%
-----
100.0%
42
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (85.3%)
AUSTRALIA -- (8.2%)
ANZ New Zealand International Ltd.
2.600%, 09/23/19................................................. 2,200 $ 2,188,966
Australia & New Zealand Banking Group, Ltd.
W 2.250%, 12/19/19................................................. 1,000 990,697
5.100%, 01/13/20................................................. 750 767,856
Commonwealth Bank of Australia
5.000%, 10/15/19................................................. 3,000 3,052,581
#W 2.250%, 03/10/20................................................. 1,000 986,210
W 2.050%, 09/18/20................................................. 1,800 1,754,691
2.400%, 11/02/20................................................. 2,096 2,053,078
National Australia Bank, Ltd.
2.125%, 05/22/20................................................. 5,586 5,488,971
2.500%, 01/12/21................................................. 3,500 3,424,859
Westpac Banking Corp.
2.150%, 03/06/20................................................. 2,204 2,172,284
2.300%, 05/26/20................................................. 3,500 3,444,192
-----------
TOTAL AUSTRALIA...................................................... 26,324,385
-----------
AUSTRIA -- (2.0%)
Oesterreichische Kontrollbank AG
1.750%, 01/24/20................................................. 5,000 4,929,699
1.875%, 01/20/21................................................. 1,500 1,461,161
-----------
TOTAL AUSTRIA........................................................ 6,390,860
-----------
CANADA -- (20.4%)
Bank of Montreal
2.100%, 12/12/19................................................. 680 672,490
1.900%, 08/27/21................................................. 4,000 3,834,399
Bank of Nova Scotia (The)
2.350%, 10/21/20................................................. 1,500 1,475,217
Canada Housing Trust No 1
W 2.000%, 12/15/19................................................. CAD 4,000 3,030,848
W 1.200%, 06/15/20................................................. CAD 8,000 5,965,681
Canadian Government Bond
1.750%, 05/01/20................................................. CAD 2,000 1,507,539
CPPIB Capital, Inc.
1.400%, 06/04/20................................................. CAD 6,200 4,632,916
# 2.375%, 01/29/21................................................. 2,000 1,968,663
Province of Alberta Canada
1.250%, 06/01/20................................................. CAD 2,000 1,491,618
Province of British Columbia Canada
3.700%, 12/18/20................................................. CAD 6,000 4,671,655
Province of Manitoba Canada
2.050%, 11/30/20................................................. 3,000 2,934,090
FACE
AMOUNT^ VALUE+
------- -----------
(000)
CANADA -- (Continued)
Province of Ontario Canada
4.400%, 04/14/20................................................. 5,000 $ 5,093,967
4.200%, 06/02/20................................................. CAD 4,700 3,667,567
2.550%, 02/12/21................................................. 1,500 1,479,135
Province of Quebec Canada
3.500%, 07/29/20................................................. 2,200 2,215,812
4.500%, 12/01/20................................................. CAD 5,500 4,347,066
Province of Saskatchewan Canada
3.900%, 07/28/20................................................. CAD 6,300 4,902,845
Royal Bank of Canada
2.980%, 05/07/19................................................. CAD 1,000 762,293
2.350%, 12/09/19................................................. CAD 1,300 984,808
2.150%, 03/06/20................................................. 1,000 987,436
2.350%, 10/30/20................................................. 1,000 981,936
Toronto-Dominion Bank (The)
2.563%, 06/24/20................................................. CAD 5,000 3,782,103
2.500%, 12/14/20................................................. 2,000 1,969,203
2.125%, 04/07/21................................................. 1,000 971,870
3.250%, 06/11/21................................................. 1,000 996,661
-----------
TOTAL CANADA......................................................... 65,327,818
-----------
DENMARK -- (0.5%)
Kommunekredit
1.625%, 06/12/20................................................. 1,500 1,467,465
-----------
FRANCE -- (1.9%)
Caisse d'Amortissement de la Dette Sociale
1.875%, 07/28/20................................................. 2,000 1,958,620
Total Capital International SA
2.750%, 06/19/21................................................. 2,000 1,974,920
Total Capital SA
4.450%, 06/24/20................................................. 2,200 2,241,657
-----------
TOTAL FRANCE......................................................... 6,175,197
-----------
GERMANY -- (4.2%)
Daimler Finance North America LLC
W 2.250%, 03/02/20................................................. 1,500 1,476,132
Deutsche Bank AG
2.850%, 05/10/19................................................. 1,500 1,494,832
FMS Wertmanagement
1.750%, 01/24/20................................................. 3,000 2,958,318
Kreditanstalt fuer Wiederaufbau
1.500%, 04/20/20 2,000 1,958,526
1.875%, 06/30/20................................................. 2,000 1,964,355
2.750%, 07/15/20................................................. 800 796,739
43
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
GERMANY -- (Continued)
State of North Rhine-Westphalia Germany
1.625%, 01/22/20................................................. 1,000 $ 983,850
Volkswagen Group of America Finance LLC
2.450%, 11/20/19................................................. 2,000 1,980,077
-----------
TOTAL GERMANY........................................................ 13,612,829
-----------
JAPAN -- (4.5%)
Development Bank of Japan, Inc.
1.625%, 09/25/19................................................. 2,000 1,972,924
MUFG Bank, Ltd.
W 2.300%, 03/05/20................................................. 1,400 1,381,574
Nissan Motor Acceptance Corp.
W 2.125%, 03/03/20................................................. 1,300 1,277,280
Toyota Credit Canada, Inc.
2.250%, 05/23/19................................................. CAD 1,900 1,442,539
1.800%, 02/19/20................................................. CAD 6,500 4,873,284
2.200%, 02/25/21................................................. CAD 4,500 3,352,927
-----------
TOTAL JAPAN.......................................................... 14,300,528
-----------
NETHERLANDS -- (3.3%)
BNG Bank NV
1.750%, 03/24/20................................................. 1,000 983,116
2.125%, 12/14/20................................................. 1,500 1,470,510
Cooperatieve Rabobank UA
2.250%, 12/02/19................................................. 1,655 1,637,835
4.750%, 01/15/20................................................. 700 713,013
Shell International Finance BV
4.375%, 03/25/20................................................. 1,547 1,574,428
2.125%, 05/11/20................................................. 1,500 1,479,766
2.250%, 11/10/20................................................. 2,685 2,636,187
-----------
TOTAL NETHERLANDS.................................................... 10,494,855
-----------
NORWAY -- (1.4%)
Equinor ASA
2.250%, 11/08/19................................................. 3,461 3,432,754
2.900%, 11/08/20................................................. 941 933,909
-----------
TOTAL NORWAY......................................................... 4,366,663
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.8%)
Council Of Europe Development Bank
1.625%, 03/10/20................................................. 3,000 2,947,247
European Investment Bank
4.000%, 02/16/21................................................. 3,000 3,062,389
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
W 2.250%, 07/30/21................................................. CAD 8,000 $ 6,016,605
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS......................... 12,026,241
-----------
SWEDEN -- (3.5%)
Kommuninvest I Sverige AB
1.750%, 03/19/20................................................. 2,000 1,967,196
2.500%, 12/01/20................................................. SEK 25,000 2,868,683
1.000%, 09/15/21................................................. SEK 17,000 1,899,024
Svensk Exportkredit AB
1.750%, 05/18/20................................................. 1,000 980,420
2.875%, 05/22/21................................................. 2,500 2,485,131
Svenska Handelsbanken AB
# 2.400%, 10/01/20................................................. 1,000 981,440
-----------
TOTAL SWEDEN......................................................... 11,181,894
-----------
UNITED KINGDOM -- (2.1%)
AstraZeneca P.L.C.
1.950%, 09/18/19................................................. 700 692,988
BAE Systems Holdings, Inc.
W 6.375%, 06/01/19................................................. 480 488,622
Barclays P.L.C.
2.750%, 11/08/19................................................. 1,500 1,489,533
2.875%, 06/08/20................................................. 500 493,886
BP Capital Markets P.L.C.
2.315%, 02/13/20................................................. 2,550 2,523,397
HSBC USA, Inc.
2.375%, 11/13/19................................................. 1,000 992,428
-----------
TOTAL UNITED KINGDOM................................................. 6,680,854
-----------
UNITED STATES -- (29.5%)
Allergan Funding SCS
3.000%, 03/12/20................................................. 1,200 1,194,793
Allergan, Inc.
3.375%, 09/15/20................................................. 1,800 1,796,593
Altria Group, Inc.
2.625%, 01/14/20................................................. 2,000 1,987,047
American Express Credit Corp.
2.375%, 05/26/20................................................. 1,000 986,110
American Honda Finance Corp.
2.150%, 03/13/20................................................. 1,500 1,478,723
Amgen, Inc.
2.200%, 05/11/20................................................. 1,000 984,480
Anthem, Inc.
2.500%, 11/21/20................................................. 1,766 1,730,223
Apple, Inc.
1.800%, 05/11/20................................................. 2,000 1,963,040
2.000%, 11/13/20................................................. 2,500 2,445,862
44
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
AT&T, Inc.
2.450%, 06/30/20................................................. 1,500 $1,476,872
Autodesk, Inc.
3.125%, 06/15/20................................................. 1,500 1,493,777
Bank of America Corp.
2.250%, 04/21/20................................................. 1,035 1,020,056
Bank of New York Mellon Corp. (The)
2.150%, 02/24/20................................................. 2,000 1,976,360
Biogen, Inc.
2.900%, 09/15/20................................................. 2,000 1,980,885
Boston Scientific Corp.
6.000%, 01/15/20................................................. 1,300 1,340,032
Capital One NA
2.350%, 01/31/20................................................. 1,500 1,481,070
Chevron Corp.
1.961%, 03/03/20................................................. 3,600 3,549,223
Citibank NA
2.100%, 06/12/20................................................. 1,000 981,738
Citizens Bank N.A.
2.450%, 12/04/19................................................. 2,200 2,183,393
Coca-Cola Co. (The)
1.875%, 10/27/20................................................. 1,000 977,445
Costco Wholesale Corp.
# 1.750%, 02/15/20................................................. 950 934,222
CVS Health Corp.
2.800%, 07/20/20................................................. 1,500 1,484,135
Discovery Communications LLC
W 2.750%, 11/15/19................................................. 2,000 1,985,829
Dominion Energy, Inc.
2.500%, 12/01/19................................................. 2,000 1,987,913
Eastman Chemical Co.
2.700%, 01/15/20................................................. 2,000 1,984,949
EI du Pont de Nemours & Co.
4.625%, 01/15/20................................................. 632 642,763
EMD Finance LLC
#W 2.400%, 03/19/20................................................. 2,100 2,069,727
Enterprise Products Operating LLC
5.250%, 01/31/20................................................. 2,000 2,046,080
Exelon Generation Co. LLC
# 2.950%, 01/15/20................................................. 2,000 1,987,291
Express Scripts Holding Co.
2.250%, 06/15/19................................................. 2,000 1,992,602
Ford Motor Credit Co. LLC
2.681%, 01/09/20................................................. 1,000 985,621
General Electric Co.
2.200%, 01/09/20................................................. 1,000 981,944
General Motors Financial Co., Inc.
# 2.350%, 10/04/19................................................. 429 424,813
3.150%, 01/15/20................................................. 1,600 1,592,164
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Gilead Sciences, Inc.
2.350%, 02/01/20................................................. 1,500 $1,485,181
Goldman Sachs Group, Inc. (The)
6.000%, 06/15/20................................................. 1,000 1,040,647
Harley-Davidson Financial Services, Inc.
W 2.150%, 02/26/20................................................. 1,000 982,640
Humana, Inc.
2.625%, 10/01/19................................................. 2,981 2,965,746
JM Smucker Co. (The)
2.500%, 03/15/20................................................. 1,061 1,051,147
John Deere Capital Corp.
2.050%, 03/10/20................................................. 220 217,081
JPMorgan Chase & Co.
# 2.250%, 01/23/20................................................. 1,000 988,154
# 4.950%, 03/25/20................................................. 2,000 2,046,036
Kraft Heinz Foods Co.
5.375%, 02/10/20................................................. 1,500 1,539,336
Manufacturers & Traders Trust Co.
2.100%, 02/06/20................................................. 400 394,722
Markel Corp.
7.125%, 09/30/19................................................. 527 543,175
Medtronic, Inc.
2.500%, 03/15/20................................................. 2,500 2,478,357
Microsoft Corp.
1.850%, 02/06/20................................................. 1,500 1,480,910
Nasdaq, Inc.
5.550%, 01/15/20................................................. 1,300 1,332,773
Nuveen Finance LLC
W 2.950%, 11/01/19................................................. 1,000 998,045
Philip Morris International, Inc.
2.000%, 02/21/20................................................. 3,000 2,955,240
PNC Bank NA
2.600%, 07/21/20................................................. 1,000 987,953
Quest Diagnostics, Inc.
4.750%, 01/30/20................................................. 1,131 1,150,114
Ryder System, Inc.
2.450%, 09/03/19................................................. 2,000 1,988,901
Southern Co. (The)
2.750%, 06/15/20................................................. 1,000 988,010
Target Corp.
3.875%, 07/15/20................................................. 963 975,635
TD Ameritrade Holding Corp.
5.600%, 12/01/19................................................. 1,500 1,539,158
Textron, Inc.
7.250%, 10/01/19................................................. 1,500 1,550,852
Tyson Foods, Inc.
2.650%, 08/15/19................................................. 1,200 1,196,623
Verizon Communications, Inc.
4.600%, 04/01/21................................................. 1,600 1,642,605
Walmart, Inc.
2.850%, 06/23/20................................................. 3,759 3,753,029
45
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
UNITED STATES -- (Continued)
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20................................................. 2,000 $ 1,977,695
------------
TOTAL UNITED STATES......................................................................... 94,377,540
------------
TOTAL BONDS................................................................................. 272,727,129
------------
U.S. TREASURY OBLIGATIONS -- (14.0%)
U.S. Treasury Notes
1.125%, 04/30/20................................................. 3,000 2,925,234
1.375%, 08/31/20................................................. 8,000 7,787,813
(double left angle quote) 1.750%, 10/31/20................................................. 25,000 24,455,078
1.625%, 11/30/20................................................. 10,000 9,746,094
------------
TOTAL U.S. TREASURY OBLIGATIONS............................................................. 44,914,219
------------
TOTAL INVESTMENT SECURITIES................................................................. 317,641,348
------------
SHARES VALUE+
------- ------------
SECURITIES LENDING COLLATERAL -- (0.7%)
@(S) DFA Short Term Investment Fund................................... 196,232 $ 2,270,404
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $324,942,113)................................................ $319,911,752
============
As of October 31, 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 1,952,321 SEK 17,425,383 Royal Bank of Scotland 01/17/19 $ 33,701
USD 2,971,503 SEK 26,399,979 Citibank, N.A. 01/17/19 64,736
USD 56,298,577 CAD 73,526,505 Royal Bank of Scotland 01/24/19 349,401
----------
TOTAL APPRECIATION $ 447,838
==========
As of October 31, 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............................ 2,429 12/21/18 $348,797,334 $329,263,095 $(19,534,239)
------------ ------------ ------------
TOTAL FUTURES CONTRACTS........................... $348,797,334 $329,263,095 $(19,534,239)
============ ============ ============
46
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................................................ -- $ 26,324,385 -- $ 26,324,385
Austria.................................................. -- 6,390,860 -- 6,390,860
Canada................................................... -- 65,327,818 -- 65,327,818
Denmark.................................................. -- 1,467,465 -- 1,467,465
France................................................... -- 6,175,197 -- 6,175,197
Germany.................................................. -- 13,612,829 -- 13,612,829
Japan.................................................... -- 14,300,528 -- 14,300,528
Netherlands.............................................. -- 10,494,855 -- 10,494,855
Norway................................................... -- 4,366,663 -- 4,366,663
Supranational Organization Obligations................... -- 12,026,241 -- 12,026,241
Sweden................................................... -- 11,181,894 -- 11,181,894
United Kingdom........................................... -- 6,680,854 -- 6,680,854
United States............................................ -- 94,377,540 -- 94,377,540
U.S. Treasury Obligations................................... -- 44,914,219 -- 44,914,219
Securities Lending Collateral............................... -- 2,270,404 -- 2,270,404
Forward Currency Contracts**................................ -- 447,838 -- 447,838
Futures Contracts**......................................... $(19,534,239) -- -- (19,534,239)
------------ ------------ -------- ------------
TOTAL....................................................... $(19,534,239) $320,359,590 -- $300,825,351
============ ============ ======== ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
47
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- ------------ ---------------
COMMON STOCKS -- (97.1%)
COMMUNICATION SERVICES -- (9.3%)
* Alphabet, Inc., Class A.......................................... 13,358 $ 14,567,968 1.0%
* Alphabet, Inc., Class C.......................................... 14,150 15,236,295 1.1%
AT&T, Inc........................................................ 393,396 12,069,389 0.8%
Comcast Corp., Class A........................................... 334,263 12,748,791 0.9%
* Facebook, Inc., Class A.......................................... 111,354 16,902,424 1.2%
Verizon Communications, Inc...................................... 292,286 16,686,608 1.1%
Walt Disney Co. (The)............................................ 109,919 12,621,999 0.9%
Other Securities................................................. 38,427,539 2.5%
------------ ----
TOTAL COMMUNICATION SERVICES......................................... 139,261,013 9.5%
------------ ----
CONSUMER DISCRETIONARY -- (11.1%)
* Amazon.com, Inc.................................................. 22,255 35,563,713 2.4%
Home Depot, Inc. (The)........................................... 65,195 11,466,497 0.8%
McDonald's Corp.................................................. 34,175 6,045,557 0.4%
Other Securities................................................. 112,685,192 7.8%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 165,760,959 11.4%
------------ ----
CONSUMER STAPLES -- (6.9%)
Altria Group, Inc................................................ 103,210 6,712,778 0.5%
Coca-Cola Co. (The).............................................. 201,253 9,635,994 0.7%
PepsiCo, Inc..................................................... 77,946 8,759,571 0.6%
Philip Morris International, Inc................................. 60,871 5,360,909 0.4%
Procter & Gamble Co. (The)....................................... 149,126 13,224,494 0.9%
Walmart, Inc..................................................... 103,570 10,386,000 0.7%
Other Securities................................................. 48,829,908 3.3%
------------ ----
TOTAL CONSUMER STAPLES............................................... 102,909,654 7.1%
------------ ----
ENERGY -- (5.3%)
Chevron Corp..................................................... 74,314 8,297,158 0.6%
Exxon Mobil Corp................................................. 195,115 15,546,763 1.1%
Other Securities................................................. 55,805,981 3.8%
------------ ----
TOTAL ENERGY......................................................... 79,649,902 5.5%
------------ ----
FINANCIALS -- (13.3%)
American Express Co.............................................. 52,182 5,360,657 0.4%
Bank of America Corp............................................. 390,910 10,750,025 0.7%
* Berkshire Hathaway, Inc., Class B................................ 73,291 15,045,176 1.0%
Citigroup, Inc................................................... 96,644 6,326,316 0.4%
JPMorgan Chase & Co.............................................. 184,913 20,159,215 1.4%
Wells Fargo & Co................................................. 245,966 13,092,770 0.9%
Other Securities................................................. 127,561,442 8.8%
------------ ----
TOTAL FINANCIALS..................................................... 198,295,601 13.6%
------------ ----
HEALTH CARE -- (14.0%)
AbbVie, Inc...................................................... 90,253 7,026,196 0.5%
Amgen, Inc....................................................... 43,564 8,398,704 0.6%
Gilead Sciences, Inc............................................. 95,391 6,503,758 0.5%
Johnson & Johnson................................................ 151,793 21,249,502 1.5%
Medtronic P.L.C.................................................. 57,457 5,160,788 0.4%
Merck & Co., Inc................................................. 137,957 10,155,015 0.7%
48
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
HEALTH CARE -- (Continued)
Pfizer, Inc...................................................... 367,312 $ 15,816,455 1.1%
UnitedHealth Group, Inc.......................................... 50,895 13,301,408 0.9%
Other Securities................................................. 122,235,210 8.2%
-------------- -----
TOTAL HEALTH CARE...................................................... 209,847,036 14.4%
-------------- -----
INDUSTRIALS -- (11.4%)
3M Co............................................................ 32,179 6,122,377 0.4%
Boeing Co. (The)................................................. 30,391 10,784,550 0.7%
Honeywell International, Inc..................................... 45,305 6,561,070 0.5%
Union Pacific Corp............................................... 46,648 6,820,871 0.5%
United Technologies Corp......................................... 46,145 5,731,670 0.4%
Other Securities................................................. 134,582,824 9.2%
-------------- -----
TOTAL INDUSTRIALS...................................................... 170,603,362 11.7%
-------------- -----
INFORMATION TECHNOLOGY -- (20.2%)
Accenture P.L.C., Class A........................................ 36,715 5,787,018 0.4%
Apple, Inc....................................................... 282,000 61,718,520 4.2%
Broadcom, Inc.................................................... 23,056 5,152,785 0.4%
Cisco Systems, Inc............................................... 258,975 11,848,106 0.8%
Intel Corp....................................................... 309,228 14,496,609 1.0%
International Business Machines Corp............................. 50,382 5,815,594 0.4%
Mastercard, Inc., Class A........................................ 52,075 10,293,665 0.7%
Microsoft Corp................................................... 373,443 39,887,447 2.7%
NVIDIA Corp...................................................... 30,501 6,430,526 0.4%
Oracle Corp...................................................... 160,665 7,846,879 0.5%
# QUALCOMM, Inc.................................................... 82,129 5,165,093 0.4%
Texas Instruments, Inc........................................... 54,653 5,073,438 0.4%
# Visa, Inc., Class A.............................................. 88,002 12,131,076 0.8%
Other Securities................................................. 110,093,507 7.6%
-------------- -----
TOTAL INFORMATION TECHNOLOGY........................................... 301,740,263 20.7%
-------------- -----
MATERIALS -- (3.2%)
Other Securities................................................. 48,112,312 3.3%
-------------- -----
REAL ESTATE -- (0.1%)
Other Securities................................................. 2,308,624 0.1%
-------------- -----
UTILITIES -- (2.3%)
Other Securities................................................. 33,942,309 2.3%
-------------- -----
TOTAL COMMON STOCKS.................................................... 1,452,431,035 99.6%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 2,938,825 2,938,825 0.2%
-------------- -----
SECURITIES LENDING COLLATERAL -- (2.7%)
@(S) DFA Short Term Investment Fund................................... 3,494,037 40,426,010 2.8%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,186,810,035)................................................ $1,495,795,870 102.6%
============== =====
49
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 139,261,013 -- -- $ 139,261,013
Consumer Discretionary................................... 165,760,959 -- -- 165,760,959
Consumer Staples......................................... 102,909,654 -- -- 102,909,654
Energy................................................... 79,649,902 -- -- 79,649,902
Financials............................................... 198,295,601 -- -- 198,295,601
Health Care.............................................. 209,847,036 -- -- 209,847,036
Industrials.............................................. 170,603,362 -- -- 170,603,362
Information Technology................................... 301,740,263 -- -- 301,740,263
Materials................................................ 48,112,312 -- -- 48,112,312
Real Estate.............................................. 2,308,624 -- -- 2,308,624
Utilities................................................ 33,942,309 -- -- 33,942,309
Temporary Cash Investments.................................. 2,938,825 -- -- 2,938,825
Securities Lending Collateral............................... -- $40,426,010 -- 40,426,010
-------------- ----------- -------- --------------
TOTAL....................................................... $1,455,369,860 $40,426,010 -- $1,495,795,870
============== =========== ======== ==============
See accompanying Notes to Financial Statements.
50
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $25,270,626,500
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $25,270,626,500
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
51
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (87.7%)
COMMUNICATION SERVICES -- (2.6%)
Other Securities................................................. $ 308,493,999 3.0%
CONSUMER DISCRETIONARY -- (11.3%)
#* AutoNation, Inc.................................................. 886,733 35,894,952 0.4%
Goodyear Tire & Rubber Co. (The)................................. 1,521,992 32,053,152 0.3%
# Toll Brothers, Inc............................................... 1,774,310 59,723,275 0.6%
Other Securities................................................. 1,204,007,396 11.4%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 1,331,678,775 12.7%
-------------- ----
CONSUMER STAPLES -- (3.2%)
#* Post Holdings, Inc............................................... 611,801 54,095,444 0.5%
* US Foods Holding Corp............................................ 1,326,779 38,702,143 0.4%
Other Securities................................................. 288,949,403 2.8%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 381,746,990 3.7%
-------------- ----
ENERGY -- (8.1%)
#* CNX Resources Corp............................................... 2,740,170 42,883,660 0.4%
# Helmerich & Payne, Inc........................................... 541,457 33,727,357 0.3%
# Murphy Oil Corp.................................................. 1,760,048 56,075,129 0.5%
Patterson-UTI Energy, Inc........................................ 2,023,306 33,667,812 0.3%
# PBF Energy, Inc., Class A........................................ 1,256,465 52,583,060 0.5%
# Peabody Energy Corp.............................................. 924,294 32,766,222 0.3%
Other Securities................................................. 705,159,756 6.8%
-------------- ----
TOTAL ENERGY......................................................... 956,862,996 9.1%
-------------- ----
FINANCIALS -- (24.3%)
Aspen Insurance Holdings, Ltd.................................... 783,262 32,803,013 0.3%
Associated Banc-Corp............................................. 1,656,459 38,396,720 0.4%
Assurant, Inc.................................................... 594,672 57,808,065 0.6%
Assured Guaranty, Ltd............................................ 1,393,974 55,731,081 0.5%
# CIT Group, Inc................................................... 700,495 33,189,453 0.3%
IBERIABANK Corp.................................................. 467,494 34,823,628 0.3%
# Investors Bancorp, Inc........................................... 3,443,442 38,497,682 0.4%
Kemper Corp...................................................... 427,696 32,158,462 0.3%
# Legg Mason, Inc.................................................. 1,178,698 33,262,858 0.3%
# New York Community Bancorp, Inc.................................. 3,988,804 38,212,742 0.4%
Old Republic International Corp.................................. 2,053,698 45,284,041 0.4%
# PacWest Bancorp.................................................. 1,289,640 52,385,177 0.5%
# People's United Financial, Inc................................... 3,892,331 60,953,903 0.6%
Popular, Inc..................................................... 813,041 42,286,262 0.4%
# Prosperity Bancshares, Inc....................................... 656,128 42,668,004 0.4%
Umpqua Holdings Corp............................................. 2,524,909 48,478,253 0.5%
Unum Group....................................................... 1,071,647 38,857,920 0.4%
Other Securities................................................. 2,146,156,232 20.4%
-------------- ----
TOTAL FINANCIALS..................................................... 2,871,953,496 27.4%
-------------- ----
HEALTH CARE -- (5.2%)
* Haemonetics Corp................................................. 327,964 34,262,399 0.3%
* MEDNAX, Inc...................................................... 796,812 32,900,367 0.3%
52
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
HEALTH CARE -- (Continued)
Other Securities................................................. $ 548,451,325 5.3%
--------------- ----
TOTAL HEALTH CARE.................................................... 615,614,091 5.9%
--------------- ----
INDUSTRIALS -- (17.5%)
#* AECOM............................................................ 1,446,396 42,147,979 0.4%
# AGCO Corp........................................................ 751,921 42,137,653 0.4%
# Air Lease Corp................................................... 1,040,908 39,658,595 0.4%
# Alaska Air Group, Inc............................................ 577,044 35,442,042 0.3%
# AMERCO........................................................... 101,651 33,187,018 0.3%
#* Genesee & Wyoming, Inc., Class A................................. 587,682 46,562,045 0.5%
Jacobs Engineering Group, Inc.................................... 633,488 47,568,614 0.5%
* JetBlue Airways Corp............................................. 2,789,272 46,664,521 0.5%
#* Kirby Corp....................................................... 482,788 34,731,769 0.3%
* Quanta Services, Inc............................................. 1,660,315 51,801,828 0.5%
Trinity Industries, Inc.......................................... 1,613,572 46,067,481 0.4%
Other Securities................................................. 1,604,952,129 15.3%
--------------- ----
TOTAL INDUSTRIALS.................................................... 2,070,921,674 19.8%
--------------- ----
INFORMATION TECHNOLOGY -- (9.9%)
#* ARRIS International P.L.C........................................ 1,348,683 33,541,746 0.3%
* Arrow Electronics, Inc........................................... 1,011,968 68,520,353 0.7%
Avnet, Inc....................................................... 1,492,691 59,812,128 0.6%
Jabil, Inc....................................................... 1,470,618 36,368,383 0.4%
* Tech Data Corp................................................... 484,009 34,200,076 0.3%
Other Securities................................................. 942,400,737 8.9%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 1,174,843,423 11.2%
--------------- ----
MATERIALS -- (5.1%)
* Alcoa Corp....................................................... 987,656 34,558,083 0.3%
KapStone Paper and Packaging Corp................................ 944,202 33,047,070 0.3%
Reliance Steel & Aluminum Co..................................... 771,739 60,905,642 0.6%
# United States Steel Corp......................................... 1,443,346 38,291,969 0.4%
Other Securities................................................. 437,612,779 4.2%
--------------- ----
TOTAL MATERIALS...................................................... 604,415,543 5.8%
--------------- ----
REAL ESTATE -- (0.4%)
Other Securities................................................. 41,227,149 0.4%
--------------- ----
UTILITIES -- (0.1%)
Other Securities................................................. 10,816,540 0.1%
--------------- ----
TOTAL COMMON STOCKS.................................................. 10,368,574,676 99.1%
--------------- ----
PREFERRED STOCKS -- (0.0%)
CONSUMER DISCRETIONARY -- (0.0%)
Other Security................................................... 587,113 0.0%
--------------- ----
HEALTH CARE -- (0.0%)
Other Security................................................... 569,161 0.0%
--------------- ----
TOTAL PREFERRED STOCKS............................................... 1,156,274 0.0%
--------------- ----
53
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. $ 138,948 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES............................................ 10,369,869,898
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 108,517,318 108,517,318 1.0%
--------------- -----
SECURITIES LENDING COLLATERAL -- (11.4%)
@(S) DFA Short Term Investment Fund................................... 116,307,885 1,345,682,235 12.9%
--------------- -----
TOTAL INVESTMENTS--(100.0%) $11,824,069,451 113.0%
(Cost $10,359,178,056)............................................... =============== =====
As of October 31, 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.......................... 650 12/21/18 $90,230,077 $88,110,750 $(2,119,327)
----------- ----------- -----------
TOTAL FUTURES CONTRACTS........................... $90,230,077 $88,110,750 $(2,119,327)
=========== =========== ===========
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 308,493,999 -- -- $ 308,493,999
Consumer Discretionary................................... 1,331,678,775 -- -- 1,331,678,775
Consumer Staples......................................... 381,746,990 -- -- 381,746,990
Energy................................................... 956,862,996 -- -- 956,862,996
Financials............................................... 2,871,878,335 $ 75,161 -- 2,871,953,496
Health Care.............................................. 615,614,091 -- -- 615,614,091
Industrials.............................................. 2,070,921,674 -- -- 2,070,921,674
Information Technology................................... 1,174,743,101 100,322 -- 1,174,843,423
Materials................................................ 604,295,440 120,103 -- 604,415,543
Real Estate.............................................. 41,227,149 -- -- 41,227,149
Utilities................................................ 10,816,540 -- -- 10,816,540
Preferred Stocks
Consumer Discretionary................................... 587,113 -- -- 587,113
Health Care.............................................. -- 569,161 -- 569,161
Rights/Warrants
Consumer Discretionary................................... -- 65,408 -- 65,408
Information Technology................................... 73,540 -- -- 73,540
Temporary Cash Investments.................................. 108,517,318 -- -- 108,517,318
54
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- -------------- -------- ---------------
Securities Lending Collateral............................... -- $1,345,682,235 -- $ 1,345,682,235
Futures Contracts**......................................... $ (2,119,327) -- -- (2,119,327)
--------------- -------------- -------- ---------------
TOTAL....................................................... $10,475,337,734 $1,346,612,390 -- $11,821,950,124
=============== ============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
55
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (88.7%)
COMMUNICATION SERVICES -- (3.8%)
#* Cars.com, Inc.................................................... 2,388,128 $ 62,354,022 0.4%
Telephone & Data Systems, Inc.................................... 3,234,144 99,708,660 0.7%
Other Securities................................................. 453,023,371 3.1%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 615,086,053 4.2%
-------------- ----
CONSUMER DISCRETIONARY -- (11.7%)
Aaron's, Inc..................................................... 2,376,468 112,002,937 0.8%
* Adtalem Global Education, Inc.................................... 2,070,796 104,844,401 0.7%
# Bed Bath & Beyond, Inc........................................... 5,721,973 78,619,909 0.5%
Graham Holdings Co., Class B..................................... 108,364 62,964,902 0.4%
# Signet Jewelers, Ltd............................................. 1,122,217 62,900,263 0.4%
* Taylor Morrison Home Corp., Class A.............................. 3,908,564 64,647,649 0.5%
Other Securities................................................. 1,432,105,887 9.7%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 1,918,085,948 13.0%
-------------- ----
CONSUMER STAPLES -- (3.5%)
#* Darling Ingredients, Inc......................................... 5,729,476 118,370,974 0.8%
# Seaboard Corp.................................................... 18,207 70,370,055 0.5%
Other Securities................................................. 378,752,664 2.5%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 567,493,693 3.8%
-------------- ----
ENERGY -- (10.2%)
#* Callon Petroleum Co.............................................. 6,666,932 66,469,312 0.5%
* CNX Resources Corp............................................... 4,732,141 74,058,007 0.5%
# Ensco P.L.C., Class A............................................ 9,849,782 70,327,444 0.5%
#* Oasis Petroleum, Inc............................................. 7,610,436 76,560,986 0.5%
# PBF Energy, Inc., Class A........................................ 1,992,378 83,381,019 0.6%
* QEP Resources, Inc............................................... 7,197,405 64,128,879 0.4%
# SM Energy Co..................................................... 2,992,771 72,844,046 0.5%
World Fuel Services Corp......................................... 2,670,928 85,469,696 0.6%
Other Securities................................................. 1,071,256,644 7.2%
-------------- ----
TOTAL ENERGY......................................................... 1,664,496,033 11.3%
-------------- ----
FINANCIALS -- (23.3%)
American Equity Investment Life Holding Co....................... 3,187,525 99,514,530 0.7%
Argo Group International Holdings, Ltd........................... 1,245,707 76,748,008 0.5%
Associated Banc-Corp............................................. 3,660,040 84,839,727 0.6%
CNO Financial Group, Inc......................................... 4,510,009 85,239,170 0.6%
#* First BanCorp.................................................... 6,778,352 62,564,189 0.4%
Fulton Financial Corp............................................ 5,447,498 87,214,443 0.6%
Hanover Insurance Group, Inc. (The).............................. 754,117 83,993,551 0.6%
Kemper Corp...................................................... 1,886,178 141,821,724 1.0%
MB Financial, Inc................................................ 1,968,564 87,384,556 0.6%
Navigators Group, Inc. (The)..................................... 913,659 63,179,520 0.4%
# Old National Bancorp............................................. 4,656,070 83,110,849 0.6%
# Selective Insurance Group, Inc................................... 1,260,196 81,723,711 0.6%
# Washington Federal, Inc.......................................... 2,970,485 83,648,858 0.6%
Other Securities................................................. 2,703,693,771 18.2%
-------------- ----
TOTAL FINANCIALS..................................................... 3,824,676,607 26.0%
-------------- ----
56
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
HEALTH CARE -- (4.3%)
#* Acadia Healthcare Co., Inc....................................... 1,756,727 $ 72,904,171 0.5%
#* LifePoint Health, Inc............................................ 1,220,067 79,133,546 0.5%
#* Mallinckrodt P.L.C............................................... 2,606,501 65,318,915 0.5%
Other Securities................................................. 480,522,018 3.2%
--------------- ----
TOTAL HEALTH CARE.................................................... 697,878,650 4.7%
--------------- ----
INDUSTRIALS -- (16.3%)
* Esterline Technologies Corp...................................... 1,028,708 120,729,171 0.8%
* FTI Consulting, Inc.............................................. 1,026,969 70,973,828 0.5%
# GATX Corp........................................................ 1,301,795 97,543,499 0.7%
Regal Beloit Corp................................................ 950,766 68,169,922 0.5%
SkyWest, Inc..................................................... 1,716,539 98,340,519 0.7%
* WESCO International, Inc......................................... 1,326,315 66,554,487 0.5%
Other Securities................................................. 2,152,986,242 14.5%
--------------- ----
TOTAL INDUSTRIALS.................................................... 2,675,297,668 18.2%
--------------- ----
INFORMATION TECHNOLOGY -- (10.0%)
#* CACI International, Inc., Class A................................ 664,115 118,517,963 0.8%
#* Cree, Inc........................................................ 1,885,295 73,187,152 0.5%
#* NetScout Systems, Inc............................................ 2,891,670 73,043,584 0.5%
SYNNEX Corp...................................................... 802,692 62,296,926 0.4%
* Tech Data Corp................................................... 1,121,386 79,237,135 0.6%
# Vishay Intertechnology, Inc...................................... 4,291,798 78,539,903 0.5%
Other Securities................................................. 1,154,322,829 7.8%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 1,639,145,492 11.1%
--------------- ----
MATERIALS -- (5.1%)
# Carpenter Technology Corp........................................ 1,549,848 67,588,871 0.5%
Commercial Metals Co............................................. 4,129,700 78,712,082 0.5%
Domtar Corp...................................................... 2,032,401 94,120,490 0.7%
#* Platform Specialty Products Corp................................. 5,738,347 62,088,915 0.4%
Other Securities................................................. 535,703,289 3.6%
--------------- ----
TOTAL MATERIALS...................................................... 838,213,647 5.7%
--------------- ----
REAL ESTATE -- (0.4%)
Other Securities................................................. 73,164,265 0.5%
--------------- ----
UTILITIES -- (0.1%)
Other Securities................................................. 11,139,707 0.1%
--------------- ----
TOTAL COMMON STOCKS.................................................. 14,524,677,763 98.6%
--------------- ----
PREFERRED STOCKS -- (0.0%)
CONSUMER DISCRETIONARY -- (0.0%)
Other Security................................................... 431,499 0.0%
--------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Security................................................... 56,422 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES.......................................... 14,525,165,684
---------------
57
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 185,683,542 $ 185,683,542 1.3%
--------------- -----
SECURITIES LENDING COLLATERAL -- (10.2%)
@(S). DFA Short Term Investment Fund................................... 144,094,280 1,667,170,818 11.3%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $13,223,635,118)............................................... $16,378,020,044 111.2%
=============== =====
As of October 31, 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.......................... 1,452 12/21/18 $199,312,500 $196,825,860 $(2,486,640)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS........................... $199,312,500 $196,825,860 $(2,486,640)
============ ============ ===========
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 615,086,053 -- -- $ 615,086,053
Consumer Discretionary................................... 1,918,085,948 -- -- 1,918,085,948
Consumer Staples......................................... 567,493,693 -- -- 567,493,693
Energy................................................... 1,664,496,033 -- -- 1,664,496,033
Financials............................................... 3,824,503,479 $ 173,128 -- 3,824,676,607
Health Care.............................................. 697,878,650 -- -- 697,878,650
Industrials.............................................. 2,675,297,668 -- -- 2,675,297,668
Information Technology................................... 1,639,145,492 -- -- 1,639,145,492
Materials................................................ 838,132,991 80,656 -- 838,213,647
Real Estate.............................................. 73,164,265 -- -- 73,164,265
Utilities................................................ 11,139,707 -- -- 11,139,707
Preferred Stocks
Consumer Discretionary................................... 431,499 -- -- 431,499
Rights/Warrants
Consumer Discretionary................................... -- 56,422 -- 56,422
Temporary Cash Investments.................................. 185,683,542 -- -- 185,683,542
Securities Lending Collateral............................... -- 1,667,170,818 -- 1,667,170,818
Futures Contracts**......................................... (2,486,640) -- -- (2,486,640)
--------------- -------------- -------- ---------------
TOTAL....................................................... $14,708,052,380 $1,667,481,024 -- $16,375,533,404
=============== ============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
58
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (93.5%)
COMMUNICATION SERVICES -- (7.2%)
* Alphabet, Inc., Class A.......................................... 120,930 $ 131,883,839 0.6%
* Alphabet, Inc., Class C.......................................... 127,904 137,723,190 0.6%
AT&T, Inc........................................................ 6,130,179 188,073,892 0.8%
Comcast Corp., Class A........................................... 4,173,235 159,167,183 0.7%
* Facebook, Inc., Class A.......................................... 1,220,638 185,280,642 0.8%
Verizon Communications, Inc...................................... 3,251,730 185,641,266 0.8%
Walt Disney Co. (The)............................................ 1,300,036 149,283,134 0.6%
Other Securities................................................. 672,522,839 2.8%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 1,809,575,985 7.7%
-------------- ----
CONSUMER DISCRETIONARY -- (12.1%)
* Amazon.com, Inc.................................................. 323,429 516,842,776 2.2%
Home Depot, Inc. (The)........................................... 912,692 160,524,269 0.7%
McDonald's Corp.................................................. 529,832 93,727,281 0.4%
Other Securities................................................. 2,280,008,502 9.6%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 3,051,102,828 12.9%
-------------- ----
CONSUMER STAPLES -- (6.0%)
Altria Group, Inc................................................ 1,416,780 92,147,371 0.4%
Coca-Cola Co. (The).............................................. 2,670,749 127,875,462 0.6%
Costco Wholesale Corp............................................ 310,004 70,876,214 0.3%
PepsiCo, Inc..................................................... 1,085,193 121,953,989 0.5%
Philip Morris International, Inc................................. 761,282 67,046,106 0.3%
Procter & Gamble Co. (The)....................................... 1,330,619 117,999,293 0.5%
Walmart, Inc..................................................... 1,333,978 133,771,314 0.6%
Other Securities................................................. 779,443,558 3.2%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 1,511,113,307 6.4%
-------------- ----
ENERGY -- (5.3%)
Chevron Corp..................................................... 1,161,601 129,692,752 0.6%
Exxon Mobil Corp................................................. 2,797,473 222,902,649 1.0%
Other Securities................................................. 975,156,498 4.0%
-------------- ----
TOTAL ENERGY......................................................... 1,327,751,899 5.6%
-------------- ----
FINANCIALS -- (13.9%)
American Express Co.............................................. 625,797 64,288,126 0.3%
Bank of America Corp............................................. 5,850,983 160,902,032 0.7%
* Berkshire Hathaway, Inc., Class B................................ 1,192,385 244,772,793 1.1%
Citigroup, Inc................................................... 1,356,080 88,768,997 0.4%
JPMorgan Chase & Co.............................................. 2,314,893 252,369,635 1.1%
Wells Fargo & Co................................................. 3,061,425 162,959,653 0.7%
Other Securities................................................. 2,510,744,852 10.5%
-------------- ----
TOTAL FINANCIALS..................................................... 3,484,806,088 14.8%
-------------- ----
HEALTH CARE -- (11.8%)
AbbVie, Inc...................................................... 1,184,385 92,204,372 0.4%
Amgen, Inc....................................................... 522,469 100,726,799 0.4%
Gilead Sciences, Inc............................................. 965,652 65,838,153 0.3%
Johnson & Johnson................................................ 1,776,597 248,705,814 1.1%
Merck & Co., Inc................................................. 1,410,637 103,836,990 0.5%
59
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
HEALTH CARE -- (Continued)
Pfizer, Inc...................................................... 4,460,636 $ 192,074,986 0.8%
UnitedHealth Group, Inc.......................................... 600,291 156,886,053 0.7%
Other Securities................................................. 2,000,948,158 8.3%
--------------- ----
TOTAL HEALTH CARE.................................................... 2,961,221,325 12.5%
--------------- ----
INDUSTRIALS -- (12.2%)
3M Co............................................................ 444,281 84,528,903 0.4%
Boeing Co. (The)................................................. 438,967 155,771,830 0.7%
Honeywell International, Inc..................................... 490,013 70,963,683 0.3%
Union Pacific Corp............................................... 505,841 73,964,071 0.3%
United Technologies Corp......................................... 558,450 69,365,074 0.3%
Other Securities................................................. 2,598,429,498 10.9%
--------------- ----
TOTAL INDUSTRIALS.................................................... 3,053,023,059 12.9%
--------------- ----
INFORMATION TECHNOLOGY -- (18.4%)
Accenture P.L.C., Class A........................................ 529,501 83,459,948 0.4%
* Adobe, Inc....................................................... 255,800 62,865,408 0.3%
Apple, Inc....................................................... 3,961,863 867,093,336 3.7%
Cisco Systems, Inc............................................... 2,718,780 124,384,185 0.5%
Intel Corp....................................................... 4,520,919 211,940,683 0.9%
International Business Machines Corp............................. 721,201 83,248,231 0.4%
Mastercard, Inc., Class A........................................ 728,506 144,003,781 0.6%
Microsoft Corp................................................... 5,151,344 550,215,053 2.3%
NVIDIA Corp...................................................... 393,195 82,897,302 0.4%
Oracle Corp...................................................... 1,546,136 75,513,282 0.3%
Texas Instruments, Inc........................................... 769,161 71,401,216 0.3%
# Visa, Inc., Class A.............................................. 1,178,103 162,401,499 0.7%
Other Securities................................................. 2,110,417,441 8.8%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 4,629,841,365 19.6%
--------------- ----
MATERIALS -- (3.7%)
DowDuPont, Inc................................................... 1,288,546 69,478,400 0.3%
Other Securities................................................. 852,620,586 3.6%
--------------- ----
TOTAL MATERIALS...................................................... 922,098,986 3.9%
--------------- ----
REAL ESTATE -- (0.3%)
Other Securities................................................. 68,119,352 0.3%
--------------- ----
UTILITIES -- (2.6%)
Other Securities................................................. 659,709,469 2.8%
--------------- ----
TOTAL COMMON STOCKS.................................................. 23,478,363,663 99.4%
--------------- ----
PREFERRED STOCKS -- (0.0%)
CONSUMER DISCRETIONARY -- (0.0%)
Other Security................................................... 379,913 0.0%
--------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 45,768 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES.......................................... 23,478,789,344
---------------
60
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 167,632,701 $ 167,632,701 0.7%
--------------- -----
SECURITIES LENDING COLLATERAL -- (5.8%)
@(S) DFA Short Term Investment Fund................................... 127,057,501 1,470,055,290 6.2%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $17,558,649,663)............................................... $25,116,477,335 106.3%
=============== =====
As of October 31, 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.......................... 920 12/21/18 $130,057,377 $124,710,600 $(5,346,777)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS........................... $130,057,377 $124,710,600 $(5,346,777)
============ ============ ===========
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 1,809,575,985 -- -- $ 1,809,575,985
Consumer Discretionary................................... 3,051,102,603 $ 225 -- 3,051,102,828
Consumer Staples......................................... 1,511,113,307 -- -- 1,511,113,307
Energy................................................... 1,327,751,899 -- -- 1,327,751,899
Financials............................................... 3,484,787,418 18,670 -- 3,484,806,088
Health Care.............................................. 2,961,221,325 -- -- 2,961,221,325
Industrials.............................................. 3,053,023,059 -- -- 3,053,023,059
Information Technology................................... 4,629,841,365 -- -- 4,629,841,365
Materials................................................ 922,007,831 91,155 -- 922,098,986
Real Estate.............................................. 68,119,352 -- -- 68,119,352
Utilities................................................ 659,709,469 -- -- 659,709,469
Preferred Stocks
Consumer Discretionary................................... 379,913 -- -- 379,913
Rights/Warrants
Consumer Discretionary................................... -- 3,445 -- 3,445
Information Technology................................... 42,323 -- -- 42,323
Temporary Cash Investments.................................. 167,632,701 -- -- 167,632,701
Securities Lending Collateral............................... -- 1,470,055,290 -- 1,470,055,290
Futures Contracts**......................................... (5,346,777) -- -- (5,346,777)
--------------- -------------- -------- ---------------
TOTAL....................................................... $23,640,961,773 $1,470,168,785 -- $25,111,130,558
=============== ============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
61
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (92.5%)
COMMUNICATION SERVICES -- (7.4%)
* Alphabet, Inc., Class A.......................................... 96,783 $ 105,549,604 0.4%
* Alphabet, Inc., Class C.......................................... 102,183 110,027,589 0.5%
AT&T, Inc........................................................ 8,944,297 274,411,032 1.1%
* Charter Communications, Inc., Class A............................ 212,965 68,227,597 0.3%
Comcast Corp., Class A........................................... 5,784,188 220,608,930 0.9%
* Facebook, Inc., Class A.......................................... 860,132 130,559,436 0.5%
Verizon Communications, Inc...................................... 3,707,953 211,687,037 0.9%
Walt Disney Co. (The)............................................ 1,377,980 158,233,443 0.7%
Other Securities................................................. 674,525,440 2.6%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 1,953,830,108 7.9%
-------------- ----
CONSUMER DISCRETIONARY -- (11.3%)
* Amazon.com, Inc.................................................. 219,288 350,424,417 1.4%
Home Depot, Inc. (The)........................................... 585,264 102,936,232 0.4%
Other Securities................................................. 2,546,368,748 10.4%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 2,999,729,397 12.2%
-------------- ----
CONSUMER STAPLES -- (5.7%)
Altria Group, Inc................................................ 1,147,485 74,632,424 0.3%
Coca-Cola Co. (The).............................................. 2,241,967 107,345,380 0.4%
PepsiCo, Inc..................................................... 720,412 80,959,901 0.3%
Procter & Gamble Co. (The)....................................... 1,360,960 120,689,933 0.5%
Walmart, Inc..................................................... 1,664,889 166,955,069 0.7%
Other Securities................................................. 954,127,493 3.9%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 1,504,710,200 6.1%
-------------- ----
ENERGY -- (5.9%)
Chevron Corp..................................................... 1,187,428 132,576,336 0.5%
Exxon Mobil Corp................................................. 3,287,526 261,950,072 1.1%
Marathon Petroleum Corp.......................................... 1,108,122 78,067,195 0.3%
Other Securities................................................. 1,075,751,874 4.4%
-------------- ----
TOTAL ENERGY......................................................... 1,548,345,477 6.3%
-------------- ----
FINANCIALS -- (16.2%)
American Express Co.............................................. 809,859 83,196,815 0.3%
Bank of America Corp............................................. 5,982,585 164,521,087 0.7%
* Berkshire Hathaway, Inc., Class B................................ 1,010,279 207,390,073 0.9%
Citigroup, Inc................................................... 1,515,166 99,182,766 0.4%
Goldman Sachs Group, Inc. (The).................................. 284,073 64,021,532 0.3%
JPMorgan Chase & Co.............................................. 2,971,967 324,003,842 1.3%
U.S. Bancorp..................................................... 1,203,717 62,918,288 0.3%
Wells Fargo & Co................................................. 4,176,962 222,339,687 0.9%
Other Securities................................................. 3,052,410,847 12.2%
-------------- ----
TOTAL FINANCIALS..................................................... 4,279,984,937 17.3%
-------------- ----
HEALTH CARE -- (11.1%)
Aetna, Inc....................................................... 323,980 64,277,632 0.3%
Amgen, Inc....................................................... 432,973 83,472,865 0.3%
CVS Health Corp.................................................. 988,292 71,542,458 0.3%
* Express Scripts Holding Co....................................... 729,276 70,717,894 0.3%
62
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
HEALTH CARE -- (Continued)
Gilead Sciences, Inc............................................. 1,079,751 $ 73,617,423 0.3%
Johnson & Johnson................................................ 1,464,135 204,964,259 0.8%
Merck & Co., Inc................................................. 1,225,225 90,188,812 0.4%
Pfizer, Inc...................................................... 5,366,341 231,074,643 0.9%
UnitedHealth Group, Inc.......................................... 617,082 161,274,381 0.7%
Other Securities................................................. 1,890,811,287 7.6%
--------------- ----
TOTAL HEALTH CARE.................................................... 2,941,941,654 11.9%
--------------- ----
INDUSTRIALS -- (12.6%)
Boeing Co. (The)................................................. 212,778 75,506,401 0.3%
Delta Air Lines, Inc............................................. 1,138,794 62,326,196 0.3%
Union Pacific Corp............................................... 671,012 98,115,375 0.4%
United Technologies Corp......................................... 641,069 79,627,180 0.3%
Other Securities................................................. 3,014,946,216 12.2%
--------------- ----
TOTAL INDUSTRIALS.................................................... 3,330,521,368 13.5%
--------------- ----
INFORMATION TECHNOLOGY -- (16.5%)
Apple, Inc....................................................... 3,339,047 730,783,826 3.0%
Cisco Systems, Inc............................................... 4,080,996 186,705,567 0.8%
Intel Corp....................................................... 5,141,165 241,017,815 1.0%
International Business Machines Corp............................. 582,945 67,289,341 0.3%
Mastercard, Inc., Class A........................................ 481,810 95,239,383 0.4%
* Micron Technology, Inc........................................... 1,627,340 61,383,265 0.3%
Microsoft Corp................................................... 3,927,281 419,472,884 1.7%
NVIDIA Corp...................................................... 379,942 80,103,172 0.3%
Oracle Corp...................................................... 1,640,590 80,126,416 0.3%
# Visa, Inc., Class A.............................................. 982,237 135,401,370 0.6%
Other Securities................................................. 2,256,534,183 9.0%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 4,354,057,222 17.7%
--------------- ----
MATERIALS -- (3.8%)
DowDuPont, Inc................................................... 1,209,038 65,191,329 0.3%
Other Securities................................................. 951,732,335 3.8%
--------------- ----
TOTAL MATERIALS...................................................... 1,016,923,664 4.1%
--------------- ----
REAL ESTATE -- (0.3%)
Other Securities................................................. 82,621,632 0.3%
--------------- ----
UTILITIES -- (1.7%)
Other Securities................................................. 457,389,465 1.9%
--------------- ----
TOTAL COMMON STOCKS.................................................. 24,470,055,124 99.2%
--------------- ----
PREFERRED STOCKS -- (0.0%)
CONSUMER DISCRETIONARY -- (0.0%)
Other Security................................................... 588,923 0.0%
--------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 78,530 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES.......................................... 24,470,722,577
---------------
63
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 225,633,779 $ 225,633,779 0.9%
--------------- -----
SECURITIES LENDING COLLATERAL -- (6.6%)
@(S) DFA Short Term Investment Fund................................... 151,007,960 1,747,162,103 7.1%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $18,293,277,501)............................................... $26,443,518,459 107.2%
=============== =====
As of October 31, 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.......................... 1,355 12/21/18 $192,694,761 $183,677,025 $(9,017,736)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS........................... $192,694,761 $183,677,025 $(9,017,736)
============ ============ ===========
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 1,953,830,108 -- -- $ 1,953,830,108
Consumer Discretionary................................... 2,999,728,881 $ 516 -- 2,999,729,397
Consumer Staples......................................... 1,504,710,200 -- -- 1,504,710,200
Energy................................................... 1,548,345,477 -- -- 1,548,345,477
Financials............................................... 4,279,953,634 31,303 -- 4,279,984,937
Health Care.............................................. 2,941,938,973 2,681 -- 2,941,941,654
Industrials.............................................. 3,330,521,368 -- -- 3,330,521,368
Information Technology................................... 4,354,038,836 18,386 -- 4,354,057,222
Materials................................................ 1,016,737,233 186,431 -- 1,016,923,664
Real Estate.............................................. 82,621,632 -- -- 82,621,632
Utilities................................................ 457,389,465 -- -- 457,389,465
Preferred Stocks
Consumer Discretionary................................... 588,923 -- -- 588,923
Rights/Warrants
Consumer Discretionary................................... -- 9,652 -- 9,652
Information Technology................................... 68,878 -- -- 68,878
Temporary Cash Investments.................................. 225,633,779 -- -- 225,633,779
Securities Lending Collateral............................... -- 1,747,162,103 -- 1,747,162,103
Futures Contracts**......................................... (9,017,736) -- -- (9,017,736)
--------------- -------------- -------- ---------------
TOTAL....................................................... $24,687,089,651 $1,747,411,072 -- $26,434,500,723
=============== ============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
64
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- ------------ ---------------
COMMON STOCKS -- (91.1%)
COMMUNICATION SERVICES -- (5.7%)
* Alphabet, Inc., Class A.......................................... 10,540 $ 11,494,713 0.3%
* Alphabet, Inc., Class C.......................................... 11,067 11,916,614 0.3%
AT&T, Inc........................................................ 1,539,467 47,230,848 1.0%
CenturyLink, Inc................................................. 377,622 7,794,118 0.2%
* Charter Communications, Inc., Class A............................ 32,597 10,443,101 0.2%
Comcast Corp., Class A........................................... 487,867 18,607,247 0.4%
Verizon Communications, Inc...................................... 270,126 15,421,493 0.3%
Walt Disney Co. (The)............................................ 118,253 13,578,992 0.3%
Other Securities................................................. 149,606,760 3.2%
------------ ----
TOTAL COMMUNICATION SERVICES......................................... 286,093,886 6.2%
------------ ----
CONSUMER DISCRETIONARY -- (10.3%)
Ford Motor Co.................................................... 819,606 7,827,237 0.2%
General Motors Co................................................ 390,610 14,292,420 0.3%
# Kohl's Corp...................................................... 101,028 7,650,850 0.2%
Macy's, Inc...................................................... 234,362 8,036,273 0.2%
# Urban Outfitters, Inc............................................ 199,203 7,860,550 0.2%
Other Securities................................................. 469,886,970 10.1%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 515,554,300 11.2%
------------ ----
CONSUMER STAPLES -- (3.7%)
# Post Holdings, Inc............................................... 93,010 8,223,944 0.2%
Procter & Gamble Co. (The)....................................... 116,144 10,299,650 0.2%
Walgreens Boots Alliance, Inc.................................... 95,500 7,618,035 0.2%
Walmart, Inc..................................................... 198,213 19,876,800 0.4%
Other Securities................................................. 142,076,001 3.1%
------------ ----
TOTAL CONSUMER STAPLES............................................... 188,094,430 4.1%
------------ ----
ENERGY -- (7.2%)
Chevron Corp..................................................... 211,373 23,599,795 0.5%
* Concho Resources, Inc............................................ 57,925 8,056,788 0.2%
Exxon Mobil Corp................................................. 430,003 34,262,639 0.8%
HollyFrontier Corp............................................... 182,118 12,282,038 0.3%
Marathon Petroleum Corp.......................................... 284,507 20,043,518 0.4%
PBF Energy, Inc., Class A........................................ 188,703 7,897,221 0.2%
Valero Energy Corp............................................... 104,590 9,527,103 0.2%
Other Securities................................................. 245,567,684 5.2%
------------ ----
TOTAL ENERGY......................................................... 361,236,786 7.8%
------------ ----
FINANCIALS -- (22.7%)
Ally Financial, Inc.............................................. 307,805 7,821,325 0.2%
American Express Co.............................................. 75,579 7,764,231 0.2%
Bank of America Corp............................................. 1,187,298 32,650,695 0.7%
* Berkshire Hathaway, Inc., Class B................................ 91,166 18,714,556 0.4%
Citigroup, Inc................................................... 312,527 20,458,017 0.5%
Goldman Sachs Group, Inc. (The).................................. 44,550 10,040,233 0.2%
Hartford Financial Services Group, Inc. (The).................... 171,851 7,805,472 0.2%
JPMorgan Chase & Co.............................................. 550,713 60,038,731 1.3%
Kemper Corp...................................................... 102,089 7,676,072 0.2%
Morgan Stanley................................................... 171,784 7,843,657 0.2%
65
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- -------------- ---------------
FINANCIALS -- (Continued)
Regions Financial Corp........................................... 533,364 $ 9,051,187 0.2%
Wells Fargo & Co................................................. 846,080 45,036,838 1.0%
Other Securities................................................. 902,642,915 19.4%
-------------- ----
TOTAL FINANCIALS..................................................... 1,137,543,929 24.7%
-------------- ----
HEALTH CARE -- (8.4%)
Abbott Laboratories.............................................. 124,325 8,570,965 0.2%
Anthem, Inc...................................................... 28,912 7,967,280 0.2%
CVS Health Corp.................................................. 102,304 7,405,787 0.2%
Johnson & Johnson................................................ 93,489 13,087,525 0.3%
Merck & Co., Inc................................................. 149,737 11,022,141 0.3%
Pfizer, Inc...................................................... 446,979 19,246,916 0.4%
UnitedHealth Group, Inc.......................................... 74,301 19,418,566 0.4%
Other Securities................................................. 336,843,039 7.2%
-------------- ----
TOTAL HEALTH CARE.................................................... 423,562,219 9.2%
-------------- ----
INDUSTRIALS -- (14.5%)
Norfolk Southern Corp............................................ 44,415 7,454,169 0.2%
Other Securities................................................. 721,043,237 15.6%
-------------- ----
TOTAL INDUSTRIALS.................................................... 728,497,406 15.8%
-------------- ----
INFORMATION TECHNOLOGY -- (12.5%)
Apple, Inc....................................................... 285,245 62,428,721 1.4%
Cisco Systems, Inc............................................... 447,995 20,495,771 0.5%
Intel Corp....................................................... 578,019 27,097,531 0.6%
* Micron Technology, Inc........................................... 295,915 11,161,914 0.3%
Microsoft Corp................................................... 278,222 29,716,892 0.7%
Other Securities................................................. 475,257,039 10.1%
-------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 626,157,868 13.6%
-------------- ----
MATERIALS -- (4.6%)
DowDuPont, Inc................................................... 165,235 8,909,471 0.2%
Other Securities................................................. 221,015,870 4.8%
-------------- ----
TOTAL MATERIALS...................................................... 229,925,341 5.0%
-------------- ----
REAL ESTATE -- (0.5%)
Other Securities................................................. 22,725,365 0.5%
-------------- ----
UTILITIES -- (1.0%)
Other Securities................................................. 48,860,096 1.0%
-------------- ----
TOTAL COMMON STOCKS.................................................. 4,568,251,626 99.1%
-------------- ----
PREFERRED STOCKS -- (0.0%)
CONSUMER DISCRETIONARY -- (0.0%)
Other Security................................................... 366,411 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 24,345 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES.......................................... 4,568,642,382
--------------
66
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
TEMPORARY CASH INVESTMENTS -- (1.4%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 67,908,509 $ 67,908,509 1.5%
-------------- -----
SECURITIES LENDING COLLATERAL -- (7.5%)
@(S) DFA Short Term Investment Fund................................... 32,511,626 376,159,512 8.1%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,548,831,690)................................................ $5,012,710,403 108.7%
============== =====
As of October 31, 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............................ 301 12/21/18 $40,171,315 $40,802,055 $630,740
----------- ----------- --------
TOTAL FUTURES CONTRACTS........................... $40,171,315 $40,802,055 $630,740
=========== =========== ========
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 286,093,886 -- -- $ 286,093,886
Consumer Discretionary................................... 515,554,300 -- -- 515,554,300
Consumer Staples......................................... 188,094,430 -- -- 188,094,430
Energy................................................... 361,236,786 -- -- 361,236,786
Financials............................................... 1,137,531,237 $ 12,692 -- 1,137,543,929
Health Care.............................................. 423,562,219 -- -- 423,562,219
Industrials.............................................. 728,497,406 -- -- 728,497,406
Information Technology................................... 626,157,868 -- -- 626,157,868
Materials................................................ 229,847,526 77,815 -- 229,925,341
Real Estate.............................................. 22,725,365 -- -- 22,725,365
Utilities................................................ 48,860,096 -- -- 48,860,096
Preferred Stocks
Consumer Discretionary................................... 366,411 -- -- 366,411
Rights/Warrants
Consumer Discretionary................................... -- 3,883 -- 3,883
Information Technology................................... 20,462 -- -- 20,462
Temporary Cash Investments.................................. 67,908,509 -- -- 67,908,509
Securities Lending Collateral............................... -- 376,159,512 -- 376,159,512
Futures Contracts**......................................... 630,740 -- -- 630,740
-------------- ------------ -------- --------------
TOTAL....................................................... $4,637,087,241 $376,253,902 -- $5,013,341,143
============== ============ ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
67
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (86.9%)
COMMUNICATION SERVICES -- (3.4%)
# New York Times Co. (The), Class A................................ 1,546,008 $ 40,814,611 0.2%
* Zynga, Inc., Class A............................................. 10,461,381 38,079,427 0.2%
Other Securities................................................. 597,736,834 3.5%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 676,630,872 3.9%
-------------- ----
CONSUMER DISCRETIONARY -- (13.2%)
American Eagle Outfitters, Inc................................... 1,887,209 43,519,040 0.3%
# Children's Place, Inc. (The)..................................... 265,406 39,651,656 0.2%
#* Deckers Outdoor Corp............................................. 593,656 75,495,234 0.4%
* Five Below, Inc.................................................. 321,191 36,557,960 0.2%
#* Helen of Troy, Ltd............................................... 336,806 41,804,361 0.3%
Marriott Vacations Worldwide Corp................................ 498,243 44,089,523 0.3%
# Signet Jewelers, Ltd............................................. 636,023 35,649,089 0.2%
Wolverine World Wide, Inc........................................ 1,175,143 41,329,779 0.2%
Other Securities................................................. 2,261,738,610 13.0%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 2,619,835,252 15.1%
-------------- ----
CONSUMER STAPLES -- (3.9%)
#* Darling Ingredients, Inc......................................... 1,833,493 37,879,965 0.2%
# Medifast, Inc.................................................... 223,875 47,389,860 0.3%
Other Securities................................................. 691,227,187 4.0%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 776,497,012 4.5%
-------------- ----
ENERGY -- (5.6%)
* CNX Resources Corp............................................... 2,445,037 38,264,829 0.2%
#* Gulfport Energy Corp............................................. 5,409,227 49,278,058 0.3%
#* Oceaneering International, Inc................................... 2,273,987 43,069,314 0.3%
Other Securities................................................. 985,413,938 5.7%
-------------- ----
TOTAL ENERGY......................................................... 1,116,026,139 6.5%
-------------- ----
FINANCIALS -- (16.8%)
Aspen Insurance Holdings, Ltd.................................... 871,501 36,498,462 0.2%
# BancorpSouth Bank................................................ 1,522,695 43,701,346 0.3%
Cathay General Bancorp........................................... 1,520,898 57,292,228 0.3%
Columbia Banking System, Inc..................................... 1,055,984 39,166,447 0.2%
# Community Bank System, Inc....................................... 620,520 36,232,163 0.2%
FirstCash, Inc................................................... 625,879 50,320,672 0.3%
# Glacier Bancorp, Inc............................................. 932,686 39,545,886 0.2%
* Green Dot Corp., Class A......................................... 631,439 47,825,190 0.3%
Kemper Corp...................................................... 544,635 40,951,106 0.2%
MB Financial, Inc................................................ 818,499 36,333,171 0.2%
# Mercury General Corp............................................. 622,919 36,945,326 0.2%
# Selective Insurance Group, Inc................................... 763,279 49,498,643 0.3%
# Sterling Bancorp................................................. 2,031,889 36,533,364 0.2%
TCF Financial Corp............................................... 2,107,424 44,003,013 0.3%
Other Securities................................................. 2,752,570,639 16.0%
-------------- ----
TOTAL FINANCIALS..................................................... 3,347,417,656 19.4%
-------------- ----
HEALTH CARE -- (8.2%)
#* Amedisys, Inc.................................................... 364,629 40,109,190 0.2%
68
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
HEALTH CARE -- (Continued)
#* Horizon Pharma P.L.C............................................. 2,383,195 $ 43,397,981 0.3%
#* Inogen, Inc...................................................... 201,007 38,104,897 0.2%
#* Merit Medical Systems, Inc....................................... 637,177 36,395,550 0.2%
#* Myriad Genetics, Inc............................................. 796,274 35,856,218 0.2%
Other Securities................................................. 1,432,522,292 8.3%
--------------- ----
TOTAL HEALTH CARE.................................................... 1,626,386,128 9.4%
--------------- ----
INDUSTRIALS -- (16.7%)
#* Cimpress NV...................................................... 293,238 36,651,818 0.2%
Insperity, Inc................................................... 449,144 49,338,468 0.3%
MSA Safety, Inc.................................................. 362,977 37,909,318 0.2%
#* RBC Bearings, Inc................................................ 255,557 37,740,658 0.2%
#* Spirit Airlines, Inc............................................. 748,626 38,853,689 0.2%
# Terex Corp....................................................... 1,116,268 37,272,189 0.2%
Tetra Tech, Inc.................................................. 660,168 43,597,495 0.3%
#* Trex Co., Inc.................................................... 638,475 39,138,518 0.2%
Other Securities................................................. 3,006,427,050 17.4%
--------------- ----
TOTAL INDUSTRIALS.................................................... 3,326,929,203 19.2%
--------------- ----
INFORMATION TECHNOLOGY -- (11.1%)
* CACI International, Inc., Class A................................ 232,002 41,403,077 0.2%
#* Ciena Corp....................................................... 1,352,162 42,268,584 0.3%
* Conduent, Inc.................................................... 2,001,360 38,225,976 0.2%
#* Cree, Inc........................................................ 1,047,356 40,658,360 0.2%
* Integrated Device Technology, Inc................................ 1,083,550 50,720,975 0.3%
* LiveRamp Holdings, Inc........................................... 804,519 36,750,428 0.2%
Other Securities................................................. 1,963,304,852 11.4%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 2,213,332,252 12.8%
--------------- ----
MATERIALS -- (4.4%)
#* Cleveland-Cliffs, Inc............................................ 3,429,529 36,901,732 0.2%
KapStone Paper and Packaging Corp................................ 1,023,268 35,814,380 0.2%
Other Securities................................................. 797,160,518 4.6%
--------------- ----
TOTAL MATERIALS...................................................... 869,876,630 5.0%
--------------- ----
REAL ESTATE -- (0.6%)
Other Securities................................................. 119,743,889 0.7%
--------------- ----
UTILITIES -- (3.0%)
Other Securities................................................. 584,818,890 3.4%
--------------- ----
TOTAL COMMON STOCKS.................................................. 17,277,493,923 99.9%
--------------- ----
PREFERRED STOCKS -- (0.0%)
CONSUMER DISCRETIONARY -- (0.0%)
Other Security................................................... 1,764,740 0.0%
--------------- ----
HEALTH CARE -- (0.0%)
Other Security................................................... 784,746 0.0%
--------------- ----
TOTAL PREFERRED STOCKS............................................... 2,549,486 0.0%
--------------- ----
69
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. $ 71,640 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES............................................ 17,280,115,049
---------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 97,266,737 97,266,737 0.6%
--------------- -----
SECURITIES LENDING COLLATERAL -- (12.6%)
@(S) DFA Short Term Investment Fund................................... 217,426,248 2,515,621,684 14.5%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $16,132,072,088)............................................... $19,893,003,470 115.0%
=============== =====
As of October 31, 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............................ 43 12/21/18 $5,812,296 $5,828,865 $16,569
---------- ---------- -------
TOTAL FUTURES CONTRACTS........................... $5,812,296 $5,828,865 $16,569
========== ========== =======
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 676,630,872 -- -- $ 676,630,872
Consumer Discretionary................................... 2,619,833,902 $ 1,350 -- 2,619,835,252
Consumer Staples......................................... 776,497,012 -- -- 776,497,012
Energy................................................... 1,116,026,139 -- -- 1,116,026,139
Financials............................................... 3,347,346,424 71,232 -- 3,347,417,656
Health Care.............................................. 1,626,386,128 -- -- 1,626,386,128
Industrials.............................................. 3,326,929,203 -- -- 3,326,929,203
Information Technology................................... 2,213,286,834 45,418 -- 2,213,332,252
Materials................................................ 869,391,047 485,583 -- 869,876,630
Real Estate.............................................. 119,743,889 -- -- 119,743,889
Utilities................................................ 584,818,890 -- -- 584,818,890
Preferred Stocks
Consumer Discretionary................................... 1,764,740 -- -- 1,764,740
Health Care.............................................. -- 784,746 -- 784,746
Rights/Warrants
Consumer Discretionary................................... -- 30,186 -- 30,186
Information Technology................................... 41,454 -- -- 41,454
Temporary Cash Investments.................................. 97,266,737 -- -- 97,266,737
70
U.S. SMALL CAP PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- -------------- -------- ---------------
Securities Lending Collateral............................... -- $2,515,621,684 -- $ 2,515,621,684
Futures Contracts**......................................... $ 16,569 -- -- 16,569
--------------- -------------- -------- ---------------
TOTAL....................................................... $17,375,979,840 $2,517,040,199 -- $19,893,020,039
=============== ============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
71
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (86.3%)
COMMUNICATION SERVICES -- (3.1%)
Shenandoah Telecommunications Co................................. 497,784 $ 18,925,748 0.3%
Other Securities................................................. 206,531,350 3.2%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 225,457,098 3.5%
-------------- ----
CONSUMER DISCRETIONARY -- (12.3%)
Caleres, Inc..................................................... 493,103 16,864,123 0.3%
# Callaway Golf Co................................................. 1,105,362 23,654,747 0.4%
#* Cavco Industries, Inc............................................ 92,075 18,471,166 0.3%
* Fox Factory Holding Corp......................................... 326,575 17,546,875 0.3%
# GameStop Corp., Class A.......................................... 1,237,854 18,072,668 0.3%
#* Gentherm, Inc.................................................... 398,697 17,399,137 0.3%
# Oxford Industries, Inc........................................... 188,771 16,796,844 0.3%
#* Sleep Number Corp................................................ 443,759 16,139,515 0.3%
Sonic Corp....................................................... 605,445 26,203,660 0.4%
# Strategic Education, Inc......................................... 173,495 21,829,141 0.3%
Other Securities................................................. 716,864,895 10.8%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 909,842,771 14.0%
-------------- ----
CONSUMER STAPLES -- (3.5%)
# Calavo Growers, Inc.............................................. 186,492 18,089,724 0.3%
# Inter Parfums, Inc............................................... 301,212 17,768,496 0.3%
# Medifast, Inc.................................................... 129,943 27,506,334 0.4%
#* United Natural Foods, Inc........................................ 842,081 18,298,420 0.3%
# WD-40 Co......................................................... 127,246 21,260,262 0.3%
Other Securities................................................. 157,100,086 2.4%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 260,023,322 4.0%
-------------- ----
ENERGY -- (6.1%)
#* Gulfport Energy Corp............................................. 2,330,870 21,234,226 0.3%
#* Noble Corp. P.L.C................................................ 3,496,071 17,550,276 0.3%
# SemGroup Corp., Class A.......................................... 1,006,217 18,604,952 0.3%
* Superior Energy Services, Inc.................................... 2,412,984 18,893,665 0.3%
# US Silica Holdings, Inc.......................................... 1,536,040 21,504,560 0.3%
Other Securities................................................. 349,831,597 5.4%
-------------- ----
TOTAL ENERGY......................................................... 447,619,276 6.9%
-------------- ----
FINANCIALS -- (18.7%)
Horace Mann Educators Corp....................................... 410,677 16,131,393 0.3%
#* NMI Holdings, Inc., Class A...................................... 763,913 16,149,121 0.3%
Universal Insurance Holdings, Inc................................ 446,074 18,726,187 0.3%
Other Securities................................................. 1,333,801,340 20.5%
-------------- ----
TOTAL FINANCIALS..................................................... 1,384,808,041 21.4%
-------------- ----
HEALTH CARE -- (8.9%)
* BioTelemetry, Inc................................................ 333,593 19,381,753 0.3%
CONMED Corp...................................................... 245,222 16,535,319 0.3%
Ensign Group, Inc. (The)......................................... 507,939 18,814,061 0.3%
* Integer Holdings Corp............................................ 281,395 20,955,486 0.3%
#* LHC Group, Inc................................................... 195,466 17,871,456 0.3%
#* Omnicell, Inc.................................................... 278,944 19,721,341 0.3%
72
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- -------------- ---------------
HEALTH CARE -- (Continued)
Other Securities................................................. $ 544,352,617 8.3%
-------------- ----
TOTAL HEALTH CARE.................................................... 657,632,033 10.1%
-------------- ----
INDUSTRIALS -- (17.3%)
#* Aerojet Rocketdyne Holdings, Inc................................. 455,303 16,081,302 0.3%
#* Aerovironment, Inc............................................... 243,472 21,905,176 0.3%
Albany International Corp., Class A.............................. 257,591 18,026,218 0.3%
#* Axon Enterprise, Inc............................................. 266,307 16,436,468 0.3%
#* Chart Industries, Inc............................................ 326,645 22,228,192 0.3%
Comfort Systems USA, Inc......................................... 378,197 20,225,976 0.3%
Exponent, Inc.................................................... 406,503 20,512,141 0.3%
Forward Air Corp................................................. 306,722 18,400,253 0.3%
# Kaman Corp....................................................... 281,442 17,877,196 0.3%
Raven Industries, Inc............................................ 401,690 17,465,481 0.3%
# US Ecology, Inc.................................................. 246,156 17,213,689 0.3%
Other Securities................................................. 1,070,473,763 16.4%
-------------- ----
TOTAL INDUSTRIALS.................................................... 1,276,845,855 19.7%
-------------- ----
INFORMATION TECHNOLOGY -- (9.9%)
# Badger Meter, Inc................................................ 332,787 16,343,170 0.3%
* ExlService Holdings, Inc......................................... 265,274 17,004,063 0.3%
#* Fabrinet......................................................... 375,415 16,262,978 0.3%
#* Insight Enterprises, Inc......................................... 311,814 16,117,666 0.3%
* Virtusa Corp..................................................... 358,465 17,776,279 0.3%
Other Securities................................................. 648,876,921 9.8%
-------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 732,381,077 11.3%
-------------- ----
MATERIALS -- (3.8%)
Innospec, Inc.................................................... 254,933 17,060,116 0.3%
# Quaker Chemical Corp............................................. 104,311 18,765,549 0.3%
Other Securities................................................. 240,713,279 3.7%
-------------- ----
TOTAL MATERIALS...................................................... 276,538,944 4.3%
-------------- ----
REAL ESTATE -- (0.9%)
Other Securities................................................. 68,131,980 1.1%
-------------- ----
UTILITIES -- (1.8%)
# American States Water Co......................................... 317,648 19,446,411 0.3%
# California Water Service Group................................... 430,087 18,063,654 0.3%
Other Securities................................................. 97,416,980 1.5%
-------------- ----
TOTAL UTILITIES...................................................... 134,927,045 2.1%
-------------- ----
TOTAL COMMON STOCKS.................................................. 6,374,207,442 98.4%
-------------- ----
PREFERRED STOCKS -- (0.0%)
CONSUMER DISCRETIONARY -- (0.0%)
Other Security................................................... 806,104 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 37,337 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES.......................................... 6,375,050,883
--------------
73
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 56,047,616 $ 56,047,616 0.9%
-------------- -----
SECURITIES LENDING COLLATERAL -- (13.0%)
@(S) DFA Short Term Investment Fund................................... 82,806,751 958,074,112 14.8%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $5,225,892,470)................................................ $7,389,172,611 114.1%
============== =====
As of October 31, 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............................ 694 12/21/18 $96,789,102 $94,075,170 $(2,713,932)
----------- ----------- -----------
TOTAL FUTURES CONTRACTS........................... $96,789,102 $94,075,170 $(2,713,932)
=========== =========== ===========
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 225,457,098 -- -- $ 225,457,098
Consumer Discretionary................................... 909,831,292 $ 11,479 -- 909,842,771
Consumer Staples......................................... 260,023,322 -- -- 260,023,322
Energy................................................... 447,619,276 -- -- 447,619,276
Financials............................................... 1,384,751,354 56,687 -- 1,384,808,041
Health Care.............................................. 657,632,033 -- -- 657,632,033
Industrials.............................................. 1,276,845,855 -- -- 1,276,845,855
Information Technology................................... 732,358,207 22,870 -- 732,381,077
Materials................................................ 275,872,249 666,695 -- 276,538,944
Real Estate.............................................. 68,131,980 -- -- 68,131,980
Utilities................................................ 134,927,045 -- -- 134,927,045
Preferred Stocks
Consumer Discretionary................................... 806,104 -- -- 806,104
Rights/Warrants
Information Technology................................... 36,830 -- -- 36,830
Consumer Discretionary................................... -- 507 -- 507
Temporary Cash Investments.................................. 56,047,616 -- -- 56,047,616
Securities Lending Collateral............................... -- 958,074,112 -- 958,074,112
Futures Contracts**......................................... (2,713,932) -- -- (2,713,932)
-------------- ------------ -------- --------------
TOTAL....................................................... $6,427,626,329 $958,832,350 -- $7,386,458,679
============== ============ ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
74
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- ------------ ---------------
COMMON STOCKS -- (98.3%)
COMMUNICATION SERVICES -- (6.9%)
Comcast Corp., Class A........................................... 207,454 $ 7,912,296 1.1%
Verizon Communications, Inc...................................... 488,788 27,904,907 3.9%
Other Securities................................................. 14,648,225 2.0%
------------ ----
TOTAL COMMUNICATION SERVICES......................................... 50,465,428 7.0%
------------ ----
CONSUMER DISCRETIONARY -- (19.1%)
* Amazon.com, Inc.................................................. 17,130 27,373,911 3.8%
Aptiv P.L.C...................................................... 60,102 4,615,834 0.6%
Best Buy Co., Inc................................................ 62,635 4,394,472 0.6%
* Booking Holdings, Inc............................................ 4,527 8,486,224 1.2%
General Motors Co................................................ 126,582 4,631,635 0.6%
Home Depot, Inc. (The)........................................... 93,072 16,369,503 2.3%
Lowe's Cos., Inc................................................. 72,098 6,865,172 1.0%
NIKE, Inc., Class B.............................................. 90,425 6,785,492 0.9%
Starbucks Corp................................................... 89,533 5,217,088 0.7%
Target Corp...................................................... 51,153 4,277,925 0.6%
TJX Cos., Inc. (The)............................................. 54,912 6,033,731 0.8%
Other Securities................................................. 44,493,895 6.2%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 139,544,882 19.3%
------------ ----
CONSUMER STAPLES -- (11.0%)
Altria Group, Inc................................................ 209,204 13,606,628 1.9%
Coca-Cola Co. (The).............................................. 292,601 14,009,736 1.9%
Costco Wholesale Corp............................................ 41,704 9,534,785 1.3%
PepsiCo, Inc..................................................... 131,677 14,797,861 2.0%
Walmart, Inc..................................................... 69,502 6,969,661 1.0%
Other Securities................................................. 21,572,910 3.0%
------------ ----
TOTAL CONSUMER STAPLES............................................... 80,491,581 11.1%
------------ ----
ENERGY -- (1.0%)
Other Securities................................................. 7,146,745 1.0%
------------ ----
FINANCIALS -- (4.2%)
American Express Co.............................................. 77,321 7,943,186 1.1%
Ameriprise Financial, Inc........................................ 26,841 3,415,249 0.5%
Marsh & McLennan Cos., Inc....................................... 40,122 3,400,339 0.5%
Other Securities................................................. 15,998,697 2.2%
------------ ----
TOTAL FINANCIALS..................................................... 30,757,471 4.3%
------------ ----
HEALTH CARE -- (7.5%)
AbbVie, Inc...................................................... 83,363 6,489,809 0.9%
Amgen, Inc....................................................... 73,131 14,098,925 2.0%
* Biogen, Inc...................................................... 20,989 6,386,323 0.9%
* Celgene Corp..................................................... 61,876 4,430,322 0.6%
Gilead Sciences, Inc............................................. 132,871 9,059,145 1.3%
Other Securities................................................. 14,791,941 1.9%
------------ ----
TOTAL HEALTH CARE.................................................... 55,256,465 7.6%
------------ ----
INDUSTRIALS -- (18.9%)
3M Co............................................................ 53,526 10,183,857 1.4%
75
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- ------------ ---------------
INDUSTRIALS -- (Continued)
Boeing Co. (The)................................................. 29,494 $ 10,466,241 1.5%
Caterpillar, Inc................................................. 70,495 8,552,453 1.2%
Deere & Co....................................................... 32,964 4,464,644 0.6%
Delta Air Lines, Inc............................................. 73,216 4,007,112 0.6%
FedEx Corp....................................................... 16,519 3,639,797 0.5%
Honeywell International, Inc..................................... 61,438 8,897,451 1.2%
Lockheed Martin Corp............................................. 19,440 5,712,444 0.8%
Union Pacific Corp............................................... 79,063 11,560,592 1.6%
* United Continental Holdings, Inc................................. 40,490 3,462,300 0.5%
United Parcel Service, Inc., Class B............................. 53,876 5,739,949 0.8%
Waste Management, Inc............................................ 47,958 4,290,802 0.6%
Other Securities................................................. 57,182,219 7.8%
------------ -----
TOTAL INDUSTRIALS...................................................... 138,159,861 19.1%
------------ -----
INFORMATION TECHNOLOGY -- (27.0%)
Accenture P.L.C., Class A........................................ 58,274 9,185,148 1.3%
Apple, Inc....................................................... 126,892 27,771,583 3.8%
Automatic Data Processing, Inc................................... 38,937 5,610,043 0.8%
International Business Machines Corp............................. 109,838 12,678,600 1.8%
Intuit, Inc...................................................... 18,279 3,856,869 0.5%
Mastercard, Inc., Class A........................................ 74,777 14,781,170 2.0%
* Micron Technology, Inc........................................... 100,307 3,783,580 0.5%
Microsoft Corp................................................... 259,331 27,699,144 3.8%
NetApp, Inc...................................................... 43,996 3,453,246 0.5%
NVIDIA Corp...................................................... 52,990 11,171,882 1.5%
Texas Instruments, Inc........................................... 98,012 9,098,454 1.3%
Visa, Inc., Class A.............................................. 152,846 21,069,821 2.9%
Other Securities................................................. 47,535,379 6.6%
------------ -----
TOTAL INFORMATION TECHNOLOGY........................................... 197,694,919 27.3%
------------ -----
MATERIALS -- (2.7%)
Other Securities................................................. 19,478,688 2.7%
------------ -----
UTILITIES -- (0.0%)
Other Security................................................... 420,564 0.1%
------------ -----
TOTAL COMMON STOCKS.................................................... 719,416,604 99.5%
------------ -----
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 3,361,334 3,361,334 0.5%
------------ -----
SECURITIES LENDING COLLATERAL -- (1.3%)
@(S) DFA Short Term Investment Fund................................... 815,897 9,439,931 1.3%
------------ -----
TOTAL INVESTMENTS--(100.0%)
(Cost $722,662,086).................................................. $732,217,869 101.3%
============ =====
76
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 50,465,428 -- -- $ 50,465,428
Consumer Discretionary................................... 139,544,882 -- -- 139,544,882
Consumer Staples......................................... 80,491,581 -- -- 80,491,581
Energy................................................... 7,146,745 -- -- 7,146,745
Financials............................................... 30,757,471 -- -- 30,757,471
Health Care.............................................. 55,256,465 -- -- 55,256,465
Industrials.............................................. 138,159,861 -- -- 138,159,861
Information Technology................................... 197,694,919 -- -- 197,694,919
Materials................................................ 19,478,688 -- -- 19,478,688
Utilities................................................ 420,564 -- -- 420,564
Temporary Cash Investments.................................. 3,361,334 -- -- 3,361,334
Securities Lending Collateral............................... -- $9,439,931 -- 9,439,931
------------ ---------- -------- ------------
TOTAL....................................................... $722,777,938 $9,439,931 -- $732,217,869
============ ========== ======== ============
See accompanying Notes to Financial Statements.
77
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (95.8%)
REAL ESTATE -- (95.8%)
# Alexandria Real Estate Equities, Inc............................. 931,866 $ 113,901,981 1.3%
American Campus Communities, Inc................................. 1,259,857 49,776,950 0.6%
American Homes 4 Rent, Class A................................... 2,319,984 48,882,063 0.6%
American Tower Corp.............................................. 3,940,258 613,931,599 7.2%
Apartment Investment & Management Co., Class A................... 1,465,312 63,067,029 0.7%
AvalonBay Communities, Inc....................................... 1,270,411 222,804,681 2.6%
Boston Properties, Inc........................................... 1,422,289 171,755,620 2.0%
Camden Property Trust............................................ 837,473 75,598,688 0.9%
Crown Castle International Corp.................................. 3,666,923 398,741,207 4.6%
CubeSmart........................................................ 1,680,737 48,707,758 0.6%
# Digital Realty Trust, Inc........................................ 1,883,127 194,451,694 2.3%
Douglas Emmett, Inc.............................................. 1,471,250 53,244,538 0.6%
Duke Realty Corp................................................. 3,313,467 91,352,285 1.1%
# EPR Properties................................................... 684,956 47,083,875 0.5%
Equinix, Inc..................................................... 729,747 276,384,379 3.2%
Equity LifeStyle Properties, Inc................................. 770,599 72,968,019 0.9%
Equity Residential............................................... 3,385,677 219,933,578 2.6%
Essex Property Trust, Inc........................................ 608,919 152,704,707 1.8%
Extra Space Storage, Inc......................................... 1,171,186 105,477,011 1.2%
Federal Realty Investment Trust.................................. 675,031 83,737,596 1.0%
Gaming and Leisure Properties, Inc............................... 1,869,273 62,975,807 0.7%
HCP, Inc......................................................... 4,345,170 119,709,434 1.4%
Healthcare Trust of America, Inc., Class A....................... 1,858,558 48,805,733 0.6%
Host Hotels & Resorts, Inc....................................... 6,843,727 130,783,623 1.5%
# Invitation Homes, Inc............................................ 2,157,818 47,213,058 0.5%
# Iron Mountain, Inc............................................... 2,440,546 74,705,113 0.9%
# Kilroy Realty Corp............................................... 923,999 63,645,051 0.7%
# Kimco Realty Corp................................................ 3,936,601 63,339,910 0.7%
# Lamar Advertising Co., Class A................................... 657,486 48,206,874 0.6%
Liberty Property Trust........................................... 1,382,569 57,888,164 0.7%
Macerich Co. (The)............................................... 1,188,024 61,325,799 0.7%
# Medical Properties Trust, Inc.................................... 3,272,065 48,622,886 0.6%
Mid-America Apartment Communities, Inc........................... 1,054,328 103,018,389 1.2%
# National Retail Properties, Inc.................................. 1,416,966 66,243,161 0.8%
# Omega Healthcare Investors, Inc.................................. 1,832,696 61,120,412 0.7%
Park Hotels & Resorts, Inc....................................... 1,622,172 47,156,540 0.5%
Prologis, Inc.................................................... 5,772,643 372,162,294 4.3%
Public Storage................................................... 1,439,486 295,771,188 3.4%
# Realty Income Corp............................................... 2,587,199 155,930,484 1.8%
Regency Centers Corp............................................. 1,439,341 91,196,646 1.1%
* SBA Communications Corp.......................................... 1,058,190 171,606,672 2.0%
Simon Property Group, Inc........................................ 2,819,248 517,388,393 6.0%
SL Green Realty Corp............................................. 824,584 75,251,536 0.9%
Sun Communities, Inc............................................. 714,055 71,741,106 0.8%
UDR, Inc......................................................... 2,479,662 97,177,954 1.1%
Ventas, Inc...................................................... 3,281,144 190,437,598 2.2%
VEREIT, Inc...................................................... 9,027,355 66,170,512 0.8%
Vornado Realty Trust............................................. 1,583,520 107,806,042 1.3%
# Welltower, Inc................................................... 3,388,369 223,869,540 2.6%
# WP Carey, Inc.................................................... 944,402 62,339,976 0.7%
Other Securities................................................. 1,848,786,575 21.7%
-------------- ----
TOTAL COMMON STOCKS.................................................. 8,556,901,728 99.8%
-------------- ----
78
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
2.090%......................................................... 12,244,903 $ 12,244,903 0.1%
-------------- -----
SECURITIES LENDING COLLATERAL -- (4.0%)
@(S) DFA Short Term Investment Fund................................... 31,067,703 359,453,327 4.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $6,836,679,796)................................................ $8,928,599,958 104.1%
============== =====
As of October 31, 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............................ 110 12/21/18 $15,378,064 $14,911,050 $(467,014)
----------- ----------- ---------
TOTAL FUTURES CONTRACTS........................... $15,378,064 $14,911,050 $(467,014)
=========== =========== =========
Summary of the Portfolio's investments as of October 31, 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.............................................. $8,556,901,728 -- -- $8,556,901,728
Temporary Cash Investments.................................. 12,244,903 -- -- 12,244,903
Securities Lending Collateral............................... -- $359,453,327 -- 359,453,327
Futures Contracts**......................................... (467,014) -- -- (467,014)
-------------- ------------ -------- --------------
TOTAL....................................................... $8,568,679,617 $359,453,327 -- $8,928,132,944
============== ============ ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
79
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (95.1%)
AUSTRALIA -- (5.7%)
BHP Billiton, Ltd................................................ 842,811 $ 19,446,724 0.4%
# Commonwealth Bank of Australia................................... 461,654 22,699,913 0.5%
CSL, Ltd......................................................... 133,309 17,796,369 0.4%
# Westpac Banking Corp............................................. 847,720 16,103,058 0.4%
Other Securities................................................. 195,378,170 4.2%
------------ ---
TOTAL AUSTRALIA...................................................... 271,424,234 5.9%
------------ ---
AUSTRIA -- (0.3%)
Other Securities................................................. 12,795,049 0.3%
------------ ---
BELGIUM -- (1.0%)
Anheuser-Busch InBev SA/NV....................................... 240,375 17,778,450 0.4%
Other Securities................................................. 29,344,390 0.6%
------------ ---
TOTAL BELGIUM........................................................ 47,122,840 1.0%
------------ ---
CANADA -- (8.7%)
Bank of Montreal................................................. 170,834 12,768,133 0.3%
Canadian National Railway Co..................................... 149,760 12,802,606 0.3%
Royal Bank of Canada............................................. 239,620 17,459,342 0.4%
Toronto-Dominion Bank (The)...................................... 232,719 12,910,075 0.3%
Other Securities................................................. 354,830,713 7.7%
------------ ---
TOTAL CANADA......................................................... 410,770,869 9.0%
------------ ---
DENMARK -- (1.5%)
Novo Nordisk A.S., Class B....................................... 483,626 20,886,141 0.4%
Other Securities................................................. 50,399,702 1.1%
------------ ---
TOTAL DENMARK........................................................ 71,285,843 1.5%
------------ ---
FINLAND -- (1.0%)
Other Securities................................................. 48,485,817 1.1%
------------ ---
FRANCE -- (9.1%)
Air Liquide SA................................................... 121,498 14,687,436 0.3%
Airbus SE........................................................ 178,673 19,745,908 0.4%
LVMH Moet Hennessy Louis Vuitton SE.............................. 85,899 26,062,223 0.6%
Sanofi........................................................... 227,436 20,323,811 0.4%
# Total SA......................................................... 510,163 29,934,030 0.7%
Vinci SA......................................................... 155,899 13,874,917 0.3%
Other Securities................................................. 307,268,359 6.7%
------------ ---
TOTAL FRANCE......................................................... 431,896,684 9.4%
------------ ---
GERMANY -- (6.9%)
Adidas AG........................................................ 55,653 13,087,577 0.3%
Allianz SE....................................................... 64,453 13,426,839 0.3%
BASF SE.......................................................... 282,118 21,649,316 0.5%
Bayer AG......................................................... 182,613 13,997,730 0.3%
Daimler AG....................................................... 315,131 18,667,289 0.4%
Deutsche Telekom AG.............................................. 1,070,240 17,553,730 0.4%
SAP SE........................................................... 193,351 20,702,757 0.5%
Siemens AG....................................................... 156,357 17,972,740 0.4%
80
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
GERMANY -- (Continued)
Other Securities................................................. $ 188,398,120 4.0%
-------------- ----
TOTAL GERMANY........................................................ 325,456,098 7.1%
-------------- ----
HONG KONG -- (2.7%)
AIA Group, Ltd................................................... 3,407,600 25,921,759 0.6%
Other Securities................................................. 102,017,967 2.2%
-------------- ----
TOTAL HONG KONG...................................................... 127,939,726 2.8%
-------------- ----
IRELAND -- (0.6%)
Other Securities................................................. 27,372,984 0.6%
-------------- ----
ISRAEL -- (0.5%)
Other Securities................................................. 23,643,126 0.5%
-------------- ----
ITALY -- (2.0%)
Other Securities................................................. 94,581,044 2.1%
-------------- ----
JAPAN -- (22.8%)
KDDI Corp........................................................ 554,400 13,416,389 0.3%
SoftBank Group Corp.............................................. 286,788 22,696,054 0.5%
Sony Corp........................................................ 358,400 19,395,434 0.4%
Toyota Motor Corp................................................ 568,223 33,287,032 0.7%
Other Securities................................................. 989,928,220 21.6%
-------------- ----
TOTAL JAPAN.......................................................... 1,078,723,129 23.5%
-------------- ----
NETHERLANDS -- (2.9%)
# Unilever NV...................................................... 268,265 14,415,222 0.3%
Other Securities................................................. 122,845,507 2.7%
-------------- ----
TOTAL NETHERLANDS.................................................... 137,260,729 3.0%
-------------- ----
NEW ZEALAND -- (0.3%)
Other Securities................................................. 13,786,227 0.3%
-------------- ----
NORWAY -- (0.9%)
Other Securities................................................. 43,740,745 0.9%
-------------- ----
PORTUGAL -- (0.2%)
Other Securities................................................. 7,298,014 0.2%
-------------- ----
SINGAPORE -- (1.1%)
Other Securities................................................. 52,299,823 1.1%
-------------- ----
SOUTH AFRICA -- (0.1%)
Other Securities................................................. 2,649,019 0.1%
-------------- ----
SPAIN -- (2.4%)
Banco Santander SA............................................... 3,635,787 17,298,906 0.4%
Other Securities................................................. 97,051,594 2.1%
-------------- ----
TOTAL SPAIN.......................................................... 114,350,500 2.5%
-------------- ----
SWEDEN -- (2.5%)
Other Securities................................................. 119,456,634 2.6%
-------------- ----
81
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SWITZERLAND -- (7.0%)
Nestle SA................................................... 825,815 $ 69,717,848 1.5%
Novartis AG................................................. 448,358 39,263,740 0.9%
Roche Holding AG............................................ 217,168 52,850,528 1.2%
Zurich Insurance Group AG................................... 39,986 12,414,899 0.3%
Other Securities............................................ 157,933,918 3.3%
-------------- -----
TOTAL SWITZERLAND................................................. 332,180,933 7.2%
-------------- -----
UNITED KINGDOM -- (14.6%)
# Anglo American P.L.C........................................ 633,533 13,521,734 0.3%
# AstraZeneca P.L.C., Sponsored ADR........................... 461,956 17,914,654 0.4%
BP P.L.C., Sponsored ADR.................................... 850,212 36,873,716 0.8%
British American Tobacco P.L.C.............................. 330,890 14,344,169 0.3%
Diageo P.L.C., Sponsored ADR................................ 128,576 17,764,060 0.4%
# GlaxoSmithKline P.L.C., Sponsored ADR....................... 428,638 16,742,600 0.4%
Glencore P.L.C.............................................. 3,751,272 15,266,398 0.3%
HSBC Holdings P.L.C., Sponsored ADR......................... 566,380 23,272,554 0.5%
Royal Dutch Shell P.L.C., Class A........................... 491,594 15,661,251 0.3%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A............ 352,746 22,290,036 0.5%
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B............ 381,601 25,075,002 0.5%
Unilever P.L.C., Sponsored ADR.............................. 274,641 14,550,480 0.3%
Other Securities............................................ 454,538,493 10.0%
-------------- -----
TOTAL UNITED KINGDOM.............................................. 687,815,147 15.0%
-------------- -----
UNITED STATES -- (0.3%)
Other Securities............................................ 12,020,044 0.3%
-------------- -----
TOTAL COMMON STOCKS............................................... 4,494,355,258 98.0%
-------------- -----
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Other Securities............................................ 26,120,326 0.5%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Security.............................................. 35,944 0.0%
-------------- -----
TOTAL PREFERRED STOCKS............................................ 26,156,270 0.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................ 142,874 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES....................................... 4,520,654,402
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (4.4%)
@(S) DFA Short Term Investment Fund.............................. 17,834,881 206,349,572 4.5%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,377,817,902)........................................... $4,727,003,974 103.0%
============== =====
82
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
As of October 31, 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 12/21/18 $ 8,249,548 $ 7,703,125 $ (546,423)
S&P 500(R)/ /Emini Index.......................... 180 12/21/18 26,377,503 24,399,900 (1,977,603)
----------- ----------- -----------
TOTAL FUTURES CONTRACTS........................... $34,627,051 $32,103,025 $(2,524,026)
=========== =========== ===========
Summary of the Portfolio's investments as of October 31, 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................................................ $ 7,555,187 $ 263,869,047 -- $ 271,424,234
Austria.................................................. -- 12,795,049 -- 12,795,049
Belgium.................................................. 686,312 46,436,528 -- 47,122,840
Canada................................................... 410,770,869 -- -- 410,770,869
Denmark.................................................. 2,611,829 68,674,014 -- 71,285,843
Finland.................................................. -- 48,485,817 -- 48,485,817
France................................................... 9,112,228 422,784,456 -- 431,896,684
Germany.................................................. 14,102,358 311,353,740 -- 325,456,098
Hong Kong................................................ 567,682 127,372,044 -- 127,939,726
Ireland.................................................. 5,538,038 21,834,946 -- 27,372,984
Israel................................................... 6,422,664 17,220,462 -- 23,643,126
Italy.................................................... 5,803,661 88,777,383 -- 94,581,044
Japan.................................................... 30,613,027 1,048,110,102 -- 1,078,723,129
Netherlands.............................................. 32,986,843 104,273,886 -- 137,260,729
New Zealand.............................................. -- 13,786,227 -- 13,786,227
Norway................................................... 1,180,664 42,560,081 -- 43,740,745
Portugal................................................. -- 7,298,014 -- 7,298,014
Singapore................................................ -- 52,299,823 -- 52,299,823
South Africa............................................. -- 2,649,019 -- 2,649,019
Spain.................................................... 5,596,482 108,754,018 -- 114,350,500
Sweden................................................... -- 119,456,634 -- 119,456,634
Switzerland.............................................. 18,646,732 313,534,201 -- 332,180,933
United Kingdom........................................... 232,445,261 455,369,886 -- 687,815,147
United States............................................ 12,020,044 -- -- 12,020,044
Preferred Stocks
Germany.................................................. -- 26,120,326 -- 26,120,326
United Kingdom........................................... -- 35,944 -- 35,944
Rights/Warrants
Canada................................................... -- 1,624 -- 1,624
Spain.................................................... -- 141,250 -- 141,250
Securities Lending Collateral............................... -- 206,349,572 -- 206,349,572
Futures Contracts**......................................... (2,524,026) -- -- (2,524,026)
------------ -------------- -------- --------------
TOTAL....................................................... $794,135,855 $3,930,344,093 -- $4,724,479,948
============ ============== ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
83
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (93.8%)
AUSTRALIA -- (5.9%)
# Australia & New Zealand Banking Group, Ltd....................... 2,907,568 $ 53,518,612 0.2%
BHP Billiton, Ltd................................................ 4,074,214 94,006,981 0.4%
# Commonwealth Bank of Australia................................... 1,329,108 65,353,351 0.3%
# National Australia Bank, Ltd..................................... 2,976,124 53,300,953 0.2%
Other Securities................................................. 1,415,183,010 5.1%
-------------- ---
TOTAL AUSTRALIA...................................................... 1,681,362,907 6.2%
-------------- ---
AUSTRIA -- (0.6%)
Other Securities................................................. 169,629,438 0.6%
-------------- ---
BELGIUM -- (1.2%)
Other Securities................................................. 332,209,498 1.2%
-------------- ---
CANADA -- (8.7%)
# Bank of Montreal................................................. 847,416 63,335,872 0.3%
# Bank of Nova Scotia (The)........................................ 971,369 52,172,229 0.2%
# Barrick Gold Corp................................................ 4,637,776 58,204,089 0.2%
* Bausch Health Cos., Inc.......................................... 2,291,320 52,425,402 0.2%
Canadian Natural Resources, Ltd.................................. 1,959,071 53,521,820 0.2%
Suncor Energy, Inc............................................... 1,806,178 60,163,789 0.2%
Other Securities................................................. 2,135,323,859 7.8%
-------------- ---
TOTAL CANADA......................................................... 2,475,147,060 9.1%
-------------- ---
DENMARK -- (1.6%)
Other Securities................................................. 463,193,348 1.7%
-------------- ---
FINLAND -- (1.7%)
UPM-Kymmene Oyj.................................................. 1,767,276 56,815,686 0.2%
Other Securities................................................. 438,599,655 1.6%
-------------- ---
TOTAL FINLAND........................................................ 495,415,341 1.8%
-------------- ---
FRANCE -- (7.3%)
BNP Paribas SA................................................... 1,166,095 60,769,923 0.2%
Cie Generale des Etablissements Michelin SCA..................... 583,291 59,714,140 0.2%
Orange SA........................................................ 4,316,492 67,373,317 0.3%
Peugeot SA....................................................... 3,354,230 79,732,671 0.3%
# Total SA......................................................... 2,068,538 121,372,345 0.5%
Other Securities................................................. 1,681,000,568 6.1%
-------------- ---
TOTAL FRANCE......................................................... 2,069,962,964 7.6%
-------------- ---
GERMANY -- (6.7%)
Allianz SE....................................................... 354,255 73,798,345 0.3%
BASF SE.......................................................... 1,584,387 121,583,501 0.5%
Bayerische Motoren Werke AG...................................... 932,150 80,268,180 0.3%
Daimler AG....................................................... 2,042,132 120,968,955 0.5%
Deutsche Telekom AG.............................................. 6,594,331 108,158,083 0.4%
Other Securities................................................. 1,406,216,742 5.0%
-------------- ---
TOTAL GERMANY........................................................ 1,910,993,806 7.0%
-------------- ---
84
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
HONG KONG -- (2.5%)
AIA Group, Ltd................................................... 8,634,000 $ 65,679,208 0.3%
Other Securities................................................. 634,621,599 2.3%
-------------- ----
TOTAL HONG KONG...................................................... 700,300,807 2.6%
-------------- ----
IRELAND -- (0.5%)
Other Securities................................................. 143,750,072 0.5%
-------------- ----
ISRAEL -- (0.7%)
Other Securities................................................. 192,895,490 0.7%
-------------- ----
ITALY -- (2.7%)
Eni SpA.......................................................... 3,159,477 56,111,526 0.2%
Other Securities................................................. 720,123,109 2.7%
-------------- ----
TOTAL ITALY.......................................................... 776,234,635 2.9%
-------------- ----
JAPAN -- (23.1%)
Hitachi, Ltd..................................................... 1,750,885 53,524,896 0.2%
Honda Motor Co., Ltd............................................. 2,640,923 75,386,549 0.3%
Mitsubishi UFJ Financial Group, Inc.............................. 9,798,000 59,302,283 0.2%
SoftBank Group Corp.............................................. 1,002,632 79,347,050 0.3%
Toyota Motor Corp................................................ 2,741,740 160,613,677 0.6%
Other Securities................................................. 6,162,918,152 22.7%
-------------- ----
TOTAL JAPAN.......................................................... 6,591,092,607 24.3%
-------------- ----
NETHERLANDS -- (2.5%)
Other Securities................................................. 706,940,485 2.6%
-------------- ----
NEW ZEALAND -- (0.4%)
Other Securities................................................. 122,214,407 0.4%
-------------- ----
NORWAY -- (1.0%)
Other Securities................................................. 288,085,136 1.1%
-------------- ----
PORTUGAL -- (0.2%)
Other Securities................................................. 68,175,578 0.3%
-------------- ----
SINGAPORE -- (1.0%)
Other Securities................................................. 294,037,402 1.1%
-------------- ----
SOUTH AFRICA -- (0.1%)
Other Securities................................................. 14,232,623 0.1%
-------------- ----
SPAIN -- (2.2%)
Banco Santander SA............................................... 13,286,562 63,216,847 0.2%
Iberdrola S.A.................................................... 8,184,790 57,914,096 0.2%
Other Securities................................................. 500,546,543 1.9%
-------------- ----
TOTAL SPAIN.......................................................... 621,677,486 2.3%
-------------- ----
SWEDEN -- (2.5%)
Other Securities................................................. 724,606,662 2.7%
-------------- ----
SWITZERLAND -- (5.5%)
ABB, Ltd......................................................... 2,929,611 58,948,282 0.2%
85
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
SWITZERLAND -- (Continued)
Nestle SA................................................... 2,417,067 $ 204,056,248 0.8%
Novartis AG................................................. 656,395 57,482,017 0.2%
Novartis AG, Sponsored ADR.................................. 953,193 83,366,260 0.3%
Roche Holding AG............................................ 233,550 56,837,291 0.2%
Zurich Insurance Group AG................................... 183,572 56,995,642 0.2%
Other Securities............................................ 1,040,163,190 3.8%
--------------- -----
TOTAL SWITZERLAND................................................. 1,557,848,930 5.7%
--------------- -----
UNITED KINGDOM -- (15.1%)
# Anglo American P.L.C........................................ 4,549,559 97,102,953 0.4%
BP P.L.C., Sponsored ADR.................................... 4,355,662 188,905,061 0.7%
Glencore P.L.C.............................................. 20,310,264 82,655,858 0.3%
HSBC Holdings P.L.C., Sponsored ADR......................... 3,624,650 148,936,868 0.6%
Lloyds Banking Group P.L.C.................................. 73,603,870 53,711,586 0.2%
Rio Tinto P.L.C., Sponsored ADR............................. 1,875,418 92,439,353 0.3%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A............ 1,546,368 97,714,994 0.4%
Royal Dutch Shell P.L.C., Sponsored ADR, Class B............ 1,716,768 112,808,825 0.4%
Tesco P.L.C................................................. 23,595,438 64,260,358 0.2%
Vodafone Group P.L.C........................................ 31,621,342 59,465,140 0.2%
Other Securities............................................ 3,294,014,058 12.1%
--------------- -----
TOTAL UNITED KINGDOM.............................................. 4,292,015,054 15.8%
--------------- -----
UNITED STATES -- (0.1%)
Other Securities............................................ 31,925,423 0.1%
--------------- -----
TOTAL COMMON STOCKS............................................... 26,723,947,159 98.4%
--------------- -----
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Volkswagen AG............................................... 534,724 89,835,193 0.3%
Other Securities............................................ 75,044,195 0.3%
--------------- -----
TOTAL GERMANY..................................................... 164,879,388 0.6%
--------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities............................................ 227,215 0.0%
--------------- -----
TOTAL PREFERRED STOCKS............................................ 165,106,603 0.6%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................ 829,815 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES....................................... 26,889,883,577
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (5.6%)
@(S) DFA Short Term Investment Fund.............................. 138,672,959 1,604,446,132 5.9%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $27,212,489,786).......................................... $28,494,329,709 104.9%
=============== =====
86
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
As of October 31, 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.......................... 1,260 12/21/18 $179,428,497 $170,799,300 $(8,629,197)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS........................... $179,428,497 $170,799,300 $(8,629,197)
============ ============ ===========
Summary of the Portfolio's investments as of October 31, 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................................................ $ 51,585,594 $ 1,629,777,313 -- $ 1,681,362,907
Austria.................................................. 62,748 169,566,690 -- 169,629,438
Belgium.................................................. 10,337,449 321,872,049 -- 332,209,498
Canada................................................... 2,475,146,295 765 -- 2,475,147,060
Denmark.................................................. 25,704,320 437,489,028 -- 463,193,348
Finland.................................................. 2,837,839 492,577,502 -- 495,415,341
France................................................... 73,777,483 1,996,185,481 -- 2,069,962,964
Germany.................................................. 70,394,230 1,840,599,576 -- 1,910,993,806
Hong Kong................................................ 1,070,255 699,230,552 -- 700,300,807
Ireland.................................................. 18,766,492 124,983,580 -- 143,750,072
Israel................................................... 23,743,656 169,151,834 -- 192,895,490
Italy.................................................... 20,461,616 755,773,019 -- 776,234,635
Japan.................................................... 124,324,155 6,466,768,452 -- 6,591,092,607
Netherlands.............................................. 103,785,782 603,154,703 -- 706,940,485
New Zealand.............................................. 1,691,985 120,522,422 -- 122,214,407
Norway................................................... 17,494,788 270,590,348 -- 288,085,136
Portugal................................................. 251,494 67,924,084 -- 68,175,578
Singapore................................................ 63,714 293,973,688 -- 294,037,402
South Africa............................................. -- 14,232,623 -- 14,232,623
Spain.................................................... 21,930,270 599,747,216 -- 621,677,486
Sweden................................................... 5,445,583 719,161,079 -- 724,606,662
Switzerland.............................................. 115,614,974 1,442,233,956 -- 1,557,848,930
United Kingdom........................................... 983,834,859 3,308,180,195 -- 4,292,015,054
United States............................................ 31,925,423 -- -- 31,925,423
Preferred Stocks
Germany.................................................. -- 164,879,388 -- 164,879,388
United Kingdom........................................... -- 227,215 -- 227,215
Rights/Warrants
Canada................................................... -- 6,580 -- 6,580
Japan.................................................... -- 53,850 -- 53,850
Norway................................................... -- 32,521 -- 32,521
Spain.................................................... -- 708,825 -- 708,825
Sweden................................................... -- 28,039 -- 28,039
Securities Lending Collateral............................... -- 1,604,446,132 -- 1,604,446,132
Futures Contracts**......................................... (8,629,197) -- -- (8,629,197)
-------------- --------------- -------- ---------------
TOTAL....................................................... $4,171,621,807 $24,314,078,705 -- $28,485,700,512
============== =============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
87
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of The
DFA Investment Trust Company.............................. $ 4,732,462,404
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company.................................. 3,208,487,359
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company.......................... 2,114,123,719
Investment in The Asia Pacific Small Company Series of The
DFA Investment Trust Company.............................. 1,382,817,849
Investment in The Canadian Small Company Series of The DFA
Investment Trust Company.................................. 1,118,718,689
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $12,556,610,020
===============
As of October 31, 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.......................... 710 12/21/18 $102,825,074 $96,244,050 $(6,581,024)
------------ ----------- -----------
TOTAL FUTURES CONTRACTS........................... $102,825,074 $96,244,050 $(6,581,024)
============ =========== ===========
Summary of the Portfolio's investments as of October 31, 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............................. $12,556,610,020 -- -- $12,556,610,020
Futures Contracts**......................................... (6,581,024) -- -- (6,581,024)
--------------- -------- -------- ---------------
TOTAL....................................................... $12,550,028,996 -- -- $12,550,028,996
=============== ======== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
88
GLOBAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Small Cap Portfolio of DFA Investment
Dimensions Group Inc...................................... 485,697 $17,009,120
Investment in The Continental Small Company Series of The
DFA Investment Trust Company.............................. 4,166,472
Investment in The Emerging Markets Small Cap Series of The
DFA Investment Trust Company.............................. 3,450,118
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company.................................. 2,590,497
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company.......................... 2,056,846
Investment in The Asia Pacific Small Company Series of The
DFA Investment Trust Company.............................. 1,059,835
Investment in The Canadian Small Company Series of The DFA
Investment Trust Company.................................. 990,244
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $32,384,566)........................................ $31,323,132
===========
Summary of the Portfolio's investments as of October 31, 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............................. $31,323,132 -- -- $31,323,132
----------- -------- -------- -----------
TOTAL....................................................... $31,323,132 -- -- $31,323,132
=========== ======== ======== ===========
See accompanying Notes to Financial Statements.
89
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company.................................. $623,019,366
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $623,019,366
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
90
ASIA PACIFIC SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Asia Pacific Small Company Series of The
DFA Investment Trust Company.............................. $346,493,331
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $346,493,331
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
91
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
-----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company.......................... $36,360,672
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $36,360,672
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
92
CONTINENTAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of The DFA
Investment Trust Company............................................ $646,482,769
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES.................. $646,482,769
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
93
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (96.2%)
AUSTRALIA -- (16.7%)
Dexus............................................................ 13,481,565 $ 97,408,609 1.8%
Goodman Group.................................................... 21,725,375 159,669,423 2.9%
GPT Group (The).................................................. 22,229,488 81,298,174 1.5%
Mirvac Group..................................................... 36,840,624 56,669,569 1.1%
Scentre Group.................................................... 69,598,030 196,075,677 3.6%
Stockland........................................................ 32,509,244 83,162,340 1.5%
Vicinity Centres................................................. 43,840,990 82,240,206 1.5%
Other Securities................................................. 177,346,491 3.3%
------------ ----
TOTAL AUSTRALIA...................................................... 933,870,489 17.2%
------------ ----
BELGIUM -- (2.2%)
Cofinimmo SA..................................................... 318,752 38,117,881 0.7%
Other Securities................................................. 86,217,258 1.6%
------------ ----
TOTAL BELGIUM........................................................ 124,335,139 2.3%
------------ ----
CANADA -- (5.7%)
# Canadian Apartment Properties REIT............................... 962,717 34,232,050 0.6%
# RioCan Real Estate Investment Trust.............................. 2,161,300 39,402,332 0.7%
Other Securities................................................. 241,526,769 4.5%
------------ ----
TOTAL CANADA......................................................... 315,161,151 5.8%
------------ ----
CHINA -- (0.2%)
Other Securities................................................. 13,587,856 0.2%
------------ ----
FRANCE -- (6.2%)
Fonciere Des Regions............................................. 495,710 49,740,072 0.9%
Gecina SA........................................................ 623,014 91,372,976 1.7%
ICADE............................................................ 457,634 38,777,996 0.7%
Klepierre SA..................................................... 2,633,836 89,253,909 1.7%
* Unibail-Rodamco-Westfield (BF2PQ09).............................. 321,639 58,390,729 1.1%
Other Securities................................................. 20,624,169 0.3%
------------ ----
TOTAL FRANCE......................................................... 348,159,851 6.4%
------------ ----
GERMANY -- (0.8%)
Other Securities................................................. 44,980,081 0.8%
------------ ----
GREECE -- (0.0%)
Other Security................................................... 709,114 0.0%
------------ ----
HONG KONG -- (5.5%)
Link REIT........................................................ 28,134,905 250,037,370 4.6%
Other Securities................................................. 55,974,625 1.0%
------------ ----
TOTAL HONG KONG...................................................... 306,011,995 5.6%
------------ ----
IRELAND -- (0.3%)
Other Securities................................................. 16,635,136 0.3%
------------ ----
ITALY -- (0.4%)
Other Securities................................................. 20,077,050 0.4%
------------ ----
94
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
JAPAN -- (23.3%)
Activia Properties, Inc.......................................... 7,843 $ 32,550,539 0.6%
Advance Residence Investment Corp................................ 16,017 40,919,828 0.7%
Daiwa House REIT Investment Corp................................. 21,877 47,941,668 0.9%
GLP J-Reit....................................................... 37,952 37,555,253 0.7%
Japan Hotel REIT Investment Corp................................. 53,904 38,347,436 0.7%
Japan Prime Realty Investment Corp............................... 11,065 39,481,630 0.7%
Japan Real Estate Investment Corp................................ 16,507 85,190,017 1.6%
Japan Retail Fund Investment Corp................................ 34,772 64,223,602 1.2%
# Kenedix Office Investment Corp................................... 5,980 37,057,682 0.7%
Nippon Building Fund, Inc........................................ 17,771 101,554,806 1.9%
Nippon Prologis REIT, Inc........................................ 23,096 46,490,101 0.9%
Nomura Real Estate Master Fund, Inc.............................. 50,344 65,209,403 1.2%
Orix JREIT, Inc.................................................. 34,652 53,010,746 1.0%
United Urban Investment Corp..................................... 38,987 59,270,362 1.1%
Other Securities................................................. 551,397,084 10.0%
-------------- ----
TOTAL JAPAN.......................................................... 1,300,200,157 23.9%
-------------- ----
MALAYSIA -- (0.5%)
Other Securities................................................. 28,726,120 0.5%
-------------- ----
MEXICO -- (1.5%)
# Fibra Uno Administracion S.A. de C.V............................. 40,779,024 43,663,312 0.8%
Other Securities................................................. 40,986,939 0.8%
-------------- ----
TOTAL MEXICO......................................................... 84,650,251 1.6%
-------------- ----
NETHERLANDS -- (5.8%)
* Unibail-Rodamco-Westfield (BDDR365).............................. 9,245,219 83,654,386 1.5%
Unibail-Rodamco-Westfield (BFYM460).............................. 978,160 177,006,850 3.2%
Other Securities................................................. 63,147,166 1.2%
-------------- ----
TOTAL NETHERLANDS.................................................... 323,808,402 5.9%
-------------- ----
NEW ZEALAND -- (0.9%)
Other Securities................................................. 48,452,594 0.9%
-------------- ----
SINGAPORE -- (8.4%)
Ascendas Real Estate Investment Trust............................ 33,198,800 60,451,392 1.1%
CapitaLand Commercial Trust...................................... 35,071,049 43,823,025 0.8%
CapitaLand Mall Trust............................................ 34,117,500 51,964,759 1.0%
Suntec Real Estate Investment Trust.............................. 30,935,400 39,590,835 0.7%
Other Securities................................................. 270,080,775 5.0%
-------------- ----
TOTAL SINGAPORE...................................................... 465,910,786 8.6%
-------------- ----
SOUTH AFRICA -- (3.2%)
# Growthpoint Properties, Ltd...................................... 37,829,745 58,080,440 1.1%
Redefine Properties, Ltd......................................... 76,570,243 49,767,829 0.9%
Other Securities................................................. 71,874,250 1.3%
-------------- ----
TOTAL SOUTH AFRICA................................................... 179,722,519 3.3%
-------------- ----
SPAIN -- (1.4%)
Merlin Properties Socimi SA...................................... 4,741,160 59,407,089 1.1%
95
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SPAIN -- (Continued)
Other Securities............................................ $ 16,962,167 0.3%
-------------- -----
TOTAL SPAIN....................................................... 76,369,256 1.4%
-------------- -----
TAIWAN -- (0.2%)
Other Securities............................................ 11,564,947 0.2%
-------------- -----
TURKEY -- (0.2%)
Other Securities............................................ 11,445,417 0.2%
-------------- -----
UNITED KINGDOM -- (12.8%)
British Land Co. P.L.C. (The)............................... 13,612,822 102,808,465 1.9%
Derwent London P.L.C........................................ 1,549,878 57,955,629 1.1%
Great Portland Estates P.L.C................................ 4,560,112 40,574,206 0.8%
Hammerson P.L.C............................................. 11,774,826 65,738,702 1.2%
# Intu Properties P.L.C....................................... 12,860,835 32,169,430 0.6%
Land Securities Group P.L.C................................. 9,966,962 108,421,613 2.0%
Segro P.L.C................................................. 13,888,354 108,882,907 2.0%
Shaftesbury P.L.C........................................... 3,263,025 37,364,817 0.7%
Other Securities............................................ 158,430,204 2.8%
-------------- -----
TOTAL UNITED KINGDOM.............................................. 712,345,973 13.1%
-------------- -----
TOTAL COMMON STOCKS............................................... 5,366,724,284 98.6%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Security.............................................. 18 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES....................................... 5,366,724,302
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (3.8%)
@(S) DFA Short Term Investment Fund.............................. 18,523,496 214,316,850 3.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $5,600,667,483)........................................... $5,581,041,152 102.5%
============== =====
As of October 31, 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.......................... 287 12/21/18 $39,883,892 $38,904,285 $(979,607)
----------- ----------- ---------
TOTAL FUTURES CONTRACTS........................... $39,883,892 $38,904,285 $(979,607)
=========== =========== =========
96
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................................................ $ 124,434 $ 933,746,055 -- $ 933,870,489
Belgium.................................................. -- 124,335,139 -- 124,335,139
Canada................................................... 315,161,151 -- -- 315,161,151
China.................................................... -- 13,587,856 -- 13,587,856
France................................................... 58,390,729 289,769,122 -- 348,159,851
Germany.................................................. -- 44,980,081 -- 44,980,081
Greece................................................... -- 709,114 -- 709,114
Hong Kong................................................ -- 306,011,995 -- 306,011,995
Ireland.................................................. -- 16,635,136 -- 16,635,136
Italy.................................................... -- 20,077,050 -- 20,077,050
Japan.................................................... -- 1,300,200,157 -- 1,300,200,157
Malaysia................................................. -- 28,726,120 -- 28,726,120
Mexico................................................... 84,650,251 -- -- 84,650,251
Netherlands.............................................. -- 323,808,402 -- 323,808,402
New Zealand.............................................. -- 48,452,594 -- 48,452,594
Singapore................................................ 1,638,747 464,272,039 -- 465,910,786
South Africa............................................. -- 179,722,519 -- 179,722,519
Spain.................................................... -- 76,369,256 -- 76,369,256
Taiwan................................................... 2,313,273 9,251,674 -- 11,564,947
Turkey................................................... -- 11,445,417 -- 11,445,417
United Kingdom........................................... -- 712,345,973 -- 712,345,973
Rights/Warrants
Italy.................................................... -- 18 -- 18
Securities Lending Collateral............................... -- 214,316,850 -- 214,316,850
Futures Contracts**......................................... (979,607) -- -- (979,607)
------------ -------------- -------- --------------
TOTAL....................................................... $461,298,978 $5,118,762,567 -- $5,580,061,545
============ ============== ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
97
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
COMMON STOCKS -- (46.7%)
UNITED STATES -- (46.7%)
# Alexandria Real Estate Equities, Inc............................. 393,708 $ 48,122,929 0.6%
American Homes 4 Rent, Class A................................... 976,314 20,570,945 0.3%
American Tower Corp.............................................. 1,668,672 259,995,784 3.5%
Apartment Investment & Management Co., Class A................... 579,500 24,941,680 0.3%
AvalonBay Communities, Inc....................................... 514,371 90,210,386 1.2%
Boston Properties, Inc........................................... 578,083 69,809,303 0.9%
Camden Property Trust............................................ 345,837 31,218,706 0.4%
Crown Castle International Corp.................................. 1,552,985 168,871,589 2.3%
Digital Realty Trust, Inc........................................ 771,189 79,632,955 1.1%
Douglas Emmett, Inc.............................................. 593,926 21,494,182 0.3%
Duke Realty Corp................................................. 1,332,947 36,749,349 0.5%
Equinix, Inc..................................................... 296,276 112,211,572 1.5%
Equity LifeStyle Properties, Inc................................. 315,544 29,878,861 0.4%
Equity Residential............................................... 1,371,715 89,106,606 1.2%
Essex Property Trust, Inc........................................ 244,949 61,428,310 0.8%
Extra Space Storage, Inc......................................... 471,935 42,502,466 0.6%
Federal Realty Investment Trust.................................. 274,076 33,999,128 0.5%
Gaming and Leisure Properties, Inc............................... 751,732 25,325,851 0.3%
HCP, Inc......................................................... 1,735,270 47,806,688 0.6%
Host Hotels & Resorts, Inc....................................... 2,763,423 52,809,014 0.7%
# Iron Mountain, Inc............................................... 1,012,781 31,001,226 0.4%
Kilroy Realty Corp............................................... 385,200 26,532,576 0.4%
# Kimco Realty Corp................................................ 1,557,614 25,062,009 0.3%
Lamar Advertising Co., Class A................................... 309,099 22,663,139 0.3%
Liberty Property Trust........................................... 539,340 22,582,166 0.3%
# Macerich Co. (The)............................................... 438,759 22,648,740 0.3%
# Medical Properties Trust, Inc.................................... 1,341,493 19,934,586 0.3%
Mid-America Apartment Communities, Inc........................... 420,765 41,112,901 0.6%
National Retail Properties, Inc.................................. 574,764 26,870,217 0.4%
# Omega Healthcare Investors, Inc.................................. 737,221 24,586,320 0.3%
Park Hotels & Resorts, Inc....................................... 736,467 21,409,096 0.3%
# Prologis, Inc.................................................... 2,340,726 150,906,610 2.0%
Public Storage................................................... 587,056 120,622,396 1.6%
# Realty Income Corp............................................... 1,083,114 65,279,281 0.9%
Regency Centers Corp............................................. 564,643 35,775,755 0.5%
* SBA Communications Corp.......................................... 424,333 68,814,083 0.9%
Simon Property Group, Inc........................................ 1,170,435 214,798,231 2.9%
SL Green Realty Corp............................................. 347,980 31,756,655 0.4%
Sun Communities, Inc............................................. 316,253 31,773,939 0.4%
UDR, Inc......................................................... 996,243 39,042,763 0.5%
Ventas, Inc...................................................... 1,334,360 77,446,254 1.0%
VEREIT, Inc...................................................... 3,563,432 26,119,957 0.4%
Vornado Realty Trust............................................. 638,707 43,483,173 0.6%
Welltower, Inc................................................... 1,382,296 91,328,297 1.2%
WP Carey, Inc.................................................... 395,900 26,133,359 0.4%
Other Securities................................................. 881,691,342 11.7%
-------------- ----
TOTAL UNITED STATES.................................................. 3,536,061,375 47.3%
-------------- ----
VALUE+
-------------------------------
AFFILIATED INVESTMENT COMPANIES -- (52.1%)
DFA International Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc................................ 532,858,368 2,584,363,087 34.6%
98
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
DFA Real Estate Securities Portfolio of DFA Investment
Dimensions Group Inc........................................... 39,691,988 $1,355,084,462 18.1%
-------------- -----
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES................... 3,939,447,549 52.7%
-------------- -----
TOTAL INVESTMENT SECURITIES............................................ 7,475,508,924
--------------
SECURITIES LENDING COLLATERAL -- (1.2%)
@(S) DFA Short Term Investment Fund................................... 7,695,331 89,034,975 1.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $7,012,251,248)................................................ $7,564,543,899 101.2%
============== =====
Summary of the Portfolio's investments as of October 31, 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............................................ $3,536,061,375 -- -- $3,536,061,375
Affiliated Investment Companies............................. 3,939,447,549 -- -- 3,939,447,549
Securities Lending Collateral............................... -- $89,034,975 -- 89,034,975
-------------- ----------- -------- --------------
TOTAL....................................................... $7,475,508,924 $89,034,975 -- $7,564,543,899
============== =========== ======== ==============
See accompanying Notes to Financial Statements.
99
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (93.4%)
AUSTRALIA -- (6.9%)
Beach Energy, Ltd................................................ 45,213,376 $ 56,317,617 0.4%
Cleanaway Waste Management, Ltd.................................. 49,762,479 63,613,217 0.5%
Downer EDI, Ltd.................................................. 12,098,311 59,564,303 0.4%
# Metcash, Ltd..................................................... 24,405,916 47,700,290 0.4%
OZ Minerals, Ltd................................................. 8,363,043 53,648,495 0.4%
WorleyParsons, Ltd............................................... 6,620,294 68,475,245 0.5%
Other Securities................................................. 646,089,888 4.6%
-------------- ---
TOTAL AUSTRALIA...................................................... 995,409,055 7.2%
-------------- ---
AUSTRIA -- (1.0%)
Wienerberger AG.................................................. 2,643,351 60,799,719 0.5%
Other Securities................................................. 80,385,253 0.5%
-------------- ---
TOTAL AUSTRIA........................................................ 141,184,972 1.0%
-------------- ---
BELGIUM -- (1.3%)
Ackermans & van Haaren NV........................................ 387,382 60,988,429 0.4%
Other Securities................................................. 134,339,736 1.0%
-------------- ---
TOTAL BELGIUM........................................................ 195,328,165 1.4%
-------------- ---
CANADA -- (7.8%)
# Genworth MI Canada, Inc.......................................... 1,455,448 47,772,348 0.4%
# Laurentian Bank of Canada........................................ 1,606,899 50,729,403 0.4%
#* MEG Energy Corp.................................................. 8,523,149 68,174,833 0.5%
# Whitecap Resources, Inc.......................................... 9,868,194 48,274,655 0.4%
Other Securities................................................. 918,558,919 6.5%
-------------- ---
TOTAL CANADA......................................................... 1,133,510,158 8.2%
-------------- ---
DENMARK -- (1.5%)
Jyske Bank A.S................................................... 1,638,653 66,907,755 0.5%
Other Securities................................................. 152,743,790 1.1%
-------------- ---
TOTAL DENMARK........................................................ 219,651,545 1.6%
-------------- ---
FINLAND -- (2.5%)
Kesko Oyj, Class B............................................... 1,725,545 100,776,263 0.7%
Other Securities................................................. 260,301,853 1.9%
-------------- ---
TOTAL FINLAND........................................................ 361,078,116 2.6%
-------------- ---
FRANCE -- (3.9%)
Rexel SA......................................................... 7,270,089 92,674,113 0.7%
Other Securities................................................. 466,884,111 3.4%
-------------- ---
TOTAL FRANCE......................................................... 559,558,224 4.1%
-------------- ---
GERMANY -- (5.9%)
Aareal Bank AG................................................... 2,002,927 74,511,427 0.6%
Aurubis AG....................................................... 1,192,453 72,381,298 0.5%
# K+S AG........................................................... 3,812,044 70,987,786 0.5%
Rheinmetall AG................................................... 804,102 69,589,950 0.5%
Salzgitter AG.................................................... 1,317,634 52,663,113 0.4%
100
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
GERMANY -- (Continued)
Other Securities................................................. $ 508,555,901 3.6%
-------------- ----
TOTAL GERMANY........................................................ 848,689,475 6.1%
-------------- ----
GREECE -- (0.0%)
Other Security................................................... 1,946 0.0%
-------------- ----
HONG KONG -- (2.8%)
Other Securities................................................. 413,779,977 3.0%
-------------- ----
IRELAND -- (0.2%)
Other Securities................................................. 35,831,804 0.3%
-------------- ----
ISRAEL -- (0.7%)
Other Securities................................................. 108,314,807 0.8%
-------------- ----
ITALY -- (4.7%)
#* Banco BPM SpA.................................................... 28,122,148 52,719,523 0.4%
# BPER Banca....................................................... 15,024,404 57,017,603 0.4%
# Buzzi Unicem SpA................................................. 2,509,081 48,179,888 0.4%
* Saipem SpA....................................................... 14,429,357 78,910,260 0.6%
# Unione di Banche Italiane SpA.................................... 26,691,605 81,467,010 0.6%
Unipol Gruppo SpA................................................ 12,632,436 50,839,143 0.4%
Other Securities................................................. 313,107,635 2.1%
-------------- ----
TOTAL ITALY.......................................................... 682,241,062 4.9%
-------------- ----
JAPAN -- (25.7%)
Other Securities................................................. 3,718,577,841 27.0%
-------------- ----
NETHERLANDS -- (2.6%)
APERAM SA........................................................ 1,618,075 55,253,757 0.4%
ASR Nederland NV................................................. 1,552,720 70,489,169 0.5%
# Boskalis Westminster............................................. 2,419,204 69,558,919 0.5%
SBM Offshore NV.................................................. 5,517,816 95,074,179 0.7%
Other Securities................................................. 81,455,869 0.6%
-------------- ----
TOTAL NETHERLANDS.................................................... 371,831,893 2.7%
-------------- ----
NEW ZEALAND -- (0.4%)
Other Securities................................................. 52,936,849 0.4%
-------------- ----
NORWAY -- (1.1%)
Other Securities................................................. 155,970,494 1.1%
-------------- ----
PORTUGAL -- (0.3%)
Other Securities................................................. 51,386,839 0.4%
-------------- ----
SINGAPORE -- (0.9%)
Other Securities................................................. 132,162,718 1.0%
-------------- ----
SPAIN -- (2.7%)
# Acciona SA....................................................... 827,998 69,842,668 0.5%
Acerinox SA...................................................... 4,596,941 51,365,849 0.4%
Other Securities................................................. 263,804,875 1.9%
-------------- ----
TOTAL SPAIN.......................................................... 385,013,392 2.8%
-------------- ----
101
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SWEDEN -- (2.2%)
Other Securities............................................ $ 316,156,334 2.3%
--------------- -----
SWITZERLAND -- (4.0%)
Helvetia Holding AG......................................... 150,248 92,030,720 0.7%
Other Securities............................................ 490,801,792 3.5%
--------------- -----
TOTAL SWITZERLAND................................................. 582,832,512 4.2%
--------------- -----
UNITED KINGDOM -- (14.3%)
Bellway P.L.C............................................... 3,116,665 114,311,815 0.8%
Bovis Homes Group P.L.C..................................... 4,858,289 60,048,260 0.4%
Close Brothers Group P.L.C.................................. 2,966,130 55,710,336 0.4%
Grafton Group P.L.C......................................... 5,085,642 46,981,269 0.4%
Greene King P.L.C........................................... 8,127,394 50,019,183 0.4%
GVC Holdings P.L.C.......................................... 3,679,761 44,077,517 0.3%
Hiscox, Ltd................................................. 5,581,041 115,931,579 0.9%
Meggitt P.L.C............................................... 13,533,476 91,562,169 0.7%
National Express Group P.L.C................................ 10,136,182 51,792,580 0.4%
Phoenix Group Holdings...................................... 10,989,912 84,469,993 0.6%
Redrow P.L.C................................................ 7,498,489 50,629,786 0.4%
Travis Perkins P.L.C........................................ 3,301,184 46,624,925 0.3%
* Tullow Oil P.L.C............................................ 18,574,455 53,291,295 0.4%
Vesuvius P.L.C.............................................. 7,530,906 52,250,106 0.4%
Other Securities............................................ 1,151,749,919 8.2%
--------------- -----
TOTAL UNITED KINGDOM.............................................. 2,069,450,732 15.0%
--------------- -----
TOTAL COMMON STOCKS............................................... 13,530,898,910 98.1%
--------------- -----
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities............................................ 11,723,105 0.1%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................ 31,988 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES....................................... 13,542,654,003
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (6.5%)
@(S) DFA Short Term Investment Fund.............................. 81,944,375 948,096,417 6.9%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $13,767,070,308).......................................... $14,490,750,420 105.1%
=============== =====
As of October 31, 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.. 1,040 12/21/18 $142,657,782 $140,977,200 $(1,680,582)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS... $142,657,782 $140,977,200 $(1,680,582)
============ ============ ===========
102
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................................. -- $ 995,409,055 -- $ 995,409,055
Austria................................... -- 141,184,972 -- 141,184,972
Belgium................................... -- 195,328,165 -- 195,328,165
Canada.................................... $1,133,509,391 767 -- 1,133,510,158
Denmark................................... -- 219,651,545 -- 219,651,545
Finland................................... -- 361,078,116 -- 361,078,116
France.................................... -- 559,558,224 -- 559,558,224
Germany................................... -- 848,689,475 -- 848,689,475
Greece.................................... -- 1,946 -- 1,946
Hong Kong................................. 21,105 413,758,872 -- 413,779,977
Ireland................................... -- 35,831,804 -- 35,831,804
Israel.................................... -- 108,314,807 -- 108,314,807
Italy..................................... -- 682,241,062 -- 682,241,062
Japan..................................... 32,014,511 3,686,563,330 -- 3,718,577,841
Netherlands............................... -- 371,831,893 -- 371,831,893
New Zealand............................... 1,604,908 51,331,941 -- 52,936,849
Norway.................................... -- 155,970,494 -- 155,970,494
Portugal.................................. -- 51,386,839 -- 51,386,839
Singapore................................. 481,385 131,681,333 -- 132,162,718
Spain..................................... -- 385,013,392 -- 385,013,392
Sweden.................................... 1,600,589 314,555,745 -- 316,156,334
Switzerland............................... -- 582,832,512 -- 582,832,512
United Kingdom............................ -- 2,069,450,732 -- 2,069,450,732
Preferred Stocks
Germany................................... -- 11,723,105 -- 11,723,105
Rights/Warrants
Japan..................................... -- 31,988 -- 31,988
Securities Lending Collateral................ -- 948,096,417 -- 948,096,417
Futures Contracts**.......................... (1,680,582) -- -- (1,680,582)
-------------- --------------- -------- ---------------
TOTAL........................................ $1,167,551,307 $13,321,518,531 -- $14,489,069,838
============== =============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
103
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (93.1%)
AUSTRALIA -- (6.0%)
# Australia & New Zealand Banking Group, Ltd....................... 236,783 $ 4,358,384 0.2%
BHP Billiton, Ltd................................................ 314,531 7,257,378 0.3%
BlueScope Steel, Ltd............................................. 393,907 4,037,784 0.2%
Macquarie Group, Ltd............................................. 48,718 4,062,705 0.2%
# National Australia Bank, Ltd..................................... 223,385 4,000,718 0.2%
Other Securities................................................. 132,772,564 5.3%
------------ ---
TOTAL AUSTRALIA...................................................... 156,489,533 6.4%
------------ ---
AUSTRIA -- (0.7%)
Other Securities................................................. 18,505,728 0.8%
------------ ---
BELGIUM -- (1.3%)
Ageas............................................................ 107,511 5,379,310 0.2%
Other Securities................................................. 28,518,426 1.2%
------------ ---
TOTAL BELGIUM........................................................ 33,897,736 1.4%
------------ ---
CANADA -- (8.8%)
Bank of Nova Scotia (The)........................................ 78,243 4,202,431 0.2%
# Barrick Gold Corp................................................ 620,770 7,790,663 0.3%
* Bausch Health Cos., Inc.......................................... 171,867 3,932,317 0.2%
Fairfax Financial Holdings, Ltd.................................. 8,207 3,988,012 0.2%
Teck Resources, Ltd., Class B.................................... 260,318 5,380,773 0.2%
Other Securities................................................. 203,227,865 8.3%
------------ ---
TOTAL CANADA......................................................... 228,522,061 9.4%
------------ ---
DENMARK -- (1.8%)
GN Store Nord A.S................................................ 95,918 4,068,712 0.2%
ISS A.S.......................................................... 122,246 4,014,701 0.2%
Other Securities................................................. 38,722,709 1.5%
------------ ---
TOTAL DENMARK........................................................ 46,806,122 1.9%
------------ ---
FINLAND -- (2.0%)
# Neste Oyj........................................................ 50,237 4,125,217 0.2%
UPM-Kymmene Oyj.................................................. 228,744 7,353,830 0.3%
Other Securities................................................. 41,199,650 1.7%
------------ ---
TOTAL FINLAND........................................................ 52,678,697 2.2%
------------ ---
FRANCE -- (6.5%)
BNP Paribas SA................................................... 86,211 4,492,803 0.2%
Carrefour SA..................................................... 259,010 5,023,182 0.2%
Cie de Saint-Gobain.............................................. 133,576 5,032,000 0.2%
Orange SA........................................................ 287,736 4,491,084 0.2%
Peugeot SA....................................................... 315,797 7,506,742 0.3%
Renault SA....................................................... 53,306 3,980,568 0.2%
Total SA......................................................... 196,885 11,552,311 0.5%
* Ubisoft Entertainment SA......................................... 46,077 4,133,224 0.2%
Other Securities................................................. 122,736,693 4.9%
------------ ---
TOTAL FRANCE......................................................... 168,948,607 6.9%
------------ ---
104
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
GERMANY -- (5.8%)
Allianz SE....................................................... 32,484 $ 6,767,062 0.3%
# Daimler AG....................................................... 124,161 7,354,875 0.3%
E.ON SE.......................................................... 588,434 5,690,193 0.2%
Other Securities................................................. 130,481,605 5.4%
------------ ----
TOTAL GERMANY........................................................ 150,293,735 6.2%
------------ ----
HONG KONG -- (2.4%)
Other Securities................................................. 63,282,907 2.6%
------------ ----
IRELAND -- (0.6%)
Other Securities................................................. 15,862,113 0.6%
------------ ----
ISRAEL -- (0.8%)
Other Securities................................................. 20,744,516 0.8%
------------ ----
ITALY -- (2.8%)
* Fiat Chrysler Automobiles NV..................................... 288,975 4,397,749 0.2%
Other Securities................................................. 68,782,989 2.8%
------------ ----
TOTAL ITALY.......................................................... 73,180,738 3.0%
------------ ----
JAPAN -- (23.7%)
Honda Motor Co., Ltd............................................. 138,023 3,939,940 0.2%
Mitsubishi UFJ Financial Group, Inc.............................. 852,000 5,156,720 0.2%
Toyota Motor Corp................................................ 73,263 4,291,815 0.2%
Toyota Motor Corp., Sponsored ADR................................ 36,827 4,310,600 0.2%
Other Securities................................................. 596,306,957 24.4%
------------ ----
TOTAL JAPAN.......................................................... 614,006,032 25.2%
------------ ----
NETHERLANDS -- (2.4%)
Koninklijke Ahold Delhaize NV.................................... 197,653 4,524,378 0.2%
Other Securities................................................. 57,042,207 2.3%
------------ ----
TOTAL NETHERLANDS.................................................... 61,566,585 2.5%
------------ ----
NEW ZEALAND -- (0.5%)
Other Securities................................................. 13,217,941 0.5%
------------ ----
NORWAY -- (1.0%)
Other Securities................................................. 27,082,451 1.1%
------------ ----
PORTUGAL -- (0.4%)
Other Securities................................................. 9,465,826 0.4%
------------ ----
SINGAPORE -- (1.0%)
Other Securities................................................. 24,800,271 1.0%
------------ ----
SOUTH AFRICA -- (0.0%)
Other Securities................................................. 1,069,848 0.0%
------------ ----
SPAIN -- (1.9%)
Banco Santander SA............................................... 955,782 4,547,567 0.2%
Other Securities................................................. 44,453,111 1.8%
------------ ----
TOTAL SPAIN.......................................................... 49,000,678 2.0%
------------ ----
105
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SWEDEN -- (2.6%)
Other Securities............................................ $ 67,015,182 2.7%
-------------- -----
SWITZERLAND -- (5.5%)
Clariant AG................................................. 182,599 3,935,534 0.2%
Helvetia Holding AG......................................... 7,972 4,883,053 0.2%
Nestle SA................................................... 110,012 9,287,552 0.4%
Novartis AG................................................. 52,784 4,622,416 0.2%
Novartis AG, Sponsored ADR.................................. 73,269 6,408,107 0.3%
Zurich Insurance Group AG................................... 14,099 4,377,473 0.2%
Other Securities............................................ 109,347,453 4.4%
-------------- -----
TOTAL SWITZERLAND................................................. 142,861,588 5.9%
-------------- -----
UNITED KINGDOM -- (14.5%)
# Anglo American P.L.C........................................ 450,994 9,625,735 0.4%
Aviva P.L.C................................................. 761,211 4,159,929 0.2%
BP P.L.C., Sponsored ADR.................................... 244,019 10,583,111 0.4%
HSBC Holdings P.L.C., Sponsored ADR......................... 263,605 10,831,529 0.5%
John Wood Group P.L.C....................................... 536,701 4,891,626 0.2%
Lloyds Banking Group P.L.C.................................. 6,130,340 4,473,546 0.2%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A............ 161,774 10,222,486 0.4%
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B............ 102,022 6,703,866 0.3%
Other Securities............................................ 313,336,761 12.8%
-------------- -----
TOTAL UNITED KINGDOM.............................................. 374,828,589 15.4%
-------------- -----
UNITED STATES -- (0.1%)
Other Securities............................................ 1,735,495 0.1%
-------------- -----
TOTAL COMMON STOCKS............................................... 2,415,862,979 99.0%
-------------- -----
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Volkswagen AG............................................... 25,998 4,367,740 0.2%
Other Securities............................................ 7,562,269 0.3%
-------------- -----
TOTAL GERMANY..................................................... 11,930,009 0.5%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities............................................ 12,123 0.0%
-------------- -----
TOTAL PREFERRED STOCKS............................................ 11,942,132 0.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................ 83,725 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES....................................... 2,427,888,836
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (6.4%)
@(S) DFA Short Term Investment Fund.............................. 14,384,285 166,426,178 6.8%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $2,443,694,396)........................................... $2,594,315,014 106.3%
============== =====
106
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................................................ $ 3,915,769 $ 152,573,764 -- $ 156,489,533
Austria.................................................. -- 18,505,728 -- 18,505,728
Belgium.................................................. 475,543 33,422,193 -- 33,897,736
Canada................................................... 228,521,561 500 -- 228,522,061
Denmark.................................................. -- 46,806,122 -- 46,806,122
Finland.................................................. -- 52,678,697 -- 52,678,697
France................................................... 526,119 168,422,488 -- 168,948,607
Germany.................................................. 4,110,759 146,182,976 -- 150,293,735
Hong Kong................................................ 222,276 63,060,631 -- 63,282,907
Ireland.................................................. 2,051,961 13,810,152 -- 15,862,113
Israel................................................... 1,248,656 19,495,860 -- 20,744,516
Italy.................................................... 448,095 72,732,643 -- 73,180,738
Japan.................................................... 11,112,486 602,893,546 -- 614,006,032
Netherlands.............................................. 6,692,002 54,874,583 -- 61,566,585
New Zealand.............................................. 239,976 12,977,965 -- 13,217,941
Norway................................................... 281,540 26,800,911 -- 27,082,451
Portugal................................................. -- 9,465,826 -- 9,465,826
Singapore................................................ 8,002 24,792,269 -- 24,800,271
South Africa............................................. -- 1,069,848 -- 1,069,848
Spain.................................................... 1,839,159 47,161,519 -- 49,000,678
Sweden................................................... 135,907 66,879,275 -- 67,015,182
Switzerland.............................................. 10,191,488 132,670,100 -- 142,861,588
United Kingdom........................................... 55,409,849 319,418,740 -- 374,828,589
United States............................................ 1,735,495 -- -- 1,735,495
Preferred Stocks
Germany.................................................. -- 11,930,009 -- 11,930,009
United Kingdom........................................... -- 12,123 -- 12,123
Rights/Warrants
Canada................................................... -- 582 -- 582
France................................................... -- 91 -- 91
Japan.................................................... -- 8,848 -- 8,848
Norway................................................... -- 5,634 -- 5,634
Spain.................................................... -- 65,893 -- 65,893
Sweden................................................... -- 2,677 -- 2,677
Securities Lending Collateral............................... -- 166,426,178 -- 166,426,178
------------ -------------- -------- --------------
TOTAL....................................................... $329,166,643 $2,265,148,371 -- $2,594,315,014
============ ============== ======== ==============
See accompanying Notes to Financial Statements.
107
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (94.6%)
AUSTRALIA -- (5.9%)
BHP Billiton, Ltd................................................ 146,665 $ 3,384,097 1.3%
CSL, Ltd......................................................... 15,561 2,077,349 0.8%
Other Securities................................................. 10,853,342 4.0%
----------- ---
TOTAL AUSTRALIA...................................................... 16,314,788 6.1%
----------- ---
AUSTRIA -- (0.2%)
Other Securities................................................. 575,038 0.2%
----------- ---
BELGIUM -- (0.8%)
Anheuser-Busch InBev SA/NV....................................... 18,781 1,389,067 0.5%
Other Securities................................................. 935,842 0.4%
----------- ---
TOTAL BELGIUM........................................................ 2,324,909 0.9%
----------- ---
CANADA -- (8.5%)
Canadian National Railway Co..................................... 24,017 2,052,973 0.8%
Canadian Natural Resources, Ltd.................................. 48,367 1,327,066 0.5%
# Royal Bank of Canada............................................. 34,564 2,517,642 1.0%
Suncor Energy, Inc............................................... 52,396 1,757,611 0.7%
Other Securities................................................. 15,997,934 5.9%
----------- ---
TOTAL CANADA......................................................... 23,653,226 8.9%
----------- ---
DENMARK -- (1.5%)
Novo Nordisk A.S., Class B....................................... 71,895 3,104,898 1.1%
Other Securities................................................. 938,028 0.4%
----------- ---
TOTAL DENMARK........................................................ 4,042,926 1.5%
----------- ---
FINLAND -- (0.9%)
Other Securities................................................. 2,363,343 0.9%
----------- ---
FRANCE -- (9.3%)
Airbus SE........................................................ 17,753 1,961,959 0.7%
Cie Generale des Etablissements Michelin SCA..................... 12,325 1,261,766 0.5%
Danone SA........................................................ 21,369 1,513,211 0.6%
LVMH Moet Hennessy Louis Vuitton SE.............................. 10,554 3,202,141 1.2%
Orange SA........................................................ 89,549 1,397,712 0.5%
# Vinci SA......................................................... 20,131 1,791,647 0.7%
Other Securities................................................. 14,624,280 5.4%
----------- ---
TOTAL FRANCE......................................................... 25,752,716 9.6%
----------- ---
GERMANY -- (7.0%)
Adidas AG........................................................ 6,369 1,497,759 0.6%
BASF SE.......................................................... 36,957 2,836,025 1.1%
Bayerische Motoren Werke AG...................................... 14,525 1,250,759 0.5%
Deutsche Post AG................................................. 40,110 1,266,484 0.5%
Deutsche Telekom AG.............................................. 144,799 2,374,946 0.9%
E.ON SE.......................................................... 160,715 1,554,124 0.6%
Other Securities................................................. 8,538,464 3.0%
----------- ---
TOTAL GERMANY........................................................ 19,318,561 7.2%
----------- ---
108
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
HONG KONG -- (2.6%)
AIA Group, Ltd................................................... 179,600 $ 1,366,225 0.5%
Other Securities................................................. 5,739,177 2.2%
----------- ----
TOTAL HONG KONG...................................................... 7,105,402 2.7%
----------- ----
IRELAND -- (0.4%)
Other Securities................................................. 1,226,187 0.5%
----------- ----
ISRAEL -- (0.4%)
Other Securities................................................. 1,095,040 0.4%
----------- ----
ITALY -- (2.1%)
Enel SpA......................................................... 260,577 1,277,626 0.5%
Other Securities................................................. 4,481,994 1.7%
----------- ----
TOTAL ITALY.......................................................... 5,759,620 2.2%
----------- ----
JAPAN -- (21.8%)
KDDI Corp........................................................ 77,000 1,863,387 0.7%
Seven & I Holdings Co., Ltd...................................... 30,900 1,337,969 0.5%
SoftBank Group Corp.............................................. 36,300 2,872,738 1.1%
Sony Corp........................................................ 49,000 2,651,720 1.0%
Other Securities................................................. 51,609,857 19.3%
----------- ----
TOTAL JAPAN.......................................................... 60,335,671 22.6%
----------- ----
NETHERLANDS -- (3.1%)
ASML Holding NV.................................................. 7,569 1,303,715 0.5%
# Unilever NV.................................................... 56,476 3,037,279 1.1%
Wolters Kluwer NV................................................ 25,745 1,460,631 0.6%
Other Securities................................................. 2,917,151 1.1%
----------- ----
TOTAL NETHERLANDS.................................................... 8,718,776 3.3%
----------- ----
NEW ZEALAND -- (0.2%)
Other Securities................................................. 550,346 0.2%
----------- ----
NORWAY -- (0.9%)
Equinor ASA...................................................... 51,213 1,324,690 0.5%
Other Securities................................................. 1,237,683 0.5%
----------- ----
TOTAL NORWAY......................................................... 2,562,373 1.0%
----------- ----
PORTUGAL -- (0.1%)
Other Security................................................... 235,967 0.1%
----------- ----
SINGAPORE -- (1.0%)
Other Securities................................................. 2,734,661 1.0%
----------- ----
SPAIN -- (2.6%)
Amadeus IT Group SA.............................................. 16,474 1,326,562 0.5%
Telefonica SA.................................................... 193,455 1,586,923 0.6%
Other Securities................................................. 4,401,362 1.6%
----------- ----
TOTAL SPAIN.......................................................... 7,314,847 2.7%
----------- ----
SWEDEN -- (2.3%)
Other Securities................................................. 6,402,138 2.4%
----------- ----
109
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
SWITZERLAND -- (7.7%)
ABB, Ltd......................................................... 84,736 $ 1,705,019 0.6%
Givaudan SA...................................................... 690 1,672,503 0.6%
Nestle SA........................................................ 33,661 2,841,765 1.1%
Roche Holding AG................................................. 30,542 7,432,775 2.8%
Other Securities................................................. 7,795,470 2.9%
------------ -----
TOTAL SWITZERLAND...................................................... 21,447,532 8.0%
------------ -----
UNITED KINGDOM -- (15.3%)
Anglo American P.L.C............................................. 58,599 1,250,701 0.5%
# AstraZeneca P.L.C., Sponsored ADR................................ 94,709 3,672,815 1.4%
BAE Systems P.L.C................................................ 247,860 1,661,972 0.6%
BHP Billiton P.L.C............................................... 83,478 1,665,277 0.6%
Diageo P.L.C., Sponsored ADR..................................... 21,308 2,943,913 1.1%
Experian P.L.C................................................... 63,253 1,454,768 0.5%
# GlaxoSmithKline P.L.C., Sponsored ADR............................ 77,062 3,010,042 1.1%
Imperial Brands P.L.C............................................ 37,254 1,261,890 0.5%
Rio Tinto P.L.C., Sponsored ADR.................................. 44,119 2,174,626 0.8%
SSE P.L.C........................................................ 85,588 1,247,481 0.5%
Unilever P.L.C., Sponsored ADR................................... 40,922 2,168,048 0.8%
Other Securities................................................. 20,016,133 7.5%
------------ -----
TOTAL UNITED KINGDOM................................................... 42,527,666 15.9%
------------ -----
UNITED STATES -- (0.0%)
Other Security................................................... 29,311 0.0%
------------ -----
TOTAL COMMON STOCKS.................................................... 262,391,044 98.3%
------------ -----
PREFERRED STOCKS -- (0.8%)
GERMANY -- (0.8%)
Volkswagen AG.................................................... 9,046 1,519,754 0.6%
Other Securities................................................. 820,521 0.3%
------------ -----
TOTAL GERMANY.......................................................... 2,340,275 0.9%
------------ -----
UNITED KINGDOM -- (0.0%)
Other Security................................................... 5,394 0.0%
------------ -----
TOTAL PREFERRED STOCKS................................................. 2,345,669 0.9%
------------ -----
TOTAL INVESTMENT SECURITIES............................................ 264,736,713
------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (4.6%)
@(S) DFA Short Term Investment Fund................................... 1,096,350 12,684,774 4.8%
------------ -----
TOTAL INVESTMENTS--(100.0%)
(Cost $301,137,695).................................................. $277,421,487 104.0%
============ =====
110
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................................................ -- $ 16,314,788 -- $ 16,314,788
Austria.................................................. -- 575,038 -- 575,038
Belgium.................................................. -- 2,324,909 -- 2,324,909
Canada................................................... $23,653,226 -- -- 23,653,226
Denmark.................................................. -- 4,042,926 -- 4,042,926
Finland.................................................. -- 2,363,343 -- 2,363,343
France................................................... -- 25,752,716 -- 25,752,716
Germany.................................................. -- 19,318,561 -- 19,318,561
Hong Kong................................................ -- 7,105,402 -- 7,105,402
Ireland.................................................. 64,414 1,161,773 -- 1,226,187
Israel................................................... 271,258 823,782 -- 1,095,040
Italy.................................................... 728,658 5,030,962 -- 5,759,620
Japan.................................................... -- 60,335,671 -- 60,335,671
Netherlands.............................................. 3,095,364 5,623,412 -- 8,718,776
New Zealand.............................................. -- 550,346 -- 550,346
Norway................................................... -- 2,562,373 -- 2,562,373
Portugal................................................. -- 235,967 -- 235,967
Singapore................................................ -- 2,734,661 -- 2,734,661
Spain.................................................... -- 7,314,847 -- 7,314,847
Sweden................................................... -- 6,402,138 -- 6,402,138
Switzerland.............................................. 303,261 21,144,271 -- 21,447,532
United Kingdom........................................... 15,502,452 27,025,214 -- 42,527,666
United States............................................ 29,311 -- -- 29,311
Preferred Stocks
Germany.................................................. -- 2,340,275 -- 2,340,275
United Kingdom........................................... -- 5,394 -- 5,394
Securities Lending Collateral............................... -- 12,684,774 -- 12,684,774
----------- ------------ -------- ------------
TOTAL....................................................... $43,647,944 $233,773,543 -- $277,421,487
=========== ============ ======== ============
See accompanying Notes to Financial Statements.
111
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $156,206,776
Investment in Dimensional Emerging Markets Value Fund....... 60,967,550
Investment in DFA International Small Cap Value Portfolio
of DFA Investment Dimensions Group Inc.................... 1,199,106 23,070,797
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $233,127,786)....................................... $240,245,123
============
Summary of the Portfolio's investments as of October 31, 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............................. $240,245,123 -- -- $240,245,123
------------ -------- -------- ------------
TOTAL....................................................... $240,245,123 -- -- $240,245,123
============ ======== ======== ============
See accompanying Notes to Financial Statements.
112
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
OF NET
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) ASSETS++
------- ------------------------------- ----------
COMMON STOCKS -- (98.3%)
AUSTRALIA -- (4.9%)
BlueScope Steel, Ltd............................................. 94,666 $ 970,385 0.2%
Boral, Ltd....................................................... 214,235 853,463 0.2%
Incitec Pivot, Ltd............................................... 297,255 823,652 0.2%
Other Securities................................................. 20,060,335 4.3%
----------- ---
TOTAL AUSTRALIA. 22,707,835 4.9%
----------- ---
AUSTRIA -- (0.7%)
Other Securities................................................. 3,170,813 0.7%
----------- ---
BELGIUM -- (1.1%)
Ageas............................................................ 32,566 1,629,442 0.4%
Other Securities................................................. 3,526,862 0.7%
----------- ---
TOTAL BELGIUM........................................................ 5,156,304 1.1%
----------- ---
BRAZIL -- (2.1%)
Kroton Educacional SA............................................ 337,007 1,034,158 0.2%
Other Securities................................................. 8,495,359 1.9%
----------- ---
TOTAL BRAZIL......................................................... 9,529,517 2.1%
----------- ---
CANADA -- (5.9%)
AltaGas, Ltd..................................................... 66,629 837,639 0.2%
Cameco Corp...................................................... 78,221 837,796 0.2%
Industrial Alliance Insurance & Financial Services, Inc.......... 24,408 862,888 0.2%
Tourmaline Oil Corp.............................................. 59,293 864,769 0.2%
Other Securities................................................. 23,786,438 5.1%
----------- ---
TOTAL CANADA......................................................... 27,189,530 5.9%
----------- ---
CHILE -- (0.3%)
Other Securities................................................. 1,343,369 0.3%
----------- ---
CHINA -- (7.4%)
China Conch Venture Holdings, Ltd................................ 307,500 865,177 0.2%
Other Securities................................................. 33,681,857 7.3%
----------- ---
TOTAL CHINA...................................................... 34,547,034 7.5%
----------- ---
COLOMBIA -- (0.1%)
Other Securities................................................. 330,652 0.1%
----------- ---
DENMARK -- (1.5%)
ISS A.S.......................................................... 32,473 1,066,451 0.2%
Other Securities................................................. 5,833,539 1.3%
----------- ---
TOTAL DENMARK.................................................... 6,899,990 1.5%
----------- ---
FINLAND -- (1.2%)
Other Securities................................................. 5,638,166 1.2%
----------- ---
FRANCE -- (3.9%)
Arkema SA........................................................ 10,891 1,142,614 0.3%
Eiffage SA....................................................... 14,431 1,409,359 0.3%
113
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
FRANCE -- (Continued)
Rexel SA......................................................... 76,137 $ 970,542 0.2%
SES SA........................................................... 76,066 1,632,557 0.4%
Other Securities................................................. 12,898,754 2.7%
----------- ----
TOTAL FRANCE. 18,053,826 3.9%
----------- ----
GERMANY -- (4.5%)
K+S AG........................................................... 44,982 837,654 0.2%
Lanxess AG....................................................... 19,336 1,196,854 0.3%
RWE AG........................................................... 51,929 1,010,238 0.2%
Other Securities................................................. 18,047,217 3.9%
----------- ----
TOTAL GERMANY........................................................ 21,091,963 4.6%
----------- ----
HONG KONG -- (1.9%)
Other Securities................................................. 8,682,792 1.9%
----------- ----
INDIA -- (3.0%)
Other Securities................................................. 13,801,221 3.0%
----------- ----
INDONESIA -- (0.5%)
Other Securities................................................. 2,552,613 0.5%
----------- ----
IRELAND -- (0.8%)
Bank of Ireland Group P.L.C...................................... 362,243 2,559,463 0.6%
Other Securities................................................. 1,043,133 0.2%
----------- ----
TOTAL IRELAND........................................................ 3,602,596 0.8%
----------- ----
ISRAEL -- (0.6%)
Other Securities................................................. 2,621,261 0.6%
----------- ----
ITALY -- (2.1%)
Mediobanca Banca di Credito Finanziario SpA...................... 137,017 1,199,964 0.3%
Other Securities................................................. 8,623,080 1.8%
----------- ----
TOTAL ITALY.......................................................... 9,823,044 2.1%
----------- ----
JAPAN -- (17.8%)
Other Securities................................................. 82,761,141 18.0%
----------- ----
MALAYSIA -- (1.0%)
Other Securities................................................. 4,421,014 1.0%
----------- ----
MEXICO -- (0.8%)
Other Securities................................................. 3,768,131 0.8%
----------- ----
NETHERLANDS -- (1.7%)
Aegon NV......................................................... 302,081 1,852,555 0.4%
ASR Nederland NV................................................. 23,143 1,050,628 0.2%
Other Securities................................................. 5,071,310 1.1%
----------- ----
TOTAL NETHERLANDS................................................ 7,974,493 1.7%
----------- ----
NEW ZEALAND -- (0.4%)
Other Securities................................................. 1,900,920 0.4%
----------- ----
114
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
OF NET
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) ASSETS++
--------- ------------------------------- ----------
NORWAY -- (0.8%)
Other Securities................................................. $ 3,560,237 0.8%
----------- ---
PHILIPPINES -- (0.3%)
Other Securities................................................. 1,401,825 0.3%
----------- ---
POLAND -- (0.5%)
Other Securities................................................. 2,243,132 0.5%
----------- ---
PORTUGAL -- (0.3%)
Other Securities................................................. 1,404,321 0.3%
----------- ---
RUSSIA -- (0.3%)
Other Securities................................................. 1,213,973 0.3%
----------- ---
SINGAPORE -- (0.6%)
Other Securities................................................. 2,928,981 0.6%
----------- ---
SOUTH AFRICA -- (1.7%)
Other Securities................................................. 8,088,595 1.8%
----------- ---
SOUTH KOREA -- (5.3%)
Other Securities................................................. 24,565,710 5.3%
----------- ---
SPAIN -- (1.6%)
Banco de Sabadell SA............................................. 1,018,384 1,340,811 0.3%
Mapfre SA........................................................ 266,447 796,194 0.2%
Other Securities................................................. 5,485,648 1.2%
----------- ---
TOTAL SPAIN.......................................................... 7,622,653 1.7%
----------- ---
SWEDEN -- (1.9%)
Other Securities................................................. 8,798,672 1.9%
----------- ---
SWITZERLAND -- (3.3%)
Baloise Holding AG............................................... 8,350 1,193,491 0.3%
Helvetia Holding AG.............................................. 1,423 871,624 0.2%
Swiss Life Holding AG............................................ 4,696 1,771,400 0.4%
Other Securities................................................. 11,428,429 2.4%
----------- ---
TOTAL SWITZERLAND.................................................... 15,264,944 3.3%
----------- ---
TAIWAN -- (4.9%)
Other Securities................................................. 22,557,130 4.9%
----------- ---
THAILAND -- (1.0%)
Other Securities................................................. 4,861,359 1.1%
----------- ---
TURKEY -- (0.2%)
Other Securities................................................. 879,759 0.2%
----------- ---
UNITED KINGDOM -- (11.4%)
Barratt Developments P.L.C....................................... 202,794 1,330,120 0.3%
Bellway P.L.C.................................................... 25,648 940,707 0.2%
Berkeley Group Holdings P.L.C. (The)............................. 20,786 928,994 0.2%
Direct Line Insurance Group P.L.C................................ 240,466 1,010,505 0.2%
GVC Holdings P.L.C............................................... 109,902 1,316,450 0.3%
115
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
UNITED KINGDOM -- (Continued)
Investec P.L.C................................................... 136,113 $ 841,528 0.2%
J Sainsbury P.L.C................................................ 302,330 1,201,178 0.3%
John Wood Group P.L.C............................................ 111,952 1,020,360 0.2%
Johnson Matthey P.L.C............................................ 23,256 881,728 0.2%
Kingfisher P.L.C................................................. 410,817 1,333,990 0.3%
Marks & Spencer Group P.L.C...................................... 311,255 1,177,225 0.3%
Meggitt P.L.C.................................................... 160,012 1,082,578 0.2%
Micro Focus International P.L.C.................................. 69,117 1,071,466 0.2%
NEX Group P.L.C.................................................. 53,734 779,269 0.2%
Pearson P.L.C.................................................... 108,351 1,244,730 0.3%
Phoenix Group Holdings........................................... 118,804 913,144 0.2%
Royal Mail P.L.C................................................. 180,633 829,273 0.2%
RSA Insurance Group P.L.C........................................ 205,219 1,475,945 0.3%
Taylor Wimpey P.L.C.............................................. 389,086 801,139 0.2%
* Tullow Oil P.L.C................................................. 300,389 861,836 0.2%
Wm Morrison Supermarkets P.L.C................................... 433,323 1,372,849 0.3%
Other Securities................................................. 30,503,682 6.5%
------------ -----
TOTAL UNITED KINGDOM................................................. 52,918,696 11.5%
------------ -----
TOTAL COMMON STOCKS.................................................. 455,878,212 99.1%
------------ -----
PREFERRED STOCKS -- (0.7%)
BRAZIL -- (0.5%)
Other Securities................................................. 2,265,410 0.5%
------------ -----
COLOMBIA -- (0.0%)
Other Security................................................... 64,649 0.0%
------------ -----
GERMANY -- (0.2%)
Other Securities................................................. 806,902 0.2%
------------ -----
TOTAL PREFERRED STOCKS............................................... 3,136,961 0.7%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 14,655 0.0%
------------ -----
TOTAL INVESTMENT SECURITIES.......................................... 459,029,828
------------ -----
VALUE+
------------
SECURITIES LENDING COLLATERAL -- (1.0%)
@(S) DFA Short Term Investment Fund.................................. 402,673 4,658,921 1.0%
------------ -----
TOTAL INVESTMENTS--(100.0%)
(Cost $482,678,707).............................................. $463,688,749 100.8%
Summary of the Portfolio's investments as of October 31, 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................................................ -- $22,707,835 -- $22,707,835
Austria.................................................. -- 3,170,813 -- 3,170,813
116
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ ------- ------------
Belgium.......................................................... -- $ 5,156,304 -- $ 5,156,304
Brazil........................................................... $ 9,529,517 -- -- 9,529,517
Canada........................................................... 27,189,530 -- -- 27,189,530
Chile............................................................ 11,664 1,331,705 -- 1,343,369
China............................................................ 1,731,941 32,815,093 -- 34,547,034
Colombia......................................................... 330,652 -- -- 330,652
Denmark.......................................................... -- 6,899,990 -- 6,899,990
Finland.......................................................... -- 5,638,166 -- 5,638,166
France........................................................... -- 18,053,826 -- 18,053,826
Germany.......................................................... -- 21,091,963 -- 21,091,963
Hong Kong........................................................ -- 8,682,792 -- 8,682,792
India............................................................ -- 13,801,221 -- 13,801,221
Indonesia........................................................ -- 2,552,613 -- 2,552,613
Ireland.......................................................... -- 3,602,596 -- 3,602,596
Israel........................................................... -- 2,621,261 -- 2,621,261
Italy............................................................ -- 9,823,044 -- 9,823,044
Japan............................................................ 338,215 82,422,926 -- 82,761,141
Malaysia......................................................... -- 4,421,014 -- 4,421,014
Mexico........................................................... 3,768,131 -- -- 3,768,131
Netherlands...................................................... -- 7,974,493 -- 7,974,493
New Zealand...................................................... 86,251 1,814,669 -- 1,900,920
Norway........................................................... -- 3,560,237 -- 3,560,237
Philippines...................................................... -- 1,401,825 -- 1,401,825
Poland........................................................... -- 2,243,132 -- 2,243,132
Portugal......................................................... -- 1,404,321 -- 1,404,321
Russia........................................................... 1,009,532 204,441 -- 1,213,973
Singapore........................................................ 1,076 2,927,905 -- 2,928,981
South Africa..................................................... 837,394 7,251,201 -- 8,088,595
South Korea...................................................... 72,765 24,492,945 -- 24,565,710
Spain............................................................ -- 7,622,653 -- 7,622,653
Sweden........................................................... 28,062 8,770,610 -- 8,798,672
Switzerland...................................................... -- 15,264,944 -- 15,264,944
Taiwan........................................................... -- 22,557,130 -- 22,557,130
Thailand......................................................... 4,858,306 3,053 -- 4,861,359
Turkey........................................................... -- 879,759 -- 879,759
United Kingdom................................................... -- 52,918,696 -- 52,918,696
Preferred Stocks
Brazil........................................................... 2,265,410 -- -- 2,265,410
Colombia......................................................... 64,649 -- -- 64,649
Germany.......................................................... -- 806,902 -- 806,902
Rights/Warrants
Indonesia........................................................ -- 6,691 -- 6,691
Japan............................................................ -- 4,009 -- 4,009
Malaysia......................................................... -- 674 -- 674
South Korea...................................................... -- 2,444 -- 2,444
Taiwan........................................................... -- 837 -- 837
Securities Lending Collateral........................................... -- 4,658,921 -- 4,658,921
----------- ------------ -- ------------
TOTAL................................................................... $52,123,095 $411,565,654 -- $463,688,749
=========== ============ == ============
See accompanying Notes to Financial Statements.
117
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (95.1%)
AUSTRALIA -- (4.3%)
BHP Billiton, Ltd................................................ 487,213 $ 11,241,781 0.4%
Commonwealth Bank of Australia................................... 139,804 6,874,280 0.2%
# Westpac Banking Corp............................................. 282,103 5,358,752 0.2%
Other Securities................................................. 114,630,066 3.6%
------------ ---
TOTAL AUSTRALIA...................................................... 138,104,879 4.4%
------------ ---
AUSTRIA -- (0.5%)
Other Securities................................................. 15,749,846 0.5%
------------ ---
BELGIUM -- (0.8%)
Other Securities................................................. 26,623,842 0.9%
------------ ---
BRAZIL -- (1.5%)
Vale SA.......................................................... 470,432 7,168,667 0.3%
Other Securities................................................. 41,385,755 1.3%
------------ ---
TOTAL BRAZIL......................................................... 48,554,422 1.6%
------------ ---
CANADA -- (6.4%)
Bank of Montreal................................................. 92,353 6,902,463 0.2%
Barrick Gold Corp................................................ 525,905 6,587,545 0.2%
# Royal Bank of Canada............................................. 72,182 5,257,737 0.2%
# Suncor Energy, Inc............................................... 156,300 5,206,353 0.2%
Other Securities................................................. 183,079,005 5.8%
------------ ---
TOTAL CANADA......................................................... 207,033,103 6.6%
------------ ---
CHILE -- (0.3%)
Other Securities................................................. 9,064,794 0.3%
------------ ---
CHINA -- (7.1%)
China Construction Bank Corp., Class H........................... 8,643,000 6,858,625 0.2%
China Mobile, Ltd................................................ 635,500 5,953,287 0.2%
Ping An Insurance Group Co. of China, Ltd., Class H.............. 712,000 6,731,268 0.2%
Tencent Holdings, Ltd............................................ 225,200 7,715,185 0.3%
Other Securities................................................. 201,768,347 6.4%
------------ ---
TOTAL CHINA.......................................................... 229,026,712 7.3%
------------ ---
COLOMBIA -- (0.1%)
Other Securities................................................. 3,055,579 0.1%
------------ ---
CZECH REPUBLIC -- (0.0%)
Other Securities................................................. 1,471,447 0.0%
------------ ---
DENMARK -- (1.2%)
Other Securities................................................. 38,552,753 1.2%
------------ ---
EGYPT -- (0.0%)
Other Security................................................... 117,009 0.0%
------------ ---
FINLAND -- (1.3%)
Other Securities................................................. 42,749,732 1.4%
------------ ---
118
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
FRANCE -- (5.6%)
Orange SA........................................................ 390,196 $ 6,090,316 0.2%
Peugeot SA....................................................... 282,821 6,722,876 0.2%
Sanofi........................................................... 72,266 6,457,731 0.2%
# Total SA......................................................... 193,992 11,382,563 0.4%
Other Securities................................................. 151,881,057 4.8%
------------ ---
TOTAL FRANCE......................................................... 182,534,543 5.8%
------------ ---
GERMANY -- (5.1%)
Allianz SE....................................................... 36,197 7,540,553 0.3%
BASF SE.......................................................... 138,625 10,637,876 0.4%
Bayerische Motoren Werke AG...................................... 76,817 6,614,773 0.2%
Daimler AG....................................................... 174,048 10,310,012 0.3%
Deutsche Telekom AG.............................................. 609,489 9,996,641 0.3%
Siemens AG....................................................... 52,819 6,071,376 0.2%
Other Securities................................................. 113,390,675 3.6%
------------ ---
TOTAL GERMANY........................................................ 164,561,906 5.3%
------------ ---
GREECE -- (0.0%)
Other Securities................................................. 476,691 0.0%
------------ ---
HONG KONG -- (1.9%)
AIA Group, Ltd................................................... 1,173,600 8,927,626 0.3%
Other Securities................................................. 52,167,420 1.7%
------------ ---
TOTAL HONG KONG...................................................... 61,095,046 2.0%
------------ ---
HUNGARY -- (0.1%)
Other Securities................................................. 2,653,430 0.1%
------------ ---
INDIA -- (2.6%)
Other Securities................................................. 83,517,900 2.7%
------------ ---
INDONESIA -- (0.5%)
Other Securities................................................. 16,774,891 0.5%
------------ ---
IRELAND -- (0.5%)
Other Securities................................................. 15,883,240 0.5%
------------ ---
ISRAEL -- (0.5%)
Other Securities................................................. 17,094,566 0.5%
------------ ---
ITALY -- (2.1%)
Eni SpA.......................................................... 351,830 6,248,413 0.2%
* Fiat Chrysler Automobiles NV..................................... 359,805 5,475,671 0.2%
Other Securities................................................. 56,117,728 1.8%
------------ ---
TOTAL ITALY.......................................................... 67,841,812 2.2%
------------ ---
JAPAN -- (17.4%)
Honda Motor Co., Ltd............................................. 259,300 7,401,856 0.3%
JXTG Holdings, Inc............................................... 780,800 5,275,852 0.2%
Mitsubishi UFJ Financial Group, Inc.............................. 946,300 5,727,470 0.2%
# Toyota Motor Corp................................................ 280,688 16,442,964 0.6%
119
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
JAPAN -- (Continued)
Other Securities................................................. $529,439,160 16.7%
------------ ----
TOTAL JAPAN.......................................................... 564,287,302 18.0%
------------ ----
MALAYSIA -- (0.6%)
Other Securities................................................. 19,541,106 0.6%
------------ ----
MEXICO -- (0.7%)
Other Securities................................................. 23,429,693 0.7%
------------ ----
NETHERLANDS -- (1.8%)
Other Securities................................................. 58,956,103 1.9%
------------ ----
NEW ZEALAND -- (0.3%)
Other Securities................................................. 10,391,579 0.3%
------------ ----
NORWAY -- (0.7%)
Other Securities................................................. 24,092,072 0.8%
------------ ----
PERU -- (0.0%)
Other Securities................................................. 490,794 0.0%
------------ ----
PHILIPPINES -- (0.3%)
Other Securities................................................. 8,526,319 0.3%
------------ ----
POLAND -- (0.3%)
Other Securities................................................. 10,601,428 0.3%
------------ ----
PORTUGAL -- (0.2%)
Other Securities................................................. 5,721,400 0.2%
------------ ----
RUSSIA -- (0.3%)
Other Securities................................................. 8,127,754 0.3%
------------ ----
SINGAPORE -- (0.8%)
Other Securities................................................. 25,078,569 0.8%
------------ ----
SOUTH AFRICA -- (1.9%)
Other Securities................................................. 60,494,716 1.9%
------------ ----
SOUTH KOREA -- (3.8%)
Samsung Electronics Co., Ltd..................................... 444,150 16,627,106 0.6%
SK Hynix, Inc.................................................... 96,784 5,828,850 0.2%
Other Securities................................................. 98,862,911 3.1%
------------ ----
TOTAL SOUTH KOREA.................................................... 121,318,867 3.9%
------------ ----
SPAIN -- (1.7%)
Banco Santander SA............................................... 1,253,758 5,965,322 0.2%
Other Securities................................................. 47,853,326 1.5%
------------ ----
TOTAL SPAIN.......................................................... 53,818,648 1.7%
------------ ----
SWEDEN -- (1.9%)
Other Securities................................................. 62,966,208 2.0%
------------ ----
120
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
SWITZERLAND -- (4.1%)
ABB, Ltd......................................................... 294,037 $ 5,916,477 0.2%
Nestle SA........................................................ 200,030 16,887,149 0.6%
Novartis AG...................................................... 132,989 11,646,152 0.4%
Roche Holding AG................................................. 26,412 6,427,688 0.2%
# Swisscom AG...................................................... 12,175 5,574,709 0.2%
Other Securities................................................. 86,847,092 2.7%
-------------- ----
TOTAL SWITZERLAND.................................................... 133,299,267 4.3%
-------------- ----
TAIWAN -- (3.6%)
Other Securities................................................. 117,103,970 3.7%
-------------- ----
THAILAND -- (0.8%)
Other Securities................................................. 24,271,764 0.8%
-------------- ----
TURKEY -- (0.2%)
Other Securities................................................. 6,702,532 0.2%
-------------- ----
UNITED KINGDOM -- (11.2%)
# Anglo American P.L.C............................................. 412,690 8,808,198 0.3%
BP P.L.C., Sponsored ADR......................................... 472,008 20,470,987 0.7%
Glencore P.L.C................................................... 1,708,314 6,952,256 0.2%
# HSBC Holdings P.L.C., Sponsored ADR.............................. 306,911 12,610,973 0.4%
Legal & General Group P.L.C...................................... 1,662,435 5,334,550 0.2%
# Rio Tinto P.L.C., Sponsored ADR.................................. 172,914 8,522,931 0.3%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A................. 161,107 10,180,351 0.3%
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B................. 107,051 7,034,321 0.2%
Tesco P.L.C...................................................... 1,976,348 5,382,431 0.2%
Vodafone Group P.L.C............................................. 3,422,553 6,436,241 0.2%
Other Securities................................................. 270,235,467 8.6%
-------------- ----
TOTAL UNITED KINGDOM................................................. 361,968,706 11.6%
-------------- ----
UNITED STATES -- (0.1%)
Other Securities................................................. 1,970,493 0.1%
-------------- ----
TOTAL COMMON STOCKS.................................................. 3,075,697,433 98.3%
-------------- ----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.4%)
Other Securities................................................. 14,051,009 0.4%
-------------- ----
CHILE -- (0.0%)
Other Securities................................................. 187,759 0.0%
-------------- ----
COLOMBIA -- (0.0%)
Other Securities................................................. 523,901 0.0%
-------------- ----
GERMANY -- (0.5%)
Volkswagen AG.................................................... 43,057 7,233,702 0.2%
Other Securities................................................. 7,494,767 0.3%
-------------- ----
TOTAL GERMANY........................................................ 14,728,469 0.5%
-------------- ----
121
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
UNITED KINGDOM -- (0.0%)
Other Securities................................................. $ 16,210 0.0%
-------------- -----
TOTAL PREFERRED STOCKS............................................... 29,507,348 0.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 113,230 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES.......................................... 3,105,318,011
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (4.0%)
@(S) DFA Short Term Investment Fund.................................. 11,262,955 130,312,391 4.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,273,175,643)............................................ $3,235,630,402 103.4%
============== =====
Summary of the Portfolio's investments as of October 31, 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........................................................ $ 1,593,024 $136,511,855 -- $138,104,879
Austria.......................................................... -- 15,749,846 -- 15,749,846
Belgium.......................................................... 102,972 26,520,870 -- 26,623,842
Brazil........................................................... 48,554,422 -- -- 48,554,422
Canada........................................................... 207,033,103 -- -- 207,033,103
Chile............................................................ 1,378,785 7,686,009 -- 9,064,794
China............................................................ 23,699,069 205,327,643 -- 229,026,712
Colombia......................................................... 3,055,579 -- -- 3,055,579
Czech Republic................................................... -- 1,471,447 -- 1,471,447
Denmark.......................................................... 230,754 38,321,999 -- 38,552,753
Egypt............................................................ -- 117,009 -- 117,009
Finland.......................................................... 115,913 42,633,819 -- 42,749,732
France........................................................... 1,314,543 181,220,000 -- 182,534,543
Germany.......................................................... 1,586,168 162,975,738 -- 164,561,906
Greece........................................................... -- 476,691 -- 476,691
Hong Kong........................................................ 109,097 60,985,949 -- 61,095,046
Hungary.......................................................... -- 2,653,430 -- 2,653,430
India............................................................ 949,709 82,568,191 -- 83,517,900
Indonesia........................................................ 151,200 16,623,691 -- 16,774,891
Ireland.......................................................... 4,541,301 11,341,939 -- 15,883,240
Israel........................................................... 1,116,446 15,978,120 -- 17,094,566
Italy............................................................ 78,567 67,763,245 -- 67,841,812
Japan............................................................ 3,627,280 560,660,022 -- 564,287,302
Malaysia......................................................... -- 19,541,106 -- 19,541,106
Mexico........................................................... 23,429,057 636 -- 23,429,693
Netherlands...................................................... 6,903,552 52,052,551 -- 58,956,103
New Zealand...................................................... 125,564 10,266,015 -- 10,391,579
Norway........................................................... 190,283 23,901,789 -- 24,092,072
Peru............................................................. 490,689 105 -- 490,794
Philippines...................................................... 101,299 8,425,020 -- 8,526,319
Poland........................................................... -- 10,601,428 -- 10,601,428
122
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Portugal.......................................... -- $ 5,721,400 -- $ 5,721,400
Russia............................................ $ 3,205,853 4,921,901 -- 8,127,754
Singapore......................................... 1,056 25,077,513 -- 25,078,569
South Africa...................................... 3,926,044 56,568,672 -- 60,494,716
South Korea....................................... 1,002,588 120,316,279 -- 121,318,867
Spain............................................. 364,633 53,454,015 -- 53,818,648
Sweden............................................ 89,897 62,876,311 -- 62,966,208
Switzerland....................................... 3,412,086 129,887,181 -- 133,299,267
Taiwan............................................ 5,320,414 111,783,556 -- 117,103,970
Thailand.......................................... 24,269,400 2,364 -- 24,271,764
Turkey............................................ 12,384 6,690,148 -- 6,702,532
United Kingdom.................................... 85,480,420 276,488,286 -- 361,968,706
United States..................................... 1,970,493 -- -- 1,970,493
Preferred Stocks
Brazil............................................ 14,051,009 -- -- 14,051,009
Chile............................................. -- 187,759 -- 187,759
Colombia.......................................... 523,901 -- -- 523,901
Germany........................................... -- 14,728,469 -- 14,728,469
United Kingdom.................................... -- 16,210 -- 16,210
Rights/Warrants
Canada............................................ -- 463 -- 463
Chile............................................. -- 1,762 -- 1,762
Indonesia......................................... -- 16,358 -- 16,358
Japan............................................. -- 3,180 -- 3,180
Malaysia.......................................... -- 1,202 -- 1,202
South Korea....................................... -- 4,922 -- 4,922
Spain............................................. -- 74,909 -- 74,909
Sweden............................................ -- 4,357 -- 4,357
Taiwan............................................ -- 4,033 -- 4,033
Thailand.......................................... -- 2,044 -- 2,044
Securities Lending Collateral......................... -- 130,312,391 -- 130,312,391
------------ -------------- -- --------------
TOTAL................................................. $474,108,554 $2,761,521,848 -- $3,235,630,402
============ ============== == ==============
See accompanying Notes to Financial Statements.
123
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.............................. 17,748,751 $404,139,045
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.............................. 20,176,005 255,226,466
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.............................. 4,315,134 81,771,789
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $688,205,650).............................................. $741,137,300
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund, 2.090%
(Cost $521,378).................................................. 521,378 521,378
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $688,727,028).............................................. $741,658,678
============
Summary of the Portfolio's investments as of October 31, 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........................ $741,137,300 -- -- $741,137,300
Temporary Cash Investments............................. 521,378 -- -- 521,378
------------ -- -- ------------
TOTAL.................................................. $741,658,678 -- -- $741,658,678
============ == == ============
See accompanying Notes to Financial Statements.
124
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.............................. 8,552,937 $181,749,903
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.............................. 10,315,893 130,496,053
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.............................. 3,504,004 66,400,879
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $327,990,612).............................................. $378,646,835
============
As of October 31, 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 2,209,344 DKK 14,158,518 State Street Bank and Trust 11/05/18 $ 59,329
USD 1,283,781 SGD 1,763,011 JP Morgan 11/07/18 10,862
USD 1,306,432 NOK 10,723,699 Citibank, N.A. 11/16/18 33,587
USD 3,248,546 SEK 29,161,574 Citibank, N.A. 11/16/18 58,383
USD 6,606,278 CHF 6,509,277 Citibank, N.A. 11/16/18 135,320
USD 7,436,083 CAD 9,692,980 Citibank, N.A. 11/16/18 71,291
USD 18,735,929 GBP 14,138,963 State Street Bank and Trust 11/16/18 652,790
USD 30,195,451 JPY 3,382,623,949 Citibank, N.A. 11/16/18 187,642
USD 836,028 ILS 3,053,000 Citibank, N.A. 11/21/18 14,031
USD 32,130,371 EUR 27,971,243 State Street Bank and Trust 11/28/18 385,186
USD 509,012 NZD 778,059 Citibank, N.A. 01/25/19 801
USD 7,171,812 AUD 10,112,538 Citibank, N.A. 01/25/19 3,297
----------
TOTAL APPRECIATION $1,612,519
DKK 777,782 USD 119,761 Citibank, N.A. 11/05/18 $ (1,653)
JPY 197,669,712 USD 1,759,811 Citibank, N.A. 11/16/18 (6,250)
NOK 649,661 USD 78,047 Citibank, N.A. 11/16/18 (936)
SEK 1,962,889 USD 215,790 Bank of America Corp. 11/16/18 (1,058)
SGD 93,139 USD 67,504 Citibank, N.A. 11/07/18 (257)
USD 11,457,423 HKD 89,671,456 Barclays Capital 01/25/19 (407)
----------
TOTAL (DEPRECIATION) $ (10,561)
----------
TOTAL APPRECIATION
(DEPRECIATION) $1,601,958
==========
As of October 31, 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.......................... 178 12/21/18 $25,751,296 $24,128,790 $(1,622,506)
----------- ----------- -----------
TOTAL FUTURES CONTRACTS........................... $25,751,296 $24,128,790 $(1,622,506)
=========== =========== ===========
125
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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............................. $378,646,835 -- -- $378,646,835
Forward Currency Contracts**................................ -- $1,601,958 -- 1,601,958
Futures Contracts**......................................... (1,622,506) -- -- (1,622,506)
------------ ---------- -- ------------
TOTAL....................................................... $377,024,329 $1,601,958 -- $378,626,287
============ ========== == ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
126
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $5,406,696,334
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $5,406,696,334
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
127
EMERGING MARKETS SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Emerging Markets Small Cap Series of The
DFA Investment Trust Company.............................. $6,302,852,246
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $6,302,852,246
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
128
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund.. $16,473,722,142
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES... $16,473,722,142
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
129
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
COMMON STOCKS -- (95.3%)
BRAZIL -- (7.5%)
Ambev SA, ADR.................................................... 15,156,098 $ 65,625,904 0.3%
# Banco Bradesco SA, ADR........................................... 10,092,312 92,546,500 0.4%
Itau Unibanco Holding SA, ADR.................................... 5,343,105 70,368,693 0.3%
Lojas Renner SA.................................................. 5,227,997 52,820,821 0.2%
Petroleo Brasileiro SA........................................... 8,136,786 66,292,450 0.3%
Petroleo Brasileiro SA, Sponsored ADR............................ 4,065,689 60,253,511 0.2%
Vale SA.......................................................... 17,883,874 272,523,044 1.1%
Other Securities................................................. 1,254,860,631 4.8%
-------------- ----
TOTAL BRAZIL......................................................... 1,935,291,554 7.6%
-------------- ----
CHILE -- (1.3%)
Other Securities................................................. 332,114,994 1.3%
-------------- ----
CHINA -- (16.6%)
#* Alibaba Group Holding, Ltd., Sponsored ADR....................... 1,510,117 214,859,447 0.9%
* Baidu, Inc., Sponsored ADR....................................... 342,705 65,134,512 0.3%
China Construction Bank Corp., Class H........................... 226,157,302 179,466,394 0.7%
China Mobile, Ltd................................................ 10,600,500 99,304,192 0.4%
# China Mobile, Ltd., Sponsored ADR................................ 1,997,961 93,005,085 0.4%
China Overseas Land & Investment, Ltd............................ 18,498,033 58,154,820 0.2%
China Petroleum & Chemical Corp., Class H........................ 70,800,400 57,672,295 0.2%
CNOOC, Ltd....................................................... 36,457,000 62,085,500 0.3%
Industrial & Commercial Bank of China, Ltd., Class H............. 156,720,725 106,330,714 0.4%
NetEase, Inc., ADR............................................... 269,776 56,072,942 0.2%
Ping An Insurance Group Co. of China, Ltd., Class H.............. 17,734,000 167,657,733 0.7%
Tencent Holdings, Ltd............................................ 10,586,900 362,699,361 1.4%
Other Securities................................................. 2,776,056,040 10.8%
-------------- ----
TOTAL CHINA.......................................................... 4,298,499,035 16.9%
-------------- ----
COLOMBIA -- (0.4%)
Other Securities................................................. 98,350,479 0.4%
-------------- ----
CZECH REPUBLIC -- (0.2%)
Other Securities................................................. 44,218,190 0.2%
-------------- ----
EGYPT -- (0.1%)
Other Securities................................................. 14,613,705 0.1%
-------------- ----
GREECE -- (0.2%)
Other Securities................................................. 55,004,941 0.2%
-------------- ----
HONG KONG -- (0.0%)
Other Securities................................................. 600,963 0.0%
-------------- ----
HUNGARY -- (0.4%)
Other Securities................................................. 105,198,058 0.4%
-------------- ----
INDIA -- (12.1%)
HDFC Bank, Ltd................................................... 2,994,559 77,521,410 0.3%
Housing Development Finance Corp., Ltd........................... 3,549,153 84,809,881 0.4%
Infosys, Ltd..................................................... 12,734,298 117,601,185 0.5%
# Infosys, Ltd., Sponsored ADR..................................... 7,416,008 70,229,596 0.3%
130
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
INDIA -- (Continued)
Reliance Industries, Ltd......................................... 8,219,720 $ 117,665,417 0.5%
Tata Consultancy Services, Ltd................................... 3,896,968 101,973,604 0.4%
Other Securities................................................. 2,576,162,802 10.0%
-------------- ----
TOTAL INDIA.......................................................... 3,145,963,895 12.4%
-------------- ----
INDONESIA -- (2.6%)
Bank Rakyat Indonesia Persero Tbk PT............................. 281,291,900 58,381,561 0.3%
Other Securities................................................. 610,894,158 2.3%
-------------- ----
TOTAL INDONESIA...................................................... 669,275,719 2.6%
-------------- ----
MALAYSIA -- (3.2%)
Public Bank Bhd.................................................. 11,077,811 65,164,389 0.3%
Other Securities................................................. 767,925,978 3.0%
-------------- ----
TOTAL MALAYSIA....................................................... 833,090,367 3.3%
-------------- ----
MEXICO -- (3.2%)
America Movil S.A.B. de C.V., Sponsored ADR,
Class L.......................................................... 4,015,002 57,775,878 0.2%
Grupo Mexico S.A.B. de C.V....................................... 24,442,328 56,373,208 0.2%
Other Securities................................................. 706,705,284 2.8%
-------------- ----
TOTAL MEXICO......................................................... 820,854,370 3.2%
-------------- ----
PERU -- (0.1%)
Other Securities................................................. 39,581,616 0.2%
-------------- ----
PHILIPPINES -- (1.2%)
Other Securities................................................. 308,392,875 1.2%
-------------- ----
POLAND -- (1.4%)
Other Securities................................................. 377,080,393 1.5%
-------------- ----
RUSSIA -- (1.5%)
Other Securities................................................. 384,232,346 1.5%
-------------- ----
SINGAPORE -- (0.0%)
Other Security................................................... 270,935 0.0%
-------------- ----
SOUTH AFRICA -- (6.8%)
Absa Group, Ltd.................................................. 5,792,588 58,529,965 0.2%
FirstRand, Ltd................................................... 23,983,632 104,752,384 0.4%
MTN Group, Ltd................................................... 14,695,252 85,334,290 0.3%
Naspers, Ltd., Class N........................................... 673,739 118,174,387 0.5%
Sanlam, Ltd...................................................... 12,023,228 60,540,785 0.3%
Sasol, Ltd....................................................... 2,004,055 65,492,415 0.3%
Standard Bank Group, Ltd......................................... 8,843,736 97,981,657 0.4%
Other Securities................................................. 1,180,028,721 4.6%
-------------- ----
TOTAL SOUTH AFRICA................................................... 1,770,834,604 7.0%
-------------- ----
SOUTH KOREA -- (16.0%)
LG Chem, Ltd..................................................... 230,246 70,357,555 0.3%
Samsung Electronics Co., Ltd..................................... 25,385,277 950,317,896 3.8%
SK Holdings Co., Ltd............................................. 257,689 59,334,459 0.3%
131
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SOUTH KOREA -- (Continued)
# SK Hynix, Inc........................... 3,141,984 $ 189,227,083 0.8%
Other Securities........................ 2,882,741,443 11.2%
--------------- -----
TOTAL SOUTH KOREA............................. 4,151,978,436 16.4%
--------------- -----
TAIWAN -- (15.7%)
Hon Hai Precision Industry Co., Ltd..... 44,249,403 112,638,996 0.5%
Taiwan Semiconductor Manufacturing Co.,
Ltd................................... 41,147,652 308,911,148 1.2%
Taiwan Semiconductor Manufacturing Co.,
Ltd.,
Sponsored ADR........................... 10,778,196 410,649,268 1.6%
Uni-President Enterprises Corp.......... 26,452,734 64,117,522 0.3%
Other Securities........................ 3,165,386,686 12.4%
--------------- -----
TOTAL TAIWAN.................................. 4,061,703,620 16.0%
--------------- -----
THAILAND -- (3.7%)
PTT PCL................................. 72,022,800 110,804,308 0.5%
Other Securities........................ 847,481,055 3.3%
--------------- -----
TOTAL THAILAND................................ 958,285,363 3.8%
--------------- -----
TURKEY -- (1.1%)
Other Securities........................ 276,235,759 1.1%
--------------- -----
TOTAL COMMON STOCKS........................... 24,681,672,217 97.3%
--------------- -----
PREFERRED STOCKS -- (1.9%)
BRAZIL -- (1.8%)
Banco Bradesco SA....................... 6,072,964 55,972,770 0.2%
Itau Unibanco Holding SA................ 11,379,145 150,590,593 0.6%
Petroleo Brasileiro SA.................. 9,824,562 72,915,330 0.3%
Other Securities........................ 187,336,738 0.7%
--------------- -----
TOTAL BRAZIL.................................. 466,815,431 1.8%
--------------- -----
CHILE -- (0.0%)
Other Securities........................ 9,028,101 0.0%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities........................ 16,712,534 0.1%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Security.......................... 155,594 0.0%
--------------- -----
TOTAL PREFERRED STOCKS........................ 492,711,660 1.9%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................ 877,292 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES................... 25,175,261,169
---------------
VALUE+
------
SECURITIES LENDING COLLATERAL -- (2.8%)
@(S) DFA Short Term Investment Fund.......... 63,414,247 733,702,839 2.9%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $25,192,318,527).................. $25,908,964,008 102.1%
=============== =====
132
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
As of October 31, 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 12/21/18 $ 33,568,522 $ 31,092,750 $(2,475,772)
S&P 500(R)/ /Emini Index.......................... 710 12/21/18 102,043,966 96,244,050 (5,799,916)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS........................... $135,612,488 $127,336,800 $(8,275,688)
============ ============ ===========
Summary of the Portfolio's investments as of October 31, 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................................................... $1,935,291,554 -- -- $ 1,935,291,554
Chile.................................................... 102,298,660 $ 229,816,334 -- 332,114,994
China.................................................... 761,784,656 3,536,714,379 -- 4,298,499,035
Colombia................................................. 98,350,479 -- -- 98,350,479
Czech Republic........................................... -- 44,218,190 -- 44,218,190
Egypt.................................................... 1,267,910 13,345,795 -- 14,613,705
Greece................................................... -- 55,004,941 -- 55,004,941
Hong Kong................................................ 16,227 584,736 -- 600,963
Hungary.................................................. 245,477 104,952,581 -- 105,198,058
India.................................................... 120,263,353 3,025,700,542 -- 3,145,963,895
Indonesia................................................ 24,021,899 645,253,820 -- 669,275,719
Malaysia................................................. -- 833,090,367 -- 833,090,367
Mexico................................................... 820,783,993 70,377 -- 820,854,370
Peru..................................................... 39,579,917 1,699 -- 39,581,616
Philippines.............................................. 6,505,893 301,886,982 -- 308,392,875
Poland................................................... -- 377,080,393 -- 377,080,393
Russia................................................... 95,022,479 289,209,867 -- 384,232,346
Singapore................................................ -- 270,935 -- 270,935
South Africa............................................. 116,585,261 1,654,249,343 -- 1,770,834,604
South Korea.............................................. 87,754,116 4,064,224,320 -- 4,151,978,436
Taiwan................................................... 437,228,782 3,624,474,838 -- 4,061,703,620
Thailand................................................. 958,054,200 231,163 -- 958,285,363
Turkey................................................... 1,504,279 274,731,480 -- 276,235,759
Preferred Stocks
Brazil................................................... 466,815,431 -- -- 466,815,431
Chile.................................................... -- 9,028,101 -- 9,028,101
Colombia................................................. 16,712,534 -- -- 16,712,534
South Korea.............................................. -- 155,594 -- 155,594
Rights/Warrants
Chile.................................................... -- 52,006 -- 52,006
Indonesia................................................ -- 392,117 -- 392,117
Malaysia................................................. -- 103,040 -- 103,040
South Korea.............................................. -- 182,674 -- 182,674
Taiwan................................................... -- 131,886 -- 131,886
Thailand................................................. -- 15,569 -- 15,569
133
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- ------- ---------------
Securities Lending Collateral. -- $ 733,702,839 -- $ 733,702,839
Futures Contracts**........... $ (8,275,688) -- -- (8,275,688)
-------------- --------------- -- ---------------
TOTAL......................... $6,081,811,412 $19,818,876,908 -- $25,900,688,320
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(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 Companies at Value..... -- -- $ 25,270,627 --
Investments at Value (including $2,218, $52,049, $0 and
$2,351,990 of securities on loan, respectively)........... $ 317,641 $ 1,452,431 -- $ 10,369,870
Temporary Cash Investments at Value & Cost.................. -- 2,939 -- 108,517
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $2,270, $40,425, $0 and
$1,345,656)............................................... 2,270 40,426 -- 1,345,682
Segregated Cash for Futures Contracts....................... -- -- -- 3,900
Cash........................................................ 5,360 -- -- --
Receivables:
Investment Securities Sold............................... 1,183 820 -- 240,652
Dividends and Interest................................... 2,328 1,314 -- 4,372
Securities Lending Income................................ -- 6 -- 291
Fund Shares Sold......................................... 101 2,201 14,238 7,955
Futures Margin Variation................................. 3,137 -- -- 839
Unrealized Gain on Forward Currency Contracts............... 448 -- -- --
Prepaid Expenses and Other Assets........................... 15 24 123 77
-------------- -------------- -------------- --------------
Total Assets......................................... 332,483 1,500,161 25,284,988 12,082,155
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 2,270 40,429 -- 1,345,766
Investment Securities Purchased.......................... 2,926 1,653 -- 263,334
Fund Shares Redeemed..................................... 145 545 12,177 5,743
Due to Advisor........................................... 30 190 3,298 3,228
Accrued Expenses and Other Liabilities...................... 49 126 1,177 922
-------------- -------------- -------------- --------------
Total Liabilities.................................... 5,420 42,943 16,652 1,618,993
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 327,063 $ 1,457,218 $ 25,268,336 $ 10,463,162
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and
$47,848 and shares outstanding of 0, 0, 0 and 2,040,767,
respectively.............................................. N/A N/A N/A $ 23.45
============== ============== ============== ==============
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
$108,168 and shares outstanding of 0, 0, 0 and 4,637,645,
respectively.............................................. N/A N/A N/A $ 23.32
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. N/A N/A N/A 200,000,000
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$327,063; $1,457,218; $25,268,336 and $10,307,146 and
shares outstanding of 25,108,948, 87,013,242, 675,386,094
and 439,438,485, respectively............................. $ 13.03 $ 16.75 $ 37.41 $ 23.46
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,000,000,000 4,000,000,000 1,500,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 322,672 $ 1,143,446 N/A $ 8,905,005
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 315,548 $ 1,153,086 $ 17,927,634 $ 8,593,962
Total Distributable Earnings (Loss)......................... 11,515 304,132 7,340,702 1,869,200
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 327,063 $ 1,457,218 $ 25,268,336 $ 10,463,162
============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(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 $2,847,644, $2,570,265,
$2,978,602 and $677,935 of securities on loan,
respectively)............................................. $ 14,525,166 $ 23,478,789 $ 24,470,723 $ 4,568,642
Temporary Cash Investments at Value & Cost.................. 185,684 167,633 225,634 67,909
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $1,667,131, $1,470,038,
$1,747,135 and $376,151).................................. 1,667,171 1,470,055 1,747,162 376,160
Segregated Cash for Futures Contracts....................... 6,522 6,630 8,130 1,806
Receivables:
Investment Securities Sold............................... 223,441 14,130 10,356 94
Dividends and Interest................................... 5,000 18,184 19,581 2,840
Securities Lending Income................................ 397 463 533 146
Fund Shares Sold......................................... 9,904 29,209 19,435 5,065
Futures Margin Variation................................. 1,410 1,425 1,748 388
Prepaid Expenses and Other Assets........................... 116 222 211 46
-------------- -------------- -------------- --------------
Total Assets......................................... 16,624,811 25,186,740 26,503,513 5,023,096
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 1,667,197 1,470,152 1,747,190 376,194
Investment Securities Purchased.......................... 205,415 62,168 57,569 31,042
Fund Shares Redeemed..................................... 11,680 19,467 14,926 3,473
Due to Advisor........................................... 6,500 3,509 4,314 1,218
Accrued Expenses and Other Liabilities...................... 1,404 1,718 1,864 400
-------------- -------------- -------------- --------------
Total Liabilities.................................... 1,892,196 1,557,014 1,825,863 412,327
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 14,732,615 $ 23,629,726 $ 24,677,650 $ 4,610,769
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$14,732,615; $23,629,726; $24,677,650 and $4,610,769 and
shares outstanding of 404,819,552, 1,037,950,248,
1,161,535,950 and 250,529,805, respectively............... $ 36.39 $ 22.77 $ 21.25 $ 18.40
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 3,400,000,000 3,000,000,000 4,600,000,000 2,000,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 11,370,820 $ 15,920,979 $ 16,320,509 $ 3,104,772
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 10,819,613 $ 15,883,815 $ 16,215,104 $ 3,036,938
Total Distributable Earnings (Loss)......................... 3,913,002 7,745,911 8,462,546 1,573,831
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 14,732,615 $ 23,629,726 $ 24,677,650 $ 4,610,769
============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
136
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. HIGH DFA REAL
RELATIVE ESTATE LARGE CAP
U.S. SMALL CAP U.S. MICRO CAP PROFITABILITY SECURITIES INTERNATIONAL
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- -------------- ------------- -------------- --------------
ASSETS:
Investments at Value (including $4,209,306,
$1,468,097, $15,705, $495,428 and $217,253 of
securities on loan, respectively).................... $ 17,280,115 $ 6,375,051 $ 719,417 $ 8,556,902 $ 4,520,654
Temporary Cash Investments at Value & Cost............. 97,267 56,048 3,361 12,245 --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $2,515,586,
$958,059, $9,440, $359,448 and $206,361)............. 2,515,622 958,074 9,440 359,453 206,350
Segregated Cash for Futures Contracts.................. 3,888 2,508 -- 660 1,462
Foreign Currencies at Value............................ -- -- -- -- 12,407
Cash................................................... -- -- -- -- 34,040
Receivables:
Investment Securities Sold.......................... 124,968 273,908 596 4,515 --
Dividends and Interest.............................. 4,433 2,187 818 6,061 16,044
Securities Lending Income........................... 959 330 4 52 160
Fund Shares Sold.................................... 11,285 5,544 2,243 4,156 13,010
Futures Margin Variation............................ 840 549 -- 142 293
Prepaid Expenses and Other Assets...................... 79 51 66 63 34
-------------- -------------- ------------ -------------- --------------
Total Assets.................................... 20,039,456 7,674,250 735,945 8,944,249 4,804,454
-------------- -------------- ------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................... 2,515,956 958,101 9,444 359,545 206,330
Investment Securities Purchased..................... 187,998 229,839 3,154 -- 4,162
Fund Shares Redeemed................................ 25,291 4,496 439 5,130 5,319
Due to Advisor...................................... 5,341 2,862 84 1,157 800
Accrued Expenses and Other Liabilities................. 1,419 636 96 759 437
-------------- -------------- ------------ -------------- --------------
Total Liabilities............................... 2,736,005 1,195,934 13,217 366,591 217,048
-------------- -------------- ------------ -------------- --------------
NET ASSETS............................................. $ 17,303,451 $ 6,478,316 $ 722,728 $ 8,577,658 $ 4,587,406
============== ============== ============ ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of
$17,303,451; $6,478,316; $722,728; $8,577,658 and
$4,587,406 and shares outstanding of 494,096,241,
296,101,862, 60,997,039, 251,284,798 and
215,521,725, respectively............................ $ 35.02 $ 21.88 $ 11.85 $ 34.14 $ 21.29
============== ============== ============ ============== ==============
NUMBER OF SHARES AUTHORIZED............................ 2,000,000,000 3,000,000,000 500,000,000 1,700,000,000 1,500,000,000
Investments at Cost.................................... $ 13,519,219 $ 4,211,786 $ 709,861 $ 6,464,987 $ 4,171,457
============== ============== ============ ============== ==============
Foreign Currencies at Cost............................. $ -- $ -- $ -- $ -- $ 12,566
============== ============== ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital........................................ $ 13,006,657 $ 4,066,883 $ 714,797 $ 6,585,450 $ 4,254,160
Total Distributable Earnings (Loss).................... 4,296,794 2,411,433 7,931 1,992,208 333,246
-------------- -------------- ------------ -------------- --------------
NET ASSETS............................................. $ 17,303,451 $ 6,478,316 $ 722,728 $ 8,577,658 $ 4,587,406
============== ============== ============ ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
137
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(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 -- $ 12,556,610 $ 31,323 $ 623,019
Investments at Value (including $1,947,721, $0, $0, $0
and $0 of securities on loan, respectively).......... $ 26,889,884 -- -- --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $1,604,423,
$0, $0, $0 and $0)................................... 1,604,446 -- -- --
Segregated Cash for Futures Contracts.................. 7,560 4,860 -- --
Foreign Currencies at Value............................ 41,963 -- -- --
Cash................................................... 209,613 92,276 32 --
Receivables:
Investment Securities Sold.......................... 14,139 -- -- --
Dividends, Interest and Tax Reclaims................ 90,720 -- -- --
Securities Lending Income........................... 3,069 -- -- --
Fund Shares Sold.................................... 36,243 15,268 17 5
From Advisor........................................ -- -- 2 --
Futures Margin Variation............................ 1,625 1,126 -- --
Unrealized Gain on Foreign Currency Contracts.......... 50 -- -- --
Prepaid Expenses and Other Assets...................... 308 79 14 10
-------------- -------------- ------------ --------------
Total Assets.................................... 28,899,620 12,670,219 31,388 623,034
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................... 1,604,473 -- -- --
Investment Securities Purchased..................... 68,174 -- -- --
Fund Shares Redeemed................................ 43,744 8,833 -- 135
Due to Advisor...................................... 6,152 4,469 -- 221
Unrealized Loss on Foreign Currency Contracts.......... 41 -- -- --
Accrued Expenses and Other Liabilities................. 2,447 713 8 28
-------------- -------------- ------------ --------------
Total Liabilities............................... 1,725,031 14,015 8 384
-------------- -------------- ------------ --------------
NET ASSETS............................................. $ 27,174,589 $ 12,656,204 $ 31,380 $ 622,650
============== ============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of
$27,174,589; $12,656,204; $31,380; $622,650 and
$346,335 and shares outstanding of 2,148,798,743,
685,566,284, 2,925,782, 24,226,668 and 16,623,474,
respectively......................................... $ 12.65 $ 18.46 $ 10.73 $ 25.70
============== ============== ============ ==============
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 $ 32,385 N/A
============== ============== ============ ==============
Investments at Cost.................................... $ 25,608,068 N/A N/A N/A
============== ============== ============ ==============
Foreign Currencies at Cost............................. $ 42,151 $ -- $ -- $ --
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital........................................ $ 26,082,688 $ 11,430,392 $ 32,617 $ 528,647
Total Distributable Earnings (Loss).................... 1,091,901 1,225,812 (1,237) 94,003
-------------- -------------- ------------ --------------
NET ASSETS............................................. $ 27,174,589 $ 12,656,204 $ 31,380 $ 622,650
============== ============== ============ ==============
ASIA PACIFIC
SMALL
COMPANY
PORTFOLIO
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value $ 346,493
Investments at Value (including $1,947,721, $0, $0, $0
and $0 of securities on loan, respectively).......... --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $1,604,423,
$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.................................... 2
From Advisor........................................ --
Futures Margin Variation............................ --
Unrealized Gain on Foreign Currency Contracts.......... --
Prepaid Expenses and Other Assets...................... 10
--------------
Total Assets.................................... 346,505
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................... --
Investment Securities Purchased..................... --
Fund Shares Redeemed................................ 25
Due to Advisor...................................... 122
Unrealized Loss on Foreign Currency Contracts.......... --
Accrued Expenses and Other Liabilities................. 23
--------------
Total Liabilities............................... 170
--------------
NET ASSETS............................................. $ 346,335
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of
$27,174,589; $12,656,204; $31,380; $622,650 and
$346,335 and shares outstanding of 2,148,798,743,
685,566,284, 2,925,782, 24,226,668 and 16,623,474,
respectively......................................... $ 20.83
==============
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........................................ $ 382,722
Total Distributable Earnings (Loss).................... (36,387)
--------------
NET ASSETS............................................. $ 346,335
==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
138
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(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..... $ 36,361 $ 646,483 -- $ 3,939,448
Investments at Value (including $0, $0, $250,309, $85,952
and $1,187,138 of securities on loan, respectively)....... -- -- $ 5,366,724 3,536,061
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $214,316, $89,028 and
$948,086)................................................. -- -- 214,317 89,035
Segregated Cash for Futures Contracts....................... -- -- 1,722 --
Foreign Currencies at Value................................. -- -- 29,330 --
Cash........................................................ -- -- 17,998 1,693
Receivables:
Investment Securities/Affiliated Investment Companies
Sold................................................... -- -- 4,459 --
Dividends and Interest................................... -- -- 23,811 2,451
Securities Lending Income................................ -- -- 301 16
Fund Shares Sold......................................... -- 23 1,865 4,670
Futures Margin Variation................................. -- -- 370 --
Unrealized Gain on Foreign Currency Contracts............... -- -- -- --
Prepaid Expenses and Other Assets........................... 8 10 23 63
-------------- -------------- -------------- --------------
Total Assets......................................... 36,369 646,516 5,660,920 7,573,437
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... -- -- 214,340 89,065
Investment Securities/Affiliated Investment Companies
Purchased.............................................. -- -- 77 --
Fund Shares Redeemed..................................... -- 600 2,410 7,602
Due to Advisor........................................... 11 227 1,178 408
Unrealized Loss on Foreign Currency Contracts............... -- -- -- --
Accrued Expenses and Other Liabilities...................... 7 38 408 438
-------------- -------------- -------------- --------------
Total Liabilities.................................... 18 865 218,413 97,513
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 36,351 $ 645,651 $ 5,442,507 $ 7,475,924
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$36,351; $645,651; $5,442,507; $7,475,924 and $13,787,695
and shares outstanding of 1,348,732, 26,498,693,
1,122,707,205, 697,878,969 and 716,729,711, respectively.. $ 26.95 $ 24.37 $ 4.85 $ 10.71
============== ============== ============== ==============
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 $ -- $ 3,483,483
============== ============== ============== ==============
Investments at Cost......................................... N/A N/A $ 5,386,352 $ 3,439,740
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ 29,468 $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 32,447 $ 613,661 $ 5,991,554 $ 6,823,080
Total Distributable Earnings (Loss)......................... 3,904 31,990 (549,047) 652,844
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 36,351 $ 645,651 $ 5,442,507 $ 7,475,924
============== ============== ============== ==============
DFA
INTERNATIONAL
SMALL CAP
VALUE PORTFOLIO*
----------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... --
Investments at Value (including $0, $0, $250,309, $85,952
and $1,187,138 of securities on loan, respectively)....... $ 13,542,654
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $214,316, $89,028 and
$948,086)................................................. 948,096
Segregated Cash for Futures Contracts....................... 4,260
Foreign Currencies at Value................................. 138,226
Cash........................................................ 12,464
Receivables:
Investment Securities/Affiliated Investment Companies
Sold................................................... 69,428
Dividends and Interest................................... 53,663
Securities Lending Income................................ 2,168
Fund Shares Sold......................................... 14,851
Futures Margin Variation................................. 1,306
Unrealized Gain on Foreign Currency Contracts............... 8
Prepaid Expenses and Other Assets........................... 98
--------------
Total Assets......................................... 14,787,222
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 948,108
Investment Securities/Affiliated Investment Companies
Purchased.............................................. 28,169
Fund Shares Redeemed..................................... 13,941
Due to Advisor........................................... 7,999
Unrealized Loss on Foreign Currency Contracts............... 5
Accrued Expenses and Other Liabilities...................... 1,305
--------------
Total Liabilities.................................... 999,527
--------------
NET ASSETS.................................................. $ 13,787,695
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$36,351; $645,651; $5,442,507; $7,475,924 and $13,787,695
and shares outstanding of 1,348,732, 26,498,693,
1,122,707,205, 697,878,969 and 716,729,711, respectively.. $ 19.24
==============
NUMBER OF SHARES AUTHORIZED................................. 4,600,000,000
==============
Investments in Affiliated Investment Companies at Cost...... $ --
==============
Investments at Cost......................................... $ 12,818,985
==============
Foreign Currencies at Cost.................................. $ 139,223
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 12,654,920
Total Distributable Earnings (Loss)......................... 1,132,775
--------------
NET ASSETS.................................................. $ 13,787,695
==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
139
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL
INTERNATIONAL HIGH RELATIVE WORLD EX U.S.
VECTOR EQUITY PROFITABILITY WORLD EX U.S. TARGETED VALUE
PORTFOLIO* PORTFOLIO* VALUE PORTFOLIO PORTFOLIO*
-------------- ------------- --------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... -- -- $ 240,245 --
Investments at Value (including $202,165, $13,865, $0 and
$8,169 of securities on loan, respectively)............... $ 2,427,889 $ 264,737 -- $ 459,030
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $166,425, $12,685, $0 and $4,659) 166,426 12,685 -- 4,659
Foreign Currencies at Value................................. 1,750 47 -- 2,951
Cash........................................................ 20,200 1,664 -- 5
Receivables:
Investment Securities Sold............................... 324 556 -- 866
Dividends, Interest and Tax Reclaims..................... 8,659 680 -- 1,370
Securities Lending Income................................ 357 4 -- 32
Fund Shares Sold......................................... 5,562 1,032 519 2,301
Unrealized Gain on Foreign Currency Contracts............... 8 1 -- 3
Prepaid Expenses and Other Assets........................... 33 18 17 31
-------------- ------------ -------------- --------------
Total Assets......................................... 2,631,208 281,424 240,781 471,248
-------------- ------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 166,426 12,685 -- 4,659
Investment Securities Purchased.......................... 16,065 1,451 -- 3,847
Fund Shares Redeemed..................................... 6,298 349 16 2,151
Due to Advisor........................................... 959 19 69 237
Line of Credit........................................... -- -- 15 126
Unrealized Loss on Foreign Currency Contracts............... 7 -- -- 3
Accrued Expenses and Other Liabilities...................... 236 52 13 70
-------------- ------------ -------------- --------------
Total Liabilities.................................... 189,991 14,556 113 11,093
-------------- ------------ -------------- --------------
NET ASSETS.................................................. $ 2,441,217 $ 266,868 $ 240,668 $ 460,155
============== ============ ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$2,441,217; $266,868; $240,668 and $460,155 and shares
outstanding of 207,967,168, 27,487,241, 21,561,655 and
36,761,052, respectively.................................. $ 11.74 $ 9.71 $ 11.16 $ 12.52
============== ============ ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 500,000,000 1,000,000,000 1,000,000,000
============== ============ ============== ==============
Investments in Affiliated Investment Companies at Cost...... $ -- $ -- $ 233,128 $ --
============== ============ ============== ==============
Investments at Cost......................................... $ 2,277,269 $ 288,453 N/A $ 478,019
============== ============ ============== ==============
Foreign Currencies at Cost.................................. $ 1,752 $ 47 $ -- $ 2,954
============== ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 2,211,833 $ 291,615 $ 229,249 $ 466,719
Total Distributable Earnings (Loss)......................... 229,384 (24,747) 11,419 (6,564)
-------------- ------------ -------------- --------------
NET ASSETS.................................................. $ 2,441,217 $ 266,868 $ 240,668 $ 460,155
============== ============ ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
SELECTIVELY
WORLD EX U.S. WORLD CORE HEDGED GLOBAL EMERGING
CORE EQUITY EQUITY EQUITY MARKETS
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... -- $ 741,137 $ 378,647 $ 5,406,696
Investments at Value (including $183,664, $0, $0 and $0 of
securities on loan, respectively)......................... $ 3,105,318 -- -- --
Temporary Cash Investments at Value & Cost.................. -- 521 -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $130,310, $0, $0 and $0)......... 130,312 -- -- --
Segregated Cash for Futures Contracts....................... 2,160 -- 1,068 --
Foreign Currencies at Value................................. 4,134 -- -- --
Cash........................................................ 56,476 -- 21,678 --
Receivables:
Investment Securities Sold............................... 237 -- -- --
Dividends, Interest and Tax Reclaims..................... 8,841 1 -- --
Securities Lending Income................................ 354 -- -- --
Fund Shares Sold......................................... 12,269 468 68 13,301
Futures Margin Variation................................. 465 -- 230 --
Unrealized Gain on Forward Currency Contracts............... -- -- 1,613 --
Unrealized Gain on Foreign Currency Contracts............... 2 -- -- --
Prepaid Expenses and Other Assets........................... 31 12 16 31
-------------- -------------- -------------- --------------
Total Assets......................................... 3,320,599 742,139 403,320 5,420,028
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 130,319 -- -- --
Investment Securities Purchased.......................... 165 265 -- --
Fund Shares Redeemed..................................... 59,069 279 79 24,088
Due to Advisor........................................... 933 39 18 1,492
Unrealized Loss on Forward Currency Contracts............... -- -- 11 --
Accrued Expenses and Other Liabilities...................... 322 44 17 260
-------------- -------------- -------------- --------------
Total Liabilities.................................... 190,808 627 125 25,840
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 3,129,791 $ 741,512 $ 403,195 $ 5,394,188
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$3,129,791; $741,512; $403,195 and $5,394,188 and shares
outstanding of 293,846,191, 48,142,081, 25,663,746 and
211,869,105, respectively. $ 10.65 $ 15.40 $ 15.71 $ 25.46
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 1,000,000,000 1,000,000,000 1,500,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at Cost...... $ -- $ 688,206 $ 327,991 N/A
============== ============== ============== ==============
Investments at Cost......................................... $ 3,142,866 $ -- $ -- N/A
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ 4,144 $ -- $ -- $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 3,147,864 $ 689,501 $ 340,895 $ 4,299,746
Total Distributable Earnings (Loss)......................... (18,073) 52,011 62,300 1,094,442
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 3,129,791 $ 741,512 $ 403,195 $ 5,394,188
============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
141
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING
EMERGING EMERGING MARKETS CORE
MARKETS SMALL MARKETS VALUE EQUITY
CAP PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... $ 6,302,852 $ 16,473,722 --
Investments at Value (including $0, $0 and $1,582,637 of
securities on loan, respectively)......................... -- -- $ 25,175,261
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0 and $733,669)............. -- -- 733,703
Segregated Cash for Futures Contracts....................... -- -- 5,950
Foreign Currencies at Value................................. -- -- 125,080
Cash........................................................ -- -- 20,677
Receivables:
Investment Securities/Affiliated Investment Companies
Sold................................................... -- -- 18,510
Dividends and Interest................................... -- -- 26,095
Securities Lending Income................................ -- -- 5,489
Fund Shares Sold......................................... 7,956 8,639 45,905
Futures Margin Variation................................. -- -- 1,273
Prepaid Expenses and Other Assets........................... 54 98 186
-------------- -------------- --------------
Total Assets......................................... 6,310,862 16,482,459 26,158,129
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... -- -- 733,740
Investment Securities/Affiliated Investment Companies
Purchased.............................................. -- -- 664
Fund Shares Redeemed..................................... 3,656 19,334 38,039
Due to Advisor........................................... 2,482 5,753 10,411
Accrued Expenses and Other Liabilities...................... 318 812 2,516
-------------- -------------- --------------
Total Liabilities.................................... 6,456 25,899 785,370
-------------- -------------- --------------
NET ASSETS.................................................. $ 6,304,406 $ 16,456,560 $ 25,372,759
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $25,150 and
$0 and shares outstanding of 0, 943,939 and 0,
respectively.............................................. N/A $ 26.64 N/A
============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. N/A 200,000,000 N/A
============== ============== ==============
Institutional Class Shares -- based on net assets of
$6,304,406; $16,431,410 and $25,372,759 and shares
outstanding of 336,783,190, 612,785,704 and
1,339,249,387, respectively............................... $ 18.72 $ 26.81 $ 18.95
============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 3,000,000,000 5,000,000,000
============== ============== ==============
Investments at Cost......................................... N/A N/A $ 24,458,649
============== ============== ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ 125,773
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 6,620,965 $ 17,284,916 $ 25,419,661
Total Distributable Earnings (Loss)......................... (316,559) (828,356) (46,902)
-------------- -------------- --------------
NET ASSETS.................................................. $ 6,304,406 $ 16,456,560 $ 25,372,759
============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
142
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018 (AMOUNTS IN THOUSANDS)
ENHANCED U.S. U.S. LARGE CAP
LARGE COMPANY EQUITY U.S. LARGE CAP
PORTFOLIO# PORTFOLIO# VALUE PORTFOLIO*
------------- -------------- ----------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0
and $0, respectively)......................................... -- -- $ 567,863
Interest........................................................ -- -- 3,657
Income from Securities Lending.................................. -- -- 2,184
-------- ------- -----------
Expenses Allocated from Affiliated Investment Companies......... -- -- (27,812)
-------- ------- -----------
Total Net Investment Income Received from
Affiliated Investment Companies........................ -- -- 545,892
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $2, $0
and $111, respectively)....................................... -- $25,417 --
Interest........................................................ $ 7,296 -- --
Income from Securities Lending.................................. 19 183 --
-------- ------- -----------
Total Fund Investment Income............................. 7,315 25,600 --
-------- ------- -----------
FUND EXPENSES
Investment Management Fees...................................... 701 2,118 63,844
Accounting & Transfer Agent Fees................................ 30 104 1,024
S&P 500(R) Fees................................................. 8 -- --
Custodian Fees.................................................. 8 21 --
Shareholder Servicing Fees......................................
Class R1 Shares............................................. -- -- --
Class R2 Shares............................................. -- -- --
Filing Fees..................................................... 33 67 573
Shareholders' Reports........................................... 16 31 593
Directors'/Trustees' Fees & Expenses............................ 2 5 102
Professional Fees............................................... 6 20 88
Other........................................................... 9 42 121
-------- ------- -----------
Total Fund Expenses...................................... 813 2,408 66,345
-------- ------- -----------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)..................... (287) -- (25,540)
-------- ------- -----------
Net Expenses.................................................... 526 2,408 40,805
-------- ------- -----------
NET INVESTMENT INCOME (LOSS).................................... 6,789 23,192 505,087
-------- ------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:....................................
Investment Securities Sold**................................ (2,528) 4,178 --
Affiliated Investment Companies Shares Sold................. (1) (5) --
Transactions Allocated from Affiliated Investment
Company**................................................. -- -- 1,280,400
Futures..................................................... 51,936 21 --
Foreign Currency Transactions............................... (33) -- --
Forward Currency Contracts.................................. 2,456 -- --
In-kind redemptions......................................... -- -- --
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. (3,976) 54,720 --
Affiliated Investment Companies Shares...................... -- 2 --
Transactions Allocated from Affiliated Investment
Company................................................... -- -- (1,151,639)
Futures..................................................... (34,076) -- --
Translation of Foreign Currency Denominated Amounts......... 3 -- --
Forward Currency Contracts.................................. (448) -- --
-------- ------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 13,333 58,916 128,761
-------- ------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $ 20,122 $82,108 $ 633,848
======== ======= ===========
U.S. TARGETED
VALUE PORTFOLIO#
----------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0
and $0, respectively)......................................... --
Interest........................................................ --
Income from Securities Lending.................................. --
---------
Expenses Allocated from Affiliated Investment Companies......... --
---------
Total Net Investment Income Received from
Affiliated Investment Companies........................ --
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $2, $0
and $111, respectively)....................................... $ 166,033
Interest........................................................ --
Income from Securities Lending.................................. 9,237
---------
Total Fund Investment Income............................. 175,270
---------
FUND EXPENSES
Investment Management Fees...................................... 39,213
Accounting & Transfer Agent Fees................................ 690
S&P 500(R) Fees................................................. --
Custodian Fees.................................................. 141
Shareholder Servicing Fees......................................
Class R1 Shares............................................. 56
Class R2 Shares............................................. 400
Filing Fees..................................................... 232
Shareholders' Reports........................................... 402
Directors'/Trustees' Fees & Expenses............................ 45
Professional Fees............................................... 157
Other........................................................... 271
---------
Total Fund Expenses...................................... 41,607
---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)..................... --
---------
Net Expenses.................................................... 41,607
---------
NET INVESTMENT INCOME (LOSS).................................... 133,663
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:....................................
Investment Securities Sold**................................ 450,081
Affiliated Investment Companies Shares Sold................. (120)
Transactions Allocated from Affiliated Investment
Company**................................................. --
Futures..................................................... 10,338
Foreign Currency Transactions............................... (10)
Forward Currency Contracts.................................. --
In-kind redemptions......................................... 16,160
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. (761,255)
Affiliated Investment Companies Shares...................... 2
Transactions Allocated from Affiliated Investment
Company................................................... --
Futures..................................................... (3,019)
Translation of Foreign Currency Denominated Amounts......... --
Forward Currency Contracts.................................. --
---------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (287,823)
---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $(154,160)
=========
--------
** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0,
respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
143
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
U.S. CORE U.S. CORE U.S. VECTOR
U.S. SMALL CAP EQUITY 1 EQUITY 2 EQUITY
VALUE PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
---------------- ---------- ---------- -----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $153, $57,
$66 and $21, respectively)............................. $ 228,215 $ 392,852 $421,753 $ 78,544
Income from Securities Lending........................... 10,449 9,350 11,056 3,143
----------- ---------- -------- ---------
Total Investment Income........................... 238,664 402,202 432,809 81,687
----------- ---------- -------- ---------
EXPENSES
Investment Management Fees............................... 78,440 39,324 49,564 14,700
Accounting & Transfer Agent Fees......................... 1,155 1,375 1,559 350
Custodian Fees........................................... 176 248 270 62
Filing Fees.............................................. 299 569 574 92
Shareholders' Reports.................................... 518 369 411 132
Directors'/Trustees' Fees & Expenses..................... 62 89 96 21
Professional Fees........................................ 220 318 344 71
Other.................................................... 377 545 584 125
----------- ---------- -------- ---------
Total Expenses.................................... 81,247 42,837 53,402 15,553
----------- ---------- -------- ---------
Net Expenses............................................. 81,247 42,837 53,402 15,553
----------- ---------- -------- ---------
NET INVESTMENT INCOME (LOSS)............................. 157,417 359,365 379,407 66,134
----------- ---------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................... 833,947 159,334 287,280 112,491
Affiliated Investment Companies Shares Sold.......... (150) (157) (115) (52)
Futures.............................................. 8,130 22,597 26,827 1,014
Foreign Currency Transactions........................ (5) (2) (4) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... (1,207,909) 582,991 218,021 (137,731)
Affiliated Investment Companies Shares............... (29) 1 (15) (17)
Futures.............................................. (7,825) (12,157) (16,600) 631
----------- ---------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS).................. (373,841) 752,607 515,394 (23,664)
----------- ---------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $ (216,424) $1,111,972 $894,801 $ 42,470
=========== ========== ======== =========
--------
** 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.
144
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
U.S. HIGH DFA REAL
RELATIVE ESTATE
U.S. SMALL CAP U.S. MICRO CAP PROFITABILITY SECURITIES
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
-------------- -------------- ------------- ----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $86, $9, $0,
$0 and $13,673, respectively)............................. $ 237,793 $ 78,029 $ 7,503 $ 414,188
Income from Securities Lending.............................. 19,160 6,800 57 1,196
--------- --------- ------- ---------
Total Investment Income.............................. 256,953 84,829 7,560 415,384
--------- --------- ------- ---------
FUND EXPENSES
Investment Management Fees.................................. 63,276 33,637 826 14,581
Accounting & Transfer Agent Fees............................ 1,197 578 46 573
Custodian Fees.............................................. 212 89 6 87
Filing Fees................................................. 313 145 177 223
Shareholders' Reports....................................... 456 170 17 336
Directors'/Trustees' Fees & Expenses........................ 70 26 1 35
Professional Fees........................................... 253 94 3 124
Organizational & Offering Costs............................. -- -- 20 --
Other....................................................... 432 162 10 203
--------- --------- ------- ---------
Total Fund Expenses.................................. 66,209 34,901 1,106 16,162
--------- --------- ------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees...............................................
Recovered by Advisor (Note C)............................... -- -- (74) (724)
Fees Paid Indirectly (Note C)............................... -- -- -- --
--------- --------- ------- ---------
Net Expenses................................................ 66,209 34,901 1,032 15,438
--------- --------- ------- ---------
NET INVESTMENT INCOME (LOSS)................................ 190,744 49,928 6,528 399,946
--------- --------- ------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:................................
Investment Securities Sold**............................ 630,926 264,588 (2,077) (46,559)
Affiliated Investment Companies Shares Sold............. (358) (61) (3) (37)
Futures................................................. 14,477 7,709 59 8,922
Foreign Currency Transactions........................... (6) (3) -- --
In-kind redemptions..................................... -- -- -- 80,654
Change in Unrealized Appreciation (Depreciation) of:........
Investment Securities and Foreign Currency.............. (714,753) (242,170) 35 (196,570)
Affiliated Investment Companies Shares.................. (18) (7) 1 (2)
Futures................................................. (5,817) (3,647) -- (2,811)
Translation of Foreign Currency Denominated Amounts..... -- -- -- --
--------- --------- ------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... (75,549) 26,409 (1,985) (156,403)
--------- --------- ------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $ 115,195 $ 76,337 $ 4,543 $ 243,543
========= ========= ======= =========
LARGE CAP
INTERNATIONAL
PORTFOLIO#
-------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $86, $9, $0,
$0 and $13,673, respectively)............................. $ 143,592
Income from Securities Lending.............................. 3,032
---------
Total Investment Income.............................. 146,624
---------
FUND EXPENSES
Investment Management Fees.................................. 9,778
Accounting & Transfer Agent Fees............................ 423
Custodian Fees.............................................. 403
Filing Fees................................................. 104
Shareholders' Reports....................................... 175
Directors'/Trustees' Fees & Expenses........................ 20
Professional Fees........................................... 84
Organizational & Offering Costs............................. --
Other....................................................... 164
---------
Total Fund Expenses.................................. 11,151
---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees...............................................
Recovered by Advisor (Note C)............................... 40
Fees Paid Indirectly (Note C)............................... (391)
---------
Net Expenses................................................ 10,800
---------
NET INVESTMENT INCOME (LOSS)................................ 135,824
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:................................
Investment Securities Sold**............................ 9,278
Affiliated Investment Companies Shares Sold............. (31)
Futures................................................. 5,207
Foreign Currency Transactions........................... (1,098)
In-kind redemptions..................................... --
Change in Unrealized Appreciation (Depreciation) of:........
Investment Securities and Foreign Currency.............. (492,554)
Affiliated Investment Companies Shares.................. 35
Futures................................................. (3,535)
Translation of Foreign Currency Denominated Amounts..... (201)
---------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... (482,899)
---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $(347,075)
=========
--------
** 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.
145
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
INTERNATIONAL
INTERNATIONAL SMALL GLOBAL SMALL JAPANESE SMALL
CORE EQUITY COMPANY COMPANY COMPANY
PORTFOLIO# PORTFOLIO* PORTFOLIO* PORTFOLIO*
------------- ------------- ------------ --------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $0, $29,969,
$30, $1,272 and $214, respectively)........................... -- $ 337,718 $ 299 $ 11,478
Income from Securities Lending.................................. -- 41,042 49 2,312
Expenses Allocated from Affiliated Investment Companies......... -- (16,192) (18) (821)
----------- ----------- ------- ---------
Income Distributions Received from Affiliated Investment
Companies........................................................ -- -- 133 --
----------- ----------- ------- ---------
Total Net Investment Income Received from
Affiliated Investment Companies........................ -- 362,568 463 12,969
----------- ----------- ------- ---------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $74,389, $0,
$0, $0 and $0, respectively).................................. $ 796,167 -- -- --
Income from Securities Lending.................................. 39,593 -- -- --
----------- ----------- ------- ---------
Total Fund Investment Income............................. 835,760 -- -- --
----------- ----------- ------- ---------
FUND EXPENSES
Investment Management Fees...................................... 76,163 56,043 114 3,408
Accounting & Transfer Agent Fees................................ 1,885 347 6 10
Custodian Fees.................................................. 2,633 4 5 --
Filing Fees..................................................... 1,084 266 24 27
Shareholders' Reports........................................... 660 473 5 11
Directors'/Trustees' Fees & Expenses............................ 108 57 -- 3
Professional Fees............................................... 471 84 -- 2
Organizational & Offering Costs................................. -- -- 7 --
Other........................................................... 916 95 3 4
----------- ----------- ------- ---------
Total Fund Expenses...................................... 83,920 57,369 164 3,465
----------- ----------- ------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees...................................................
Recovered by Advisor (Note C)................................... 743 -- (104) (682)
Fees Paid Indirectly (Note C)................................... (2,570) -- -- --
----------- ----------- ------- ---------
Net Expenses.................................................... 82,093 57,369 60 2,783
----------- ----------- ------- ---------
NET INVESTMENT INCOME (LOSS).................................... 753,667 305,199 403 10,186
----------- ----------- ------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities.................................................... -- -- 333 --
Net Realized Gain (Loss) on:....................................
Investment Securities Sold**................................ 37,602 -- -- --
Affiliated Investment Companies Shares Sold................. (83) -- (93) --
Transactions Allocated from Affiliated Investment
Company**................................................. -- 549,889 (602) 36,946
Futures..................................................... 42,294 17,382 15 --
Foreign Currency Transactions............................... (6,317) -- -- --
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. (3,538,139) -- -- --
Affiliated Investment Companies Shares...................... (17) -- (772) --
Transactions Allocated from Affiliated Investment
Company................................................... -- (2,214,609) (1,701) (101,251)
Futures..................................................... (17,544) (9,491) -- --
Translation of Foreign Currency Denominated Amounts......... (811) -- -- --
----------- ----------- ------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (3,483,015) (1,656,829) (2,820) (64,305)
----------- ----------- ------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $(2,729,348) $(1,351,630) $(2,417) $ (54,119)
=========== =========== ======= =========
ASIA PACIFIC
SMALL
COMPANY
PORTFOLIO*
------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $0, $29,969,
$30, $1,272 and $214, respectively)........................... $ 13,494
Income from Securities Lending.................................. 1,445
Expenses Allocated from Affiliated Investment Companies......... (452)
--------
Income Distributions Received from Affiliated Investment
Companies........................................................ --
--------
Total Net Investment Income Received from
Affiliated Investment Companies........................ 14,487
--------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $74,389, $0,
$0, $0 and $0, respectively).................................. --
Income from Securities Lending.................................. --
--------
Total Fund Investment Income............................. --
--------
FUND EXPENSES
Investment Management Fees...................................... 1,818
Accounting & Transfer Agent Fees................................ 9
Custodian Fees.................................................. --
Filing Fees..................................................... 30
Shareholders' Reports........................................... 8
Directors'/Trustees' Fees & Expenses............................ 1
Professional Fees............................................... 1
Organizational & Offering Costs................................. --
Other........................................................... 3
--------
Total Fund Expenses...................................... 1,870
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees...................................................
Recovered by Advisor (Note C)................................... (364)
Fees Paid Indirectly (Note C)................................... --
--------
Net Expenses.................................................... 1,506
--------
NET INVESTMENT INCOME (LOSS).................................... 12,981
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities.................................................... --
Net Realized Gain (Loss) on:....................................
Investment Securities Sold**................................ --
Affiliated Investment Companies Shares Sold................. --
Transactions Allocated from Affiliated Investment
Company**................................................. (13,453)
Futures..................................................... --
Foreign Currency Transactions............................... --
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. --
Affiliated Investment Companies Shares...................... --
Transactions Allocated from Affiliated Investment
Company................................................... (33,087)
Futures..................................................... --
Translation of Foreign Currency Denominated Amounts......... --
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (46,540)
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $(33,559)
========
--------
** Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
146
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
UNITED CONTINENTAL
KINGDOM SMALL SMALL
COMPANY COMPANY
PORTFOLIO* PORTFOLIO*
------------- -----------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $2, $2,630,
$0, $0 and $0, respectively).................................. $ 1,397 $ 17,159
Income from Securities Lending.................................. 20 2,272
Expenses Allocated from Affiliated Investment Companies......... (47) (836)
------- ---------
Income Distributions Received from Affiliated Investment
Companies........................................................ -- --
------- ---------
Total Net Investment Income Received from
Affiliated Investment Companies........................ 1,370 18,595
------- ---------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0,
$31,621, $0 and $35,855, respectively)........................ -- --
Income from Securities Lending.................................. -- --
------- ---------
Total Fund Investment Income............................. -- --
------- ---------
FUND EXPENSES
Investment Management Fees...................................... 213 3,607
Accounting & Transfer Agent Fees................................ 5 13
Custodian Fees.................................................. -- --
Filing Fees..................................................... 18 78
Shareholders' Reports........................................... 514
Directors'/Trustees' Fees & Expenses............................ -- 3
Professional Fees............................................... 14
Other........................................................... 18
------- ---------
Total Fund Expenses...................................... 243 3,727
------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees...................................................
Recovered by Advisor (Note C)................................... (43) (722)
Fees Paid Indirectly (Note C)................................... -- --
------- ---------
Net Expenses.................................................... 200 3,005
------- ---------
NET INVESTMENT INCOME (LOSS).................................... 1,170 15,590
------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities.................................................... -- --
Net Realized Gain (Loss) on:....................................
Investment Securities Sold**................................ -- --
Affiliated Investment Companies Shares Sold................. -- --
Transactions Allocated from Affiliated Investment
Company**................................................. 2,228 19,862
Futures..................................................... -- --
Foreign Currency Transactions............................... -- --
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. -- --
Affiliated Investment Companies Shares...................... -- --
Transactions Allocated from Affiliated Investment
Company................................................... (7,070) (119,115)
Futures..................................................... -- --
Translation of Foreign Currency Denominated Amounts......... -- --
------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (4,842) (99,253)
------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $(3,672) $ (83,663)
======= =========
DFA
INTERNATIONAL DFA GLOBAL DFA
REAL ESTATE REAL ESTATE INTERNATIONAL
SECURITIES SECURITIES SMALL CAP
PORTFOLIO# PORTFOLIO# VALUE PORTFOLIO#
------------- ---------- ----------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $2, $2,630,
$0, $0 and $0, respectively).................................. -- -- --
Income from Securities Lending.................................. -- -- --
Expenses Allocated from Affiliated Investment Companies......... -- -- --
--------- --------- -----------
Income Distributions Received from Affiliated Investment
Companies........................................................ -- $ 178,050 --
--------- --------- -----------
Total Net Investment Income Received from
Affiliated Investment Companies........................ -- 178,050 --
--------- --------- -----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0,
$31,621, $0 and $35,855, respectively)........................ $ 256,929 148,544 $ 410,879
Income from Securities Lending.................................. 4,234 529 29,094
--------- --------- -----------
Total Fund Investment Income............................. 261,163 149,073 439,973
--------- --------- -----------
FUND EXPENSES
Investment Management Fees...................................... 14,397 14,467 103,208
Accounting & Transfer Agent Fees................................ 403 379 1,183
Custodian Fees.................................................. 497 19 1,862
Filing Fees..................................................... 146 259 304
Shareholders' Reports........................................... 151 372 464
Directors'/Trustees' Fees & Expenses............................ 24 29 68
Professional Fees............................................... 105 58 288
Other........................................................... 181 61 553
--------- --------- -----------
Total Fund Expenses...................................... 15,904 15,644 107,930
--------- --------- -----------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees...................................................
Recovered by Advisor (Note C)................................... -- (8,006) --
Fees Paid Indirectly (Note C)................................... (488) -- (1,844)
--------- --------- -----------
Net Expenses.................................................... 15,416 7,638 106,086
--------- --------- -----------
NET INVESTMENT INCOME (LOSS).................................... 245,747 319,485 333,887
--------- --------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities.................................................... -- 5,030 --
Net Realized Gain (Loss) on:....................................
Investment Securities Sold**................................ (55,861) (30,218) 489,396
Affiliated Investment Companies Shares Sold................. (50) 13,679 (64)
Transactions Allocated from Affiliated Investment
Company**................................................. -- -- --
Futures..................................................... 6,053 -- 19,832
Foreign Currency Transactions............................... 3,300 -- (11,795)
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. (212,037) (6,013) (2,949,087)
Affiliated Investment Companies Shares...................... 6 (177,027) (36)
Transactions Allocated from Affiliated Investment
Company................................................... -- -- --
Futures..................................................... (1,430) -- (7,629)
Translation of Foreign Currency Denominated Amounts......... (239) -- (512)
--------- --------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (260,258) (194,549) (2,459,895)
--------- --------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $ (14,511) $ 124,936 $(2,126,008)
========= ========= ===========
--------
** Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
147
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
INTERNATIONAL
INTERNATIONAL HIGH RELATIVE WORLD EX U.S.
VECTOR EQUITY PROFITABILITY WORLD EX U.S. TARGETED VALUE
PORTFOLIO# PORTFOLIO# VALUE PORTFOLIO* PORTFOLIO#
------------- ------------- ---------------- --------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $0, $0, $755
and $0, respectively)......................................... -- -- $ 7,081 --
Income from Securities Lending.................................. -- -- 200 --
Expenses Allocated from Affiliated Investment Companies......... -- -- (420) --
--------- -------- -------- --------
Income Distributions Received from Affiliated Investment
Companies........................................................ -- -- 595 --
--------- -------- -------- --------
Total Net Investment Income Received from
Affiliated Investment Companies........................ -- -- 7,456 --
--------- -------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $6,717,
$463, $0 and $1,249, respectively)............................ $ 71,315 $ 4,933 -- $ 13,326
Income from Securities Lending.................................. 4,552 75 -- 401
--------- -------- -------- --------
Total Fund Investment Income............................. 75,867 5,008 -- 13,727
--------- -------- -------- --------
FUND EXPENSES
Investment Management Fees...................................... 11,845 458 1,170 2,917
Accounting & Transfer Agent Fees................................ 224 29 10 44
Custodian Fees.................................................. 309 40 -- 209
Filing Fees..................................................... 95 83 28 52
Shareholders' Reports........................................... 101 15 8 19
Directors'/Trustees' Fees & Expenses............................ 10 -- 1 2
Professional Fees............................................... 50 2 5 35
Organizational & Offering Costs................................. 19 -- -- --
Other........................................................... 98 6 1 23
--------- -------- -------- --------
Total Fund Expenses...................................... 12,732 652 1,223 3,301
--------- -------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)..................... -- (10) (543) --
Fees Paid Indirectly (Note C)................................... (97) (41) -- (27)
--------- -------- -------- --------
Net Expenses.................................................... 12,635 601 680 3,274
--------- -------- -------- --------
NET INVESTMENT INCOME (LOSS).................................... 63,232 4,407 6,776 10,453
--------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities.................................................... -- -- 772 --
Net Realized Gain (Loss) on:....................................
Investment Securities Sold**................................ 81,370 (1,478) -- 14,758
Affiliated Investment Companies Shares Sold................. (4) -- (152) (1)
Transactions Allocated from Affiliated Investment
Company**................................................. -- -- 4,866 --
Futures..................................................... (84) 167 -- 22
Foreign Currency Transactions............................... (430) 35 -- (268)
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. (401,480) (27,436) -- (98,264)
Affiliated Investment Companies Shares...................... (6) -- (4,644) --
Transactions Allocated from Affiliated Investment
Company................................................... -- -- (30,618) --
Translation of Foreign Currency Denominated Amounts......... (65) (7) -- (8)
--------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (320,699) (28,719) (29,776) (83,761)
--------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $(257,467) $(24,312) $(23,000) $(73,308)
========= ======== ======== ========
--------
** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0,
respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
148
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
SELECTIVELY
WORLDEXU.S. WORLD CORE HEDGED GLOBAL EMERGING
CORE EQUITY EQUITY EQUITY MARKETS
PORTFOLIO# PORTFOLIO PORTFOLIO PORTFOLIO*
----------- ---------- ------------- ----------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0
and $18,748, respectively).................................... -- -- -- $ 150,383
Interest........................................................ -- -- -- 55
Income from Securities Lending.................................. -- -- -- 5,599
Expenses Allocated from Affiliated Investment Companies......... -- -- -- (8,147)
--------- -------- -------- ---------
Income Distributions Received from Affiliated Investment
Companies........................................................ -- $ 14,135 $ 8,077 --
--------- -------- -------- ---------
Total Net Investment Income Received from
Affiliated Investment Companies........................ -- 14,135 8,077 147,890
--------- -------- -------- ---------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $8,971, $0,
$0 and $0, respectively)...................................... $ 89,282 -- -- --
Income from Securities Lending.................................. 4,633 -- -- --
--------- -------- -------- ---------
Total Fund Investment Income............................. 93,915 -- -- --
--------- -------- -------- ---------
FUND EXPENSES
Investment Management Fees...................................... 10,222 2,153 1,260 25,843
Accounting & Transfer Agent Fees................................ 248 16 17 109
Custodian Fees.................................................. 585 1 2 --
Filing Fees..................................................... 175 67 35 84
Shareholders' Reports........................................... 108 13 13 212
Directors'/Trustees' Fees & Expenses............................ 12 3 1 26
Professional Fees............................................... 79 6 3 24
Other........................................................... 112 8 2 33
--------- -------- -------- ---------
Total Fund Expenses...................................... 11,541 2,267 1,333 26,331
--------- -------- -------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor..............................
(Note C)........................................................ 917 (1,685) (1,098) (6,154)
Fees Paid Indirectly (Note C)................................... (244) -- -- --
--------- -------- -------- ---------
Net Expenses.................................................... 12,214 582 235 20,177
--------- -------- -------- ---------
NET INVESTMENT INCOME (LOSS).................................... 81,701 13,553 7,842 127,713
--------- -------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities.................................................... -- 1,843 1,607 --
Net Realized Gain (Loss) on:....................................
Investment Securities Sold**................................ 21,093 -- 1 --
Affiliated Investment Companies Shares Sold................. (7) 1,952 2,046 --
Transactions Allocated from Affiliated Investment
Company**................................................. -- -- -- 76,077
Futures..................................................... 1,743 145 3,877 --
Foreign Currency Transactions............................... (951) -- -- --
Forward Currency Contracts.................................. -- -- 4,871 --
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. (472,935) -- 13 --
Affiliated Investment Companies Shares...................... (1) (39,888) (27,187) --
Transactions Allocated from Affiliated Investment
Company................................................... -- -- -- (937,174)
Futures..................................................... -- -- (2,628) --
Translation of Foreign Currency Denominated Amounts......... (79) -- -- --
Forward Currency Contracts.................................. -- -- 178 --
--------- -------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (451,137) (35,948) (17,222) (861,097)
--------- -------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $(369,436) $(22,395) $ (9,380) $(733,384)
========= ======== ======== =========
--------
** Net of foreign capital gain taxes withheld of $1, $0, $0 and $0,
respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
149
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
EMERGING
EMERGING EMERGING MARKETS CORE
MARKETS SMALL MARKETS VALUE EQUITY
CAP PORTFOLIO* PORTFOLIO* PORTFOLIO#
-------------- ----------- ------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $22,185,
$71,492 and $0, respectively)................................. $ 169,316 $ 529,291 --
Interest........................................................ 15 135 --
Income from Securities Lending.................................. 55,191 26,692 --
----------- ----------- -----------
Expenses Allocated from Affiliated Investment Companies......... (17,877) (25,738) --
----------- ----------- -----------
Total Net Investment Income Received from
Affiliated Investment Companies........................ 206,645 530,380 --
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0 and
$96,155, respectively)........................................ -- -- $ 713,096
Income from Securities Lending.................................. -- -- 73,321
----------- ----------- -----------
Total Fund Investment Income............................. -- -- 786,417
----------- ----------- -----------
FUND EXPENSES
Investment Management Fees...................................... 48,514 95,399 134,053
Accounting & Transfer Agent Fees................................ 216 205 1,905
Custodian Fees.................................................. -- -- 8,364
Shareholder Servicing Fees Class R2 Shares...................... --74 --
Filing Fees..................................................... 146 128 720
Shareholders' Reports........................................... 180 362 777
Directors'/Trustees' Fees & Expenses............................ 31 81 115
Professional Fees............................................... 30 77 598
Other........................................................... 37 98 903
----------- ----------- -----------
Total Fund Expenses...................................... 49,154 96,424 147,435
----------- ----------- -----------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)..................... (14,930) -- 1,257
Fees Waived, (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C) Class R2
Shares........................................................ -- (29) --
Institutional Class Shares.................................. -- (19,054) --
Fees Paid Indirectly (Note C)................................... -- -- (2,940)
----------- ----------- -----------
Net Expenses.................................................... 34,224 77,341 145,752
----------- ----------- -----------
NET INVESTMENT INCOME (LOSS).................................... 172,421 453,039 640,665
----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ -- -- 31,925
Affiliated Investment Companies Shares Sold................. -- -- (73)
Transactions Allocated from Affiliated Investment
Company**................................................. 185,571 304,582 --
Futures..................................................... -- -- 23,201
Foreign Currency Transactions............................... -- -- (8,571)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- -- (4,701,470)
Affiliated Investment Companies Shares...................... -- -- (27)
Transactions Allocated from Affiliated Investment
Company................................................... (1,598,746) (2,444,307) --
Futures..................................................... -- -- (14,163)
Translation of Foreign Currency Denominated Amounts......... -- -- (112)
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (1,413,175) (2,139,725) (4,669,290)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $(1,240,754) $(1,686,686) $(4,028,625)
=========== =========== ===========
--------
** Net of foreign capital gain taxes withheld of $0, $144 and $5, respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
150
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP EQUITY
COMPANY PORTFOLIO PORTFOLIO
------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
--------- -------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 6,789 $ 3,676 $ 23,192 $ 18,142
Net Realized Gain (Loss) on:....................................
Investment Securities Sold/*,** /........................... (2,528) (319) 4,178 273
Affiliated Investment Companies Shares Sold................. (1) 1 (5) --
Transactions Allocated from Affiliated Investment
Company*,**............................................... -- -- -- --
Futures..................................................... 51,936 39,159 21 9
Foreign Currency Transactions............................... (33) (11) -- --
Forward Currency Contracts.................................. 2,456 (132) -- --
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. (3,976) (1,062) 54,720 200,016
Affiliated Investment Companies Shares...................... -- (1) 2 (7)
Transactions Allocated from Affiliated Investment
Company................................................... -- -- -- --
Futures..................................................... (34,076) 14,290 -- --
Translation of Foreign Currency Denominated Amounts......... 3(9) -- --
Forward Currency Contracts.................................. (448) 896 -- --
--------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 20,122 56,488 82,108 218,433
--------- -------- ---------- ----------
Distributions:/^ /
Institutional Class Shares.................................. (55,242) (9,312) (22,158) (18,564)
--------- -------- ---------- ----------
Total Distributions...................................... (55,242) (9,312) (22,158) (18,564)
--------- -------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................................... 104,340 101,630 400,167 343,508
Shares Issued in Lieu of Cash Distributions................. 55,182 8,734 20,444 17,598
Shares Redeemed............................................. (119,686) (73,606) (236,226) (199,415)
--------- -------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 39,836 36,758 184,385 161,691
--------- -------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 4,716 83,934 244,335 361,560
NET ASSETS
Beginning of Year............................................... 322,347 238,413 1,212,883 851,323
--------- -------- ---------- ----------
End of Year..................................................... $ 327,063 $322,347 $1,457,218 $1,212,883
========= ======== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 7,678 7,516 23,452 23,434
Shares Issued in Lieu of Cash Distributions..................... 4,245 681 1,202 1,194
Shares Redeemed................................................. (8,983) (5,541) (13,769) (13,683)
--------- -------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 2,940 2,656 10,885 10,945
========= ======== ========== ==========
U.S. LARGE CAP VALUE
PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 505,087 $ 427,035
Net Realized Gain (Loss) on:....................................
Investment Securities Sold/*,** /........................... -- 1,154,160
Affiliated Investment Companies Shares Sold................. -- --
Transactions Allocated from Affiliated Investment
Company*,**............................................... 1,280,400 --
Futures..................................................... -- 18,720
Foreign Currency Transactions............................... -- --
Forward Currency Contracts.................................. -- --
Change in Unrealized Appreciation (Depreciation) of:............
Investment Securities and Foreign Currency.................. -- 2,764,575
Affiliated Investment Companies Shares...................... -- --
Transactions Allocated from Affiliated Investment
Company................................................... (1,151,639) --
Futures..................................................... -- 10,896
Translation of Foreign Currency Denominated Amounts......... -- --
Forward Currency Contracts.................................. -- --
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 633,848 4,375,386
----------- -----------
Distributions:/^ /
Institutional Class Shares.................................. (1,599,355) (849,873)
----------- -----------
Total Distributions...................................... (1,599,355) (849,873)
----------- -----------
Capital Share Transactions (1):
Shares Issued............................................... 5,451,856 5,277,113
Shares Issued in Lieu of Cash Distributions................. 1,507,556 793,913
Shares Redeemed............................................. (4,458,440) (3,536,921)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 2,500,972 2,534,105
----------- -----------
Total Increase (Decrease) in Net Assets.................. 1,535,465 6,059,618
NET ASSETS
Beginning of Year............................................... 23,732,871 17,673,253
----------- -----------
End of Year..................................................... $25,268,336 $23,732,871
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 139,106 144,495
Shares Issued in Lieu of Cash Distributions..................... 39,063 22,018
Shares Redeemed................................................. (113,759) (97,162)
----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 64,410 69,351
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $ 0 and $ 0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $ 0 and $ 0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
151
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. TARGETED VALUE U.S. SMALL CAP VALUE
PORTFOLIO PORTFOLIO
------------------------ ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 133,663 $ 109,197 $ 157,417 $ 118,233
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 450,081 454,563 833,947 690,721
Affiliated Investment Companies Shares Sold................. (120) (1) (150) 22
Futures..................................................... 10,338 17,659 8,130 26,310
Foreign Currency Transactions............................... (10) 6 (5) --
In-Kind Redemptions......................................... 16,160 -- -- 79,386
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (761,255) 1,335,548 (1,207,909) 2,156,333
Affiliated Investment Companies Shares...................... 2 (188) (29) (216)
Futures..................................................... (3,019) 2,939 (7,825) 9,284
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (154,160) 1,919,723 (216,424) 3,080,073
----------- ----------- ----------- -----------
Distributions:/^ /
Class R1 Shares................................................. (2,923) (1,891) -- --
Class R2 Shares................................................. (7,940) (7,083) -- --
Institutional Class Shares...................................... (575,420) (394,532) (834,889) (647,124)
----------- ----------- ----------- -----------
Total Distributions...................................... (586,283) (403,506) (834,889) (647,124)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 2,212,541 3,081,447 2,623,124 2,978,426
Shares Issued in Lieu of Cash Distributions..................... 552,460 373,214 765,814 585,631
Shares Redeemed................................................. (2,301,827) (2,298,736) (2,770,877) (3,444,324)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 463,174 1,155,925 618,061 119,733
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets.................. (277,269) 2,672,142 (433,252) 2,552,682
NET ASSETS
Beginning of Year............................................... 10,740,431 8,068,289 15,165,867 12,613,185
----------- ----------- ----------- -----------
End of Year..................................................... $10,463,162 $10,740,431 $14,732,615 $15,165,867
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 87,535 128,009 67,506 80,463
Shares Issued in Lieu of Cash Distributions..................... 22,442 15,383 20,311 15,504
Shares Redeemed................................................. (90,819) (95,985) (71,140) (92,936)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 19,158 47,407 16,677 3,031
=========== =========== =========== ===========
U.S. CORE EQUITY 1
PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 359,365 $ 299,067
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 159,334 96,159
Affiliated Investment Companies Shares Sold................. (157) (35)
Futures..................................................... 22,597 15,613
Foreign Currency Transactions............................... (2) 3
In-Kind Redemptions......................................... -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 582,991 3,505,095
Affiliated Investment Companies Shares...................... 1 (188)
Futures..................................................... (12,157) 10,034
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 1,111,972 3,925,748
----------- -----------
Distributions:/^ /
Class R1 Shares................................................. -- --
Class R2 Shares................................................. -- --
Institutional Class Shares...................................... (460,863) (382,049)
----------- -----------
Total Distributions...................................... (460,863) (382,049)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 5,010,981 4,637,048
Shares Issued in Lieu of Cash Distributions..................... 450,061 368,386
Shares Redeemed................................................. (3,245,167) (2,746,550)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 2,215,875 2,258,884
----------- -----------
Total Increase (Decrease) in Net Assets.................. 2,866,984 5,802,583
NET ASSETS
Beginning of Year............................................... 20,762,742 14,960,159
----------- -----------
End of Year..................................................... $23,629,726 $20,762,742
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 213,759 229,289
Shares Issued in Lieu of Cash Distributions..................... 19,536 18,264
Shares Redeemed................................................. (138,602) (135,531)
----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 94,693 112,022
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
152
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. CORE EQUITY 2 PORTFOLIO U.S. VECTOR EQUITY PORTFOLIO
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 379,407 $ 320,409 $ 66,134 $ 59,721
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 287,280 192,862 112,491 167,995
Affiliated Investment Companies Shares Sold................. (115) 31 (52) 5
Futures..................................................... 26,827 19,381 1,014 5,443
Foreign Currency Transactions............................... (4) 5 -- 2
In-Kind Redemptions......................................... -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 218,021 3,702,303 (137,731) 706,848
Affiliated Investment Companies Shares...................... (15) (261) (17) (57)
Futures..................................................... (16,600) 11,212 631 835
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 894,801 4,245,942 42,470 940,792
----------- ----------- ---------- ----------
Distributions:/^ /
Institutional Class Shares.................................. (577,402) (445,016) (226,006) (157,934)
----------- ----------- ---------- ----------
Total Distributions...................................... (577,402) (445,016) (226,006) (157,934)
----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................................... 4,612,048 4,120,340 801,656 873,587
Shares Issued in Lieu of Cash Distributions..................... 567,939 439,092 223,582 155,990
Shares Redeemed................................................. (3,335,154) (2,695,986) (954,936) (911,079)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital Share...............
Transactions............................................. 1,844,833 1,863,446 70,302 118,498
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 2,162,232 5,664,372 (113,234) 901,356
NET ASSETS
Beginning of Year............................................... 22,515,418 16,851,046 4,724,003 3,822,647
----------- ----------- ---------- ----------
End of Year..................................................... $24,677,650 $22,515,418 $4,610,769 $4,724,003
=========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 209,626 212,849 41,129 48,648
Shares Issued in Lieu of Cash Distributions..................... 26,310 22,777 11,712 8,720
Shares Redeemed................................................. (151,440) (139,061) (48,909) (50,704)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 84,496 96,565 3,932 6,664
=========== =========== ========== ==========
U.S. SMALL CAP PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 190,744 $ 160,232
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 630,926 610,335
Affiliated Investment Companies Shares Sold................. (358) (107)
Futures..................................................... 14,477 18,310
Foreign Currency Transactions............................... (6) 15
In-Kind Redemptions......................................... -- 125,200
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (714,753) 2,387,599
Affiliated Investment Companies Shares...................... (18) (345)
Futures..................................................... (5,817) 10,124
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 115,195 3,311,363
----------- -----------
Distributions:/^ /
Institutional Class Shares.................................. (828,617) (511,582)
----------- -----------
Total Distributions...................................... (828,617) (511,582)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 3,281,164 3,737,913
Shares Issued in Lieu of Cash Distributions..................... 786,942 484,150
Shares Redeemed................................................. (2,983,020) (3,067,256)
----------- -----------
Net Increase (Decrease) from Capital Share...............
Transactions............................................. 1,085,086 1,154,807
----------- -----------
Total Increase (Decrease) in Net Assets.................. 371,664 3,954,588
NET ASSETS
Beginning of Year............................................... 16,931,787 12,977,199
----------- -----------
End of Year..................................................... $17,303,451 $16,931,787
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 88,622 109,356
Shares Issued in Lieu of Cash Distributions..................... 21,913 14,119
Shares Redeemed................................................. (80,602) (89,947)
----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 29,933 33,528
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
153
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. HIGH RELATIVE
U.S. MICRO CAP PORTFOLIO PROFITABILITY PORTFOLIO
----------------------- ----------------------
PERIOD
MAY 16,
YEAR YEAR YEAR 2017(A)
ENDED ENDED ENDED TO
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
---------- ----------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 49,928 $ 43,746 $ 6,528 $ 672
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 264,588 283,405 (2,077) 43
Affiliated Investment Companies Shares Sold................. (61) 12 (3) (1)
Futures..................................................... 7,709 9,052 59 (394)
Foreign Currency Transactions............................... (3) -- -- --
In-Kind Redemptions......................................... -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (242,170) 1,119,931 35 9,520
Affiliated Investment Companies Shares...................... (7) (105) 1 (1)
Futures..................................................... (3,647) 2,595 -- --
---------- ----------- -------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 76,337 1,458,636 4,543 9,839
---------- ----------- -------- --------
Distributions:/^ /
Institutional Class Shares.................................. (328,523) (299,796) (5,717) (541)
---------- ----------- -------- --------
Total Distributions...................................... (328,523) (299,796) (5,717) (541)
---------- ----------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................... 990,936 757,322 637,379 134,388
Shares Issued in Lieu of Cash Distributions..................... 302,813 276,724 5,712 541
Shares Redeemed................................................. (869,977) (1,014,479) (60,262) (3,154)
---------- ----------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 423,772 19,567 582,829 131,775
---------- ----------- -------- --------
Total Increase (Decrease) in Net Assets.................. 171,586 1,178,407 581,655 141,073
NET ASSETS
Beginning of Year............................................... 6,306,730 5,128,323 141,073 --
---------- ----------- -------- --------
End of Year..................................................... $6,478,316 $ 6,306,730 $722,728 $141,073
========== =========== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 43,334 36,173 52,575 13,154
Shares Issued in Lieu of Cash Distributions..................... 13,706 13,144 468 52
Shares Redeemed................................................. (38,021) (48,215) (4,950) (302)
---------- ----------- -------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 19,019 1,102 48,093 12,904
========== =========== ======== ========
DFA REAL ESTATE SECURITIES
PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 399,946 $ 190,490
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... (46,559) 47,672
Affiliated Investment Companies Shares Sold................. (37) (67)
Futures..................................................... 8,922 8,131
Foreign Currency Transactions............................... -- --
In-Kind Redemptions......................................... 80,654 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (196,570) 183,941
Affiliated Investment Companies Shares...................... (2) (61)
Futures..................................................... (2,811) 3,862
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 243,543 433,968
----------- -----------
Distributions:/^ /
Institutional Class Shares.................................. (439,618) (283,862)
----------- -----------
Total Distributions...................................... (439,618) (283,862)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 1,859,208 1,766,337
Shares Issued in Lieu of Cash Distributions..................... 351,943 217,675
Shares Redeemed................................................. (1,718,594) (1,113,122)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 492,557 870,890
----------- -----------
Total Increase (Decrease) in Net Assets.................. 296,482 1,020,996
NET ASSETS
Beginning of Year............................................... 8,281,176 7,260,180
----------- -----------
End of Year..................................................... $ 8,577,658 $ 8,281,176
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 54,826 50,891
Shares Issued in Lieu of Cash Distributions..................... 10,160 6,384
Shares Redeemed................................................. (50,388) (32,116)
----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 14,598 25,159
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
154
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LARGE CAP INTERNATIONAL INTERNATIONAL CORE
PORTFOLIO EQUITY PORTFOLIO
---------------------- ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 135,824 $ 111,927 $ 753,667 $ 550,178
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 9,278 157,652 37,602 (29,889)
Affiliated Investment Companies Shares Sold................. (31) 51 (83) 10
Transactions Allocated from Affiliated Investment...........
Company*,**................................................. -- -- -- --
Futures..................................................... 5,207 4,534 42,294 22,487
Foreign Currency Transactions............................... (1,098) (583) (6,317) (2,708)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (492,554) 608,562 (3,538,139) 4,344,669
Affiliated Investment Companies Shares...................... 35 (72) (17) (168)
Transactions Allocated from Affiliated Investment
Company................................................... -- -- -- --
Futures..................................................... (3,535) 1,881 (17,544) 11,863
Translation of Foreign Currency Denominated Amounts......... (201) 330 (811) 1,409
---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (347,075) 884,282 (2,729,348) 4,897,851
---------- ---------- ----------- -----------
Distributions:/^ /
Institutional Class Shares.................................. (132,270) (111,606) (711,406) (533,126)
---------- ---------- ----------- -----------
Total Distributions...................................... (132,270) (111,606) (711,406) (533,126)
---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 1,048,667 960,010 8,724,881 6,327,731
Shares Issued in Lieu of Cash Distributions..................... 116,674 99,282 674,993 506,159
Shares Redeemed................................................. (821,680) (636,653) (4,228,499) (2,737,658)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 343,661 422,639 5,171,375 4,096,232
---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets.................. (135,684) 1,195,315 1,730,621 8,460,957
NET ASSETS
Beginning of Year............................................... 4,723,090 3,527,775 25,443,968 16,983,011
---------- ---------- ----------- -----------
End of Year..................................................... $4,587,406 $4,723,090 $27,174,589 $25,443,968
========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 44,730 45,425 611,977 496,127
Shares Issued in Lieu of Cash Distributions..................... 5,040 4,623 48,289 39,374
Shares Redeemed................................................. (35,059) (29,985) (299,311) (213,878)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 14,711 20,063 360,955 321,623
========== ========== =========== ===========
INTERNATIONAL SMALL
COMPANY PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 305,199 $ 254,211
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... -- 422,014
Affiliated Investment Companies Shares Sold................. -- --
Transactions Allocated from Affiliated Investment...........
Company*,**................................................. 549,889 --
Futures..................................................... 17,382 11,549
Foreign Currency Transactions............................... -- (1,764)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- 2,134,951
Affiliated Investment Companies Shares...................... -- --
Transactions Allocated from Affiliated Investment
Company................................................... (2,214,609) --
Futures..................................................... (9,491) 5,699
Translation of Foreign Currency Denominated Amounts......... -- 864
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (1,351,630) 2,827,524
----------- -----------
Distributions:/^ /
Institutional Class Shares.................................. (711,038) (475,617)
----------- -----------
Total Distributions...................................... (711,038) (475,617)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 2,606,895 2,235,300
Shares Issued in Lieu of Cash Distributions..................... 680,889 456,455
Shares Redeemed................................................. (2,059,202) (1,940,733)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 1,228,582 751,022
----------- -----------
Total Increase (Decrease) in Net Assets.................. (834,086) 3,102,929
NET ASSETS
Beginning of Year............................................... 13,490,290 10,387,361
----------- -----------
End of Year..................................................... $12,656,204 $13,490,290
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 124,547 116,685
Shares Issued in Lieu of Cash Distributions..................... 33,057 25,675
Shares Redeemed................................................. (98,779) (99,987)
----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 58,825 42,373
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
155
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
GLOBAL SMALL JAPANESE SMALL ASIA PACIFIC SMALL
COMPANY PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO
---------------- ------------------- ------------------
PERIOD
JAN 18,
YEAR 2017(A) YEAR YEAR YEAR YEAR
ENDED TO ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017 2018 2017
------- ------- --------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 403 $ 134 $ 10,186 $ 8,388 $ 12,981 $ 9,516
Capital Gain Distributions Received from Affiliated
Investment Companies.......................................... 333 -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... -- 105 -- 28,171 -- 9,656
Affiliated Investment Companies Shares Sold................. (93) (6) -- -- -- --
Transactions Allocated from Affiliated Investment
Company*,**............................................... (602) -- 36,946 -- (13,453) --
Futures..................................................... 15 1 -- -- -- --
Foreign Currency Transactions............................... -- -- -- (465) -- (119)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- (3) -- 99,585 -- 22,259
Affiliated Investment Companies Shares...................... (772) 1,299 -- -- -- --
Transactions Allocated from Affiliated Investment
Company................................................... (1,701) -- (101,251) -- (33,087) --
Futures..................................................... -- -- -- 1 -- --
Translation of Foreign Currency Denominated Amounts......... -- -- -- 87 -- (1)
------- ------- --------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (2,417) 1,530 (54,119) 135,767 (33,559) 41,311
------- ------- --------- -------- -------- --------
Distributions:/^ /
Institutional Class Shares.................................. (350) -- (15,936) (9,568) (13,370) (8,894)
------- ------- --------- -------- -------- --------
Total Distributions...................................... (350) -- (15,936) (9,568) (13,370) (8,894)
------- ------- --------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................... 22,726 14,416 141,296 99,301 103,070 64,454
Shares Issued in Lieu of Cash Distributions..................... 350 -- 14,541 8,825 12,186 8,101
Shares Redeemed................................................. (3,950) (925) (111,110) (95,760) (54,145) (24,394)
------- ------- --------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 19,126 13,491 44,727 12,366 61,111 48,161
------- ------- --------- -------- -------- --------
Total Increase (Decrease) in Net Assets.................. 16,359 15,021 (25,328) 138,565 14,182 80,578
NET ASSETS
Beginning of Year............................................... 15,021 -- 647,978 509,413 332,153 251,575
------- ------- --------- -------- -------- --------
End of Year..................................................... $31,380 $15,021 $ 622,650 $647,978 $346,335 $332,153
======= ======= ========= ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 1,939 1,388 4,906 4,150 4,371 2,864
Shares Issued in Lieu of Cash Distributions..................... 31 -- 505 401 527 408
Shares Redeemed................................................. (346) (86) (3,870) (4,002) (2,282) (1,095)
------- ------- --------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 1,624 1,302 1,541 549 2,616 2,177
======= ======= ========= ======== ======== ========
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
156
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
UNITED KINGDOM CONTINENTAL SMALL
SMALL COMPANY
---------------- -------------------
COMPANY PORTFOLIO PORTFOLIO
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
------- ------- --------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 1,170 $ 1,220 $ 15,590 $ 7,573
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... -- 1,725 -- 14,907
Affiliated Investment Companies Shares Sold................. -- -- -- --
Transactions Allocated from Affiliated Investment
Company*,**............................................... 2,228 -- 19,862 --
Futures..................................................... -- -- -- --
Foreign Currency Transactions............................... -- 6 -- 89
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- 7,588 -- 94,661
Affiliated Investment Companies Shares...................... -- -- -- --
Transactions Allocated from Affiliated Investment
Company................................................... (7,070) -- (119,115) --
Futures..................................................... -- -- -- --
Translation of Foreign Currency Denominated Amounts......... -- 4 -- 24
------- ------- --------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (3,672) 10,543 (83,663) 117,254
------- ------- --------- --------
Distributions:/^ /
Institutional Class Shares.................................. (3,924) (3,006) (20,414) (7,715)
------- ------- --------- --------
Total Distributions...................................... (3,924) (3,006) (20,414) (7,715)
------- ------- --------- --------
Capital Share Transactions (1):
Shares Issued................................................... 2,809 12,269 207,831 209,825
Shares Issued in Lieu of Cash Distributions..................... 3,396 2,618 19,301 7,180
Shares Redeemed................................................. (7,435) (9,570) (69,751) (26,314)
------- ------- --------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... (1,230) 5,317 157,381 190,691
------- ------- --------- --------
Total Increase (Decrease) in Net Assets.................. (8,826) 12,854 53,304 300,230
NET ASSETS
Beginning of Year............................................... 45,177 32,323 592,347 292,117
------- ------- --------- --------
End of Year..................................................... $36,351 $45,177 $ 645,651 $592,347
======= ======= ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 91 435 7,354 8,148
Shares Issued in Lieu of Cash Distributions..................... 114 95 709 280
Shares Redeemed................................................. (239) (335) (2,541) (1,053)
------- ------- --------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... (34) 195 5,522 7,375
======= ======= ========= ========
DFA INTERNATIONAL REAL
--------------------------
ESTATE SECURITIES PORTFOLIO
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 245,747 $ 198,330
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... (55,861) (21,413)
Affiliated Investment Companies Shares Sold................. (50) 21
Transactions Allocated from Affiliated Investment
Company*,**............................................... -- --
Futures..................................................... 6,053 6,597
Foreign Currency Transactions............................... 3,300 439
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (212,037) 60,643
Affiliated Investment Companies Shares...................... 6 (17)
Transactions Allocated from Affiliated Investment
Company................................................... -- --
Futures..................................................... (1,430) 754
Translation of Foreign Currency Denominated Amounts......... (239) 254
----------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (14,511) 245,608
----------- ----------
Distributions:/^ /
Institutional Class Shares.................................. (241,977) (326,892)
----------- ----------
Total Distributions...................................... (241,977) (326,892)
----------- ----------
Capital Share Transactions (1):
Shares Issued................................................... 1,129,099 1,720,625
Shares Issued in Lieu of Cash Distributions..................... 238,291 320,016
Shares Redeemed................................................. (1,166,148) (643,227)
----------- ----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 201,242 1,397,414
----------- ----------
Total Increase (Decrease) in Net Assets.................. (55,246) 1,316,130
NET ASSETS
Beginning of Year............................................... 5,497,753 4,181,623
----------- ----------
End of Year..................................................... $ 5,442,507 $5,497,753
=========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 219,592 347,476
Shares Issued in Lieu of Cash Distributions..................... 46,632 69,418
Shares Redeemed................................................. (228,031) (132,019)
----------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 38,193 284,875
=========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
157
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA GLOBAL REAL ESTATE DFA INTERNATIONAL SMALL
SECURITIES PORTFOLIO CAP VALUE PORTFOLIO
------------------------ ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 319,485 $ 228,639 $ 333,887 $ 269,343
Capital Gain Distributions Received from Investment
Securities.................................................... 5,030 14,569 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... (30,218) 17,657 489,396 551,715
Affiliated Investment Companies Shares Sold................. 13,679 2,178 (64) 14
Futures..................................................... -- 149 19,832 14,572
Foreign Currency Transactions............................... -- 3 (11,795) (1,896)
In-Kind Redemptions......................................... -- -- -- 82,012
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (6,013) 43,892 (2,949,087) 2,598,933
Affiliated Investment Companies Shares...................... (177,027) (5,082) (36) (118)
Futures..................................................... -- -- (7,629) 9,407
Translation of Foreign Currency Denominated Amounts......... -- -- (512) 1,459
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 124,936 302,005 (2,126,008) 3,525,441
----------- ----------- ----------- -----------
Distributions:/^ /
Institutional Class Shares.................................. (255,497) (243,001) (896,785) (609,450)
----------- ----------- ----------- -----------
Total Distributions...................................... (255,497) (243,001) (896,785) (609,450)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 2,076,669 2,695,188 2,575,335 1,958,045
Shares Issued in Lieu of Cash Distributions..................... 245,163 233,500 810,215 544,816
Shares Redeemed................................................. (1,469,129) (1,122,865) (2,737,533) (2,266,110)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 852,703 1,805,823 648,017 236,751
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets.................. 722,142 1,864,827 (2,374,776) 3,152,742
NET ASSETS
Beginning of Year............................................... 6,753,782 4,888,955 16,162,471 13,009,729
----------- ----------- ----------- -----------
End of Year..................................................... $ 7,475,924 $ 6,753,782 $13,787,695 $16,162,471
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 193,699 251,258 116,242 93,807
Shares Issued in Lieu of Cash Distributions..................... 22,410 23,234 36,559 28,186
Shares Redeemed................................................. (137,791) (105,800) (123,463) (108,244)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 78,318 168,692 29,338 13,749
=========== =========== =========== ===========
INTERNATIONAL VECTOR EQUITY
PORTFOLIO
---------- ----------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 63,232 $ 51,389
Capital Gain Distributions Received from Investment
Securities.................................................... -- --
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 81,370 10,627
Affiliated Investment Companies Shares Sold................. (4) (1)
Futures..................................................... (84) 158
Foreign Currency Transactions............................... (430) (413)
In-Kind Redemptions......................................... -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (401,480) 459,554
Affiliated Investment Companies Shares...................... (6) (16)
Futures..................................................... -- --
Translation of Foreign Currency Denominated Amounts......... (65) 168
---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (257,467) 521,466
---------- ----------
Distributions:/^ /
Institutional Class Shares.................................. (69,245) (54,431)
---------- ----------
Total Distributions...................................... (69,245) (54,431)
---------- ----------
Capital Share Transactions (1):
Shares Issued................................................... 587,591 447,784
Shares Issued in Lieu of Cash Distributions..................... 68,621 53,927
Shares Redeemed................................................. (418,135) (295,368)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 238,077 206,343
---------- ----------
Total Increase (Decrease) in Net Assets.................. (88,635) 673,378
NET ASSETS
Beginning of Year............................................... 2,529,852 1,856,474
---------- ----------
End of Year..................................................... $2,441,217 $2,529,852
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 44,843 37,714
Shares Issued in Lieu of Cash Distributions..................... 5,242 4,561
Shares Redeemed................................................. (31,849) (24,782)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 18,236 17,493
========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
158
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL HIGH
RELATIVE WORLD EX U.S. VALUE WORLD EX U.S. TARGETED
PROFITABILITY
PORTFOLIO PORTFOLIO VALUE PORTFOLIO
----------------- ------------------ ---------------------
PERIOD
MAY 16,
YEAR 2017(A) YEAR YEAR YEAR YEAR
ENDED TO ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017 2018 2017
-------- ------- -------- -------- --------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 4,407 $ 426 $ 6,776 $ 5,730 $ 10,453 $ 7,583
Capital Gain Distributions Received from Investment
Securities.................................................... -- -- 772 653 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... (1,478) (165) -- 1,111 14,758 17,468
Affiliated Investment Companies Shares Sold................. -- -- (152) 599 (1) --
Transactions Allocated from Affiliated Investment
Company*,**............................................... -- -- 4,866 -- -- --
Futures..................................................... 167 (72) -- 262 22 --
Foreign Currency Transactions............................... 35 19 -- (26) (268) (26)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (27,436) 3,720 -- 41,263 (98,264) 65,446
Affiliated Investment Companies Shares...................... -- -- (4,644) (148) -- (1)
Transactions Allocated from Affiliated Investment
Company................................................... -- -- (30,618) -- -- --
Futures..................................................... -- -- -- 99 -- --
Translation of Foreign Currency Denominated Amounts......... (7) (1) -- 13 (8) 19
-------- ------- -------- -------- --------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (24,312) 3,927 (23,000) 49,556 (73,308) 90,489
-------- ------- -------- -------- --------- --------
Distributions:/^ /
Institutional Class Shares.................................. (3,960) (299) (8,118) (4,532) (18,759) (7,684)
-------- ------- -------- -------- --------- --------
Total Distributions...................................... (3,960) (299) (8,118) (4,532) (18,759) (7,684)
-------- ------- -------- -------- --------- --------
Capital Share Transactions (1):
Shares Issued................................................... 252,625 65,210 78,125 44,260 215,731 132,580
Shares Issued in Lieu of Cash Distributions..................... 3,958 299 8,111 4,529 18,713 7,665
Shares Redeemed................................................. (29,236) (1,344) (61,001) (35,416) (148,726) (37,758)
-------- ------- -------- -------- --------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 227,347 64,165 25,235 13,373 85,718 102,487
-------- ------- -------- -------- --------- --------
Total Increase (Decrease) in Net Assets.................. 199,075 67,793 (5,883) 58,397 (6,349) 185,292
NET ASSETS
Beginning of Year............................................... 67,793 -- 246,551 188,154 466,504 281,212
-------- ------- -------- -------- --------- --------
End of Year..................................................... $266,868 $67,793 $240,668 $246,551 $ 460,155 $466,504
======== ======= ======== ======== ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 23,561 6,451 6,253 3,780 15,217 9,799
Shares Issued in Lieu of Cash Distributions..................... 374 29 657 407 1,301 558
Shares Redeemed................................................. (2,797) (130) (4,751) (3,040) (10,739) (2,738)
-------- ------- -------- -------- --------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 21,138 6,350 2,159 1,147 5,779 7,619
======== ======= ======== ======== ========= ========
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
159
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
WORLD EX U.S. CORE EQUITY WORLD CORE EQUITY
PORTFOLIO PORTFOLIO
------------------------ -------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
---------- ---------- --------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 81,701 $ 54,316 $ 13,553 $ 8,719
Capital Gain Distributions Received from Investment
Securities.................................................... -- -- 1,843 898
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 21,093 7,525 -- 3
Affiliated Investment Companies Shares Sold................. (7) (4) 1,952 (418)
Futures..................................................... 1,743 68 145 --
Foreign Currency Transactions............................... (951) (263) -- --
Forward Currency Contracts.................................. -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (472,935) 443,948 -- (1)
Affiliated Investment Companies Shares...................... (1) (14) (39,888) 90,087
Futures..................................................... -- -- -- --
Translation of Foreign Currency Denominated Amounts......... (79) 105 -- --
Forward Currency Contracts.................................. -- -- -- --
---------- ---------- --------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (369,436) 505,681 (22,395) 99,288
---------- ---------- --------- --------
Distributions:/^ /
Institutional Class Shares.................................. (75,944) (52,690) (14,502) (10,264)
---------- ---------- --------- --------
Total Distributions...................................... (75,944) (52,690) (14,502) (10,264)
---------- ---------- --------- --------
Capital Share Transactions (1):
Shares Issued................................................... 1,408,140 1,011,672 346,536 124,892
Shares Issued in Lieu of Cash Distributions..................... 72,834 50,176 14,069 10,005
Shares Redeemed................................................. (711,170) (365,917) (129,087) (47,259)
---------- ---------- --------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 769,804 695,931 231,518 87,638
---------- ---------- --------- --------
Total Increase (Decrease) in Net Assets.................. 324,424 1,148,922 194,621 176,662
NET ASSETS
Beginning of Year............................................... 2,805,367 1,656,445 546,891 370,229
---------- ---------- --------- --------
End of Year..................................................... $3,129,791 $2,805,367 $ 741,512 $546,891
========== ========== ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 116,093 92,982 20,931 8,416
Shares Issued in Lieu of Cash Distributions..................... 6,147 4,555 856 690
Shares Redeemed................................................. (59,215) (33,482) (7,697) (3,225)
---------- ---------- --------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 63,025 64,055 14,090 5,881
========== ========== ========= ========
SELECTIVELY HEDGED
GLOBAL EQUITY PORTFOLIO
----------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
--------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 7,842 $ 6,540
Capital Gain Distributions Received from Investment
Securities.................................................... 1,607 894
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 1 --
Affiliated Investment Companies Shares Sold................. 2,046 (555)
Futures..................................................... 3,877 2,398
Foreign Currency Transactions............................... -- --
Forward Currency Contracts.................................. 4,871 (1,466)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 13 5
Affiliated Investment Companies Shares...................... (27,187) 64,639
Futures..................................................... (2,628) 1,354
Translation of Foreign Currency Denominated Amounts......... -- --
Forward Currency Contracts.................................. 178 775
--------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (9,380) 74,584
--------- --------
Distributions:/^ /
Institutional Class Shares.................................. (11,171) (9,106)
--------- --------
Total Distributions...................................... (11,171) (9,106)
--------- --------
Capital Share Transactions (1):
Shares Issued................................................... 114,026 90,620
Shares Issued in Lieu of Cash Distributions..................... 11,131 9,105
Shares Redeemed................................................. (103,615) (52,903)
--------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 21,542 46,822
--------- --------
Total Increase (Decrease) in Net Assets.................. 991 112,300
NET ASSETS
Beginning of Year............................................... 402,204 289,904
--------- --------
End of Year..................................................... $ 403,195 $402,204
========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 6,816 6,000
Shares Issued in Lieu of Cash Distributions..................... 679 649
Shares Redeemed................................................. (6,176) (3,520)
--------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 1,319 3,129
========= ========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $(1), $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
160
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS EMERGING MARKETS
PORTFOLIO SMALL CAP PORTFOLIO
------------------------ ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 127,713 $ 106,884 $ 172,421 $ 146,645
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... -- (9,141) -- 173,759
Transactions Allocated from Affiliated Investment...........
Company*,**................................................. 76,077 -- 185,571 --
Futures..................................................... -- 8,254 -- 9,252
Foreign Currency Transactions............................... -- (31) -- 78
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- 1,198,559 -- 931,907
Transactions Allocated from Affiliated Investment
Company................................................... (937,174) -- (1,598,746) --
Futures..................................................... -- 1,186 -- 854
Translation of Foreign Currency Denominated Amounts......... -- (71) -- (194)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (733,384) 1,305,640 (1,240,754) 1,262,301
----------- ----------- ----------- -----------
Distributions:/^ /
Class R2 Shares............................................. -- -- -- --
Institutional Class Shares.................................. (115,293) (107,522) (339,983) (274,760)
----------- ----------- ----------- -----------
Total Distributions...................................... (115,293) (107,522) (339,983) (274,760)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 1,740,732 1,476,279 1,502,030 1,554,965
Shares Issued in Lieu of Cash Distributions..................... 104,589 100,892 321,912 259,430
Shares Redeemed................................................. (2,235,370) (1,057,775) (1,188,516) (1,011,728)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share...............
Transactions............................................. (390,049) 519,396 635,426 802,667
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets.................. (1,238,726) 1,717,514 (945,311) 1,790,208
NET ASSETS
Beginning of Year............................................... 6,632,914 4,915,400 7,249,717 5,459,509
----------- ----------- ----------- -----------
End of Year..................................................... $ 5,394,188 $ 6,632,914 $ 6,304,406 $ 7,249,717
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 59,520 56,711 66,017 75,223
Shares Issued in Lieu of Cash Distributions..................... 3,693 3,823 14,324 13,320
Shares Redeemed................................................. (75,814) (39,854) (52,180) (47,673)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... (12,601) 20,680 28,161 40,870
=========== =========== =========== ===========
EMERGING MARKETS VALUE
PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 453,039 $ 398,400
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... -- (258,290)
Transactions Allocated from Affiliated Investment...........
Company*,**................................................. 304,582 --
Futures..................................................... -- 19,890
Foreign Currency Transactions............................... -- 2,920
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- 3,745,161
Transactions Allocated from Affiliated Investment
Company................................................... (2,444,307) --
Futures..................................................... -- 3,766
Translation of Foreign Currency Denominated Amounts......... -- (53)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (1,686,686) 3,911,794
----------- -----------
Distributions:/^ /
Class R2 Shares............................................. (632) (847)
Institutional Class Shares.................................. (438,799) (339,766)
----------- -----------
Total Distributions...................................... (439,431) (340,613)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 2,709,737 2,459,482
Shares Issued in Lieu of Cash Distributions..................... 416,976 322,816
Shares Redeemed................................................. (3,958,464) (3,341,295)
----------- -----------
Net Increase (Decrease) from Capital Share...............
Transactions............................................. (831,751) (558,997)
----------- -----------
Total Increase (Decrease) in Net Assets.................. (2,957,868) 3,012,184
NET ASSETS
Beginning of Year............................................... 19,414,428 16,402,244
----------- -----------
End of Year..................................................... $16,456,560 $19,414,428
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 88,155 90,920
Shares Issued in Lieu of Cash Distributions..................... 14,033 11,717
Shares Redeemed................................................. (128,806) (122,531)
----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... (26,618) (19,894)
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $(144), respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $144, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
161
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS CORE EQUITY
PORTFOLIO
---------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 640,665 $ 463,779
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 31,925 (87,713)
Affiliated Investment Companies Shares Sold................. (73) (17)
Futures..................................................... 23,201 29,430
Foreign Currency Transactions............................... (8,571) (3,967)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (4,701,470) 4,549,390
Affiliated Investment Companies Shares...................... (27) (115)
Futures..................................................... (14,163) 9,334
Translation of Foreign Currency Denominated Amounts......... (112) (275)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (4,028,625) 4,959,846
----------- -----------
Distributions:/^ /
Institutional Class Shares.................................. (593,704) (449,166)
----------- -----------
Total Distributions...................................... (593,704) (449,166)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 7,226,472 6,836,743
Shares Issued in Lieu of Cash Distributions..................... 559,808 422,561
Shares Redeemed................................................. (4,876,914) (3,397,228)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 2,909,366 3,862,076
----------- -----------
Total Increase (Decrease) in Net Assets.................. (1,712,963) 8,372,756
NET ASSETS
Beginning of Year............................................... 27,085,722 18,712,966
----------- -----------
End of Year..................................................... $25,372,759 $27,085,722
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 325,137 342,803
Shares Issued in Lieu of Cash Distributions..................... 26,402 20,857
Shares Redeemed................................................. (222,685) (170,351)
----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 128,854 193,309
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $(5)
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note O in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
162
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year.................................... $ 14.54 $ 12.22 $ 12.54 $ 13.65 $ 11.70
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.26 0.18 0.10 0.07 0.07
Net Gains (Losses) on Securities (Realized and Unrealized)......... 0.52 2.63 0.45 0.53 1.94
-------- -------- -------- -------- --------
Total from Investment Operations............................... 0.78 2.81 0.55 0.60 2.01
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.25) (0.13) (0.08) (0.05) (0.06)
Net Realized Gains................................................. (2.04) (0.36) (0.79) (1.66) --
-------- -------- -------- -------- --------
Total Distributions............................................ (2.29) (0.49) (0.87) (1.71) (0.06)
-------- -------- -------- -------- --------
Net Asset Value, End of Year.......................................... $ 13.03 $ 14.54 $ 12.22 $ 12.54 $ 13.65
======== ======== ======== ======== ========
Total Return.......................................................... 5.62% 23.53% 4.75% 5.25% 17.18%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $327,063 $322,347 $238,413 $203,641 $216,719
Ratio of Expenses to Average Net Assets............................... 0.15% 0.18% 0.23% 0.24% 0.23%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor and Fees Paid Indirectly)................................... 0.23% 0.24% 0.24% 0.24% 0.23%
Ratio of Net Investment Income to Average Net Assets.................. 1.94% 1.36% 0.80% 0.53% 0.55%
Portfolio Turnover Rate............................................... 91% 122% 119% 223% 202%
-------- -------- -------- -------- --------
U.S. LARGE CAP EQUITY PORTFOLIO
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- -------- -------- --------
Net Asset Value, Beginning of Year.................................... $ 15.93 $ 13.06 $ 12.86 $ 12.65 $ 11.07
---------- ---------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.28 0.26 0.25 0.23 0.21
Net Gains (Losses) on Securities (Realized and Unrealized)......... 0.81 2.87 0.19 0.21 1.57
---------- ---------- -------- -------- --------
Total from Investment Operations............................... 1.09 3.13 0.44 0.44 1.78
---------- ---------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.27) (0.26) (0.24) (0.21) (0.20)
Net Realized Gains................................................. -- -- -- (0.02) --
---------- ---------- -------- -------- --------
Total Distributions............................................ (0.27) (0.26) (0.24) (0.23) (0.20)
---------- ---------- -------- -------- --------
Net Asset Value, End of Year.......................................... $ 16.75 $ 15.93 $ 13.06 $ 12.86 $ 12.65
========== ========== ======== ======== ========
Total Return.......................................................... 6.82% 24.16% 3.51% 3.49% 16.19%
---------- ---------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $1,457,218 $1,212,883 $851,323 $699,144 $274,955
Ratio of Expenses to Average Net Assets............................... 0.17% 0.17% 0.18% 0.19% 0.19%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor and Fees Paid Indirectly)................................... 0.17% 0.17% 0.17% 0.19% 0.20%
Ratio of Net Investment Income to Average Net Assets.................. 1.64% 1.74% 1.99% 1.77% 1.75%
Portfolio Turnover Rate............................................... 7% 11% 12% 12% 1%
---------- ---------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
163
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......... $ 38.84 $ 32.63 $ 33.27 $ 33.75 $ 29.72
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......... 0.78 0.74 0.70 0.69 0.56
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.35 6.99 0.71 (0.32) 4.02
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..... 1.13 7.73 1.41 0.37 4.58
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................... (0.73) (0.70) (0.70) (0.66) (0.55)
Net Realized Gains....................... (1.83) (0.82) (1.35) (0.19) --
----------- ----------- ----------- ----------- -----------
Total Distributions.................. (2.56) (1.52) (2.05) (0.85) (0.55)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................ $ 37.41 $ 38.84 $ 32.63 $ 33.27 $ 33.75
=========== =========== =========== =========== ===========
Total Return................................ 2.79% 24.11% 4.58% 1.16% 15.49%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......... $25,268,336 $23,732,871 $17,673,253 $15,807,935 $15,146,981
Ratio of Expenses to Average Net Assets
(B)....................................... 0.27% 0.27% 0.27% 0.27% 0.27%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................ 0.37% 0.37% 0.37% 0.30% 0.27%
Ratio of Net Investment Income to
Average Net Assets........................ 1.98% 2.03% 2.24% 2.04% 1.75%
----------- ----------- ----------- ----------- -----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
164
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES
---------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year.................................... $ 25.15 $ 21.26 $ 21.58 $ 23.19 $ 22.63
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.28 0.25 0.24 0.26 0.18
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.63) 4.66 0.60 (0.61) 1.86
------- ------- ------- ------- -------
Total from Investment Operations............................... (0.35) 4.91 0.84 (0.35) 2.04
------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.26) (0.24) (0.27) (0.25) (0.16)
Net Realized Gains................................................. (1.09) (0.78) (0.89) (1.01) (1.32)
------- ------- ------- ------- -------
Total Distributions............................................ (1.35) (1.02) (1.16) (1.26) (1.48)
------- ------- ------- ------- -------
Net Asset Value, End of Year.......................................... $ 23.45 $ 25.15 $ 21.26 $ 21.58 $ 23.19
======= ======= ======= ======= =======
Total Return.......................................................... (1.61%) 23.32% 4.21% (1.33%) 9.47%
------- ------- ------- ------- -------
Net Assets, End of Year (thousands)................................... $47,848 $54,960 $35,661 $40,159 $16,971
Ratio of Expenses to Average Net Assets............................... 0.47% 0.47% 0.47% 0.47% 0.47%
Ratio of Net Investment Income to Average Net Assets.................. 1.10% 1.03% 1.16% 1.15% 0.79%
Portfolio Turnover Rate............................................... 23% 23% 28% 15% 10%
------- ------- ------- ------- -------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
165
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- -------
Net Asset Value, Beginning of Year.................................... $ 25.03 $ 21.16 $ 21.51 $ 23.12 $ 22.57
-------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.24 0.21 0.20 0.23 0.15
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.63) 4.65 0.60 (0.61) 1.84
-------- -------- -------- -------- -------
Total from Investment Operations............................... (0.39) 4.86 0.80 (0.38) 1.99
-------- -------- -------- -------- -------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.23) (0.21) (0.26) (0.22) (0.12)
Net Realized Gains................................................. (1.09) (0.78) (0.89) (1.01) (1.32)
-------- -------- -------- -------- -------
Total Distributions............................................ (1.32) (0.99) (1.15) (1.23) (1.44)
-------- -------- -------- -------- -------
Net Asset Value, End of Year.......................................... $ 23.32 $ 25.03 $ 21.16 $ 21.51 $ 23.12
======== ======== ======== ======== =======
Total Return.......................................................... (1.79%) 23.17% 4.04% (1.49%) 9.30%
-------- -------- -------- -------- -------
Net Assets, End of Year (thousands)................................... $108,168 $156,809 $147,945 $135,412 $82,977
Ratio of Expenses to Average Net Assets............................... 0.62% 0.62% 0.62% 0.63% 0.62%
Ratio of Net Investment Income to Average Net Assets.................. 0.95% 0.90% 1.00% 1.02% 0.64%
Portfolio Turnover Rate............................................... 23% 23% 28% 15% 10%
-------- -------- -------- -------- -------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
166
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ---------- ---------- ----------
Net Asset Value, Beginning of Year........... $ 25.16 $ 21.26 $ 21.56 $ 23.16 $ 22.60
----------- ----------- ---------- ---------- ----------
Income (loss) from Investment Operations
----------------------------------------
Net Investment Income (Loss) (A).......... 0.30 0.27 0.25 0.29 0.21
Net Gains (Losses) on Securities
(Realized and Unrealized)............... (0.63) 4.67 0.60 (0.61) 1.85
----------- ----------- ---------- ---------- ----------
Total from Investment Operations...... (0.33) 4.94 0.85 (0.32) 2.06
----------- ----------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income..................... (0.28) (0.26) (0.26) (0.27) (0.18)
Net Realized Gains........................ (1.09) (0.78) (0.89) (1.01) (1.32)
----------- ----------- ---------- ---------- ----------
Total Distributions................... (1.37) (1.04) (1.15) (1.28) (1.50)
----------- ----------- ---------- ---------- ----------
Net Asset Value, End of Year................. $ 23.46 $ 25.16 $ 21.26 $ 21.56 $ 23.16
=========== =========== ========== ========== ==========
Total Return................................. (1.52%) 23.46% 4.29% (1.20%) 9.58%
----------- ----------- ---------- ---------- ----------
Net Assets, End of Year (thousands).......... $10,307,146 $10,528,662 $7,884,683 $6,987,896 $5,490,959
Ratio of Expenses to Average Net Assets...... 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average
Net Assets................................. 1.20% 1.13% 1.24% 1.28% 0.90%
Portfolio Turnover Rate...................... 23% 23% 28% 15% 10%
----------- ----------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
167
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP VALUE PORTFOLIO
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 39.07 $ 32.75 $ 33.08 $ 35.82 $ 34.48
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.39 0.31 0.32 0.41 0.23
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (0.90) 7.71 1.06 (1.44) 2.93
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... (0.51) 8.02 1.38 (1.03) 3.16
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.37) (0.30) (0.33) (0.38) (0.22)
Net Realized Gains....................................... (1.80) (1.40) (1.38) (1.33) (1.60)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (2.17) (1.70) (1.71) (1.71) (1.82)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 36.39 $ 39.07 $ 32.75 $ 33.08 $ 35.82
=========== =========== =========== =========== ===========
Total Return................................................ (1.48%) 24.67% 4.49% (2.83%) 9.49%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $14,732,615 $15,165,867 $12,613,185 $11,680,262 $11,512,306
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........ 1.00% 0.83% 1.01% 1.18% 0.66%
Portfolio Turnover Rate..................................... 27% 24% 19% 17% 9%
----------- ----------- ----------- ----------- -----------
U.S. CORE EQUITY 1 PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 22.01 $ 18.00 $ 17.90 $ 17.71 $ 15.74
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.36 0.33 0.33 0.31 0.27
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.88 4.12 0.30 0.26 2.02
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... 1.24 4.45 0.63 0.57 2.29
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.35) (0.35) (0.32) (0.30) (0.25)
Net Realized Gains....................................... (0.13) (0.09) (0.21) (0.08) (0.07)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (0.48) (0.44) (0.53) (0.38) (0.32)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 22.77 $ 22.01 $ 18.00 $ 17.90 $ 17.71
=========== =========== =========== =========== ===========
Total Return................................................ 5.59% 24.93% 3.68% 3.26% 14.72%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $23,629,726 $20,762,742 $14,960,159 $13,275,774 $10,780,830
Ratio of Expenses to Average Net Assets..................... 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average Net Assets........ 1.55% 1.64% 1.88% 1.71% 1.61%
Portfolio Turnover Rate..................................... 3% 3% 4% 4% 5%
----------- ----------- ----------- ----------- -----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
168
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 2 PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 20.90 $ 17.19 $ 17.26 $ 17.34 $ 15.62
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.34 0.31 0.31 0.30 0.26
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.53 3.83 0.25 0.02 1.86
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... 0.87 4.14 0.56 0.32 2.12
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.32) (0.31) (0.30) (0.28) (0.24)
Net Realized Gains....................................... (0.20) (0.12) (0.33) (0.12) (0.16)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (0.52) (0.43) (0.63) (0.40) (0.40)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 21.25 $ 20.90 $ 17.19 $ 17.26 $ 17.34
=========== =========== =========== =========== ===========
Total Return................................................ 4.16% 24.36% 3.47% 1.92% 13.78%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $24,677,650 $22,515,418 $16,851,046 $15,200,564 $12,919,176
Ratio of Expenses to Average Net Assets 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets 1.53% 1.59% 1.87% 1.68% 1.55%
Portfolio Turnover Rate..................................... 5% 5% 4% 5% 6%
----------- ----------- ----------- ----------- -----------
U.S. VECTOR EQUITY PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 19.16 $ 15.93 $ 16.22 $ 17.04 $ 15.62
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.26 0.24 0.25 0.25 0.21
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (0.10) 3.65 0.24 (0.30) 1.62
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 0.16 3.89 0.49 (0.05) 1.83
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.25) (0.23) (0.25) (0.24) (0.19)
Net Realized Gains....................................... (0.67) (0.43) (0.53) (0.53) (0.22)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.92) (0.66) (0.78) (0.77) (0.41)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 18.40 $ 19.16 $ 15.93 $ 16.22 $ 17.04
========== ========== ========== ========== ==========
Total Return................................................ 0.69% 24.73% 3.28% (0.18%) 11.91%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $4,610,769 $4,724,003 $3,822,647 $3,651,529 $3,501,319
Ratio of Expenses to Average Net Assets 0.32% 0.32% 0.32% 0.32% 0.32%
Ratio of Net Investment Income to Average Net Assets 1.35% 1.36% 1.64% 1.50% 1.26%
Portfolio Turnover Rate..................................... 10% 10% 10% 10% 10%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
169
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
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,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------
Net Asset Value, Beginning of Year.......................... $ 36.48 $ 30.14 $ 30.84 $ 31.38 $ 30.03
----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.39 0.35 0.34 0.35 0.26
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (0.08) 7.17 0.77 0.33 2.27
----------- ----------- ----------- ----------- ----------
Total from Investment Operations..................... 0.31 7.52 1.11 0.68 2.53
----------- ----------- ----------- ----------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.37) (0.35) (0.35) (0.33) (0.24)
Net Realized Gains....................................... (1.40) (0.83) (1.46) (0.89) (0.94)
----------- ----------- ----------- ----------- ----------
Total Distributions.................................. (1.77) (1.18) (1.81) (1.22) (1.18)
----------- ----------- ----------- ----------- ----------
Net Asset Value, End of Year................................ $ 35.02 $ 36.48 $ 30.14 $ 30.84 $ 31.38
=========== =========== =========== =========== ==========
Total Return................................................ 0.77% 25.21% 3.89% 2.34% 8.67%
----------- ----------- ----------- ----------- ----------
Net Assets, End of Year (thousands)......................... $17,303,451 $16,931,787 $12,977,199 $10,616,542 $9,247,716
Ratio of Expenses to Average Net Assets..................... 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average Net Assets 1.06% 1.04% 1.16% 1.10% 0.86%
Portfolio Turnover Rate..................................... 13% 14% 10% 11% 9%
----------- ----------- ----------- ----------- ----------
U.S. MICRO CAP PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 22.76 $ 18.58 $ 19.00 $ 20.10 $ 19.64
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.17 0.16 0.16 0.16 0.14
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.12 5.12 0.60 0.02 1.35
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 0.29 5.28 0.76 0.18 1.49
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.16) (0.16) (0.16) (0.16) (0.13)
Net Realized Gains....................................... (1.01) (0.94) (1.02) (1.12) (0.90)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (1.17) (1.10) (1.18) (1.28) (1.03)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 21.88 $ 22.76 $ 18.58 $ 19.00 $ 20.10
========== ========== ========== ========== ==========
Total Return................................................ 1.29% 28.91% 4.32% 1.11% 7.88%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $6,478,316 $6,306,730 $5,128,323 $5,007,091 $5,029,027
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 0.74% 0.75% 0.88% 0.82% 0.69%
Portfolio Turnover Rate..................................... 19% 15% 15% 14% 12%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
170
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. HIGH RELATIVE
PROFITABILITY PORTFOLIO DFA REAL ESTATE SECURITIES PORTFOLIO
----------------------- ----------------------------------------------------------
PERIOD
YEAR MAY 16, YEAR YEAR YEAR YEAR YEAR
ENDED 2017(a) TO ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017 2016 2015 2014
-------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period.......................... $ 10.93 $ 10.00 $ 34.99 $ 34.32 $ 33.04 $ 32.24 $ 27.77
-------- -------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.19 0.07 1.60 0.84 1.09 0.90 0.72
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.89 0.91 (0.69) 1.12 1.18 0.95 4.62
-------- -------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... 1.08 0.98 0.91 1.96 2.27 1.85 5.34
-------- -------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.16) (0.05) (1.65) (0.98) (0.99) (1.05) (0.87)
Net Realized Gains............. -- -- (0.11) (0.31) -- -- --
-------- -------- ---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.16) (0.05) (1.76) (1.29) (0.99) (1.05) (0.87)
-------- -------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.... $ 11.85 $ 10.93 $ 34.14 $ 34.99 $ 34.32 $ 33.04 $ 32.24
======== ======== ========== ========== ========== ========== ==========
Total Return...................... 9.88% 9.84% (C) 2.63% 5.86% 6.89% 5.89% 19.80%
-------- -------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $722,728 $141,073 $8,577,658 $8,281,176 $7,260,180 $6,553,192 $6,607,759
Ratio of Expenses to Average
Net Assets...................... 0.25% 0.23% (D)(E) 0.18% 0.18% 0.18% 0.18% 0.18%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
Fees Paid Indirectly) 0.27% 0.35% (D)(E) 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment
Income to Average Net Assets.... 1.58% 1.45% (D)(E) 4.66% 2.43% 3.15% 2.75% 2.48%
Portfolio Turnover Rate........... 7% 0% (C) 3% 1% 3% 4% 0%
-------- -------- ---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
171
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LARGE CAP INTERNATIONAL PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 22.20
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.66 0.58 0.57 0.58 0.75
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (2.25) 4.00 (0.86) (1.24) (0.62)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... (1.59) 4.58 (0.29) (0.66) 0.13
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.64) (0.58) (0.55) (0.57) (0.74)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.64) (0.58) (0.55) (0.57) (0.74)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 21.29 $ 23.52 $ 19.52 $ 20.36 $ 21.59
========== ========== ========== ========== ==========
Total Return................................................ (6.97%) 23.79% (1.30%) (3.10%) 0.47%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $4,587,406 $4,723,090 $3,527,775 $3,150,334 $3,127,847
Ratio of Expenses to Average Net Assets 0.23% 0.25% 0.28% 0.29% 0.28%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly) 0.23% 0.25% 0.28% 0.29% 0.28%
Ratio of Net Investment Income to Average Net Assets 2.78% 2.72% 2.95% 2.71% 3.35%
Portfolio Turnover Rate..................................... 8% 10% 10% 10% 4%
---------- ---------- ---------- ---------- ----------
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 14.23 $ 11.58 $ 11.69 $ 12.15 $ 12.57
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.38 0.34 0.32 0.32 0.38
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (1.60) 2.63 (0.15) (0.45) (0.43)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... (1.22) 2.97 0.17 (0.13) (0.05)
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.36) (0.32) (0.28) (0.33) (0.37)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (0.36) (0.32) (0.28) (0.33) (0.37)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 12.65 $ 14.23 $ 11.58 $ 11.69 $ 12.15
=========== =========== =========== =========== ===========
Total Return................................................ (8.79%) 26.02% 1.62% (1.10%) (0.55%)
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $27,174,589 $25,443,968 $16,983,011 $14,420,568 $12,294,542
Ratio of Expenses to Average Net Assets 0.30% 0.30% 0.38% 0.38% 0.38%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly) 0.30% 0.32% 0.38% 0.38% 0.38%
Ratio of Net Investment Income to Average Net Assets 2.67% 2.62% 2.83% 2.63% 3.01%
Portfolio Turnover Rate..................................... 4% 6% 2% 4% 7%
----------- ----------- ----------- ----------- -----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
172
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 21.52 $ 17.78 $ 17.78 $ 18.24 $ 19.40
----------- ----------- ----------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.46 0.41 0.43 0.41 0.42
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (2.41) 4.13 0.48 0.12 (0.62)
----------- ----------- ----------- ---------- ----------
Total from Investment Operations..................... (1.95) 4.54 0.91 0.53 (0.20)
----------- ----------- ----------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.44) (0.34) (0.51) (0.42) (0.42)
Net Realized Gains....................................... (0.67) (0.46) (0.40) (0.57) (0.54)
----------- ----------- ----------- ---------- ----------
Total Distributions.................................. (1.11) (0.80) (0.91) (0.99) (0.96)
----------- ----------- ----------- ---------- ----------
Net Asset Value, End of Year................................ $ 18.46 $ 21.52 $ 17.78 $ 17.78 $ 18.24
=========== =========== =========== ========== ==========
Total Return................................................ (9.54%) 26.54% 5.43% 3.30% (1.09%)
----------- ----------- ----------- ---------- ----------
Net Assets, End of Year (thousands)......................... $12,656,204 $13,490,290 $10,387,361 $9,323,492 $8,844,517
Ratio of Expenses to Average Net Assets *(B)................ 0.53% 0.53% 0.53% 0.54% 0.53%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)*(B)............................ 0.53% 0.53% 0.53% 0.54% 0.53%
Ratio of Net Investment Income to Average Net Assets........ 2.18% 2.14% 2.47% 2.30% 2.15%
----------- ----------- ----------- ---------- ----------
* The Ratio of Expenses to Average Net Assets is inclusive
of acquired fund fees and expenses incurred by the
Portfolio indirectly as a result of Portfolio's
investment in Underlying Funds as follows:................ 0.12% 0.12% 0.13% 0.12% 0.10%
----------- ----------- ----------- ---------- ----------
GLOBAL SMALL COMPANY PORTFOLIO
----------------------
PERIOD
YEAR JAN 18,
ENDED 2017(a) TO
OCT 31, OCT 31,
2018 2017
------- ----------
Net Asset Value, Beginning of Year.......................... $ 11.53 $ 10.00
------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.19 0.14
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (0.75) 1.39
------- -------
Total from Investment Operations..................... (0.56) 1.53
------- -------
Less Distributions:
-------------------
Net Investment Income.................................... (0.17) --
Net Realized Gains....................................... (0.07) --
------- -------
Total Distributions.................................. (0.24) --
------- -------
Net Asset Value, End of Year................................ $ 10.73 $ 11.53
======= =======
Total Return................................................ (5.02%) 15.30%(C)
------- -------
Net Assets, End of Year (thousands)......................... $31,380 $15,021
Ratio of Expenses to Average Net Assets *(B)................ 0.49% 0.42%(D)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)*(B)............................ 0.90% 1.14%(D)(E)
Ratio of Net Investment Income to Average Net Assets........ 1.58% 1.74%(D)(E)
------- -------
* The Ratio of Expenses to Average Net Assets is inclusive
of acquired fund fees and expenses incurred by the
Portfolio indirectly as a result of Portfolio's
investment in Underlying Funds as follows:................ 0.26% 0.27%
------- -------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
173
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
JAPANESE SMALL COMPANY PORTFOLIO
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year.................................... $ 28.56 $ 23.01 $ 20.46 $ 19.15 $ 19.33
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.43 0.37 0.32 0.25 0.24
Net Gains (Losses) on Securities (Realized and Unrealized)......... (2.59) 5.61 2.51 1.36 0.13
-------- -------- -------- -------- --------
Total from Investment Operations............................... (2.16) 5.98 2.83 1.61 0.37
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.70) (0.43) (0.28) (0.30) (0.55)
-------- -------- -------- -------- --------
Total Distributions............................................ (0.70) (0.43) (0.28) (0.30) (0.55)
-------- -------- -------- -------- --------
Net Asset Value, End of Year.......................................... $ 25.70 $ 28.56 $ 23.01 $ 20.46 $ 19.15
======== ======== ======== ======== ========
Total Return.......................................................... (7.82%) 26.56% 14.04% 8.62% 2.00%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $622,650 $647,978 $509,413 $463,997 $508,190
Ratio of Expenses to Average Net Assets (B)........................... 0.53% 0.54% 0.54% 0.54% 0.55%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor)............................................................ 0.63% 0.64% 0.64% 0.57% 0.55%
Ratio of Net Investment Income to Average Net Assets.................. 1.49% 1.50% 1.57% 1.27% 1.25%
-------- -------- -------- -------- --------
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,
2018 2017 2016 2015 2014
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year.................................... $ 23.71 $ 21.27 $ 19.06 $ 22.88 $ 24.82
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.84 0.74 0.71 0.75 0.83
Net Gains (Losses) on Securities (Realized and Unrealized)......... (2.76) 2.45 2.24 (3.51) (1.81)
-------- -------- -------- -------- --------
Total from Investment Operations............................... (1.92) 3.19 2.95 (2.76) (0.98)
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.96) (0.75) (0.74) (1.06) (0.96)
-------- -------- -------- -------- --------
Total Distributions............................................ (0.96) (0.75) (0.74) (1.06) (0.96)
-------- -------- -------- -------- --------
Net Asset Value, End of Year.......................................... $ 20.83 $ 23.71 $ 21.27 $ 19.06 $ 22.88
======== ======== ======== ======== ========
Total Return.......................................................... (8.51%) 15.70% 16.18% (12.19%) (3.84%)
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $346,335 $332,153 $251,575 $200,270 $364,117
Ratio of Expenses to Average Net Assets (B)........................... 0.54% 0.54% 0.54% 0.55% 0.55%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor)............................................................ 0.64% 0.64% 0.64% 0.57% 0.55%
Ratio of Net Investment Income to Average Net Assets.................. 3.57% 3.41% 3.57% 3.67% 3.53%
-------- -------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
174
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
UNITED KINGDOM SMALL COMPANY PORTFOLIO
---------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
- ------- ------- ------- ------- -------
Net Asset Value, Beginning of Year.................................... $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 36.96
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.85 0.87 1.18 1.06 0.95
Net Gains (Losses) on Securities (Realized and Unrealized)......... (3.65) 6.67 (6.55) 1.95 (0.65)
------- ------- ------- ------- -------
Total from Investment Operations............................... (2.80) 7.54 (5.37) 3.01 0.30
------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.79) (0.93) (1.29) (1.05) (0.93)
Net Realized Gains................................................. (2.13) (1.15) (1.63) (2.38) (0.41)
------- ------- ------- ------- -------
Total Distributions............................................ (2.92) (2.08) (2.92) (3.43) (1.34)
------- ------- ------- ------- -------
Net Asset Value, End of Year.......................................... $ 26.95 $ 32.67 $ 27.21 $ 35.50 $ 35.92
======= ======= ======= ======= =======
Total Return.......................................................... (9.34%) 29.28% (16.20%) 9.43% 0.73%
------- ------- ------- ------- -------
Net Assets, End of Year (thousands)................................... $36,351 $45,177 $32,323 $35,637 $35,050
Ratio of Expenses to Average Net Assets (B)........................... 0.58% 0.59% 0.59% 0.58% 0.58%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor)............................................................ 0.68% 0.71% 0.71% 0.62% 0.62%
Ratio of Net Investment Income to Average Net Assets.................. 2.75% 2.93% 3.87% 2.99% 2.50%
------- ------- ------- ------- -------
CONTINENTAL SMALL COMPANY PORTFOLIO
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Year.................................... $ 28.24 $ 21.48 $ 20.74 $ 19.34 $ 20.26
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.61 0.45 0.43 0.43 0.42
Net Gains (Losses) on Securities (Realized and Unrealized)......... (3.68) 6.73 0.72 1.38 (0.90)
-------- -------- -------- -------- --------
Total from Investment Operations............................... (3.07) 7.18 1.15 1.81 (0.48)
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.59) (0.42) (0.41) (0.41) (0.44)
Net Realized Gains................................................. (0.21) -- -- -- --
-------- -------- -------- -------- --------
Total Distributions............................................ (0.80) (0.42) (0.41) (0.41) (0.44)
-------- -------- -------- -------- --------
Net Asset Value, End of Year.......................................... $ 24.37 $ 28.24 $ 21.48 $ 20.74 $ 19.34
======== ======== ======== ======== ========
Total Return.......................................................... (11.14%) 33.68% 5.70% 9.37% (2.68%)
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $645,651 $592,347 $292,117 $278,024 $168,961
Ratio of Expenses to Average Net Assets (B)........................... 0.54% 0.56% 0.54% 0.55% 0.56%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor)............................................................ 0.64% 0.66% 0.64% 0.58% 0.56%
Ratio of Net Investment Income to Average Net Assets.................. 2.16% 1.78% 2.08% 2.09% 1.97%
-------- -------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
175
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year................... $ 5.07 $ 5.23 $ 5.27 $ 5.63 $ 5.48
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................. 0.22 0.21 0.20 0.19 0.22
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... (0.22) 0.04 (0.15) (0.22) 0.19
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.............. -- 0.25 0.05 (0.03) 0.41
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income............................. (0.22) (0.41) (0.09) (0.33) (0.26)
Net Realized Gains................................ -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions........................... (0.22) (0.41) (0.09) (0.33) (0.26)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year......................... $ 4.85 $ 5.07 $ 5.23 $ 5.27 $ 5.63
========== ========== ========== ========== ==========
Total Return......................................... (0.24%) 5.46% 1.05% (0.37%) 8.21%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).................. $5,442,507 $5,497,753 $4,181,623 $3,540,092 $3,088,376
Ratio of Expenses to Average Net Assets *............ 0.28% 0.28% 0.28% 0.32% 0.38%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor and
Fees Paid Indirectly) * 0.28% 0.28% 0.28% 0.32% 0.38%
Ratio of Net Investment Income to Average Net Assets. 4.27% 4.19% 3.71% 3.64% 4.14%
Portfolio Turnover Rate.............................. 5% 1% 1% 2% 1%
---------- ---------- ---------- ---------- ----------
* The Ratio of Expenses to Average Net Assets is
inclusive of acquired fund fees and expenses
incurred by the Portfolio indirectly as a result
of Portfolio's investment in Underlying Funds as
follows: N/A N/A N/A N/A N/A
---------- ---------- ---------- ---------- ----------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year................... $ 10.90 $ 10.84 $ 10.59 $ 10.63 $ 9.59
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................. 0.48 0.43 0.27 0.44 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... (0.26) 0.15 0.23 (0.09) 1.05
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.............. 0.22 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 Year......................... $ 10.71 $ 10.90 $ 10.84 $ 10.59 $ 10.63
========== ========== ========== ========== ==========
Total Return......................................... 1.91% 5.82% 4.87% 3.44% 14.98%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).................. $7,475,924 $6,753,782 $4,888,955 $4,059,916 $3,305,472
Ratio of Expenses to Average Net Assets *............ 0.24%(B) 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) 0.37%(B) 0.38%(B) 0.45%(B) 0.55%(B)
Ratio of Net Investment Income to Average Net Assets. 4.42% 4.03% 2.45% 4.16% 3.21%
Portfolio Turnover Rate.............................. 3% 2% 2% 1% N/A
---------- ---------- ---------- ---------- ----------
* The Ratio of Expenses to Average Net Assets is
inclusive of acquired fund fees and expenses
incurred by the Portfolio indirectly as a result
of Portfolio's investment in Underlying Funds as
follows: 0.13% 0.15% 0.16% 0.22% 0.26%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
176
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 23.51 $ 19.31 $ 19.44 $ 19.55 $ 20.17
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.47 0.39 0.44 0.38 0.37
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (3.44) 4.72 0.29 0.22 (0.34)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... (2.97) 5.11 0.73 0.60 0.03
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.56) (0.29) (0.58) (0.37) (0.35)
Net Realized Gains....................................... (0.74) (0.62) (0.28) (0.34) (0.30)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (1.30) (0.91) (0.86) (0.71) (0.65)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 19.24 $ 23.51 $ 19.31 $ 19.44 $ 19.55
=========== =========== =========== =========== ===========
Total Return................................................ (13.37%) 27.49% 4.09% 3.31% 0.13%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $13,787,695 $16,162,471 $13,009,729 $12,577,575 $11,684,771
Ratio of Expenses to Average Net Assets..................... 0.68% 0.68% 0.68% 0.69% 0.68%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly)....... 0.68% 0.68% 0.68% 0.69% 0.68%
Ratio of Net Investment Income to Average Net Assets........ 2.10% 1.85% 2.38% 1.94% 1.78%
Portfolio Turnover Rate..................................... 23% 21% 19% 18% 8%
----------- ----------- ----------- ----------- -----------
INTERNATIONAL VECTOR EQUITY PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 13.33 $ 10.78 $ 10.76 $ 11.26 $ 11.75
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.32 0.28 0.28 0.28 0.32
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (1.56) 2.57 0.05 (0.41) (0.43)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... (1.24) 2.85 0.33 (0.13) (0.11)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.30) (0.28) (0.27) (0.27) (0.30)
Net Realized Gains....................................... (0.05) (0.02) (0.04) (0.10) (0.08)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.35) (0.30) (0.31) (0.37) (0.38)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 11.74 $ 13.33 $ 10.78 $ 10.76 $ 11.26
========== ========== ========== ========== ==========
Total Return................................................ (9.52%) 26.83% 3.21% (1.14%) (1.05%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $2,441,217 $2,529,852 $1,856,474 $1,594,914 $1,305,553
Ratio of Expenses to Average Net Assets..................... 0.48% 0.49% 0.49% 0.50% 0.49%
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% 0.49% 0.49% 0.50% 0.49%
Ratio of Net Investment Income to Average Net Assets........ 2.40% 2.36% 2.73% 2.50% 2.64%
Portfolio Turnover Rate..................................... 12% 5% 4% 8% 8%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
177
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL HIGH RELATIVE
PROFITABILITY PORTFOLIO WORLD EX U.S. VALUE PORTFOLIO
------------------- --------------------------------------------------
PERIOD
YEAR MAY 16, YEAR YEAR YEAR YEAR YEAR
ENDED 2017(A) TO ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017 2016 2015 2014
-------- ---------- -------- -------- -------- -------- --------
Net Asset Value,
Beginning of Period........ $ 10.68 $ 10.00 $ 12.71 $ 10.31 $ 10.28 $ 11.43 $ 11.93
-------- ------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).............. 0.26 0.08 0.34 0.31 0.31 0.30 0.42
Net Gains (Losses) on
Securities
(Realized and
Unrealized)............. (1.01) 0.66 (1.48) 2.33 0.03 (1.18) (0.50)
-------- ------- -------- -------- -------- -------- --------
Total from
Investment
Operations.......... (0.75) 0.74 (1.14) 2.64 0.34 (0.88) (0.08)
-------- ------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income..... (0.22) (0.06) (0.41) (0.24) (0.31) (0.27) (0.42)
-------- ------- -------- -------- -------- -------- --------
Total
Distributions....... (0.22) (0.06) (0.41) (0.24) (0.31) (0.27) (0.42)
-------- ------- -------- -------- -------- -------- --------
Net Asset Value, End of
Period..................... $ 9.71 $ 10.68 $ 11.16 $ 12.71 $ 10.31 $ 10.28 $ 11.43
======== ======= ======== ======== ======== ======== ========
Total Return................. (7.20%) 7.38%(C) (9.22%) 25.97% 3.54% (7.77%) (0.81%)
-------- ------- -------- -------- -------- -------- --------
Net Assets, End of
Period (thousands)......... $266,868 $67,793 $240,668 $246,551 $188,154 $155,301 $113,951
Ratio of Expenses to
Average Net Assets *....... 0.35% 0.31%(D)(E) 0.52% 0.52% 0.53% 0.53% 0.57%
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% 0.65%(D)(E) 0.74% 0.75% 0.76% 0.75% 0.76%
Ratio of Net Investment
Income to Average Net
Assets..................... 2.41% 1.76%(D)(E) 2.72% 2.69% 3.20% 2.69% 3.54%
Portfolio Turnover Rate...... 9% 2% N/A N/A N/A N/A N/A
-------- ------- -------- -------- -------- -------- --------
* The Ratio of Expenses
to Average Net Assets
is inclusive of
acquired fund fees and
expenses incurred by
the Portfolio
indirectly as a result
of Portfolio's
investment in
Underlying Funds as
follows:................... N/A N/A 0.24% 0.25% 0.26% 0.25% 0.23%
-------- ------- -------- -------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
178
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD EX U.S. TARGETED VALUE PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Period............................. $ 15.06 $ 12.04 $ 11.44 $ 12.08 $ 12.46
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).............................. 0.31 0.28 0.25 0.23 0.23
Net Gains (Losses) on Securities (Realized and Unrealized).... (2.29) 3.01 0.55 (0.58) (0.22)
-------- -------- -------- -------- --------
Total from Investment Operations.......................... (1.98) 3.29 0.80 (0.35) 0.01
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income......................................... (0.30) (0.27) (0.20) (0.26) (0.24)
Net Realized Gains............................................ (0.26) -- -- (0.03) (0.15)
-------- -------- -------- -------- --------
Total Distributions....................................... (0.56) (0.27) (0.20) (0.29) (0.39)
-------- -------- -------- -------- --------
Net Asset Value, End of Period................................... $ 12.52 $ 15.06 $ 12.04 $11.44 $ 12.08
======== ======== ======== ======== ========
Total Return..................................................... (13.56%) 27.61% 7.18% (2.88%) 0.06%
-------- -------- -------- -------- --------
Net Assets, End of Period (thousands)............................ $460,155 $466,504 $281,212 $227,731 $151,096
Ratio of Expenses to Average Net Assets *........................ 0.66% 0.67% 0.76% 0.65% 0.69%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly) *.................................................. 0.66% 0.67% 0.77% 1.06% 1.17%
Ratio of Net Investment Income to Average Net Assets............. 2.08% 2.04% 2.18% 1.95% 1.84%
Portfolio Turnover Rate.......................................... 24% 17% 28% 1% 0%
-------- -------- -------- -------- --------
* The Ratio of Expenses to Average Net Assets is inclusive of
acquired fund fees and expenses incurred by the Portfolio
indirectly as a result of Portfolio's investment in Underlying
Funds as follows:.............................................. N/A N/A N/A 0.45% 0.51%
-------- -------- -------- -------- --------
WORLD EX U.S. CORE EQUITY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- --------
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).............................. 0.31 0.27 0.26 0.26 0.28
Net Gains (Losses) on Securities (Realized and Unrealized).... (1.52) 2.21 0.08 (0.72) (0.27)
---------- ---------- ---------- ---------- --------
Total from Investment Operations.......................... (1.21) 2.48 0.34 (0.46) 0.01
---------- ---------- ---------- ---------- --------
Less Distributions:
-------------------
Net Investment Income......................................... (0.29) (0.26) (0.24) (0.20) (0.28)
Net Realized Gains............................................ -- -- -- -- (0.01)
---------- ---------- ---------- ---------- --------
Total Distributions....................................... (0.29) (0.26) (0.24) (0.20) (0.29)
---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period................................... $ 10.65 $ 12.15 $ 9.93 $ 9.83 $ 10.49
========== ========== ========== ========== ========
Total Return..................................................... (10.22%) 25.33% 3.58% (4.50%) (0.04%)
---------- ---------- ---------- ---------- --------
Net Assets, End of Period (thousands)............................ $3,129,791 $2,805,367 $1,656,445 $1,170,828 $406,648
Ratio of Expenses to Average Net Assets *........................ 0.39% 0.40% 0.47% 0.47% 0.47%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly) *.................................................. 0.37% 0.40% 0.47% 0.52% 0.88%
Ratio of Net Investment Income to Average Net Assets............. 2.56% 2.48% 2.67% 2.54% 2.59%
Portfolio Turnover Rate.......................................... 4% 4% 1% 1% 0%
---------- ---------- ---------- ---------- --------
* The Ratio of Expenses to Average Net Assets is inclusive of
acquired fund fees and expenses incurred by the Portfolio
indirectly as a result of Portfolio's investment in Underlying
Funds as follows:.............................................. N/A N/A N/A 0.03% 0.43%
---------- ---------- ---------- ---------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
179
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD CORE EQUITY PORTFOLIO
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- -------
Net Asset Value, Beginning of Year.................................... $ 16.06 $ 13.14 $ 12.94 $ 13.33 $ 12.71
-------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.31 0.29 0.27 0.26 0.17
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.64) 2.98 0.20 (0.35) 0.87
-------- -------- -------- -------- -------
Total from Investment Operations............................... (0.33) 3.27 0.47 (0.09) 1.04
-------- -------- -------- -------- -------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.30) (0.30) (0.26) (0.26) (0.24)
Net Realized Gains................................................. (0.03) (0.05) (0.01) (0.04) (0.18)
-------- -------- -------- -------- -------
Total Distributions............................................ (0.33) (0.35) (0.27) (0.30) (0.42)
-------- -------- -------- -------- -------
Net Asset Value, End of Year.......................................... $ 15.40 $ 16.06 $ 13.14 $ 12.94 $ 13.33
======== ======== ======== ======== =======
Total Return.......................................................... (2.16%) 25.14% 3.73% (0.61%) 8.36%
-------- -------- -------- -------- -------
Net Assets, End of Year (thousands)................................... $741,512 $546,891 $370,229 $202,655 $75,707
Ratio of Expenses to Average Net Assets *(B).......................... 0.35% 0.35% 0.35% 0.35% 0.35%
Ratio of Expenses to Average Net Assets (Excluding Fees...............
(Waived), (Expenses Reimbursed), and/or Previously Waived.............
Fees Recovered by Advisor) *.......................................... 0.59% 0.60% 0.64% 0.65% 0.97%
Ratio of Net Investment Income to Average Net Assets.................. 1.89% 1.95% 2.14% 1.95% 1.27%
-------- -------- -------- -------- -------
* The Ratio of Expenses to Average Net Assets is inclusive of
acquired fund fees and expenses incurred by the Portfolio
indirectly as a result of Portfolio's investment in Underlying
Funds as follows:................................................... 0.27% 0.28% 0.31% 0.32% 0.31%
-------- -------- -------- -------- -------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year.................................... $ 16.52 $ 13.67 $ 13.50 $ 14.20 $ 13.63
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.31 0.29 0.26 0.27 0.27
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.66) 2.98 0.30 (0.34) 0.76
-------- -------- -------- -------- --------
Total from Investment Operations............................... (0.35) 3.27 0.56 (0.07) 1.03
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.27) (0.30) (0.35) (0.42) (0.32)
Net Realized Gains................................................. (0.19) (0.12) (0.04) (0.21) (0.14)
-------- -------- -------- -------- --------
Total Distributions............................................ (0.46) (0.42) (0.39) (0.63) (0.46)
-------- -------- -------- -------- --------
Net Asset Value, End of Year.......................................... $ 15.71 $ 16.52 $ 13.67 $ 13.50 $ 14.20
======== ======== ======== ======== ========
Total Return.......................................................... (2.28%) 24.54% 4.32% (0.34%) 7.83%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $403,195 $402,204 $289,904 $245,106 $147,276
Ratio of Expenses to Average Net Assets *(B).......................... 0.34% 0.35% 0.35% 0.40% 0.40%
Ratio of Expenses to Average Net Assets (Excluding Fees...............
(Waived), (Expenses Reimbursed), and/or Previously Waived.............
Fees Recovered by Advisor) *.......................................... 0.60% 0.62% 0.64% 0.66% 0.69%
Ratio of Net Investment Income to Average Net Assets.................. 1.87% 1.90% 2.03% 1.93% 1.94%
-------- -------- -------- -------- --------
* The Ratio of Expenses to Average Net Assets is inclusive of
acquired fund fees and expenses incurred by the Portfolio
indirectly as a result of Portfolio's investment in Underlying
Funds as follows:................................................... 0.29% 0.29% 0.32% 0.33% 0.34%
-------- -------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
180
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 29.55 $ 24.12 $ 22.17 $ 26.64 $ 26.97
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.61 0.49 0.45 0.49 0.56
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (4.14) 5.43 1.95 (4.54) (0.20)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... (3.53) 5.92 2.40 (4.05) 0.36
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.56) (0.49) (0.45) (0.42) (0.53)
Net Realized Gains....................................... -- -- -- -- (0.16)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.56) (0.49) (0.45) (0.42) (0.69)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 25.46 $ 29.55 $ 24.12 $ 22.17 $ 26.64
========== ========== ========== ========== ==========
Total Return................................................ (12.14%) 24.83% 11.01% (15.24%) 1.33%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $5,394,188 $6,632,914 $4,915,400 $4,321,530 $4,073,698
Ratio of Expenses to Average Net Assets (B)................. 0.47% 0.50% 0.56% 0.57% 0.56%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................ 0.57% 0.60% 0.66% 0.60% 0.56%
Ratio of Net Investment Income to Average Net Assets........ 2.08% 1.88% 2.04% 1.97% 2.11%
---------- ---------- ---------- ---------- ----------
EMERGING MARKETS SMALL CAP PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 23.49 $ 20.39 $ 18.51 $ 21.42 $ 21.10
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.53 0.49 0.45 0.43 0.43
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (4.22) 3.58 2.04 (2.53) 0.62
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... (3.69) 4.07 2.49 (2.10) 1.05
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.53) (0.51) (0.47) (0.41) (0.40)
Net Realized Gains....................................... (0.55) (0.46) (0.14) (0.40) (0.33)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (1.08) (0.97) (0.61) (0.81) (0.73)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 18.72 $ 23.49 $ 20.39 $ 18.51 $ 21.42
========== ========== ========== ========== ==========
Total Return................................................ (16.45%) 21.00% 13.96% (9.88%) 5.12%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $6,304,406 $7,249,717 $5,459,509 $4,845,174 $4,860,603
Ratio of Expenses to Average Net Assets (B)................. 0.70% 0.73% 0.72% 0.73% 0.72%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................ 0.90% 0.93% 0.92% 0.78% 0.72%
Ratio of Net Investment Income to Average Net Assets........ 2.31% 2.32% 2.43% 2.16% 2.02%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
181
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES
---------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year.................................... $ 30.13 $ 24.71 $ 22.18 $ 27.79 $ 29.27
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.63 0.31 0.46 0.49 0.59
Net Gains (Losses) on Securities (Realized and Unrealized)......... (3.48) 5.60 2.75 (5.61) (1.10)
------- ------- ------- ------- -------
Total from Investment Operations............................... (2.85) 5.91 3.21 (5.12) (0.51)
------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.64) (0.49) (0.68) (0.49) (0.55)
Net Realized Gains................................................. -- -- -- -- (0.42)
------- ------- ------- ------- -------
Total Distributions............................................ (0.64) (0.49) (0.68) (0.49) (0.97)
------- ------- ------- ------- -------
Net Asset Value, End of Year.......................................... $ 26.64 $ 30.13 $ 24.71 $ 22.18 $ 27.79
======= ======= ======= ======= =======
Total Return.......................................................... (9.66%) 24.11% 14.98% (18.49%) (1.75%)
------- ------- ------- ------- -------
Net Assets, End of Year (thousands)................................... $25,150 $31,198 $97,923 $74,076 $99,066
Ratio of Expenses to Average Net Assets (B)........................... 0.80% 0.81% 0.81% 0.81% 0.80%
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).............................. 0.90% 0.91% 0.91% 0.84% 0.80%
Ratio of Net Investment Income to Average Net Assets.................. 2.07% 1.19% 2.08% 1.93% 2.09%
------- ------- ------- ------- -------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
182
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year................ $ 30.32 $ 24.84 $ 22.22 $ 27.81 $ 29.28
----------- ----------- ----------- ----------- -----------
Income (loss) from Investment Operations
----------------------------------------
Net Investment Income (Loss) (A)............... 0.73 0.61 0.51 0.54 0.66
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (3.53) 5.40 2.77 (5.60) (1.10)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations........... (2.80) 6.01 3.28 (5.06) (0.44)
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.......................... (0.71) (0.53) (0.66) (0.53) (0.61)
Net Realized Gains............................. -- -- -- -- (0.42)
----------- ----------- ----------- ----------- -----------
Total Distributions........................ (0.71) (0.53) (0.66) (0.53) (1.03)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year...................... $ 26.81 $ 30.32 $ 24.84 $ 22.22 $ 27.81
=========== =========== =========== =========== ===========
Total Return...................................... (9.45%) 24.41% 15.23% (18.27%) (1.51%)
Net Assets, End of Year (thousands)............... $16,431,410 $19,383,230 $16,304,321 $14,834,888 $18,647,276
Ratio of Expenses to Average Net Assets (B)....... 0.54% 0.57% 0.56% 0.56% 0.55%
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)............................................. 0.64% 0.67% 0.66% 0.59% 0.55%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.37% 2.23% 2.31% 2.12% 2.35%
----------- ----------- ----------- ----------- -----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
183
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......... $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 20.09
----------- ----------- ----------- ----------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......... 0.50 0.42 0.37 0.39 0.42
Net Gains (Losses) on Securities
(Realized and Unrealized).............. (3.47) 3.95 1.59 (3.29) (0.03)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..... (2.97) 4.37 1.96 (2.90) 0.39
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................... (0.46) (0.39) (0.37) (0.37) (0.40)
----------- ----------- ----------- ----------- -----------
Total Distributions.................. (0.46) (0.39) (0.37) (0.37) (0.40)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................ $ 18.95 $ 22.38 $ 18.40 $ 16.81 $ 20.08
=========== =========== =========== =========== ===========
Total Return................................ (13.48%) 24.02% 11.87% (14.49%) 1.89%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......... $25,372,759 $27,085,722 $18,712,966 $14,856,878 $15,727,547
Ratio of Expenses to Average Net Assets..... 0.52% 0.55% 0.61% 0.62% 0.61%
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% 0.56% 0.61% 0.62% 0.61%
Ratio of Net Investment Income to
Average Net Assets........................ 2.25% 2.08% 2.20% 2.06% 2.10%
Portfolio Turnover Rate..................... 4% 4% 3% 5% 2%
----------- ----------- ----------- ----------- -----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
184
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of one hundred 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 the Financial
Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC"),
Topic 946, "Financial Services-Investment Companies."
Of the Portfolios, eight invest all of their assets in a corresponding
series or fund (each such Portfolio, a "Feeder Fund"). Of the Feeder Funds,
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"). Six of the Portfolios generally allocate their
assets among other funds managed by Dimensional Fund Advisors LP (each such
Portfolio, a "Fund of Funds"). The International Small Company Portfolio
invests in five Master Funds within DFAITC. The 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"). The DFA
Global Real Estate Securities Portfolio invests in two Underlying Funds within
the Fund and directly in securities. The World ex U.S. Value Portfolio invests
in three Master/Underlying Funds within the Fund, DFAITC, and DEM. The World
Core Equity Portfolio and Selectively Hedged Global Equity Portfolio invest in
three Underlying Funds within the Fund each. As of October 31, 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 10/31/18
------------ ----------------------- -----------
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 20%
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 10/31/18
------------- ----------------------- -----------
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 80%
The Canadian Small Company Series 98%
Global Small Company Portfolio U.S. Small Cap Portfolio --
The Continental Small Company Series --
The Japanese Small Company Series --
The Asia Pacific Small Company Series --
185
PERCENTAGE
OWNERSHIP
FUND OF FUNDS MASTER/UNDERLYING FUNDS AT 10/31/18
------------- ----------------------- -----------
The Canadian Small Company Series --
The Emerging Markets Small Cap Series --
The United Kingdom Small Company Series --
DFA Global Real Estate Securities Portfolio* DFA Real Estate Securities Portfolio 16%
DFA International Real Estate Securities Portfolio 47%
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 --
* The 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 invests 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, the
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 use 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,
and 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)
186
Securities held by Enhanced U.S. Large Company Portfolio, U.S. Large Cap
Equity Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value
Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S.
Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio,
DFA Real Estate Securities Portfolio and U.S. High Relative Profitability
Portfolio (the "Domestic Equity Portfolios") and Large Cap International
Portfolio, International Core Equity Portfolio, DFA International Real Estate
Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA
International Small Cap Value Portfolio, International Vector Equity Portfolio,
World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio,
Emerging Markets Core Equity Portfolio and International High Relative
Profitability Portfolio (the "International Equity Portfolios"), including
over-the-counter 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 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, 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 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 at which 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 pricing of the International Equity
Portfolios' 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 calculated
closing prices of the foreign investments 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 uses 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.
187
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. Over-the-counter derivative contracts, which include forward
currency contracts, do not require material subjectivity as pricing inputs are
observed from quoted markets and are categorized as Level 2 in the hierarchy.
Shares held by the Portfolios in other investment companies (such as the
Master/Underlying Funds) are valued at their respective daily net asset values
as reported by their administrator. The Feeder Funds', International Small
Company Portfolio's, Global Small Company Portfolio's and World ex U.S. Value
Portfolio's investments in series of either 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 methodology or inputs used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
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 foreign
exchange rate fluctuations 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 foreign currency rate fluctuations 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 of
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
to participate 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: the 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.
The Directors may receive their distributions of proceeds by 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. The 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
188
who elects to defer fees fails to designate in the Notice a time or date as of
which payment of the Director's deferred fee account shall commence, payment of
such amount shall commence as of the first business day of January following
the year in which the Director ceases to be a member of the Board (unless the
Director files an amended Notice selecting a different distribution date). As
of October 31, 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 received distributions 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, using 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 recognize their pro-rata
shares 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. Additionally, 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 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 tax on short-term capital gains
for investments in India. Such taxes are accrued on a daily basis and due upon
sale of individual securities.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 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%
189
U.S. Micro Cap Portfolio................................................. 0.50%
U.S. High Relative Profitability Portfolio............................... 0.20%
DFA Real Estate Securities Portfolio..................................... 0.17%
Large Cap International Portfolio........................................ 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
Agreements (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 Agreements for the
non-Feeder Funds, and a portion of the Fee Waiver Agreement for certain Feeder
Funds below, will remain in effect through February 28, 2019, 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 Funds, as described in the notes below, will remain in
effect permanently, unless terminated by a Feeder Fund. During the year ended
October 31, 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 assumed expenses (amounts in thousands), as listed below.
The net amount of waived fees/expenses assumed (recovered previously waived
fees/expenses assumed) during the year ended October 31, 2018, and the
previously waived fees/expenses assumed subject to future recovery by the
Advisor as of October 31, 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 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.
190
NET WAIVED
RECOVERY FEES/EXPENSES PREVIOUSLY WAIVED
OF PREVIOUSLY ASSUMED (RECOVERED FEES/ EXPENSES
EXPENSE LIMITATION WAIVED FEES/ PREVIOUSLY WAIVED ASSUMED SUBJECT
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED FEES/EXPENSES ASSUMED) TO FUTURE RECOVERY
-------------------------- ------------------ ---------------- ---------------------- ------------------
Enhanced U.S. Large Company Portfolio (1)......... 0.15% $ 1 $ 287 $ 445
U.S. Large Cap Equity Portfolio (1)............... 0.19% -- -- --
U.S. Large Cap Value Portfolio (2)................ 0.25% -- 25,540 --
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% 6 74 130
DFA Real Estate Securities Portfolio (1).......... 0.18% 3 724 2,033
Large Cap International Portfolio (1)............. 0.24% 40 (40) --
International Core Equity Portfolio (1)........... 0.30% 1,096 (743) 1,849
International Small Company Portfolio (5)......... 0.45% -- -- --
Global Small Company Portfolio (4)................ 0.49% -- 104 161
Japanese Small Company Portfolio (6).............. 0.47% -- 682 --
Asia Pacific Small Company Portfolio (6).......... 0.47% -- 364 --
United Kingdom Small Company Portfolio (6)........ 0.47% 2 43 21
Continental Small Company Portfolio (6)........... 0.47% -- 722 --
DFA International Real Estate Securities
Portfolio (7)................................... 0.29% -- -- --
DFA Global Real Estate Securities Portfolio (8)... 0.24% 2 8,006 21,469
International Vector Equity Portfolio (1)......... 0.60% -- -- --
International High Relative Profitability
Portfolio (4)................................... 0.35% 44 10 72
World ex U.S. Value Portfolio (9)................. 0.60% -- 543 --
World ex U.S. Targeted Value Portfolio (10) 0.80% -- -- --
World ex U.S. Core Equity Portfolio (11).......... 0.39% 922 (917) 9
World Core Equity Portfolio (12).................. 0.35% 173 1,685 --
Selectively Hedged Global Equity Portfolio (13) 0.40% -- 1,098 --
Emerging Markets Portfolio (14)................... 0.49% -- 6,154 --
Emerging Markets Small Cap Portfolio (2).......... 0.65% -- 14,930 --
Emerging Markets Value Portfolio (2).............. 0.50% -- 19,054 --
191
NET WAIVED
RECOVERY FEES/EXPENSES PREVIOUSLY WAIVED
OF PREVIOUSLY ASSUMED (RECOVERED FEES/ EXPENSES
EXPENSE LIMITATION WAIVED FEES/ PREVIOUSLY WAIVED ASSUMED SUBJECT
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED FEES/EXPENSES ASSUMED) TO FUTURE RECOVERY
-------------------------- ------------------ ----------------- ---------------------- ------------------
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% -- 29 --
(1)The Advisor has contractually agreed to waive all or a portion of its
management fee and assume each Portfolio's ordinary operating expenses
(excluding the expenses a Portfolio incurs indirectly through investment in
other investment companies) ("Portfolio Expenses") to the extent necessary
to limit the Portfolio Expenses of each Portfolio to the rates listed above
as a percentage of average net assets on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a Portfolio
are less than the Expense Limitation Amount listed above for such Portfolio,
the Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery is within
thirty-six months and will not cause the Portfolio's annualized Portfolio
Expenses to exceed the Expense Limitation Amount, as listed above. The Fee
Waiver Agreements for the Enhanced U.S. Large Company Portfolio and Large
Cap International Portfolio became effective on April 3, 2017 and January 1,
2017, respectively. In addition, prior to January 1, 2017, the Advisor had
contractually agreed to waive all or a portion of its management fee and
assume each of the International Core Equity Portfolio's and Emerging
Markets Core Equity Portfolio's Portfolio Expenses to the extent necessary
to limit the Portfolio Expenses of each such Portfolio to 0.49% and 0.85%,
respectively, as a percentage of average net assets on an annualized basis.
(2)Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of each Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by a
Portfolio, including the proportionate share of the management fees a
Portfolio pays indirectly through its investment in other funds managed by
the Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund
(the "Money Market Series"), to the rate listed above as a percentage of the
average net assets of a class of a Portfolio on an annualized basis.
(3)The Advisor has contractually agreed to waive its management fee and to
assume the Portfolio's expenses (excluding the expenses the Portfolio incurs
indirectly through investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a
class of shares of the Portfolio to the rate listed above for such class of
shares as a percentage of average net assets on an annualized basis (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of shares of the Portfolio are less than the Expense Limitation Amount
listed above for such class of shares, the Advisor retains the right to
recover any fees previously waived and/or expenses previously assumed to the
extent that such recovery is within thirty-six months and will not cause the
Portfolio's annualized Portfolio Expenses for such class of shares to exceed
the Expense Limitation Amount, as listed above.
(4)The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the ordinary operating expenses of a class of
the Portfolio (including the expenses that the Portfolio bears as a
shareholder of other funds managed by the Advisor, excluding money market
funds, but excluding the expenses that the Portfolio incurs indirectly
through its investment in unaffiliated investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a
class of the Portfolio to the rate listed above as a percentage of the
average net assets of a class of the Portfolio on an annualized basis (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of the Portfolio are less than the Expense Limitation Amount, the
Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery is within
thirty-six months and will not cause the annualized Portfolio Expenses for
such class of shares of the Portfolio to exceed the Expense Limitation
Amount.
192
(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
investment companies managed by the Advisor) ("Portfolio Expenses") to the
extent necessary to limit the Portfolio Expenses of each class of a
Portfolio to the rates listed above as a percentage of the average net
assets of a class of a Portfolio on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a class of a
Portfolio are less than the applicable Expense Limitation Amount for such
class of shares of the Portfolio, the Advisor retains the right to recover
any fees previously waived and/or expenses previously assumed to the extent
that such recovery is within thirty-six months and will not cause the
annualized Portfolio Expenses for such class of shares of the Portfolio to
exceed the applicable Expense Limitation Amount, as listed above. Except, a
Portfolio is not obligated to reimburse the Advisor for fees waived in
connection with the Permanent Fee Waiver. Prior to July 21, 2015, the
Advisor had contractually agreed to waive its administration fee and to
assume each Portfolio's other direct expenses to the extent necessary to
limit the direct expenses of each Portfolio to the Expense Limitation Amount
listed above. The Fee Waiver Agreement did not include the indirect expenses
each Portfolio bore as a shareholder of its Master Fund.
(7)Effective February 28, 2015, the Advisor has contractually agreed to waive
all or a portion of its management fee and to assume the Portfolio's
ordinary operating expenses (excluding the expenses the Portfolio incurs
indirectly through investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of the
Portfolio to the rate listed above as a percentage of the Portfolio's
average net assets on an annualized basis (the "Expense Limitation Amount").
At any time that the Portfolio Expenses of the Portfolio are less than the
Expense Limitation Amount listed above, the Advisor retains the right to
recover any fees previously waived and/or expenses previously assumed to the
extent that such recovery is within thirty-six months and will not cause the
Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation
Amount, as listed above. Prior to February 28, 2015, the Advisor had
contractually agreed to waive all or a portion of its advisory fee and to
assume the Portfolio Expenses of the Portfolio to the extent necessary to
limit the Portfolio Expenses to 0.65% of the Portfolio's average net assets
on an annualized basis.
(8)Effective February 28, 2015, the Advisor has contractually agreed to waive
all or a portion of its management fee and to assume the expenses of the
Portfolio (including the expenses that the Portfolio bears as a shareholder
of its Master/Underlying Funds but excluding the expenses that the Portfolio
incurs indirectly through investment of its securities lending cash
collateral in the Money Market Series and its investment in unaffiliated
investment companies) ("Portfolio Expenses") to the extent necessary to
limit the Portfolio Expenses of the Portfolio to the rate listed above as a
percentage of the Portfolio's average net assets on an annualized basis (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of the
Portfolio are less than the Expense Limitation Amount listed above, the
Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery is within
thirty-six months and will not cause the Portfolio's annualized Portfolio
Expenses to exceed the Expense Limitation Amount, as listed above. From
February 28, 2012 to February 27, 2015, the Advisor had contractually agreed
to waive all or a portion of its advisory fee and to assume the Portfolio
Expenses of the Portfolio to the extent necessary to limit the Portfolio
Expenses to 0.32% of the Portfolio's average net assets on an annualized
basis.
193
(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 the right to seek reimbursement for any
fees previously waived and/or expenses previously assumed to the extent
that such reimbursement is within thirty-six months and will not cause the
Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense
Limitation Amount, as listed above.
(10)The Advisor has contractually agreed to waive up to the full amount of the
Portfolio's management fee of 0.58% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through
its investment in its Master/Underlying Funds, except for the fees paid
through its investment of securities lending cash collateral in the Money
Market Series. In addition, under the Fee Waiver Agreement, the Advisor has
also agreed to waive all or a portion of the management fee and to assume
the ordinary operating expenses of a class of the Portfolio (including
expenses incurred through its investment in other investment companies but
excluding the expenses that the Portfolio incurs indirectly through
investment of its securities lending cash collateral in the Money Market
Series) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of a class of the Portfolio to the rate listed above as
a percentage of the average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses of a class of the Portfolio are less than the Expense
Limitation Amount for such class of the Portfolio, the Advisor retains the
right to seek reimbursement for any fees previously waived and/or expenses
previously assumed to the extent that such reimbursement is within
thirty-six months and will not cause the annualized Portfolio Expenses for
such class of shares of the Portfolio to exceed the Expense Limitation
Amount, as listed above.
(11)The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the expenses of a class of the Portfolio
(including the expenses that the Portfolio bears as a shareholder of its
Master/ Underlying Funds but excluding the expenses that the Portfolio
incurs indirectly through its investment of its securities lending cash
collateral in the Money Market Series and its investment in unaffiliated
investment companies) ("Portfolio Expenses") to the extent necessary to
limit the Portfolio Expenses of a class of the Portfolio to the rate listed
above as a percentage of average net assets of a class of the Portfolio on
an annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses of a class of the Portfolio are less than the Expense
Limitation Amount for such class of the Portfolio, the Advisor retains the
right to seek reimbursement for any fees previously waived and/or expenses
previously assumed to the extent that such reimbursement is within
thirty-six months and will not cause the annualized Portfolio Expenses for
such class of shares of the Portfolio to exceed the Expense Limitation
Amount, as listed above.
(12)Effective June 27, 2014, the Advisor has contractually agreed to waive up
to the full amount of the Portfolio's management fee of 0.30% to the extent
necessary to offset the proportionate share of the management fees paid by
the Portfolio through its investment in its Master/Underlying Funds, except
for the fees paid through its investment of securities lending cash
collateral in the Money Market Series (including the Portfolio's
proportionate share of any management fees that a Master/Underlying Fund
paid through its investment in an affiliated cash management fund). In
addition, under the Fee Waiver Agreement, the Advisor has also agreed to
assume the expenses of a class of the Portfolio to the extent necessary to
reduce the ordinary operating expenses (including expenses incurred through
its investment in other investment companies but excluding the expenses
that the Portfolio incurs indirectly through investment of its securities
lending cash collateral in the Money Market Series) ("Portfolio Expenses")
of a class of the Portfolio so that such Portfolio Expenses do not exceed
the rate listed above as a percentage of the average net assets of a class
of the Portfolio on an annualized basis (the "Expense Limitation Amount").
Prior to June 27, 2014, the Expense Limitation Amount was 0.40% of the
average net assets of such class of the Portfolio on an annualized basis.
At any time that the Portfolio Expenses of a class of the Portfolio are
less than the Expense Limitation Amount for such class of shares of the
Portfolio, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such 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.
194
(13)The Advisor has contractually agreed to waive up to the full amount of the
Portfolio's management fee of 0.30% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through
its investment in its Master/Underlying Funds, except for the fees paid
through its investment of securities lending cash collateral in the Money
Market Series. In addition, under the Fee Waiver Agreement, the Advisor has
also agreed to waive all or a portion of the management fee and to assume
the expenses of a class of the Portfolio to the extent necessary to reduce
the ordinary operating expenses (including expenses incurred through its
investment in other investment companies but excluding the expenses that
the Portfolio incurs indirectly through investment of its securities
lending cash collateral in the Money Market Series) ("Portfolio Expenses")
of the Portfolio to the rate listed above as a percentage of average net
assets of a class of the Portfolio on an annualized basis (the "Expense
Limitation Amount"). At any time that the Portfolio Expenses of a class of
the Portfolio are less than the Expense Limitation Amount for such class of
the Portfolio listed above, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously
assumed to the extent that such reimbursement is within thirty-six months
and will not cause the annualized Portfolio Expenses for such class of
shares of the Portfolio to exceed the Expense Limitation Amount, as listed
above.
(14)Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Portfolio
to the extent necessary to limit the total management fees paid to the
Advisor by the Portfolio, including the proportionate share of the
management fees the Portfolio pays indirectly through its investment in
other funds managed by the Advisor, except for the fees paid indirectly
through its investment of securities lending cash collateral in the Money
Market Series, to 0.42% of the average net assets of a class of the
Portfolio on an annualized basis (the "Permanent Fee Waiver"). Effective
January 1, 2017, in addition to the Permanent Fee Waiver, the Advisor has
contractually agreed to further waive all or a portion of its management
fee and to assume the other direct expenses of a class of the Portfolio
(excluding expenses incurred through its investment in other investment
companies managed by the Advisor) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of each class of the Portfolio to
the rate listed above as a percentage of the average net assets of a class
of the Portfolio on an annualized basis (the "Expense Limitation Amount").
At any time that the Portfolio Expenses of a class of the Portfolio are
less than the Expense Limitation Amount for such class of shares of the
Portfolio, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery
will not cause the annualized Portfolio Expenses for such class of shares
of the Portfolio to exceed the Expense Limitation Amount. Except, the
Portfolio is not obligated to reimburse the Advisor for fees waived in
connection with the Permanent Fee Waiver.
(15)The Advisor has contractually agreed to reduce all or a portion of its
management fee and to assume the direct and indirect expenses of the
Class R1 shares and Class R2 shares of the Portfolio (excluding the
expenses the Portfolio incurs indirectly through investment in other
investment companies) ("Portfolio Expenses") to the extent necessary to
limit the Portfolio Expenses of the Class R1 shares and Class R2 shares of
the Portfolio to the rate listed above for such class of shares as a
percentage of average net assets (the "Expense Limitation Amount"). At any
time that the Portfolio Expenses of the Class R1 shares or Class R2 shares
of the Portfolio are less than the Expense Limitation Amount listed above
for such class of shares, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that
such recovery is within thirty-six months and will not cause the
Portfolio's annualized Portfolio Expenses for such class of shares to
exceed the Expense Limitation Amount, as listed above.
(16)Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Portfolio
to the extent necessary to limit the total management fees paid to the
Advisor by the Portfolio, including the proportionate share of the
management fees the Portfolio pays indirectly through its investment in
other funds managed by the Advisor, except for the fees paid indirectly
through its investment of securities lending cash collateral in the Money
Market Series, to 0.50% of the average net assets of a class of the
Portfolio on an annualized basis (the "Permanent Fee Waiver"). In addition
to the Permanent Fee Waiver, the Advisor has contractually agreed to
(including for the period prior to July 21, 2015) assume the direct
expenses of the Class R2 shares of the Portfolio (excluding management fees
and custodian fees) to the extent necessary to 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.
195
EARNED INCOME CREDIT:
Additionally, Portfolios have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Portfolios' custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2018, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Large Cap International Portfolio........................... $ 391
International Core Equity Portfolio......................... 2,570
DFA International Real Estate Securities Portfolio.......... 488
DFA International Small Cap Value Portfolio................. 1,844
International Vector Equity Portfolio....................... 97
International High Relative Profitability Portfolio......... 41
World ex U.S. Targeted Value Portfolio...................... 27
World ex U.S. Core Equity Portfolio......................... 244
Emerging Markets Core Equity Portfolio...................... 2,940
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2018, the total related amounts paid by the Fund
to the CCO were $322 (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:
As of October 31, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statements of Assets and Liabilities as follows (amounts in thousands):
Enhanced U.S. Large Company Portfolio....................... $ 10
U.S. Large Cap Equity Portfolio............................. 11
U.S. Large Cap Value Portfolio.............................. 502
U.S. Targeted Value Portfolio............................... 181
U.S. Small Cap Value Portfolio.............................. 414
U.S. Core Equity 1 Portfolio................................ 310
U.S. Core Equity 2 Portfolio................................ 404
U.S. Vector Equity Portfolio................................ 107
U.S. Small Cap Portfolio.................................... 295
U.S. Micro Cap Portfolio.................................... 192
U.S. High Relative Profitability Portfolio.................. --
DFA Real Estate Securities Portfolio........................ 188
Large Cap International Portfolio........................... 108
International Core Equity Portfolio......................... 395
International Small Company Portfolio....................... 321
Global Small Company Portfolio.............................. --
Japanese Small Company Portfolio............................ 14
Asia Pacific Small Company Portfolio........................ 9
United Kingdom Small Company Portfolio...................... 2
Continental Small Company Portfolio......................... 9
196
DFA International Real Estate Securities Portfolio.......... $ 87
DFA Global Real Estate Securities Portfolio................. 87
DFA International Small Cap Value Portfolio................. 446
International Vector Equity Portfolio....................... 38
International High Relative Profitability Portfolio......... --
World ex U.S. Value Portfolio............................... 3
World ex U.S. Targeted Value Portfolio...................... 4
World ex U.S. Core Equity Portfolio......................... 21
World Core Equity Portfolio................................. 4
Selectively Hedged Global Equity Portfolio.................. 4
Emerging Markets Portfolio.................................. 147
Emerging Markets Small Cap Portfolio........................ 133
Emerging Markets Value Portfolio............................ 578
Emerging Markets Core Equity Portfolio...................... 410
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2018, the Portfolios' transactions related to
investment securities, other than short-term securities, in-kind redemptions
and U.S. government securities (amounts in thousands), were as follows:
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- -------- ---------- ----------
Enhanced U.S. Large Company Portfolio....................... $136,212 $152,687 $ 184,906 $ 157,894
U.S. Large Cap Equity Portfolio............................. -- -- 289,717 94,707
U.S. Targeted Value Portfolio............................... -- -- 2,930,543 2,529,263
U.S. Small Cap Value Portfolio.............................. -- -- 4,385,966 4,083,905
U.S. Core Equity 1 Portfolio................................ -- -- 3,162,425 653,309
U.S. Core Equity 2 Portfolio................................ -- -- 3,208,940 1,105,087
U.S. Vector Equity Portfolio................................ -- -- 497,943 495,501
U.S. Small Cap Portfolio.................................... -- -- 3,490,935 2,255,328
U.S. Micro Cap Portfolio.................................... -- -- 1,598,450 1,264,070
U.S. High Relative Profitability Portfolio.................. -- -- 612,349 29,122
DFA Real Estate Securities Portfolio........................ -- -- 978,099 249,339
Large Cap International Portfolio........................... -- -- 757,415 398,948
International Core Equity Portfolio......................... -- -- 6,239,102 1,030,467
DFA International Real Estate Securities Portfolio.......... -- -- 596,904 309,423
DFA Global Real Estate Securities Portfolio................. -- -- 1,207,928 233,056
DFA International Small Cap Value Portfolio................. -- -- 3,796,700 3,529,630
International Vector Equity Portfolio....................... -- -- 559,542 315,227
International High Relative Profitability Portfolio......... -- -- 242,166 15,917
World ex U.S. Targeted Value Portfolio...................... -- -- 199,909 118,229
World ex U.S. Core Equity Portfolio......................... -- -- 903,936 139,772
Emerging Markets Core Equity Portfolio...................... -- -- 4,054,095 1,003,846
197
For the year ended October 31, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
CHANGE IN
NET REALIZED UNREALIZED BALANCE AT SHARES AS OF
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION 2018 2018 INCOME
---------- ---------- ---------- ------------ ------------- ----------- ------------ --------
ENHANCED U.S. LARGE COMPANY
PORTFOLIO
The DFA Short Term Investment
Fund $ 3,027 $ 94,538 $ 95,294 $ (1) -- $ 2,270 196 $ 177
---------- ---------- ---------- ----- ---- ---------- ------- -------
TOTAL $ 3,027 $ 94,538 $ 95,294 $ (1) -- $ 2,270 196 $ 177
========== ========== ========== ===== ==== ========== ======= =======
U.S. LARGE CAP EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund $ 41,253 $ 206,970 $ 207,794 $ (5) $ 2 $ 40,426 3,494 $ 691
---------- ---------- ---------- ----- ---- ---------- ------- -------
TOTAL $ 41,253 $ 206,970 $ 207,794 $ (5) $ 2 $ 40,426 3,494 $ 691
========== ========== ========== ===== ==== ========== ======= =======
U.S. TARGETED VALUE PORTFOLIO
The DFA Short Term Investment
Fund $1,670,768 $6,745,766 $7,070,734 $(120) $ 2 $1,345,682 116,308 $25,509
---------- ---------- ---------- ----- ---- ---------- ------- -------
TOTAL $1,670,768 $6,745,766 $7,070,734 $(120) $ 2 $1,345,682 116,308 $25,509
========== ========== ========== ===== ==== ========== ======= =======
U.S. SMALL CAP VALUE PORTFOLIO
The DFA Short Term Investment
Fund $1,834,294 $7,747,819 $7,914,763 $(150) $(29) $1,667,171 144,094 $33,577
---------- ---------- ---------- ----- ---- ---------- ------- -------
TOTAL $1,834,294 $7,747,819 $7,914,763 $(150) $(29) $1,667,171 144,094 $33,577
========== ========== ========== ===== ==== ========== ======= =======
U.S. CORE EQUITY 1 PORTFOLIO
The DFA Short Term Investment
Fund $1,640,846 $7,354,641 $7,525,276 $(157) $ 1 $1,470,055 127,058 $27,491
---------- ---------- ---------- ----- ---- ---------- ------- -------
TOTAL $1,640,846 $7,354,641 $7,525,276 $(157) $ 1 $1,470,055 127,058 $27,491
========== ========== ========== ===== ==== ========== ======= =======
U.S. CORE EQUITY 2 PORTFOLIO
The DFA Short Term Investment
Fund $2,291,391 $8,187,807 $8,731,906 $(115) $(15) $1,747,162 151,008 $31,674
---------- ---------- ---------- ----- ---- ---------- ------- -------
TOTAL $2,291,391 $8,187,807 $8,731,906 $(115) $(15) $1,747,162 151,008 $31,674
========== ========== ========== ===== ==== ========== ======= =======
CAPITAL GAIN
DISTRIBUTIONS
-------------
ENHANCED U.S. LARGE COMPANY
PORTFOLIO
The DFA Short Term Investment
Fund --
--
TOTAL --
==
U.S. LARGE CAP EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund --
--
TOTAL --
==
U.S. TARGETED VALUE PORTFOLIO
The DFA Short Term Investment
Fund --
--
TOTAL --
==
U.S. SMALL CAP VALUE PORTFOLIO
The DFA Short Term Investment
Fund --
--
TOTAL --
==
U.S. CORE EQUITY 1 PORTFOLIO
The DFA Short Term Investment
Fund --
--
TOTAL --
==
U.S. CORE EQUITY 2 PORTFOLIO
The DFA Short Term Investment
Fund --
--
TOTAL --
==
198
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS FROM GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF
10/31/17 AT COST SALES ON SALES DEPRECIATION OCTOBER 31, 2018 OCTOBER 31, 2018
---------- ----------- ------------- ------------ ------------- ---------------- ----------------
U.S. VECTOR EQUITY PORTFOLIO
The DFA Short Term Investment
Fund $ 572,203 $ 2,285,629 $ 2,481,603 $ (52) $(17) $ 376,160 32,512
---------- ----------- ----------- ----- ---- ---------- -------
TOTAL $ 572,203 $ 2,285,629 $ 2,481,603 $ (52) $(17) $ 376,160 32,512
========== =========== =========== ===== ==== ========== =======
U.S. SMALL CAP PORTFOLIO
The DFA Short Term Investment
Fund $3,582,679 $10,675,988 $11,742,669 $(358) $(18) $2,515,622 217,426
---------- ----------- ----------- ----- ---- ---------- -------
TOTAL $3,582,679 $10,675,988 $11,742,669 $(358) $(18) $2,515,622 217,426
========== =========== =========== ===== ==== ========== =======
U.S. MICRO CAP PORTFOLIO
The DFA Short Term Investment
Fund $1,087,256 $ 3,398,792 $ 3,527,906 $ (61) $ (7) $ 958,074 82,807
---------- ----------- ----------- ----- ---- ---------- -------
TOTAL $1,087,256 $ 3,398,792 $ 3,527,906 $ (61) $ (7) $ 958,074 82,807
========== =========== =========== ===== ==== ========== =======
U.S. HIGH RELATIVE
PROFITABILITY PORTFOLIO
The DFA Short Term Investment
Fund $ 8,012 $ 107,833 $ 106,403 $ (3) $ 1 $ 9,440 816
---------- ----------- ----------- ----- ---- ---------- -------
TOTAL $ 8,012 $ 107,833 $ 106,403 $ (3) $ 1 $ 9,440 816
========== =========== =========== ===== ==== ========== =======
DFA REAL ESTATE SECURITIES
PORTFOLIO
The DFA Short Term Investment
Fund $ 416,958 $ 3,156,153 $ 3,213,619 $ (37) $ (2) $ 359,453 31,068
---------- ----------- ----------- ----- ---- ---------- -------
TOTAL $ 416,958 $ 3,156,153 $ 3,213,619 $ (37) $ (2) $ 359,453 31,068
========== =========== =========== ===== ==== ========== =======
LARGE CAP INTERNATIONAL
PORTFOLIO
The DFA Short Term Investment
Fund $ 273,686 $ 1,581,314 $ 1,648,654 $ (31) $ 35 $ 206,350 17,835
---------- ----------- ----------- ----- ---- ---------- -------
TOTAL $ 273,686 $ 1,581,314 $ 1,648,654 $ (31) $ 35 $ 206,350 17,835
========== =========== =========== ===== ==== ========== =======
DIVIDEND CAPITAL GAIN
INCOME DISTRIBUTIONS
-------- -------------
U.S. VECTOR EQUITY PORTFOLIO
The DFA Short Term Investment
Fund $ 8,909 --
------- --
TOTAL $ 8,909 --
======= ==
U.S. SMALL CAP PORTFOLIO
The DFA Short Term Investment
Fund $53,834 --
------- --
TOTAL $53,834 --
======= ==
U.S. MICRO CAP PORTFOLIO
The DFA Short Term Investment
Fund $16,526 --
------- --
TOTAL $16,526 --
======= ==
U.S. HIGH RELATIVE
PROFITABILITY PORTFOLIO
The DFA Short Term Investment
Fund $ 1 --
------- --
TOTAL $ 1 --
======= ==
DFA REAL ESTATE SECURITIES
PORTFOLIO
The DFA Short Term Investment
Fund $ 6,658 --
------- --
TOTAL $ 6,658 --
======= ==
LARGE CAP INTERNATIONAL
PORTFOLIO
The DFA Short Term Investment
Fund $ 5,343 --
------- --
TOTAL $ 5,343 --
======= ==
199
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2018 OCTOBER 31, 2018
---------- ---------- ---------- ------------ ------------- ---------------- ----------------
INTERNATIONAL CORE EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund $1,710,859 $6,518,040 $6,624,353 $ (83) $ (17) $1,604,446 138,673
---------- ---------- ---------- -------- --------- ---------- -------
TOTAL $1,710,859 $6,518,040 $6,624,353 $ (83) $ (17) $1,604,446 138,673
========== ========== ========== ======== ========= ========== =======
GLOBAL SMALL COMPANY PORTFOLIO
DFA US Small Cap Portfolio $ 7,573 $ 11,452 $ 1,151 $ (93) $ (772) $ 17,009 486
---------- ---------- ---------- -------- --------- ---------- -------
TOTAL $ 7,573 $ 11,452 $ 1,151 $ (93) $ (772) $ 17,009 486
========== ========== ========== ======== ========= ========== =======
DFA INTERNATIONAL REAL ESTATE
SECURITIES PORTFOLIO
The DFA Short Term Investment
Fund $ 185,600 $2,427,213 $2,398,452 $ (50) $ 6 $ 214,317 18,523
---------- ---------- ---------- -------- --------- ---------- -------
TOTAL $ 185,600 $2,427,213 $2,398,452 $ (50) $ 6 $ 214,317 18,523
========== ========== ========== ======== ========= ========== =======
DFA GLOBAL REAL ESTATE
SECURITIES PORTFOLIO
DFA International Real Estate
Securities Portfolio $2,368,488 $ 533,594 $ 195,157 $(20,040) $(102,522) $2,584,363 532,858
DFA Real Estate Securities
Portfolio 1,583,375 (1) 187,541 33,773 (74,522) 1,355,084 39,692
The DFA Short Term Investment
Fund 107,840 1,723,001 1,741,769 (54) 17 89,035 7,695
---------- ---------- ---------- -------- --------- ---------- -------
TOTAL $4,059,703 $2,256,594 $2,124,467 $ 13,679 $(177,027) $4,028,482 580,245
========== ========== ========== ======== ========= ========== =======
DFA INTERNATIONAL SMALL CAP
VALUE PORTFOLIO
The DFA Short Term Investment
Fund $ 910,021 $3,229,301 $3,191,126 $ (64) $ (36) $ 948,096 81,944
---------- ---------- ---------- -------- --------- ---------- -------
TOTAL $ 910,021 $3,229,301 $3,191,126 $ (64) $ (36) $ 948,096 81,944
========== ========== ========== ======== ========= ========== =======
DIVIDEND CAPITAL GAIN
INCOME DISTRIBUTIONS
-------- -------------
INTERNATIONAL CORE EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund $ 38,119 --
-------- ------
TOTAL $ 38,119 --
======== ======
GLOBAL SMALL COMPANY PORTFOLIO
DFA US Small Cap Portfolio $ 131 $ 333
-------- ------
TOTAL $ 131 $ 333
======== ======
DFA INTERNATIONAL REAL ESTATE
SECURITIES PORTFOLIO
The DFA Short Term Investment
Fund $ 4,562 --
-------- ------
TOTAL $ 4,562 --
======== ======
DFA GLOBAL REAL ESTATE
SECURITIES PORTFOLIO
DFA International Real Estate
Securities Portfolio 104,259 --
DFA Real Estate Securities
Portfolio 73,791 $5,030
The DFA Short Term Investment
Fund 3,943 --
-------- ------
TOTAL $181,993 $5,030
======== ======
DFA INTERNATIONAL SMALL CAP
VALUE PORTFOLIO
The DFA Short Term Investment
Fund $ 19,728 --
-------- ------
TOTAL $ 19,728 --
======== ======
200
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2018 OCTOBER 31, 2018
---------- --------- ---------- ------------ ------------- ---------------- ----------------
INTERNATIONAL VECTOR EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund $169,224 $590,529 $593,317 $ (4) $ (6) $166,426 14,384
-------- -------- -------- ----- ------- -------- ------
TOTAL $169,224 $590,529 $593,317 $ (4) $ (6) $166,426 14,384
======== ======== ======== ===== ======= ======== ======
INTERNATIONAL HIGH RELATIVE
PROFITABILITY PORTFOLIO
The DFA Short Term Investment
Fund $ 1,943 $126,084 $115,342 -- -- $ 12,685 1,096
-------- -------- -------- ----- ------- -------- ------
TOTAL $ 1,943 $126,084 $115,342 -- -- $ 12,685 1,096
======== ======== ======== ===== ======= ======== ======
WORLD EX U.S. VALUE PORTFOLIO
DFA International Small Cap
Value Portfolio $ 24,824 $ 8,528 $ 5,485 $(152) $(4,644) $ 23,071 1,199
-------- -------- -------- ----- ------- -------- ------
TOTAL $ 24,824 $ 8,528 $ 5,485 $(152) $(4,644) $ 23,071 1,199
======== ======== ======== ===== ======= ======== ======
WORLD EX U.S. TARGETED VALUE
PORTFOLIO
The DFA Short Term Investment
Fund $ 7,173 $ 30,854 $ 33,367 $ (1) -- $ 4,659 403
-------- -------- -------- ----- ------- -------- ------
TOTAL $ 7,173 $ 30,854 $ 33,367 $ (1) -- $ 4,659 403
======== ======== ======== ===== ======= ======== ======
WORLD EX U.S. CORE EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund $158,025 $568,872 $596,577 $ (7) $ (1) $130,312 11,263
-------- -------- -------- ----- ------- -------- ------
TOTAL $158,025 $568,872 $596,577 $ (7) $ (1) $130,312 11,263
======== ======== ======== ===== ======= ======== ======
DIVIDEND CAPITAL GAIN
INCOME DISTRIBUTIONS
-------- -------------
INTERNATIONAL VECTOR EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund $3,583 --
------ ----
TOTAL $3,583 --
====== ====
INTERNATIONAL HIGH RELATIVE
PROFITABILITY PORTFOLIO
The DFA Short Term Investment
Fund -- --
------ ----
TOTAL -- --
====== ====
WORLD EX U.S. VALUE PORTFOLIO
DFA International Small Cap
Value Portfolio $ 595 $772
------ ----
TOTAL $ 595 $772
====== ====
WORLD EX U.S. TARGETED VALUE
PORTFOLIO
The DFA Short Term Investment
Fund $ 96 --
------ ----
TOTAL $ 96 --
====== ====
WORLD EX U.S. CORE EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund $3,108 --
------ ----
TOTAL $3,108 --
====== ====
201
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2018 OCTOBER 31, 2018
---------- ---------- ---------- ------------ ------------- ---------------- ----------------
WORLD CORE EQUITY PORTFOLIO
U.S. Core Equity 1 Portfolio $ 276,439 $ 157,099 $ 37,812 $1,090 $ 7,323 $404,139 17,749
International Core Equity
Portfolio 203,505 109,399 26,324 925 (32,279) 255,226 20,176
Emerging Markets Core Equity
Portfolio 66,399 40,117 9,750 (63) (14,931) 81,772 4,315
---------- ---------- ---------- ------ -------- -------- ------
TOTAL $ 546,343 $ 306,615 $ 73,886 $1,952 $(39,887) $741,137 42,240
========== ========== ========== ====== ======== ======== ======
SELECTIVELY HEDGED GLOBAL
EQUITY PORTFOLIO
U.S. Core Equity 2 Portfolio $ 165,111 $ 35,343 $ 21,061 $ 793 $ 1,564 $181,750 8,553
International Core Equity
Portfolio 139,217 25,895 18,914 817 (16,519) 130,496 10,316
Emerging Markets Core Equity
Portfolio 73,349 14,439 9,591 436 (12,232) 66,401 3,504
---------- ---------- ---------- ------ -------- -------- ------
TOTAL $ 377,677 $ 75,677 $ 49,566 $2,046 $(27,187) $378,647 22,373
========== ========== ========== ====== ======== ======== ======
EMERGING MARKETS CORE EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund $1,102,540 $4,512,373 $4,881,110 $ (73) $ (27) $733,703 63,414
---------- ---------- ---------- ------ -------- -------- ------
TOTAL $1,102,540 $4,512,373 $4,881,110 $ (73) $ (27) $733,703 63,414
========== ========== ========== ====== ======== ======== ======
DIVIDEND CAPITAL GAIN
INCOME DISTRIBUTIONS
-------- -------------
WORLD CORE EQUITY PORTFOLIO
U.S. Core Equity 1 Portfolio $ 5,605 $1,843
International Core Equity
Portfolio 6,655 --
Emerging Markets Core Equity
Portfolio 1,856 --
------- ------
TOTAL $14,116 $1,843
======= ======
SELECTIVELY HEDGED GLOBAL
EQUITY PORTFOLIO
U.S. Core Equity 2 Portfolio $ 2,581 $1,607
International Core Equity
Portfolio 3,549 --
Emerging Markets Core Equity
Portfolio 1,567 --
------- ------
TOTAL $ 7,697 $1,607
======= ======
EMERGING MARKETS CORE EQUITY
PORTFOLIO
The DFA Short Term Investment
Fund $22,089 --
------- ------
TOTAL $22,089 --
======= ======
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 that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 2018, 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 accounts
mentioned above. These reclassifications had no effect on net assets or net
asset value per share.
202
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ----------
Enhanced U.S. Large Company Portfolio
2017........................................................ $ 5,224 $ 4,088 -- $ 9,312
2018........................................................ 25,719 29,522 -- 55,241
U.S. Large Cap Equity Portfolio
2017........................................................ 18,564 -- -- 18,564
2018........................................................ 22,154 -- -- 22,154
U.S. Large Cap Value Portfolio
2017........................................................ 403,296 446,577 -- 849,873
2018........................................................ 514,712 1,084,643 -- 1,599,355
U.S. Targeted Value Portfolio
2017........................................................ 121,188 282,318 -- 403,506
2018........................................................ 150,659 435,624 -- 586,283
U.S. Small Cap Value Portfolio
2017........................................................ 113,837 533,287 -- 647,124
2018........................................................ 181,057 653,833 -- 834,890
U.S. Core Equity 1 Portfolio
2017........................................................ 310,434 71,615 -- 382,049
2018........................................................ 344,039 116,824 -- 460,863
U.S. Core Equity 2 Portfolio
2017........................................................ 322,547 122,469 -- 445,016
2018........................................................ 362,649 214,753 -- 577,402
U.S. Vector Equity Portfolio
2017........................................................ 55,976 101,959 -- 157,935
2018........................................................ 61,316 164,690 -- 226,006
U.S. Small Cap Portfolio
2017........................................................ 168,390 343,192 -- 511,582
2018........................................................ 220,415 608,203 -- 828,618
U.S. Micro Cap Portfolio
2017........................................................ 43,959 255,837 -- 299,796
2018........................................................ 68,087 260,436 -- 328,523
U.S. High Relative Profitability Portfolio
2017........................................................ 541 -- -- 541
2018........................................................ 5,717 -- -- 5,717
DFA Real Estate Securities Portfolio
2017........................................................ 193,286 90,576 -- 283,862
2018........................................................ 419,917 19,701 -- 439,618
Large Cap International Portfolio
2017........................................................ 111,606 -- -- 111,606
2018........................................................ 132,270 -- -- 132,270
International Core Equity Portfolio.........................
2017........................................................ 533,126 -- -- 533,126
2018........................................................ 711,406 -- -- 711,406
203
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
International Small Company Portfolio
2017........................................................ $224,540 $251,076 -- $475,616
2018........................................................ 335,310 375,728 -- 711,038
Global Small Company Portfolio
2017........................................................ -- -- -- --
2018........................................................ 269 81 -- 350
Japanese Small Company Portfolio
2017........................................................ 9,568 -- -- 9,568
2018........................................................ 15,937 -- -- 15,937
Asia Pacific Small Company Portfolio
2017........................................................ 8,894 -- -- 8,894
2018........................................................ 13,370 -- -- 13,370
United Kingdom Small Company Portfolio
2017........................................................ 1,322 1,684 -- 3,006
2018........................................................ 1,616 2,308 -- 3,924
Continental Small Company Portfolio
2017........................................................ 7,715 -- -- 7,715
2018........................................................ 15,452 4,962 -- 20,414
DFA International Real Estate Securities Portfolio
2017........................................................ 326,892 -- -- 326,892
2018........................................................ 241,977 -- -- 241,977
DFA Global Real Estate Securities Portfolio
2017........................................................ 224,755 18,247 -- 243,002
2018........................................................ 212,543 42,954 -- 255,497
DFA International Small Cap Value Portfolio
2017........................................................ 199,261 410,189 -- 609,450
2018........................................................ 418,957 477,828 -- 896,785
International Vector Equity Portfolio
2017........................................................ 50,390 4,041 -- 54,431
2018........................................................ 59,115 10,130 -- 69,245
International High Relative Profitability Portfolio
2017........................................................ 299 -- -- 299
2018........................................................ 3,960 -- -- 3,960
World ex U.S. Value Portfolio
2017........................................................ 4,532 -- -- 4,532
2018........................................................ 8,118 -- -- 8,118
World ex U.S. Targeted Value Portfolio
2017........................................................ 7,684 -- -- 7,684
2018........................................................ 10,452 8,307 -- 18,759
World ex U.S. Core Equity Portfolio
2017........................................................ 52,690 -- -- 52,690
2018........................................................ 75,944 -- -- 75,944
World Core Equity Portfolio
2017........................................................ 9,033 1,231 -- 10,264
2018........................................................ 13,426 1,076 -- 14,502
204
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
Selectively Hedged Global Equity Portfolio
2017........................................................ $ 6,737 $ 2,369 -- $ 9,106
2018........................................................ 8,085 3,086 -- 11,171
Emerging Markets Portfolio
2017........................................................ 107,522 -- -- 107,522
2018........................................................ 115,293 -- -- 115,293
Emerging Markets Small Cap Portfolio
2017........................................................ 157,661 117,099 -- 274,760
2018........................................................ 194,789 145,194 -- 339,983
Emerging Markets Value Portfolio
2017........................................................ 340,613 -- -- 340,613
2018........................................................ 439,431 -- -- 439,431
Emerging Markets Core Equity Portfolio
2017........................................................ 449,166 -- -- 449,166
2018........................................................ 593,704 -- -- 593,704
As of October 31, 2018, 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 use 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....................... $ (1,408) $ (1,530) $ (2,938)
U.S. Large Cap Equity Portfolio............................. (357) -- (357)
U.S. Large Cap Value Portfolio.............................. -- -- --
U.S. Targeted Value Portfolio............................... (9,743) (54,694) (64,437)
U.S. Small Cap Value Portfolio.............................. (15,731) (51,413) (67,144)
U.S. Core Equity 1 Portfolio................................ (13,364) -- (13,364)
U.S. Core Equity 2 Portfolio................................ (20,891) -- (20,891)
U.S. Vector Equity Portfolio................................ (7,088) (2,848) (9,936)
U.S. Small Cap Portfolio.................................... (23,533) (26,221) (49,754)
U.S. Micro Cap Portfolio.................................... (3,203) (12,725) (15,928)
U.S. High Relative Profitability Portfolio.................. (193) -- (193)
DFA Real Estate Securities Portfolio........................ (9,851) -- (9,851)
Large Cap International Portfolio........................... (4,292) -- (4,292)
International Core Equity Portfolio......................... (23,119) -- (23,119)
International Small Company Portfolio....................... -- -- --
Global Small Company Portfolio.............................. -- -- --
Japanese Small Company Portfolio............................ (1,059) (2,684) (3,743)
Asia Pacific Small Company Portfolio........................ -- -- --
United Kingdom Small Company Portfolio...................... (77) -- (77)
Continental Small Company Portfolio......................... (928) -- (928)
DFA International Real Estate Securities Portfolio.......... (19,408) -- (19,408)
DFA Global Real Estate Securities Portfolio................. (7,079) -- (7,079)
205
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
DFA International Small Cap Value Portfolio................. $(19,215) $(28,149) (47,364)
International Vector Equity Portfolio....................... (6,163) (2,933) (9,096)
International High Relative Profitability Portfolio......... (103) -- (103)
World ex U.S. Value Portfolio............................... -- -- --
World ex U.S. Targeted Value Portfolio...................... (1,061) (2,176) (3,237)
World ex U.S. Core Equity Portfolio......................... (7,411) -- (7,411)
World Core Equity Portfolio................................. (493) -- (493)
Selectively Hedged Global Equity Portfolio.................. (1,272) -- (1,272)
Emerging Markets Portfolio.................................. (10,684) -- (10,684)
Emerging Markets Small Cap Portfolio........................ (16,030) (7,390) (23,420)
Emerging Markets Value Portfolio............................ (33,795) -- (33,795)
Emerging Markets Core Equity Portfolio...................... (32,445) -- (32,445)
As of October 31, 2018, the components of distributable earnings
(accumulated losses) were as follows
(amounts in thousands):
UNDISTRIBUTED
NET INVESTMENT
INCOME AND UNDISTRIBUTED UNREALIZED
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION)
-------------- ------------- ------------- --------------
Enhanced U.S. Large Company Portfolio $ 8,086 $ 8,489 -- $ (5,049)
U.S. Large Cap Equity Portfolio............................. 2,608 -- $ (7,319) 308,854
U.S. Large Cap Value Portfolio.............................. -- 1,212,987 -- 6,083,694
U.S. Targeted Value Portfolio............................... 25,174 393,217 -- 1,450,990
U.S. Small Cap Value Portfolio.............................. 16,454 770,011 -- 3,126,951
U.S. Core Equity 1 Portfolio................................ 36,643 148,728 -- 7,560,850
U.S. Core Equity 2 Portfolio................................ 45,900 263,318 -- 8,153,732
U.S. Vector Equity Portfolio................................ 4,317 105,122 -- 1,464,498
U.S. Small Cap Portfolio.................................... 36,923 555,631 -- 3,704,534
U.S. Micro Cap Portfolio.................................... -- 254,466 -- 2,157,150
U.S. High Relative Profitability Portfolio.................. 745 -- (2,369) 9,555
DFA Real Estate Securities Portfolio........................ 23,070 -- (42,891) 2,012,218
Large Cap International Portfolio........................... 19,811 -- (12,549) 326,092
International Core Equity Portfolio......................... 165,491 -- (252,331) 1,179,546
International Small Company Portfolio....................... 195,298 517,618 -- 534,015
Global Small Company Portfolio.............................. 197 -- (279) (2,130)
Japanese Small Company Portfolio............................ 6,173 31,506 -- 55,739
Asia Pacific Small Company Portfolio........................ 9,543 -- (17,952) (30,197)
United Kingdom Small Company Portfolio...................... 137 1,437 -- 2,995
Continental Small Company Portfolio......................... 1,001 19,389 -- (6,556)
DFA International Real Estate Securities Portfolio.......... 258,919 -- (255,224) (552,655)
TOTAL NET
DISTRIBUTABLE
EARNINGS
(ACCUMULATED
LOSSES)
-------------
Enhanced U.S. Large Company Portfolio $ 11,526
U.S. Large Cap Equity Portfolio............................. 304,143
U.S. Large Cap Value Portfolio.............................. 7,296,681
U.S. Targeted Value Portfolio............................... 1,869,381
U.S. Small Cap Value Portfolio.............................. 3,913,416
U.S. Core Equity 1 Portfolio................................ 7,746,221
U.S. Core Equity 2 Portfolio................................ 8,462,950
U.S. Vector Equity Portfolio................................ 1,573,937
U.S. Small Cap Portfolio.................................... 4,297,088
U.S. Micro Cap Portfolio.................................... 2,411,616
U.S. High Relative Profitability Portfolio.................. 7,931
DFA Real Estate Securities Portfolio........................ 1,992,397
Large Cap International Portfolio........................... 333,354
International Core Equity Portfolio......................... 1,092,706
International Small Company Portfolio....................... 1,246,931
Global Small Company Portfolio.............................. (2,212)
Japanese Small Company Portfolio............................ 93,418
Asia Pacific Small Company Portfolio........................ (38,606)
United Kingdom Small Company Portfolio...................... 4,569
Continental Small Company Portfolio......................... 13,834
DFA International Real Estate Securities Portfolio.......... (548,960)
206
UNDISTRIBUTED
NET INVESTMENT
INCOME AND UNDISTRIBUTED UNREALIZED
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION)
-------------- ------------- ------------- --------------
DFA Global Real Estate Securities Portfolio................. $156,841 -- $ (2,159) $ 498,248
DFA International Small Cap Value Portfolio................. 78,546 $428,575 -- 634,402
International Vector Equity Portfolio....................... 20,059 72,076 -- 137,286
International High Relative Profitability Portfolio 525 -- (1,545) (23,727)
World ex U.S. Value Portfolio............................... 1,245 5,004 -- 3,800
World ex U.S. Targeted Value Portfolio...................... 756 11,822 -- (19,140)
World ex U.S. Core Equity Portfolio......................... 22,035 15,897 -- (55,982)
World Core Equity Portfolio................................. 620 4,776 -- 46,620
Selectively Hedged Global Equity Portfolio 9,794 4,519 -- 47,990
Emerging Markets Portfolio.................................. 24,407 -- (156,404) 1,223,071
Emerging Markets Small Cap Portfolio........................ 64,108 173,891 -- (553,887)
Emerging Markets Value Portfolio............................ 168,442 -- (1,087,131) 72,401
Emerging Markets Core Equity Portfolio...................... 130,314 -- (798,349) 617,399
TOTAL NET
DISTRIBUTABLE
EARNINGS
(ACCUMULATED
LOSSES)
-------------
DFA Global Real Estate Securities Portfolio................. $ 652,930
DFA International Small Cap Value Portfolio................. 1,141,523
International Vector Equity Portfolio....................... 229,421
International High Relative Profitability Portfolio (24,747)
World ex U.S. Value Portfolio............................... 10,049
World ex U.S. Targeted Value Portfolio...................... (6,562)
World ex U.S. Core Equity Portfolio......................... (18,050)
World Core Equity Portfolio................................. 52,016
Selectively Hedged Global Equity Portfolio 62,303
Emerging Markets Portfolio.................................. 1,091,074
Emerging Markets Small Cap Portfolio........................ (315,888)
Emerging Markets Value Portfolio............................ (846,288)
Emerging Markets Core Equity Portfolio...................... (50,636)
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. Additionally, such losses must be used prior to the losses
incurred in the years preceding enactment. As of October 31, 2018, 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):
2019 UNLIMITED TOTAL
------- --------- --------
Enhanced U.S. Large Company Portfolio....................... -- -- --
U.S. Large Cap Equity Portfolio............................. -- $ 7,319 $ 7,319
U.S. Large Cap Value Portfolio.............................. -- -- --
U.S. Targeted Value Portfolio............................... -- -- --
U.S. Small Cap Value Portfolio.............................. -- -- --
U.S. Core Equity 1 Portfolio................................ -- -- --
U.S. Core Equity 2 Portfolio................................ -- -- --
U.S. Vector Equity Portfolio................................ -- -- --
U.S. Small Cap Portfolio.................................... -- -- --
U.S. Micro Cap Portfolio.................................... -- -- --
U.S. High Relative Profitability Portfolio.................. -- 2,369 2,369
DFA Real Estate Securities Portfolio........................ -- 42,891 42,891
Large Cap International Portfolio........................... $12,549 -- 12,549
International Core Equity Portfolio......................... -- 252,331 252,331
International Small Company Portfolio....................... -- -- --
Global Small Company Portfolio.............................. -- 279 279
Japanese Small Company Portfolio............................ -- -- --
207
2019 UNLIMITED TOTAL
------- ---------- ----------
Asia Pacific Small Company Portfolio........................ -- $ 17,952 $ 17,952
United Kingdom Small Company Portfolio...................... -- -- --
Continental Small Company Portfolio......................... -- -- --
DFA International Real Estate Securities Portfolio.......... $69,466 185,757 255,223
DFA Global Real Estate Securities Portfolio................. -- 2,159 2,159
DFA International Small Cap Value Portfolio................. -- -- --
International Vector Equity Portfolio....................... -- -- --
International High Relative Profitability Portfolio......... -- 1,545 1,545
World ex U.S. Value Portfolio............................... -- -- --
World ex U.S. Targeted Value Portfolio...................... -- -- --
World ex U.S. Core Equity Portfolio......................... -- -- --
World Core Equity Portfolio................................. -- -- --
Selectively Hedged Global Equity Portfolio.................. -- -- --
Emerging Markets Portfolio.................................. -- 156,404 156,404
Emerging Markets Small Cap Portfolio........................ -- -- --
Emerging Markets Value Portfolio............................ -- 1,087,131 1,087,131
Emerging Markets Core Equity Portfolio...................... -- 798,349 798,349
During the year ended October 31, 2018, the following Portfolios used the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
U.S. Large Cap Equity Portfolio............................. $ 3,268
Large Cap International Portfolio........................... 6,881
International Core Equity Portfolio......................... 52,488
Japanese Small Company Portfolio............................ 3,708
World ex U.S. Value Portfolio............................... 226
World ex U.S. Core Equity Portfolio......................... 5,321
Emerging Markets Portfolio.................................. 65,596
Emerging Markets Value Portfolio............................ 251,589
Emerging Markets Core Equity Portfolio...................... 35,229
As of October 31, 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)
----------- ------------ -------------- --------------
Enhanced U.S. Large Company Portfolio....................... $ 305,856 $ 19,517 $ (24,565) $ (5,048)
U.S. Large Cap Equity Portfolio............................. 1,186,942 352,493 (43,639) 308,854
U.S. Large Cap Value Portfolio.............................. 19,186,933 6,083,694 -- 6,083,694
U.S. Targeted Value Portfolio............................... 10,371,030 2,071,844 (620,924) 1,450,920
U.S. Small Cap Value Portfolio.............................. 13,248,690 3,787,544 (660,700) 3,126,844
U.S. Core Equity 1 Portfolio................................ 17,550,414 8,356,041 (795,191) 7,560,850
U.S. Core Equity 2 Portfolio................................ 20,280,915 9,111,863 (958,278) 8,153,585
U.S. Vector Equity Portfolio................................ 3,548,855 1,683,569 (219,071) 1,464,498
U.S. Small Cap Portfolio.................................... 16,188,603 4,668,231 (963,814) 3,704,417
208
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
U.S. Micro Cap Portfolio.................................... $ 5,229,355 $2,371,511 $ (214,361) $2,157,150
U.S. High Relative Profitability Portfolio.................. 722,663 44,887 (35,332) 9,555
DFA Real Estate Securities Portfolio........................ 6,904,967 2,312,333 (300,115) 2,012,218
Large Cap International Portfolio........................... 4,398,057 760,745 (434,322) 326,423
International Core Equity Portfolio......................... 27,305,197 4,193,627 (3,014,081) 1,179,546
International Small Company Portfolio....................... 12,016,014 637,481 (103,466) 534,015
Global Small Company Portfolio.............................. 33,487 2 (2,132) (2,130)
Japanese Small Company Portfolio............................ 567,281 55,739 -- 55,739
Asia Pacific Small Company Portfolio........................ 376,691 -- (30,197) (30,197)
United Kingdom Small Company Portfolio...................... 33,366 2,995 -- 2,995
Continental Small Company Portfolio......................... 653,039 305 (6,861) (6,556)
DFA International Real Estate Securities Portfolio.......... 6,133,239 522,660 (1,074,858) (552,198)
DFA Global Real Estate Securities Portfolio................. 7,066,296 774,873 (276,625) 498,248
DFA International Small Cap Value Portfolio................. 13,951,633 2,103,939 (1,565,296) 538,643
International Vector Equity Portfolio....................... 2,456,946 446,102 (306,983) 139,119
International High Relative Profitability Portfolio......... 301,188 5,335 (29,054) (23,719)
World ex U.S. Value Portfolio............................... 235,376 3,800 -- 3,800
World ex U.S. Targeted Value Portfolio...................... 485,780 41,167 (60,307) (19,140)
World ex U.S. Core Equity Portfolio......................... 3,295,652 347,364 (403,347) (55,983)
World Core Equity Portfolio................................. 695,039 49,801 (3,182) 46,619
Selectively Hedged Global Equity Portfolio.................. 330,655 48,058 (68) 47,990
Emerging Markets Portfolio.................................. 4,183,626 1,243,158 (20,088) 1,223,070
Emerging Markets Small Cap Portfolio........................ 6,373,665 9,400 (563,287) (553,887)
Emerging Markets Value Portfolio............................ 16,409,939 72,401 -- 72,401
Emerging Markets Core Equity Portfolio...................... 25,408,327 4,879,051 (4,261,609) 617,442
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.
209
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR ENDED YEAR ENDED
OCTOBER 31, 2018 OCTOBER 31, 2017
--------------------- ---------------------
AMOUNT SHARES AMOUNT SHARES
----------- -------- ----------- --------
U.S. TARGETED VALUE PORTFOLIO
Class R1 Shares
Shares Issued............................................ $ 21,616 851 $ 24,436 1,012
Shares Issued in Lieu of Cash Distributions.............. 2,923 119 1,891 78
Shares Redeemed.......................................... (28,235) (1,114) (13,915) (583)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R1 Shares.................. $ (3,696) (144) $ 12,412 507
=========== ======== =========== ========
Class R2 Shares
Shares Issued............................................ $ 38,144 1,523 $ 59,748 2,511
Shares Issued in Lieu of Cash Distributions.............. 7,940 325 7,083 293
Shares Redeemed.......................................... (85,609) (3,475) (83,900) (3,530)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares.................. $ (39,525) (1,627) $ (17,069) (726)
=========== ======== =========== ========
Institutional Class Shares
Shares Issued............................................ $ 2,152,781 85,162 $ 2,997,263 124,486
Shares Issued in Lieu of Cash Distributions.............. 541,597 21,998 364,240 15,012
Shares Redeemed.......................................... (2,187,982) (86,229) (2,200,921) (91,872)
----------- -------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares....... $ 506,396 20,931 $ 1,160,582 47,626
=========== ======== =========== ========
YEAR ENDED YEAR ENDED
OCTOBER 31, 2018 OCTOBER 31, 2017
--------------------- ---------------------
AMOUNT SHARES AMOUNT SHARES
----------- -------- ----------- --------
EMERGING MARKETS VALUE PORTFOLIO
Class R2 Shares
Shares Issued............................................ $ 6,653 219 $ 21,637 832
Shares Issued in Lieu of Cash Distributions.............. 632 21 847 33
Shares Redeemed.......................................... (10,333) (332) (100,936) (3,793)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares.................. $ (3,048) (92) $ (78,452) (2,928)
=========== ======== =========== ========
Institutional Class Shares
Shares Issued............................................ $ 2,703,084 87,936 $ 2,437,845 90,088
Shares Issued in Lieu of Cash Distributions.............. 416,344 14,012 321,969 11,684
Shares Redeemed.......................................... (3,948,131) (128,474) (3,240,359) (118,738)
----------- -------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares....... $ (828,703) (26,526) $ (480,545) (16,966)
=========== ======== =========== ========
210
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest either directly or indirectly (through their investments
in corresponding Master/Underlying Funds), 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. 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 and Enhanced U.S Large Company
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 and Enhanced U.S. Large
Company Portfolio's currency exposure with respect to a foreign market will be
based primarily on the Portfolio's existing exposure to a given foreign
currency. Each contract is valued daily and the change in value is recorded by
the Portfolio as an unrealized gain or loss, which is presented in the
Statements of Operations as the change in unrealized appreciation or
depreciation from translation of foreign-currency-denominated amounts. When the
contract is closed or offset with the same counterparty, the Portfolio records
a realized gain or loss equal to the change in the value of the contract when
it was opened and the value at the time it was closed or offset. This is
presented in the Statements of Operations as a net realized gain or loss on
foreign currency transactions. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of foreign
currency relative to the U.S. dollar.
3. FUTURES CONTRACTS: Each Portfolio 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 in an amount
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 entrance 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.
Securities have been segregated as collateral for open futures contracts.
211
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2018 (amounts in thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- --------
Enhanced U.S. Large Company Portfolio....................... $ 56,927 $344,498
U.S. Targeted Value Portfolio............................... -- 87,237
U.S. Small Cap Value Portfolio.............................. -- 145,287
U.S. Core Equity 1 Portfolio................................ -- 179,419
U.S. Core Equity 2 Portfolio................................ -- 197,599
U.S. Vector Equity Portfolio................................ -- 37,012
U.S. Small Cap Portfolio.................................... -- 128,054
U.S. Micro Cap Portfolio.................................... -- 61,080
DFA Real Estate Securities Portfolio........................ -- 66,916
Large Cap International Portfolio........................... -- 39,202
International Core Equity Portfolio......................... -- 193,596
International Small Company Portfolio....................... -- 112,778
DFA International Real Estate Securities Portfolio.......... -- 41,065
DFA International Small Cap Value Portfolio................. -- 155,843
International Vector Equity Portfolio....................... -- 616
International High Relative Profitability Portfolio......... -- 41
World ex U.S. Core Equity Portfolio......................... -- 891
Selectively Hedged Global Equity Portfolio.................. 170,163 24,740
Emerging Markets Core Equity Portfolio...................... -- 226,431
The following is a summary of Portfolios' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2018 (amounts in
thousands):
ASSET DERIVATIVES VALUE
--------------------------------------------
FORWARD
TOTAL VALUE AT CURRENCY EQUITY
OCTOBER 31, 2018 CONTRACTS (1) CONTRACTS*,(2)
---------------- ------------- --------------
Enhanced U.S. Large Company Portfolio....................... $ 448 $ 448 --
U.S. Vector Equity Portfolio................................ 631 -- $ 631
U.S. Small Cap Portfolio.................................... 17 -- 17
Selectively Hedged Global Equity Portfolio.................. 1,613 1,613 --
LIABILITY DERIVATIVES VALUE
--------------------------------------------
FORWARD
TOTAL VALUE AT CURRENCY EQUITY
OCTOBER 31, 2018 CONTRACTS (3) CONTRACTS*,(4)
---------------- ------------- --------------
Enhanced U.S. Large Company Portfolio....................... $(19,534) -- $(19,534)
U.S. Targeted Value Portfolio............................... (2,119) -- (2,119)
U.S. Small Cap Value Portfolio.............................. (2,487) -- (2,487)
U.S. Core Equity 1 Portfolio................................ (5,347) -- (5,347)
U.S. Core Equity 2 Portfolio................................ (9,018) -- (9,018)
212
LIABILITY DERIVATIVES VALUE
--------------------------------------------
FORWARD
TOTAL VALUE AT CURRENCY EQUITY
OCTOBER 31, 2018 CONTRACTS (3) CONTRACTS*,(4)
---------------- ------------- --------------
U.S. Micro Cap Portfolio.................................... $(2,714) -- $(2,714)
DFA Real Estate Securities Portfolio........................ (467) -- (467)
Large Cap International Portfolio........................... (2,524) -- (2,524)
International Core Equity Portfolio......................... (8,629) -- (8,629)
International Small Company Portfolio....................... (6,581) -- (6,581)
DFA International Real Estate Securities Portfolio.......... (980) -- (980)
DFA International Small Cap Value Portfolio................. (1,681) -- (1,681)
Selectively Hedged Global Equity Portfolio.................. (1,634) $(11) (1,623)
Emerging Markets Core Equity Portfolio...................... (8,276) -- (8,276)
(1)Presented on Statements of Assets and Liabilities as Unrealized Gain on
Forward Currency Contracts.
(2)Presented on Statements of Assets and Liabilities as Receivables: Futures
Margin Variation.
(3)Presented on Statements of Assets and Liabilities as Unrealized Loss on
Forward Currency Contracts.
(4)Presented on Statements of Assets and Liabilities as Payables: Futures
Margin Variation.
* 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 realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure for the year ended October 31, 2018 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (1) CONTRACTS(2)
------- ------------- ------------
Enhanced U.S. Large Company Portfolio.............. $54,392 $2,456 $51,936
U.S. Large Cap Equity Portfolio.................... 21 -- 21*
U.S. Targeted Value Portfolio...................... 10,338 -- 10,338
U.S. Small Cap Value Portfolio..................... 8,130 -- 8,130
U.S. Core Equity 1 Portfolio....................... 22,597 -- 22,597
U.S. Core Equity 2 Portfolio....................... 26,827 -- 26,827
U.S. Vector Equity Portfolio....................... 1,014 -- 1,014
U.S. Small Cap Portfolio........................... 14,477 -- 14,477
U.S. Micro Cap Portfolio........................... 7,709 -- 7,709
U.S. High Relative Profitability Portfolio......... 59 -- 59*
DFA Real Estate Securities Portfolio............... 8,922 -- 8,922
Large Cap International Portfolio.................. 5,207 -- 5,207
International Core Equity Portfolio................ 42,294 -- 42,294
International Small Company Portfolio.............. 17,382 -- 17,382
Global Small Company Portfolio..................... 15 -- 15*
DFA International Real Estate Securities Portfolio. 6,053 -- 6,053
DFA International Small Cap Value Portfolio........ 19,832 -- 19,832
International Vector Equity Portfolio.............. (84) -- (84)*
213
REALIZED GAIN (LOSS) ON
DERIVATIVES
------------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (1) CONTRACTS(2)
-------- ------------- -------------
International High Relative Profitability Portfolio......... $ 167 -- $ 167*
World ex U.S. Targeted Value Portfolio...................... 22 -- 22*
World ex U.S. Core Equity Portfolio......................... 1,743 -- 1,743*
World Core Equity Portfolio................................. 145 -- 145*
Selectively Hedged Global Equity Portfolio.................. 8,748 $4,871 3,877
Emerging Markets Core Equity Portfolio...................... 23,201 -- 23,201
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
------------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (3) CONTRACTS (4)
-------- ------------- -------------
Enhanced U.S. Large Company Portfolio....................... $(34,524) $ (448) $(34,076)
U.S. Targeted Value Portfolio............................... (3,019) -- (3,019)
U.S. Small Cap Value Portfolio.............................. (7,825) -- (7,825)
U.S. Core Equity 1 Portfolio................................ (12,157) -- (12,157)
U.S. Core Equity 2 Portfolio................................ (16,600) -- (16,600)
U.S. Vector Equity Portfolio................................ 631 -- 631
U.S. Small Cap Portfolio.................................... (5,817) -- (5,817)
U.S. Micro Cap Portfolio.................................... (3,647) -- (3,647)
DFA Real Estate Securities Portfolio........................ (2,811) -- (2,811)
Large Cap International Portfolio........................... (3,535) -- (3,535)
International Core Equity Portfolio......................... (17,544) -- (17,544)
International Small Company Portfolio....................... (9,491) -- (9,491)
DFA International Real Estate Securities Portfolio.......... (1,430) -- (1,430)
DFA International Small Cap Value Portfolio................. (7,629) -- (7,629)
Selectively Hedged Global Equity Portfolio.................. (2,450) 178 (2,628)
Emerging Markets Core Equity Portfolio...................... (14,163) -- (14,163)
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Forward Currency Contracts.
(2)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(3)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Forward Currency Contracts.
(4)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
* As of October 31, 2018, there were no futures contracts outstanding. During
the year ended October 31, 2018, the Portfolios 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,
214
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
Statements of Assets and Liabilities.
The following table presents the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of October 31, 2018
(amounts in thousands):
GROSS AMOUNTS NOT
OFFSET IN THE
STATEMENTS OF ASSETS
AND LIABILITIES
----------------------
NET
AMOUNTS
OF
ASSETS
PRESENTED
GROSS IN THE GROSS
AMOUNTS OF STATEMENTS AMOUNTS OF
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A)
----------- ---------- ----------- ----------- ---------- ------ -----------
ASSETS
---------------------------------------------------- -----------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Citibank, N.A..................................... $ 65 $ 65 -- -- $ 65 --
Royal Bank of Scotland............................ 383 383 -- -- 383 --
------ ------ --- -- ------ ---
Total............................................. $ 448 $ 448 -- -- $ 448 --
====== ====== === == ====== ===
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
State Street Bank and Trust....................... $1,097 $1,097 -- -- $1,097 --
JP Morgan......................................... 11 11 -- -- 11 --
Citibank, N.A..................................... 504 504 $(9) -- 495 $ 9
Barclays Capital.................................. -- -- -- -- -- --
Bank of America Corp.............................. -- -- -- -- -- 1
------ ------ --- -- ------ ---
Total $1,612 $1,612 $(9) -- $1,603 $10
====== ====== === == ====== ===
GROSS AMOUNTS NOT
OFFSET IN THE
STATEMENTS OF ASSETS AND
LIABILITIES
------------------------
NET
AMOUNTS
OF
LIABILITIES
PRESENTED
IN THE
STATEMENTS
OF ASSETS FINANCIAL CASH NET
AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION LIABILITIES (D) PLEDGED (E)
----------- ----------- ----------- ---------- ------
LIABILITIES
--------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Citibank, N.A..................................... -- -- -- --
Royal Bank of Scotland............................ -- -- -- --
--- --- -- ---
Total............................................. -- -- -- --
=== === == ===
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
State Street Bank and Trust....................... -- -- -- --
JP Morgan......................................... -- -- -- --
Citibank, N.A..................................... $ 9 $(9) -- --
Barclays Capital.................................. -- -- -- --
Bank of America Corp.............................. 1 -- -- $ 1
--- --- -- ---
Total $10 $(9) -- $ 1
=== === == ===
(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.
215
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 year ended October 31, 2018, borrowings by the Portfolios under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
MAXIMUM
WEIGHTED WEIGHTED AMOUNT
AVERAGE AVERAGE NUMBER OF INTEREST BORROWED
INTEREST LOAN DAYS EXPENSE DURING THE
RATE BALANCE OUTSTANDING* INCURRED PERIOD
-------- -------- ------------ -------- ----------
U.S. Large Cap Equity Portfolio............................. 2.56% $ 2,112 34 $ 5 $ 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
DFA Real Estate Securities Portfolio........................ 2.93% 22,268 5 9 32,123
Global Small Company Portfolio.............................. 2.58% 372 12 -- 1,375
DFA International Real Estate Securities Portfolio.......... 2.26% 70,655 8 34 150,457
DFA Global Real Estate Securities Portfolio................. 2.40% 4,445 7 2 20,732
DFA International Small Cap Value Portfolio................. 2.93% 1,940 1 -- 1,940
International Vector Equity Portfolio....................... 2.63% 2,088 12 2 5,921
International High Relative Profitability Portfolio......... 2.45% 841 7 -- 2,217
World ex U.S. Value Portfolio............................... 2.55% 119 34 -- 511
World ex U.S. Targeted Value Portfolio...................... 2.60% 1,265 31 3 4,010
World ex U.S. Core Equity Portfolio......................... 2.24% 6,148 3 1 16,115
World Core Equity Portfolio................................. 2.42% 3,940 24 6 15,818
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2018, that each Portfolio's available
line of credit was used.
As of October 31, 2018, the World ex U.S. Value Portfolio and the World ex
U.S. Targeted Value Portfolio had loans outstanding in the amount of $15 and
$126 (in thousands), respectively.
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 use the interfund lending program during the year
ended October 31, 2018.
216
J. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 advisor (or affiliated
investment advisors), common Directors and/or common Officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the year ended October 31, 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............................. $ 48,771 $ 40,739 $ (4,042)
U.S. Targeted Value Portfolio............................... 626,493 685,844 (256,078)
U.S. Small Cap Value Portfolio.............................. 388,564 1,383,508 (326,738)
U.S. Core Equity 1 Portfolio................................ 441,482 255,472 (36,580)
U.S. Core Equity 2 Portfolio................................ 357,897 363,198 (11,291)
U.S. Vector Equity Portfolio................................ 88,159 108,605 (4,082)
U.S. Small Cap Portfolio.................................... 811,298 400,954 (335,214)
U.S. Micro Cap Portfolio.................................... 452,942 529,005 (182,122)
U.S. High Relative Profitability Portfolio.................. 15,384 6,563 (1,147)
DFA Real Estate Securities Portfolio........................ 14,626 1,750 (332)
Large Cap International Portfolio........................... 98,711 49,266 6,395
International Core Equity Portfolio......................... 528,096 72,344 (8,353)
DFA Global Real Estate Securities Portfolio................. 4,089 -- --
DFA International Small Cap Value Portfolio................. 152,991 762,020 (220,686)
International Vector Equity Portfolio....................... 53,484 28,545 4,572
International High Relative Profitability Portfolio......... 12,415 1,782 (250)
World ex U.S. Targeted Value Portfolio...................... 7,205 9,820 1,653
World ex U.S. Core Equity Portfolio......................... 33,872 9,454 871
Emerging Markets Core Equity Portfolio...................... 7,936 11,021 805
K. SECURITIES LENDING:
As of October 31, 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............................. $ 12,601
U.S. Targeted Value Portfolio............................... 1,079,152
U.S. Small Cap Value Portfolio.............................. 1,275,203
U.S. Core Equity 1 Portfolio................................ 1,166,646
U.S. Core Equity 2 Portfolio................................ 1,314,937
U.S. Vector Equity Portfolio................................ 322,110
U.S. Small Cap Portfolio.................................... 1,823,247
U.S. Micro Cap Portfolio.................................... 559,099
217
MARKET
VALUE
--------
U.S. High Relative Profitability Portfolio.................. $ 6,812
DFA Real Estate Securities Portfolio........................ 152,632
Large Cap International Portfolio........................... 18,367
International Core Equity Portfolio......................... 465,129
DFA International Real Estate Securities Portfolio.......... 65,971
DFA International Small Cap Value Portfolio................. 330,109
International Vector Equity Portfolio....................... 49,171
International High Relative Profitability Portfolio......... 1,705
World ex U.S. Targeted Value Portfolio...................... 4,921
World ex U.S. Core Equity Portfolio......................... 65,262
Emerging Markets Core Equity Portfolio...................... 949,057
Each Portfolio invests the cash collateral, as described below, and records
a liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the
Portfolio's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and 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, each Portfolio with securities
on loan will generally invest the cash collateral received for the loaned
securities in the Money Market Series, an affiliated registered money market
fund advised by the Advisor for which the Advisor receives a management fee of
0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with 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 or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities.
Additionally, 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 for
taxation at qualified dividend income rates.
218
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2018
- ------------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
-------------- -------- ------------ -------- --------------
SECURITIES LENDING TRANSACTIONS ENHANCED U.S. LARGE COMPANY
PORTFOLIO
Bonds.................................................... $ 2,270,404 -- -- -- $ 2,270,404
U.S. LARGE CAP EQUITY PORTFOLIO
Common Stocks............................................ 40,426,010 -- -- -- 40,426,010
U.S. TARGETED VALUE PORTFOLIO
Common Stocks, Preferred Stocks.......................... 1,345,682,235 -- -- -- 1,345,682,235
U.S. SMALL CAP VALUE PORTFOLIO
Common Stocks............................................ 1,667,170,818 -- -- -- 1,667,170,818
U.S. CORE EQUITY 1 PORTFOLIO
Common Stocks............................................ 1,470,055,290 -- -- -- 1,470,055,290
U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks............................................ 1,747,162,103 -- -- -- 1,747,162,103
U.S. VECTOR EQUITY PORTFOLIO
Common Stocks............................................ 376,159,512 -- -- -- 376,159,512
U.S. SMALL CAP PORTFOLIO
Common Stocks............................................ 2,515,621,684 -- -- -- 2,515,621,684
U.S. MICRO CAP PORTFOLIO
Common Stocks, Preferred Stocks, Rights/Warrants......... 958,074,112 -- -- -- 958,074,112
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
Common Stocks............................................ 9,439,931 -- -- -- 9,439,931
DFA REAL ESTATE SECURITIES PORTFOLIO
Common Stocks............................................ 359,453,327 -- -- -- 359,453,327
LARGE CAP INTERNATIONAL PORTFOLIO
Common Stocks............................................ 206,349,572 -- -- -- 206,349,572
INTERNATIONAL CORE EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........................... 1,604,446,132 -- -- -- 1,604,446,132
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Common Stocks............................................ 214,316,850 -- -- -- 214,316,850
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
Common Stocks............................................ 89,034,975 -- -- -- 89,034,975
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Common Stocks, Preferred Stocks.......................... 948,096,417 -- -- -- 948,096,417
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........................... 166,426,178 -- -- -- 166,426,178
219
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2018
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS INTERNATIONAL HIGH RELATIVE
PROFITABILITY PORTFOLIO
Common Stocks............................................ $ 12,684,774 -- -- -- $ 12,684,774
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Common Stocks............................................ 4,658,921 -- -- -- 4,658,921
WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks, Rights/Warrants........................... 130,312,392 -- -- -- 130,312,392
EMERGING MARKETS CORE EQUITY PORTFOLIO
Common Stocks............................................ 733,702,839 -- -- -- 733,702,839
L. SHAREHOLDER SERVICING FEES:
The Class R1 Shares pay a shareholder servicing fee in an amount up to 0.10%
and Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25% of
their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and
Emerging Markets Value Portfolio Class R2 Shares.
M. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
N. IN-KIND REDEMPTIONS:
During the year ended October 31, 2018, the following Portfolios realized
net gains (losses) on in-kind redemptions as follows:
U.S. Targeted Value Portfolio............................... 16,160
DFA Real Estate Securities Portfolio........................ 80,654
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.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolios' early adoption of certain of the ASU 2018-13
220
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Portfolios' financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Portfolios' adoption
of these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Portfolios' net assets or results of operations.
Comparable prior year information presented in the Statements of Changes in
Net Assets has been revised to reflect current disclosure requirements
prescribed by these amendments. Amounts originally presented as of October 31,
2017 are as follows (amounts in thousands):
DISTRIBUTIONS FROM:
- ------------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- ---------
Enhanced U.S. Large Company Portfolio - Institutional Class....... $ (2,502) $ (2,722) $ (4,088) $ (9,312)
U.S. Large Cap Equity Portfolio - Institutional Class............. (18,564) -- -- (18,564)
U.S. Large Cap Value Portfolio - Institutional Class.............. (403,733) -- (446,140) (849,873)
U.S. Targeted Value Portfolio - Class R1.......................... (506) (75) (1,310) (1,891)
U.S. Targeted Value Portfolio - Class R2.......................... (1,483) (304) (5,296) (7,083)
U.S. Targeted Value Portfolio - Institutional Class............... (103,014) (15,806) (275,712) (394,532)
U.S. Small Cap Value Portfolio - Institutional Class.............. (113,837) -- (533,287) (647,124)
U.S. Core Equity 1 Portfolio - Institutional Class................ (310,434) -- (71,615) (382,049)
U.S. Core Equity 2 Portfolio - Institutional Class................ (322,547) -- (122,469) (445,016)
U.S. Vector Equity Portfolio - Institutional Class................ (55,773) (202) (101,959) (157,934)
U.S. Small Cap Portfolio - Institutional Class.................... (155,568) (12,822) (343,192) (511,582)
U.S. Micro Cap Portfolio - Institutional Class.................... (43,959) -- (255,837) (299,796)
U.S. High Relative Profitability Portfolio - Institutional Class.. (541) -- -- (541)
DFA Real Estate Securities Portfolio - Institutional Class........ (217,478) -- (66,384) (283,862)
Large Cap International Portfolio - Institutional Class........... (111,606) -- -- (111,606)
International Core Equity Portfolio - Institutional Class......... (533,126) -- -- (533,126)
International Small Company Portfolio - Institutional Class....... (205,687) (18,854) (251,076) (475,617)
Japanese Small Company Portfolio - Institutional Class............ (9,568) -- -- (9,568)
Asia Pacific Small Company Portfolio - Institutional Class........ (8,894) -- -- (8,894)
United Kingdom Small Company Portfolio - Institutional Class...... (1,322) -- (1,684) (3,006)
Continental Small Company Portfolio - Institutional Class......... (7,715) -- -- (7,715)
DFA International Real Estate Securities Portfolio -
Institutional Class............................................. (326,892) -- -- (326,892)
DFA Global Real Estate Securities Portfolio - Institutional Class. (227,401) (2,070) (13,530) (243,001)
DFA International Small Cap Value Portfolio - Institutional Class. (195,408) (3,853) (410,189) (609,450)
International Vector Equity Portfolio - Institutional Class....... (50,390) -- (4,041) (54,431)
International High Relative Profitability Portfolio -
Institutional Class............................................. (299) -- -- (299)
World ex U.S. Value Portfolio - Institutional Class............... (4,532) -- -- (4,532)
World ex U.S. Targeted Value Portfolio - Institutional Class...... (7,684) -- -- (7,684)
221
DISTRIBUTIONS FROM:
- ----------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- --------
World ex U.S. Core Equity Portfolio - Institutional Class......... (52,690) -- -- (52,690)
World Core Equity Portfolio - Institutional Class................. (8,966) (67) (1,231) (10,264)
Selectively Hedged Global Equity Portfolio - Institutional Class.. (6,477) (260) (2,369) (9,106)
Emerging Markets Portfolio - Institutional Class.................. (107,522) -- -- (107,522)
Emerging Markets Small Cap Portfolio - Institutional Class........ (147,304) (10,357) (117,099) (274,760)
Emerging Markets Value Portfolio - Class R2....................... (847) -- -- (847)
Emerging Markets Value Portfolio - Institutional Class............ (339,766) -- -- (339,766)
Emerging Markets Core Equity Portfolio - Institutional Class...... (449,166) -- -- (449,166)
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
Enhanced U.S. Large Company Portfolio....................... $ 877
U.S. Large Cap Equity Portfolio............................. 1,207
U.S. Large Cap Value Portfolio.............................. 22,596
U.S. Targeted Value Portfolio............................... (1,394)
U.S. Small Cap Value Portfolio.............................. (5,694)
U.S. Core Equity 1 Portfolio................................ 14,490
U.S. Core Equity 2 Portfolio................................ 15,587
U.S. Vector Equity Portfolio................................ 426
U.S. Small Cap Portfolio.................................... (1,236)
U.S. Micro Cap Portfolio.................................... (401)
U.S. High Relative Profitability Portfolio.................. 131
DFA Real Estate Securities Portfolio........................ 46,634
Large Cap International Portfolio........................... 12,323
International Core Equity Portfolio......................... 57,179
International Small Company Portfolio....................... 19,361
Global Small Company Portfolio.............................. 143
Japanese Small Company Portfolio............................ 1,122
Asia Pacific Small Company Portfolio........................ 1,817
United Kingdom Small Company Portfolio...................... 33
Continental Small Company Portfolio......................... 238
DFA International Real Estate Securities Portfolio.......... (280,250)
DFA Global Real Estate Securities Portfolio................. 59,540
DFA International Small Cap Value Portfolio................. 41,552
International Vector Equity Portfolio....................... 4,130
International High Relative Profitability Portfolio......... 146
World ex U.S. Value Portfolio............................... 2,027
World ex U.S. Targeted Value Portfolio...................... 1,206
World ex U.S. Core Equity Portfolio......................... 4,361
World Core Equity Portfolio................................. (4)
222
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
Selectively Hedged Global Equity Portfolio.................. 2,600
Emerging Markets Portfolio.................................. (2,493)
Emerging Markets Small Cap Portfolio........................ 6,969
Emerging Markets Value Portfolio............................ 6,372
Emerging Markets Core Equity Portfolio...................... 6,324
P. OTHER:
As of October 31, 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
------------ --------------
Enhanced U.S. Large Company Portfolio-Institutional Class... 5 72%
U.S. Large Cap Equity Portfolio-Institutional Class......... 4 92%
U.S. Large Cap Value Portfolio-Institutional Class.......... 3 69%
U.S. Targeted Value Portfolio-Class R1...................... 5 89%
U.S. Targeted Value Portfolio-Class R2...................... 9 88%
U.S. Targeted Value Portfolio-Institutional Class........... 3 58%
U.S. Small Cap Value Portfolio-Institutional Class.......... 4 69%
U.S. Core Equity 1 Portfolio-Institutional Class............ 5 79%
U.S. Core Equity 2 Portfolio-Institutional Class............ 5 81%
U.S. Vector Equity Portfolio-Institutional Class............ 5 90%
U.S. Small Cap Portfolio-Institutional Class................ 3 54%
U.S. Micro Cap Portfolio-Institutional Class................ 4 76%
U.S. High Relative Profitability Portfolio-Institutional
Class..................................................... 3 91%
DFA Real Estate Securities Portfolio-Institutional Class.... 4 75%
Large Cap International Portfolio-Institutional Class....... 3 63%
International Core Equity Portfolio-Institutional Class..... 4 70%
International Small Company Portfolio-Institutional Class... 3 61%
Global Small Company Portfolio-Institutional Class.......... 5 97%
Japanese Small Company Portfolio-Institutional Class........ 4 86%
Asia Pacific Small Company Portfolio-Institutional Class.... 3 92%
United Kingdom Small Company Portfolio-Institutional Class.. 4 95%
Continental Small Company Portfolio-Institutional Class..... 2 88%
DFA International Real Estate Securities
Portfolio-Institutional Class............................. 4 90%
DFA Global Real Estate Securities Portfolio-Institutional
Class..................................................... 3 66%
DFA International Small Cap Value Portfolio-Institutional
Class..................................................... 4 72%
International Vector Equity Portfolio-Institutional Class... 4 89%
International High Relative Profitability
Portfolio-Institutional Class............................. 4 95%
223
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
World ex U.S. Value Portfolio-Institutional Class........... 7 93%
World ex U.S. Targeted Value Portfolio-Institutional Class.. 3 97%
World ex U.S. Core Equity Portfolio-Institutional Class..... 3 71%
World Core Equity Portfolio-Institutional Class............. 6 79%
Selectively Hedged Global Equity Portfolio-Institutional
Class..................................................... 4 95%
Emerging Markets Portfolio-Institutional Class.............. 3 54%
Emerging Markets Small Cap Portfolio-Institutional Class.... 3 54%
Emerging Markets Value Portfolio-Class R2................... 2 90%
Emerging Markets Value Portfolio-Institutional Class........ 2 35%
Emerging Markets Core Equity Portfolio-Institutional Class.. 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 lacked 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 were preempted by the
Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs have petitioned the Supreme Court of the United States (the
"Supreme Court") to review the Second Circuit's ruling, and that petition is
pending. Additionally, the individual creditor plaintiffs have moved the Second
Circuit to review its prior ruling in light of a recent decision by the Supreme
Court (in an unrelated case) regarding the scope of the Bankruptcy Code's safe
harbor for securities transactions; such review is pending.
On January 6, 2017, the Court granted the shareholder defendants' motion to
dismiss the claims against them in the Committee Action. The Trustee requested
that the Court certify the dismissal order for appeal to the Second Circuit,
and the District Court advised that it would 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; the District Court has stayed this request pending the
Second Circuit's review of its prior decision with respect to the Individual
Creditor Actions.
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
224
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 on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
225
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of each of the thirty-four portfolios listed in the table below
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments/summary schedules of portfolio holdings,
of each of the funds listed in the table below (thirty-four of the portfolios
constituting DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolios") as of October 31, 2018, the related statements of operations and
of changes in net assets for each of the periods indicated in the table below,
including the related notes, and the financial highlights for each of the
periods indicated in the table below (collectively referred to as the
"financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of each of the
Portfolios as of October 31, 2018, the results of each of their operations, the
changes in each of their net assets, and each of the financial highlights for
each of the periods indicated in the table below, in conformity with accounting
principles generally accepted in the United States of America.
STATEMENT OF STATEMENT OF FINANCIAL
FUND OPERATIONS CHANGES IN NET ASSETS HIGHLIGHTS
---- ------------------- --------------------- --------------------
Enhanced U.S. Large Company Portfolio
U.S. Large Cap Equity Portfolio For the year ended For the years ended For the years ended
U.S. Large Cap Value Portfolio October 31, 2018 October 31, 2018 and October 31, 2018,
U.S. Targeted Value Portfolio 2017 2017, 2016, 2015
U.S. Small Cap Value Portfolio and 2014
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
Large Cap International Portfolio
International Core Equity Portfolio
International Small Company Portfolio
Japanese Small Company Portfolio
Asia Pacific Small Company Portfolio
United Kingdom Small Company Portfolio
Continental Small Company Portfolio
DFA International Real Estate
Securities Portfolio
DFA Global Real Estate Securities
Portfolio
DFA International Small Cap Value
Portfolio
International Vector Equity Portfolio
World ex U.S. Value Portfolio
World ex U.S. Targeted Value Portfolio
World ex U.S. Core Equity Portfolio
World Core Equity Portfolio
Selectively Hedged Global Equity
Portfolio
Emerging Markets Portfolio
Emerging Markets Small Cap Portfolio
Emerging Markets Value Portfolio
Emerging Markets Core Equity Portfolio
Global Small Company Portfolio For the year ended For the year ended October 31, 2018 and
October 31, 2018 the period from January 18, 2017
(commencement of operations) through
October 31, 2017
U.S. High Relative Profitability For the year ended For the year ended
Portfolio International High Relative October 31, 2018 October 31, 2018 and
Profitability Portfolio the period from
May 16, 2017
(commencement of
operations) through
October 31, 2017
226
BASIS FOR OPINIONS
These financial statements are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
("PCAOB") and are required to be independent with respect to the Portfolios in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodians, brokers and the transfer agents of the
investee funds; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
227
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. Each Portfolio will send (or has sent) shareholders
a Form 1099-DIV (or a financial intermediary should provide (or has provided)
shareholders with similar information) for the relevant calendar year informing
shareholders how to report these distributions for federal income tax purposes.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
-------------------------------------------
NET INCOME FOR
THE CURRENT OR ACCUMULATED
PRECEDING FISCAL UNDISTRIBUTED PAID-IN
YEAR, AND NET PROFITS FROM SURPLUS OR
ACCUMULATED THE SALE OF OTHER
UNDISTRIBUTED SECURITIES OR CAPITAL
PORTFOLIO NAME NET INCOME OTHER PROPERTIES SOURCE
-------------- ---------------- ---------------- ----------
DFA International Small Cap Value Portfolio September 27,
2018...................................................... 74% 0% 26%
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.
228
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO VS.
BLOOMBERG COMMODITY TOTAL RETURN INDEX
NOVEMBER 9, 2010-OCTOBER 31, 2018
[CHART]
DFA Commodity Strategy Bloomberg Commodity Total Return
Portfolio Index
-------------------------------- ----------------------------------
11/2010 $10,000 $10,000
11/2010 $9,480 $9,414
12/2010 $10,464 $10,420
01/2011 $10,584 $10,525
02/2011 $10,804 $10,664
03/2011 $11,010 $10,884
04/2011 $11,440 $11,261
05/2011 $10,889 $10,691
06/2011 $10,337 $10,152
07/2011 $10,678 $10,452
08/2011 $10,788 $10,557
09/2011 $9,187 $9,001
10/2011 $9,798 $9,597
11/2011 $9,538 $9,384
12/2011 $9,199 $9,032
01/2012 $9,480 $9,256
02/2012 $9,752 $9,506
03/2012 $9,360 $9,112
04/2012 $9,299 $9,074
05/2012 $8,494 $8,245
06/2012 $8,889 $8,698
07/2012 $9,494 $9,261
08/2012 $9,676 $9,381
09/2012 $9,840 $9,541
10/2012 $9,497 $9,171
11/2012 $9,547 $9,176
12/2012 $9,321 $8,937
01/2013 $9,544 $9,151
02/2013 $9,169 $8,777
03/2013 $9,229 $8,836
04/2013 $8,996 $8,590
05/2013 $8,763 $8,397
06/2013 $8,304 $8,001
07/2013 $8,436 $8,110
08/2013 $8,730 $8,386
09/2013 $8,529 $8,172
10/2013 $8,438 $8,051
11/2013 $8,397 $7,987
12/2013 $8,473 $8,086
01/2014 $8,565 $8,110
02/2014 $9,156 $8,616
03/2014 $9,200 $8,651
04/2014 $9,435 $8,862
05/2014 $9,200 $8,607
06/2014 $9,271 $8,658
07/2014 $8,822 $8,227
08/2014 $8,750 $8,141
09/2014 $8,208 $7,634
10/2014 $8,178 $7,573
11/2014 $7,789 $7,265
12/2014 $7,234 $6,711
01/2015 $7,028 $6,486
02/2015 $7,203 $6,654
03/2015 $6,853 $6,312
04/2015 $7,234 $6,674
05/2015 $7,028 $6,494
06/2015 $7,141 $6,606
07/2015 $6,378 $5,904
08/2015 $6,306 $5,850
09/2015 $6,120 $5,650
10/2015 $6,120 $5,625
11/2015 $5,686 $5,217
12/2015 $5,509 $5,056
01/2016 $5,437 $4,971
02/2016 $5,364 $4,890
03/2016 $5,611 $5,077
04/2016 $6,056 $5,509
05/2016 $6,046 $5,499
06/2016 $6,334 $5,726
07/2016 $6,044 $5,433
08/2016 $5,930 $5,337
09/2016 $6,124 $5,505
10/2016 $6,104 $5,478
11/2016 $6,156 $5,551
12/2016 $6,268 $5,651
01/2017 $6,299 $5,659
02/2017 $6,341 $5,670
03/2017 $6,176 $5,519
04/2017 $6,103 $5,436
05/2017 $6,019 $5,364
06/2017 $6,011 $5,354
07/2017 $6,159 $5,475
08/2017 $6,190 $5,497
09/2017 $6,170 $5,489
10/2017 $6,296 $5,606
11/2017 $6,254 $5,581
12/2017 $6,439 $5,747
01/2018 $6,547 $5,861
02/2018 $6,482 $5,760
03/2018 $6,439 $5,724
04/2018 $6,590 $5,872
05/2018 $6,698 $5,955
06/2018 $6,450 $5,747
07/2018 $6,320 $5,624
08/2018 $6,212 $5,525
09/2018 $6,305 $5,631
10/2018 $6,143 $5,509
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION
-------------- --------- --------- ---------
-2.43% -6.15% -5.93%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Data provided by Bloomberg Finance L.P.
--------------------------------------------------------------------------------
229
MANAGEMENT'S DISCUSSION AND ANALYSIS
COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
For the 12 months ended October 31, 2018, the Bloomberg Commodity Index
Total Return returned -1.73%. The only sector with a positive return was
energy, which returned 18.17%. Sectors with negative returns included precious
metals, livestock, agriculture, and industrial metals, which returned -7.47%,
-9.42%, -9.99%, and -12.83%, respectively.
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Commodity Strategy Portfolio seeks total return consisting of
capital appreciation and current income. The Portfolio generally invests in
commodity-linked derivative instruments and fixed income investments. The
Portfolio, through its wholly owned subsidiary Dimensional Cayman Commodity
Fund I LTD, gains exposure to commodities markets by investing in derivative
instruments such as commodity swap contracts, commodity futures and other
commodity-linked instruments. In pursuing the fixed income portion of the
Portfolio's investment strategy, Dimensional identifies a broadly diversified
universe of eligible U.S. and foreign fixed income securities with defined
maturity ranges and credit quality characteristics and then seeks to purchase a
broad and diverse portfolio of securities meeting these credit quality
standards. The investment strategy uses a variable maturity approach and shifts
maturities based on changes in the yield curve. The strategy uses current
yields and identifies favorable maturity ranges for risk-adjusted expected
returns based on potential buy and sell strategies.
The Portfolio, through the Dimensional Cayman Commodity Fund I LTD, gained
exposure to commodities primarily through the use of commodity swap contracts.
To a lesser extent, the Portfolio gained exposure to commodities through the
use of commodity futures contracts. The Portfolio's commodity swaps provided
exposure to the 22 commodities included in the benchmark. For the period, the
average duration of the Portfolio's fixed income securities remained near 1.50
years.
For the 12 months ended October 31, 2018, total returns were -2.43% for the
Portfolio and -1.73% for the Bloomberg Commodity Index Total Return. The
collateral component of the Portfolio has a longer duration than the
three-month U.S. Treasury bill rate payable in the commodity swap contract. As
such, the Portfolio's longer duration detracted from performance relative to
the benchmark during a period in which term premiums in the U.S. were negative.
Pre-rolling commodity contracts also detracted from performance relative to the
benchmark, while varying the maturities of the individual commodity contracts
contributed positively to performance relative to the benchmark.
230
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and 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"
reflects 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.
231
DISCLOSURE OF FUND EXPENSES
CONTINUED
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DFA COMMODITY STRATEGY PORTFOLIO
--------------------------------
Actual Fund Return.......................................... $1,000.00 $ 932.10 0.33% $1.61
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.54 0.33% $1.68
--------
(1)DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (184), then divided by
the number of days in the year (365) to reflect the six-month period.
232
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400; by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX
78746; or by visiting the SEC's website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this 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................................................... 35.1%
Government.................................................. 25.0%
Foreign Corporate........................................... 18.7%
Foreign Government.......................................... 20.1%
Supranational............................................... 1.1%
-----
100.0%
233
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (74.5%)
AUSTRALIA -- (4.0%)
Commonwealth Bank of Australia
2.300%, 09/06/19................................................. 5,100 $ 5,067,555
5.000%, 10/15/19................................................. 10,000 10,175,270
W 2.250%, 03/10/20................................................. 5,000 4,931,050
2.300%, 03/12/20................................................. 5,000 4,935,700
5.000%, 03/19/20................................................. 5,000 5,116,158
2.400%, 11/02/20................................................. 2,246 2,200,006
Macquarie Group, Ltd.
W 3.000%, 12/03/18................................................. 4,500 4,501,260
#W 6.250%, 01/14/21................................................. 4,842 5,090,025
National Australia Bank, Ltd.
W 2.400%, 12/09/19................................................. 9,500 9,419,245
2.125%, 05/22/20................................................. 745 732,059
2.625%, 07/23/20................................................. 4,052 4,001,782
Westpac Banking Corp.
2.150%, 03/06/20................................................. 5,000 4,928,050
2.300%, 05/26/20................................................. 17,774 17,490,594
2.100%, 05/13/21................................................. 1,000 964,850
-----------
TOTAL AUSTRALIA...................................................... 79,553,604
-----------
AUSTRIA -- (0.1%)
Oesterreichische Kontrollbank AG
# 1.875%, 01/20/21................................................. 1,500 1,461,161
-----------
BELGIUM -- (0.3%)
Dexia Credit Local SA
1.875%, 01/29/20................................................. 5,000 4,929,057
-----------
CANADA -- (15.4%)
Canada Housing Trust No 1
W 1.450%, 06/15/20................................................. CAD 57,000 42,676,068
Canadian Government Bond
1.750%, 05/01/20................................................. CAD 45,000 33,919,632
CPPIB Capital, Inc.
1.400%, 06/04/20................................................. CAD 6,000 4,483,467
Nutrien, Ltd.
6.500%, 05/15/19................................................. 1,446 1,472,446
Province of Alberta Canada
1.900%, 12/06/19................................................. 5,000 4,943,920
1.250%, 06/01/20................................................. CAD 39,000 29,086,543
Province of British Columbia Canada
3.700%, 12/18/20................................................. CAD 30,000 23,358,274
Province of Manitoba Canada
# 2.050%, 11/30/20................................................. 15,000 14,670,450
Province of Ontario Canada
4.200%, 06/02/20................................................. CAD 50,000 39,016,674
4.000%, 06/02/21................................................. CAD 7,000 5,500,513
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
Province of Quebec Canada
4.500%, 12/01/20................................................. CAD 55,000 $ 43,470,660
Royal Bank of Canada
2.980%, 05/07/19................................................. CAD 7,000 5,336,048
2.150%, 03/06/20................................................. 5,708 5,636,286
2.350%, 10/30/20................................................. 5,913 5,806,188
Toronto-Dominion Bank (The)
2.563%, 06/24/20................................................. CAD 39,000 29,500,406
2.500%, 12/14/20................................................. 1,000 984,601
3.250%, 06/11/21................................................. 10,000 9,966,612
Toyota Credit Canada, Inc.
2.800%, 11/21/18................................................. CAD 10,000 7,598,162
------------
TOTAL CANADA......................................................... 307,426,950
------------
DENMARK -- (0.0%)
Danske Bank A.S.
2.800%, 03/10/21................................................. 400 389,260
------------
FINLAND -- (0.3%)
Municipality Finance P.L.C.
1.250%, 04/18/19................................................. 5,000 4,966,580
1.750%, 05/21/19................................................. 1,150 1,143,947
------------
TOTAL FINLAND........................................................ 6,110,527
------------
FRANCE -- (3.6%)
BNP Paribas SA
2.375%, 05/21/20................................................. 2,720 2,683,334
BPCE SA
2.650%, 02/03/21................................................. 330 323,405
Credit Agricole SA
W 2.750%, 06/10/20................................................. 5,000 4,944,050
Dexia Credit Local SA
0.200%, 03/16/21................................................. EUR 16,250 18,547,420
Electricite de France SA
W 2.350%, 10/13/20................................................. 5,000 4,903,963
Orange SA
1.625%, 11/03/19................................................. 2,000 1,968,480
Sanofi
4.000%, 03/29/21................................................. 17,450 17,711,083
0.875%, 09/22/21................................................. EUR 5,000 5,800,240
Societe Generale SA
W 2.625%, 09/16/20................................................. 2,000 1,971,688
Total Capital International SA
2.100%, 06/19/19................................................. 13,208 13,146,024
------------
TOTAL FRANCE......................................................... 71,999,687
------------
GERMANY -- (4.2%)
Bayer U.S. Finance II LLC
W 1.850%, 11/15/18................................................. 6,700 6,697,450
234
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
GERMANY -- (Continued)
Bayer U.S. Finance LLC
W 2.375%, 10/08/19................................................. 1,500 $ 1,488,117
Daimler Finance North America LLC
W 2.250%, 03/02/20................................................. 2,925 2,878,459
Deutsche Bank AG
2.950%, 08/20/20................................................. 7,018 6,877,609
3.125%, 01/13/21................................................. 3,889 3,799,833
Erste Abwicklungsanstalt
1.375%, 10/30/19................................................. 25,000 24,606,300
Merck & Co., Inc.
1.850%, 02/10/20................................................. 22,500 22,158,237
State of North Rhine- Westphalia Germany
1.625%, 01/22/20................................................. 3,650 3,591,052
Volkswagen Group of America Finance LLC
W 2.125%, 05/23/19................................................. 10,000 9,938,403
2.400%, 05/22/20................................................. 2,000 1,963,259
-----------
TOTAL GERMANY........................................................ 83,998,719
-----------
IRELAND -- (0.4%)
GE Capital International Funding Co., Unlimited Co.
2.342%, 11/15/20................................................. 2,937 2,846,838
Iberdrola Finance Ireland DAC
W 5.000%, 09/11/19................................................. 2,000 2,030,281
Perrigo Finance Un, Ltd. Co.
3.500%, 03/15/21................................................. 2,500 2,468,473
-----------
TOTAL IRELAND........................................................ 7,345,592
-----------
ITALY -- (0.1%)
Intesa Sanpaolo SpA
3.875%, 01/15/19................................................. 2,570 2,570,395
-----------
JAPAN -- (1.7%)
Mizuho Financial Group, Inc.
W 2.632%, 04/12/21................................................. 2,000 1,952,670
MUFG Bank, Ltd.
W 2.350%, 09/08/19................................................. 850 844,770
Nomura Holdings, Inc.
2.750%, 03/19/19................................................. 1,034 1,033,566
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19................................................. 3,500 3,497,454
2.650%, 07/23/20................................................. 2,250 2,222,635
Toyota Motor Credit Corp.
1.400%, 05/20/19 5,168 5,128,651
2.125%, 07/18/19................................................. 1,080 1,074,787
2.150%, 03/12/20................................................. 18,550 18,344,785
-----------
TOTAL JAPAN.......................................................... 34,099,318
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
LUXEMBOURG -- (0.2%)
Nestle Finance International, Ltd.
2.125%, 09/10/21................................................. EUR 2,875 $ 3,458,685
-----------
NETHERLANDS -- (3.8%)
Bank Nederlandse Gemeenten NV
W 1.750%, 10/05/20................................................. 24,800 24,199,716
BNG Bank NV
2.500%, 02/28/20................................................. 1,800 1,788,748
Deutsche Telekom International Finance BV
W 1.500%, 09/19/19................................................. 3,000 2,955,203
ING Bank NV
W 2.500%, 10/01/19................................................. 3,000 2,983,509
LyondellBasell Industries NV
5.000%, 04/15/19................................................. 1,022 1,025,849
Mondelez International, Inc.
W 1.625%, 10/28/19................................................. 2,000 1,966,668
Nederlandse Waterschapsbank NV
1.625%, 03/04/20................................................. 4,362 4,284,958
Shell International Finance BV
2.000%, 11/15/18................................................. 2,350 2,349,600
4.300%, 09/22/19................................................. 12,204 12,350,940
4.375%, 03/25/20................................................. 7,120 7,246,238
1.875%, 05/10/21................................................. 15,000 14,494,732
-----------
TOTAL NETHERLANDS.................................................... 75,646,161
-----------
NORWAY -- (1.7%)
Equinor ASA
# 2.900%, 11/08/20................................................. 5,192 5,152,876
Kommunalbanken A.S.
1.750%, 05/28/19................................................. 5,000 4,972,430
1.625%, 01/15/20................................................. 5,450 5,366,452
Norway Government Bond
3.750%, 05/25/21................................................. NOK 150,000 18,902,228
-----------
TOTAL NORWAY......................................................... 34,393,986
-----------
SPAIN -- (1.0%)
Santander UK Group Holdings P.L.C.
2.875%, 10/16/20................................................. 9,000 8,868,276
Telefonica Emisiones SAU
5.134%, 04/27/20................................................. 2,200 2,252,274
5.462%, 02/16/21................................................. 8,000 8,312,080
-----------
TOTAL SPAIN.......................................................... 19,432,630
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.1%)
Council Of Europe Development Bank
1.750%, 11/14/19................................................. 7,000 6,921,585
235
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
European Investment Bank
1.125%, 02/18/20................................................. CAD 20,020 $14,962,268
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS......................... 21,883,853
-----------
SWEDEN -- (4.0%)
Kommuninvest I Sverige AB
1.000%, 09/15/21................................................. SEK 400,000 44,682,909
Svensk Exportkredit AB
1.875%, 06/17/19................................................. 17,000 16,906,719
Svenska Handelsbanken AB
2.250%, 06/17/19................................................. 5,000 4,975,046
W 5.125%, 03/30/20................................................. 6,708 6,871,340
Sweden Government Bond
5.000%, 12/01/20................................................. SEK 50,000 6,085,896
-----------
TOTAL SWEDEN......................................................... 79,521,910
-----------
SWITZERLAND -- (0.3%)
UBS AG
2.375%, 08/14/19................................................. 720 716,014
2.350%, 03/26/20................................................. 6,000 5,921,837
-----------
TOTAL SWITZERLAND.................................................... 6,637,851
-----------
UNITED KINGDOM -- (0.7%)
Aon P.L.C.
2.800%, 03/15/21................................................. 2,680 2,625,951
AstraZeneca P.L.C.
1.750%, 11/16/18................................................. 4,958 4,955,862
Barclays P.L.C.
# 2.875%, 06/08/20................................................. 5,000 4,938,860
Santander UK Group Holdings P.L.C.
3.125%, 01/08/21................................................. 1,808 1,782,059
-----------
TOTAL UNITED KINGDOM................................................. 14,302,732
-----------
UNITED STATES -- (31.6%)
21st Century Fox America, Inc.
4.500%, 02/15/21................................................. 3,624 3,686,281
3M Co.
# 1.625%, 06/15/19................................................. 3,200 3,172,823
AbbVie, Inc.
# 2.500%, 05/14/20................................................. 11,317 11,169,094
Allergan Funding SCS
3.000%, 03/12/20................................................. 5,000 4,978,304
Allergan, Inc.
3.375%, 09/15/20................................................. 1,570 1,567,028
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
American Express Credit Corp.
2.375%, 05/26/20................................................. 6,210 $ 6,123,740
2.600%, 09/14/20................................................. 1,600 1,578,336
American Honda Finance Corp.
2.250%, 08/15/19................................................. 2,000 1,988,942
American International Group, Inc.
2.300%, 07/16/19 1,500 1,492,860
3.375%, 08/15/20................................................. 3,470 3,463,490
6.400%, 12/15/20................................................. 7,000 7,387,981
Amgen, Inc.
2.200%, 05/11/20................................................. 9,990 9,834,955
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21................................................. 10,000 9,802,906
Anthem, Inc.
4.350%, 08/15/20................................................. 1,128 1,146,798
2.500%, 11/21/20................................................. 11,465 11,232,735
Aon Corp.
5.000%, 09/30/20................................................. 1,000 1,029,152
Apple, Inc.
# 1.900%, 02/07/20................................................. 31,000 30,609,623
2.000%, 05/06/20................................................. 4,522 4,452,598
AT&T, Inc.
5.200%, 03/15/20................................................. 6,000 6,145,790
Autodesk, Inc.
3.125%, 06/15/20................................................. 1,355 1,349,379
AutoZone, Inc.
2.500%, 04/15/21................................................. 2,045 1,990,194
Bank of America Corp.
2.600%, 01/15/19................................................. 4,000 3,998,040
2.625%, 10/19/20................................................. 1,670 1,647,366
Berkshire Hathaway, Inc.
2.100%, 08/14/19................................................. 2,800 2,783,086
Best Buy Co., Inc.
5.500%, 03/15/21................................................. 6,000 6,223,478
BMW US Capital LLC
W 2.000%, 04/11/21................................................. 3,000 2,893,308
Burlington Northern Santa Fe LLC
4.700%, 10/01/19................................................. 250 253,698
CA, Inc.
5.375%, 12/01/19................................................. 5,245 5,347,463
Capital One Bank USA NA
2.300%, 06/05/19................................................. 1,242 1,237,098
Capital One NA
2.400%, 09/05/19................................................. 6,536 6,490,277
Cardinal Health, Inc.
4.625%, 12/15/20................................................. 5,150 5,258,141
CBS Corp.
2.300%, 08/15/19................................................. 1,500 1,490,390
236
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Celgene Corp.
2.875%, 02/19/21................................................. 10,000 $ 9,852,000
Chevron Corp.
# 2.193%, 11/15/19................................................. 15,000 14,883,719
1.961%, 03/03/20................................................. 8,000 7,887,163
2.427%, 06/24/20................................................. 3,650 3,609,745
Cisco Systems, Inc.
2.125%, 03/01/19................................................. 10,000 9,982,692
1.400%, 09/20/19................................................. 12,935 12,776,033
Citigroup, Inc.
2.050%, 12/07/18................................................. 4,791 4,788,222
2.650%, 10/26/20................................................. 2,575 2,535,673
2.700%, 03/30/21................................................. 4,790 4,691,095
Citizens Bank NA
2.550%, 05/13/21................................................. 8,000 7,784,856
Comerica, Inc.
2.125%, 05/23/19................................................. 4,000 3,981,191
CVS Health Corp.
2.250%, 12/05/18................................................. 3,399 3,397,010
Daimler Finance North America LLC
W 2.700%, 08/03/20................................................. 3,060 3,015,484
Discovery Communications LLC
W 2.750%, 11/15/19................................................. 1,500 1,489,371
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20................................................. 2,000 1,974,000
Dow Chemical Co. (The)
4.250%, 11/15/20................................................. 9,625 9,745,792
Eastman Chemical Co.
2.700%, 01/15/20................................................. 3,883 3,853,779
EMD Finance LLC
W 2.400%, 03/19/20................................................. 1,150 1,133,422
Enterprise Products Operating LLC
5.200%, 09/01/20................................................. 3,839 3,953,594
Eversource Energy
2.500%, 03/15/21................................................. 3,350 3,286,927
Exelon Corp.
2.850%, 06/15/20................................................. 1,205 1,191,605
Exelon Generation Co. LLC
4.000%, 10/01/20................................................. 4,282 4,316,511
Exxon Mobil Corp.
1.912%, 03/06/20................................................. 3,950 3,893,993
2.222%, 03/01/21................................................. 3,000 2,931,144
Fidelity National Information Services, Inc.
3.625%, 10/15/20................................................. 1,214 1,216,376
Fifth Third Bancorp
2.875%, 07/27/20................................................. 4,000 3,963,690
Ford Motor Credit Co. LLC
3.200%, 01/15/21................................................. 4,000 3,903,480
3.336%, 03/18/21................................................. 1,989 1,943,159
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
General Electric Co.
4.375%, 09/16/20................................................. 7,000 $ 7,087,733
General Mills, Inc.
2.200%, 10/21/19................................................. 3,500 3,468,026
General Motors Financial Co., Inc.
3.150%, 01/15/20................................................. 7,000 6,965,718
4.200%, 03/01/21................................................. 500 502,420
Goldman Sachs Group, Inc. (The)
2.300%, 12/13/19................................................. 600 593,735
2.600%, 04/23/20................................................. 2,075 2,053,692
6.000%, 06/15/20................................................. 8,000 8,325,180
Harley-Davidson Financial Services, Inc.
W 2.150%, 02/26/20................................................. 585 574,844
2.400%, 06/15/20................................................. 2,600 2,551,169
W 2.850%, 01/15/21................................................. 6,000 5,882,716
Harris Corp.
2.700%, 04/27/20................................................. 1,205 1,191,643
Hewlett Packard Enterprise Co.
3.600%, 10/15/20................................................. 12,000 12,018,806
HSBC USA, Inc.
2.750%, 08/07/20................................................. 10,000 9,903,800
Huntington National Bank
2.875%, 08/20/20................................................. 3,095 3,063,890
Integrys Holding, Inc.
4.170%, 11/01/20................................................. 4,060 4,106,271
Intercontinental Exchange, Inc.
2.750%, 12/01/20................................................. 3,519 3,478,426
International Business Machines Corp.
2.250%, 02/19/21................................................. 3,615 3,526,417
John Deere Capital Corp.
# 2.800%, 03/04/21................................................. 1,000 989,290
JPMorgan Chase & Co.
2.750%, 06/23/20................................................. 7,900 7,824,619
KeyBank NA
2.350%, 03/08/19................................................. 3,000 2,995,072
KeyCorp
2.900%, 09/15/20................................................. 3,128 3,099,187
Kraft Heinz Foods Co.
2.800%, 07/02/20................................................. 14,365 14,216,069
Kroger Co. (The)
2.300%, 01/15/19................................................. 1,000 998,849
1.500%, 09/30/19................................................. 1,565 1,542,062
Lam Research Corp.
2.750%, 03/15/20................................................. 1,098 1,088,202
LG&E & KU Energy LLC
3.750%, 11/15/20................................................. 1,244 1,250,280
Liberty Mutual Group, Inc.
W 5.000%, 06/01/21................................................. 980 1,004,982
237
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Marriott International, Inc.
# 2.875%, 03/01/21................................................. 1,000 $ 986,766
Maxim Integrated Products, Inc.
2.500%, 11/15/18................................................. 4,417 4,415,012
McDonald's Corp.
2.100%, 12/07/18................................................. 7,000 6,995,310
McKesson Corp.
2.284%, 03/15/19................................................. 3,995 3,984,591
Medtronic, Inc.
2.500%, 03/15/20................................................. 4,750 4,708,878
Microsoft Corp.
1.100%, 08/08/19................................................. 4,930 4,869,215
1.850%, 02/12/20................................................. 7,000 6,908,825
Molson Coors Brewing Co.
2.250%, 03/15/20................................................. 12,857 12,669,202
Nasdaq, Inc.
5.550%, 01/15/20................................................. 1,850 1,896,638
NextEra Energy Capital Holdings, Inc.
2.700%, 09/15/19................................................. 1,500 1,494,179
Novartis Capital Corp.
4.400%, 04/24/20................................................. 5,000 5,092,797
Occidental Petroleum Corp.
4.100%, 02/01/21................................................. 650 659,009
Omnicom Group, Inc. / Omnicom Capital, Inc.
4.450%, 08/15/20................................................. 2,190 2,227,931
Oracle Corp.
# 2.250%, 10/08/19................................................. 27,680 27,503,759
Pfizer, Inc.
2.100%, 05/15/19................................................. 19,217 19,148,881
Philip Morris International, Inc.
# 1.875%, 01/15/19................................................. 1,373 1,370,369
2.000%, 02/21/20................................................. 1,250 1,231,350
PNC Bank NA
2.300%, 06/01/20................................................. 2,400 2,363,304
2.600%, 07/21/20................................................. 4,116 4,066,416
Regions Financial Corp.
3.200%, 02/08/21................................................. 4,400 4,361,947
Republic Services, Inc.
5.500%, 09/15/19................................................. 1,167 1,191,105
Roper Technologies, Inc.
3.000%, 12/15/20................................................. 5,070 5,022,503
Ryder System, Inc.
2.550%, 06/01/19................................................. 1,500 1,496,625
Santander Holdings USA, Inc.
2.650%, 04/17/20................................................. 4,992 4,929,381
Sempra Energy
2.850%, 11/15/20................................................. 6,000 5,919,774
Solvay Finance America LLC
W 3.400%, 12/03/20................................................. 12,000 11,944,085
Southern Power Co.
2.375%, 06/01/20................................................. 1,645 1,615,054
FACE
AMOUNT^ VALUE+
------- --------------
(000)
UNITED STATES -- (Continued)
Southwest Airlines Co.
2.750%, 11/06/19................................................. 5,480 $ 5,458,309
State Street Corp.
2.550%, 08/18/20................................................. 3,366 3,330,756
Stryker Corp.
2.000%, 03/08/19................................................. 974 970,886
SunTrust Banks, Inc.
2.500%, 05/01/19................................................. 1,735 1,730,921
TD Ameritrade Holding Corp.
5.600%, 12/01/19................................................. 1,000 1,026,105
Toyota Motor Credit Corp.
# 1.550%, 10/18/19................................................. 10,000 9,862,184
UnitedHealth Group, Inc.
1.625%, 03/15/19................................................. 1,000 995,735
Verizon Communications, Inc.
2.625%, 02/21/20................................................. 1,288 1,279,575
4.600%, 04/01/21................................................. 3,100 3,182,548
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19................................................. 470 467,607
Walmart, Inc.
2.850%, 06/23/20................................................. 22,556 22,520,172
Walt Disney Co. (The)
2.150%, 09/17/20................................................. 2,500 2,459,700
Warner Media LLC
4.700%, 01/15/21................................................. 9,000 9,211,510
Wells Fargo & Co.
4.600%, 04/01/21................................................. 5,000 5,114,612
Xcel Energy, Inc.
2.400%, 03/15/21................................................. 2,622 2,558,147
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20................................................. 1,021 1,009,613
--------------
TOTAL UNITED STATES.......................................................................... 630,361,464
--------------
TOTAL BONDS.................................................................................. 1,485,523,542
--------------
U.S. TREASURY OBLIGATIONS -- (24.8%)
U.S. Treasury Notes
1.375%, 12/15/19................................................. 109,000 107,356,485
1.875%, 12/31/19................................................. 60,180 59,578,101
1.250%, 02/29/20................................................. 38,000 37,237,031
~(double left angle quote) 1.625%, 07/31/20................................................. 194,000 189,907,812
1.375%, 08/31/20................................................. 103,000 100,268,086
--------------
TOTAL U.S. TREASURY OBLIGATIONS.............................................................. 494,347,515
--------------
TOTAL INVESTMENT SECURITIES.................................................................. 1,979,871,057
--------------
238
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- --------------
SECURITIES LENDING COLLATERAL -- (0.7%)
@(S) DFA Short Term Investment Fund................................... 1,198,438 $ 13,865,927
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,016,391,769).............................................. $1,993,736,984
==============
As of October 31, 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 11,172,580 EUR 9,574,092 Citibank, N.A. 11/23/18 $ 310,923
USD 11,327,739 SEK 102,554,821 Citibank, N.A. 01/04/19 48,083
USD 11,426,993 SEK 102,757,833 Citibank, N.A. 01/04/19 125,009
USD 22,920,569 SEK 204,809,720 State Street Bank and Trust 01/04/19 394,245
USD 19,990,548 NOK 162,842,082 Citibank, N.A. 01/11/19 607,592
USD 5,160,854 CAD 6,741,685 Citibank, N.A. 01/18/19 31,359
USD 133,863,359 CAD 174,120,970 National Australia Bank Ltd. 01/18/19 1,381,250
USD 11,530,645 CAD 14,987,113 National Australia Bank Ltd. 01/24/19 126,368
USD 132,491,537 CAD 173,050,111 State Street Bank and Trust 01/24/19 810,980
------------
TOTAL APPRECIATION $ 3,835,809
EUR 9,574,092 USD 11,274,855 Citibank, N.A. 11/23/18 $ (413,197)
USD 6,201,197 SEK 56,427,581 Citibank, N.A. 01/04/19 (5,081)
USD 28,101,505 EUR 24,627,112 State Street Bank and Trust 01/30/19 (22,614)
------------
TOTAL (DEPRECIATION) $ (440,892)
------------
TOTAL APPRECIATION
(DEPRECIATION) $ 3,394,917
============
As of October 31, 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:
CBOT Corn Futures................................. 241 12/14/18 $4,557,124 $4,377,162 $(179,962)
CBOT Soybean Futures.............................. 85 01/14/19 3,722,641 3,619,938 (102,703)
CBOT Soybean Meal Futures......................... 65 01/14/19 2,033,026 2,003,300 (29,726)
CBOT Soybean Oil Futures.......................... 94 01/14/19 1,696,270 1,592,736 (103,534)
CBOT Wheat Futures................................ 105 12/14/18 2,980,457 2,627,625 (352,832)
CME Lean Hogs Futures............................. 50 12/14/18 1,107,041 1,169,000 61,959
CME Live Cattle Futures........................... 62 12/31/18 2,848,404 2,900,360 51,956
COMEX Copper Futures.............................. 61 12/27/18 4,197,627 4,054,975 (142,652)
COMEX Gold 100 Troy Oz. Futures................... 62 12/27/18 7,715,003 7,533,000 (182,003)
COMEX Silver Futures.............................. 29 12/27/18 2,193,590 2,070,890 (122,700)
ICE Brent Crude Oil Futures....................... 78 11/30/18 6,088,768 5,853,120 (235,648)
KCBT Hard Red Winter Wheat Futures................ 41 12/14/18 1,192,433 1,011,163 (181,270)
LME Nickel Futures................................ 33 01/14/19 2,486,476 2,275,218 (211,258)
LME Nickel Futures................................ 48 11/19/18 3,954,410 3,294,864 (659,546)
LME Primary Aluminum Futures...................... 107 11/19/18 5,487,879 5,208,225 (279,654)
239
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LME Primary Aluminum Futures.............. 73 01/14/19 $ 4,006,589 $ 3,556,013 $ (450,576)
LME Zinc Futures.......................... 48 11/19/18 3,077,919 3,056,100 (21,819)
LME Zinc Futures.......................... 33 01/14/19 2,186,292 2,060,231 (126,061)
NYBOT CSC 'C' Coffee Futures.............. 37 12/18/18 1,532,856 1,563,712 30,856
NYBOT CSC No. 11 World Sugar Futures...... 145 02/28/19 1,897,714 2,142,056 244,342
NYBOT CTN No. 2 Cotton Futures............ 26 12/06/18 1,077,526 999,180 (78,346)
NYMEX Henry Hub Natural Gas Futures....... 202 12/27/18 6,828,228 6,670,040 (158,188)
NYMEX Light Sweet Crude Oil Futures....... 82 12/19/18 6,138,993 5,366,080 (772,913)
NYMEX NY Harbor ULSD Futures.............. 30 12/31/18 3,040,544 2,833,110 (207,434)
NYMEX Reformulated Gasoline Blend Futures. 34 12/31/18 3,018,532 2,502,284 (516,248)
------------ ------------ -----------
TOTAL..................................... $ 85,066,342 $ 80,340,382 $(4,725,960)
SHORT POSITION CONTRACTS:
LME Nickel Futures........................ (48) 11/19/18 (3,625,963) (3,294,864) 331,099
LME Nickel Futures........................ (8) 01/14/19 (603,260) (551,568) 51,692
LME Primary Aluminum Futures.............. (107) 11/19/18 (5,739,621) (5,208,225) 531,396
LME Primary Aluminum Futures.............. (16) 01/14/19 (808,194) (779,400) 28,794
LME Zinc Futures.......................... (48) 11/19/18 (3,122,956) (3,056,100) 66,856
LME Zinc Futures.......................... (8) 01/14/19 (530,766) (499,450) 31,316
------------ ------------ -----------
TOTAL..................................... $(14,430,760) $(13,389,607) $ 1,041,153
------------ ------------ -----------
TOTAL FUTURES CONTRACTS................... $ 70,635,582 $ 66,950,775 $(3,684,807)
============ ============ ===========
As of October 31, 2018, DFA Commodity Strategy Portfolio had entered into the
following outstanding Total Return Swaps:
PAYMENTS UPFRONT UPFRONT UNREALIZED
REFERENCE NOTIONAL RECEIVED (PAID) EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
ENTITY* COUNTERPARTY AMOUNT BY THE FUND** DATE PAID RECEIVED VALUE (DEPRECIATION)
--------- --------------------- --------------- --------------- ---------- -------- -------- ---------- --------------
BofA Merrill
Lynch 3 Month USD
Commodity UST 13-Week
MLBXPPDM Bill High
Total Return Merrill Lynch Capital Discount Rate
Index (1) Services, Inc. USD 233,387,967 plus 0.14% 12/21/18 -- -- (3,461,723) (3,461,723)
BofA Merrill 3 Month USD
Lynch UST 13-Week
MLBXRSDT Bill High
Total Return Merrill Lynch Capital Discount Rate
Index (2) Services, Inc. USD 187,689,256 plus 0.19% 12/21/18 -- -- (2,645,577) (2,645,577)
Citi 3 Month USD
Commodities UST 13-Week
Pre-Roll RS Bill High
Total Return Discount Rate
Index (3) Citibank, N.A. USD 274,373,880 plus 0.19% 12/21/18 -- -- (4,245,220) (4,245,220)
Citi Custom 3 Month USD
CIVICS H UST 13-Week
Total Return Bill High
Index (4) Discount Rate
Citibank, N.A. USD 293,870,645 plus 0.14% 12/21/18 -- -- (4,417,589) (4,417,589)
Credit 3 Month USD
Suisse UST 13-Week
Custom 141 Bill High
Total Return Discount Rate
Index (5) Credit Suisse USD 255,976,829 plus 0.18% 11/30/18 -- -- (3,607,509) (3,607,509)
240
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
PAYMENTS UPFRONT UPFRONT UNREALIZED
REFERENCE NOTIONAL RECEIVED (PAID) EXPIRATION PREMIUMS PREMIUMS APPRECIATION
ENTITY* COUNTERPARTY AMOUNT BY THE FUND** DATE PAID RECEIVED MARKET VALUE (DEPRECIATION)
--------- ---------------- --------------- --------------- ---------- -------- -------- ------------ --------------
Credit 3 Month USD
Suisse UST 13-Week
Custom 57 Bill High
Total
Return Discount Rate
Index (6) Credit Suisse USD 186,350,490 plus 0.14% 11/30/18 -- -- (2,763,727) (2,763,727)
Deutsche 3 Month USD
Bank UST 13-Week
Benchmark Bill High
2 Flex
Index Discount Rate
002 (7) Deutsche Bank AG USD 161,687,952 plus 0.14% 11/30/18 -- -- (2,314,416) (2,314,416)
UBS 3 Month USD
UBSIB190 UST 13-Week
Custom Bill High
Strategy (8) Discount Rate
UBS AG USD 259,681,094 plus 0.14% 01/31/19 -- -- (3,851,898) (3,851,898)
UBS 3 Month USD
UBSIDRST UST 13-Week
Custom Bill High
Strategy (9) Discount Rate
UBS AG USD 103,342,877 plus 0.17% 11/30/18 -- -- (1,462,031) (1,462,031)
-- -- ------------ ------------
TOTAL -- -- $(28,769,690) $(28,769,690)
== == ============ ============
* Portfolio receives the price appreciation of the reference entity at
maturity.
** Payments received (paid) by the Fund are exchanged at maturity.
(1) The following table represents the individual positions within the Total
Return Swap as of October 31, 2018:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Corn Futures 6.68% 15,601,745
CBOT Soybean Futures 5.33% 12,432,127
CBOT Soybean Meal Futures 2.96% 6,909,788
CBOT Soybean Oil Futures 2.34% 5,465,309
CBOT Wheat Futures 3.98% 9,281,439
CME Lean Hogs Futures 1.93% 4,514,199
CME Live Cattle Futures 4.50% 10,504,093
COMEX Copper Futures 6.05% 14,113,178
COMEX Gold 100 Troy Oz. Futures 11.24% 26,221,008
COMEX Silver Futures 3.12% 7,274,416
ICE Brent Crude Oil Futures 8.69% 20,277,889
KCBT Hard Red Winter Wheat Futures 1.57% 3,673,079
LME Nickel Futures 2.58% 6,026,614
LME Primary Aluminum Futures 4.06% 9,486,380
LME Zinc Futures 2.34% 5,471,923
NYBOT CSC 'C' Coffee Futures 2.41% 5,614,825
NYBOT CSC No. 11 World Sugar Futures 3.15% 7,354,432
NYBOT CTN No. 2 Cotton Futures 1.49% 3,469,015
NYMEX Henry Hub Natural Gas Futures 9.82% 22,919,543
NYMEX Light Sweet Crude Oil Futures 7.95% 18,543,517
NYMEX NY Harbor ULSD Futures 4.11% 9,589,613
241
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Reformulated Gasoline Blend Futures 3.70% 8,643,835
-----------
Total Notional Amount 233,387,967
===========
(2) The following table represents the individual positions within the Total
Return Swap as of October 31, 2018:
REFERENCED COMMODITY - LONG
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Corn Futures 5.24% 9,831,099
CBOT Soybean Futures 4.31% 8,092,142
CBOT Soybean Meal Futures 2.99% 5,613,979
CBOT Soybean Oil Futures 1.89% 3,554,163
CBOT Wheat Futures 3.08% 5,782,923
CME Lean Hogs Futures 1.37% 2,564,304
CME Live Cattle Futures 5.28% 9,905,547
COMEX Copper Futures 6.06% 11,381,864
COMEX Gold 100 Troy Oz. Futures 11.30% 21,198,644
COMEX Silver Futures 2.50% 4,692,142
ICE Brent Crude Oil Futures 8.78% 16,480,740
KCBT Hard Red Winter Wheat Futures 1.21% 2,268,539
LME Nickel Futures 2.61% 4,891,868
LME Primary Aluminum Futures 4.93% 9,248,835
LME Zinc Futures 2.84% 5,334,903
NYBOT CSC 'C' Coffee Futures 1.89% 3,546,550
NYBOT CSC No. 11 World Sugar Futures 3.20% 6,013,372
NYBOT CTN No. 2 Cotton Futures 1.17% 2,201,265
NYMEX Henry Hub Natural Gas Futures 11.78% 22,107,940
NYMEX Light Sweet Crude Oil Futures 8.07% 15,145,389
NYMEX NY Harbor ULSD Futures 4.97% 9,331,421
NYMEX Reformulated Gasoline Blend Futures 4.53% 8,501,627
-----------
Total Notional Amount 187,689,256
===========
(3) The following table represents the individual positions within the Total
Return Swap as of October 31, 2018:
REFERENCED COMMODITY - LONG
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Corn Futures 5.24% 14,371,610
CBOT Soybean Futures 4.31% 11,829,513
CBOT Soybean Meal Futures 2.99% 8,206,805
CBOT Soybean Oil Futures 1.89% 5,195,661
CBOT Wheat Futures 3.08% 8,453,776
CME Lean Hogs Futures 1.37% 3,748,632
CME Live Cattle Futures 5.28% 14,480,442
COMEX Copper Futures 6.06% 16,638,598
COMEX Gold 100 Troy Oz. Futures 11.30% 30,989,277
COMEX Silver Futures 2.50% 6,859,216
ICE Brent Crude Oil Futures 8.78% 24,092,399
KCBT Hard Red Winter Wheat Futures 1.21% 3,316,268
LME Nickel Futures 2.61% 7,151,187
LME Primary Aluminum Futures 4.93% 13,520,426
LME Zinc Futures 2.84% 7,798,837
242
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYBOT CSC 'C' Coffee Futures 1.89% 5,184,531
NYBOT CSC No. 11 World Sugar Futures 3.20% 8,790,658
NYBOT CTN No. 2 Cotton Futures 1.17% 3,217,924
NYMEX Henry Hub Natural Gas Futures 11.78% 32,318,532
NYMEX Light Sweet Crude Oil Futures 8.07% 22,140,314
NYMEX NY Harbor ULSD Futures 4.97% 13,641,155
NYMEX Reformulated Gasoline Blend Futures 4.53% 12,428,119
-----------
Total Notional Amount 274,373,880
===========
(4) The following table represents the individual positions within the Total
Return Swap as of October 31, 2018:
REFERENCED COMMODITY - LONG
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Corn Futures 6.68% 19,644,949
CBOT Soybean Futures 5.33% 15,653,922
CBOT Soybean Meal Futures 2.96% 8,700,464
CBOT Soybean Oil Futures 2.34% 6,881,649
CBOT Wheat Futures 3.98% 11,686,731
CME Lean Hogs Futures 1.93% 5,684,057
CME Live Cattle Futures 4.50% 13,226,237
COMEX Copper Futures 6.05% 17,770,619
COMEX Gold 100 Troy Oz. Futures 11.24% 33,016,204
COMEX Silver Futures 3.12% 9,159,587
ICE Brent Crude Oil Futures 8.69% 25,532,921
KCBT Hard Red Winter Wheat Futures 1.57% 4,624,960
LME Nickel Futures 2.58% 7,588,415
LME Primary Aluminum Futures 4.06% 11,944,783
LME Zinc Futures 2.34% 6,889,977
NYBOT CSC 'C' Coffee Futures 2.41% 7,069,912
NYBOT CSC No. 11 World Sugar Futures 3.15% 9,260,339
NYBOT CTN No. 2 Cotton Futures 1.49% 4,368,013
NYMEX Henry Hub Natural Gas Futures 9.82% 28,859,162
NYMEX Light Sweet Crude Oil Futures 7.95% 23,349,084
NYMEX NY Harbor ULSD Futures 4.11% 12,074,769
NYMEX Reformulated Gasoline Blend Futures 3.70% 10,883,891
-----------
Total Notional Amount 293,870,645
===========
(5) The following table represents the individual positions within the Total
Return Swap as of October 31, 2018:
REFERENCED COMMODITY - LONG
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Corn Futures 5.24% 13,407,979
CBOT Soybean Futures 4.31% 11,036,332
CBOT Soybean Meal Futures 2.99% 7,656,530
CBOT Soybean Oil Futures 1.89% 4,847,285
CBOT Wheat Futures 3.08% 7,886,942
CME Lean Hogs Futures 1.37% 3,497,282
CME Live Cattle Futures 5.28% 13,509,513
COMEX Copper Futures 6.06% 15,522,963
COMEX Gold 100 Troy Oz. Futures 11.30% 28,911,414
243
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
COMEX Silver Futures 2.50% 6,399,298
ICE Brent Crude Oil Futures 8.78% 22,476,979
KCBT Hard Red Winter Wheat Futures 1.21% 3,093,909
LME Nickel Futures 2.61% 6,671,693
LME Primary Aluminum Futures 4.93% 12,613,868
LME Zinc Futures 2.84% 7,275,917
NYBOT CSC 'C' Coffee Futures 1.89% 4,836,903
NYBOT CSC No. 11 World Sugar Futures 3.20% 8,201,236
NYBOT CTN No. 2 Cotton Futures 1.17% 3,002,159
NYMEX Henry Hub Natural Gas Futures 11.78% 30,151,541
NYMEX Light Sweet Crude Oil Futures 8.07% 20,655,783
NYMEX NY Harbor ULSD Futures 4.97% 12,726,502
NYMEX Reformulated Gasoline Blend Futures 4.53% 11,594,801
-----------
Total Notional Amount 255,976,829
===========
(6) The following table represents the individual positions within the Total
Return Swap as of October 31, 2018:
REFERENCED COMMODITY - LONG
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Corn Futures 6.68% 12,457,338
CBOT Soybean Futures 5.33% 9,926,531
CBOT Soybean Meal Futures 2.96% 5,517,175
CBOT Soybean Oil Futures 2.34% 4,363,820
CBOT Wheat Futures 3.98% 7,410,839
CME Lean Hogs Futures 1.93% 3,604,398
CME Live Cattle Futures 4.50% 8,387,077
COMEX Copper Futures 6.05% 11,268,780
COMEX Gold 100 Troy Oz. Futures 11.24% 20,936,374
COMEX Silver Futures 3.12% 5,808,316
ICE Brent Crude Oil Futures 8.69% 16,191,043
KCBT Hard Red Winter Wheat Futures 1.57% 2,932,799
LME Nickel Futures 2.58% 4,811,998
LME Primary Aluminum Futures 4.06% 7,574,476
LME Zinc Futures 2.34% 4,369,101
NYBOT CSC 'C' Coffee Futures 2.41% 4,483,202
NYBOT CSC No. 11 World Sugar Futures 3.15% 5,872,205
NYBOT CTN No. 2 Cotton Futures 1.49% 2,769,863
NYMEX Henry Hub Natural Gas Futures 9.82% 18,300,293
NYMEX Light Sweet Crude Oil Futures 7.95% 14,806,220
NYMEX NY Harbor ULSD Futures 4.11% 7,656,903
NYMEX Reformulated Gasoline Blend Futures 3.70% 6,901,739
-----------
Total Notional Amount 186,350,490
===========
(7) The following table represents the individual positions within the Total
Return Swap as of October 31, 2018:
REFERENCED COMMODITY - LONG
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Corn Futures 6.68% 10,808,673
CBOT Soybean Futures 5.33% 8,612,805
CBOT Soybean Meal Futures 2.96% 4,787,005
244
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Soybean Oil Futures 2.34% 3,786,291
CBOT Wheat Futures 3.98% 6,430,052
CME Lean Hogs Futures 1.93% 3,127,375
CME Live Cattle Futures 4.50% 7,277,090
COMEX Copper Futures 6.05% 9,777,414
COMEX Gold 100 Troy Oz. Futures 11.24% 18,165,552
COMEX Silver Futures 3.12% 5,039,615
ICE Brent Crude Oil Futures 8.69% 14,048,241
KCBT Hard Red Winter Wheat Futures 1.57% 2,544,658
LME Nickel Futures 2.58% 4,175,154
LME Primary Aluminum Futures 4.06% 6,572,033
LME Zinc Futures 2.34% 3,790,873
NYBOT CSC 'C' Coffee Futures 2.41% 3,889,873
NYBOT CSC No. 11 World Sugar Futures 3.15% 5,095,048
NYBOT CTN No. 2 Cotton Futures 1.49% 2,403,286
NYMEX Henry Hub Natural Gas Futures 9.82% 15,878,342
NYMEX Light Sweet Crude Oil Futures 7.95% 12,846,692
NYMEX NY Harbor ULSD Futures 4.11% 6,643,551
NYMEX Reformulated Gasoline Blend Futures 3.70% 5,988,329
-----------
Total Notional Amount 161,687,952
===========
(8) The following table represents the individual positions within the Total
Return Swap as of October 31, 2018:
REFERENCED COMMODITY - LONG
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Corn Futures 6.68% 17,359,413
CBOT Soybean Futures 5.33% 13,832,711
CBOT Soybean Meal Futures 2.96% 7,688,233
CBOT Soybean Oil Futures 2.34% 6,081,023
CBOT Wheat Futures 3.98% 10,327,071
CME Lean Hogs Futures 1.93% 5,022,762
CME Live Cattle Futures 4.50% 11,687,468
COMEX Copper Futures 6.05% 15,703,147
COMEX Gold 100 Troy Oz. Futures 11.24% 29,175,026
COMEX Silver Futures 3.12% 8,093,941
ICE Brent Crude Oil Futures 8.69% 22,562,365
KCBT Hard Red Winter Wheat Futures 1.57% 4,086,882
LME Nickel Futures 2.58% 6,705,562
LME Primary Aluminum Futures 4.06% 10,555,101
LME Zinc Futures 2.34% 6,088,382
NYBOT CSC 'C' Coffee Futures 2.41% 6,247,383
NYBOT CSC No. 11 World Sugar Futures 3.15% 8,182,970
NYBOT CTN No. 2 Cotton Futures 1.49% 3,859,829
NYMEX Henry Hub Natural Gas Futures 9.82% 25,501,624
NYMEX Light Sweet Crude Oil Futures 7.95% 20,632,601
NYMEX NY Harbor ULSD Futures 4.11% 10,669,964
NYMEX Reformulated Gasoline Blend Futures 3.70% 9,617,636
-----------
Total Notional Amount 259,681,094
===========
245
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
(9) The following table represents the individual positions within the Total
Return Swap as of October 31, 2018:
REFERENCED COMMODITY - LONG
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Corn Futures 6.88% 7,112,355
CBOT Soybean Futures 5.53% 5,717,234
CBOT Soybean Meal Futures 2.96% 3,055,533
CBOT Soybean Oil Futures 2.34% 2,423,235
CBOT Wheat Futures 4.08% 4,221,434
CME Lean Hogs Futures 2.42% 2,501,025
CME Live Cattle Futures 4.22% 4,363,374
COMEX Copper Futures 6.00% 6,202,659
COMEX Gold 100 Troy Oz. Futures 11.16% 11,523,980
COMEX Silver Futures 3.11% 3,215,936
ICE Brent Crude Oil Futures 8.59% 8,878,782
KCBT Hard Red Winter Wheat Futures 1.63% 1,681,299
LME Nickel Futures 2.59% 2,681,392
LME Primary Aluminum Futures 4.03% 4,169,209
LME Zinc Futures 2.33% 2,404,878
NYBOT CSC 'C' Coffee Futures 2.49% 2,572,578
NYBOT CSC No. 11 World Sugar Futures 3.17% 3,271,438
NYBOT CTN No. 2 Cotton Futures 1.51% 1,564,528
NYMEX Henry Hub Natural Gas Futures 8.77% 9,051,062
NYMEX Light Sweet Crude Oil Futures 7.96% 8,226,981
NYMEX NY Harbor ULSD Futures 4.05% 4,187,775
NYMEX Reformulated Gasoline Blend Futures 4.18% 4,316,190
-----------
Total Notional Amount 103,342,877
===========
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------- ------------ -------- ------------
Bonds
Australia................................................ -- $ 79,553,604 -- $ 79,553,604
Austria.................................................. -- 1,461,161 -- 1,461,161
Belgium.................................................. -- 4,929,057 -- 4,929,057
Canada................................................... -- 307,426,950 -- 307,426,950
Denmark.................................................. -- 389,260 -- 389,260
Finland.................................................. -- 6,110,527 -- 6,110,527
France................................................... -- 71,999,687 -- 71,999,687
Germany.................................................. -- 83,998,719 -- 83,998,719
Ireland.................................................. -- 7,345,592 -- 7,345,592
Italy.................................................... -- 2,570,395 -- 2,570,395
Japan.................................................... -- 34,099,318 -- 34,099,318
Luxembourg............................................... -- 3,458,685 -- 3,458,685
Netherlands.............................................. -- 75,646,161 -- 75,646,161
Norway................................................... -- 34,393,986 -- 34,393,986
Spain.................................................... -- 19,432,630 -- 19,432,630
Supranational Organization Obligations................... -- 21,883,853 -- 21,883,853
Sweden................................................... -- 79,521,910 -- 79,521,910
Switzerland.............................................. -- 6,637,851 -- 6,637,851
United Kingdom........................................... -- 14,302,732 -- 14,302,732
United States............................................ -- 630,361,464 -- 630,361,464
246
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------------- -------- --------------
U.S. Treasury Obligations................................... -- $ 494,347,515 -- $ 494,347,515
Securities Lending Collateral............................... -- 13,865,927 -- 13,865,927
Forward Currency Contracts**................................ -- 3,394,917 -- 3,394,917
Futures Contracts**......................................... $(3,684,807) -- -- (3,684,807)
Swap Agreements**........................................... -- (28,769,690) -- (28,769,690)
----------- -------------- -------- --------------
TOTAL....................................................... $(3,684,807) $1,968,362,211 -- $1,964,677,404
=========== ============== ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
247
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
COMMODITY STRATEGY
PORTFOLIO
------------------
ASSETS:
Investments at Value (including $13,554 of securities on
loan, respectively)....................................... $ 1,979,871
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $13,865)......................... 13,866
Foreign Currencies at Value................................. 2
Segregated Cash for Swaps Contracts......................... 12,980
Cash........................................................ 16,088
Receivables:
Investment Securities Sold............................... 34,744
Dividends and Interest................................... 13,422
Securities Lending Income................................ 1
Fund Shares Sold......................................... 1,760
Unrealized Gain on Forward Currency Contracts............... 3,836
Unrealized Gain on Foreign Currency Contracts............... 28
Prepaid Expenses and Other Assets........................... 31
--------------
Total Assets......................................... 2,076,629
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 13,892
Investment Securities Purchased.......................... 34,206
Fund Shares Redeemed..................................... 1,680
Due to Advisor........................................... 529
Futures Margin Variation................................. 924
Unrealized Loss on Swap Contracts........................... 28,770
Unrealized Loss on Forward Currency Contracts............... 441
Accrued Expenses and Other Liabilities...................... 199
--------------
Total Liabilities.................................... 80,641
--------------
NET ASSETS.................................................. $ 1,995,988
==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 351,607,486
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.... $ 5.68
==============
Investments at Cost......................................... $ 2,002,527
==============
Foreign Currencies at Cost.................................. $ 2
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 2,004,122
Total Distributable Earnings (Loss)......................... (8,134)
--------------
NET ASSETS.................................................. $ 1,995,988
==============
(1) NUMBER OF SHARES AUTHORIZED............................. 1,800,000,000
==============
See accompanying Notes to Financial Statements.
248
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DFA
COMMODITY STRATEGY
PORTFOLIO#
------------------
INVESTMENT INCOME
Interest.................................................... $ 37,779
Income from Securities Lending.............................. 76
--------
Total Investment Income................................. 37,855
--------
EXPENSES
Investment Management Fees.................................. 7,109
Accounting & Transfer Agent Fees............................ 123
Custodian Fees.............................................. 61
Filing Fees................................................. 116
Shareholders' Reports....................................... 85
Directors'/Trustees' Fees & Expenses........................ 7
Professional Fees........................................... 37
Other....................................................... 44
--------
Total Expenses.......................................... 7,582
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor..........................
(Note D).................................................... (1,218)
Fees Paid Indirectly (Note D)............................... (27)
--------
Net Expenses................................................ 6,337
--------
NET INVESTMENT INCOME (LOSS)................................ 31,518
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ (20,480)
Affiliated Investment Companies Shares Sold............. (5)
Futures................................................. 1,465
Swap Contracts.......................................... (40,002)
Foreign Currency Transactions........................... (23)
Forward Currency Contracts.............................. 19,451
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. (15,936)
Affiliated Investment Companies Shares.................. 3
Futures................................................. (6,725)
Swap Contracts.......................................... (33,259)
Translation of Foreign Currency Denominated Amounts..... 17
Forward Currency Contracts.............................. 391
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... (95,103)
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $(63,585)
========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
249
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA COMMODITY STRATEGY
PORTFOLIO
----------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 31,518 $ 19,526
Net Realized Gain (Loss) on:....................................
Investment Securities Sold/*,** /........................... (20,480) (2,466)
Affiliated Investment Companies Shares Sold................. (5) (22)
Futures..................................................... 1,465 (4,294)
Swap Contracts.............................................. (40,002) 11,651
Foreign Currency Transactions............................... (23) (42)
Forward Currency Contracts.................................. 19,451 49
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (15,936) (8,171)
Affiliated Investment Companies Shares...................... 3 (4)
Futures..................................................... (6,725) 4,164
Swap Contracts.............................................. (33,259) 26,047
Translation of Foreign Currency Denominated Amounts......... 17 (30)
Forward Currency Contracts.................................. 391 3,005
---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (63,585) 49,413
---------- ----------
Distributions:/^ /
Institutional Class Shares.................................. (44,439) (23,393)
---------- ----------
Total Distributions...................................... (44,439) (23,393)
---------- ----------
Capital Share Transactions (1):
Shares Issued................................................... 851,258 723,399
Shares Issued in Lieu of Cash Distributions..................... 40,250 22,385
Shares Redeemed................................................. (515,817) (641,580)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 375,691 104,204
---------- ----------
Total Increase (Decrease) in Net Assets.................. 267,667 130,224
NET ASSETS
Beginning of Year............................................... 1,728,321 1,598,097
---------- ----------
End of Year..................................................... $1,995,988 $1,728,321
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 142,902 123,067
Shares Issued in Lieu of Cash Distributions..................... 7,068 3,816
Shares Redeemed................................................. (87,468) (109,656)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 62,502 17,227
========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note G in the Notes to
Financial Statements for more information regarding distributions and see
Note L in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
250
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA COMMODITY STRATEGY PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015
---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.................................... $ 5.98 $ 5.88 $ 5.93 $ 8.00
---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.10 0.07 0.05 0.05
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.25) 0.11 (0.07) (2.05)
---------- ---------- ---------- ----------
Total from Investment Operations............................... (0.15) 0.18 (0.02) (2.00)
---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.15) (0.08) (0.03) (0.06)
Net Realized Gains................................................. -- -- -- (0.01)
Total Distributions............................................ (0.15) (0.08) (0.03) (0.07)
---------- ---------- ---------- ----------
Net Asset Value, End of Year.......................................... $ 5.68 $ 5.98 $ 5.88 $ 5.93
========== ========== ========== ==========
Total Return.......................................................... (2.43%) 3.15% (0.26%) (25.16%)
---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)................................... $1,995,988 $1,728,321 $1,598,097 $1,207,071
Ratio of Expenses to Average Net Assets............................... 0.32% 0.33% 0.33% 0.34%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly)................ 0.39% 0.39% 0.40% 0.40%
Ratio of Net Investment Income to Average Net Assets.................. 1.61% 1.17% 0.95% 0.77%
Portfolio Turnover Rate............................................... 78% 102% 159% 124%
---------- ---------- ---------- ----------
-----------
YEAR
ENDED
OCT 31,
2014
----------
Net Asset Value, Beginning of Year.................................... $ 8.30
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.06
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.31)
----------
Total from Investment Operations............................... (0.25)
----------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.04)
Net Realized Gains................................................. (0.01)
Total Distributions............................................ (0.05)
----------
Net Asset Value, End of Year.......................................... $ 8.00
==========
Total Return.......................................................... (3.08%)
----------
Net Assets, End of Year (thousands)................................... $1,194,191
Ratio of Expenses to Average Net Assets............................... 0.33%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly)................ 0.39%
Ratio of Net Investment Income to Average Net Assets.................. 0.65%
Portfolio Turnover Rate............................................... 104%
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
251
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of one hundred 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 the 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, the
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 uses 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,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by the 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
securities 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.
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.
252
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 methodology or inputs used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate 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: the 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.
The Directors may receive their distributions of proceeds by 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. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 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/affiliated investment companies 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 received
distributions 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, using the
effective interest method. Expenses directly attributable to the Portfolio are
directly charged. Common expenses of the Fund or its portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. BASIS FOR CONSOLIDATION:
The Subsidiary commenced operations on November 9, 2010. The Portfolio
commenced reporting on a consolidated basis as of such commencement date in
accordance with the accounting principles relating to reporting of a
wholly-owned subsidiary. The Portfolio will seek to gain exposure to
commodities, commodities-related instruments, derivatives and other investments
by directly investing in those instruments or through investments in the
Subsidiary. The Subsidiary participates in the same investment goal as the
Portfolio. The 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.
253
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Portfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
The Subsidiary is classified as a controlled foreign corporation under
Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of October 31, 2018, the Portfolio held a $347,503,109 investment in the
Subsidiary, representing 17.41% of the Portfolio's total assets. The
accompanying consolidated financial statements include all assets, liabilities,
revenues and expenses of the Portfolio and its wholly-owned Subsidiary.
Intercompany balances and transactions have been eliminated in consolidation.
D. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the year ended October 31, 2018, the investment
management fee was accrued daily and paid monthly to the Advisor based on the
following effective annual rate of average daily net assets:
DFA Commodity Strategy Portfolio............................ 0.30%
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. As of October 31, 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.
For the year ended October 31, 2018, approximately $1,218 (in thousands) of
the Subsidiary's management fees were waived pursuant to the Subsidiary fee
waiver agreement.
254
EARNED INCOME CREDIT:
Additionally, the Portfolio has entered into an arrangement with its
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of the
Portfolio's net assets. During the year ended October 31, 2018, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Commodity Strategy Portfolio............................ $27
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2018, the total related amounts paid by the Fund
to the CCO were $322 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statement of Operations.
E. DEFERRED COMPENSATION:
As of October 31, 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............................ $24
F. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2018, the 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:
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- -------- ---------- --------
DFA Commodity Strategy Portfolio............................ $520,212 $513,989 $1,060,382 $659,324
For the year ended October 31, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION
---------- --------- ---------- ------------ -------------
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Short Term Investment Fund $42,409 $245,822 $274,363 $(5) $3
------- -------- -------- --- --
TOTAL $42,409 $245,822 $274,363 $(5) $3
======= ======== ======== === ==
BALANCE AT SHARES AS OF DIVIDEND CAPITAL GAIN
OCTOBER 31, 2018 OCTOBER 31, 2018 INCOME DISTRIBUTIONS
---------------- ---------------- -------- -------------
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Short Term Investment Fund $13,866 1,198 $652 --
------- ----- ---- --
TOTAL $13,866 1,198 $652 --
======= ===== ==== ==
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.
255
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 that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, undistributed net investment income or accumulated net realized gains
or losses, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 2018, primarily
attributable to adjustments between financial and tax reporting related to the
Subsidiary, the use 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
accounts mentioned above. These reclassifications had no effect on net assets
or net asset value per share.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- -------
DFA Commodity Strategy Portfolio
2017........................................................ $23,393 -- -- $23,393
2018........................................................ 44,438 -- -- 44,438
As of October 31, 2018, 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 use 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............................ $(3,071) -- $(3,071)
As of October 31, 2018, the components of distributable earnings
(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET INVESTMENT
INCOME AND UNDISTRIBUTED UNREALIZED
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION)
-------------- ------------- ------------- --------------
DFA Commodity Strategy Portfolio............................ $22,967 -- $(7,142) $(23,868)
TOTAL NET
DISTRIBUTABLE
EARNINGS
(ACCUMULATED
LOSSES)
-------------
DFA Commodity Strategy Portfolio............................ $(8,043)
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after October 31, 2011, will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. As of October 31, 2018, 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............................ $7,142 $7,142
256
During the year ended October 31, 2018, the Portfolio did not use capital
loss carryforwards to offset realized capital gains for federal income tax
purposes.
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes, as
follows (amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
DFA Commodity Strategy Portfolio............................ $1,988,534 $732,655 $(756,511) $(23,856)
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's investment objective and policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolio may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio. The Portfolio may gain exposure to commodity markets by
investing up to 25% of the Portfolio's total assets in the Subsidiary. The
Subsidiary may invest without limitation in commodity-linked notes, swap
agreements and other commodity-linked derivative instruments, including futures
contracts on individual commodities or a subset of commodities and options on
commodities. The accompanying consolidated schedule of investments includes
investments of the Portfolio and its wholly-owned Subsidiary.
2. FORWARD CURRENCY CONTRACTS: The Portfolio may acquire and sell forward
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge the Portfolio's currency exposure with respect to a foreign market will
be based primarily on the Portfolio's existing exposure to a given foreign
currency. Each contract is valued daily and the change in value is recorded by
the Portfolio as an unrealized gain or loss, which is presented in the
Statement of Operations as the change in unrealized appreciation or
depreciation from translation of foreign-currency-denominated amounts. When the
contract is closed or offset with the same counterparty, the Portfolio records
a realized gain or loss equal to the change in the value of the contract when
it was opened and the value at the time it was closed or offset. This is
presented in the Statement of Operations as a net realized gain or loss on
foreign currency transactions.
257
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 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.
258
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.
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.
259
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 year ended October 31, 2018 (amounts in thousands):
FORWARD
CURRENCY SWAP
CONTRACTS FUTURES CONTRACTS
--------- -------- ----------
DFA Commodity Strategy Portfolio............................ $326,955 $107,387 $1,856,412
The following is a summary of Portfolio's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2018 (amounts in
thousands):
ASSET DERIVATIVES VALUE
---------------------------------------------
TOTAL VALUE FORWARD COMMODITY
AT CURRENCY FUTURES
OCTOBER 31, 2018 CONTRACTS (1) CONTRACTS*,(2)
---------------- ------------- --------------
DFA Commodity Strategy Portfolio............................ $5,266 $3,836 $1,430
LIABILITY DERIVATIVES VALUE
----------------------------------------------------------
FORWARD COMMODITY
TOTAL VALUE AT CURRENCY FUTURES SWAP
OCTOBER 31, 2018 CONTRACTS (3) CONTRACTS*,(4) CONTRACTS (5)
---------------- ------------- -------------- -------------
DFA Commodity Strategy Portfolio............................ $(34,326) $(441) $(5,115) $(28,770)
(1)Presented on the Consolidated Statement of Assets and Liabilities as
Unrealized Gain on Forward Currency Contracts.
(2)Presented on the Consolidated Statement of Assets and Liabilities as
Receivables: Futures Margin Variation.
(3)Presented on the Consolidated Statement of Assets and Liabilities as
Unrealized Loss on Forward Currency Contracts.
(4)Presented on the Consolidated Statement of Assets and Liabilities as
Payables: Futures Margin Variation.
(5)Presented on the Consolidated Statement of Assets and Liabilities as
Unrealized Loss on Swap Contracts.
260
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Consolidated Statement
of Assets and Liabilities.
The following is a summary of the realized and change in unrealized gains
and losses from the derivative instrument holdings categorized by primary risk
exposure for the year ended October 31, 2018 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
--------------------------------------------------
FORWARD COMMODITY
CURRENCY FUTURES SWAP
TOTAL CONTRACTS (1) CONTRACTS (2) CONTRACTS (3)
-------- ------------- ------------- -------------
DFA Commodity Strategy Portfolio............................ $(19,086) $19,451 $ 1,465 $(40,002)
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
--------------------------------------------------
FORWARD COMMODITY
CURRENCY FUTURES SWAP
TOTAL CONTRACTS (4) CONTRACTS (5) CONTRACTS (6)
-------- ------------- ------------- -------------
DFA Commodity Strategy Portfolio............................ $(39,593) $ 391 $(6,725) $(33,259)
(1)Presented on the Consolidated Statement of Operations as Net Realized Gain
(Loss) on: Forward Currency Contracts.
(2)Presented on the Consolidated Statement of Operations as Net Realized Gain
(Loss) on: Futures.
(3)Presented on the Consolidated Statement of Operations as Net Realized Gain
(Loss) on: Swap Contracts.
(4)Presented on the Consolidated Statement of Operations as Change in
Unrealized Appreciation (Depreciation) of: Forward Currency Contracts.
(5)Presented on the Consolidated Statement of Operations as Change in
Unrealized Appreciation (Depreciation) of: Futures.
(6)Presented on the Consolidated Statement of Operations as Change in
Unrealized Appreciation (Depreciation) of: Swap 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.
261
The following table presents the Portfolio's gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolio as of October 31, 2018
(amounts in thousands):
NET
AMOUNTS
OF GROSS AMOUNTS NOT
ASSETS OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS
GROSS IN THE AND LIABILITIES GROSS
AMOUNTS OF STATEMENTS ---------------------- AMOUNTS OF
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES
DESCRIPTION (a) LIABILITIES (b) RECEIVED (c) (a)
----------- ---------- ----------- ----------- ---------- ------ -----------
ASSETS
---------------------------------------------------- -----------
DFA COMMODITY STRATEGY PORTFOLIO
Citibank, N.A............................................... $1,123 $1,123 $(1,123) -- -- $ 9,081
Credit Suisse............................................... -- -- -- -- -- 6,371
Deutsche Bank AG............................................ -- -- -- -- -- 2,314
Merrill Lynch Capital Services, Inc......................... -- -- -- -- -- 6,108
State Street Bank and Trust................................. 1,205 1,205 (23) -- $1,182 23
UBS AG...................................................... -- -- -- -- -- 5,314
National Australia Bank Ltd................................. 1,508 1,508 -- -- 1,508 --
------ ------ ------- -- ------ -------
Total $3,836 $3,836 $(1,146) -- $2,690 $29,211
====== ====== ======= == ====== =======
NET
AMOUNTS
OF GROSS AMOUNTS NOT
LIABILITIES OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS
IN THE AND LIABILITIES
STATEMENTS ----------------------
OF ASSETS FINANCIAL CASH NET
AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION LIABILITIES (d) PLEDGED (e)
----------- ----------- ----------- ---------- ------
LIABILITIES
------------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO
Citibank, N.A............................................... $ 9,081 $ (1,123) -- $7,958
Credit Suisse............................................... 6,371 (6,371) -- --
Deutsche Bank AG............................................ 2,314 (2,314) -- --
Merrill Lynch Capital Services, Inc......................... 6,108 (6,108) -- --
State Street Bank and Trust................................. 23 (23) -- --
UBS AG...................................................... 5,314 (5,314) -- --
National Australia Bank Ltd................................. -- -- -- --
------- -------- -- ------
Total $29,211 $(21,253) -- $7,958
======= ======== == ======
(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.
There were no outstanding borrowings by the Portfolio under the lines of
credit as of October 31, 2018.
262
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. lnterfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolio did not use the interfund lending program during the year
ended October 31, 2018.
J. SECURITIES LENDING:
As of October 31, 2018, the Portfolio had a security on loan to
brokers/dealers, 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, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and 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 policies, the Portfolio with securities on
loan will generally invest the cash collateral received for the loaned
securities in the Money Market Series, an affiliated registered money market
fund advised by the Advisor for which the Advisor receives a management fee of
0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with 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 or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities.
Additionally, 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 for
taxation at qualified dividend income rates.
263
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2018
--------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- -----------
SECURITIES LENDING TRANSACTIONS
DFA COMMODITY STRATEGY PORTFOLIO
Bonds.................................................... $13,865,927 -- -- -- $13,865,927
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.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolio's early adoption of certain of the ASU
2018-13 disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Portfolio's financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Portfolio's adoption
of these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Portfolio's net assets or results of operations.
Comparable prior year information presented in the Statements of Changes in
Net Assets has been revised to reflect current disclosure requirements
prescribed by these amendments. Amounts originally presented as of October 31,
2017 are as follows (amounts in thousands):
DISTRIBUTIONS FROM:
----------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- --------
DFA Commodity Strategy Portfolio - Institutional Class...... $(22,518) $(875) -- $(23,393)
264
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
DFA Commodity Strategy Portfolio............................ $30,284
M. OTHER:
As of October 31, 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 on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
265
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of DFA Commodity Strategy Portfolio
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying consolidated statement of assets and
liabilities, including the consolidated schedule of investments, of DFA
Commodity Strategy Portfolio and its subsidiary (one of the portfolios
constituting DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolio") as of October 31, 2018, the related consolidated statement of
operations for the year ended October 31, 2018, the consolidated statement of
changes in net assets for each of the two years in the period ended October 31,
2018, including the related notes, and the consolidated financial highlights
for each of the five years in the period ended October 31, 2018 (collectively
referred to as the "financial statements"). In our opinion, the financial
statements present fairly, in all material respects, the financial position of
the Portfolio as of October 31, 2018, the results of its operations for the
year then ended, the changes in its net assets for each of the two years in the
period ended October 31, 2018 and the financial highlights for each of the five
years in the period ended October 31, 2018 in conformity with accounting
principles generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on the Portfolio's
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
("PCAOB") and are required to be independent with respect to the Portfolio in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
266
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO -- CLASS R2 VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA International Value MSCI World ex USA
Portfolio-Class R2 Index (net dividends)
-------------------------- ---------------------
10/2008 $10,000 $10,000
11/2008 $9,380 $9,458
12/2008 $10,102 $9,956
01/2009 $8,704 $9,027
02/2009 $7,621 $8,113
03/2009 $8,462 $8,648
04/2009 $10,004 $9,763
05/2009 $11,487 $10,998
06/2009 $11,321 $10,884
07/2009 $12,654 $11,906
08/2009 $13,372 $12,477
09/2009 $14,066 $12,992
10/2009 $13,486 $12,783
11/2009 $13,880 $13,099
12/2009 $14,031 $13,308
01/2010 $13,213 $12,684
02/2010 $13,255 $12,672
03/2010 $14,304 $13,487
04/2010 $14,052 $13,286
05/2010 $12,414 $11,820
06/2010 $12,191 $11,649
07/2010 $13,696 $12,726
08/2010 $13,020 $12,345
09/2010 $14,430 $13,530
10/2010 $14,915 $14,012
11/2010 $14,152 $13,418
12/2010 $15,472 $14,499
01/2011 $16,129 $14,811
02/2011 $16,659 $15,360
03/2011 $16,193 $15,052
04/2011 $17,053 $15,872
05/2011 $16,429 $15,402
06/2011 $16,197 $15,182
07/2011 $15,674 $14,932
08/2011 $13,986 $13,670
09/2011 $12,454 $12,297
10/2011 $13,643 $13,493
11/2011 $13,195 $12,869
12/2011 $12,834 $12,729
01/2012 $13,687 $13,416
02/2012 $14,400 $14,154
03/2012 $14,279 $14,049
04/2012 $13,765 $13,810
05/2012 $12,058 $12,236
06/2012 $12,906 $13,038
07/2012 $12,844 $13,200
08/2012 $13,377 $13,577
09/2012 $13,843 $13,989
10/2012 $14,012 $14,087
11/2012 $14,226 $14,383
12/2012 $14,922 $14,818
01/2013 $15,614 $15,547
02/2013 $15,138 $15,392
03/2013 $15,185 $15,514
04/2013 $15,923 $16,220
05/2013 $15,725 $15,857
06/2013 $15,170 $15,263
07/2013 $16,196 $16,075
08/2013 $16,077 $15,868
09/2013 $17,284 $16,989
10/2013 $17,881 $17,559
11/2013 $17,936 $17,667
12/2013 $18,328 $17,933
01/2014 $17,654 $17,209
02/2014 $18,651 $18,148
03/2014 $18,509 $18,067
04/2014 $18,819 $18,352
05/2014 $19,016 $18,636
06/2014 $19,254 $18,901
07/2014 $18,816 $18,564
08/2014 $18,816 $18,579
09/2014 $17,981 $17,816
10/2014 $17,665 $17,532
11/2014 $17,675 $17,748
12/2014 $16,998 $17,158
01/2015 $16,882 $17,097
02/2015 $18,086 $18,118
03/2015 $17,701 $17,816
04/2015 $18,663 $18,587
05/2015 $18,663 $18,426
06/2015 $18,117 $17,902
07/2015 $17,941 $18,186
08/2015 $16,599 $16,861
09/2015 $15,454 $16,010
10/2015 $16,644 $17,214
11/2015 $16,417 $16,940
12/2015 $15,889 $16,637
01/2016 $14,640 $15,491
02/2016 $14,164 $15,275
03/2016 $15,238 $16,312
04/2016 $15,967 $16,837
05/2016 $15,668 $16,646
06/2016 $15,091 $16,140
07/2016 $15,762 $16,934
08/2016 $16,178 $16,950
09/2016 $16,368 $17,156
10/2016 $16,571 $16,823
11/2016 $16,643 $16,553
12/2016 $17,187 $17,094
01/2017 $17,927 $17,603
02/2017 $17,793 $17,806
03/2017 $18,189 $18,258
04/2017 $18,446 $18,646
05/2017 $18,756 $19,267
06/2017 $18,950 $19,286
07/2017 $19,838 $19,860
08/2017 $19,807 $19,855
09/2017 $20,511 $20,370
10/2017 $20,879 $20,648
11/2017 $21,078 $20,857
12/2017 $21,621 $21,232
01/2018 $22,880 $22,221
02/2018 $21,589 $21,165
03/2018 $21,318 $20,799
04/2018 $21,879 $21,276
05/2018 $21,085 $20,873
06/2018 $20,601 $20,644
07/2018 $21,247 $21,151
08/2018 $20,504 $20,751
09/2018 $20,856 $20,914
10/2018 $19,085 $19,252
ONE FIVE TEN
AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS
--------------------------- ------- -------- --------
-8.59% 1.31% 6.68%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA International Value Portfolio MSCI World ex USA Index
Institutional Class (net dividends)
--------------------------------- -----------------------
10/2008 $10,000 $10,000
11/2008 $9,386 $9,458
12/2008 $10,088 $9,956
01/2009 $8,698 $9,027
02/2009 $7,630 $8,113
03/2009 $8,459 $8,648
04/2009 $10,012 $9,763
05/2009 $11,501 $10,998
06/2009 $11,329 $10,884
07/2009 $12,669 $11,906
08/2009 $13,388 $12,477
09/2009 $14,077 $12,992
10/2009 $13,511 $12,783
11/2009 $13,905 $13,099
12/2009 $14,067 $13,308
01/2010 $13,251 $12,684
02/2010 $13,292 $12,672
03/2010 $14,352 $13,487
04/2010 $14,104 $13,286
05/2010 $12,444 $11,820
06/2010 $12,228 $11,649
07/2010 $13,753 $12,726
08/2010 $13,074 $12,345
09/2010 $14,475 $13,530
10/2010 $14,988 $14,012
11/2010 $14,222 $13,418
12/2010 $15,555 $14,499
01/2011 $16,215 $14,811
02/2011 $16,748 $15,360
03/2011 $16,286 $15,052
04/2011 $17,152 $15,872
05/2011 $16,532 $15,402
06/2011 $16,301 $15,182
07/2011 $15,775 $14,932
08/2011 $14,084 $13,670
09/2011 $12,542 $12,297
10/2011 $13,750 $13,493
11/2011 $13,289 $12,869
12/2011 $12,934 $12,729
01/2012 $13,803 $13,416
02/2012 $14,513 $14,154
03/2012 $14,400 $14,049
04/2012 $13,882 $13,810
05/2012 $12,167 $12,236
06/2012 $13,024 $13,038
07/2012 $12,970 $13,200
08/2012 $13,499 $13,577
09/2012 $13,979 $13,989
10/2012 $14,159 $14,087
11/2012 $14,375 $14,383
12/2012 $15,082 $14,818
01/2013 $15,782 $15,547
02/2013 $15,309 $15,392
03/2013 $15,355 $15,514
04/2013 $16,110 $16,220
05/2013 $15,910 $15,857
06/2013 $15,349 $15,263
07/2013 $16,397 $16,075
08/2013 $16,276 $15,868
09/2013 $17,504 $16,989
10/2013 $18,109 $17,559
11/2013 $18,174 $17,667
12/2013 $18,569 $17,933
01/2014 $17,885 $17,209
02/2014 $18,906 $18,148
03/2014 $18,769 $18,067
04/2014 $19,083 $18,352
05/2014 $19,292 $18,636
06/2014 $19,525 $18,901
07/2014 $19,090 $18,564
08/2014 $19,090 $18,579
09/2014 $18,254 $17,816
10/2014 $17,934 $17,532
11/2014 $17,944 $17,748
12/2014 $17,271 $17,158
01/2015 $17,153 $17,097
02/2015 $18,377 $18,118
03/2015 $17,985 $17,816
04/2015 $18,974 $18,587
05/2015 $18,983 $18,426
06/2015 $18,431 $17,902
07/2015 $18,251 $18,186
08/2015 $16,887 $16,861
09/2015 $15,732 $16,010
10/2015 $16,933 $17,214
11/2015 $16,713 $16,940
12/2015 $16,181 $16,637
01/2016 $14,909 $15,491
02/2016 $14,434 $15,275
03/2016 $15,524 $16,312
04/2016 $16,274 $16,837
05/2016 $15,970 $16,646
06/2016 $15,384 $16,140
07/2016 $16,076 $16,934
08/2016 $16,500 $16,950
09/2016 $16,692 $17,156
10/2016 $16,899 $16,823
11/2016 $16,982 $16,553
12/2016 $17,541 $17,094
01/2017 $18,295 $17,603
02/2017 $18,169 $17,806
03/2017 $18,581 $18,258
04/2017 $18,843 $18,646
05/2017 $19,169 $19,267
06/2017 $19,372 $19,286
07/2017 $20,277 $19,860
08/2017 $20,256 $19,855
09/2017 $20,979 $20,370
10/2017 $21,354 $20,648
11/2017 $21,557 $20,857
12/2017 $22,118 $21,232
01/2018 $23,413 $22,221
02/2018 $22,096 $21,165
03/2018 $21,824 $20,799
04/2018 $22,408 $21,276
05/2018 $21,597 $20,873
06/2018 $21,105 $20,644
07/2018 $21,775 $21,151
08/2018 $21,006 $20,751
09/2018 $21,377 $20,914
10/2018 $19,578 $19,252
ONE FIVE TEN
YEAR YEARS YEARS
AVERAGE ANNUAL TOTAL RETURN ------- -------- --------
-8.32% 1.57% 6.95%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
267
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Large Company
Portfolio S&P 500 Index
------------------ -------------
10/31/2008 $10,000 $10,000
11/30/2008 9,291 9,283
12/31/2008 9,393 9,381
1/31/2009 8,610 8,591
2/28/2009 7,695 7,676
3/31/2009 8,370 8,348
4/30/2009 9,171 9,147
5/31/2009 9,691 9,659
6/30/2009 9,704 9,678
7/31/2009 10,442 10,410
8/31/2009 10,818 10,786
9/30/2009 11,223 11,188
10/31/2009 11,007 10,980
11/30/2009 11,668 11,639
12/31/2009 11,893 11,864
1/31/2010 11,472 11,437
2/28/2010 11,825 11,791
3/31/2010 12,542 12,503
4/30/2010 12,733 12,700
5/31/2010 11,711 11,686
6/30/2010 11,099 11,074
7/31/2010 11,877 11,850
8/31/2010 11,345 11,315
9/30/2010 12,353 12,325
10/31/2010 12,820 12,794
11/30/2010 12,820 12,796
12/31/2010 13,677 13,651
1/31/2011 14,009 13,975
2/28/2011 14,478 14,453
3/31/2011 14,495 14,459
4/30/2011 14,911 14,887
5/31/2011 14,744 14,719
6/30/2011 14,494 14,473
7/31/2011 14,202 14,179
8/31/2011 13,436 13,409
9/30/2011 12,485 12,466
10/31/2011 13,857 13,829
11/30/2011 13,815 13,798
12/31/2011 13,964 13,939
1/31/2012 14,585 14,564
2/29/2012 15,206 15,194
3/31/2012 15,715 15,694
4/30/2012 15,616 15,595
5/31/2012 14,668 14,658
6/30/2012 15,274 15,262
7/31/2012 15,488 15,474
8/31/2012 15,829 15,822
9/30/2012 16,238 16,231
10/31/2012 15,938 15,932
11/30/2012 16,038 16,024
12/31/2012 16,174 16,170
1/31/2013 17,010 17,008
2/28/2013 17,240 17,239
3/31/2013 17,888 17,885
4/30/2013 18,235 18,230
5/31/2013 18,655 18,656
6/30/2013 18,411 18,406
7/31/2013 19,341 19,342
8/31/2013 18,775 18,782
9/30/2013 19,366 19,371
10/31/2013 20,257 20,261
11/30/2013 20,870 20,879
12/31/2013 21,403 21,407
1/31/2014 20,653 20,667
2/28/2014 21,608 21,613
3/31/2014 21,784 21,794
4/30/2014 21,946 21,955
5/31/2014 22,448 22,471
6/30/2014 22,910 22,935
7/31/2014 22,599 22,619
8/31/2014 23,503 23,523
9/30/2014 23,169 23,194
10/31/2014 23,735 23,760
11/30/2014 24,375 24,399
12/31/2014 24,299 24,338
1/31/2015 23,565 23,607
2/28/2015 24,928 24,964
3/31/2015 24,531 24,569
4/30/2015 24,757 24,805
5/31/2015 25,073 25,124
6/30/2015 24,594 24,637
7/31/2015 25,108 25,154
8/31/2015 23,597 23,636
9/30/2015 23,013 23,051
10/31/2015 24,943 24,996
11/30/2015 25,034 25,070
12/31/2015 24,634 24,674
1/31/2016 23,401 23,450
2/29/2016 23,385 23,418
3/31/2016 24,965 25,007
4/30/2016 25,058 25,104
5/31/2016 25,508 25,555
6/30/2016 25,563 25,621
7/31/2016 26,515 26,566
8/31/2016 26,546 26,603
9/30/2016 26,560 26,608
10/31/2016 26,075 26,123
11/30/2016 27,029 27,090
12/31/2016 27,565 27,625
1/31/2017 28,088 28,149
2/28/2017 29,212 29,267
3/31/2017 29,235 29,301
4/30/2017 29,537 29,602
5/31/2017 29,951 30,019
6/30/2017 30,130 30,206
7/31/2017 30,754 30,827
8/31/2017 30,834 30,922
9/30/2017 31,476 31,560
10/31/2017 32,215 32,296
11/30/2017 33,195 33,286
12/31/2017 33,555 33,657
1/31/2018 35,483 35,584
2/28/2018 34,171 34,272
3/31/2018 33,294 33,401
4/30/2018 33,424 33,529
5/31/2018 34,237 34,337
6/30/2018 34,447 34,548
7/31/2018 35,721 35,834
8/31/2018 36,880 37,001
9/30/2018 37,094 37,212
10/31/2018 34,551 34,668
AVERAGE ANNUAL
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- -------- ---------- ---------
7.25% 11.27% 13.20%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Copyright 2018 S&P Dow Jones Indices LLC, a division of S&P Global. All rights
reserved.
--------------------------------------------------------------------------------
268
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Performance of non-U.S. developed markets was negative for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed both large-cap and small-cap stocks. Value stocks underperformed
growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index..................................... -6.76%
MSCI World ex USA Mid Cap Index............................. -8.02%
MSCI World ex USA Small Cap Index........................... -7.75%
MSCI World ex USA Value Index............................... -7.54%
MSCI World ex USA Growth Index.............................. -6.01%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against currencies of most other developed markets. Overall, currency movements
had a negative impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan....................................................... -4.22% -3.56%
United Kingdom.............................................. -0.91% -4.65%
France...................................................... -4.30% -6.92%
Canada...................................................... -4.08% -5.84%
Germany..................................................... -12.26% -14.66%
Switzerland................................................. 0.19% -0.72%
Australia................................................... 2.96% -4.83%
Hong Kong................................................... -8.47% -8.88%
Netherlands................................................. -7.68% -9.99%
Spain....................................................... -13.55% -15.92%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
Emerging markets had negative performance for the period, underperforming
both the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap
stocks, a subset of the large-cap universe, outperformed both large-cap and
small-cap stocks. Value stocks outperformed growth stocks as measured by the
MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index................................. -12.52%
MSCI Emerging Markets Mid Cap Index......................... -11.85%
MSCI Emerging Markets Small Cap Index....................... -17.21%
MSCI Emerging Markets Value Index........................... -8.27%
MSCI Emerging Markets Growth Index.......................... -16.70%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against most emerging markets currencies. Overall, currency movements had a
negative impact on the U.S. dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
China.................... -16.33% -16.73%
269
Korea....................................................... -18.52% -19.90%
Taiwan...................................................... -6.62% -8.98%
India....................................................... -0.01% -12.42%
Brazil...................................................... 18.95% 4.76%
South Africa................................................ -13.80% -17.45%
Russia...................................................... 22.79% 10.69%
Mexico...................................................... -9.54% -14.55%
Thailand.................................................... 4.01% 4.23%
Malaysia.................................................... -0.18% 0.99%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2018,
these differences generally detracted from the Portfolios' relative performance.
DFA INTERNATIONAL VALUE PORTFOLIO
The DFA International Value Portfolio is designed to capture the returns of
developed ex U.S. large company value stocks by purchasing shares of the DFA
International Value Series, a Master Fund managed by Dimensional that invests
in such securities. Value is measured primarily by price-to-book ratio. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification, and weights
stocks in proportion to their market capitalization. The strategy overweights
certain stocks, including smaller companies, lower relative price (value)
stocks, and higher-profitability stocks within the large-cap value segment of
developed ex U.S. markets. As of October 31, 2018, the Master Fund held
approximately 530 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Master Fund's
assets.
For the 12 months ended October 31, 2018, total returns were -8.59% for the
Portfolio's Class R2 shares, -8.32% for the Portfolio's Institutional
Class shares, and -6.76% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. With low relative price (value) stocks underperforming high relative
price (growth) stocks, the Master Fund's focus on value stocks detracted from
performance relative to the benchmark. Conversely, the Master Fund's emphasis
on higher-profitability stocks within the value segment of the market had a
positive impact on relative performance, as these stocks generally outperformed.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
6.6%. Small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a
subset of the large-cap universe, underperformed large-cap stocks but
outperformed small-cap stocks as measured by Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-----------------------------------------------------------
Russell 3000(R) Index....................................... 6.60%
Russell Microcap(R) Index (micro-cap stocks)................ 1.42%
Russell 2000(R) Index (small-cap stocks).................... 1.85%
Russell Midcap(R) Index (mid-cap stocks).................... 2.79%
Russell 1000(R) Index (large-cap stocks).................... 6.98%
Dow Jones U.S. Select REIT Index /SM /...................... 3.04%
Value stocks underperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-----------------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)........ -0.59%
270
Russell 2000(R) Growth Index (small-cap growth stocks)...... 4.13%
Russell 1000(R) Value Index (large-cap value stocks)........ 3.03%
Russell 1000(R) Growth Index (large-cap growth stocks)...... 10.71%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE COMPANY PORTFOLIO
The U.S. Large Company Portfolio seeks to approximate the returns of the S&P
500(R) Index by investing in S&P 500(R) Index securities in approximately the
same proportions as they are represented in the Index. As of October 31, 2018,
the Portfolio held approximately 500 securities. In general, average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, the total return was 7.25% for the
Portfolio and 7.35% for the S&P 500(R) Index, the Portfolio's benchmark. The
Portfolio performed in line with the benchmark before fees and expenses.
271
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 and 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"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs, if applicable. The "Annualized Expense Ratio" represents the actual
expenses for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DFA INTERNATIONAL VALUE PORTFOLIO(2)
------------------------------------
Actual Fund Return
Class R2 Shares................... $1,000.00 $ 872.30 0.67% $3.16
Institutional Class Shares........ $1,000.00 $ 873.70 0.42% $1.98
Hypothetical 5% Annual Return
Class R2 Shares................... $1,000.00 $1,021.83 0.67% $3.41
Institutional Class Shares........ $1,000.00 $1,023.09 0.42% $2.14
272
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
U.S. LARGE COMPANY PORTFOLIO
----------------------------
Actual Fund Return.......................................... $1,000.00 $1,033.70 0.08% $0.41
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.80 0.08% $0.41
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2)The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
273
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 2018. They are available upon request, without charge,
by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting
the SEC's website at http://www.sec.gov.
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; by mailing a request to Dimensional Fund Advisors LP,
6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC's
website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere in 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 FUNDS
AFFILIATED INVESTMENT COMPANIES
-------------------------------
DFA International Value Portfolio........................... 100.0%
DOMESTIC EQUITY PORTFOLIO
U.S. LARGE COMPANY PORTFOLIO
Communication Services. 10.1%
Consumer Discretionary. 9.8%
Consumer Staples....... 7.4%
Energy................. 5.7%
Financials............. 13.6%
Health Care............ 15.0%
Industrials............ 9.3%
Information Technology. 20.8%
Materials.............. 2.4%
Real Estate............ 2.8%
Utilities.............. 3.1%
-----
100.0%
274
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company.................... $9,420,185,907
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES.. $9,420,185,907
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
275
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (98.0%)
COMMUNICATION SERVICES -- (9.9%)
* Alphabet, Inc., Class A.......................................... 110,971 $ 121,022,753 1.4%
* Alphabet, Inc., Class C.......................................... 114,306 123,081,272 1.4%
AT&T, Inc........................................................ 2,695,995 82,713,127 1.0%
Comcast Corp., Class A........................................... 1,697,523 64,743,527 0.8%
* Facebook, Inc., Class A.......................................... 895,329 135,901,989 1.6%
* Netflix, Inc..................................................... 161,662 48,786,358 0.6%
Verizon Communications, Inc...................................... 1,533,969 87,574,290 1.0%
Walt Disney Co. (The)............................................ 552,134 63,401,547 0.7%
Other Securities................................................. 133,021,370 1.6%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 860,246,233 10.1%
-------------- ----
CONSUMER DISCRETIONARY -- (9.6%)
* Amazon.com, Inc.................................................. 152,101 243,058,919 2.9%
Home Depot, Inc. (The)........................................... 424,758 74,706,437 0.9%
McDonald's Corp.................................................. 288,013 50,949,500 0.6%
Other Securities................................................. 464,638,844 5.4%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 833,353,700 9.8%
-------------- ----
CONSUMER STAPLES -- (7.2%)
Altria Group, Inc................................................ 699,865 45,519,220 0.5%
Coca-Cola Co. (The).............................................. 1,420,996 68,037,288 0.8%
PepsiCo, Inc..................................................... 525,063 59,006,580 0.7%
Philip Morris International, Inc................................. 577,106 50,825,725 0.6%
Procter & Gamble Co. (The)....................................... 924,093 81,948,567 1.0%
Walmart, Inc..................................................... 532,769 53,426,075 0.6%
Other Securities................................................. 265,979,540 3.1%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 624,742,995 7.3%
-------------- ----
ENERGY -- (5.6%)
Chevron Corp..................................................... 711,364 79,423,791 0.9%
Exxon Mobil Corp................................................. 1,571,789 125,240,147 1.5%
Other Securities................................................. 279,569,321 3.3%
-------------- ----
TOTAL ENERGY......................................................... 484,233,259 5.7%
-------------- ----
FINANCIALS -- (13.3%)
Bank of America Corp............................................. 3,448,540 94,834,850 1.1%
* Berkshire Hathaway, Inc., Class B................................ 723,719 148,565,036 1.7%
Citigroup, Inc................................................... 934,282 61,158,100 0.7%
JPMorgan Chase & Co.............................................. 1,247,718 136,026,216 1.6%
Wells Fargo & Co................................................. 1,609,179 85,656,598 1.0%
Other Securities................................................. 628,889,219 7.4%
-------------- ----
TOTAL FINANCIALS..................................................... 1,155,130,019 13.5%
-------------- ----
HEALTH CARE -- (14.8%)
Abbott Laboratories.............................................. 651,286 44,899,657 0.5%
AbbVie, Inc...................................................... 562,169 43,764,857 0.5%
Amgen, Inc....................................................... 240,298 46,327,051 0.5%
Eli Lilly & Co................................................... 354,861 38,481,127 0.4%
Johnson & Johnson................................................ 995,965 139,425,140 1.6%
Medtronic P.L.C.................................................. 501,373 45,033,323 0.5%
276
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (Continued)
Merck & Co., Inc................................................. 987,341 $ 72,678,171 0.9%
Pfizer, Inc...................................................... 2,176,290 93,711,047 1.1%
UnitedHealth Group, Inc.......................................... 357,315 93,384,275 1.1%
Other Securities................................................. 660,488,009 7.9%
-------------- -----
TOTAL HEALTH CARE...................................................... 1,278,192,657 15.0%
-------------- -----
INDUSTRIALS -- (9.1%)
3M Co............................................................ 217,778 41,434,442 0.5%
Boeing Co. (The)................................................. 198,354 70,387,900 0.8%
Honeywell International, Inc..................................... 275,692 39,925,715 0.5%
Union Pacific Corp............................................... 274,535 40,142,508 0.5%
Other Securities................................................. 598,579,905 7.0%
-------------- -----
TOTAL INDUSTRIALS...................................................... 790,470,470 9.3%
-------------- -----
INFORMATION TECHNOLOGY -- (20.4%)
Accenture P.L.C., Class A........................................ 237,876 37,494,015 0.4%
* Adobe, Inc....................................................... 181,786 44,675,727 0.5%
Apple, Inc....................................................... 1,703,441 372,815,097 4.4%
Cisco Systems, Inc............................................... 1,697,094 77,642,050 0.9%
Intel Corp....................................................... 1,711,820 80,250,122 0.9%
International Business Machines Corp............................. 338,862 39,114,841 0.5%
Mastercard, Inc., Class A........................................ 338,688 66,948,457 0.8%
Microsoft Corp................................................... 2,846,802 304,066,922 3.6%
NVIDIA Corp...................................................... 225,718 47,588,126 0.6%
Oracle Corp...................................................... 1,049,374 51,251,426 0.6%
* salesforce.com, Inc.............................................. 280,923 38,553,872 0.4%
# Visa, Inc., Class A.............................................. 659,579 90,922,965 1.1%
Other Securities................................................. 514,383,337 6.0%
-------------- -----
TOTAL INFORMATION TECHNOLOGY........................................... 1,765,706,957 20.7%
-------------- -----
MATERIALS -- (2.3%)
DowDuPont, Inc................................................... 856,607 46,188,249 0.5%
Other Securities................................................. 155,244,509 1.9%
-------------- -----
TOTAL MATERIALS........................................................ 201,432,758 2.4%
-------------- -----
REAL ESTATE -- (2.8%)
Other Securities................................................. 238,293,446 2.8%
-------------- -----
UTILITIES -- (3.0%)
Other Securities................................................. 263,345,673 3.1%
-------------- -----
TOTAL COMMON STOCKS 8,495,148,167 99.7%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money.................
Market Fund, 2.090%.............................................. 11,282,028 11,282,028 0.2%
-------------- -----
SECURITIES LENDING COLLATERAL -- (1.9%)
@(S) DFA Short Term Investment Fund................................... 14,177,776 164,036,867 1.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,949,404,614) $8,670,467,062 101.8%
============== =====
277
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
As of October 31, 2018, U.S. Large Company Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE MARKET VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 131 12/21/18 $17,681,628 $17,757,705 $76,077
----------- ----------- -------
TOTAL FUTURES CONTRACTS........................... $17,681,628 $17,757,705 $76,077
=========== =========== =======
Summary of the Portfolio's investments as of October 31, 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
Communication Services................................... $ 860,246,233 -- -- $ 860,246,233
Consumer Discretionary................................... 833,353,700 -- -- 833,353,700
Consumer Staples......................................... 624,742,995 -- -- 624,742,995
Energy................................................... 484,233,259 -- -- 484,233,259
Financials............................................... 1,155,130,019 -- -- 1,155,130,019
Health Care.............................................. 1,278,192,657 -- -- 1,278,192,657
Industrials.............................................. 790,470,470 -- -- 790,470,470
Information Technology................................... 1,765,706,957 -- -- 1,765,706,957
Materials................................................ 201,432,758 -- -- 201,432,758
Real Estate.............................................. 238,293,446 -- -- 238,293,446
Utilities................................................ 263,345,673 -- -- 263,345,673
Temporary Cash Investments.................................. 11,282,028 -- -- 11,282,028
Securities Lending Collateral............................... -- $164,036,867 -- 164,036,867
Futures Contracts**......................................... 76,077 -- -- 76,077
-------------- ------------ -- --------------
TOTAL....................................................... $8,506,506,272 $164,036,867 -- $8,670,543,139
============== ============ == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
278
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA U.S. LARGE
INTERNATIONAL COMPANY
VALUE PORTFOLIO PORTFOLIO*
--------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value....... $ 9,420,186 --
Investments at Value (including $0 and $362,450 of
securities on loan, respectively)......................... -- $ 8,495,148
Temporary Cash Investments at Value & Cost.................. -- 11,282
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0 and $164,034)................. -- 164,037
Segregated Cash for Futures Contracts....................... -- 426
Receivables:
Dividends and Interest................................... -- 7,677
Securities Lending Income................................ -- 30
Fund Shares Sold......................................... 10,651 7,734
Futures Margin Variation................................. -- 156
Prepaid Expenses and Other Assets........................... 84 76
-------------- ------------
Total Assets......................................... 9,430,921 8,686,566
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... -- 164,029
Fund Shares Redeemed..................................... 5,258 4,003
Due to Advisor........................................... 1,645 386
Accrued Expenses and Other Liabilities...................... 576 1,079
-------------- ------------
Total Liabilities.................................... 7,479 169,497
-------------- ------------
NET ASSETS.................................................. $ 9,423,442 $ 8,517,069
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $1,477 and $0 and
shares outstanding of 83,510 and 0, respectively.......... $ 17.68 N/A
============== ============
NUMBER OF SHARES AUTHORIZED................................. 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of
$9,421,965 and $8,517,069 and shares outstanding of
531,061,558 and 404,425,306, respectively................. $ 17.74 $ 21.06
============== ============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 900,000,000
============== ============
Investments at Cost......................................... N/A $ 3,774,089
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 9,024,399 $ 3,857,823
Total Distributable Earnings (Loss)......................... 399,043 4,659,246
-------------- ------------
NET ASSETS.................................................. $ 9,423,442 $ 8,517,069
============== ============
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
279
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018 (AMOUNTS IN THOUSANDS)
DFA U.S. LARGE
INTERNATIONAL COMPANY
VALUE PORTFOLIO* PORTFOLIO#
---------------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $33,197 and
$0, respectively)............................................. $ 341,050 --
Income from Securities Lending.................................. 7,037 --
Expenses Allocated from Affiliated Investment Companies......... (21,260) --
----------- --------
Total Net Investment Income Allocated from
Affiliated Investment Companies:....................... 326,827 --
----------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $0,
respectively)................................................. -- $168,975
Income from Securities Lending.................................. -- 645
----------- --------
Total Fund Investment Income............................. -- 169,620
----------- --------
FUND EXPENSES
Investment Management Fees...................................... 40,638 5,133
Accounting & Transfer Agent Fees................................ 393 504
S&P 500(R) Fees................................................. -- 102
Custodian Fees.................................................. -- 108
Shareholder Servicing Fees Class R2 Shares...................... 9 --
Filing Fees..................................................... 245 158
Shareholders' Reports........................................... 355 163
Directors'/Trustees' Fees & Expenses............................ 42 34
Professional Fees............................................... 89 326
Other........................................................... 61 208
----------- --------
Total Fund Expenses...................................... 41,832 6,736
----------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)..................... -- 108
Fees Waived, (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C) Class R2 Shares........ (7) --
Institutional Class Shares.................................. (20,315) --
----------- --------
Net Expenses.................................................... 21,510 6,844
----------- --------
NET INVESTMENT INCOME (LOSS).................................... 305,317 162,776
----------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ -- 88,590
Affiliated Investment Companies Shares Sold................. -- (21)
Transactions Allocated from Affiliated Investment
Company**................................................. 328,393 --
Futures..................................................... -- 1,735
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- 336,695
Affiliated Investment Companies Shares...................... -- (9)
Transactions Allocated from Affiliated Investment
Company................................................... (1,489,950) --
Futures..................................................... -- (7)
----------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (1,161,557) 426,983
----------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $ (856,240) $589,759
=========== ========
--------
** Net of foreign capital gain taxes withheld of $0 and $0, respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
280
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE
PORTFOLIO U.S. LARGE COMPANY PORTFOLIO
------------------------ ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2018 OCT 31, 2017
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 305,317 $ 267,641 $ 162,776 $ 146,387
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. -- 104,748 88,590 25,596
Affiliated Investment Companies Shares Sold................. -- -- (21) 21
Transactions Allocated from Affiliated Investment
Company*,**............................................... 328,393 -- -- --
Futures..................................................... -- 12,673 1,735 4,571
Foreign Currency Transactions............................... -- (1,987) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. -- 1,639,175 336,695 1,352,486
Affiliated Investment Companies Shares...................... -- -- (9) (37)
Transactions Allocated from Affiliated Investment
Company................................................... (1,489,950) -- -- --
Futures..................................................... -- 2,759 (7) 181
Translation of Foreign Currency Denominated Amounts......... -- 803 -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (856,240) 2,025,812 589,759 1,529,205
----------- ----------- ----------- -----------
Distributions:^
Class R2 Shares................................................. (102) (109) -- --
Institutional Class Shares...................................... (298,099) (277,230) (177,012) (193,717)
----------- ----------- ----------- -----------
Total Distributions......................................... (298,201) (277,339) (177,012) (193,717)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 2,071,557 1,967,887 1,451,585 1,555,398
Shares Issued in Lieu of Cash Distributions..................... 289,379 269,559 162,780 171,570
Shares Redeemed................................................. (1,624,192) (1,418,753) (1,506,221) (1,432,214)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions.............................................. 736,744 818,693 108,144 294,754
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets..................... (417,697) 2,567,166 520,891 1,630,242
NET ASSETS
Beginning of Year............................................... 9,841,139 7,273,973 7,996,178 6,365,936
----------- ----------- ----------- -----------
End of Year..................................................... $ 9,423,442 $ 9,841,139 $ 8,517,069 $ 7,996,178
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 104,257 109,955 68,274 84,803
Shares Issued in Lieu of Cash Distributions..................... 14,892 14,996 7,714 9,395
Shares Redeemed................................................. (81,550) (77,571) (70,464) (77,231)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 37,599 47,380 5,524 16,967
=========== =========== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note M in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
281
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 SHARES
-------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year.................................... $19.89 $16.27 $16.93 $ 18.48 $ 19.46
------ ------ ------ ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................... 0.54 0.55 0.53 0.51 0.74
Net Gains (Losses) on Securities (Realized and Unrealized)......... (2.21) 3.61 (0.65) (1.55) (0.93)
------ ------ ------ ------- -------
Total from Investment Operations............................... (1.67) 4.16 (0.12) (1.04) (0.19)
------ ------ ------ ------- -------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.54) (0.54) (0.54) (0.51) (0.79)
------ ------ ------ ------- -------
Total Distributions............................................ (0.54) (0.54) (0.54) (0.51) (0.79)
------ ------ ------ ------- -------
Net Asset Value, End of Year.......................................... $17.68 $19.89 $16.27 $ 16.93 $ 18.48
====== ====== ====== ======= =======
Total Return.......................................................... (8.59%) 25.99% (0.43%) (5.78%) (1.21%)
------ ------ ------ ------- -------
Net Assets, End of Year (thousands)................................... $1,477 $3,508 $3,308 $10,404 $11,200
Ratio of Expenses to Average Net Assets (B)........................... 0.68% 0.68% 0.68% 0.68% 0.68%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)........................................................ 0.88% 0.88% 0.88% 0.73% 0.68%
Ratio of Net Investment Income to Average Net Assets.................. 2.72% 3.07% 3.4% 2.81% 3.79%
------ ------ ------ ------- -------
See page 1 for the Definitions of Abbreviations and Footnotes.
282
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 19.94 $ 16.30 $ 16.92 $ 18.47 $ 19.45
---------- ---------- ---------- ---------- ----------
Income (loss) from Investment Operations
----------------------------------------
Net Investment Income (Loss) (A)......................... 0.60 0.56 0.55 0.56 0.84
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (2.21) 3.66 (0.63) (1.56) (0.98)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... (1.61) 4.22 (0.08) (1.00) (0.14)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.59) (0.58) (0.54) (0.55) (0.84)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.59) (0.58) (0.54) (0.55) (0.84)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 17.74 $ 19.94 $ 16.30 $ 16.92 $ 18.47
========== ========== ========== ========== ==========
Total Return................................................ (8.32%) 26.36% (0.20%) (5.58%) (0.97%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $9,421,965 $9,837,631 $7,270,665 $6,795,481 $6,991,214
Ratio of Expenses to Average Net Assets (B)................. 0.43% 0.43% 0.43% 0.43% 0.43%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and Fees Paid Indirectly) (B)... 0.63% 0.63% 0.63% 0.49% 0.43%
Ratio of Net Investment Income to Average Net Assets........ 3.01% 3.12% 3.51% 3.10% 4.29%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
283
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 20.05 $ 16.67 $ 16.42 $ 15.94 $ 13.87
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.41 0.37 0.35 0.33 0.29
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 1.05 3.50 0.38 0.47 2.07
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 1.46 3.87 0.73 0.80 2.36
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.39) (0.39) (0.34) (0.32) (0.29)
Net Realized Gains....................................... (0.06) (0.10) (0.14) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.45) (0.49) (0.48) (0.32) (0.29)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 21.06 $ 20.05 $ 16.67 $ 16.42 $ 15.94
========== ========== ========== ========== ==========
Total Return................................................ 7.25% 23.55% 4.54% 5.09% 17.17%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $8,517,069 $7,996,178 $6,365,936 $5,810,743 $5,668,374
Ratio of Expenses to Average Net Assets..................... 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................ 0.08% 0.08% 0.08% 0.09% 0.08%
Ratio of Net Investment Income to Average Net Assets........ 1.90% 1.99% 2.17% 2.05% 1.95%
Portfolio Turnover Rate..................................... 5% 7% 9% 2% 3%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
284
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of 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 the 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. As of October 31, 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, the
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 use 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,
and 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 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
285
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 methodology or
inputs used for valuing securities are not necessarily an indication of the
risk associated with investing in those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate 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: the 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.
The Directors may receive their distributions of proceeds by 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. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 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 received distributions 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 Portfolios. For the year ended October 31, 2018, the U.S. Large
Company Portfolio's and the Feeder Fund's investment management fees were
accrued daily and paid monthly to the Advisor based on the following effective
annual rates of average daily net assets:
DFA International Value Portfolio........................... 0.40%
U.S. Large Company Portfolio................................ 0.06%
286
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 Agreements 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, 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. During the year ended
October 31, 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 assumed expenses (amounts in thousands), as listed below.
The net amount of waived fees/expenses assumed (recovered previously waived
fees/expenses assumed) during the year ended October 31, 2018, and the
previously waived fees/expenses assumed subject to future recovery by the
Advisor as of October 31, 2018, are also reflected below (amounts in
thousands). The Fund, on behalf of the Portfolios, is not obligated to
reimburse the Advisor for fees previously waived or expenses previously assumed
by the Advisor more than thirty-six months before the date of recovery. 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.
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
EXPENSE OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
LIMITATION WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------------- ----------------- -----------------
DFA International Value
Portfolio (1)....................... 0.40% -- $20,315 --
U.S. Large Company Portfolio (2)...... 0.08% $234 (108) $422
CLASS R2 SHARES
---------------
DFA International Value Portfolio (1). 0.79% -- 7 --
(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. 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.
287
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2018, the total related amounts paid by the Fund
to the CCO were $32 (in thousands). The total related amounts paid by each
Portfolio are included in Other Expenses on the Statements of Operations.
D. DEFERRED COMPENSATION:
As of October 31, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statements of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio........................... $277
U.S. Large Company Portfolio................................ 314
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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................................ $624,164 $463,704
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION
---------- ---------- ---------- ------------ -------------
U.S. LARGE COMPANY PORTFOLIO
The DFA Short Term Investment Fund $185,593 $1,333,446 $1,354,972 $(21) $(9)
-------- ---------- ---------- ---- ---
TOTAL $185,593 $1,333,446 $1,354,972 $(21) $(9)
======== ========== ========== ==== ===
BALANCE AT SHARES AS OF DIVIDEND CAPITAL GAIN
OCTOBER 31, 2018 OCTOBER 31, 2018 INCOME DISTRIBUTIONS
---------------- ---------------- -------- -------------
U.S. LARGE COMPANY PORTFOLIO
The DFA Short Term Investment Fund $164,037 14,178 $3,161 --
-------- ------ ------ --
TOTAL $164,037 14,178 $3,161 --
======== ====== ====== ==
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 that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, undistributed net investment income, accumulated net realized gains
or losses, or unrealized appreciation, as appropriate, in the period that the
differences arise. Accordingly, the permanent differences as of
288
October 31, 2018, 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 accounts
mentioned above. These reclassifications had no effect on net assets or net
asset value per share.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
DFA International Value Portfolio
2017........................................................ $277,339 -- -- $277,339
2018........................................................ 298,200 -- -- 298,200
U.S. Large Company Portfolio
2017........................................................ 154,938 $38,779 -- 193,717
2018........................................................ 157,152 19,860 -- 177,012
As of October 31, 2018, 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 use 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........................... $(28,658) -- $(28,658)
U.S. Large Company Portfolio................................ (5,603) -- (5,603)
As of October 31, 2018, 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 APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES)
-------------- ------------- -------------- -------------
DFA International Value Portfolio........................... $22,292 $273,710 $ 107,257 $ 403,259
U.S. Large Company Portfolio................................ 9,587 53,797 4,596,176 4,659,560
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. Additionally, such losses must be used prior to the losses
incurred in the years preceding enactment. As of October 31, 2018, the
Portfolios did not have capital loss carryforwards available to offset future
realized capital gains through October 31 of the indicated expiration dates, as
applicable.
During the year ended October 31, 2018, the following Portfolios used the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA International Value Portfolio........................... $54,014
289
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
DFA International Value Portfolio........................... $9,312,929 $ 107,257 -- $ 107,257
U.S. Large Company Portfolio................................ 4,074,384 4,857,885 $(261,708) 4,596,177
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR ENDED YEAR ENDED
OCTOBER 31, 2018 OCTOBER 31, 2017
-------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- -------
DFA INTERNATIONAL VALUE PORTFOLIO
Class R2 Shares
Shares Issued............................................ $ 2,206 111 $ 3,212 182
Shares Issued in Lieu of Cash Distributions.............. 102 5 109 6
Shares Redeemed.......................................... (3,878) (209) (3,910) (215)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares.................. $ (1,570) (93) $ (589) (27)
=========== ======= =========== =======
Institutional Class Shares
Shares Issued............................................ $ 2,069,351 104,146 $ 1,964,675 109,773
Shares Issued in Lieu of Cash Distributions.............. 289,277 14,887 269,450 14,990
Shares Redeemed.......................................... (1,620,314) (81,341) (1,414,843) (77,356)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares....... $ 738,314 37,692 $ 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.
290
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 to a broker.
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 entrance 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 year ended October 31, 2018 (amounts in thousands):
FUTURES
-------
U.S. Large Company Portfolio................................ $23,543
The following is a summary of the U.S. Large Company Portfolio's derivative
instrument holdings categorized by primary risk exposure as of October 31, 2018
(amounts in thousands):
ASSET DERIVATIVES VALUE
-------------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2018 CONTRACTS*,(1)
---------------- --------------
U.S. Large Company Portfolio................................ $76 $76
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 year ended October 31,
2018 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
--------------------------------
EQUITY
TOTAL CONTRACTS*,(1)
------ --------------
U.S. Large Company Portfolio................................ $1,735 $1,735
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
--------------------------------
EQUITY
TOTAL CONTRACTS*,(2)
------ --------------
U.S. Large Company Portfolio................................ $ (7) $ (7)
291
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 year ended October 31, 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................................ 2.44% $7,817 37 $20 $55,649
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2018, that each Portfolio's available
line of credit was used.
There were no outstanding borrowings by the Portfolios under the lines of
credit as of October 31, 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. lnterfund 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 use the interfund lending program
during the year ended October 31, 2018.
J. SECURITIES LENDING:
As of October 31, 2018, The U.S. Large Company Portfolio had securities on
loan to brokers/dealers, for which the Portfolio received cash collateral. The
non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S.
government agency securities as follows (amounts in thousands):
MARKET
VALUE
--------
U.S. Large Company Portfolio................................ $207,879
292
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, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the U.S. Large Company Portfolio or, at the option of the
lending agent, to replace the securities. In the event of the bankruptcy of the
borrower, the U.S. Large Company 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 U.S. Large Company Portfolio
with securities on loan will generally invest the cash collateral received for
the loaned securities in The DFA Short Term Investment Fund (the "Money Market
Series"), an affiliated registered money market fund advised by the Advisor for
which the Advisor receives a management fee of 0.05% of the average daily net
assets of the Money Market Series. Income received from the Money Market Series
is netted with fees for securities lending and collateral investment expenses
and with 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 or
unaffiliated money market funds that are registered or unregistered. For
purposes of this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. Additionally, 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 for taxation at qualified dividend income
rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2018
-----------------------------------------------------
OVERNIGHT AND BETWEEN >90
CONTINUOUS <30 DAYS 30 & 90 DAYS DAYS TOTAL
------------- -------- ------------ ---- ------------
SECURITIES LENDING TRANSACTIONS
U.S. LARGE COMPANY PORTFOLIO
Common Stocks............................................ $164,036,867 -- -- -- $164,036,867
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.
293
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.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolio's early adoption of certain of the ASU
2018-13 disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Portfolio's financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Portfolio's adoption
of these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Portfolio's net assets or results of operations.
Comparable prior year information presented in the Statements of Changes in
Net Assets has been revised to reflect current disclosure requirements
prescribed by these amendments. Amounts originally presented as of October 31,
2017 are as follows (amounts in thousands):
DISTRIBUTIONS FROM:
-----------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- ---------
DFA International Value Portfolio - Class R2................ $ (109) -- -- $ (109)
DFA International Value Portfolio - Institutional Class..... (277,230) -- -- (277,230)
U.S. Large Company Portfolio - Institutional Class.......... (154,814) $(124) $(38,779) (193,717)
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS OF
NET INVESTMENT
INCOME)
--------------
DFA International Value Portfolio........................... $30,626
U.S. Large Company Portfolio................................ 8,050
294
N. OTHER:
As of October 31, 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.................. 4 99%
DFA International Value Portfolio-Institutional Class....... 4 73%
U.S. Large Company Portfolio-Institutional Class............ 4 75%
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 on which the financial statements were issued and
has determined that there are no other subsequent events requiring recognition
or disclosure in the financial statements.
295
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of DFA International Value Portfolio and U.S. Large Company Portfolio
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedule of investments/summary schedule of portfolio holdings,
of DFA International Value Portfolio and U.S. Large Company Portfolio (two of
the portfolios constituting Dimensional Investment Group Inc., hereafter
collectively referred to as the "Portfolios") as of October 31, 2018, the
related statements of operations for the year ended October 31, 2018, the
statements of changes in net assets for each of the two years in the period
ended October 31, 2018, including the related notes, and the financial
highlights for each of the five years in the period ended October 31, 2018
(collectively referred to as the "financial statements"). In our opinion, the
financial statements present fairly, in all material respects, the financial
position of each of the Portfolios as of October 31, 2018, the results of each
of their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period ended October 31, 2018, and each
of the financial highlights for each of the five years in the period ended
October 31, 2018 in conformity with accounting principles generally accepted in
the United States of America.
BASIS FOR OPINIONS
These financial statements are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
("PCAOB") and are required to be independent with respect to the Portfolios in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodians, broker and the transfer agents of the
investee funds. We believe that our audits provide a reasonable basis for our
opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
296
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The U.S. Large Cap Russell 1000 Value
Value Series Index
-------------------- ------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,019 9,283
12/31/2008 9,313 9,412
1/31/2009 8,207 8,330
2/28/2009 7,057 7,217
3/31/2009 7,754 7,834
4/30/2009 9,008 8,673
5/31/2009 9,698 9,210
6/30/2009 9,580 9,142
7/31/2009 10,492 9,890
8/31/2009 11,205 10,407
9/30/2009 11,695 10,809
10/31/2009 11,190 10,478
11/30/2009 11,821 11,069
12/31/2009 12,147 11,265
1/31/2010 11,865 10,948
2/28/2010 12,377 11,294
3/31/2010 13,342 12,029
4/30/2010 13,765 12,340
5/31/2010 12,585 11,326
6/30/2010 11,635 10,688
7/31/2010 12,548 11,412
8/31/2010 11,791 10,924
9/30/2010 12,941 11,771
10/31/2010 13,424 12,124
11/30/2010 13,320 12,060
12/31/2010 14,618 13,012
1/31/2011 15,086 13,306
2/28/2011 15,902 13,797
3/31/2011 15,976 13,852
4/30/2011 16,384 14,220
5/31/2011 16,147 14,070
6/30/2011 15,865 13,782
7/31/2011 15,138 13,325
8/31/2011 13,861 12,493
9/30/2011 12,459 11,549
10/31/2011 14,188 12,871
11/30/2011 14,069 12,804
12/31/2011 14,180 13,063
1/31/2012 14,885 13,557
2/29/2012 15,746 14,097
3/31/2012 16,036 14,515
4/30/2012 15,709 14,367
5/31/2012 14,596 13,524
6/30/2012 15,383 14,196
7/31/2012 15,531 14,343
8/31/2012 16,147 14,654
9/30/2012 16,740 15,119
10/31/2012 16,785 15,045
11/30/2012 16,822 15,039
12/31/2012 17,334 15,350
1/31/2013 18,544 16,347
2/28/2013 18,781 16,582
3/31/2013 19,679 17,239
4/30/2013 19,887 17,499
5/31/2013 20,703 17,949
6/30/2013 20,473 17,790
7/31/2013 21,697 18,751
8/31/2013 21,059 18,040
9/30/2013 21,675 18,492
10/31/2013 22,773 19,301
11/30/2013 23,730 19,840
12/31/2013 24,361 20,342
1/31/2014 23,397 19,620
2/28/2014 24,191 20,468
3/31/2014 24,762 20,957
4/30/2014 24,925 21,156
5/31/2014 25,474 21,466
6/30/2014 26,164 22,027
7/31/2014 25,979 21,651
8/31/2014 26,803 22,447
9/30/2014 26,142 21,984
10/31/2014 26,342 22,478
11/30/2014 26,654 22,938
12/31/2014 26,854 23,079
1/31/2015 25,526 22,156
2/28/2015 27,329 23,228
3/31/2015 26,810 22,912
4/30/2015 27,352 23,126
5/31/2015 27,656 23,404
6/30/2015 27,211 22,937
7/31/2015 27,144 23,038
8/31/2015 25,497 21,666
9/30/2015 24,680 21,012
10/31/2015 26,691 22,597
11/30/2015 26,795 22,683
12/31/2015 25,957 22,196
1/31/2016 24,191 21,049
2/29/2016 24,235 21,043
3/31/2016 26,001 22,559
4/30/2016 26,706 23,033
5/31/2016 27,070 23,391
6/30/2016 27,040 23,593
7/31/2016 27,975 24,278
8/31/2016 28,309 24,465
9/30/2016 28,442 24,414
10/31/2016 27,960 24,037
11/30/2016 30,157 25,409
12/31/2016 30,913 26,044
1/31/2017 31,359 26,230
2/28/2017 32,316 27,172
3/31/2017 32,012 26,896
4/30/2017 32,234 26,845
5/31/2017 32,197 26,819
6/30/2017 32,739 27,257
7/31/2017 33,295 27,620
8/31/2017 32,984 27,298
9/30/2017 34,260 28,106
10/31/2017 34,757 28,310
11/30/2017 35,996 29,177
12/31/2017 36,835 29,603
1/31/2018 38,727 30,748
2/28/2018 36,813 29,279
3/31/2018 35,982 28,764
4/30/2018 36,034 28,859
5/31/2018 36,382 29,031
6/30/2018 36,123 29,103
7/31/2018 37,622 30,254
8/31/2018 38,171 30,702
9/30/2018 38,208 30,763
10/31/2018 35,781 29,170
AVERAGE ANNUAL
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- -------- ---------- ---------
2.95% 9.46% 13.60%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The DFA International MSCI World ex
Value Series USA Index (net dividends)
--------------------- -------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,387 9,458
12/31/2008 10,096 9,956
1/31/2009 8,703 9,027
2/28/2009 7,634 8,113
3/31/2009 8,466 8,648
4/30/2009 10,026 9,763
5/31/2009 11,516 10,998
6/30/2009 11,341 10,884
7/31/2009 12,691 11,906
8/31/2009 13,418 12,477
9/30/2009 14,102 12,992
10/31/2009 13,541 12,783
11/30/2009 13,944 13,099
12/31/2009 14,102 13,308
1/31/2010 13,287 12,684
2/28/2010 13,339 12,672
3/31/2010 14,391 13,487
4/30/2010 14,145 13,286
5/31/2010 12,489 11,820
6/30/2010 12,270 11,649
7/31/2010 13,804 12,726
8/31/2010 13,129 12,345
9/30/2010 14,540 13,530
10/31/2010 15,048 14,012
11/30/2010 14,294 13,418
12/31/2010 15,627 14,499
1/31/2011 16,293 14,811
2/28/2011 16,836 15,360
3/31/2011 16,372 15,052
4/30/2011 17,248 15,872
5/31/2011 16,626 15,402
6/30/2011 16,398 15,182
7/31/2011 15,872 14,932
8/31/2011 14,172 13,670
9/30/2011 12,621 12,297
10/31/2011 13,839 13,493
11/30/2011 13,383 12,869
12/31/2011 13,024 12,729
1/31/2012 13,900 13,416
2/29/2012 14,628 14,154
3/31/2012 14,505 14,049
4/30/2012 13,988 13,810
5/31/2012 12,261 12,236
6/30/2012 13,129 13,038
7/31/2012 13,076 13,200
8/31/2012 13,620 13,577
9/30/2012 14,102 13,989
10/31/2012 14,277 14,087
11/30/2012 14,505 14,383
12/31/2012 15,215 14,818
1/31/2013 15,933 15,547
2/28/2013 15,451 15,392
3/31/2013 15,504 15,514
4/30/2013 16,266 16,220
5/31/2013 16,074 15,857
6/30/2013 15,504 15,263
7/31/2013 16,564 16,075
8/31/2013 16,450 15,868
9/30/2013 17,686 16,989
10/31/2013 18,300 17,559
11/30/2013 18,370 17,667
12/31/2013 18,773 17,933
1/31/2014 18,089 17,209
2/28/2014 19,124 18,148
3/31/2014 18,983 18,067
4/30/2014 19,308 18,352
5/31/2014 19,527 18,636
6/30/2014 19,763 18,901
7/31/2014 19,325 18,564
8/31/2014 19,334 18,579
9/30/2014 18,484 17,816
10/31/2014 18,168 17,532
11/30/2014 18,177 17,748
12/31/2014 17,502 17,158
1/31/2015 17,388 17,097
2/28/2015 18,633 18,118
3/31/2015 18,238 17,816
4/30/2015 19,238 18,587
5/31/2015 19,246 18,426
6/30/2015 18,694 17,902
7/31/2015 18,510 18,186
8/31/2015 17,134 16,861
9/30/2015 15,968 16,010
10/31/2015 17,195 17,214
11/30/2015 16,968 16,940
12/31/2015 16,424 16,637
1/31/2016 15,145 15,491
2/29/2016 14,663 15,275
3/31/2016 15,776 16,312
4/30/2016 16,538 16,837
5/31/2016 16,231 16,646
6/30/2016 15,644 16,140
7/31/2016 16,337 16,934
8/31/2016 16,775 16,950
9/30/2016 16,959 17,156
10/31/2016 17,178 16,823
11/30/2016 17,257 16,553
12/31/2016 17,835 17,094
1/31/2017 18,598 17,603
2/28/2017 18,475 17,806
3/31/2017 18,887 18,258
4/30/2017 19,159 18,646
5/31/2017 19,492 19,267
6/30/2017 19,702 19,286
7/31/2017 20,631 19,860
8/31/2017 20,613 19,855
9/30/2017 21,350 20,370
10/31/2017 21,735 20,648
11/30/2017 21,954 20,857
12/31/2017 22,524 21,232
1/31/2018 23,848 22,221
2/28/2018 22,507 21,165
3/31/2018 22,244 20,799
4/30/2018 22,840 21,276
5/31/2018 22,016 20,873
6/30/2018 21,516 20,644
7/31/2018 22,200 21,151
8/31/2018 21,429 20,751
9/30/2018 21,805 20,914
10/31/2018 19,974 19,252
AVERAGE ANNUAL
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- --------- ---------- ---------
-8.10% 1.77% 7.16%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
297
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The Japanese Small Company MSCI Japan Small Cap Index
Series (net dividends)
------------------------- --------------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,264 10,408
12/31/2008 11,318 11,219
1/31/2009 10,542 10,631
2/28/2009 9,180 9,233
3/31/2009 9,590 9,559
4/30/2009 9,985 10,048
5/31/2009 11,215 11,278
6/30/2009 11,962 11,995
7/31/2009 12,211 12,295
8/31/2009 12,855 12,985
9/30/2009 12,723 12,933
10/31/2009 12,269 12,460
11/30/2009 11,772 12,015
12/31/2009 11,728 11,790
1/31/2010 11,889 12,045
2/28/2010 12,123 12,273
3/31/2010 12,738 12,832
4/30/2010 13,119 13,179
5/31/2010 12,020 12,265
6/30/2010 12,211 12,319
7/31/2010 12,430 12,469
8/31/2010 12,094 12,205
9/30/2010 12,621 12,704
10/31/2010 12,357 12,599
11/30/2010 12,665 12,845
12/31/2010 13,836 14,141
1/31/2011 14,158 14,309
2/28/2011 14,817 14,885
3/31/2011 13,895 13,966
4/30/2011 13,821 13,979
5/31/2011 13,587 13,771
6/30/2011 14,275 14,284
7/31/2011 14,802 14,877
8/31/2011 14,407 14,269
9/30/2011 14,334 14,282
10/31/2011 13,602 13,755
11/30/2011 13,821 13,383
12/31/2011 13,748 13,591
1/31/2012 14,627 14,149
2/29/2012 14,641 14,303
3/31/2012 15,066 14,685
4/30/2012 14,758 14,472
5/31/2012 13,529 13,270
6/30/2012 14,246 13,837
7/31/2012 13,763 13,620
8/31/2012 13,777 13,542
9/30/2012 13,968 13,917
10/31/2012 13,675 13,616
11/30/2012 13,880 13,710
12/31/2012 14,392 14,136
1/31/2013 14,846 14,665
2/28/2013 15,212 15,163
3/31/2013 16,384 16,388
4/30/2013 17,247 17,465
5/31/2013 15,842 16,081
6/30/2013 15,988 16,038
7/31/2013 16,369 16,299
8/31/2013 16,003 16,078
9/30/2013 17,818 17,909
10/31/2013 17,862 17,835
11/30/2013 17,731 17,718
12/31/2013 17,862 17,860
1/31/2014 17,687 17,808
2/28/2014 17,613 17,413
3/31/2014 17,701 17,458
4/30/2014 17,438 17,133
5/31/2014 17,892 17,695
6/30/2014 19,165 18,948
7/31/2014 19,048 19,050
8/31/2014 19,224 18,913
9/30/2014 18,638 18,281
10/31/2014 18,302 17,792
11/30/2014 17,613 17,591
12/31/2014 17,775 17,776
1/31/2015 18,214 18,372
2/28/2015 18,960 19,034
3/31/2015 19,209 19,402
4/30/2015 19,678 19,764
5/31/2015 19,883 19,998
6/30/2015 20,293 20,290
7/31/2015 20,176 20,212
8/31/2015 19,561 19,520
9/30/2015 18,960 18,819
10/31/2015 19,956 20,075
11/30/2015 20,410 20,331
12/31/2015 20,337 20,499
1/31/2016 19,327 19,194
2/29/2016 18,653 18,996
3/31/2016 19,868 20,181
4/30/2016 20,117 21,059
5/31/2016 20,630 21,064
6/30/2016 20,542 20,939
7/31/2016 21,654 22,062
8/31/2016 21,142 21,281
9/30/2016 22,430 22,428
10/31/2016 22,855 22,727
11/30/2016 22,123 21,658
12/31/2016 22,299 22,050
1/31/2017 23,280 22,883
2/28/2017 24,070 23,586
3/31/2017 24,202 23,543
4/30/2017 24,480 23,946
5/31/2017 25,403 24,826
6/30/2017 25,974 25,060
7/31/2017 26,808 25,728
8/31/2017 27,394 26,207
9/30/2017 28,009 26,622
10/31/2017 29,048 27,534
11/30/2017 29,780 28,503
12/31/2017 30,381 28,943
1/31/2018 31,830 30,170
2/28/2018 31,127 29,806
3/31/2018 30,922 29,549
4/30/2018 30,864 29,589
5/31/2018 30,469 29,522
6/30/2018 29,663 28,618
7/31/2018 29,649 28,370
8/31/2018 29,224 28,189
9/30/2018 29,736 28,582
10/31/2018 26,881 25,878
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- ---------
-7.46% 8.52% 10.39%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The Asia Pacific MSCI Pacific ex Japan
Small Company Series Small Cap Index (net dividends)
-------------------- -------------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,040 8,909
12/31/2008 10,028 9,944
1/31/2009 8,795 8,849
2/28/2009 8,311 8,299
3/31/2009 9,601 9,489
4/30/2009 11,037 11,187
5/31/2009 13,889 13,870
6/30/2009 14,001 14,260
7/31/2009 16,027 16,319
8/31/2009 16,755 17,158
9/30/2009 18,066 18,595
10/31/2009 18,472 19,041
11/30/2009 19,334 19,588
12/31/2009 19,846 20,371
1/31/2010 18,774 19,068
2/28/2010 19,110 19,307
3/31/2010 20,687 20,899
4/30/2010 20,974 21,483
5/31/2010 18,073 18,239
6/30/2010 17,856 18,135
7/31/2010 19,839 19,980
8/31/2010 19,818 19,936
9/30/2010 22,824 22,929
10/31/2010 23,812 23,947
11/30/2010 23,497 23,627
12/31/2010 25,802 26,012
1/31/2011 25,256 25,255
2/28/2011 25,417 25,394
3/31/2011 25,957 26,173
4/30/2011 27,064 27,232
5/31/2011 26,265 26,608
6/30/2011 25,382 25,662
7/31/2011 25,802 26,041
8/31/2011 24,008 24,230
9/30/2011 19,530 19,824
10/31/2011 22,586 23,072
11/30/2011 21,983 21,499
12/31/2011 20,701 20,810
1/31/2012 22,845 22,970
2/29/2012 24,569 24,756
3/31/2012 24,219 23,981
4/30/2012 24,121 24,111
5/31/2012 21,114 20,981
6/30/2012 21,563 21,275
7/31/2012 21,885 21,974
8/31/2012 22,621 22,325
9/30/2012 23,742 23,513
10/31/2012 24,275 23,998
11/30/2012 24,625 24,235
12/31/2012 25,781 24,843
1/31/2013 27,078 26,160
2/28/2013 27,197 26,470
3/31/2013 27,316 26,537
4/30/2013 26,868 26,326
5/31/2013 24,877 24,388
6/30/2013 23,118 22,302
7/31/2013 24,261 23,194
8/31/2013 24,457 23,395
9/30/2013 26,174 25,195
10/31/2013 26,938 25,637
11/30/2013 25,992 24,554
12/31/2013 26,314 24,670
1/31/2014 25,074 23,527
2/28/2014 26,524 24,794
3/31/2014 26,917 25,251
4/30/2014 26,987 25,416
5/31/2014 27,015 25,624
6/30/2014 27,225 25,762
7/31/2014 27,800 26,324
8/31/2014 28,234 26,526
9/30/2014 25,634 24,089
10/31/2014 26,006 24,373
11/30/2014 24,982 23,601
12/31/2014 24,261 23,009
1/31/2015 23,686 22,556
2/28/2015 24,842 23,650
3/31/2015 24,499 23,224
4/30/2015 26,482 24,557
5/31/2015 26,776 24,437
6/30/2015 24,891 22,678
7/31/2015 23,679 21,654
8/31/2015 21,661 19,635
9/30/2015 21,352 19,229
10/31/2015 22,929 20,797
11/30/2015 22,859 20,626
12/31/2015 23,497 20,976
1/31/2016 21,794 19,153
2/29/2016 22,123 19,621
3/31/2016 24,765 21,886
4/30/2016 25,102 22,279
5/31/2016 24,828 21,908
6/30/2016 25,242 22,057
7/31/2016 26,987 23,688
8/31/2016 26,797 23,511
9/30/2016 27,596 24,004
10/31/2016 26,755 22,994
11/30/2016 26,237 22,626
12/31/2016 25,957 22,545
1/31/2017 27,134 23,272
2/28/2017 27,905 23,938
3/31/2017 28,381 24,290
4/30/2017 28,108 24,191
5/31/2017 28,080 24,341
6/30/2017 29,131 25,093
7/31/2017 30,063 25,709
8/31/2017 30,385 26,002
9/30/2017 30,399 26,162
10/31/2017 31,093 26,845
11/30/2017 31,472 27,353
12/31/2017 32,614 28,404
1/31/2018 33,994 29,645
2/28/2018 32,887 28,726
3/31/2018 32,425 27,888
4/30/2018 32,327 28,026
5/31/2018 32,880 28,160
6/30/2018 31,927 27,349
7/31/2018 32,025 27,407
8/31/2018 31,303 26,958
9/30/2018 31,303 26,922
10/31/2018 28,563 24,430
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- --------- -------- ---------
-8.14% 1.18% 11.07%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
298
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UNITED KINGDOM SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The United Kingdom MSCI United Kingdom
Small Company Series Small Cap Index (net dividends)
-------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,293 9,073
12/31/2008 9,087 8,842
1/31/2009 8,865 8,794
2/28/2009 8,501 8,502
3/31/2009 8,870 8,996
4/30/2009 10,729 11,062
5/31/2009 11,827 12,230
6/30/2009 11,885 12,317
7/31/2009 12,914 13,450
8/31/2009 13,923 14,747
9/30/2009 14,329 15,087
10/31/2009 14,351 15,109
11/30/2009 14,308 14,952
12/31/2009 14,609 15,321
1/31/2010 14,467 15,250
2/28/2010 13,970 14,567
3/31/2010 15,143 15,851
4/30/2010 15,702 16,483
5/31/2010 13,928 14,502
6/30/2010 14,192 14,565
7/31/2010 16,109 16,317
8/31/2010 15,517 15,873
9/30/2010 17,175 17,622
10/31/2010 18,073 18,374
11/30/2010 17,186 17,608
12/31/2010 18,944 19,451
1/31/2011 19,219 19,639
2/28/2011 19,799 20,157
3/31/2011 19,435 19,809
4/30/2011 21,156 21,625
5/31/2011 21,030 21,351
6/30/2011 20,359 20,632
7/31/2011 20,227 20,575
8/31/2011 18,210 18,476
9/30/2011 16,373 16,528
10/31/2011 18,110 18,334
11/30/2011 17,561 17,622
12/31/2011 17,017 17,034
1/31/2012 18,522 18,762
2/29/2012 20,032 20,505
3/31/2012 20,470 20,572
4/30/2012 20,824 20,922
5/31/2012 18,479 18,330
6/30/2012 19,388 19,203
7/31/2012 19,715 19,552
8/31/2012 20,797 20,587
9/30/2012 21,869 21,686
10/31/2012 22,350 22,135
11/30/2012 22,492 22,143
12/31/2012 23,733 23,161
1/31/2013 24,155 23,771
2/28/2013 24,377 23,905
3/31/2013 25,106 24,549
4/30/2013 25,744 25,162
5/31/2013 25,987 25,502
6/30/2013 25,417 24,583
7/31/2013 27,571 26,630
8/31/2013 27,772 26,995
9/30/2013 29,652 29,021
10/31/2013 30,713 30,042
11/30/2013 31,415 30,750
12/31/2013 33,152 32,235
1/31/2014 32,371 31,550
2/28/2014 35,280 34,610
3/31/2014 34,197 33,361
4/30/2014 33,638 32,563
5/31/2014 33,611 32,626
6/30/2014 33,585 32,549
7/31/2014 32,545 31,629
8/31/2014 33,041 31,962
9/30/2014 31,156 30,087
10/31/2014 31,088 29,895
11/30/2014 30,850 29,905
12/31/2014 31,352 30,396
1/31/2015 30,649 29,568
2/28/2015 33,532 32,489
3/31/2015 31,795 30,993
4/30/2015 33,801 32,981
5/31/2015 35,507 34,494
6/30/2015 35,417 34,537
7/31/2015 35,491 34,784
8/31/2015 34,002 33,415
9/30/2015 32,978 32,183
10/31/2015 34,182 33,609
11/30/2015 34,129 33,336
12/31/2015 33,770 32,980
1/31/2016 31,098 29,779
2/29/2016 30,544 29,467
3/31/2016 32,376 31,545
4/30/2016 32,545 31,968
5/31/2016 33,073 32,889
6/30/2016 28,907 28,214
7/31/2016 30,470 29,836
8/31/2016 31,125 30,336
9/30/2016 31,167 30,594
10/31/2016 28,775 28,268
11/30/2016 29,467 28,902
12/31/2016 30,037 29,533
1/31/2017 30,998 30,207
2/28/2017 31,473 30,914
3/31/2017 32,286 31,408
4/30/2017 34,736 33,927
5/31/2017 35,116 34,611
6/30/2017 34,424 33,831
7/31/2017 35,781 35,306
8/31/2017 35,137 34,912
9/30/2017 36,975 36,680
10/31/2017 37,371 37,350
11/30/2017 37,339 37,489
12/31/2017 38,749 39,116
1/31/2018 39,995 40,520
2/28/2018 37,260 38,102
3/31/2018 37,893 38,534
4/30/2018 39,118 39,909
5/31/2018 39,050 39,782
6/30/2018 38,712 39,465
7/31/2018 38,506 39,335
8/31/2018 37,920 38,751
9/30/2018 37,482 37,942
10/31/2018 34,044 34,418
AVERAGE ANNUAL
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- --------- ---------- ---------
-8.90% 2.08% 13.03%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The Continental Small MSCI Europe ex UK Small
Company Series Cap Index (net dividends)
--------------------- -------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,221 9,171
12/31/2008 10,183 10,018
1/31/2009 9,027 9,119
2/28/2009 8,248 8,316
3/31/2009 8,847 8,959
4/30/2009 10,296 10,824
5/31/2009 11,787 12,440
6/30/2009 11,643 12,280
7/31/2009 12,570 13,383
8/31/2009 13,624 14,756
9/30/2009 14,790 16,170
10/31/2009 14,378 15,729
11/30/2009 14,815 16,052
12/31/2009 14,769 16,125
1/31/2010 14,526 15,910
2/28/2010 14,219 15,457
3/31/2010 15,277 16,710
4/30/2010 15,132 16,605
5/31/2010 12,982 14,036
6/30/2010 12,901 13,826
7/31/2010 14,445 15,483
8/31/2010 13,786 14,747
9/30/2010 15,682 17,023
10/31/2010 16,588 18,115
11/30/2010 15,301 16,742
12/31/2010 17,286 19,086
1/31/2011 17,779 19,518
2/28/2011 18,086 19,849
3/31/2011 18,696 20,519
4/30/2011 19,961 21,952
5/31/2011 19,288 21,115
6/30/2011 18,668 20,433
7/31/2011 17,614 19,193
8/31/2011 15,805 17,188
9/30/2011 13,426 14,606
10/31/2011 14,804 16,206
11/30/2011 13,828 14,940
12/31/2011 13,285 14,432
1/31/2012 14,551 15,863
2/29/2012 15,485 17,081
3/31/2012 15,513 16,942
4/30/2012 15,153 16,660
5/31/2012 13,084 14,375
6/30/2012 13,659 15,084
7/31/2012 13,521 15,030
8/31/2012 14,138 15,685
9/30/2012 14,885 16,530
10/31/2012 15,143 16,814
11/30/2012 15,347 17,072
12/31/2012 16,274 17,993
1/31/2013 17,508 19,458
2/28/2013 17,335 19,398
3/31/2013 16,947 18,900
4/30/2013 17,645 19,634
5/31/2013 17,973 20,079
6/30/2013 17,381 19,186
7/31/2013 18,897 20,931
8/31/2013 18,921 20,892
9/30/2013 20,578 22,678
10/31/2013 21,755 24,043
11/30/2013 22,150 24,471
12/31/2013 22,774 25,106
1/31/2014 22,633 24,898
2/28/2014 24,625 27,074
3/31/2014 24,751 27,097
4/30/2014 24,995 27,211
5/31/2014 25,097 27,517
6/30/2014 24,878 27,248
7/31/2014 23,426 25,641
8/31/2014 23,148 25,435
9/30/2014 21,914 24,033
10/31/2014 21,265 23,248
11/30/2014 21,777 23,929
12/31/2014 21,086 23,358
1/31/2015 21,230 23,412
2/28/2015 22,697 25,139
3/31/2015 22,587 24,886
4/30/2015 23,796 26,217
5/31/2015 23,824 26,043
6/30/2015 23,327 25,427
7/31/2015 23,983 26,370
8/31/2015 23,088 25,351
9/30/2015 22,274 24,494
10/31/2015 23,352 25,894
11/30/2015 23,313 25,826
12/31/2015 23,609 26,209
1/31/2016 22,009 24,137
2/29/2016 21,974 24,221
3/31/2016 23,849 26,394
4/30/2016 24,343 26,723
5/31/2016 24,395 26,838
6/30/2016 23,060 25,094
7/31/2016 24,586 26,722
8/31/2016 24,907 26,950
9/30/2016 25,527 27,597
10/31/2016 24,776 26,571
11/30/2016 23,860 25,491
12/31/2016 25,097 26,839
1/31/2017 26,200 27,887
2/28/2017 26,479 28,205
3/31/2017 27,617 29,376
4/30/2017 29,330 31,183
5/31/2017 30,945 32,863
6/30/2017 30,959 32,701
7/31/2017 32,147 34,183
8/31/2017 32,228 34,476
9/30/2017 33,313 35,655
10/31/2017 33,268 35,666
11/30/2017 33,335 35,846
12/31/2017 34,054 36,763
1/31/2018 36,408 39,277
2/28/2018 34,868 37,545
3/31/2018 34,350 36,854
4/30/2018 34,434 37,476
5/31/2018 33,757 36,547
6/30/2018 33,081 36,094
7/31/2018 33,994 37,000
8/31/2018 33,585 36,667
9/30/2018 32,936 35,922
10/31/2018 29,683 32,281
AVERAGE ANNUAL
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- ---------- ---------- ---------
-10.78% 6.41% 11.49%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
299
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE CANADIAN SMALL COMPANY SERIES VS.
MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The MSCI Canada Small Cap
Canadian Small Company Series Index (net dividends)
------------------------------- -----------------------
10/31/2008 $10,000 $10,000
11/30/2008 8,708 9,098
12/31/2008 9,375 9,549
1/31/2009 9,438 9,645
2/28/2009 8,583 8,887
3/31/2009 9,125 9,395
4/30/2009 11,042 10,906
5/31/2009 13,208 13,213
6/30/2009 12,396 12,412
7/31/2009 13,958 13,959
8/31/2009 14,417 14,486
9/30/2009 16,479 16,276
10/31/2009 16,167 16,384
11/30/2009 17,542 17,758
12/31/2009 18,667 18,802
1/31/2010 17,792 18,021
2/28/2010 18,854 19,219
3/31/2010 20,354 20,859
4/30/2010 21,083 21,730
5/31/2010 19,062 19,813
6/30/2010 18,187 18,884
7/31/2010 19,667 20,421
8/31/2010 19,437 20,357
9/30/2010 21,729 22,586
10/31/2010 23,146 23,954
11/30/2010 24,271 24,961
12/31/2010 26,750 27,257
1/31/2011 26,625 26,938
2/28/2011 28,458 28,719
3/31/2011 28,500 28,726
4/30/2011 29,042 29,597
5/31/2011 27,833 28,406
6/30/2011 26,292 26,958
7/31/2011 26,688 27,671
8/31/2011 24,667 26,025
9/30/2011 20,000 21,261
10/31/2011 23,208 24,293
11/30/2011 22,396 23,659
12/31/2011 22,042 23,172
1/31/2012 23,938 25,071
2/29/2012 24,854 25,968
3/31/2012 23,750 24,596
4/30/2012 23,208 24,398
5/31/2012 20,500 21,553
6/30/2012 20,542 21,486
7/31/2012 21,104 22,229
8/31/2012 22,000 23,153
9/30/2012 22,938 24,322
10/31/2012 22,625 23,886
11/30/2012 22,250 23,352
12/31/2012 22,771 23,733
1/31/2013 23,438 24,219
2/28/2013 22,292 23,045
3/31/2013 22,938 23,590
4/30/2013 22,188 23,057
5/31/2013 21,833 22,491
6/30/2013 20,938 21,104
7/31/2013 22,479 22,726
8/31/2013 22,271 22,472
9/30/2013 23,271 23,338
10/31/2013 23,917 23,864
11/30/2013 23,604 23,282
12/31/2013 24,188 23,861
1/31/2014 23,438 23,057
2/28/2014 24,938 24,659
3/31/2014 25,292 24,879
4/30/2014 26,396 25,829
5/31/2014 26,438 25,852
6/30/2014 28,438 28,049
7/31/2014 27,104 26,824
8/31/2014 28,042 27,746
9/30/2014 24,833 24,810
10/31/2014 23,000 23,148
11/30/2014 22,354 22,501
12/31/2014 21,833 21,915
1/31/2015 19,625 19,835
2/28/2015 20,833 20,951
3/31/2015 19,896 20,050
4/30/2015 22,083 22,016
5/31/2015 21,313 21,277
6/30/2015 20,438 20,548
7/31/2015 17,938 18,532
8/31/2015 17,438 17,586
9/30/2015 16,188 16,534
10/31/2015 17,250 17,424
11/30/2015 16,604 16,927
12/31/2015 15,813 15,731
1/31/2016 15,083 15,029
2/29/2016 16,354 16,276
3/31/2016 18,104 18,165
4/30/2016 20,750 20,392
5/31/2016 19,958 19,651
6/30/2016 20,938 20,480
7/31/2016 21,583 21,342
8/31/2016 21,125 20,680
9/30/2016 21,563 20,941
10/31/2016 20,833 20,049
11/30/2016 21,354 20,207
12/31/2016 21,896 20,588
1/31/2017 22,875 21,456
2/28/2017 22,375 21,239
3/31/2017 22,771 21,472
4/30/2017 21,875 20,733
5/31/2017 21,583 20,566
6/30/2017 22,521 21,388
7/31/2017 23,188 21,911
8/31/2017 23,479 22,144
9/30/2017 23,896 22,497
10/31/2017 23,354 22,166
11/30/2017 23,250 22,073
12/31/2017 24,333 23,253
1/31/2018 24,375 23,262
2/28/2018 22,604 21,506
3/31/2018 22,438 21,355
4/30/2018 23,458 22,070
5/31/2018 23,833 22,506
6/30/2018 23,667 22,638
7/31/2018 23,708 22,574
8/31/2018 23,167 22,686
9/30/2018 23,000 22,509
10/31/2018 20,917 20,575
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---------- --------- --------
-10.44% -2.64% 7.66%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The MSCI Emerging Markets Index
Emerging Markets Series (net dividends)
----------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,096 9,247
12/31/2008 9,809 9,968
1/31/2009 9,057 9,325
2/28/2009 8,471 8,799
3/31/2009 9,694 10,063
4/30/2009 11,134 11,738
5/31/2009 13,032 13,743
6/30/2009 12,921 13,558
7/31/2009 14,403 15,083
8/31/2009 14,454 15,029
9/30/2009 15,732 16,393
10/31/2009 15,406 16,413
11/30/2009 16,327 17,118
12/31/2009 16,917 17,794
1/31/2010 15,996 16,802
2/28/2010 16,191 16,861
3/31/2010 17,550 18,222
4/30/2010 17,656 18,443
5/31/2010 16,017 16,821
6/30/2010 16,042 16,697
7/31/2010 17,456 18,088
8/31/2010 17,053 17,736
9/30/2010 18,994 19,707
10/31/2010 19,571 20,280
11/30/2010 19,134 19,744
12/31/2010 20,692 21,153
1/31/2011 20,157 20,579
2/28/2011 20,017 20,387
3/31/2011 21,134 21,586
4/30/2011 21,873 22,256
5/31/2011 21,270 21,672
6/30/2011 21,019 21,338
7/31/2011 20,858 21,244
8/31/2011 19,172 19,345
9/30/2011 16,272 16,525
10/31/2011 18,310 18,714
11/30/2011 17,677 17,466
12/31/2011 17,163 17,256
1/31/2012 19,002 19,213
2/29/2012 20,034 20,364
3/31/2012 19,516 19,684
4/30/2012 19,168 19,449
5/31/2012 17,104 17,268
6/30/2012 17,953 17,934
7/31/2012 18,098 18,284
8/31/2012 18,221 18,223
9/30/2012 19,240 19,323
10/31/2012 19,142 19,206
11/30/2012 19,393 19,450
12/31/2012 20,531 20,401
1/31/2013 20,637 20,682
2/28/2013 20,399 20,422
3/31/2013 20,110 20,070
4/30/2013 20,340 20,222
5/31/2013 19,682 19,703
6/30/2013 18,446 18,448
7/31/2013 18,718 18,641
8/31/2013 18,280 18,321
9/30/2013 19,584 19,512
10/31/2013 20,480 20,460
11/30/2013 20,174 20,161
12/31/2013 19,970 19,870
1/31/2014 18,586 18,580
2/28/2014 19,261 19,195
3/31/2014 19,941 19,784
4/30/2014 20,059 19,850
5/31/2014 20,743 20,543
6/30/2014 21,321 21,089
7/31/2014 21,575 21,497
8/31/2014 22,251 21,981
9/30/2014 20,616 20,352
10/31/2014 20,837 20,592
11/30/2014 20,637 20,374
12/31/2014 19,707 19,435
1/31/2015 19,839 19,552
2/28/2015 20,446 20,157
3/31/2015 20,021 19,870
4/30/2015 21,363 21,399
5/31/2015 20,505 20,542
6/30/2015 20,013 20,008
7/31/2015 18,730 18,621
8/31/2015 17,185 16,937
9/30/2015 16,726 16,428
10/31/2015 17,741 17,599
11/30/2015 17,125 16,913
12/31/2015 16,658 16,536
1/31/2016 15,962 15,463
2/29/2016 15,864 15,438
3/31/2016 17,966 17,481
4/30/2016 18,076 17,576
5/31/2016 17,376 16,920
6/30/2016 18,293 17,596
7/31/2016 19,236 18,482
8/31/2016 19,469 18,941
9/30/2016 19,728 19,185
10/31/2016 19,771 19,230
11/30/2016 18,747 18,345
12/31/2016 18,756 18,386
1/31/2017 19,877 19,392
2/28/2017 20,548 19,985
3/31/2017 21,210 20,490
4/30/2017 21,626 20,939
5/31/2017 22,276 21,558
6/30/2017 22,488 21,775
7/31/2017 23,677 23,073
8/31/2017 24,178 23,587
9/30/2017 23,949 23,493
10/31/2017 24,764 24,317
11/30/2017 24,845 24,366
12/31/2017 25,694 25,240
1/31/2018 27,639 27,344
2/28/2018 26,314 26,083
3/31/2018 26,191 25,598
4/30/2018 25,860 25,485
5/31/2018 24,849 24,582
6/30/2018 23,792 23,560
7/31/2018 24,658 24,078
8/31/2018 24,098 23,427
9/30/2018 23,813 23,303
10/31/2018 21,834 21,273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---------- -------- --------
-11.83% 1.29% 8.12%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
300
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The Emerging Markets MSCI Emerging Markets
Small Cap Series Index (net dividends)
-------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,393 9,247
12/31/2008 10,727 9,968
1/31/2009 9,910 9,325
2/28/2009 9,303 8,799
3/31/2009 10,586 10,063
4/30/2009 12,732 11,738
5/31/2009 15,624 13,743
6/30/2009 15,549 13,558
7/31/2009 17,539 15,083
8/31/2009 17,749 15,029
9/30/2009 19,233 16,393
10/31/2009 19,218 16,413
11/30/2009 20,361 17,118
12/31/2009 21,484 17,794
1/31/2010 20,541 16,802
2/28/2010 20,897 16,861
3/31/2010 22,687 18,222
4/30/2010 23,063 18,443
5/31/2010 20,752 16,821
6/30/2010 21,308 16,697
7/31/2010 23,273 18,088
8/31/2010 23,388 17,736
9/30/2010 26,236 19,707
10/31/2010 27,283 20,280
11/30/2010 26,556 19,744
12/31/2010 28,085 21,153
1/31/2011 26,907 20,579
2/28/2011 26,125 20,387
3/31/2011 27,584 21,586
4/30/2011 29,043 22,256
5/31/2011 28,396 21,672
6/30/2011 28,391 21,338
7/31/2011 28,717 21,244
8/31/2011 26,000 19,345
9/30/2011 21,383 16,525
10/31/2011 23,754 18,714
11/30/2011 22,607 17,466
12/31/2011 22,005 17,256
1/31/2012 24,496 19,213
2/29/2012 26,506 20,364
3/31/2012 25,835 19,684
4/30/2012 25,218 19,449
5/31/2012 22,922 17,268
6/30/2012 23,799 17,934
7/31/2012 23,519 18,284
8/31/2012 24,135 18,223
9/30/2012 25,549 19,323
10/31/2012 25,464 19,206
11/30/2012 25,915 19,450
12/31/2012 27,519 20,401
1/31/2013 28,035 20,682
2/28/2013 28,331 20,422
3/31/2013 28,211 20,070
4/30/2013 28,787 20,222
5/31/2013 28,391 19,703
6/30/2013 25,935 18,448
7/31/2013 26,065 18,641
8/31/2013 24,987 18,321
9/30/2013 26,822 19,512
10/31/2013 27,860 20,460
11/30/2013 27,474 20,161
12/31/2013 27,258 19,870
1/31/2014 26,100 18,580
2/28/2014 27,273 19,195
3/31/2014 28,216 19,784
4/30/2014 28,451 19,850
5/31/2014 29,429 20,543
6/30/2014 30,201 21,089
7/31/2014 30,276 21,497
8/31/2014 31,218 21,981
9/30/2014 29,679 20,352
10/31/2014 29,419 20,592
11/30/2014 29,098 20,374
12/31/2014 28,211 19,435
1/31/2015 28,672 19,552
2/28/2015 29,414 20,157
3/31/2015 29,198 19,870
4/30/2015 31,283 21,399
5/31/2015 30,862 20,542
6/30/2015 29,815 20,008
7/31/2015 27,995 18,621
8/31/2015 25,263 16,937
9/30/2015 25,228 16,428
10/31/2015 26,647 17,599
11/30/2015 26,105 16,913
12/31/2015 25,870 16,536
1/31/2016 24,341 15,463
2/29/2016 24,241 15,438
3/31/2016 27,228 17,481
4/30/2016 27,930 17,576
5/31/2016 26,772 16,920
6/30/2016 28,256 17,596
7/31/2016 29,905 18,482
8/31/2016 30,100 18,941
9/30/2016 30,607 19,185
10/31/2016 30,496 19,230
11/30/2016 28,652 18,345
12/31/2016 28,832 18,386
1/31/2017 30,516 19,392
2/28/2017 32,125 19,985
3/31/2017 33,133 20,490
4/30/2017 33,564 20,939
5/31/2017 33,709 21,558
6/30/2017 33,930 21,775
7/31/2017 35,368 23,073
8/31/2017 36,185 23,587
9/30/2017 36,025 23,493
10/31/2017 37,068 24,317
11/30/2017 37,644 24,366
12/31/2017 39,168 25,240
1/31/2018 41,734 27,344
2/28/2018 39,980 26,083
3/31/2018 39,769 25,598
4/30/2018 39,393 25,485
5/31/2018 38,526 24,582
6/30/2018 35,955 23,560
7/31/2018 36,546 24,078
8/31/2018 35,489 23,427
9/30/2018 34,361 23,303
10/31/2018 31,113 21,273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ---------- -------- ---------
-16.06% 2.23% 12.02%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
301
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
6.6%. Small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a
subset of the large-cap universe, underperformed large-cap stocks but
outperformed small-cap stocks as measured by Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-----------------------------------------------------------
Russell 3000(R) Index....................................... 6.60%
Russell Microcap(R) Index (micro-cap stocks)................ 1.42%
Russell 2000(R) Index (small-cap stocks).................... 1.85%
Russell Midcap(R) Index (mid-cap stocks).................... 2.79%
Russell 1000(R) Index (large-cap stocks).................... 6.98%
Dow Jones U.S. Select REIT Index /SM /...................... 3.04%
Value stocks underperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-----------------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)........ -0.59%
Russell 2000(R) Growth Index (small-cap growth stocks)...... 4.13%
Russell 1000(R) Value Index (large-cap value stocks)........ 3.03%
Russell 1000(R) Growth Index (large-cap growth stocks)...... 10.71%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large company low relative price (value) stocks. Value is measured primarily by
book-to-market ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification, and weights stocks in proportion to their market
capitalization. The strategy overweights certain stocks, including smaller
companies, lower relative price (value) stocks, and higher-profitability stocks
within the large-cap value segment of the U.S. market. As of October 31, 2018,
the Series held approximately 320 securities. In general, average cash exposure
throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were 2.95% for the
Series and 3.03% for the Russell 1000(R) Value Index, the Series' benchmark. As
a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Series' greater exposure to
smaller large-cap stocks detracted from performance relative to the benchmark,
as these stocks underperformed their larger counterparts for the period. With
low relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Series' greater emphasis on value stocks also detracted
from relative performance. Conversely, the Series' emphasis on stocks with
higher profitability had a positive impact on relative performance, as
higher-profitability stocks generally outperformed lower-profitability stocks.
At the sector level, the Series' general exclusions of real estate investment
trusts (REITs) and certain utilities also benefited relative performance, as
REITs and utilities generally underperformed in the U.S.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Performance of non-U.S. developed markets was negative for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed both large-cap and small-cap stocks. Value stocks underperformed
growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index..................................... -6.76%
302
MSCI World ex USA Mid Cap Index............................. -8.02%
MSCI World ex USA Small Cap Index........................... -7.75%
MSCI World ex USA Value Index............................... -7.54%
MSCI World ex USA Growth Index.............................. -6.01%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against currencies of most other developed markets. Overall, currency movements
had a negative impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP ------------ ----------------------
Japan....................................................... -4.22% -3.56%
United Kingdom.............................................. -0.91% -4.65%
France...................................................... -4.30% -6.92%
Canada...................................................... -4.08% -5.84%
Germany..................................................... -12.26% -14.66%
Switzerland................................................. 0.19% -0.72%
Australia................................................... 2.96% -4.83%
Hong Kong................................................... -8.47% -8.88%
Netherlands................................................. -7.68% -9.99%
Spain....................................................... -13.55% -15.92%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
Emerging markets had negative performance for the period, underperforming
both the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap
stocks, a subset of the large-cap universe, outperformed both large-cap and
small-cap stocks. Value stocks outperformed growth stocks as measured by the
MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index................................. -12.52%
MSCI Emerging Markets Mid Cap Index......................... -11.85%
MSCI Emerging Markets Small Cap Index....................... -17.21%
MSCI Emerging Markets Value Index........................... -8.27%
MSCI Emerging Markets Growth Index.......................... -16.70%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against most emerging markets currencies. Overall, currency movements had a
negative impact on the U.S. dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S.
LOCAL RETURN DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ --------------
China....................................................... -16.33% -16.73%
Korea....................................................... -18.52% -19.90%
Taiwan...................................................... -6.62% -8.98%
India....................................................... -0.01% -12.42%
Brazil...................................................... 18.95% 4.76%
South Africa................................................ -13.80% -17.45%
Russia...................................................... 22.79% 10.69%
Mexico...................................................... -9.54% -14.55%
Thailand.................................................... 4.01% 4.23%
Malaysia.................................................... -0.18% 0.99%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
303
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2018,
these differences generally detracted from the Portfolios' relative performance.
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series is designed to capture the returns of
developed ex U.S. large company value stocks. Value is measured primarily by
price-to-book ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification, and weights stocks in proportion to their market
capitalization. The strategy overweights certain stocks, including smaller
companies, lower relative price (value) stocks, and higher-profitability stocks
within the large-cap value segment of developed ex U.S. markets. As of
October 31, 2018, the Series held approximately 530 securities in 22 eligible
developed markets. In general, average cash exposure throughout the year was
less than 1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were -8.10% for the
Series and -6.76% for the MSCI World ex USA Index (net dividends), the Series'
benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in developed ex U.S.
equity markets rather than by the behavior of a limited number of stocks. With
low relative price (value) stocks underperforming high relative price (growth)
stocks, the Series' focus on value stocks detracted from performance relative
to the benchmark. Conversely, the Series' emphasis on higher-profitability
stocks within the value segment of the market had a positive impact on relative
performance, as these stocks generally outperformed.
THE JAPANESE SMALL COMPANY SERIES
The Japanese Small Company Series is designed to capture the returns of
Japanese small company stocks. The Series generally excluded stocks with the
lowest profitability and highest relative price. Relative price is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Series held over 1,800 securities.
In general, cash exposure was low throughout the year with an average cash
balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were -7.46% for the
Series and -6.01% for the MSCI Japan Small Cap Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in the Japanese equity
market rather than by the behavior of a limited number of stocks. The Series'
general exclusion of real estate investment trusts (REITs) detracted from
performance relative to the benchmark, as REITs generally outperformed in Japan.
THE ASIA PACIFIC SMALL COMPANY SERIES
The Asia Pacific Small Company Series is designed to capture the returns of
small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The
Series generally excluded stocks with the lowest profitability and highest
relative price. Relative price is measured primarily by book-to-market ratio.
In assessing profitability, Dimensional may consider such factors as earnings
or profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2018, the Series held approximately 900 securities across the
eligible countries. In general, average cash exposure throughout the year was
less than 1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were -8.14% for the
Series and -9.00% for the MSCI Pacific ex Japan Small Cap Index (net
dividends), the Series' benchmark. As a result of the Series' diversified
investment approach, performance was determined principally by broad trends in
Asia Pacific equity markets rather than by the behavior of a limited number of
stocks. The Series and its benchmark use different methodologies to determine
which small-cap stocks are eligible for purchase or to hold. This methodology
variance led to country-by-country differences between the maximum market
capitalization of small-cap stocks bought and held by the Series relative to
the benchmark, which in turn led to differences in holdings between the Series
and the benchmark. These holdings differences contributed positively to the
Series' performance relative to the benchmark. At the sector level, the Series'
general exclusion of real estate investment trusts (REITs) detracted from
relative performance, as REITs generally outperformed in Asia Pacific (ex
Japan) markets.
304
THE UNITED KINGDOM SMALL COMPANY SERIES
The United Kingdom Small Company Series is designed to capture the returns
of small company stocks in the U.K. The Series generally excluded stocks with
the lowest profitability and highest relative price. Relative price is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Series held approximately 350
securities. In general, average cash exposure throughout the year was less than
1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were -8.90% for the
Series and -7.85% for the MSCI United Kingdom Small Cap Index (net dividends),
the Series' benchmark. As a result of the Series' diversified investment
approach, performance was determined principally by broad trends in the U.K.
equity market rather than by the behavior of a limited number of stocks. The
Series' general exclusion of real estate investment trusts (REITs) detracted
from performance relative to the benchmark, as REITs generally outperformed in
the U.K.
THE CONTINENTAL SMALL COMPANY SERIES
The Continental Small Company Series is designed to capture the returns of
small company stocks in the developed markets of Europe (excluding the U.K.)
and Israel. The Series generally excluded stocks with the lowest profitability
and highest relative price. Relative price is measured primarily by
book-to-market ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Series held approximately 1,200
securities in 15 eligible countries. In general, average cash exposure
throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were -10.78% for the
Series and -9.49% for the MSCI Europe ex U.K. Small Cap Index (net dividends),
the Series' benchmark. As a result of the Series' diversified investment
approach, performance was determined principally by broad trends in European ex
U.K. equity markets rather than by the behavior of a limited number of stocks.
The Series and its benchmark use different methodologies to determine which
small-cap stocks are eligible for purchase or to hold. This methodology
variance led to country-by-country differences between the maximum market
capitalization of small-cap stocks bought and held by the Series relative to
the benchmark, which in turn led to differences in holdings between the Series
and the benchmark. These holdings differences detracted from the Series'
performance relative to the benchmark. At the sector level, the Series' general
exclusion of real estate investment trusts (REITs) also detracted from relative
performance, as REITs generally outperformed in continental Europe (ex U.K.)
markets.
THE CANADIAN SMALL COMPANY SERIES
The Canadian Small Company Series is designed to capture the returns of
small company stocks in Canada. The Series generally excluded stocks with the
lowest profitability and highest relative price. Relative price is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process-driven, emphasizing broad
diversification. As of October 31, 2018, the Series held approximately 300
securities. In general, average cash exposure throughout the year was less than
1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were -10.44% for the
Series and -7.18% for the MSCI Canada Small Cap Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in the Canadian equity
market rather than by the behavior of a limited number of stocks. The Series'
greater exposure to the smallest stocks and consequent lesser allocation to
other small-cap stocks detracted from performance relative to the benchmark, as
the smallest stocks generally underperformed in Canada. At the sector level,
the Series' general exclusion of real estate investment trusts (REITs) also
detracted from relative performance, as REITs generally outperformed in Canada.
THE EMERGING MARKETS SERIES
The Emerging Markets Series is designed to capture the returns of large-cap
stocks in selected emerging markets countries. Value is measured primarily by
book-to-market ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification with increased exposure to smaller total market
capitalizations, lower relative price (value) stocks, and higher-profitability
stocks within the large-cap segment of emerging markets. As of October 31,
2018, the Series held approximately 1,200 securities across 21 eligible
emerging markets. In general, average cash exposure throughout the year was
less than 1% of the Series' assets.
305
For the 12 months ended October 31, 2018, total returns were -11.83% for the
Series and -12.52% for the MSCI Emerging Markets Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Series' greater
emphasis on low relative price (value) stocks had a positive impact on
performance relative to the benchmark, as value stocks outperformed high
relative price (growth) stocks in emerging markets for the period.
Additionally, the Series' greater emphasis on stocks with higher profitability
benefited relative performance, as higher-profitability stocks outperformed
lower-profitability stocks in emerging markets.
THE EMERGING MARKETS SMALL CAP SERIES
The Emerging Markets Small Cap Series is designed to capture the returns of
small company stocks in selected emerging markets. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2018, the
Series held approximately 4,300 securities across 18 eligible emerging markets.
In general, average cash exposure throughout the year was less than 1% of the
Series' assets.
For the 12 months ended October 31, 2018, total returns were -16.06% for the
Series and -12.52% for the MSCI Emerging Markets Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was principally determined by broad trends in emerging markets
rather than by the behavior of a limited number of stocks. With small-cap
stocks underperforming large-cap stocks, the Series' focus on small-caps
detracted from performance relative to the benchmark (which is composed
primarily of large- and mid-cap stocks).
306
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 and 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 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"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
- --------- --------- ---------- ---------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return.......................................... $1,000.00 $ 993.00 0.11% $0.55
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.65 0.11% $0.56
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return.......................................... $1,000.00 $ 874.50 0.20% $0.94
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.20 0.20% $1.02
307
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
- --------- --------- ---------- ---------
THE JAPANESE SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $ 871.00 0.12% $0.57
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $ 883.60 0.12% $0.57
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------
Actual Fund Return...................... $1,000.00 $ 870.30 0.11% $0.52
Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------
Actual Fund Return...................... $1,000.00 $ 862.00 0.11% $0.52
Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56
THE CANADIAN SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $ 891.70 0.11% $0.52
Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return...................... $1,000.00 $ 844.30 0.12% $0.56
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
THE EMERGING MARKETS SMALL CAP SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $ 789.80 0.22% $0.99
Hypothetical 5% Annual Return........... $1,000.00 $1,024.10 0.22% $1.12
--------
(1) Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
308
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 28, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400; by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX
78746; or by visiting the SEC's website at http://www.sec.gov.
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; by mailing a request to Dimensional Fund Advisors LP,
6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC's
website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this 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
Communication Services. 8.9%
Consumer Discretionary. 6.8%
Consumer Staples....... 5.2%
Energy................. 14.6%
Financials............. 22.6%
Health Care............ 17.0%
Industrials............ 8.9%
Information Technology. 11.3%
Materials.............. 4.2%
Real Estate............ 0.2%
Utilities.............. 0.3%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Communication Services. 4.0%
Consumer Discretionary. 14.6%
Consumer Staples....... 3.5%
Energy................. 15.3%
Financials............. 29.4%
Health Care............ 4.1%
Industrials............ 8.8%
Information Technology. 2.5%
Materials.............. 13.4%
Real Estate............ 2.7%
Utilities.............. 1.7%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Communication Services. 3.1%
Consumer Discretionary. 18.7%
Consumer Staples....... 8.0%
Energy................. 0.8%
Financials............. 8.7%
Health Care............ 5.4%
Industrials............ 28.8%
Information Technology. 13.1%
Materials.............. 10.5%
Real Estate............ 1.8%
Utilities.............. 1.1%
-----
100.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
Communication Services. 8.7%
Consumer Discretionary. 18.5%
Consumer Staples....... 7.2%
Energy................. 3.6%
Financials............. 11.1%
Health Care............ 5.5%
Industrials............ 15.2%
Information Technology. 6.9%
Materials.............. 13.9%
Real Estate............ 6.9%
Utilities.............. 2.5%
-----
100.0%
309
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
THE UNITED KINGDOM SMALL COMPANY SERIES
Communication Services. 6.6%
Consumer Discretionary. 20.8%
Consumer Staples....... 4.8%
Energy................. 5.0%
Financials............. 16.4%
Health Care............ 3.2%
Industrials............ 26.4%
Information Technology. 5.7%
Materials.............. 6.2%
Real Estate............ 2.7%
Utilities.............. 2.2%
-----
100.0%
THE CONTINENTAL SMALL COMPANY SERIES
Communication Services. 6.5%
Consumer Discretionary. 9.8%
Consumer Staples....... 5.5%
Energy................. 4.5%
Financials............. 11.9%
Health Care............ 7.6%
Industrials............ 26.4%
Information Technology. 9.6%
Materials.............. 8.2%
Real Estate............ 6.6%
Utilities.............. 3.4%
-----
100.0%
THE CANADIAN SMALL COMPANY SERIES
Communication Services. 2.4%
Consumer Discretionary. 5.9%
Consumer Staples....... 5.4%
Energy................. 22.0%
Financials............. 9.4%
Health Care............ 1.4%
Industrials............ 12.3%
Information Technology. 4.8%
Materials.............. 25.7%
Real Estate............ 4.4%
Utilities.............. 6.3%
-----
100.0%
THE EMERGING MARKETS SERIES
Communication Services. 9.9%
Consumer Discretionary. 8.5%
Consumer Staples....... 8.0%
Energy................. 8.2%
Financials............. 22.1%
Health Care............ 2.5%
Industrials............ 7.1%
Information Technology. 17.9%
Materials.............. 10.7%
Real Estate............ 2.2%
Utilities.............. 2.9%
-----
100.0%
THE EMERGING MARKETS SMALL CAP SERIES
Communication Services. 3.7%
Consumer Discretionary. 15.7%
Consumer Staples....... 8.2%
Energy................. 1.5%
Financials............. 8.4%
Health Care............ 7.0%
Industrials............ 14.6%
Information Technology. 14.7%
Materials.............. 12.9%
Real Estate............ 7.5%
Utilities.............. 5.8%
-----
100.0%
310
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (97.4%)
COMMUNICATION SERVICES -- (8.7%)
AT&T, Inc........................................................ 34,933,504 $1,071,759,903 3.7%
* Charter Communications, Inc., Class A............................ 962,932 308,494,525 1.1%
Comcast Corp., Class A........................................... 21,585,011 823,252,320 2.8%
Other Securities................................................. 386,914,006 1.2%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 2,590,420,754 8.8%
-------------- ----
CONSUMER DISCRETIONARY -- (6.6%)
Ford Motor Co.................................................... 16,051,999 153,296,590 0.5%
General Motors Co................................................ 6,055,833 221,582,929 0.8%
Other Securities................................................. 1,604,291,957 5.5%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 1,979,171,476 6.8%
-------------- ----
CONSUMER STAPLES -- (5.1%)
Mondelez International, Inc., Class A............................ 3,672,444 154,169,199 0.5%
Walgreens Boots Alliance, Inc.................................... 3,095,947 246,963,692 0.9%
Walmart, Inc..................................................... 5,346,820 536,179,110 1.8%
Other Securities................................................. 573,560,285 2.0%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 1,510,872,286 5.2%
-------------- ----
ENERGY -- (14.2%)
Chevron Corp..................................................... 5,892,482 657,895,615 2.2%
ConocoPhillips................................................... 4,754,869 332,365,343 1.1%
Exxon Mobil Corp................................................. 14,096,229 1,123,187,527 3.8%
Marathon Petroleum Corp.......................................... 4,431,554 312,202,979 1.1%
Occidental Petroleum Corp........................................ 3,043,574 204,132,508 0.7%
Valero Energy Corp............................................... 2,730,237 248,697,288 0.8%
Other Securities................................................. 1,345,876,714 4.7%
-------------- ----
TOTAL ENERGY......................................................... 4,224,357,974 14.4%
-------------- ----
FINANCIALS -- (22.0%)
Bank of America Corp............................................. 22,911,090 630,054,975 2.2%
Bank of New York Mellon Corp. (The).............................. 4,090,441 193,600,573 0.7%
* Berkshire Hathaway, Inc., Class B................................ 2,931,466 601,771,341 2.1%
Capital One Financial Corp....................................... 2,121,634 189,461,916 0.6%
Citigroup, Inc................................................... 7,448,262 487,563,231 1.7%
Goldman Sachs Group, Inc. (The).................................. 1,502,760 338,677,021 1.2%
JPMorgan Chase & Co.............................................. 5,691,942 620,535,517 2.1%
Morgan Stanley................................................... 5,437,628 248,282,094 0.8%
PNC Financial Services Group, Inc. (The)......................... 1,313,525 168,774,827 0.6%
Travelers Cos., Inc. (The)....................................... 1,165,331 145,817,868 0.5%
Wells Fargo & Co................................................. 17,488,141 930,893,745 3.2%
Other Securities................................................. 1,985,908,260 6.7%
-------------- ----
TOTAL FINANCIALS 6,541,341,368 22.4%
-------------- ----
HEALTH CARE -- (16.5%)
Abbott Laboratories.............................................. 4,212,247 290,392,308 1.0%
Aetna, Inc....................................................... 1,816,031 360,300,550 1.2%
Anthem, Inc...................................................... 1,376,563 379,339,466 1.3%
* Centene Corp..................................................... 1,211,523 157,885,677 0.5%
Cigna Corp....................................................... 814,507 174,149,742 0.6%
311
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
HEALTH CARE -- (Continued)
CVS Health Corp.................................................. 4,705,478 $ 340,629,552 1.2%
Danaher Corp..................................................... 1,886,239 187,492,157 0.6%
* Express Scripts Holding Co....................................... 2,740,464 265,742,794 0.9%
Humana, Inc...................................................... 545,028 174,632,422 0.6%
Medtronic P.L.C.................................................. 4,359,974 391,612,865 1.3%
Pfizer, Inc...................................................... 25,544,930 1,099,964,686 3.8%
Thermo Fisher Scientific, Inc.................................... 1,073,774 250,887,295 0.9%
Other Securities................................................. 844,289,133 2.9%
--------------- -----
TOTAL HEALTH CARE. 4,917,318,647 16.8%
--------------- -----
INDUSTRIALS -- (8.7%)
Delta Air Lines, Inc............................................. 2,950,569 161,484,641 0.6%
FedEx Corp....................................................... 947,923 208,865,354 0.7%
Norfolk Southern Corp............................................ 1,385,379 232,508,158 0.8%
Republic Services, Inc........................................... 1,929,874 140,263,242 0.5%
* United Continental Holdings, Inc................................. 1,696,416 145,060,532 0.5%
Other Securities................................................. 1,703,425,795 5.7%
--------------- -----
TOTAL INDUSTRIALS...................................................... 2,591,607,722 8.8%
--------------- -----
INFORMATION TECHNOLOGY -- (11.0%)
CA, Inc.......................................................... 3,016,908 133,830,039 0.5%
Cisco Systems, Inc............................................... 5,345,814 244,570,990 0.8%
Fidelity National Information Services, Inc...................... 1,297,798 135,100,772 0.5%
HP, Inc.......................................................... 9,619,949 232,225,569 0.8%
Intel Corp....................................................... 22,880,867 1,072,655,045 3.7%
* Micron Technology, Inc........................................... 5,266,057 198,635,670 0.7%
Other Securities................................................. 1,247,474,861 4.2%
--------------- -----
TOTAL INFORMATION TECHNOLOGY........................................... 3,264,492,946 11.2%
--------------- -----
MATERIALS -- (4.1%)
DowDuPont, Inc................................................... 3,009,073 162,249,216 0.6%
Nucor Corp....................................................... 2,499,919 147,795,211 0.5%
Other Securities................................................. 909,072,691 3.1%
--------------- -----
TOTAL MATERIALS........................................................ 1,219,117,118 4.2%
--------------- -----
REAL ESTATE -- (0.2%)
Other Securities................................................. 51,111,313 0.2%
--------------- -----
UTILITIES -- (0.3%)
Other Securities................................................. 80,311,092 0.3%
--------------- -----
TOTAL COMMON STOCKS.................................................... 28,970,122,696 99.1%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
2.090% 254,325,822 254,325,822 0.9%
--------------- -----
SECURITIES LENDING COLLATERAL -- (1.7%)
@(S) DFA Short Term Investment Fund................................... 44,660,829 516,725,797 1.7%
--------------- -----
TOTAL INVESTMENTS--(100.0%) (Cost $22,308,146,322)............... $29,741,174,315 101.7%
=============== =====
312
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
As of October 31, 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 12/21/18 $217,728,490 $204,010,275 $(13,718,215)
------------ ------------ ------------
TOTAL FUTURES CONTRACTS........................... $217,728,490 $204,010,275 $(13,718,215)
============ ============ ============
Summary of the Series' investments as of October 31, 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
Communication Services................................... $ 2,590,420,754 -- -- $ 2,590,420,754
Consumer Discretionary................................... 1,979,171,476 -- -- 1,979,171,476
Consumer Staples......................................... 1,510,872,286 -- -- 1,510,872,286
Energy................................................... 4,224,357,974 -- -- 4,224,357,974
Financials............................................... 6,541,341,368 -- -- 6,541,341,368
Health Care.............................................. 4,917,318,647 -- -- 4,917,318,647
Industrials.............................................. 2,591,607,722 -- -- 2,591,607,722
Information Technology................................... 3,264,492,946 -- -- 3,264,492,946
Materials................................................ 1,219,117,118 -- -- 1,219,117,118
Real Estate.............................................. 51,111,313 -- -- 51,111,313
Utilities................................................ 80,311,092 -- -- 80,311,092
Temporary Cash Investments.................................. 254,325,822 -- -- 254,325,822
Securities Lending Collateral............................... -- $516,725,797 -- 516,725,797
Futures Contracts**......................................... (13,718,215) -- -- (13,718,215)
--------------- ------------ -- ---------------
TOTAL....................................................... $29,210,730,303 $516,725,797 -- $29,727,456,100
=============== ============ == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
313
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (94.9%)
AUSTRALIA -- (5.5%)
# Australia & New Zealand Banking Group, Ltd....................... 10,195,581 $ 187,666,580 1.5%
Woodside Petroleum, Ltd.......................................... 2,587,772 63,711,646 0.5%
Other Securities................................................. 430,286,109 3.6%
-------------- ----
TOTAL AUSTRALIA...................................................... 681,664,335 5.6%
-------------- ----
AUSTRIA -- (0.0%)
Other Securities................................................. 6,092,849 0.1%
-------------- ----
BELGIUM -- (1.0%)
Other Securities................................................. 131,301,630 1.1%
-------------- ----
CANADA -- (7.9%)
# Bank of Montreal................................................. 1,488,882 111,279,041 0.9%
Suncor Energy, Inc............................................... 3,317,433 111,282,512 0.9%
Other Securities................................................. 766,839,355 6.3%
-------------- ----
TOTAL CANADA......................................................... 989,400,908 8.1%
-------------- ----
DENMARK -- (1.5%)
Other Securities................................................. 186,467,098 1.5%
-------------- ----
FINLAND -- (1.0%)
Other Securities................................................. 124,986,171 1.0%
-------------- ----
FRANCE -- (9.9%)
AXA SA........................................................... 2,859,375 71,560,646 0.6%
BNP Paribas SA................................................... 2,405,711 125,371,327 1.0%
Cie de Saint-Gobain.............................................. 1,493,206 56,251,213 0.5%
Orange SA........................................................ 5,978,647 93,316,814 0.8%
Peugeot SA....................................................... 3,133,702 74,490,548 0.6%
Renault SA....................................................... 1,007,824 75,258,162 0.6%
# Total SA......................................................... 6,786,891 398,223,709 3.3%
Other Securities................................................. 335,898,281 2.7%
-------------- ----
TOTAL FRANCE......................................................... 1,230,370,700 10.1%
-------------- ----
GERMANY -- (6.7%)
Bayerische Motoren Werke AG...................................... 1,225,665 105,542,991 0.9%
Daimler AG....................................................... 3,530,733 209,148,616 1.7%
RWE AG........................................................... 3,190,800 62,074,493 0.5%
Other Securities................................................. 454,186,408 3.7%
-------------- ----
TOTAL GERMANY........................................................ 830,952,508 6.8%
-------------- ----
HONG KONG -- (2.8%)
CK Hutchison Holdings, Ltd....................................... 7,657,984 77,132,126 0.6%
Sun Hung Kai Properties, Ltd..................................... 4,291,920 55,778,561 0.5%
Other Securities................................................. 211,095,023 1.7%
-------------- ----
TOTAL HONG KONG...................................................... 344,005,710 2.8%
-------------- ----
IRELAND -- (0.3%)
Other Securities................................................. 35,713,059 0.3%
-------------- ----
314
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
ISRAEL -- (0.4%)
Other Securities................................................. $ 51,577,567 0.4%
-------------- ----
ITALY -- (1.6%)
Other Securities................................................. 204,538,462 1.7%
-------------- ----
JAPAN -- (22.5%)
Hitachi, Ltd..................................................... 2,689,700 82,224,653 0.7%
Honda Motor Co., Ltd............................................. 4,590,300 131,032,550 1.1%
JXTG Holdings, Inc............................................... 9,040,403 61,085,845 0.5%
Mitsubishi Corp.................................................. 2,342,100 65,919,083 0.5%
Mitsubishi UFJ Financial Group, Inc.............................. 12,360,306 74,810,611 0.6%
Mizuho Financial Group, Inc...................................... 32,297,600 55,466,701 0.5%
Nissan Motor Co., Ltd............................................ 6,443,700 58,623,219 0.5%
ORIX Corp........................................................ 3,324,900 54,165,926 0.5%
Sumitomo Mitsui Financial Group, Inc............................. 2,857,600 111,260,915 0.9%
Toyota Motor Corp................................................ 4,650,190 272,412,454 2.2%
Other Securities................................................. 1,834,373,717 15.1%
-------------- ----
TOTAL JAPAN.......................................................... 2,801,375,674 23.1%
-------------- ----
NETHERLANDS -- (3.5%)
ING Groep NV..................................................... 5,655,087 66,905,287 0.6%
Koninklijke Ahold Delhaize NV.................................... 5,195,538 118,928,527 1.0%
# Koninklijke DSM NV............................................... 679,114 59,292,631 0.5%
Other Securities................................................. 194,237,887 1.5%
-------------- ----
TOTAL NETHERLANDS.................................................... 439,364,332 3.6%
-------------- ----
NEW ZEALAND -- (0.2%)
Other Securities................................................. 20,194,780 0.2%
-------------- ----
NORWAY -- (0.9%)
Other Securities................................................. 109,636,229 0.9%
-------------- ----
PORTUGAL -- (0.0%)
Other Security................................................... 4,861,587 0.0%
-------------- ----
SINGAPORE -- (0.9%)
Other Securities................................................. 118,142,676 1.0%
-------------- ----
SOUTH AFRICA -- (0.0%)
Other Securities................................................. 5,340,658 0.0%
-------------- ----
SPAIN -- (2.3%)
Banco Santander SA............................................... 37,339,499 177,659,607 1.5%
Repsol SA........................................................ 4,613,186 82,432,298 0.7%
Other Securities................................................. 27,627,886 0.2%
-------------- ----
TOTAL SPAIN.......................................................... 287,719,791 2.4%
-------------- ----
SWEDEN -- (2.5%)
Nordea Bank Abp.................................................. 6,227,863 54,125,579 0.5%
Other Securities................................................. 255,057,062 2.1%
-------------- ----
TOTAL SWEDEN......................................................... 309,182,641 2.6%
-------------- ----
315
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
SWITZERLAND -- (7.7%)
Novartis AG....................................... 2,725,487 $ 238,677,155 2.0%
UBS Group AG...................................... 6,119,363 85,531,038 0.7%
Zurich Insurance Group AG......................... 441,250 136,999,799 1.1%
Other Securities.................................. 496,279,693 4.1%
--------------- -----
TOTAL SWITZERLAND....................................... 957,487,685 7.9%
--------------- -----
UNITED KINGDOM -- (15.5%)
# Anglo American P.L.C.............................. 5,896,146 125,843,667 1.0%
Aviva P.L.C....................................... 11,905,803 65,063,848 0.5%
BP P.L.C., Sponsored ADR.......................... 7,847,784 340,358,392 2.8%
Glencore P.L.C.................................... 21,880,787 89,047,352 0.7%
HSBC Holdings P.L.C............................... 15,404,835 126,775,678 1.1%
# HSBC Holdings P.L.C., Sponsored ADR............... 2,714,621 111,543,777 0.9%
Lloyds Banking Group P.L.C........................ 178,022,807 129,910,115 1.1%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A.. 2,913,977 184,134,183 1.5%
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B.. 3,006,785 197,575,842 1.6%
Vodafone Group P.L.C.............................. 58,351,986 109,733,134 0.9%
Vodafone Group P.L.C., Sponsored ADR.............. 4,011,201 75,932,040 0.6%
Other Securities.................................. 373,138,261 3.2%
--------------- -----
TOTAL UNITED KINGDOM.................................... 1,929,056,289 15.9%
--------------- -----
UNITED STATES -- (0.3%)
Other Security.................................... 39,695,031 0.3%
--------------- -----
TOTAL COMMON STOCKS..................................... 11,839,128,370 97.4%
--------------- -----
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Volkswagen AG..................................... 689,777 115,884,550 0.9%
Other Securities.................................. 27,206,644 0.3%
--------------- -----
TOTAL GERMANY........................................... 143,091,194 1.2%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Security.................................... 1,450,636 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES............................. 11,983,670,200
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (3.9%)
@(S) DFA Short Term Investment Fund.................... 42,184,239 488,071,641 4.0%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $12,252,986,071)................................ $12,471,741,841 102.6%
=============== =====
As of October 31, 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............................ 44 12/21/18 $4,270,354 $3,987,500 $(282,854)
316
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
S&P 500(R)/ /Emini Index.......................... 714 12/21/18 $103,294,447 $ 96,786,270 $(6,508,177)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS........................... $107,564,801 $100,773,770 $(6,791,031)
============ ============ ===========
Summary of the Series' investments as of October 31, 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................................................ $ 3,012,806 $ 678,651,529 -- $ 681,664,335
Austria.................................................. -- 6,092,849 -- 6,092,849
Belgium.................................................. -- 131,301,630 -- 131,301,630
Canada................................................... 989,400,908 -- -- 989,400,908
Denmark.................................................. -- 186,467,098 -- 186,467,098
Finland.................................................. -- 124,986,171 -- 124,986,171
France................................................... -- 1,230,370,700 -- 1,230,370,700
Germany.................................................. 60,592,679 770,359,829 -- 830,952,508
Hong Kong................................................ -- 344,005,710 -- 344,005,710
Ireland.................................................. 5,917,554 29,795,505 -- 35,713,059
Israel................................................... -- 51,577,567 -- 51,577,567
Italy.................................................... 28,028,937 176,509,525 -- 204,538,462
Japan.................................................... 59,798,491 2,741,577,183 -- 2,801,375,674
Netherlands.............................................. 33,222,497 406,141,835 -- 439,364,332
New Zealand.............................................. -- 20,194,780 -- 20,194,780
Norway................................................... 237,360 109,398,869 -- 109,636,229
Portugal................................................. -- 4,861,587 -- 4,861,587
Singapore................................................ -- 118,142,676 -- 118,142,676
South Africa............................................. -- 5,340,658 -- 5,340,658
Spain.................................................... 336,655 287,383,136 -- 287,719,791
Sweden................................................... -- 309,182,641 -- 309,182,641
Switzerland.............................................. 71,828,555 885,659,130 -- 957,487,685
United Kingdom........................................... 1,009,984,667 919,071,622 -- 1,929,056,289
United States............................................ 39,695,031 -- -- 39,695,031
Preferred Stocks
Germany.................................................. -- 143,091,194 -- 143,091,194
Rights/Warrants
Spain.................................................... -- 1,450,636 -- 1,450,636
Securities Lending Collateral............................... -- 488,071,641 -- 488,071,641
Futures Contracts**......................................... (6,791,031) -- -- (6,791,031)
-------------- --------------- -- ---------------
TOTAL....................................................... $2,295,265,109 $10,169,685,701 -- $12,464,950,810
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
317
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (94.6%)
COMMUNICATION SERVICES -- (2.9%)
Other Securities................................................. $116,578,489 3.0%
------------ ----
CONSUMER DISCRETIONARY -- (17.7%)
Aoyama Trading Co., Ltd.......................................... 324,200 9,808,171 0.3%
Autobacs Seven Co., Ltd.......................................... 530,000 8,529,901 0.2%
# Colowide Co., Ltd................................................ 350,600 8,536,631 0.2%
Wacoal Holdings Corp............................................. 364,700 10,055,102 0.3%
Other Securities................................................. 676,136,370 17.6%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 713,066,175 18.6%
------------ ----
CONSUMER STAPLES -- (7.6%)
Maruha Nichiro Corp.............................................. 274,907 9,952,175 0.3%
Megmilk Snow Brand Co., Ltd...................................... 358,200 8,379,194 0.2%
Nippon Suisan Kaisha, Ltd........................................ 2,140,300 13,671,543 0.4%
Sapporo Holdings, Ltd............................................ 472,400 8,763,286 0.2%
Other Securities................................................. 262,996,152 6.8%
------------ ----
TOTAL CONSUMER STAPLES............................................... 303,762,350 7.9%
------------ ----
ENERGY -- (0.8%)
Other Securities................................................. 29,926,156 0.8%
------------ ----
FINANCIALS -- (8.2%)
77 Bank, Ltd. (The).............................................. 496,152 10,248,303 0.3%
Daishi Hokuetsu Financial Group, Inc............................. 280,800 10,103,674 0.3%
Hokuhoku Financial Group, Inc.................................... 837,000 10,369,291 0.3%
Jafco Co., Ltd................................................... 233,300 8,989,108 0.2%
Other Securities................................................. 291,759,588 7.6%
------------ ----
TOTAL FINANCIALS..................................................... 331,469,964 8.7%
------------ ----
HEALTH CARE -- (5.1%)
Mani, Inc........................................................ 182,700 8,395,754 0.2%
Miraca Holdings, Inc............................................. 413,600 10,068,684 0.3%
Nipro Corp....................................................... 667,500 8,500,090 0.2%
Ship Healthcare Holdings, Inc.................................... 292,000 10,557,506 0.3%
# Toho Holdings Co., Ltd........................................... 367,200 9,619,560 0.3%
Other Securities................................................. 157,559,266 4.0%
------------ ----
TOTAL HEALTH CARE.................................................... 204,700,860 5.3%
------------ ----
INDUSTRIALS -- (27.2%)
GS Yuasa Corp.................................................... 417,599 8,572,136 0.2%
Hanwa Co., Ltd................................................... 255,300 8,360,820 0.2%
Hazama Ando Corp................................................. 1,328,800 9,175,851 0.2%
# Iwatani Corp..................................................... 264,600 9,346,753 0.3%
#* Kawasaki Kisen Kaisha, Ltd....................................... 640,100 8,529,652 0.2%
Kokuyo Co., Ltd.................................................. 558,125 8,810,923 0.2%
Maeda Road Construction Co., Ltd................................. 460,200 8,382,048 0.2%
* Mitsui E&S Holdings Co., Ltd..................................... 563,200 9,457,332 0.3%
Nichias Corp..................................................... 440,500 9,598,574 0.3%
Nikkon Holdings Co., Ltd......................................... 436,100 10,538,138 0.3%
Nishimatsu Construction Co., Ltd................................. 392,400 9,147,000 0.2%
318
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
INDUSTRIALS -- (Continued)
# Nishi-Nippon Railroad Co., Ltd.................... 407,700 $ 10,087,015 0.3%
Nisshinbo Holdings, Inc........................... 1,109,780 12,217,161 0.3%
OKUMA Corp........................................ 178,900 8,932,577 0.2%
OSG Corp.......................................... 421,100 8,689,012 0.2%
Penta-Ocean Construction Co., Ltd................. 2,073,400 12,404,450 0.3%
SMS Co., Ltd...................................... 490,700 8,230,204 0.2%
# Trusco Nakayama Corp.............................. 335,300 8,460,218 0.2%
Ushio, Inc........................................ 787,200 9,497,959 0.3%
Other Securities.................................. 916,424,147 24.0%
-------------- -----
TOTAL INDUSTRIALS....................................... 1,094,861,970 28.6%
-------------- -----
INFORMATION TECHNOLOGY -- (12.4%)
Amano Corp........................................ 438,200 9,317,651 0.3%
Ibiden Co., Ltd................................... 810,078 10,002,971 0.3%
NET One Systems Co., Ltd.......................... 545,000 11,410,271 0.3%
Oki Electric Industry Co., Ltd.................... 627,500 8,588,853 0.2%
Topcon Corp....................................... 773,000 11,231,567 0.3%
Ulvac, Inc........................................ 284,500 9,265,412 0.3%
Other Securities.................................. 437,303,933 11.3%
-------------- -----
TOTAL INFORMATION TECHNOLOGY............................ 497,120,658 13.0%
-------------- -----
MATERIALS -- (9.9%)
ADEKA Corp........................................ 624,400 9,250,940 0.2%
Dowa Holdings Co., Ltd............................ 373,500 10,870,056 0.3%
Mitsui Mining & Smelting Co., Ltd................. 433,400 12,279,380 0.3%
Nippon Light Metal Holdings Co., Ltd.............. 4,216,200 8,890,260 0.2%
# Nippon Paper Industries Co., Ltd.................. 587,400 10,642,418 0.3%
# Sumitomo Osaka Cement Co., Ltd.................... 275,499 10,235,593 0.3%
Toyobo Co., Ltd................................... 633,400 9,002,787 0.2%
Other Securities.................................. 328,680,752 8.6%
-------------- -----
TOTAL MATERIALS......................................... 399,852,186 10.4%
-------------- -----
REAL ESTATE -- (1.7%)
Other Securities.................................. 68,635,236 1.8%
-------------- -----
UTILITIES -- (1.1%)
* Hokuriku Electric Power Co........................ 935,100 8,711,001 0.2%
Other Securities.................................. 33,988,686 0.9%
-------------- -----
TOTAL UTILITIES......................................... 42,699,687 1.1%
-------------- -----
TOTAL COMMON STOCKS..................................... 3,802,673,731 99.2%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Security.................................... 75,349 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES............................. 3,802,749,080
--------------
SECURITIES LENDING COLLATERAL -- (5.4%)
@(S) DFA Short Term Investment Fund.................... 18,866,285 218,282,913 5.7%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,609,227,762)................................. $4,021,031,993 104.9%
============== =====
319
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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
Communication Services................................... -- $ 116,578,489 -- $ 116,578,489
Consumer Discretionary................................... $ 6,321,241 706,744,934 -- 713,066,175
Consumer Staples......................................... -- 303,762,350 -- 303,762,350
Energy................................................... -- 29,926,156 -- 29,926,156
Financials............................................... 10,103,674 321,366,290 -- 331,469,964
Health Care.............................................. -- 204,700,860 -- 204,700,860
Industrials.............................................. -- 1,094,861,970 -- 1,094,861,970
Information Technology................................... 486,572 496,634,086 -- 497,120,658
Materials................................................ 507,983 399,344,203 -- 399,852,186
Real Estate.............................................. -- 68,635,236 -- 68,635,236
Utilities................................................ -- 42,699,687 -- 42,699,687
Rights/Warrants
Financials............................................... -- 75,349 -- 75,349
Securities Lending Collateral............................... -- 218,282,913 -- 218,282,913
----------- -------------- -- --------------
TOTAL....................................................... $17,419,470 $4,003,612,523 -- $4,021,031,993
=========== ============== == ==============
See accompanying Notes to Financial Statements.
320
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (94.4%)
AUSTRALIA -- (52.6%)
Adelaide Brighton, Ltd........................................... 3,004,912 $ 12,086,193 0.7%
ALS, Ltd......................................................... 2,494,939 14,468,701 0.8%
Altium, Ltd...................................................... 879,028 13,703,502 0.8%
Ansell, Ltd...................................................... 896,383 14,778,046 0.9%
Atlas Arteria, Ltd............................................... 2,965,825 14,366,965 0.8%
# Bapcor, Ltd...................................................... 1,945,254 9,436,542 0.6%
Beach Energy, Ltd................................................ 14,720,311 18,335,566 1.1%
# Blackmores, Ltd.................................................. 100,980 8,707,549 0.5%
carsales.com, Ltd................................................ 1,702,940 14,760,322 0.9%
Cleanaway Waste Management, Ltd.................................. 13,728,372 17,549,486 1.0%
Costa Group Holdings, Ltd........................................ 2,167,448 9,391,202 0.5%
CSR, Ltd......................................................... 3,957,955 9,928,634 0.6%
Downer EDI, Ltd.................................................. 4,034,426 19,862,919 1.2%
DuluxGroup, Ltd.................................................. 3,101,823 16,304,563 0.9%
Fairfax Media, Ltd............................................... 19,821,806 9,020,829 0.5%
GrainCorp, Ltd., Class A......................................... 1,735,655 10,146,181 0.6%
GUD Holdings, Ltd................................................ 992,918 8,705,318 0.5%
# Independence Group NL............................................ 3,149,458 9,040,777 0.5%
# IOOF Holdings, Ltd............................................... 2,401,762 11,616,624 0.7%
# IRESS, Ltd....................................................... 1,180,608 9,095,282 0.5%
# JB Hi-Fi, Ltd.................................................... 963,999 15,708,593 0.9%
Link Administration Holdings, Ltd................................ 2,679,433 14,278,991 0.8%
# Metcash, Ltd..................................................... 7,046,948 13,772,950 0.8%
Mineral Resources, Ltd........................................... 1,216,344 12,342,112 0.7%
nib holdings, Ltd................................................ 3,342,132 13,155,941 0.8%
Northern Star Resources, Ltd..................................... 3,310,960 20,684,301 1.2%
Orora, Ltd....................................................... 8,074,313 19,242,479 1.1%
OZ Minerals, Ltd................................................. 2,477,965 15,896,021 0.9%
Pendal Group, Ltd................................................ 1,659,644 9,596,011 0.6%
# Perpetual, Ltd................................................... 374,045 9,200,195 0.5%
Premier Investments, Ltd......................................... 778,124 9,071,992 0.5%
Regis Resources, Ltd............................................. 3,602,454 10,806,393 0.6%
* Saracen Mineral Holdings, Ltd.................................... 7,310,283 12,750,641 0.7%
Sims Metal Management, Ltd....................................... 1,382,214 11,083,430 0.6%
Spark Infrastructure Group....................................... 11,690,859 19,060,125 1.1%
St Barbara, Ltd.................................................. 4,256,889 12,566,295 0.7%
Steadfast Group, Ltd............................................. 5,573,447 11,752,512 0.7%
WorleyParsons, Ltd............................................... 1,206,057 12,474,529 0.7%
Other Securities................................................. 463,227,619 26.9%
------------ ----
TOTAL AUSTRALIA...................................................... 957,976,331 55.4%
------------ ----
HONG KONG -- (26.1%)
Dah Sing Financial Holdings, Ltd................................. 1,691,344 9,079,052 0.5%
HKBN, Ltd........................................................ 6,627,000 9,948,969 0.6%
Hopewell Holdings, Ltd........................................... 3,604,500 11,137,195 0.7%
IGG, Inc......................................................... 12,806,000 13,575,737 0.8%
Luk Fook Holdings International, Ltd............................. 3,976,000 13,119,437 0.8%
Vitasoy International Holdings, Ltd.............................. 5,049,000 16,095,738 0.9%
VTech Holdings, Ltd.............................................. 1,282,800 15,070,877 0.9%
Other Securities................................................. 387,552,662 22.3%
------------ ----
TOTAL HONG KONG...................................................... 475,579,667 27.5%
------------ ----
321
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
NEW ZEALAND -- (5.6%)
# Chorus, Ltd....................................... 2,823,444 $ 8,760,943 0.5%
Mainfreight, Ltd.................................. 511,030 9,485,688 0.5%
SKYCITY Entertainment Group, Ltd.................. 4,690,050 11,745,722 0.7%
Other Securities.................................. 72,378,490 4.2%
-------------- -----
TOTAL NEW ZEALAND....................................... 102,370,843 5.9%
-------------- -----
SINGAPORE -- (10.1%)
Singapore Post, Ltd............................... 11,582,300 8,719,649 0.5%
Other Securities.................................. 175,063,588 10.1%
-------------- -----
TOTAL SINGAPORE......................................... 183,783,237 10.6%
-------------- -----
TOTAL COMMON STOCKS..................................... 1,719,710,078 99.4%
-------------- -----
TOTAL INVESTMENT SECURITIES............................. 1,719,710,078
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (5.6%)
@(S) DFA Short Term Investment Fund.................... 8,839,135 102,268,796 5.9%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,916,994,035)................................. $1,821,978,874 105.3%
============== =====
Summary of the Series' investments as of October 31, 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................................................ -- $ 957,976,331 -- $ 957,976,331
Hong Kong................................................ $ 536,014 475,043,653 -- 475,579,667
New Zealand.............................................. 1,363,964 101,006,879 -- 102,370,843
Singapore................................................ 370,655 183,412,582 -- 183,783,237
Securities Lending Collateral............................... -- 102,268,796 -- 102,268,796
---------- -------------- ------ --------------
TOTAL....................................................... $2,270,633 $1,819,708,241 -- $1,821,978,874
========== ============== ====== ==============
See accompanying Notes to Financial Statements.
322
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
OF NET
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) ASSETS++
---------- ------------------------------- ----------
COMMON STOCKS -- (98.8%)
COMMUNICATION SERVICES -- (6.5%)
Auto Trader Group P.L.C.......................................... 6,021,823 $ 31,466,198 1.4%
Cineworld Group P.L.C............................................ 6,322,429 23,767,460 1.1%
Daily Mail & General Trust P.L.C., Class A....................... 1,699,883 15,176,710 0.7%
Other Securities................................................. 72,380,139 3.3%
------------ ----
TOTAL COMMUNICATION SERVICES......................................... 142,790,507 6.5%
------------ ----
CONSUMER DISCRETIONARY -- (20.6%)
B&M European Value Retail SA..................................... 5,329,350 28,358,811 1.3%
Bellway P.L.C.................................................... 839,178 30,779,041 1.4%
Bovis Homes Group P.L.C.......................................... 1,135,408 14,033,598 0.6%
Greene King P.L.C................................................ 2,728,082 16,789,690 0.8%
Inchcape P.L.C................................................... 2,896,356 20,004,211 0.9%
Merlin Entertainments P.L.C...................................... 4,338,517 17,917,207 0.8%
* Ocado Group P.L.C................................................ 2,765,277 30,182,185 1.4%
SSP Group P.L.C.................................................. 2,882,681 24,577,258 1.1%
WH Smith P.L.C................................................... 697,855 17,346,819 0.8%
William Hill P.L.C............................................... 5,838,359 15,694,600 0.7%
Other Securities................................................. 237,856,061 10.9%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 453,539,481 20.7%
------------ ----
CONSUMER STAPLES -- (4.7%)
Britvic P.L.C.................................................... 1,623,694 16,392,263 0.7%
Tate & Lyle P.L.C................................................ 3,470,820 29,842,389 1.4%
Other Securities................................................. 57,601,564 2.6%
------------ ----
TOTAL CONSUMER STAPLES............................................... 103,836,216 4.7%
------------ ----
ENERGY -- (5.0%)
John Wood Group P.L.C............................................ 2,672,479 24,357,624 1.1%
* Tullow Oil P.L.C................................................. 9,184,155 26,349,926 1.2%
Other Securities................................................. 58,439,497 2.7%
------------ ----
TOTAL ENERGY......................................................... 109,147,047 5.0%
------------ ----
FINANCIALS -- (16.2%)
Beazley P.L.C.................................................... 3,286,678 22,067,924 1.0%
Close Brothers Group P.L.C....................................... 976,050 18,332,330 0.8%
CYBG P.L.C....................................................... 6,020,590 20,685,533 0.9%
Hiscox, Ltd...................................................... 1,516,229 31,495,717 1.4%
IG Group Holdings P.L.C.......................................... 2,325,115 17,950,224 0.8%
Intermediate Capital Group P.L.C................................. 1,852,823 22,503,673 1.0%
Jardine Lloyd Thompson Group P.L.C............................... 809,362 19,503,096 0.9%
Man Group P.L.C.................................................. 10,998,653 21,822,503 1.0%
NEX Group P.L.C.................................................. 1,743,102 25,279,326 1.2%
Phoenix Group Holdings........................................... 3,125,763 24,025,049 1.1%
Other Securities................................................. 132,703,616 6.2%
------------ ----
TOTAL FINANCIALS..................................................... 356,368,991 16.3%
------------ ----
HEALTH CARE -- (3.1%)
* BTG P.L.C........................................................ 2,027,017 14,278,983 0.7%
Hikma Pharmaceuticals P.L.C...................................... 709,610 17,211,561 0.8%
323
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
HEALTH CARE -- (Continued)
Other Securities................................................. $ 37,660,114 1.7%
-------------- ----
TOTAL HEALTH CARE.................................................... 69,150,658 3.2%
-------------- ----
INDUSTRIALS -- (26.1%)
Aggreko P.L.C.................................................... 1,503,944 16,482,453 0.8%
Babcock International Group P.L.C................................ 2,386,069 18,607,071 0.9%
Balfour Beatty P.L.C............................................. 4,353,036 14,624,025 0.7%
BBA Aviation P.L.C............................................... 7,229,201 22,169,451 1.0%
* Cobham P.L.C..................................................... 13,770,449 18,902,012 0.9%
Hays P.L.C....................................................... 10,095,835 21,142,022 1.0%
HomeServe P.L.C.................................................. 1,796,181 21,804,263 1.0%
Howden Joinery Group P.L.C....................................... 4,514,716 27,032,776 1.2%
IMI P.L.C........................................................ 1,718,223 21,784,421 1.0%
Meggitt P.L.C.................................................... 5,004,804 33,860,533 1.6%
National Express Group P.L.C..................................... 2,749,825 14,050,708 0.6%
Pagegroup P.L.C.................................................. 2,363,699 15,151,252 0.7%
Rotork P.L.C..................................................... 5,593,291 21,417,382 1.0%
Travis Perkins P.L.C............................................. 1,526,689 21,562,494 1.0%
Other Securities................................................. 287,347,232 12.9%
-------------- ----
TOTAL INDUSTRIALS.................................................... 575,938,095 26.3%
-------------- ----
INFORMATION TECHNOLOGY -- (5.6%)
Electrocomponents P.L.C.......................................... 3,256,497 25,783,135 1.2%
Spectris P.L.C................................................... 723,646 19,798,756 0.9%
Other Securities................................................. 78,470,162 3.6%
-------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 124,052,053 5.7%
-------------- ----
MATERIALS -- (6.2%)
RPC Group P.L.C.................................................. 2,589,442 25,239,745 1.2%
Victrex P.L.C.................................................... 634,126 21,450,080 1.0%
Other Securities................................................. 89,277,442 4.0%
-------------- ----
TOTAL MATERIALS...................................................... 135,967,267 6.2%
-------------- ----
REAL ESTATE -- (2.7%)
Capital & Counties Properties P.L.C.............................. 4,642,681 14,813,146 0.7%
Other Securities................................................. 45,199,144 2.0%
-------------- ----
TOTAL REAL ESTATE.................................................... 60,012,290 2.7%
-------------- ----
UTILITIES -- (2.1%)
Drax Group P.L.C................................................. 2,899,857 14,853,691 0.7%
Pennon Group P.L.C............................................... 2,715,100 25,865,566 1.2%
Other Securities................................................. 6,685,437 0.3%
-------------- ----
TOTAL UTILITIES...................................................... 47,404,694 2.2%
-------------- ----
TOTAL COMMON STOCKS.................................................. 2,178,207,299 99.5%
-------------- ----
PREFERRED STOCKS -- (0.0%)
CONSUMER STAPLES -- (0.0%)
Other Security................................................... 39,022 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES.......................................... 2,178,246,321
--------------
324
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (1.2%)
@(S) DFA Short Term Investment Fund................................... 2,207,404 $ 25,539,665 1.2%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,157,526,564)................................................ $2,203,785,986 100.7%
============== =====
Summary of the Series' investments as of October 31, 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
Communication Services................................... -- $ 142,790,507 -- $ 142,790,507
Consumer Discretionary................................... -- 453,539,481 -- 453,539,481
Consumer Staples......................................... -- 103,836,216 -- 103,836,216
Energy................................................... -- 109,147,047 -- 109,147,047
Financials............................................... -- 356,368,991 -- 356,368,991
Health Care.............................................. -- 69,150,658 -- 69,150,658
Industrials.............................................. -- 575,938,095 -- 575,938,095
Information Technology................................... -- 124,052,053 -- 124,052,053
Materials................................................ -- 135,967,267 -- 135,967,267
Real Estate.............................................. -- 60,012,290 -- 60,012,290
Utilities................................................ -- 47,404,694 -- 47,404,694
Preferred Stocks
Consumer Staples......................................... -- 39,022 -- 39,022
Securities Lending Collateral............................... -- 25,539,665 -- 25,539,665
-- -------------- -- --------------
TOTAL....................................................... -- $2,203,785,986 -- $2,203,785,986
== ============== == ==============
See accompanying Notes to Financial Statements.
325
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (89.5%)
AUSTRIA -- (2.8%)
ANDRITZ AG....................................................... 447,429 $ 23,181,306 0.4%
Other Securities................................................. 146,265,159 2.7%
------------ ----
TOTAL AUSTRIA........................................................ 169,446,465 3.1%
------------ ----
BELGIUM -- (3.6%)
Ackermans & van Haaren NV........................................ 156,548 24,646,516 0.5%
* Galapagos NV..................................................... 220,186 22,621,528 0.4%
Umicore SA....................................................... 425,457 20,027,502 0.4%
Other Securities................................................. 148,933,329 2.7%
------------ ----
TOTAL BELGIUM........................................................ 216,228,875 4.0%
------------ ----
DENMARK -- (5.4%)
Ambu A.S., Class B............................................... 1,079,783 22,493,703 0.4%
GN Store Nord A.S................................................ 935,887 39,699,067 0.7%
ISS A.S.......................................................... 582,591 19,132,966 0.4%
Jyske Bank A.S................................................... 491,188 20,055,672 0.4%
Royal Unibrew A.S................................................ 364,385 25,857,570 0.5%
SimCorp A.S...................................................... 284,735 21,923,197 0.4%
Topdanmark A.S................................................... 491,266 23,351,623 0.4%
Other Securities................................................. 150,298,788 2.8%
------------ ----
TOTAL DENMARK........................................................ 322,812,586 6.0%
------------ ----
FINLAND -- (6.2%)
Amer Sports Oyj.................................................. 843,708 31,362,132 0.6%
Elisa Oyj........................................................ 520,670 20,715,389 0.4%
# Huhtamaki Oyj.................................................... 703,421 19,722,121 0.4%
Kesko Oyj, Class B............................................... 514,318 30,037,493 0.6%
Metso Oyj........................................................ 776,014 24,500,237 0.5%
Nokian Renkaat Oyj............................................... 840,330 26,729,512 0.5%
Orion Oyj, Class B............................................... 609,509 20,966,688 0.4%
Valmet Oyj....................................................... 919,512 20,936,249 0.4%
Other Securities................................................. 174,883,331 3.0%
------------ ----
TOTAL FINLAND........................................................ 369,853,152 6.8%
------------ ----
FRANCE -- (11.3%)
Edenred.......................................................... 734,903 27,877,180 0.5%
Euronext NV...................................................... 334,230 20,565,988 0.4%
Eutelsat Communications SA....................................... 1,153,248 23,358,563 0.4%
Ingenico Group SA................................................ 412,072 29,164,382 0.5%
Lagardere SCA.................................................... 778,374 21,276,640 0.4%
Rexel SA......................................................... 2,158,941 27,520,701 0.5%
Rubis SCA........................................................ 600,204 30,966,985 0.6%
Teleperformance.................................................. 144,931 23,868,988 0.5%
Other Securities................................................. 468,134,707 8.6%
------------ ----
TOTAL FRANCE......................................................... 672,734,134 12.4%
------------ ----
GERMANY -- (14.4%)
Freenet AG....................................................... 921,900 20,736,172 0.4%
Hugo Boss AG..................................................... 456,778 32,642,934 0.6%
# K+S AG........................................................... 1,437,309 26,765,532 0.5%
326
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
GERMANY -- (Continued)
Lanxess AG....................................................... 427,092 $ 26,436,018 0.5%
LEG Immobilien AG................................................ 324,194 35,437,322 0.7%
Nemetschek SE.................................................... 144,235 18,960,783 0.4%
Rheinmetall AG................................................... 298,579 25,840,127 0.5%
TAG Immobilien AG................................................ 934,395 21,315,539 0.4%
Other Securities................................................. 653,862,145 11.9%
------------ ----
TOTAL GERMANY........................................................ 861,996,572 15.9%
------------ ----
IRELAND -- (1.0%)
Kingspan Group P.L.C............................................. 438,083 19,033,686 0.4%
Other Securities................................................. 41,773,237 0.7%
------------ ----
TOTAL IRELAND........................................................ 60,806,923 1.1%
------------ ----
ISRAEL -- (2.6%)
Other Securities................................................. 156,740,580 2.9%
------------ ----
ITALY -- (8.9%)
* Saipem SpA....................................................... 4,217,382 23,063,725 0.4%
# Unione di Banche Italiane SpA.................................... 7,724,232 23,575,581 0.4%
Other Securities................................................. 488,065,418 9.1%
------------ ----
TOTAL ITALY.......................................................... 534,704,724 9.9%
------------ ----
NETHERLANDS -- (6.0%)
Aalberts Industries NV........................................... 704,568 25,828,121 0.5%
# Boskalis Westminster............................................. 654,419 18,816,387 0.4%
IMCD NV.......................................................... 298,658 20,252,701 0.4%
Koninklijke Vopak NV............................................. 443,568 20,059,502 0.4%
SBM Offshore NV.................................................. 1,292,245 22,265,899 0.4%
Other Securities................................................. 251,402,301 4.5%
------------ ----
TOTAL NETHERLANDS.................................................... 358,624,911 6.6%
------------ ----
NORWAY -- (2.4%)
Other Securities................................................. 143,504,930 2.6%
------------ ----
PORTUGAL -- (1.1%)
Other Securities................................................. 66,870,212 1.2%
------------ ----
SPAIN -- (5.8%)
Cellnex Telecom SA............................................... 1,049,614 26,110,496 0.5%
Enagas SA........................................................ 1,198,599 31,779,001 0.6%
Other Securities................................................. 285,664,491 5.2%
------------ ----
TOTAL SPAIN.......................................................... 343,553,988 6.3%
------------ ----
SWEDEN -- (7.2%)
Other Securities................................................. 427,579,156 7.9%
------------ ----
SWITZERLAND -- (10.7%)
Georg Fischer AG................................................. 28,198 26,233,883 0.5%
Helvetia Holding AG.............................................. 49,892 30,560,119 0.6%
PSP Swiss Property AG............................................ 288,164 27,804,076 0.5%
Sunrise Communications Group AG.................................. 247,924 21,822,731 0.4%
327
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SWITZERLAND -- (Continued)
Other Securities.................................. $ 534,676,680 9.8%
-------------- -----
TOTAL SWITZERLAND....................................... 641,097,489 11.8%
-------------- -----
UNITED KINGDOM -- (0.1%)
Other Security.................................... 3,245,372 0.1%
-------------- -----
TOTAL COMMON STOCKS..................................... 5,349,800,069 98.6%
-------------- -----
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Other Securities.................................. 36,737,960 0.7%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................................. 529,911 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES............................. 5,387,067,940
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (9.9%)
@(S) DFA Short Term Investment Fund.................... 50,963,280 589,645,153 10.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $5,396,620,915)................................. $5,976,713,093 110.2%
============== =====
Summary of the Series' investments as of October 31, 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........................................ -- $169,446,465 -- $169,446,465
Belgium........................................ $ 9,566,655 206,662,220 -- 216,228,875
Denmark........................................ -- 322,812,586 -- 322,812,586
Finland........................................ -- 369,853,152 -- 369,853,152
France......................................... -- 672,734,134 -- 672,734,134
Germany........................................ -- 861,996,572 -- 861,996,572
Ireland........................................ -- 60,806,923 -- 60,806,923
Israel......................................... 886,593 155,853,987 -- 156,740,580
Italy.......................................... -- 534,704,724 -- 534,704,724
Netherlands.................................... 13,210,242 345,414,669 -- 358,624,911
Norway......................................... -- 143,504,930 -- 143,504,930
Portugal....................................... -- 66,870,212 -- 66,870,212
Spain.......................................... -- 343,553,988 -- 343,553,988
Sweden......................................... 961,312 426,617,844 -- 427,579,156
Switzerland.................................... -- 641,097,489 -- 641,097,489
United Kingdom................................. -- 3,245,372 -- 3,245,372
Preferred Stocks
Germany........................................ -- 36,737,960 -- 36,737,960
Rights/Warrants
Norway............................................ -- 61,026 -- 61,026
Spain............................................. -- 410,150 -- 410,150
328
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------------- ------- --------------
Sweden................................................... -- $ 58,735 -- $ 58,735
Securities Lending Collateral............................... -- 589,645,153 -- 589,645,153
----------- -------------- -- --------------
TOTAL....................................................... $24,624,802 $5,952,088,291 -- $5,976,713,093
=========== ============== == ==============
See accompanying Notes to Financial Statements.
329
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (88.1%)
COMMUNICATION SERVICES -- (2.1%)
# Cineplex, Inc.................................................... 389,686 $ 10,742,303 0.9%
Other Securities................................................. 16,600,688 1.5%
------------ ----
TOTAL COMMUNICATION SERVICES......................................... 27,342,991 2.4%
------------ ----
CONSUMER DISCRETIONARY -- (5.2%)
* Great Canadian Gaming Corp....................................... 395,819 12,748,472 1.1%
Linamar Corp..................................................... 293,286 12,144,039 1.1%
Other Securities................................................. 43,111,848 3.7%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 68,004,359 5.9%
------------ ----
CONSUMER STAPLES -- (4.7%)
Cott Corp........................................................ 886,570 13,347,881 1.2%
Maple Leaf Foods, Inc............................................ 418,116 9,509,205 0.8%
North West Co., Inc. (The)....................................... 377,836 8,237,224 0.7%
Premium Brands Holdings Corp..................................... 175,712 11,816,463 1.0%
Other Securities................................................. 18,457,764 1.6%
------------ ----
TOTAL CONSUMER STAPLES............................................... 61,368,537 5.3%
------------ ----
ENERGY -- (19.4%)
#* Baytex Energy Corp............................................... 3,627,429 7,412,194 0.7%
Enerplus Corp.................................................... 1,620,219 15,076,670 1.3%
Gibson Energy, Inc............................................... 526,901 8,341,082 0.7%
* Gran Tierra Energy, Inc.......................................... 2,881,425 8,820,800 0.8%
#* MEG Energy Corp.................................................. 1,549,736 12,396,004 1.1%
* Parex Resources, Inc............................................. 1,004,921 14,633,549 1.3%
# Parkland Fuel Corp............................................... 549,825 18,464,631 1.6%
# Peyto Exploration & Development Corp............................. 1,016,614 8,293,847 0.7%
# Secure Energy Services, Inc...................................... 1,113,316 7,256,068 0.6%
ShawCor, Ltd..................................................... 417,375 7,571,055 0.7%
Whitecap Resources, Inc.......................................... 2,879,377 14,085,752 1.2%
Other Securities................................................. 129,525,760 11.3%
------------ ----
TOTAL ENERGY......................................................... 251,877,412 22.0%
------------ ----
FINANCIALS -- (8.3%)
# Canadian Western Bank............................................ 625,580 14,550,693 1.3%
# Element Fleet Management Corp.................................... 2,029,664 11,948,723 1.0%
# Genworth MI Canada, Inc.......................................... 313,480 10,289,392 0.9%
# Laurentian Bank of Canada........................................ 300,158 9,475,914 0.8%
TMX Group, Ltd................................................... 180,578 11,356,339 1.0%
Other Securities................................................. 49,652,960 4.4%
------------ ----
TOTAL FINANCIALS..................................................... 107,274,021 9.4%
------------ ----
HEALTH CARE -- (1.2%)
Other Securities................................................. 16,062,725 1.4%
------------ ----
INDUSTRIALS -- (10.9%)
* ATS Automation Tooling Systems, Inc.............................. 529,030 7,780,030 0.7%
# NFI Group, Inc................................................... 371,520 12,533,103 1.1%
Russel Metals, Inc............................................... 424,396 7,846,708 0.7%
Stantec, Inc..................................................... 606,624 15,787,108 1.4%
330
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
INDUSTRIALS -- (Continued)
TFI International, Inc........................................... 570,089 $ 18,971,931 1.6%
Transcontinental, Inc., Class A.................................. 507,476 8,353,530 0.7%
Other Securities................................................. 69,472,105 6.1%
-------------- ----
TOTAL INDUSTRIALS.................................................... 140,744,515 12.3%
-------------- ----
INFORMATION TECHNOLOGY -- (4.2%)
* Celestica, Inc................................................... 768,923 7,978,646 0.7%
* Descartes Systems Group, Inc. (The).............................. 434,588 13,297,280 1.2%
* Kinaxis, Inc..................................................... 160,274 10,820,884 1.0%
Other Securities................................................. 22,548,216 1.9%
-------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 54,645,026 4.8%
-------------- ----
MATERIALS -- (22.7%)
Alamos Gold, Inc., Class A....................................... 2,679,504 10,706,209 0.9%
* B2Gold Corp...................................................... 6,592,719 16,275,845 1.4%
* Detour Gold Corp................................................. 1,130,078 8,335,339 0.7%
#* Endeavour Mining Corp............................................ 476,720 7,311,307 0.6%
* IAMGOLD Corp..................................................... 3,238,297 11,118,616 1.0%
# Labrador Iron Ore Royalty Corp................................... 423,456 9,199,621 0.8%
Nevsun Resources, Ltd............................................ 2,058,709 9,148,428 0.8%
# OceanaGold Corp.................................................. 3,947,774 11,365,463 1.0%
Pan American Silver Corp......................................... 1,053,915 15,523,120 1.4%
* SSR Mining, Inc.................................................. 826,105 8,095,070 0.7%
# Stella-Jones, Inc................................................ 323,806 10,370,057 0.9%
Yamana Gold, Inc................................................. 6,738,268 15,304,357 1.3%
Other Securities................................................. 161,282,726 14.1%
-------------- ----
TOTAL MATERIALS...................................................... 294,036,158 25.6%
-------------- ----
REAL ESTATE -- (3.9%)
Colliers International Group, Inc................................ 222,402 15,103,300 1.3%
FirstService Corp................................................ 193,886 14,224,247 1.2%
Other Securities................................................. 21,539,052 1.9%
-------------- ----
TOTAL REAL ESTATE.................................................... 50,866,599 4.4%
-------------- ----
UTILITIES -- (5.5%)
Capital Power Corp............................................... 692,120 14,363,416 1.3%
Northland Power, Inc............................................. 694,905 10,689,222 0.9%
Superior Plus Corp............................................... 1,140,753 10,251,136 0.9%
TransAlta Corp................................................... 1,877,409 9,911,499 0.9%
Other Securities................................................. 26,654,004 2.3%
-------------- ----
TOTAL UTILITIES...................................................... 71,869,277 6.3%
-------------- ----
TOTAL COMMON STOCKS.................................................. 1,144,091,620 99.8%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Security................................................... 2,498 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES.......................................... 1,144,094,118
--------------
331
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (11.9%)
@(S) DFA Short Term Investment Fund................................... 13,314,106 $ 154,044,207 13.4%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,577,242,207)................................................ $1,298,138,325 113.2%
============== =====
Summary of the Series' investments as of October 31, 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
Communication Services................................... $ 27,342,991 -- -- $ 27,342,991
Consumer Discretionary................................... 67,997,479 $ 6,880 -- 68,004,359
Consumer Staples......................................... 61,368,537 -- -- 61,368,537
Energy................................................... 251,877,403 9 -- 251,877,412
Financials............................................... 107,274,021 -- -- 107,274,021
Health Care.............................................. 16,062,725 -- -- 16,062,725
Industrials.............................................. 140,744,515 -- -- 140,744,515
Information Technology................................... 54,645,026 -- -- 54,645,026
Materials................................................ 294,035,468 690 -- 294,036,158
Real Estate.............................................. 50,866,599 -- -- 50,866,599
Utilities................................................ 71,869,277 -- -- 71,869,277
Rights/Warrants
Energy................................................... -- 2,498 -- 2,498
Securities Lending Collateral............................... -- 154,044,207 -- 154,044,207
-------------- ------------ ------ --------------
TOTAL....................................................... $1,144,084,041 $154,054,284 -- $1,298,138,325
============== ============ ====== ==============
See accompanying Notes to Financial Statements.
332
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (95.4%)
BRAZIL -- (6.4%)
Ambev SA, ADR............................................... 5,984,451 $ 25,912,673 0.5%
Petroleo Brasileiro SA...................................... 2,706,971 22,054,376 0.4%
Petroleo Brasileiro SA, Sponsored ADR....................... 1,299,604 19,260,131 0.4%
Vale SA..................................................... 3,260,013 49,677,633 0.9%
Vale SA, Sponsored ADR...................................... 1,665,739 25,152,651 0.5%
Other Securities............................................ 214,228,664 3.8%
------------ ----
TOTAL BRAZIL..................................................... 356,286,128 6.5%
------------ ----
CHILE -- (1.3%)
Other Securities............................................ 72,439,006 1.3%
------------ ----
CHINA -- (16.5%)
* Alibaba Group Holding, Ltd., Sponsored ADR.................. 527,081 74,993,085 1.4%
* Baidu, Inc., Sponsored ADR.................................. 106,675 20,274,650 0.4%
China Construction Bank Corp., Class H...................... 41,584,590 32,999,317 0.6%
China Mobile, Ltd., Sponsored ADR........................... 902,501 42,011,422 0.8%
CNOOC, Ltd., Sponsored ADR.................................. 104,426 17,674,100 0.3%
Industrial & Commercial Bank of China, Ltd., Class H........ 43,840,185 29,744,363 0.5%
Ping An Insurance Group Co. of China, Ltd., Class H......... 3,690,000 34,885,363 0.6%
Tencent Holdings, Ltd....................................... 3,704,000 126,896,300 2.3%
Other Securities............................................ 531,044,601 9.7%
------------ ----
TOTAL CHINA...................................................... 910,523,201 16.6%
------------ ----
COLOMBIA -- (0.4%)
Other Securities............................................ 24,550,668 0.5%
------------ ----
CZECH REPUBLIC -- (0.2%)
Other Securities............................................ 10,527,316 0.2%
------------ ----
EGYPT -- (0.1%)
Other Securities............................................ 6,642,640 0.1%
------------ ----
GREECE -- (0.3%)
Other Securities............................................ 13,595,686 0.3%
------------ ----
HUNGARY -- (0.5%)
Other Securities............................................ 25,919,646 0.5%
------------ ----
INDIA -- (12.5%)
HDFC Bank, Ltd.............................................. 1,383,984 35,827,777 0.7%
Hindustan Unilever, Ltd..................................... 992,915 21,735,775 0.4%
Housing Development Finance Corp., Ltd...................... 1,388,536 33,180,190 0.6%
Infosys, Ltd................................................ 3,610,458 33,342,563 0.6%
Infosys, Ltd., Sponsored ADR................................ 1,695,776 16,058,999 0.3%
ITC, Ltd.................................................... 4,651,620 17,551,954 0.3%
Reliance Industries, Ltd.................................... 3,145,620 45,029,598 0.8%
Tata Consultancy Services, Ltd.............................. 1,381,009 36,137,448 0.7%
Other Securities............................................ 451,573,426 8.2%
------------ ----
TOTAL INDIA...................................................... 690,437,730 12.6%
------------ ----
333
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
INDONESIA -- (2.5%)
Other Securities............................................ $139,829,513 2.6%
------------ ----
MALAYSIA -- (3.2%)
Public Bank Bhd............................................. 3,656,014 21,506,227 0.4%
Other Securities............................................ 153,972,522 2.8%
------------ ----
TOTAL MALAYSIA........................................................ 175,478,749 3.2%
------------ ----
MEXICO -- (3.7%)
# America Movil S.A.B. de C.V................................. 48,207,854 34,862,633 0.6%
Wal-Mart de Mexico S.A.B. de C.V............................ 7,198,435 18,406,051 0.3%
Other Securities............................................ 151,500,631 2.8%
------------ ----
TOTAL MEXICO.......................................................... 204,769,315 3.7%
------------ ----
PERU -- (0.3%)
Other Securities............................................ 18,255,413 0.3%
------------ ----
PHILIPPINES -- (1.4%)
Other Securities............................................ 75,206,261 1.4%
------------ ----
POLAND -- (1.6%)
Other Securities............................................ 88,729,398 1.6%
------------ ----
RUSSIA -- (1.8%)
Sberbank of Russia PJSC, Sponsored ADR...................... 1,818,206 21,393,792 0.4%
Other Securities............................................ 78,634,155 1.4%
------------ ----
TOTAL RUSSIA.......................................................... 100,027,947 1.8%
------------ ----
SOUTH AFRICA -- (7.0%)
Absa Group, Ltd............................................. 2,001,955 20,228,326 0.4%
FirstRand, Ltd.............................................. 4,821,116 21,057,002 0.4%
MTN Group, Ltd.............................................. 3,510,155 20,383,222 0.4%
Naspers, Ltd., Class N...................................... 314,943 55,241,268 1.0%
# Sasol, Ltd., Sponsored ADR.................................. 771,710 25,096,009 0.5%
Standard Bank Group, Ltd.................................... 2,064,368 22,871,578 0.4%
Other Securities............................................ 223,029,259 4.0%
------------ ----
TOTAL SOUTH AFRICA.................................................... 387,906,664 7.1%
------------ ----
SOUTH KOREA -- (16.2%)
Hana Financial Group, Inc................................... 480,370 16,181,560 0.3%
NAVER Corp.................................................. 188,950 19,028,084 0.4%
POSCO....................................................... 70,065 16,037,381 0.3%
Samsung Electronics Co., Ltd................................ 4,912,950 183,920,164 3.4%
Samsung Electronics Co., Ltd., GDR.......................... 52,509 49,046,747 0.9%
SK Hynix, Inc............................................... 821,484 49,474,161 0.9%
SK Innovation Co., Ltd...................................... 95,381 17,900,149 0.3%
Other Securities............................................ 543,278,065 9.9%
------------ ----
TOTAL SOUTH KOREA..................................................... 894,866,311 16.4%
------------ ----
TAIWAN -- (15.0%)
Hon Hai Precision Industry Co., Ltd......................... 10,525,322 26,792,716 0.5%
Taiwan Semiconductor Manufacturing Co., Ltd................. 23,066,808 173,171,342 3.2%
334
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR. 1,815,491 $ 69,170,207 1.3%
Uni-President Enterprises Corp.............................. 6,976,033 16,908,873 0.3%
Other Securities............................................ 544,094,745 9.9%
-------------- -----
TOTAL TAIWAN...................................................... 830,137,883 15.2%
-------------- -----
THAILAND -- (3.5%)
PTT PCL..................................................... 16,434,000 25,283,077 0.5%
Other Securities............................................ 167,457,103 3.0%
-------------- -----
TOTAL THAILAND.................................................... 192,740,180 3.5%
-------------- -----
TURKEY -- (1.0%)
Other Securities............................................ 52,541,121 1.0%
-------------- -----
TOTAL COMMON STOCKS............................................... 5,271,410,776 96.4%
-------------- -----
PREFERRED STOCKS -- (2.2%)
BRAZIL -- (2.1%)
Banco Bradesco SA........................................... 1,913,426 17,635,500 0.3%
Itau Unibanco Holding SA.................................... 4,000,827 52,946,589 1.0%
Petroleo Brasileiro SA...................................... 2,860,161 21,227,367 0.4%
Other Securities............................................ 23,947,297 0.4%
-------------- -----
TOTAL BRAZIL...................................................... 115,756,753 2.1%
-------------- -----
CHILE -- (0.0%)
Other Security.............................................. 1,222,655 0.0%
-------------- -----
COLOMBIA -- (0.1%)
Other Securities............................................ 4,687,762 0.1%
-------------- -----
TOTAL PREFERRED STOCKS............................................ 121,667,170 2.2%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................ 64,532 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES....................................... 5,393,142,478
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.4%)
@(S) DFA Short Term Investment Fund.............................. 11,686,417 135,211,841 2.5%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,213,118,395)........................................... $5,528,354,319 101.1%
============== =====
As of October 31, 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 12/21/18 $33,568,522 $31,092,750 $(2,475,772)
335
THE EMERGING MARKETS SERIES
CONTINUED
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
S&P 500(R) Emini Index.. 148 12/21/18 $20,291,986 $20,062,140 $ (229,846)
----------- ----------- -----------
TOTAL FUTURES CONTRACTS. $53,860,508 $51,154,890 $(2,705,618)
=========== =========== ===========
Summary of the Series' investments as of October 31, 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..................... $ 356,286,128 -- -- $ 356,286,128
Chile...................... 35,231,301 $ 37,207,705 -- 72,439,006
China...................... 235,305,225 675,217,976 -- 910,523,201
Colombia................... 24,550,668 -- -- 24,550,668
Czech Republic............. -- 10,527,316 -- 10,527,316
Egypt...................... 525,244 6,117,396 -- 6,642,640
Greece..................... -- 13,595,686 -- 13,595,686
Hungary.................... -- 25,919,646 -- 25,919,646
India...................... 31,299,929 659,137,801 -- 690,437,730
Indonesia.................. 5,243,380 134,586,133 -- 139,829,513
Malaysia................... -- 175,478,749 -- 175,478,749
Mexico..................... 204,769,315 -- -- 204,769,315
Peru....................... 18,255,413 -- -- 18,255,413
Philippines................ 1,930,141 73,276,120 -- 75,206,261
Poland..................... -- 88,729,398 -- 88,729,398
Russia..................... 14,273,976 85,753,971 -- 100,027,947
South Africa............... 49,660,256 338,246,408 -- 387,906,664
South Korea................ 20,763,847 874,102,464 -- 894,866,311
Taiwan..................... 79,974,202 750,163,681 -- 830,137,883
Thailand................... 192,740,180 -- -- 192,740,180
Turkey..................... 381,004 52,160,117 -- 52,541,121
Preferred Stocks
Brazil..................... 115,756,753 -- -- 115,756,753
Chile...................... -- 1,222,655 -- 1,222,655
Colombia................... 4,687,762 -- -- 4,687,762
Rights/Warrants
Chile...................... -- 18,544 -- 18,544
Taiwan..................... -- 38,776 -- 38,776
Thailand................... -- 7,212 -- 7,212
Securities Lending Collateral. -- 135,211,841 -- 135,211,841
Futures Contracts**........... (2,705,618) -- -- (2,705,618)
-------------- -------------- -------- --------------
TOTAL......................... $1,388,929,106 $4,136,719,595 -- $5,525,648,701
============== ============== ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
336
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (93.5%)
BRAZIL -- (7.9%)
* Azul SA, ADR..................................................... 430,431 $ 10,493,884 0.2%
* BR Malls Participacoes SA........................................ 8,172,100 27,888,128 0.4%
* Cia Siderurgica Nacional SA...................................... 6,494,464 16,700,798 0.3%
CVC Brasil Operadora e Agencia de Viagens SA..................... 1,215,787 18,490,809 0.3%
Cyrela Brazil Realty SA Empreendimentos e........................
Participacoes.................................................... 2,758,267 10,821,093 0.2%
EDP--Energias do Brasil SA....................................... 3,194,114 12,016,014 0.2%
Equatorial Energia SA............................................ 2,016,858 36,847,017 0.6%
Estacio Participacoes SA......................................... 3,106,590 19,308,189 0.3%
Iguatemi Empresa de Shopping Centers SA.......................... 1,111,695 11,608,348 0.2%
MRV Engenharia e Participacoes SA................................ 3,320,154 11,276,836 0.2%
Multiplan Empreendimentos Imobiliarios SA........................ 2,312,880 14,294,301 0.2%
Sul America SA................................................... 2,955,000 19,692,056 0.3%
Transmissora Alianca de Energia Eletrica SA...................... 3,107,826 18,589,334 0.3%
Other Securities................................................. 286,782,786 4.5%
-------------- ----
TOTAL BRAZIL......................................................... 514,809,593 8.2%
-------------- ----
CHILE -- (1.6%)
Parque Arauco SA................................................. 6,059,389 13,716,248 0.2%
Other Securities................................................. 92,547,857 1.5%
-------------- ----
TOTAL CHILE.......................................................... 106,264,105 1.7%
-------------- ----
CHINA -- (16.5%)
China Communications Services Corp., Ltd., Class H............... 15,302,000 12,400,291 0.2%
China Conch Venture Holdings, Ltd................................ 4,025,000 11,324,671 0.2%
China Everbright, Ltd............................................ 6,106,000 10,827,852 0.2%
China National Building Material Co., Ltd., Class H.............. 26,576,450 19,107,529 0.3%
Far East Horizon, Ltd............................................ 10,953,000 10,639,319 0.2%
* Hanergy Thin Film Power Group, Ltd............................... 17,084,000 10,892,699 0.2%
Kingdee International Software Group Co., Ltd.................... 15,099,200 12,382,318 0.2%
* Li Ning Co., Ltd................................................. 11,995,000 11,283,603 0.2%
Shandong Weigao Group Medical Polymer Co., Ltd.,.................
Class H.......................................................... 11,976,000 10,727,479 0.2%
Shenzhen International Holdings, Ltd............................. 7,678,867 14,711,425 0.2%
SSY Group, Ltd................................................... 13,391,152 11,313,668 0.2%
* YY, Inc., ADR.................................................... 203,682 13,015,280 0.2%
Other Securities................................................. 933,123,473 14.7%
-------------- ----
TOTAL CHINA.......................................................... 1,081,749,607 17.2%
-------------- ----
COLOMBIA -- (0.2%)
Other Securities................................................. 16,370,836 0.3%
-------------- ----
GREECE -- (0.3%)
Other Securities................................................. 22,007,590 0.4%
-------------- ----
HONG KONG -- (0.0%)
Other Securities................................................. 917,504 0.0%
-------------- ----
HUNGARY -- (0.1%)
Other Securities................................................. 7,822,621 0.1%
-------------- ----
337
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
INDIA -- (12.0%)
Page Industries, Ltd............................................. 27,438 $ 10,901,056 0.2%
Other Securities................................................. 772,909,983 12.2%
------------ ----
TOTAL INDIA.......................................................... 783,811,039 12.4%
------------ ----
INDONESIA -- (2.6%)
Indah Kiat Pulp & Paper Corp. Tbk PT............................. 13,436,900 11,260,889 0.2%
Other Securities................................................. 158,368,338 2.5%
------------ ----
TOTAL INDONESIA...................................................... 169,629,227 2.7%
------------ ----
MALAYSIA -- (3.5%)
Other Securities................................................. 226,634,452 3.6%
------------ ----
MEXICO -- (2.8%)
# Alsea S.A.B. de C.V.............................................. 5,537,730 14,181,518 0.2%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V............... 3,198,583 16,752,477 0.3%
# Regional S.A.B. de C.V........................................... 2,221,228 10,942,527 0.2%
Other Securities................................................. 140,713,340 2.2%
------------ ----
TOTAL MEXICO......................................................... 182,589,862 2.9%
------------ ----
PHILIPPINES -- (1.3%)
Other Securities................................................. 84,312,283 1.3%
------------ ----
POLAND -- (1.3%)
Other Securities................................................. 81,825,294 1.3%
------------ ----
RUSSIA -- (0.0%)
Other Securities................................................. 2,432,481 0.0%
------------ ----
SINGAPORE -- (0.0%)
Other Security................................................... 175,795 0.0%
------------ ----
SOUTH AFRICA -- (6.9%)
AVI, Ltd......................................................... 3,570,463 24,210,196 0.4%
Barloworld, Ltd.................................................. 2,262,370 18,440,236 0.3%
Clicks Group, Ltd................................................ 2,147,883 27,361,011 0.4%
Foschini Group, Ltd. (The)....................................... 1,062,168 11,627,790 0.2%
JSE, Ltd......................................................... 980,747 10,896,548 0.2%
Life Healthcare Group Holdings, Ltd.............................. 7,189,440 11,938,445 0.2%
Pick n Pay Stores, Ltd........................................... 3,810,851 17,613,370 0.3%
SPAR Group, Ltd. (The)........................................... 1,945,273 23,194,874 0.4%
Truworths International, Ltd..................................... 3,688,921 20,206,989 0.3%
Other Securities................................................. 283,478,162 4.4%
------------ ----
TOTAL SOUTH AFRICA................................................... 448,967,621 7.1%
------------ ----
SOUTH KOREA -- (15.2%)
Fila Korea, Ltd.................................................. 468,339 17,344,691 0.3%
Other Securities................................................. 974,619,002 15.4%
------------ ----
TOTAL SOUTH KOREA.................................................... 991,963,693 15.7%
------------ ----
TAIWAN -- (16.1%)
* Tatung Co., Ltd.................................................. 10,097,015 11,802,706 0.2%
338
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
TAIWAN -- (Continued)
Other Securities......................................... $1,039,901,443 16.5%
-------------- -----
TOTAL TAIWAN................................................ 1,051,704,149 16.7%
-------------- -----
THAILAND -- (4.1%)
Other Securities......................................... 267,420,356 4.2%
-------------- -----
TURKEY -- (1.1%)
Other Securities......................................... 74,984,724 1.2%
-------------- -----
TOTAL COMMON STOCKS......................................... 6,116,392,832 97.0%
-------------- -----
PREFERRED STOCKS -- (1.8%)
BRAZIL -- (1.7%)
Cia Energetica de Minas Gerais........................... 8,549,936 25,340,802 0.4%
Other Securities......................................... 87,154,877 1.4%
-------------- -----
TOTAL BRAZIL................................................ 112,495,679 1.8%
-------------- -----
CHILE -- (0.0%)
Other Security........................................... 1,481,062 0.0%
-------------- -----
COLOMBIA -- (0.1%)
Other Securities......................................... 2,444,471 0.0%
-------------- -----
TOTAL PREFERRED STOCKS...................................... 116,421,212 1.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities......................................... 548,174 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES................................. 6,233,362,218
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (4.7%)
@(S) DFA Short Term Investment Fund......................... 26,680,532 308,693,759 4.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $7,023,397,243)..................................... $6,542,055,977 103.7%
============== =====
As of October 31, 2018, The Emerging Markets Small Cap Series had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE MARKET VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ------------ --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R).............................. 650 12/21/18 $33,568,522 $31,092,750 $(2,475,772)
S&P 500(R) Emini Index...................................... 110 12/21/18 15,534,564 14,911,050 (623,514)
----------- ----------- -----------
TOTAL FUTURES CONTRACTS..................................... $49,103,086 $46,003,800 $(3,099,286)
=========== =========== ===========
339
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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..................... $ 514,809,593 -- -- $ 514,809,593
Chile...................... 422,552 $ 105,841,553 -- 106,264,105
China...................... 78,734,496 1,003,015,111 -- 1,081,749,607
Colombia................... 16,370,836 -- -- 16,370,836
Greece..................... -- 22,007,590 -- 22,007,590
Hong Kong.................. 35,718 881,786 -- 917,504
Hungary.................... -- 7,822,621 -- 7,822,621
India...................... 583,029 783,228,010 -- 783,811,039
Indonesia.................. 632,019 168,997,208 -- 169,629,227
Malaysia................... -- 226,634,452 -- 226,634,452
Mexico..................... 182,533,339 56,523 -- 182,589,862
Philippines................ -- 84,312,283 -- 84,312,283
Poland..................... -- 81,825,294 -- 81,825,294
Russia..................... 2,432,481 -- -- 2,432,481
Singapore.................. -- 175,795 -- 175,795
South Africa............... 9,976,614 438,991,007 -- 448,967,621
South Korea................ 2,340,766 989,622,927 -- 991,963,693
Taiwan..................... 363,573 1,051,340,576 -- 1,051,704,149
Thailand................... 267,142,443 277,913 -- 267,420,356
Turkey..................... -- 74,984,724 -- 74,984,724
Preferred Stocks
Brazil..................... 112,495,679 -- -- 112,495,679
Chile...................... -- 1,481,062 -- 1,481,062
Colombia................... 2,444,471 -- -- 2,444,471
Rights/Warrants
Indonesia.................. -- 298,713 -- 298,713
Malaysia................... -- 36,378 -- 36,378
South Korea................ -- 163,751 -- 163,751
Taiwan..................... -- 14,664 -- 14,664
Thailand................... -- 34,668 -- 34,668
Securities Lending Collateral. -- 308,693,759 -- 308,693,759
Futures Contracts**........... (3,099,286) -- -- (3,099,286)
-------------- -------------- -- --------------
TOTAL......................... $1,188,218,323 $5,350,738,368 -- $6,538,956,691
============== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
340
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA THE JAPANESE THE ASIA
LARGE CAP INTERNATIONAL SMALL COMPANY PACIFIC SMALL
VALUE SERIES* VALUE SERIES* SERIES* COMPANY SERIES*
------------- ------------- ------------- ---------------
ASSETS:
Investments at Value (including $1,157,676, $493,832,
$406,977 and $271,854 of securities on loan,
respectively)............................................. $28,970,122 $11,983,670 $3,802,749 $1,719,710
Temporary Cash Investments at Value & Cost.................. 254,326 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $516,703, $488,030, $218,282 and
$102,268)................................................. 516,726 488,072 218,283 102,269
Segregated Cash for Futures Contracts....................... 9,030 4,482 -- --
Foreign Currencies at Value................................. -- 12,447 1,430 2,420
Cash........................................................ -- 120,621 4,682 531
Receivables:
Investment Securities Sold............................... 2,669 9,828 6,042 6,454
Dividends, Interest and Tax Reclaims..................... 36,806 55,078 23,777 906
Securities Lending Income................................ 114 641 1,325 642
Futures Margin Variation................................. 1,941 953 -- --
Unrealized Gain on Foreign Currency Contracts............... -- 19 -- --
----------- ----------- ---------- ----------
Total Assets......................................... 29,791,734 12,675,811 4,058,288 1,832,932
----------- ----------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 516,732 488,058 218,323 102,262
Investment Securities Purchased.......................... 27,826 31,386 5,218 4
Due to Advisor........................................... 2,547 2,123 340 152
Unrealized Loss on Foreign Currency Contracts............... -- 5 -- --
Accrued Expenses and Other Liabilities...................... 1,834 899 310 143
----------- ----------- ---------- ----------
Total Liabilities.................................... 548,939 522,471 224,191 102,561
----------- ----------- ---------- ----------
NET ASSETS.................................................. $29,242,795 $12,153,340 $3,834,097 $1,730,371
=========== =========== ========== ==========
Investments at Cost......................................... $21,537,117 $11,764,956 $3,390,946 $1,814,726
=========== =========== ========== ==========
Foreign Currencies at Cost.................................. $ -- $ 12,472 $ 1,430 $ 2,426
=========== =========== ========== ==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
341
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE EMERGING
THE UNITED THE CONTINENTAL THE CANADIAN MARKETS
KINGDOM SMALL SMALL COMPANY SMALL COMPANY THE EMERGING SMALL CAP
COMPANY SERIES* SERIES* SERIES* MARKETS SERIES* SERIES*
--------------- --------------- ------------- --------------- ------------
ASSETS:
Investments at Value (including $23,348,
$590,451, $201,608, $230,914 and $726,606 of
securities on loan, respectively)............... $2,178,246 $5,387,068 $1,144,094 $5,393,142 $6,233,362
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $25,538,
$589,632, $154,040, $135,201 and $308,689)...... 25,540 589,645 154,044 135,212 308,694
Segregated Cash for Futures Contracts............. -- -- -- 2,578 2,350
Foreign Currencies at Value....................... 1,320 13,899 334 27,579 44,519
Cash.............................................. 2,899 1,750 954 51,986 22,821
Receivables:
Investment Securities Sold..................... 2,448 14,104 489 -- 2,861
Dividends, Interest and Tax Reclaims........... 6,330 10,149 711 5,006 6,765
Securities Lending Income...................... 74 1,375 398 406 4,009
Futures Margin Variation....................... -- -- -- 549 499
Unrealized Gain on Foreign Currency Contracts..... 4 -- -- -- 2
---------- ---------- ---------- ---------- ----------
Total Assets............................... 2,216,861 6,017,990 1,301,024 5,616,458 6,625,882
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... 25,543 589,693 154,033 135,214 308,662
Investment Securities Purchased................ 2,151 5,175 -- 10,731 9,136
Due to Advisor................................. 191 476 103 472 1,105
Unrealized Loss on Foreign Currency Contracts..... -- 1 -- -- 3
Accrued Expenses and Other Liabilities............ 151 385 77 392 674
---------- ---------- ---------- ---------- ----------
Total Liabilities.......................... 28,036 595,730 154,213 146,809 319,580
---------- ---------- ---------- ---------- ----------
NET ASSETS........................................ $2,188,825 $5,422,260 $1,146,811 $5,469,649 $6,306,302
========== ========== ========== ========== ==========
Investments at Cost............................... $2,131,989 $4,806,989 $1,423,202 $4,077,917 $6,714,708
========== ========== ========== ========== ==========
Foreign Currencies at Cost........................ $ 1,320 $ 13,953 $ 334 $ 27,762 $ 45,352
========== ========== ========== ========== ==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
342
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA THE JAPANESE THE ASIA PACIFIC
LARGE CAP INTERNATIONAL SMALL COMPANY SMALL COMPANY
VALUE SERIES# VALUE SERIES# SERIES# SERIES#
------------- ------------- ------------- ----------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $42,705,
$7,880 and $1,125, respectively).......................... $ 663,709 $ 438,823 $ 71,123 $ 70,986
Income from Securities Lending.............................. 2,537 9,055 14,354 7,628
Total Investment Income................................. 666,246 447,878 85,477 78,614
EXPENSES
Investment Management Fees.................................. 29,655 26,161 4,234 1,927
Accounting & Transfer Agent Fees............................ 1,220 546 178 84
Custodian Fees.............................................. 308 1,005 628 342
Shareholders' Reports....................................... -- -- 1 3
Directors'/Trustees' Fees & Expenses........................ 119 54 17 8
Professional Fees........................................... 393 222 64 29
Other....................................................... 599 383 125 56
----------- ----------- --------- ---------
Total Expenses.......................................... 32,294 28,371 5,247 2,449
----------- ----------- --------- ---------
Fees Paid Indirectly (Note C)............................... -- (989) (148) (54)
----------- ----------- --------- ---------
Net Expenses................................................ 32,294 27,382 5,099 2,395
----------- ----------- --------- ---------
NET INVESTMENT INCOME (LOSS)................................ 633,952 420,496 80,378 76,219
----------- ----------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ 1,506,250 410,722 229,342 (55,523)
Affiliated Investment Companies Shares Sold............. (48) (107) (137) (60)
Futures................................................. 32,885 13,338 -- (134)
Foreign Currency Transactions........................... -- (5,911) (2,149) (898)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. (1,356,683) (1,897,300) (628,895) (175,750)
Affiliated Investment Companies Shares.................. (15) 55 71 42
Futures................................................. (21,778) (9,675) -- --
Translation of Foreign Currency Denominated Amounts..... -- (613) 280 (7)
----------- ----------- --------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... 160,611 (1,489,491) (401,488) (232,330)
----------- ----------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $ 794,563 $(1,068,995) $(321,110) $(156,111)
=========== =========== ========= =========
--------
** 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.
343
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE EMERGING
THE UNITED THE CONTINENTAL THE CANADIAN MARKETS
KINGDOM SMALL SMALL COMPANY SMALL COMPANY THE EMERGING SMALL CAP
COMPANY SERIES# SERIES# SERIES# MARKETS SERIES# SERIES#
--------------- --------------- ------------- --------------- ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $115, $21,531, $3,695, $19,000 and
$22,195, respectively)...................... $ 78,294 $ 140,369 $ 21,299 $ 152,477 $ 169,405
Income from Securities Lending................ 1,135 18,943 5,340 5,675 55,213
--------- ----------- --------- --------- -----------
Total Investment Income................... 79,429 159,312 26,639 158,152 224,618
--------- ----------- --------- --------- -----------
EXPENSES
Investment Management Fees.................... 2,377 6,059 1,201 6,237 14,936
Accounting & Transfer Agent Fees.............. 101 254 49 261 312
Custodian Fees................................ 106 737 73 1,790 2,556
Shareholders' Reports......................... 2 -- 4 -- --
Directors'/Trustees' Fees & Expenses.......... 10 24 4 28 31
Professional Fees............................. 36 103 18 305 209
Other......................................... 67 203 32 192 221
--------- ----------- --------- --------- -----------
Total Expenses......................... 2,699 7,380 1,381 8,813 18,265
--------- ----------- --------- --------- -----------
Fees Paid Indirectly (Note C)................. (75) (315) (49) (554) (381)
--------- ----------- --------- --------- -----------
Net Expenses.................................. 2,624 7,065 1,332 8,259 17,884
--------- ----------- --------- --------- -----------
NET INVESTMENT INCOME (LOSS).................. 76,805 152,247 25,307 149,893 206,734
--------- ----------- --------- --------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.............. 85,120 319,242 27,505 83,224 190,607
Affiliated Investment Companies
Shares Sold............................. (9) (101) (19) (12) 3
Futures................................... -- 161 -- (2,079) (241)
Foreign Currency Transactions............. (1,153) (2,498) 120 (1,530) (5,175)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ (373,044) (1,131,028) (185,376) (948,414) (1,594,871)
Affiliated Investment Companies
Shares.................................. -- 78 (3) 7 (30)
Futures................................... -- -- -- (3,369) (4,231)
Translation of Foreign Currency
Denominated Amounts..................... (181) (371) 6 (32) (34)
--------- ----------- --------- --------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....... (289,267) (814,517) (157,767) (872,205) (1,413,972)
--------- ----------- --------- --------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS...................... $(212,462) $ (662,270) $(132,460) $(722,312) $(1,207,238)
========= =========== ========= ========= ===========
--------
** 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.
344
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL VALUE
SERIES SERIES
------------------------ --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2018 OCT 31, 2017
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 633,952 $ 540,980 $ 420,496 $ 373,063
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............................ 1,506,250 1,415,252 410,722 133,582
Affiliated Investment Companies Shares Sold............... (48) (4) (107) 55
Futures................................................... 32,885 22,013 13,338 16,570
Foreign Currency Transactions............................. -- -- (5,911) (2,679)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (1,356,683) 3,199,777 (1,897,300) 2,126,222
Affiliated Investment Companies Shares.................... (15) (95) 55 (73)
Futures................................................... (21,778) 11,932 (9,675) 3,736
Translation of Foreign Currency Denominated Amounts....... -- -- (613) 1,069
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 794,563 5,189,855 (1,068,995) 2,651,545
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions................................................. 2,333,386 2,626,519 1,051,133 995,812
Withdrawals................................................... (1,561,700) (1,056,396) (560,948) (644,747)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions in Interest..... 771,686 1,570,123 490,185 351,065
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets................... 1,566,249 6,759,978 (578,810) 3,002,610
NET ASSETS
Beginning of Year............................................. 27,676,546 20,916,568 12,732,150 9,729,540
----------- ----------- ----------- -----------
End of Year................................................... $29,242,795 $27,676,546 $12,153,340 $12,732,150
=========== =========== =========== ===========
THE JAPANESE SMALL
COMPANY SERIES
------------------------
YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 80,378 $ 65,529
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............................ 229,342 174,661
Affiliated Investment Companies Shares Sold............... (137) 70
Futures................................................... -- --
Foreign Currency Transactions............................. (2,149) (2,843)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (628,895) 616,328
Affiliated Investment Companies Shares.................... 71 (116)
Futures................................................... -- --
Translation of Foreign Currency Denominated Amounts....... 280 489
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. (321,110) 854,118
---------- ----------
Transactions in Interest:
Contributions................................................. 364,251 195,960
Withdrawals................................................... (198,093) (193,623)
---------- ----------
Net Increase (Decrease) from Transactions in Interest..... 166,158 2,337
---------- ----------
Total Increase (Decrease) in Net Assets................... (154,952) 856,455
NET ASSETS
Beginning of Year............................................. 3,989,049 3,132,594
---------- ----------
End of Year................................................... $3,834,097 $3,989,049
========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
See accompanying Notes to Financial Statements.
345
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE ASIA PACIFIC SMALL THE UNITED KINGDOM SMALL
COMPANY SERIES COMPANY SERIES
------------------------ ------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2018 OCT 31, 2017
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 76,219 $ 63,045 $ 76,805 $ 68,684
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............................ (55,523) 57,205 85,120 68,209
Affiliated Investment Companies Shares Sold............... (60) 63 (9) 2
Futures................................................... (134) -- -- --
Foreign Currency Transactions............................. (898) (697) (1,153) 330
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (175,750) 131,297 (373,044) 383,963
Affiliated Investment Companies Shares.................... 42 (85) -- (8)
Translation of Foreign Currency Denominated Amounts....... (7) (7) (181) 206
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. (156,111) 250,821 (212,462) 521,386
---------- ---------- ---------- ----------
Transactions in Interest:
Contributions................................................. 199,024 110,964 120,516 158,197
Withdrawals................................................... (128,247) (101,816) (49,141) (33,136)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest..... 70,777 9,148 71,375 125,061
---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets................... (85,334) 259,969 (141,087) 646,447
NET ASSETS
Beginning of Year............................................. 1,815,705 1,555,736 2,329,912 1,683,465
---------- ---------- ---------- ----------
End of Year................................................... $1,730,371 $1,815,705 $2,188,825 $2,329,912
========== ========== ========== ==========
THE CONTINENTAL SMALL
COMPANY SERIES
------------------------
YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 152,247 $ 114,873
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............................ 319,242 217,209
Affiliated Investment Companies Shares Sold............... (101) 32
Futures................................................... 161 --
Foreign Currency Transactions............................. (2,498) 992
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (1,131,028) 1,106,864
Affiliated Investment Companies Shares.................... 78 (119)
Translation of Foreign Currency Denominated Amounts....... (371) 303
----------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. (662,270) 1,440,154
----------- ----------
Transactions in Interest:
Contributions................................................. 480,253 303,976
Withdrawals................................................... (146,782) (140,996)
----------- ----------
Net Increase (Decrease) from Transactions in Interest..... 333,471 162,980
----------- ----------
Total Increase (Decrease) in Net Assets................... (328,799) 1,603,134
NET ASSETS
Beginning of Year............................................. 5,751,059 4,147,925
----------- ----------
End of Year................................................... $ 5,422,260 $5,751,059
=========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
See accompanying Notes to Financial Statements.
346
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE CANADIAN SMALL THE EMERGING MARKETS
COMPANY SERIES SERIES
------------------------ ------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2018 OCT 31, 2017
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 25,307 $ 24,738 $ 149,893 $ 128,502
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. 27,505 (39,064) 83,224 (7,795)
Affiliated Investment Companies Shares Sold................. (19) 21 (12) (8)
Futures..................................................... -- -- (2,079) 8,355
Foreign Currency Transactions............................... 120 (26) (1,530) (35)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (185,376) 137,860 (948,414) 1,213,036
Affiliated Investment Companies Shares...................... (3) (28) 7 (19)
Futures..................................................... -- -- (3,369) 929
Translation of Foreign Currency Denominated Amounts......... 6 (7) (32) (69)
---------- ---------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (132,460) 123,494 (722,312) 1,342,896
---------- ---------- ----------- ----------
Transactions in Interest:
Contributions................................................... 136,490 269,073 667,220 738,457
Withdrawals..................................................... (47,441) (135,609) (1,198,466) (355,877)
---------- ---------- ----------- ----------
Net Increase (Decrease) from Transactions in
Interest............................................... 89,049 133,464 (531,246) 382,580
---------- ---------- ----------- ----------
Total Increase (Decrease) in Net Assets..................... (43,411) 256,958 (1,253,558) 1,725,476
NET ASSETS
Beginning of Year............................................... 1,190,222 933,264 6,723,207 4,997,731
---------- ---------- ----------- ----------
End of Year..................................................... $1,146,811 $1,190,222 $ 5,469,649 $6,723,207
========== ========== =========== ==========
THE EMERGING MARKETS SMALL
CAP SERIES
------------------------
YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 206,734 $ 176,036
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. 190,607 173,946
Affiliated Investment Companies Shares Sold................. 3 23
Futures..................................................... (241) 9,284
Foreign Currency Transactions............................... (5,175) 79
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (1,594,871) 923,325
Affiliated Investment Companies Shares...................... (30) (73)
Futures..................................................... (4,231) 843
Translation of Foreign Currency Denominated Amounts......... (34) (193)
----------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (1,207,238) 1,283,270
----------- ----------
Transactions in Interest:
Contributions................................................... 667,652 959,649
Withdrawals..................................................... (407,569) (505,109)
----------- ----------
Net Increase (Decrease) from Transactions in
Interest............................................... 260,083 454,540
----------- ----------
Total Increase (Decrease) in Net Assets..................... (947,155) 1,737,810
NET ASSETS
Beginning of Year............................................... 7,253,457 5,515,647
----------- ----------
End of Year..................................................... $ 6,306,302 $7,253,457
=========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
See accompanying Notes to Financial Statements.
347
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015 OCT 31, 2014
------------ ------------ ------------ ------------ ------------
Total Return...................................... 2.95% 24.31% 4.75% 1.32% 15.67%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)............... $29,242,795 $27,676,546 $20,916,568 $19,094,057 $18,376,682
Ratio of Expenses to Average Net Assets........... 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.14% 2.19% 2.39% 2.20% 1.90%
Portfolio Turnover Rate........................... 13% 15% 15% 16% 15%
----------- ----------- ----------- ----------- -----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
348
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE DFA INTERNATIONAL VALUE SERIES
------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015 OCT 31, 2014
------------ ------------ ------------ ------------ ------------
Total Return...................................... (8.10%) 26.53% (0.10%) (5.35%) (0.72%)
----------- ----------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............... $12,153,340 $12,732,150 $9,729,540 $9,227,905 $9,343,666
Ratio of Expenses to Average Net Assets........... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.21% 3.33% 3.72% 3.31% 4.50%
Portfolio Turnover Rate........................... 20% 17% 17% 21% 17%
----------- ----------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
349
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015 OCT 31, 2014
------------ ------------ ------------ ------------ ------------
Total Return...................................... (7.46%) 27.10% 14.53% 9.04% 2.46%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............... $3,834,097 $3,989,049 $3,132,594 $2,631,688 $2,505,409
Ratio of Expenses to Average Net Assets........... 0.12% 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.12% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.90% 1.90% 1.99% 1.69% 1.71%
Portfolio Turnover Rate........................... 17% 13% 10% 6% 9%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
350
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE ASIA PACIFIC SMALL COMPANY SERIES
-----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015 OCT 31, 2014
------------ ------------ ------------ ------------ ------------
Total Return...................................... (8.14%) 16.21% 16.69% (11.83%) (3.46%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............... $1,730,371 $1,815,705 $1,555,736 $1,228,274 $1,453,786
Ratio of Expenses to Average Net Assets........... 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid............................
Indirectly)....................................... 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.96% 3.82% 4.00% 4.17% 3.96%
Portfolio Turnover Rate........................... 18% 14% 10% 7% 7%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
351
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE UNITED KINGDOM SMALL COMPANY SERIES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Total Return................................................ (8.90%) 29.87% (15.82%) 9.95% 1.22%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $2,188,825 $2,329,912 $1,683,465 $2,084,113 $1,995,898
Ratio of Expenses to Average Net Assets..................... 0.11% 0.12% 0.12% 0.11% 0.11%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly).......................................... 0.11% 0.12% 0.12% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets........ 3.23% 3.40% 4.36% 3.44% 2.98%
Portfolio Turnover Rate..................................... 14% 9% 15% 10% 8%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
352
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE CONTINENTAL SMALL COMPANY SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Total Return...................................... (10.78%) 34.27% 6.10% 9.81% (2.25%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............... $5,422,260 $5,751,059 $4,147,925 $3,653,743 $3,152,277
Ratio of Expenses to Average Net Assets........... 0.12% 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.12% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.51% 2.33% 2.49% 2.44% 2.40%
Portfolio Turnover Rate........................... 15% 13% 9% 14% 13%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
353
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE CANADIAN SMALL COMPANY SERIES
------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- -------- -------- --------
Total Return.......................................................... (10.44%) 12.10% 20.77% (25.00%) (3.83%)
---------- ---------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $1,146,811 $1,190,222 $933,264 $623,132 $849,429
Ratio of Expenses to Average Net Assets............................... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)......................................................... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets.................. 2.11% 2.14% 2.52% 2.73% 2.42%
Portfolio Turnover Rate............................................... 14% 22% 8% 18% 5%
---------- ---------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
354
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE EMERGING MARKETS SERIES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Total Return................................................. (11.83%) 25.26% 11.44% (14.86%) 1.74%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).......................... $5,469,649 $6,723,207 $4,997,731 $4,403,555 $4,185,451
Ratio of Expenses to Average Net Assets...................... 0.14% 0.15% 0.15% 0.16% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly).................................................. 0.14% 0.15% 0.15% 0.16% 0.15%
Ratio of Net Investment Income to Average Net Assets......... 2.40% 2.23% 2.45% 2.39% 2.51%
Portfolio Turnover Rate...................................... 12% 8% 5% 9% 5%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
355
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE EMERGING MARKETS SMALL CAP SERIES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Total Return................................................. (16.06%) 21.55% 14.45% (9.42%) 5.60%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).......................... $6,306,302 $7,253,457 $5,515,647 $4,898,307 $4,921,438
Ratio of Expenses to Average Net Assets...................... 0.24% 0.27% 0.26% 0.26% 0.26%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly).................................................. 0.24% 0.27% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to Average Net Assets......... 2.77% 2.78% 2.89% 2.62% 2.48%
Portfolio Turnover Rate...................................... 12% 15% 18% 18% 9%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
356
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940, The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports. The Series are investment
companies, and accordingly, follow the accounting and reporting guidance under
the 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, the
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 use 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,
and 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
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.
357
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 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 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 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 methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
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 foreign
currency rate fluctuations 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.
358
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 of
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
to participate 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: the 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.
The Trustees may receive their distributions of proceeds by 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. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Trustee
ceases to be a member of the Board of Trustees of the Trust; and (ii) five
years following the effective date of the Trustee's first deferral election. If
a Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 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
received distributions 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,
using 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. Additionally, 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 tax on short-term capital gains for investments in India. Such taxes
are accrued on a daily basis and due upon sale of individual securities.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 2018, 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%
359
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:
Additionally, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of each Series' net assets.
During the year ended October 31, 2018, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series.......................... $989
The Japanese Small Company Series........................... 148
The Asia Pacific Small Company Series....................... 54
The United Kingdom Small Company Series..................... 75
The Continental Small Company Series........................ 315
The Canadian Small Company Series........................... 49
The Emerging Markets Series................................. 554
The Emerging Markets Small Cap Series....................... 381
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended October 31, 2018, the total related amounts paid by the Trust to
the CCO were $87 (in thousands). The total related amounts paid by each of the
Series are included in Other Expenses on the Statements of Operations.
D. DEFERRED COMPENSATION:
As of October 31, 2018, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities on the
Statements of Assets and Liabilities as follows (amounts in thousands):
The U.S. Large Cap Value Series............................. $617
The DFA International Value Series.......................... 376
The Japanese Small Company Series........................... 94
The Asia Pacific Small Company Series....................... 48
The United Kingdom Small Company Series..................... 61
The Continental Small Company Series........................ 122
The Canadian Small Company Series........................... 29
The Emerging Markets Series................................. 154
The Emerging Markets Small Cap Series....................... 135
360
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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............................. $5,543,488 $3,723,399
The DFA International Value Series.......................... $3,403,827 $2,545,630
The Japanese Small Company Series........................... $ 976,847 $ 719,764
The Asia Pacific Small Company Series....................... $ 510,299 $ 343,622
The United Kingdom Small Company Series..................... $ 524,714 $ 331,876
The Continental Small Company Series........................ $1,375,712 $ 893,142
The Canadian Small Company Series........................... $ 322,055 $ 164,166
The Emerging Markets Series................................. $ 745,874 $1,110,431
The Emerging Markets Small Cap Series....................... $1,317,097 $ 847,123
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES AT PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF
10/31/17 COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2018 OCTOBER 31, 2018
---------- ------------ ---------- ------------ ------------- ---------------- ----------------
THE U.S. LARGE CAP VALUE
SERIES
The DFA Short Term Investment
Fund........................ $522,421 $5,227,508 $5,233,140 $ (48) $(15) $516,726 44,661
-------- ---------- ---------- ----- ---- -------- ------
TOTAL $522,421 $5,227,508 $5,233,140 $ (48) $(15) $516,726 44,661
======== ========== ========== ===== ==== ======== ======
THE DFA INTERNATIONAL VALUE
SERIES
The DFA Short Term Investment
Fund........................ $593,861 $6,403,288 $6,509,025 $(107) $ 55 $488,072 42,184
-------- ---------- ---------- ----- ---- -------- ------
TOTAL $593,861 $6,403,288 $6,509,025 $(107) $ 55 $488,072 42,184
======== ========== ========== ===== ==== ======== ======
THE JAPANESE SMALL COMPANY
SERIES
The DFA Short Term Investment
Fund........................ $399,385 $1,131,735 $1,312,771 $(137) $ 71 $218,283 18,866
-------- ---------- ---------- ----- ---- -------- ------
TOTAL $399,385 $1,131,735 $1,312,771 $(137) $ 71 $218,283 18,866
======== ========== ========== ===== ==== ======== ======
THE ASIA PACIFIC SMALL
COMPANY SERIES
The DFA Short Term Investment
Fund........................ $257,951 $ 378,152 $ 533,816 $ (60) $ 42 $102,269 8,839
-------- ---------- ---------- ----- ---- -------- ------
TOTAL $257,951 $ 378,152 $ 533,816 $ (60) $ 42 $102,269 8,839
======== ========== ========== ===== ==== ======== ======
DIVIDEND CAPITAL GAIN
INCOME DISTRIBUTIONS
-------- -------------
THE U.S. LARGE CAP VALUE
SERIES
The DFA Short Term Investment
Fund........................ $11,998 --
------- --
TOTAL $11,998 --
======= ==
THE DFA INTERNATIONAL VALUE
SERIES
The DFA Short Term Investment
Fund........................ $15,317 --
------- --
TOTAL $15,317 --
======= ==
THE JAPANESE SMALL COMPANY
SERIES
The DFA Short Term Investment
Fund........................ $ 5,579 --
------- --
TOTAL $ 5,579 --
======= ==
THE ASIA PACIFIC SMALL
COMPANY SERIES
The DFA Short Term Investment
Fund........................ $ 3,391 --
------- --
TOTAL $ 3,391 --
======= ==
361
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES AT PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF
10/31/17 COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2018 OCTOBER 31, 2018
---------- ------------ ---------- ------------ ------------- ---------------- ----------------
THE UNITED KINGDOM SMALL
COMPANY SERIES
The DFA Short Term Investment
Fund........................ $ 53,700 $ 426,909 $ 455,060 $ (9) -- $ 25,540 2,207
-------- ---------- ---------- ----- ---- -------- ------
TOTAL......................... $ 53,700 $ 426,909 $ 455,060 $ (9) -- $ 25,540 2,207
======== ========== ========== ===== ==== ======== ======
THE CONTINENTAL SMALL COMPANY
SERIES
The DFA Short Term Investment
Fund........................ $470,885 $1,938,694 $1,819,911 $(101) $ 78 $589,645 50,963
-------- ---------- ---------- ----- ---- -------- ------
TOTAL......................... $470,885 $1,938,694 $1,819,911 $(101) $ 78 $589,645 50,963
======== ========== ========== ===== ==== ======== ======
THE CANADIAN SMALL COMPANY
SERIES
The DFA Short Term Investment
Fund........................ $212,919 $ 889,834 $ 948,687 $ (19) $ (3) $154,044 13,314
-------- ---------- ---------- ----- ---- -------- ------
TOTAL......................... $212,919 $ 889,834 $ 948,687 $ (19) $ (3) $154,044 13,314
======== ========== ========== ===== ==== ======== ======
THE EMERGING MARKETS SERIES
The DFA Short Term Investment
Fund........................ $202,669 $1,518,860 $1,586,312 $ (12) $ 7 $135,212 11,686
-------- ---------- ---------- ----- ---- -------- ------
TOTAL......................... $202,669 $1,518,860 $1,586,312 $ (12) $ 7 $135,212 11,686
======== ========== ========== ===== ==== ======== ======
THE EMERGING MARKETS SMALL
CAP SERIES
The DFA Short Term Investment
Fund........................ $584,551 $ 765,590 $1,041,420 $ 3 $(30) $308,694 26,681
-------- ---------- ---------- ----- ---- -------- ------
TOTAL......................... $584,551 $ 765,590 $1,041,420 $ 3 $(30) $308,694 26,681
======== ========== ========== ===== ==== ======== ======
DIVIDEND CAPITAL GAIN
INCOME DISTRIBUTIONS
-------- -------------
THE UNITED KINGDOM SMALL
COMPANY SERIES
The DFA Short Term Investment
Fund........................ $ 1,181 --
------- --
TOTAL......................... $ 1,181 --
======= ==
THE CONTINENTAL SMALL COMPANY
SERIES
The DFA Short Term Investment
Fund........................ $10,663 --
------- --
TOTAL......................... $10,663 --
======= ==
THE CANADIAN SMALL COMPANY
SERIES
The DFA Short Term Investment
Fund........................ $ 3,462 --
------- --
TOTAL......................... $ 3,462 --
======= ==
THE EMERGING MARKETS SERIES
The DFA Short Term Investment
Fund........................ $ 4,144 --
------- --
TOTAL......................... $ 4,144 --
======= ==
THE EMERGING MARKETS SMALL
CAP SERIES
The DFA Short Term Investment
Fund........................ $ 8,657 --
------- --
TOTAL......................... $ 8,657 --
======= ==
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.
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
The U.S. Large Cap Value Series............................. $22,308,146 $8,353,529 $ (934,220) $7,419,309
The DFA International Value Series.......................... 12,252,986 1,301,440 (1,089,475) 211,965
362
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
The Japanese Small Company Series........................... $3,609,228 $ 761,853 $ (350,049) $ 411,804
The Asia Pacific Small Company Series....................... 1,916,994 282,504 (377,519) (95,015)
The United Kingdom Small Company Series..................... 2,157,527 405,786 (359,527) 46,259
The Continental Small Company Series........................ 5,396,621 1,297,062 (716,970) 580,092
The Canadian Small Company Series........................... 1,577,242 146,420 (425,524) (279,104)
The Emerging Markets Series................................. 4,213,118 1,784,917 (472,387) 1,312,530
The Emerging Markets Small Cap Series....................... 7,023,397 1,092,377 (1,576,818) (484,441)
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in any Series' financial statements. The Series are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Series' federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The International 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 a Series as an unrealized gain or loss, which is presented in the
Statements of Operations as the change in unrealized appreciation or
depreciation from translation of foreign-currency-denominated amounts. When the
contract is closed or offset with the same counterparty, the Series records a
realized gain or loss equal to the change in the value of the contract when it
was opened and the value at the time it was closed or offset. This is presented
in the Statements of Operations as a net realized gain or loss on foreign
currency transactions. As of October 31, 2018, the International Equity Series
had no outstanding forward currency contracts.
363
3. 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 in an amount 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 entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. Entering into stock index futures subjects the
Series to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2018 (amounts in thousands):
FUTURES
--------
The U.S. Large Cap Value Series............................. $203,773
The DFA International Value Series.......................... 108,115
The Asia Pacific Small Company Series....................... 2,013
The Emerging Markets Series................................. 44,889
The Emerging Markets Small Cap Series....................... 49,628
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2018 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
------------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2018 CONTRACTS*,(1)
---------------- --------------
The U.S. Large Cap Value Series............................. $(13,718) $(13,718)
The DFA International Value Series.......................... (6,791) (6,791)
The Emerging Markets Series................................. (2,706) (2,706)
The Emerging Markets Small Cap Series....................... (3,099) (3,099)
(1)Presented on Statements of Assets and Liabilities as Payables: Futures
Margin Variation.
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
364
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the year ended October 31, 2018 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-------------------------------
EQUITY
TOTAL CONTRACTS (1)
-------- -------------
The U.S. Large Cap Value Series............................. $ 32,885 $ 32,885
The DFA International Value Series.......................... 13,338 13,338
The Asia Pacific Small Company Series....................... (134) (134)*
The Continental Small Company Series........................ 161 161*
The Emerging Markets Series................................. (2,079) (2,079)
The Emerging Markets Small Cap Series....................... (241) (241)
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
-------------------------------
EQUITY
TOTAL CONTRACTS (2)
-------- -------------
The U.S. Large Cap Value Series............................. $(21,778) $(21,778)
The DFA International Value Series.......................... (9,675) (9,675)
The Emerging Markets Series................................. (3,369) (3,369)
The Emerging Markets Small Cap Series....................... (4,231) (4,231)
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(2)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
* As of October 31, 2018, there were no futures contracts outstanding. During
the year ended October 31, 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.
365
For the year ended October 31, 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......... 2.36% $ 1,921 14 $ 2 $ 8,641
The Asia Pacific Small
Company Series......... 2.24% 1,559 16 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................. 2.21% 20,086 11 12 117,083
The Emerging Markets
Small Cap Series....... 2.35% 4,229 15 4 10,350
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2018, that each Series' available
line of credit was used.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 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.
lnterfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not use the interfund lending program during the year ended
October 31, 2018.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 a common investment advisor (or affiliated investment
advisors), common Trustees and/or common Officers. At its regularly scheduled
meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the year ended October 31, 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............................. $543,066 $194,550 $ (7,741)
The DFA International Value Series.......................... 152,750 118,896 8,056
The Japanese Small Company Series........................... 93,194 63,061 (33,589)
The Asia Pacific Small Company Series....................... 36,855 85,500 (57,769)
The United Kingdom Small Company Series..................... 23,905 20,556 (25,020)
The Continental Small Company Series........................ 67,369 59,514 (31,813)
The Canadian Small Company Series........................... 36,652 8,276 636
The Emerging Markets Series................................. 6,305 2,737 (757)
366
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------ --------------------
The Emerging Markets Small Cap Series....................... $13,649 $6,267 $1,217
J. SECURITIES LENDING:
As of October 31, 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............................. $668,401
The DFA International Value Series.......................... 26,616
The Japanese Small Company Series........................... 210,816
The Asia Pacific Small Company Series....................... 192,107
The United Kingdom Small Company Series..................... 1,195
The Continental Small Company Series........................ 59,659
The Canadian Small Company Series........................... 59,427
The Emerging Markets Series................................. 109,544
The Emerging Markets Small Cap Series....................... 470,789
Each Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and 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 their stated investment policies, each Series with securities on
loan will generally invest the cash collateral received for the loaned
securities in The DFA Short Term Investment Fund (the "Money Market Series"),
an affiliated registered money market fund advised by the Advisor for which the
Advisor receives a management fee of 0.05% of the average daily net assets of
the Money Market Series. Income received from the Money Market Series is netted
with fees for securities lending and collateral investment expenses and with
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 or
unaffiliated money market funds that are registered or unregistered. For
purposes of this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. Additionally, 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 for taxation at qualified dividend income rates.
367
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 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............................................ $516,725,797 -- -- -- $516,725,797
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks............................................ 488,071,641 -- -- -- 488,071,641
THE JAPANESE SMALL COMPANY SERIES
Common Stocks............................................ 218,282,913 -- -- -- 218,282,913
THE ASIA PACIFIC SMALL COMPANY SERIES
Common Stocks............................................ 102,268,796 -- -- -- 102,268,796
THE UNITED KINGDOM SMALL COMPANY SERIES
Common Stocks............................................ 25,539,665 -- -- -- 25,539,665
THE CONTINENTAL SMALL COMPANY SERIES
Common Stocks, Preferred Stocks, Rights/Warrants......... 589,645,154 -- -- -- 589,645,154
THE CANADIAN SMALL COMPANY SERIES
Common Stocks, Rights/Warrants........................... 154,044,207 -- -- -- 154,044,207
THE EMERGING MARKETS SERIES
Common Stocks............................................ 135,211,841 -- -- -- 135,211,841
THE EMERGING MARKETS SMALL CAP SERIES
Common Stocks............................................ 308,693,759 -- -- -- 308,693,759
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Series' early adoption of certain of the ASU 2018-13
368
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Series' financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Series' adoption of
these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Series' net assets or results of operations.
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 Circuit,
and the District Court advised that it would 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; the District Court has stayed this request pending the
Second Circuit's review of its prior decision with respect to the Individual
Creditor Actions.
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.
369
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 on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
370
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The U.S. Large Cap Value Series, The DFA International Value Series, The
Japanese Small Company Series, The Asia Pacific Small Company Series, The
United Kingdom Small Company Series, The Continental Small Company Series, The
Canadian Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, of The U.S. Large Cap
Value Series, The DFA International Value Series, The Japanese Small Company
Series, The Asia Pacific Small Company Series, The United Kingdom Small Company
Series, The Continental Small Company Series, The Canadian Small Company
Series, The Emerging Markets Series and The Emerging Markets Small Cap Series
(nine of the series constituting The DFA Investment Trust Company, hereafter
collectively referred to as the "Series") as of October 31, 2018, the related
statements of operations for the year ended October 31, 2018, the statements of
changes in net assets for each of the two years in the period ended October 31,
2018, including the related notes, and the financial highlights for each of the
five years in the period ended October 31, 2018 (collectively referred to as
the "financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of each of the Series
as of October 31, 2018, the results of each of their operations for the year
then ended, the changes in each of their net assets for each of the two years
in the period ended October 31, 2018, and each of the financial highlights for
each of the five years in the period ended October 31, 2018 in conformity with
accounting principles generally accepted in the United States of America.
BASIS FOR OPINIONS
These financial statements are the responsibility of the Series' management.
Our responsibility is to express an opinion on the Series' financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) ("PCAOB") and are required
to be independent with respect to the Series in accordance with the U.S.
federal securities laws and the applicable rules and regulations of the
Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodians, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
371
DIMENSIONAL EMERGING MARKETS VALUE FUND
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DIMENSIONAL EMERGING MARKETS VALUE FUND VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2008-October 31, 2018
[CHART]
Dimensional Emerging MSCI Emerging Markets
Markets Value Fund Index (net dividends)
-------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,245 9,247
12/31/2008 10,386 9,968
1/31/2009 9,453 9,325
2/28/2009 8,650 8,799
3/31/2009 10,151 10,063
4/30/2009 12,149 11,738
5/31/2009 14,890 13,743
6/30/2009 14,708 13,558
7/31/2009 16,688 15,083
8/31/2009 16,819 15,029
9/30/2009 18,377 16,393
10/31/2009 17,946 16,413
11/30/2009 19,096 17,118
12/31/2009 20,051 17,794
1/31/2010 18,916 16,802
2/28/2010 19,069 16,861
3/31/2010 20,750 18,222
4/30/2010 20,891 18,443
5/31/2010 18,711 16,821
6/30/2010 18,829 16,697
7/31/2010 20,581 18,088
8/31/2010 20,212 17,736
9/30/2010 22,647 19,707
10/31/2010 23,429 20,280
11/30/2010 22,678 19,744
12/31/2010 24,572 21,153
1/31/2011 23,806 20,579
2/28/2011 23,421 20,387
3/31/2011 24,772 21,586
4/30/2011 25,663 22,256
5/31/2011 24,693 21,672
6/30/2011 24,191 21,338
7/31/2011 23,998 21,244
8/31/2011 21,571 19,345
9/30/2011 17,706 16,525
10/31/2011 20,039 18,714
11/30/2011 19,030 17,466
12/31/2011 18,354 17,256
1/31/2012 20,907 19,213
2/29/2012 22,184 20,364
3/31/2012 21,237 19,684
4/30/2012 20,554 19,449
5/31/2012 18,283 17,268
6/30/2012 19,116 17,934
7/31/2012 19,002 18,284
8/31/2012 19,273 18,223
9/30/2012 20,518 19,323
10/31/2012 20,259 19,206
11/30/2012 20,491 19,450
12/31/2012 21,991 20,401
1/31/2013 22,352 20,682
2/28/2013 21,987 20,422
3/31/2013 21,806 20,070
4/30/2013 22,003 20,222
5/31/2013 21,382 19,703
6/30/2013 19,587 18,448
7/31/2013 19,976 18,641
8/31/2013 19,560 18,321
9/30/2013 21,009 19,512
10/31/2013 21,968 20,460
11/30/2013 21,449 20,161
12/31/2013 21,241 19,870
1/31/2014 19,764 18,580
2/28/2014 20,208 19,195
3/31/2014 21,115 19,784
4/30/2014 21,261 19,850
5/31/2014 22,132 20,543
6/30/2014 22,718 21,089
7/31/2014 23,154 21,497
8/31/2014 23,676 21,981
9/30/2014 21,748 20,352
10/31/2014 21,728 20,592
11/30/2014 21,374 20,374
12/31/2014 20,389 19,435
1/31/2015 20,228 19,552
2/28/2015 20,954 20,157
3/31/2015 20,373 19,870
4/30/2015 22,400 21,399
5/31/2015 21,410 20,542
6/30/2015 20,738 20,008
7/31/2015 19,085 18,621
8/31/2015 17,356 16,937
9/30/2015 16,783 16,428
10/31/2015 17,828 17,599
11/30/2015 17,140 16,913
12/31/2015 16,630 16,536
1/31/2016 15,703 15,463
2/29/2016 15,801 15,438
3/31/2016 18,138 17,481
4/30/2016 18,629 17,576
5/31/2016 17,427 16,920
6/30/2016 18,385 17,596
7/31/2016 19,548 18,482
8/31/2016 19,913 18,941
9/30/2016 20,200 19,185
10/31/2016 20,644 19,230
11/30/2016 19,929 18,345
12/31/2016 20,019 18,386
1/31/2017 21,292 19,392
2/28/2017 22,270 19,985
3/31/2017 22,887 20,490
4/30/2017 23,063 20,939
5/31/2017 23,484 21,558
6/30/2017 23,554 21,775
7/31/2017 24,819 23,073
8/31/2017 25,451 23,587
9/30/2017 24,894 23,493
10/31/2017 25,781 24,317
11/30/2017 25,919 24,366
12/31/2017 26,885 25,240
1/31/2018 29,257 27,344
2/28/2018 27,887 26,083
3/31/2018 27,517 25,598
4/30/2018 27,627 25,485
5/31/2018 26,445 24,582
6/30/2018 25,011 23,560
7/31/2018 26,162 24,078
8/31/2018 25,546 23,427
9/30/2018 25,581 23,303
10/31/2018 23,444 21,273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
------------ --------- -------- --------
-9.06% 1.31% 8.89%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------------------------
372
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Performance of non-U.S. developed markets was negative for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed both large-cap and small-cap stocks. Value stocks underperformed
growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index..................................... -6.76%
MSCI World ex USA Mid Cap Index............................. -8.02%
MSCI World ex USA Small Cap Index........................... -7.75%
MSCI World ex USA Value Index............................... -7.54%
MSCI World ex USA Growth Index.............................. -6.01%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against currencies of most other developed markets. Overall, currency movements
had a negative impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP ------------ ----------------------
Japan....................................................... -4.22% -3.56%
United Kingdom.............................................. -0.91% -4.65%
France...................................................... -4.30% -6.92%
Canada...................................................... -4.08% -5.84%
Germany..................................................... -12.26% -14.66%
Switzerland................................................. 0.19% -0.72%
Australia................................................... 2.96% -4.83%
Hong Kong................................................... -8.47% -8.88%
Netherlands................................................. -7.68% -9.99%
Spain....................................................... -13.55% -15.92%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
Emerging markets had negative performance for the period, underperforming
both the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap
stocks, a subset of the large-cap universe, outperformed both large-cap and
small-cap stocks. Value stocks outperformed growth stocks as measured by the
MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index................................. -12.52%
MSCI Emerging Markets Mid Cap Index......................... -11.85%
MSCI Emerging Markets Small Cap Index....................... -17.21%
MSCI Emerging Markets Value Index........................... -8.27%
MSCI Emerging Markets Growth Index.......................... -16.70%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against most emerging markets currencies. Overall, currency movements had a
negative impact on the U.S. dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ ----------------------
China....................................................... -16.33% -16.73%
373
Korea....................................................... -18.52% -19.90%
Taiwan...................................................... -6.62% -8.98%
India....................................................... -0.01% -12.42%
Brazil...................................................... 18.95% 4.76%
South Africa................................................ -13.80% -17.45%
Russia...................................................... 22.79% 10.69%
Mexico...................................................... -9.54% -14.55%
Thailand.................................................... 4.01% 4.23%
Malaysia.................................................... -0.18% 0.99%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2018,
these differences generally detracted from the Portfolios' relative performance.
DIMENSIONAL EMERGING MARKETS VALUE FUND
The Dimensional Emerging Markets Value Fund is designed to capture the
returns of value stocks of large and small companies in selected emerging
markets. Value is measured primarily by price-to-book ratio. In assessing
profitability, Dimensional may consider such factors as earnings or profits
from operations relative to book value or assets. The investment strategy is
process driven, emphasizing broad diversification with increased exposure to
smaller total market capitalizations, lower relative price (value) stocks, and
higher-profitability stocks within the value segment of emerging markets. As of
October 31, 2018, the Fund held approximately 2,600 securities across 19
eligible emerging markets. In general, average cash exposure throughout the
year was less than 1% of the Fund's assets.
For the 12 months ended October 31, 2018, total returns were -9.06% for the
Fund and -12.52% for the MSCI Emerging Markets Index (net dividends), the
Fund's benchmark. As a result of the Fund's diversified investment approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Fund's focus on low
relative price (value) stocks had a positive impact on performance relative to
the benchmark, as value stocks outperformed high relative price (growth) stocks
in emerging markets for the period. Conversely, with small-cap stocks
underperforming large-cap stocks, the Fund's inclusion of small-caps detracted
from performance relative to the benchmark (which is composed primarily of
large- and mid-cap stocks).
374
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 and 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"
reflects 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.
375
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------
Actual Fund Return
Institutional Class Shares............................... $1,000.00 $ 848.60 0.12% $0.56
Hypothetical 5% Annual Return
Institutional Class Shares............................... $1,000.00 $1,024.60 0.12% $0.61
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
376
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on September 28, 2018. They are available
upon request, without charge, by calling collect: (512) 306-7400; by mailing a
request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One,
Austin, TX 78746; by visiting the SEC's website at http://www.sec.gov; or by
visiting 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; by mailing a request to Dimensional Fund Advisors LP,
6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC's
website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this 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
Communication Services...................................... 4.4%
Consumer Discretionary...................................... 7.0%
Consumer Staples............................................ 3.2%
Energy...................................................... 16.5%
Financials.................................................. 28.1%
Health Care................................................. 1.1%
Industrials................................................. 9.0%
Information Technology...................................... 7.6%
Materials................................................... 17.8%
Real Estate................................................. 3.8%
Utilities................................................... 1.5%
100.0%
377
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
COMMON STOCKS -- (96.8%)
BRAZIL -- (9.1%)
Petroleo Brasileiro SA, Sponsored ADR............................ 14,367,145 $ 212,921,089 1.3%
Petroleo Brasileiro SA, Sponsored ADR............................ 11,860,183 192,727,974 1.2%
Vale SA.......................................................... 25,779,178 392,835,471 2.4%
Vale SA, Sponsored ADR........................................... 16,255,951 245,464,858 1.5%
Other Securities................................................. 488,493,356 2.8%
-------------- ----
TOTAL BRAZIL......................................................... 1,532,442,748 9.2%
-------------- ----
CHILE -- (1.5%)
Other Securities................................................. 252,856,404 1.5%
-------------- ----
CHINA -- (17.3%)
Agricultural Bank of China, Ltd., Class H........................ 174,752,000 76,922,301 0.5%
Bank of China, Ltd., Class H..................................... 319,537,817 136,136,324 0.8%
China Construction Bank Corp., Class H........................... 456,403,101 362,177,201 2.2%
China Mobile, Ltd................................................ 26,696,500 250,089,559 1.5%
China Overseas Land & Investment, Ltd............................ 28,630,000 90,008,084 0.6%
China Petroleum & Chemical Corp., ADR............................ 1,096,853 88,472,147 0.5%
China Resources Land, Ltd........................................ 21,320,000 72,513,561 0.4%
CNOOC, Ltd....................................................... 86,560,000 147,409,849 0.9%
Industrial & Commercial Bank of China, Ltd., Class H............. 347,978,996 236,094,205 1.4%
PetroChina Co., Ltd., Class H.................................... 132,694,000 95,410,082 0.6%
Other Securities................................................. 1,350,954,972 8.0%
-------------- ----
TOTAL CHINA.......................................................... 2,906,188,285 17.4%
-------------- ----
COLOMBIA -- (0.2%)
Other Securities................................................. 30,714,677 0.2%
-------------- ----
CZECH REPUBLIC -- (0.2%)
Other Security................................................... 38,726,011 0.2%
-------------- ----
GREECE -- (0.0%)
Other Securities................................................. 2,765,160 0.0%
-------------- ----
HONG KONG -- (0.0%)
Other Securities................................................. 575,029 0.0%
-------------- ----
HUNGARY -- (0.2%)
Other Securities................................................. 40,828,087 0.3%
-------------- ----
INDIA -- (12.3%)
* Axis Bank, Ltd................................................. 11,193,280 87,680,593 0.5%
ICICI Bank, Ltd., Sponsored ADR.................................. 9,736,742 92,401,680 0.6%
Larsen & Toubro, Ltd............................................. 4,341,385 76,144,793 0.5%
Reliance Industries, Ltd......................................... 34,030,289 487,144,109 2.9%
Other Securities................................................. 1,324,952,288 7.9%
-------------- ----
TOTAL INDIA.......................................................... 2,068,323,463 12.4%
-------------- ----
INDONESIA -- (2.4%)
Other Securities................................................. 395,331,341 2.4%
-------------- ----
378
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
MALAYSIA -- (2.9%)
Other Securities................................................. $ 481,103,917 2.9%
-------------- ----
MEXICO -- (3.3%)
Fomento Economico Mexicano S.A.B. de C.V., Sponsored ADR......... 828,427 70,474,285 0.4%
#.. Grupo Financiero Banorte S.A.B. de C.V........................... 16,763,095 92,417,464 0.6%
Grupo Mexico S.A.B. de C.V....................................... 37,049,726 85,450,613 0.5%
Other Securities................................................. 308,237,989 1.8%
-------------- ----
TOTAL MEXICO......................................................... 556,580,351 3.3%
-------------- ----
PHILIPPINES -- (1.0%)
Other Securities................................................. 170,597,757 1.0%
-------------- ----
POLAND -- (1.4%)
Other Securities................................................. 234,321,803 1.4%
-------------- ----
RUSSIA -- (2.2%)
Gazprom PJSC, Sponsored ADR...................................... 23,529,456 111,258,703 0.7%
Lukoil PJSC, Sponsored ADR(BYZDW2900)............................ 1,526,223 113,793,494 0.7%
Lukoil PJSC, Sponsored ADR(BYZF386).............................. 1,486,443 110,948,106 0.7%
Other Securities................................................. 34,200,545 0.1%
-------------- ----
TOTAL RUSSIA......................................................... 370,200,848 2.2%
-------------- ----
SINGAPORE -- (0.0%)
Other Security................................................... 290,047 0.0%
-------------- ----
SOUTH AFRICA -- (6.5%)
Absa Group, Ltd.................................................. 7,309,742 73,859,722 0.5%
#.. MTN Group, Ltd................................................... 20,660,217 119,972,420 0.7%
Sasol, Ltd....................................................... 3,511,112 114,742,961 0.7%
Standard Bank Group, Ltd......................................... 17,066,487 189,083,288 1.1%
Other Securities................................................. 589,866,218 3.5%
-------------- ----
TOTAL SOUTH AFRICA................................................... 1,087,524,609 6.5%
-------------- ----
SOUTH KOREA -- (16.1%)
Hana Financial Group, Inc........................................ 3,478,498 117,175,337 0.7%
Hyundai Mobis Co., Ltd........................................... 466,986 78,006,168 0.5%
Hyundai Motor Co................................................. 1,260,771 118,087,465 0.7%
KB Financial Group, Inc., ADR.................................... 2,944,487 122,343,435 0.8%
LG Electronics, Inc.............................................. 1,469,865 82,172,519 0.5%
POSCO............................................................ 609,801 139,579,119 0.9%
POSCO, Sponsored ADR............................................. 1,487,744 85,723,809 0.5%
Shinhan Financial Group Co., Ltd................................. 2,532,382 94,320,601 0.6%
SK Innovation Co., Ltd........................................... 835,521 156,802,205 1.0%
Other Securities................................................. 1,717,365,330 10.1%
-------------- ----
TOTAL SOUTH KOREA.................................................... 2,711,575,988 16.3%
-------------- ----
TAIWAN -- (15.9%)
Cathay Financial Holding Co., Ltd................................ 76,712,000 121,793,535 0.8%
China Steel Corp................................................. 128,706,320 101,651,701 0.6%
CTBC Financial Holding Co., Ltd.................................. 161,641,073 108,239,785 0.7%
First Financial Holding Co., Ltd................................. 111,513,349 70,548,110 0.4%
Fubon Financial Holding Co., Ltd................................. 90,689,471 142,283,110 0.9%
379
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
TAIWAN -- (Continued)
Hon Hai Precision Industry Co., Ltd.............................. 41,860,192 $ 106,557,145 0.7%
Mega Financial Holding Co., Ltd.................................. 96,264,796 81,516,387 0.5%
Taiwan Cement Corp............................................... 61,478,697 69,107,259 0.4%
#.. United Microelectronics Corp..................................... 196,319,681 74,813,761 0.5%
Other Securities................................................. 1,805,515,433 10.6%
--------------- -----
TOTAL TAIWAN......................................................... 2,682,026,226 16.1%
--------------- -----
THAILAND -- (3.5%)
PTT PCL.......................................................... 117,120,800 180,185,846 1.1%
Other Securities................................................. 415,411,350 2.5%
--------------- -----
TOTAL THAILAND....................................................... 595,597,196 3.6%
--------------- -----
TURKEY -- (0.8%)
Other Securities................................................. 138,476,233 0.8%
--------------- -----
TOTAL COMMON STOCKS.................................................. 16,297,046,180 97.7%
--------------- -----
PREFERRED STOCKS -- (1.3%)
BRAZIL -- (1.2%)
Petroleo Brasileiro SA........................................... 12,781,490 94,860,877 0.6%
Other Securities................................................. 113,236,691 0.6%
--------------- -----
TOTAL BRAZIL......................................................... 208,097,568 1.2%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities................................................. 11,953,790 0.1%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Security................................................... 149,005 0.0%
--------------- -----
TOTAL PREFERRED STOCKS............................................... 220,200,363 1.3%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 955,977 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES.......................................... 16,518,202,520
===============
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (1.9%)
@(S) DFA Short Term Investment Fund.................................. 27,454,672 317,650,554 1.9%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $16,551,312,445)........................................... $16,835,853,074 100.9%
=============== =====
As of October 31, 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 12/21/18 $ 33,568,523 $ 31,092,750 $(2,475,773)
S&P 500(R)/ /Emini Index.......................... 608 12/21/18 88,845,479 82,417,440 (6,428,039)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS........................... $122,414,002 $113,510,190 $(8,903,812)
============ ============ ===========
380
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of October 31, 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................................................... $1,532,442,748 -- -- $ 1,532,442,748
Chile.................................................... 51,693,904 $ 201,162,500 -- 252,856,404
China.................................................... 274,708,573 2,631,479,712 -- 2,906,188,285
Colombia................................................. 30,714,677 -- -- 30,714,677
Czech Republic........................................... -- 38,726,011 -- 38,726,011
Greece................................................... -- 2,765,160 -- 2,765,160
Hong Kong................................................ -- 575,029 -- 575,029
Hungary.................................................. -- 40,828,087 -- 40,828,087
India.................................................... 113,467,210 1,954,856,253 -- 2,068,323,463
Indonesia................................................ 2,176,735 393,154,606 -- 395,331,341
Malaysia................................................. -- 481,103,917 -- 481,103,917
Mexico................................................... 556,580,351 -- -- 556,580,351
Philippines.............................................. -- 170,597,757 -- 170,597,757
Poland................................................... -- 234,321,803 -- 234,321,803
Russia................................................... 133,199,841 237,001,007 -- 370,200,848
Singapore................................................ -- 290,047 -- 290,047
South Africa............................................. 124,078,931 963,445,678 -- 1,087,524,609
South Korea.............................................. 293,773,016 2,417,802,972 -- 2,711,575,988
Taiwan................................................... 35,284,954 2,646,741,272 -- 2,682,026,226
Thailand................................................. 595,560,157 37,039 -- 595,597,196
Turkey................................................... -- 138,476,233 -- 138,476,233
Preferred Stocks
Brazil................................................... 208,097,568 -- -- 208,097,568
Colombia................................................. 11,953,790 -- -- 11,953,790
South Korea.............................................. -- 149,005 -- 149,005
Rights/Warrants
Indonesia................................................ -- 544,987 -- 544,987
Malaysia................................................. -- 72,132 -- 72,132
South Korea.............................................. -- 92,961 -- 92,961
Taiwan................................................... -- 245,897 -- 245,897
Securities Lending Collateral............................... -- 317,650,554 -- 317,650,554
Futures Contracts**......................................... (8,903,812) -- -- (8,903,812)
-------------- --------------- -------- ---------------
TOTAL....................................................... $3,954,828,643 $12,872,120,619 -- $16,826,949,262
============== =============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
381
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DIMENSIONAL
EMERGING
MARKETS
VALUE FUND
-----------
ASSETS:
Investments at Value (including $659,573 of securities on
loan)*.................................................... $16,518,203
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $317,628)........................ 317,651
Segregated Cash for Futures Contracts....................... 5,338
Foreign Currencies at Value................................. 130,020
Cash........................................................ 32,193
Receivables:
Investment Securities Sold............................... 8,901
Dividends and Interest................................... 3,909
Securities Lending Income................................ 1,568
Futures Margin Variation................................. 1,142
Unrealized Gain on Foreign Currency Contracts............... 3
-----------
Total Assets......................................... 17,018,928
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 317,655
Investment Securities Purchased.......................... 12,970
Due to Advisor........................................... 1,458
Unrealized Loss on Foreign Currency Contracts............... 3
Accrued Expenses and Other Liabilities...................... 1,935
-----------
Total Liabilities.................................... 334,021
-----------
NET ASSETS.................................................. $16,684,907
===========
Investments at Cost......................................... $16,233,684
===========
Foreign Currencies at Cost.................................. $ 132,005
===========
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
382
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DIMENSIONAL
EMERGING
MARKETS
VALUE FUND#
-----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $72,294).......... $ 535,331
Income from Securities Lending................................ 26,985
-----------
Total Investment Income................................ 562,316
-----------
EXPENSES
Investment Management Fees.................................... 19,295
Accounting & Transfer Agent Fees.............................. 845
Custodian Fees................................................ 5,292
Directors'/Trustees' Fees & Expenses.......................... 82
Professional Fees............................................. 703
Other......................................................... 724
-----------
Total Expenses......................................... 26,941
-----------
Fees Paid Indirectly (Note C)................................. (921)
-----------
Net Expenses.................................................. 26,020
-----------
NET INVESTMENT INCOME (LOSS).................................. 536,296
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:..................................
Investment Securities Sold**.............................. 306,868
Affiliated Investment Companies Shares Sold............... (45)
Futures................................................... 7,329
Foreign Currency Transactions............................. (7,429)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (2,460,561)
Affiliated Investment Companies Shares.................... 4
Futures................................................... (12,284)
Translation of Foreign Currency Denominated Amounts....... 34
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... (2,166,084)
-----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.. $(1,629,788)
===========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
383
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DIMENSIONAL EMERGING
MARKETS VALUE FUND
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 536,296 $ 475,435
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. 306,868 (259,529)
Affiliated Investment Companies Shares Sold................. (45) 1
Futures..................................................... 7,329 20,081
Foreign Currency Transactions............................... (7,429) 2,950
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (2,460,561) 3,780,573
Affiliated Investment Companies Shares...................... 4 (79)
Futures..................................................... (12,284) 3,775
Translation of Foreign Currency Denominated Amounts......... 34 (53)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (1,629,788) 4,023,154
----------- -----------
Transactions in Interest:
Contributions................................................... 1,168,085 842,290
Withdrawals..................................................... (2,465,601) (1,900,740)
----------- -----------
Net Increase (Decrease) from Transactions in
Interest............................................... (1,297,516) (1,058,450)
----------- -----------
Total Increase (Decrease) in Net Assets.................. (2,927,304) 2,964,704
NET ASSETS
Beginning of Year............................................... 19,612,211 16,647,507
----------- -----------
End of Year..................................................... $16,684,907 $19,612,211
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0
See accompanying Notes to Financial Statements.
384
DIMENSIONAL EMERGING MARKETS VALUE FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DIMENSIONAL EMERGING MARKETS VALUE FUND
-----------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015
----------- ----------- ----------- -----------
Total Return.......................................................... (9.06%) 24.89% 15.80% (17.95%)
----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)................................... $16,684,907 $19,612,211 $16,647,507 $15,088,058
Ratio of Expenses to Average Net Assets............................... 0.14% 0.16% 0.16% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)......................................................... 0.14% 0.16% 0.16% 0.15%
Ratio of Net Investment Income to Average Net Assets.................. 2.78% 2.64% 2.72% 2.54%
Portfolio Turnover Rate............................................... 13% 14% 12% 14%
----------- ----------- ----------- -----------
------------
YEAR
ENDED
OCT 31,
2014
-----------
Total Return.......................................................... (1.09%)
-----------
Net Assets, End of Year (thousands)................................... $18,927,517
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.................. 2.76%
Portfolio Turnover Rate............................................... 12%
-----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
385
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund (the "Fund") is an open-end
management investment company registered under the Investment Company Act of
1940. The Fund meets the definition as an investment company and follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies." The Fund consists of one series.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
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 uses 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,
and 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 at which the net asset
value of the Fund is computed. Due to the time differences between the closings
of the relevant foreign securities exchanges and the pricing of the Fund's
shares (at the close of the NYSE), the Fund will fair-value its foreign
386
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 calculated closing prices of the foreign investments 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 uses 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 Fund'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 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 methodology or inputs used for valuing securities
are not necessarily an indication of the risk associated with investing in
those securities.
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 foreign
exchange rate fluctuations 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 of
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
to participate 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: the 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. As of
October 31, 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 $596 (in thousands).
The Trustees may receive their distributions of proceeds by 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. The 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 first deferral election. If a
Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 2018, none of the Trustees have requested or received
a distribution of proceeds of a deferred fee account.
387
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
received distributions 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. Additionally, 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 tax on short-term capital gains for investments in India. Such
taxes are accrued on a daily basis and due upon sale of individual securities.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Fund.
For the year ended October 31, 2018, the Fund's investment management fee
was accrued daily and paid monthly to the Advisor based on the following
effective annual rate of average daily net assets:
Dimensional Emerging Markets Value Fund..................... 0.10%
EARNED INCOME CREDIT:
Additionally, the Fund has entered into arrangements with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Fund's custody expense. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of the Fund's net assets.
During the year ended October 31, 2018, expenses reduced were the following
(amount in thousands):
FEES PAID
INDIRECTLY
----------
Dimensional Emerging Markets Value Fund..................... $921
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Fund; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For
the year ended October 31, 2018, the total related amounts paid by the Fund to
the CCO were $16 (in thousands).The total related amounts paid by the Fund are
included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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:
OTHER INVESTMENT SECURITIES
---------------------------
PURCHASES SALES
---------- ----------
Dimensional Emerging Markets Value Fund..................... $2,557,822 $3,288,569
388
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION
---------- ---------- ---------- ------------ -------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
The DFA Short Term Investment Fund $591,907 $3,905,777 $4,179,992 $(45) $4
-------- ---------- ---------- ---- --
TOTAL $591,907 $3,905,777 $4,179,992 $(45) $4
======== ========== ========== ==== ==
BALANCE AT SHARES AS OF DIVIDEND CAPITAL GAIN
OCTOBER 31, 2018 OCTOBER 31, 2018 INCOME DISTRIBUTIONS
---------------- ---------------- -------- -------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
The DFA Short Term Investment Fund $317,651 27,455 $11,798 --
-------- ------ ------- --
TOTAL $317,651 27,455 $11,798 --
======== ====== ======= ==
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.
As of October 31, 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)
----------- ------------ -------------- --------------
Dimensional Emerging Markets Value Fund..................... $16,551,312 $3,228,704 $(2,953,067) $275,637
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.
389
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.
2. FUTURES CONTRACTS: The Fund may purchase or sell futures contracts and
options on futures contracts for foreign or U.S. equity securities and indices,
to adjust market exposure based on actual or expected cash inflows to or
outflows from the 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 in an amount 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 Statement
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the 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 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 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. As of
October 31, 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 year ended October 31, 2018 (amount in thousands):
FUTURES
--------
Dimensional Emerging Markets Value Fund..................... $111,155
390
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2018 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
------------------------------
TOTAL VALUE
AT EQUITY
OCTOBER 31, 2018 CONTRACTS*,(1)
---------------- --------------
Dimensional Emerging Markets Value Fund..................... $(8,904) $(8,904)
(1)Presented on Statements of Assets and Liabilities as Payables: Futures
Margin Variation.
* 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 realized and change in unrealized gains
and losses from the Fund's derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2018 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
--------------------------------
EQUITY
TOTAL CONTRACTS (1)
-------- -------------
Dimensional Emerging Markets Value Fund..................... $ 7,329 $ 7,329
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
--------------------------------
EQUITY
TOTAL CONTRACTS (2)
-------- -------------
Dimensional Emerging Markets Value Fund..................... $(12,284) $(12,284)
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(2)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
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 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.
391
For the year ended October 31, 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..................... 2.33% $24,848 31 $45 $106,083
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2018, that each Fund's available line
of credit was used.
There were no outstanding borrowings by the Fund under the lines of credit
as of October 31, 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. lnterfund loans have a maximum
duration of seven days and may be called on one business day's notice.
The Fund did not use the interfund lending program during the year ended
October 31, 2018.
H. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 a common investment advisor (or affiliated investment advisors),
common Trustees and/or common Officers. At its regularly scheduled meetings,
the Board reviews such transactions for compliance with the requirements and
restrictions set forth by Rule 17a-7 under the 1940 Act.
For the year ended October 31, 2018, cross trades by the Fund under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------- --------------------
Dimensional Emerging Markets Value Fund..................... $5,104 $10,326 $1,318
I. SECURITIES LENDING:
As of October 31, 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..................... $435,729
392
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, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and 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 policies, the Fund with securities on loan
will generally invest the cash collateral received for the loaned securities in
The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated
registered money market fund advised by the Advisor for which the Advisor
receives a management fee of 0.05% of the average daily net assets of the Money
Market Series. Income received from the Money Market Series is netted with fees
for securities lending and collateral investment expenses and with 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 or unaffiliated money
market funds that are registered or unregistered. For purposes of this
paragraph, agencies include both agency debentures and agency mortgage-backed
securities. Additionally, 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
for taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2018
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
DIMENSIONAL EMERGING MARKETS VALUE FUND
Common Stocks............................................ $317,650,554 -- -- -- $317,650,554
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.
393
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.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Fund's early adoption of certain of the ASU 2018-13
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Fund's financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Fund's adoption of
these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Fund's net assets or results of operations.
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 on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
394
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value
Fund
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of Dimensional Emerging Markets
Value Fund (the "Fund") as of October 31, 2018, the related statement of
operations for the year ended October 31, 2018, the statement of changes in net
assets for each of the two years in the period ended October 31, 2018,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2018 (collectively referred to as the
"financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of the Fund as of
October 31, 2018, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period ended
October 31, 2018 and the financial highlights for each of the five years in the
period ended October 31, 2018 in conformity with accounting principles
generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Fund's management. Our
responsibility is to express an opinion on the Fund's financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) ("PCAOB") and are required
to be independent with respect to the Fund in accordance with the U.S. federal
securities laws and the applicable rules and regulations of the Securities and
Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
395
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were two
Audit Committee meetings held during the fiscal year ended October 31, 2018.
Each Board's Nominating Committee is composed of George M. Constantinides,
Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J. Smith. Each
member of the Nominating Committee is a disinterested Trustee/Director. The
Nominating Committee for each Board makes recommendations for nominations of
disinterested and interested members on the Board to the full Board. The
Nominating Committee evaluates a candidate's qualification for Board membership
and the independence of such candidate from the Advisor and other principal
service providers. The Nominating Committee met two times during the fiscal
year ended October 31, 2018.
Each Board's Strategy Committee is composed of Douglas W. Diamond, Edward P.
Lazear, and Myron S. Scholes. Each member of the Strategy Committee is a
disinterested Trustee/Director. The Strategy Committee assists the Board in
carrying out its fiduciary duties with respect to the oversight of the Fund and
its performance. At the request of the Board or the Advisor, the Strategy
Committee may (i) review the design of possible new series of the Fund,
(ii) review performance of existing portfolios of the Fund and discuss and
recommend possible enhancements to the portfolios' investment strategies,
(iii) review proposals by the Advisor to modify or enhance the investment
strategies or policies of each portfolio, and (iv) consider issues relating to
investment services for each portfolio of the Fund. There were four Strategy
Committee meetings held during the fiscal year ended October 31, 2018.
Certain biographical information for each disinterested Trustee/Director and
interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a
Trustee/Director of the Funds and as a Director or Trustee of other funds, as
well as other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746. Prospectuses
are also available at http://us.dimensional.com.
396
DISINTERESTED TRUSTEE/DIRECTORS
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/ AND DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- ------------ ----------- ----------------------------- ------------------ -------------------
George M. Constantinides Director of DFADIG- Leo Melamed Professor of 128 portfolios in None
University of Chicago DFAIDG Since 1983 Finance, University of 4 investment
Booth School of Business and DIG DIG- Since Chicago Booth School of companies
5807 S. Woodlawn Avenue Trustee of 1993 Business (since 1978).
Chicago, IL 60637 DFAITC DFAITC-
and DEM Since 1992
1947 DEM- Since
1993
Douglas W. Diamond Director of DFADIG- Merton H. Miller 128 portfolios in None
University of Chicago DFAIDG Since June Distinguished Service 4 investment
Booth School of Business and DIG 2017 DIG- Professor of Finance, companies
5807 S. Woodlawn Avenue Trustee of Since June University of Chicago Booth
Chicago, IL 60637 DFAITC 2017 School of Business (since
and DEM DFAITC- 1988). Visiting Scholar,
1953 Since June Federal Reserve Bank of
2017 DEM- Richmond (since 1990).
Since June Formerly, Fischer Black
2017 Visiting Professor of
Financial Economics, Alfred
P. Sloan School of
Management, Massachusetts
Institute of Technology (2015
to 2016).
Roger G. Ibbotson Director of DFADIG- Professor in Practice 128 portfolios in None
Yale School of DFAIDG Since 1981 Emeritus of Finance, Yale 4 investment
Management and DIG DIG- Since School of Management (since companies
P.O. Box 208200 Trustee of 1993 1984). Chairman, CIO and
New Haven, CT 06520-8200 DFAITC DFAITC- Partner, Zebra Capital
and DEM Since 1992 Management, LLC (hedge fund
1943 DEM- Since and asset manager) (since
1993 2001). Formerly, Consultant
to Morningstar, Inc. (2006 -
2016).
Edward P. Lazear Director of DFADIG- Distinguished Visiting 128 portfolios in None
Stanford University DFAIDG Since 2010 Fellow, Becker Friedman 4 investment
Graduate School of Business and DIG DIG- Since Institute for Research in companies
Knight Management Center, Trustee of 2010 Economics, University of
E346 Stanford, CA 94305 DFAITC DFAITC- Chicago (since 2015). Morris
and DEM Since 2010 Arnold Cox Senior Fellow,
1948 DEM- Since Hoover Institution (since
2010 2002). Jack Steele Parker
Professor of Human Resources
Management and Economics,
Graduate School of Business,
Stanford University (since
1995). Cornerstone Research
(expert testimony and
economic and financial
analysis) (since 2009).
Myron S. Scholes Director of DFADIG- Chief Investment Strategist, 128 portfolios in Formerly,
c/o Dimensional Fund DFAIDG Since 1981 Janus Henderson Investors 4 investment Adviser, Kuapay,
Advisors LP and DIG DIG- Since (since 2014). Frank E. Buck companies Inc. (2013- 2014).
6300 Bee Cave Road, Trustee of 1993 Professor of Finance, Formerly,
Building One DFAITC DFAITC- Emeritus, Graduate School of Director,
Austin, TX 78746 and DEM Since 1992 Business, Stanford University American Century
DEM- Since (since 1981). Fund Complex
1941 1993 (registered
investment
companies) (43
Portfolios) (1980-
2014).
397
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/ AND DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- ------------ ----------- ----------------------------- ------------------ -------------------
Abbie J. Smith Director of DFADIG- Boris and Irene Stern 128 portfolios in Director (since
University of Chicago DFAIDG Since 2000 Distinguished Service 4 investment 2000) and
Booth School of Business and DIG DIG- Since Professor of Accounting, companies formerly, Lead
5807 S. Woodlawn Avenue Trustee of 2000 University of Chicago Booth Director (May
Chicago, IL 60637 DFAITC DFAITC- School of Business (since 2014 - May
and DEM Since 2000 1980). 2017), HNI
1953 DEM- Since Corporation
2000 (formerly known
as HON Industries
Inc.) (office
furniture);
Director, Ryder
System Inc.
(transportation,
logistics and
supply-chain
management)
(since 2003); and
Trustee, UBS
Funds (3
investment
companies within
the fund complex)
(21 portfolios)
(since 2009).
INTERESTED TRUSTEE/DIRECTOR*
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/ AND DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- ------------- ----------- ----------------------------- ------------------ -------------------
David G. Booth Chairman DFADIG- Chairman, Director/Trustee, 128 portfolios in None
6300 Bee Cave Road, and Director Since 1981 and formerly, President and 4 investment
Building One of DFAIDG DIG- Since Co-Chief Executive Officer companies
Austin, TX 78746 and DIG 1992 (each until March 2017) of
Trustee of DFAITC- Dimensional Emerging Markets
1946 DFAITC Since 1992 Value Fund ("DEM"), DFAIDG,
and DEM DEM- Since Dimensional Investment Group
1993 Inc. ("DIG") and The DFA
Investment Trust Company
("DFAITC"). Executive
Chairman, and formerly,
President and Co-Chief
Executive Officer (each until
February 2017) of Dimensional
Holdings Inc., Dimensional
Fund Advisors LP and DFA
Securities LLC (collectively
with DEM, DFAIDG, DIG and
DFAITC, the "DFA Entities").
Formerly, Chairman and
Director (2009-2018),
Co-Chief Executive Officer
(2010 - June 2017) of
Dimensional Fund Advisors
Canada ULC. Trustee,
University of Chicago (since
2002). Trustee, University of
Kansas Endowment Association
(since 2005). Formerly,
Director of Dimensional Fund
Advisors Ltd. (2002 - July
2017), DFA Australia Limited
(1994 - July 2017),
Dimensional Advisors Ltd.
(2012 - July 2017),
Dimensional Funds plc (2006 -
July 2017) and Dimensional
Funds II plc (2006 - July
2017). Formerly, Director and
President of Dimensional
Japan Ltd. (2012 - April
2017). Formerly, President,
Dimensional SmartNest (US)
LLC (2009-2014); and Limited
Partner, VSC Investors, LLC
(2007 to 2015). Formerly,
Chairman, Director, President
and Co-Chief Executive
Officer of Dimensional Cayman
Commodity Fund I Ltd.
(2010-September 2017).
1 Each Director holds office for an indefinite term until his or her successor
is elected and qualified.
2 Each Director is a director or trustee of each of the four registered
investment companies within the DFA Fund Complex, which include: DFAIDG;
DIG; DFAITC; and DEM. Each disinterested Director also serves on the
Independent Review Committee of the Dimensional Funds, mutual funds
registered in the provinces of Canada and managed by the Advisor's
affiliate, Dimensional Fund Advisors Canada ULC.
* The Interested Trustee/Director is described as such because he is deemed to
be an "interested person," as that term is defined under the Investment
Company Act of 1940, as amended, due to his position with the Advisor.
398
OFFICERS
Below is the name, year of birth, information regarding positions with the
Fund and the principal occupation for each officer of the Fund. The address of
each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the
officers listed below holds the same office (except as otherwise noted) in the
DFA Entities.
TERM OF
OFFICE/1/
AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- -------------------- --------- ------------------------------------------------------------
Valerie A. Brown Vice President and Since Vice President and Assistant Secretary of
1967 Assistant Secretary 2001
. all the DFA Entities (since 2001)
. DFA Australia Limited (since 2002)
. Dimensional Fund Advisors Ltd. (since 2002)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Hong Kong Limited (since 2012)
Director, Vice President and Assistant Secretary (since
2003) of
. Dimensional Fund Advisors Canada ULC
David P. Butler Co-Chief Executive Since Co-Chief Executive Officer (since 2017) of
1964 Officer 2017
. all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive Officer (since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Head of Global Financial Advisor Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since Executive Vice President (since 2017) of
1972 President 2017
. all the DFA entities
Director and Vice President (since 2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors Canada ULC
Vice President (since 2008) and Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte. Ltd.
Head of Global Institutional Services (since 2014) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2004 - 2017) of
. all the DFA Entities
Formerly, Vice President (2010 - 2016) of
. Dimensional Fund Advisors Canada ULC
Formerly, Head of Institutional, North America (2012 -
2013) for
. Dimensional Fund Advisors LP
399
Christopher S. Vice President and Since Vice President and Global Chief Compliance Officer (since
Crossan Global Chief 2004 2004) of
1965 Compliance Officer
. all the DFA Entities
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006) and Chief Privacy
Officer (since 2015) of
. Dimensional Fund Advisors Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Japan Ltd. (since 2017)
Formerly, Vice President and Global Chief Compliance
Officer (2010 - 2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Chief Vice Vice President, Chief Financial Officer, and Treasurer
1958 Financial Officer, and President (since 2016) of
Treasurer since 2015
and Chief . all the DFA Entities
Financial
Officer . Dimensional Advisors Ltd.
and
Treasurer . Dimensional Fund Advisors Ltd.
since 2016
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity Fund I Ltd.
. Dimensional Fund Advisors Canada ULC
. Dimensional Fund Advisors Pte. Ltd.
. DFA Australia Limited
Director (since 2016) for
. Dimensional Funds plc
. Dimensional Funds II plc
Formerly, interim Chief Financial Officer and interim
Treasurer (2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity Fund I Ltd.
. Dimensional Fund Advisors Canada ULC
Formerly, Controller (2015 - 2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
Formerly, Vice President (2008 - 2015) of
. T. Rowe Price Group, Inc.
Formerly, Director of Investment Treasury and Treasurer
(2008 - 2015) of
. the T. Rowe Price Funds
Jeff J. Jeon Vice President and Vice Vice President (since 2004) and Assistant Secretary (since
1973 Assistant Secretary President 2017) of
since 2004
and . all the DFA Entities
Assistant
Secretary Vice President and Assistant Secretary (since 2010) of
since 2017
. Dimensional Cayman Commodity Fund I Ltd.
Joy Lopez Vice President and Vice Vice President (since 2015) of
1971 Assistant Treasurer President
since 2015 . all the DFA Entities
and
Assistant Assistant Treasurer (since 2017) of
Treasurer
since 2017 . the DFA Fund Complex
Formerly, Senior Tax Manager (2013 - 2015) for
. Dimensional Fund Advisors LP
Kenneth M. Manell Vice President Since Vice President (since 2010) of
1972 2010
. all the DFA Entities
. Dimensional Cayman Commodity Fund I Ltd.
400
Catherine L. Newell President and General President President (since 2017) of
1964 Counsel since 2017
and . the DFA Fund Complex
General
Counsel General Counsel (since 2001) of
since 2001
. All the DFA Entities
Executive Vice President (since 2017) and Secretary (since
2000) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. DFA Securities LLC
. Dimensional Investment LLC
Director (since 2002), Vice President (since 1997) and
Secretary (since 2002) of
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Vice President and Secretary of
. Dimensional Fund Advisors Canada ULC (since 2003)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Japan Ltd. (since 2012)
. Dimensional Advisors Ltd. (since 2012)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
Director of
. Dimensional Funds plc (since 2002)
. Dimensional Funds II plc (since 2006)
. Director of Dimensional Japan Ltd. (since 2012)
. Dimensional Advisors Ltd. (since 2012)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Hong Kong Limited (since 2012)
Formerly, Vice President and Secretary (2010 - 2014) of
. Dimensional SmartNest (US) LLC
Formerly, Vice President (1997 - 2017) and Secretary (2000
- 2017) of
. the DFA Fund Complex
Formerly, Vice President of
. Dimensional Fund Advisors LP (1997 - 2017)
. Dimensional Holdings Inc. (2006 - 2017)
. DFA Securities LLC (1997 - 2017)
. Dimensional Investment LLC (2009 - 2017)
Selwyn Notelovitz Vice President and Since Vice President and Deputy Chief Compliance Officer of
1961 Deputy Chief 2013
Compliance Officer . the DFA Fund Complex (since 2013)
. Dimensional Fund Advisors LP (since 2012)
Carolyn L. O Vice President and Vice Vice President (since 2010) and Secretary (since 2017) of
1974 Secretary President
since 2010 . the DFA Fund Complex
and
Secretary Vice President (since 2010) and Assistant Secretary (since
since 2017 2016) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Canada ULC (since 2016)
401
Gerard K. O'Reilly Co-Chief Executive Co-Chief Co-Chief Executive Officer and Chief Investment Officer
1976 Officer and Chief Executive (since 2017) of
Investment Officer Officer
and Chief . all the DFA Entities
Investment
Officer . Dimensional Fund Advisors Canada ULC
since 2017
Director, Chief Investment Officer and Vice President
(since 2017) of
. DFA Australia Limited
Chief Investment Officer (since 2017) and Vice President
(since 2016) of
. Dimensional Japan Ltd.
Director, Co-Chief Executive Officer and Chief Investment
Officer (since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Director of
. Dimensional Funds plc (since 2014)
. Dimensional Fund II plc (since 2014)
. Dimensional Holdings Inc. (since 2017)
Formerly, Co-Chief Investment Officer of
. Dimensional Japan Ltd. (2016 - 2017)
. DFA Australia Limited (2014 - 2017)
Formerly, Executive Vice President (2017) and Co-Chief
Investment Officer (2014 - 2017) of
. all the DFA Entities
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Formerly, Vice President and Co-Chief Investment Officer
(2014 - 2017) of
. Dimensional Fund Advisors Canada ULC
Formerly, Director of
. Dimensional Fund Advisors Pte. Ltd. (2017)
402
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.
403
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2018 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2018
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 01, 2017 to October 31, 2018, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL
------------------------------------ ------------- ------------- ------------- ---------
Enhanced U.S. Large Company Portfolio................................. 12% 35% 53% 0%
U.S. Large Cap Equity Portfolio....................................... 100% 0% 0% 0%
U.S. Large Cap Value Portfolio........................................ 29% 3% 68% 0%
U.S. Targeted Value Portfolio......................................... 21% 5% 74% 0%
U.S. Small Cap Value Portfolio........................................ 18% 4% 78% 0%
U.S. Core Equity 1 Portfolio.......................................... 74% 1% 25% 0%
U.S. Core Equity 2 Portfolio.......................................... 62% 1% 37% 0%
U.S. Vector Equity Portfolio.......................................... 27% 0% 73% 0%
U.S. Small Cap Portfolio.............................................. 22% 5% 73% 0%
U.S. Micro Cap Portfolio.............................................. 15% 6% 79% 0%
U.S. High Relative Profitability Portfolio............................ 100% 0% 0% 0%
DFA Real Estate Securities Portfolio.................................. 94% 1% 5% 0%
Large Cap International Portfolio..................................... 100% 0% 0% 0%
International Core Equity Portfolio................................... 100% 0% 0% 0%
International Small Company Portfolio................................. 40% 7% 53% 0%
Global Small Company Portfolio........................................ 71% 6% 23% 0%
Japanese Small Company Portfolio...................................... 100% 0% 0% 0%
Asia Pacific Small Company Portfolio.................................. 100% 0% 0% 0%
United Kingdom Small Company Portfolio................................ 27% 14% 59% 0%
Continental Small Company Portfolio................................... 76% 0% 24% 0%
QUALIFYING
FOR
CORPORATE
DIVIDENDS QUALIFYING
TAX-EXEMPT TOTAL RECEIVED DIVIDEND
DFA INVESTMENT DIMENSIONS GROUP INC. INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
------------------------------------ ---------- ------------- ------------- ----------
Enhanced U.S. Large Company Portfolio................................. 0% 100% 0% 0%
U.S. Large Cap Equity Portfolio....................................... 0% 100% 100% 100%
U.S. Large Cap Value Portfolio........................................ 0% 100% 100% 100%
U.S. Targeted Value Portfolio......................................... 0% 100% 100% 100%
U.S. Small Cap Value Portfolio........................................ 0% 100% 100% 100%
U.S. Core Equity 1 Portfolio.......................................... 0% 100% 100% 100%
U.S. Core Equity 2 Portfolio.......................................... 0% 100% 100% 100%
U.S. Vector Equity Portfolio.......................................... 0% 100% 100% 100%
U.S. Small Cap Portfolio.............................................. 0% 100% 100% 100%
U.S. Micro Cap Portfolio.............................................. 0% 100% 100% 100%
U.S. High Relative Profitability Portfolio............................ 0% 100% 100% 100%
DFA Real Estate Securities Portfolio.................................. 0% 100% 100% 100%
Large Cap International Portfolio..................................... 0% 100% 100% 100%
International Core Equity Portfolio................................... 0% 100% 100% 100%
International Small Company Portfolio................................. 0% 100% 100% 100%
Global Small Company Portfolio........................................ 0% 100% 100% 100%
Japanese Small Company Portfolio...................................... 0% 100% 100% 100%
Asia Pacific Small Company Portfolio.................................. 0% 100% 100% 100%
United Kingdom Small Company Portfolio................................ 0% 100% 100% 100%
Continental Small Company Portfolio................................... 0% 100% 100% 100%
QUALIFYING
SHORT-
U.S. FOREIGN FOREIGN QUALIFYING TERM
GOVERNMENT TAX SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
------------------------------------ ------------ ---------- ---------- ---------- ----------
Enhanced U.S. Large Company Portfolio................................. 17% 0% 0% 100% 100%
U.S. Large Cap Equity Portfolio....................................... 0% 0% 0% 100% 0%
U.S. Large Cap Value Portfolio........................................ 0% 0% 0% 100% 100%
U.S. Targeted Value Portfolio......................................... 0% 0% 0% 100% 100%
U.S. Small Cap Value Portfolio........................................ 0% 0% 0% 100% 100%
U.S. Core Equity 1 Portfolio.......................................... 0% 0% 0% 100% 100%
U.S. Core Equity 2 Portfolio.......................................... 0% 0% 0% 100% 100%
U.S. Vector Equity Portfolio.......................................... 0% 0% 0% 100% 0%
U.S. Small Cap Portfolio.............................................. 0% 0% 0% 100% 100%
U.S. Micro Cap Portfolio.............................................. 0% 0% 0% 100% 100%
U.S. High Relative Profitability Portfolio............................ 0% 0% 0% 100% 0%
DFA Real Estate Securities Portfolio.................................. 0% 0% 0% 100% 0%
Large Cap International Portfolio..................................... 0% 10% 98% 0% 0%
International Core Equity Portfolio................................... 0% 10% 89% 0% 0%
International Small Company Portfolio................................. 0% 9% 92% 100% 100%
Global Small Company Portfolio........................................ 0% 5% 100% 0% 0%
Japanese Small Company Portfolio...................................... 0% 8% 69% 0% 0%
Asia Pacific Small Company Portfolio.................................. 0% 2% 77% 0% 0%
United Kingdom Small Company Portfolio................................ 0% 0% 0% 0% 100%
Continental Small Company Portfolio................................... 0% 12% 100% 0% 0%
See accompanying Notes to Financial Statements.
404
NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL
------------------------------------ ------------- ------------- ------------- ---------
DFA International Real Estate Securities Portfolio.................... 100% 0% 0% 0%
DFA Global Real Estate Securities Portfolio........................... 83% 0% 17% 0%
DFA International Small Cap Value Portfolio........................... 43% 4% 53% 0%
International Vector Equity Portfolio................................. 85% 0% 15% 0%
International High Relative Profitability Portfolio................... 100% 0% 0% 0%
World ex U.S. Value Portfolio......................................... 100% 0% 0% 0%
World ex U.S. Targeted Value Portfolio................................ 0% 0% 0% 0%
World ex U.S. Core Equity Portfolio................................... 100% 0% 0% 0%
World Core Equity Portfolio........................................... 93% 0% 7% 0%
Selectively Hedged Global Equity Portfolio............................ 59% 13% 28% 0%
Emerging Markets Portfolio............................................ 100% 0% 0% 0%
Emerging Markets Small Cap Portfolio.................................. 49% 8% 43% 0%
Emerging Markets Value Portfolio...................................... 100% 0% 0% 0%
Emerging Markets Core Equity Portfolio................................ 100% 0% 0% 0%
DFA Commodity Strategy Portfolio...................................... 100% 0% 0% 0%
DIMENSIONAL INVESTMENT GROUP INC.
---------------------------------
DFA International Value Portfolio..................................... 100% 0% 0% 0%
U.S. Large Company Portfolio.......................................... 88% 1% 11% 0%
QUALIFYING
FOR
CORPORATE
DIVIDENDS QUALIFYING
TAX-EXEMPT TOTAL RECEIVED DIVIDEND
DFA INVESTMENT DIMENSIONS GROUP INC. INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
------------------------------------ ---------- ------------- ------------- ----------
DFA International Real Estate Securities Portfolio.................... 0% 100% 100% 100%
DFA Global Real Estate Securities Portfolio........................... 0% 100% 100% 100%
DFA International Small Cap Value Portfolio........................... 0% 100% 100% 100%
International Vector Equity Portfolio................................. 0% 100% 100% 100%
International High Relative Profitability Portfolio................... 0% 100% 100% 100%
World ex U.S. Value Portfolio......................................... 0% 100% 100% 100%
World ex U.S. Targeted Value Portfolio................................ 0% 0% 0% 0%
World ex U.S. Core Equity Portfolio................................... 0% 100% 100% 100%
World Core Equity Portfolio........................................... 0% 100% 100% 100%
Selectively Hedged Global Equity Portfolio............................ 0% 100% 100% 100%
Emerging Markets Portfolio............................................ 0% 100% 100% 100%
Emerging Markets Small Cap Portfolio.................................. 0% 100% 100% 100%
Emerging Markets Value Portfolio...................................... 0% 100% 100% 100%
Emerging Markets Core Equity Portfolio................................ 0% 100% 100% 100%
DFA Commodity Strategy Portfolio...................................... 0% 100% 100% 100%
DIMENSIONAL INVESTMENT GROUP INC.
---------------------------------
DFA International Value Portfolio..................................... 0% 100% 100% 100%
U.S. Large Company Portfolio.......................................... 0% 100% 100% 100%
QUALIFYING
SHORT-
U.S. FOREIGN FOREIGN QUALIFYING TERM
GOVERNMENT TAX SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
------------------------------------ ------------ ---------- ---------- ---------- ----------
DFA International Real Estate Securities Portfolio.................... 0% 12% 96% 100% 0%
DFA Global Real Estate Securities Portfolio........................... 0% 0% 47% 100% 0%
DFA International Small Cap Value Portfolio........................... 0% 9% 90% 0% 100%
International Vector Equity Portfolio................................. 0% 11% 100% 0% 100%
International High Relative Profitability Portfolio................... 0% 12% 14% 0% 0%
World ex U.S. Value Portfolio......................................... 0% 8% 100% 0% 0%
World ex U.S. Targeted Value Portfolio................................ 0% 0% 0% 0% 0%
World ex U.S. Core Equity Portfolio................................... 0% 12% 86% 100% 0%
World Core Equity Portfolio........................................... 0% 0% 0% 100% 0%
Selectively Hedged Global Equity Portfolio............................ 0% 0% 61% 100% 100%
Emerging Markets Portfolio............................................ 0% 10% 100% 100% 0%
Emerging Markets Small Cap Portfolio.................................. 0% 11% 83% 0% 100%
Emerging Markets Value Portfolio...................................... 0% 11% 100% 100% 0%
Emerging Markets Core Equity Portfolio................................ 0% 16% 100% 100% 0%
DFA Commodity Strategy Portfolio...................................... 6% 0% 0% 100% 0%
DIMENSIONAL INVESTMENT GROUP INC.
---------------------------------
DFA International Value Portfolio..................................... 0% 8% 100% 0% 0%
U.S. Large Company Portfolio.......................................... 0% 0% 0% 100% 100%
(1)Qualifying Dividends represents dividends that qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
See accompanying Notes to Financial Statements.
405
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
See accompanying Notes to Financial Statements.
406
LOGO DFA103118-001A
00218643
LOGO
Annual Report
YEAR ENDED: OCTOBER 31, 2018
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II
LOGO
December 2018
Dear Fellow Shareholder,
Since our founding in 1981, we have put clients at the center of everything we
do.
Our investment approach and philosophy are grounded in rigorous academic
research and robust implementation to help you target higher expected returns
in an ever-evolving marketplace. And our 38-year track record of outperforming
indices and competitors is a testament to our approach.
Our mission is to improve people's lives.
We recognize and appreciate the trust and responsibility you've placed in us to
manage your assets and we take that responsibility seriously. Our company
strives to act with integrity and provide excellent investment solutions for
clients.
On behalf of the more than 1,300 employees at Dimensional working in 13 cities
across nine countries, we appreciate the opportunity to serve you.
Sincerely,
/s/ David Butler /s/ Gerard O'Reilly
DAVID BUTLER GERARD O'REILLY
Co-Chief Executive Officer Co-Chief Executive Officer and
Chief Investment Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................... 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts.................................................... 2
Management's Discussion and Analysis.................................. 3
Disclosure of Fund Expenses........................................... 4
Disclosure of Portfolio Holdings...................................... 5
Schedule of Investments
U.S. Large Cap Value Portfolio II................................. 6
Statement of Assets and Liabilities................................... 7
Statement of Operations............................................... 8
Statements of Changes in Net Assets................................... 9
Financial Highlights.................................................. 10
Notes to Financial Statements......................................... 11
Report of Independent Registered Public Accounting Firm............... 18
THE DFA INVESTMENT TRUST COMPANY
Performance Charts.................................................... 19
Management's Discussion and Analysis.................................. 20
Disclosure of Fund Expenses........................................... 21
Disclosure of Portfolio Holdings...................................... 22
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series................................... 23
Statement of Assets and Liabilities................................... 26
Statement of Operations............................................... 27
Statements of Changes in Net Assets................................... 28
Financial Highlights.................................................. 29
Notes to Financial Statements......................................... 30
Report of Independent Registered Public Accounting Firm............... 38
FUND MANAGEMENT.......................................................... 39
Board of Independent Directors or Trustees Table...................... 40
VOTING PROXIES ON FUND PORTFOLIO SECURITIES.............................. 46
NOTICE TO SHAREHOLDERS................................................... 47
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULE OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
--------------------------------------------------------------
Investment Abbreviations
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Calculated as a percentage of total net assets.
Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total
investments. "Other Securities" are those securities
that are not among the top 50 holdings in unaffiliated
issuers of the Fund or do not represent more than 1.0%
of the net assets of the Fund. Some of the individual
securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing
Securities.
* Non-Income Producing Securities.
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).
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to
zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Large Cap Value Portfolio II Russell 1000/R/ Value Index
--------------------------------- ----------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,021 9,283
12/31/2008 9,310 9,412
1/31/2009 8,201 8,330
2/28/2009 7,048 7,217
3/31/2009 7,746 7,834
4/30/2009 9,005 8,673
5/31/2009 9,702 9,210
6/30/2009 9,578 9,142
7/31/2009 10,483 9,890
8/31/2009 11,194 10,407
9/30/2009 11,684 10,809
10/31/2009 11,179 10,478
11/30/2009 11,803 11,069
12/31/2009 12,138 11,265
1/31/2010 11,854 10,948
2/28/2010 12,362 11,294
3/31/2010 13,323 12,029
4/30/2010 13,743 12,340
5/31/2010 12,574 11,326
6/30/2010 11,614 10,688
7/31/2010 12,532 11,412
8/31/2010 11,765 10,924
9/30/2010 12,930 11,771
10/31/2010 13,400 12,124
11/30/2010 13,294 12,060
12/31/2010 14,591 13,012
1/31/2011 15,064 13,306
2/28/2011 15,872 13,797
3/31/2011 15,948 13,852
4/30/2011 16,346 14,220
5/31/2011 16,116 14,070
6/30/2011 15,841 13,782
7/31/2011 15,104 13,325
8/31/2011 13,830 12,493
9/30/2011 12,435 11,549
10/31/2011 14,162 12,871
11/30/2011 14,039 12,804
12/31/2011 14,147 13,063
1/31/2012 14,847 13,557
2/29/2012 15,702 14,097
3/31/2012 16,003 14,515
4/30/2012 15,676 14,367
5/31/2012 14,552 13,524
6/30/2012 15,337 14,196
7/31/2012 15,494 14,343
8/31/2012 16,105 14,654
9/30/2012 16,701 15,119
10/31/2012 16,732 15,045
11/30/2012 16,779 15,039
12/31/2012 17,290 15,350
1/31/2013 18,481 16,347
2/28/2013 18,719 16,582
3/31/2013 19,625 17,239
4/30/2013 19,832 17,499
5/31/2013 20,645 17,949
6/30/2013 20,413 17,790
7/31/2013 21,629 18,751
8/31/2013 20,989 18,040
9/30/2013 21,612 18,492
10/31/2013 22,705 19,301
11/30/2013 23,653 19,840
12/31/2013 24,281 20,342
1/31/2014 23,327 19,620
2/28/2014 24,119 20,468
3/31/2014 24,675 20,957
4/30/2014 24,837 21,156
5/31/2014 25,388 21,466
6/30/2014 26,070 22,027
7/31/2014 25,891 21,651
8/31/2014 26,705 22,447
9/30/2014 26,049 21,984
10/31/2014 26,246 22,478
11/30/2014 26,557 22,938
12/31/2014 26,765 23,079
1/31/2015 25,430 22,156
2/28/2015 27,226 23,228
3/31/2015 26,711 22,912
4/30/2015 27,257 23,126
5/31/2015 27,555 23,404
6/30/2015 27,116 22,937
7/31/2015 27,033 23,038
8/31/2015 25,403 21,666
9/30/2015 24,587 21,012
10/31/2015 26,594 22,597
11/30/2015 26,694 22,683
12/31/2015 25,852 22,196
1/31/2016 24,099 21,049
2/29/2016 24,133 21,043
3/31/2016 25,897 22,559
4/30/2016 26,592 23,033
5/31/2016 26,948 23,391
6/30/2016 26,931 23,593
7/31/2016 27,852 24,278
8/31/2016 28,176 24,465
9/30/2016 28,318 24,414
10/31/2016 27,838 24,037
11/30/2016 30,015 25,409
12/31/2016 30,775 26,044
1/31/2017 31,219 26,230
2/28/2017 32,160 27,172
3/31/2017 31,866 26,896
4/30/2017 32,080 26,845
5/31/2017 32,044 26,819
6/30/2017 32,583 27,257
7/31/2017 33,139 27,620
8/31/2017 32,834 27,298
9/30/2017 34,108 28,106
10/31/2017 34,595 28,310
11/30/2017 35,821 29,177
12/31/2017 36,664 29,603
1/31/2018 38,544 30,748
2/28/2018 36,644 29,279
3/31/2018 35,799 28,764
4/30/2018 35,858 28,859
5/31/2018 36,193 29,031 Past performance is not predictive of
6/30/2018 35,936 29,103 future performance.
7/31/2018 37,440 30,254
8/31/2018 37,974 30,702 The returns shown do not reflect the
9/30/2018 38,020 30,763 deduction of taxes that a shareholder
10/31/2018 35,612 29,170 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2018, all rights
2.94% 9.42% 13.54% reserved.
--------------------------------------------------------------------------------
2
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
6.6%. Small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a
subset of the large-cap universe, underperformed large-cap stocks but
outperformed small-cap stocks as measured by Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 3000(R) Index.................................................... 6.60%
Russell Microcap(R) Index (micro-cap stocks)............................. 1.42%
Russell 2000(R) Index (small-cap stocks)................................. 1.85%
Russell Midcap(R) Index (mid-cap stocks)................................. 2.79%
Russell 1000(R) Index (large-cap stocks)................................. 6.98%
Dow Jones U.S. Select REIT Index /SM/.................................... 3.04%
Value stocks underperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks).................... -0.59%
Russell 2000(R) Growth Index (small-cap growth stocks).................. 4.13%
Russell 1000(R) Value Index (large-cap value stocks).................... 3.03%
Russell 1000(R) Growth Index (large-cap growth stocks).................. 10.71%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE PORTFOLIO II
The U.S. Large Cap Value Portfolio II is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. Value
is measured primarily by book-to-market ratio. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification, and weights stocks in proportion to their
market capitalization. The strategy overweights certain stocks, including
smaller companies, lower relative price (value) stocks, and
higher-profitability stocks within the large-cap value segment of the U.S.
market. As of October 31, 2018, the Master Fund held approximately 320
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 2.94% for the
Portfolio and 3.03% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than by the behavior of a limited number of stocks. The Master
Fund's greater exposure to smaller large-cap stocks detracted from performance
relative to the benchmark, as these stocks underperformed their larger
counterparts for the period. With low relative price (value) stocks generally
underperforming high relative price (growth) stocks, the Master Fund's greater
emphasis on value stocks also detracted from relative performance. Conversely,
the Master Fund's emphasis on stocks with higher profitability had a positive
impact on relative performance, as higher-profitability stocks generally
outperformed lower-profitability stocks. At the sector level, the Master Fund's
general exclusions of real estate investment trusts (REITs) and certain
utilities also benefited relative performance, as REITs and utilities generally
underperformed in the U.S.
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and 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"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
U.S. LARGE CAP VALUE PORTFOLIO II(2)
------------------------------------
Actual Fund Return................... $1,000.00 $ 993.10 0.14% $0.70
Hypothetical 5% Annual Return........ $1,000.00 $1,024.50 0.14% $0.71
--------
(1) Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2) 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).
4
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 2018. They are available upon request, without charge,
by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting
the SEC's website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in the Disclosure of Portfolio Holdings, which is
included elsewhere in the report. Refer to the Summary Schedule of Portfolio
Holdings for the underlying Affiliated Investment Company's holdings, which
reflect the investments by category.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
U.S. Large Cap Value Portfolio II.............. 100.0%
5
U.S. LARGE CAP VALUE PORTFOLIO II
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company......................................... $169,969,022
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES............... $169,969,022
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. LARGE CAP
VALUE PORTFOLIO II
------------------
ASSETS:
Investments in Affiliated Investment Company at Value........ $ 169,969
Receivables:
Fund Shares Sold.......................................... 120
Prepaid Expenses and Other Assets............................ 9
------------
Total Assets.......................................... 170,098
------------
LIABILITIES:
Payables:
Fund Shares Redeemed...................................... 115
Due to Advisor............................................ 1
Accrued Expenses and Other Liabilities....................... 12
------------
Total Liabilities..................................... 128
------------
NET ASSETS................................................... $ 169,970
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)...................... 9,497,920
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE..... $ 17.90
============
NET ASSETS CONSIST OF:
Paid-In Capital.............................................. $ 91,063
Total Distributable Earnings (Loss).......................... 78,907
------------
NET ASSETS................................................... $ 169,970
============
(1) NUMBER OF SHARES AUTHORIZED.............................. 300,000,000
============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP
VALUE PORTFOLIO II*#
--------------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0)..................................................... $ 4,104
Income from Securities Lending...................................................................... 15
Expenses Allocated from Affiliated Investment Companies............................................. (199)
--------
Total Net Investment Income Allocated from Affiliated Investment Companies:.................. 3,920
--------
FUND EXPENSES
Investment Management Fees.......................................................................... 201
Accounting & Transfer Agent Fees.................................................................... 4
Filing Fees......................................................................................... 22
Shareholders' Reports............................................................................... 12
Directors'/Trustees' Fees & Expenses................................................................ 1
Legal Fees.......................................................................................... 1
Other............................................................................................... 2
--------
Total Fund Expenses.......................................................................... 243
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)... (183)
--------
Net Expenses........................................................................................ 60
--------
NET INVESTMENT INCOME (LOSS)........................................................................ 3,860
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company**..................................... 12,976
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company....................................... (11,330)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................................................. 1,646
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................ $ 5,506
========
--------
** Net of foreign capital gain taxes withheld of $0.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP VALUE
PORTFOLIO II
------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
-------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................................... $ 3,860 $ 3,660
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company*,**.............. 12,976 13,422
Futures.................................................................... -- 155
Change in Unrealized Appreciation (Depreciation) of:...........................
Transactions Allocated from Affiliated Investment Company.................. (11,330) 18,516
Futures.................................................................... -- 29
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations......... 5,506 35,782
-------- --------
Distributions:^
Institutional Class Shares................................................. (17,481) (8,469)
-------- --------
Total Distributions..................................................... (17,481) (8,469)
-------- --------
Capital Share Transactions (1):
Shares Issued.................................................................. 15,250 16,134
Shares Issued in Lieu of Cash Distributions.................................... 17,481 8,469
Shares Redeemed................................................................ (27,651) (26,222)
-------- --------
Net Increase (Decrease) from Capital Share Transactions................. 5,080 (1,619)
-------- --------
Total Increase (Decrease) in Net Assets................................. (6,895) 25,694
NET ASSETS
Beginning of Year.............................................................. 176,865 151,171
-------- --------
End of Year.................................................................... $169,970 $176,865
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................................................. 805 896
Shares Issued in Lieu of Cash Distributions.................................... 947 477
Shares Redeemed................................................................ (1,470) (1,466)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed................. 282 (93)
======== ========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note E in the Notes to
Financial Statements for more information regarding distributions and see
Note I in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO II
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year.................................. $ 19.19 $ 16.24 $ 15.90 $ 16.04 $ 14.13
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.40 0.39 0.37 0.35 0.28
Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.20 3.47 0.36 (0.15) 1.91
-------- -------- -------- -------- --------
Total from Investment Operations............................. 0.60 3.86 0.73 0.20 2.19
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income............................................ (0.40) (0.39) (0.39) (0.34) (0.28)
Net Realized Gains............................................... (1.49) (0.52) -- -- --
-------- -------- -------- -------- --------
Total Distributions.......................................... (1.89) (0.91) (0.39) (0.34) (0.28)
-------- -------- -------- -------- --------
Net Asset Value, End of Year........................................ $ 17.90 $ 19.19 $ 16.24 $ 15.90 $ 16.04
======== ======== ======== ======== ========
Total Return........................................................ 2.94% 24.27% 4.68% 1.33% 15.59%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)................................. $169,970 $176,865 $151,171 $157,737 $174,103
Ratio of Expenses to Average Net Assets (B)......................... 0.14% 0.14% 0.15% 0.15% 0.16%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)...................................................... 0.24% 0.24% 0.25% 0.18% 0.16%
Ratio of Net Investment Income to Average Net Assets (B)............ 2.11% 2.16% 2.37% 2.16% 1.86%
-------- -------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twelve portfolios, one of
which, U.S. Large Cap Value Portfolio II (the "Portfolio"), is presented in
this report. The remaining portfolios are presented in separate reports. The
Portfolio is an investment company, and accordingly, follows the accounting and
reporting guidance under the Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC"), Topic 946, "Financial
Services-Investment Companies."
The Portfolio primarily invests its assets in The U.S. Large Cap Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. As of October 31, 2018, the Portfolio owned 1% of the Series. The
financial statements of the Series are included elsewhere in this report and
should be read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
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 uses 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,
and 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 Portolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate 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: the 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
11
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.
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice, which date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolio recognizes its pro-rata share, on a daily basis, of
net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to the Portfolio
are directly charged. Common expenses of the Fund or the Portfolio are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
During the year ended October 31, 2018, the Portfolio's investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.11% of the Portfolio's average daily net assets.
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of the Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by the
Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market Series"), to the rate listed below as a percentage of the average
net assets of a class of the Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
During the year ended October 31, 2018, the Portfolio had a total management
fee limit based on percentage of average net assets on an annualized basis and
waived fees (amount in thousands) as reflected below.
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
TOTAL OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
INSTITUTIONAL MANAGEMENT WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
CLASS SHARES FEE LIMIT EXPENSES ASSUMED ASSUMED) RECOVERY
------------- ---------- ---------------- ----------------- -----------------
U.S. Large Cap
Value
Portfolio II. 0.11% -- $183 --
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2018, the total related amounts paid by the Fund
to the CCO were $32 (in thousands). The total related amount paid by the
Portfolio is included in Other Expenses on the Statement of Operations.
12
D. DEFERRED COMPENSATION:
As of October 31, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
U.S. Large Cap Value Portfolio II.......................................... $6
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 2018, 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 accounts
mentioned above. These reclassifications had no effect on net assets or net
asset value per share.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- -------
U.S. Large Cap Value
Portfolio II
2017.......................... $3,640 $ 4,829 -- $ 8,469
2018.......................... 4,352 13,129 -- 17,481
As of October 31, 2018, 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 APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES)
-------------- ------------- -------------- -------------
U.S. Large Cap Value
Portfolio II....... $329 $12,858 $69,259 $82,446
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after October 31, 2011, will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. As of October 31, 2018, the Portfolio did not have any capital
loss carryforwards available to offset future realized capital gains.
13
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------- ------------ -------------- --------------
U.S. Large Cap Value
Portfolio II............. $100,710 $69,259 -- $69,259
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio.
1. FUTURES CONTRACTS: The Portfolio may purchase or sell futures contracts
and options on futures contracts for equity securities and indices, to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Portfolio. The Portfolio, however, does not intend to sell futures
contracts to establish short positions in individual securities. Upon entering
into a futures contract, the Portfolio deposits cash or pledges U.S. Government
securities to a broker in an amount equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolio as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized gain or loss, which is presented
in the Statement of Operations as a net realized gain or loss on futures, equal
to the difference between the value of the contract at the time it was opened
and the value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolio could lose more than
the initial margin requirements. Entering into stock index futures subjects the
Portfolio to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
14
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 4, 2019.
There were no borrowings by the Portfolio under the lines of credit as of
October 31, 2018.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolio's early adoption of certain of the ASU
2018-13 disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Portfolio's financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Portfolio's adoption
of these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Portfolio's net assets or results of operations.
Comparable prior year information presented in the Statements of Changes in
Net Assets has been revised to reflect current disclosure requirements
prescribed by these amendments. Amounts originally presented as of October 31,
2017 are as follows (amounts in thousands):
DISTRIBUTIONS FROM:
---------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- -------
U.S. Large Cap Value Portfolio
II--Institutional Class............. $(3,645) -- $(4,824) $(8,469)
15
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
U.S. Large Cap Value Portfolio II............................... $347
J. OTHER:
As of October 31, 2018, the following number of shareholders held the
following approximate percentages of the Portfolio's outstanding shares. One or
more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
U.S. Large Cap Value Portfolio II.................. 2 100%
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including the
Series, sold Tribune shares back to Tribune for $34 per share. The Tribune MDL
includes a series of lawsuits brought by individual creditors of Tribune (the
"Individual Creditor Actions") and a lawsuit brought by a court-appointed
trustee (the "Trustee") on behalf of the committee of unsecured creditors of
Tribune (the "Committee Action," and with the Individual Creditor Actions,
collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the
LBO stock repurchases as fraudulent transfers and recover the stock repurchase
proceeds paid to the Tribune shareholders who participated in the LBO. On
September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lack standing to pursue their claims. The parties appealed the
Court's dismissal order to the United States Court of Appeals for the Second
Circuit (the "Second Circuit"), and, on March 29, 2016, the Second Circuit
affirmed the dismissal, albeit on the grounds that the individual creditor
plaintiffs' claims are preempted by the Bankruptcy Code's safe harbor for
securities transactions. The individual creditor plaintiffs have petitioned the
Supreme Court of the United States (the "Supreme Court") to review the Second
Circuit's ruling, and that petition is pending. Additionally, the individual
creditor plaintiffs have moved the Second Circuit to review its prior ruling in
light of a recent decision by the Supreme Court (in an unrelated case)
regarding the scope of the Bankruptcy Code's safe harbor for securities
transactions; such review is pending. On January 6, 2017, the Court granted the
shareholder defendants' motion to dismiss the claims against them in the
Committee Action. The Trustee requested that the Court certify the dismissal
order for appeal to the Second Circuit, and the District Court advised that it
would 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; the District court
has stayed this request pending the Second Circuit's review of its prior
decision with respect to the Individual Creditor Actions.
16
Litigation counsel to the 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 Series arising from the
Lawsuits. Until the Series can do so, no reduction of the net asset value of
the 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 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 Series will pay or receive,
as the case may be, a price based on the net asset value of the Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by the Series as incurred and in a manner similar to
any other expenses incurred by the Series.
K. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Portfolio
through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of the U.S. Large Cap Value Portfolio II
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of U.S. Large Cap Value Portfolio II (one of the
portfolios constituting Dimensional Investment Group Inc., hereafter referred
to as the "Portfolio") as of October 31, 2018, the related statement of
operations for the year ended October 31, 2018, the statement of changes in net
assets for each of the two years in the period ended October 31, 2018,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2018 (collectively referred to as the
"financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of the Portfolio as of
October 31, 2018, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period ended
October 31, 2018 and the financial highlights for each of the five years in the
period ended October 31, 2018 in conformity with accounting principles
generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on the Portfolio's
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
("PCAOB") and are required to be independent with respect to the Portfolio in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the transfer agent of the investee fund. We believe that
our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
18
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
(UNAUDITED)
--------------------------------------------------------------------------------
[CHART]
The U.S. Large Cap Value Series Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,019 9,283
12/31/2008 9,313 9,412
1/31/2009 8,207 8,330
2/28/2009 7,057 7,217
3/31/2009 7,754 7,834
4/30/2009 9,008 8,673
5/31/2009 9,698 9,210
6/30/2009 9,580 9,142
7/31/2009 10,492 9,890
8/31/2009 11,205 10,407
9/30/2009 11,695 10,809
10/31/2009 11,190 10,478
11/30/2009 11,821 11,069
12/31/2009 12,147 11,265
1/31/2010 11,865 10,948
2/28/2010 12,377 11,294
3/31/2010 13,342 12,029
4/30/2010 13,765 12,340
5/31/2010 12,585 11,326
6/30/2010 11,635 10,688
7/31/2010 12,548 11,412
8/31/2010 11,791 10,924
9/30/2010 12,941 11,771
10/31/2010 13,424 12,124
11/30/2010 13,320 12,060
12/31/2010 14,618 13,012
1/31/2011 15,086 13,306
2/28/2011 15,902 13,797
3/31/2011 15,976 13,852
4/30/2011 16,384 14,220
5/31/2011 16,147 14,070
6/30/2011 15,865 13,782
7/31/2011 15,138 13,325
8/31/2011 13,861 12,493
9/30/2011 12,459 11,549
10/31/2011 14,188 12,871
11/30/2011 14,069 12,804
12/31/2011 14,180 13,063
1/31/2012 14,885 13,557
2/29/2012 15,746 14,097
3/31/2012 16,036 14,515
4/30/2012 15,709 14,367
5/31/2012 14,596 13,524
6/30/2012 15,383 14,196
7/31/2012 15,531 14,343
8/31/2012 16,147 14,654
9/30/2012 16,740 15,119
10/31/2012 16,785 15,045
11/30/2012 16,822 15,039
12/31/2012 17,334 15,350
1/31/2013 18,544 16,347
2/28/2013 18,781 16,582
3/31/2013 19,679 17,239
4/30/2013 19,887 17,499
5/31/2013 20,703 17,949
6/30/2013 20,473 17,790
7/31/2013 21,697 18,751
8/31/2013 21,059 18,040
9/30/2013 21,675 18,492
10/31/2013 22,773 19,301
11/30/2013 23,730 19,840
12/31/2013 24,361 20,342
1/31/2014 23,397 19,620
2/28/2014 24,191 20,468
3/31/2014 24,762 20,957
4/30/2014 24,925 21,156
5/31/2014 25,474 21,466
6/30/2014 26,164 22,027
7/31/2014 25,979 21,651
8/31/2014 26,803 22,447
9/30/2014 26,142 21,984
10/31/2014 26,342 22,478
11/30/2014 26,654 22,938
12/31/2014 26,854 23,079
1/31/2015 25,526 22,156
2/28/2015 27,329 23,228
3/31/2015 26,810 22,912
4/30/2015 27,352 23,126
5/31/2015 27,656 23,404
6/30/2015 27,211 22,937
7/31/2015 27,144 23,038
8/31/2015 25,497 21,666
9/30/2015 24,680 21,012
10/31/2015 26,691 22,597
11/30/2015 26,795 22,683
12/31/2015 25,957 22,196
1/31/2016 24,191 21,049
2/29/2016 24,235 21,043
3/31/2016 26,001 22,559
4/30/2016 26,706 23,033
5/31/2016 27,070 23,391
6/30/2016 27,040 23,593
7/31/2016 27,975 24,278
8/31/2016 28,309 24,465
9/30/2016 28,442 24,414
10/31/2016 27,960 24,037
11/30/2016 30,157 25,409
12/31/2016 30,913 26,044
1/31/2017 31,359 26,230
2/28/2017 32,316 27,172
3/31/2017 32,012 26,896
4/30/2017 32,234 26,845
5/31/2017 32,197 26,819
6/30/2017 32,739 27,257
7/31/2017 33,295 27,620
8/31/2017 32,984 27,298
9/30/2017 34,260 28,106
10/31/2017 34,757 28,310
11/30/2017 35,996 29,177
12/31/2017 36,835 29,603
1/31/2018 38,727 30,748
2/28/2018 36,813 29,279
3/31/2018 35,982 28,764
4/30/2018 36,034 28,859
5/31/2018 36,382 29,031 Past performance is not predictive of
6/30/2018 36,123 29,103 future performance.
7/31/2018 37,622 30,254
8/31/2018 38,171 30,702 The returns shown do not reflect the
9/30/2018 38,208 30,763 deduction of taxes that a shareholder
10/31/2018 35,781 29,170 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2018, all rights
2.95% 9.46% 13.60% reserved.
--------------------------------------------------------------------------------
19
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
6.6%. Small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a
subset of the large-cap universe, underperformed large-cap stocks but
outperformed small-cap stocks as measured by Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 3000(R) Index.................................................... 6.60%
Russell Microcap(R) Index (micro-cap stocks)............................. 1.42%
Russell 2000(R) Index (small-cap stocks)................................. 1.85%
Russell Midcap(R) Index (mid-cap stocks)................................. 2.79%
Russell 1000(R) Index (large-cap stocks)................................. 6.98%
Dow Jones U.S. Select REIT Index /SM/.................................... 3.04%
Value stocks underperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks).................... -0.59%
Russell 2000(R) Growth Index (small-cap growth stocks).................. 4.13%
Russell 1000(R) Value Index (large-cap value stocks).................... 3.03%
Russell 1000(R) Growth Index (large-cap growth stocks).................. 10.71%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large company low relative price (value) stocks. Value is measured primarily by
book-to-market ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification, and weights stocks in proportion to their market
capitalization. The strategy overweights certain stocks, including smaller
companies, lower relative price (value) stocks, and higher-profitability stocks
within the large-cap value segment of the U.S. market. As of October 31, 2018,
the Series held approximately 320 securities. In general, average cash exposure
throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were 2.95% for the
Series and 3.03% for the Russell 1000(R) Value Index, the Series' benchmark. As
a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Series' greater exposure to
smaller large-cap stocks detracted from performance relative to the benchmark,
as these stocks underperformed their larger counterparts for the period. With
low relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Series' greater emphasis on value stocks also detracted
from relative performance. Conversely, the Series' emphasis on stocks with
higher profitability had a positive impact on relative performance, as
higher-profitability stocks generally outperformed lower-profitability stocks.
At the sector level, the Series' general exclusions of real estate investment
trusts (REITs) and certain utilities also benefited relative performance, as
REITs and utilities generally underperformed in the U.S.
20
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and 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"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return.............. $1,000.00 $ 993.00 0.11% $0.55
Hypothetical 5% Annual Return... $1,000.00 $1,024.65 0.11% $0.56
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
21
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 28, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400; by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX
78746; or by visiting the SEC's website at http://www.sec.gov.
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; by mailing a request to Dimensional Fund Advisors LP,
6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC's
website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC EQUITY PORTFOLIO
THE U.S. LARGE CAP VALUE SERIES
Communication Services.................. 8.9%
Consumer Discretionary.................. 6.8%
Consumer Staples........................ 5.2%
Energy.................................. 14.6%
Financials.............................. 22.6%
Health Care............................. 17.0%
Industrials............................. 8.9%
Information Technology.................. 11.3%
Materials............................... 4.2%
Real Estate............................. 0.2%
Utilities............................... 0.3%
-----
100.0%
22
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (97.4%)
COMMUNICATION SERVICES -- (8.7%)
AT&T, Inc................................ 34,933,504 $1,071,759,903 3.7%
* Charter Communications, Inc., Class A.... 962,932 308,494,525 1.1%
Comcast Corp., Class A................... 21,585,011 823,252,320 2.8%
Other Securities......................... 386,914,006 1.2%
-------------- ----
TOTAL COMMUNICATION SERVICES................. 2,590,420,754 8.8%
-------------- ----
CONSUMER DISCRETIONARY -- (6.6%)
Ford Motor Co............................ 16,051,999 153,296,590 0.5%
General Motors Co........................ 6,055,833 221,582,929 0.8%
Other Securities......................... 1,604,291,957 5.5%
-------------- ----
TOTAL CONSUMER DISCRETIONARY................. 1,979,171,476 6.8%
-------------- ----
CONSUMER STAPLES -- (5.1%)
Mondelez International, Inc., Class A.... 3,672,444 154,169,199 0.5%
Walgreens Boots Alliance, Inc............ 3,095,947 246,963,692 0.9%
Walmart, Inc............................. 5,346,820 536,179,110 1.8%
Other Securities......................... 573,560,285 2.0%
-------------- ----
TOTAL CONSUMER STAPLES....................... 1,510,872,286 5.2%
-------------- ----
ENERGY -- (14.2%)
Chevron Corp............................. 5,892,482 657,895,615 2.2%
ConocoPhillips........................... 4,754,869 332,365,343 1.1%
Exxon Mobil Corp......................... 14,096,229 1,123,187,527 3.8%
Marathon Petroleum Corp.................. 4,431,554 312,202,979 1.1%
Occidental Petroleum Corp................ 3,043,574 204,132,508 0.7%
Valero Energy Corp....................... 2,730,237 248,697,288 0.8%
Other Securities......................... 1,345,876,714 4.7%
-------------- ----
TOTAL ENERGY................................. 4,224,357,974 14.4%
-------------- ----
FINANCIALS -- (22.0%)
Bank of America Corp..................... 22,911,090 630,054,975 2.2%
Bank of New York Mellon Corp. (The)...... 4,090,441 193,600,573 0.7%
* Berkshire Hathaway, Inc., Class B........ 2,931,466 601,771,341 2.1%
Capital One Financial Corp............... 2,121,634 189,461,916 0.6%
Citigroup, Inc........................... 7,448,262 487,563,231 1.7%
Goldman Sachs Group, Inc. (The).......... 1,502,760 338,677,021 1.2%
JPMorgan Chase & Co...................... 5,691,942 620,535,517 2.1%
Morgan Stanley........................... 5,437,628 248,282,094 0.8%
PNC Financial Services Group, Inc. (The). 1,313,525 168,774,827 0.6%
Travelers Cos., Inc. (The)............... 1,165,331 145,817,868 0.5%
Wells Fargo & Co......................... 17,488,141 930,893,745 3.2%
Other Securities......................... 1,985,908,260 6.7%
-------------- ----
TOTAL FINANCIALS............................. 6,541,341,368 22.4%
-------------- ----
HEALTH CARE -- (16.5%)
Abbott Laboratories...................... 4,212,247 290,392,308 1.0%
Aetna, Inc............................... 1,816,031 360,300,550 1.2%
Anthem, Inc.............................. 1,376,563 379,339,466 1.3%
* Centene Corp............................. 1,211,523 157,885,677 0.5%
Cigna Corp............................... 814,507 174,149,742 0.6%
23
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
HEALTH CARE -- (Continued)
CVS Health Corp.................................. 4,705,478 $ 340,629,552 1.2%
Danaher Corp..................................... 1,886,239 187,492,157 0.6%
* Express Scripts Holding Co....................... 2,740,464 265,742,794 0.9%
Humana, Inc...................................... 545,028 174,632,422 0.6%
Medtronic P.L.C.................................. 4,359,974 391,612,865 1.3%
Pfizer, Inc...................................... 25,544,930 1,099,964,686 3.8%
Thermo Fisher Scientific, Inc.................... 1,073,774 250,887,295 0.9%
Other Securities................................. 844,289,133 2.9%
--------------- -----
TOTAL HEALTH CARE...................................... 4,917,318,647 16.8%
--------------- -----
INDUSTRIALS -- (8.7%)
Delta Air Lines, Inc............................. 2,950,569 161,484,641 0.6%
FedEx Corp....................................... 947,923 208,865,354 0.7%
Norfolk Southern Corp............................ 1,385,379 232,508,158 0.8%
Republic Services, Inc........................... 1,929,874 140,263,242 0.5%
* United Continental Holdings, Inc................. 1,696,416 145,060,532 0.5%
Other Securities................................. 1,703,425,795 5.7%
--------------- -----
TOTAL INDUSTRIALS...................................... 2,591,607,722 8.8%
--------------- -----
INFORMATION TECHNOLOGY -- (11.0%)
CA, Inc.......................................... 3,016,908 133,830,039 0.5%
Cisco Systems, Inc............................... 5,345,814 244,570,990 0.8%
Fidelity National Information Services, Inc...... 1,297,798 135,100,772 0.5%
HP, Inc.......................................... 9,619,949 232,225,569 0.8%
Intel Corp....................................... 22,880,867 1,072,655,045 3.7%
* Micron Technology, Inc........................... 5,266,057 198,635,670 0.7%
Other Securities................................. 1,247,474,861 4.2%
--------------- -----
TOTAL INFORMATION TECHNOLOGY........................... 3,264,492,946 11.2%
--------------- -----
MATERIALS -- (4.1%)
DowDuPont, Inc................................... 3,009,073 162,249,216 0.6%
Nucor Corp....................................... 2,499,919 147,795,211 0.5%
Other Securities................................. 909,072,691 3.1%
--------------- -----
TOTAL MATERIALS........................................ 1,219,117,118 4.2%
--------------- -----
REAL ESTATE -- (0.2%)
Other Securities................................. 51,111,313 0.2%
--------------- -----
UTILITIES -- (0.3%)
Other Securities................................. 80,311,092 0.3%
--------------- -----
TOTAL COMMON STOCKS.................................... 28,970,122,696 99.1%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money
Market Fund, 2.090% 254,325,822 254,325,822 0.9%
--------------- -----
SECURITIES LENDING COLLATERAL -- (1.7%)
@(S). DFA Short Term Investment Fund................... 44,660,829 516,725,797 1.7%
--------------- -----
TOTAL INVESTMENTS--(100.0%) (Cost $22,308,146,322) $29,741,174,315 101.7%
=============== =====
24
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
As of October 31, 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 12/21/18 $217,728,490 $204,010,275 $(13,718,215)
------------ ------------ ------------
TOTAL FUTURES CONTRACTS.. $217,728,490 $204,010,275 $(13,718,215)
============ ============ ============
Summary of the Series' investments as of October 31, 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
Communication Services............... $ 2,590,420,754 -- -- $ 2,590,420,754
Consumer Discretionary............... 1,979,171,476 -- -- 1,979,171,476
Consumer Staples..................... 1,510,872,286 -- -- 1,510,872,286
Energy............................... 4,224,357,974 -- -- 4,224,357,974
Financials........................... 6,541,341,368 -- -- 6,541,341,368
Health Care.......................... 4,917,318,647 -- -- 4,917,318,647
Industrials.......................... 2,591,607,722 -- -- 2,591,607,722
Information Technology............... 3,264,492,946 -- -- 3,264,492,946
Materials............................ 1,219,117,118 -- -- 1,219,117,118
Real Estate.......................... 51,111,313 -- -- 51,111,313
Utilities............................ 80,311,092 -- -- 80,311,092
Temporary Cash Investments.............. 254,325,822 -- -- 254,325,822
Securities Lending Collateral........... -- $516,725,797 -- 516,725,797
Futures Contracts**..................... (13,718,215) -- -- (13,718,215)
--------------- ------------ -- ---------------
TOTAL................................... $29,210,730,303 $516,725,797 -- $29,727,456,100
=============== ============ == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE
CAP VALUE
SERIES*
--------------
ASSETS:
Investments at Value (including $1,157,676 of securities on loan, respectively)................ $28,970,122
Temporary Cash Investments at Value & Cost..................................................... 254,326
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $516,703). 516,726
Segregated Cash for Futures Contracts.......................................................... 9,030
Receivables:
Investment Securities Sold.................................................................. 2,669
Dividends, Interest and Tax Reclaims........................................................ 36,806
Securities Lending Income................................................................... 114
Futures Margin Variation.................................................................... 1,941
-----------
Total Assets............................................................................ 29,791,734
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 516,732
Investment Securities Purchased............................................................. 27,826
Due to Advisor.............................................................................. 2,547
Accrued Expenses and Other Liabilities......................................................... 1,834
-----------
Total Liabilities....................................................................... 548,939
-----------
NET ASSETS..................................................................................... $29,242,795
===========
Investments at Cost............................................................................ $21,537,117
===========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
26
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE
CAP VALUE
SERIES#
--------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0).............. $ 663,709
Income from Securities Lending............................... 2,537
-----------
Total Investment Income.................................. 666,246
-----------
EXPENSES
Investment Management Fees................................... 29,655
Accounting & Transfer Agent Fees............................. 1,220
Custodian Fees............................................... 308
Directors'/Trustees' Fees & Expenses......................... 119
Professional Fees............................................ 393
Other........................................................ 599
-----------
Total Expenses........................................... 32,294
-----------
Net Expenses................................................. 32,294
-----------
NET INVESTMENT INCOME (LOSS)................................. 633,952
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:.................................
Investment Securities Sold**............................. 1,506,250
Affiliated Investment Companies Shares Sold.............. (48)
Futures.................................................. 32,885
Change in Unrealized Appreciation (Depreciation) of:.........
Investment Securities and Foreign Currency............... (1,356,683)
Affiliated Investment Companies Shares................... (15)
Futures.................................................. (21,778)
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... 160,611
-----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 794,563
===========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE
SERIES
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 633,952 $ 540,980
Net Realized Gain (Loss) on:..................................................
Investment Securities Sold/*,** /......................................... 1,506,250 1,415,252
Affiliated Investment Companies Shares Sold............................... (48) (4)
Futures................................................................... 32,885 22,013
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................ (1,356,683) 3,199,777
Affiliated Investment Companies Shares.................................... (15) (95)
Futures................................................................... (21,778) 11,932
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations........ 794,563 5,189,855
----------- -----------
Transactions in Interest:
Contributions................................................................. 2,333,386 2,626,519
Withdrawals................................................................... (1,561,700) (1,056,396)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.................. 771,686 1,570,123
----------- -----------
Total Increase (Decrease) in Net Assets................................ 1,566,249 6,759,978
NET ASSETS
Beginning of Year............................................................. 27,676,546 20,916,568
----------- -----------
End of Year................................................................... $29,242,795 $27,676,546
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Total Return......................................... 2.95% 24.31% 4.75% 1.32% 15.67%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands).................. $29,242,795 $27,676,546 $20,916,568 $19,094,057 $18,376,682
Ratio of Expenses to Average Net Assets.............. 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets. 2.14% 2.19% 2.39% 2.20% 1.90%
Portfolio Turnover Rate.............................. 13% 15% 15% 16% 15%
----------- ----------- ----------- ----------- -----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
29
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, one of which, The U.S. Large
Cap Value Series (the "Series"), is presented in this report. The remaining
portfolios are presented in separate reports. The Series is an investment
company, and accordingly, follows the accounting and reporting guidance under
the 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, the
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 uses 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,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series values the securities within the range of the
most recent quoted bid and ask prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
30
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 methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
to participate 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: the 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.
The Trustees may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Trustee shall have the right in a notice of election (the "Notice") to defer
the receipt of the Trustee's deferred compensation until a date specified by
such Trustee in the Notice, which date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Trustee
ceases to be a member of the Board of Trustees of the Trust; and (ii) five
years following the effective date of the Trustee's first deferral election. If
a Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 2018, none of the Trustees have requested or received
a distribution of proceeds of a deferred fee account.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Series estimates the character of
received distributions 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,
using the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 2018, the investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.10% of average daily net assets for the Series.
EARNED INCOME CREDIT:
Additionally, the Series has entered into arrangements with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of each Series' net assets.
During the year ended October 31, 2018, there were no fees paid indirectly.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended October 31, 2018, the total related amounts paid by the Trust to
the CCO were $87 (in thousands). The total related amount paid by the Series is
included in Other Expenses on the Statements of Operations.
31
D. DEFERRED COMPENSATION:
As of October 31, 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........................................... $617
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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):
OTHER INVESTMENT SECURITIES
---------------------------
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series............... $5,543,488 $3,723,399
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF DIVIDEND
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2018 OCTOBER 31, 2018 INCOME
---------- ---------- ---------- ------------ ------------- ---------------- ---------------- --------
THE U.S. LARGE CAP VALUE
SERIES
The DFA Short Term
Investment Fund $522,421 $5,227,508 $5,233,140 $(48) $(15) $516,726 44,661 $11,998
-------- ---------- ---------- ---- ---- -------- ------ -------
TOTAL $522,421 $5,227,508 $5,233,140 $(48) $(15) $516,726 44,661 $11,998
======== ========== ========== ==== ==== ======== ====== =======
CAPITAL GAIN
DISTRIBUTIONS
-------------
THE U.S. LARGE CAP VALUE
SERIES
The DFA Short Term
Investment Fund --
--
TOTAL --
==
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to its partners.
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
The U.S. Large Cap Value Series. $22,308,146 $8,353,529 $(934,220) $7,419,309
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
Series' tax positions and has concluded that no additional provision for income
tax is required in the Series'
32
financial statements. The Series is not aware of any tax positions for which it
is more likely than not that the total amounts of unrecognized tax benefits
will significantly change in the next twelve months. The Series' federal tax
returns for the prior three fiscal years remain subject to examination by the
Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objective and policies, the Series
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
1. FUTURES CONTRACTS: The Series may purchase or sell futures contracts and
options on futures contracts for equity securities and indices, to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Series. The Series, however, does not intend to sell futures contracts to
establish short positions in individual securities. Upon entrance into a
futures contract, the Series deposits cash or pledges U.S. government
securities to equal to the minimum "initial margin" requirements of the
exchange on which the contract is traded to a broker. Subsequent payments are
received from or paid to the broker each day, based on the daily fluctuation in
the market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series records a realized gain or loss, which is presented in the Statement of
Operations as a net realized gain or loss on futures, equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. Entering into stock index futures subjects the
Series to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2018 (amounts in thousands):
FUTURES
--------
The U.S. Large Cap Value Series....................................... $203,773
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 year ended October 31, 2018 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS (1)
------- -------------
The U.S. Large Cap Value Series....................... $32,885 $32,885
33
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
--------------------------------
EQUITY
TOTAL CONTRACTS (2)
-------- -------------
The U.S. Large Cap Value Series. $(21,778) $(21,778)
(1) Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(2) Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 4, 2019.
There were no borrowings by the Series under the lines of credit as of
October 31, 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.
lnterfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not use the interfund lending program during the year ended
October 31, 2018.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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.
34
For the year ended October 31, 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......... $543,066 $194,550 $(7,741)
J. SECURITIES LENDING:
As of October 31, 2018, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. Additionally,
the Series received non-cash collateral consisting of short-and/or long-term
U.S. Treasuries and U.S. government agency securities as follows (amounts in
thousands):
MARKET
VALUE
--------
The U.S. Large Cap Value Series........................................ $668,401
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and 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 with securities on
loan will generally invest the cash collateral received for the loaned
securities in the Money Market Series, an affiliated registered money market
fund advised by the Advisor for which the Advisor receives a management fee of
0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with 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 or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities.
Additionally, 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 for
taxation at qualified dividend income rates.
35
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 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......................................... $516,725,797 -- -- -- $516,725,797
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Series' early adoption of certain of the ASU 2018-13
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Series' financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Series' adoption of
these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Series' net assets or results of operations.
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
36
bankruptcy and reorganization. In connection with the LBO, thousands of Tribune
shareholders, including the Series, sold Tribune shares back to Tribune for $34
per share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee (the "Trustee") on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
parties appealed the Court's dismissal order to the United States Court of
Appeals for the Second Circuit (the "Second Circuit"), and, on March 29, 2016,
the Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's
safe harbor for securities transactions. The individual creditor plaintiffs
have petitioned the Supreme Court of the United States (the "Supreme Court") to
review the Second Circuit's ruling, and that petition is pending. Additionally,
the individual creditor plaintiffs have moved the Second Circuit to review its
prior ruling in light of a recent decision by the Supreme Court (in an
unrelated case) regarding the scope of the Bankruptcy Code's safe harbor for
securities transactions; such review is pending. On January 6, 2017, the Court
granted the shareholder defendants' motion to dismiss the claims against them
in the Committee Action. The Trustee requested that the Court certify the
dismissal order for appeal to the Second Circuit, and the District Court
advised that it would 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; the District
court has stayed this request pending the Second Circuit's review of its prior
decision with respect to the Individual Creditor Actions.
Litigation counsel to the 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 Series arising from the
Lawsuits. Until the Series can do so, no reduction of the net asset value of
the 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 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 Series will pay or receive,
as the case may be, a price based on the net asset value of the Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by the Series as incurred and in a manner similar to
any other expenses incurred by the Series.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
37
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The U.S. Large Cap Value Series
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of The U.S. Large Cap Value Series
(one of the series constituting The DFA Investment Trust Company, hereafter
referred to as the "Series") as of October 31, 2018, the related statement of
operations for the year ended October 31, 2018, the statement of changes in net
assets for each of the two years in the period ended October 31, 2018,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2018 (collectively referred to as the
"financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of the Series as of
October 31, 2018, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period ended
October 31, 2018 and the financial highlights for each of the five years in the
period ended October 31, 2018 in conformity with accounting principles
generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Series' management.
Our responsibility is to express an opinion on the Series' financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) ("PCAOB") and are required
to be independent with respect to the Series in accordance with the U.S.
federal securities laws and the applicable rules and regulations of the
Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
38
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were two
Audit Committee meetings held during the fiscal year ended October 31, 2018.
Each Board's Nominating Committee is composed of George M. Constantinides,
Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J. Smith. Each
member of the Nominating Committee is a disinterested Trustee/Director. The
Nominating Committee for each Board makes recommendations for nominations of
disinterested and interested members on the Board to the full Board. The
Nominating Committee evaluates a candidate's qualification for Board membership
and the independence of such candidate from the Advisor and other principal
service providers. The Nominating Committee met two times during the fiscal
year ended October 31, 2018.
Each Board's Strategy Committee is composed of Douglas W. Diamond, Edward P.
Lazear, and Myron S. Scholes. Each member of the Strategy Committee is a
disinterested Trustee/Director. The Strategy Committee assists the Board in
carrying out its fiduciary duties with respect to the oversight of the Fund and
its performance. At the request of the Board or the Advisor, the Strategy
Committee may (i) review the design of possible new series of the Fund,
(ii) review performance of existing portfolios of the Fund and discuss and
recommend possible enhancements to the portfolios' investment strategies,
(iii) review proposals by the Advisor to modify or enhance the investment
strategies or policies of each portfolio, and (iv) consider issues relating to
investment services for each portfolio of the Fund. There were four Strategy
Committee meetings held during the fiscal year ended October 31, 2018.
Certain biographical information for each disinterested Trustee/Director and
interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a Director or Trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746. Prospectuses
are also available at http://us.dimensional.com.
39
DISINTERESTED TRUSTEE/DIRECTORS
TERM OF PORTFOLIOS WITHIN
OFFICE/1/ AND THE DFA FUND OTHER DIRECTORSHIPS OF
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ PUBLIC COMPANIES HELD
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN DURING PAST 5 YEARS
----------------- ------------------- ------------------- -------------------- ------------------ ----------------------
George M. Director of DFAIDG DFADIG-Since 1983 Leo Melamed 128 portfolios in None
Constantinides and DIG Trustee of DIG- Since 1993 Professor of 4 investment
University of DFAITC and DEM DFAITC- Since Finance, companies
Chicago Booth 1992 DEM- Since University of
School of 1993 Chicago Booth
Business 5807 School of
S. Woodlawn Business (since
Avenue 1978).
Chicago, IL
60637
1947
Douglas W. Director of DFAIDG DFADIG- Since Merton H. Miller 128 portfolios in None
Diamond and DIG Trustee of June 2017 DIG- Distinguished 4 investment
University of DFAITC and DEM Since June 2017 Service Professor companies
Chicago Booth DFAITC- Since June of Finance,
School of 2017 DEM- Since University of
Business 5807 June 2017 Chicago Booth
S. Woodlawn School of
Avenue Business (since
Chicago, IL 1988). Visiting
60637 Scholar, Federal
Reserve Bank of
1953 Richmond (since
1990). Formerly,
Fischer Black
Visiting Professor
of Financial
Economics,
Alfred P. Sloan
School of
Management,
Massachusetts
Institute of
Technology
(2015 to 2016).
Roger G. Director of DFAIDG DFADIG- Since Professor in 128 portfolios in None
Ibbotson Yale and DIG Trustee of 1981 DIG- Since Practice Emeritus 4 investment
School of DFAITC and DEM 1993 DFAITC- of Finance, Yale companies
Management Since 1992 DEM- School of
P.O. Box Since 1993 Management
208200 New (since 1984).
Haven, CT Chairman, CIO
06520-8200 and Partner, Zebra
Capital
1943 Management,
LLC (hedge fund
and asset
manager) (since
2001). Formerly,
Consultant to
Morningstar, Inc.
(2006--2016).
Edward P. Director of DFAIDG DFADIG- Since Distinguished 128 portfolios in None
Lazear Stanford and DIG Trustee of 2010 DIG- Since Visiting Fellow, 4 investment
University DFAITC and DEM 2010 DFAITC- Becker Friedman companies
Graduate Since 2010 DEM- Institute for
School of Since 2010 Research in
Business Knight Economics,
Management University of
Center, E346 Chicago (since
Stanford, CA 2015). Morris
94305 Arnold Cox
Senior Fellow,
1948 Hoover Institution
(since 2002). Jack
Steele Parker
Professor of
Human Resources
Management and
Economics,
Graduate School
of Business,
Stanford
University (since
1995).
Cornerstone
Research (expert
testimony and
economic and
financial analysis)
(since 2009).
Myron S. Director of DFAIDG DFADIG- Since Chief Investment 128 portfolios in Formerly, Adviser,
Scholes c/o and DIG Trustee of 1981 DIG- Since Strategist, Janus 4 investment Kuapay, Inc. (2013-
Dimensional DFAITC and DEM 1993 DFAITC- Henderson companies 2014). Formerly,
Fund Advisors Since 1992 DEM- Investors (since Director, American
LP 6300 Bee Since 1993 2014). Frank E. Century Fund
Cave Road, Buck Professor of Complex (registered
Building One Finance, investment
Austin, TX Emeritus, companies) (43
78746 Graduate School Portfolios) (1980-
of Business, 2014).
1941 Stanford
University (since
1981).
40
TERM OF PORTFOLIOS WITHIN
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND OTHER DIRECTORSHIPS OF
AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5 COMPLEX/2/ PUBLIC COMPANIES HELD
YEAR OF BIRTH POSITION SERVICE YEARS OVERSEEN DURING PAST 5 YEARS
------------- ------------ ----------- ----------------------------------- ----------------- ----------------------
Abbie J. Smith Director of DFADIG- Boris and Irene Stern 128 Director (since 2000)
University of DFAIDG Since 2000 Distinguished Service Professor of portfolios in and formerly, Lead
Chicago and DIG DIG- Since Accounting, University of 4 investment Director (May 2014
Booth School Trustee of 2000 Chicago Booth School of Business companies - May 2017), HNI
of Business DFAITC DFAITC- (since 1980). Corporation
5807 S. and DEM Since 2000 (formerly known as
Woodlawn DEM- HON Industries
Avenue Since 2000 Inc.) (office
Chicago, IL furniture); Director,
60637 Ryder System Inc.
(transportation,
1953 logistics and
supply- chain
management) (since
2003); and Trustee,
UBS Funds (3
investment
companies within
the fund complex)
(21 portfolios)
(since 2009).
INTERESTED TRUSTEE/DIRECTOR*
TERM OF PORTFOLIOS WITHIN
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND OTHER DIRECTORSHIPS OF
AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5 COMPLEX/2/ PUBLIC COMPANIES HELD
YEAR OF BIRTH POSITION SERVICE YEARS OVERSEEN DURING PAST 5 YEARS
------------- ------------ ----------- ----------------------------------- ------------------ ----------------------
David G. Chairman DFADIG- Chairman, Director/Trustee, and 128 portfolios in None
Booth and Since 1981 formerly, President and Co-Chief 4 investment
6300 Bee Director of DIG- Since Executive Officer (each until companies
Cave Road, DFAIDG 1992 March 2017) of Dimensional
Building One and DIG DFAITC- Emerging Markets Value Fund
Austin, TX Trustee of Since 1992 ("DEM"), DFAIDG, Dimensional
78746 DFAITC DEM- Investment Group Inc. ("DIG")
and DEM Since 1993 and The DFA Investment Trust
1946 Company ("DFAITC"). Executive
Chairman, and formerly, President
and Co-Chief Executive Officer
(each until February 2017) of
Dimensional Holdings Inc.,
Dimensional Fund Advisors LP
and DFA Securities LLC
(collectively with DEM,
DFAIDG, DIG and DFAITC, the
"DFA Entities"). Formerly,
Chairman and Director (2009-
2018), Co-Chief Executive Officer
(2010 - June 2017) of
Dimensional Fund Advisors
Canada ULC. Trustee, University
of Chicago (since 2002). Trustee,
University of Kansas Endowment
Association (since 2005).
Formerly, Director of
Dimensional Fund Advisors Ltd.
(2002 - July 2017), DFA
Australia Limited (1994 - July
2017), Dimensional Advisors Ltd.
(2012 - July 2017), Dimensional
Funds plc (2006 - July 2017) and
Dimensional Funds II plc (2006 -
July 2017). Formerly, Director
and President of Dimensional
Japan Ltd. (2012 - April 2017).
Formerly, President, Dimensional
SmartNest (US) LLC (2009-
2014); and Limited Partner, VSC
Investors, LLC (2007 to
2015).Formerly, Chairman,
Director, President and Co-Chief
Executive Officer of Dimensional
Cayman Commodity
Fund I Ltd. (2010-September 2017).
1 Each Director holds office for an indefinite term until his or her successor
is elected and qualified.
2 Each Director is a director or trustee of each of the four registered
investment companies within the DFA Fund Complex, which include: DFAIDG;
DIG; DFAITC; and DEM. Each disinterested Director also serves on the
Independent Review Committee of the Dimensional Funds, mutual funds
registered in the provinces of Canada and managed by the Advisor's
affiliate, Dimensional Fund Advisors Canada ULC.
* The Interested Trustee/Director is described as such because he is deemed to
be an "interested person," as that term is defined under the Investment
Company Act of 1940, as amended, due to his position with the Advisor.
41
OFFICERS
Below is the name, year of birth, information regarding positions with the
Fund and the principal occupation for each officer of the Fund. The address of
each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the
officers listed below holds the same office (except as otherwise noted) in the
DFA Entities.
TERM OF
OFFICE/1 /AND
NAME AND YEAR OF LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5
BIRTH POSITION SERVICE YEARS
---------------- --------------- ----------- --------------------------------------
Valerie A. Brown Vice President Since 2001 Vice President and Assistant
1967 and Assistant Secretary of
Secretary
. all the DFA Entities (since
2001)
. DFA Australia Limited (since
2002)
. Dimensional Fund Advisors Ltd.
(since 2002)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Hong Kong Limited
(since 2012)
Director, Vice President and
Assistant Secretary (since 2003) of
. Dimensional Fund Advisors
Canada ULC
David P. Butler Co-Chief Since 2017 Co-Chief Executive Officer (since
1964 Executive 2017) of
Officer
. all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors
Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive
Officer (since 2017) of
. Dimensional Cayman Commodity
Fund I Ltd.
Head of Global Financial Advisor
Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 -
2017) of
. all the DFA Entities
Stephen A. Clark Executive Since 2017 Executive Vice President (since 2017)
1972 Vice President of
. all the DFA entities
Director and Vice President (since
2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors
Canada ULC
Vice President (since 2008) and
Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte.
Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte.
Ltd.
Head of Global Institutional Services
(since 2014) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2004 -
2017) of
. all the DFA Entities
Formerly, Vice President (2010 -
2016) of
. Dimensional Fund Advisors
Canada ULC
Formerly, Head of Institutional,
North America (2012 - 2013) for
. Dimensional Fund Advisors LP
42
Christopher S. Vice President Since 2004 Vice President and Global Chief
Crossan and Global Compliance Officer (since 2004) of
1965 Chief
Compliance . all the DFA Entities
Officer
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006)
and Chief Privacy Officer (since
2015) of
. Dimensional Fund Advisors
Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Japan Ltd. (since
2017)
Formerly, Vice President and Global
Chief Compliance Officer (2010 -
2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Vice Vice President, Chief Financial
1958 Chief President Officer, and Treasurer (since 2016) of
Financial since 2015
Officer, and and Chief . all the DFA Entities
Treasurer Financial
Officer . Dimensional Advisors Ltd.
and
Treasurer . Dimensional Fund Advisors Ltd.
since 2016
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity
Fund I Ltd.
. Dimensional Fund Advisors
Canada ULC
. Dimensional Fund Advisors Pte.
Ltd.
. DFA Australia Limited
Director (since 2016) for
. Dimensional Funds plc
. Dimensional Funds II plc
Formerly, interim Chief Financial
Officer and interim Treasurer
(2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte.
Ltd.
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity
Fund I Ltd.
. Dimensional Fund Advisors
Canada ULC
Formerly, Controller (2015 - 2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
Formerly, Vice President (2008 -
2015) of
. T. Rowe Price Group, Inc.
Formerly, Director of Investment
Treasury and Treasurer (2008 - 2015)
of
. the T. Rowe Price Funds
Jeff J. Jeon Vice President Vice Vice President (since 2004) and
1973 and Assistant President Assistant Secretary (since 2017) of
Secretary since 2004
and . all the DFA Entities
Assistant
Secretary Vice President and Assistant
since 2017 Secretary (since 2010) of
. Dimensional Cayman Commodity
Fund I Ltd.
Joy Lopez Vice President Vice Vice President (since 2015) of
1971 and Assistant President
Treasurer since 2015 . all the DFA Entities
and
Assistant Assistant Treasurer (since 2017) of
Treasurer
since 2017 . the DFA Fund Complex
Formerly, Senior Tax Manager (2013 -
2015) for
. Dimensional Fund Advisors LP
Kenneth M. Manell Vice President Since 2010 Vice President (since 2010) of
1972
. all the DFA Entities
. Dimensional Cayman Commodity
Fund I Ltd.
43
Catherine L. President and President since President (since 2017) of
Newell General 2017 and
1964 Counsel General . the DFA Fund Complex
Counsel since
2001 General Counsel (since 2001) of
. All the DFA Entities
Executive Vice President (since 2017)
and Secretary (since 2000) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. DFA Securities LLC
. Dimensional Investment LLC
Director (since 2002), Vice President
(since 1997) and Secretary (since
2002) of
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Vice President and Secretary of
. Dimensional Fund Advisors
Canada ULC (since 2003)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Japan Ltd. (since
2012)
. Dimensional Advisors Ltd.
(since 2012)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
Director of
. Dimensional Funds plc (since
2002)
. Dimensional Funds II plc
(since 2006)
. Director of Dimensional Japan
Ltd. (since 2012)
. Dimensional Advisors Ltd.
(since 2012)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Hong Kong Limited
(since 2012)
Formerly, Vice President and
Secretary (2010 - 2014) of
. Dimensional SmartNest (US) LLC
Formerly, Vice President (1997 -
2017) and Secretary (2000 - 2017) of
. the DFA Fund Complex
Formerly, Vice President of
. Dimensional Fund Advisors LP
(1997 - 2017)
. Dimensional Holdings Inc.
(2006 - 2017)
. DFA Securities LLC (1997 -
2017)
. Dimensional Investment LLC
(2009 - 2017)
Selwyn Vice Since 2013 Vice President and Deputy Chief
Notelovitz President and Compliance Officer of
1961 Deputy Chief
Compliance . the DFA Fund Complex (since
Officer 2013)
. Dimensional Fund Advisors LP
(since 2012)
Carolyn L. Vice Vice President Vice President (since 2010) and
O 1974 President and since 2010 and Secretary (since 2017) of
Secretary Secretary
since 2017 . the DFA Fund Complex
Vice President (since 2010) and
Assistant Secretary (since 2016) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Fund Advisors
Canada ULC (since 2016)
44
Gerard K. O'Reilly Co-Chief Co-Chief Co-Chief Executive Officer and Chief
1976 Executive Executive Investment Officer (since 2017) of
Officer and Officer
Chief and Chief . all the DFA Entities
Investment Investment
Officer Officer . Dimensional Fund Advisors
since 2017 Canada ULC
Director, Chief Investment Officer
and Vice President (since 2017) of
. DFA Australia Limited
Chief Investment Officer (since 2017)
and Vice President (since 2016) of
. Dimensional Japan Ltd.
Director, Co-Chief Executive Officer
and Chief Investment Officer (since
2017) of
. Dimensional Cayman Commodity
Fund I Ltd.
Director of
. Dimensional Funds plc (since
2014)
. Dimensional Fund II plc (since
2014)
. Dimensional Holdings Inc.
(since 2017)
Formerly, Co-Chief Investment Officer
of
. Dimensional Japan Ltd. (2016 -
2017)
. DFA Australia Limited (2014 -
2017)
Formerly, Executive Vice President
(2017) and Co-Chief Investment
Officer (2014 - 2017) of
. all the DFA Entities
Formerly, Vice President (2007 -
2017) of
. all the DFA Entities
Formerly, Vice President and Co-Chief
Investment Officer (2014 - 2017) of
. Dimensional Fund Advisors
Canada ULC
Formerly, Director of
. Dimensional Fund Advisors Pte.
Ltd. (2017)
45
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.
46
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2018 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2018
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 01, 2017 to October 31, 2018, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS
INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT TOTAL RECEIVED
DIMENSIONAL INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1)
--------------------------------- ------------- ------------- ------------- --------- ---------- ------------- -------------
U.S. Large Cap Value Portfolio II. 0% 5% 74% 0% 0% 79% 100%
QUALIFYING
SHORT-
QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM
DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL
DIMENSIONAL INVESTMENT GROUP INC. INCOME (2) INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
--------------------------------- ---------- ------------ ---------- ---------- ---------- ----------
U.S. Large Cap Value Portfolio II. 100% 0% 0% 22% 0% 100%
(1) Qualifying Dividends represents dividends that qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4) "Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5) "Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
47
LOGO DFA103118-009A
00218724
LOGO
Annual Report
YEAR ENDED: OCTOBER 31, 2018
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
U.S. Large Cap Value Portfolio III
DFA International Value Portfolio III
Tax-Managed U.S. Marketwide Value Portfolio II
LOGO
December 2018
Dear Fellow Shareholder,
Since our founding in 1981, we have put clients at the center of everything we
do.
Our investment approach and philosophy are grounded in rigorous academic
research and robust implementation to help you target higher expected returns
in an ever-evolving marketplace. And our 38-year track record of outperforming
indices and competitors is a testament to our approach.
Our mission is to improve people's lives.
We recognize and appreciate the trust and responsibility you've placed in us to
manage your assets and we take that responsibility seriously. Our company
strives to act with integrity and provide excellent investment solutions for
clients.
On behalf of the more than 1,300 employees at Dimensional working in 13 cities
across nine countries, we appreciate the opportunity to serve you.
Sincerely,
/s/ David Butler /s/ Gerard O'Reilly
DAVID BUTLER GERARD O'REILLY
Co-Chief Executive Officer Co-Chief Executive Officer and
Chief Investment Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................................. 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts...................................................... 2
Management's Discussion and Analysis.................................... 4
Disclosure of Fund Expenses............................................. 8
Disclosure of Portfolio Holdings........................................ 10
Schedules of Investments
U.S. Large Cap Value Portfolio III.................................. 11
DFA International Value Portfolio III............................... 12
Tax-Managed U.S. Marketwide Value Portfolio II...................... 13
Statements of Assets and Liabilities.................................... 14
Statements of Operations................................................ 15
Statements of Changes in Net Assets..................................... 16
Financial Highlights.................................................... 17
Notes to Financial Statements........................................... 19
Report of Independent Registered Public Accounting Firm................. 28
THE DFA INVESTMENT TRUST COMPANY
Performance Charts...................................................... 29
Management's Discussion and Analysis.................................... 31
Disclosure of Fund Expenses............................................. 34
Disclosure of Portfolio Holdings........................................ 36
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series..................................... 37
The DFA International Value Series.................................. 40
The Tax-Managed U.S. Marketwide Value Series........................ 44
Statements of Assets and Liabilities.................................... 47
Statements of Operations................................................ 48
Statements of Changes in Net Assets..................................... 49
Financial Highlights.................................................... 50
Notes to Financial Statements........................................... 53
Report of Independent Registered Public Accounting Firm................. 64
FUND MANAGEMENT............................................................ 65
Board of Independent Directors or Trustees Table........................ 66
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................................ 72
NOTICE TO SHAREHOLDERS..................................................... 73
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
P.L.C. Public Limited Company
ADR American Depositary Receipt
SA Special Assessment
Investment Footnotes
+ See Note B to Financial Statements.
++ Calculated as a percentage of total
net assets. Percentages shown
parenthetically next to the category
headings have been calculated as a
percentage of total investments.
"Other Securities" are those
securities that are not among the top
50 holdings in unaffiliated issuers
of the Fund or do not represent more
than 1.0% of the net assets of the
Fund. Some of the individual
securities within this category may
include Total or Partial Securities
on Loan and/or Non-Income Producing
Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds
from Securities on Loan.
(S) Affiliated Fund.
>> Securities that have generally been
fair value factored. See Note B to
Financial Statements.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares
outstanding.
(B) Represents the combined ratios for
the respective Portfolio and its
respective pro-rata share of its
Master Fund(s).
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either
zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
U.S. Large Cap
Value Portfolio III Russell 1000/R/ Value Index
--------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,022 9,283
12/31/2008 9,311 9,412
1/31/2009 8,204 8,330
2/28/2009 7,060 7,217
3/31/2009 7,753 7,834
4/30/2009 9,005 8,673
5/31/2009 9,705 9,210
6/30/2009 9,579 9,142
7/31/2009 10,492 9,890
8/31/2009 11,202 10,407
9/30/2009 11,687 10,809
10/31/2009 11,188 10,478
11/30/2009 11,816 11,069
12/31/2009 12,144 11,265
1/31/2010 11,856 10,948
2/28/2010 12,377 11,294
3/31/2010 13,341 12,029
4/30/2010 13,761 12,340
5/31/2010 12,586 11,326
6/30/2010 11,633 10,688
7/31/2010 12,541 11,412
8/31/2010 11,783 10,924
9/30/2010 12,939 11,771
10/31/2010 13,420 12,124
11/30/2010 13,316 12,060
12/31/2010 14,619 13,012
1/31/2011 15,083 13,306
2/28/2011 15,899 13,797
3/31/2011 15,975 13,852
4/30/2011 16,374 14,220
5/31/2011 16,146 14,070
6/30/2011 15,855 13,782
7/31/2011 15,129 13,325
8/31/2011 13,850 12,493
9/30/2011 12,450 11,549
10/31/2011 14,177 12,871
11/30/2011 14,062 12,804
12/31/2011 14,171 13,063
1/31/2012 14,877 13,557
2/29/2012 15,738 14,097
3/31/2012 16,026 14,515
4/30/2012 15,696 14,367
5/31/2012 14,579 13,524
6/30/2012 15,369 14,196
7/31/2012 15,515 14,343
8/31/2012 16,130 14,654
9/30/2012 16,726 15,119
10/31/2012 16,775 15,045
11/30/2012 16,804 15,039
12/31/2012 17,313 15,350
1/31/2013 18,528 16,347
2/28/2013 18,766 16,582
3/31/2013 19,662 17,239
4/30/2013 19,870 17,499
5/31/2013 20,683 17,949
6/30/2013 20,454 17,790
7/31/2013 21,679 18,751
8/31/2013 21,042 18,040
9/30/2013 21,655 18,492
10/31/2013 22,755 19,301
11/30/2013 23,706 19,840
12/31/2013 24,341 20,342
1/31/2014 23,376 19,620
2/28/2014 24,167 20,468
3/31/2014 24,737 20,957
4/30/2014 24,901 21,156
5/31/2014 25,448 21,466
6/30/2014 26,141 22,027
7/31/2014 25,944 21,651
8/31/2014 26,772 22,447
9/30/2014 26,113 21,984
10/31/2014 26,310 22,478
11/30/2014 26,622 22,938
12/31/2014 26,821 23,079
1/31/2015 25,492 22,156
2/28/2015 27,293 23,228
3/31/2015 26,780 22,912
4/30/2015 27,321 23,126
5/31/2015 27,630 23,404
6/30/2015 27,184 22,937
7/31/2015 27,107 23,038
8/31/2015 25,466 21,666
9/30/2015 24,644 21,012
10/31/2015 26,662 22,597
11/30/2015 26,763 22,683
12/31/2015 25,924 22,196
1/31/2016 24,158 21,049
2/29/2016 24,205 21,043
3/31/2016 25,968 22,559
4/30/2016 26,672 23,033
5/31/2016 27,029 23,391
6/30/2016 27,003 23,593
7/31/2016 27,927 24,278
8/31/2016 28,262 24,465
9/30/2016 28,395 24,414
10/31/2016 27,913 24,037
11/30/2016 30,107 25,409
12/31/2016 30,872 26,044
1/31/2017 31,311 26,230
2/28/2017 32,262 27,172
3/31/2017 31,963 26,896
4/30/2017 32,177 26,845
5/31/2017 32,152 26,819
6/30/2017 32,680 27,257
7/31/2017 33,237 27,620
8/31/2017 32,933 27,298
9/30/2017 34,205 28,106
10/31/2017 34,701 28,310
11/30/2017 35,935 29,177
12/31/2017 36,772 29,603
1/31/2018 38,664 30,748
2/28/2018 36,744 29,279
3/31/2018 35,920 28,764
4/30/2018 35,975 28,859
5/31/2018 36,317 29,031
6/30/2018 36,058 29,103
7/31/2018 37,557 30,254
8/31/2018 38,094 30,702
9/30/2018 38,132 30,763
10/31/2018 35,712 29,170
ONE FIVE TEN
AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS
--------------------------- ---- ----- -----
2.91% 9.43% 13.57%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO III VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA International MSCI World ex USA
Value Portfolio III Index (net dividends)
--------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,378 9,458
12/31/2008 10,093 9,956
1/31/2009 8,702 9,027
2/28/2009 7,630 8,113
3/31/2009 8,461 8,648
4/30/2009 10,019 9,763
5/31/2009 11,508 10,998
6/30/2009 11,340 10,884
7/31/2009 12,678 11,906
8/31/2009 13,404 12,477
9/30/2009 14,099 12,992
10/31/2009 13,536 12,783
11/30/2009 13,932 13,099
12/31/2009 14,093 13,308
1/31/2010 13,280 12,684
2/28/2010 13,324 12,672
3/31/2010 14,383 13,487
4/30/2010 14,135 13,286
5/31/2010 12,481 11,820
6/30/2010 12,260 11,649
7/31/2010 13,796 12,726
8/31/2010 13,122 12,345
9/30/2010 14,527 13,530
10/31/2010 15,032 14,012
11/30/2010 14,274 13,418
12/31/2010 15,609 14,499
1/31/2011 16,281 14,811
2/28/2011 16,817 15,360
3/31/2011 16,360 15,052
4/30/2011 17,225 15,872
5/31/2011 16,606 15,402
6/30/2011 16,374 15,182
7/31/2011 15,855 14,932
8/31/2011 14,150 13,670
9/30/2011 12,608 12,297
10/31/2011 13,821 13,493
11/30/2011 13,364 12,869
12/31/2011 13,005 12,729
1/31/2012 13,883 13,416
2/29/2012 14,601 14,154
3/31/2012 14,490 14,049
4/30/2012 13,970 13,810
5/31/2012 12,238 12,236
6/30/2012 13,111 13,038
7/31/2012 13,053 13,200
8/31/2012 13,593 13,577
9/30/2012 14,080 13,989
10/31/2012 14,255 14,087
11/30/2012 14,478 14,383
12/31/2012 15,191 14,818
1/31/2013 15,910 15,547
2/28/2013 15,430 15,392
3/31/2013 15,482 15,514
4/30/2013 16,243 16,220
5/31/2013 16,043 15,857
6/30/2013 15,485 15,263
7/31/2013 16,535 16,075
8/31/2013 16,423 15,868
9/30/2013 17,664 16,989
10/31/2013 18,268 17,559
11/30/2013 18,340 17,667
12/31/2013 18,742 17,933
1/31/2014 18,054 17,209
2/28/2014 19,085 18,148
3/31/2014 18,949 18,067
4/30/2014 19,277 18,352
5/31/2014 19,484 18,636
6/30/2014 19,731 18,901
7/31/2014 19,287 18,564
8/31/2014 19,298 18,579
9/30/2014 18,458 17,816
10/31/2014 18,134 17,532
11/30/2014 18,146 17,748
12/31/2014 17,462 17,158
1/31/2015 17,348 17,097
2/28/2015 18,595 18,118
3/31/2015 18,206 17,816
4/30/2015 19,201 18,587
5/31/2015 19,213 18,426
6/30/2015 18,653 17,902
7/31/2015 18,478 18,186
8/31/2015 17,103 16,861
9/30/2015 15,936 16,010
10/31/2015 17,154 17,214
11/30/2015 16,931 16,940
12/31/2015 16,389 16,637
1/31/2016 15,110 15,491
2/29/2016 14,627 15,275
3/31/2016 15,742 16,312
4/30/2016 16,506 16,837
5/31/2016 16,191 16,646
6/30/2016 15,608 16,140
7/31/2016 16,300 16,934
8/31/2016 16,733 16,950
9/30/2016 16,915 17,156
10/31/2016 17,138 16,823
11/30/2016 17,225 16,553
12/31/2016 17,795 17,094
1/31/2017 18,559 17,603
2/28/2017 18,421 17,806
3/31/2017 18,840 18,258
4/30/2017 19,116 18,646
5/31/2017 19,443 19,267
6/30/2017 19,659 19,286
7/31/2017 20,578 19,860
8/31/2017 20,553 19,855
9/30/2017 21,295 20,370
10/31/2017 21,680 20,648
11/30/2017 21,898 20,857
12/31/2017 22,463 21,232
1/31/2018 23,782 22,221
2/28/2018 22,450 21,165
3/31/2018 22,177 20,799
4/30/2018 22,773 21,276
5/31/2018 21,956 20,873
6/30/2018 21,459 20,644
7/31/2018 22,145 21,151
8/31/2018 21,367 20,751
9/30/2018 21,753 20,914
10/31/2018 19,925 19,252
ONE FIVE TEN
AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS
--------------------------- ----- ----- -----
-8.09% 1.75% 7.14%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Tax-Managed U.S. Marketwide
Value Portfolio II Russell 3000/R/ Value Index
--------------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,010 9,247
12/31/2008 9,319 9,410
1/31/2009 8,106 8,306
2/28/2009 7,012 7,193
3/31/2009 7,755 7,810
4/30/2009 9,094 8,679
5/31/2009 9,773 9,187
6/30/2009 9,636 9,123
7/31/2009 10,621 9,893
8/31/2009 11,324 10,407
9/30/2009 11,829 10,818
10/31/2009 11,264 10,456
11/30/2009 11,788 11,025
12/31/2009 12,226 11,269
1/31/2010 11,881 10,951
2/28/2010 12,428 11,310
3/31/2010 13,407 12,063
4/30/2010 13,926 12,420
5/31/2010 12,737 11,397
6/30/2010 11,758 10,725
7/31/2010 12,705 11,455
8/31/2010 11,870 10,935
9/30/2010 13,058 11,808
10/31/2010 13,569 12,171
11/30/2010 13,600 12,136
12/31/2010 14,879 13,098
1/31/2011 15,249 13,370
2/28/2011 16,113 13,879
3/31/2011 16,219 13,945
4/30/2011 16,601 14,304
5/31/2011 16,333 14,144
6/30/2011 16,051 13,850
7/31/2011 15,368 13,390
8/31/2011 14,096 12,526
9/30/2011 12,663 11,546
10/31/2011 14,418 12,894
11/30/2011 14,304 12,831
12/31/2011 14,450 13,085
1/31/2012 15,203 13,609
2/29/2012 16,009 14,124
3/31/2012 16,350 14,544
4/30/2012 16,045 14,391
5/31/2012 14,923 13,545
6/30/2012 15,707 14,215
7/31/2012 15,845 14,340
8/31/2012 16,435 14,661
9/30/2012 17,033 15,131
10/31/2012 17,086 15,048
11/30/2012 17,192 15,046
12/31/2012 17,688 15,381
1/31/2013 18,851 16,374
2/28/2013 19,150 16,605
3/31/2013 20,097 17,266
4/30/2013 20,246 17,505
5/31/2013 20,910 17,960
6/30/2013 20,781 17,808
7/31/2013 22,038 18,784
8/31/2013 21,394 18,062
9/30/2013 22,174 18,561
10/31/2013 23,220 19,357
11/30/2013 24,180 19,914
12/31/2013 24,853 20,408
1/31/2014 23,868 19,678
2/28/2014 24,745 20,533
3/31/2014 25,117 21,004
4/30/2014 25,171 21,145
5/31/2014 25,769 21,441
6/30/2014 26,432 22,031
7/31/2014 26,018 21,578
8/31/2014 26,978 22,383
9/30/2014 26,285 21,839
10/31/2014 26,745 22,407
11/30/2014 27,085 22,822
12/31/2014 27,361 22,999
1/31/2015 25,992 22,077
2/28/2015 27,869 23,142
3/31/2015 27,602 22,881
4/30/2015 27,890 23,039
5/31/2015 28,311 23,309
6/30/2015 28,016 22,882
7/31/2015 28,094 22,922
8/31/2015 26,325 21,576
9/30/2015 25,502 20,917
10/31/2015 27,514 22,462
11/30/2015 27,570 22,592
12/31/2015 26,640 22,049
1/31/2016 24,947 20,883
2/29/2016 24,890 20,889
3/31/2016 26,632 22,412
4/30/2016 27,299 22,883
5/31/2016 27,621 23,243
6/30/2016 27,596 23,435
7/31/2016 28,347 24,158
8/31/2016 28,636 24,375
9/30/2016 28,767 24,343
10/31/2016 28,279 23,934
11/30/2016 30,439 25,437
12/31/2016 31,267 26,106
1/31/2017 31,641 26,262
2/28/2017 32,510 27,160
3/31/2017 32,242 26,887
4/30/2017 32,545 26,849
5/31/2017 32,424 26,758
6/30/2017 32,979 27,233
7/31/2017 33,479 27,581
8/31/2017 33,162 27,234
9/30/2017 34,374 28,123
10/31/2017 34,668 28,314
11/30/2017 35,942 29,177
12/31/2017 36,629 29,550
1/31/2018 38,498 30,635
2/28/2018 36,540 29,167
3/31/2018 35,783 28,717
4/30/2018 35,949 28,842
5/31/2018 36,319 29,127
6/30/2018 36,280 29,208
7/31/2018 37,782 30,315
8/31/2018 38,501 30,784
9/30/2018 38,572 30,783
10/31/2018 36,146 29,103
ONE FIVE TEN
AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS
--------------------------- ---- ----- -----
4.27% 9.25% 13.71%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
3
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
6.6%. Small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a
subset of the large-cap universe, underperformed large-cap stocks but
outperformed small-cap stocks as measured by Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 3000(R) Index..................................................... 6.60%
Russell Microcap(R) Index (micro-cap stocks).............................. 1.42%
Russell 2000(R) Index (small-cap stocks).................................. 1.85%
Russell Midcap(R) Index (mid-cap stocks).................................. 2.79%
Russell 1000(R) Index (large-cap stocks).................................. 6.98%
Dow Jones U.S. Select REIT Index /SM/..................................... 3.04%
Value stocks underperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)..................... -0.59%
Russell 2000(R) Growth Index (small-cap growth stocks)................... 4.13%
Russell 1000(R) Value Index (large-cap value stocks)..................... 3.03%
Russell 1000(R) Growth Index (large-cap growth stocks)................... 10.71%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE PORTFOLIO III
The U.S. Large Cap Value Portfolio III is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. Value
is measured primarily by book-to-market ratio. In assessing profitability,
Dimensional may consider such factors as earnings or profits from operations
relative to book value or assets. The investment strategy is process driven,
emphasizing broad diversification, and weights stocks in proportion to their
market capitalization. The strategy overweights certain stocks, including
smaller companies, lower relative price (value) stocks, and
higher-profitability stocks within the large-cap value segment of the U.S.
market. As of October 31, 2018, the Master Fund held approximately 320
securities. In general, average cash exposure throughout the year was less than
1% of the Portfolio's assets.
For the 12 months ended October 31, 2018, total returns were 2.91% for the
Portfolio and 3.03% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than by the behavior of a limited number of stocks. The Master
Fund's greater exposure to smaller large-cap stocks detracted from performance
relative to the benchmark, as these stocks underperformed their larger
counterparts for the period. With low relative price (value) stocks generally
underperforming high relative price (growth) stocks, the Master Fund's greater
emphasis on value stocks also detracted from relative performance. Conversely,
the Master Fund's emphasis on stocks with higher profitability had a positive
impact on relative performance, as higher-profitability stocks generally
outperformed lower-profitability stocks. At the sector level, the Master Fund's
general exclusions of real estate investment trusts (REITs) and certain
utilities also benefited relative performance, as REITs and utilities generally
underperformed in the U.S.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Performance of non-U.S. developed markets was negative for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed both large-cap and small-cap stocks. Value stocks underperformed
growth stocks as measured by the MSCI World ex USA indices.
4
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index................................ -6.76%
MSCI World ex USA Mid Cap Index........................ -8.02%
MSCI World ex USA Small Cap Index...................... -7.75%
MSCI World ex USA Value Index.......................... -7.54%
MSCI World ex USA Growth Index......................... -6.01%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against currencies of most other developed markets. Overall, currency movements
had a negative impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY LOCAL RETURN RETURN IN U.S. DOLLARS
MARKET CAP ------------ ----------------------
Japan..................................... -4.22% -3.56%
United Kingdom............................ -0.91% -4.65%
France.................................... -4.30% -6.92%
Canada.................................... -4.08% -5.84%
Germany................................... -12.26% -14.66%
Switzerland............................... 0.19% -0.72%
Australia................................. 2.96% -4.83%
Hong Kong................................. -8.47% -8.88%
Netherlands............................... -7.68% -9.99%
Spain..................................... -13.55% -15.92%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
Emerging markets had negative performance for the period, underperforming
both the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap
stocks, a subset of the large-cap universe, outperformed both large-cap and
small-cap stocks. Value stocks outperformed growth stocks as measured by the
MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index............................ -12.52%
MSCI Emerging Markets Mid Cap Index.................... -11.85%
MSCI Emerging Markets Small Cap Index.................. -17.21%
MSCI Emerging Markets Value Index...................... -8.27%
MSCI Emerging Markets Growth Index..................... -16.70%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against most emerging markets currencies. Overall, currency movements had a
negative impact on the U.S. dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ ----------------------
China..................................... -16.33% -16.73%
Korea..................................... -18.52% -19.90%
Taiwan.................................... -6.62% -8.98%
India..................................... -0.01% -12.42%
Brazil.................................... 18.95% 4.76%
South Africa.............................. -13.80% -17.45%
Russia.................................... 22.79% 10.69%
Mexico.................................... -9.54% -14.55%
Thailand.................................. 4.01% 4.23%
Malaysia.................................. -0.18% 0.99%
5
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2018,
these differences generally detracted from the Portfolios' relative performance.
DFA INTERNATIONAL VALUE PORTFOLIO III
The DFA International Value Portfolio III is designed to capture the returns
of developed ex U.S. large company value stocks by purchasing shares of The DFA
International Value Series, a Master Fund managed by Dimensional that invests
in such stocks. Value is measured primarily by price-to-book ratio. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification, and weights
stocks in proportion to their market capitalization. The strategy overweights
certain stocks, including smaller companies, lower relative price (value)
stocks, and higher-profitability stocks within the large-cap value segment of
developed ex U.S. markets. As of October 31, 2018, the Master Fund held
approximately 530 securities in 22 eligible developed markets. In general,
average cash exposure throughout the year was less than 1% of the Master Fund's
assets.
For the 12 months ended October 31, 2018, total returns were -8.09% for the
Portfolio and -6.76% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. With low relative price (value) stocks underperforming high relative
price (growth) stocks, the Master Fund's focus on value stocks detracted from
performance relative to the benchmark. Conversely, the Master Fund's emphasis
on higher-profitability stocks within the value segment of the market had a
positive impact on relative performance, as these stocks generally outperformed.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
6.6%. Small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a
subset of the large-cap universe, underperformed large-cap stocks but
outperformed small-cap stocks as measured by Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 3000(R) Index.................................................... 6.60%
Russell Microcap(R) Index (micro-cap stocks)............................. 1.42%
Russell 2000(R) Index (small-cap stocks)................................. 1.85%
Russell Midcap(R) Index (mid-cap stocks)................................. 2.79%
Russell 1000(R) Index (large-cap stocks)................................. 6.98%
Dow Jones U.S. Select REIT Index /SM/.................................... 3.04%
Value stocks underperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)..................... -0.59%
Russell 2000(R) Growth Index (small-cap growth stocks)................... 4.13%
Russell 1000(R) Value Index (large-cap value stocks)..................... 3.03%
Russell 1000(R) Growth Index (large-cap growth stocks)................... 10.71%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
The Tax-Managed U.S. Marketwide Value Portfolio II invests in a broadly
diversified group of U.S. low relative price (value) stocks by purchasing
shares of The Tax-Managed U.S. Marketwide Value Series, a Master Fund managed
by Dimensional that invests in such stocks while considering the federal tax
implications of investment decisions. Value is measured primarily by
book-to-market ratio. In assessing profitability, Dimensional may consider such
factors as
6
earnings or profits from operations relative to book value or assets. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2018, the Master Fund held approximately 1,100 securities. In
general, average cash exposure throughout the year was less than 1% of the
Master Fund's assets.
For the 12 months ended October 31, 2018, total returns were 4.27% for the
Portfolio and 2.78% for the Russell 3000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than by the behavior of a limited number of stocks. The Master
Fund's emphasis on stocks with higher profitability contributed positively to
performance relative to the benchmark, as higher-profitability stocks generally
outperformed lower-profitability stocks. At the sector level, the Master Fund's
general exclusions of real estate investment trusts (REITs) and certain
utilities had a positive impact on relative performance, as REITs and utilities
generally underperformed in the U.S.
7
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 and 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"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
U.S. LARGE CAP VALUE PORTFOLIO III(2)
-------------------------------------
Actual Fund Return...................... $1,000.00 $ 992.70 0.13% $0.65
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
DFA INTERNATIONAL VALUE PORTFOLIO III(2)
----------------------------------------
Actual Fund Return...................... $1,000.00 $ 874.90 0.23% $1.09
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.23% $1.17
8
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II(2)
-------------------------------------------------
Actual Fund Return.......................................... $1,000.00 $1,005.50 0.22% $1.11
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.10 0.22% $1.12
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2)The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
9
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 2018. They are available upon request, without charge,
by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting
the SEC's website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere in the report. Refer to the Summary Schedules of Portfolio
Holdings for the underlying Affiliated Investment Company's holdings, which
reflect the investments by category.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
U.S. Large Cap Value Portfolio III................ 100.0%
DFA International Value Portfolio III............. 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II.... 100.0%
10
U.S. LARGE CAP VALUE PORTFOLIO III
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company....................................... $3,792,676,889
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES............. $3,792,676,889
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
11
DFA INTERNATIONAL VALUE PORTFOLIO III
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company....................................... $2,418,581,919
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES............. $2,418,581,919
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
12
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of
The DFA Investment Trust Company............................... $1,841,556,915
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES............. $1,841,556,915
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
DFA U.S.
U.S. LARGE CAP INTERNATIONAL MARKETWIDE
VALUE PORTFOLIO VALUE PORTFOLIO VALUE PORTFOLIO
III III II
--------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value..... $ 3,792,677 $ 2,418,582 $ 1,841,557
Receivables:
Fund Shares Sold....................................... 3,513 5,503 722
Prepaid Expenses and Other Assets......................... 31 28 30
------------ ------------ ------------
Total Assets....................................... 3,796,221 2,424,113 1,842,309
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................... 1,900 2,252 547
Due to Advisor......................................... 28 11 1
Accrued Expenses and Other Liabilities.................... 201 146 83
------------ ------------ ------------
Total Liabilities.................................. 2,129 2,409 631
============ ============ ============
NET ASSETS................................................ $ 3,794,092 $ 2,421,704 $ 1,841,678
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................... 146,869,037 161,065,689 65,717,781
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.. $ 25.83 $ 15.04 $ 28.02
------------ ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital........................................... $ 2,311,457 $ 2,286,502 $ 929,546
Total Distributable Earnings (Loss)....................... 1,482,635 135,202 912,132
------------ ------------ ------------
NET ASSETS................................................ $ 3,794,092 $ 2,421,704 $ 1,841,678
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED........................... 700,000,000 500,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA U.S.
U.S. LARGE CAP INTERNATIONAL MARKETWIDE
VALUE PORTFOLIO VALUE PORTFOLIO VALUE PORTFOLIO
III* III* II*
--------------- --------------- ---------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $8,528 and $2,
respectively)............................................................. $ 87,624 $ 87,486 $ 41,340
Income from Securities Lending.............................................. 335 1,805 218
Expenses Allocated from Affiliated Investment Companies..................... (4,261) (5,439) (3,948)
--------- --------- --------
Total Net Investment Income Allocated from Affiliated Investment
Companies:............................................................ 83,698 83,852 37,610
--------- --------- --------
FUND EXPENSES
Investment Management Fees.................................................. 4,303 5,459 3,777
Accounting & Transfer Agent Fees............................................ 110 95 47
Custodian Fees.............................................................. -- 1 --
Filing Fees................................................................. 109 70 53
Shareholders' Reports....................................................... 66 78 32
Directors'/Trustees' Fees & Expenses........................................ 16 11 8
Audit Fees.................................................................. 7 5 7
Legal Fees.................................................................. 33 22 13
Other....................................................................... 20 17 10
--------- --------- --------
Total Fund Expenses..................................................... 4,664 5,758 3,947
--------- --------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)............................................. (3,912) (5,199) (3,777)
--------- --------- --------
Net Expenses................................................................ 752 559 170
--------- --------- --------
NET INVESTMENT INCOME (LOSS)................................................ 82,946 83,293 37,440
--------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company**............... 243,853 81,363 64,341
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company................. (217,553) (376,516) (24,214)
--------- --------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................................... 26,300 (295,153) 40,127
--------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................ $ 109,246 $(211,860) $ 77,567
========= ========= ========
--------
** Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S.
U.S. LARGE CAP VALUE DFA INTERNATIONAL MARKETWIDE
PORTFOLIO III VALUE PORTFOLIO III VALUE PORTFOLIO II
---------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017 2018 2017
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 82,946 $ 74,686 $ 83,293 $ 76,149 $ 37,440 $ 34,235
Net Realized Gain (Loss) on:
Transactions Allocated from
Affiliated Investment
Company*,**........................... 243,853 244,528 81,363 26,797 64,341 62,503
Change in Unrealized Appreciation
(Depreciation) of:
Transactions Allocated from
Affiliated Investment Company......... (217,553) 412,783 (376,516) 445,803 (24,214) 242,561
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 109,246 731,997 (211,860) 548,749 77,567 339,299
---------- ---------- ---------- ---------- ---------- ----------
Distributions:/^ /
Institutional Class Shares.............. (315,399) (179,604) (80,332) (76,159) (96,424) (90,308)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (315,399) (179,604) (80,332) (76,159) (96,424) (90,308)
---------- ---------- ---------- ---------- ---------- ----------
Capit
al Share Transactions (1):
Shares Issued............................... 541,431 459,795 398,755 257,528 157,678 123,118
Shares Issued in Reorganization............. 58,077 -- 71,080 -- -- --
Shares Issued in Lieu of Cash
Distributions............................. 239,830 138,620 62,862 58,612 95,824 89,811
Shares Redeemed............................. (548,054) (503,197) (360,285) (314,373) (208,404) (171,020)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions......... 291,284 95,218 172,412 1,767 45,098 41,909
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 85,131 647,611 (119,780) 474,357 26,241 290,900
NET ASSETS
Beginning of Year........................... 3,708,961 3,061,350 2,541,484 2,067,127 1,815,437 1,524,537
---------- ---------- ---------- ---------- ---------- ----------
End of Year................................. $3,794,092 $3,708,961 $2,421,704 $2,541,484 $1,841,678 $1,815,437
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 20,068 17,961 24,085 16,980 5,458 4,591
Shares Issued in Reorganization............. 2,097 -- 3,991 -- -- --
Shares Issued in Lieu of Cash
Distributions............................. 9,001 5,491 3,818 3,841 3,357 3,399
Shares Redeemed............................. (20,209) (19,761) (21,282) (20,190) (7,237) (6,428)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed......... 10,957 3,691 10,612 631 1,578 1,562
========== ========== ========== ========== ========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note E in the Notes to
Financial Statements for more information regarding distributions and see
Note I in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO III
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year............................... $ 27.29 $ 23.15 $ 23.91 $ 25.30 $ 22.75
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
---------------------------------
Net Investment Income (Loss) (A).............................. 0.58 0.56 0.53 0.53 0.46
Net Gains (Losses) on Securities (Realized and Unrealized).... 0.25 4.94 0.49 (0.26) 3.01
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 0.83 5.50 1.02 0.27 3.47
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
-------------------
Net Investment Income......................................... (0.54) (0.53) (0.54) (0.50) (0.44)
Net Realized Gains............................................ (1.75) (0.83) (1.24) (1.16) (0.48)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (2.29) (1.36) (1.78) (1.66) (0.92)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year..................................... $ 25.83 $ 27.29 $ 23.15 $ 23.91 $ 25.30
========== ========== ========== ========== ==========
Total Return..................................................... 2.91% 24.32% 4.69% 1.34% 15.62%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).............................. $3,794,092 $3,708,961 $3,061,350 $3,003,155 $2,992,619
Ratio of Expenses to Average Net Assets (B)...................... 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (B)...................................... 0.23% 0.23% 0.23% 0.16% 0.13%
Ratio of Net Investment Income to Average Net Assets............. 2.12% 2.17% 2.38% 2.18% 1.89%
---------- ---------- ---------- ---------- ----------
DFA INTERNATIONAL VALUE PORTFOLIO III
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year............................... $ 16.89 $ 13.80 $ 14.65 $ 16.26 $ 17.84
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
---------------------------------
Net Investment Income (Loss) (A).............................. 0.54 0.50 0.49 0.52 0.78
Net Gains (Losses) on Securities (Realized and Unrealized).... (1.87) 3.10 (0.56) (1.38) (0.88)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... (1.33) 3.60 (0.07) (0.86) (0.10)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
-------------------
Net Investment Income......................................... (0.52) (0.51) (0.47) (0.49) (0.76)
Net Realized Gains............................................ -- -- (0.31) (0.26) (0.72)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.52) (0.51) (0.78) (0.75) (1.48)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year..................................... $ 15.04 $ 16.89 $ 13.80 $ 14.65 $ 16.26
========== ========== ========== ========== ==========
Total Return..................................................... (8.09%) 26.50% (0.09%) (5.41%) (0.73%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).............................. $2,421,704 $2,541,484 $2,067,127 $1,926,577 $1,836,655
Ratio of Expenses to Average Net Assets (B)...................... 0.24% 0.24% 0.24% 0.25% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (B)...................................... 0.44% 0.44% 0.44% 0.30% 0.24%
Ratio of Net Investment Income to Average Net Assets............. 3.20% 3.30% 3.70% 3.29% 4.48%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 28.30 $ 24.36 $ 24.61 $ 24.42 $ 21.53
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.58 0.54 0.48 0.45 0.37
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.63 4.84 0.16 0.24 2.88
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 1.21 5.38 0.64 0.69 3.25
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
-------------------
Net Investment Income.................................... (0.54) (0.53) (0.48) (0.43) (0.36)
Net Realized Gains....................................... (0.95) (0.91) (0.41) (0.07) --
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (1.49) (1.44) (0.89) (0.50) (0.36)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 28.02 $ 28.30 $ 24.36 $ 24.61 $ 24.42
========== ========== ========== ========== ==========
Total Return................................................ 4.27% 22.59% 2.78% 2.88% 15.18%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $1,841,678 $1,815,437 $1,524,537 $1,487,169 $1,480,557
Ratio of Expenses to Average Net Assets (B)................. 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) (B)............................ 0.42% 0.42% 0.42% 0.28% 0.22%
Ratio of Net Investment Income to Average Net Assets........ 1.98% 2.01% 2.04% 1.80% 1.60%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twelve portfolios, three
of which, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio
III and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios"), are
presented in this report. The remaining operational portfolios are presented in
separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under the Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC"), Topic 946,
"Financial Services-Investment Companies."
U.S. Large Cap Value Portfolio III, DFA International Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invest their
assets in The U.S. Large Cap Value Series, The DFA International Value Series,
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding series of The DFA Investment Trust Company. As of
October 31, 2018, U.S. Large Cap Value Portfolio III, DFA International Value
Portfolio III and Tax-Managed U.S. Marketwide Value Portfolio II owned 13%, 20%
and 27% of their respective Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolios.
On February 26, 2018, U.S. Large Cap Value Portfolio III (the "Acquiring
Portfolio") acquired substantially all of the assets of LWAS/DFA U.S High Book
to Market Portfolio (the "Target Portfolio") pursuant to a plan of
reorganization approved by the Board of Directors of the Fund (the
"Reorganization"). Shareholder approval of the Reorganization was not required.
The purpose of the Reorganization was to combine the Portfolios since they had
identical investment objectives and fundamental investment restrictions, and
each Portfolio invested substantially all of its assets in the U.S. Large Cap
Value Series, a series of the DFA Investment Trust Company.
The reorganization was accomplished by a tax-free exchange of 2,096,628
shares of the Acquiring Portfolio for 3,100,842 shares of LWAS/DFA U.S. High
Book to Market Portfolio. LWAS/DFA U.S. High Book to Market Portfolio had net
assets immediately before the Reorganization, of $58,076,685, including
$39,022,601 of unrealized appreciation, which were combined with the Acquiring
Portfolio's net assets. Immediately before the Reorganization, the Acquiring
Portfolio's net assets were $3,932,306,830, and immediately after the
Reorganization, the Acquiring Portfolio's net assets were $3,990,383,515. The
Acquiring Portfolio is the accounting survivor, and accordingly, its historical
performance and financial information is presented in the financial statements
for periods prior to February 26, 2018.
Assuming that the Reorganization had been completed on November 1, 2017, the
Acquiring Portfolio's pro forma results of operations for the period ended
October 31, 2018 would have been as follows (amounts in thousands):
Net Investment Income........................................... $ 83,341
Net Realized Gain (Loss)........................................ 204,237
Change in Unrealized Appreciation (Depreciation)................ (137,750)
Net Increase (Decrease) in Net Assets Resulting from Operations. 149,828
Because the combined Portfolios have been managed as a single Portfolio
since the Reorganization was completed, it is not practical to separate the
results of operations of the Target Portfolio that have been included in
Acquiring Portfolio's statement of operations since February 26, 2018.
On February 26, 2018, DFA International Value Portfolio III (the "Acquiring
Portfolio") acquired substantially all of the assets of LWAS/DFA International
High Book to Market Portfolio and DFA International Value Portfolio II (the
"Target Portfolios") pursuant to a plan of reorganization approved by the
Boards of Directors of the Fund and DFA
19
Investment Dimensions Group Inc. (the "Reorganization"). Shareholder approval
of the Reorganization was not required. The purpose of the Reorganization was
to combine the Portfolios since they had identical investment objectives and
fundamental investment restrictions, and each Portfolio invested substantially
all of its assets in The DFA International Value Series, a series of The DFA
Investment Trust Company.
The reorganization was accomplished by a tax-free exchange of 3,991,043
shares of the Acquiring Portfolio for 6,619,712 shares of LWAS/DFA
International High Book to Market Portfolio and 2,954,751 shares of DFA
International Value Portfolio II. The LWAS/DFA International High Book to
Market Portfolio and DFA International Value Portfolio II had net assets
immediately before the Reorganization, of $58,035,479 and $13,079,678,
including $13,258,662 and $(437,627) of unrealized appreciation (depreciation),
respectively, which were combined with the Acquiring Portfolio's net assets.
Immediately before the Reorganization, the Acquiring Portfolio's net assets
were $2,653,744,258, and immediately after the Reorganization, the Acquiring
Portfolio's net assets were $2,724,859,416. The Acquiring Portfolio is the
accounting survivor and accordingly, its historical performance and financial
information is presented in the financial statements for periods prior to
February 26, 2018.
Assuming that the Reorganization had been completed on November 1, 2017, the
Acquiring Portfolio's pro forma results of operations for the period ended
October 31, 2018 would have been as follows (amounts in thousands):
Net Investment Income........................................... $ 83,614
Net Realized Gain (Loss)........................................ (293,775)
Change in Unrealized Appreciation (Depreciation)................ (210,160)
Net Increase (Decrease) in Net Assets Resulting from Operations. (420,321)
Because the combined Portfolios have been managed as a single Portfolio
since the Reorganization was completed, it is not practical to separate the
results of operations of the Target Portfolios that have been included in
Acquiring Portfolio's statement of operations since February 26, 2018.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
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 use 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,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
20
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate 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: the 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.
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice, which date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
During the year ended October 31, 2018 the U.S. Large Cap Value Portfolio
III's, DFA International Value Portfolio III's and Tax-Managed U.S. Marketwide
Value Portfolio II's investment management fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.11%, 0.21%, and
0.20%, respectively, of each Portfolio's average daily net assets.
Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of each Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by a
Portfolio, including the proportionate share of the management fees a Portfolio
pays indirectly through its investment in other funds managed by the Advisor,
except for the fees paid indirectly through its investment of securities
lending cash collateral in The DFA Short Term Investment Fund (the Money Market
Series ) to the rates listed below as a percentage of the average net assets of
a class of a Portfolio on an annualized basis. The Fee Waiver Agreement will
remain in effect permanently, unless terminated by the Fund.
During the year ended October 31, 2018, the Portfolio had a total management
fee limit based on percentage of average net assets on an annualized basis and
waived fees (amount in thousands) as reflected below.
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
TOTAL OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
MANAGEMENT WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES FEE LIMIT EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------------- ----------------- -----------------
U.S. Large Cap Value Portfolio III...... 0.11% -- $3,912 --
21
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
TOTAL OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
MANAGEMENT WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES FEE LIMIT EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------------- ----------------- -----------------
DFA International Value Portfolio III........ 0.21% -- $5,199 --
Tax-Managed U.S. Marketwide Value Portfolio
II......................................... 0.20% -- 3,777 --
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2018, the total related amounts paid by the Fund
to the CCO were $32 (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:
As of October 31, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statements of Assets and Liabilities as follows (amounts in thousands):
U.S. Large Cap Value Portfolio III..................... $109
DFA International Value Portfolio III.................. 79
Tax-Managed U.S. Marketwide Value Portfolio II......... 49
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 2018, 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 accounts
mentioned above. These reclassifications had no effect on net assets or net
asset value per share.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
U.S. Large Cap Value Portfolio III.
2017............................... $71,653 $107,951 -- $179,604
2018............................... 87,665 227,735 -- 315,400
22
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- -------
DFA International Value Portfolio III
2017........................................... $76,159 -- -- $76,159
2018........................................... 80,332 -- -- 80,332
Tax-Managed U.S. Marketwide Value Portfolio II
2017........................................... 33,385 $56,923 -- 90,308
2018........................................... 35,428 60,996 -- 96,424
As of October 31, 2018, 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 use of accumulated earnings and profits
distributed to shareholders upon redemption of shares (amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
U.S. Large Cap Value Portfolio III..................... $(7,322) $(8,424) $(15,746)
DFA International Value Portfolio III.................. (5,299) -- (5,299)
Tax-Managed U.S. Marketwide Value Portfolio II......... (3,131) -- (3,131)
As of October 31, 2018, the components of distributable earnings
(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
U.S. Large Cap Value Portfolio III..................... $ 80 $233,058 -- $1,251,441 $1,484,579
DFA International Value Portfolio III.................. 8,266 54,680 $(372) 58,385 120,959
Tax-Managed U.S. Marketwide Value
Portfolio II........................................ 1,694 63,587 -- 849,887 915,168
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolios after October 31, 2011, will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. As of October 31, 2018, the Portfolios did not have any capital
loss carryforwards available to offset future realized capital gains.
During the year ended October 31, 2018, the following Portfolio used the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA International Value Portfolio III.................. $26,553
23
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
U.S. Large Cap Value Portfolio III..................... $2,541,236 $1,251,441 -- $1,251,441
DFA International Value Portfolio III.................. 2,360,197 58,385 -- 58,385
Tax-Managed U.S. Marketwide Value Portfolio II......... 991,670 849,887 -- 849,887
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark-to-market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
1. FUTURES CONTRACTS: The Portfolios may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Portfolios. The Portfolios, however, do not intend to sell futures
contracts to establish short positions in individual securities. Upon entering
into a futures contract, the Portfolios deposit cash or pledge U.S. government
securities equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded to a broker. 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 entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolios could lose more than
the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its 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
24
the line of credit. There is no commitment fee on the unused portion of the
line of credit. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on March 27, 2019.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 4, 2019.
There were no borrowings by the Portfolios under the lines of credit as of
October 31, 2018.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolios' early adoption of certain of the ASU
2018-13 disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Portfolios' financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Portfolios' adoption
of these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Portfolios' net assets or results of operations.
Comparable prior year information presented in the Statements of Changes in
Net Assets has been revised to reflect current disclosure requirements
prescribed by these amendments. Amounts originally presented as of October 31,
2017 are as follows (amounts in thousands):
DISTRIBUTIONS FROM:
------------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- ---------
U.S. Large Cap Value Portfolio III -
Institutional Class............................. $(71,340) $(313) $(107,951) $(179,604)
25
DISTRIBUTIONS FROM:
---------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- -------
DFA International Value Portfolio III - Institutional
Class................................................ (76,159) -- -- (76,159)
Tax-Managed U.S. Marketwide Value Portfolio II -
Institutional Class.................................. (33,385) -- (56,923) (90,308)
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
U.S. Large Cap Value Portfolio III..................... $4,437
DFA International Value Portfolio III.................. 7,263
Tax-Managed U.S. Marketwide Value Portfolio II......... 2,606
J. OTHER:
As of October 31, 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
------------ --------------
U.S. Large Cap Value Portfolio III..................... 5 96%
DFA International Value Portfolio III.................. 5 98%
Tax-Managed U.S. Marketwide Value Portfolio II......... 3 98%
The Portfolios are subject to claims and suits that arise from time to time in
the ordinary course of business (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.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No.
11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee (the "Trustee") on behalf of the
committee of unsecured creditors of Tribune (the "Committee Action," and with
the Individual Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers
and recover the stock repurchase proceeds paid to the Tribune shareholders who
participated in the LBO. On September 23, 2013, the Court entered an order
dismissing the Individual Creditor Actions in their entirety on the grounds
that the individual creditor plaintiffs lack
26
standing to pursue their claims. The parties appealed the Court's dismissal
order to the United States Court of Appeals for the Second Circuit (the "Second
Circuit"), and, on March 29, 2016, the Second Circuit affirmed the dismissal,
albeit on the grounds that the individual creditor plaintiffs' claims are
preempted by the Bankruptcy Code's safe harbor for securities transactions. The
individual creditor plaintiffs have petitioned the Supreme Court of the United
States (the "Supreme Court") to review the Second Circuit's ruling, and that
petition is pending. Additionally, the individual creditor plaintiffs have
moved the Second Circuit to review its prior ruling in light of a recent
decision by the Supreme Court (in an unrelated case) regarding the scope of the
Bankruptcy Code's safe harbor for securities transactions; such review is
pending. On January 6, 2017, the Court granted the shareholder defendants'
motion to dismiss the claims against them in the Committee Action. The Trustee
requested that the Court certify the dismissal order for appeal to the Second
Circuit, and the District Court advised that it would 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; the District Court has stayed this request pending the
Second Circuit's review if its prior decision with respect to the individual
Creditors Actions
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset values of The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will be made
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery the plaintiffs seek, the amount would be less than
1% of the respective net asset values of The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their respective net asset values. Therefore, at this time, those
investors buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the respective net asset values of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to
any other expenses incurred by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series.
K. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
27
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of DFA International Value Portfolio
III, U.S. Large Cap Value Portfolio III and Tax-Managed U.S. Marketwide Value
Portfolio II (three of the portfolios constituting Dimensional Investment Group
Inc., hereafter collectively referred to as the "Portfolios") as of October 31,
2018, the related statements of operations for the year ended October 31, 2018,
the statements of changes in net assets for each of the two years in the period
ended October 31, 2018, including the related notes, and the financial
highlights for each of the five years in the period ended October 31, 2018
(collectively referred to as the "financial statements"). In our opinion, the
financial statements present fairly, in all material respects, the financial
position of each of the Portfolios as of October 31, 2018, the results of each
of their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period ended October 31, 2018, and each
of the financial highlights for each of the five years in the period ended
October 31, 2018 in conformity with accounting principles generally accepted in
the United States of America.
BASIS FOR OPINIONS
These financial statements are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
("PCAOB") and are required to be independent with respect to the Portfolios in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the transfer agent of the investee funds. We believe that
our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
28
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The U.S. Large Cap Value Series Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,019 9,283
12/31/2008 9,313 9,412
1/31/2009 8,207 8,330
2/28/2009 7,057 7,217
3/31/2009 7,754 7,834
4/30/2009 9,008 8,673
5/31/2009 9,698 9,210
6/30/2009 9,580 9,142
7/31/2009 10,492 9,890
8/31/2009 11,205 10,407
9/30/2009 11,695 10,809
10/31/2009 11,190 10,478
11/30/2009 11,821 11,069
12/31/2009 12,147 11,265
1/31/2010 11,865 10,948
2/28/2010 12,377 11,294
3/31/2010 13,342 12,029
4/30/2010 13,765 12,340
5/31/2010 12,585 11,326
6/30/2010 11,635 10,688
7/31/2010 12,548 11,412
8/31/2010 11,791 10,924
9/30/2010 12,941 11,771
10/31/2010 13,424 12,124
11/30/2010 13,320 12,060
12/31/2010 14,618 13,012
1/31/2011 15,086 13,306
2/28/2011 15,902 13,797
3/31/2011 15,976 13,852
4/30/2011 16,384 14,220
5/31/2011 16,147 14,070
6/30/2011 15,865 13,782
7/31/2011 15,138 13,325
8/31/2011 13,861 12,493
9/30/2011 12,459 11,549
10/31/2011 14,188 12,871
11/30/2011 14,069 12,804
12/31/2011 14,180 13,063
1/31/2012 14,885 13,557
2/29/2012 15,746 14,097
3/31/2012 16,036 14,515
4/30/2012 15,709 14,367
5/31/2012 14,596 13,524
6/30/2012 15,383 14,196
7/31/2012 15,531 14,343
8/31/2012 16,147 14,654
9/30/2012 16,740 15,119
10/31/2012 16,785 15,045
11/30/2012 16,822 15,039
12/31/2012 17,334 15,350
1/31/2013 18,544 16,347
2/28/2013 18,781 16,582
3/31/2013 19,679 17,239
4/30/2013 19,887 17,499
5/31/2013 20,703 17,949
6/30/2013 20,473 17,790
7/31/2013 21,697 18,751
8/31/2013 21,059 18,040
9/30/2013 21,675 18,492
10/31/2013 22,773 19,301
11/30/2013 23,730 19,840
12/31/2013 24,361 20,342
1/31/2014 23,397 19,620
2/28/2014 24,191 20,468
3/31/2014 24,762 20,957
4/30/2014 24,925 21,156
5/31/2014 25,474 21,466
6/30/2014 26,164 22,027
7/31/2014 25,979 21,651
8/31/2014 26,803 22,447
9/30/2014 26,142 21,984
10/31/2014 26,342 22,478
11/30/2014 26,654 22,938
12/31/2014 26,854 23,079
1/31/2015 25,526 22,156
2/28/2015 27,329 23,228
3/31/2015 26,810 22,912
4/30/2015 27,352 23,126
5/31/2015 27,656 23,404
6/30/2015 27,211 22,937
7/31/2015 27,144 23,038
8/31/2015 25,497 21,666
9/30/2015 24,680 21,012
10/31/2015 26,691 22,597
11/30/2015 26,795 22,683
12/31/2015 25,957 22,196
1/31/2016 24,191 21,049
2/29/2016 24,235 21,043
3/31/2016 26,001 22,559
4/30/2016 26,706 23,033
5/31/2016 27,070 23,391
6/30/2016 27,040 23,593
7/31/2016 27,975 24,278
8/31/2016 28,309 24,465
9/30/2016 28,442 24,414
10/31/2016 27,960 24,037
11/30/2016 30,157 25,409
12/31/2016 30,913 26,044
1/31/2017 31,359 26,230
2/28/2017 32,316 27,172
3/31/2017 32,012 26,896
4/30/2017 32,234 26,845
5/31/2017 32,197 26,819
6/30/2017 32,739 27,257
7/31/2017 33,295 27,620
8/31/2017 32,984 27,298
9/30/2017 34,260 28,106
10/31/2017 34,757 28,310
11/30/2017 35,996 29,177
12/31/2017 36,835 29,603
1/31/2018 38,727 30,748
2/28/2018 36,813 29,279
3/31/2018 35,982 28,764
4/30/2018 36,034 28,859
5/31/2018 36,382 29,031
6/30/2018 36,123 29,103
7/31/2018 37,622 30,254
8/31/2018 38,171 30,702
9/30/2018 38,208 30,763
10/31/2018 35,781 29,170
ONE FIVE TEN
AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS
--------------------------- ---- ----- -----
2.95% 9.46% 13.60%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The DFA International MSCI World ex USA
Value Series Index (net dividends)
--------------------- ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,387 9,458
12/31/2008 10,096 9,956
1/31/2009 8,703 9,027
2/28/2009 7,634 8,113
3/31/2009 8,466 8,648
4/30/2009 10,026 9,763
5/31/2009 11,516 10,998
6/30/2009 11,341 10,884
7/31/2009 12,691 11,906
8/31/2009 13,418 12,477
9/30/2009 14,102 12,992
10/31/2009 13,541 12,783
11/30/2009 13,944 13,099
12/31/2009 14,102 13,308
1/31/2010 13,287 12,684
2/28/2010 13,339 12,672
3/31/2010 14,391 13,487
4/30/2010 14,145 13,286
5/31/2010 12,489 11,820
6/30/2010 12,270 11,649
7/31/2010 13,804 12,726
8/31/2010 13,129 12,345
9/30/2010 14,540 13,530
10/31/2010 15,048 14,012
11/30/2010 14,294 13,418
12/31/2010 15,627 14,499
1/31/2011 16,293 14,811
2/28/2011 16,836 15,360
3/31/2011 16,372 15,052
4/30/2011 17,248 15,872
5/31/2011 16,626 15,402
6/30/2011 16,398 15,182
7/31/2011 15,872 14,932
8/31/2011 14,172 13,670
9/30/2011 12,621 12,297
10/31/2011 13,839 13,493
11/30/2011 13,383 12,869
12/31/2011 13,024 12,729
1/31/2012 13,900 13,416
2/29/2012 14,628 14,154
3/31/2012 14,505 14,049
4/30/2012 13,988 13,810
5/31/2012 12,261 12,236
6/30/2012 13,129 13,038
7/31/2012 13,076 13,200
8/31/2012 13,620 13,577
9/30/2012 14,102 13,989
10/31/2012 14,277 14,087
11/30/2012 14,505 14,383
12/31/2012 15,215 14,818
1/31/2013 15,933 15,547
2/28/2013 15,451 15,392
3/31/2013 15,504 15,514
4/30/2013 16,266 16,220
5/31/2013 16,074 15,857
6/30/2013 15,504 15,263
7/31/2013 16,564 16,075
8/31/2013 16,450 15,868
9/30/2013 17,686 16,989
10/31/2013 18,300 17,559
11/30/2013 18,370 17,667
12/31/2013 18,773 17,933
1/31/2014 18,089 17,209
2/28/2014 19,124 18,148
3/31/2014 18,983 18,067
4/30/2014 19,308 18,352
5/31/2014 19,527 18,636
6/30/2014 19,763 18,901
7/31/2014 19,325 18,564
8/31/2014 19,334 18,579
9/30/2014 18,484 17,816
10/31/2014 18,168 17,532
11/30/2014 18,177 17,748
12/31/2014 17,502 17,158
1/31/2015 17,388 17,097
2/28/2015 18,633 18,118
3/31/2015 18,238 17,816
4/30/2015 19,238 18,587
5/31/2015 19,246 18,426
6/30/2015 18,694 17,902
7/31/2015 18,510 18,186
8/31/2015 17,134 16,861
9/30/2015 15,968 16,010
10/31/2015 17,195 17,214
11/30/2015 16,968 16,940
12/31/2015 16,424 16,637
1/31/2016 15,145 15,491
2/29/2016 14,663 15,275
3/31/2016 15,776 16,312
4/30/2016 16,538 16,837
5/31/2016 16,231 16,646
6/30/2016 15,644 16,140
7/31/2016 16,337 16,934
8/31/2016 16,775 16,950
9/30/2016 16,959 17,156
10/31/2016 17,178 16,823
11/30/2016 17,257 16,553
12/31/2016 17,835 17,094
1/31/2017 18,598 17,603
2/28/2017 18,475 17,806
3/31/2017 18,887 18,258
4/30/2017 19,159 18,646
5/31/2017 19,492 19,267
6/30/2017 19,702 19,286
7/31/2017 20,631 19,860
8/31/2017 20,613 19,855
9/30/2017 21,350 20,370
10/31/2017 21,735 20,648
11/30/2017 21,954 20,857
12/31/2017 22,524 21,232
1/31/2018 23,848 22,221
2/28/2018 22,507 21,165
3/31/2018 22,244 20,799
4/30/2018 22,840 21,276
5/31/2018 22,016 20,873
6/30/2018 21,516 20,644
7/31/2018 22,200 21,151
8/31/2018 21,429 20,751
9/30/2018 21,805 20,914
10/31/2018 19,974 19,252
ONE FIVE TEN
AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS
--------------------------- ----- ----- -----
-8.10% 1.77% 7.16%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2018, all rights reserved.
29
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The Tax-Managed U.S.
Marketwide Value Series Russell 3000/R/ Value Index
----------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,011 9,247
12/31/2008 9,313 9,410
1/31/2009 8,103 8,306
2/28/2009 7,016 7,193
3/31/2009 7,751 7,810
4/30/2009 9,092 8,679
5/31/2009 9,779 9,187
6/30/2009 9,640 9,123
7/31/2009 10,630 9,893
8/31/2009 11,333 10,407
9/30/2009 11,840 10,818
10/31/2009 11,276 10,456
11/30/2009 11,799 11,025
12/31/2009 12,232 11,269
1/31/2010 11,889 10,951
2/28/2010 12,437 11,310
3/31/2010 13,418 12,063
4/30/2010 13,941 12,420
5/31/2010 12,747 11,397
6/30/2010 11,774 10,725
7/31/2010 12,715 11,455
8/31/2010 11,881 10,935
9/30/2010 13,066 11,808
10/31/2010 13,573 12,171
11/30/2010 13,606 12,136
12/31/2010 14,890 13,098
1/31/2011 15,258 13,370
2/28/2011 16,116 13,879
3/31/2011 16,222 13,945
4/30/2011 16,607 14,304
5/31/2011 16,345 14,144
6/30/2011 16,059 13,850
7/31/2011 15,380 13,390
8/31/2011 14,096 12,526
9/30/2011 12,666 11,546
10/31/2011 14,432 12,894
11/30/2011 14,317 12,831
12/31/2011 14,464 13,085
1/31/2012 15,217 13,609
2/29/2012 16,018 14,124
3/31/2012 16,361 14,544
4/30/2012 16,059 14,391
5/31/2012 14,930 13,545
6/30/2012 15,715 14,215
7/31/2012 15,854 14,340
8/31/2012 16,451 14,661
9/30/2012 17,040 15,131
10/31/2012 17,097 15,048
11/30/2012 17,204 15,046
12/31/2012 17,702 15,381
1/31/2013 18,872 16,374
2/28/2013 19,166 16,605
3/31/2013 20,114 17,266
4/30/2013 20,253 17,505
5/31/2013 20,916 17,960
6/30/2013 20,793 17,808
7/31/2013 22,061 18,784
8/31/2013 21,406 18,062
9/30/2013 22,191 18,561
10/31/2013 23,238 19,357
11/30/2013 24,203 19,914
12/31/2013 24,873 20,408
1/31/2014 23,892 19,678
2/28/2014 24,767 20,533
3/31/2014 25,135 21,004
4/30/2014 25,192 21,145
5/31/2014 25,789 21,441
6/30/2014 26,451 22,031
7/31/2014 26,043 21,578
8/31/2014 26,999 22,383
9/30/2014 26,312 21,839
10/31/2014 26,762 22,407
11/30/2014 27,114 22,822
12/31/2014 27,383 22,999
1/31/2015 26,010 22,077
2/28/2015 27,899 23,142
3/31/2015 27,629 22,881
4/30/2015 27,915 23,039
5/31/2015 28,340 23,309
6/30/2015 28,046 22,882
7/31/2015 28,128 22,922
8/31/2015 26,353 21,576
9/30/2015 25,527 20,917
10/31/2015 27,547 22,462
11/30/2015 27,596 22,592
12/31/2015 26,672 22,049
1/31/2016 24,971 20,883
2/29/2016 24,914 20,889
3/31/2016 26,664 22,412
4/30/2016 27,334 22,883
5/31/2016 27,653 23,243
6/30/2016 27,621 23,435
7/31/2016 28,373 24,158
8/31/2016 28,667 24,375
9/30/2016 28,798 24,343
10/31/2016 28,316 23,934
11/30/2016 30,474 25,437
12/31/2016 31,300 26,106
1/31/2017 31,676 26,262
2/28/2017 32,543 27,160
3/31/2017 32,273 26,887
4/30/2017 32,584 26,849
5/31/2017 32,469 26,758
6/30/2017 33,017 27,233
7/31/2017 33,516 27,581
8/31/2017 33,205 27,234
9/30/2017 34,415 28,123
10/31/2017 34,718 28,314
11/30/2017 35,993 29,177
12/31/2017 36,680 29,550
1/31/2018 38,545 30,635
2/28/2018 36,590 29,167
3/31/2018 35,822 28,717
4/30/2018 35,993 28,842
5/31/2018 36,361 29,127
6/30/2018 36,329 29,208
7/31/2018 37,833 30,315
8/31/2018 38,545 30,784
9/30/2018 38,618 30,783
10/31/2018 36,198 29,103
ONE FIVE TEN
AVERAGE ANNUAL TOTAL RETURN YEAR YEARS YEARS
--------------------------- ---- ----- -----
4.26% 9.27% 13.73%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2018, all rights
reserved.
30
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Performance of non-U.S. developed markets was negative for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed both large-cap and small-cap stocks. Value stocks underperformed
growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index................................ -6.76%
MSCI World ex USA Mid Cap Index........................ -8.02%
MSCI World ex USA Small Cap Index...................... -7.75%
MSCI World ex USA Value Index.......................... -7.54%
MSCI World ex USA Growth Index......................... -6.01%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against currencies of most other developed markets. Overall, currency movements
had a negative impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP ------------ ----------------------
Japan............................. -4.22% -3.56%
United Kingdom.................... -0.91% -4.65%
France............................ -4.30% -6.92%
Canada............................ -4.08% -5.84%
Germany........................... -12.26% -14.66%
Switzerland....................... 0.19% -0.72%
Australia......................... 2.96% -4.83%
Hong Kong......................... -8.47% -8.88%
Netherlands....................... -7.68% -9.99%
Spain............................. -13.55% -15.92%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
Emerging markets had negative performance for the period, underperforming
both the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap
stocks, a subset of the large-cap universe, outperformed both large-cap and
small-cap stocks. Value stocks outperformed growth stocks as measured by the
MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index............................ -12.52%
MSCI Emerging Markets Mid Cap Index.................... -11.85%
MSCI Emerging Markets Small Cap Index.................. -17.21%
MSCI Emerging Markets Value Index...................... -8.27%
MSCI Emerging Markets Growth Index..................... -16.70%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against most emerging markets currencies. Overall, currency movements had a
negative impact on the U.S. dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ ----------------------
China.................................................. -16.33% -16.73%
Korea.................................................. -18.52% -19.90%
31
Taiwan........................................................... -6.62% -8.98%
India............................................................ -0.01% -12.42%
Brazil........................................................... 18.95% 4.76%
South Africa..................................................... -13.80% -17.45%
Russia........................................................... 22.79% 10.69%
Mexico........................................................... -9.54% -14.55%
Thailand......................................................... 4.01% 4.23%
Malaysia......................................................... -0.18% 0.99%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2018,
these differences generally detracted from the Portfolios' relative performance.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
6.6%. Small-cap stocks underperformed large-cap stocks, and mid-cap stocks, a
subset of the large-cap universe, underperformed large-cap stocks but
outperformed small-cap stocks as measured by Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 3000(R) Index......................................................... 6.60%
Russell Microcap(R) Index (micro-cap stocks).................................. 1.42%
Russell 2000(R) Index (small-cap stocks)...................................... 1.85%
Russell Midcap(R) Index (mid-cap stocks)...................................... 2.79%
Russell 1000(R) Index (large-cap stocks)...................................... 6.98%
Dow Jones U.S. Select REIT Index /SM/......................................... 3.04%
Value stocks underperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks).......................... -0.59%
Russell 2000(R) Growth Index (small-cap growth stocks)........................ 4.13%
Russell 1000(R) Value Index (large-cap value stocks).......................... 3.03%
Russell 1000(R) Growth Index (large-cap growth stocks)........................ 10.71%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series is designed to capture the returns of
developed ex U.S. large company value stocks. Value is measured primarily by
price-to-book ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification, and weights stocks in proportion to their market
capitalization. The strategy overweights certain stocks, including smaller
companies, lower relative price (value) stocks, and higher-profitability stocks
within the large-cap value segment of developed ex U.S. markets. As of
October 31, 2018, the Series held approximately 530 securities in 22 eligible
developed markets. In general, average cash exposure throughout the year was
less than 1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were -8.10% for the
Series and -6.76% for the MSCI World ex USA Index (net dividends), the Series'
benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in developed ex U.S.
equity markets rather than by the behavior of a limited number of stocks. With
low relative price (value) stocks underperforming high relative price (growth)
stocks, the Series' focus on value stocks detracted from performance relative
to the benchmark. Conversely, the Series' emphasis on higher-profitability
stocks within the value segment of the market had a positive impact on relative
32
performance, as these stocks generally outperformed.
U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large company low relative price (value) stocks. Value is measured primarily by
book-to-market ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification, and weights stocks in proportion to their market
capitalization. The strategy overweights certain stocks, including smaller
companies, lower relative price (value) stocks, and higher-profitability stocks
within the large-cap value segment of the U.S. market. As of October 31, 2018,
the Series held approximately 320 securities. In general, average cash exposure
throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were 2.95% for the
Series and 3.03% for the Russell 1000(R) Value Index, the Series' benchmark. As
a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Series' greater exposure to
smaller large-cap stocks detracted from performance relative to the benchmark,
as these stocks underperformed their larger counterparts for the period. With
low relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Series' greater emphasis on value stocks also detracted
from relative performance. Conversely, the Series' emphasis on stocks with
higher profitability had a positive impact on relative performance, as
higher-profitability stocks generally outperformed lower-profitability stocks.
At the sector level, the Series' general exclusions of real estate investment
trusts (REITs) and certain utilities also benefited relative performance, as
REITs and utilities generally underperformed in the U.S.
TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
The Tax-Managed U.S. Marketwide Value Series invests in a broadly
diversified group of U.S. low relative price (value) stocks while considering
the federal tax implications of investment decisions. Value is measured
primarily by book-to-market ratio. In assessing profitability, Dimensional may
consider such factors as earnings or profits from operations relative to book
value or assets. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Series held approximately 1,100
securities. In general, average cash exposure throughout the year was less than
1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were 4.26% for the
Series and 2.78% for the Russell 3000(R) Value Index, the Series' benchmark. As
a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Series' emphasis on stocks with
higher profitability contributed positively to performance relative to the
benchmark, as higher-profitability stocks generally outperformed
lower-profitability stocks. At the sector level, the Series' general exclusions
of real estate investment trusts (REITs) and certain utilities had a positive
impact on relative performance, as REITs and utilities generally underperformed
in the U.S.
33
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 and 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"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return...................... $1,000.00 $ 993.00 0.11% $0.55
Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return...................... $1,000.00 $ 874.50 0.20% $0.94
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.20% $1.02
34
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
--------------------------------------------
Actual Fund Return.......................................... $1,000.00 $1,005.70 0.21% $1.06
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.15 0.21% $1.07
--------
(1) Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
35
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 28, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400; by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX
78746; or by visiting the SEC's website at http://www.sec.gov.
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; by mailing a request to Dimensional Fund Advisors LP,
6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC's
website at http://www.sec.gov.
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 used. The
following tables, which present portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with this 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
Communication Services.................................................. 8.9%
Consumer Discretionary.................................................. 6.8%
Consumer Staples........................................................ 5.2%
Energy.................................................................. 14.6%
Financials.............................................................. 22.6%
Health Care............................................................. 17.0%
Industrials............................................................. 8.9%
Information Technology.................................................. 11.3%
Materials............................................................... 4.2%
Real Estate............................................................. 0.2%
Utilities............................................................... 0.3%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Communication Services.................................................. 4.0%
Consumer Discretionary.................................................. 14.6%
Consumer Staples........................................................ 3.5%
Energy.................................................................. 15.3%
Financials.............................................................. 29.4%
Health Care............................................................. 4.1%
Industrials............................................................. 8.8%
Information Technology.................................................. 2.5%
Materials............................................................... 13.4%
Real Estate............................................................. 2.7%
Utilities............................................................... 1.7%
-----
100.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Communication Services.................................................. 12.1%
Consumer Discretionary.................................................. 5.4%
Consumer Staples........................................................ 5.9%
Energy.................................................................. 13.2%
Financials.............................................................. 22.1%
Health Care............................................................. 15.9%
Industrials............................................................. 11.7%
Information Technology.................................................. 11.6%
Materials............................................................... 1.9%
Real Estate............................................................. 0.1%
Utilities............................................................... 0.1%
-----
100.0%
36
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (97.4%)
COMMUNICATION SERVICES -- (8.7%)
AT&T, Inc........................................................ 34,933,504 $1,071,759,903 3.7%
* Charter Communications, Inc., Class A............................ 962,932 308,494,525 1.1%
Comcast Corp., Class A........................................... 21,585,011 823,252,320 2.8%
Other Securities................................................. 386,914,006 1.2%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 2,590,420,754 8.8%
-------------- ----
CONSUMER DISCRETIONARY -- (6.6%)
Ford Motor Co.................................................... 16,051,999 153,296,590 0.5%
General Motors Co................................................ 6,055,833 221,582,929 0.8%
Other Securities................................................. 1,604,291,957 5.5%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 1,979,171,476 6.8%
-------------- ----
CONSUMER STAPLES -- (5.1%)
Mondelez International, Inc., Class A............................ 3,672,444 154,169,199 0.5%
Walgreens Boots Alliance, Inc.................................... 3,095,947 246,963,692 0.9%
Walmart, Inc..................................................... 5,346,820 536,179,110 1.8%
Other Securities................................................. 573,560,285 2.0%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 1,510,872,286 5.2%
-------------- ----
ENERGY -- (14.2%)
Chevron Corp..................................................... 5,892,482 657,895,615 2.2%
ConocoPhillips................................................... 4,754,869 332,365,343 1.1%
Exxon Mobil Corp................................................. 14,096,229 1,123,187,527 3.8%
Marathon Petroleum Corp.......................................... 4,431,554 312,202,979 1.1%
Occidental Petroleum Corp........................................ 3,043,574 204,132,508 0.7%
Valero Energy Corp............................................... 2,730,237 248,697,288 0.8%
Other Securities................................................. 1,345,876,714 4.7%
-------------- ----
TOTAL ENERGY......................................................... 4,224,357,974 14.4%
-------------- ----
FINANCIALS -- (22.0%)
Bank of America Corp............................................. 22,911,090 630,054,975 2.2%
Bank of New York Mellon Corp. (The).............................. 4,090,441 193,600,573 0.7%
* Berkshire Hathaway, Inc., Class B................................ 2,931,466 601,771,341 2.1%
Capital One Financial Corp....................................... 2,121,634 189,461,916 0.6%
Citigroup, Inc................................................... 7,448,262 487,563,231 1.7%
Goldman Sachs Group, Inc. (The).................................. 1,502,760 338,677,021 1.2%
JPMorgan Chase & Co.............................................. 5,691,942 620,535,517 2.1%
Morgan Stanley................................................... 5,437,628 248,282,094 0.8%
PNC Financial Services Group, Inc. (The)......................... 1,313,525 168,774,827 0.6%
Travelers Cos., Inc. (The)....................................... 1,165,331 145,817,868 0.5%
Wells Fargo & Co................................................. 17,488,141 930,893,745 3.2%
Other Securities................................................. 1,985,908,260 6.7%
-------------- ----
TOTAL FINANCIALS..................................................... 6,541,341,368 22.4%
-------------- ----
HEALTH CARE -- (16.5%)
Abbott Laboratories.............................................. 4,212,247 290,392,308 1.0%
Aetna, Inc....................................................... 1,816,031 360,300,550 1.2%
Anthem, Inc...................................................... 1,376,563 379,339,466 1.3%
* Centene Corp..................................................... 1,211,523 157,885,677 0.5%
Cigna Corp....................................................... 814,507 174,149,742 0.6%
37
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
OF NET
SHARES VALUE+ ASSETS++
----------- --------------- ----------
HEALTH CARE -- (Continued)
CVS Health Corp............................................. 4,705,478 $ 340,629,552 1.2%
Danaher Corp................................................ 1,886,239 187,492,157 0.6%
* Express Scripts Holding Co.................................. 2,740,464 265,742,794 0.9%
Humana, Inc................................................. 545,028 174,632,422 0.6%
Medtronic P.L.C............................................. 4,359,974 391,612,865 1.3%
Pfizer, Inc................................................. 25,544,930 1,099,964,686 3.8%
Thermo Fisher Scientific, Inc............................... 1,073,774 250,887,295 0.9%
Other Securities............................................ 844,289,133 2.9%
--------------- -----
TOTAL HEALTH CARE................................................. 4,917,318,647 16.8%
--------------- -----
INDUSTRIALS -- (8.7%)
Delta Air Lines, Inc........................................ 2,950,569 161,484,641 0.6%
FedEx Corp.................................................. 947,923 208,865,354 0.7%
Norfolk Southern Corp....................................... 1,385,379 232,508,158 0.8%
Republic Services, Inc...................................... 1,929,874 140,263,242 0.5%
* United Continental Holdings, Inc............................ 1,696,416 145,060,532 0.5%
Other Securities............................................ 1,703,425,795 5.7%
--------------- -----
TOTAL INDUSTRIALS................................................. 2,591,607,722 8.8%
--------------- -----
INFORMATION TECHNOLOGY -- (11.0%)
CA, Inc..................................................... 3,016,908 133,830,039 0.5%
Cisco Systems, Inc.......................................... 5,345,814 244,570,990 0.8%
Fidelity National Information Services, Inc................. 1,297,798 135,100,772 0.5%
HP, Inc..................................................... 9,619,949 232,225,569 0.8%
Intel Corp.................................................. 22,880,867 1,072,655,045 3.7%
* Micron Technology, Inc...................................... 5,266,057 198,635,670 0.7%
Other Securities............................................ 1,247,474,861 4.2%
--------------- -----
TOTAL INFORMATION TECHNOLOGY...................................... 3,264,492,946 11.2%
--------------- -----
MATERIALS -- (4.1%)
DowDuPont, Inc.............................................. 3,009,073 162,249,216 0.6%
Nucor Corp.................................................. 2,499,919 147,795,211 0.5%
Other Securities............................................ 909,072,691 3.1%
--------------- -----
TOTAL MATERIALS................................................... 1,219,117,118 4.2%
--------------- -----
REAL ESTATE -- (0.2%)
Other Securities............................................ 51,111,313 0.2%
--------------- -----
UTILITIES -- (0.3%)
Other Securities............................................ 80,311,092 0.3%
--------------- -----
TOTAL COMMON STOCKS............................................... 28,970,122,696 99.1%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market
Fund, 2.090%................................................ 254,325,822 254,325,822 0.9%
--------------- -----
SECURITIES LENDING COLLATERAL -- (1.7%)
@(S) DFA Short Term Investment Fund.............................. 44,660,829 516,725,797 1.7%
--------------- -----
TOTAL INVESTMENTS--(100.0%) (Cost $22,308,146,322) $29,741,174,315 101.7%
=============== =====
38
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
As of October 31, 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 12/21/18 $217,728,490 $204,010,275 $(13,718,215)
------------ ------------ ------------
TOTAL FUTURES CONTRACTS...................... $217,728,490 $204,010,275 $(13,718,215)
============ ============ ============
Summary of the Series' investments as of October 31, 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
Communication Services.................... $ 2,590,420,754 -- -- $ 2,590,420,754
Consumer Discretionary.................... 1,979,171,476 -- -- 1,979,171,476
Consumer Staples.......................... 1,510,872,286 -- -- 1,510,872,286
Energy.................................... 4,224,357,974 -- -- 4,224,357,974
Financials................................ 6,541,341,368 -- -- 6,541,341,368
Health Care............................... 4,917,318,647 -- -- 4,917,318,647
Industrials............................... 2,591,607,722 -- -- 2,591,607,722
Information Technology.................... 3,264,492,946 -- -- 3,264,492,946
Materials................................. 1,219,117,118 -- -- 1,219,117,118
Real Estate............................... 51,111,313 -- -- 51,111,313
Utilities................................. 80,311,092 -- -- 80,311,092
Temporary Cash Investments................... 254,325,822 -- -- 254,325,822
Securities Lending Collateral................ -- $516,725,797 -- 516,725,797
Futures Contracts**.......................... (13,718,215) -- -- (13,718,215)
--------------- ------------ -- ---------------
TOTAL........................................ $29,210,730,303 $516,725,797 -- $29,727,456,100
=============== ============ == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
39
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE>> OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (94.9%)...............................
AUSTRALIA -- (5.5%)....................................
# Australia & New Zealand Banking Group, Ltd........ 10,195,581 $ 187,666,580 1.5%
Woodside Petroleum, Ltd........................... 2,587,772 63,711,646 0.5%
Other Securities.................................. 430,286,109 3.6%
-------------- ----
TOTAL AUSTRALIA........................................ 681,664,335 5.6%
-------------- ----
AUSTRIA -- (0.0%)......................................
Other Securities.................................. 6,092,849 0.1%
-------------- ----
BELGIUM -- (1.0%)......................................
Other Securities.................................. 131,301,630 1.1%
-------------- ----
CANADA -- (7.9%).......................................
# Bank of Montreal.................................. 1,488,882 111,279,041 0.9%
Suncor Energy, Inc................................ 3,317,433 111,282,512 0.9%
Other Securities.................................. 766,839,355 6.3%
-------------- ----
TOTAL CANADA........................................... 989,400,908 8.1%
-------------- ----
DENMARK -- (1.5%)......................................
Other Securities.................................. 186,467,098 1.5%
-------------- ----
FINLAND -- (1.0%)......................................
Other Securities.................................. 124,986,171 1.0%
-------------- ----
FRANCE -- (9.9%).......................................
AXA SA............................................ 2,859,375 71,560,646 0.6%
BNP Paribas SA.................................... 2,405,711 125,371,327 1.0%
Cie de Saint-Gobain............................... 1,493,206 56,251,213 0.5%
Orange SA......................................... 5,978,647 93,316,814 0.8%
Peugeot SA........................................ 3,133,702 74,490,548 0.6%
Renault SA........................................ 1,007,824 75,258,162 0.6%
# Total SA.......................................... 6,786,891 398,223,709 3.3%
Other Securities.................................. 335,898,281 2.7%
-------------- ----
TOTAL FRANCE........................................... 1,230,370,700 10.1%
-------------- ----
GERMANY -- (6.7%)......................................
Bayerische Motoren Werke AG....................... 1,225,665 105,542,991 0.9%
Daimler AG........................................ 3,530,733 209,148,616 1.7%
RWE AG............................................ 3,190,800 62,074,493 0.5%
Other Securities.................................. 454,186,408 3.7%
-------------- ----
TOTAL GERMANY.......................................... 830,952,508 6.8%
-------------- ----
HONG KONG -- (2.8%)....................................
CK Hutchison Holdings, Ltd........................ 7,657,984 77,132,126 0.6%
Sun Hung Kai Properties, Ltd...................... 4,291,920 55,778,561 0.5%
Other Securities.................................. 211,095,023 1.7%
-------------- ----
TOTAL HONG KONG........................................ 344,005,710 2.8%
-------------- ----
IRELAND -- (0.3%)......................................
Other Securities.................................. 35,713,059 0.3%
-------------- ----
40
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE>> OF NET ASSETS++
---------- -------------- ---------------
ISRAEL -- (0.4%)
Other Securities.................................. $ 51,577,567 0.4%
-------------- ----
ITALY -- (1.6%)
Other Securities.................................. 204,538,462 1.7%
-------------- ----
JAPAN -- (22.5%)
Hitachi, Ltd...................................... 2,689,700 82,224,653 0.7%
Honda Motor Co., Ltd.............................. 4,590,300 131,032,550 1.1%
JXTG Holdings, Inc................................ 9,040,403 61,085,845 0.5%
Mitsubishi Corp................................... 2,342,100 65,919,083 0.5%
Mitsubishi UFJ Financial Group, Inc............... 12,360,306 74,810,611 0.6%
Mizuho Financial Group, Inc....................... 32,297,600 55,466,701 0.5%
Nissan Motor Co., Ltd............................. 6,443,700 58,623,219 0.5%
ORIX Corp......................................... 3,324,900 54,165,926 0.5%
Sumitomo Mitsui Financial Group, Inc.............. 2,857,600 111,260,915 0.9%
Toyota Motor Corp................................. 4,650,190 272,412,454 2.2%
Other Securities.................................. 1,834,373,717 15.1%
-------------- ----
TOTAL JAPAN............................................ 2,801,375,674 23.1%
-------------- ----
NETHERLANDS -- (3.5%)
ING Groep NV...................................... 5,655,087 66,905,287 0.6%
Koninklijke Ahold Delhaize NV..................... 5,195,538 118,928,527 1.0%
# Koninklijke DSM NV................................ 679,114 59,292,631 0.5%
Other Securities.................................. 194,237,887 1.5%
-------------- ----
TOTAL NETHERLANDS...................................... 439,364,332 3.6%
-------------- ----
NEW ZEALAND -- (0.2%)
Other Securities.................................. 20,194,780 0.2%
-------------- ----
NORWAY -- (0.9%)
Other Securities.................................. 109,636,229 0.9%
-------------- ----
PORTUGAL -- (0.0%)
Other Security.................................... 4,861,587 0.0%
-------------- ----
SINGAPORE -- (0.9%)
Other Securities.................................. 118,142,676 1.0%
-------------- ----
SOUTH AFRICA -- (0.0%)
Other Securities.................................. 5,340,658 0.0%
-------------- ----
SPAIN -- (2.3%)
Banco Santander SA................................ 37,339,499 177,659,607 1.5%
Repsol SA......................................... 4,613,186 82,432,298 0.7%
Other Securities.................................. 27,627,886 0.2%
-------------- ----
TOTAL SPAIN............................................ 287,719,791 2.4%
-------------- ----
SWEDEN -- (2.5%)
Nordea Bank Abp................................... 6,227,863 54,125,579 0.5%
Other Securities.................................. 255,057,062 2.1%
-------------- ----
TOTAL SWEDEN........................................... 309,182,641 2.6%
-------------- ----
41
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE>> OF NET ASSETS++
----------- --------------- ---------------
SWITZERLAND -- (7.7%)
Novartis AG............................................ 2,725,487 $ 238,677,155 2.0%
UBS Group AG........................................... 6,119,363 85,531,038 0.7%
Zurich Insurance Group AG.............................. 441,250 136,999,799 1.1%
Other Securities....................................... 496,279,693 4.1%
--------------- -----
TOTAL SWITZERLAND 957,487,685 7.9%
--------------- -----
UNITED KINGDOM -- (15.5%)
# Anglo American P.L.C................................... 5,896,146 125,843,667 1.0%
Aviva P.L.C............................................ 11,905,803 65,063,848 0.5%
BP P.L.C., Sponsored ADR............................... 7,847,784 340,358,392 2.8%
Glencore P.L.C......................................... 21,880,787 89,047,352 0.7%
HSBC Holdings P.L.C.................................... 15,404,835 126,775,678 1.1%
# HSBC Holdings P.L.C., Sponsored ADR.................... 2,714,621 111,543,777 0.9%
Lloyds Banking Group P.L.C............................. 178,022,807 129,910,115 1.1%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A....... 2,913,977 184,134,183 1.5%
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B....... 3,006,785 197,575,842 1.6%
Vodafone Group P.L.C................................... 58,351,986 109,733,134 0.9%
Vodafone Group P.L.C., Sponsored ADR................... 4,011,201 75,932,040 0.6%
Other Securities....................................... 373,138,261 3.2%
--------------- -----
TOTAL UNITED KINGDOM......................................... 1,929,056,289 15.9%
--------------- -----
UNITED STATES -- (0.3%)
Other Security......................................... 39,695,031 0.3%
--------------- -----
TOTAL COMMON STOCKS.......................................... 11,839,128,370 97.4%
--------------- -----
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Volkswagen AG.......................................... 689,777 115,884,550 0.9%
Other Securities....................................... 27,206,644 0.3%
--------------- -----
TOTAL GERMANY................................................ 143,091,194 1.2%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Security......................................... 1,450,636 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES.................................. 11,983,670,200
---------------
VALUE+
---------------
SECURITIES LENDING COLLATERAL -- (3.9%)
@(S) DFA Short Term Investment Fund......................... 42,184,239 488,071,641 4.0%
--------------- -----
TOTAL INVESTMENTS--(100.0%) (Cost $12,252,986,071)........... $12,471,741,841 102.6%
=============== =====
As of October 31, 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... 44 12/21/18 $4,270,354 $3,987,500 $(282,854)
42
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
NUMBER UNREALIZED
OF EXPIRATION APPRECIATION
DESCRIPTION CONTRACTS DATE NOTIONAL VALUE MARKET VALUE (DEPRECIATION)
----------- --------- ---------- -------------- ------------ --------------
S&P 500(R) Emini Index...................................... 714 12/21/18 $103,294,447 $ 96,786,270 $(6,508,177)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS..................................... $107,564,801 $100,773,770 $(6,791,031)
============ ============ ===========
Summary of the Series' investments as of October 31, 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................................................ $ 3,012,806 $ 678,651,529 -- $ 681,664,335
Austria.................................................. -- 6,092,849 -- 6,092,849
Belgium.................................................. -- 131,301,630 -- 131,301,630
Canada................................................... 989,400,908 -- -- 989,400,908
Denmark.................................................. -- 186,467,098 -- 186,467,098
Finland.................................................. -- 124,986,171 -- 124,986,171
France................................................... -- 1,230,370,700 -- 1,230,370,700
Germany.................................................. 60,592,679 770,359,829 -- 830,952,508
Hong Kong................................................ -- 344,005,710 -- 344,005,710
Ireland.................................................. 5,917,554 29,795,505 -- 35,713,059
Israel................................................... -- 51,577,567 -- 51,577,567
Italy.................................................... 28,028,937 176,509,525 -- 204,538,462
Japan.................................................... 59,798,491 2,741,577,183 -- 2,801,375,674
Netherlands.............................................. 33,222,497 406,141,835 -- 439,364,332
New Zealand.............................................. -- 20,194,780 -- 20,194,780
Norway................................................... 237,360 109,398,869 -- 109,636,229
Portugal................................................. -- 4,861,587 -- 4,861,587
Singapore................................................ -- 118,142,676 -- 118,142,676
South Africa............................................. -- 5,340,658 -- 5,340,658
Spain.................................................... 336,655 287,383,136 -- 287,719,791
Sweden................................................... -- 309,182,641 -- 309,182,641
Switzerland.............................................. 71,828,555 885,659,130 -- 957,487,685
United Kingdom........................................... 1,009,984,667 919,071,622 -- 1,929,056,289
United States............................................ 39,695,031 -- -- 39,695,031
Preferred Stocks
Germany.................................................. -- 143,091,194 -- 143,091,194
Rights/Warrants
Spain.................................................... -- 1,450,636 -- 1,450,636
Securities Lending Collateral............................... -- 488,071,641 -- 488,071,641
Futures Contracts**......................................... (6,791,031) -- -- (6,791,031)
-------------- --------------- -- ---------------
TOTAL....................................................... $2,295,265,109 $10,169,685,701 -- $12,464,950,810
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
43
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (98.1%)
COMMUNICATION SERVICES -- (11.9%)
Activision Blizzard, Inc............................ 849,537 $ 58,660,530 0.9%
AT&T, Inc........................................... 7,323,762 224,693,018 3.3%
* Charter Communications, Inc., Class A............... 339,394 108,731,656 1.6%
Comcast Corp., Class A.............................. 7,135,970 272,165,896 4.0%
Twenty-First Century Fox, Inc., Class A............. 987,646 44,957,646 0.7%
Other Securities.................................... 119,049,785 1.6%
-------------- ----
TOTAL COMMUNICATION SERVICES................................ 828,258,531 12.1%
-------------- ----
CONSUMER DISCRETIONARY -- (5.3%)
General Motors Co................................... 1,095,598 40,087,931 0.6%
Royal Caribbean Cruises, Ltd........................ 322,500 33,775,425 0.5%
Other Securities.................................... 295,686,180 4.3%
-------------- ----
TOTAL CONSUMER DISCRETIONARY................................ 369,549,536 5.4%
-------------- ----
CONSUMER STAPLES -- (5.8%)
Archer-Daniels-Midland Co........................... 813,476 38,436,741 0.6%
Mondelez International, Inc., Class A............... 2,081,099 87,364,536 1.3%
Walgreens Boots Alliance, Inc....................... 659,669 52,621,796 0.8%
Walmart, Inc........................................ 1,173,687 117,697,332 1.7%
Other Securities.................................... 110,410,194 1.5%
-------------- ----
TOTAL CONSUMER STAPLES...................................... 406,530,599 5.9%
-------------- ----
ENERGY -- (12.9%)
Chevron Corp........................................ 1,103,373 123,191,595 1.8%
ConocoPhillips...................................... 1,489,306 104,102,489 1.5%
Exxon Mobil Corp.................................... 2,833,988 225,812,164 3.3%
Marathon Petroleum Corp............................. 1,205,778 84,947,060 1.3%
Occidental Petroleum Corp........................... 484,588 32,501,317 0.5%
Phillips 66......................................... 775,455 79,732,283 1.2%
Schlumberger, Ltd................................... 577,687 29,641,120 0.4%
Valero Energy Corp.................................. 605,899 55,191,340 0.8%
Other Securities.................................... 165,172,765 2.4%
-------------- ----
TOTAL ENERGY................................................ 900,292,133 13.2%
-------------- ----
FINANCIALS -- (21.7%)
Bank of America Corp................................ 5,929,137 163,051,267 2.4%
Bank of New York Mellon Corp. (The)................. 702,823 33,264,613 0.5%
Capital One Financial Corp.......................... 372,872 33,297,470 0.5%
Citigroup, Inc...................................... 1,870,326 122,431,540 1.8%
Goldman Sachs Group, Inc. (The)..................... 209,155 47,137,262 0.7%
JPMorgan Chase & Co................................. 2,748,095 299,597,317 4.4%
MetLife, Inc........................................ 949,912 39,126,875 0.6%
Morgan Stanley...................................... 1,102,617 50,345,492 0.7%
Prudential Financial, Inc........................... 497,625 46,667,272 0.7%
Wells Fargo & Co.................................... 2,802,209 149,161,585 2.2%
Other Securities.................................... 523,167,366 7.6%
-------------- ----
TOTAL FINANCIALS............................................ 1,507,248,059 22.1%
-------------- ----
HEALTH CARE -- (15.6%)
Abbott Laboratories................................. 915,297 63,100,575 0.9%
44
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (Continued)
Aetna, Inc............................................. 558,462 $ 110,798,861 1.6%
Anthem, Inc............................................ 504,640 139,063,645 2.0%
Cigna Corp............................................. 136,754 29,239,373 0.4%
CVS Health Corp........................................ 1,510,745 109,362,831 1.6%
Danaher Corp........................................... 405,225 40,279,365 0.6%
* Express Scripts Holding Co............................. 493,239 47,829,386 0.7%
Humana, Inc............................................ 198,071 63,463,929 0.9%
Medtronic P.L.C........................................ 814,175 73,129,198 1.1%
Pfizer, Inc............................................ 3,696,959 159,191,055 2.3%
Thermo Fisher Scientific, Inc.......................... 435,609 101,780,043 1.5%
Other Securities....................................... 146,450,543 2.3%
-------------- -----
TOTAL HEALTH CARE............................................ 1,083,688,804 15.9%
-------------- -----
INDUSTRIALS -- (11.4%)
CSX Corp............................................... 1,055,544 72,684,760 1.1%
FedEx Corp............................................. 127,314 28,052,367 0.4%
Norfolk Southern Corp.................................. 545,229 91,505,783 1.4%
Republic Services, Inc................................. 429,755 31,234,593 0.5%
Union Pacific Corp..................................... 563,195 82,350,373 1.2%
United Technologies Corp............................... 382,009 47,449,338 0.7%
Other Securities....................................... 442,973,689 6.3%
-------------- -----
TOTAL INDUSTRIALS............................................ 796,250,903 11.6%
-------------- -----
INFORMATION TECHNOLOGY -- (11.4%)
Cisco Systems, Inc..................................... 4,715,767 215,746,340 3.2%
Intel Corp............................................. 4,978,195 233,377,782 3.4%
* Micron Technology, Inc................................. 842,584 31,782,268 0.5%
# QUALCOMM, Inc.......................................... 688,597 43,305,865 0.6%
Other Securities....................................... 266,116,169 3.9%
-------------- -----
TOTAL INFORMATION TECHNOLOGY................................. 790,328,424 11.6%
-------------- -----
MATERIALS -- (1.9%)
Other Securities....................................... 129,132,337 1.9%
-------------- -----
REAL ESTATE -- (0.1%)
Other Securities....................................... 5,661,531 0.1%
-------------- -----
UTILITIES -- (0.1%)
Other Securities....................................... 4,575,180 0.1%
-------------- -----
TOTAL COMMON STOCKS.......................................... 6,821,516,037 99.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Security......................................... 2,520 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES.................................. 6,821,518,557
--------------
SECURITIES LENDING COLLATERAL -- (1.9%)
@(S) DFA Short Term Investment Fund......................... 11,474,074 132,755,035 1.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%) (Cost $3,962,789,550)............ $6,954,273,592 101.8%
============== =====
45
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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
Communication Services......................... $ 828,258,531 -- -- $ 828,258,531
Consumer Discretionary......................... 369,549,536 -- -- 369,549,536
Consumer Staples............................... 406,530,599 -- -- 406,530,599
Energy......................................... 900,292,133 -- -- 900,292,133
Financials..................................... 1,507,237,374 $ 10,685 -- 1,507,248,059
Health Care.................................... 1,083,688,804 -- -- 1,083,688,804
Industrials.................................... 796,250,903 -- -- 796,250,903
Information Technology......................... 790,328,424 -- -- 790,328,424
Materials...................................... 129,132,337 -- -- 129,132,337
Real Estate.................................... 5,661,531 -- -- 5,661,531
Utilities...................................... 4,575,180 -- -- 4,575,180
Rights/Warrants
Consumer Discretionary......................... -- 2,520 -- 2,520
Securities Lending Collateral..................... -- 132,755,035 -- 132,755,035
-------------- ------------ -- --------------
TOTAL............................................. $6,821,505,352 $132,768,240 -- $6,954,273,592
============== ============ == ==============
See accompanying Notes to Financial Statements.
46
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE THE DFA THE TAX-MANAGED
CAP VALUE INTERNATIONAL U.S. MARKETWIDE
SERIES* VALUE SERIES* VALUE SERIES*
-------------- ------------- ---------------
ASSETS:
Investments at Value (including $1,157,676, $493,832 and
$258,593 of securities on loan, respectively)............. $28,970,122 $11,983,670 $6,821,519
Temporary Cash Investments at Value & Cost.................. 254,326 -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $516,703, $488,030 and $132,748). 516,726 488,072 132,755
Segregated Cash for Futures Contracts....................... 9,030 4,482 --
Foreign Currencies at Value................................. -- 12,447 --
Cash........................................................ -- 120,621 --
Receivables:................................................
Investment Securities Sold............................... 2,669 9,828 21,973
Dividends, Interest and Tax Reclaims..................... 36,806 55,078 7,485
Securities Lending Income................................ 114 641 36
Futures Margin Variation................................. 1,941 953 --
Unrealized Gain on Foreign Currency Contracts............... -- 19 --
----------- ----------- ----------
Total Assets......................................... 29,791,734 12,675,811 6,983,768
----------- ----------- ----------
LIABILITIES:
Payables:
Due to Custodian......................................... -- -- 1
Upon Return of Securities Loaned......................... 516,732 488,058 132,747
Investment Securities Purchased.......................... 27,826 31,386 10,675
Due to Advisor........................................... 2,547 2,123 1,191
Line of Credit........................................... -- -- 8,896
Unrealized Loss on Foreign Currency Contracts............... -- 5 --
Accrued Expenses and Other Liabilities...................... 1,834 899 472
----------- ----------- ----------
Total Liabilities.................................... 548,939 522,471 153,982
----------- ----------- ----------
NET ASSETS.................................................. $29,242,795 $12,153,340 $6,829,786
=========== =========== ==========
Investments at Cost......................................... $21,537,117 $11,764,956 $3,830,042
=========== =========== ==========
Foreign Currencies at Cost.................................. $ -- $ 12,472 $ --
=========== =========== ==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
47
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE U.S. THE DFA THE TAX-MANAGED
LARGE CAP INTERNATIONAL U.S. MARKETWIDE
VALUE SERIES# VALUE SERIES# VALUE SERIES#
------------- ------------- ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $42,705 and $8,
respectively).................................................. $ 663,709 $ 438,823 $153,238
Income from Securities Lending................................... 2,537 9,055 808
----------- ----------- --------
Total Investment Income...................................... 666,246 447,878 154,046
----------- ----------- --------
EXPENSES
Investment Management Fees....................................... 29,655 26,161 14,003
Accounting & Transfer Agent Fees................................. 1,220 546 288
Custodian Fees................................................... 308 1,005 75
Directors'/Trustees' Fees & Expenses............................. 119 54 28
Professional Fees................................................ 393 222 92
Other............................................................ 599 383 153
----------- ----------- --------
Total Expenses............................................... 32,294 28,371 14,639
----------- ----------- --------
Fees Paid Indirectly (Note C).................................... -- (989) --
----------- ----------- --------
Net Expenses..................................................... 32,294 27,382 14,639
----------- ----------- --------
NET INVESTMENT INCOME (LOSS)..................................... 633,952 420,496 139,407
----------- ----------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................. 1,506,250 410,722 226,155
Affiliated Investment Companies Shares Sold.................. (48) (107) (25)
Futures...................................................... 32,885 13,338 697
Foreign Currency Transactions................................ -- (5,911) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... (1,356,683) (1,897,300) (80,044)
Affiliated Investment Companies Shares....................... (15) 55 2
Futures...................................................... (21,778) (9,675) --
Translation of Foreign Currency Denominated Amounts.......... -- (613) --
----------- ----------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).......................... 160,611 (1,489,491) 146,785
----------- ----------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..... $ 794,563 $(1,068,995) $286,192
=========== =========== ========
--------
** 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.
48
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL THE TAX-MANAGED U.S.
SERIES VALUE SERIES MARKETWIDE VALUE SERIES
------------------------ ------------------------ ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017 2018 2017
----------- ----------- ----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ 633,952 $ 540,980 $ 420,496 $ 373,063 $ 139,407 $ 126,408
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............ 1,506,250 1,415,252 410,722 133,582 226,155 218,751
Affiliated Investment Companies
Shares Sold............................. (48) (4) (107) 55 (25) 22
Futures................................... 32,885 22,013 13,338 16,570 697 77
Foreign Currency Transactions............. -- -- (5,911) (2,679) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ (1,356,683) 3,199,777 (1,897,300) 2,126,222 (80,044) 896,370
Affiliated Investment Companies
Shares.................................. (15) (95) 55 (73) 2 (29)
Futures................................... (21,778) 11,932 (9,675) 3,736 -- --
Translation of Foreign Currency
Denominated Amounts..................... -- -- (613) 1,069 -- --
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................... 794,563 5,189,855 (1,068,995) 2,651,545 286,192 1,241,599
----------- ----------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions................................. 2,333,386 2,626,519 1,051,133 995,812 198,216 176,018
Withdrawals................................... (1,561,700) (1,056,396) (560,948) (644,747) (321,718) (288,925)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............. 771,686 1,570,123 490,185 351,065 (123,502) (112,907)
----------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets........................... 1,566,249 6,759,978 (578,810) 3,002,610 162,690 1,128,692
NET ASSETS
Beginning of Year............................. 27,676,546 20,916,568 12,732,150 9,729,540 6,667,096 5,538,404
----------- ----------- ----------- ----------- ---------- ----------
End of Year................................... $29,242,795 $27,676,546 $12,153,340 $12,732,150 $6,829,786 $6,667,096
=========== =========== =========== =========== ========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
See accompanying Notes to Financial Statements.
49
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- -----------
Total Return........................................... 2.95% 24.31% 4.75% 1.32% 15.67%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................... $29,242,795 $27,676,546 $20,916,568 $19,094,057 $18,376,682
Ratio of Expenses to Average Net Assets................ 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets... 2.14% 2.19% 2.39% 2.20% 1.90%
Portfolio Turnover Rate................................ 13% 15% 15% 16% 15%
------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
50
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE DFA INTERNATIONAL VALUE SERIES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
----------- ----------- ---------- ---------- ----------
Total Return................................................. (8.10%) 26.53% (0.10%) (5.35%) (0.72%)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $12,153,340 $12,732,150 $9,729,540 $9,227,905 $9,343,666
Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................ 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets......... 3.21% 3.33% 3.72% 3.31% 4.50%
Portfolio Turnover Rate...................................... 20% 17% 17% 21% 17%
-------------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
51
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Total Return........................................... 4.26% 22.61% 2.79% 2.93% 15.17%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................... $6,829,786 $6,667,096 $5,538,404 $5,348,412 $5,143,977
Ratio of Expenses to Average Net Assets................ 0.21% 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to Average Net Assets... 1.99% 2.02% 2.05% 1.82% 1.61%
Portfolio Turnover Rate................................ 5% 7% 9% 6% 2%
------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
52
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940, The
Trust consists of eleven portfolios, three of which, The U.S. Large Cap Value
Series, The DFA International Value Series, and The Tax-Managed U.S. Marketwide
Value Series (the "Series"), are presented in this section of the report. The
remaining operational portfolios are presented in separate reports. The Series
are investment companies, and accordingly, follow the accounting and reporting
guidance under the 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, the
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 use 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,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series, that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series, value the securities within the range of the
most recent quoted bid and ask prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series, may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each 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 at which the net asset value of the
International Series is computed. Due
53
to the time differences between the closings of the relevant foreign securities
exchanges and the pricing of the International Series prices its shares at the
close of the NYSE, the International Series will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on International Series' foreign investments
since the last calculated closing prices of the foreign investments on their
primary foreign securities markets or exchanges. For these purposes, the Board
of Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series uses data furnished
by an independent pricing service (and that data draws upon, among other
information, the market values of foreign investments). When the International
Series uses fair value pricing, the values assigned to the International
Series' foreign investments may not be the quoted or published prices of the
investments on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities
of the International Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and ask prices for the U.S. dollar as quoted by generally recognized
reliable sources. Dividend and interest income and certain expenses are
translated to U.S. dollars at the rate of exchange on their respective accrual
dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of foreign currency
rate fluctuations 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 of
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect
to participate 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: the 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.
The Trustees may receive their distributions of proceeds by 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
54
who elects to defer fees fails to designate in the Notice a time or date as of
which payment of the Trustee's deferred fee account shall commence, payment of
such amount shall commence as of the first business day of January following
the year in which the Trustee ceases to be a member of the Board (unless the
Trustee files an amended Notice selecting a different distribution date). As of
October 31, 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
received distributions 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,
using the effective interest method. Expenses directly attributable to a Series
are directly charged. Common expenses of the Trust or Series are allocated
using methods approved by the Board of Trustees, generally based on average net
assets. The International Series may be subject to taxes imposed by countries
in which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. Additionally, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series. For the year ended October 31, 2018, the investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.10%, 0.20%, and 0.20%, of the average daily net
assets for The U.S. Large Cap Value Series, The DFA International Value Series,
and The Tax-Managed U.S. Marketwide Value Series, respectively.
EARNED INCOME CREDIT:
Additionally, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of the Series' net assets.
During the year ended October 31, 2018, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series.................................. $989
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended October 31, 2018, the total related amounts paid by the Trust to
the CCO were $87 (in thousands). The total related amount paid by each of the
Series are included in Other Expenses on the Statements of Operations.
55
D. DEFERRED COMPENSATION:
As of October 31, 2018, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities on the
Statements of Assets and Liabilities as follows (amounts in thousands):
The U.S. Large Cap Value Series........................ $617
The DFA International Value Series..................... 376
The Tax-Managed U.S. Marketwide Value Series........... 175
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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):
OTHER INVESTMENT SECURITIES
-----------------------------
PURCHASES SALES
-------------- --------------
The U.S. Large Cap Value Series........................ $ 5,543,488 $ 3,723,399
The DFA International Value Series..................... 3,403,827 2,545,630
The Tax-Managed U.S. Marketwide Value Series........... 506,857 352,818
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF DIVIDEND
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2018 OCTOBER 31, 2018 INCOME
---------- ---------- ---------- ------------ ------------- ---------------- ---------------- --------
THE U.S.
LARGE CAP
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... $522,421 $5,227,508 $5,233,140 $ (48) $(15) $516,726 44,661 $11,998
-------- ---------- ---------- ----- ---- -------- ------ -------
TOTAL........... $522,421 $5,227,508 $5,233,140 $ (48) $(15) $516,726 44,661 $11,998
======== ========== ========== ===== ==== ======== ====== =======
THE DFA
INTERNATIONAL
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... $593,861 $6,403,288 $6,509,025 $(107) $ 55 $488,072 42,184 $15,317
-------- ---------- ---------- ----- ---- -------- ------ -------
TOTAL........... $593,861 $6,403,288 $6,509,025 $(107) $ 55 $488,072 42,184 $15,317
======== ========== ========== ===== ==== ======== ====== =======
THE
TAX-MANAGED
U.S.
MARKETWIDE
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... $108,958 $1,212,807 $1,188,987 $ (25) $ 2 $132,755 11,474 $ 2,665
-------- ---------- ---------- ----- ---- -------- ------ -------
TOTAL........... $108,958 $1,212,807 $1,188,987 $ (25) $ 2 $132,755 11,474 $ 2,665
======== ========== ========== ===== ==== ======== ====== =======
CAPITAL GAIN
DISTRIBUTIONS
-------------
THE U.S.
LARGE CAP
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... --
--
TOTAL........... --
==
THE DFA
INTERNATIONAL
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... --
--
TOTAL........... --
==
THE
TAX-MANAGED
U.S.
MARKETWIDE
VALUE
SERIES
The 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 its partners.
56
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
The U.S. Large Cap Value Series........................ $22,308,146 $8,353,529 $ (934,220) $7,419,309
The DFA International Value Series..................... 12,252,986 1,301,440 (1,089,475) 211,965
The Tax-Managed U.S. Marketwide Value Series........... 3,962,790 3,131,600 (140,115) 2,991,485
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark-to-market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in the Series' financial statements. 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. FORWARD CURRENCY CONTRACTS: The International Series may acquire and sell
forward currency contracts to hedge against adverse changes in the relationship
of the U.S. dollar to foreign currencies (foreign exchange rate risk). The
decision to hedge the International Series' currency exposure with respect to a
foreign market will be based primarily on the Series' existing exposure to a
given foreign currency. Each contract is valued daily and the change in value
is recorded by the Series as an unrealized gain or loss, which is presented in
the Statements of Operations as the change in unrealized appreciation or
depreciation from translation of foreign currency denominated amounts. When the
contract is closed or offset with the same counterparty, the Series record a
realized gain or loss equal to the change in the value of the contract when it
was opened and the value at the time it was closed or offset. This is presented
in the Statements of Operations as a net realized gain or loss on foreign
currency transactions. Risks may arise upon entering into these contracts from
the potential inability of counterparties to meet the terms of their contracts
and from unanticipated movements in the value of foreign currency relative to
the U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts and
options on futures contracts for equity securities and indices to adjust market
exposure based on actual or expected cash inflows to or outflows from the
Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual
57
securities. Upon entering into a futures contract, the Series deposits cash or
pledges U.S. government securities to a broker, in an amount 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 entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2018 (amounts in thousands):
FUTURES
--------
The U.S. Large Cap Value Series................... $203,773
The DFA International Value Series................ 108,115
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2018 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
------------------------------
TOTAL VALUE AT EQUITY
OCTOBER 31, 2018 CONTRACTS*,(1)
---------------- --------------
The U.S. Large Cap Value Series......... $(13,718) $(13,718)
The DFA International Value Series...... (6,791) (6,791)
(1) Presented on Statements of Assets and Liabilities as Payables: Futures
Margin Variation.
* 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 realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the year ended October 31, 2018 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
CONTRACTS
TOTAL (1)
---------- ---------
The U.S. Large Cap Value Series........................ $ 32,885 $32,885
The DFA International Value Series..................... 13,338 13,338
The Tax-Managed U.S. Marketwide Value Series........... 697 697
58
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
---------------------------------
EQUITY
TOTAL CONTRACTS (2)
-------------- -------------
The U.S. Large Cap Value Series........................ $(21,778) $(21,778)
The DFA International Value Series..................... (9,675) (9,675)
(1) Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(2) Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
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 year ended October 31, 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........... 2.48% $2,761 45 $9 $8,893
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2018, that the Series' available line
of credit was used.
As of October 31, 2018, The Tax-Managed U.S. Marketwide Value Series had
loans outstanding in the amount of $8,896 (in thousands).
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
59
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 use the interfund lending program during the year ended
October 31, 2018.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 advisor (or affiliated
investment advisors), common Trustees and/or common Officers. At its regularly
scheduled meetings, the Board reviews such transactions for compliance with the
requirements and restrictions set forth by Rule 17a-7 under the 1940 Act.
For the year ended October 31, 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........................ $543,066 $194,550 $(7,741)
The DFA International Value Series..................... 152,750 118,896 8,056
The Tax-Managed U.S. Marketwide Value Series........... 229,497 4,931 326
J. SECURITIES LENDING:
As of October 31, 2018, each Series had securities on loan to
brokers/dealers, for which each such Series received cash collateral.
Additionally, each Series received non-cash collateral consisting of
short-and/or long-term U.S. Treasuries and U.S. government agency securities as
follows (amounts in thousands):
MARKET
VALUE
--------
The U.S. Large Cap Value Series........................ $668,401
The DFA International Value Series..................... 26,616
The Tax-Managed U.S. Marketwide Value Series........... 133,240
Each Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and 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.
60
Subject to their stated investment policies, each Series with securities on
loan will generally invest the cash collateral received for the loaned
securities in the Money Market Series, an affiliated registered money market
fund advised by the Advisor for which the Advisor receives a management fee of
0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with 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 or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities.
Additionally, 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 for
taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 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....................................... $516,725,797 -- -- -- $516,725,797
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks, Preferred Stocks, Rights/Warrants.... 488,071,641 -- -- -- 488,071,641
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Common Stocks, Rights/Warrants...................... 132,755,035 -- -- -- 132,755,035
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Series' early adoption of certain of the ASU 2018-13
61
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Series' financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Series' adoption of
these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Series' net assets or results of operations.
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 and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No.
11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee (the "Trustee") on behalf of the
committee of unsecured creditors of Tribune (the "Committee Action," and with
the Individual Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers
and recover the stock repurchase proceeds paid to the Tribune shareholders who
participated in the LBO. On September 23, 2013, the Court entered an order
dismissing the Individual Creditor Actions in their entirety on the grounds
that the individual creditor plaintiffs lack standing to pursue their claims.
The parties appealed the Court's dismissal order to the United States Court of
Appeals for the Second Circuit (the "Second Circuit"), and, on March 29, 2016,
the Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims are preempted by the Bankruptcy Code's
safe harbor for securities transactions. The individual creditor plaintiffs
have petitioned the Supreme Court of the United States (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 would 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; the District
Court has stayed this request pending the Second Circuit's review of its prior
decision with respect to the Individual Creditor Actions.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset values of The U.S. Large
Cap Value Series and The Tax-Managed
62
U.S. Marketwide Value Series will be made relating to the Lawsuits. However,
even if the plaintiffs in the Lawsuits were to obtain the full recovery the
plaintiffs seek, the amount would be less than 1% of the respective net asset
values of The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide
Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their respective net asset values. Therefore, at this time, those
investors buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the respective net asset values of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to
any other expenses incurred by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
63
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The U.S. Large Cap Value Series, The DFA International Value Series and The
Tax-Managed U.S. Marketwide Value Series
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, of The U.S. Large Cap
Value Series, The DFA International Value Series and The Tax-Managed U.S.
Marketwide Value Series (three of the series constituting The DFA Investment
Trust Company, hereafter collectively referred to as the "Series") as of
October 31, 2018, the related statements of operations for the year ended
October 31, 2018, the statements of changes in net assets for each of the two
years in the period ended October 31, 2018, including the related notes, and
the financial highlights for each of the five years in the period ended
October 31, 2018 (collectively referred to as the "financial statements"). In
our opinion, the financial statements present fairly, in all material respects,
the financial position of each of the Series as of October 31, 2018, the
results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period ended
October 31, 2018, and each of the financial highlights for each of the five
years in the period ended October 31, 2018 in conformity with accounting
principles generally accepted in the United States of America.
BASIS FOR OPINIONS
These financial statements are the responsibility of the Series' management.
Our responsibility is to express an opinion on the Series' financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) ("PCAOB") and are required
to be independent with respect to the Series in accordance with the U.S.
federal securities laws and the applicable rules and regulations of the
Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodians, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
64
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were two
Audit Committee meetings held during the fiscal year ended October 31, 2018.
Each Board's Nominating Committee is composed of George M. Constantinides,
Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J. Smith. Each
member of the Nominating Committee is a disinterested Trustee/Director. The
Nominating Committee for each Board makes recommendations for nominations of
disinterested and interested members on the Board to the full Board. The
Nominating Committee evaluates a candidate's qualification for Board membership
and the independence of such candidate from the Advisor and other principal
service providers. The Nominating Committee met two times during the fiscal
year ended October 31, 2018.
Each Board's Strategy Committee is composed of Douglas W. Diamond, Edward P.
Lazear, and Myron S. Scholes. Each member of the Strategy Committee is a
disinterested Trustee/Director. The Strategy Committee assists the Board in
carrying out its fiduciary duties with respect to the oversight of the Fund and
its performance. At the request of the Board or the Advisor, the Strategy
Committee may (i) review the design of possible new series of the Fund,
(ii) review performance of existing portfolios of the Fund and discuss and
recommend possible enhancements to the portfolios' investment strategies,
(iii) review proposals by the Advisor to modify or enhance the investment
strategies or policies of each portfolio, and (iv) consider issues relating to
investment services for each portfolio of the Fund. There were four Strategy
Committee meetings held during the fiscal year ended October 31, 2018.
Certain biographical information for each disinterested Trustee/Director and
interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a Director or Trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746. Prospectuses
are also available at http://us.dimensional.com.
65
DISINTERESTED TRUSTEE/DIRECTORS
TERM OF OTHER DIRECTORSHIPS
OFFICE/1/ PORTFOLIOS WITHIN OF PUBLIC
AND THE DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN YEARS
------------------------- ------------ ----------- --------------------------- ----------------- -------------------
George M. Constantinides Director of DFADIG- Leo Melamed Professor 128 portfolios None
University of Chicago DFAIDG Since 1983 of Finance, University in 4
Booth School of Business and DIG DIG- Since of Chicago Booth investment
5807 S. Woodlawn Trustee of 1993 School of Business companies
Avenue DFAITC DFAITC- (since 1978).
Chicago, IL 60637 and DEM Since 1992
DEM- Since
1947 1993
Douglas W. Diamond Director of DFADIG- Merton H. Miller 128 portfolios None
University of Chicago DFAIDG Since June Distinguished Service in 4
Booth School of Business and DIG 2017 DIG- Professor of Finance, investment
5807 S. Woodlawn Trustee of Since June University of Chicago companies
Avenue DFAITC 2017 Booth School of
Chicago, IL 60637 and DEM DFAITC- Business (since 1988).
Since June Visiting Scholar,
1953 2017 DEM- Federal Reserve Bank of
Since June Richmond (since 1990).
2017 Formerly, Fischer Black
Visiting Professor of
Financial Economics,
Alfred P. Sloan School
of Management,
Massachusetts Institute
of Technology (2015 to
2016).
Roger G. Ibbotson Yale Director of DFADIG- Professor in Practice 128 portfolios None
School of Management DFAIDG Since 1981 Emeritus of Finance, in 4
P.O. Box 208200 and DIG DIG- Since Yale School of investment
New Haven, CT 06520- Trustee of 1993 Management (since companies
8200 DFAITC DFAITC- 1984). Chairman, CIO
and DEM Since 1992 and Partner, Zebra
1943 DEM- Since Capital Management,
1993 LLC (hedge fund and
asset manager) (since
2001). Formerly,
Consultant to
Morningstar, Inc. (2006
- 2016).
Edward P. Lazear Director of DFADIG- Distinguished Visiting 128 portfolios None
Stanford University DFAIDG Since 2010 Fellow, Becker in 4
Graduate School of and DIG DIG- Since Friedman Institute for investment
Business Knight Trustee of 2010 Research in Economics, companies
Management Center, DFAITC DFAITC- University of Chicago
E346 and DEM Since 2010 (since 2015). Morris
Stanford, CA 94305 DEM- Since Arnold Cox Senior
2010 Fellow, Hoover
1948 Institution (since 2002).
Jack Steele Parker
Professor of Human
Resources Management
and Economics,
Graduate School of
Business, Stanford
University (since 1995).
Cornerstone Research
(expert testimony and
economic and financial
analysis) (since 2009).
Myron S. Scholes Director of DFADIG- Chief Investment 128 portfolios Formerly,
c/o Dimensional Fund DFAIDG Since 1981 Strategist, Janus in 4 Adviser,
Advisors LP 6300 Bee and DIG DIG- Since Henderson Investors investment Kuapay, Inc.
Cave Road, Building One Trustee of 1993 (since 2014). Frank E. companies (2013- 2014).
Austin, TX 78746 DFAITC DFAITC- Buck Professor of Formerly,
and DEM Since 1992 Finance, Emeritus, Director,
1941 DEM- Since Graduate School of American
1993 Business, Stanford Century Fund
University (since 1981). Complex
(registered
investment
companies) (43
Portfolios)
(1980- 2014).
66
TERM OF OTHER DIRECTORSHIPS
OFFICE/1/ PORTFOLIOS WITHIN OF PUBLIC
AND THE DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN YEARS
------------------------- ------------ ----------- --------------------------- ----------------- -------------------
Abbie J. Smith Director of DFADIG- Boris and Irene Stern 128 portfolios Director (since
University of Chicago DFAIDG Since 2000 Distinguished Service in 4 2000) and
Booth School of Business and DIG DIG- Since Professor of investment formerly, Lead
5807 S. Woodlawn Trustee of 2000 Accounting, University companies Director (May
Avenue Chicago, IL DFAITC DFAITC- of Chicago Booth 2014 - May
60637 and DEM Since 2000 School of Business 2017), HNI
DEM- Since (since 1980). Corporation
1953 2000 (formerly known
as HON
Industries Inc.)
(office
furniture);
Director, Ryder
System Inc.
(transportation,
logistics and
supply- chain
management)
(since 2003);
and Trustee,
UBS Funds (3
investment
companies
within the fund
complex) (21
portfolios)
(since 2009).
INTERESTED TRUSTEE/DIRECTOR*
OTHER
DIRECTORSHIPS
PORTFOLIOS WITHIN OF PUBLIC
TERM OF OFFICE/1/ THE DFA FUND COMPANIES
NAME, ADDRESS AND AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
-------------------- ------------ ---------------- --------------------------- ----------------- -------------
David G. Booth Chairman DFADIG- Chairman, Director/ 128 portfolios None
6300 Bee Cave Road, and Since 1981 Trustee, and formerly, in 4
Building One Director of DIG- Since President and Co-Chief investment
Austin, TX 78746 DFAIDG 1992 Executive Officer (each companies
and DIG DFAITC- until March 2017) of
1946 Trustee of Since 1992 Dimensional Emerging
DFAITC DEM- Since Markets Value Fund
and DEM 1993 ("DEM"), DFAIDG,
Dimensional Investment
Group Inc. ("DIG") and
The DFA Investment
Trust Company
("DFAITC"). Executive
Chairman, and formerly,
President and Co-Chief
Executive Officer (each
until February 2017) of
Dimensional Holdings
Inc., Dimensional Fund
Advisors LP and DFA
Securities LLC
(collectively with DEM,
DFAIDG, DIG and
DFAITC, the "DFA
Entities"). Formerly,
Chairman and Director
(2009-2018), Co-Chief
Executive Officer (2010
- June 2017) of
Dimensional Fund
Advisors Canada ULC.
Trustee, University of
Chicago (since 2002).
Trustee, University of
Kansas Endowment
Association (since
2005). Formerly,
Director of Dimensional
Fund Advisors Ltd.
(2002 - July 2017),
DFA Australia Limited
(1994 - July 2017),
Dimensional Advisors
Ltd. (2012 - July 2017),
Dimensional Funds plc
(2006 - July 2017) and
Dimensional Funds II
plc (2006 - July 2017).
Formerly, Director and
President of
Dimensional Japan Ltd.
(2012 - April 2017).
Formerly, President,
Dimensional SmartNest
(US) LLC (2009-2014);
and Limited Partner,
VSC Investors, LLC
(2007 to 2015).
Formerly, Chairman,
Director, President and
Co-Chief Executive
Officer of Dimensional
Cayman Commodity
Fund I Ltd. (2010-
September 2017).
1 Each Director holds office for an indefinite term until his or her successor
is elected and qualified.
2 Each Director is a director or trustee of each of the four registered
investment companies within the DFA Fund Complex, which include: DFAIDG; DIG;
DFAITC; and DEM. Each disinterested Director also serves on the Independent
Review Committee of the Dimensional Funds, mutual funds registered in the
provinces of Canada and managed by the Advisor's affiliate, Dimensional Fund
Advisors Canada ULC.
* The Interested Trustee/Director is described as such because he is deemed to
be an "interested person," as that term is defined under the Investment
Company Act of 1940, as amended, due to his position with the Advisor.
67
OFFICERS
Below is the name, year of birth, information regarding positions with the
Fund and the principal occupation for each officer of the Fund. The address of
each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the
officers listed below holds the same office (except as otherwise noted) in the
DFA Entities.
TERM OF
OFFICE/1/
AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------- --------------- --------- -----------------------------------------------------------------
Valerie A. Brown Vice President Since Vice President and Assistant Secretary of
1967 and Assistant 2001
Secretary . all the DFA Entities (since 2001)
. DFA Australia Limited (since 2002)
. Dimensional Fund Advisors Ltd. (since 2002)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Hong Kong Limited (since 2012)
Director, Vice President and Assistant Secretary (since 2003) of
. Dimensional Fund Advisors Canada ULC
David P. Butler Co-Chief Since Co-Chief Executive Officer (since 2017) of
1964 Executive 2017
Officer . all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive Officer (since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Head of Global Financial Advisor Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since Executive Vice President (since 2017) of
1972 President 2017
. all the DFA entities
Director and Vice President (since 2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors Canada ULC
Vice President (since 2008) and Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte. Ltd.
Head of Global Institutional Services (since 2014) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2004 - 2017) of
. all the DFA Entities
Formerly, Vice President (2010 - 2016) of
. Dimensional Fund Advisors Canada ULC
Formerly, Head of Institutional, North America (2012 - 2013) for
. Dimensional Fund Advisors LP
68
Christopher S. Vice President Since Vice President and Global Chief Compliance Officer (since 2004) of
Crossan and Global Chief 2004
1965 Compliance . all the DFA Entities
Officer
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006) and Chief Privacy Officer (since 2015) of
. Dimensional Fund Advisors Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Japan Ltd. (since 2017)
Formerly, Vice President and Global Chief Compliance Officer (2010 - 2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Vice President, Vice Vice President, Chief Financial Officer, and Treasurer (since 2016) of
Hinkle Chief Financial President
1958 Officer, and since . all the DFA Entities
Treasurer 2015
and . Dimensional Advisors Ltd.
Chief
Financial . Dimensional Fund Advisors Ltd.
Officer
and . Dimensional Hong Kong Limited
Treasurer
since . Dimensional Cayman Commodity Fund I Ltd.
2016
. Dimensional Fund Advisors Canada ULC
. Dimensional Fund Advisors Pte. Ltd.
. DFA Australia Limited
Director (since 2016) for
. Dimensional Funds plc
. Dimensional Funds II plc
Formerly, interim Chief Financial Officer and interim Treasurer (2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity Fund I Ltd.
. Dimensional Fund Advisors Canada ULC
Formerly, Controller (2015 - 2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
Formerly, Vice President (2008 - 2015) of
. T. Rowe Price Group, Inc.
Formerly, Director of Investment Treasury and Treasurer (2008 - 2015) of
. the T. Rowe Price Funds
Jeff J. Jeon Vice President Vice Vice President (since 2004) and Assistant Secretary (since 2017) of
1973 and Assistant President
Secretary since . all the DFA Entities
2004
and Vice President and Assistant Secretary (since 2010) of
Assistant
Secretary . Dimensional Cayman Commodity Fund I Ltd.
since
2017
Joy Lopez Vice President Vice Vice President (since 2015) of
1971 and Assistant President
Treasurer since . all the DFA Entities
2015
and Assistant Treasurer (since 2017) of
Assistant
Treasurer . the DFA Fund Complex
since
2017 Formerly, Senior Tax Manager (2013 - 2015) for
. Dimensional Fund Advisors LP
Kenneth M. Vice President Since Vice President (since 2010) of
Manell 1972 2010
. all the DFA Entities
. Dimensional Cayman Commodity Fund I Ltd.
69
Catherine L. President and President President (since 2017) of
Newell General Counsel since
1964 2017 . the DFA Fund Complex
and
General General Counsel (since 2001) of
Counsel
since . All the DFA Entities
2001
Executive Vice President (since 2017) and Secretary (since 2000) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. DFA Securities LLC
. Dimensional Investment LLC
Director (since 2002), Vice President (since 1997) and Secretary (since 2002) of
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Vice President and Secretary of
. Dimensional Fund Advisors Canada ULC (since 2003)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Japan Ltd. (since 2012)
. Dimensional Advisors Ltd. (since 2012)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
Director of
. Dimensional Funds plc (since 2002)
. Dimensional Funds II plc (since 2006)
. Director of Dimensional Japan Ltd. (since 2012)
. Dimensional Advisors Ltd. (since 2012)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Hong Kong Limited (since 2012)
Formerly, Vice President and Secretary (2010 - 2014) of
. Dimensional SmartNest (US) LLC
Formerly, Vice President (1997 - 2017) and Secretary (2000 - 2017) of
. the DFA Fund Complex
Formerly, Vice President of
. Dimensional Fund Advisors LP (1997 - 2017)
. Dimensional Holdings Inc. (2006 - 2017)
. DFA Securities LLC (1997 - 2017)
. Dimensional Investment LLC (2009 - 2017)
Selwyn Notelovitz Vice President Since Vice President and Deputy Chief Compliance Officer of
1961 and Deputy 2013
Chief . the DFA Fund Complex (since 2013)
Compliance
Officer . Dimensional Fund Advisors LP (since 2012)
Carolyn L. O Vice President Vice Vice President (since 2010) and Secretary (since 2017) of
1974 and Secretary President
since . the DFA Fund Complex
2010
and Vice President (since 2010) and Assistant Secretary (since 2016) of
Secretary
since . Dimensional Fund Advisors LP
2017
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Canada ULC (since 2016)
70
Gerard K. Co-Chief Co-Chief Co-Chief Executive Officer and Chief Investment Officer (since 2017) of
O'Reilly Executive Executive
1976 Officer and Officer . all the DFA Entities
Chief Investment and
Officer Chief . Dimensional Fund Advisors Canada ULC
Investment
Officer Director, Chief Investment Officer and Vice President (since 2017) of
since
2017 . DFA Australia Limited
Chief Investment Officer (since 2017) and Vice President (since 2016) of
. Dimensional Japan Ltd.
Director, Co-Chief Executive Officer and Chief Investment Officer (since 2017)
of
. Dimensional Cayman Commodity Fund I Ltd.
Director of
. Dimensional Funds plc (since 2014)
. Dimensional Fund II plc (since 2014)
. Dimensional Holdings Inc. (since 2017)
Formerly, Co-Chief Investment Officer of
. Dimensional Japan Ltd. (2016 - 2017)
. DFA Australia Limited (2014 - 2017)
Formerly, Executive Vice President (2017) and Co-Chief Investment Officer
(2014 - 2017) of
. all the DFA Entities
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Formerly, Vice President and Co-Chief Investment Officer (2014 - 2017) of
. Dimensional Fund Advisors Canada ULC
Formerly, Director of
. Dimensional Fund Advisors Pte. Ltd. (2017)
71
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
72
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2018 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2018
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 01, 2017 to October 31, 2018, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
DIMENSIONAL INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING
INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT TOTAL RECEIVED DIVIDEND
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
----------- ------------- ------------- ------------- --------- ---------- ------------- ------------- ----------
U.S. Large
Cap Value
Portfolio
III........... 0% 3% 72% 0% 0% 75% 100% 100%
DFA
International
Value
Portfolio
III........... 0% 0% 0% 0% 0% 0% 100% 100%
Tax-Managed
U.S.
Marketwide
Value
Portfolio
II............ 0% 0% 63% 0% 0% 63% 100% 100%
QUALIFYING
SHORT-
DIMENSIONAL U.S. FOREIGN FOREIGN QUALIFYING TERM
INVESTMENT GOVERNMENT TAX SOURCE INTEREST CAPITAL
GROUP INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
----------- ------------ ---------- ---------- ---------- ----------
U.S. Large
Cap Value
Portfolio
III........... 0% 0% 25% 0% 100%
DFA
International
Value
Portfolio
III........... 0% 0% 100% 0% 0%
Tax-Managed
U.S.
Marketwide
Value
Portfolio
II............ 0% 0% 37% 0% 0%
(1) Qualifying Dividends represents dividends that qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4) "Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5) "Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
73
LOGO DFA103118-008A
00218718
LOGO
Annual Report
YEAR ENDED: OCTOBER 31, 2018
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II
LOGO
December 2018
Dear Fellow Shareholder,
Since our founding in 1981, we have put clients at the center of everything we
do.
Our investment approach and philosophy are grounded in rigorous academic
research and robust implementation to help you target higher expected returns
in an ever-evolving marketplace. And our 38-year track record of outperforming
indices and competitors is a testament to our approach.
Our mission is to improve people's lives.
We recognize and appreciate the trust and responsibility you've placed in us to
manage your assets and we take that responsibility seriously. Our company
strives to act with integrity and provide excellent investment solutions for
clients.
On behalf of the more than 1,300 employees at Dimensional working in 13 cities
across nine countries, we appreciate the opportunity to serve you.
Sincerely,
LOGO LOGO
DAVID BUTLER GERARD O'REILLY
Co-Chief Executive Officer Co-Chief Executive Officer and
Chief Investment Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES....................... 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts............................................ 2
Management's Discussion and Analysis.......................... 3
Disclosure of Fund Expenses................................... 5
Disclosure of Portfolio Holdings.............................. 6
Schedule of Investments
Emerging Markets Portfolio II............................. 7
Statement of Assets and Liabilities........................... 8
Statement of Operations....................................... 9
Statements of Changes in Net Assets........................... 10
Financial Highlights.......................................... 11
Notes to Financial Statements................................. 12
Report of Independent Registered Public Accounting Firm....... 18
THE DFA INVESTMENT TRUST COMPANY
Performance Charts............................................ 19
Management's Discussion and Analysis.......................... 20
Disclosure of Fund Expenses................................... 22
Disclosure of Portfolio Holdings.............................. 23
Summary Schedule of Portfolio Holdings
The Emerging Markets Series............................... 24
Statement of Assets and Liabilities........................... 28
Statement of Operations....................................... 29
Statements of Changes in Net Assets........................... 30
Financial Highlights.......................................... 31
Notes to Financial Statements................................. 32
Report of Independent Registered Public Accounting Firm....... 41
FUND MANAGEMENT.................................................. 42
Board of Independent Directors or Trustees Table.............. 43
VOTING PROXIES ON FUND PORTFOLIO SECURITIES...................... 49
NOTICE TO SHAREHOLDERS........................................... 50
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULE OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
--------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
SA Special Assessment
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.
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).
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either
zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
(UNAUDITED)
EMERGING MARKETS PORTFOLIO II VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Emerging Markets MSCI Emerging Markets
Portfolio II Index (net dividends)
------------------ ---------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,094 9,247
12/31/2008 9,808 9,968
1/31/2009 9,051 9,325
2/28/2009 8,468 8,799
3/31/2009 9,683 10,063
4/30/2009 11,121 11,738
5/31/2009 13,017 13,743
6/30/2009 12,899 13,558
7/31/2009 14,379 15,083
8/31/2009 14,427 15,029
9/30/2009 15,699 16,393
10/31/2009 15,372 16,413
11/30/2009 16,289 17,118
12/31/2009 16,872 17,794
1/31/2010 15,959 16,802
2/28/2010 16,150 16,861
3/31/2010 17,495 18,222
4/30/2010 17,602 18,443
5/31/2010 15,966 16,821
6/30/2010 15,987 16,697
7/31/2010 17,396 18,088
8/31/2010 16,993 17,736
9/30/2010 18,926 19,707
10/31/2010 19,492 20,280
11/30/2010 19,053 19,744
12/31/2010 20,606 21,153
1/31/2011 20,071 20,579
2/28/2011 19,926 20,387
3/31/2011 21,033 21,586
4/30/2011 21,764 22,256
5/31/2011 21,163 21,672
6/30/2011 20,896 21,338
7/31/2011 20,729 21,244
8/31/2011 19,051 19,345
9/30/2011 16,171 16,525
10/31/2011 18,190 18,714
11/30/2011 17,560 17,466
12/31/2011 17,048 17,256
1/31/2012 18,873 19,213
2/29/2012 19,893 20,364
3/31/2012 19,372 19,684
4/30/2012 19,029 19,449
5/31/2012 16,973 17,268
6/30/2012 17,815 17,934
7/31/2012 17,957 18,284
8/31/2012 18,076 18,223
9/30/2012 19,081 19,323
10/31/2012 18,984 19,206
11/30/2012 19,230 19,450
12/31/2012 20,352 20,401
1/31/2013 20,458 20,682
2/28/2013 20,215 20,422
3/31/2013 19,926 20,070
4/30/2013 20,154 20,222
5/31/2013 19,492 19,703
6/30/2013 18,267 18,448
7/31/2013 18,534 18,641
8/31/2013 18,100 18,321
9/30/2013 19,386 19,512
10/31/2013 20,276 20,460
11/30/2013 19,972 20,161
12/31/2013 19,758 19,870
1/31/2014 18,390 18,580
2/28/2014 19,054 19,195
3/31/2014 19,726 19,784
4/30/2014 19,836 19,850
5/31/2014 20,508 20,543
6/30/2014 21,079 21,089
7/31/2014 21,329 21,497
8/31/2014 21,993 21,981
9/30/2014 20,375 20,352
10/31/2014 20,586 20,592
11/30/2014 20,383 20,374
12/31/2014 19,467 19,435
1/31/2015 19,596 19,552
2/28/2015 20,190 20,157
3/31/2015 19,764 19,870
4/30/2015 21,088 21,399
5/31/2015 20,238 20,542
6/30/2015 19,748 20,008
7/31/2015 18,480 18,621
8/31/2015 16,948 16,937
9/30/2015 16,498 16,428
10/31/2015 17,493 17,599
11/30/2015 16,883 16,913
12/31/2015 16,427 16,536
1/31/2016 15,738 15,463
2/29/2016 15,639 15,438
3/31/2016 17,704 17,481
4/30/2016 17,812 17,576
5/31/2016 17,115 16,920
6/30/2016 18,020 17,596
7/31/2016 18,949 18,482
8/31/2016 19,173 18,941
9/30/2016 19,422 19,185
10/31/2016 19,463 19,230
11/30/2016 18,451 18,345
12/31/2016 18,459 18,386
1/31/2017 19,555 19,392
2/28/2017 20,209 19,985
3/31/2017 20,863 20,490
4/30/2017 21,271 20,939
5/31/2017 21,908 21,558
6/30/2017 22,112 21,775
7/31/2017 23,276 23,073
8/31/2017 23,768 23,587
9/30/2017 23,539 23,493
10/31/2017 24,338 24,317
11/30/2017 24,414 24,366
12/31/2017 25,239 25,240
1/31/2018 27,146 27,344
2/28/2018 25,837 26,083
3/31/2018 25,716 25,598
4/30/2018 25,387 25,485
5/31/2018 24,390 24,582
6/30/2018 23,351 23,560
7/31/2018 24,200 24,078
8/31/2018 23,645 23,427
9/30/2018 23,359 23,303 Past performance is not predictive of
10/31/2018 21,410 21,273 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
-------------- ------ ----- ----- MSCI data copyright MSCI 2018, all
-12.03% 1.09% 7.91% rights reserved.
2
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Performance of non-U.S. developed markets was negative for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed both large-cap and small-cap stocks. Value stocks underperformed
growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index........................... -6.76%
MSCI World ex USA Mid Cap Index................... -8.02%
MSCI World ex USA Small Cap Index................. -7.75%
MSCI World ex USA Value Index..................... -7.54%
MSCI World ex USA Growth Index.................... -6.01%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against currencies of most other developed markets. Overall, currency movements
had a negative impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET LOCAL RETURN RETURN IN U.S. DOLLARS
CAP ------------ ----------------------
Japan............................................. -4.22% -3.56%
United Kingdom.................................... -0.91% -4.65%
France............................................ -4.30% -6.92%
Canada............................................ -4.08% -5.84%
Germany........................................... -12.26% -14.66%
Switzerland....................................... 0.19% -0.72%
Australia......................................... 2.96% -4.83%
Hong Kong......................................... -8.47% -8.88%
Netherlands....................................... -7.68% -9.99%
Spain............................................. -13.55% -15.92%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
Emerging markets had negative performance for the period, underperforming
both the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap
stocks, a subset of the large-cap universe, outperformed both large-cap and
small-cap stocks. Value stocks outperformed growth stocks as measured by the
MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index........... -12.52%
MSCI Emerging Markets Mid Cap Index... -11.85%
MSCI Emerging Markets Small Cap Index. -17.21%
MSCI Emerging Markets Value Index..... -8.27%
MSCI Emerging Markets Growth Index.... -16.70%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against most emerging markets currencies. Overall, currency movements had a
negative impact on the U.S. dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ ----------------------
China............................................. -16.33% -16.73%
Korea............................................. -18.52% -19.90%
3
Taiwan........................................................... -6.62% -8.98%
India............................................................ -0.01% -12.42%
Brazil........................................................... 18.95% 4.76%
South Africa..................................................... -13.80% -17.45%
Russia........................................................... 22.79% 10.69%
Mexico........................................................... -9.54% -14.55%
Thailand......................................................... 4.01% 4.23%
Malaysia......................................................... -0.18% 0.99%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2018,
these differences generally detracted from the Portfolios' relative performance.
EMERGING MARKETS PORTFOLIO II
The Emerging Markets II Portfolio is designed to capture the returns of
large-cap stocks in selected emerging markets countries by purchasing shares of
The Emerging Markets Series, a Master Fund managed by Dimensional that invests
in such securities. Value is measured primarily by book-to-market ratio. In
assessing profitability, Dimensional may consider such factors as earnings or
profits from operations relative to book value or assets. The investment
strategy is process driven, emphasizing broad diversification with increased
exposure to smaller total market capitalizations, lower relative price (value)
stocks, and higher-profitability stocks within the large-cap segment of
emerging markets. As of October 31, 2018, the Master Fund held approximately
1,200 securities across 21 eligible emerging markets. In general, average cash
exposure throughout the year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2018, total returns were -12.03% for the
Portfolio and -12.52% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was generally determined by broad trends in emerging
markets rather than by the behavior of a limited number of stocks. The Master
Fund's greater emphasis on low relative price (value) stocks had a positive
impact on performance relative to the benchmark, as value stocks outperformed
high relative price (growth) stocks in emerging markets for the period.
Additionally, the Master Fund's greater emphasis on stocks with higher
profitability benefited relative performance, as higher-profitability stocks
outperformed lower-profitability stocks in emerging markets.
4
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and 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" reflects
the dollar amount that would have been paid by an investor who started with
$1,000 in the fund. You may use the information here, together with the
amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500
account value divided by $1,000 = 7.5), then multiply the result by the
number given for your fund under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those of
other mutual funds. The hypothetical "Ending Account Value" and "Expenses
Paid During Period" are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. In this case, because the return
used is not the fund's actual return, the results do not apply to your
investment. The example is useful in making comparisons because the SEC
requires all mutual funds to calculate expenses based on a 5% annual return.
You can assess your fund's costs by comparing this hypothetical example with
the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
EMERGING MARKETS PORTFOLIO II(2)
--------------------------------
Actual Fund Return............... $1,000.00 $ 843.30 0.32% $1.49
Hypothetical 5% Annual Return.... $1,000.00 $1,023.59 0.32% $1.63
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2)The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
5
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 2018. They are available upon request, without charge,
by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting
the SEC's website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere in the report. Refer to the Summary Schedule of Portfolio
Holdings for the underlying Affiliated Investment Company's holdings, which
reflect the investments by category.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Emerging Markets Portfolio II..................... 100.0%
6
EMERGING MARKETS PORTFOLIO II
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
VALUE+
-----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Emerging Markets Series of The DFA Investment
Trust Company.................................................. $62,952,754
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES............. $62,952,754
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2018,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING
MARKETS
PORTFOLIO II
------------
ASSETS:
Investment in Affiliated Investment Company at Value...... $ 62,953
Receivables:
Prepaid Expenses and Other Assets......................... 10
------------
Total Assets....................................... 62,963
------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................... 81
Due to Advisor......................................... 9
Accrued Expenses and Other Liabilities.................... 11
------------
Total Liabilities.................................. 101
------------
NET ASSETS................................................ $ 62,862
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................... 2,543,937
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.. $ 24.71
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................... $ (8,255)
Total Distributable Earnings (Loss)....................... 71,117
------------
NET ASSETS................................................ $ 62,862
============
(1) NUMBER OF SHARES AUTHORIZED........................... 300,000,000
============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
EMERGING
MARKETS
PORTFOLIO II*#
--------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $252)................................................. $ 2,038
Income from Securities Lending.................................................................... 76
Expenses Allocated from Affiliated Investment Companies........................................... (111)
--------
Total Net Investment Income Allocated from Affiliated Investment Companies:................ 2,003
--------
FUND EXPENSES
Investment Management Fees........................................................................ 208
Accounting & Transfer Agent Fees.................................................................. 4
Filing Fees....................................................................................... 21
Shareholders' Reports............................................................................. 11
Legal Fees........................................................................................ 1
Other............................................................................................. 1
--------
Total Fund Expenses........................................................................ 246
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C). (83)
--------
Net Expenses...................................................................................... 163
--------
NET INVESTMENT INCOME (LOSS)...................................................................... 1,840
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company**................................... 3,529
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company..................................... (14,637)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................................... (11,108)
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................................... $ (9,268)
========
--------
** Net of foreign capital gain taxes withheld of $0.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS PORTFOLIO II
----------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................................... $ 1,840 $ 1,492
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company*,**.............. 3,529 1,433
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company.................. (14,637) 14,205
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations......... (9,268) 17,130
----------- -----------
Distributions:/^ /
Institutional Class Shares................................................. (1,653) (1,837)
----------- -----------
Total Distributions..................................................... (1,653) (1,837)
----------- -----------
Capital Share Transactions (1):
Shares Issued.................................................................. 12,281 17,147
Shares Issued in Lieu of Cash Distributions.................................... 1,651 1,837
Shares Redeemed................................................................ (23,448) (34,308)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions................. (9,516) (15,324)
----------- -----------
Total Increase (Decrease) in Net Assets................................. (20,437) (31)
NET ASSETS
Beginning of Year.............................................................. 83,299 83,330
----------- -----------
End of Year.................................................................... $ 62,862 $ 83,299
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................................................. 415 689
Shares Issued in Lieu of Cash Distributions.................................... 59 84
Shares Redeemed................................................................ (838) (1,417)
----------- -----------
Net Increase (Decrease) from Shares Issued and Redeemed................. (364) (644)
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note E in the Notes to
Financial Statements for more information regarding distributions and see
Note I in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO II
---------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- ---------
Net Asset Value, Beginning of Year.................................. $ 28.65 $ 23.46 $ 21.80 $ 26.34 $ 26.65
-------- -------- -------- -------- ---------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.63 0.49 0.48 0.53 0.59
Net Gains (Losses) on Securities (Realized and Unrealized)....... (4.01) 5.22 1.85 (4.45) (0.22)
-------- -------- -------- -------- ---------
Total from Investment Operations............................. (3.38) 5.71 2.33 (3.92) 0.37
-------- -------- -------- -------- ---------
Less Distributions:
-------------------
Net Investment Income............................................ (0.56) (0.52) (0.67) (0.62) (0.68)
Total Distributions.......................................... (0.56) (0.52) (0.67) (0.62) (0.68)
-------- -------- -------- -------- ---------
Net Asset Value, End of Year........................................ $ 24.71 $ 28.65 $ 23.46 $ 21.80 $ 26.34
======== ======== ======== ======== =========
Total Return........................................................ (12.03%) 25.04% 11.26% (15.02%) 1.53%
-------- -------- -------- -------- ---------
Net Assets, End of Year (thousands)................................. $ 62,862 $ 83,299 $ 83,330 $ 82,418 $ 104,987
Ratio of Expenses to Average Net Assets (B)......................... 0.34% 0.34% 0.34% 0.34% 0.34%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor) (B)...................................................... 0.44% 0.44% 0.44% 0.36% 0.34%
Ratio of Net Investment Income to Average Net Assets (B)............ 2.21% 1.95% 2.25% 2.18% 2.29%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twelve portfolios, one of
which, Emerging Markets Portfolio II (the "Portfolio"), is presented in this
report. The remaining portfolios are presented in separate reports. The
Portfolio is an investment company, and accordingly, follows the accounting and
reporting guidance under the Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC"), Topic 946, "Financial
Services-Investment Companies."
The Portfolio primarily invests its assets in The Emerging Markets Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. As
of October 31, 2018, the Portfolio owned 1% of its Series. The financial
statements of the Series are included elsewhere in this report and should be
read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
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 uses 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,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3--significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate 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: the 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
12
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.
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice, which date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolio recognizes its pro-rata share, on a daily basis, of
net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to the Portfolio
are directly charged. Common expenses of the Fund or the Portfolio are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
For the year ended October 31, 2018, the investment management fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
0.25% of average daily net assets for the Portfolio. Effective July 21, 2015,
the Advisor has contractually agreed to permanently waive all or a portion of
the management fee of the Portfolio to the extent necessary to limit the total
management fees paid to the Advisor by the Portfolio, including the
proportionate share of the management fees the Portfolio pays indirectly
through its investment in other funds managed by the Advisor, except for the
fees paid indirectly through its investment of securities lending cash
collateral in The DFA Short Term Investment Fund (the Money Market Series ), to
the rate listed below as a percentage of the average net assets of a class of
the Portfolio on an annualized basis. The Fee Waiver Agreement will remain in
effect permanently, unless terminated by the Fund.
During the year ended October 31, 2018, the Portfolio had a total management
fee limit based on percentage of average net assets on an annualized basis and
waived fees (amount in thousands) as reflected below.
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
TOTAL OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
MANAGEMENT WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES FEE LIMIT EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------------- ----------------- -----------------
Emerging Markets Portfolio II. 0.25% -- $83 --
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2018, the total related amounts paid by the Fund
to the CCO were $32 (in thousands). The total related amount paid by the
Portfolio is included in Other Expenses on the Statement of Operations.
13
D. DEFERRED COMPENSATION:
As of October 31, 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):
Emerging Markets Portfolio II..................... $6
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 2018, 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 accounts
mentioned above. These reclassifications had no effect on net assets or net
asset value per share.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
Emerging Markets Portfolio II
2017.......................... $1,837 -- -- $1,837
2018.......................... 1,653 -- -- 1,653
As of October 31, 2018, 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 APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES)
-------------- ------------- -------------- -------------
Emerging Markets Portfolio II........... $1,713 $3,118 $68,749 $73,580
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after October 31, 2011, will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. As of October 31, 2018, the Portfolio did not have any capital
loss carryforwards available to offset future realized capital gains.
Emerging Markets Portfolio II..................... $386
14
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------- ------------ -------------- --------------
Emerging Markets Portfolio II. $(5,796) $69,438 $(689) $68,749
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark-to-market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio.
1. FUTURES CONTRACTS: The Portfolio may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Portfolio. The Portfolio, however, does not intend to sell futures
contracts to establish short positions in individual securities. Upon entering
into a futures contract, the Portfolio deposits cash or pledges U.S. government
securities equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded to a broker. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Portfolio as unrealized gains
or losses until the contracts are closed. When the contracts are closed, the
Portfolio records a realized gain or loss, which is presented in the Statement
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolio could lose more than
the initial margin requirements. Entering into stock index futures subjects the
Portfolio to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
15
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 4, 2019.
There were no borrowings by the Portfolio under the lines of credit as of
October 31, 2018.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolio's early adoption of certain of the ASU
2018-13 disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Portfolio's financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Portfolio's adoption
of these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Portfolio's net assets or results of operations.
Comparable prior year information presented in the Statements of Changes in
Net Assets has been revised to reflect current disclosure requirements
prescribed by these amendments. Amounts originally presented as of October 31,
2017 are as follows:
DISTRIBUTIONS FROM:
---------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- -------
Emerging Markets Portfolio
II--Institutional Class............... $(1,837) -- -- $(1,837)
16
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
Emerging Markets Portfolio II......... $951
J. OTHER:
As of October 31, 2018, one shareholder held 100% of the outstanding shares
of the Portfolio. One or more of the shareholders may be omnibus accounts,
which typically hold shares for the benefit of several other underlying
investors.
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have 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.
K. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of Emerging Markets Portfolio II
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Emerging Markets Portfolio II (one of the
portfolios constituting Dimensional Investment Group Inc., hereafter referred
to as the "Portfolio") as of October 31, 2018, the related statement of
operations for the year ended October 31, 2018, the statement of changes in net
assets for each of the two years in the period ended October 31, 2018,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2018 (collectively referred to as the
"financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of the Portfolio as of
October 31, 2018, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period ended
October 31, 2018 and the financial highlights for each of the five years in the
period ended October 31, 2018 in conformity with accounting principles
generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on the Portfolio's
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
("PCAOB") and are required to be independent with respect to the Portfolio in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the transfer agent of the investee fund. We believe that
our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
18
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
(UNAUDITED)
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
The Emerging Markets Series MSCI Emerging Markets Index
(net dividends)
----------------------------- ---------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,096 9,247
12/31/2008 9,809 9,968
1/31/2009 9,057 9,325
2/28/2009 8,471 8,799
3/31/2009 9,694 10,063
4/30/2009 11,134 11,738
5/31/2009 13,032 13,743
6/30/2009 12,921 13,558
7/31/2009 14,403 15,083
8/31/2009 14,454 15,029
9/30/2009 15,732 16,393
10/31/2009 15,406 16,413
11/30/2009 16,327 17,118
12/31/2009 16,917 17,794
1/31/2010 15,996 16,802
2/28/2010 16,191 16,861
3/31/2010 17,550 18,222
4/30/2010 17,656 18,443
5/31/2010 16,017 16,821
6/30/2010 16,042 16,697
7/31/2010 17,456 18,088
8/31/2010 17,053 17,736
9/30/2010 18,994 19,707
10/31/2010 19,571 20,280
11/30/2010 19,134 19,744
12/31/2010 20,692 21,153
1/31/2011 20,157 20,579
2/28/2011 20,017 20,387
3/31/2011 21,134 21,586
4/30/2011 21,873 22,256
5/31/2011 21,270 21,672
6/30/2011 21,019 21,338
7/31/2011 20,858 21,244
8/31/2011 19,172 19,345
9/30/2011 16,272 16,525
10/31/2011 18,310 18,714
11/30/2011 17,677 17,466
12/31/2011 17,163 17,256
1/31/2012 19,002 19,213
2/29/2012 20,034 20,364
3/31/2012 19,516 19,684
4/30/2012 19,168 19,449
5/31/2012 17,104 17,268
6/30/2012 17,953 17,934
7/31/2012 18,098 18,284
8/31/2012 18,221 18,223
9/30/2012 19,240 19,323
10/31/2012 19,142 19,206
11/30/2012 19,393 19,450
12/31/2012 20,531 20,401
1/31/2013 20,637 20,682
2/28/2013 20,399 20,422
3/31/2013 20,110 20,070
4/30/2013 20,340 20,222
5/31/2013 19,682 19,703
6/30/2013 18,446 18,448
7/31/2013 18,718 18,641
8/31/2013 18,280 18,321
9/30/2013 19,584 19,512
10/31/2013 20,480 20,460
11/30/2013 20,174 20,161
12/31/2013 19,970 19,870
1/31/2014 18,586 18,580
2/28/2014 19,261 19,195
3/31/2014 19,941 19,784
4/30/2014 20,059 19,850
5/31/2014 20,743 20,543
6/30/2014 21,321 21,089
7/31/2014 21,575 21,497
8/31/2014 22,251 21,981
9/30/2014 20,616 20,352
10/31/2014 20,837 20,592
11/30/2014 20,637 20,374
12/31/2014 19,707 19,435
1/31/2015 19,839 19,552
2/28/2015 20,446 20,157
3/31/2015 20,021 19,870
4/30/2015 21,363 21,399
5/31/2015 20,505 20,542
6/30/2015 20,013 20,008
7/31/2015 18,730 18,621
8/31/2015 17,185 16,937
9/30/2015 16,726 16,428
10/31/2015 17,741 17,599
11/30/2015 17,125 16,913
12/31/2015 16,658 16,536
1/31/2016 15,962 15,463
2/29/2016 15,864 15,438
3/31/2016 17,966 17,481
4/30/2016 18,076 17,576
5/31/2016 17,376 16,920
6/30/2016 18,293 17,596
7/31/2016 19,236 18,482
8/31/2016 19,469 18,941
9/30/2016 19,728 19,185
10/31/2016 19,771 19,230
11/30/2016 18,747 18,345
12/31/2016 18,756 18,386
1/31/2017 19,877 19,392
2/28/2017 20,548 19,985
3/31/2017 21,210 20,490
4/30/2017 21,626 20,939
5/31/2017 22,276 21,558
6/30/2017 22,488 21,775
7/31/2017 23,677 23,073
8/31/2017 24,178 23,587
9/30/2017 23,949 23,493
10/31/2017 24,764 24,317
11/30/2017 24,845 24,366
12/31/2017 25,694 25,240
1/31/2018 27,639 27,344
2/28/2018 26,314 26,083
3/31/2018 26,191 25,598
4/30/2018 25,860 25,485
5/31/2018 24,849 24,582 Past performance is not predictive of
6/30/2018 23,792 23,560 future performance.
7/31/2018 24,658 24,078 The returns shown do not reflect the
8/31/2018 24,098 23,427 deduction of taxes that a shareholder
9/30/2018 23,813 23,303 would pay on fund distributions or the
10/31/2018 21,834 21,273 redemption of fund shares.
MSCI data copyright MSCI 2018, all
rights reserved.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
-------------- ------ ----- -----
-11.83% 1.29% 8.12%
19
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Performance of non-U.S. developed markets was negative for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed both large-cap and small-cap stocks. Value stocks underperformed
growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index................. -6.76%
MSCI World ex USA Mid Cap Index......... -8.02%
MSCI World ex USA Small Cap Index....... -7.75%
MSCI World ex USA Value Index........... -7.54%
MSCI World ex USA Growth Index.......... -6.01%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against currencies of most other developed markets. Overall, currency movements
had a negative impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET LOCAL RETURN RETURN IN U.S. DOLLARS
CAP ------------ ----------------------
Japan............................................. -4.22% -3.56%
United Kingdom.................................... -0.91% -4.65%
France............................................ -4.30% -6.92%
Canada............................................ -4.08% -5.84%
Germany........................................... -12.26% -14.66%
Switzerland....................................... 0.19% -0.72%
Australia......................................... 2.96% -4.83%
Hong Kong......................................... -8.47% -8.88%
Netherlands....................................... -7.68% -9.99%
Spain............................................. -13.55% -15.92%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
Emerging markets had negative performance for the period, underperforming
both the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap
stocks, a subset of the large-cap universe, outperformed both large-cap and
small-cap stocks. Value stocks outperformed growth stocks as measured by the
MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index............. -12.52%
MSCI Emerging Markets Mid Cap Index..... -11.85%
MSCI Emerging Markets Small Cap Index... -17.21%
MSCI Emerging Markets Value Index....... -8.27%
MSCI Emerging Markets Growth Index...... -16.70%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against most emerging markets currencies. Overall, currency movements had a
negative impact on the U.S. dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ ----------------------
China............................................. -16.33% -16.73%
20
Korea............................................................ -18.52% -19.90%
Taiwan........................................................... -6.62% -8.98%
India............................................................ -0.01% -12.42%
Brazil........................................................... 18.95% 4.76%
South Africa..................................................... -13.80% -17.45%
Russia........................................................... 22.79% 10.69%
Mexico........................................................... -9.54% -14.55%
Thailand......................................................... 4.01% 4.23%
Malaysia......................................................... -0.18% 0.99%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2018,
these differences generally detracted from the Portfolios' relative performance.
THE EMERGING MARKETS SERIES
The Emerging Markets Series is designed to capture the returns of large-cap
stocks in selected emerging markets countries. Value is measured primarily by
book-to-market ratio. In assessing profitability, Dimensional may consider such
factors as earnings or profits from operations relative to book value or
assets. The investment strategy is process driven, emphasizing broad
diversification with increased exposure to smaller total market
capitalizations, lower relative price (value) stocks, and higher-profitability
stocks within the large-cap segment of emerging markets. As of October 31,
2018, the Series held approximately 1,200 securities across 21 eligible
emerging markets. In general, average cash exposure throughout the year was
less than 1% of the Series' assets.
For the 12 months ended October 31, 2018, total returns were -11.83% for the
Series and -12.52% for the MSCI Emerging Markets Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Series' greater
emphasis on low relative price (value) stocks had a positive impact on
performance relative to the benchmark, as value stocks outperformed high
relative price (growth) stocks in emerging markets for the period.
Additionally, the Series' greater emphasis on stocks with higher profitability
benefited relative performance, as higher-profitability stocks outperformed
lower-profitability stocks in emerging markets.
21
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and 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" reflects
the dollar amount that would have been paid by an investor who started with
$1,000 in the fund. You may use the information here, together with the
amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500
account value divided by $1,000 = 7.5), then multiply the result by the
number given for your fund under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those of
other mutual funds. The hypothetical "Ending Account Value" and "Expenses
Paid During Period" are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. In this case, because the return
used is not the fund's actual return, the results do not apply to your
investment. The example is useful in making comparisons because the SEC
requires all mutual funds to calculate expenses based on a 5% annual return.
You can assess your fund's costs by comparing this hypothetical example with
the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return...................... $1,000.00 $ 844.30 0.12% $0.56
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
22
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 28, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400; by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX
78746; or by visiting the SEC's website at http://www.sec.gov.
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; by mailing a request to Dimensional Fund Advisors LP,
6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC's
website at http://www.sec.gov.
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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
INTERNATIONAL EQUITY PORTFOLIOS
THE EMERGING MARKETS SERIES
Communication Services.................. 9.9%
Consumer Discretionary.................. 8.5%
Consumer Staples........................ 8.0%
Energy.................................. 8.2%
Financials.............................. 22.1%
Health Care............................. 2.5%
Industrials............................. 7.1%
Information Technology.................. 17.9%
Materials............................... 10.7%
Real Estate............................. 2.2%
Utilities............................... 2.9%
-----
100.0%
23
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2018
PERCENTAGE
SHARES VALUE>> OF NET ASSETS++
---------- ------------ ---------------
COMMON STOCKS -- (95.4%)
BRAZIL -- (6.4%)
Ambev SA, ADR........................... 5,984,451 $ 25,912,673 0.5%
Petroleo Brasileiro SA.................. 2,706,971 22,054,376 0.4%
Petroleo Brasileiro SA, Sponsored ADR... 1,299,604 19,260,131 0.4%
Vale SA................................. 3,260,013 49,677,633 0.9%
Vale SA, Sponsored ADR.................. 1,665,739 25,152,651 0.5%
Other Securities........................ 214,228,664 3.8%
------------ ----
TOTAL BRAZIL................................. 356,286,128 6.5%
------------ ----
CHILE -- (1.3%)
Other Securities........................ 72,439,006 1.3%
------------ ----
CHINA -- (16.5%)
* Alibaba Group Holding, Ltd., Sponsored
ADR..................................... 527,081 74,993,085 1.4%
* Baidu, Inc., Sponsored ADR.............. 106,675 20,274,650 0.4%
China Construction Bank Corp., Class H.. 41,584,590 32,999,317 0.6%
China Mobile, Ltd., Sponsored ADR....... 902,501 42,011,422 0.8%
CNOOC, Ltd., Sponsored ADR.............. 104,426 17,674,100 0.3%
Industrial & Commercial Bank of China,
Ltd., Class H........................... 43,840,185 29,744,363 0.5%
Ping An Insurance Group Co. of China,
Ltd., Class H........................... 3,690,000 34,885,363 0.6%
Tencent Holdings, Ltd................... 3,704,000 126,896,300 2.3%
Other Securities........................ 531,044,601 9.7%
------------ ----
TOTAL CHINA.................................. 910,523,201 16.6%
------------ ----
COLOMBIA -- (0.4%)
Other Securities........................ 24,550,668 0.5%
------------ ----
CZECH REPUBLIC -- (0.2%)
Other Securities........................ 10,527,316 0.2%
------------ ----
EGYPT -- (0.1%)
Other Securities........................ 6,642,640 0.1%
------------ ----
GREECE -- (0.3%)
Other Securities........................ 13,595,686 0.3%
------------ ----
HUNGARY -- (0.5%)
Other Securities........................ 25,919,646 0.5%
------------ ----
INDIA -- (12.5%)
HDFC Bank, Ltd.......................... 1,383,984 35,827,777 0.7%
Hindustan Unilever, Ltd................. 992,915 21,735,775 0.4%
Housing Development Finance Corp., Ltd.. 1,388,536 33,180,190 0.6%
Infosys, Ltd............................ 3,610,458 33,342,563 0.6%
Infosys, Ltd., Sponsored ADR............ 1,695,776 16,058,999 0.3%
ITC, Ltd................................ 4,651,620 17,551,954 0.3%
Reliance Industries, Ltd................ 3,145,620 45,029,598 0.8%
Tata Consultancy Services, Ltd.......... 1,381,009 36,137,448 0.7%
Other Securities........................ 451,573,426 8.2%
------------ ----
TOTAL INDIA.................................. 690,437,730 12.6%
------------ ----
24
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
INDONESIA -- (2.5%)
Other Securities....................................... $139,829,513 2.6%
------------ ----
MALAYSIA -- (3.2%)
Public Bank Bhd........................................ 3,656,014 21,506,227 0.4%
Other Securities....................................... 153,972,522 2.8%
------------ ----
TOTAL MALAYSIA............................................. 175,478,749 3.2%
------------ ----
MEXICO -- (3.7%)
# America Movil S.A.B. de C.V............................ 48,207,854 34,862,633 0.6%
Wal-Mart de Mexico S.A.B. de C.V....................... 7,198,435 18,406,051 0.3%
Other Securities....................................... 151,500,631 2.8%
------------ ----
TOTAL MEXICO............................................... 204,769,315 3.7%
------------ ----
PERU -- (0.3%)
Other Securities....................................... 18,255,413 0.3%
------------ ----
PHILIPPINES -- (1.4%)
Other Securities....................................... 75,206,261 1.4%
------------ ----
POLAND -- (1.6%)
Other Securities....................................... 88,729,398 1.6%
------------ ----
RUSSIA -- (1.8%)
Sberbank of Russia PJSC, Sponsored ADR................. 1,818,206 21,393,792 0.4%
Other Securities....................................... 78,634,155 1.4%
------------ ----
TOTAL RUSSIA............................................... 100,027,947 1.8%
------------ ----
SOUTH AFRICA -- (7.0%)
Absa Group, Ltd........................................ 2,001,955 20,228,326 0.4%
FirstRand, Ltd......................................... 4,821,116 21,057,002 0.4%
MTN Group, Ltd......................................... 3,510,155 20,383,222 0.4%
Naspers, Ltd., Class N................................. 314,943 55,241,268 1.0%
# Sasol, Ltd., Sponsored ADR............................. 771,710 25,096,009 0.5%
Standard Bank Group, Ltd............................... 2,064,368 22,871,578 0.4%
Other Securities....................................... 223,029,259 4.0%
------------ ----
TOTAL SOUTH AFRICA......................................... 387,906,664 7.1%
------------ ----
SOUTH KOREA -- (16.2%)
Hana Financial Group, Inc.............................. 480,370 16,181,560 0.3%
NAVER Corp............................................. 188,950 19,028,084 0.4%
POSCO.................................................. 70,065 16,037,381 0.3%
Samsung Electronics Co., Ltd........................... 4,912,950 183,920,164 3.4%
Samsung Electronics Co., Ltd., GDR..................... 52,509 49,046,747 0.9%
SK Hynix, Inc.......................................... 821,484 49,474,161 0.9%
SK Innovation Co., Ltd................................. 95,381 17,900,149 0.3%
Other Securities....................................... 543,278,065 9.9%
------------ ----
TOTAL SOUTH KOREA.......................................... 894,866,311 16.4%
------------ ----
TAIWAN -- (15.0%)
Hon Hai Precision Industry Co., Ltd.................... 10,525,322 26,792,716 0.5%
Taiwan Semiconductor Manufacturing Co., Ltd............ 23,066,808 173,171,342 3.2%
25
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR. 1,815,491 $ 69,170,207 1.3%
Uni-President Enterprises Corp.............................. 6,976,033 16,908,873 0.3%
Other Securities............................................ 544,094,745 9.9%
-------------- -----
TOTAL TAIWAN...................................................... 830,137,883 15.2%
-------------- -----
THAILAND -- (3.5%)
PTT PCL..................................................... 16,434,000 25,283,077 0.5%
Other Securities............................................ 167,457,103 3.0%
-------------- -----
TOTAL THAILAND.................................................... 192,740,180 3.5%
-------------- -----
TURKEY -- (1.0%)
Other Securities............................................ 52,541,121 1.0%
-------------- -----
TOTAL COMMON STOCKS............................................... 5,271,410,776 96.4%
-------------- -----
PREFERRED STOCKS -- (2.2%)
BRAZIL -- (2.1%)
Banco Bradesco SA........................................... 1,913,426 17,635,500 0.3%
Itau Unibanco Holding SA.................................... 4,000,827 52,946,589 1.0%
Petroleo Brasileiro SA...................................... 2,860,161 21,227,367 0.4%
Other Securities............................................ 23,947,297 0.4%
-------------- -----
TOTAL BRAZIL...................................................... 115,756,753 2.1%
-------------- -----
CHILE -- (0.0%)
Other Security.............................................. 1,222,655 0.0%
-------------- -----
COLOMBIA -- (0.1%)
Other Securities............................................ 4,687,762 0.1%
-------------- -----
TOTAL PREFERRED STOCKS............................................ 121,667,170 2.2%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................ 64,532 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES....................................... 5,393,142,478
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.4%)
@(S) DFA Short Term Investment Fund.............................. 11,686,417 135,211,841 2.5%
-------------- -----
TOTAL INVESTMENTS--(100.0%) (Cost $4,213,118,395)................. $5,528,354,319 101.1%
============== =====
As of October 31, 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 12/21/18 $33,568,522 $31,092,750 $(2,475,772)
26
THE EMERGING MARKETS SERIES
CONTINUED
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
S&P 500(R) Emini Index.................... 148 12/21/18 $20,291,986 $20,062,140 $ (229,846)
----------- ----------- -----------
TOTAL FUTURES CONTRACTS................... $53,860,508 $51,154,890 $(2,705,618)
=========== =========== ===========
Summary of the Series' investments as of October 31, 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................................. $ 356,286,128 -- -- $ 356,286,128
Chile.................................. 35,231,301 $ 37,207,705 -- 72,439,006
China.................................. 235,305,225 675,217,976 -- 910,523,201
Colombia............................... 24,550,668 -- -- 24,550,668
Czech Republic......................... -- 10,527,316 -- 10,527,316
Egypt.................................. 525,244 6,117,396 -- 6,642,640
Greece................................. -- 13,595,686 -- 13,595,686
Hungary................................ -- 25,919,646 -- 25,919,646
India.................................. 31,299,929 659,137,801 -- 690,437,730
Indonesia.............................. 5,243,380 134,586,133 -- 139,829,513
Malaysia............................... -- 175,478,749 -- 175,478,749
Mexico................................. 204,769,315 -- -- 204,769,315
Peru................................... 18,255,413 -- -- 18,255,413
Philippines............................ 1,930,141 73,276,120 -- 75,206,261
Poland................................. -- 88,729,398 -- 88,729,398
Russia................................. 14,273,976 85,753,971 -- 100,027,947
South Africa........................... 49,660,256 338,246,408 -- 387,906,664
South Korea............................ 20,763,847 874,102,464 -- 894,866,311
Taiwan................................. 79,974,202 750,163,681 -- 830,137,883
Thailand............................... 192,740,180 -- -- 192,740,180
Turkey................................. 381,004 52,160,117 -- 52,541,121
Preferred Stocks
Brazil................................. 115,756,753 -- -- 115,756,753
Chile.................................. -- 1,222,655 -- 1,222,655
Colombia............................... 4,687,762 -- -- 4,687,762
Rights/Warrants
Chile.................................. -- 18,544 -- 18,544
Taiwan................................. -- 38,776 -- 38,776
Thailand............................... -- 7,212 -- 7,212
Securities Lending Collateral............. -- 135,211,841 -- 135,211,841
Futures Contracts**....................... (2,705,618) -- -- (2,705,618)
-------------- -------------- ------ --------------
TOTAL..................................... $1,388,929,106 $4,136,719,595 -- $5,525,648,701
============== ============== ====== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS
SERIES*
------------
ASSETS:
Investments at Value (including $230,914 of securities on loan, respectively).................. $5,393,142
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $135,201). 135,212
Segregated Cash for Futures Contracts.......................................................... 2,578
Foreign Currencies at Value.................................................................... 27,579
Cash........................................................................................... 51,986
Receivables:
Dividends, Interest and Tax Reclaims........................................................ 5,006
Securities Lending Income................................................................... 406
Futures Margin Variation.................................................................... 549
----------
Total Assets............................................................................ 5,616,458
----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................................ 135,214
Investment Securities Purchased............................................................. 10,731
Due to Advisor.............................................................................. 472
Accrued Expenses and Other Liabilities......................................................... 392
----------
Total Liabilities....................................................................... 146,809
----------
NET ASSETS..................................................................................... $5,469,649
==========
Investments at Cost............................................................................ $4,077,917
==========
Foreign Currencies at Cost..................................................................... $ 27,762
==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS
SERIES#
------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $19,000).......... $ 152,477
Income from Securities Lending................................ 5,675
---------
Total Investment Income................................ 158,152
---------
EXPENSES
Investment Management Fees.................................... 6,237
Accounting & Transfer Agent Fees.............................. 261
Custodian Fees................................................ 1,790
Directors'/Trustees' Fees & Expenses.......................... 28
Professional Fees............................................. 305
Other......................................................... 192
---------
Total Expenses......................................... 8,813
---------
Fees Paid Indirectly (Note C)................................. (554)
---------
Net Expenses.................................................. 8,259
---------
NET INVESTMENT INCOME (LOSS).................................. 149,893
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.............................. 83,224
Affiliated Investment Companies Shares Sold............... (12)
Futures................................................... (2,079)
Foreign Currency Transactions............................. (1,530)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (948,414)
Affiliated Investment Companies Shares.................... 7
Futures................................................... (3,369)
Translation of Foreign Currency Denominated Amounts....... (32)
---------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... (872,205)
---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.. $(722,312)
=========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
29
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE EMERGING MARKETS
SERIES
-----------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2018 2017
----------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 149,893 $ 128,502
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/.......................................... 83,224 (7,795)
Affiliated Investment Companies Shares Sold............................... (12) (8)
Futures................................................................... (2,079) 8,355
Foreign Currency Transactions............................................. (1,530) (35)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................ (948,414) 1,213,036
Affiliated Investment Companies Shares.................................... 7 (19)
Futures................................................................... (3,369) 929
Translation of Foreign Currency Denominated Amounts....................... (32) (69)
----------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations........ (722,312) 1,342,896
----------- ----------
Transactions in Interest:
Contributions................................................................. 667,220 738,457
Withdrawals................................................................... (1,198,466) (355,877)
----------- ----------
Net Increase (Decrease) from Transactions in Interest.................. (531,246) 382,580
----------- ----------
Total Increase (Decrease) in Net Assets................................ (1,253,558) 1,725,476
NET ASSETS
Beginning of Year............................................................. 6,723,207 4,997,731
----------- ----------
End of Year................................................................... $ 5,469,649 $6,723,207
=========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0
See accompanying Notes to Financial Statements.
30
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE EMERGING MARKETS SERIES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Total Return................................................. (11.83%) 25.26% 11.44% (14.86%) 1.74%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).......................... $5,469,649 $6,723,207 $4,997,731 $4,403,555 $4,185,451
Ratio of Expenses to Average Net Assets...................... 0.14% 0.15% 0.15% 0.16% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................ 0.14% 0.15% 0.15% 0.16% 0.15%
Ratio of Net Investment Income to Average Net Assets......... 2.40% 2.23% 2.45% 2.39% 2.51%
Portfolio Turnover Rate...................................... 12% 8% 5% 9% 5%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
31
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, one of which, The Emerging
Markets Series (the "Series"), is presented in this report. The remaining
portfolios are presented in separate reports. The Series is an investment
company, and accordingly, follows the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
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 uses 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,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series values the securities within the range of the
most recent quoted bid and ask prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The Series will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time at which the net asset
value of the Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the pricing of the
Series prices its shares at the close of the NYSE, the Series will fair value
its foreign
32
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Series' foreign investments since the
last calculated closing prices of the foreign investments on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the Series uses data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Series uses fair value
pricing, the values assigned to the foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the 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 methodology or inputs used for valuing securities are
not necessarily an indication of the risk associated with investing in those
securities.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities
of the Series whose values are initially expressed in foreign currencies are
translated to U.S. dollars using the mean between the most recent bid and ask
prices for the U.S. dollar as quoted by generally recognized reliable sources.
Dividend and interest income and certain expenses are translated to U.S.
dollars at the rate of exchange on their respective accrual dates. Receivables
and payables denominated in foreign currencies are marked-to-market daily based
on daily exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement.
The Series does not isolate the effect of foreign currency rate fluctuations
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 of
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Series
and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Trustee of the Trust may elect
to participate 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: the 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.
The Trustees may receive their distributions of proceeds by 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
33
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 2018, none of the Trustees have requested or received
a distribution of proceeds of a deferred fee account.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Series estimates the character of
received distributions 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,
using the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board, generally based on average net
assets.
The Series may be subject to taxes imposed by countries in which it invests,
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. Additionally, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series is subject to tax on short-term capital gains
for investments in India. Such taxes are accrued on a daily basis and due upon
sale of individual securities.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 2018, investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.10% average daily net assets for the Series.
EARNED INCOME CREDIT:
Additionally, the Series has entered into arrangements with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of its custody expenses. Custody expense in the accompanying financial
statements is presented before reduction for credits. The impact of such
credits is generally less than one basis point of each Series' net assets.
During the year ended October 31, 2018, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The Emerging Markets Series............................ $554
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended October 31, 2018, the total related amounts paid by the Trust to
the CCO were $87 (in thousands). The total related amount paid by the Series is
included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
As of October 31, 2018, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities on the Statement
of Assets and Liabilities as follows (amounts in thousands):
The Emerging Markets Series............................ $154
34
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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):
OTHER INVESTMENT SECURITIES
----------------------------
PURCHASES SALES
----------- -------------
The Emerging Markets Series............. $745,874 $1,110,431
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
NET CHANGE IN
REALIZED UNREALIZED SHARES AS OF
BALANCE PURCHASES PROCEEDS GAIN/ (LOSS) APPRECIATION/ BALANCE AT OCTOBER 31, DIVIDEND CAPITAL GAIN
AT 10/31/17 AT COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2018 2018 INCOME DISTRIBUTIONS
----------- ---------- ---------- ------------ ------------- ---------------- ------------ -------- -------------
THE
EMERGING
MARKETS
SERIES
The DFA
Short Term
Investment
Fund....... $202,669 $1,518,860 $1,586,312 $(12) $7 $135,212 11,686 $4,144 --
-------- ---------- ---------- ---- -- -------- ------ ------ --------
TOTAL $202,669 $1,518,860 $1,586,312 $(12) $7 $135,212 11,686 $4,144 --
======== ========== ========== ==== == ======== ====== ====== ========
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to its partners.
As of October 31, 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
42TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
The Emerging Markets Series............. $4,213,118 $1,784,917 $(472,387) $1,312,530
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in the Series' financial statements. The Series is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
35
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objective and policies, the Series
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The Series may acquire and sell forward
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge the Series' currency exposure with respect to a foreign market will be
based primarily on the Series' existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the Series
as an unrealized gain or loss, which is presented in the Statement of
Operations as the change in unrealized appreciation or depreciation from
translation of foreign-currency-denominated amounts. When the contract is
closed or offset with the same counterparty, the Series records a realized gain
or loss equal to the change in the value of the contract when it was opened and
the value at the time it was closed or offset. This is presented in the
Statement of Operations as a net realized gain or loss on foreign currency
transactions. Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of foreign currency relative to the
U.S. dollar.
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts and
options on futures contracts for equity securities and indices to adjust market
exposure based on actual or expected cash inflows to or outflows from the
Series. The Series, however, does not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. government
securities equal to the minimum "initial margin" requirements of the exchange
on which the contract is traded to a broker. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series records a realized gain or loss, which is presented in the Statement of
Operations as a net realized gain or loss on futures, equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. Entering into stock index futures subjects the
Series to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2018 (amounts in thousands):
FUTURES
-------
The Emerging Markets Series............. $44,889
36
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2018 (amounts in
thousands):
LIABILITY DERIVATIVES VALUE
------------------------------
TOTAL VALUE AT EQUITY
OCTOBER 31, 2018 CONTRACTS*,(1)
---------------- --------------
The Emerging Markets Series............. $(2,706) $(2,706)
(1)Presented on Statements of Assets and Liabilities as Payables: Futures
Margin Variation.
* 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 realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for year ended October 31, 2018 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------
EQUITY
TOTAL CONTRACTS (1)
------- -------------
The Emerging Markets Series....................... $(2,079) $(2,079)
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
--------------------------------
EQUITY
TOTAL CONTRACTS (2)
--------- -----------------
The Emerging Markets Series....................... $(3,369) $(3,369)
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(2)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
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.
37
For the year ended October 31, 2018, borrowings by the Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The Emerging Markets Series... 2.21% $20,086 11 $12 $117,083
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2018, that the Series' available line
of credit was used.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 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.
lnterfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not use the interfund lending program during the year ended
October 31, 2018.
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 year ended October 31, 2018, cross trades by the Series under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------ --------------------
The Emerging Markets Series... $6,305 $2,737 $(757)
J. SECURITIES LENDING:
As of October 31, 2018, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. The non-cash
collateral includes short-and/or long-term U.S. Treasuries and U.S. government
agency securities as follows (amounts in thousands):
MARKET
VALUE
--------
The Emerging Markets Series....................... $109,544
38
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and 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 with securities on
loan will generally invest the cash collateral received for the loaned
securities in the Money Market Series, an affiliated registered money market
fund advised by the Advisor for which the Advisor receives a management fee of
0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with 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 or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities.
Additionally, 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 for
taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2018
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS THE EMERGING MARKETS SERIES
Common Stocks............................................ $135,211,841 -- -- -- $135,211,841
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
39
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.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Series' early adoption of certain of the ASU 2018-13
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Series' financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Series' adoption of
these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Series' net assets or results of operations.
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 (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 Series
through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
40
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The Emerging Markets Series
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of The Emerging Markets Series (one
of the series constituting The DFA Investment Trust Company, hereafter referred
to as the "Series") as of October 31, 2018, the related statement of operations
for the year ended October 31, 2018, the statement of changes in net assets for
each of the two years in the period ended October 31, 2018, including the
related notes, and the financial highlights for each of the five years in the
period ended October 31, 2018 (collectively referred to as the "financial
statements"). In our opinion, the financial statements present fairly, in all
material respects, the financial position of the Series as of October 31, 2018,
the results of its operations for the year then ended, the changes in its net
assets for each of the two years in the period ended October 31, 2018 and the
financial highlights for each of the five years in the period ended October 31,
2018 in conformity with accounting principles generally accepted in the United
States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Series' management.
Our responsibility is to express an opinion on the Series' financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) ("PCAOB") and are required
to be independent with respect to the Series in accordance with the U.S.
federal securities laws and the applicable rules and regulations of the
Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
41
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were two
Audit Committee meetings held during the fiscal year ended October 31, 2018.
Each Board's Nominating Committee is composed of George M. Constantinides,
Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J. Smith. Each
member of the Nominating Committee is a disinterested Trustee/Director. The
Nominating Committee for each Board makes recommendations for nominations of
disinterested and interested members on the Board to the full Board. The
Nominating Committee evaluates a candidate's qualification for Board membership
and the independence of such candidate from the Advisor and other principal
service providers. The Nominating Committee met two times during the fiscal
year ended October 31, 2018.
Each Board's Strategy Committee is composed of Douglas W. Diamond, Edward P.
Lazear, and Myron S. Scholes. Each member of the Strategy Committee is a
disinterested Trustee/Director. The Strategy Committee assists the Board in
carrying out its fiduciary duties with respect to the oversight of the Fund and
its performance. At the request of the Board or the Advisor, the Strategy
Committee may (i) review the design of possible new series of the Fund,
(ii) review performance of existing portfolios of the Fund and discuss and
recommend possible enhancements to the portfolios' investment strategies,
(iii) review proposals by the Advisor to modify or enhance the investment
strategies or policies of each portfolio, and (iv) consider issues relating to
investment services for each portfolio of the Fund. There were four Strategy
Committee meetings held during the fiscal year ended October 31, 2018.
Certain biographical information for each disinterested Trustee/Director and
interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a Director or Trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746. Prospectuses
are also available at http://us.dimensional.com.
42
DISINTERESTED TRUSTEE/DIRECTORS
TERM OF PORTFOLIOS WITHIN
OFFICE/1/ AND THE DFA FUND
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN
----------------- ------------ ----------- ----------------------------------- ------------------
George M. Constantinides Director of DFADIG- Leo Melamed Professor of 128 portfolios in
University of Chicago DFAIDG Since 1983 Finance, University of Chicago 4 investment
Booth School of Business and DIG DIG- Booth School of Business (since companies
5807 S. Woodlawn Avenue Trustee of Since 1993 1978).
Chicago, IL 60637 DFAITC DFAITC-
1947 and DEM Since 1992
DEM-
Since 1993
Douglas W. Diamond Director of DFADIG- Merton H. Miller Distinguished 128 portfolios in
University of Chicago DFAIDG Since June Service Professor of Finance, 4 investment
Booth School of Business and DIG 2017 DIG- University of Chicago Booth companies
5807 S. Woodlawn Avenue Trustee of Since June School of Business (since 1988).
Chicago, IL 60637 DFAITC 2017 Visiting Scholar, Federal Reserve
1953 and DEM DFAITC- Bank of Richmond (since 1990).
Since June Formerly, Fischer Black Visiting
2017 Professor of Financial Economics,
DEM- Alfred P. Sloan School of
Since June Management, Massachusetts
2017 Institute of Technology (2015 to
2016).
Roger G. Ibbotson Yale Director of DFADIG- Professor in Practice Emeritus of 128 portfolios in
School of Management DFAIDG Since 1981 Finance, Yale School of 4 investment
P.O. Box 208200 New and DIG DIG- Management (since 1984). companies
Haven, CT 06520- 8200 Trustee of Since 1993 Chairman, CIO and Partner, Zebra
1943 DFAITC DFAITC- Capital Management, LLC (hedge
and DEM Since 1992 fund and asset manager) (since
DEM- 2001). Formerly, Consultant to
Since 1993 Morningstar, Inc. (2006--2016).
Edward P. Lazear Stanford Director of DFADIG- Distinguished Visiting Fellow, 128 portfolios in
University Graduate DFAIDG Since 2010 Becker Friedman Institute for 4 investment
School of Business Knight and DIG DIG- Research in Economics, University companies
Management Center, E346 Trustee of Since 2010 of Chicago (since 2015). Morris
Stanford, CA 94305 DFAITC DFAITC- Arnold Cox Senior Fellow, Hoover
1948 and DEM Since 2010 Institution (since 2002). Jack
DEM- Steele Parker Professor of Human
Since 2010 Resources Management and
Economics, Graduate School of
Business, Stanford University
(since 1995). Cornerstone Research
(expert testimony and economic
and financial analysis) (since
2009).
Myron S. Scholes c/o Director of DFADIG- Chief Investment Strategist, Janus 128 portfolios in
Dimensional Fund DFAIDG Since 1981 Henderson Investors (since 2014). 4 investment
Advisors LP 6300 Bee and DIG DIG- Frank E. Buck Professor of companies
Cave Road, Building One Trustee of Since 1993 Finance, Emeritus, Graduate
Austin, TX 78746 DFAITC DFAITC- School of Business, Stanford
1941 and DEM Since 1992 University (since 1981).
DEM-
Since 1993
OTHER DIRECTORSHIPS
OF PUBLIC COMPANIES
NAME, ADDRESS AND HELD DURING
YEAR OF BIRTH PAST 5 YEARS
----------------- --------------------
George M. Constantinides None
University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
Douglas W. Diamond None
University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1953
Roger G. Ibbotson Yale None
School of Management
P.O. Box 208200 New
Haven, CT 06520- 8200
1943
Edward P. Lazear Stanford None
University Graduate
School of Business Knight
Management Center, E346
Stanford, CA 94305
1948
Myron S. Scholes c/o Formerly, Adviser,
Dimensional Fund Kuapay, Inc. (2013-
Advisors LP 6300 Bee 2014). Formerly,
Cave Road, Building One Director, American
Austin, TX 78746 Century Fund
1941 Complex
(registered
investment
companies) (43
Portfolios) (1980-
2014).
43
TERM OF PORTFOLIOS WITHIN
OFFICE/1/ AND THE DFA FUND
NAME, ADDRESS AND LENGTH OF COMPLEX/2/
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN
----------------- ------------ ----------- ---------------------------------------- ------------------
Abbie J. Smith University Director of DFADIG- Boris and Irene Stern 128 portfolios in
of Chicago Booth School DFAIDG Since 2000 Distinguished Service Professor 4 investment
of Business and DIG DIG- of Accounting, University of companies
5807 S. Woodlawn Avenue Trustee of Since 2000 Chicago Booth School of
Chicago, IL 60637 DFAITC DFAITC- Business (since 1980).
1953 and DEM Since 2000
DEM-
Since 2000
OTHER DIRECTORSHIPS
OF PUBLIC COMPANIES HELD
NAME, ADDRESS AND DURING
YEAR OF BIRTH PAST 5 YEARS
----------------- -------------------------
Abbie J. Smith University Director (since 2000)
of Chicago Booth School and formerly, Lead
of Business Director (May 2014 -
5807 S. Woodlawn Avenue May 2017), HNI
Chicago, IL 60637 Corporation (formerly
1953 known as HON
Industries Inc.) (office
furniture); Director,
Ryder System Inc.
(transportation,
logistics and supply-
chain management)
(since 2003); and
Trustee, UBS Funds (3
investment companies
within the fund
complex) (21
portfolios) (since
2009).
INTERESTED TRUSTEE/DIRECTOR*
TERM OF PORTFOLIOS WITHIN
OFFICE/1/ AND THE DFA FUND
NAME, ADDRESS AND LENGTH OF COMPLEX/2/
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN
----------------- ------------ ----------- ------------------------------------------- ------------------
David G. Booth Chairman DFADIG- Chairman, Director/Trustee, and formerly, 128 portfolios in
6300 Bee Cave Road, and Since 1981 President and Co-Chief Executive Officer 4 investment
Building One Austin, Director of DIG- Since (each until March 2017) of Dimensional companies
TX 78746 DFAIDG 1992 Emerging Markets Value Fund ("DEM"),
1946 and DIG DFAITC- DFAIDG, Dimensional Investment Group
Trustee of Since 1992 Inc. ("DIG") and The DFA Investment
DFAITC DEM- Trust Company ("DFAITC"). Executive
and DEM Since 1993 Chairman, and formerly, President and
Co-Chief Executive Officer (each until
February 2017) of Dimensional Holdings
Inc., Dimensional Fund Advisors LP and
DFA Securities LLC (collectively with
DEM, DFAIDG, DIG and DFAITC, the
"DFA Entities"). Formerly, Chairman and
Director (2009-2018), Co-Chief Executive
Officer (2010 - June 2017) of Dimensional
Fund Advisors Canada ULC. Trustee,
University of Chicago (since 2002).
Trustee, University of Kansas Endowment
Association (since 2005). Formerly,
Director of Dimensional Fund Advisors
Ltd. (2002 - July 2017), DFA Australia
Limited (1994 - July 2017), Dimensional
Advisors Ltd. (2012 - July 2017),
Dimensional Funds plc (2006 - July 2017)
and Dimensional Funds II plc (2006 - July
2017). Formerly, Director and President of
Dimensional Japan Ltd. (2012 - April
2017). Formerly, President, Dimensional
SmartNest (US) LLC (2009-2014); and
Limited Partner, VSC Investors, LLC
(2007 to 2015). Formerly, Chairman,
Director, President and Co-Chief Executive
Officer of Dimensional Cayman
Commodity Fund I Ltd. (2010-September
2017).
OTHER DIRECTORSHIPS
OF PUBLIC COMPANIES
NAME, ADDRESS AND HELD DURING
YEAR OF BIRTH PAST 5 YEARS
----------------- -------------------
David G. Booth None
6300 Bee Cave Road,
Building One Austin,
TX 78746
1946
/1/ Each Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Director is a director or trustee of each of the four registered
investment companies within the DFA Fund Complex, which include: DFAIDG;
DIG; DFAITC; and DEM. Each disinterested Director also serves on the
Independent Review Committee of the Dimensional Funds, mutual funds
registered in the provinces of Canada and managed by the Advisor's
affiliate, Dimensional Fund Advisors Canada ULC.
/*/ The Interested Trustee/Director is described as such because he is deemed
to be an "interested person," as that term is defined under the Investment
Company Act of 1940, as amended, due to his position with the Advisor.
44
OFFICERS
Below is the name, year of birth, information regarding positions with the
Fund and the principal occupation for each officer of the Fund. The address of
each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the
officers listed below holds the same office (except as otherwise noted) in the
DFA Entities.
TERM OF
OFFICE/1/
AND
NAME AND LENGTH OF
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------- -------------------- --------- ----------------------------------------
Valerie A. Brown Vice President and Since Vice President and Assistant
1967 Assistant Secretary 2001 Secretary of
. all the DFA Entities (since
2001)
. DFA Australia Limited (since
2002)
. Dimensional Fund Advisors Ltd.
(since 2002)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Hong Kong Limited
(since 2012)
Director, Vice President and
Assistant Secretary (since 2003) of
. Dimensional Fund Advisors
Canada ULC
David P. Butler Co-Chief Since Co-Chief Executive Officer (since
1964 Executive Officer 2017 2017) of
. all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors
Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive
Officer (since 2017) of
. Dimensional Cayman Commodity
Fund I Ltd.
Head of Global Financial Advisor
Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 -
2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since Executive Vice President (since 2017)
1972 President 2017 of
. all the DFA entities
Director and Vice President (since
2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors
Canada ULC
Vice President (since 2008) and
Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte.
Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte.
Ltd.
Head of Global Institutional Services
(since 2014) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2004 -
2017) of
. all the DFA Entities
Formerly, Vice President (2010 -
2016) of
. Dimensional Fund Advisors
Canada ULC
Formerly, Head of Institutional,
North America (2012 - 2013) for
. Dimensional Fund Advisors LP
45
Christopher S. Crossan Vice President and Since Vice President and Global Chief
1965 Global Chief 2004 Compliance Officer (since 2004) of
Compliance Officer
. all the DFA Entities
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006)
and Chief Privacy Officer (since
2015) of
. Dimensional Fund Advisors
Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Japan Ltd. (since
2017)
Formerly, Vice President and Global
Chief Compliance Officer (2010 -
2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Vice Vice President, Chief Financial
1958 Chief Financial President Officer, and Treasurer (since 2016) of
Officer, and since 2015
Treasurer and Chief . all the DFA Entities
Financial
Officer . Dimensional Advisors Ltd.
and
Treasurer . Dimensional Fund Advisors Ltd.
since 2016
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity
Fund I Ltd.
. Dimensional Fund Advisors
Canada ULC
. Dimensional Fund Advisors Pte.
Ltd.
. DFA Australia Limited
Director (since 2016) for
. Dimensional Funds plc
. Dimensional Funds II plc
Formerly, interim Chief Financial
Officer and interim Treasurer
(2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte.
Ltd.
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity
Fund I Ltd.
. Dimensional Fund Advisors
Canada ULC
Formerly, Controller (2015 - 2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
Formerly, Vice President (2008 -
2015) of
. T. Rowe Price Group, Inc.
. Formerly, Director of
Investment Treasury and
Treasurer (2008 - 2015) of
. the T. Rowe Price Funds
Jeff J. Jeon Vice President and Vice Vice President (since 2004) and
1973 Assistant Secretary President Assistant Secretary (since 2017) of
since 2004
and . all the DFA Entities
Assistant
Secretary Vice President and Assistant
since 2017 Secretary (since 2010) of
. Dimensional Cayman Commodity
Fund I Ltd.
Joy Lopez Vice President and Vice Vice President (since 2015) of
1971 Assistant Treasurer President
since 2015 . all the DFA Entities
and
Assistant Assistant Treasurer (since 2017) of
Treasurer
since 2017 . the DFA Fund Complex
Formerly, Senior Tax Manager (2013 -
2015) for
. Dimensional Fund Advisors LP
Kenneth M. Manell Vice President Since Vice President (since 2010) of
1972 2010
. all the DFA Entities
. Dimensional Cayman Commodity
Fund I Ltd.
46
Catherine L. Newell President and President President (since 2017) of
1964 General Counsel since 2017
and . the DFA Fund Complex
General
Counsel General Counsel (since 2001) of
since 2001
. All the DFA Entities
Executive Vice President (since 2017)
and Secretary (since 2000) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. DFA Securities LLC
. Dimensional Investment LLC
Director (since 2002), Vice President
(since 1997) and Secretary (since
2002) of
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Vice President and Secretary of
. Dimensional Fund Advisors
Canada ULC (since 2003)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Japan Ltd. (since
2012)
. Dimensional Advisors Ltd.
(since 2012)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
Director of
. Dimensional Funds plc (since
2002)
. Dimensional Funds II plc
(since 2006)
. Director of Dimensional Japan
Ltd. (since 2012)
. Dimensional Advisors Ltd.
(since 2012)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Hong Kong Limited
(since 2012)
Formerly, Vice President and
Secretary (2010 - 2014) of
. Dimensional SmartNest (US) LLC
Formerly, Vice President (1997 -
2017) and Secretary (2000 - 2017) of
. the DFA Fund Complex
Formerly, Vice President of
. Dimensional Fund Advisors LP
(1997 - 2017)
. Dimensional Holdings Inc.
(2006 - 2017)
. DFA Securities LLC (1997 -
2017)
. Dimensional Investment LLC
(2009 - 2017)
Selwyn Notelovitz Vice President and Since Vice President and Deputy Chief
1961 Deputy Chief 2013 Compliance Officer of
Compliance Officer
. the DFA Fund Complex (since
2013)
. Dimensional Fund Advisors LP
(since 2012)
Carolyn L. O Vice President and Vice Vice President (since 2010) and
1974 Secretary President Secretary (since 2017) of
since 2010
and . the DFA Fund Complex
Secretary
since 2017 Vice President (since 2010) and
Assistant Secretary (since 2016) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Fund Advisors
Canada ULC (since 2016)
47
Gerard K. O'Reilly Co-Chief Executive Officer and Chief Co-Chief Co-Chief Executive Officer and Chief
1976 Investment Officer Executive Investment Officer (since 2017) of
Officer
and Chief . all the DFA Entities
Investment
Officer . Dimensional Fund Advisors
since 2017 Canada ULC
Director, Chief Investment Officer
and Vice President (since 2017) of
. DFA Australia Limited
Chief Investment Officer (since 2017)
and Vice President (since 2016) of
. Dimensional Japan Ltd.
Director, Co-Chief Executive Officer
and Chief Investment Officer (since
2017) of
. Dimensional Cayman Commodity
Fund I Ltd.
Director of
. Dimensional Funds plc (since
2014)
. Dimensional Fund II plc (since
2014)
. Dimensional Holdings Inc.
(since 2017)
Formerly, Co-Chief Investment Officer
of
. Dimensional Japan Ltd. (2016 -
2017)
. DFA Australia Limited (2014 -
2017)
Formerly, Executive Vice President
(2017) and Co-Chief Investment
Officer (2014 - 2017) of
. all the DFA Entities
Formerly, Vice President (2007 -
2017) of
. all the DFA Entities
Formerly, Vice President and Co-Chief
Investment Officer (2014 - 2017) of
. Dimensional Fund Advisors
Canada ULC
Formerly, Director of
. Dimensional Fund Advisors Pte.
Ltd. (2017)
48
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
49
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2018 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2018
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 01, 2017 to October 31, 2018, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
DIMENSIONAL INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS QUALIFYING U.S.
INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED DIVIDEND GOVERNMENT
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2) INTEREST (3)
----------- ------------- ------------- ------------- ------- ---------- ------------- ------------- ---------- ------------
Emerging
Markets
Portfolio
II......... 0% 0% 0% 0% 0% 0% 100% 100% 0%
QUALIFYING
SHORT-
DIMENSIONAL FOREIGN FOREIGN QUALIFYING TERM
INVESTMENT TAX SOURCE INTEREST CAPITAL
GROUP INC. CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
----------- ---------- ---------- ---------- ----------
Emerging
Markets
Portfolio
II......... 0% 100% 0% 0%
(1)Qualifying Dividends represents dividends that qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of _Qualifying Dividend
Income_ as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
50
LOGO DFA103118-011A
00218726
LOGO
ANNUAL REPORT
YEAR ENDED: OCTOBER 31, 2018
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA ONE-YEAR FIXED INCOME PORTFOLIO DFA LTIP PORTFOLIO
DFA TWO-YEAR GLOBAL FIXED INCOME DFA INFLATION-PROTECTED SECURITIES
PORTFOLIO PORTFOLIO
DFA SELECTIVELY HEDGED GLOBAL FIXED DFA SHORT-DURATION REAL RETURN
INCOME PORTFOLIO PORTFOLIO
DFA FIVE-YEAR GLOBAL FIXED INCOME DFA MUNICIPAL REAL RETURN PORTFOLIO
PORTFOLIO
DFA WORLD EX U.S. GOVERNMENT FIXED DFA CALIFORNIA MUNICIPAL REAL RETURN
INCOME PORTFOLIO PORTFOLIO
DFA SHORT-TERM GOVERNMENT PORTFOLIO DFA MUNICIPAL BOND PORTFOLIO
DFA INTERMEDIATE GOVERNMENT FIXED DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
INCOME PORTFOLIO
DFA SHORT-TERM EXTENDED QUALITY DFA INTERMEDIATE-TERM MUNICIPAL BOND
PORTFOLIO PORTFOLIO
DFA INTERMEDIATE-TERM EXTENDED QUALITY DFA CALIFORNIA SHORT-TERM MUNICIPAL
PORTFOLIO BOND PORTFOLIO
DFA TARGETED CREDIT PORTFOLIO DFA CALIFORNIA INTERMEDIATE-TERM
MUNICIPAL BOND PORTFOLIO
DFA GLOBAL CORE PLUS FIXED INCOME DFA NY MUNICIPAL BOND PORTFOLIO
PORTFOLIO
DFA INVESTMENT GRADE PORTFOLIO DFA MN MUNICIPAL BOND PORTFOLIO
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
DIMENSIONAL INVESTMENT GROUP INC.
DFA TWO-YEAR FIXED INCOME PORTFOLIO
DFA TWO-YEAR GOVERNMENT PORTFOLIO
LOGO
December 2018
Dear Fellow Shareholder,
Since our founding in 1981, we have put clients at the center of everything we
do.
Our investment approach and philosophy are grounded in rigorous academic
research and robust implementation to help you target higher expected returns
in an ever-evolving marketplace. And our 38-year track record of outperforming
indices and competitors is a testament to our approach.
Our mission is to improve people's lives.
We recognize and appreciate the trust and responsibility you've placed in us to
manage your assets and we take that responsibility seriously. Our company
strives to act with integrity and provide excellent investment solutions for
clients.
On behalf of the more than 1,300 employees at Dimensional working in 13 cities
across nine countries, we appreciate the opportunity to serve you.
Sincerely,
/s/ David Butler /s/ David Butler
DAVID BUTLER GERARD O'REILLY
Co-Chief Executive Officer Co-Chief Executive Officer and
Chief Investment Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts................................................ 3
Management's Discussion and Analysis.............................. 16
Disclosure of Fund Expenses....................................... 24
Disclosure of Portfolio Holdings.................................. 28
Schedules of Investments
DFA One-Year Fixed Income Portfolio........................... 30
DFA Two-Year Global Fixed Income Portfolio.................... 36
DFA Selectively Hedged Global Fixed Income Portfolio.......... 42
DFA Five-Year Global Fixed Income Portfolio................... 50
DFA World ex U.S. Government Fixed Income Portfolio........... 58
DFA Short-Term Government Portfolio........................... 61
DFA Intermediate Government Fixed Income Portfolio............ 63
DFA Short-Term Extended Quality Portfolio..................... 65
DFA Intermediate-Term Extended Quality Portfolio.............. 76
DFA Targeted Credit Portfolio................................. 84
DFA Global Core Plus Fixed Income Portfolio................... 95
DFA Investment Grade Portfolio................................ 111
DFA Diversified Fixed Income Portfolio........................ 126
DFA LTIP Portfolio............................................ 127
DFA Inflation-Protected Securities Portfolio.................. 128
DFA Short-Duration Real Return Portfolio...................... 129
DFA Municipal Real Return Portfolio........................... 140
DFA California Municipal Real Return Portfolio................ 152
DFA Municipal Bond Portfolio.................................. 158
DFA Short-Term Municipal Bond Portfolio....................... 170
DFA Intermediate-Term Municipal Bond Portfolio................ 184
DFA California Short-Term Municipal Bond Portfolio............ 200
DFA California Intermediate-Term Municipal Bond Portfolio..... 208
DFA NY Municipal Bond Portfolio............................... 219
DFA MN Municipal Bond Portfolio............................... 224
Statements of Assets and Liabilities.............................. 228
Statements of Operations.......................................... 235
Statements of Changes in Net Assets............................... 242
Financial Highlights.............................................. 249
Notes to Financial Statements..................................... 262
Report of Independent Registered Public Accounting Firm........... 290
Section 19(a) Notice.............................................. 292
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................ 293
Management's Discussion and Analysis.............................. 294
Disclosure of Fund Expenses....................................... 296
Disclosure of Portfolio Holdings.................................. 298
Schedules of Investments
DFA Two-Year Fixed Income Portfolio........................... 299
DFA Two-Year Government Portfolio............................. 302
Statements of Assets and Liabilities.............................. 303
Statements of Operations.......................................... 304
Statements of Changes in Net Assets............................... 305
Financial Highlights.............................................. 306
Notes to Financial Statements..................................... 307
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
Report of Independent Registered Public Accounting Firm................ 314
FUND MANAGEMENT........................................................... 315
Board of Independent Directors or Trustees Table....................... 316
VOTING PROXIES ON FUND PORTFOLIO SECURITIES............................... 322
NOTICE TO SHAREHOLDERS.................................................... 323
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
ii
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
Investment Abbreviations
P.L.C. Public Limited Company
SA Special Assessment
AGM Assured Guaranty Municipal Corporation
ETM Escrowed to Maturity
GO General Obligation
PSF-GTD Public School Fund Guarantee
RB Revenue Bond
SCH BD GTY School Bond Guaranty
SCSDE South Carolina State Department of Education
SD CRED PROG School District Credit Program
ST Special Tax
ST AID WITHHLDG State Aid Withholding
AMBAC American Municipal Bond Assurance Corporation
RN Revenue Note
SCH BD RES FD School Board Resolution Fund
ST GTD State Guaranteed
FGIC Federal Guaranty Insurance Corporation
USD United States Dollar
CAD Canadian Dollars
EUR Euro
GBP British Pounds
NOK Norwegian Krone
SEK Swedish Krona
SGD Singapore Dollars
AUD Australian Dollars
DKK Danish Krone
JPY Japanese Yen
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
Investment Footnotes
^ Denominated in USD, unless otherwise noted.
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
W Rule 144A or Section 4(2) security that is restricted as
to resale to institutional investors. The Fund's Advisor
deemed this security to be liquid based upon procedures
approved by the Board of Trustees.
(r) The adjustable rate shown is effective as of October 31,
2018
@ Security purchased with cash proceeds from Securities on
Loan.
(S) Affiliated Fund.
(+/-) Face Amount of security is not adjusted for inflation.
(currency) Pre-refunded bonds are collateralized by U.S. Government
or other eligible securities that are held in escrow and
used to pay principal and interest and retire the bonds
at the earliest refunding date (payment date) and/or
whose interest rates vary with changes in a designated
base rate (such as the prime interest rate).
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Non-Annualized
(C) Annualized
(D) Because of commencement of operations and related
preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
(E) Represents the combined ratios for the respective
portfolio and its respective pro-rata share of its
Underlying Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-- Amounts designated as -- are either zero or rounded to zero.
REIT Real Estate Investment Trust
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME PORTFOLIO VS.
ICE BOFAML US 6-MONTH TREASURY BILL INDEX,
ICE BOFAML 1-YEAR US TREASURY NOTE INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA One-Year Fixed ICE BofAML US 6-Month ICE BofAML 1-Year US
Income Portfolio Treasury Bill Index Treasury Note Index
--------------------- ----------------------- -----------------------
10/31/2008 $10,000 $10,000 $10,000
11/30/2008 10,071 10,034 10,063
12/31/2008 10,176 10,052 10,110
1/31/2009 10,186 10,051 10,100
2/28/2009 10,176 10,052 10,084
3/31/2009 10,214 10,063 10,109
4/30/2009 10,244 10,076 10,129
5/31/2009 10,283 10,080 10,137
6/30/2009 10,311 10,083 10,142
7/31/2009 10,318 10,090 10,155
8/31/2009 10,351 10,096 10,167
9/30/2009 10,373 10,102 10,175
10/31/2009 10,380 10,105 10,186
11/30/2009 10,408 10,109 10,204
12/31/2009 10,371 10,110 10,191
1/31/2010 10,402 10,115 10,214
2/28/2010 10,416 10,116 10,218
3/31/2010 10,412 10,117 10,216
4/30/2010 10,418 10,120 10,221
5/31/2010 10,423 10,125 10,227
6/30/2010 10,448 10,128 10,243
7/31/2010 10,465 10,132 10,254
8/31/2010 10,481 10,136 10,263
9/30/2010 10,486 10,138 10,268
10/31/2010 10,503 10,143 10,275
11/30/2010 10,487 10,143 10,272
12/31/2010 10,492 10,147 10,275
1/31/2011 10,502 10,149 10,285
2/28/2011 10,505 10,151 10,288
3/31/2011 10,511 10,154 10,291
4/30/2011 10,535 10,159 10,301
5/31/2011 10,551 10,160 10,308
6/30/2011 10,545 10,163 10,311
7/31/2011 10,560 10,163 10,308
8/31/2011 10,564 10,170 10,326
9/30/2011 10,558 10,170 10,324
10/31/2011 10,563 10,171 10,328
11/30/2011 10,557 10,173 10,331
12/31/2011 10,554 10,174 10,334
1/31/2012 10,584 10,174 10,336
2/29/2012 10,588 10,173 10,334
3/31/2012 10,594 10,174 10,334
4/30/2012 10,608 10,176 10,338
5/31/2012 10,603 10,179 10,340
6/30/2012 10,617 10,180 10,338
7/31/2012 10,633 10,182 10,347
8/31/2012 10,637 10,184 10,349
9/30/2012 10,642 10,186 10,352
10/31/2012 10,646 10,186 10,351
11/30/2012 10,650 10,189 10,355
12/31/2012 10,652 10,191 10,358
1/31/2013 10,662 10,193 10,361
2/28/2013 10,665 10,193 10,363
3/31/2013 10,668 10,196 10,366
4/30/2013 10,672 10,198 10,371
5/31/2013 10,665 10,200 10,371
6/30/2013 10,668 10,200 10,370
7/31/2013 10,671 10,203 10,377
8/31/2013 10,674 10,205 10,378
9/30/2013 10,687 10,207 10,383
10/31/2013 10,691 10,206 10,384
11/30/2013 10,693 10,207 10,383
12/31/2013 10,688 10,209 10,385
1/31/2014 10,699 10,212 10,387
2/28/2014 10,710 10,213 10,389
3/31/2014 10,703 10,214 10,393
4/30/2014 10,705 10,215 10,397
5/31/2014 10,718 10,216 10,400
6/30/2014 10,711 10,216 10,400
7/31/2014 10,713 10,217 10,402
8/31/2014 10,716 10,219 10,408
9/30/2014 10,719 10,220 10,410
10/31/2014 10,722 10,220 10,412
11/30/2014 10,734 10,220 10,414
12/31/2014 10,716 10,222 10,404
1/31/2015 10,736 10,225 10,415
2/28/2015 10,739 10,226 10,412
3/31/2015 10,743 10,226 10,415
4/30/2015 10,746 10,231 10,422
5/31/2015 10,749 10,232 10,424
6/30/2015 10,753 10,233 10,426
7/31/2015 10,756 10,232 10,428
8/31/2015 10,749 10,233 10,427
9/30/2015 10,764 10,244 10,437
10/31/2015 10,769 10,240 10,435
11/30/2015 10,754 10,240 10,419
12/31/2015 10,749 10,244 10,419
1/31/2016 10,775 10,253 10,440
2/29/2016 10,779 10,257 10,442
3/31/2016 10,797 10,266 10,457
4/30/2016 10,803 10,273 10,467
5/31/2016 10,799 10,274 10,463
6/30/2016 10,837 10,286 10,487
7/31/2016 10,833 10,290 10,487
8/31/2016 10,830 10,291 10,486
9/30/2016 10,836 10,300 10,493
10/31/2016 10,844 10,306 10,498
11/30/2016 10,831 10,308 10,491
12/31/2016 10,840 10,313 10,498
1/31/2017 10,857 10,321 10,513
2/28/2017 10,865 10,327 10,519
3/31/2017 10,875 10,326 10,515
4/30/2017 10,884 10,335 10,523
5/31/2017 10,894 10,341 10,526
6/30/2017 10,905 10,350 10,530
7/31/2017 10,916 10,361 10,544
8/31/2017 10,928 10,375 10,554
9/30/2017 10,937 10,383 10,556
10/31/2017 10,938 10,392 10,560
11/30/2017 10,936 10,400 10,554
12/31/2017 10,942 10,412 10,558
1/31/2018 10,939 10,423 10,564
2/28/2018 10,941 10,430 10,567
3/31/2018 10,955 10,445 10,584
4/30/2018 10,960 10,460 10,590
5/31/2018 10,999 10,478 10,614
6/30/2018 11,005 10,495 10,627
7/31/2018 11,025 10,513 10,640 Past performance is not predictive of
8/31/2018 11,054 10,532 10,664 future performance.
9/30/2018 11,061 10,547 10,670
10/31/2018 11,071 10,567 10,691 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------------- ICE BofAML index data copyright 2018
1.22% 0.70% 1.02% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
FTSE WORLD GOVERNMENT BOND INDEX, 1-2 YEARS, CURRENCY-HEDGED IN USD TERMS
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA Two-Year FTSE World Government Bond Index,
Global Fixed 1-2 Years, Currency-Hedged in
Income Portfolio USD Terms
---------------- -------------------------------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,068 10,060
12/31/2008 10,165 10,123
1/31/2009 10,165 10,141
2/28/2009 10,165 10,148
3/31/2009 10,195 10,179
4/30/2009 10,235 10,189
5/31/2009 10,275 10,208
6/30/2009 10,294 10,218
7/31/2009 10,304 10,240
8/31/2009 10,334 10,260
9/30/2009 10,361 10,275
10/31/2009 10,371 10,283
11/30/2009 10,411 10,303
12/31/2009 10,376 10,290
1/31/2010 10,417 10,313
2/28/2010 10,438 10,334
3/31/2010 10,439 10,332
4/30/2010 10,449 10,323
5/31/2010 10,459 10,353
6/30/2010 10,490 10,358
7/31/2010 10,521 10,373
8/31/2010 10,541 10,387
9/30/2010 10,550 10,383
10/31/2010 10,561 10,390
11/30/2010 10,550 10,378
12/31/2010 10,558 10,387
1/31/2011 10,568 10,389
2/28/2011 10,568 10,391
3/31/2011 10,579 10,390
4/30/2011 10,599 10,403
5/31/2011 10,620 10,422
6/30/2011 10,620 10,424
7/31/2011 10,631 10,428
8/31/2011 10,651 10,468
9/30/2011 10,648 10,470
10/31/2011 10,648 10,465
11/30/2011 10,638 10,459
12/31/2011 10,640 10,505
1/31/2012 10,661 10,525
2/29/2012 10,672 10,540
3/31/2012 10,682 10,540
4/30/2012 10,693 10,546
5/31/2012 10,693 10,543
6/30/2012 10,704 10,551
7/31/2012 10,726 10,566
8/31/2012 10,736 10,584
9/30/2012 10,738 10,592
10/31/2012 10,738 10,597
11/30/2012 10,749 10,606
12/31/2012 10,750 10,613
1/31/2013 10,750 10,618
2/28/2013 10,761 10,628
3/31/2013 10,771 10,634
4/30/2013 10,782 10,647
5/31/2013 10,771 10,643
6/30/2013 10,761 10,638
7/31/2013 10,771 10,651
8/31/2013 10,771 10,651
9/30/2013 10,782 10,664
10/31/2013 10,793 10,676
11/30/2013 10,804 10,684
12/31/2013 10,799 10,683
1/31/2014 10,810 10,695
2/28/2014 10,810 10,701
3/31/2014 10,811 10,702
4/30/2014 10,822 10,707
5/31/2014 10,833 10,715
6/30/2014 10,826 10,721
7/31/2014 10,816 10,724
8/31/2014 10,826 10,732
9/30/2014 10,826 10,734
10/31/2014 10,848 10,742
11/30/2014 10,859 10,751
12/31/2014 10,840 10,746
1/31/2015 10,873 10,768
2/28/2015 10,862 10,765
3/31/2015 10,873 10,774
4/30/2015 10,873 10,778
5/31/2015 10,884 10,784
6/30/2015 10,887 10,784
7/31/2015 10,887 10,791
8/31/2015 10,887 10,790
9/30/2015 10,909 10,803
10/31/2015 10,909 10,805
11/30/2015 10,887 10,798
12/31/2015 10,876 10,798
1/31/2016 10,920 10,829
2/29/2016 10,920 10,838
3/31/2016 10,942 10,847
4/30/2016 10,953 10,856
5/31/2016 10,953 10,857
6/30/2016 10,985 10,889
7/31/2016 10,985 10,890
8/31/2016 10,985 10,889
9/30/2016 10,985 10,904
10/31/2016 10,996 10,906
11/30/2016 10,974 10,899
12/31/2016 10,979 10,913
1/31/2017 10,990 10,926
2/28/2017 11,012 10,937
3/31/2017 11,022 10,939
4/30/2017 11,044 10,949
5/31/2017 11,055 10,960
6/30/2017 11,057 10,958
7/31/2017 11,079 10,977
8/31/2017 11,101 10,994
9/30/2017 11,090 10,994
10/31/2017 11,101 11,005
11/30/2017 11,090 11,003
12/31/2017 11,081 11,010
1/31/2018 11,070 11,010
2/28/2018 11,070 11,021
3/31/2018 11,081 11,042
4/30/2018 11,092 11,049
5/31/2018 11,126 11,063
6/30/2018 11,132 11,084
7/31/2018 11,143 11,096 Past performance is not predictive of
8/31/2018 11,177 11,117 future performance.
9/30/2018 11,186 11,127
10/31/2018 11,197 11,150 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------------- FTSE fixed income indices (C) 2018 FTSE
0.87% 0.74% 1.14% Fixed Income LLC. All rights reserved.
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO VS.
FTSE WORLD GOVERNMENT BOND INDEX,
1-3 YEARS, IN USD TERMS (UNHEDGED)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA Selectively Hedged Global FTSE World Government Bond Index,
Fixed Income Portfolio 1-3 Years, in USD Terms (Unhedged)
------------------------------ ----------------------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,899 10,145
12/31/2008 10,202 10,697
1/31/2009 9,854 10,447
2/28/2009 9,787 10,128
3/31/2009 10,191 10,301
4/30/2009 10,281 10,345
5/31/2009 10,752 10,757
6/30/2009 10,763 10,700
7/31/2009 10,909 10,834
8/31/2009 10,999 10,981
9/30/2009 11,167 11,189
10/31/2009 11,223 11,215
11/30/2009 11,313 11,488
12/31/2009 11,244 11,040
1/31/2010 11,221 11,030
2/28/2010 11,255 11,048
3/31/2010 11,300 10,880
4/30/2010 11,356 10,808
5/31/2010 11,142 10,641
6/30/2010 11,176 10,741
7/31/2010 11,423 11,048
8/31/2010 11,345 11,080
9/30/2010 11,592 11,345
10/31/2010 11,682 11,541
11/30/2010 11,491 11,166
12/31/2010 11,778 11,389
1/31/2011 11,790 11,433
2/28/2011 11,870 11,471
3/31/2011 11,961 11,518
4/30/2011 12,268 11,800
5/31/2011 12,211 11,709
6/30/2011 12,223 11,756
7/31/2011 12,359 11,910
8/31/2011 12,302 11,999
9/30/2011 11,778 11,662
10/31/2011 12,132 11,789
11/30/2011 11,927 11,643
12/31/2011 11,878 11,617
1/31/2012 12,067 11,731
2/29/2012 12,197 11,638
3/31/2012 12,126 11,558
4/30/2012 12,150 11,652
5/31/2012 11,784 11,445
6/30/2012 12,044 11,507
7/31/2012 12,126 11,518
8/31/2012 12,220 11,612
9/30/2012 12,303 11,717
10/31/2012 12,279 11,655
11/30/2012 12,327 11,597
12/31/2012 12,379 11,528
1/31/2013 12,392 11,470
2/28/2013 12,331 11,317
3/31/2013 12,392 11,232
4/30/2013 12,488 11,264
5/31/2013 12,246 11,079
6/30/2013 11,956 11,100
7/31/2013 12,126 11,218
8/31/2013 11,968 11,192
9/30/2013 12,271 11,328
10/31/2013 12,343 11,362
11/30/2013 12,259 11,281
12/31/2013 12,242 11,256
1/31/2014 12,193 11,253
2/28/2014 12,377 11,354
3/31/2014 12,439 11,332
4/30/2014 12,500 11,385
5/31/2014 12,537 11,363
6/30/2014 12,586 11,404
7/31/2014 12,451 11,282
8/31/2014 12,512 11,225
9/30/2014 12,267 10,950
10/31/2014 12,255 10,888
11/30/2014 12,218 10,759
12/31/2014 12,050 10,625
1/31/2015 11,925 10,466
2/28/2015 11,963 10,422
3/31/2015 11,900 10,292
4/30/2015 12,124 10,441
5/31/2015 11,950 10,306
6/30/2015 11,863 10,378
7/31/2015 11,714 10,322
8/31/2015 11,577 10,371
9/30/2015 11,602 10,388
10/31/2015 11,714 10,363
11/30/2015 11,664 10,184
12/31/2015 11,668 10,278
1/31/2016 11,668 10,270
2/29/2016 11,718 10,428
3/31/2016 12,033 10,615
4/30/2016 12,083 10,739
5/31/2016 11,970 10,552
6/30/2016 12,197 10,714
7/31/2016 12,272 10,730
8/31/2016 12,247 10,680
9/30/2016 12,285 10,757
10/31/2016 12,234 10,573
11/30/2016 12,071 10,298
12/31/2016 12,050 10,245
1/31/2017 12,203 10,399
2/28/2017 12,242 10,369
3/31/2017 12,229 10,395
4/30/2017 12,242 10,460
5/31/2017 12,319 10,583
6/30/2017 12,370 10,606
7/31/2017 12,446 10,775
8/31/2017 12,446 10,815
9/30/2017 12,421 10,755
10/31/2017 12,357 10,676
11/30/2017 12,331 10,773
12/31/2017 12,365 10,791
1/31/2018 12,352 10,981
2/28/2018 12,326 10,914
3/31/2018 12,365 10,964
4/30/2018 12,365 10,841
5/31/2018 12,417 10,733
6/30/2018 12,417 10,699
7/31/2018 12,443 10,694
8/31/2018 12,495 10,690 Past performance is not predictive of
9/30/2018 12,495 10,652 future performance.
10/31/2018 12,495 10,577
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------------- FTSE fixed income indices (C) 2018 FTSE
1.12% 0.24% 2.25% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
FTSE WORLD GOVERNMENT BOND INDEX,
1-5 YEARS, CURRENCY-HEDGED IN USD TERMS
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
FTSE World Government Bond Index,
DFA Five-Year Global 1-5 Years, Currency-Hedged
Fixed Income Portfolio in USD Terms
---------------------- ----------------------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,150 10,108
12/31/2008 10,308 10,208
1/31/2009 10,289 10,213
2/28/2009 10,279 10,233
3/31/2009 10,317 10,286
4/30/2009 10,383 10,288
5/31/2009 10,402 10,293
6/30/2009 10,465 10,309
7/31/2009 10,550 10,347
8/31/2009 10,645 10,383
9/30/2009 10,717 10,415
10/31/2009 10,774 10,426
11/30/2009 10,908 10,481
12/31/2009 10,740 10,442
1/31/2010 10,876 10,483
2/28/2010 10,944 10,526
3/31/2010 10,937 10,522
4/30/2010 11,015 10,527
5/31/2010 11,083 10,595
6/30/2010 11,156 10,622
7/31/2010 11,323 10,661
8/31/2010 11,461 10,711
9/30/2010 11,504 10,703
10/31/2010 11,583 10,714
11/30/2010 11,464 10,662
12/31/2010 11,309 10,650
1/31/2011 11,340 10,642
2/28/2011 11,330 10,632
3/31/2011 11,340 10,626
4/30/2011 11,486 10,657
5/31/2011 11,621 10,709
6/30/2011 11,621 10,714
7/31/2011 11,808 10,753
8/31/2011 11,891 10,846
9/30/2011 11,869 10,850
10/31/2011 11,900 10,834
11/30/2011 11,722 10,813
12/31/2011 11,819 10,896
1/31/2012 11,938 10,943
2/29/2012 11,960 10,961
3/31/2012 11,992 10,952
4/30/2012 12,036 10,974
5/31/2012 12,111 10,984
6/30/2012 12,119 10,995
7/31/2012 12,271 11,032
8/31/2012 12,315 11,061
9/30/2012 12,335 11,080
10/31/2012 12,346 11,087
11/30/2012 12,390 11,115
12/31/2012 12,386 11,125
1/31/2013 12,331 11,115
2/28/2013 12,408 11,141
3/31/2013 12,430 11,152
4/30/2013 12,497 11,188
5/31/2013 12,386 11,150
6/30/2013 12,233 11,116
7/31/2013 12,312 11,146
8/31/2013 12,245 11,130
9/30/2013 12,345 11,169
10/31/2013 12,423 11,206
11/30/2013 12,445 11,223
12/31/2013 12,336 11,194
1/31/2014 12,472 11,242
2/28/2014 12,495 11,257
3/31/2014 12,434 11,255
4/30/2014 12,502 11,275
5/31/2014 12,593 11,308
6/30/2014 12,578 11,321
7/31/2014 12,544 11,322
8/31/2014 12,624 11,355
9/30/2014 12,567 11,352
10/31/2014 12,659 11,380
11/30/2014 12,739 11,408
12/31/2014 12,690 11,406
1/31/2015 12,899 11,469
2/28/2015 12,806 11,452
3/31/2015 12,864 11,477
4/30/2015 12,875 11,475
5/31/2015 12,875 11,481
6/30/2015 12,811 11,464
7/31/2015 12,858 11,494
8/31/2015 12,846 11,492
9/30/2015 12,951 11,530
10/31/2015 12,940 11,533
11/30/2015 12,916 11,530
12/31/2015 12,874 11,520
1/31/2016 13,027 11,606
2/29/2016 13,062 11,639
3/31/2016 13,172 11,652
4/30/2016 13,184 11,653
5/31/2016 13,160 11,658
6/30/2016 13,328 11,735
7/31/2016 13,364 11,739
8/31/2016 13,304 11,725
9/30/2016 13,328 11,748
10/31/2016 13,280 11,725
11/30/2016 13,090 11,668
12/31/2016 13,104 11,692
1/31/2017 13,140 11,695
2/28/2017 13,189 11,723
3/31/2017 13,204 11,726
4/30/2017 13,289 11,760
5/31/2017 13,337 11,785
6/30/2017 13,309 11,768
7/31/2017 13,370 11,797
8/31/2017 13,443 11,837
9/30/2017 13,382 11,817
10/31/2017 13,406 11,833
11/30/2017 13,382 11,826
12/31/2017 13,363 11,824
1/31/2018 13,277 11,790
2/28/2018 13,264 11,800
3/31/2018 13,314 11,845
4/30/2018 13,301 11,834
5/31/2018 13,375 11,845
6/30/2018 13,387 11,873
7/31/2018 13,387 11,873
8/31/2018 13,461 11,896 Past performance is not predictive of
9/30/2018 13,420 11,893 future performance.
10/31/2018 13,457 11,918
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------------- FTSE fixed income indices (C) 2018 FTSE
0.38% 1.61% 3.01% Fixed Income LLC. All rights reserved.
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO VS.
FTSE NON-USD WORLD GOVERNMENT BOND INDEX, CURRENCY-HEDGED IN USD TERMS
DECEMBER 6, 2011-OCTOBER 31, 2018
[CHART]
DFA World Ex U.S. FTSE Non-USD World
Government Fixed Income Government Bond Index,
Portfolio Currency-Hedged in USD Terms
-------------------------- ----------------------------
12/6/2011 $10,000 $10,000
12/31/2011 10,095 10,085
1/31/2012 10,145 10,165
2/29/2012 10,175 10,216
3/31/2012 10,165 10,218
4/30/2012 10,246 10,246
5/31/2012 10,506 10,370
6/30/2012 10,427 10,329
7/31/2012 10,648 10,436
8/31/2012 10,658 10,456
9/30/2012 10,656 10,515
10/31/2012 10,666 10,538
11/30/2012 10,757 10,623
12/31/2012 10,771 10,641
1/31/2013 10,606 10,608
2/28/2013 10,730 10,670
3/31/2013 10,834 10,776
4/30/2013 10,968 10,899
5/31/2013 10,741 10,744
6/30/2013 10,524 10,638
7/31/2013 10,587 10,690
8/31/2013 10,483 10,668
9/30/2013 10,576 10,745
10/31/2013 10,690 10,852
11/30/2013 10,680 10,857
12/31/2013 10,538 10,792
1/31/2014 10,780 10,963
2/28/2014 10,811 11,013
3/31/2014 10,848 11,051
4/30/2014 10,933 11,119
5/31/2014 11,081 11,203
6/30/2014 11,143 11,273
7/31/2014 11,239 11,343
8/31/2014 11,474 11,505
9/30/2014 11,431 11,500
10/31/2014 11,538 11,562
11/30/2014 11,730 11,712
12/31/2014 11,832 11,847
1/31/2015 12,152 12,060
2/28/2015 12,072 12,013
3/31/2015 12,186 12,113
4/30/2015 12,038 12,005
5/31/2015 11,946 11,904
6/30/2015 11,694 11,726
7/31/2015 11,889 11,902
8/31/2015 11,820 11,868
9/30/2015 11,957 11,961
10/31/2015 11,992 12,031
11/30/2015 12,038 12,064
12/31/2015 11,932 12,030
1/31/2016 12,239 12,269
2/29/2016 12,424 12,442
3/31/2016 12,460 12,531
4/30/2016 12,337 12,504
5/31/2016 12,485 12,614
6/30/2016 12,841 12,920
7/31/2016 12,989 12,965
8/31/2016 13,001 12,936
9/30/2016 13,013 12,934
10/31/2016 12,743 12,752
11/30/2016 12,510 12,601
12/31/2016 12,594 12,648
1/31/2017 12,430 12,487
2/28/2017 12,657 12,622
3/31/2017 12,632 12,603
4/30/2017 12,758 12,684
5/31/2017 12,872 12,741
6/30/2017 12,720 12,679
7/31/2017 12,720 12,709
8/31/2017 12,910 12,833
9/30/2017 12,784 12,767
10/31/2017 12,910 12,863
11/30/2017 12,973 12,921
12/31/2017 12,994 12,908
1/31/2018 12,779 12,864
2/28/2018 12,817 12,922
3/31/2018 13,007 13,101
4/30/2018 12,969 13,076
5/31/2018 13,146 13,056
6/30/2018 13,197 13,131
7/31/2018 13,146 13,117 Past performance is not predictive of
8/31/2018 13,260 13,084 future performance.
9/30/2018 13,133 13,059
10/31/2018 13,222 13,096 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
------------------------------------------------------------ FTSE fixed income indices (C) 2018 FTSE
2.42% 4.34% 4.13% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
DFA SHORT-TERM GOVERNMENT PORTFOLIO VS.
ICE BOFAML 1-5 YEAR US TREASURY & AGENCY INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA Short-Term Government ICE BofAML 1-5 Year US Treasury
Portfolio & Agency Index
--------------------------- ---------------------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,297 10,207
12/31/2008 10,537 10,335
1/31/2009 10,430 10,275
2/28/2009 10,430 10,266
3/31/2009 10,538 10,351
4/30/2009 10,528 10,327
5/31/2009 10,528 10,329
6/30/2009 10,535 10,306
7/31/2009 10,564 10,334
8/31/2009 10,633 10,392
9/30/2009 10,697 10,429
10/31/2009 10,727 10,456
11/30/2009 10,845 10,552
12/31/2009 10,690 10,429
1/31/2010 10,790 10,530
2/28/2010 10,840 10,564
3/31/2010 10,799 10,522
4/30/2010 10,859 10,567
5/31/2010 10,939 10,641
6/30/2010 11,055 10,722
7/31/2010 11,146 10,781
8/31/2010 11,186 10,826
9/30/2010 11,217 10,854
10/31/2010 11,298 10,894
11/30/2010 11,227 10,853
12/31/2010 11,166 10,790
1/31/2011 11,177 10,822
2/28/2011 11,156 10,800
3/31/2011 11,171 10,795
4/30/2011 11,264 10,871
5/31/2011 11,357 10,945
6/30/2011 11,344 10,948
7/31/2011 11,417 11,024
8/31/2011 11,500 11,105
9/30/2011 11,488 11,090
10/31/2011 11,498 11,102
11/30/2011 11,519 11,116
12/31/2011 11,545 11,135
1/31/2012 11,599 11,170
2/29/2012 11,577 11,143
3/31/2012 11,586 11,122
4/30/2012 11,629 11,173
5/31/2012 11,629 11,193
6/30/2012 11,646 11,185
7/31/2012 11,689 11,229
8/31/2012 11,721 11,236
9/30/2012 11,716 11,237
10/31/2012 11,716 11,224
11/30/2012 11,737 11,249
12/31/2012 11,728 11,244
1/31/2013 11,718 11,230
2/28/2013 11,739 11,256
3/31/2013 11,744 11,261
4/30/2013 11,776 11,287
5/31/2013 11,700 11,229
6/30/2013 11,614 11,183
7/31/2013 11,658 11,209
8/31/2013 11,603 11,178
9/30/2013 11,680 11,235
10/31/2013 11,712 11,264
11/30/2013 11,734 11,278
12/31/2013 11,676 11,225
1/31/2014 11,731 11,273
2/28/2014 11,742 11,289
3/31/2014 11,722 11,255
4/30/2014 11,744 11,282
5/31/2014 11,788 11,327
6/30/2014 11,775 11,316
7/31/2014 11,753 11,291
8/31/2014 11,775 11,330
9/30/2014 11,765 11,310
10/31/2014 11,809 11,366
11/30/2014 11,853 11,402
12/31/2014 11,822 11,365
1/31/2015 11,933 11,478
2/28/2015 11,878 11,421
3/31/2015 11,939 11,468
4/30/2015 11,939 11,472
5/31/2015 11,950 11,482
6/30/2015 11,942 11,471
7/31/2015 11,965 11,492
8/31/2015 11,954 11,491
9/30/2015 12,026 11,551
10/31/2015 12,004 11,526
11/30/2015 11,959 11,492
12/31/2015 11,939 11,476
1/31/2016 12,074 11,598
2/29/2016 12,108 11,625
3/31/2016 12,138 11,653
4/30/2016 12,127 11,652
5/31/2016 12,104 11,636
6/30/2016 12,224 11,746
7/31/2016 12,224 11,741
8/31/2016 12,168 11,706
9/30/2016 12,194 11,725
10/31/2016 12,171 11,703
11/30/2016 12,058 11,598
12/31/2016 12,057 11,600
1/31/2017 12,080 11,620
2/28/2017 12,091 11,638
3/31/2017 12,111 11,644
4/30/2017 12,145 11,679
5/31/2017 12,168 11,705
6/30/2017 12,147 11,688
7/31/2017 12,181 11,720
8/31/2017 12,227 11,760
9/30/2017 12,182 11,721
10/31/2017 12,159 11,711
11/30/2017 12,124 11,678
12/31/2017 12,119 11,677
1/31/2018 12,049 11,612
2/28/2018 12,026 11,598
3/31/2018 12,061 11,634
4/30/2018 12,014 11,595
5/31/2018 12,072 11,650
6/30/2018 12,072 11,650
7/31/2018 12,049 11,639 Past performance is not predictive of
8/31/2018 12,107 11,688 future performance.
9/30/2018 12,075 11,657
10/31/2018 12,086 11,671 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------- ICE BofAML index data copyright 2018
-0.60% 0.63% 1.91% ICE Data Indices, LLC.
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. GOVERNMENT BOND INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA Intermediate Government Bloomberg Barclays U.S.
Fixed Income Portfolio Government Bond Index
--------------------------- ------------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,566 10,474
12/31/2008 11,042 10,835
1/31/2009 10,779 10,565
2/28/2009 10,718 10,537
3/31/2009 10,887 10,728
4/30/2009 10,781 10,585
5/31/2009 10,755 10,505
6/30/2009 10,773 10,491
7/31/2009 10,844 10,541
8/31/2009 10,933 10,624
9/30/2009 11,035 10,704
10/31/2009 11,071 10,705
11/30/2009 11,233 10,842
12/31/2009 10,962 10,596
1/31/2010 11,154 10,750
2/28/2010 11,218 10,795
3/31/2010 11,148 10,714
4/30/2010 11,268 10,816
5/31/2010 11,434 10,981
6/30/2010 11,647 11,168
7/31/2010 11,768 11,244
8/31/2010 11,972 11,444
9/30/2010 12,004 11,449
10/31/2010 12,051 11,442
11/30/2010 11,948 11,365
12/31/2010 11,720 11,181
1/31/2011 11,720 11,182
2/28/2011 11,720 11,175
3/31/2011 11,723 11,172
4/30/2011 11,867 11,294
5/31/2011 12,058 11,455
6/30/2011 12,007 11,420
7/31/2011 12,239 11,611
8/31/2011 12,539 11,906
9/30/2011 12,652 12,088
10/31/2011 12,584 12,002
11/30/2011 12,681 12,083
12/31/2011 12,825 12,190
1/31/2012 12,915 12,244
2/29/2012 12,855 12,164
3/31/2012 12,766 12,054
4/30/2012 12,966 12,216
5/31/2012 13,125 12,407
6/30/2012 13,096 12,370
7/31/2012 13,237 12,489
8/31/2012 13,287 12,477
9/30/2012 13,295 12,444
10/31/2012 13,274 12,426
11/30/2012 13,365 12,487
12/31/2012 13,301 12,436
1/31/2013 13,198 12,342
2/28/2013 13,301 12,405
3/31/2013 13,303 12,417
4/30/2013 13,416 12,522
5/31/2013 13,159 12,318
6/30/2013 12,867 12,183
7/31/2013 12,887 12,172
8/31/2013 12,753 12,113
9/30/2013 12,924 12,198
10/31/2013 12,997 12,256
11/30/2013 12,976 12,220
12/31/2013 12,833 12,113
1/31/2014 13,053 12,272
2/28/2014 13,084 12,306
3/31/2014 13,050 12,272
4/30/2014 13,134 12,340
5/31/2014 13,271 12,453
6/30/2014 13,253 12,436
7/31/2014 13,221 12,416
8/31/2014 13,348 12,542
9/30/2014 13,260 12,477
10/31/2014 13,387 12,594
11/30/2014 13,515 12,692
12/31/2014 13,498 12,709
1/31/2015 13,874 13,026
2/28/2015 13,648 12,834
3/31/2015 13,771 12,912
4/30/2015 13,738 12,848
5/31/2015 13,717 12,827
6/30/2015 13,607 12,719
7/31/2015 13,727 12,821
8/31/2015 13,727 12,827
9/30/2015 13,876 12,936
10/31/2015 13,822 12,891
11/30/2015 13,778 12,840
12/31/2015 13,736 12,818
1/31/2016 14,078 13,084
2/29/2016 14,199 13,196
3/31/2016 14,246 13,218
4/30/2016 14,235 13,205
5/31/2016 14,224 13,205
6/30/2016 14,557 13,487
7/31/2016 14,602 13,540
8/31/2016 14,502 13,469
9/30/2016 14,513 13,453
10/31/2016 14,367 13,311
11/30/2016 13,909 12,966
12/31/2016 13,894 12,952
1/31/2017 13,939 12,982
2/28/2017 14,018 13,045
3/31/2017 14,028 13,040
4/30/2017 14,152 13,130
5/31/2017 14,243 13,214
6/30/2017 14,189 13,193
7/31/2017 14,246 13,216
8/31/2017 14,405 13,356
9/30/2017 14,246 13,244
10/31/2017 14,234 13,229
11/30/2017 14,188 13,210
12/31/2017 14,202 13,250
1/31/2018 13,972 13,074
2/28/2018 13,880 12,978
3/31/2018 13,999 13,098
4/30/2018 13,849 12,993
5/31/2018 13,964 13,108
6/30/2018 13,983 13,110
7/31/2018 13,925 13,057 Past performance is not predictive of
8/31/2018 14,041 13,156 future performance.
9/30/2018 13,921 13,036
10/31/2018 13,886 12,975 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------- Bloomberg Barclays data provided by
-2.44% 1.33% 3.34% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO VS.
ICE BOFAML 1-5 YEAR US CORPORATE & GOVERNMENT INDEX
MARCH 4, 2009-OCTOBER 31, 2018
[CHART]
DFA Short-Term Extended ICE BofAML 1-5 Year US Corporate
Quality Portfolio & Government Index
----------------------- ----------------------------------
3/4/2009 $10,000 $10,000
3/31/2009 10,030 10,077
4/30/2009 10,135 10,138
5/31/2009 10,251 10,223
6/30/2009 10,348 10,251
7/31/2009 10,501 10,329
8/31/2009 10,602 10,414
9/30/2009 10,681 10,476
10/31/2009 10,749 10,524
11/30/2009 10,880 10,628
12/31/2009 10,774 10,522
1/31/2010 10,918 10,641
2/28/2010 10,964 10,679
3/31/2010 10,958 10,655
4/30/2010 11,041 10,712
5/31/2010 11,047 10,754
6/30/2010 11,135 10,837
7/31/2010 11,258 10,922
8/31/2010 11,347 10,980
9/30/2010 11,404 11,022
10/31/2010 11,473 11,072
11/30/2010 11,403 11,024
12/31/2010 11,329 10,960
1/31/2011 11,381 11,002
2/28/2011 11,381 10,992
3/31/2011 11,383 10,994
4/30/2011 11,500 11,083
5/31/2011 11,575 11,159
6/30/2011 11,564 11,157
7/31/2011 11,671 11,241
8/31/2011 11,691 11,290
9/30/2011 11,648 11,250
10/31/2011 11,692 11,287
11/30/2011 11,615 11,269
12/31/2011 11,660 11,300
1/31/2012 11,768 11,373
2/29/2012 11,808 11,374
3/31/2012 11,817 11,370
4/30/2012 11,859 11,420
5/31/2012 11,866 11,429
6/30/2012 11,885 11,439
7/31/2012 11,989 11,507
8/31/2012 12,021 11,530
9/30/2012 12,062 11,551
10/31/2012 12,069 11,554
11/30/2012 12,087 11,578
12/31/2012 12,083 11,579
1/31/2013 12,072 11,574
2/28/2013 12,112 11,606
3/31/2013 12,125 11,614
4/30/2013 12,171 11,649
5/31/2013 12,111 11,590
6/30/2013 12,013 11,521
7/31/2013 12,062 11,561
8/31/2013 12,021 11,533
9/30/2013 12,108 11,599
10/31/2013 12,164 11,644
11/30/2013 12,190 11,664
12/31/2013 12,132 11,615
1/31/2014 12,211 11,672
2/28/2014 12,242 11,699
3/31/2014 12,213 11,667
4/30/2014 12,251 11,702
5/31/2014 12,311 11,757
6/30/2014 12,304 11,752
7/31/2014 12,284 11,726
8/31/2014 12,321 11,768
9/30/2014 12,290 11,744
10/31/2014 12,339 11,798
11/30/2014 12,388 11,835
12/31/2014 12,336 11,791
1/31/2015 12,474 11,905
2/28/2015 12,431 11,862
3/31/2015 12,471 11,909
4/30/2015 12,486 11,917
5/31/2015 12,487 11,928
6/30/2015 12,446 11,910
7/31/2015 12,474 11,931
8/31/2015 12,456 11,924
9/30/2015 12,530 11,980
10/31/2015 12,522 11,968
11/30/2015 12,519 11,940
12/31/2015 12,479 11,914
1/31/2016 12,572 12,020
2/29/2016 12,574 12,044
3/31/2016 12,696 12,106
4/30/2016 12,748 12,124
5/31/2016 12,731 12,112
6/30/2016 12,855 12,225
7/31/2016 12,887 12,237
8/31/2016 12,858 12,213
9/30/2016 12,875 12,231
10/31/2016 12,859 12,212
11/30/2016 12,724 12,099
12/31/2016 12,736 12,107
1/31/2017 12,774 12,135
2/28/2017 12,815 12,166
3/31/2017 12,838 12,175
4/30/2017 12,892 12,218
5/31/2017 12,936 12,254
6/30/2017 12,933 12,242
7/31/2017 12,988 12,285
8/31/2017 13,023 12,327
9/30/2017 12,999 12,296
10/31/2017 13,012 12,292
11/30/2017 12,979 12,258
12/31/2017 12,986 12,262
1/31/2018 12,926 12,199
2/28/2018 12,902 12,174
3/31/2018 12,926 12,202
4/30/2018 12,918 12,169
5/31/2018 12,962 12,225
6/30/2018 12,969 12,223
7/31/2018 12,991 12,227 Past performance is not predictive of
8/31/2018 13,048 12,281 future performance.
9/30/2018 13,043 12,257
10/31/2018 13,041 12,264 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
-------------------------------------------------------------- ICE BofAML index data copyright 2018
0.22% 1.40% 2.79% ICE Data Indices, LLC.
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. CREDIT BOND INDEX
JULY 20, 2010-OCTOBER 31, 2018
[CHART]
DFA Intermediate-Term Bloomberg Barclays U.S.
Extended Quality Portfolio Credit Bond Index
-------------------------- ------------------------
7/20/2010 $10,000 $10,000
7/31/2010 10,020 10,093
8/31/2010 10,230 10,296
9/30/2010 10,282 10,362
10/31/2010 10,315 10,376
11/30/2010 10,195 10,273
12/31/2010 9,963 10,169
1/31/2011 9,983 10,191
2/28/2011 10,018 10,264
3/31/2011 10,015 10,260
4/30/2011 10,184 10,434
5/31/2011 10,363 10,594
6/30/2011 10,278 10,516
7/31/2011 10,583 10,769
8/31/2011 10,745 10,808
9/30/2011 10,773 10,835
10/31/2011 10,825 10,993
11/30/2011 10,683 10,809
12/31/2011 10,897 11,019
1/31/2012 11,085 11,248
2/29/2012 11,133 11,333
3/31/2012 11,032 11,243
4/30/2012 11,228 11,394
5/31/2012 11,359 11,471
6/30/2012 11,356 11,520
7/31/2012 11,607 11,832
8/31/2012 11,644 11,857
9/30/2012 11,715 11,928
10/31/2012 11,819 12,061
11/30/2012 11,850 12,061
12/31/2012 11,798 12,051
1/31/2013 11,658 11,946
2/28/2013 11,770 12,030
3/31/2013 11,804 12,030
4/30/2013 11,989 12,247
5/31/2013 11,676 11,958
6/30/2013 11,290 11,617
7/31/2013 11,362 11,700
8/31/2013 11,224 11,605
9/30/2013 11,364 11,701
10/31/2013 11,509 11,870
11/30/2013 11,448 11,838
12/31/2013 11,348 11,809
1/31/2014 11,657 12,007
2/28/2014 11,730 12,138
3/31/2014 11,715 12,153
4/30/2014 11,855 12,297
5/31/2014 12,052 12,471
6/30/2014 12,051 12,481
7/31/2014 12,035 12,476
8/31/2014 12,223 12,656
9/30/2014 12,070 12,478
10/31/2014 12,189 12,611
11/30/2014 12,310 12,697
12/31/2014 12,263 12,697
1/31/2015 12,720 13,057
2/28/2015 12,563 12,927
3/31/2015 12,629 12,972
4/30/2015 12,579 12,896
5/31/2015 12,498 12,822
6/30/2015 12,275 12,598
7/31/2015 12,373 12,677
8/31/2015 12,288 12,602
9/30/2015 12,473 12,665
10/31/2015 12,513 12,725
11/30/2015 12,502 12,697
12/31/2015 12,420 12,600
1/31/2016 12,547 12,666
2/29/2016 12,642 12,771
3/31/2016 12,918 13,093
4/30/2016 13,054 13,253
5/31/2016 13,037 13,247
6/30/2016 13,346 13,549
7/31/2016 13,500 13,727
8/31/2016 13,484 13,754
9/30/2016 13,477 13,716
10/31/2016 13,340 13,599
11/30/2016 12,885 13,228
12/31/2016 12,921 13,309
1/31/2017 12,971 13,354
2/28/2017 13,110 13,502
3/31/2017 13,112 13,481
4/30/2017 13,278 13,616
5/31/2017 13,410 13,763
6/30/2017 13,396 13,799
7/31/2017 13,515 13,900
8/31/2017 13,653 14,016
9/30/2017 13,553 13,985
10/31/2017 13,614 14,032
11/30/2017 13,564 14,019
12/31/2017 13,640 14,131
1/31/2018 13,422 14,000
2/28/2018 13,247 13,788
3/31/2018 13,286 13,830
4/30/2018 13,141 13,704
5/31/2018 13,218 13,773
6/30/2018 13,177 13,709
7/31/2018 13,254 13,807 Past performance is not predictive of
8/31/2018 13,355 13,878 future performance.
9/30/2018 13,273 13,831
10/31/2018 13,133 13,637 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
------------------------------------------------------- Bloomberg Barclays data provided by
-3.53% 2.67% 3.35% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
DFA TARGETED CREDIT PORTFOLIO VS.
BLOOMBERG BARCLAYS GLOBAL AGGREGATE CREDIT 1-5 YEAR (HEDGED TO USD)
MAY 20, 2015-OCTOBER 31, 2018
[CHART]
Bloomberg Barclays Global
DFA Targeted Aggregate Credit 1-5 year
Credit Portfolio (Hedged to USD)
------------------ -----------------------------------
5/20/2015 $10,000 $10,000
5/31/2015 10,000 10,015
6/30/2015 9,941 9,980
7/31/2015 9,973 10,006
8/31/2015 9,957 9,991
9/30/2015 10,022 10,003
10/31/2015 10,018 10,028
11/30/2015 10,013 10,031
12/31/2015 9,969 10,008
1/31/2016 10,016 10,054
2/29/2016 10,018 10,071
3/31/2016 10,149 10,157
4/30/2016 10,205 10,195
5/31/2016 10,200 10,205
6/30/2016 10,320 10,278
7/31/2016 10,379 10,323
8/31/2016 10,366 10,335
9/30/2016 10,380 10,350
10/31/2016 10,358 10,343
11/30/2016 10,222 10,276
12/31/2016 10,238 10,298
1/31/2017 10,271 10,328
2/28/2017 10,319 10,377
3/31/2017 10,331 10,383
4/30/2017 10,400 10,428
5/31/2017 10,451 10,468
6/30/2017 10,443 10,460
7/31/2017 10,514 10,512
8/31/2017 10,546 10,550
9/30/2017 10,535 10,542
10/31/2017 10,559 10,569
11/30/2017 10,521 10,554
12/31/2017 10,521 10,564
1/31/2018 10,479 10,537
2/28/2018 10,437 10,524
3/31/2018 10,437 10,538
4/30/2018 10,429 10,537
5/31/2018 10,470 10,573
6/30/2018 10,471 10,579
7/31/2018 10,503 10,605 Past performance is not predictive of
8/31/2018 10,555 10,649 future performance.
9/30/2018 10,547 10,648
10/31/2018 10,540 10,652 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION
----------------------------------------------------------- Bloomberg Barclays data provided by
-0.18% 1.54% Bloomberg Finance L.P.
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS GLOBAL AGGREGATE BOND INDEX (HEDGED TO USD)
JANUARY 11, 2018-OCTOBER 31, 2018
[CHART]
Bloomberg Barclays Global
DFA Global Core Plus Aggregate Bond Index
Fixed Income Portfolio (hedged to USD)
---------------------- -------------------------
1/11/2018 $10,000 $10,000
1/31/2018 9,910 9,966
2/28/2018 9,860 9,943
3/31/2018 9,895 10,026
4/30/2018 9,875 9,989
5/31/2018 9,915 10,026
6/30/2018 9,924 10,045 Past performance is not predictive of
7/31/2018 9,944 10,047 future performance.
8/31/2018 10,004 10,078
9/30/2018 9,954 10,040 The returns shown do not reflect the
10/31/2018 9,944 10,020 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL SINCE redemption of fund shares.
TOTAL RETURN INCEPTION
---------------------------------------------- Bloomberg Barclays data provided by
-0.56% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
DFA INVESTMENT GRADE PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX
MARCH 7, 2011-OCTOBER 31, 2018
[CHART]
DFA Investment Grade Bloomberg Barclays U.S.
Portfolio Aggregate Bond Index
--------------------------- -------------------------
3/7/2011 $10,000 $10,000
3/31/2011 10,040 10,026
4/30/2011 10,180 10,153
5/31/2011 10,330 10,285
6/30/2011 10,273 10,255
7/31/2011 10,505 10,418
8/31/2011 10,686 10,570
9/30/2011 10,725 10,647
10/31/2011 10,735 10,658
11/30/2011 10,694 10,649
12/31/2011 10,831 10,766
1/31/2012 10,953 10,861
2/29/2012 10,963 10,858
3/31/2012 10,899 10,799
4/30/2012 11,042 10,919
5/31/2012 11,145 11,017
6/30/2012 11,140 11,022
7/31/2012 11,295 11,174
8/31/2012 11,336 11,181
9/30/2012 11,371 11,196
10/31/2012 11,402 11,218
11/30/2012 11,443 11,236
12/31/2012 11,406 11,220
1/31/2013 11,322 11,142
2/28/2013 11,396 11,197
3/31/2013 11,418 11,206
4/30/2013 11,533 11,320
5/31/2013 11,313 11,118
6/30/2013 11,045 10,946
7/31/2013 11,098 10,961
8/31/2013 10,982 10,905
9/30/2013 11,116 11,008
10/31/2013 11,222 11,097
11/30/2013 11,180 11,055
12/31/2013 11,078 10,993
1/31/2014 11,314 11,155
2/28/2014 11,367 11,215
3/31/2014 11,349 11,196
4/30/2014 11,446 11,290
5/31/2014 11,596 11,419
6/30/2014 11,583 11,424
7/31/2014 11,561 11,396
8/31/2014 11,702 11,522
9/30/2014 11,595 11,443
10/31/2014 11,704 11,556
11/30/2014 11,801 11,638
12/31/2014 11,768 11,649
1/31/2015 12,119 11,893
2/28/2015 11,976 11,781
3/31/2015 12,053 11,836
4/30/2015 12,020 11,793
5/31/2015 11,987 11,765
6/30/2015 11,847 11,637
7/31/2015 11,936 11,718
8/31/2015 11,891 11,701
9/30/2015 12,028 11,780
10/31/2015 12,028 11,782
11/30/2015 12,017 11,751
12/31/2015 11,957 11,713
1/31/2016 12,125 11,874
2/29/2016 12,204 11,958
3/31/2016 12,358 12,068
4/30/2016 12,415 12,114
5/31/2016 12,392 12,117
6/30/2016 12,645 12,335
7/31/2016 12,713 12,413
8/31/2016 12,668 12,399
9/30/2016 12,686 12,392
10/31/2016 12,583 12,297
11/30/2016 12,253 12,006
12/31/2016 12,265 12,023
1/31/2017 12,299 12,047
2/28/2017 12,391 12,127
3/31/2017 12,398 12,121
4/30/2017 12,513 12,215
5/31/2017 12,606 12,309
6/30/2017 12,583 12,296
7/31/2017 12,664 12,349
8/31/2017 12,780 12,460
9/30/2017 12,680 12,401
10/31/2017 12,692 12,408
11/30/2017 12,645 12,392
12/31/2017 12,678 12,449
1/31/2018 12,514 12,305
2/28/2018 12,409 12,189
3/31/2018 12,462 12,267
4/30/2018 12,356 12,176
5/31/2018 12,438 12,263
6/30/2018 12,427 12,247
7/31/2018 12,439 12,250 Past performance is not predictive of
8/31/2018 12,534 12,329 future performance.
9/30/2018 12,450 12,250
10/31/2018 12,390 12,153 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
-------------------------------------------------------------- Bloomberg Barclays data provided by
-2.38% 2.00% 2.84% Bloomberg Finance L.P.
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA DIVERSIFIED FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. INTERMEDIATE GOVERNMENT BOND INDEX
AUGUST 10, 2016-OCTOBER 31, 2018
[CHART]
DFA Intermediate-Term Bloomberg Barclays U.S.
Extended Quality Portfolio Credit Bond Index
-------------------------- ------------------------
7/20/2010 $10,000 $10,000
7/31/2010 10,020 10,093
8/31/2010 10,230 10,296
9/30/2010 10,282 10,362
10/31/2010 10,315 10,376
11/30/2010 10,195 10,273
12/31/2010 9,963 10,169
1/31/2011 9,983 10,191
2/28/2011 10,018 10,264
3/31/2011 10,015 10,260
4/30/2011 10,184 10,434
5/31/2011 10,363 10,594
6/30/2011 10,278 10,516
7/31/2011 10,583 10,769
8/31/2011 10,745 10,808
9/30/2011 10,773 10,835
10/31/2011 10,825 10,993
11/30/2011 10,683 10,809
12/31/2011 10,897 11,019
1/31/2012 11,085 11,248
2/29/2012 11,133 11,333
3/31/2012 11,032 11,243
4/30/2012 11,228 11,394
5/31/2012 11,359 11,471
6/30/2012 11,356 11,520
7/31/2012 11,607 11,832
8/31/2012 11,644 11,857
9/30/2012 11,715 11,928
10/31/2012 11,819 12,061
11/30/2012 11,850 12,061
12/31/2012 11,798 12,051
1/31/2013 11,658 11,946
2/28/2013 11,770 12,030
3/31/2013 11,804 12,030
4/30/2013 11,989 12,247
5/31/2013 11,676 11,958
6/30/2013 11,290 11,617
7/31/2013 11,362 11,700
8/31/2013 11,224 11,605
9/30/2013 11,364 11,701
10/31/2013 11,509 11,870
11/30/2013 11,448 11,838
12/31/2013 11,348 11,809
1/31/2014 11,657 12,007
2/28/2014 11,730 12,138
3/31/2014 11,715 12,153
4/30/2014 11,855 12,297
5/31/2014 12,052 12,471
6/30/2014 12,051 12,481
7/31/2014 12,035 12,476
8/31/2014 12,223 12,656
9/30/2014 12,070 12,478
10/31/2014 12,189 12,611
11/30/2014 12,310 12,697
12/31/2014 12,263 12,697
1/31/2015 12,720 13,057
2/28/2015 12,563 12,927
3/31/2015 12,629 12,972
4/30/2015 12,579 12,896
5/31/2015 12,498 12,822
6/30/2015 12,275 12,598
7/31/2015 12,373 12,677
8/31/2015 12,288 12,602
9/30/2015 12,473 12,665
10/31/2015 12,513 12,725
11/30/2015 12,502 12,697
12/31/2015 12,420 12,600
1/31/2016 12,547 12,666
2/29/2016 12,642 12,771
3/31/2016 12,918 13,093
4/30/2016 13,054 13,253
5/31/2016 13,037 13,247
6/30/2016 13,346 13,549
7/31/2016 13,500 13,727
8/31/2016 13,484 13,754
9/30/2016 13,477 13,716
10/31/2016 13,340 13,599
11/30/2016 12,885 13,228
12/31/2016 12,921 13,309
1/31/2017 12,971 13,354
2/28/2017 13,110 13,502
3/31/2017 13,112 13,481
4/30/2017 13,278 13,616
5/31/2017 13,410 13,763
6/30/2017 13,396 13,799
7/31/2017 13,515 13,900
8/31/2017 13,653 14,016
9/30/2017 13,553 13,985
10/31/2017 13,614 14,032
11/30/2017 13,564 14,019
12/31/2017 13,640 14,131
1/31/2018 13,422 14,000
2/28/2018 13,247 13,788
3/31/2018 13,286 13,830
4/30/2018 13,141 13,704
5/31/2018 13,218 13,773
6/30/2018 13,177 13,709
7/31/2018 13,254 13,807 Past performance is not predictive of
8/31/2018 13,355 13,878 future performance.
9/30/2018 13,273 13,831
10/31/2018 13,133 13,637 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION
--------------------------------------------------- Bloomberg Barclays data provided by
-1.05% -0.78% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
DFA LTIP PORTFOLIO VS.
FTSE U.S. INFLATION-LINKED SECURITIES INDEX, 20+ YEARS
MARCH 7, 2012-OCTOBER 31, 2018
[CHART]
FTSE U.S. Inflation-
Linked Securities Index,
DFA LTIP Portfolio 20+ Years
--------------------- -------------------------
3/7/2012 $10,000 $10,000
3/31/2012 9,770 9,821
4/30/2012 10,310 10,266
5/31/2012 10,890 10,921
6/30/2012 10,751 10,847
7/31/2012 11,403 11,424
8/31/2012 11,152 11,175
9/30/2012 11,092 11,148
10/31/2012 11,423 11,432
11/30/2012 11,464 11,528
12/31/2012 11,239 11,314
1/31/2013 10,847 10,952
2/28/2013 10,817 10,947
3/31/2013 10,666 10,809
4/30/2013 11,159 11,318
5/31/2013 9,842 10,024
6/30/2013 9,044 9,391
7/31/2013 9,014 9,290
8/31/2013 8,659 9,022
9/30/2013 8,881 9,195
10/31/2013 8,963 9,258
11/30/2013 8,545 8,887
12/31/2013 8,309 8,696
1/31/2014 8,963 9,275
2/28/2014 8,983 9,321
3/31/2014 9,075 9,416
4/30/2014 9,423 9,747
5/31/2014 9,893 10,169
6/30/2014 9,981 10,258
7/31/2014 10,097 10,411
8/31/2014 10,432 10,698
9/30/2014 9,762 10,063
10/31/2014 10,059 10,362
11/30/2014 10,281 10,486
12/31/2014 10,356 10,637
1/31/2015 10,727 11,406
2/28/2015 10,282 11,024
3/31/2015 10,176 10,893
4/30/2015 10,123 10,835
5/31/2015 9,700 10,453
6/30/2015 9,318 10,049
7/31/2015 9,562 10,241
8/31/2015 9,318 10,045
9/30/2015 9,058 9,719
10/31/2015 9,250 9,907
11/30/2015 9,271 9,917
12/31/2015 9,047 9,745
1/31/2016 9,346 9,990
2/29/2016 9,623 10,295
3/31/2016 10,028 10,694
4/30/2016 10,071 10,753
5/31/2016 9,911 10,618
6/30/2016 10,499 11,143
7/31/2016 10,918 11,584
8/31/2016 10,929 11,607
9/30/2016 10,920 11,496
10/31/2016 10,628 11,277
11/30/2016 10,086 10,824
12/31/2016 9,986 10,665
1/31/2017 10,118 10,803
2/28/2017 10,260 10,975
3/31/2017 10,176 10,892
4/30/2017 10,275 11,033
5/31/2017 10,264 11,027
6/30/2017 10,112 10,848
7/31/2017 10,123 10,848
8/31/2017 10,444 11,173
9/30/2017 10,293 11,054
10/31/2017 10,360 11,110
11/30/2017 10,527 11,290
12/31/2017 10,944 11,673
1/31/2018 10,764 11,529
2/28/2018 10,301 11,059
3/31/2018 10,538 11,317
4/30/2018 10,549 11,380
5/31/2018 10,549 11,371
6/30/2018 10,758 11,504
7/31/2018 10,644 11,407 Past performance is not predictive of
8/31/2018 10,724 11,515 future performance.
9/30/2018 10,389 11,158
10/31/2018 9,766 10,563 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
------------------------------------------------------- FTSE fixed income indices (C) 2018 FTSE
-5.73% 1.73% -0.35% Fixed Income LLC. All rights reserved.
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA Inflation-Protected Bloomberg Barclays
Securities Portfolio U.S. TIPS Index
------------------------- --------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,032 10,071
12/31/2008 10,663 10,570
1/31/2009 10,792 10,749
2/28/2009 10,534 10,538
3/31/2009 11,211 11,154
4/30/2009 11,039 10,945
5/31/2009 11,200 11,176
6/30/2009 11,211 11,227
7/31/2009 11,243 11,235
8/31/2009 11,351 11,334
9/30/2009 11,587 11,573
10/31/2009 11,770 11,715
11/30/2009 12,093 12,040
12/31/2009 11,837 11,776
1/31/2010 12,022 11,966
2/28/2010 11,914 11,828
3/31/2010 11,897 11,843
4/30/2010 12,213 12,124
5/31/2010 12,202 12,123
6/30/2010 12,401 12,296
7/31/2010 12,412 12,314
8/31/2010 12,632 12,526
9/30/2010 12,767 12,601
10/31/2010 13,098 12,935
11/30/2010 12,888 12,716
12/31/2010 12,644 12,520
1/31/2011 12,711 12,544
2/28/2011 12,789 12,652
3/31/2011 12,906 12,780
4/30/2011 13,232 13,101
5/31/2011 13,322 13,141
6/30/2011 13,439 13,247
7/31/2011 14,001 13,766
8/31/2011 14,138 13,878
9/30/2011 14,084 13,845
10/31/2011 14,328 14,103
11/30/2011 14,467 14,212
12/31/2011 14,482 14,217
1/31/2012 14,814 14,543
2/29/2012 14,766 14,495
3/31/2012 14,612 14,340
4/30/2012 14,944 14,630
5/31/2012 15,181 14,875
6/30/2012 15,095 14,792
7/31/2012 15,358 15,072
8/31/2012 15,358 15,029
9/30/2012 15,466 15,106
10/31/2012 15,574 15,236
11/30/2012 15,670 15,309
12/31/2012 15,561 15,209
1/31/2013 15,452 15,107
2/28/2013 15,476 15,112
3/31/2013 15,525 15,154
4/30/2013 15,646 15,275
5/31/2013 14,953 14,609
6/30/2013 14,291 14,085
7/31/2013 14,450 14,188
8/31/2013 14,181 13,982
9/30/2013 14,474 14,184
10/31/2013 14,548 14,262
11/30/2013 14,388 14,107
12/31/2013 14,119 13,900
1/31/2014 14,451 14,175
2/28/2014 14,500 14,239
3/31/2014 14,390 14,171
4/30/2014 14,599 14,362
5/31/2014 14,919 14,667
6/30/2014 14,962 14,711
7/31/2014 14,949 14,715
8/31/2014 15,024 14,779
9/30/2014 14,623 14,410
10/31/2014 14,748 14,533
11/30/2014 14,811 14,571
12/31/2014 14,594 14,406
1/31/2015 15,122 14,860
2/28/2015 14,908 14,681
3/31/2015 14,858 14,611
4/30/2015 14,971 14,719
5/31/2015 14,833 14,598
6/30/2015 14,694 14,456
7/31/2015 14,770 14,486
8/31/2015 14,631 14,375
9/30/2015 14,579 14,290
10/31/2015 14,604 14,326
11/30/2015 14,579 14,313
12/31/2015 14,415 14,199
1/31/2016 14,694 14,410
2/29/2016 14,871 14,570
3/31/2016 15,137 14,832
4/30/2016 15,175 14,883
5/31/2016 15,049 14,778
6/30/2016 15,399 15,085
7/31/2016 15,489 15,216
8/31/2016 15,399 15,148
9/30/2016 15,551 15,231
10/31/2016 15,474 15,170
11/30/2016 15,103 14,879
12/31/2016 15,088 14,864
1/31/2017 15,256 14,989
2/28/2017 15,321 15,060
3/31/2017 15,315 15,052
4/30/2017 15,431 15,141
5/31/2017 15,431 15,134
6/30/2017 15,263 14,991
7/31/2017 15,380 15,057
8/31/2017 15,550 15,218
9/30/2017 15,394 15,120
10/31/2017 15,433 15,153
11/30/2017 15,433 15,172
12/31/2017 15,583 15,311
1/31/2018 15,397 15,180
2/28/2018 15,252 15,032
3/31/2018 15,411 15,190
4/30/2018 15,371 15,181
5/31/2018 15,437 15,246
6/30/2018 15,527 15,307
7/31/2018 15,434 15,234 Past performance is not predictive of
8/31/2018 15,554 15,343 future performance.
9/30/2018 15,386 15,182
10/31/2018 15,197 14,964 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------- Bloomberg Barclays data provided by
-1.53% 0.88% 4.27% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
DFA SHORT DURATION REAL RETURN PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS 1-5 YEARS INDEX
NOVEMBER 5, 2013-OCTOBER 31, 2018
[CHART]
DFA Investment Grade Bloomberg Barclays U.S.
Portfolio Aggregate Bond Index
--------------------------- -------------------------
3/7/2011 $10,000 $10,000
3/31/2011 10,040 10,026
4/30/2011 10,180 10,153
5/31/2011 10,330 10,285
6/30/2011 10,273 10,255
7/31/2011 10,505 10,418
8/31/2011 10,686 10,570
9/30/2011 10,725 10,647
10/31/2011 10,735 10,658
11/30/2011 10,694 10,649
12/31/2011 10,831 10,766
1/31/2012 10,953 10,861
2/29/2012 10,963 10,858
3/31/2012 10,899 10,799
4/30/2012 11,042 10,919
5/31/2012 11,145 11,017
6/30/2012 11,140 11,022
7/31/2012 11,295 11,174
8/31/2012 11,336 11,181
9/30/2012 11,371 11,196
10/31/2012 11,402 11,218
11/30/2012 11,443 11,236
12/31/2012 11,406 11,220
1/31/2013 11,322 11,142
2/28/2013 11,396 11,197
3/31/2013 11,418 11,206
4/30/2013 11,533 11,320
5/31/2013 11,313 11,118
6/30/2013 11,045 10,946
7/31/2013 11,098 10,961
8/31/2013 10,982 10,905
9/30/2013 11,116 11,008
10/31/2013 11,222 11,097
11/30/2013 11,180 11,055
12/31/2013 11,078 10,993
1/31/2014 11,314 11,155
2/28/2014 11,367 11,215
3/31/2014 11,349 11,196
4/30/2014 11,446 11,290
5/31/2014 11,596 11,419
6/30/2014 11,583 11,424
7/31/2014 11,561 11,396
8/31/2014 11,702 11,522
9/30/2014 11,595 11,443
10/31/2014 11,704 11,556
11/30/2014 11,801 11,638
12/31/2014 11,768 11,649
1/31/2015 12,119 11,893
2/28/2015 11,976 11,781
3/31/2015 12,053 11,836
4/30/2015 12,020 11,793
5/31/2015 11,987 11,765
6/30/2015 11,847 11,637
7/31/2015 11,936 11,718
8/31/2015 11,891 11,701
9/30/2015 12,028 11,780
10/31/2015 12,028 11,782
11/30/2015 12,017 11,751
12/31/2015 11,957 11,713
1/31/2016 12,125 11,874
2/29/2016 12,204 11,958
3/31/2016 12,358 12,068
4/30/2016 12,415 12,114
5/31/2016 12,392 12,117
6/30/2016 12,645 12,335
7/31/2016 12,713 12,413
8/31/2016 12,668 12,399
9/30/2016 12,686 12,392
10/31/2016 12,583 12,297
11/30/2016 12,253 12,006
12/31/2016 12,265 12,023
1/31/2017 12,299 12,047
2/28/2017 12,391 12,127
3/31/2017 12,398 12,121
4/30/2017 12,513 12,215
5/31/2017 12,606 12,309
6/30/2017 12,583 12,296
7/31/2017 12,664 12,349
8/31/2017 12,780 12,460
9/30/2017 12,680 12,401
10/31/2017 12,692 12,408
11/30/2017 12,645 12,392
12/31/2017 12,678 12,449
1/31/2018 12,514 12,305
2/28/2018 12,409 12,189
3/31/2018 12,462 12,267
4/30/2018 12,356 12,176
5/31/2018 12,438 12,263
6/30/2018 12,427 12,247
7/31/2018 12,439 12,250 Past performance is not predictive of
8/31/2018 12,534 12,329 future performance.
9/30/2018 12,450 12,250
10/31/2018 12,390 12,153 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION
-------------------------------------------------------- Bloomberg Barclays data provided by
0.70% 0.94% Bloomberg Finance L.P.
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA MUNICIPAL REAL RETURN PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 4, 2014-OCTOBER 31, 2018
[CHART]
DFA Diversified Fixed Bloomberg Barclays U.S. Intermediate
Income Portfolio Government Bond Index
----------------------- ------------------------------------
8/10/2016 $10,000 $10,000
8/31/2016 9,980 9,968
9/30/2016 9,996 9,985
10/31/2016 9,936 9,937
11/30/2016 9,755 9,770
12/31/2016 9,755 9,767
1/31/2017 9,785 9,787
2/28/2017 9,825 9,815
3/31/2017 9,829 9,820
4/30/2017 9,880 9,871
5/31/2017 9,920 9,910
6/30/2017 9,895 9,884
7/31/2017 9,925 9,916
8/31/2017 9,996 9,976
9/30/2017 9,910 9,918
10/31/2017 9,930 9,906
11/30/2017 9,910 9,876
12/31/2017 9,919 9,878
1/31/2018 9,826 9,784
2/28/2018 9,785 9,755
3/31/2018 9,843 9,806
4/30/2018 9,792 9,751
5/31/2018 9,853 9,813
6/30/2018 9,861 9,812 Past performance is not predictive of
7/31/2018 9,841 9,793 future performance.
8/31/2018 9,903 9,851
9/30/2018 9,857 9,801 The returns shown do not reflect the
10/31/2018 9,826 9,805 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION Copyright 2018 S&P Dow Jones Indices
----------------------------------------------------------- LLC, a division of S&P Global. All rights
-0.86% 0.48% reserved.
--------------------------------------------------------------------------------
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO VS.
S&P INTERMEDIATE TERM CALIFORNIA AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 1, 2017-OCTOBER 31, 2018
[CHART]
FTSE U.S. Inflation-
Linked Securities Index,
DFA LTIP Portfolio 20+ Years
--------------------- -------------------------
3/7/2012 $10,000 $10,000
3/31/2012 9,770 9,821
4/30/2012 10,310 10,266
5/31/2012 10,890 10,921
6/30/2012 10,751 10,847
7/31/2012 11,403 11,424
8/31/2012 11,152 11,175
9/30/2012 11,092 11,148
10/31/2012 11,423 11,432
11/30/2012 11,464 11,528
12/31/2012 11,239 11,314
1/31/2013 10,847 10,952
2/28/2013 10,817 10,947
3/31/2013 10,666 10,809
4/30/2013 11,159 11,318
5/31/2013 9,842 10,024
6/30/2013 9,044 9,391
7/31/2013 9,014 9,290
8/31/2013 8,659 9,022
9/30/2013 8,881 9,195
10/31/2013 8,963 9,258
11/30/2013 8,545 8,887
12/31/2013 8,309 8,696
1/31/2014 8,963 9,275
2/28/2014 8,983 9,321
3/31/2014 9,075 9,416
4/30/2014 9,423 9,747
5/31/2014 9,893 10,169
6/30/2014 9,981 10,258
7/31/2014 10,097 10,411
8/31/2014 10,432 10,698
9/30/2014 9,762 10,063
10/31/2014 10,059 10,362
11/30/2014 10,281 10,486
12/31/2014 10,356 10,637
1/31/2015 10,727 11,406
2/28/2015 10,282 11,024
3/31/2015 10,176 10,893
4/30/2015 10,123 10,835
5/31/2015 9,700 10,453
6/30/2015 9,318 10,049
7/31/2015 9,562 10,241
8/31/2015 9,318 10,045
9/30/2015 9,058 9,719
10/31/2015 9,250 9,907
11/30/2015 9,271 9,917
12/31/2015 9,047 9,745
1/31/2016 9,346 9,990
2/29/2016 9,623 10,295
3/31/2016 10,028 10,694
4/30/2016 10,071 10,753
5/31/2016 9,911 10,618
6/30/2016 10,499 11,143
7/31/2016 10,918 11,584
8/31/2016 10,929 11,607
9/30/2016 10,920 11,496
10/31/2016 10,628 11,277
11/30/2016 10,086 10,824
12/31/2016 9,986 10,665
1/31/2017 10,118 10,803
2/28/2017 10,260 10,975
3/31/2017 10,176 10,892
4/30/2017 10,275 11,033
5/31/2017 10,264 11,027
6/30/2017 10,112 10,848
7/31/2017 10,123 10,848
8/31/2017 10,444 11,173
9/30/2017 10,293 11,054
10/31/2017 10,360 11,110
11/30/2017 10,527 11,290
12/31/2017 10,944 11,673
1/31/2018 10,764 11,529
2/28/2018 10,301 11,059
3/31/2018 10,538 11,317
4/30/2018 10,549 11,380
5/31/2018 10,549 11,371
6/30/2018 10,758 11,504 Past performance is not predictive of
7/31/2018 10,644 11,407 future performance
8/31/2018 10,724 11,515 .
9/30/2018 10,389 11,158 The returns shown do not reflect the
10/31/2018 9,766 10,563 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL SINCE
TOTAL RETURN INCEPTION Copyright 2018 S&P Dow Jones Indices
--------------------------------------------- LLC, a division of S&P Global. All rights
-0.86% reserved.
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS (UNAUDITED)
--------------------------------------------------------------------------------
DFA MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
MARCH 10, 2015-OCTOBER 31, 2018
[CHART]
S&P Intermediate Term
DFA Municipal National AMT-Free Municipal
Bond Portfolio Bond Index
---------------- ---------------------------
3/10/2015 $10,000 $10,000
3/31/2015 10,060 10,072
4/30/2015 10,024 10,037
5/31/2015 9,984 10,001
6/30/2015 9,994 9,997
7/31/2015 10,052 10,065
8/31/2015 10,062 10,078
9/30/2015 10,132 10,145
10/31/2015 10,183 10,181
11/30/2015 10,180 10,213
12/31/2015 10,211 10,277
1/31/2016 10,358 10,392
2/29/2016 10,385 10,398
3/31/2016 10,348 10,419
4/30/2016 10,398 10,482
5/31/2016 10,377 10,488
6/30/2016 10,457 10,622
7/31/2016 10,477 10,626
8/31/2016 10,475 10,642
9/30/2016 10,440 10,601
10/31/2016 10,409 10,523
11/30/2016 10,184 10,193
12/31/2016 10,242 10,291
1/31/2017 10,306 10,340
2/28/2017 10,364 10,399
3/31/2017 10,357 10,419
4/30/2017 10,417 10,491
5/31/2017 10,489 10,622
6/30/2017 10,458 10,586
7/31/2017 10,510 10,660
8/31/2017 10,552 10,740
9/30/2017 10,498 10,698
10/31/2017 10,488 10,706
11/30/2017 10,393 10,634
12/31/2017 10,433 10,716
1/31/2018 10,395 10,627
2/28/2018 10,382 10,588
3/31/2018 10,376 10,613
4/30/2018 10,346 10,579
5/31/2018 10,410 10,683
6/30/2018 10,432 10,695 Past performance is not predictive of
7/31/2018 10,466 10,731 future performance.
8/31/2018 10,468 10,743
9/30/2018 10,417 10,689 The returns shown do not reflect the
10/31/2018 10,400 10,636 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION Copyright 2018 S&P Dow Jones Indices
--------------------------------------------------- LLC, a division of S&P Global. All rights
-0.84% 1.08% reserved.
--------------------------------------------------------------------------------
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
ICE BOFAML 1-3 YEAR US MUNICIPAL SECURITIES INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
ICE BofAML 1-3 Year
DFA Short-Term Municipal US Municipal
Bond Portfolio Securities Index
-------------------------- -----------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,083 10,101
12/31/2008 10,158 10,182
1/31/2009 10,279 10,308
2/28/2009 10,252 10,297
3/31/2009 10,298 10,347
4/30/2009 10,327 10,375
5/31/2009 10,315 10,399
6/30/2009 10,322 10,418
7/31/2009 10,421 10,487
8/31/2009 10,408 10,491
9/30/2009 10,466 10,549
10/31/2009 10,431 10,550
11/30/2009 10,529 10,602
12/31/2009 10,533 10,610
1/31/2010 10,564 10,638
2/28/2010 10,595 10,666
3/31/2010 10,536 10,636
4/30/2010 10,564 10,669
5/31/2010 10,610 10,706
6/30/2010 10,636 10,731
7/31/2010 10,713 10,777
8/31/2010 10,760 10,798
9/30/2010 10,722 10,787
10/31/2010 10,716 10,793
11/30/2010 10,689 10,765
12/31/2010 10,649 10,747
1/31/2011 10,649 10,767
2/28/2011 10,672 10,793
3/31/2011 10,708 10,818
4/30/2011 10,753 10,848
5/31/2011 10,799 10,892
6/30/2011 10,813 10,915
7/31/2011 10,850 10,944
8/31/2011 10,906 10,972
9/30/2011 10,878 10,967
10/31/2011 10,850 10,955
11/30/2011 10,861 10,971
12/31/2011 10,902 11,001
1/31/2012 10,934 11,028
2/29/2012 10,955 11,055
3/31/2012 10,927 11,049
4/30/2012 10,950 11,061
5/31/2012 10,952 11,069
6/30/2012 10,965 11,076
7/31/2012 10,979 11,093
8/31/2012 10,989 11,101
9/30/2012 10,991 11,112
10/31/2012 10,991 11,113
11/30/2012 10,991 11,123
12/31/2012 10,982 11,115
1/31/2013 10,993 11,138
2/28/2013 11,000 11,159
3/31/2013 11,001 11,164
4/30/2013 11,010 11,171
5/31/2013 11,008 11,169
6/30/2013 10,984 11,144
7/31/2013 10,992 11,169
8/31/2013 10,989 11,174
9/30/2013 11,008 11,196
10/31/2013 11,038 11,219
11/30/2013 11,035 11,230
12/31/2013 11,032 11,234
1/31/2014 11,065 11,257
2/28/2014 11,089 11,280
3/31/2014 11,045 11,262
4/30/2014 11,063 11,278
5/31/2014 11,093 11,295
6/30/2014 11,090 11,300
7/31/2014 11,098 11,305
8/31/2014 11,138 11,316
9/30/2014 11,125 11,313
10/31/2014 11,134 11,320
11/30/2014 11,142 11,326
12/31/2014 11,095 11,315
1/31/2015 11,193 11,349
2/28/2015 11,144 11,350
3/31/2015 11,143 11,344
4/30/2015 11,140 11,345
5/31/2015 11,116 11,336
6/30/2015 11,145 11,345
7/31/2015 11,176 11,371
8/31/2015 11,184 11,387
9/30/2015 11,214 11,410
10/31/2015 11,245 11,425
11/30/2015 11,226 11,402
12/31/2015 11,223 11,400
1/31/2016 11,302 11,453
2/29/2016 11,330 11,480
3/31/2016 11,287 11,458
4/30/2016 11,316 11,479
5/31/2016 11,303 11,472
6/30/2016 11,355 11,512
7/31/2016 11,386 11,535
8/31/2016 11,372 11,528
9/30/2016 11,335 11,491
10/31/2016 11,322 11,492
11/30/2016 11,209 11,421
12/31/2016 11,228 11,438
1/31/2017 11,293 11,489
2/28/2017 11,334 11,537
3/31/2017 11,325 11,531
4/30/2017 11,354 11,557
5/31/2017 11,398 11,584
6/30/2017 11,373 11,569
7/31/2017 11,404 11,603
8/31/2017 11,426 11,637
9/30/2017 11,410 11,618
10/31/2017 11,398 11,607
11/30/2017 11,349 11,535
12/31/2017 11,357 11,551
1/31/2018 11,370 11,578
2/28/2018 11,388 11,592
3/31/2018 11,380 11,584
4/30/2018 11,366 11,565
5/31/2018 11,399 11,610
6/30/2018 11,420 11,653
7/31/2018 11,442 11,682 Past performance is not predictive of
8/31/2018 11,441 11,684 future performance.
9/30/2018 11,428 11,651
10/31/2018 11,429 11,650 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------- ICE BofAML index data copyright 2018
0.28% 0.70% 1.34% ICE Data Indices, LLC.
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
MARCH 1, 2012-OCTOBER 31, 2018
[CHART]
DFA Intermediate-Term Municipal S&P Intermediate Term National
Bond Portfolio AMT-Free Municipal Bond Index
------------------------------- --------------------------------
3/1/2012 $10,000 $10,000
3/31/2012 9,860 9,930
4/30/2012 9,957 10,029
5/31/2012 10,012 10,093
6/30/2012 9,974 10,082
7/31/2012 10,066 10,209
8/31/2012 10,055 10,219
9/30/2012 10,106 10,278
10/31/2012 10,113 10,288
11/30/2012 10,225 10,425
12/31/2012 10,114 10,292
1/31/2013 10,124 10,338
2/28/2013 10,160 10,378
3/31/2013 10,128 10,329
4/30/2013 10,227 10,420
5/31/2013 10,053 10,300
6/30/2013 9,828 10,061
7/31/2013 9,828 10,026
8/31/2013 9,704 9,911
9/30/2013 9,928 10,084
10/31/2013 10,022 10,163
11/30/2013 9,954 10,143
12/31/2013 9,907 10,116
1/31/2014 10,070 10,278
2/28/2014 10,177 10,379
3/31/2014 10,101 10,359
4/30/2014 10,228 10,467
5/31/2014 10,325 10,560
6/30/2014 10,299 10,552
7/31/2014 10,324 10,574
8/31/2014 10,430 10,676
9/30/2014 10,392 10,672
10/31/2014 10,457 10,718
11/30/2014 10,459 10,724
12/31/2014 10,450 10,767
1/31/2015 10,658 10,923
2/28/2015 10,526 10,825
3/31/2015 10,540 10,843
4/30/2015 10,510 10,805
5/31/2015 10,471 10,767
6/30/2015 10,472 10,763
7/31/2015 10,536 10,835
8/31/2015 10,559 10,850
9/30/2015 10,634 10,921
10/31/2015 10,679 10,960
11/30/2015 10,678 10,994
12/31/2015 10,722 11,063
1/31/2016 10,858 11,187
2/29/2016 10,887 11,194
3/31/2016 10,850 11,217
4/30/2016 10,913 11,285
5/31/2016 10,882 11,291
6/30/2016 10,989 11,435
7/31/2016 11,012 11,439
8/31/2016 11,002 11,456
9/30/2016 10,958 11,412
10/31/2016 10,917 11,328
11/30/2016 10,652 10,973
12/31/2016 10,706 11,078
1/31/2017 10,782 11,132
2/28/2017 10,846 11,194
3/31/2017 10,851 11,217
4/30/2017 10,915 11,294
5/31/2017 11,014 11,435
6/30/2017 10,962 11,396
7/31/2017 11,028 11,476
8/31/2017 11,074 11,562
9/30/2017 11,008 11,517
10/31/2017 11,000 11,525
11/30/2017 10,891 11,448
12/31/2017 10,935 11,536
1/31/2018 10,886 11,440
2/28/2018 10,863 11,398
3/31/2018 10,870 11,426
4/30/2018 10,828 11,389
5/31/2018 10,909 11,500 Past performance is not predictive of
6/30/2018 10,932 11,514 future performance.
7/31/2018 10,958 11,552
8/31/2018 10,961 11,565 The returns shown do not reflect the
9/30/2018 10,908 11,507 deduction of taxes that a shareholder
10/31/2018 10,881 11,450 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION Copyright 2018 S&P Dow Jones Indices
---------------------------------------------------------------- LLC, a division of S&P Global. All rights
-1.08% 1.66% 1.27% reserved.
--------------------------------------------------------------------------------
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
ICE BOFAML 1-3 YEAR CALIFORNIA INCLUDING PUERTO RICO MUNICIPAL SECURITIES INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA California Short-Term ICE BofAML 1-3 Year
Municipal Bond Portfolio California including Puerto Rico
Municipal Securities Index
-------------------------- --------------------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,104 10,090
12/31/2008 10,196 10,146
1/31/2009 10,337 10,255
2/28/2009 10,313 10,263
3/31/2009 10,349 10,309
4/30/2009 10,390 10,357
5/31/2009 10,378 10,386
6/30/2009 10,366 10,390
7/31/2009 10,477 10,465
8/31/2009 10,486 10,468
9/30/2009 10,554 10,542
10/31/2009 10,491 10,537
11/30/2009 10,600 10,598
12/31/2009 10,595 10,607
1/31/2010 10,626 10,631
2/28/2010 10,660 10,659
3/31/2010 10,602 10,637
4/30/2010 10,652 10,675
5/31/2010 10,688 10,712
6/30/2010 10,714 10,739
7/31/2010 10,804 10,796
8/31/2010 10,851 10,828
9/30/2010 10,825 10,821
10/31/2010 10,821 10,821
11/30/2010 10,762 10,778
12/31/2010 10,721 10,747
1/31/2011 10,732 10,772
2/28/2011 10,756 10,809
3/31/2011 10,795 10,839
4/30/2011 10,832 10,863
5/31/2011 10,889 10,908
6/30/2011 10,904 10,940
7/31/2011 10,941 10,975
8/31/2011 10,992 11,002
9/30/2011 10,975 10,998
10/31/2011 10,937 10,985
11/30/2011 10,957 11,001
12/31/2011 11,009 11,031
1/31/2012 11,041 11,056
2/29/2012 11,063 11,082
3/31/2012 11,046 11,076
4/30/2012 11,060 11,085
5/31/2012 11,073 11,093
6/30/2012 11,076 11,105
7/31/2012 11,101 11,124
8/31/2012 11,111 11,129
9/30/2012 11,112 11,135
10/31/2012 11,112 11,139
11/30/2012 11,122 11,150
12/31/2012 11,112 11,132
1/31/2013 11,123 11,160
2/28/2013 11,130 11,181
3/31/2013 11,140 11,183
4/30/2013 11,150 11,189
5/31/2013 11,138 11,185
6/30/2013 11,104 11,159
7/31/2013 11,123 11,192
8/31/2013 11,109 11,183
9/30/2013 11,149 11,190
10/31/2013 11,190 11,211
11/30/2013 11,187 11,221
12/31/2013 11,185 11,220
1/31/2014 11,218 11,238
2/28/2014 11,243 11,261
3/31/2014 11,198 11,246
4/30/2014 11,227 11,265
5/31/2014 11,257 11,287
6/30/2014 11,254 11,296
7/31/2014 11,261 11,297
8/31/2014 11,301 11,307
9/30/2014 11,286 11,311
10/31/2014 11,305 11,313
11/30/2014 11,300 11,319
12/31/2014 11,274 11,312
1/31/2015 11,362 11,345
2/28/2015 11,320 11,350
3/31/2015 11,320 11,345
4/30/2015 11,304 11,349
5/31/2015 11,278 11,342
6/30/2015 11,306 11,340
7/31/2015 11,336 11,370
8/31/2015 11,343 11,385
9/30/2015 11,383 11,412
10/31/2015 11,403 11,425
11/30/2015 11,393 11,399
12/31/2015 11,389 11,396
1/31/2016 11,468 11,451
2/29/2016 11,495 11,476
3/31/2016 11,462 11,455
4/30/2016 11,491 11,471
5/31/2016 11,466 11,465
6/30/2016 11,518 11,504
7/31/2016 11,548 11,524
8/31/2016 11,534 11,521
9/30/2016 11,506 11,479
10/31/2016 11,493 11,481
11/30/2016 11,378 11,405
12/31/2016 11,397 11,422
1/31/2017 11,450 11,476
2/28/2017 11,490 11,522
3/31/2017 11,480 11,513
4/30/2017 11,521 11,539
5/31/2017 11,563 11,564
6/30/2017 11,538 11,549
7/31/2017 11,579 11,581
8/31/2017 11,601 11,609
9/30/2017 11,573 11,591
10/31/2017 11,572 11,580
11/30/2017 11,512 11,501
12/31/2017 11,519 11,514
1/31/2018 11,541 11,549
2/28/2018 11,547 11,562
3/31/2018 11,537 11,552
4/30/2018 11,523 11,534
5/31/2018 11,567 11,590 Past performance is not predictive of
6/30/2018 11,598 11,625 future performance.
7/31/2018 11,610 11,651
8/31/2018 11,620 11,656 The returns shown do not reflect the
9/30/2018 11,596 11,617 deduction of taxes that a shareholder
10/31/2018 11,597 11,613 would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- ICE BofAML index data copyright 2018
0.22% 0.72% 1.49% ICE Data Indices, LLC.
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM CALIFORNIA AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 29, 2011-OCTOBER 31, 2018
[CHART]
DFA California Intermediate-Term S&P Intermediate Term California
Municipal Bond Portfolio AMT-Free Municipal Bond Index
-------------------------------- --------------------------------
11/29/2011 $10,000 $10,000
11/30/2011 10,000 10,005
12/31/2011 10,155 10,197
1/31/2012 10,255 10,401
2/29/2012 10,226 10,408
3/31/2012 10,114 10,321
4/30/2012 10,216 10,424
5/31/2012 10,268 10,495
6/30/2012 10,262 10,480
7/31/2012 10,373 10,610
8/31/2012 10,366 10,628
9/30/2012 10,419 10,703
10/31/2012 10,421 10,718
11/30/2012 10,556 10,873
12/31/2012 10,441 10,744
1/31/2013 10,471 10,798
2/28/2013 10,491 10,839
3/31/2013 10,462 10,790
4/30/2013 10,546 10,881
5/31/2013 10,425 10,759
6/30/2013 10,213 10,504
7/31/2013 10,236 10,470
8/31/2013 10,145 10,387
9/30/2013 10,343 10,607
10/31/2013 10,430 10,699
11/30/2013 10,381 10,681
12/31/2013 10,365 10,662
1/31/2014 10,530 10,859
2/28/2014 10,618 10,984
3/31/2014 10,531 10,970
4/30/2014 10,681 11,094
5/31/2014 10,780 11,207
6/30/2014 10,776 11,203
7/31/2014 10,802 11,233
8/31/2014 10,922 11,349
9/30/2014 10,875 11,352
10/31/2014 10,932 11,398
11/30/2014 10,947 11,402
12/31/2014 10,930 11,453
1/31/2015 11,149 11,624
2/28/2015 11,031 11,521
3/31/2015 11,047 11,542
4/30/2015 11,019 11,499
5/31/2015 10,970 11,473
6/30/2015 10,984 11,468
7/31/2015 11,051 11,547
8/31/2015 11,065 11,574
9/30/2015 11,154 11,654
10/31/2015 11,200 11,690
11/30/2015 11,190 11,725
12/31/2015 11,235 11,798
1/31/2016 11,365 11,923
2/29/2016 11,396 11,935
3/31/2016 11,359 11,965
4/30/2016 11,424 12,034
5/31/2016 11,395 12,038
6/30/2016 11,504 12,189
7/31/2016 11,528 12,186
8/31/2016 11,520 12,205
9/30/2016 11,476 12,149
10/31/2016 11,435 12,057
11/30/2016 11,145 11,667
12/31/2016 11,201 11,781
1/31/2017 11,290 11,842
2/28/2017 11,355 11,910
3/31/2017 11,360 11,933
4/30/2017 11,426 12,009
5/31/2017 11,526 12,152
6/30/2017 11,485 12,119
7/31/2017 11,563 12,195
8/31/2017 11,599 12,271
9/30/2017 11,543 12,222
10/31/2017 11,546 12,236
11/30/2017 11,414 12,152
12/31/2017 11,458 12,232
1/31/2018 11,441 12,153
2/28/2018 11,418 12,116
3/31/2018 11,414 12,145
4/30/2018 11,371 12,111
5/31/2018 11,474 12,242 Past performance is not predictive of
6/30/2018 11,487 12,251 future performance.
7/31/2018 11,525 12,285
8/31/2018 11,538 12,306 The returns shown do not reflect the
9/30/2018 11,474 12,239 deduction of taxes that a shareholder
10/31/2018 11,435 12,168 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION Copyright 2018 S&P Dow Jones Indices
---------------------------------------------------------------- LLC, a division of S&P Global. All rights
-0.96% 1.86% 1.96% reserved.
--------------------------------------------------------------------------------
DFA NY MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NEW YORK AMT-FREE MUNICIPAL BOND INDEX
JUNE 16, 2015-OCTOBER 31, 2018
[CHART]
S&P Intermediate Term
DFA NY Municipal New York AMT-Free Municipal
Bond Portfolio Bond Index
------------------ ---------------------------
6/16/2015 $10,000 $10,000
6/30/2015 10,000 10,015
7/31/2015 10,052 10,090
8/31/2015 10,072 10,112
9/30/2015 10,143 10,177
10/31/2015 10,175 10,216
11/30/2015 10,184 10,251
12/31/2015 10,212 10,321
1/31/2016 10,340 10,442
2/29/2016 10,358 10,450
3/31/2016 10,330 10,469
4/30/2016 10,389 10,539
5/31/2016 10,368 10,543
6/30/2016 10,447 10,687
7/31/2016 10,466 10,685
8/31/2016 10,454 10,697
9/30/2016 10,429 10,657
10/31/2016 10,408 10,568
11/30/2016 10,253 10,226
12/31/2016 10,281 10,333
1/31/2017 10,331 10,389
2/28/2017 10,379 10,444
3/31/2017 10,381 10,465
4/30/2017 10,430 10,545
5/31/2017 10,501 10,682
6/30/2017 10,469 10,643
7/31/2017 10,520 10,715
8/31/2017 10,551 10,781
9/30/2017 10,506 10,736
10/31/2017 10,506 10,735
11/30/2017 10,431 10,648
12/31/2017 10,460 10,738
1/31/2018 10,451 10,643
2/28/2018 10,448 10,599
3/31/2018 10,441 10,619
4/30/2018 10,420 10,581
5/31/2018 10,462 10,681 Past performance is not predictive of
6/30/2018 10,493 10,694 future performance.
7/31/2018 10,515 10,723
8/31/2018 10,504 10,730 The returns shown do not reflect the
9/30/2018 10,483 10,669 deduction of taxes that a shareholder
10/31/2018 10,485 10,617 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION Copyright 2018 S&P Dow Jones Indices
--------------------------------------------------- LLC, a division of S&P Global. All rights
-0.20% 1.41% reserved.
14
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA MN MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
JULY 25, 2017-OCTOBER 31, 2018
[CHART]
DFA MN Municipal Bond S&P Intermediate Term National
Portfolio AMT-Free Municipal Bond Index
----------------------- -------------------------------
7/25/2017 $10,000 $10,000
7/31/2017 9,990 10,000
8/31/2017 10,030 10,076
9/30/2017 9,963 10,036
10/31/2017 9,972 10,044
11/30/2017 9,878 9,976
12/31/2017 9,914 10,053
1/31/2018 9,865 9,969
2/28/2018 9,851 9,933
3/31/2018 9,843 9,957
4/30/2018 9,810 9,925
5/31/2018 9,871 10,022 Past performance is not predictive of
6/30/2018 9,889 10,034 future performance.
7/31/2018 9,920 10,067
8/31/2018 9,918 10,078 The returns shown do not reflect the
9/30/2018 9,876 10,028 deduction of taxes that a shareholder
10/31/2018 9,856 9,978 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION Copyright 2018 S&P Dow Jones Indices
--------------------------------------------------------- LLC, a division of S&P Global. All rights
-1.16% -1.13% reserved.
15
MANAGEMENT'S DISCUSSION AND ANALYSIS
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Bond yields increased in the U.S. during the 12 months ended October 31,
2018. Short-term yields increased more than long-term yields. However,
long-term bonds generally underperformed short-term bonds during the period.
Bond yields also increased in Japan and Italy, resulting in long-term bonds
generally underperforming short-term bonds in these markets. In Germany, the
U.K., and Spain, short-term yields generally increased while long-term yields
generally decreased. Thus, long-term bonds generally outperformed short-term
bonds in these countries.
In the aggregate, long-term bonds generally underperformed short-term bonds
in global developed fixed income markets for the 12-month period ended
October 31, 2018. For example, the FTSE World Government Bond Index 1-3 Years
(hedged to USD) returned 1.06%, while the FTSE World Government Bond Index 20+
Years (hedged to USD) had a total return of -0.33%. Within the U.S., the
Bloomberg Barclays U.S. Treasury Bond Index 1-3 Years had a total return of
0.18% while the Bloomberg Barclays U.S. Treasury Bond Index 20+ Years had a
total return of -6.55% during the period.
OCTOBER 31, 2017 OCTOBER 31, 2018 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)........ 0.99% 2.20% 1.21%
Ten-Year U.S. Treasury Notes (yield)... 2.38% 3.15% 0.77%
--------
Source: Bloomberg
Some of Dimensional's fixed income strategies are based on a variable
maturity strategy that identifies a maturity range with higher expected
returns. When the yield curve is flat or inverted, short-term securities are
believed to offer higher expected returns. When the yield curve is upwardly
sloped, aggregate Portfolio maturities may be lengthened to seek the higher
expected returns associated with longer maturities. These higher returns may be
achieved by capital appreciation (from holding bonds through an upwardly sloped
term structure) as well as by earning higher current yields. During the period
under review, many of the Portfolios employing a variable maturity approach
continued to maintain a duration near the longer end of their eligible range,
reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable credit
approach that varies exposure to lower credit quality securities. When credit
spreads are narrow, higher-quality securities are emphasized. When credit
spreads are wide, additional credit exposure may be taken in order to position
a Portfolio to seek higher expected returns by capturing high expected credit
premiums. While credit spreads generally widened for the 12 months ended
October 31, 2018, many of the Portfolios employing a variable credit approach
held less than their maximum allowable weight in credit.
DFA ONE-YEAR FIXED INCOME PORTFOLIO
The DFA One-Year Fixed Income Portfolio is designed to achieve a stable real
return in excess of the rate of inflation by generally investing in
high-quality fixed income securities and maintaining a weighted average
portfolio maturity of one year or less. The investment strategy uses a variable
maturity approach and shifts maturities based on changes in the yield curve.
The strategy uses current yields and identifies favorable maturity ranges for
risk-adjusted expected returns based on potential buy and sell strategies.
Maturity targets are shifted based on Dimensional's expectations for term
premium. The average maturity of the Portfolio decreased to 332 days as of
October 31, 2018, from 343 days as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were 1.22% for the
Portfolio, 1.68% for the ICE BofAML U.S. 6-Month Treasury Bill Index, and 1.25%
for the ICE BofAML 1-Year U.S. Treasury Note Index, the Portfolio's benchmarks.
The U.S. Treasury yield curve remained upwardly sloped but continued to
flatten, reducing expected capital appreciation opportunities during the
period. The Portfolio shortened in duration but remained positioned toward the
longer end of its eligible average duration range for the period. Interest
rates increased across the eligible maturity range, resulting in negative
realized term premiums for the period. As a result, the Portfolio's exposure to
securities with maturities between one and two years detracted from performance
relative to the ICE BofAML U.S. 6-Month Treasury Bill Index. The Portfolio's
corporate securities and floating-rate notes contributed positively to
performance relative to both government benchmarks.
16
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Two-Year Global Fixed Income Portfolio is designed to maximize
risk-adjusted total returns consistent with the preservation of capital by
investing in U.S. and foreign government securities, high-quality corporate
securities, and global fixed income instruments maturing in three years or less
(under normal circumstances, the Portfolio will invest at least 80% of its net
assets in fixed income securities that mature within two years). The Portfolio
hedges substantially all of the currency exposure of its non-U.S.
dollar-denominated securities. As of the date of this report, eligible
countries for investment by the Portfolio include but are not limited to
Australia, Canada, Denmark, certain countries in the Economic and Monetary
Union of the European Union ("EMU"), Japan, New Zealand, Norway, Singapore,
Sweden, Switzerland, the U.K., and the U.S. The investment strategy uses a
variable maturity approach and shifts maturities and country allocations based
on changes in the eligible yield curves. The strategy uses current yields and
identifies favorable maturity ranges for risk-adjusted expected returns based
on potential buy and sell strategies for each eligible country. Maturity
targets and country allocations are shifted based on Dimensional's expectations
for term premiums. The average maturity of the Portfolio decreased to 1.50
years as of October 31, 2018, from 1.62 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were 0.87% for the
Portfolio and 1.32% for the FTSE World Government Bond Index, 1-2 Years,
Currency-Hedged in USD terms, the Portfolio's benchmark. During the period,
yield curves in developed markets were generally upwardly sloped, indicting
positive expected term premiums. Realized term premiums, however, were
generally negative for U.S. dollar-denominated securities. As such, the
Portfolio's overweight to U.S. dollar-denominated securities in the two- to
three-year maturity range detracted from performance relative to the benchmark.
The Portfolio's lack of exposure to Japanese yen- and euro-denominated
government securities also detracted from relative performance, as those
sovereign debt markets outperformed.
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
The DFA Selectively Hedged Global Fixed Income Portfolio is designed to
maximize total returns by investing in U.S. and foreign government securities,
investment grade corporate securities, and global fixed income instruments
maturing in five years or less. The Portfolio hedges foreign currency exposure
on a selective basis to capture higher interest rates that may be offered in
foreign yield curves. As of the date of this report, eligible countries for
investment by the Portfolio include but are not limited to Australia, Canada,
Denmark, certain countries in the Economic and Monetary Union of the European
Union ("EMU"), Japan, New Zealand, Norway, Singapore, Sweden, Switzerland, the
U.K., and the U.S. The investment strategy uses both variable maturity and
variable credit approaches and shifts maturities and country allocations based
on changes in the eligible yield curves for each country. Using current yield
curves, the strategy identifies the countries and maturity ranges offering
favorable risk-adjusted expected returns. Maturity targets and country
allocations are shifted as expected return premiums change. The Portfolio
generally emphasizes investment grade obligations rated in the lower half of
the investment grade spectrum, except when Dimensional believes the expected
credit premium for holding such bonds is relatively low. The average maturity
of the Portfolio decreased to 2.80 years as of October 31, 2018, from 2.89
years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were 1.12% for the
Portfolio and -0.92% for the FTSE World Government Bond Index 1-3 Years
(unhedged) in USD terms, the Portfolio's benchmark. The Portfolio was
positioned to capture term and credit premiums in primarily U.S.
dollar-denominated securities. For a portion of the period, the Portfolio
maintained exposure to the Australian dollar and New Zealand dollar to capture
those currencies' higher expected returns. The U.S. dollar generally
appreciated relative to foreign currencies during the period. As a result, the
Portfolio's exposure to U.S. dollar- and New Zealand dollar-denominated
securities, and lack of exposure to euro-denominated securities, contributed
positively to performance relative to the benchmark.
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Five-Year Global Fixed Income Portfolio is designed to provide a
market rate of return by investing in U.S. and foreign government securities,
high-quality corporate fixed income securities, and currency-hedged global
fixed income instruments maturing in five years or less. The currency exposure
associated with non-U.S. dollar-denominated securities within the Portfolio is
generally hedged back to the U.S. dollar. As of the date of this report,
eligible countries for investment by the Portfolio include but are not limited
to Australia, Canada, Denmark, certain countries in the Economic and Monetary
Union of the European Union ("EMU"), Japan, New Zealand, Norway, Singapore,
Sweden, Switzerland, the U.K., and the U.S. The investment strategy uses a
variable maturity approach and shifts maturities and country allocations based
on changes in the eligible yield curves. The strategy uses current yields and
identifies favorable maturity ranges for risk-adjusted expected returns based
on potential buy and sell strategies for each eligible country. Maturity
targets and country allocations are shifted based on Dimensional's expectations
for term premiums. The average maturity of the Portfolio decreased to 3.83
years as of October 31, 2018, from 3.96 years as of October 31, 2017.
17
For the 12 months ended October 31, 2018, total returns were 0.38% for the
Portfolio and 0.72% for the FTSE World Government Bond Index, 1-5 Years,
Currency-Hedged in USD terms, the Portfolio's benchmark. During the period,
yield curves in developed markets were generally upwardly sloped, indicting
positive expected term premiums. Realized term premiums were positive for many
euro-denominated markets, but negative in the U.S. The Portfolio's overweight
to euro-denominated securities contributed positively to performance relative
to the benchmark. Additionally, the Portfolio's lack of exposure to certain
lower-quality government securities in countries such as Italy, which is
included in the benchmark, contributed positively to relative performance.
Conversely, the Portfolio's overweight to U.S. dollar-denominated securities in
the three- to five-year maturity range, and underweight to Japanese
yen-denominated securities detracted from relative performance.
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
The DFA World ex U.S. Government Fixed Income Portfolio is designed to
maximize total returns by investing in high-quality debt securities issued
primarily by non-U.S. government issuers and supranational organizations and
their agencies. The average maturity of the Portfolio decreased to 9.75 years
as of October 31, 2018, from 10.38 years as of October 31, 2017. The Portfolio
primarily invests in securities that mature within 15 years and maintains an
average portfolio maturity between three and 12 years. The Portfolio hedges
substantially all of its foreign currency exposure.
For the 12 months ended October 31, 2018, total returns were 2.42% for the
Portfolio and 1.81% for the FTSE Non-USD World Government Bond Index,
Currency-Hedged in USD terms, the Portfolio's benchmark. The Portfolio's higher
weight in securities denominated in the British pound, Danish krone, euro, and
Swedish krona contributed positively to performance relative to the benchmark.
The Portfolio's lack of exposure to certain lower-quality government securities
in countries such as Italy, which is included in the benchmark, also benefited
relative performance.
DFA SHORT-TERM GOVERNMENT PORTFOLIO
The DFA Short-Term Government Portfolio is designed to maximize
risk-adjusted total returns by investing in U.S. government and U.S. government
agency securities maturing in five years or less. The investment strategy uses
a variable maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies. Maturity targets are shifted based on Dimensional's expectations
for term premium. The average maturity of the Portfolio decreased to 2.67 years
as of October 31, 2018, from 2.89 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -0.60% for the
Portfolio and -0.34% for the ICE BofAML 1-5 Year U.S. Treasury and Agency
Index, the Portfolio's benchmark. Interest rates generally increased during the
period, resulting in negative realized term premiums. The Portfolio's lower
weight in securities in the one- to two-year maturity range and higher weight
in securities in the three- to four-year maturity range detracted from
performance relative to the benchmark.
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
The DFA Intermediate Government Fixed Income Portfolio is designed to
provide current income consistent with the preservation of capital from
investing generally in U.S. Treasury and government agency issues with
maturities of between five and 15 years. The average maturity of the Portfolio
decreased to 7.00 years as of October 31, 2018, from 7.20 years as of
October 31, 2017. The Portfolio will ordinarily have an average weighted
maturity between three and 10 years.
For the 12 months ended October 31, 2018, total returns were -2.44% for the
Portfolio and -1.92% for the Bloomberg Barclays U.S. Government Bond Index, the
Portfolio's benchmark. Interest rates generally increased during the period,
resulting in negative realized term premiums. The Portfolio's focus on the
intermediate segment of the yield curve detracted from performance relative to
the benchmark during a period in which realized term premiums were negative.
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
The DFA Short-Term Extended Quality Portfolio is designed to maximize total
returns by investing in U.S. and foreign corporate debt securities with an
investment grade credit rating. The Portfolio uses both variable maturity and
variable credit approaches and generally emphasizes investment grade
obligations rated in the lower half of the investment grade spectrum except
when Dimensional believes the expected credit premium is relatively low. The
Portfolio primarily invests in securities that mature within five years and
maintains an average portfolio maturity and duration of three years or less.
The Portfolio hedges substantially all of its foreign currency exposure. The
average maturity of the Portfolio decreased to 2.62 years as of October 31,
2018, from 2.87 years as of October 31, 2017.
18
For the 12 months ended October 31, 2018, total returns were 0.22% for the
Portfolio and -0.23% for the ICE BofAML 1-5 Year U.S. Corporate & Government
Index, the Portfolio's benchmark. For U.S. dollar-denominated securities,
interest rates generally increased, resulting in negative realized term
premiums for the period. Although credit spreads widened slightly, realized
credit premiums were generally positive for short-term securities. As a result,
the Portfolio's greater allocation to credit securities contributed positively
to performance relative to the benchmark. The Portfolio's exposure to euro- and
Swedish krona-denominated securities also contributed positively to relative
performance during a period in which non-U.S. developed markets generally
outperformed the U.S. market.
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
The DFA Intermediate-Term Extended Quality Portfolio is designed to maximize
total returns by investing in U.S. and foreign corporate debt securities with
an investment grade credit rating. The Portfolio uses a variable credit
approach and generally emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when Dimensional believes
the expected credit premium is relatively low. The Portfolio primarily invests
in securities that mature within 15 years and maintains average portfolio
duration between three and 10 years. The Portfolio hedges substantially all of
its foreign currency exposure. The average duration of the Portfolio decreased
to 6.71 years as of October 31, 2018, from 7.01 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -3.53% for the
Portfolio and -2.81% for the Bloomberg Barclays U.S. Credit Bond Index, the
Portfolio's benchmark. Interest rates generally increased for U.S.
dollar-denominated securities, resulting in negative realized term premiums for
the period. Credit spreads generally widened, resulting in negative realized
credit premiums for intermediate- and longer-term securities. As a result, the
Portfolio's lower weight in shorter-term securities and emphasis on the
intermediate portion of the yield curve detracted from performance relative to
the benchmark. Conversely, the Portfolio's lack of exposure to securities with
maturities longer than 15 years contributed positively to relative performance.
DFA TARGETED CREDIT PORTFOLIO
The DFA Targeted Credit Portfolio seeks to maximize total returns by
investing in U.S. and foreign corporate debt securities rated in the lower half
of the investment grade spectrum as well as BB-rated securities that mature
within five years. Non-U.S. dollar-denominated securities held by the Portfolio
are currency-hedged. The investment strategy uses both variable maturity and
variable credit approaches and shifts maturities and country allocations based
on changes in the eligible yield curves. The strategy uses current yields and
identifies favorable maturity ranges for risk-adjusted expected returns based
on potential buy and sell strategies for each eligible country. Maturity
targets and country allocations are shifted based on Dimensional's expectations
for term premiums. While the Portfolio targets debt securities rated single-A,
BBB, and BB, it may vary its exposure to credit within this range. The average
maturity of the Portfolio decreased to 3.22 years as of October 31, 2018, from
3.69 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -0.18% for the
Portfolio and 0.79% for the Bloomberg Barclays Global Aggregate Credit Index
1-5 Years (hedged to USD), the Portfolio's benchmark. The Portfolio's higher
weight in three- to five-year U.S. dollar-denominated securities detracted from
performance relative to the benchmark during a period in which realized term
premiums were negative. The Portfolio's lower weight in euro- and British
pound-denominated securities also detracted from relative performance during a
period in which non-U.S. developed markets generally outperformed the U.S.
market.
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
The DFA Global Core Plus Fixed Income Portfolio seeks to maximize total
returns by investing in a universe of U.S. and foreign fixed income securities.
The Portfolio is managed with a view to capture expected credit premiums and
expected term premiums. The Portfolio will increase or decrease investment
exposure to lower-rated securities depending on the expected credit premiums.
The Portfolio will also increase or decrease investment exposure to
intermediate-term securities depending on expected term premiums. The average
maturity of the Portfolio was 8.16 years as of October 31, 2018.
From its inception on January 11, 2018, through October 31, 2018, total
returns were -0.56% for the Portfolio and 0.20% for the Bloomberg Barclays
Global Aggregate Bond Index (hedged to USD), the Portfolio's benchmark.
Interest rates generally increased for U.S. dollar-denominated securities,
resulting in negative realized term premiums. Credit spreads generally widened,
also resulting in negative realized credit premiums. The Portfolio's lower
weight in shorter-term securities and higher weight in BB-rated U.S.
dollar-denominated securities in the intermediate segment of the yield curve
detracted from performance relative to the benchmark during a period in which
realized term and credit premiums were negative in the U.S.
19
DFA INVESTMENT GRADE PORTFOLIO
The DFA Investment Grade Portfolio is designed to maximize total returns
through exposure to a broad portfolio of investment grade debt securities of
U.S. and non-U.S. corporate and government issuers using a variable credit
approach. The Portfolio emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when Dimensional believes
the expected credit premium is relatively low. The average duration of the
Portfolio decreased to 5.81 years as of October 31, 2018, from 5.94 years as of
October 31, 2017. The Portfolio's average sector allocation as of October 31,
2018, was approximately 54% in corporate securities and 46% in government
securities.
For the 12 months ended October 31, 2018, total returns were -2.38% for the
Portfolio and -2.05% for the Bloomberg Barclays U.S. Aggregate Bond Index, the
Portfolio's benchmark. The Portfolio's focus on the intermediate segment of the
yield curve detracted from performance relative to the benchmark during a
period in which realized term premiums were negative. The Portfolio's lack of
exposure to securitized bonds also detracted from relative performance.
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
The DFA Diversified Fixed Income Portfolio is designed to provide a market
rate of return for a fixed income portfolio with low relative volatility by
investing directly or through other funds managed by Dimensional ("Underlying
Funds") in a universe of U.S. and foreign debt securities, including
inflation-protected securities. The Underlying Funds may include the DFA
Two-Year Global Fixed Income Portfolio and DFA Intermediate Government Fixed
Income Portfolio and/or other Underlying Funds. Generally, the Portfolio or the
Underlying Funds will purchase debt securities that mature within 20 years. The
average maturity of the Portfolio decreased to 4.71 years as of October 31,
2018, from 5.00 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -1.05% for the
Portfolio and -1.02% for the Bloomberg Barclays U.S. Intermediate Government
Bond Index, the Portfolio's benchmark. The Portfolio's exposure to short-term
corporate securities and U.S. TIPS, and lower weight in intermediate-term
government securities contributed positively to performance relative to the
benchmark, while its inclusion of 10- to 15-year government securities
detracted from relative performance during a period in which realized term
premiums were negative.
DFA LTIP PORTFOLIO
The DFA LTIP Portfolio seeks to provide total return composed of income and
capital appreciation consistent with inflation protected long-term instruments.
The Portfolio generally invests in inflation-protected securities issued by the
U.S. government and its agencies and instrumentalities with maturities longer
than 10 years. The average maturity of the Portfolio increased to 28.11 years
as of October 31, 2018, from 27.03 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -5.73% for the
Portfolio and -4.93% for the FTSE U.S. Inflation-Linked Securities Index, 20+
Years, the Portfolio's benchmark. The Portfolio's longer duration detracted
from performance relative to the benchmark during a period in which realized
term premiums were negative in the U.S. TIPS market.
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
The DFA Inflation-Protected Securities Portfolio is designed to provide
inflation protection and current income by investing in inflation-protected
securities (TIPS) issued by the U.S. government and its agencies and
instrumentalities with maturities of between five and 20 years. The average
maturity of the Portfolio decreased to 8.12 years as of October 31, 2018, from
8.28 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -1.53% for the
Portfolio and -1.24% for the Bloomberg Barclays U.S. TIPS Index, the
Portfolio's benchmark. The Portfolio's emphasis on the intermediate segment of
the real yield curve detracted from performance relative to the benchmark
during a period in which the intermediate segment underperformed the
combination of the long and short ends of the real yield curve.
DFA SHORT-DURATION REAL RETURN PORTFOLIO
The DFA Short-Duration Real Return Portfolio is designed to seek inflation
protection and maximize total returns. The strategy pursues its investment
objective by using both variable maturity and variable credit approaches and
investing in a combination of investment grade debt securities,
inflation-protected securities that mature within five years, and derivative
instruments such as inflation swaps. The Portfolio maintains an average
portfolio duration of three years or less. The average duration of the
Portfolio remained unchanged at 2.86 years as of October 31, 2018, from
October 31, 2017.
20
For the 12 months ended October 31, 2018, total returns were 0.70% for the
Portfolio and 0.11% for the Bloomberg Barclays U.S. TIPS 1-5 Years Index, the
Portfolio's benchmark. The Portfolio's exposure to short-dated corporate
securities and euro- and Swedish krona-denominated securities contributed
positively to performance relative to the benchmark.
DFA MUNICIPAL REAL RETURN PORTFOLIO
The DFA Municipal Real Return Portfolio seeks to provide inflation
protection and current income by investing in a universe of investment grade
municipal securities, including inflation-protected municipal securities, and
in derivative instruments to provide inflation protection. The average duration
of the Portfolio remained relatively unchanged at 4.81 years as of October 31,
2018, versus 4.82 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -0.86% for the
Portfolio and -0.65% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index, the Portfolio's benchmark. The Portfolio's emphasis on the
intermediate segment of the municipal yield curve detracted from performance
relative to the benchmark, as the intermediate segment underperformed the
combination of the long and short ends of the curve for the period. The
Portfolio's lower weight in municipal securities rated single-A and BBB also
detracted from relative performance during a period in which realized credit
premiums within municipal securities were positive. The Portfolio's zero-coupon
inflation swaps, designed for protection from unexpected inflation, contributed
positively to relative performance. The benchmark is a nominal interest rate
benchmark that does not contain an inflation-protection component.
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
The DFA California Municipal Real Return Portfolio seeks to provide
inflation protection and current income that is exempt from both federal
personal income taxes and California state personal income taxes by investing
primarily in a universe of municipal securities issued by or on behalf of
California state or local governments and their agencies, instrumentalities,
and regional governmental authorities, and in derivative instruments to provide
inflation protection. The average duration of the Portfolio was 4.45 years as
of October 31, 2018.
From the Portfolio's inception on November 1, 2017, through October 31,
2018, total returns were -0.86% for the Portfolio and -0.53% for the S&P
Intermediate Term California AMT-Free Municipal Bond Index, the Portfolio's
benchmark. The Portfolio's emphasis on the intermediate segment of the
municipal yield curve detracted from performance relative to the benchmark, as
the intermediate segment underperformed the combination of the long and short
ends of the curve for the period. The Portfolio's zero-coupon inflation swaps,
designed for protection from unexpected inflation, contributed positively to
relative performance. The benchmark is a nominal interest rate benchmark that
does not contain an inflation-protection component.
DFA MUNICIPAL BOND PORTFOLIO
The DFA Municipal Bond Portfolio is designed to provide current income
exempt from federal personal income tax by investing in a universe of
investment grade municipal securities. The average duration of the Portfolio
decreased to 3.22 years as of October 31, 2018, from 3.27 years as of
October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -0.84% for the
Portfolio and -0.65% for S&P Intermediate Term National AMT-Free Municipal Bond
Index, the Portfolio's benchmark. The Portfolio's higher weight in shorter-term
municipal securities and lack of exposure to municipal securities with
maturities longer than 10 years contributed positively to performance relative
to the benchmark during a period in which realized term premiums were negative.
The Portfolio's lower weight in municipal securities rated single-A and BBB
detracted from relative performance during a period in which realized credit
premiums within municipal securities were positive.
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
The DFA Short-Term Municipal Bond Portfolio seeks to provide current income
exempt from federal personal income tax by investing in high-quality municipal
securities. The investment strategy uses a variable maturity approach to
determine where to invest cash flows. The weighted average maturity of the
Portfolio generally will not exceed three years. The average maturity of the
Portfolio decreased to 1.08 years as of October 31, 2018, from 1.62 years as of
October 31, 2017.
For the 12 months ended October 31, 2018, total returns were 0.28% for the
Portfolio and 0.37% for the ICE BofAML 1-3 Year U.S. Municipal Securities
Index, the Portfolio's benchmark. The Portfolio's higher weight in shorter-term
municipal securities contributed positively to performance relative to the
benchmark during a period in which realized term premiums were negative. The
Portfolio's lower weight in municipal securities rated single-A and BBB
detracted from relative performance during a period in which realized credit
premiums within municipal securities were positive.
21
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
The DFA Intermediate-Term Municipal Bond Portfolio is designed to provide
current income exempt from federal personal income tax by investing in
high-quality municipal securities. The average duration of the Portfolio
decreased to 3.64 years as of October 31, 2018, from 3.78 years as of
October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -1.08% for the
Portfolio and -0.65% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index, the Portfolio's benchmark. The Portfolio's emphasis on
intermediate-term securities detracted from performance relative to the
benchmark, as the intermediate segment underperformed the combination of the
long and short ends of the curve for the period. The Portfolio's lower weight
in municipal securities rated single-A and BBB also detracted from relative
performance during a period in which realized credit premiums within municipal
securities were positive.
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
The DFA California Short-Term Municipal Bond Portfolio is designed to
provide current income that is exempt from both federal personal income taxes
and California state personal income taxes by investing primarily in a universe
of municipal securities issued by or on behalf of California state or local
governments and their agencies, instrumentalities, and regional governmental
authorities. The average maturity of the Portfolio decreased to 1.24 years as
of October 31, 2018, from 1.75 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were 0.22% for the
Portfolio and 0.28% for the ICE BofAML 1-3 Year California including Puerto
Rico Municipal Securities Index, the Portfolio's benchmark. The Portfolio's
allocation to three- to five-year municipal securities detracted from
performance relative to the benchmark, while its allocation to the zero- to
one-year maturity range contributed positively to relative performance during a
period in which realized term premiums were negative.
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
The DFA California Intermediate-Term Municipal Bond Portfolio is designed to
provide current income that is exempt from both federal personal income taxes
and California state personal income taxes by investing primarily in a universe
of municipal securities issued by or on behalf of California state or local
governments and their agencies, instrumentalities, and regional governmental
authorities. The average duration of the Portfolio decreased to 3.49 years as
of October 31, 2018, from 3.58 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -0.96% for the
Portfolio and -0.56% for the S&P Intermediate Term California AMT-Free
Municipal Bond Index, the Portfolio's benchmark. The Portfolio's lower weight
in municipal securities in the zero- to one-year maturity range and focus on
higher-quality short-term municipal securities detracted from performance
relative to the benchmark.
DFA NY MUNICIPAL BOND PORTFOLIO
The DFA NY Municipal Bond Portfolio seeks to provide current income that is
exempt from both federal personal income taxes and New York state personal
income taxes by investing primarily in a universe of municipal securities
issued by or on behalf of New York state or local governments and their
agencies, instrumentalities, and regional governmental authorities. The average
maturity of the Portfolio decreased to 1.86 years as of October 31, 2018, from
2.52 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -0.20% for the
Portfolio and -1.10% for the S&P Intermediate Term New York AMT-Free Municipal
Bond Index, the Portfolio's benchmark. The Portfolio's higher weight in
shorter-term municipal securities and lack of exposure to municipal securities
with maturities longer than eight years contributed positively to performance
relative to the benchmark during a period in which realized term premiums were
negative.
DFA MN MUNICIPAL BOND PORTFOLIO
The DFA MN Municipal Bond Portfolio seeks to provide current income that is
exempt from federal personal income taxes and Minnesota state personal income
taxes by investing primarily in a universe of municipal securities issued by or
on behalf of Minnesota state or local governments and their agencies,
instrumentalities and regional governmental authorities. The average maturity
of the Portfolio decreased to 3.19 years as of October 31, 2018, from 4.22
years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were -1.16% for the
Portfolio and -0.65% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index. The Portfolio's emphasis on short- to intermediate-term
22
Minnesota securities detracted from performance relative to the S&P
Intermediate-Term National AMT-Free Municipal Bond Index during a period when
the national municipal bond market outperformed the Minnesota bond market.
23
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 and 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"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DFA ONE-YEAR FIXED INCOME PORTFOLIO
-----------------------------------
Actual Fund Return........................... $1,000.00 $1,010.10 0.17% $0.86
Hypothetical 5% Annual Return................ $1,000.00 $1,024.35 0.17% $0.87
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
------------------------------------------
Actual Fund Return........................... $1,000.00 $1,009.50 0.17% $0.86
Hypothetical 5% Annual Return................ $1,000.00 $1,024.35 0.17% $0.87
24
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
----------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,010.50 0.17% $0.86
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.35 0.17% $0.87
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
-------------------------------------------
Actual Fund Return................................... $1,000.00 $1,011.70 0.27% $1.37
Hypothetical 5% Annual Return........................ $1,000.00 $1,023.84 0.27% $1.38
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
---------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,019.50 0.19% $0.97
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.25 0.19% $0.97
DFA SHORT-TERM GOVERNMENT PORTFOLIO
-----------------------------------
Actual Fund Return................................... $1,000.00 $1,006.00 0.19% $0.96
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.25 0.19% $0.97
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,002.70 0.13% $0.66
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.55 0.13% $0.66
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
-----------------------------------------
Actual Fund Return................................... $1,000.00 $1,009.50 0.22% $1.11
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.10 0.22% $1.12
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
------------------------------------------------
Actual Fund Return................................... $1,000.00 $ 999.40 0.22% $1.11
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.10 0.22% $1.12
DFA TARGETED CREDIT PORTFOLIO
-----------------------------
Actual Fund Return................................... $1,000.00 $1,010.60 0.20% $1.01
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.20 0.20% $1.02
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
-------------------------------------------
Actual Fund Return................................... $1,000.00 $1,007.00 0.31% $1.57
Hypothetical 5% Annual Return........................ $1,000.00 $1,023.64 0.31% $1.58
DFA INVESTMENT GRADE PORTFOLIO
------------------------------
Actual Fund Return................................... $1,000.00 $1,002.80 0.22% $1.11
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.10 0.22% $1.12
DFA DIVERSIFIED FIXED INCOME PORTFOLIO(2)
-----------------------------------------
Actual Fund Return................................... $1,000.00 $1,003.50 0.14% $0.71
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.50 0.14% $0.71
25
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DFA LTIP PORTFOLIO
------------------
Actual Fund Return........................................ $1,000.00 $ 925.80 0.15% $0.73
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.45 0.15% $0.77
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
--------------------------------------------
Actual Fund Return........................................ $1,000.00 $ 988.70 0.12% $0.60
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.60 0.12% $0.61
DFA SHORT-DURATION REAL RETURN PORTFOLIO
----------------------------------------
Actual Fund Return........................................ $1,000.00 $1,005.10 0.23% $1.16
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.05 0.23% $1.17
DFA MUNICIPAL REAL RETURN PORTFOLIO
-----------------------------------
Actual Fund Return........................................ $1,000.00 $ 997.50 0.21% $1.06
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.15 0.21% $1.07
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
----------------------------------------------
Actual Fund Return........................................ $1,000.00 $ 997.50 0.28% $1.41
Hypothetical 5% Annual Return............................. $1,000.00 $1,023.79 0.28% $1.43
DFA MUNICIPAL BOND PORTFOLIO
----------------------------
Actual Fund Return........................................ $1,000.00 $1,005.30 0.22% $1.11
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.10 0.22% $1.12
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------
Actual Fund Return........................................ $1,000.00 $1,005.60 0.21% $1.06
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.15 0.21% $1.07
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
----------------------------------------------
Actual Fund Return........................................ $1,000.00 $1,004.80 0.22% $1.11
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.10 0.22% $1.12
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------
Actual Fund Return........................................ $1,000.00 $1,006.40 0.21% $1.06
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.15 0.21% $1.07
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------------------------
Actual Fund Return........................................ $1,000.00 $1,005.60 0.22% $1.11
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.10 0.22% $1.12
DFA NY MUNICIPAL BOND PORTFOLIO
-------------------------------
Actual Fund Return........................................ $1,000.00 $1,006.30 0.24% $1.21
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.00 0.24% $1.22
26
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DFA MN MUNICIPAL BOND PORTFOLIO
-------------------------------
Actual Fund Return.............. $1,000.00 $1,004.70 0.31% $1.57
Hypothetical 5% Annual Return... $1,000.00 $1,023.64 0.31% $1.58
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2)DFA Diversified Fixed Income Portfolio invests directly and indirectly
through other funds. The expenses shown reflect the direct expenses of the
Portfolio and the Portfolio's portion of the expenses of its Underlying
Funds (Affiliated Investment Companies).
27
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 2018. They are available upon request,
without charge, by calling collect: (512) 306-7400; by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX
78746; or by visiting the SEC's website at http://www.sec.gov.
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 used. The
following tables, which present portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
FIXED INCOME PORTFOLIOS
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Corporate.......................... 10.6%
Government......................... 22.5%
Foreign Corporate.................. 26.5%
Foreign Government................. 29.8%
Supranational...................... 10.6%
-----
100.0%
DFA FIVE-YEAR GLOBAL FIXED INCOME
PORTFOLIO
Corporate.......................... 15.9%
Foreign Corporate.................. 28.0%
Foreign Government................. 48.8%
Supranational...................... 7.3%
-----
100.0%
DFA INTERMEDIATE GOVERNMENT FIXED
INCOME PORTFOLIO
Government......................... 100.0%
-----
100.0%
DFA TARGETED CREDIT PORTFOLIO
Corporate.......................... 65.5%
Foreign Corporate.................. 32.2%
Foreign Government................. 2.3%
-----
100.0%
DFA TWO-YEAR GLOBAL FIXED INCOME
PORTFOLIO
Corporate.......................... 12.0%
Government......................... 8.9%
Foreign Corporate.................. 25.5%
Foreign Government................. 41.4%
Supranational...................... 12.2%
-----
100.0%
DFA WORLD EX U.S. GOVERNMENT FIXED
INCOME PORTFOLIO
Government......................... 0.2%
Foreign Corporate.................. 5.4%
Foreign Government................. 79.9%
Supranational...................... 14.5%
-----
100.0%
DFA SHORT-TERM EXTENDED QUALITY
PORTFOLIO
Corporate.......................... 43.4%
Foreign Corporate.................. 28.8%
Foreign Government................. 23.9%
Supranational...................... 3.9%
-----
100.0%
DFA GLOBAL CORE PLUS FIXED INCOME
PORTFOLIO
Corporate.......................... 49.1%
Government......................... 2.2%
Foreign Corporate.................. 31.3%
Foreign Government................. 12.9%
Supranational...................... 4.5%
-----
100.0%
DFA SELECTIVELY HEDGED GLOBAL FIXED
INCOME PORTFOLIO
Corporate.......................... 37.0%
Government......................... 7.5%
Foreign Corporate.................. 27.3%
Foreign Government................. 22.9%
Supranational...................... 5.3%
-----
100.0%
DFA SHORT-TERM GOVERNMENT PORTFOLIO
Government......................... 100.0%
-----
100.0%
DFA INTERMEDIATE-TERM EXTENDED
QUALITY PORTFOLIO
Corporate.......................... 75.8%
Government......................... 3.4%
Foreign Corporate.................. 20.3%
Foreign Government................. 0.4%
Supranational...................... 0.1%
-----
100.0%
DFA INVESTMENT GRADE PORTFOLIO
Corporate.......................... 44.1%
Government......................... 44.0%
Foreign Corporate.................. 10.0%
Foreign Government................. 1.9%
-----
100.0%
28
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA DIVERSIFIED FIXED INCOME
PORTFOLIO
Government......................... 18.5%
Affiliated Investment Companies.... 81.5%
-----
100.0%
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Corporate.......................... 44.8%
Government......................... 4.3%
Foreign Corporate.................. 28.0%
Foreign Government................. 17.4%
Supranational...................... 5.5%
-----
100.0%
DFA MUNICIPAL BOND PORTFOLIO
Muni G.O. Local.................... 49.7%
Muni G.O. State.................... 23.2%
Muni Revenue....................... 19.9%
Muni Pre-Refunded.................. 7.2%
-----
100.0%
DFA CALIFORNIA SHORT-TERM MUNICIPAL
BOND PORTFOLIO
Muni G.O. Local.................... 42.3%
Muni G.O. State.................... 18.7%
Muni Revenue....................... 18.9%
Muni Pre-Refunded.................. 20.1%
-----
100.0%
DFA MN MUNICIPAL BOND PORTFOLIO
Muni G.O. Local.................... 85.8%
Muni G.O. State.................... 5.0%
Muni Revenue....................... 8.1%
Muni Pre-Refunded.................. 1.1%
-----
100.0%
DFA LTIP PORTFOLIO
Government......................... 100.0%
-----
100.0%
DFA MUNICIPAL REAL RETURN PORTFOLIO
Muni G.O. Local.................... 52.2%
Muni G.O. State.................... 25.6%
Muni Revenue....................... 21.9%
Muni Pre-Refunded 0.3%
-----
100.0%
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni G.O. Local.................... 46.3%
Muni G.O. State.................... 26.6%
Muni Revenue....................... 17.0%
Muni Pre-Refunded.................. 10.1%
-----
100.0%
DFA CALIFORNIA INTERMEDIATE-TERM
MUNICIPAL BOND PORTFOLIO
Muni G.O. Local.................... 46.6%
Muni G.O. State.................... 20.0%
Muni Insured....................... 0.1%
Muni Revenue....................... 23.7%
Muni Pre-Refunded.................. 9.6%
-----
100.0%
DFA INFLATION-PROTECTED SECURITIES
PORTFOLIO
Government......................... 100.0%
-----
100.0%
DFA CALIFORNIA MUNICIPAL REAL RETURN
PORTFOLIO
Muni G.O. Local.................... 64.4%
Muni G.O. State.................... 17.6%
Muni Revenue....................... 13.1%
Muni Pre-Refunded.................. 4.9%
-----
100.0%
DFA INTERMEDIATE-TERM MUNICIPAL BOND
PORTFOLIO
Muni G.O. Local.................... 49.9%
Muni G.O. State.................... 32.0%
Muni Insured....................... 0.3%
Muni Revenue....................... 16.6%
Muni Pre-Refunded.................. 1.2%
-----
100.0%
DFA NY MUNICIPAL BOND PORTFOLIO
Muni G.O. Local.................... 51.4%
Muni G.O. State.................... 0.7%
Muni Revenue....................... 32.2%
Muni Pre-Refunded.................. 15.7%
-----
100.0%
29
DFA ONE-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
AGENCY OBLIGATIONS -- (5.1%)
Federal Home Loan Bank
2.000%, 09/13/19.................................. 74,000 $ 73,546,158
1.500%, 10/21/19.................................. 48,000 47,419,344
1.375%, 11/15/19.................................. 7,500 7,393,980
2.125%, 02/11/20.................................. 34,500 34,197,814
1.875%, 03/13/20.................................. 10,000 9,874,330
4.125%, 03/13/20.................................. 80,000 81,351,760
2.375%, 03/30/20.................................. 10,000 9,936,770
Federal Home Loan Banks
2.625%, 05/28/20.................................. 30,000 29,894,010
Federal Home Loan Mortgage Corp.
1.250%, 10/02/19.................................. 103,600 102,216,215
Federal National Mortgage Association
1.000%, 10/24/19.................................. 20,000 19,661,800
------------
TOTAL AGENCY OBLIGATIONS................................ 415,492,181
------------
BONDS -- (69.7%)
African Development Bank
1.125%, 09/20/19.................................. 19,000 18,716,202
1.375%, 02/12/20.................................. 25,438 24,947,657
1.875%, 03/16/20.................................. 26,600 26,218,822
Agence Francaise de Developpement
1.375%, 08/02/19.................................. 15,600 15,423,907
1.625%, 01/21/20.................................. 30,930 30,394,169
ANZ New Zealand International Ltd.
#W 2.250%, 02/01/19.................................. 3,905 3,897,837
W 2.600%, 09/23/19.................................. 22,849 22,734,406
# 2.600%, 09/23/19.................................. 11,984 11,923,897
Apple, Inc.
# 1.500%, 09/12/19.................................. 102,300 101,111,819
1.800%, 11/13/19.................................. 55,641 55,046,996
1.900%, 02/07/20.................................. 5,413 5,344,835
Apple, Inc., 3M USD LIBOR + 0.250%, FRN
#(r) 2.592%, 02/07/20.................................. 7,000 7,016,476
Apple, Inc., Floating Rate Note, 3M USD LIBOR + 0.080%,
FRN
(r) 2.423%, 02/08/19.................................. 29,550 29,556,260
Apple, Inc., Floating Rate Note, 3M USD LIBOR + 0.300%,
FRN
(r) 2.641%, 05/06/19.................................. 15,600 15,621,808
Asian Development Bank
1.625%, 05/05/20.................................. 16,500 16,179,098
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
1.625%, 08/26/20.............................. 4,091 $ 3,993,429
Australia & New Zealand Banking Group, Ltd.
# 2.000%, 11/16/18.............................. 12,359 12,356,083
2.250%, 06/13/19.............................. 4,150 4,132,300
# 1.600%, 07/15/19.............................. 9,250 9,160,034
#W 2.250%, 12/19/19.............................. 60,000 59,441,812
Australia & New Zealand Banking Group, Ltd.,
Floating Rate Note, 3M USD LIBOR + 0.660%, FRN
#(r)W 3.027%, 09/23/19.............................. 3,145 3,160,301
Australia & New Zealand Banking Group, Ltd.,
Floating Rate Note, 3M USD LIBOR + 0.750%, FRN
(r)W 3.065%, 11/16/18.............................. 45,630 45,644,199
Bank Nederlandse Gemeenten NV
1.500%, 02/15/19.............................. 20,600 20,535,254
Bank of Montreal
# 2.100%, 06/15/20.............................. 7,500 7,368,010
# 3.100%, 07/13/20.............................. 4,000 3,994,774
Bank of Montreal, 3M USD LIBOR + 0.440%, FRN
(r) 2.774%, 06/15/20.............................. 25,000 25,102,435
Berkshire Hathaway Finance Corp., Floating Rate
Note, 3M USD LIBOR + 0.250%, FRN
#(r) 2.671%, 01/11/19.............................. 5,900 5,901,721
Berkshire Hathaway Finance Corp., Floating Rate
Note, 3M USD LIBOR + 0.260%, FRN
(r) 2.574%, 08/15/19.............................. 11,030 11,047,301
Berkshire Hathaway Finance Corp., Floating Rate
Note, 3M USD LIBOR + 0.690%, FRN
#(r) 3.024%, 03/15/19.............................. 7,000 7,016,868
BNG Bank NV
1.875%, 06/11/19.............................. 64,646 64,298,916
1.750%, 10/30/19.............................. 42,880 42,406,176
#W 1.750%, 10/30/19.............................. 7,500 7,417,125
1.625%, 11/25/19.............................. 17,750 17,511,795
#W 2.500%, 02/28/20.............................. 26,000 25,837,474
2.500%, 02/28/20.............................. 49,108 48,801,026
30
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
1.750%, 10/05/20................................... 11,500 $11,221,642
Caisse d'Amortissement de la Dette Sociale
W 1.500%, 01/28/19................................... 18,200 18,151,224
1.500%, 01/28/19................................... 29,512 29,435,977
#W 1.750%, 09/24/19................................... 8,000 7,920,320
1.750%, 09/24/19................................... 41,830 41,413,373
1.875%, 01/13/20................................... 57,100 56,368,549
2.000%, 04/17/20................................... 4,000 3,941,504
1.875%, 07/28/20................................... 63,300 61,990,323
Chevron Corp.
1.790%, 11/16/18................................... 9,140 9,137,553
1.561%, 05/16/19................................... 19,242 19,092,682
1.991%, 03/03/20................................... 9,500 9,368,631
Chevron Corp., Floating Rate Note, 3M USD LIBOR +
0.090%, FRN
(r) 2.401%, 02/28/19................................... 15,350 15,353,562
Chevron Corp., Floating Rate Note, 3M USD LIBOR +
0.410%, FRN
#(r) 2.724%, 11/15/19................................... 6,950 6,983,280
Chevron Corp., Floating Rate Note, 3M USD LIBOR +
0.510%, FRN
(r) 2.825%, 11/16/18................................... 5,000 5,000,986
Cisco Systems, Inc.
# 2.125%, 03/01/19................................... 11,680 11,659,784
1.400%, 09/20/19................................... 23,787 23,494,665
4.450%, 01/15/20................................... 8,329 8,469,393
Commonwealth Bank of Australia
1.750%, 11/02/18................................... 3,200 3,200,000
2.250%, 03/13/19................................... 7,400 7,387,799
2.300%, 09/06/19................................... 13,969 13,880,133
Commonwealth Bank of Australia, Floating Rate Note, 3M
USD LIBOR + 0.550%, FRN
(r) 2.873%, 09/06/19................................... 13,094 13,135,553
Commonwealth Bank of Australia, Floating Rate Note, 3M
USD LIBOR + 0.640%, FRN
(r) 2.983%, 11/07/19................................... 4,819 4,842,198
Commonwealth Bank of Australia, Floating Rate Note, 3M
USD LIBOR + 0.790%, FRN
(r)W 3.139%, 11/02/18................................... 20,325 20,325,000
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Commonwealth Bank of Australia, Floating Rate Note, 3M
USD LIBOR + 1.060%, FRN
(r) 3.394%, 03/15/19................................... 25,115 $25,199,251
Cooperatieve Rabobank UA
# 2.250%, 01/14/19................................... 31,738 31,714,549
# 1.375%, 08/09/19................................... 43,920 43,345,502
# 2.250%, 01/14/20................................... 16,470 16,291,844
# 4.750%, 01/15/20................................... 9,332 9,505,482
W 4.750%, 01/15/20................................... 6,750 6,875,482
Cooperatieve Rabobank UA, Floating Rate Note, 3M USD LIBOR +
0.510%, FRN
(r) 2.852%, 08/09/19................................... 3,419 3,429,595
Council Of Europe Development Bank
1.500%, 05/17/19................................... 46,200 45,899,562
1.750%, 11/14/19................................... 4,280 4,232,055
# 1.875%, 01/27/20................................... 29,349 28,976,020
# 1.625%, 03/10/20................................... 28,132 27,637,314
CPPIB Capital, Inc.
W 1.250%, 09/20/19................................... 4,850 4,783,448
CPPIB Capital, Inc., Floating Rate Note, 3M USD LIBOR +
0.300%, FRN
(r)W 2.466%, 10/16/20................................... 50,000 49,995,450
Dexia Credit Local SA
2.250%, 01/30/19................................... 9,706 9,696,013
# 1.875%, 01/29/20................................... 10,000 9,858,114
Equinor ASA
# 2.250%, 11/08/19................................... 27,060 26,839,156
Erste Abwicklungsanstalt
1.375%, 10/30/19................................... 19,000 18,700,788
2.500%, 03/13/20................................... 15,200 15,085,194
EUROFIMA
1.750%, 05/29/20................................... 14,900 14,595,772
European Bank for Reconstruction & Development
1.750%, 11/26/19................................... 21,051 20,807,840
1.625%, 05/05/20................................... 14,445 14,161,892
# 1.125%, 08/24/20................................... 4,872 4,711,175
European Investment Bank
1.250%, 05/15/19................................... 4,200 4,170,012
# 1.125%, 08/15/19................................... 32,000 31,590,400
1.250%, 12/16/19................................... 18,000 17,673,126
# 1.625%, 03/16/20................................... 65,651 64,504,947
# 1.750%, 05/15/20................................... 96,800 95,049,871
# 1.375%, 06/15/20................................... 20,300 19,794,680
1.625%, 08/14/20................................... 5,000 4,882,128
Export Development Canada
# 1.750%, 08/19/19................................... 99,550 98,756,426
31
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
# 1.000%, 09/13/19................................................. 23,335 $ 22,974,901
#W 2.300%, 02/10/20................................................. 85,250 84,545,410
# 1.750%, 07/21/20................................................. 10,000 9,788,750
Finland Government International Bond
1.750%, 09/10/19................................................. 6,300 6,242,960
FMS Wertmanagement
1.500%, 08/09/19................................................. 5,000 4,949,300
1.000%, 08/16/19................................................. 123,000 121,268,907
# 1.750%, 01/24/20................................................. 29,500 29,090,126
2.250%, 02/03/20................................................. 22,400 22,218,560
# 1.750%, 03/17/20................................................. 6,500 6,395,651
1.750%, 05/15/20................................................. 8,200 8,048,931
Inter-American Development Bank
1.125%, 09/12/19................................................. 21,247 20,951,773
1.750%, 10/15/19................................................. 9,500 9,400,639
1.625%, 05/12/20................................................. 23,629 23,171,401
1.875%, 06/16/20................................................. 59,685 58,660,626
Inter-American Development Bank, Floating Rate Note, 1M USD LIBOR +
0.040%, FRN
(r) 2.334%, 11/26/18................................................. 5,051 5,050,816
International Bank for Reconstruction & Development
0.875%, 08/15/19................................................. 18,000 17,736,570
1.875%, 10/07/19................................................. 49,532 49,096,317
1.875%, 04/21/20................................................. 21,108 20,792,731
1.625%, 09/04/20................................................. 35,104 34,268,841
International Finance Corp.
1.625%, 07/16/20................................................. 7,500 7,331,003
Kommunalbanken A.S.
2.125%, 03/15/19................................................. 62,140 62,018,703
1.750%, 05/28/19................................................. 42,700 42,464,552
1.500%, 09/09/19................................................. 5,000 4,943,430
1.500%, 10/22/19................................................. 34,768 34,311,705
1.625%, 01/15/20................................................. 32,140 31,647,294
#W 2.500%, 04/17/20................................................. 7,028 6,981,836
2.500%, 04/17/20................................................. 25,396 25,228,386
1.750%, 09/15/20................................................. 15,398 15,040,705
1.375%, 10/26/20................................................. 6,000 5,808,780
Kommunekredit
1.125%, 08/23/19................................................. 63,700 62,826,036
1.625%, 06/12/20................................................. 19,691 19,263,902
Kommuninvest I Sverige AB
1.125%, 09/17/19................................................. 17,200 16,941,708
2.000%, 11/12/19................................................. 17,950 17,789,024
1.750%, 03/19/20................................................. 38,544 37,911,801
1.625%, 09/01/20................................................. 1,000 974,889
W 1.625%, 09/01/20................................................. 13,840 13,491,005
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Kreditanstalt fuer Wiederaufbau
# 1.250%, 09/30/19................................................. 63,000 $62,103,662
4.000%, 01/27/20................................................. 4,100 4,154,306
1.750%, 03/31/20................................................. 15,000 14,754,675
1.500%, 04/20/20................................................. 62,500 61,203,940
1.625%, 05/29/20................................................. 29,085 28,484,638
# 1.875%, 06/30/20................................................. 19,500 19,152,466
# 2.750%, 07/15/20................................................. 14,500 14,440,888
Municipality Finance P.L.C.
1.250%, 04/18/19................................................. 20,150 20,015,317
1.750%, 05/21/19................................................. 24,350 24,221,822
1.500%, 03/23/20................................................. 12,567 12,313,901
National Australia Bank, Ltd.
# 2.000%, 01/14/19................................................. 4,500 4,493,139
#W 2.250%, 07/01/19................................................. 12,000 11,944,211
1.375%, 07/12/19................................................. 70,400 69,651,937
2.250%, 01/10/20................................................. 8,700 8,606,156
National Australia Bank, Ltd., Floating Rate Note, 3M USD LIBOR +
0.240%, FRN
(r)W 2.730%, 07/25/19................................................. 50,000 50,020,872
(r)W 2.557%, 08/29/19................................................. 41,600 41,631,681
National Australia Bank, Ltd., Floating Rate Note, 3M USD LIBOR +
0.590%, FRN
(r)W 3.004%, 01/10/20................................................. 16,080 16,155,274
National Australia Bank, Ltd., Floating Rate Note, 3M USD LIBOR +
0.780%, FRN
(r) 3.216%, 01/14/19................................................. 2,500 2,503,240
Nederlandse Waterschapsbank NV
W 1.500%, 01/23/19................................................. 27,950 27,882,920
1.875%, 03/13/19................................................. 67,703 67,510,859
1.750%, 09/05/19................................................. 40,400 40,027,108
W 1.750%, 09/05/19................................................. 16,000 15,852,320
W 1.250%, 09/09/19................................................. 6,050 5,969,112
1.250%, 09/09/19................................................. 6,850 6,758,416
1.625%, 03/04/20................................................. 15,750 15,471,823
Nestle Holdings, Inc.
2.125%, 01/14/20................................................. 13,703 13,563,627
Nordea Bank Abp
2.375%, 04/04/19................................................. 3,969 3,961,336
Nordic Investment Bank
2.500%, 04/28/20................................................. 41,650 41,382,708
Novartis Capital Corp.
# 1.800%, 02/14/20................................................. 6,551 6,452,809
NRW Bank
1.875%, 07/01/19................................................. 16,907 16,798,795
1.250%, 07/29/19................................................. 11,734 11,596,689
32
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
2.000%, 09/23/19................................................. 14,600 $14,483,083
1.875%, 01/27/20................................................. 14,333 14,137,211
Oesterreichische Kontrollbank AG
1.625%, 03/12/19................................................. 3,000 2,988,651
1.125%, 04/26/19................................................. 41,526 41,206,663
# 1.750%, 01/24/20................................................. 56,352 55,559,680
# 1.375%, 02/10/20................................................. 56,482 55,360,480
Oracle Corp., Floating Rate Note, 3M USD LIBOR + 0.580%, FRN
(r) 3.016%, 01/15/19................................................. 1,000 1,001,055
Pfizer, Inc.
# 2.100%, 05/15/19................................................. 17,442 17,380,173
Procter & Gamble Co. (The)
# 1.750%, 10/25/19................................................. 3,866 3,821,942
Province of Alberta Canada
1.900%, 12/06/19................................................. 61,000 60,315,824
Province of Manitoba Canada
# 1.750%, 05/30/19................................................. 24,440 24,293,524
Province of Ontario Canada
2.000%, 01/30/19................................................. 23,297 23,264,237
# 1.250%, 06/17/19................................................. 39,780 39,402,603
# 1.650%, 09/27/19................................................. 10,500 10,380,405
# 4.000%, 10/07/19................................................. 16,209 16,368,975
4.400%, 04/14/20................................................. 50,499 51,448,042
1.875%, 05/21/20................................................. 18,800 18,462,159
Province of Quebec Canada
3.500%, 07/29/20................................................. 5,993 6,036,074
Province of Quebec Canada, Floating Rate Note, 3M USD LIBOR + 0.280%,
FRN
(r) 2.749%, 07/21/19................................................. 80,786 80,939,074
Roche Holdings, Inc., Floating Rate Note, 3M USD LIBOR + 0.340%, FRN
(r)W 2.726%, 09/30/19................................................. 54,140 54,253,275
Royal Bank of Canada
# 1.625%, 04/15/19................................................. 15,252 15,171,931
# 1.500%, 07/29/19................................................. 31,042 30,706,444
# 2.125%, 03/02/20................................................. 77,755 76,723,648
# 2.150%, 03/06/20................................................. 51,922 51,269,666
2.150%, 10/26/20................................................. 32,000 31,282,233
Royal Bank of Canada, Floating Rate Note, 3M USD LIBOR + 0.450%, FRN
(r) 2.864%, 01/10/19................................................. 2,400 2,401,298
Shell International Finance BV
# 1.625%, 11/10/18................................................. 21,970 21,960,625
1.375%, 05/10/19................................................. 11,990 11,897,652
# 1.375%, 09/12/19................................................. 43,105 42,555,648
4.300%, 09/22/19................................................. 6,987 7,071,126
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
4.375%, 03/25/20................................................. 8,110 $ 8,253,790
# 2.125%, 05/11/20................................................. 38,606 38,085,239
Shell International Finance BV, Floating Rate Note, 3M USD LIBOR +
0.350%, FRN
(r) 2.684%, 09/12/19................................................. 17,870 17,915,211
Shell International Finance BV, Floating Rate Note, 3M USD LIBOR +
0.580%, FRN
(r) 2.921%, 11/10/18................................................. 21,560 21,563,049
State of North Rhine-Westphalia Germany
1.875%, 06/17/19................................................. 16,500 16,406,082
1.625%, 07/25/19................................................. 17,200 17,047,350
1.250%, 09/16/19................................................. 12,000 11,829,648
1.625%, 01/22/20................................................. 55,400 54,505,290
State of North Rhine-Westphalia Germany, Floating Rate Note, 3M USD
LIBOR + 0.170%, FRN
(r) 2.480%, 11/23/18................................................. 48,200 48,205,784
Svensk Exportkredit AB
1.250%, 04/12/19................................................. 6,500 6,460,230
1.875%, 06/17/19................................................. 43,600 43,360,761
1.125%, 08/28/19................................................. 5,000 4,931,050
1.750%, 05/18/20................................................. 4,150 4,068,744
1.875%, 06/23/20................................................. 9,257 9,081,252
1.750%, 08/28/20................................................. 25,800 25,199,500
# 2.750%, 10/07/20................................................. 17,422 17,316,074
Svenska Handelsbanken AB
# 2.500%, 01/25/19................................................. 33,223 33,203,731
2.250%, 06/17/19................................................. 19,710 19,611,632
# 1.500%, 09/06/19................................................. 2,109 2,081,917
Svenska Handelsbanken AB, Floating Rate Note, 3M USD LIBOR + 0.490%,
FRN
(r) 2.824%, 06/17/19................................................. 1,580 1,583,395
(r) 2.813%, 09/06/19................................................. 9,086 9,108,529
Swedbank AB
W 2.375%, 02/27/19................................................. 9,000 8,983,476
Toronto-Dominion Bank (The)
1.950%, 01/22/19................................................. 17,548 17,519,247
# 2.125%, 07/02/19................................................. 5,515 5,487,107
1.450%, 08/13/19................................................. 3,773 3,730,408
1.900%, 10/24/19................................................. 90,974 89,968,272
2.250%, 11/05/19................................................. 18,746 18,596,789
3.000%, 06/11/20................................................. 31,103 31,009,712
33
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.260%, FRN
(r) 2.594%, 09/17/20................................................. 10,000 $10,012,600
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.280%, FRN
(r) 2.611%, 06/11/20................................................. 12,000 12,014,724
Toronto-Dominion Bank (The), Floating Rate Note, 3M USD LIBOR +
0.150%, FRN
(r) 2.638%, 10/24/19................................................. 2,090 2,091,705
Toronto-Dominion Bank (The), Floating Rate Note, 3M USD LIBOR +
0.650%, FRN
(r) 2.988%, 08/13/19................................................. 9,500 9,540,698
Toronto-Dominion Bank (The), Floating Rate Note, 3M USD LIBOR +
0.840%, FRN
(r) 3.309%, 01/22/19................................................. 5,000 5,008,908
Total Capital International SA, Floating Rate Note, 3M USD LIBOR +
0.350%, FRN
(r) 2.689%, 06/19/19................................................. 4,633 4,638,586
Total Capital SA
# 4.450%, 06/24/20................................................. 4,490 4,575,019
Toyota Motor Credit Corp.
# 1.700%, 01/09/19................................................. 34,001 33,947,715
# 2.100%, 01/17/19................................................. 6,561 6,555,812
# 1.700%, 02/19/19................................................. 8,868 8,836,763
1.400%, 05/20/19................................................. 29,561 29,335,922
2.125%, 07/18/19................................................. 2,613 2,600,388
# 2.200%, 01/10/20................................................. 36,621 36,288,997
2.150%, 03/12/20................................................. 17,891 17,693,076
Toyota Motor Credit Corp., Floating Rate Note, 3M USD LIBOR + 0.140%,
FRN
#(r) 2.459%, 11/14/19................................................. 10,000 10,000,256
Toyota Motor Credit Corp., Floating Rate Note, 3M USD LIBOR + 0.260%,
FRN
(r) 2.668%, 01/09/19................................................. 22,158 22,162,822
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
Toyota Motor Credit Corp., Floating Rate Note, 3M USD LIBOR + 0.390%,
FRN
(r) 2.839%, 01/17/19................................................. 14,300 $ 14,309,535
Toyota Motor Credit Corp., Floating Rate Note, 3M USD LIBOR + 0.820%,
FRN
#(r) 3.142%, 02/19/19................................................. 7,347 7,365,033
USAA Capital Corp., Floating Rate Note, 3M USD LIBOR + 0.230%, FRN
(r)W 2.771%, 02/01/19................................................. 42,955 42,978,400
Walmart, Inc.
1.750%, 10/09/19................................................. 9,000 8,904,359
2.850%, 06/23/20................................................. 59,391 59,296,662
Walmart, Inc., Floating Rate Note, 3M USD LIBOR + 0.040%, FRN
#(r) 2.406%, 06/23/20................................................. 37,500 37,515,069
Westpac Banking Corp.
1.950%, 11/23/18................................................. 17,521 17,513,116
2.250%, 01/17/19................................................. 79,463 79,384,164
1.600%, 08/19/19................................................. 16,970 16,783,372
Westpac Banking Corp., Floating Rate Note, 3M USD LIBOR + 0.230%, FRN
(r)W 2.542%, 04/26/19................................................. 21,000 21,013,118
Westpac Banking Corp., Floating Rate Note, 3M USD LIBOR + 0.710%, FRN
(r) 3.048%, 05/13/19................................................. 5,500 5,515,948
Westpac Banking Corp., Floating Rate Note, 3M USD LIBOR + 0.740%, FRN
(r) 3.050%, 11/23/18................................................. 22,189 22,197,740
--------------
TOTAL BONDS 5,693,844,234
--------------
U.S. TREASURY OBLIGATIONS -- (15.2%)
U.S. Treasury Notes
1.250%, 10/31/19................................................. 25,000 24,645,508
1.875%, 12/31/19................................................. 80,000 79,200,000
1.375%, 01/15/20................................................. 15,000 14,753,906
1.250%, 01/31/20................................................. 35,000 34,347,852
1.375%, 02/15/20................................................. 157,000 154,191,173
1.250%, 02/29/20................................................. 50,000 48,996,094
1.375%, 02/29/20................................................. 43,000 42,200,469
1.625%, 03/15/20................................................. 215,000 211,598,633
34
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
1.125%, 03/31/20.................................. 50,000 $ 48,835,938
1.375%, 03/31/20.................................. 180,000 176,400,000
2.250%, 03/31/20.................................. 110,000 109,136,328
1.500%, 04/15/20.................................. 280,000 274,739,063
1.125%, 04/30/20.................................. 25,000 24,376,953
--------------
TOTAL U.S. TREASURY OBLIGATIONS........................ 1,243,421,917
--------------
TOTAL INVESTMENT SECURITIES............................ 7,352,758,332
--------------
CERTIFICATES OF DEPOSIT -- (6.0%)
Bank of Montreal 2.513%, 03/06/20................. 88,000 87,987,918
(r) Bank of Nova Scotia 2.691%, 02/28/19.............. 75,000 75,083,573
Nordea Bank AB
(r) 2.657%, 03/07/19.................................. 100,000 100,092,435
(r) 2.793%, 11/07/18.................................. 20,000 20,001,780
(r) Nordea Bank Abp 2.694%, 04/10/19.................. 37,000 37,030,583
Svenska Handelsbanken
2.738%, 02/12/19.................................. 149,500 149,646,785
(r) 2.689%, 01/22/20.................................. 23,200 23,199,928
--------------
TOTAL CERTIFICATES OF DEPOSIT.......................... 493,043,002
--------------
COMMERCIAL PAPER -- (1.0%)
Nestle Finance International Ltd.
2.167%, 11/16/18................................ 15,000 14,985,253
FACE
AMOUNT^ VALUE+
---------- --------------
(000)
----------
(r) Oversea-Chinese
Banking Corp., Ltd. 2.559%, 11/05/18........... 20,000 $ 20,000,880
W PSP Capital, Inc. 2.151%, 11/05/18............. 19,500 19,494,001
(r)W Toronto-Dominion Bank (The) 2.654%, 05/10/19... 30,000 30,028,680
--------------
TOTAL COMMERCIAL PAPER............................... 84,508,814
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government
Money Market Fund 2.090%..................... 65,068,909 65,068,909
--------------
SECURITIES LENDING COLLATERAL -- (2.2%)
@(S) DFA Short Term Investment Fund................. 15,330,495 177,373,826
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,205,173,382).............................. $8,172,752,883
==============
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------------- ------- --------------
Agency Obligations............ -- $ 415,492,181 -- $ 415,492,181
Bonds......................... -- 5,693,844,234 -- 5,693,844,234
U.S. Treasury Obligations..... -- 1,243,421,917 -- 1,243,421,917
Certificates of Deposit....... -- 493,043,002 -- 493,043,002
Commercial Paper.............. -- 84,508,814 -- 84,508,814
Temporary Cash Investments.... $65,068,909 -- -- 65,068,909
Securities Lending Collateral. -- 177,373,826 -- 177,373,826
----------- -------------- -- --------------
TOTAL......................... $65,068,909 $8,107,683,974 -- $8,172,752,883
=========== ============== == ==============
See accompanying Notes to Financial Statements.
35
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ------------
(000)
BONDS -- (89.8%)
AUSTRALIA -- (5.9%)
ANZ New Zealand International Ltd.
2.600%, 09/23/19................................... 4,823 $ 4,798,811
W 2.600%, 09/23/19................................... 750 746,239
Australia & New Zealand Banking Group, Ltd.
2.250%, 06/13/19................................... 42,343 42,162,407
1.600%, 07/15/19................................... 8,565 8,481,696
2.050%, 09/23/19................................... 1,168 1,157,783
W 2.250%, 12/19/19................................... 12,000 11,888,362
# 2.250%, 11/09/20................................... 16,895 16,512,133
Commonwealth Bank of Australia
2.300%, 09/06/19................................... 11,019 10,948,900
5.000%, 10/15/19................................... 12,500 12,719,088
W 2.250%, 03/10/20................................... 10,000 9,862,100
W 2.050%, 09/18/20................................... 41,500 40,455,365
# 2.400%, 11/02/20................................... 25,800 25,271,665
National Australia Bank, Ltd.
W 2.250%, 07/01/19................................... 18,482 18,396,076
2.250%, 07/01/19................................... 18,070 17,985,992
1.375%, 07/12/19................................... 36,269 35,883,609
W 2.400%, 12/09/19................................... 2,492 2,470,817
# 2.250%, 01/10/20................................... 4,300 4,253,617
2.125%, 05/22/20................................... 14,706 14,450,557
2.625%, 07/23/20................................... 6,100 6,024,400
# 2.500%, 01/12/21................................... 10,000 9,785,310
Westpac Banking Corp.
2.250%, 01/17/19................................... 15,344 15,328,777
1.600%, 08/19/19................................... 4,975 4,920,287
# 2.150%, 03/06/20................................... 5,000 4,928,050
2.300%, 05/26/20................................... 10,000 9,840,550
------------
TOTAL AUSTRALIA........................................ 329,272,591
------------
AUSTRIA -- (2.7%)
Oesterreichische Kontrollbank AG
1.750%, 01/24/20................................... 83,158 81,988,783
1.375%, 02/10/20................................... 55,318 54,219,593
1.875%, 01/20/21................................... 15,860 15,449,343
------------
TOTAL AUSTRIA.......................................... 151,657,719
------------
BELGIUM -- (0.3%)
Dexia Credit Local SA
1.875%, 01/29/20................................... 14,674 14,465,797
------------
CANADA -- (19.8%)
Bank of Montreal
2.100%, 12/12/19................................... 6,015 5,948,573
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
2.100%, 06/15/20................................... 3,000 $ 2,947,204
1.880%, 03/31/21................................... CAD 8,000 5,925,086
# 1.900%, 08/27/21................................... 5,000 4,792,998
Bank of Nova Scotia (The)
# 2.350%, 10/21/20................................... 6,905 6,790,915
Canada Housing Trust No 1
W 3.750%, 03/15/20................................... CAD 115,000 89,037,753
W 1.200%, 06/15/20................................... CAD 18,500 13,795,636
W 1.450%, 06/15/20................................... CAD 30,000 22,461,089
W 1.250%, 12/15/20................................... CAD 15,000 11,112,614
Canadian Government Bond
1.750%, 05/01/20................................... CAD 142,000 107,035,284
3.500%, 06/01/20................................... CAD 15,000 11,609,290
CPPIB Capital, Inc.
1.400%, 06/04/20................................... CAD 37,500 28,021,668
Export Development Canada
W 2.300%, 02/10/20................................... 10,000 9,917,350
1.750%, 07/21/20................................... 9,895 9,685,968
Province of Alberta Canada
# 1.900%, 12/06/19................................... 8,700 8,602,421
1.250%, 06/01/20................................... CAD 88,500 66,004,079
1.750%, 08/26/20................................... 15,800 15,418,351
W 1.750%, 08/26/20................................... 15,000 14,636,625
1.350%, 09/01/21................................... CAD 10,000 7,332,675
Province of British Columbia Canada
3.700%, 12/18/20................................... CAD 69,500 54,113,335
Province of Manitoba Canada
2.050%, 11/30/20................................... 9,000 8,802,270
Province of Ontario Canada
4.200%, 06/02/20................................... CAD 132,500 103,394,185
2.550%, 02/12/21................................... 15,000 14,791,354
4.000%, 06/02/21................................... CAD 50,000 39,289,377
Province of Quebec Canada
4.500%, 12/01/19................................... CAD 16,000 12,441,095
3.500%, 07/29/20................................... 4,500 4,532,344
4.500%, 12/01/20................................... CAD 139,000 109,862,213
Royal Bank of Canada
2.980%, 05/07/19................................... CAD 4,500 3,430,316
2.125%, 03/02/20................................... 55,000 54,270,473
# 2.150%, 03/06/20................................... 18,715 18,479,870
1.920%, 07/17/20................................... CAD 49,000 36,656,668
2.150%, 10/26/20................................... 6,508 6,362,024
2.500%, 01/19/21................................... 12,831 12,595,399
2.860%, 03/04/21................................... CAD 7,000 5,303,878
2.030%, 03/15/21................................... CAD 30,000 22,306,126
Toronto-Dominion Bank (The)
1.900%, 10/24/19................................... 24,675 24,402,215
2.250%, 11/05/19................................... 18,638 18,489,648
1.693%, 04/02/20................................... CAD 57,000 42,650,522
3.000%, 06/11/20................................... 3,000 2,991,002
2.563%, 06/24/20................................... CAD 78,000 59,000,813
36
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
CANADA -- (Continued)
2.550%, 01/25/21................................ 5,000 $ 4,919,172
3.250%, 06/11/21................................ 5,000 4,983,306
Toyota Credit Canada, Inc.
2.480%, 11/19/19................................ CAD 7,500 5,688,253
--------------
TOTAL CANADA........................................ 1,110,831,437
--------------
DENMARK -- (1.8%)
Kommunekredit
1.125%, 08/23/19................................ 51,900 51,187,932
1.750%, 01/10/20................................ 1,500 1,479,615
1.625%, 06/12/20................................ 26,744 26,163,923
1.625%, 06/01/21................................ 20,000 19,264,960
--------------
TOTAL DENMARK....................................... 98,096,430
--------------
FINLAND -- (0.7%)
Municipality Finance P.L.C.
1.500%, 03/23/20................................ 25,529 25,014,846
Nordea Bank Abp
W 1.625%, 09/30/19................................ 16,000 15,787,491
--------------
TOTAL FINLAND....................................... 40,802,337
--------------
FRANCE -- (6.6%)
Agence Francaise de Developpement
1.375%, 08/02/19................................ 19,800 19,576,498
1.625%, 01/21/20................................ 119,240 117,174,286
2.750%, 03/22/21................................ 12,000 11,873,040
Caisse d'Amortissement de la Dette Sociale
1.750%, 09/24/19................................ 42,445 42,022,248
W 1.750%, 09/24/19................................ 9,000 8,910,360
1.875%, 01/13/20................................ 51,200 50,544,128
2.000%, 04/17/20................................ 4,250 4,187,848
1.875%, 07/28/20................................ 60,300 59,052,393
Dexia Credit Local SA
2.000%, 01/22/21................................ EUR 10,050 11,931,871
IXIS Corporate & Investment Bank SA
5.875%, 02/24/20................................ GBP 4,000 5,416,936
Sanofi
# 4.000%, 03/29/21................................ 13,381 13,581,204
Total Capital International SA
2.750%, 06/19/21................................ 14,493 14,311,255
Total Capital SA
4.450%, 06/24/20................................ 3,750 3,821,007
4.125%, 01/28/21................................ 6,000 6,105,417
--------------
TOTAL FRANCE........................................ 368,508,491
--------------
GERMANY -- (7.9%)
Erste Abwicklungsanstalt
1.375%, 10/30/19................................ 30,200 29,724,410
FACE
AMOUNT^ VALUE+
------- ------------
(000)
GERMANY -- (Continued)
2.500%, 03/13/20................................. 21,200 $ 21,039,876
2.000%, 11/16/20................................. 1,400 1,367,992
FMS Wertmanagement
1.000%, 08/16/19................................. 34,700 34,211,635
# 1.750%, 01/24/20................................. 29,450 29,040,821
1.750%, 05/15/20................................. 16,600 16,294,178
Kreditanstalt fuer Wiederaufbau
4.000%, 01/27/20................................. 5,000 5,066,227
1.750%, 03/31/20................................. 5,000 4,918,225
1.500%, 04/20/20................................. 48,000 47,004,626
1.625%, 05/29/20................................. 20,563 20,138,546
1.875%, 06/30/20................................. 30,000 29,465,333
# 2.750%, 07/15/20................................. 53,750 53,530,878
1.375%, 02/01/21................................. GBP 1,000 1,287,915
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.375%, 07/21/21................................. 4,779 4,562,946
Merck & Co., Inc.
1.850%, 02/10/20................................. 18,426 18,146,119
NRW Bank
1.250%, 07/29/19................................. 9,358 9,248,493
2.000%, 09/23/19................................. 12,000 11,903,904
1.875%, 01/27/20................................. 23,000 22,685,820
State of North Rhine- Westphalia Germany
1.625%, 07/25/19................................. 22,700 22,498,538
1.250%, 09/16/19................................. 13,800 13,604,095
1.625%, 01/22/20................................. 48,650 47,864,302
------------
TOTAL GERMANY........................................ 443,604,879
------------
JAPAN -- (2.1%)
Toyota Credit Canada, Inc.
2.250%, 05/23/19................................. CAD 12,238 9,291,472
1.800%, 02/19/20................................. CAD 5,000 3,748,680
Toyota Motor Credit Corp.
2.200%, 01/10/20................................. 36,592 36,260,260
2.150%, 03/12/20................................. 67,658 66,909,514
------------
TOTAL JAPAN.......................................... 116,209,926
------------
NETHERLANDS -- (8.0%)
BNG Bank NV
1.750%, 10/30/19................................. 22,320 22,073,364
W 1.750%, 10/30/19................................. 7,500 7,417,125
1.625%, 11/25/19................................. 2,800 2,762,424
#W 2.500%, 02/28/20................................. 17,000 16,893,733
1.750%, 03/24/20................................. 57,534 56,562,596
1.750%, 10/05/20................................. 27,000 26,346,465
2.125%, 12/14/20................................. 15,000 14,705,100
4.375%, 02/16/21................................. 14,566 14,972,391
Cooperatieve Rabobank UA
# 1.375%, 08/09/19................................. 1,320 1,302,734
37
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
NETHERLANDS -- (Continued)
2.250%, 01/14/20................................. 22,845 $ 22,597,885
4.750%, 01/15/20................................. 5,000 5,092,950
W 4.750%, 01/15/20................................. 4,750 4,838,303
4.500%, 01/11/21................................. 2,962 3,024,532
4.125%, 01/12/21................................. EUR 500 617,666
4.625%, 01/13/21................................. GBP 850 1,160,951
2.500%, 01/19/21................................. 21,650 21,178,064
Nederlandse
Waterschapsbank NV
W 1.750%, 09/05/19................................. 22,900 22,688,633
1.750%, 09/05/19................................. 11,000 10,898,470
1.250%, 09/09/19................................. 2,430 2,397,511
1.625%, 03/04/20................................. 39,199 38,506,667
Shell International Finance BV
# 1.375%, 09/12/19................................. 41,375 40,847,696
4.300%, 09/22/19................................. 4,000 4,048,161
4.375%, 03/25/20................................. 24,209 24,638,226
2.125%, 05/11/20................................. 38,565 38,044,792
2.250%, 11/10/20................................. 32,801 32,204,678
# 1.875%, 05/10/21................................. 9,450 9,131,681
------------
TOTAL NETHERLANDS.................................... 444,952,798
------------
NORWAY -- (5.1%)
Equinor ASA
2.250%, 11/08/19................................. 56,499 56,037,896
# 2.900%, 11/08/20................................. 10,673 10,592,575
Kommunalbanken A.S.
1.500%, 09/09/19................................. 6,500 6,426,459
1.500%, 10/22/19................................. 35,878 35,407,137
1.625%, 01/15/20................................. 3,000 2,954,010
2.500%, 04/17/20................................. 26,984 26,805,905
W 2.500%, 04/17/20................................. 7,378 7,329,537
1.750%, 09/15/20................................. 27,226 26,594,248
1.375%, 10/26/20................................. 6,000 5,808,780
Norway Government Bond
W 3.750%, 05/25/21................................. NOK 840,000 105,852,476
Statoil ASA
2.000%, 09/10/20................................. EUR 500 588,354
5.625%, 03/11/21................................. EUR 2,476 3,179,763
------------
TOTAL NORWAY......................................... 287,577,140
------------
SINGAPORE -- (0.1%)
Singapore Government Bond
2.250%, 06/01/21................................. SGD 10,000 7,238,205
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (12.2%)
African Development Bank
1.125%, 09/20/19................................. 15,500 15,268,481
1.375%, 02/12/20................................. 24,438 23,966,933
1.875%, 03/16/20................................. 44,400 43,763,748
Asian Development Bank
1.625%, 05/05/20................................. 88,376 86,657,211
1.625%, 08/26/20................................. 4,005 3,909,480
FACE
AMOUNT^ VALUE+
------- ------------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
Council Of Europe Development Bank
1.750%, 11/14/19................................. 3,779 $ 3,736,667
1.625%, 03/10/20................................. 95,649 93,967,064
EUROFIMA
1.750%, 05/29/20................................. 31,474 30,831,364
European Bank for Reconstruction & Development
1.750%, 11/26/19................................. 22,505 22,245,045
1.625%, 05/05/20................................. 14,445 14,161,892
European Investment Bank
# 1.625%, 03/16/20................................. 71,819 70,565,274
# 1.750%, 05/15/20................................. 25,000 24,548,004
1.375%, 06/15/20................................. 5,000 4,875,537
1.250%, 11/05/20................................. CAD 15,000 11,110,676
# 4.000%, 02/16/21................................. 15,000 15,311,943
2.000%, 03/15/21................................. 20,000 19,521,911
# 1.625%, 06/15/21................................. 8,000 7,708,592
W 2.250%, 07/30/21................................. CAD 15,000 11,281,135
Inter-American Development Bank
1.125%, 09/12/19................................. 6,280 6,192,739
1.750%, 10/15/19................................. 2,500 2,473,853
1.625%, 05/12/20................................. 20,740 20,338,349
1.875%, 06/16/20................................. 31,033 30,500,381
International Bank for Reconstruction & Development
1.875%, 10/07/19................................. 23,401 23,195,165
1.125%, 03/11/20................................. CAD 12,255 9,153,385
# 1.875%, 04/21/20................................. 11,108 10,942,091
1.625%, 09/04/20................................. 37,988 37,084,227
International Finance Corp.
1.625%, 07/16/20................................. 8,500 8,308,470
Nordic Investment Bank
2.500%, 04/28/20................................. 31,795 31,590,953
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS......... 683,210,570
------------
SWEDEN -- (7.0%)
Kommuninvest I Sverige AB
2.000%, 11/12/19................................. 29,200 28,938,134
1.750%, 03/19/20................................. 57,760 56,812,620
W 1.625%, 09/01/20................................. 7,360 7,174,408
1.625%, 09/01/20................................. 4,000 3,899,556
2.500%, 12/01/20................................. SEK 308,000 35,342,177
1.000%, 09/15/21................................. SEK 200,000 22,341,454
Svensk Exportkredit AB
1.875%, 06/17/19................................. 11,458 11,395,128
1.125%, 08/28/19................................. 9,250 9,122,443
38
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
SWEDEN -- (Continued)
1.750%, 05/18/20................................. 2,000 $ 1,960,840
# 1.875%, 06/23/20................................. 9,134 8,960,587
1.750%, 08/28/20................................. 59,671 58,282,146
2.750%, 10/07/20................................. 16,837 16,734,631
# 1.750%, 03/10/21................................. 26,000 25,206,658
2.875%, 05/22/21................................. 23,500 23,360,231
Svenska Handelsbanken AB
2.500%, 01/25/19................................. 28,687 28,670,362
2.250%, 06/17/19................................. 32,437 32,275,115
1.500%, 09/06/19................................. 15,711 15,509,244
1.950%, 09/08/20................................. 2,500 2,433,450
2.400%, 10/01/20................................. 4,000 3,925,760
3.000%, 11/20/20................................. GBP 1,000 1,318,428
------------
TOTAL SWEDEN......................................... 393,663,372
------------
SWITZERLAND -- (0.1%)
Novartis Capital Corp.
# 1.800%, 02/14/20................................. 7,805 7,688,014
------------
UNITED STATES -- (9.5%)
Apple, Inc.
# 1.500%, 09/12/19................................. 76,350 75,463,220
1.800%, 11/13/19................................. 4,328 4,281,796
1.550%, 02/07/20................................. 9,900 9,732,762
1.900%, 02/07/20................................. 22,408 22,125,820
2.000%, 11/13/20................................. 3,267 3,196,252
2.250%, 02/23/21................................. 18,600 18,231,653
2.850%, 05/06/21................................. 8,000 7,928,560
Berkshire Hathaway, Inc.
0.250%, 01/17/21................................. EUR 1,074 1,222,168
Chevron Corp.
2.193%, 11/15/19................................. 31,566 31,321,298
1.961%, 03/03/20................................. 4,150 4,091,466
1.991%, 03/03/20................................. 30,589 30,166,006
# 2.419%, 11/17/20................................. 5,000 4,929,406
2.100%, 05/16/21................................. 23,691 22,992,755
Cisco Systems, Inc.
# 1.400%, 09/20/19................................. 23,306 23,019,577
4.450%, 01/15/20................................. 38,004 38,644,592
# 2.450%, 06/15/20................................. 9,935 9,832,968
2.200%, 02/28/21................................. 11,394 11,122,373
Coca-Cola Co. (The)
# 1.875%, 10/27/20................................. 5,077 4,962,486
Exxon Mobil Corp.
1.912%, 03/06/20................................. 19,700 19,420,676
2.222%, 03/01/21................................. 10,000 9,770,481
Merck & Co., Inc.
3.875%, 01/15/21................................. 7,090 7,178,270
Microsoft Corp.
1.850%, 02/06/20................................. 12,000 11,847,277
1.850%, 02/12/20................................. 14,000 13,817,650
Nestle Holdings, Inc.
2.125%, 01/14/20................................. 9,572 9,474,643
1.750%, 12/09/20................................. GBP 2,400 3,101,655
FACE
AMOUNT^ VALUE+
------- --------------
(000)
UNITED STATES -- (Continued)
Novartis Capital Corp.
4.400%, 04/24/20................................ 1,059 $ 1,078,654
Oracle Corp.
# 3.875%, 07/15/20................................ 3,909 3,955,020
2.250%, 01/10/21................................ EUR 22,330 26,573,101
2.800%, 07/08/21................................ 1,834 1,810,424
Pfizer, Inc.
# 1.950%, 06/03/21................................ 1,881 1,825,945
Procter & Gamble Co. (The)
4.125%, 12/07/20................................ EUR 2,791 3,443,980
1.850%, 02/02/21................................ 8,890 8,653,579
Toyota Motor Credit Corp.
4.500%, 06/17/20................................ 4,500 4,597,033
4.250%, 01/11/21................................ 5,000 5,107,027
1.900%, 04/08/21................................ 13,516 13,064,833
2.950%, 04/13/21................................ 9,760 9,696,511
# 2.750%, 05/17/21................................ 820 809,110
Walmart, Inc.
# 1.750%, 10/09/19................................ 8,900 8,805,422
2.850%, 06/23/20................................ 42,244 42,176,899
# 3.125%, 06/23/21................................ 2,500 2,499,250
--------------
TOTAL UNITED STATES................................. 531,972,598
--------------
TOTAL BONDS......................................... 5,029,752,304
--------------
U.S. TREASURY OBLIGATIONS -- (5.8%)
U.S. Treasury Notes
1.250%, 10/31/19................................ 20,000 19,716,406
1.375%, 01/15/20................................ 20,000 19,671,875
1.250%, 01/31/20................................ 45,000 44,161,524
1.375%, 02/15/20................................ 46,000 45,177,031
1.250%, 02/29/20................................ 36,000 35,277,188
1.375%, 02/29/20................................ 15,000 14,721,094
1.625%, 03/15/20................................ 17,300 17,026,309
1.125%, 03/31/20................................ 20,000 19,534,375
1.375%, 03/31/20................................ 35,000 34,300,000
2.250%, 03/31/20................................ 10,000 9,921,484
1.500%, 04/15/20................................ 45,000 44,154,492
1.125%, 04/30/20................................ 21,000 20,476,641
--------------
TOTAL U.S. TREASURY OBLIGATIONS..................... 324,138,419
--------------
AGENCY OBLIGATIONS -- (3.0%)
Federal Home Loan Bank
2.125%, 02/11/20................................ 5,000 4,956,205
1.875%, 03/13/20................................ 24,000 23,698,392
4.125%, 03/13/20................................ 39,900 40,574,190
2.375%, 03/30/20................................ 32,100 31,897,032
Federal Home Loan Banks
2.625%, 05/28/20................................ 16,000 15,943,472
Federal Home Loan Mortgage Corp.
1.375%, 05/01/20................................ 7,000 6,849,997
39
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
Federal National Mortgage Association
1.500%, 02/28/20..................................... 42,000 $ 41,284,404
--------------
TOTAL AGENCY OBLIGATIONS................................ 165,203,692
--------------
TOTAL INVESTMENT SECURITIES............................. 5,519,094,415
--------------
SHARES VALUE+
--------- --------------
SECURITIES LENDING COLLATERAL -- (1.4%)
@(S) DFA Short Term Investment Fund................... 6,990,750 $ 80,882,982
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,668,227,453)............................... $5,599,977,397
==============
As of October 31, 2018, DFA Two-Year Global Fixed Income Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ------------------------------------- ---------- --------------
USD 284,597 CAD 368,315 Citibank, N.A. 11/05/18 $ 4,800
USD 6,131,570 CAD 8,022,840 UBS AG 11/05/18 36,874
USD 10,435,286 CAD 13,730,516 Citibank, N.A. 11/05/18 4,651
USD 12,205,073 CAD 15,792,444 National Australia Bank Ltd. 11/05/18 208,056
USD 15,011,173 CAD 19,624,784 JP Morgan 11/05/18 102,850
USD 125,045,811 CAD 161,374,245 Citibank, N.A. 11/13/18 2,438,706
USD 12,913,713 GBP 9,912,443 State Street Bank and Trust 11/16/18 236,115
USD 11,189,080 SEK 101,054,322 Citibank, N.A. 11/21/18 129,705
USD 11,319,733 SEK 102,387,333 National Australia Bank Ltd. 11/21/18 114,474
USD 36,969,869 SEK 334,108,799 Bank of America Corp. 11/21/18 405,035
USD 49,437,710 EUR 42,383,531 Citibank, N.A. 11/23/18 1,354,255
USD 7,367,996 SGD 10,077,547 HSBC Bank 12/13/18 86,426
USD 19,698,352 EUR 16,893,687 State Street Bank and Trust 12/27/18 465,392
USD 112,164,558 NOK 913,322,944 Morgan Stanley and Co. International 01/02/19 3,493,982
USD 122,290,195 CAD 158,644,808 State Street Bank and Trust 01/07/19 1,605,539
USD 135,188,779 CAD 175,068,306 Barclays Capital 01/16/19 1,990,337
USD 8,473,470 CAD 11,060,458 HSBC Bank 01/17/19 58,124
USD 112,189,188 CAD 146,535,829 HSBC Bank 01/17/19 697,444
USD 126,919,031 CAD 165,088,229 National Australia Bank Ltd. 01/18/19 1,309,596
USD 115,543,278 CAD 150,906,569 State Street Bank and Trust 01/22/19 716,447
USD 133,133,709 CAD 174,745,848 UBS AG 01/25/19 160,574
USD 16,629,368 EUR 14,475,097 State Street Bank and Trust 01/28/19 101,680
-----------
TOTAL APPRECIATION $15,721,062
CAD 9,211,068 USD 7,030,528 State Street Bank and Trust 01/16/19 $ (22,407)
EUR 15,514,294 USD 18,337,027 UBS AG 11/23/18 (736,302)
EUR 15,382,247 USD 18,044,039 State Street Bank and Trust 11/23/18 (593,119)
-----------
TOTAL (DEPRECIATION) $(1,351,828)
-----------
TOTAL APPRECIATION (DEPRECIATION) $14,369,234
===========
40
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 329,272,591 -- $ 329,272,591
Austria................................ -- 151,657,719 -- 151,657,719
Belgium................................ -- 14,465,797 -- 14,465,797
Canada................................. -- 1,110,831,437 -- 1,110,831,437
Denmark................................ -- 98,096,430 -- 98,096,430
Finland................................ -- 40,802,337 -- 40,802,337
France................................. -- 368,508,491 -- 368,508,491
Germany................................ -- 443,604,879 -- 443,604,879
Japan.................................. -- 116,209,926 -- 116,209,926
Netherlands............................ -- 444,952,798 -- 444,952,798
Norway................................. -- 287,577,140 -- 287,577,140
Singapore.............................. -- 7,238,205 -- 7,238,205
Supranational Organization Obligations. -- 683,210,570 -- 683,210,570
Sweden................................. -- 393,663,372 -- 393,663,372
Switzerland............................ -- 7,688,014 -- 7,688,014
United States.......................... -- 531,972,598 -- 531,972,598
Agency Obligations........................ -- 165,203,692 -- 165,203,692
U.S. Treasury Obligations................. -- 324,138,419 -- 324,138,419
Securities Lending Collateral............. -- 80,882,982 -- 80,882,982
Forward Currency Contracts**.............. -- 14,369,234 -- 14,369,234
-- -------------- -- --------------
TOTAL..................................... -- $5,614,346,631 -- $5,614,346,631
== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
41
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (91.7%)
AUSTRALIA -- (4.0%)
ASB Finance, Ltd.
0.500%, 06/10/22.................................. EUR 2,000 $ 2,266,422
Australia & New Zealand Banking Group, Ltd.
2.700%, 11/16/20.................................. 3,463 3,414,491
2.625%, 11/09/22.................................. 6,667 6,400,490
Commonwealth Bank of Australia
W 2.750%, 03/10/22.................................. 2,000 1,939,916
0.500%, 07/11/22.................................. EUR 5,725 6,507,320
Macquarie Group, Ltd.
W 3.000%, 12/03/18.................................. 4,475 4,476,253
National Australia Bank, Ltd.
# 2.625%, 01/14/21.................................. 1,405 1,378,180
1.875%, 07/12/21.................................. 1,350 1,291,046
0.875%, 01/20/22.................................. EUR 1,112 1,280,207
2.500%, 05/22/22.................................. 3,968 3,796,701
0.350%, 09/07/22.................................. EUR 1,500 1,691,485
Westpac Banking Corp.
4.875%, 11/19/19.................................. 3,350 3,409,824
0.250%, 01/17/22.................................. EUR 8,500 9,600,571
-----------
TOTAL AUSTRALIA....................................... 47,452,906
-----------
BELGIUM -- (0.2%)
Kingdom of Belgium Government Bond
W 0.200%, 10/22/23.................................. EUR 2,000 2,284,388
-----------
CANADA -- (9.6%)
Bank of Montreal
1.900%, 08/27/21.................................. 4,000 3,834,398
Bank of Nova Scotia (The)
2.800%, 07/21/21.................................. 420 413,081
Canada Housing Trust No 1
W 2.000%, 12/15/19.................................. CAD 6,000 4,546,272
W 1.450%, 06/15/20.................................. CAD 38,000 28,450,712
Canadian Natural Resources, Ltd.
# 2.950%, 01/15/23.................................. 5,000 4,813,456
CPPIB Capital, Inc.
W 1.250%, 09/20/19.................................. 3,000 2,958,834
Goldcorp, Inc.
3.625%, 06/09/21.................................. 500 497,032
Province of Alberta Canada
4.000%, 12/01/19.................................. CAD 10,000 7,735,349
Province of British Columbia Canada
3.250%, 12/18/21.................................. CAD 5,000 3,867,561
Province of Quebec Canada
4.500%, 12/01/19.................................. CAD 10,000 7,775,685
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
Royal Bank of Canada
2.750%, 02/01/22................................. 5,614 $ 5,485,979
1.968%, 03/02/22................................. CAD 8,000 5,858,665
Toronto-Dominion Bank (The)
1.900%, 10/24/19................................. 1,598 1,580,334
2.250%, 11/05/19................................. 10,067 9,986,870
1.693%, 04/02/20................................. CAD 7,000 5,237,783
2.563%, 06/24/20................................. CAD 14,000 10,589,890
1.994%, 03/23/22................................. CAD 10,000 7,334,650
Total Capital Canada, Ltd.
1.125%, 03/18/22................................. EUR 1,500 1,759,034
Toyota Credit Canada, Inc.
2.020%, 02/28/22................................. CAD 4,000 2,924,380
------------
TOTAL CANADA......................................... 115,649,965
------------
DENMARK -- (0.7%)
Danske Bank A.S.
W 2.800%, 03/10/21................................. 5,000 4,865,755
Kommunekredit
1.625%, 06/12/20................................. 745 728,841
0.250%, 03/29/23................................. EUR 2,000 2,276,473
------------
TOTAL DENMARK........................................ 7,871,069
------------
FINLAND -- (1.0%)
Finland Government Bond
W 0.000%, 09/15/23................................. EUR 4,000 4,542,535
Nordea Bank AB
0.300%, 06/30/22................................. EUR 5,000 5,658,642
OP Corporate Bank P.L.C.
0.750%, 03/03/22................................. EUR 725 833,534
0.375%, 10/11/22................................. EUR 500 565,328
------------
TOTAL FINLAND........................................ 11,600,039
------------
FRANCE -- (5.8%)
BPCE SA
1.125%, 12/14/22................................. EUR 1,800 2,094,188
Caisse d'Amortissement de la Dette Sociale
0.125%, 11/25/22................................. EUR 3,500 3,992,343
0.500%, 05/25/23................................. EUR 4,000 4,618,495
Credit Agricole SA
W 2.750%, 06/10/20................................. 5,000 4,944,050
Dexia Credit Local SA
0.625%, 01/21/22................................. EUR 1,250 1,443,920
0.250%, 06/02/22................................. EUR 2,000 2,280,587
1.125%, 06/15/22................................. GBP 2,000 2,527,723
0.750%, 01/25/23................................. EUR 6,000 6,954,797
0.250%, 06/01/23................................. EUR 12,900 14,609,524
Electricite de France SA
W 2.350%, 10/13/20................................. 5,300 5,198,200
42
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FRANCE -- (Continued)
Pernod Ricard SA
W 4.450%, 01/15/22.................................. 2,450 $ 2,495,892
Societe Generale SA
W 2.500%, 04/08/21.................................. 4,200 4,081,690
Total Capital SA
4.450%, 06/24/20.................................. 6,475 6,597,606
4.125%, 01/28/21.................................. 4,000 4,070,278
Unedic Asseo
0.875%, 10/25/22.................................. EUR 3,400 3,986,775
-----------
TOTAL FRANCE.......................................... 69,896,068
-----------
GERMANY -- (7.4%)
Bayer U.S. Finance LLC
W 2.375%, 10/08/19.................................. 5,000 4,960,391
Deutsche Bank AG
2.950%, 08/20/20.................................. 1,000 979,995
1.500%, 01/20/22.................................. EUR 1,000 1,132,346
FMS Wertmanagement
1.625%, 11/20/18.................................. 6,800 6,797,076
Kreditanstalt fuer Wiederaufbau
1.500%, 04/20/20.................................. 14,000 13,709,682
0.000%, 12/15/22.................................. EUR 2,000 2,268,721
0.125%, 06/07/23.................................. EUR 15,000 17,055,166
Landwirtschaftliche Rentenbank
0.050%, 06/12/23.................................. EUR 10,000 11,305,617
NRW Bank
0.000%, 08/10/22.................................. EUR 5,000 5,666,027
0.000%, 11/11/22.................................. EUR 5,000 5,656,637
0.125%, 03/10/23.................................. EUR 7,000 7,942,800
State of North Rhine-Westphalia Germany
0.200%, 04/17/23.................................. EUR 7,000 7,969,567
Volkswagen Group of America Finance LLC
W 2.400%, 05/22/20.................................. 3,625 3,558,407
-----------
TOTAL GERMANY......................................... 89,002,432
-----------
IRELAND -- (0.8%)
GE Capital International Funding Co., Unlimited Co.
# 2.342%, 11/15/20.................................. 4,715 4,570,256
Johnson Controls International P.L.C.
1.000%, 09/15/23.................................. EUR 4,000 4,549,376
Perrigo Finance Un, Ltd. Co.
3.500%, 03/15/21.................................. 1,011 998,251
-----------
TOTAL IRELAND......................................... 10,117,883
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
ITALY -- (0.2%)
Intesa Sanpaolo SpA
W 3.125%, 07/14/22.............................. 3,192 $ 2,899,764
-----------
JAPAN -- (1.1%)
Mitsubishi UFJ Financial Group, Inc.
0.680%, 01/26/23.............................. EUR 2,150 2,432,710
Mizuho Financial Group, Inc.
W 2.632%, 04/12/21.............................. 4,000 3,905,341
2.953%, 02/28/22.............................. 400 389,369
MUFG Bank, Ltd.
W 2.350%, 09/08/19.............................. 3,000 2,981,541
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21.............................. 3,000 2,880,858
2.784%, 07/12/22.............................. 400 386,646
-----------
TOTAL JAPAN....................................... 12,976,465
-----------
LUXEMBOURG -- (3.1%)
Allergan Funding SCS
3.450%, 03/15/22.............................. 6,000 5,901,562
European Financial Stability Facility
0.000%, 11/17/22.............................. EUR 16,960 19,231,457
0.500%, 01/20/23.............................. EUR 6,500 7,509,369
0.125%, 10/17/23.............................. EUR 4,000 4,517,816
-----------
TOTAL LUXEMBOURG.................................. 37,160,204
-----------
NETHERLANDS -- (5.0%)
BNG Bank NV
1.875%, 06/11/19.............................. 5,000 4,973,155
1.750%, 03/24/20.............................. 10,000 9,831,160
1.000%, 03/15/22.............................. GBP 1,000 1,267,421
0.500%, 08/26/22.............................. EUR 5,000 5,774,365
0.050%, 07/11/23.............................. EUR 12,000 13,536,934
Cooperatieve Rabobank UA
0.125%, 10/11/21.............................. EUR 900 1,020,623
2.750%, 01/10/22.............................. 810 787,397
4.000%, 01/11/22.............................. EUR 980 1,243,621
4.750%, 06/06/22.............................. EUR 1,367 1,796,746
# 2.750%, 01/10/23.............................. 1,000 959,695
Mondelez International Holdings Netherlands BV
W 2.000%, 10/28/21.............................. 6,000 5,711,292
Shell International Finance BV
4.375%, 03/25/20.............................. 6,399 6,512,454
2.250%, 11/10/20.............................. 4,606 4,522,263
1.750%, 09/12/21.............................. 2,000 1,916,906
Volkswagen International Finance NV
0.875%, 01/16/23.............................. EUR 300 336,519
-----------
TOTAL NETHERLANDS................................. 60,190,551
-----------
43
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NORWAY -- (1.1%)
Kommunalbanken A.S.
2.250%, 01/25/22.................................. 13,250 $12,879,026
-----------
S.GEORGIA/S.SAN -- (0.1%)
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22.................................. EUR 1,000 1,149,262
-----------
SPAIN -- (0.5%)
Banco Santander SA
3.848%, 04/12/23.................................. 3,000 2,903,442
Spain Government Bond
W 5.400%, 01/31/23.................................. EUR 2,500 3,428,476
-----------
TOTAL SPAIN 6,331,918
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (5.3%)
African Development Bank
1.875%, 03/16/20.................................. 5,000 4,928,350
Asian Development Bank
1.375%, 01/15/19.................................. 6,000 5,985,360
European Investment Bank
1.875%, 03/15/19.................................. 10,000 9,974,345
1.750%, 06/17/19.................................. 5,000 4,971,350
4.250%, 12/07/21.................................. GBP 220 307,401
0.000%, 10/16/23.................................. EUR 5,000 5,626,027
European Stability Mechanism
0.100%, 07/31/23.................................. EUR 28,000 31,684,652
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS.......... 63,477,485
-----------
SWEDEN -- (7.0%)
Kommuninvest I Sverige AB
0.250%, 06/01/22.................................. SEK 269,000 29,266,550
0.750%, 02/22/23.................................. SEK 50,000 5,506,543
Skandinaviska Enskilda Banken AB
0.300%, 02/17/22.................................. EUR 1,250 1,418,370
1.250%, 08/05/22.................................. GBP 2,000 2,514,246
Svenska Handelsbanken AB
2.400%, 10/01/20.................................. 15,145 14,863,909
0.250%, 02/28/22.................................. EUR 4,600 5,212,072
Sweden Government Bond
3.500%, 06/01/22.................................. SEK 206,000 25,452,187
-----------
TOTAL SWEDEN 84,233,877
-----------
SWITZERLAND -- (0.5%)
ABB Finance USA, Inc.
2.875%, 05/08/22.................................. 1,200 1,173,596
Credit Suisse AG/London
1.000%, 06/07/23.................................. EUR 2,000 2,307,707
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SWITZERLAND -- (Continued)
UBS AG
2.375%, 08/14/19.................................. 667 $ 663,308
UBS Group Funding Switzerland AG
1.750%, 11/16/22.................................. EUR 2,000 2,352,768
-----------
TOTAL SWITZERLAND..................................... 6,497,379
-----------
UNITED KINGDOM -- (2.4%)
AstraZeneca P.L.C.
# 2.375%, 11/16/20.................................. 5,000 4,908,671
Barclays P.L.C.
2.750%, 11/08/19.................................. 8,000 7,944,176
BAT International Finance P.L.C.
0.875%, 10/13/23.................................. EUR 5,100 5,712,293
BP Capital Markets P.L.C.
2.315%, 02/13/20.................................. 171 169,216
2.112%, 09/16/21.................................. 500 482,424
British Telecommunications P.L.C.
0.500%, 06/23/22.................................. EUR 400 449,649
1.125%, 03/10/23.................................. EUR 4,000 4,559,670
GlaxoSmithKline Capital P.L.C.
2.850%, 05/08/22.................................. 1,000 977,092
Lloyds Banking Group P.L.C.
3.000%, 01/11/22.................................. 1,000 971,137
Santander UK Group Holdings P.L.C.
# 2.875%, 08/05/21.................................. 500 484,396
Santander UK P.L.C.
2.375%, 03/16/20.................................. 2,000 1,975,123
-----------
TOTAL UNITED KINGDOM.................................. 28,633,847
-----------
UNITED STATES -- (35.9%)
AbbVie, Inc.
2.500%, 05/14/20.................................. 1,422 1,403,415
2.900%, 11/06/22.................................. 5,500 5,324,566
Activision Blizzard, Inc.
2.600%, 06/15/22.................................. 5,000 4,830,280
Aetna, Inc.
2.750%, 11/15/22.................................. 5,000 4,794,511
Aflac, Inc.
3.625%, 06/15/23.................................. 5,000 4,999,697
Allergan Finance LLC
3.250%, 10/01/22.................................. 3,200 3,106,484
Altria Group, Inc.
# 2.850%, 08/09/22.................................. 5,700 5,539,697
Ameren Corp.
2.700%, 11/15/20.................................. 1,000 985,231
American Express Co.
2.500%, 08/01/22.................................. 2,220 2,121,970
44
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
American Express Credit Corp.
2.250%, 08/15/19................................................. 2,500 $2,486,501
American Honda Finance Corp.
2.450%, 09/24/20................................................. 2,300 2,268,656
1.375%, 11/10/22................................................. EUR 2,000 2,347,631
AmerisourceBergen Corp.
3.500%, 11/15/21................................................. 5,000 4,981,598
Amgen, Inc.
2.200%, 05/22/19................................................. 575 572,720
2.650%, 05/11/22................................................. 1,425 1,376,811
Anheuser-Busch InBev Finance, Inc.
2.625%, 01/17/23................................................. 3,327 3,151,094
Anthem, Inc.
3.300%, 01/15/23................................................. 5,000 4,891,311
Apache Corp.
3.250%, 04/15/22................................................. 1,572 1,538,597
AT&T, Inc.
2.500%, 03/15/23................................................. EUR 2,000 2,414,222
AutoZone, Inc.
3.700%, 04/15/22................................................. 1,318 1,320,254
2.875%, 01/15/23................................................. 3,000 2,881,232
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
2.773%, 12/15/22................................................. 800 770,535
Bank of America Corp.
2.600%, 01/15/19................................................. 380 379,814
2.650%, 04/01/19................................................. 1,000 999,255
5.700%, 01/24/22................................................. 2,000 2,121,801
Bayer U.S. Finance II LLC
W 2.125%, 07/15/19................................................. 2,500 2,480,964
Biogen, Inc.
2.900%, 09/15/20................................................. 5,000 4,952,212
BMW US Capital LLC
W 2.000%, 04/11/21................................................. 2,365 2,280,891
#W 3.450%, 04/12/23................................................. 5,000 4,933,776
Booking Holdings, Inc.
0.800%, 03/10/22................................................. EUR 1,900 2,179,500
Boston Scientific Corp.
6.000%, 01/15/20................................................. 1,433 1,477,128
Bristol-Myers Squibb Co.
# 1.750%, 03/01/19................................................. 1,200 1,196,328
Capital One NA
2.950%, 07/23/21................................................. 4,495 4,411,346
Cardinal Health, Inc.
3.200%, 06/15/22................................................. 5,000 4,865,972
CBS Corp.
2.300%, 08/15/19................................................. 1,417 1,407,922
Celgene Corp.
2.250%, 05/15/19................................................. 765 761,525
3.550%, 08/15/22................................................. 1,777 1,759,860
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Chevron Corp.
2.498%, 03/03/22................................................. 3,000 $2,917,832
Church & Dwight Co., Inc.
2.875%, 10/01/22................................................. 2,000 1,940,169
Cigna Corp.
4.500%, 03/15/21................................................. 1,000 1,018,732
Cisco Systems, Inc.
2.200%, 02/28/21................................................. 5,000 4,880,802
Citizens Bank N.A.
3.700%, 03/29/23................................................. 1,671 1,653,173
Citizens Bank NA
2.550%, 05/13/21................................................. 2,836 2,759,732
Coca-Cola Co. (The)
0.750%, 03/09/23................................................. EUR 2,000 2,299,552
Comcast Corp.
# 3.125%, 07/15/22................................................. 569 560,474
# 2.750%, 03/01/23................................................. 3,000 2,892,284
Comerica, Inc.
2.125%, 05/23/19................................................. 700 696,708
Conagra Brands, Inc.
3.200%, 01/25/23................................................. 3,460 3,342,558
Cox Communications, Inc.
W 3.250%, 12/15/22................................................. 5,000 4,849,785
CVS Health Corp.
2.250%, 08/12/19................................................. 600 596,328
2.800%, 07/20/20................................................. 2,665 2,636,813
Daimler Finance North America LLC
W 2.850%, 01/06/22................................................. 6,200 6,006,010
Discovery Communications LLC
W 2.750%, 11/15/19................................................. 6,000 5,957,486
Dominion Energy, Inc.
2.500%, 12/01/19................................................. 3,917 3,893,327
Dow Chemical Co. (The)
3.000%, 11/15/22................................................. 3,134 3,043,691
DTE Energy Co.
2.400%, 12/01/19................................................. 2,210 2,187,201
E*TRADE Financial Corp.
2.950%, 08/24/22................................................. 5,000 4,818,911
Eaton Corp.
2.750%, 11/02/22................................................. 500 482,806
eBay, Inc.
2.200%, 08/01/19................................................. 5,500 5,464,926
2.600%, 07/15/22................................................. 760 729,734
Edison International
2.400%, 09/15/22................................................. 500 471,512
Energy Transfer Partners L.P.
# 3.600%, 02/01/23................................................. 4,594 4,473,653
Enterprise Products Operating LLC
3.350%, 03/15/23................................................. 2,000 1,958,479
Equifax, Inc.
3.300%, 12/15/22................................................. 1,000 971,718
45
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Exelon Generation Co. LLC
3.400%, 03/15/22................................................. 815 $ 803,033
4.250%, 06/15/22................................................. 1,000 1,011,431
Express Scripts Holding Co.
2.250%, 06/15/19................................................. 2,865 2,854,402
Exxon Mobil Corp.
1.912%, 03/06/20................................................. 5,009 4,937,978
2.222%, 03/01/21................................................. 2,800 2,735,735
Fifth Third Bancorp
2.300%, 03/01/19................................................. 2,270 2,266,927
Fifth Third Bank
2.375%, 04/25/19................................................. 453 451,768
Ford Motor Credit Co. LLC
# 5.875%, 08/02/21................................................. 1,000 1,035,340
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20................................................. 3,000 2,970,934
GATX Corp.
2.500%, 03/15/19................................................. 3,000 2,992,999
General Electric Co.
0.375%, 05/17/22................................................. EUR 4,523 5,021,071
General Motors Financial Co., Inc.
4.200%, 03/01/21................................................. 1,000 1,004,840
3.450%, 01/14/22................................................. 5,000 4,872,801
Goldman Sachs Group, Inc. (The)
2.625%, 04/25/21................................................. 500 488,875
5.250%, 07/27/21................................................. 5,000 5,199,517
5.750%, 01/24/22................................................. 1,400 1,479,500
Harley-Davidson Financial Services, Inc.
W 2.150%, 02/26/20................................................. 5,000 4,913,199
Hershey Co. (The)
# 4.125%, 12/01/20................................................. 300 305,784
HP, Inc.
4.300%, 06/01/21................................................. 518 527,721
HSBC USA, Inc.
2.350%, 03/05/20................................................. 1,825 1,803,282
Humana, Inc.
2.625%, 10/01/19................................................. 1,455 1,447,555
Johnson & Johnson
1.650%, 03/01/21................................................. 4,452 4,303,880
Kellogg Co.
0.800%, 11/17/22................................................. EUR 450 514,053
Keurig Dr Pepper, Inc.
2.700%, 11/15/22................................................. 4,684 4,453,847
KeyCorp
2.900%, 09/15/20................................................. 2,142 2,122,270
Kraft Heinz Foods Co.
4.000%, 06/15/23................................................. 1,000 994,785
Kroger Co. (The)
2.300%, 01/15/19................................................. 1,125 1,123,705
2.950%, 11/01/21................................................. 1,000 982,176
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Legg Mason, Inc.
2.700%, 07/15/19................................................. 5,425 $ 5,406,310
Lockheed Martin Corp.
2.500%, 11/23/20................................................. 2,900 2,847,654
Marathon Petroleum Corp.
3.400%, 12/15/20................................................. 3,500 3,498,746
Mastercard, Inc.
1.100%, 12/01/22................................................. EUR 1,000 1,163,773
Mead Johnson Nutrition Co.
3.000%, 11/15/20................................................. 2,800 2,780,402
Merck & Co., Inc.
3.875%, 01/15/21................................................. 1,584 1,603,721
MetLife, Inc.
4.750%, 02/08/21................................................. 1,774 1,821,961
Microsoft Corp.
1.850%, 02/12/20................................................. 2,000 1,973,950
1.550%, 08/08/21................................................. 1,178 1,128,076
Morgan Stanley
2.375%, 07/23/19................................................. 1,365 1,358,271
Mosaic Co. (The)
3.750%, 11/15/21................................................. 6,000 5,995,093
National Oilwell Varco, Inc.
2.600%, 12/01/22................................................. 4,000 3,789,191
Newell Brands, Inc.
4.000%, 06/15/22................................................. 5,440 5,387,605
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19................................................. 3,850 3,827,461
Nissan Motor Acceptance Corp.
W 2.550%, 03/08/21................................................. 3,500 3,413,399
Nordstrom, Inc.
4.750%, 05/01/20................................................. 5,225 5,326,058
Nuveen Finance LLC
W 2.950%, 11/01/19................................................. 2,400 2,395,309
NVIDIA Corp.
2.200%, 09/16/21................................................. 0 0
Omnicom Group, Inc. / Omnicom Capital, Inc.
4.450%, 08/15/20................................................. 1,000 1,017,320
3.625%, 05/01/22................................................. 3,200 3,161,131
ONEOK Partners L.P.
3.375%, 10/01/22................................................. 1,000 978,470
Oracle Corp.
# 1.900%, 09/15/21................................................. 19,000 18,247,541
Pacific Gas & Electric Co.
3.500%, 10/01/20................................................. 100 99,919
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
W 3.375%, 02/01/22................................................. 361 354,986
Pfizer, Inc.
0.250%, 03/06/22................................................. EUR 13,680 15,555,814
Philip Morris International, Inc.
# 2.375%, 08/17/22................................................. 6,985 6,684,131
46
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Procter & Gamble Co. (The)
2.000%, 08/16/22................................................. EUR 400 $ 482,804
Progress Energy, Inc.
4.400%, 01/15/21................................................. 1,500 1,525,668
QUALCOMM, Inc.
# 2.600%, 01/30/23................................................. 5,000 4,784,800
Regions Financial Corp.
2.750%, 08/14/22................................................. 1,500 1,442,331
Roper Technologies, Inc.
2.800%, 12/15/21................................................. 1,000 973,771
Ryder System, Inc.
3.400%, 03/01/23................................................. 2,325 2,287,244
Santander Holdings USA, Inc.
3.400%, 01/18/23................................................. 9,525 9,092,553
Sherwin-Williams Co. (The)
2.750%, 06/01/22................................................. 2,000 1,925,185
Southern Co. (The)
2.750%, 06/15/20................................................. 5,000 4,940,050
Southwest Airlines Co.
2.750%, 11/06/19................................................. 5,000 4,980,209
Stryker Corp.
2.625%, 03/15/21................................................. 2,400 2,356,149
SunTrust Bank
2.450%, 08/01/22................................................. 1,000 957,860
SunTrust Banks, Inc.
2.900%, 03/03/21................................................. 1,070 1,054,261
TD Ameritrade Holding Corp.
2.950%, 04/01/22................................................. 2,563 2,504,840
Toyota Motor Credit Corp.
1.900%, 04/08/21................................................. 20,928 20,229,419
2.600%, 01/11/22................................................. 3,152 3,076,802
0.750%, 07/21/22................................................. EUR 500 576,009
Union Pacific Corp.
1.800%, 02/01/20................................................. 844 830,143
4.000%, 02/01/21................................................. 1,470 1,489,879
2.750%, 04/15/23................................................. 1,396 1,342,926
UnitedHealth Group, Inc.
2.300%, 12/15/19................................................. 710 704,134
# 2.375%, 10/15/22................................................. 500 478,563
Verizon Communications, Inc.
4.600%, 04/01/21................................................. 1,197 1,228,874
FACE
AMOUNT^ VALUE+
------- --------------
(000)
UNITED STATES -- (Continued)
2.946%, 03/15/22................................................. 1,125 $ 1,100,833
3.125%, 03/16/22................................................. 3,650 3,598,142
Viacom, Inc.
4.500%, 03/01/21................................................. 6,000 6,092,322
Walgreen Co.
3.100%, 09/15/22................................................. 500 486,645
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19................................................. 1,590 1,581,904
Warner Media LLC
4.000%, 01/15/22................................................. 4,970 5,006,057
Wells Fargo & Co.
2.150%, 01/30/20................................................. 750 740,199
1.500%, 09/12/22................................................. EUR 300 351,664
Whirlpool Corp.
3.700%, 03/01/23................................................. 1,000 987,066
Xerox Corp.
4.070%, 03/17/22................................................. 2,900 2,766,600
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20................................................. 2,210 2,185,353
--------------
TOTAL UNITED STATES.................................................... 431,416,662
--------------
TOTAL BONDS............................................................ 1,101,721,190
--------------
U.S. TREASURY OBLIGATIONS -- (7.4%)
U.S. Treasury Notes
1.875%, 12/31/19................................................. 90,000 89,100,000
--------------
TOTAL INVESTMENT SECURITIES............................................ 1,190,821,190
--------------
SHARES
-------
SECURITIES LENDING COLLATERAL -- (0.9%)
@(S) DFA Short Term Investment Fund................................... 924,006 10,690,748
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,230,826,779).................... $1,201,511,938
==============
As of October 31, 2018, DFA Selectively Hedged Global Fixed Income Portfolio
had entered into the following forward currency contracts and the net
unrealized forward currency gain (loss) is reflected in the accompanying
financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
-------------------- --------------------- --------------------------------------- ---------- --------------
AUD 9,126,708 USD 6,456,936 Bank of America Corp. 11/05/18 $ 6,378
USD 8,736,041 AUD 12,162,008 National Australia Bank Ltd. 11/05/18 123,201
47
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
---------------------- ---------------------- --------------------------------------- ---------- --------------
USD 6,114,299 CAD 7,895,533 State Street Bank and Trust 12/19/18 $ 110,837
USD 22,724,262 CAD 29,562,397 State Street Bank and Trust 12/19/18 246,144
USD 57,255,381 CAD 74,150,184 Royal Bank of Scotland 12/19/18 874,411
USD 4,331,176 EUR 3,732,276 Citibank, N.A. 01/04/19 78,448
USD 5,785,525 EUR 4,985,737 Citibank, N.A. 01/04/19 104,545
USD 5,895,686 EUR 5,143,777 JP Morgan 01/04/19 34,629
USD 10,367,070 EUR 8,936,981 Citibank, N.A. 01/04/19 183,861
USD 11,298,257 EUR 9,678,531 Citibank, N.A. 01/04/19 270,092
USD 11,494,037 EUR 9,953,814 Bank of America Corp. 01/04/19 152,202
USD 120,182,329 EUR 103,539,227 State Street Bank and Trust 01/04/19 2,204,952
USD 62,002,313 SEK 555,674,988 State Street Bank and Trust 01/23/19 789,379
USD 124,837,411 EUR 109,020,547 State Street Bank and Trust 01/25/19 389,739
USD 6,729,331 GBP 5,226,007 Citibank, N.A. 01/28/19 18,519
----------
TOTAL APPRECIATION $5,587,337
AUD 3,035,300 USD 2,182,760 Citibank, N.A. 11/05/18 $ (33,234)
EUR 1,133,045 USD 1,321,211 National Australia Bank Ltd. 01/04/19 (30,167)
USD 10,514,782 EUR 9,218,522 HSBC Bank 01/25/19 (8,222)
----------
TOTAL (DEPRECIATION) $ (71,623)
----------
TOTAL APPRECIATION
(DEPRECIATION) $5,515,714
==========
Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 47,452,906 -- $ 47,452,906
Belgium................................ -- 2,284,388 -- 2,284,388
Canada................................. -- 115,649,965 -- 115,649,965
Denmark................................ -- 7,871,069 -- 7,871,069
Finland................................ -- 11,600,039 -- 11,600,039
France................................. -- 69,896,068 -- 69,896,068
Germany................................ -- 89,002,432 -- 89,002,432
Ireland................................ -- 10,117,883 -- 10,117,883
Italy.................................. -- 2,899,764 -- 2,899,764
Japan.................................. -- 12,976,465 -- 12,976,465
Luxembourg............................. -- 37,160,204 -- 37,160,204
Netherlands............................ -- 60,190,551 -- 60,190,551
Norway................................. -- 12,879,026 -- 12,879,026
S.Georgia/S.San........................ -- 1,149,262 -- 1,149,262
Spain.................................. -- 6,331,918 -- 6,331,918
Supranational Organization Obligations. -- 63,477,485 -- 63,477,485
Sweden................................. -- 84,233,877 -- 84,233,877
Switzerland............................ -- 6,497,379 -- 6,497,379
United Kingdom......................... -- 28,633,847 -- 28,633,847
United States.......................... -- 431,416,662 -- 431,416,662
U.S. Treasury Obligations................. -- 89,100,000 -- 89,100,000
48
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Securities Lending Collateral.... -- $ 10,690,748 -- $ 10,690,748
Forward Currency Contracts**..... -- 5,515,714 -- 5,515,714
-- -------------- -- --------------
TOTAL............................ -- $1,207,027,652 -- $1,207,027,652
== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
49
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ------------
(000)
BONDS -- (99.6%)
AUSTRALIA -- (5.5%)
ASB Finance, Ltd.
0.500%, 06/10/22................................................. EUR 41,239 $ 46,732,489
Australia & New Zealand Banking Group, Ltd.
2.625%, 11/09/22................................................. 98,167 94,242,818
Commonwealth Bank of Australia
W 2.750%, 03/10/22................................................. 92,078 89,311,822
0.500%, 07/11/22................................................. EUR 16,950 19,266,213
National Australia Bank, Ltd.
2.800%, 01/10/22................................................. 147,432 143,609,561
0.875%, 01/20/22................................................. EUR 9,168 10,554,802
2.500%, 05/22/22................................................. 112,927 108,051,937
0.350%, 09/07/22................................................. EUR 27,190 30,660,980
Westpac Banking Corp.
2.000%, 08/19/21................................................. 40,049 38,356,112
2.800%, 01/11/22................................................. 187,511 182,666,665
0.250%, 01/17/22................................................. EUR 11,762 13,284,931
2.500%, 06/28/22................................................. 33,886 32,546,027
2.625%, 12/14/22................................................. GBP 5,416 7,153,744
------------
TOTAL AUSTRALIA...................................................... 816,438,101
------------
AUSTRIA -- (3.0%)
Oesterreichische Kontrollbank AG
0.750%, 03/07/22................................................. GBP 8,000 10,066,799
Republic of Austria Government Bond
W 0.000%, 07/15/23................................................. EUR 384,000 436,508,727
------------
TOTAL AUSTRIA........................................................ 446,575,526
------------
BELGIUM -- (2.7%)
Kingdom of Belgium Government Bond
2.250%, 06/22/23................................................. EUR 318,000 399,237,433
------------
CANADA -- (18.0%)
Bank of Montreal
1.880%, 03/31/21................................................. CAD 56,000 41,475,605
# 1.900%, 08/27/21................................................. 31,907 30,586,038
Bank of Nova Scotia (The)
# 2.700%, 03/07/22................................................. 173,468 168,837,731
Canada Housing Trust No. 1
1.750%, 06/15/22................................................. CAD 117,000 86,158,464
2.400%, 12/15/22................................................. CAD 141,000 105,958,054
CPPIB Capital, Inc.
W 2.250%, 01/25/22................................................. 63,442 61,581,755
2.250%, 01/25/22................................................. 48,130 46,718,733
FACE
AMOUNT^ VALUE+
------- --------------
(000)
CANADA -- (Continued)
Province of Alberta Canada
1.350%, 09/01/21................................................. CAD 226,500 $ 166,085,089
2.550%, 12/15/22................................................. CAD 23,000 17,300,186
Province of British Columbia Canada
3.250%, 12/18/21................................................. CAD 63,000 48,731,262
2.700%, 12/18/22................................................. CAD 84,000 63,649,087
Province of Manitoba Canada
1.550%, 09/05/21................................................. CAD 14,600 10,759,716
# 2.125%, 05/04/22................................................. 61,500 59,019,737
2.550%, 06/02/23................................................. CAD 5,000 3,747,921
Province of Ontario Canada
# 2.400%, 02/08/22................................................. 130,769 127,109,945
1.350%, 03/08/22................................................. CAD 80,000 58,129,667
3.150%, 06/02/22................................................. CAD 271,950 209,232,829
Province of Quebec Canada
4.250%, 12/01/21................................................. CAD 58,000 46,139,177
2.375%, 01/31/22................................................. 139,636 135,906,170
0.875%, 05/24/22................................................. GBP 11,551 14,525,159
3.500%, 12/01/22................................................. CAD 265,200 206,924,292
Royal Bank of Canada
2.500%, 01/19/21................................................. 42,368 41,590,043
2.860%, 03/04/21................................................. CAD 19,000 14,396,240
2.030%, 03/15/21................................................. CAD 90,500 67,290,148
# 2.750%, 02/01/22................................................. 76,944 75,189,381
1.968%, 03/02/22................................................. CAD 304,434 222,947,116
2.000%, 03/21/22................................................. CAD 30,000 21,973,869
Toronto-Dominion Bank (The)
1.693%, 04/02/20 CAD 6,500 4,863,656
2.125%, 04/07/21................................................. 103,746 100,827,625
# 1.800%, 07/13/21................................................. 41,938 40,280,647
2.621%, 12/22/21................................................. CAD 57,179 42,858,298
1.994%, 03/23/22................................................. CAD 313,467 229,917,073
3.005%, 05/30/23................................................. CAD 33,000 24,835,041
Total Capital Canada, Ltd............................................
1.125%, 03/18/22................................................. EUR 21,600 25,330,094
Toyota Credit Canada, Inc.
2.020%, 02/28/22................................................. CAD 43,966 32,143,322
2.350%, 07/18/22................................................. CAD 34,200 25,140,877
--------------
TOTAL CANADA......................................................... 2,678,160,047
--------------
DENMARK -- (1.0%)
Kommunekredit
0.000%, 09/08/22................................................. EUR 33,405 37,782,987
0.250%, 03/29/23................................................. EUR 66,308 75,474,191
0.250%, 05/15/23................................................. EUR 36,868 41,921,578
--------------
TOTAL DENMARK........................................................ 155,178,756
--------------
50
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
FINLAND -- (4.0%)
Finland Government Bond
W 1.500%, 04/15/23............................. EUR 234,300 $ 284,727,768
W 0.000%, 09/15/23............................. EUR 119,200 135,367,542
Municipality Finance P.L.C.
1.250%, 12/07/22............................. GBP 39,634 50,561,352
Nordea Bank AB
2.375%, 06/02/22............................. GBP 9,480 12,399,806
0.300%, 06/30/22............................. EUR 6,300 7,129,889
3.250%, 07/05/22............................. EUR 13,403 16,780,966
OP Corporate Bank P.L.C.
0.750%, 03/03/22............................. EUR 56,018 64,404,029
2.500%, 05/20/22............................. GBP 2,550 3,356,333
0.375%, 10/11/22............................. EUR 16,840 19,040,243
--------------
TOTAL FINLAND.................................... 593,767,928
--------------
FRANCE -- (9.6%)
Agence Francaise de Developpement
0.125%, 04/30/22............................. EUR 48,200 54,827,735
0.500%, 10/25/22............................. EUR 19,600 22,559,364
Caisse d'Amortissement de la Dette Sociale
0.125%, 11/25/22............................. EUR 298,200 340,147,648
0.500%, 05/25/23............................. EUR 25,500 29,442,906
0.125%, 10/25/23............................. EUR 26,800 30,308,890
Dexia Credit Local SA
0.875%, 09/07/21............................. GBP 4,600 5,799,704
1.875%, 09/15/21............................. 10,742 10,332,794
0.625%, 01/21/22............................. EUR 22,650 26,163,824
0.250%, 06/02/22............................. EUR 29,400 33,524,628
1.125%, 06/15/22............................. GBP 20,100 25,403,615
2.375%, 09/20/22............................. 2,700 2,599,212
0.750%, 01/25/23............................. EUR 60,100 69,663,884
0.250%, 06/01/23............................. EUR 6,600 7,474,640
French Republic Government Bond OAT
0.000%, 03/25/23............................. EUR 178,000 202,456,112
1.750%, 05/25/23............................. EUR 170,925 209,935,630
Sanofi
0.000%, 09/13/22............................. EUR 12,200 13,720,376
0.500%, 03/21/23............................. EUR 107,300 122,664,736
Total Capital International SA
2.750%, 06/19/21............................. 10,359 10,229,097
2.875%, 02/17/22............................. 45,674 44,850,671
2.125%, 03/15/23............................. EUR 3,200 3,914,255
0.250%, 07/12/23............................. EUR 2,000 2,257,750
Unedic Asseo
0.875%, 10/25/22............................. EUR 127,900 149,973,084
2.250%, 04/05/23............................. EUR 2,000 2,483,712
--------------
TOTAL FRANCE..................................... 1,420,734,267
--------------
FACE
AMOUNT^ VALUE+
------- --------------
(000)
GERMANY -- (9.5%)
Bayerische Landesbodenkreditanstalt
2.500%, 02/09/22.............................. EUR 19,829 $ 24,360,056
Bundesobligation
0.000%, 04/14/23.............................. EUR 41,000 47,005,866
Deutsche Bahn Finance GMBH
2.500%, 09/12/23.............................. EUR 1,000 1,256,129
FMS Wertmanagement
1.125%, 09/07/23.............................. GBP 20,300 25,671,125
FMS Wertmanagement AoeR
1.000%, 09/07/22.............................. GBP 11,000 13,920,670
Kreditanstalt fuer Wiederaufbau
0.125%, 02/24/23.............................. EUR 198,227 225,704,661
0.125%, 06/07/23.............................. EUR 42,000 47,754,464
2.125%, 08/15/23.............................. EUR 57,114 71,023,362
0.000%, 09/15/23.............................. EUR 64,073 72,214,524
Landeskreditbank Baden- Wuerttemberg Foerderbank
0.875%, 03/07/22.............................. GBP 5,485 6,929,616
Landwirtschaftliche Rentenbank
0.050%, 06/12/23.............................. EUR 117,000 132,275,723
NRW Bank
0.000%, 08/10/22.............................. EUR 33,000 37,395,776
0.000%, 11/11/22.............................. EUR 128,540 145,420,825
0.125%, 03/10/23.............................. EUR 89,000 100,987,029
0.125%, 07/07/23.............................. EUR 110,300 124,675,224
State of North Rhine- Westphalia Germany
0.000%, 12/05/22.............................. EUR 117,200 132,696,310
0.375%, 02/16/23.............................. EUR 106,009 121,792,350
0.125%, 03/16/23.............................. EUR 27,260 30,961,606
0.200%, 04/17/23.............................. EUR 39,500 44,971,127
--------------
TOTAL GERMANY...................................... 1,407,016,443
--------------
JAPAN -- (0.1%)
Toyota Credit Canada, Inc.
2.200%, 02/25/21.............................. CAD 13,000 9,686,232
--------------
LUXEMBOURG -- (3.0%)
European Financial Stability Facility
0.000%, 11/17/22.............................. EUR 251,238 284,886,366
0.500%, 01/20/23.............................. EUR 44,500 51,410,294
0.125%, 10/17/23.............................. EUR 58,000 65,508,332
Nestle Finance International, Ltd.
0.750%, 11/08/21.............................. EUR 5,762 6,671,627
1.750%, 09/12/22.............................. EUR 12,765 15,355,736
0.750%, 05/16/23.............................. EUR 4,500 5,189,466
51
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
LUXEMBOURG -- (Continued)
Novartis Finance SA
0.500%, 08/14/23................................................. EUR 16,000 $ 18,293,517
--------------
TOTAL LUXEMBOURG..................................................... 447,315,338
--------------
NETHERLANDS -- (8.6%)
Bank Nederlandse Gemeenten NV
1.000%, 06/17/22................................................. GBP 15,457 19,561,902
2.250%, 08/30/22................................................. EUR 4,445 5,470,187
0.250%, 02/22/23................................................. EUR 59,000 67,404,285
BNG Bank NV
1.000%, 03/15/22................................................. GBP 5,030 6,375,129
0.500%, 08/26/22................................................. EUR 39,664 45,806,880
0.050%, 07/11/23................................................. EUR 160,891 181,497,571
Cooperatieve Rabobank UA
0.125%, 10/11/21................................................. EUR 18,733 21,243,697
2.750%, 01/10/22................................................. 143,170 139,174,810
3.875%, 02/08/22................................................. 55,157 55,455,396
4.750%, 06/06/22................................................. EUR 35,519 46,685,166
0.500%, 12/06/22................................................. EUR 22,849 26,076,512
Nederlandse Waterschapsbank NV
3.000%, 03/28/22................................................. EUR 20,100 25,136,241
0.500%, 10/27/22................................................. EUR 19,920 22,992,479
0.500%, 01/19/23................................................. EUR 13,300 15,345,710
Netherlands Government Bond
W 1.750%, 07/15/23................................................. EUR 216,000 266,712,788
Roche Finance Europe BV
0.500%, 02/27/23................................................. EUR 6,000 6,898,792
Shell International Finance BV
2.250%, 11/10/20................................................. 31,806 31,227,767
# 1.875%, 05/10/21................................................. 80,190 77,488,838
1.750%, 09/12/21................................................. 61,239 58,694,698
1.250%, 03/15/22................................................. EUR 43,106 50,722,011
1.000%, 04/06/22................................................. EUR 51,086 59,579,185
# 2.375%, 08/21/22................................................. 49,628 47,846,273
--------------
TOTAL NETHERLANDS.................................................... 1,277,396,317
--------------
NEW ZEALAND -- (0.2%)
ANZ New Zealand International, Ltd.
0.400%, 03/01/22................................................. EUR 27,377 30,948,443
--------------
NORWAY -- (3.6%)
Equinor ASA
3.150%, 01/23/22................................................. 22,182 21,976,647
0.875%, 02/17/23................................................. EUR 28,954 33,515,784
Kommunalbanken A.S.
1.125%, 11/30/22................................................. GBP 38,594 48,987,470
FACE
AMOUNT^ VALUE+
--------- --------------
(000)
NORWAY -- (Continued)
Norway Government Bond
W 2.000%, 05/24/23................................................. NOK 3,596,000 $ 435,041,860
--------------
TOTAL NORWAY 539,521,761
--------------
SINGAPORE -- (0.0%)
Temasek Financial I, Ltd.
0.500%, 03/01/22................................................. EUR 1,802 2,067,392
4.625%, 07/26/22................................................. GBP 4,200 5,980,551
--------------
TOTAL SINGAPORE...................................................... 8,047,943
--------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (7.3%)
Asian Development Bank
1.000%, 12/15/22................................................. GBP 22,333 28,286,164
0.200%, 05/25/23................................................. EUR 194,378 221,355,148
Council Of Europe
Development Bank
0.375%, 10/27/22................................................. EUR 39,747 45,766,416
0.125%, 05/25/23................................................. EUR 80,670 91,613,950
Eurofima
0.250%, 04/25/23................................................. EUR 3,373 3,821,576
European Investment Bank
2.500%, 10/31/22................................................. GBP 46,000 61,637,824
2.375%, 01/18/23................................................. CAD 8,000 5,983,468
1.625%, 03/15/23................................................. EUR 81,786 99,042,500
0.000%, 10/16/23................................................. EUR 39,214 44,123,806
European Stability Mechanism
0.000%, 10/18/22................................................. EUR 173,468 196,555,217
0.100%, 07/31/23................................................. EUR 200,236 226,585,999
International Bank for Reconstruction & Development
1.000%, 12/19/22................................................. GBP 34,750 44,030,895
Nordic Investment Bank
1.500%, 08/31/22................................................. NOK 100,000 11,788,298
1.375%, 06/19/23................................................. NOK 47,000 5,467,490
--------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS......................... 1,086,058,751
--------------
SWEDEN -- (7.5%)
Kommuninvest I Sverige AB
1.000%, 09/15/21................................................. SEK 210,000 23,458,527
0.250%, 06/01/22................................................. SEK 2,880,000 313,337,039
0.750%, 02/22/23................................................. SEK 985,000 108,478,895
Skandinaviska Enskilda Banken AB
0.300%, 02/17/22................................................. EUR 31,728 36,001,632
1.250%, 08/05/22................................................. GBP 5,351 6,726,864
Svensk Exportkredit AB
2.375%, 03/09/22................................................. 8,582 8,357,182
1.375%, 12/15/22................................................. GBP 31,487 40,388,482
52
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- --------------
(000)
SWEDEN -- (Continued)
Svenska Handelsbanken AB
2.375%, 01/18/22................................................. GBP 1,000 $ 1,306,749
0.250%, 02/28/22................................................. EUR 57,386 65,021,737
2.625%, 08/23/22................................................. EUR 10,905 13,416,861
2.750%, 12/05/22................................................. GBP 5,000 6,659,449
1.125%, 12/14/22................................................. EUR 53,008 61,740,810
Sweden Government Bond
3.500%, 06/01/22................................................. SEK 3,456,000 427,003,686
--------------
TOTAL SWEDEN......................................................... 1,111,897,913
--------------
UNITED KINGDOM -- (0.2%)
Transport for London
2.250%, 08/09/22................................................. GBP 19,458 25,585,672
--------------
UNITED STATES -- (15.8%)
3M Co.
0.375%, 02/15/22................................................. EUR 55,027 62,781,333
0.950%, 05/15/23................................................. EUR 6,000 6,981,566
Apple, Inc.
2.250%, 02/23/21................................................. 2,467 2,418,145
2.500%, 02/09/22................................................. 97,478 94,990,503
2.300%, 05/11/22................................................. 33,200 32,041,016
2.100%, 09/12/22................................................. 5,415 5,166,888
1.000%, 11/10/22................................................. EUR 27,825 32,669,135
Berkshire Hathaway, Inc.
2.200%, 03/15/21................................................. 42,352 41,501,148
3.400%, 01/31/22................................................. 38,959 39,064,893
0.625%, 01/17/23................................................. EUR 13,273 15,140,467
0.750%, 03/16/23................................................. EUR 21,058 24,059,096
Chevron Corp.
2.100%, 05/16/21................................................. 63,875 61,992,412
2.411%, 03/03/22................................................. 21,209 20,592,272
2.498%, 03/03/22................................................. 78,872 76,711,760
# 2.355%, 12/05/22................................................. 10,000 9,596,557
Cisco Systems, Inc.
2.200%, 02/28/21................................................. 31,517 30,765,650
1.850%, 09/20/21................................................. 94,484 90,763,842
Coca-Cola Co. (The)
1.550%, 09/01/21................................................. 26,459 25,297,640
# 3.300%, 09/01/21................................................. 27,889 28,062,815
2.200%, 05/25/22................................................. 30,592 29,521,513
1.125%, 09/22/22................................................. EUR 28,226 33,029,681
0.750%, 03/09/23................................................. EUR 60,770 69,871,889
Colgate-Palmolive Co.
2.300%, 05/03/22................................................. 30,897 29,799,721
Exxon Mobil Corp.
2.397%, 03/06/22................................................. 10,416 10,093,864
International Business Machines Corp.
2.500%, 01/27/22................................................. 93,875 90,899,996
FACE
AMOUNT^ VALUE+
--------- ---------------
(000)
UNITED STATES -- (Continued)
Johnson & Johnson
0.250%, 01/20/22................................................. EUR 38,623 $ 44,004,458
2.250%, 03/03/22................................................. 44,395 43,124,173
Merck & Co., Inc.
1.125%, 10/15/21................................................. EUR 18,277 21,326,593
2.350%, 02/10/22................................................. 94,738 91,923,595
Microsoft Corp.
2.125%, 12/06/21................................................. EUR 5,419 6,514,707
2.400%, 02/06/22................................................. 8,922 8,688,942
2.375%, 02/12/22................................................. 18,644 18,127,031
Nestle Holdings, Inc.
2.375%, 01/18/22................................................. 15,872 15,461,899
Novartis Capital Corp.
2.400%, 05/17/22................................................. 28,465 27,520,110
Oracle Corp.
# 2.800%, 07/08/21................................................. 52,678 52,000,834
1.900%, 09/15/21................................................. 221,610 212,833,550
2.500%, 05/15/22................................................. 79,485 76,940,691
Pfizer, Inc.
# 1.950%, 06/03/21................................................. 89,250 86,637,753
2.200%, 12/15/21................................................. 57,616 55,925,594
0.250%, 03/06/22................................................. EUR 88,008 100,075,738
Procter & Gamble Co. (The)
# 1.700%, 11/03/21................................................. 17,003 16,282,432
2.150%, 08/11/22................................................. 112,947 108,487,974
2.000%, 08/16/22................................................. EUR 23,959 28,918,725
Toyota Motor Credit Corp.
# 1.900%, 04/08/21................................................. 128,749 124,451,330
2.750%, 05/17/21................................................. 34,800 34,337,826
2.600%, 01/11/22................................................. 97,596 95,267,645
# 3.300%, 01/12/22................................................. 27,558 27,507,212
2.800%, 07/13/22................................................. 31,545 30,808,584
0.750%, 07/21/22................................................. EUR 27,550 31,738,114
2.375%, 02/01/23................................................. EUR 13,707 16,789,800
Walmart, Inc.
1.900%, 04/08/22................................................. EUR 5,000 5,987,745
1.900%, 04/08/22................................................. EUR 3,500 4,191,421
TOTAL UNITED STATES.................................................... 2,349,688,278
---------------
TOTAL BONDS............................................................ 14,803,255,149
---------------
SHARES
---------
SECURITIES LENDING COLLATERAL -- (0.4%)
@(S) DFA Short Term Investment Fund................................... 4,902,163 56,718,031
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $15,471,633,711)............................................... $14,859,973,180
===============
53
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
As of October 31, 2018, DFA Five-Year Global Fixed Income Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ------------------------------------- ---------- --------------
AUD 10,155,743 USD 7,190,368 UBS AG 12/20/18 $ 5,197
AUD 8,144,274 USD 5,768,215 Citibank, N.A. 12/20/18 2,181
EUR 2,646,171 USD 3,008,045 UBS AG 12/28/18 4,885
USD 11,046,500 EUR 9,500,000 Citibank, N.A. 11/01/18 286,322
USD 11,708,852 EUR 10,069,624 Citibank, N.A. 11/01/18 303,489
USD 18,665,342 EUR 16,000,000 State Street Bank and Trust 11/01/18 542,937
USD 18,944,803 EUR 16,239,276 State Street Bank and Trust 11/01/18 551,381
USD 24,336,954 EUR 20,886,701 State Street Bank and Trust 11/01/18 679,625
USD 64,708,179 EUR 55,462,070 State Street Bank and Trust 11/01/18 1,889,047
USD 139,103,170 CAD 179,769,412 Morgan Stanley and Co. International 11/01/18 2,546,969
USD 138,872,903 EUR 118,957,003 Bank of America Corp. 11/02/18 4,136,213
USD 3,750,776 CAD 4,931,493 Citibank, N.A. 11/05/18 4,478
USD 4,382,938 CAD 5,689,340 Citibank, N.A. 11/05/18 60,927
USD 12,930,951 CAD 16,788,435 Citibank, N.A. 11/05/18 177,312
USD 18,987,975 CAD 24,528,736 Citibank, N.A. 11/05/18 354,276
USD 72,658,737 CAD 94,115,552 State Street Bank and Trust 11/05/18 1,162,151
USD 134,651,447 EUR 115,875,562 State Street Bank and Trust 11/05/18 3,374,668
USD 24,199,462 SEK 218,824,045 UBS AG 11/06/18 279,893
USD 55,762,019 CAD 73,370,773 Bank of America Corp. 11/06/18 23,674
USD 55,762,442 CAD 73,370,772 Bank of America Corp. 11/06/18 24,098
USD 80,306,305 SEK 728,176,938 Barclays Capital 11/06/18 709,574
USD 134,392,858 EUR 115,056,921 State Street Bank and Trust 11/06/18 4,033,500
USD 28,025,208 SEK 252,534,142 Barclays Capital 11/07/18 418,672
USD 75,239,827 SEK 684,297,653 Bank of America Corp. 11/07/18 433,753
USD 140,744,558 EUR 120,606,225 State Street Bank and Trust 11/07/18 4,087,334
USD 31,154,554 EUR 26,794,465 State Street Bank and Trust 11/08/18 791,785
USD 107,575,559 EUR 93,211,402 Bank of America Corp. 11/08/18 1,950,900
USD 142,677,005 EUR 122,236,182 State Street Bank and Trust 11/09/18 4,151,588
USD 79,428,610 GBP 61,224,837 JP Morgan 11/13/18 1,134,792
USD 137,058,229 EUR 119,385,165 State Street Bank and Trust 11/13/18 1,722,035
USD 135,688,076 EUR 118,184,945 State Street Bank and Trust 11/14/18 1,702,135
USD 136,730,029 EUR 119,924,315 State Street Bank and Trust 11/15/18 761,685
USD 83,767,630 GBP 64,301,704 State Street Bank and Trust 11/16/18 1,528,456
USD 133,885,081 EUR 117,004,543 State Street Bank and Trust 11/16/18 1,216,901
USD 2,343,120 EUR 2,000,000 Citibank, N.A. 11/19/18 74,851
USD 67,079,356 EUR 57,404,887 JP Morgan 11/19/18 1,974,498
USD 67,090,280 EUR 57,404,887 JP Morgan 11/19/18 1,985,423
USD 149,932,648 CAD 194,896,879 Citibank, N.A. 11/19/18 1,841,242
USD 14,664,333 EUR 12,500,000 JP Morgan 11/20/18 486,559
USD 15,218,060 EUR 12,971,560 JP Morgan 11/20/18 505,433
USD 24,658,528 EUR 20,948,550 JP Morgan 11/20/18 898,224
USD 24,721,190 EUR 21,000,000 JP Morgan 11/20/18 902,530
USD 26,719,071 EUR 22,696,386 State Street Bank and Trust 11/20/18 976,333
USD 32,112,531 EUR 27,504,350 JP Morgan 11/20/18 916,495
USD 80,565,656 GBP 61,849,407 Bank of America Corp. 11/20/18 1,449,160
USD 67,744,585 EUR 58,165,061 State Street Bank and Trust 11/21/18 1,767,411
USD 67,745,749 EUR 58,165,062 State Street Bank and Trust 11/21/18 1,768,574
USD 110,219,132 SEK 996,450,615 Citibank, N.A. 11/21/18 1,167,674
USD 140,904,746 EUR 120,798,345 Citibank, N.A. 11/23/18 3,860,908
USD 142,071,155 EUR 120,454,703 Barclays Capital 11/26/18 5,385,537
USD 20,266,022 EUR 17,425,224 JP Morgan 11/27/18 491,274
USD 20,352,080 EUR 17,500,000 State Street Bank and Trust 11/27/18 492,474
USD 33,473,847 EUR 28,660,377 JP Morgan 11/27/18 949,059
USD 62,484,843 EUR 53,633,700 State Street Bank and Trust 11/27/18 1,619,463
USD 138,868,198 EUR 118,255,255 Citibank, N.A. 11/28/18 4,657,684
54
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- ------------------ ------------------------------------- ---------- --------------
USD 144,151,854 EUR 122,560,859 State Street Bank and Trust 11/29/18 $5,044,077
USD 72,716,833 EUR 62,027,244 State Street Bank and Trust 11/30/18 2,309,869
USD 72,731,720 EUR 62,027,244 State Street Bank and Trust 11/30/18 2,324,755
USD 139,219,603 EUR 119,583,204 State Street Bank and Trust 12/03/18 3,449,575
USD 9,624,133 EUR 8,225,206 Bank of America Corp. 12/04/18 284,497
USD 133,057,662 EUR 114,047,290 State Street Bank and Trust 12/04/18 3,558,152
USD 377,208 EUR 323,479 Citibank, N.A. 12/05/18 9,860
USD 5,017,863 EUR 4,300,000 Citibank, N.A. 12/05/18 134,702
USD 5,082,059 EUR 4,354,975 Citibank, N.A. 12/05/18 136,467
USD 10,178,307 EUR 8,700,000 JP Morgan 12/05/18 298,423
USD 10,209,848 EUR 8,726,663 JP Morgan 12/05/18 299,684
USD 23,391,759 EUR 19,988,361 UBS AG 12/05/18 692,600
USD 23,405,220 EUR 20,000,000 State Street Bank and Trust 12/05/18 692,843
USD 58,972,186 EUR 50,393,163 Citibank, N.A. 12/05/18 1,744,760
USD 23,834,155 SEK 216,550,768 Barclays Capital 12/06/18 102,944
USD 100,609,229 SEK 904,848,113 State Street Bank and Trust 12/06/18 1,449,378
USD 138,770,527 EUR 118,359,542 Bank of America Corp. 12/06/18 4,343,896
USD 140,678,685 EUR 120,363,494 State Street Bank and Trust 12/07/18 3,960,503
USD 144,778,252 EUR 124,269,018 Bank of America Corp. 12/10/18 3,575,638
USD 139,720,365 EUR 119,926,394 State Street Bank and Trust 12/11/18 3,436,601
USD 144,865,135 EUR 124,225,929 State Street Bank and Trust 12/12/18 3,679,317
USD 138,688,655 EUR 117,215,086 Bank of America Corp. 12/13/18 5,455,652
USD 137,181,308 EUR 115,937,745 Citibank, N.A. 12/14/18 5,385,182
USD 144,572,686 EUR 122,256,374 HSBC Bank 12/17/18 5,546,115
USD 145,803,425 EUR 123,008,966 National Australia Bank Ltd. 12/18/18 5,905,080
USD 34,933,922 EUR 30,076,133 Barclays Capital 12/19/18 724,375
USD 66,391,378 EUR 56,177,899 National Australia Bank Ltd. 12/19/18 2,492,855
USD 66,392,502 EUR 56,177,899 National Australia Bank Ltd. 12/19/18 2,493,978
USD 25,276,120 NOK 205,544,781 HSBC Bank 12/20/18 838,118
USD 31,549,896 NOK 257,235,047 JP Morgan 12/20/18 966,241
USD 41,685,212 AUD 57,390,944 State Street Bank and Trust 12/20/18 1,022,480
USD 89,537,011 NOK 729,930,839 State Street Bank and Trust 12/20/18 2,752,755
USD 136,737,966 EUR 117,346,836 National Australia Bank Ltd. 12/20/18 3,248,734
USD 19,925,213 NOK 163,391,252 UBS AG 12/27/18 491,096
USD 24,775,137 NOK 203,663,308 State Street Bank and Trust 12/27/18 550,973
USD 91,440,020 NOK 741,992,879 Barclays Capital 12/27/18 3,185,745
USD 136,236,369 EUR 116,625,190 JP Morgan 12/27/18 3,462,064
USD 142,118,544 EUR 122,274,757 State Street Bank and Trust 12/28/18 2,896,486
USD 74,225,706 EUR 63,769,788 JP Morgan 01/02/19 1,575,953
USD 74,239,672 EUR 63,769,789 JP Morgan 01/02/19 1,589,918
USD 138,026,043 EUR 119,041,742 Bank of America Corp. 01/03/19 2,396,042
USD 137,379,142 EUR 118,537,254 Citibank, N.A. 01/04/19 2,312,320
USD 59,886,156 CAD 77,698,784 State Street Bank and Trust 01/07/19 778,952
USD 59,895,851 CAD 77,698,784 State Street Bank and Trust 01/07/19 788,646
USD 135,149,077 EUR 117,283,097 Citibank, N.A. 01/07/19 1,476,832
USD 133,874,977 EUR 117,243,372 Barclays Capital 01/08/19 236,519
USD 6,206,059 EUR 5,347,565 Citibank, N.A. 01/09/19 110,177
USD 6,267,478 EUR 5,400,000 Bank of America Corp. 01/09/19 111,823
USD 22,984,877 NOK 187,186,103 Citibank, N.A. 01/09/19 706,163
USD 135,488,453 EUR 116,918,367 State Street Bank and Trust 01/09/19 2,208,988
USD 136,673,301 NOK 1,118,335,029 State Street Bank and Trust 01/09/19 3,570,115
USD 21,330,295 EUR 18,572,697 Morgan Stanley and Co. International 01/10/19 156,787
USD 129,653,462 EUR 111,125,221 UBS AG 01/10/19 2,966,920
USD 11,100,365 GBP 8,401,127 Citibank, N.A. 01/11/19 321,325
USD 12,545,490 GBP 9,745,231 Citibank, N.A. 01/11/19 41,902
USD 13,174,848 GBP 9,997,254 Citibank, N.A. 01/11/19 347,902
USD 42,725,533 GBP 32,349,592 Citibank, N.A. 01/11/19 1,219,489
USD 139,101,478 EUR 119,224,388 Bank of America Corp. 01/11/19 3,169,919
55
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- ------------------ ------------------------------------- ---------- --------------
USD 136,379,053 CAD 179,010,872 UBS AG 01/14/19 $ 185,521
USD 143,454,352 EUR 122,885,116 National Australia Bank Ltd. 01/14/19 3,312,921
USD 14,634,751 CAD 19,172,218 National Australia Bank Ltd. 01/15/19 48,063
USD 29,433,742 NOK 238,643,175 HSBC Bank 01/15/19 1,023,425
USD 45,521,531 CAD 59,552,587 UBS AG 01/15/19 212,479
USD 74,865,449 EUR 64,092,110 State Street Bank and Trust 01/15/19 1,766,826
USD 74,870,802 EUR 64,092,111 UBS AG 01/15/19 1,772,178
USD 83,097,251 GBP 62,534,063 JP Morgan 01/15/19 2,847,358
USD 119,361,132 SEK 1,058,648,138 Citibank, N.A. 01/16/19 2,808,421
USD 138,302,739 EUR 118,997,634 Bank of America Corp. 01/16/19 2,571,343
USD 149,227,633 CAD 193,216,208 Bank of America Corp. 01/16/19 2,221,596
USD 15,513,233 EUR 13,500,000 Barclays Capital 01/17/19 113,503
USD 132,261,803 CAD 172,052,634 UBS AG 01/17/19 1,355,605
USD 135,033,047 EUR 116,859,825 Bank of America Corp. 01/17/19 1,728,615
USD 2,319,916 EUR 2,000,000 UBS AG 01/18/19 38,278
USD 69,775,636 EUR 60,150,000 JP Morgan 01/18/19 1,155,376
USD 71,874,169 EUR 61,962,253 UBS AG 01/18/19 1,186,456
USD 112,275,596 SEK 1,003,918,527 Bank of America Corp. 01/18/19 1,730,092
USD 143,112,641 CAD 186,248,509 UBS AG 01/18/19 1,403,144
USD 19,218,548 CAD 25,123,585 National Australia Bank Ltd. 01/22/19 101,675
USD 97,778,961 CAD 127,703,528 State Street Bank and Trust 01/22/19 607,636
USD 143,729,714 EUR 124,004,022 State Street Bank and Trust 01/22/19 2,214,863
USD 4,141,860 CAD 5,432,033 HSBC Bank 01/23/19 8,484
USD 45,525,115 CAD 59,552,587 UBS AG 01/23/19 209,995
USD 135,998,771 EUR 117,523,663 Citibank, N.A. 01/23/19 1,867,835
USD 118,124,811 CAD 154,312,583 State Street Bank and Trust 01/24/19 702,367
USD 138,173,995 EUR 120,336,639 Morgan Stanley and Co. International 01/24/19 820,756
USD 16,098,796 EUR 14,000,000 JP Morgan 01/25/19 117,704
USD 77,212,960 GBP 60,065,657 UBS AG 01/25/19 92,905
USD 114,123,429 SEK 1,030,529,199 Citibank, N.A. 01/25/19 581,946
USD 116,702,389 CAD 151,920,253 State Street Bank and Trust 01/25/19 1,098,427
USD 132,558,340 EUR 115,202,456 State Street Bank and Trust 01/25/19 1,053,978
USD 134,805,725 EUR 117,321,736 State Street Bank and Trust 01/28/19 847,587
USD 141,259,411 CAD 184,636,362 State Street Bank and Trust 01/28/19 753,016
USD 137,734,880 CAD 180,379,734 State Street Bank and Trust 01/29/19 465,438
USD 143,318,834 EUR 125,116,891 State Street Bank and Trust 01/29/19 447,870
USD 136,022,456 EUR 118,957,003 State Street Bank and Trust 01/30/19 173,766
------------
TOTAL APPRECIATION $229,904,249
AUD 21,808,251 USD 15,526,428 Citibank, N.A. 12/20/18 $ (74,808)
AUD 10,166,639 USD 7,245,682 Bank of America Corp. 12/20/18 (42,397)
AUD 5,117,223 USD 3,627,461 UBS AG 12/20/18 (1,797)
AUD 1,998,814 USD 1,437,954 Citibank, N.A. 12/20/18 (21,751)
CAD 179,769,412 USD 137,012,435 State Street Bank and Trust 11/01/18 (456,233)
EUR 125,116,891 USD 142,130,286 State Street Bank and Trust 11/01/18 (416,596)
EUR 2,898,550 USD 3,394,137 National Australia Bank Ltd. 11/01/18 (111,094)
EUR 142,230 USD 166,748 Citibank, N.A. 11/01/18 (5,651)
EUR 118,957,003 USD 134,907,948 State Street Bank and Trust 11/02/18 (171,257)
EUR 7,594,475 USD 8,791,319 Bank of America Corp. 12/19/18 (153,122)
EUR 7,000,000 USD 8,102,660 Citibank, N.A. 12/19/18 (140,638)
EUR 5,346,537 USD 6,159,292 Citibank, N.A. 12/19/18 (77,972)
EUR 17,357,641 USD 20,188,273 UBS AG 12/27/18 (427,116)
EUR 4,371,581 USD 5,055,436 UBS AG 12/28/18 (77,953)
EUR 4,366,000 USD 5,048,535 Morgan Stanley and Co. International 12/28/18 (77,407)
EUR 4,365,000 USD 5,046,497 Citibank, N.A. 12/28/18 (76,508)
EUR 4,364,000 USD 5,045,520 Morgan Stanley and Co. International 12/28/18 (76,669)
EUR 237,363 USD 271,567 Citibank, N.A. 01/09/19 (988)
EUR 93,260 USD 106,949 Citibank, N.A. 01/09/19 (638)
56
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- ---------------- --------------- ---------- --------------
EUR 2,385,140 USD 2,755,265 HSBC Bank 01/15/19 $ (34,954)
USD 105,808,801 SEK 962,793,115 Citibank, N.A. 01/24/19 (260,884)
------------
TOTAL (DEPRECIATION) $ (2,706,433
------------
TOTAL APPRECIATION (DEPRECIATION) $227,197,816
============
Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 816,438,101 -- $ 816,438,101
Austria................................ -- 446,575,526 -- 446,575,526
Belgium................................ -- 399,237,433 -- 399,237,433
Canada................................. -- 2,678,160,047 -- 2,678,160,047
Denmark................................ -- 155,178,756 -- 155,178,756
Finland................................ -- 593,767,928 -- 593,767,928
France................................. -- 1,420,734,267 -- 1,420,734,267
Germany................................ -- 1,407,016,443 -- 1,407,016,443
Japan.................................. -- 9,686,232 -- 9,686,232
Luxembourg............................. -- 447,315,338 -- 447,315,338
Netherlands............................ -- 1,277,396,317 -- 1,277,396,317
New Zealand............................ -- 30,948,443 -- 30,948,443
Norway................................. -- 539,521,761 -- 539,521,761
Singapore.............................. -- 8,047,943 -- 8,047,943
Supranational Organization Obligations. -- 1,086,058,751 -- 1,086,058,751
Sweden................................. -- 1,111,897,913 -- 1,111,897,913
United Kingdom......................... -- 25,585,672 -- 25,585,672
United States.......................... -- 2,349,688,278 -- 2,349,688,278
Securities Lending Collateral............. -- 56,718,031 -- 56,718,031
Forward Currency Contracts**.............. -- 227,197,816 -- 227,197,816
-- --------------- -- ---------------
TOTAL..................................... -- $15,087,170,996 -- $15,087,170,996
== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
57
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ------------
(000)
BONDS -- (99.8%)
AUSTRIA -- (3.3%)
Republic of Austria Government Bond
W 0.750%, 02/20/28................................................. EUR 31,000 $ 35,572,130
------------
BELGIUM -- (3.6%)
Kingdom of Belgium Government Bond
W 0.800%, 06/22/27................................................. EUR 1,300 1,490,851
W 0.800%, 06/22/28................................................. EUR 2,500 2,837,133
W 1.000%, 06/22/31................................................. EUR 31,300 35,233,891
------------
TOTAL BELGIUM........................................................ 39,561,875
------------
CANADA -- (12.2%)
Province of Alberta Canada
2.900%, 09/20/29................................................. CAD 10,300 7,588,646
3.500%, 06/01/31................................................. CAD 5,000 3,895,856
Province of British Columbia
Canada
5.700%, 06/18/29................................................. CAD 21,958 20,530,384
Province of Manitoba Canada
3.250%, 09/05/29................................................. CAD 37,700 28,534,528
Province of Ontario Canada
6.500%, 03/08/29................................................. CAD 19,600 19,165,702
Province of Quebec Canada
0.875%, 05/04/27................................................. EUR 32,763 37,177,378
0.875%, 07/05/28................................................. EUR 3,000 3,355,596
Province of Saskatchewan
Canada
6.400%, 09/05/31................................................. CAD 13,000 13,123,636
------------
TOTAL CANADA......................................................... 133,371,726
------------
DENMARK -- (3.8%)
Denmark Government Bond
0.500%, 11/15/27................................................. DKK 269,500 41,507,803
------------
FINLAND -- (3.3%)
Finland Government Bond
W 2.750%, 07/04/28................................................. EUR 26,850 36,564,245
------------
FRANCE -- (23.6%)
Agence Francaise de Developpement
1.000%, 01/31/28................................................. EUR 28,000 32,057,357
0.875%, 05/25/31................................................. EUR 5,500 6,003,879
Caisse d'Amortissement de la Dette Sociale
4.000%, 12/15/25................................................. EUR 4,400 6,233,743
Dexia Credit Local SA
1.000%, 10/18/27................................................. EUR 32,450 36,947,943
FACE
AMOUNT^ VALUE+
------- ------------
(000)
FRANCE -- (Continued)
French Republic Government Bond OAT
2.750%, 10/25/27................................................. EUR 30,126 $ 40,618,578
0.750%, 05/25/28................................................. EUR 60,600 69,034,107
SNCF Mobilites
5.375%, 03/18/27................................................. GBP 12,566 20,232,489
SNCF Reseau EPIC
3.125%, 10/25/28................................................. EUR 6,600 9,057,904
5.250%, 12/07/28................................................. GBP 16,713 27,623,672
Unedic Asseo
1.500%, 04/20/32................................................. EUR 9,000 10,685,676
------------
TOTAL FRANCE......................................................... 258,495,348
------------
GERMANY -- (7.7%)
Deutsche Bahn Finance GMBH
3.125%, 07/24/26................................................. GBP 15,550 21,667,400
0.625%, 09/26/28................................................. EUR 1,000 1,093,184
Kreditanstalt fuer Wiederaufbau
2.050%, 02/16/26................................................. JPY 399,000 4,067,374
2.050%, 02/16/26................................................. JPY 36,000 366,981
0.500%, 09/15/27................................................. EUR 29,900 33,384,532
State of North Rhine-Westphalia Germany
0.500%, 02/16/27................................................. EUR 15,440 17,295,997
0.950%, 03/13/28................................................. EUR 6,000 6,907,532
------------
TOTAL GERMANY........................................................ 84,783,000
------------
LUXEMBOURG -- (3.5%)
European Financial Stability Facility
0.875%, 07/26/27................................................. EUR 33,000 37,734,641
------------
NETHERLANDS -- (6.0%)
BNG Bank NV
0.625%, 06/19/27................................................. EUR 10,125 11,373,748
0.750%, 01/11/28................................................. EUR 12,300 13,865,174
Nederlandse Waterschapsbank NV
1.000%, 03/01/28................................................. EUR 7,600 8,754,481
0.500%, 04/29/30................................................. EUR 2,500 2,659,072
Netherlands Government Bond
W 0.750%, 07/15/27................................................. EUR 3,000 3,496,152
5.500%, 01/15/28................................................. EUR 15,250 25,237,460
------------
TOTAL NETHERLANDS 65,386,087
------------
58
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- ------------
(000)
NORWAY -- (4.3%)
Kommunalbanken A.S.
0.625%, 04/20/26................................................. EUR 14,000 $ 15,843,055
Norway Government Bond
W 1.500%, 02/19/26................................................. NOK 270,000 31,342,331
------------
TOTAL NORWAY 47,185,386
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (14.5%)
African Development Bank
0.875%, 05/24/28................................................. EUR 7,535 8,550,284
Asian Development Bank
2.350%, 06/21/27................................................. JPY 3,350,000 35,519,233
Council Of Europe
Development Bank
0.750%, 01/24/28................................................. EUR 9,500 10,773,090
European Investment Bank
1.250%, 05/12/25................................................. SEK 50,000 5,595,723
1.250%, 05/12/25................................................. SEK 25,000 2,797,861
1.900%, 01/26/26................................................. JPY 1,778,200 17,921,486
2.150%, 01/18/27................................................. JPY 517,100 5,374,187
1.375%, 05/12/28................................................. SEK 30,000 3,308,469
6.000%, 12/07/28................................................. GBP 1,300 2,309,725
5.625%, 06/07/32................................................. GBP 1,800 3,307,843
European Stability Mechanism
0.750%, 03/15/27................................................. EUR 26,500 30,223,240
0.750%, 09/05/28................................................. EUR 3,000 3,372,912
European Union
2.875%, 04/04/28................................................. EUR 21,460 29,117,551
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS......................... 158,171,604
------------
FACE
AMOUNT^ VALUE+
------- --------------
(000)
SWEDEN -- (3.9%)
Sweden Government Bond
2.250%, 06/01/32................................................. SEK 340,000 $ 42,955,143
--------------
UNITED KINGDOM -- (10.1%)
Network Rail Infrastructure Finance P.L.C.
4.375%, 12/09/30................................................. GBP 1,200 1,959,705
United Kingdom Gilt
1.500%, 07/22/26................................................. GBP 6,500 8,471,818
4.750%, 12/07/30................................................. GBP 56,450 97,769,221
4.250%, 06/07/32................................................. GBP 1,400 2,363,009
--------------
TOTAL UNITED KINGDOM................................................. 110,563,753
--------------
TOTAL BONDS.......................................................... 1,091,852,741
--------------
U.S. TREASURY OBLIGATIONS -- (0.2%)
U.S. Treasury Bonds
5.375%, 02/15/31................................................. 2,050 2,504,123
--------------
TOTAL INVESTMENT SECURITIES.......................................... 1,094,356,864
--------------
TOTAL INVESTMENTS -- (100.0%)........................................
(Cost $1,128,949,325).............................................. $1,094,356,864
==============
As of October 31, 2018, DFA World ex U.S. Government Fixed Income Portfolio had
entered into the following forward currency contracts and the net unrealized
forward currency gain (loss) is reflected in the accompanying financial
statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- ------------------ ----------------------------- ---------- --------------
USD 103,453,720 GBP 79,681,225 State Street Bank and Trust 11/13/18 $1,558,025
USD 54,484 DKK 347,373 Citibank, N.A. 11/21/18 1,665
USD 461,069 DKK 3,010,315 Citibank, N.A. 11/21/18 3,342
USD 1,782,686 SEK 15,998,064 Bank of America Corp. 11/21/18 31,859
USD 2,993,474 SEK 27,097,169 State Street Bank and Trust 11/21/18 27,963
USD 3,746,280 JPY 414,018,255 State Street Bank and Trust 11/21/18 72,160
USD 42,631,184 DKK 273,086,031 Citibank, N.A. 11/21/18 1,107,734
USD 51,346,843 SEK 464,293,967 Bank of America Corp. 11/21/18 534,556
USD 59,749,280 JPY 6,589,225,276 State Street Bank and Trust 11/21/18 1,274,547
USD 101,329,277 GBP 75,981,192 State Street Bank and Trust 12/20/18 3,969,940
USD 45,736 EUR 39,192 National Australia Bank Ltd. 01/02/19 1,086
USD 83,383 EUR 71,863 Citibank, N.A. 01/02/19 1,513
59
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
--------------------------- ---------------- ---------------------------- ---------- --------------
USD 8,507,434 EUR 7,424,665 JP Morgan 01/02/19 $ 48,881
USD 8,733,064 EUR 7,542,164 JP Morgan 01/02/19 140,651
USD 48,904,139 EUR 42,006,521 JP Morgan 01/02/19 1,048,195
USD 32,490,062 NOK 265,724,029 State Street Bank and Trust 01/09/19 863,837
USD 148,192,129 EUR 127,516,589 Bank of America Corp. 01/16/19 2,743,820
USD 104,181 EUR 90,787 Citibank, N.A. 01/18/19 610
USD 138,848,921 EUR 120,137,193 UBS AG 01/18/19 1,794,134
USD 9,391,920 EUR 8,121,305 State Street Bank and Trust 01/22/19 123,791
USD 94,939,333 CAD 124,000,548 State Street Bank and Trust 01/22/19 585,655
USD 138,871,648 EUR 119,818,991 State Street Bank and Trust 01/22/19 2,132,804
USD 136,997,011 EUR 119,813,167 State Street Bank and Trust 01/25/19 229,492
-----------
TOTAL APPRECIATION......... $18,296,260
DKK 2,984,982 USD 468,525 State Street Bank and Trust 11/21/18 $ (14,651)
GBP 2,937,902 USD 3,852,209 UBS AG 11/13/18 (95,244)
GBP 2,890,624 USD 3,726,006 State Street Bank and Trust 11/13/18 (29,500)
GBP 1,808,543 USD 2,376,894 Citibank, N.A. 11/13/18 (64,144)
SEK 5,803,531 USD 663,403 Citibank, N.A. 11/21/18 (28,265)
USD 1,506,366 JPY 171,079,860 Citibank, N.A. 11/21/18 (11,847)
-----------
TOTAL (DEPRECIATION) $ (243,651)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $18,052,609
===========
Summary of the Portfolio's investments as of October 31, 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
Austria................................ -- $ 35,572,130 -- $ 35,572,130
Belgium................................ -- 39,561,875 -- 39,561,875
Canada................................. -- 133,371,726 -- 133,371,726
Denmark................................ -- 41,507,803 -- 41,507,803
Finland................................ -- 36,564,245 -- 36,564,245
France................................. -- 258,495,348 -- 258,495,348
Germany................................ -- 84,783,000 -- 84,783,000
Luxembourg............................. -- 37,734,641 -- 37,734,641
Netherlands............................ -- 65,386,087 -- 65,386,087
Norway................................. -- 47,185,386 -- 47,185,386
Supranational Organization Obligations. -- 158,171,604 -- 158,171,604
Sweden................................. -- 42,955,143 -- 42,955,143
United Kingdom......................... -- 110,563,753 -- 110,563,753
U.S. Treasury Obligations................. -- 2,504,123 -- 2,504,123
Forward Currency Contracts**.............. -- 18,052,609 -- 18,052,609
-- -------------- -- --------------
TOTAL..................................... -- $1,112,409,473 -- $1,112,409,473
== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
60
DFA SHORT-TERM GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
AGENCY OBLIGATIONS -- (27.0%)
Federal Home Loan Bank
1.375%, 02/18/21.............................................. 20,000 $ 19,313,360
1.750%, 03/12/21.............................................. 10,000 9,735,050
2.375%, 03/12/21.............................................. 16,000 15,788,960
1.875%, 06/11/21.............................................. 20,000 19,477,440
1.125%, 07/14/21.............................................. 20,000 19,079,000
2.375%, 09/10/21.............................................. 33,000 32,432,499
1.875%, 11/29/21.............................................. 54,000 52,281,342
2.625%, 12/10/21.............................................. 20,000 19,776,360
2.250%, 03/11/22.............................................. 67,550 65,869,626
2.500%, 03/11/22.............................................. 31,635 31,133,554
2.125%, 06/10/22.............................................. 59,150 57,380,173
5.250%, 06/10/22.............................................. 5,200 5,592,928
2.000%, 09/09/22.............................................. 46,730 44,961,877
1.875%, 12/09/22.............................................. 10,000 9,551,150
2.500%, 12/09/22.............................................. 92,000 90,028,440
5.250%, 12/09/22.............................................. 9,000 9,755,658
2.125%, 03/10/23.............................................. 25,250 24,259,745
3.250%, 06/09/23.............................................. 69,800 70,253,490
Tennessee Valley Authority
3.875%, 02/15/21.............................................. 22,000 22,426,558
------------
TOTAL AGENCY OBLIGATIONS......................................... 619,097,210
------------
U.S. TREASURY OBLIGATIONS -- (72.7%)
U.S. Treasury Notes
1.375%, 02/15/20.............................................. 23,000 22,588,516
3.625%, 02/15/20.............................................. 94,700 95,676,594
1.375%, 02/29/20.............................................. 10,000 9,814,062
1.375%, 03/31/20.............................................. 82,000 80,360,000
1.125%, 04/30/20.............................................. 6,000 5,850,469
1.875%, 06/30/20.............................................. 102,000 100,386,328
2.000%, 09/30/20.............................................. 127,000 124,931,289
1.750%, 10/31/20.............................................. 60,000 58,692,187
1.625%, 11/30/20.............................................. 181,000 176,404,298
3.625%, 02/15/21.............................................. 112,000 113,771,875
1.250%, 03/31/21.............................................. 141,000 135,640,899
1.375%, 04/30/21.............................................. 147,500 142,089,746
3.125%, 05/15/21.............................................. 54,000 54,286,875
1.375%, 05/31/21.............................................. 71,000 68,298,671
1.125%, 06/30/21.............................................. 114,300 109,102,922
1.125%, 07/31/21.............................................. 105,000 100,033,008
1.125%, 08/31/21.............................................. 51,000 48,515,742
1.250%, 10/31/21.............................................. 39,000 37,123,125
1.875%, 02/28/22.............................................. 28,000 27,052,813
1.875%, 03/31/22.............................................. 27,000 26,061,328
1.750%, 05/31/22.............................................. 54,500 52,279,551
1.750%, 06/30/22.............................................. 72,000 68,996,250
61
DFA SHORT-TERM GOVERNMENT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- --------------
(000)
---------
1.625%, 05/31/23.............................................. 10,000 $ 9,423,437
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................................. 1,667,379,985
--------------
TOTAL INVESTMENT SECURITIES...................................... 2,286,477,195
--------------
SHARES
---------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund
2.090%...................................................... 6,652,760 6,652,760
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,349,914,493).......................................... $2,293,129,955
==============
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------- -------------- ------- --------------
Agency Obligations............ -- $ 619,097,210 -- $ 619,097,210
U.S. Treasury Obligations..... -- 1,667,379,985 -- 1,667,379,985
Temporary Cash Investments.... $6,652,760 -- -- 6,652,760
---------- -------------- -- --------------
TOTAL......................... $6,652,760 $2,286,477,195 -- $2,293,129,955
========== ============== == ==============
See accompanying Notes to Financial Statements.
62
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
AGENCY OBLIGATIONS -- (33.8%)
Federal Farm Credit Bank
5.350%, 08/07/20.............................................. 4,693 $ 4,889,670
3.650%, 12/21/20.............................................. 30,822 31,256,374
5.250%, 03/02/21.............................................. 4,273 4,490,154
5.220%, 02/22/22.............................................. 3,503 3,745,169
5.210%, 12/19/22.............................................. 14,851 16,092,098
5.250%, 03/06/23.............................................. 4,203 4,573,200
5.220%, 05/15/23.............................................. 33,694 36,725,719
3.500%, 12/20/23.............................................. 6,000 6,108,348
Federal Home Loan Bank
5.250%, 12/11/20.............................................. 5,290 5,534,826
5.000%, 03/12/21.............................................. 3,645 3,817,048
2.250%, 06/11/21.............................................. 49,035 48,212,781
3.625%, 06/11/21.............................................. 7,030 7,143,781
5.625%, 06/11/21.............................................. 15,905 16,942,865
2.375%, 09/10/21.............................................. 27,565 27,090,965
3.000%, 09/10/21.............................................. 21,875 21,862,597
2.625%, 12/10/21.............................................. 75,370 74,527,213
5.000%, 12/10/21.............................................. 31,875 33,792,345
2.250%, 03/11/22.............................................. 7,005 6,830,744
2.500%, 03/11/22.............................................. 7,705 7,582,868
5.250%, 06/10/22.............................................. 5,780 6,216,754
5.750%, 06/10/22.............................................. 13,660 14,925,558
2.000%, 09/09/22.............................................. 11,365 10,934,982
5.375%, 09/30/22.............................................. 44,400 48,130,310
5.250%, 12/09/22.............................................. 10,510 11,392,441
2.125%, 03/10/23.............................................. 10,000 9,607,820
4.750%, 03/10/23.............................................. 34,465 36,796,833
3.250%, 06/09/23.............................................. 24,520 24,679,306
2.500%, 12/08/23.............................................. 25,000 24,304,575
3.250%, 03/08/24.............................................. 20,000 20,107,320
2.875%, 06/14/24.............................................. 61,000 60,155,333
5.375%, 08/15/24.............................................. 29,950 33,411,202
5.365%, 09/09/24.............................................. 1,400 1,552,627
2.875%, 09/13/24.............................................. 71,500 70,323,467
2.750%, 12/13/24.............................................. 20,000 19,473,840
3.125%, 06/13/25.............................................. 11,480 11,410,936
3.125%, 09/12/25.............................................. 43,715 43,151,033
4.375%, 03/13/26.............................................. 14,080 14,986,738
5.750%, 06/12/26.............................................. 8,080 9,381,858
3.000%, 09/11/26.............................................. 60,885 59,468,693
2.500%, 12/10/27.............................................. 43,230 39,841,589
3.000%, 03/10/28.............................................. 24,640 23,659,599
3.250%, 06/09/28.............................................. 131,000 128,403,973
Tennessee Valley Authority
3.875%, 02/15/21.............................................. 74,241 75,680,459
1.875%, 08/15/22.............................................. 89,450 85,832,910
2.875%, 09/15/24.............................................. 122,775 120,641,416
6.750%, 11/01/25.............................................. 47,282 57,399,355
2.875%, 02/01/27.............................................. 135,706 130,195,251
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
7.125%, 05/01/30.............................................. 83,000 $ 110,964,443
--------------
TOTAL AGENCY OBLIGATIONS 1,664,249,386
--------------
U.S. TREASURY OBLIGATIONS -- (65.9%)
U.S. Treasury Bonds
6.250%, 08/15/23.............................................. 53,259 61,000,393
7.500%, 11/15/24.............................................. 92,352 114,971,523
6.875%, 08/15/25.............................................. 71,630 88,274,965
6.000%, 02/15/26.............................................. 58,833 70,068,248
6.750%, 08/15/26.............................................. 90,183 113,013,844
6.625%, 02/15/27.............................................. 98,828 124,217,674
5.250%, 11/15/28.............................................. 95,132 112,125,814
6.125%, 08/15/29.............................................. 60,528 76,780,713
6.250%, 05/15/30.............................................. 161,289 209,002,080
5.375%, 02/15/31.............................................. 137,000 167,348,711
U.S. Treasury Notes
2.000%, 10/31/21.............................................. 64,843 63,110,281
1.500%, 02/28/23.............................................. 94,000 88,389,375
1.500%, 03/31/23.............................................. 89,000 83,590,469
1.250%, 07/31/23.............................................. 77,000 71,131,758
1.625%, 10/31/23.............................................. 74,000 69,340,313
2.750%, 11/15/23.............................................. 87,000 86,028,046
2.750%, 02/15/24.............................................. 105,538 104,231,341
2.500%, 05/15/24.............................................. 75,000 73,028,321
2.125%, 07/31/24.............................................. 11,000 10,478,359
2.250%, 11/15/24.............................................. 85,500 81,779,414
2.250%, 12/31/24.............................................. 45,000 42,996,094
2.500%, 01/31/25.............................................. 50,000 48,453,125
2.000%, 02/15/25.............................................. 66,000 62,027,110
2.125%, 05/15/25.............................................. 80,000 75,559,375
2.000%, 08/15/25.............................................. 144,000 134,550,000
2.250%, 11/15/25.............................................. 112,000 106,146,251
1.625%, 02/15/26.............................................. 141,000 127,616,015
1.625%, 05/15/26.............................................. 103,000 92,893,125
1.500%, 08/15/26.............................................. 183,000 162,855,704
2.000%, 11/15/26.............................................. 184,300 169,807,973
2.250%, 02/15/27.............................................. 161,500 151,299,004
2.250%, 08/15/27.............................................. 146,000 136,116,485
2.250%, 11/15/27.............................................. 52,000 48,386,406
2.875%, 05/15/28.............................................. 15,000 14,667,188
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................................. 3,241,285,497
--------------
TOTAL INVESTMENT SECURITIES...................................... 4,905,534,883
--------------
63
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
SHARES VALUE+
---------- --------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money
Market Fund 2.090%.............................. 12,736,542 $ 12,736,542
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,123,044,989).............................. $4,918,271,425
==============
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------------- ------- --------------
Agency Obligations........... -- $1,664,249,386 -- $1,664,249,386
U.S. Treasury Obligations.... -- 3,241,285,497 -- 3,241,285,497
Temporary Cash Investments... $12,736,542 -- -- 12,736,542
----------- -------------- -- --------------
TOTAL........................ $12,736,542 $4,905,534,883 -- $4,918,271,425
=========== ============== == ==============
See accompanying Notes to Financial Statements.
64
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
BONDS -- (98.7%) 21st Century Fox America, Inc.
5.650%, 08/15/20.................................... 4,210 $ 4,366,708
4.500%, 02/15/21.................................... 7,638 7,769,264
Abbott Laboratories
2.800%, 09/15/20.................................... 2,490 2,468,748
AbbVie, Inc.
2.500%, 05/14/20.................................... 24,891 24,565,691
2.900%, 11/06/22.................................... 1,252 1,212,065
Advance Auto Parts, Inc.................................
5.750%, 05/01/20.................................... 2,825 2,908,160
Aetna, Inc.
2.750%, 11/15/22.................................... 2,000 1,917,804
Aflac, Inc.
3.625%, 06/15/23.................................... 706 705,957
Agence Francaise de Developpement
1.625%, 01/21/20.................................... 25,000 24,566,900
Agilent Technologies, Inc.
5.000%, 07/15/20.................................... 1,690 1,733,636
Airbus Finance BV
W 2.700%, 04/17/23.................................... 7,000 6,741,357
Alimentation Couche-Tard, Inc.
W 2.700%, 07/26/22.................................... 3,000 2,874,939
Allergan Finance LLC
3.250%, 10/01/22.................................... 18,630 18,085,561
Allergan Funding SCS
3.450%, 03/15/22.................................... 9,749 9,589,055
Altria Group, Inc.
2.625%, 01/14/20.................................... 1,025 1,018,362
Amazon.com, Inc.
2.600%, 12/05/19.................................... 3,113 3,103,189
Ameren Corp.
2.700%, 11/15/20.................................... 1,000 985,231
American Express Co.
2.500%, 08/01/22.................................... 1,220 1,166,128
2.650%, 12/02/22.................................... 12,256 11,735,773
American Express Credit Corp.
# 2.600%, 09/14/20.................................... 13,925 13,736,459
American Honda Finance Corp.
1.375%, 11/10/22.................................... EUR 5,000 5,869,077
American International Group, Inc.
# 2.300%, 07/16/19.................................... 7,417 7,381,694
3.375%, 08/15/20.................................... 3,000 2,994,372
6.400%, 12/15/20.................................... 11,283 11,908,370
Ameriprise Financial, Inc...............................
5.300%, 03/15/20.................................... 6,957 7,150,039
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
AmerisourceBergen Corp.
3.500%, 11/15/21 2,000 $ 1,992,639
Amgen, Inc.
2.200%, 05/22/19.................................... 8,690 8,655,545
# 3.450%, 10/01/20.................................... 4,990 5,000,802
4.100%, 06/15/21.................................... 5,000 5,069,321
2.650%, 05/11/22.................................... 2,200 2,125,602
Amphenol Corp.
2.550%, 01/30/19.................................... 452 451,613
Anheuser-Busch InBev Finance, Inc.
2.650%, 02/01/21.................................... 5,000 4,901,453
2.625%, 01/17/23.................................... 5,540 5,247,087
Anthem, Inc.............................................
2.250%, 08/15/19.................................... 6,983 6,940,323
ANZ New Zealand International, Ltd.
0.400%, 03/01/22.................................... EUR 9,750 11,021,928
AP Moller--Maersk A.S.
W 2.875%, 09/28/20.................................... 3,000 2,953,126
Apache Corp.
3.250%, 04/15/22.................................... 24,345 23,827,704
# 2.625%, 01/15/23.................................... 722 684,343
Apple, Inc.
2.100%, 05/06/19.................................... 3,000 2,990,440
2.000%, 05/06/20.................................... 1,782 1,754,651
2.250%, 02/23/21.................................... 4,000 3,920,786
2.850%, 05/06/21.................................... 29,000 28,741,030
1.550%, 08/04/21.................................... 10,000 9,567,400
2.500%, 02/09/22.................................... 12,191 11,879,903
2.300%, 05/11/22.................................... 11,657 11,250,064
Applied Materials, Inc.
# 2.625%, 10/01/20.................................... 1,590 1,572,578
Arizona Public Service Co.
8.750%, 03/01/19.................................... 1,788 1,821,499
ASB Finance, Ltd.
0.500%, 06/10/22.................................... EUR 2,200 2,493,064
Asian Development Bank
# 1.875%, 04/12/19.................................... 17,884 17,824,518
1.625%, 03/16/21.................................... 6,000 5,810,868
Associated Banc-Corp....................................
2.750%, 11/15/19.................................... 447 444,455
Assurant, Inc.
4.000%, 03/15/23.................................... 8,305 8,212,389
AstraZeneca P.L.C.
2.375%, 11/16/20.................................... 23,256 22,831,211
AT&T,Inc.
5.800%, 02/15/19.................................... 2,751 2,773,020
4.600%, 02/15/21.................................... 8,793 8,966,255
3.800%, 03/15/22.................................... 11,600 11,585,837
2.500%, 03/15/23.................................... EUR 8,000 9,656,886
65
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Australia & New Zealand Banking Group, Ltd.
2.250%, 06/13/19.................................... 10,154 $10,110,693
2.700%, 11/16/20.................................... 1,000 985,992
3.300%, 03/07/22.................................... AUD 19,300 13,844,931
2.625%, 05/19/22.................................... 10,000 9,644,775
Autodesk, Inc.
3.125%, 06/15/20.................................... 14,337 14,277,521
AutoZone, Inc.
2.875%, 01/15/23.................................... 22,501 21,610,203
Avnet, Inc.
4.875%, 12/01/22.................................... 4,291 4,416,571
Banco Santander SA
3.848%, 04/12/23.................................... 25,400 24,582,474
Bank Nederlandse Gemeenten NV
1.625%, 04/19/21.................................... 46,168 44,546,210
2.500%, 01/23/23.................................... 10,000 9,728,300
Bank of America Corp.
2.625%, 10/19/20.................................... 5,000 4,932,610
5.700%, 01/24/22.................................... 21,571 22,884,685
3.228%, 06/22/22.................................... CAD 4,130 3,118,810
# 3.300%, 01/11/23.................................... 563 550,471
Bank of Montreal
1.900%, 08/27/21.................................... 32,954 31,589,692
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19.................................... 809 819,988
# 2.150%, 02/24/20.................................... 15,585 15,400,785
Bank of Nova Scotia (The)
2.350%, 10/21/20.................................... 1,315 1,293,274
2.450%, 03/22/21.................................... 37,679 36,893,405
2.700%, 03/07/22.................................... 3,605 3,508,774
Barclays P.L.C.
2.750%, 11/08/19.................................... 25,424 25,246,591
1.500%, 04/01/22.................................... EUR 1,764 2,028,996
BAT International Finance P.L.C.
W 3.250%, 06/07/22.................................... 7,350 7,189,600
Baxalta, Inc.
2.875%, 06/23/20.................................... 1,198 1,184,711
Bayer U.S. Finance II LLC
W 1.850%, 11/15/18.................................... 24,511 24,501,670
W 2.125%, 07/15/19.................................... 2,236 2,218,974
Bayer U.S. Finance LLC
W 2.375%, 10/08/19.................................... 5,616 5,571,511
BB&T Corp.
2.050%, 05/10/21.................................... 3,500 3,384,025
Beam Suntory, Inc.
3.250%, 06/15/23.................................... 10,000 9,656,342
Berkshire Hathaway Finance Corp.
# 2.900%, 10/15/20.................................... 3,000 2,990,241
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Berkshire Hathaway, Inc.
2.200%, 03/15/21.................................... 8,295 $ 8,128,353
Biogen, Inc.
2.900%, 09/15/20.................................... 19,046 18,863,965
3.625%, 09/15/22.................................... 6,426 6,412,737
BlackRock, Inc.
4.250%, 05/24/21.................................... 2,850 2,916,731
BMW US Capital LLC
0.625%, 04/20/22.................................... EUR 2,000 2,284,411
BNG Bank NV
4.375%, 02/16/21.................................... 11,000 11,306,900
W 2.375%, 02/01/22.................................... 29,000 28,284,164
2.375%, 02/01/22.................................... 41,400 40,378,082
0.050%, 07/11/23.................................... EUR 4,000 4,512,311
BNP Paribas SA
2.875%, 10/24/22.................................... EUR 5,000 6,204,500
Booking Holdings, Inc.
0.800%, 03/10/22.................................... EUR 7,866 9,023,130
Boston Scientific Corp.
2.850%, 05/15/20.................................... 9,273 9,195,571
BP Capital Markets P.L.C.
# 2.315%, 02/13/20.................................... 14,259 14,110,242
2.112%, 09/16/21.................................... 1,000 964,849
2.500%, 11/06/22.................................... 2,000 1,919,783
BPCE SA
2.250%, 01/27/20.................................... 13,175 12,994,107
2.750%, 12/02/21.................................... 1,000 972,093
1.125%, 12/14/22.................................... EUR 2,500 2,908,595
British Telecommunications P.L.C.
0.500%, 06/23/22.................................... EUR 1,600 1,798,594
1.125%, 03/10/23.................................... EUR 3,000 3,419,752
Buckeye Partners L.P....................................
2.650%, 11/15/18.................................... 889 888,813
Caisse d'Amortissement de la Dette Sociale
2.000%, 04/17/20.................................... 17,000 16,751,392
2.000%, 03/22/21.................................... 25,435 24,759,955
0.125%, 11/25/22.................................... EUR 26,900 30,684,010
Canada Housing Trust No. 1
W 1.750%, 06/15/22.................................... CAD 20,000 14,727,943
Canadian Natural Resources,
Ltd. 2.950%, 01/15/23............................... 12,000 11,552,294
Canadian Pacific Railway Co.
7.250%, 05/15/19.................................... 2,576 2,634,842
Capital One Bank USA NA
2.300%, 06/05/19.................................... 1,968 1,960,232
CBS Corp.
2.300%, 08/15/19.................................... 11,110 11,038,822
3.375%, 03/01/22.................................... 5,000 4,921,198
Celgene Corp.
3.550%, 08/15/22.................................... 9,995 9,898,591
Chevron Corp.
1.961%, 03/03/20.................................... 5,358 5,282,427
66
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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-------
1.991%, 03/03/20.................................... 1,500 $ 1,479,258
# 2.419%, 11/17/20.................................... 15,151 14,937,085
2.100%, 05/16/21.................................... 25,500 24,748,438
2.498%, 03/03/22.................................... 10,030 9,755,286
Chubb INA Holdings, Inc.
2.300%, 11/03/20.................................... 8,000 7,844,812
2.875%, 11/03/22.................................... 3,000 2,929,862
Church & Dwight Co., Inc.
2.875%, 10/01/22.................................... 7,000 6,790,592
Cisco Systems, Inc.
4.450%, 01/15/20.................................... 4,896 4,978,527
2.450%, 06/15/20.................................... 2,895 2,865,268
2.200%, 02/28/21.................................... 57,736 56,359,601
1.850%, 09/20/21.................................... 20,960 20,134,733
Citigroup, Inc.
2.550%, 04/08/19.................................... 1,942 1,939,379
Citizens Bank N.A.
2.450%, 12/04/19.................................... 2,175 2,158,582
Citizens Bank NA
2.650%, 05/26/22.................................... 8,635 8,292,111
CNA Financial Corp.
5.875%, 08/15/20.................................... 1,000 1,041,107
Coca-Cola Co. (The)
# 1.875%, 10/27/20.................................... 16,673 16,296,935
3.150%, 11/15/20.................................... 1,020 1,021,612
1.550%, 09/01/21.................................... 2,500 2,390,268
3.300%, 09/01/21.................................... 14,000 14,087,253
2.200%, 05/25/22.................................... 20,425 19,710,280
Coca-Cola European Partners US LLC
3.500%, 09/15/20.................................... 4,591 4,575,974
Comcast Corp.
3.125%, 07/15/22.................................... 5,725 5,639,216
Comerica, Inc.
2.125%, 05/23/19.................................... 2,057 2,047,328
Commonwealth Bank of Australia
2.300%, 09/06/19.................................... 25,525 25,362,618
W 2.250%, 03/10/20.................................... 5,000 4,931,050
2.400%, 11/02/20.................................... 10,000 9,795,219
2.900%, 07/12/21.................................... AUD 5,000 3,551,107
#W 2.000%, 09/06/21.................................... 5,000 4,785,271
3.250%, 01/17/22.................................... AUD 5,000 3,580,959
W 2.750%, 03/10/22.................................... 11,500 11,154,521
3.250%, 03/31/22.................................... AUD 3,200 2,291,059
Constellation Brands, Inc.
2.700%, 05/09/22.................................... 4,935 4,741,570
3.200%, 02/15/23.................................... 5,191 5,031,209
Cooperatieve Rabobank UA
2.500%, 01/19/21.................................... 15,935 15,587,642
0.125%, 10/11/21.................................... EUR 2,750 3,118,570
2.750%, 01/10/22.................................... 5,928 5,762,578
4.000%, 01/11/22.................................... EUR 2,500 3,172,503
3.875%, 02/08/22.................................... 17,836 17,932,492
4.750%, 06/06/22.................................... EUR 3,000 3,943,115
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-------
0.500%, 12/06/22.................................... EUR 3,496 $ 3,989,824
Corning, Inc.
4.250%, 08/15/20.................................... 2,850 2,885,038
Costco Wholesale Corp.
1.700%, 12/15/19.................................... 2 1,975
Cox Communications, Inc.
W 3.250%, 12/15/22.................................... 770 746,867
CPPIB Capital, Inc.
#W 2.250%, 01/25/22.................................... 25,400 24,655,222
2.250%, 01/25/22.................................... 36,750 35,672,417
Credit Suisse AG
# 2.300%, 05/28/19.................................... 9,827 9,795,194
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22.................................... EUR 10,220 11,745,456
CVS Health Corp.
# 2.250%, 08/12/19.................................... 4,770 4,740,810
2.750%, 12/01/22.................................... 2,120 2,026,385
Daimler Finance North America LLC
W 2.250%, 03/02/20.................................... 9,750 9,594,862
Daiwa Securities Group, Inc.
W 3.129%, 04/19/22.................................... 10,000 9,764,090
Danone SA
W 2.077%, 11/02/21.................................... 5,000 4,778,282
Danske Bank A.S.
W 2.750%, 09/17/20.................................... 15,822 15,534,131
Deutsche Bank AG
2.500%, 02/13/19.................................... 1,650 1,646,113
2.500%, 02/13/19.................................... 5,942 5,928,048
3.125%, 01/13/21.................................... 4,900 4,787,652
1.500%, 01/20/22.................................... EUR 6,000 6,794,074
2.375%, 01/11/23.................................... EUR 9,700 11,285,800
Deutsche Telekom International Finance BV
6.000%, 07/08/19.................................... 3,099 3,158,442
W 1.950%, 09/19/21.................................... 2,535 2,414,682
Dexia Credit Local SA
0.625%, 01/21/22.................................... EUR 750 866,352
0.250%, 06/02/22.................................... EUR 8,000 9,122,348
0.750%, 01/25/23.................................... EUR 1,200 1,390,959
Discovery Communications LLC
W 2.750%, 11/15/19.................................... 9,864 9,794,107
3.300%, 05/15/22.................................... 6,000 5,849,056
W 3.500%, 06/15/22.................................... 10,000 9,798,900
Dollar General Corp.
# 3.250%, 04/15/23.................................... 8,009 7,779,136
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20.................................... 5,000 4,935,000
Dominion Energy, Inc.
2.500%, 12/01/19.................................... 7,881 7,833,371
67
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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Dow Chemical Co. (The)
4.250%, 11/15/20.................................... 7,657 $ 7,753,094
3.000%, 11/15/22.................................... 9,897 9,611,808
DTE Energy Co.
2.400%, 12/01/19.................................... 18,342 18,152,775
Duke Energy Corp.
5.050%, 09/15/19.................................... 586 595,348
DXC Technology Co.
4.450%, 09/18/22.................................... 1,250 1,269,406
E*TRADE Financial Corp.
2.950%, 08/24/22.................................... 4,060 3,912,956
Eastman Chemical Co.
2.700%, 01/15/20.................................... 3,756 3,727,734
Eaton Corp.
2.750%, 11/02/22.................................... 1,285 1,240,812
eBay, Inc.
2.200%, 08/01/19.................................... 4,184 4,157,318
3.800%, 03/09/22.................................... 1,636 1,639,721
Edison International
2.400%, 09/15/22.................................... 1,500 1,414,537
EI du Pont de Nemours & Co.
4.625%, 01/15/20.................................... 1,289 1,310,952
# 4.250%, 04/01/21.................................... 3,035 3,096,274
2.800%, 02/15/23.................................... 1,000 968,049
Electricite de France SA
W 2.350%, 10/13/20.................................... 1,500 1,471,189
Electronic Arts, Inc.
3.700%, 03/01/21.................................... 11,879 11,948,152
EMD Finance LLC
W 2.400%, 03/19/20.................................... 1,755 1,729,700
Enbridge, Inc.
2.900%, 07/15/22.................................... 18,189 17,558,694
3.190%, 12/05/22.................................... CAD 5,000 3,747,769
Energy Transfer Partners L.P.
3.600%, 02/01/23.................................... 2,000 1,947,607
Enterprise Products Operating LLC
5.250%, 01/31/20.................................... 1,788 1,829,196
3.350%, 03/15/23.................................... 6,000 5,875,436
Equifax, Inc.
3.950%, 06/15/23.................................... 10,000 9,910,557
Equinor ASA
2.250%, 11/08/19.................................... 4,000 3,967,355
2.900%, 11/08/20.................................... 2,780 2,759,052
3.150%, 01/23/22.................................... 2,692 2,667,078
ERAC USA Finance LLC
W 2.350%, 10/15/19.................................... 77 76,384
European Financial Stability Facility
0.000%, 11/17/22.................................... EUR 47,387 53,733,552
0.500%, 01/20/23.................................... EUR 31,000 35,813,912
European Investment Bank
1.875%, 03/15/19.................................... 4,471 4,459,530
1.625%, 03/16/20.................................... 10,000 9,825,432
1.375%, 06/15/20.................................... 6,000 5,850,644
FACE
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(000)
-------
2.875%, 09/15/20.................................... 9,000 $ 8,980,803
1.625%, 12/15/20.................................... 8,000 7,771,035
2.000%, 03/15/21.................................... 5,000 4,880,478
# 1.625%, 06/15/21.................................... 10,000 9,635,740
1.375%, 09/15/21.................................... 48,000 45,769,259
European Stability Mechanism
0.000%, 10/18/22.................................... EUR 14,800 16,769,763
0.100%, 07/31/23.................................... EUR 7,000 7,921,163
Eversource Energy
2.500%, 03/15/21.................................... 5,500 5,396,448
Exelon Corp.
2.850%, 06/15/20.................................... 1,399 1,383,448
2.450%, 04/15/21.................................... 447 434,312
Exelon Generation Co. LLC
2.950%, 01/15/20.................................... 7,064 7,019,113
3.400%, 03/15/22.................................... 1,600 1,576,507
Export Development Canada
1.375%, 10/21/21.................................... 12,800 12,184,502
Express Scripts Holding Co.
# 2.250%, 06/15/19.................................... 9,876 9,839,467
3.900%, 02/15/22.................................... 1,000 1,002,962
Exxon Mobil Corp.
1.819%, 03/15/19.................................... 21,614 21,539,289
1.912%, 03/06/20.................................... 8,143 8,027,542
# 2.222%, 03/01/21.................................... 56,895 55,589,152
2.397%, 03/06/22.................................... 1,035 1,002,991
FedEx Corp.
2.300%, 02/01/20.................................... 4,340 4,291,059
1.000%, 01/11/23.................................... EUR 5,000 5,766,844
Fidelity National Information Services, Inc.
3.625%, 10/15/20.................................... 6,415 6,427,555
2.250%, 08/15/21.................................... 3,094 2,976,214
FMS Wertmanagement
# 1.375%, 06/08/21.................................... 10,000 9,577,036
Ford Credit Canada Co.
2.766%, 06/22/22.................................... CAD 5,000 3,580,501
Ford Motor Credit Co. LLC
2.459%, 03/27/20.................................... 5,365 5,256,229
# 3.157%, 08/04/20.................................... 11,533 11,334,543
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20.................................... 6,500 6,437,023
French Republic Government Bond OAT
2.250%, 10/25/22.................................... EUR 20,800 25,860,383
1.750%, 05/25/23.................................... EUR 30,000 36,846,973
GATX Corp.
2.500%, 03/15/19.................................... 6,103 6,088,757
GE Capital European Funding Un, Ltd. Co.
4.350%, 11/03/21.................................... EUR 2,463 3,109,269
0.800%, 01/21/22.................................... EUR 1,750 1,981,377
68
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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GE Capital International Funding Co., Unlimited Co.
2.342%, 11/15/20.................................... 19,970 $19,356,950
General Electric Co.
0.375%, 05/17/22.................................... EUR 13,519 15,007,708
0.375%, 05/17/22.................................... EUR 8,200 9,102,981
General Motors Financial Co., Inc.
# 3.200%, 07/06/21.................................... 12,709 12,433,302
3.450%, 01/14/22.................................... 14,123 13,763,715
Gilead Sciences, Inc.
4.500%, 04/01/21.................................... 1,198 1,225,847
GlaxoSmithKline Capital P.L.C.
2.850%, 05/08/22.................................... 2,000 1,954,185
GlaxoSmithKline Capital, Inc.
2.800%, 03/18/23.................................... 5,700 5,521,316
Goldcorp, Inc.
3.625%, 06/09/21.................................... 4,553 4,525,973
Goldman Sachs Group, Inc. (The)
2.550%, 10/23/19.................................... 3,955 3,930,778
2.750%, 09/15/20.................................... 10,000 9,882,139
2.625%, 04/25/21.................................... 502 490,831
5.750%, 01/24/22.................................... 5,000 5,283,929
Harley-Davidson Financial Services, Inc.
W 2.150%, 02/26/20.................................... 21,047 20,681,619
W 2.550%, 06/09/22.................................... 4,600 4,357,523
Harris Corp.
2.700%, 04/27/20.................................... 4,247 4,199,923
Hartford Financial Services Group, Inc. (The)
5.500%, 03/30/20.................................... 4,600 4,733,024
Hershey Co. (The)
# 4.125%, 12/01/20.................................... 700 713,495
Hewlett Packard Enterprise Co.
3.600%, 10/15/20.................................... 10,000 10,015,672
HP, Inc.
4.300%, 06/01/21.................................... 1,000 1,018,766
HSBC USA, Inc.
2.375%, 11/13/19.................................... 2,683 2,662,684
2.350%, 03/05/20.................................... 5,500 5,434,550
Humana, Inc.
2.625%, 10/01/19.................................... 3,845 3,825,325
Iberdrola Finance Ireland DAC
W 5.000%, 09/11/19.................................... 6,662 6,762,865
ING Bank NV
W 2.750%, 03/22/21.................................... 6,000 5,883,184
Integrys Holding, Inc.
4.170%, 11/01/20.................................... 1,000 1,011,397
Intel Corp.
3.300%, 10/01/21.................................... 5,000 5,005,647
Inter-American Development Bank
FACE
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(000)
-------
1.875%, 06/16/20.................................... 7,000 $ 6,879,859
2.125%, 11/09/20.................................... 20,000 19,665,620
2.125%, 01/18/22.................................... 10,000 9,698,190
International Bank for Reconstruction & Development
# 1.375%, 05/24/21.................................... 5,000 4,799,365
# 2.250%, 06/24/21.................................... 6,000 5,881,260
International Business Machines Corp.
2.250%, 02/19/21.................................... 4,000 3,901,982
2.500%, 01/27/22.................................... 5,000 4,841,544
Intesa Sanpaolo SpA
W 3.125%, 07/14/22.................................... 878 797,617
Japan Finance Organization for Municipalities
2.125%, 03/06/19.................................... 4,472 4,460,239
Jersey Central Power & Light Co.
7.350%, 02/01/19.................................... 7,492 7,571,744
John Deere Capital Corp.
2.050%, 03/10/20.................................... 10,620 10,479,113
Johnson & Johnson
1.650%, 03/01/21.................................... 9,000 8,700,566
2.250%, 03/03/22.................................... 5,000 4,856,873
JPMorgan Chase & Co.
2.550%, 10/29/20.................................... 11,000 10,817,786
4.350%, 08/15/21.................................... 4,994 5,103,994
Kellogg Co.
0.800%, 11/17/22.................................... EUR 2,250 2,570,263
Keurig Dr Pepper, Inc.
2.600%, 01/15/19.................................... 939 938,023
3.200%, 11/15/21.................................... 5,000 4,914,445
2.700%, 11/15/22.................................... 2,000 1,901,728
Keurig Dr. Pepper, Inc.
2.000%, 01/15/20.................................... 747 733,367
KeyCorp
2.900%, 09/15/20.................................... 11,259 11,155,292
5.100%, 03/24/21.................................... 8,008 8,288,795
Kommunalbanken A.S.
1.750%, 05/28/19.................................... 17,884 17,785,388
1.625%, 02/10/21.................................... 15,000 14,528,430
2.250%, 01/25/22.................................... 30,000 29,160,060
Kommunekredit
0.000%, 09/08/22.................................... EUR 1,750 1,979,351
Kommuninvest I Sverige AB
2.000%, 11/12/19.................................... 9,471 9,386,064
1.000%, 09/15/21.................................... SEK 360,000 40,214,618
0.250%, 06/01/22.................................... SEK 903,000 98,244,217
0.750%, 02/22/23.................................... SEK 150,000 16,519,629
Kraft Heinz Foods Co.
3.500%, 06/06/22.................................... 5,000 4,941,648
69
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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FACE
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4.000%, 06/15/23.................................... 19,000 $18,900,921
Kreditanstalt fuer Wiederaufbau
1.875%, 04/01/19.................................... 6,259 6,239,785
1.500%, 04/20/20.................................... 22,500 22,033,418
# 2.125%, 03/07/22.................................... 20,000 19,368,569
0.000%, 12/15/22.................................... EUR 40,228 45,633,060
0.125%, 06/07/23.................................... EUR 5,000 5,685,055
2.125%, 08/15/23.................................... EUR 12,000 14,922,442
0.000%, 09/15/23.................................... EUR 10,000 11,270,664
Kroger Co. (The)
2.300%, 01/15/19.................................... 11,572 11,558,683
2.950%, 11/01/21.................................... 1,386 1,361,296
3.400%, 04/15/22.................................... 10,000 9,886,955
Laboratory Corp. of America Holdings
2.625%, 02/01/20.................................... 7,623 7,557,070
Lam Research Corp.
2.750%, 03/15/20.................................... 8,942 8,862,206
Landeskreditbank Baden- Wuerttemberg Foerderbank
1.375%, 07/21/21.................................... 5,000 4,773,955
Legg Mason, Inc.
2.700%, 07/15/19.................................... 9,258 9,226,104
Liberty Mutual Group, Inc.
W 5.000%, 06/01/21.................................... 2,500 2,563,729
W 4.950%, 05/01/22.................................... 1,200 1,235,453
Lincoln National Corp.
6.250%, 02/15/20.................................... 3,215 3,326,169
4.850%, 06/24/21.................................... 1,270 1,309,647
Lloyds Bank P.L.C.
2.700%, 08/17/20.................................... 1,600 1,577,257
Lloyds Banking Group P.L.C.
3.100%, 07/06/21.................................... 10,250 10,059,771
3.000%, 01/11/22.................................... 27,304 26,515,918
Lockheed Martin Corp.
2.500%, 11/23/20.................................... 4,500 4,418,773
Macquarie Group, Ltd.
W 3.000%, 12/03/18.................................... 18,885 18,890,288
Manufacturers & Traders Trust Co.
2.100%, 02/06/20.................................... 28,367 27,992,688
2.500%, 05/18/22.................................... 1,780 1,715,355
Marriott International, Inc.
# 3.000%, 03/01/19.................................... 2,835 2,835,805
Marsh & McLennan Cos., Inc.
2.350%, 03/06/20.................................... 1,000 985,914
2.750%, 01/30/22.................................... 4,650 4,520,178
Mastercard, Inc.
1.100%, 12/01/22.................................... EUR 15,162 17,645,131
Maxim Integrated Products, Inc.
2.500%, 11/15/18.................................... 3,464 3,462,441
FACE
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McDonald's Corp.
3.500%, 07/15/20.................................... 4,928 $ 4,952,631
Medtronic, Inc.
3.150%, 03/15/22.................................... 2,630 2,600,955
Merck & Co., Inc.
1.850%, 02/10/20.................................... 4,450 4,382,407
Microsoft Corp.
1.625%, 12/06/18.................................... 7,227 7,218,310
1.850%, 02/12/20.................................... 21,640 21,358,138
3.000%, 10/01/20.................................... 4,000 3,999,800
2.000%, 11/03/20.................................... 18,993 18,599,628
1.550%, 08/08/21.................................... 20,978 20,088,952
2.400%, 02/06/22.................................... 20,000 19,477,566
2.375%, 02/12/22.................................... 11,883 11,553,503
Mitsubishi UFJ Financial Group, Inc.
2.950%, 03/01/21.................................... 1,725 1,701,448
0.680%, 01/26/23.................................... EUR 12,142 13,738,585
Mizuho Bank, Ltd.
W 2.450%, 04/16/19.................................... 575 573,832
W 2.700%, 10/20/20.................................... 13,642 13,432,833
Mizuho Financial Group, Inc.
W 2.632%, 04/12/21.................................... 5,000 4,881,676
2.953%, 02/28/22.................................... 600 584,053
Molson Coors Brewing Co.
2.100%, 07/15/21.................................... 3,000 2,872,035
Mondelez International Holdings Netherlands BV
W 2.000%, 10/28/21.................................... 13,012 12,385,890
Morgan Stanley
3.125%, 08/05/21.................................... CAD 5,000 3,782,863
1.875%, 03/30/23.................................... EUR 5,000 5,900,599
MUFG Bank, Ltd.
W 2.350%, 09/08/19.................................... 4,570 4,541,881
Municipality Finance P.L.C.
1.500%, 03/23/20.................................... 10,000 9,798,600
1.375%, 09/21/21.................................... 7,500 7,136,400
2.375%, 03/15/22.................................... 10,000 9,742,500
Mylan NV
3.750%, 12/15/20.................................... 4,065 4,064,575
National Australia Bank, Ltd.
2.250%, 07/01/19.................................... 5,626 5,599,844
2.625%, 07/23/20.................................... 5,339 5,272,831
2.625%, 01/14/21.................................... 1,500 1,471,366
3.000%, 05/12/21.................................... AUD 6,000 4,273,017
1.875%, 07/12/21.................................... 5,500 5,259,819
2.800%, 01/10/22.................................... 24,500 23,864,794
2.500%, 05/22/22.................................... 42,800 40,952,322
0.350%, 09/07/22.................................... EUR 7,800 8,795,721
Nederlandse Waterschapsbank NV
1.875%, 03/13/19.................................... 53,652 53,499,736
1.625%, 03/04/20.................................... 30,000 29,470,140
1.875%, 04/14/22.................................... 5,000 4,786,680
70
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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FACE
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Nestle Holdings, Inc.
1.875%, 03/09/21.................................... 10,000 $ 9,692,300
NetApp, Inc.
3.375%, 06/15/21.................................... 8,650 8,614,806
Newell Brands, Inc.
4.000%, 06/15/22.................................... 12,950 12,825,272
NextEra Energy Capital Holdings, Inc.
2.400%, 09/15/19.................................... 9,378 9,323,098
Nissan Motor Acceptance Corp.
W 2.550%, 03/08/21.................................... 16,249 15,846,951
Noble Energy, Inc.
4.150%, 12/15/21.................................... 4,000 4,028,912
Nomura Holdings, Inc.
2.750%, 03/19/19.................................... 7,510 7,506,846
Nordea Bank Abp
2.375%, 04/04/19.................................... 10,005 9,985,682
W 2.500%, 09/17/20.................................... 6,000 5,893,044
Nordic Investment Bank
# 1.875%, 06/14/19.................................... 9,471 9,420,832
2.125%, 02/01/22.................................... 12,160 11,793,644
Nordstrom, Inc.
4.750%, 05/01/20.................................... 13,135 13,389,046
Norfolk Southern Corp.
3.000%, 04/01/22.................................... 1,352 1,329,093
NRW Bank
0.125%, 07/07/23.................................... EUR 4,000 4,521,314
Nuveen Finance LLC
W 2.950%, 11/01/19.................................... 9,568 9,549,298
Occidental Petroleum Corp.
4.100%, 02/01/21.................................... 542 549,512
Omnicom Group, Inc. / Omnicom Capital, Inc.
# 4.450%, 08/15/20.................................... 550 559,526
3.625%, 05/01/22.................................... 1,595 1,575,626
OP Corporate Bank P.L.C.
0.375%, 10/11/22.................................... EUR 325 367,463
Oracle Corp.
2.800%, 07/08/21.................................... 6,536 6,451,981
# 1.900%, 09/15/21.................................... 97,577 93,712,645
2.500%, 05/15/22.................................... 5,000 4,839,950
Pacific Gas & Electric Co.
3.500%, 10/01/20.................................... 900 899,275
3.250%, 06/15/23.................................... 1,000 953,963
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
W 3.050%, 01/09/20.................................... 828 824,678
W 3.375%, 02/01/22.................................... 15,000 14,750,104
W 4.250%, 01/17/23.................................... 9,025 9,075,029
Pernod Ricard SA
W 5.750%, 04/07/21.................................... 620 649,260
W 4.450%, 01/15/22.................................... 18,077 18,415,607
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Perrigo Finance Un, Ltd. Co.
3.500%, 03/15/21.................................... 5,056 $ 4,992,240
Pfizer, Inc.
1.950%, 06/03/21.................................... 27,847 27,031,950
2.200%, 12/15/21.................................... 15,000 14,559,912
0.250%, 03/06/22.................................... EUR 11,200 12,735,754
Phillips 66 Partners L.P.
2.646%, 02/15/20.................................... 6,873 6,796,974
PNC Bank NA
2.400%, 10/18/19.................................... 8,500 8,446,906
2.300%, 06/01/20.................................... 200 196,942
2.600%, 07/21/20.................................... 4,800 4,742,176
PPL Capital Funding, Inc.
# 3.400%, 06/01/23.................................... 3,000 2,940,344
Procter & Gamble Co. (The)
# 1.850%, 02/02/21.................................... 8,670 8,439,429
Progress Energy, Inc.
4.875%, 12/01/19.................................... 4,672 4,763,486
Progressive Corp. (The)
3.750%, 08/23/21.................................... 706 711,999
Province of Alberta Canada
1.750%, 08/26/20.................................... 15,000 14,637,675
1.350%, 09/01/21.................................... CAD 20,000 14,665,350
Province of British Columbia Canada
# 2.650%, 09/22/21.................................... 26,337 25,987,621
Province of Manitoba Canada
2.050%, 11/30/20.................................... 3,800 3,716,514
2.125%, 05/04/22.................................... 10,000 9,596,705
2.100%, 09/06/22.................................... 20,000 19,073,479
Province of Ontario Canada
4.400%, 04/14/20.................................... 28,000 28,526,212
# 1.875%, 05/21/20.................................... 15,000 14,730,446
2.500%, 09/10/21.................................... 59,530 58,325,805
1.350%, 03/08/22.................................... CAD 20,000 14,532,417
2.250%, 05/18/22.................................... 5,000 4,822,062
3.150%, 06/02/22.................................... CAD 19,000 14,618,216
Province of Quebec Canada
3.500%, 07/29/20.................................... 53,000 53,380,935
4.500%, 12/01/20.................................... CAD 5,000 3,951,878
# 2.750%, 08/25/21.................................... 10,000 9,884,261
2.375%, 01/31/22.................................... 40,718 39,630,378
Prudential Financial, Inc.
2.350%, 08/15/19.................................... 6,000 5,968,188
5.375%, 06/21/20.................................... 1,700 1,753,516
4.500%, 11/15/20.................................... 7,000 7,166,949
PSEG Power LLC
5.125%, 04/15/20.................................... 11,108 11,359,909
Puget Energy, Inc.
6.500%, 12/15/20.................................... 1,363 1,438,095
QUALCOMM, Inc.
# 2.250%, 05/20/20.................................... 6,278 6,191,364
3.000%, 05/20/22.................................... 2,425 2,376,683
2.600%, 01/30/23.................................... 10,000 9,569,599
71
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
Regions Financial Corp.
# 3.200%, 02/08/21................................... 10,500 $10,409,192
2.750%, 08/14/22................................... 6,401 6,154,905
Republic of Austria Government Bond
W 0.000%, 09/20/22................................... EUR 4,000 4,569,664
Republic Services, Inc.
3.550%, 06/01/22................................... 2,000 1,993,469
Roper Technologies, Inc.
2.800%, 12/15/21................................... 1,000 973,771
Royal Bank of Canada
2.125%, 03/02/20................................... 17,338 17,108,027
2.150%, 03/06/20................................... 665 656,645
2.350%, 10/30/20................................... 7,428 7,293,821
2.500%, 01/19/21................................... 12,750 12,515,886
2.750%, 02/01/22................................... 24,000 23,452,708
1.968%, 03/02/22................................... CAD 10,000 7,323,332
Ryder System, Inc.
2.650%, 03/02/20................................... 7,000 6,934,452
3.400%, 03/01/23................................... 12,680 12,474,090
Sanofi
0.500%, 03/21/23................................... EUR 8,000 9,145,553
Santander Holdings USA, Inc.
2.650%, 04/17/20................................... 3,000 2,962,369
3.400%, 01/18/23................................... 18,560 17,717,353
Santander UK Group Holdings P.L.C.
# 3.125%, 01/08/21................................... 15,000 14,784,780
2.875%, 08/05/21................................... 1,000 968,792
Santander UK P.L.C.
2.375%, 03/16/20................................... 2,824 2,788,873
Sempra Energy
2.850%, 11/15/20................................... 5,400 5,327,796
Shell International Finance BV
4.300%, 09/22/19................................... 3,471 3,512,792
4.375%, 03/25/20................................... 950 966,844
2.125%, 05/11/20................................... 17,155 16,923,594
2.250%, 11/10/20................................... 18,999 18,653,598
1.875%, 05/10/21................................... 32,626 31,527,009
1.750%, 09/12/21................................... 27,855 26,697,706
Sherwin-Williams Co. (The)
2.750%, 06/01/22................................... 2,000 1,925,185
Siemens Financieringsmaatschappij NV
W 1.700%, 09/15/21................................... 3,020 2,881,743
Skandinaviska Enskilda Banken AB
1.250%, 08/05/22................................... GBP 2,000 2,514,246
Societe Generale SA
W 2.625%, 09/16/20................................... 17,000 16,759,352
W 2.500%, 04/08/21................................... 4,200 4,081,690
Solvay Finance America LLC
W 3.400%, 12/03/20................................... 10,000 9,953,404
FACE
AMOUNT^ VALUE+
--------- ------------
(000)
---------
Southern Co. (The)
2.750%, 06/15/20................................ 9,683 $ 9,566,901
Southern Power Co.
1.000%, 06/20/22................................ EUR 14,310 16,405,140
Southwest Airlines Co.
2.750%, 11/06/19................................ 17,072 17,004,426
2.650%, 11/05/20................................ 4,500 4,445,398
Spain Government Bond
W 5.400%, 01/31/23................................ EUR 17,000 23,313,637
Starbucks Corp.
2.100%, 02/04/21................................ 1,770 1,722,745
State of North Rhine- Westphalia Germany
1.625%, 01/22/20................................ 8,950 8,805,458
0.200%, 04/17/23................................ EUR 9,000 10,246,586
State Street Corp.
2.550%, 08/18/20................................ 10,138 10,031,850
Stryker Corp.
2.625%, 03/15/21................................ 6,121 6,009,161
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19................................ 5,865 5,860,733
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21................................ 4,000 3,946,311
2.058%, 07/14/21................................ 10,000 9,602,861
2.784%, 07/12/22................................ 1,150 1,111,608
Sunoco Logistics Partners Operations L.P.
3.450%, 01/15/23................................ 9,515 9,188,231
SunTrust Banks, Inc.
2.500%, 05/01/19................................ 3,555 3,546,641
2.900%, 03/03/21................................ 14,765 14,547,817
Svensk Exportkredit AB
1.750%, 08/28/20................................ 11,000 10,743,973
# 2.375%, 03/09/22................................ 10,000 9,738,036
Svenska Handelsbanken AB
2.400%, 10/01/20................................ 3,720 3,650,957
2.450%, 03/30/21................................ 1,930 1,881,849
0.250%, 02/28/22................................ EUR 13,000 14,729,770
2.625%, 08/23/22................................ EUR 3,000 3,691,021
Swedbank AB
0.300%, 09/06/22................................ EUR 12,020 13,571,109
Sweden Government Bond
3.500%, 06/01/22................................ SEK 1,085,000 134,056,424
Sysco Corp.
2.600%, 10/01/20................................ 16,190 15,958,184
TD Ameritrade Holding Corp.
5.600%, 12/01/19................................ 74 75,932
Telefonica Emisiones SAU
5.134%, 04/27/20................................ 10,180 10,421,885
Temasek Financial I, Ltd.
0.500%, 03/01/22................................ EUR 2,700 3,097,646
72
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Toronto-Dominion Bank (The)
2.125%, 07/02/19.................................. 31,297 $31,138,712
2.500%, 12/14/20.................................. 20,000 19,692,030
2.125%, 04/07/21.................................. 18,138 17,627,778
1.800%, 07/13/21.................................. 18,605 17,869,747
1.994%, 03/23/22.................................. CAD 15,000 11,001,975
Total Capital International SA
2.100%, 06/19/19.................................. 2,983 2,969,003
# 2.750%, 06/19/21.................................. 6,000 5,924,759
2.875%, 02/17/22.................................. 7,000 6,873,817
0.250%, 07/12/23.................................. EUR 500 564,438
Total Capital SA
# 4.125%, 01/28/21.................................. 10,000 10,175,694
Toyota Credit Canada, Inc.
2.050%, 05/20/20.................................. CAD 3,092 2,318,066
2.020%, 02/28/22.................................. CAD 10,000 7,310,950
2.350%, 07/18/22.................................. CAD 10,000 7,351,134
Toyota Motor Credit Corp.
2.100%, 01/17/19.................................. 6,900 6,894,544
2.125%, 07/18/19.................................. 11,845 11,787,827
4.500%, 06/17/20.................................. 9,300 9,500,535
1.900%, 04/08/21.................................. 40,243 38,899,680
2.750%, 05/17/21.................................. 8,500 8,387,113
2.600%, 01/11/22.................................. 5,988 5,845,144
3.300%, 01/12/22.................................. 1,484 1,481,265
0.750%, 07/21/22.................................. EUR 2,080 2,396,199
TransCanada PipeLines, Ltd.
# 2.500%, 08/01/22.................................. 300 286,706
Tyson Foods, Inc.
2.650%, 08/15/19.................................. 10,967 10,936,138
UBS AG
2.375%, 08/14/19.................................. 663 659,330
2.350%, 03/26/20.................................. 6,079 5,999,807
UBS Group Funding Switzerland AG
1.750%, 11/16/22.................................. EUR 9,052 10,648,630
Unedic Asseo
0.875%, 10/25/22.................................. EUR 27,300 32,011,456
Union Pacific Corp.
2.750%, 04/15/23.................................. 4,189 4,029,739
UnitedHealth Group, Inc.
4.700%, 02/15/21.................................. 2,040 2,097,278
2.375%, 10/15/22.................................. 9,000 8,614,138
Unum Group
3.000%, 05/15/21.................................. 1,000 982,415
US Bank NA
# 2.125%, 10/28/19.................................. 3,432 3,411,813
USAA Capital Corp.
W 2.000%, 06/01/21.................................. 5,000 4,819,550
Verizon Communications, Inc.
3.500%, 11/01/21.................................. 750 750,211
2.946%, 03/15/22.................................. 800 782,815
# 3.125%, 03/16/22.................................. 13,808 13,611,822
Viacom, Inc.
2.750%, 12/15/19.................................. 3,297 3,268,511
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Vodafone Group P.L.C.
# 4.375%, 03/16/21.................................. 4,525 $ 4,617,314
# 2.500%, 09/26/22.................................. 4,411 4,195,073
Volkswagen Group of America Finance LLC
W 2.125%, 05/23/19.................................. 1,310 1,301,931
W 2.400%, 05/22/20.................................. 5,911 5,802,412
Volkswagen International Finance NV
0.875%, 01/16/23.................................. EUR 4,200 4,711,263
Walgreen Co.
3.100%, 09/15/22.................................. 4,127 4,016,770
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21.................................. 4,000 3,953,167
Walt Disney Co. (The)
2.150%, 09/17/20 6,482 6,377,510
Warner Media LLC
4.700%, 01/15/21.................................. 7,900 8,085,659
# 4.000%, 01/15/22.................................. 3,500 3,525,392
WEC Energy Group, Inc.
2.450%, 06/15/20.................................. 14,176 13,976,463
Wells Fargo & Co.
2.600%, 07/22/20.................................. 8,000 7,895,091
2.550%, 12/07/20.................................. 15,000 14,696,445
1.500%, 09/12/22.................................. EUR 2,700 3,164,974
2.250%, 05/02/23.................................. EUR 5,700 6,869,343
Western Australian Treasury Corp.
2.750%, 10/20/22.................................. AUD 27,000 19,330,048
Westpac Banking Corp.
4.875%, 11/19/19.................................. 3,645 3,710,092
2.600%, 11/23/20.................................. 29,052 28,630,186
2.100%, 05/13/21.................................. 7,632 7,363,736
2.800%, 01/11/22.................................. 15,512 15,111,248
2.500%, 06/28/22.................................. 9,789 9,401,908
Whirlpool Corp.
3.700%, 03/01/23.................................. 1,525 1,505,276
Williams Partners LP
3.350%, 08/15/22.................................. 4,600 4,477,988
Wm Wrigley Jr Co.
W 2.900%, 10/21/19.................................. 1,484 1,480,376
Xcel Energy, Inc.
# 2.400%, 03/15/21.................................. 4,070 3,970,884
Xerox Corp.
4.070%, 03/17/22.................................. 10,246 9,774,684
Xilinx, Inc.
2.125%, 03/15/19.................................. 1,745 1,739,401
ZF North America Capital, Inc.
W 4.500%, 04/29/22.................................. 600 600,977
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20.................................. 4,632 4,580,341
Zoetis, Inc.
3.450%, 11/13/20.................................. 12,400 12,414,219
73
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
3.250%, 02/01/23..................................... 3,015 $ 2,952,211
--------------
TOTAL BONDS............................................. 5,533,432,672
--------------
U.S. TREASURY OBLIGATIONS -- (0.0%)
U.S. Treasury Notes
1.250%, 10/31/21..................................... 1,000 951,875
--------------
TOTAL INVESTMENT SECURITIES............................. 5,534,384,547
--------------
SHARES VALUE+
--------- --------------
SECURITIES LENDING COLLATERAL -- (1.3%)
@(S) DFA Short Term Investment Fund................... 6,280,188 $ 72,661,780
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,772,506,940)......................................... $5,607,046,327
==============
As of October 31, 2018, DFA Short-Term Extended Quality Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ---------------------------- ---------- --------------
USD 126,168,662 EUR 108,101,265 State Street Bank and Trust 11/09/18 $ 3,661,785
USD 132,173,057 EUR 113,259,026 State Street Bank and Trust 11/23/18 3,682,459
USD 136,539,409 EUR 116,114,270 State Street Bank and Trust 11/29/18 4,748,574
USD 84,179,448 SEK 744,225,954 Bank of America Corp. 12/21/18 2,464,406
USD 27,339,539 EUR 23,558,089 State Street Bank and Trust 01/08/19 487,133
USD 73,888,698 SEK 667,820,906 Bank of America Corp. 01/09/19 406,981
USD 107,211,307 EUR 92,257,239 Bank of America Corp. 01/16/19 1,980,611
USD 105,984,908 EUR 91,721,801 UBS AG 01/17/19 1,355,942
USD 99,785,946 EUR 86,020,217 UBS AG 01/18/19 1,652,452
USD 2,581,135 GBP 1,974,898 Citibank, N.A. 01/22/19 45,879
USD 71,352,088 SEK 638,493,960 State Street Bank and Trust 01/23/19 1,015,849
USD 113,557,955 CAD 148,548,398 State Street Bank and Trust 01/23/19 523,597
USD 68,912,390 SEK 622,660,174 Bank of America Corp. 01/28/19 291,991
-----------
TOTAL APPRECIATION $22,317,659
EUR 10,063,493 USD 11,672,513 Citibank, N.A. 11/09/18 $ (267,955)
EUR 10,004,452 USD 11,540,341 Citibank, N.A. 11/23/18 (190,447)
EUR 7,587,736 USD 8,845,882 Citibank, N.A. 11/23/18 (237,714)
EUR 6,759,338 USD 7,906,409 Citibank, N.A. 11/29/18 (234,494)
EUR 6,610,985 USD 7,731,444 Citibank, N.A. 11/29/18 (227,912)
USD 47,083,624 AUD 66,562,426 State Street Bank and Trust 01/23/19 (99,337)
-----------
TOTAL (DEPRECIATION) $(1,257,859)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $21,059,800
===========
74
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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............................ -- $5,533,432,672 -- $5,533,432,672
U.S. Treasury Obligations........ -- 951,875 -- 951,875
Securities Lending Collateral.... -- 72,661,780 -- 72,661,780
Forward Currency Contracts**..... -- 21,059,800 -- 21,059,800
-- -------------- -- --------------
TOTAL............................ -- $5,628,106,127 -- $5,628,106,127
== ============== == ==============
**Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
75
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT VALUE+
------ -----------
(000)
------
AGENCY OBLIGATIONS -- (3.2%)
Federal Farm Credit Bank
2.630%, 08/03/26........................................ 3,173 $ 3,007,858
5.770%, 01/05/27........................................ 1,058 1,233,367
Federal Home Loan Mortgage Corp.
6.750%, 09/15/29........................................ 5,814 7,544,130
6.750%, 03/15/31........................................ 1,000 1,323,849
6.250%, 07/15/32........................................ 7,000 9,071,594
Federal National Mortgage Association
6.250%, 05/15/29........................................ 12,628 15,747,381
7.125%, 01/15/30........................................ 3,526 4,719,223
6.625%, 11/15/30........................................ 6,000 7,827,882
Tennessee Valley Authority
7.125%, 05/01/30........................................ 7,608 10,171,295
-----------
TOTAL AGENCY OBLIGATIONS.................................... 60,646,579
-----------
BONDS -- (91.8%)
21st Century Fox America, Inc.
3.700%, 09/15/24........................................ 2,468 2,438,379
3M Co.
# 2.875%, 10/15/27........................................ 27,127 25,477,634
Abbott Laboratories
2.950%, 03/15/25........................................ 6,870 6,531,481
AbbVie, Inc.
# 3.600%, 05/14/25........................................ 9,500 9,064,621
Activision Blizzard, Inc.
3.400%, 06/15/27........................................ 600 556,871
Aetna, Inc.
3.500%, 11/15/24........................................ 4,942 4,802,701
Affiliated Managers Group, Inc.
3.500%, 08/01/25........................................ 1,410 1,336,330
Aflac, Inc.
3.250%, 03/17/25........................................ 6,064 5,832,923
Ahold Finance USA LLC
6.875%, 05/01/29........................................ 388 446,801
Airbus SE
#W 3.150%, 04/10/27........................................ 1,000 946,406
Albemarle Corp.
4.150%, 12/01/24........................................ 3,335 3,334,674
Alimentation Couche-Tard, Inc.
W 3.550%, 07/26/27........................................ 1,185 1,095,594
Allergan Funding SCS
3.800%, 03/15/25........................................ 9,592 9,243,232
Alphabet, Inc.
1.998%, 08/15/26........................................ 2,000 1,776,983
FACE
AMOUNT VALUE+
------ -----------
(000)
------
Ameren Corp.
3.650%, 02/15/26........................................ 1,890 $ 1,823,360
American Express Credit Corp.
# 3.300%, 05/03/27........................................ 8,500 8,101,831
American Honda Finance Corp.
2.300%, 09/09/26........................................ 1,500 1,332,521
American International Group, Inc.
3.750%, 07/10/25........................................ 2,000 1,909,710
3.900%, 04/01/26........................................ 5,000 4,763,742
Ameriprise Financial, Inc.
3.700%, 10/15/24........................................ 7,090 7,017,648
2.875%, 09/15/26........................................ 1,000 913,185
AmerisourceBergen Corp.
3.400%, 05/15/24........................................ 673 651,380
# 3.450%, 12/15/27........................................ 8,000 7,405,025
Amgen, Inc.
3.125%, 05/01/25........................................ 2,763 2,614,674
2.600%, 08/19/26........................................ 5,776 5,169,171
Analog Devices, Inc.
3.900%, 12/15/25........................................ 4,502 4,404,945
Anheuser-Busch InBev Finance, Inc.
3.650%, 02/01/26........................................ 8,000 7,592,637
Anheuser-Busch InBev Worldwide, Inc.
4.000%, 04/13/28........................................ 7,000 6,713,908
Anthem, Inc.
3.500%, 08/15/24........................................ 3,491 3,384,486
3.650%, 12/01/27........................................ 555 518,873
4.101%, 03/01/28........................................ 5,000 4,834,802
ANZ New Zealand International Ltd.
W 3.450%, 07/17/27........................................ 15,000 14,163,782
Aon P.L.C.
3.500%, 06/14/24........................................ 3,750 3,645,330
AP Moller--Maersk A.S.
W 3.750%, 09/22/24........................................ 1,000 957,899
#W 3.875%, 09/28/25........................................ 1,914 1,809,824
Apple, Inc.
3.350%, 02/09/27........................................ 13,200 12,716,584
3.200%, 05/11/27........................................ 13,405 12,746,032
3.000%, 06/20/27........................................ 6,800 6,364,266
2.900%, 09/12/27........................................ 551 510,460
3.000%, 11/13/27........................................ 11,000 10,269,869
Applied Materials, Inc.
3.300%, 04/01/27........................................ 1,111 1,048,384
Archer-Daniels-Midland Co.
2.500%, 08/11/26........................................ 5,613 5,063,242
76
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ -----------
(000)
------
Arrow Electronics, Inc.
3.875%, 01/12/28....................................... 5,330 $ 4,865,515
Assurant, Inc.
4.000%, 03/15/23....................................... 3,526 3,486,681
AstraZeneca P.L.C.
3.375%, 11/16/25....................................... 8,300 7,885,879
AT&T, Inc.
3.950%, 01/15/25....................................... 1,087 1,054,864
3.400%, 05/15/25....................................... 8,182 7,682,355
Australia & New Zealand Banking Group, Ltd.
3.700%, 11/16/25....................................... 5,000 4,917,133
Autodesk, Inc.
4.375%, 06/15/25....................................... 6,017 5,962,254
3.500%, 06/15/27....................................... 5,375 4,939,721
AutoZone, Inc.
3.250%, 04/15/25....................................... 3,133 2,943,279
Avnet, Inc.
4.625%, 04/15/26....................................... 5,850 5,691,364
AXIS Specialty Finance P.L.C.
4.000%, 12/06/27....................................... 4,780 4,478,449
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
3.337%, 12/15/27....................................... 10,970 10,020,929
Banco Santander SA
3.800%, 02/23/28....................................... 5,800 5,154,021
Bank of America Corp.
(r) 3.419%, 12/20/28....................................... 2,918 2,691,359
Bank of New York Mellon Corp. (The)
3.000%, 02/24/25....................................... 1,410 1,337,800
Barclays P.L.C.
3.650%, 03/16/25....................................... 6,080 5,655,099
4.375%, 01/12/26....................................... 2,700 2,587,564
BAT International Finance P.L.C.
# 3.950%, 06/15/25....................................... 1,500 1,449,143
Baxter International, Inc.
2.600%, 08/15/26....................................... 7,018 6,310,494
Bayer U.S. Finance II LLC
W 3.375%, 07/15/24....................................... 897 857,077
W 5.500%, 08/15/25....................................... 3,984 4,174,081
Bayer U.S. Finance LLC
W 3.375%, 10/08/24....................................... 8,831 8,383,810
Beam Suntory, Inc.
3.250%, 06/15/23....................................... 961 927,975
Berkshire Hathaway, Inc.
3.125%, 03/15/26....................................... 10,552 10,048,720
Biogen, Inc.
4.050%, 09/15/25....................................... 8,000 7,932,229
BlackRock, Inc.
3.200%, 03/15/27....................................... 17,645 16,805,616
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BMW US Capital LLC
W 2.800%, 04/11/26......................................... 5,500 $5,044,666
W 3.300%, 04/06/27......................................... 4,000 3,747,860
BNP Paribas SA
#W 3.500%, 11/16/27......................................... 8,631 7,820,005
Boeing Co. (The)
2.500%, 03/01/25......................................... 3,526 3,273,421
BP Capital Markets P.L.C.
3.017%, 01/16/27......................................... 7,600 7,035,589
Brown & Brown, Inc.
4.200%, 09/15/24......................................... 5,261 5,172,518
Buckeye Partners L.P.
4.150%, 07/01/23......................................... 1,058 1,031,122
3.950%, 12/01/26......................................... 2,275 2,077,955
Bunge, Ltd. Finance Corp.
3.750%, 09/25/27......................................... 6,075 5,526,134
Burlington Northern Santa Fe LLC
# 3.000%, 04/01/25......................................... 2,357 2,262,984
7.000%, 12/15/25......................................... 472 559,893
CA, Inc.
4.700%, 03/15/27......................................... 7,900 7,654,863
Campbell Soup Co.
3.300%, 03/19/25......................................... 4,229 3,853,448
# 4.150%, 03/15/28......................................... 5,571 5,126,923
Canadian Natural Resources, Ltd.
7.200%, 01/15/32......................................... 2,950 3,523,525
Canadian Pacific Railway Co.
2.900%, 02/01/25......................................... 1,666 1,568,167
3.700%, 02/01/26......................................... 2,115 2,050,889
Capital One Financial Corp.
3.750%, 04/24/24......................................... 1,939 1,888,041
# 3.750%, 03/09/27......................................... 2,000 1,856,273
Cardinal Health, Inc.
# 3.410%, 06/15/27......................................... 10,000 9,062,635
CBS Corp.
3.500%, 01/15/25......................................... 1,058 999,000
4.000%, 01/15/26......................................... 1,000 967,876
2.900%, 01/15/27......................................... 6,600 5,788,904
Celgene Corp.
3.625%, 05/15/24......................................... 1,763 1,712,335
CenterPoint Energy Resources Corp.
4.000%, 04/01/28......................................... 3,000 2,955,384
Charles Schwab Corp. (The)
3.000%, 03/10/25......................................... 4,689 4,452,042
Cigna Corp.
3.250%, 04/15/25......................................... 5,750 5,416,010
Cincinnati Financial Corp.
6.920%, 05/15/28......................................... 900 1,078,921
Cisco Systems, Inc.
2.500%, 09/20/26......................................... 3,000 2,734,507
Citigroup, Inc.
3.750%, 06/16/24......................................... 1,410 1,387,897
77
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3.300%, 04/27/25........................................ 6,231 $ 5,938,079
Clorox Co. (The)
# 3.900%, 05/15/28........................................ 1,000 988,376
CMS Energy Corp.
3.600%, 11/15/25........................................ 2,800 2,706,646
CNA Financial Corp.
4.500%, 03/01/26........................................ 6,830 6,833,590
Coca-Cola Co. (The)
2.250%, 09/01/26........................................ 3,500 3,137,980
# 2.900%, 05/25/27........................................ 8,000 7,482,986
Comcast Corp.
3.375%, 08/15/25........................................ 1,234 1,187,162
3.150%, 03/01/26........................................ 4,000 3,741,142
4.250%, 01/15/33........................................ 2,000 1,937,826
7.050%, 03/15/33........................................ 4,337 5,340,766
Commonwealth Bank of Australia
W 2.850%, 05/18/26........................................ 18,373 16,858,146
ConocoPhillips
5.900%, 10/15/32........................................ 7,000 8,151,195
ConocoPhillips Co.
# 4.950%, 03/15/26........................................ 5,000 5,308,240
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24........................................ 705 686,759
Cox Communications, Inc.
#W 3.850%, 02/01/25........................................ 5,741 5,545,165
Credit Agricole SA
# 3.875%, 04/15/24........................................ 5,678 5,637,243
Credit Suisse AG
3.625%, 09/09/24........................................ 6,299 6,170,718
CRH America Finance, Inc.
W 3.950%, 04/04/28........................................ 2,280 2,157,856
CVS Health Corp.
3.375%, 08/12/24........................................ 5,243 5,026,957
3.875%, 07/20/25........................................ 3,210 3,124,218
Daimler Finance North America LLC
W 3.250%, 08/01/24........................................ 1,128 1,081,099
8.500%, 01/18/31........................................ 9,188 12,531,053
Danske Bank A.S.
#W 4.375%, 06/12/28........................................ 6,000 5,701,120
Deere & Co.
# 5.375%, 10/16/29........................................ 650 720,572
Deutsche Bank AG
3.700%, 05/30/24........................................ 5,781 5,394,179
4.100%, 01/13/26........................................ 3,000 2,812,071
Discovery Communications LLC
3.250%, 04/01/23........................................ 353 340,883
W 3.900%, 11/15/24........................................ 5,961 5,773,449
3.450%, 03/15/25........................................ 4,263 4,003,890
# 4.900%, 03/11/26........................................ 4,000 4,045,699
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Dollar Tree, Inc.
4.200%, 05/15/28......................................... 6,000 $5,676,893
Dominion Energy Gas Holdings LLC
3.600%, 12/15/24......................................... 1,763 1,724,214
Dominion Energy, Inc.
3.625%, 12/01/24......................................... 705 690,900
3.900%, 10/01/25......................................... 4,000 3,902,583
Dover Corp.
3.150%, 11/15/25......................................... 2,100 1,976,515
Dow Chemical Co. (The)
# 3.500%, 10/01/24......................................... 4,106 3,982,933
DTE Energy Co.
2.850%, 10/01/26......................................... 945 855,006
6.375%, 04/15/33......................................... 3,407 3,967,983
DXC Technology Co.
4.450%, 09/18/22......................................... 1,763 1,790,371
4.750%, 04/15/27......................................... 8,000 7,948,503
E*TRADE Financial Corp.
4.500%, 06/20/28......................................... 2,500 2,457,361
Eastman Chemical Co.
3.800%, 03/15/25......................................... 3,023 2,930,975
Eaton Corp.
4.000%, 11/02/32......................................... 5,500 5,321,846
eBay, Inc.
3.600%, 06/05/27......................................... 2,000 1,851,075
Ecolab, Inc.
2.700%, 11/01/26......................................... 2,000 1,829,743
Edison International
4.125%, 03/15/28......................................... 10,000 9,758,060
Electricite de France SA
W 3.625%, 10/13/25......................................... 5,797 5,535,593
3.625%, 10/13/25......................................... 2,000 1,909,813
Electronic Arts, Inc.
4.800%, 03/01/26......................................... 2,200 2,258,732
Enbridge, Inc.
# 3.500%, 06/10/24......................................... 705 680,469
# 3.700%, 07/15/27......................................... 3,000 2,819,370
Enel Finance International NV
W 3.500%, 04/06/28......................................... 5,000 4,202,338
W 4.875%, 06/14/29......................................... 4,000 3,740,923
Energy Transfer Operating L.P.
4.750%, 01/15/26......................................... 4,000 3,938,730
4.200%, 04/15/27......................................... 2,000 1,887,127
Enterprise Products Operating LLC
3.750%, 02/15/25......................................... 2,000 1,961,337
# 3.700%, 02/15/26......................................... 6,000 5,791,219
6.875%, 03/01/33......................................... 525 631,026
EOG Resources, Inc.
3.150%, 04/01/25......................................... 1,478 1,423,365
EQT Corp.
3.900%, 10/01/27......................................... 5,930 5,396,310
78
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ERAC USA Finance LLC
W 3.850%, 11/15/24.......................................... 2,058 $ 2,030,085
Exelon Corp.
3.950%, 06/15/25.......................................... 795 782,538
3.400%, 04/15/26.......................................... 5,400 5,079,410
Express Scripts Holding Co.
3.500%, 06/15/24.......................................... 4,596 4,463,078
3.400%, 03/01/27.......................................... 3,500 3,215,402
Exxon Mobil Corp.
3.043%, 03/01/26.......................................... 20,686 19,757,346
FedEx Corp.
3.400%, 02/15/28.......................................... 3,000 2,802,271
Fidelity National Information Services,
Inc.
5.000%, 10/15/25.......................................... 278 289,277
Fifth Third Bancorp
3.950%, 03/14/28.......................................... 2,943 2,863,884
FMR LLC
W 4.950%, 02/01/33.......................................... 1,000 1,050,139
Ford Motor Credit Co. LLC
# 4.375%, 08/06/23.......................................... 4,583 4,460,643
3.664%, 09/08/24.......................................... 3,950 3,593,066
GATX Corp.
3.250%, 03/30/25.......................................... 2,820 2,635,469
3.250%, 09/15/26.......................................... 2,200 2,000,082
General Dynamics Corp.
# 2.125%, 08/15/26.......................................... 6,500 5,786,689
General Electric Co.
6.750%, 03/15/32.......................................... 18,873 21,320,067
General Mills, Inc.
# 4.200%, 04/17/28.......................................... 3,000 2,899,323
General Motors Financial Co., Inc.
5.250%, 03/01/26.......................................... 7,000 6,989,551
4.350%, 01/17/27.......................................... 3,000 2,793,461
Georgia Power Co.
3.250%, 04/01/26.......................................... 3,000 2,817,267
Georgia-Pacific LLC
# 7.750%, 11/15/29.......................................... 4,960 6,466,013
Gilead Sciences, Inc.
3.650%, 03/01/26.......................................... 2,000 1,937,127
GlaxoSmithKline Capital, Inc.
3.875%, 05/15/28.......................................... 2,300 2,297,327
Goldman Sachs Group, Inc. (The)
3.750%, 05/22/25.......................................... 2,000 1,937,719
3.750%, 02/25/26.......................................... 1,100 1,055,433
Halliburton Co.
3.800%, 11/15/25.......................................... 4,124 4,012,071
Harley-Davidson, Inc.
# 3.500%, 07/28/25.......................................... 5,980 5,712,328
Hasbro, Inc.
3.500%, 09/15/27.......................................... 2,820 2,587,961
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Hewlett Packard Enterprise Co.
4.900%, 10/15/25.......................................... 8,542 $ 8,673,738
Home Depot, Inc. (The)
3.350%, 09/15/25.......................................... 1,403 1,373,155
Honeywell International, Inc.
2.500%, 11/01/26.......................................... 1,000 916,622
HSBC Holdings P.L.C.
4.300%, 03/08/26.......................................... 4,000 3,945,771
HSBC USA, Inc.
3.500%, 06/23/24.......................................... 5,760 5,607,520
Humana, Inc.
3.850%, 10/01/24.......................................... 4,074 4,022,633
ING Groep NV
3.950%, 03/29/27.......................................... 6,550 6,208,363
Ingersoll-Rand Luxembourg Finance SA
3.550%, 11/01/24.......................................... 4,280 4,153,168
Inter-American Development Bank
6.750%, 07/15/27.......................................... 1,058 1,289,083
Intercontinental Exchange, Inc.
3.750%, 12/01/25.......................................... 5,750 5,683,415
International Business Machines Corp.
# 3.300%, 01/27/27.......................................... 3,191 3,038,607
5.875%, 11/29/32.......................................... 66 76,376
International Paper Co.
3.650%, 06/15/24.......................................... 1,058 1,047,169
3.800%, 01/15/26.......................................... 578 558,390
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24.......................................... 2,151 2,137,350
ITC Holdings Corp.
3.650%, 06/15/24.......................................... 4,288 4,192,953
Janus Capital Group, Inc.
4.875%, 08/01/25.......................................... 2,000 2,010,007
Jefferies Group LLC / Jefferies Group Capital
Finance, Inc.
4.850%, 01/15/27.......................................... 3,000 2,882,194
JM Smucker Co. (The)
3.500%, 03/15/25.......................................... 5,000 4,761,880
Johnson & Johnson
2.450%, 03/01/26.......................................... 14,500 13,384,100
2.900%, 01/15/28.......................................... 8,000 7,476,067
# 6.950%, 09/01/29.......................................... 1,000 1,273,586
4.950%, 05/15/33.......................................... 2,500 2,766,897
JPMorgan Chase & Co.
3.900%, 07/15/25.......................................... 4,820 4,753,501
Juniper Networks, Inc.
# 4.500%, 03/15/24.......................................... 2,327 2,356,125
Kellogg Co.
3.250%, 04/01/26.......................................... 6,741 6,228,605
79
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4.300%, 05/15/28.......................................... 3,000 $2,921,813
7.450%, 04/01/31.......................................... 1,100 1,365,376
Keurig Dr Pepper, Inc.
3.400%, 11/15/25.......................................... 1,660 1,541,334
KeyBank NA
# 3.300%, 06/01/25.......................................... 2,000 1,921,181
Kohl's Corp.
# 4.750%, 12/15/23.......................................... 781 795,315
Koninklijke KPN NV
8.375%, 10/01/30.......................................... 4,000 5,137,495
Kraft Heinz Foods Co.
3.950%, 07/15/25.......................................... 8,000 7,733,369
Kroger Co. (The)
7.500%, 04/01/31.......................................... 7,725 9,247,352
L3 Technologies, Inc.
3.950%, 05/28/24.......................................... 1,361 1,340,463
Laboratory Corp. of America Holdings
3.600%, 09/01/27.......................................... 3,100 2,925,130
Legg Mason, Inc.
3.950%, 07/15/24.......................................... 2,609 2,557,898
4.750%, 03/15/26.......................................... 3,205 3,227,211
Lincoln National Corp.
3.350%, 03/09/25.......................................... 8,425 8,033,049
Lloyds Banking Group P.L.C.
3.750%, 01/11/27.......................................... 5,000 4,627,024
4.375%, 03/22/28.......................................... 4,000 3,822,931
Loews Corp.
3.750%, 04/01/26.......................................... 5,500 5,404,700
Lowe's Cos., Inc.
3.375%, 09/15/25.......................................... 3,551 3,435,406
LYB International Finance II BV
3.500%, 03/02/27.......................................... 2,000 1,825,881
Macquarie Bank, Ltd.
W 3.900%, 01/15/26.......................................... 5,000 4,862,418
Manufacturers & Traders Trust Co.
2.900%, 02/06/25.......................................... 2,527 2,388,017
Marathon Petroleum Corp.
W 5.125%, 12/15/26.......................................... 350 359,273
Marriott International, Inc.
# 4.000%, 04/15/28.......................................... 2,000 1,926,785
Marsh & McLennan Cos., Inc.
# 3.500%, 03/10/25.......................................... 1,500 1,446,712
Maxim Integrated Products, Inc.
3.450%, 06/15/27.......................................... 2,950 2,744,410
McDonald's Corp.
3.700%, 01/30/26.......................................... 9,000 8,781,777
McKesson Corp.
3.796%, 03/15/24.......................................... 201 197,593
Mead Johnson Nutrition Co.
4.125%, 11/15/25.......................................... 4,200 4,206,723
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Medtronic, Inc.
3.500%, 03/15/25.......................................... 1,000 $979,080
Merck Sharp & Dohme Corp.
6.400%, 03/01/28.......................................... 6,591 7,789,144
Microsoft Corp.
2.400%, 08/08/26.......................................... 10,000 9,121,703
3.300%, 02/06/27.......................................... 29,100 28,219,922
Mitsubishi UFJ Financial Group, Inc.
3.850%, 03/01/26.......................................... 7,000 6,841,154
# 3.677%,02/22/27........................................... 2,000 1,929,044
Mizuho Financial Group, Inc.
2.839%, 09/13/26.......................................... 10,000 9,058,848
Molson Coors Brewing Co.
3.000%, 07/15/26.......................................... 2,000 1,780,802
Morgan Stanley
3.875%, 01/27/26.......................................... 3,000 2,906,622
3.625%, 01/20/27.......................................... 11,400 10,773,057
Mosaic Co. (The)
4.250%, 11/15/23.......................................... 1,939 1,948,895
# 4.050%, 11/15/27.......................................... 4,000 3,796,598
Motorola Solutions, Inc.
3.500%, 03/01/23.......................................... 1,763 1,709,920
MPLX L.P.
4.125%, 03/01/27.......................................... 7,000 6,679,008
MUFG Bank, Ltd.
3.250%, 09/08/24.......................................... 1,763 1,700,522
Mylan NV
3.950%, 06/15/26.......................................... 7,000 6,423,823
Mylan, Inc.
4.200%, 11/29/23.......................................... 2,468 2,406,598
Nasdaq, Inc.
4.250%, 06/01/24.......................................... 1,551 1,558,119
National Australia Bank, Ltd.
#W 3.500%, 01/10/27.......................................... 14,790 14,127,132
Nationwide Building Society
W 3.900%, 07/21/25.......................................... 7,000 6,837,272
NextEra Energy Capital Holdings, Inc.
3.550%, 05/01/27.......................................... 2,000 1,901,865
NIKE, Inc.
# 2.375%, 11/01/26.......................................... 13,135 11,800,251
Noble Energy, Inc.
3.900%, 11/15/24.......................................... 1,426 1,386,083
# 3.850%, 01/15/28.......................................... 2,000 1,834,023
Nordstrom, Inc.
4.000%, 03/15/27.......................................... 4,412 4,223,464
# 6.950%, 03/15/28.......................................... 282 313,773
Norfolk Southern Corp.
5.640%, 05/17/29.......................................... 2,048 2,260,216
Novartis Capital Corp.
# 3.100%, 05/17/27.......................................... 24,278 23,014,473
Nucor Corp.
# 3.950%, 05/01/28.......................................... 6,000 5,901,470
80
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Nutrien, Ltd.
3.000%, 04/01/25......................................... 1,500 $1,378,971
Nuveen Finance LLC
#W 4.125%, 11/01/24......................................... 5,360 5,363,575
Occidental Petroleum Corp.
3.400%, 04/15/26......................................... 5,280 5,120,541
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.650%, 11/01/24......................................... 705 679,030
ONEOK, Inc.
4.000%, 07/13/27......................................... 3,915 3,753,655
Oracle Corp.
2.650%, 07/15/26......................................... 3,000 2,743,999
3.250%, 11/15/27......................................... 22,400 21,187,889
3.250%, 05/15/30......................................... 7,966 7,399,573
O'Reilly Automotive, Inc.
3.600%, 09/01/27......................................... 3,900 3,646,083
Pacific Gas & Electric Co.
3.500%, 06/15/25......................................... 2,362 2,199,962
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
W 3.400%, 11/15/26......................................... 4,000 3,671,956
PepsiCo, Inc.
3.500%, 07/17/25......................................... 4,721 4,658,830
Pernod Ricard SA
#W 3.250%, 06/08/26......................................... 3,000 2,838,313
Perrigo Finance Unlimited Co.
3.900%, 12/15/24......................................... 6,115 5,864,023
4.375%, 03/15/26......................................... 3,000 2,898,510
Pfizer, Inc.
2.750%, 06/03/26......................................... 8,770 8,169,996
# 3.000%, 12/15/26......................................... 11,817 11,191,268
Philip Morris International, Inc.
3.250%, 11/10/24......................................... 2,179 2,114,006
Phillips 66 Partners L.P.
3.550%, 10/01/26......................................... 4,550 4,250,450
PNC Bank NA
2.950%, 02/23/25......................................... 4,407 4,166,098
PPG Industries, Inc.
3.750%, 03/15/28......................................... 2,000 1,895,934
Principal Financial Group, Inc.
3.400%, 05/15/25......................................... 1,177 1,135,260
3.100%, 11/15/26......................................... 300 275,078
Procter & Gamble Co. (The)
# 2.850%, 08/11/27......................................... 15,000 14,014,525
Province of British Columbia
Canada
6.500%, 01/15/26......................................... 4,363 5,138,170
Province of Quebec Canada
7.500%, 09/15/29......................................... 2,000 2,691,037
Prudential Financial, Inc.
# 3.878%, 03/27/28......................................... 4,000 3,931,357
PSEG Power LLC
4.300%, 11/15/23......................................... 2,122 2,137,573
FACE
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QUALCOMM, Inc.
3.450%, 05/20/25........................................ 7,026 $ 6,743,301
Quest Diagnostics, Inc.
3.500%, 03/30/25........................................ 582 555,391
Reinsurance Group of America,
Inc.
4.700%, 09/15/23........................................ 2,115 2,172,857
3.950%, 09/15/26........................................ 7,358 7,071,113
Rio Tinto Finance USA, Ltd.
7.125%, 07/15/28........................................ 2,120 2,607,437
Roche Holdings, Inc.
W 2.625%, 05/15/26........................................ 13,132 12,118,518
#W 2.375%, 01/28/27........................................ 7,900 7,090,294
Rolls-Royce P.L.C.
W 3.625%, 10/14/25........................................ 4,000 3,863,433
Royal Bank of Scotland Group
P.L.C.
4.800%, 04/05/26........................................ 1,000 985,857
Royal Caribbean Cruises, Ltd.
# 7.500%, 10/15/27........................................ 5,401 6,322,753
3.700%, 03/15/28........................................ 2,474 2,270,333
salesforce.com, Inc.
3.700%, 04/11/28........................................ 2,000 1,952,991
Santander Holdings USA, Inc.
# 4.500%, 07/17/25........................................ 9,000 8,801,914
4.400%, 07/13/27........................................ 2,000 1,866,961
Sempra Energy
3.550%, 06/15/24........................................ 3,596 3,507,226
3.750%, 11/15/25........................................ 1,000 970,742
Shell International Finance BV
# 2.875%, 05/10/26........................................ 12,051 11,264,018
2.500%, 09/12/26........................................ 15,600 14,163,520
Sherwin-Williams Co. (The)
3.450%, 08/01/25........................................ 5,503 5,235,171
3.950%, 01/15/26........................................ 2,200 2,159,225
Siemens
Financieringsmaatschappij NV
W 6.125%, 08/17/26........................................ 2,080 2,374,650
Solvay Finance America LLC
#W 4.450%, 12/03/25........................................ 3,000 3,000,563
Southern California Edison Co.
6.650%, 04/01/29........................................ 525 613,953
Southern Power Co.
4.150%, 12/01/25........................................ 2,000 1,956,857
Southwest Airlines Co.
3.000%, 11/15/26........................................ 2,000 1,830,366
Spectra Energy Partners L.P.
4.750%, 03/15/24........................................ 2,563 2,601,911
Standard Chartered P.L.C.
W 4.050%, 04/12/26........................................ 1,962 1,871,008
Statoil ASA
#W 6.500%, 12/01/28........................................ 5,000 5,980,812
81
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Stryker Corp.
# 3.375%, 05/15/24........................................ 282 $ 275,811
3.375%, 11/01/25........................................ 6,000 5,699,648
Sumitomo Mitsui Financial Group, Inc.
3.784%, 03/09/26........................................ 4,000 3,895,256
# 3.544%, 01/17/28........................................ 6,000 5,689,937
Suncor Energy, Inc.
3.600%, 12/01/24........................................ 4,007 3,935,181
Sysco Corp.
3.750%, 10/01/25........................................ 700 683,255
3.300%, 07/15/26........................................ 12,345 11,554,023
Tapestry, Inc.
4.250%, 04/01/25........................................ 8,534 8,372,510
Target Corp.
# 2.500%, 04/15/26........................................ 9,730 8,898,419
TD Ameritrade Holding Corp.
3.625%, 04/01/25........................................ 3,526 3,430,228
TechnipFMC P.L.C.
3.450%, 10/01/22........................................ 1,741 1,691,201
Telefonica Europe BV
8.250%, 09/15/30........................................ 9,275 11,710,297
Thomson Reuters Corp.
3.850%, 09/29/24........................................ 112 108,371
TJX Cos., Inc. (The)
2.250%, 09/15/26........................................ 1,975 1,762,497
Total System Services, Inc.
4.800%, 04/01/26........................................ 5,970 6,080,973
4.450%, 06/01/28........................................ 1,071 1,054,488
Toyota Motor Credit Corp.
3.200%, 01/11/27........................................ 20,213 19,165,519
3.050%, 01/11/28........................................ 14,430 13,409,734
TransCanada PipeLines, Ltd.
# 4.875%, 01/15/26........................................ 450 463,760
Travelers Property Casualty Corp.
6.375%, 03/15/33........................................ 375 458,317
UBS Group Funding Switzerland AG
W 4.125%, 09/24/25........................................ 9,500 9,347,160
Union Pacific Corp.
3.250%, 01/15/25........................................ 8,761 8,436,861
3.950%, 09/10/28........................................ 4,930 4,850,728
United Technologies Corp.
7.500%, 09/15/29........................................ 5,114 6,415,514
UnitedHealth Group, Inc.
3.750%, 07/15/25........................................ 2,133 2,112,614
Unum Group
4.000%, 03/15/24........................................ 705 694,793
3.875%, 11/05/25........................................ 9,000 8,586,286
Valero Energy Corp.
7.500%, 04/15/32........................................ 1,500 1,838,064
Verizon Communications, Inc.
3.376%, 02/15/25........................................ 4,916 4,746,699
FACE
AMOUNT VALUE+
--------- --------------
(000)
---------
# 4.125%, 03/16/27.................................. 3,700 $ 3,660,583
Viacom, Inc.
4.250%, 09/01/23.................................. 353 352,485
# 3.875%, 04/01/24.................................. 3,711 3,612,256
Visa, Inc.
3.150%, 12/14/25.................................. 2,250 2,163,436
Vodafone Group P.L.C.
7.875%, 02/15/30.................................. 8,125 9,961,795
Walgreens Boots Alliance, Inc.
3.450%, 06/01/26.................................. 9,000 8,324,673
Walt Disney Co. (The)
3.150%, 09/17/25.................................. 3,526 3,399,494
Warner Media LLC
3.550%, 06/01/24.................................. 2,468 2,387,549
3.600%, 07/15/25.................................. 3,500 3,312,520
3.800%, 02/15/27.................................. 2,000 1,872,500
WEC Energy Group, Inc.
3.550%, 06/15/25.................................. 6,200 6,077,113
Wells Fargo & Co.
3.000%, 02/19/25.................................. 3,526 3,299,366
3.000%, 04/22/26.................................. 5,700 5,253,702
Westpac Banking Corp.
2.850%, 05/13/26.................................. 1,500 1,378,377
2.700%, 08/19/26.................................. 10,595 9,595,965
3.350%, 03/08/27.................................. 7,000 6,607,750
WestRock MWV LLC
8.200%, 01/15/30.................................. 4,885 6,236,643
7.950%, 02/15/31.................................. 3,112 3,946,470
Whirlpool Corp.
3.700%, 05/01/25.................................. 2,468 2,356,595
Williams Cos., Inc. (The)
4.000%, 09/15/25.................................. 3,000 2,899,899
3.750%, 06/15/27.................................. 2,771 2,580,361
Wisconsin Electric Power Co.
3.100%, 06/01/25.................................. 1,763 1,674,794
Xerox Corp.
# 3.800%, 05/15/24.................................. 2,276 2,013,919
Zimmer Biomet Holdings, Inc.
3.550%, 04/01/25.................................. 3,000 2,830,134
Zoetis, Inc.
3.000%, 09/12/27.................................. 1,500 1,367,218
--------------
TOTAL BONDS........................................... 1,703,866,173
--------------
TOTAL INVESTMENT SECURITIES........................... 1,764,512,752
--------------
SHARES
---------
SECURITIES LENDING COLLATERAL -- (5.0%)
@(S) DFA Short Term Investment Fund................... 7,959,507 92,091,500
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,955,209,637)............................... $1,856,604,252
==============
82
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Agency Obligations............... -- $ 60,646,579 -- $ 60,646,579
Bonds............................ -- 1,703,866,173 -- 1,703,866,173
Securities Lending Collateral.... -- 92,091,500 -- 92,091,500
-- -------------- -- --------------
TOTAL............................ -- $1,856,604,252 -- $1,856,604,252
== ============== == ==============
See accompanying Notes to Financial Statements.
83
DFA TARGETED CREDIT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (97.3%)
AUSTRALIA -- (3.2%)
Australia & New Zealand Banking Group, Ltd.
2.550%, 11/23/21................................... 886 $ 857,799
2.625%, 05/19/22................................... 1,000 964,477
0.625%, 02/21/23................................... EUR 2,000 2,267,793
BHP Billiton Finance USA, Ltd.
# 2.875%, 02/24/22................................... 1,704 1,677,449
BHP Billiton Finance, Ltd.
0.750%, 10/28/22................................... EUR 2,554 2,928,628
Commonwealth Bank of Australia
W 2.750%, 03/10/22................................... 991 961,229
FMG Resources August 2006 Pty, Ltd.
4.750%, 05/15/22................................... 1,300 1,248,000
Macquarie Group, Ltd.
#W 6.000%, 01/14/20................................... 1,150 1,185,136
National Australia Bank, Ltd.
2.800%, 01/10/22................................... 1,000 974,073
2.500%, 05/22/22................................... 5,500 5,262,565
Westpac Banking Corp.
2.500%, 06/28/22................................... 2,500 2,401,141
-----------
TOTAL AUSTRALIA........................................ 20,728,290
-----------
BELGIUM -- (0.7%)
Anheuser-Busch InBev SA
0.875%, 03/17/22................................... EUR 3,272 3,763,260
0.800%, 04/20/23................................... EUR 1,000 1,144,966
-----------
TOTAL BELGIUM.......................................... 4,908,226
-----------
CANADA -- (6.2%)
Alimentation Couche-Tard, Inc.
#W 2.700%, 07/26/22................................... 2,000 1,916,626
Bank of Montreal
1.900%, 08/27/21................................... 1,000 958,600
Bank of Nova Scotia (The)
4.375%, 01/13/21................................... 1,300 1,327,989
2.700%, 03/07/22................................... 2,000 1,946,615
0.375%, 04/06/22................................... EUR 1,000 1,135,339
Canadian Imperial Bank of Commerce
2.550%, 06/16/22................................... 2,000 1,923,805
2.300%, 07/11/22................................... CAD 3,000 2,210,262
Canadian National Railway Co.
2.850%, 12/15/21................................... 565 554,486
FACE
AMOUNT^ VALUE+
------- -----------
(000)
CANADA -- (Continued)
Canadian Natural Resources, Ltd.
3.450%, 11/15/21................................... 2,800 $ 2,773,565
2.950%, 01/15/23................................... 1,000 962,691
Cenovus Energy, Inc.
5.700%, 10/15/19................................... 183 186,874
3.000%, 08/15/22................................... 1,122 1,072,149
Daimler Canada Finance, Inc.
2.230%, 12/16/21................................... CAD 2,000 1,467,143
Enbridge, Inc.
2.900%, 07/15/22................................... 2,167 2,091,907
3.190%, 12/05/22................................... CAD 1,000 749,554
Ford Credit Canada Co.
2.766%, 06/22/22................................... CAD 2,500 1,790,250
Goldcorp, Inc.
3.625%, 06/09/21................................... 1,700 1,689,909
Honda Canada Finance, Inc.
2.268%, 07/15/22................................... CAD 5,500 4,024,490
HSBC Bank Canada
2.449%, 01/29/21................................... CAD 2,000 1,499,837
Husky Energy, Inc.
7.250%, 12/15/19................................... 925 962,885
Kinross Gold Corp.
# 5.125%,09/01/21.................................... 1,250 1,276,875
Province of Ontario Canada
# 2.250%,05/18/22.................................... 1,000 964,412
Province of Quebec Canada
3.500%, 07/29/20................................... 500 503,594
Rogers Communications, Inc.
4.000%, 06/06/22................................... CAD 2,500 1,933,343
Toronto-Dominion Bank (The)
2.125%, 04/07/21................................... 1,000 971,870
3.250%, 06/11/21................................... 1,000 996,661
1.800%, 07/13/21................................... 1,000 960,481
TransCanada PipeLines, Ltd.
# 2.500%,08/01/22.................................... 600 573,412
Videotron, Ltd.
5.000%, 07/15/22................................... 1,420 1,418,225
-----------
TOTAL CANADA........................................... 40,843,849
-----------
DENMARK -- (0.5%)
AP Moller--Maersk A.S.
W 2.875%,09/28/20.................................... 1,000 984,375
Danske Bank A.S.
W 2.750%,09/17/20.................................... 1,500 1,472,709
W 2.800%,03/10/21.................................... 700 681,205
-----------
TOTAL DENMARK.......................................... 3,138,289
-----------
84
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FINLAND -- (0.8%)
Nokia Oyj
3.375%, 06/12/22............................. 2,228 $ 2,135,315
Nordea Bank AB
1.000%, 02/22/23............................. EUR 1,000 1,158,810
0.875%, 06/26/23............................. EUR 2,000 2,243,651
-----------
TOTAL FINLAND.................................... 5,537,776
-----------
FRANCE -- (3.2%)
Air Liquide Finance SA
0.500%, 06/13/22............................. EUR 1,700 1,947,766
BNP Paribas SA
5.000%, 01/15/21............................. 531 547,902
0.500%, 06/01/22............................. EUR 2,800 3,190,504
BPCE SA
# 2.650%, 02/03/21............................. 700 686,010
2.750%, 12/02/21............................. 1,000 972,093
1.125%, 12/14/22............................. EUR 1,200 1,396,126
Credit Agricole SA
0.750%, 12/01/22............................. EUR 2,300 2,634,054
Danone SA
W 2.077%, 11/02/21............................. 2,770 2,647,168
Electricite de France SA
2.750%, 03/10/23............................. EUR 500 621,499
Orange SA
5.375%, 07/08/19............................. 200 203,095
4.125%, 09/14/21............................. 900 916,958
Pernod Ricard SA
W 5.750%, 04/07/21............................. 2,000 2,094,388
Societe Generale SA
W 2.625%, 09/16/20............................. 500 492,922
W 2.500%, 04/08/21............................. 1,000 971,831
4.250%, 07/13/22............................. EUR 1,500 1,939,229
-----------
TOTAL FRANCE..................................... 21,261,545
-----------
GERMANY -- (1.0%)
Deutsche Bank AG
2.950%, 08/20/20............................. 1,000 979,995
3.125%, 01/13/21............................. 500 488,536
1.500%, 01/20/22............................. EUR 1,700 1,924,988
Volkswagen Leasing GmbH
2.125%, 04/04/22............................. EUR 900 1,059,580
2.375%, 09/06/22............................. EUR 1,800 2,138,935
-----------
TOTAL GERMANY.................................... 6,592,034
-----------
IRELAND -- (1.4%)
Iberdrola Finance Ireland DAC
W 5.000%, 09/11/19............................. 99 100,499
Ireland Government Bond
0.000%, 10/18/22............................. EUR 3,900 4,422,125
Perrigo Finance Un, Ltd. Co.
3.500%, 03/15/21............................. 1,180 1,165,119
FACE
AMOUNT^ VALUE+
------- -----------
(000)
IRELAND -- (Continued)
Shire Acquisitions Investments Ireland DAC
2.400%, 09/23/21............................. 3,684 $ 3,540,570
-----------
TOTAL IRELAND.................................... 9,228,313
-----------
ITALY -- (1.0%)
Intesa Sanpaolo SpA
3.875%, 01/15/19............................. 475 475,073
0.875%, 06/27/22............................. EUR 500 541,668
W 3.125%, 07/14/22............................. 2,000 1,816,895
Italy Buoni Poliennali Del Tesoro
1.200%, 04/01/22............................. EUR 2,820 3,093,298
0.950%, 03/01/23............................. EUR 400 425,242
-----------
TOTAL ITALY...................................... 6,352,176
-----------
JAPAN -- (2.0%)
Daiwa Securities Group, Inc.
W 3.129%, 04/19/22............................. 1,500 1,464,614
Japan Bank for International Cooperation
2.000%, 11/04/21............................. 2,000 1,924,431
Mitsubishi UFJ Financial Group, Inc.
2.950%, 03/01/21............................. 1,000 986,347
Mizuho Financial Group, Inc.
W 2.632%, 04/12/21............................. 800 781,068
2.953%, 02/28/22............................. 3,500 3,406,976
MUFG Bank, Ltd.
0.875%, 03/11/22............................. EUR 2,068 2,373,106
Sumitomo Mitsui Banking Corp.
1.000%, 01/19/22............................. EUR 1,000 1,154,229
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................. 1,000 960,286
2.784%, 07/12/22............................. 400 386,646
-----------
TOTAL JAPAN...................................... 13,437,703
-----------
LUXEMBOURG -- (0.9%)
Allergan Funding SCS
3.450%, 03/15/22............................. 3,000 2,950,781
ArcelorMittal
5.125%, 06/01/20............................. 1,243 1,269,316
DH Europe Finance SA
1.700%, 01/04/22............................. EUR 1,600 1,892,411
-----------
TOTAL LUXEMBOURG................................. 6,112,508
-----------
NETHERLANDS -- (4.5%)
Airbus Finance BV
W 2.700%, 04/17/23............................. 500 481,526
85
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NETHERLANDS -- (Continued)
Bayer Capital Corp.
0.625%, 12/15/22............................. EUR 1,500 $ 1,707,054
BMW Finance NV
1.250%, 09/05/22............................. EUR 600 700,292
0.500%, 11/22/22............................. EUR 1,400 1,579,832
Cooperatieve Rabobank UA
2.375%, 05/22/23............................. EUR 3,700 4,546,677
Deutsche Telekom International Finance BV
W 1.950%, 09/19/21............................. 1,500 1,428,806
4.250%, 07/13/22............................. EUR 800 1,036,971
Enel Finance International NV
5.000%, 09/14/22............................. EUR 622 819,756
Heineken NV
W 3.400%, 04/01/22............................. 1,011 1,006,152
ING Bank NV
W 2.750%, 03/22/21............................. 1,500 1,470,796
4.500%, 02/21/22............................. EUR 1,000 1,290,766
ING Groep NV
0.750%, 03/09/22............................. EUR 1,600 1,816,180
Mondelez International
Holdings Netherlands BV
W 2.000%, 10/28/21............................. 3,000 2,855,646
Mylan NV
3.750%, 12/15/20............................. 885 884,907
Shell International Finance BV
1.875%, 05/10/21............................. 1,000 966,316
2.250%, 01/06/23............................. 2,000 1,903,076
Siemens Financieringsmaatschappij NV
W 1.700%, 09/15/21............................. 1,000 954,220
2.900%, 05/27/22............................. 1,500 1,465,708
Unilever NV
0.500%, 02/03/22............................. EUR 1,125 1,287,904
Volkswagen International Finance NV
0.875%, 01/16/23............................. EUR 1,000 1,121,729
-----------
TOTAL NETHERLANDS................................ 29,324,314
-----------
S.GEORGIA/S.SAN -- (0.4%)
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22............................. EUR 2,100 2,413,450
-----------
SPAIN -- (1.2%)
Banco Santander SA
3.848%, 04/12/23............................. 3,000 2,903,442
Spain Government Bond
0.450%, 10/31/22............................. EUR 3,000 3,415,872
Telefonica Emisiones SAU
5.134%, 04/27/20............................. 200 204,752
5.462%, 02/16/21............................. 1,185 1,231,227
FACE
AMOUNT^ VALUE+
------- ----------
(000)
SPAIN -- (Continued)
2.242%, 05/27/22............................. EUR 400 $ 479,777
----------
TOTAL SPAIN...................................... 8,235,070
----------
SWEDEN -- (0.8%)
Svenska Handelsbanken AB
0.500%, 03/21/23............................. EUR 900 1,020,231
Swedbank AB
0.250%, 11/07/22............................. EUR 2,000 2,247,926
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/22............................. 2,000 1,964,084
----------
TOTAL SWEDEN..................................... 5,232,241
----------
SWITZERLAND -- (0.3%)
ABB Finance USA, Inc.
2.875%, 05/08/22............................. 500 488,999
Credit Suisse AG
3.000%, 10/29/21............................. 1,457 1,434,298
----------
TOTAL SWITZERLAND................................ 1,923,297
----------
UNITED KINGDOM -- (5.2%)
Aon P.L.C.
2.800%, 03/15/21............................. 1,500 1,469,749
AstraZeneca P.L.C.
2.375%, 11/16/20............................. 2,250 2,208,902
# 2.375%, 06/12/22............................. 1,500 1,430,388
Barclays P.L.C.
2.750%, 11/08/19............................. 1,000 993,022
1.500%, 04/01/22............................. EUR 1,100 1,265,247
BAT International Finance P.L.C.
3.625%, 11/09/21............................. EUR 700 867,866
1.000%, 05/23/22............................. EUR 1,333 1,525,200
W 3.250%, 06/07/22............................. 1,000 978,177
BP Capital Markets P.L.C.
3.561%, 11/01/21............................. 2,000 2,006,569
1.373%, 03/03/22............................. EUR 2,146 2,522,557
British Telecommunications P.L.C.
0.500%, 06/23/22............................. EUR 3,100 3,484,777
Coca-Cola European Partners P.L.C.
0.750%, 02/24/22............................. EUR 1,846 2,122,010
GlaxoSmithKline Capital P.L.C.
2.850%, 05/08/22............................. 1,000 977,093
HSBC Holdings P.L.C.
3.400%, 03/08/21............................. 2,000 1,990,218
4.000%, 03/30/22............................. 700 706,349
Lloyds Banking Group P.L.C.
3.100%, 07/06/21............................. 1,000 981,441
3.000%, 01/11/22............................. 600 582,682
86
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED KINGDOM -- (Continued)
Nationwide Building Society
0.625%, 04/19/23.................................. EUR 3,600 $ 4,068,065
Santander UK Group Holdings P.L.C.
2.875%, 08/05/21.................................. 1,000 968,792
Santander UK P.L.C.
2.375%, 03/16/20.................................. 130 128,383
Sky P.L.C.
W 2.625%, 09/16/19.................................. 750 745,823
TechnipFMC P.L.C.
3.450%, 10/01/22.................................. 1,000 971,396
Vodafone Group P.L.C.
2.500%, 09/26/22.................................. 1,000 951,048
-----------
TOTAL UNITED KINGDOM.................................. 33,945,754
-----------
UNITED STATES -- (64.0%)
AbbVie, Inc.
2.900%, 11/06/22.................................. 2,500 2,420,257
Activision Blizzard, Inc.
2.600%, 06/15/22.................................. 600 579,634
Advance Auto Parts, Inc.
5.750%, 05/01/20.................................. 985 1,013,996
Aetna, Inc.
4.125%, 06/01/21.................................. 916 928,541
Aflac, Inc.
3.625%, 06/15/23.................................. 500 499,970
Agilent Technologies, Inc.
5.000%, 07/15/20.................................. 435 446,232
Allergan Finance LLC
3.250%, 10/01/22.................................. 1,000 970,776
Ally Financial, Inc.
7.500%, 09/15/20.................................. 500 530,000
4.125%, 02/13/22.................................. 1,525 1,502,125
Altria Group, Inc.
2.850%, 08/09/22.................................. 2,516 2,445,242
Amazon.com, Inc.
3.300%, 12/05/21.................................. 320 320,434
Ameren Corp.
2.700%, 11/15/20.................................. 1,525 1,502,478
American Express Co.
2.500%, 08/01/22.................................. 3,000 2,867,527
American Express Credit Corp.
# 2.250%, 05/05/21.................................. 1,000 972,474
0.625%, 11/22/21.................................. EUR 700 802,275
American International Group, Inc.
4.875%, 06/01/22.................................. 1,750 1,800,630
AmerisourceBergen Corp.
# 3.500%, 11/15/21.................................. 3,053 3,041,764
Amgen, Inc.
4.100%, 06/15/21.................................. 1,000 1,013,864
1.250%, 02/25/22.................................. EUR 1,500 1,746,051
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Andeavor Logistics L.P. / Tesoro Logistics Finance Corp.
5.500%, 10/15/19.................................... 500 $ 509,470
Anixter, Inc.
5.125%, 10/01/21.................................... 1,175 1,180,875
Anthem, Inc.
4.350%, 08/15/20.................................... 200 203,333
3.125%, 05/15/22.................................... 3,000 2,932,450
Apache Corp.
3.250%, 04/15/22.................................... 1,854 1,814,605
# 2.625%, 01/15/23.................................... 288 272,979
Apple, Inc.
2.300%, 05/11/22.................................... 500 482,545
2.100%, 09/12/22.................................... 2,000 1,908,361
Arconic, Inc.
5.870%, 02/23/22.................................... 1,200 1,213,836
Arrow Electronics, Inc.
3.500%, 04/01/22.................................... 700 686,715
Ashland LLC
4.750%, 08/15/22.................................... 1,920 1,905,600
AT&T, Inc.
4.600%, 02/15/21.................................... 600 611,822
3.875%, 08/15/21.................................... 300 301,108
1.450%, 06/01/22.................................... EUR 400 465,877
AutoZone, Inc.
2.500%, 04/15/21.................................... 1,695 1,649,574
Avnet, Inc.
4.875%, 12/01/22.................................... 3,000 3,087,792
BAE Systems Holdings, Inc.
W 2.850%, 12/15/20.................................... 1,650 1,632,822
Baker Hughes a GE Co. LLC
3.200%, 08/15/21.................................... 309 306,212
Ball Corp.
4.375%, 12/15/20.................................... 500 500,000
5.000%, 03/15/22.................................... 750 761,250
Bank of America Corp.
2.625%, 10/19/20.................................... 120 118,374
5.700%, 01/24/22.................................... 1,000 1,060,900
3.228%, 06/22/22.................................... CAD 2,000 1,510,319
1.625%, 09/14/22.................................... EUR 1,050 1,235,303
Bank of New York Mellon Corp. (The)
2.450%, 11/27/20.................................... 301 295,925
2.600%, 02/07/22.................................... 1,000 973,060
3.500%, 04/28/23.................................... 1,550 1,540,294
Baxalta, Inc.
2.875%, 06/23/20.................................... 120 118,669
Baxter International, Inc.
1.700%, 08/15/21.................................... 2,500 2,380,277
BB&T Corp.
2.750%, 04/01/22.................................... 2,000 1,947,460
Becton Dickinson and Co.
3.125%, 11/08/21.................................... 2,700 2,655,567
87
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Bemis Co., Inc.
4.500%, 10/15/21.............................. 500 $ 510,296
Best Buy Co., Inc.
5.500%, 03/15/21.............................. 2,000 2,074,493
Biogen, Inc.
3.625%, 09/15/22.............................. 3,500 3,492,776
BMW US Capital LLC
W 2.000%, 04/11/21.............................. 2,335 2,251,958
0.625%, 04/20/22.............................. EUR 750 856,654
Booking Holdings, Inc.
0.800%, 03/10/22.............................. EUR 2,900 3,326,605
Boston Scientific Corp.
3.375%, 05/15/22.............................. 2,500 2,466,625
Burlington Northern Santa Fe LLC
3.450%, 09/15/21.............................. 1,000 1,004,155
CA, Inc.
5.375%, 12/01/19.............................. 700 713,675
Campbell Soup Co.
2.500%, 08/02/22.............................. 886 836,197
Capital One Financial Corp.
4.750%, 07/15/21.............................. 1,900 1,955,242
3.200%, 01/30/23.............................. 2,000 1,935,949
Carpenter Technology Corp.
5.200%, 07/15/21.............................. 1,420 1,442,553
Caterpillar Financial Services Corp.
1.700%, 08/09/21.............................. 1,000 957,338
CBS Corp.
3.375%, 03/01/22.............................. 1,000 984,240
Celgene Corp.
3.550%, 08/15/22.............................. 3,307 3,275,102
Charles Schwab Corp. (The)
4.450%, 07/22/20.............................. 200 203,888
Chevron Corp.
2.100%, 05/16/21.............................. 657 637,636
2.498%, 03/03/22.............................. 1,000 972,611
2.355%, 12/05/22.............................. 4,000 3,838,623
Choice Hotels International, Inc.
# 5.750%, 07/01/22.............................. 1,430 1,501,500
Church & Dwight Co., Inc.
2.875%, 10/01/22.............................. 2,000 1,940,169
Cigna Corp.
4.000%, 02/15/22.............................. 2,400 2,416,194
CIT Group, Inc.
5.375%, 05/15/20.............................. 542 556,580
Citigroup, Inc.
2.700%, 03/30/21.............................. 1,100 1,077,287
1.375%, 10/27/21.............................. EUR 400 467,979
3.390%, 11/18/21.............................. CAD 2,000 1,523,719
Citizens Bank NA
2.550%, 05/13/21.............................. 1,600 1,556,971
2.650%, 05/26/22.............................. 1,000 960,291
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
CMS Energy Corp.
5.050%, 03/15/22........................... 500 $ 519,730
CNA Financial Corp.
5.750%, 08/15/21........................... 720 758,565
CNH Industrial Capital LLC
3.875%, 10/15/21........................... 1,000 995,854
4.375%, 04/05/22........................... 250 251,240
CNO Financial Group, Inc.
4.500%, 05/30/20........................... 1,400 1,399,440
Coca-Cola European Partners US LLC
4.500%, 09/01/21........................... 270 275,615
Comcast Corp.
3.125%, 07/15/22........................... 1,000 985,016
Conagra Brands, Inc.
3.200%, 01/25/23........................... 2,643 2,553,289
Consolidated Edison, Inc.
2.000%, 05/15/21........................... 1,860 1,794,244
Constellation Brands, Inc.
2.700%, 05/09/22........................... 2,475 2,377,991
3.200%, 02/15/23........................... 1,000 969,218
Continental Resources, Inc.
4.500%, 04/15/23........................... 100 100,339
Corning, Inc.
4.250%, 08/15/20........................... 1,000 1,012,294
Cox Communications, Inc.
W 3.250%, 12/15/22........................... 2,192 2,126,146
CVS Health Corp.
2.800%, 07/20/20........................... 500 494,712
4.125%, 05/15/21........................... 800 809,648
2.125%, 06/01/21........................... 500 481,935
2.750%, 12/01/22........................... 1,000 955,842
Daimler Finance North America LLC
W 2.850%, 01/06/22........................... 2,500 2,421,778
DCP Midstream Operating L.P.
# 4.950%, 04/01/22........................... 1,200 1,206,000
Dell, Inc.
4.625%, 04/01/21........................... 500 501,290
Discovery Communications LLC
5.625%, 08/15/19........................... 398 405,790
W 2.750%, 11/15/19........................... 575 570,926
W 2.800%, 06/15/20........................... 550 543,084
4.375%, 06/15/21........................... 2,176 2,206,202
Dominion Energy, Inc.
4.450%, 03/15/21........................... 850 863,497
Dow Chemical Co. (The)
4.250%, 11/15/20........................... 187 189,347
3.000%, 11/15/22........................... 1,000 971,184
DTE Energy Co.
2.400%, 12/01/19........................... 6 5,938
88
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Duke Energy Corp.
2.400%, 08/15/22.................................. 1,775 $1,698,680
E*TRADE Financial Corp.
2.950%, 08/24/22.................................. 3,500 3,373,238
Eastman Chemical Co.
4.500%, 01/15/21.................................. 34 34,618
Eaton Corp.
2.750%, 11/02/22.................................. 1,500 1,448,418
eBay, Inc.
# 2.875%, 08/01/21.................................. 1,500 1,473,530
2.600%, 07/15/22.................................. 500 480,088
# 2.750%, 01/30/23.................................. 416 397,729
Ecolab, Inc.
4.350%, 12/08/21.................................. 1,224 1,255,060
2.375%, 08/10/22.................................. 3,175 3,036,410
Edgewell Personal Care Co.
# 4.700%, 05/19/21.................................. 900 900,000
# 4.700%, 05/24/22.................................. 850 826,625
Edison International
2.400%, 09/15/22.................................. 2,454 2,314,182
Electronic Arts, Inc.
3.700%, 03/01/21.................................. 1,962 1,973,421
EMC Corp.
2.650%, 06/01/20.................................. 1,000 974,166
3.375%, 06/01/23.................................. 131 121,939
EMD Finance LLC
W 2.950%, 03/19/22.................................. 3,288 3,198,016
Energy Transfer Partners L.P.
# 3.600%, 02/01/23.................................. 2,500 2,434,508
Enterprise Products Operating LLC
5.250%, 01/31/20.................................. 400 409,216
2.850%, 04/15/21.................................. 1,500 1,476,247
Equifax, Inc.
3.300%, 12/15/22.................................. 2,652 2,576,997
Evergy, Inc.
4.850%, 06/01/21.................................. 915 933,884
Eversource Energy
2.500%, 03/15/21.................................. 900 883,055
Exelon Corp.
5.150%, 12/01/20.................................. 300 307,668
Exelon Generation Co. LLC
2.950%, 01/15/20.................................. 150 149,047
4.000%, 10/01/20.................................. 1,000 1,008,060
3.400%, 03/15/22.................................. 1,000 985,317
4.250%, 06/15/22.................................. 500 505,716
Express Scripts Holding Co.
3.300%, 02/25/21.................................. 2,000 1,981,417
3.900%, 02/15/22.................................. 500 501,481
Fidelity National Information Services, Inc.
2.250%, 08/15/21.................................. 2,000 1,923,862
Fifth Third Bancorp
3.500%, 03/15/22.................................. 3,000 2,974,971
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Fluor Corp.
1.750%, 03/21/23.................................. EUR 2,500 $2,925,616
Ford Motor Credit Co. LLC
3.200%, 01/15/21.................................. 800 780,696
3.336%, 03/18/21.................................. 1,500 1,465,429
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20.................................. 500 495,156
Gap, Inc. (The)
5.950%, 04/12/21.................................. 1,296 1,338,009
GATX Corp.
2.500%, 07/30/19.................................. 500 497,471
General Electric Co.
0.375%, 05/17/22.................................. EUR 3,000 3,330,359
2.700%, 10/09/22.................................. 1,500 1,412,056
General Mills, Inc.
3.150%, 12/15/21.................................. 985 969,191
General Motors Financial Co., Inc.
3.200%, 07/06/21.................................. 2,800 2,739,259
3.450%, 01/14/22.................................. 800 779,648
Gilead Sciences, Inc.
4.400%, 12/01/21.................................. 2,005 2,054,693
Goldman Sachs Group, Inc. (The)
5.375%, 03/15/20.................................. 500 513,400
2.625%, 04/25/21.................................. 1,000 977,750
5.250%, 07/27/21.................................. 750 779,927
5.750%, 01/24/22.................................. 957 1,011,344
Graphic Packaging International LLC
4.750%, 04/15/21.................................. 1,320 1,320,000
4.875%, 11/15/22.................................. 700 698,250
Harley-Davidson Financial Services, Inc.
W 2.550%, 06/09/22.................................. 3,000 2,841,863
Harris Corp.
2.700%, 04/27/20.................................. 382 377,766
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22.................................. 400 417,355
Hasbro, Inc.
3.150%, 05/15/21.................................. 1,384 1,364,828
Hewlett Packard Enterprise Co.
3.600%, 10/15/20.................................. 236 236,370
Huntington Bancshares, Inc.
3.150%, 03/14/21.................................. 1,500 1,483,018
2.300%, 01/14/22.................................. 400 382,285
Huntington National Bank (The)
2.400%, 04/01/20.................................. 500 493,062
89
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Illinois Tool Works, Inc.
1.250%, 05/22/23.................................... EUR 1,000 $1,170,934
International Business Machines Corp.
1.250%, 05/26/23.................................... EUR 1,500 1,750,867
JPMorgan Chase & Co.
2.550%, 10/29/20.................................... 400 393,374
2.750%, 08/24/22.................................... EUR 2,868 3,527,612
Kellogg Co.
4.000%, 12/15/20.................................... 800 810,550
0.800%, 11/17/22.................................... EUR 2,500 2,855,848
Keurig Dr Pepper, Inc.
2.700%, 11/15/22.................................... 1,000 950,864
KeyBank NA
2.300%, 09/14/22.................................... 550 523,766
KeyCorp
2.900%, 09/15/20.................................... 700 693,552
Kraft Heinz Foods Co.
3.500%, 06/06/22.................................... 2,900 2,866,156
Kroger Co. (The)
# 3.300%, 01/15/21.................................... 1,167 1,161,657
3.400%, 04/15/22.................................... 975 963,978
2.800%, 08/01/22.................................... 1,500 1,452,079
L Brands, Inc.
5.625%, 02/15/22.................................... 1,450 1,471,750
L3 Technologies, Inc.
4.950%, 02/15/21.................................... 164 168,167
Laboratory Corp. of America Holdings
3.200%, 02/01/22.................................... 900 885,845
Leidos Holdings, Inc.
4.450%, 12/01/20.................................... 1,100 1,092,300
Lennar Corp.
6.625%, 05/01/20.................................... 600 619,500
8.375%, 01/15/21.................................... 500 538,750
4.125%, 01/15/22.................................... 1,400 1,366,820
Liberty Mutual Group, Inc.
W 5.000%, 06/01/21.................................... 2,400 2,461,180
W 4.950%, 05/01/22.................................... 615 633,170
Lincoln National Corp.
6.250%, 02/15/20.................................... 300 310,373
4.850%, 06/24/21.................................... 880 907,472
Lowe's Cos., Inc.
3.750%, 04/15/21.................................... 750 757,301
LyondellBasell Industries NV
# 6.000%, 11/15/21.................................... 1,677 1,768,441
Macy's Retail Holdings, Inc.
# 3.450%, 01/15/21.................................... 1,500 1,485,677
# 3.875%, 01/15/22.................................... 500 496,630
# 2.875%, 02/15/23.................................... 363 339,034
Manufacturers & Traders Trust Co.
2.500%, 05/18/22.................................... 2,300 2,216,469
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Marathon Petroleum Corp.
3.400%, 12/15/20.................................... 2,100 $2,099,247
Marriott International, Inc.
2.875%, 03/01/21.................................... 800 789,413
Marsh & McLennan Cos., Inc.
# 2.750%, 01/30/22.................................... 2,260 2,196,904
Mattel, Inc.
2.350%, 08/15/21.................................... 1,900 1,705,250
Mead Johnson Nutrition Co.
3.000%, 11/15/20.................................... 919 912,568
Meritage Homes Corp.
7.150%, 04/15/20.................................... 1,300 1,332,500
MetLife, Inc.
4.750%, 02/08/21.................................... 1,111 1,141,036
MGM Resorts International
7.750%, 03/15/22.................................... 2,000 2,147,500
Microsoft Corp.
2.650%, 11/03/22.................................... 1,500 1,461,352
Molson Coors Brewing Co.
2.100%, 07/15/21.................................... 2,000 1,914,690
Morgan Stanley
2.500%, 04/21/21.................................... 1,000 974,372
5.500%, 07/28/21.................................... 200 209,496
3.125%, 08/05/21.................................... CAD 1,600 1,210,516
2.625%, 11/17/21.................................... 1,500 1,454,880
Mosaic Co. (The)
3.750%, 11/15/21.................................... 2,000 1,998,364
Murphy Oil Corp.
4.000%, 06/01/22.................................... 500 481,996
Mylan, Inc.
W 3.125%, 01/15/23.................................... 1,000 943,141
Nasdaq, Inc.
1.750%, 05/19/23.................................... EUR 2,029 2,391,273
National Oilwell Varco, Inc.
2.600%, 12/01/22.................................... 1,500 1,420,947
NetApp, Inc.
3.375%, 06/15/21.................................... 2,000 1,991,863
3.250%, 12/15/22.................................... 935 910,206
Newfield Exploration Co.
5.750%, 01/30/22.................................... 1,900 1,959,375
Newmont Mining Corp.
3.500%, 03/15/22.................................... 1,000 987,371
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21.................................... 1,000 1,019,256
Nissan Motor Acceptance Corp.
W 2.550%, 03/08/21.................................... 1,100 1,072,783
W 2.650%, 07/13/22.................................... 1,000 957,228
W 2.600%, 09/28/22.................................... 1,000 955,295
Noble Energy, Inc.
4.150%, 12/15/21.................................... 1,676 1,688,114
Nordstrom, Inc.
4.750%, 05/01/20.................................... 1,000 1,019,341
90
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
4.000%, 10/15/21.............................. 1,000 $1,006,924
Northern Trust Corp.
3.375%, 08/23/21.............................. 2,035 2,038,800
Northrop Grumman Corp.
# 2.550%, 10/15/22.............................. 3,000 2,884,292
NuStar Logistics L.P.
6.750%, 02/01/21.............................. 1,083 1,126,320
NVIDIA Corp.
2.200%, 09/16/21.............................. 1,493 1,448,093
Occidental Petroleum Corp.
3.125%, 02/15/22.............................. 206 203,284
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.625%, 05/01/22.............................. 3,011 2,974,427
ONEOK, Inc.
4.250%, 02/01/22.............................. 1,066 1,073,053
Oracle Corp.
2.500%, 05/15/22.............................. 4,250 4,113,958
2.500%, 10/15/22.............................. 1,951 1,877,485
Pacific Gas & Electric Co.
3.500%, 10/01/20.............................. 500 499,597
4.250%, 05/15/21.............................. 797 802,993
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
W 3.375%, 02/01/22.............................. 2,104 2,068,948
W 4.250%, 01/17/23.............................. 1,709 1,718,474
Philip Morris International, Inc.
2.375%, 08/17/22.............................. 2,291 2,192,318
2.500%, 08/22/22.............................. 2,000 1,920,314
Phillips 66
4.300%, 04/01/22.............................. 1,500 1,530,906
Plains All American Pipeline L.P. / PAA Finance
Corp.
2.850%, 01/31/23.............................. 1,500 1,412,893
PNC Bank NA
2.550%, 12/09/21.............................. 3,500 3,411,267
PolyOne Corp.
# 5.250%, 03/15/23.............................. 1,400 1,400,826
Precision Castparts Corp.
2.500%, 01/15/23.............................. 806 774,257
Procter & Gamble Co. (The)
2.150%, 08/11/22.............................. 1,500 1,440,782
Progress Energy, Inc.
4.400%, 01/15/21.............................. 1,100 1,118,823
PulteGroup, Inc.
# 4.250%, 03/01/21.............................. 1,475 1,471,460
QEP Resources, Inc.
5.375%, 10/01/22.............................. 1,500 1,477,500
QUALCOMM, Inc.
3.000%, 05/20/22.............................. 1,145 1,122,186
2.600%, 01/30/23.............................. 2,400 2,296,704
Quest Diagnostics, Inc.
2.700%, 04/01/19.............................. 200 199,946
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Radian Group, Inc.
7.000%, 03/15/21.............................. 1,205 $1,272,781
Regions Financial Corp.
3.200%, 02/08/21.............................. 1,300 1,288,757
2.750%, 08/14/22.............................. 1,500 1,442,331
Republic Services, Inc.
3.550%, 06/01/22.............................. 1,000 996,734
Rockies Express Pipeline LLC
W 5.625%, 04/15/20.............................. 1,100 1,123,870
Rockwell Collins, Inc.
2.800%, 03/15/22.............................. 2,000 1,938,663
Roper Technologies, Inc.
3.000%, 12/15/20.............................. 1,200 1,188,758
2.800%, 12/15/21.............................. 1,000 973,771
Ryder System, Inc.
3.450%, 11/15/21.............................. 900 893,434
3.400%, 03/01/23.............................. 2,000 1,967,522
Santander Holdings USA, Inc.
2.650%, 04/17/20.............................. 800 789,965
3.700%, 03/28/22.............................. 1,000 981,879
3.400%, 01/18/23.............................. 1,000 954,599
SCANA Corp.
# 6.250%, 04/01/20.............................. 550 563,554
# 4.750%, 05/15/21.............................. 1,000 1,005,850
Sealed Air Corp.
W 6.500%,12/01/20............................... 1,449 1,499,715
#W 4.875%, 12/01/22.............................. 500 495,000
Sempra Energy
2.875%, 10/01/22.............................. 600 578,661
Sherwin-Williams Co. (The)
2.750%, 06/01/22.............................. 1,000 962,593
Southern Co. (The)
2.750%, 06/15/20.............................. 250 247,002
Southern Power Co.
2.500%, 12/15/21.............................. 898 870,348
1.000%, 06/20/22.............................. EUR 950 1,089,090
Stryker Corp.
2.625%, 03/15/21.............................. 2,086 2,047,886
Sunoco Logistics Partners Operations L.P.
3.450%, 01/15/23.............................. 500 482,829
SunTrust Bank
2.450%, 08/01/22.............................. 2,750 2,634,116
SunTrust Banks, Inc.
2.900%, 03/03/21.............................. 150 147,794
Symantec Corp.
4.200%, 09/15/20.............................. 1,000 997,288
# 3.950%, 06/15/22.............................. 1,200 1,160,784
Sysco Corp.
2.600%, 06/12/22.............................. 1,577 1,517,322
Target Corp.
2.900%, 01/15/22.............................. 1,084 1,071,384
Thermo Fisher Scientific, Inc.
4.500%, 03/01/21.............................. 830 845,303
91
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
2.150%, 07/21/22............................ EUR 500 $ 600,345
Time Warner Cable LLC
5.000%, 02/01/20............................ 1,100 1,117,391
4.125%, 02/15/21............................ 100 100,337
T-Mobile USA, Inc.
# 4.000%, 04/15/22............................ 1,239 1,223,512
Toll Brothers Finance Corp.
5.875%, 02/15/22............................ 1,100 1,126,125
Total System Services, Inc.
3.800%, 04/01/21............................ 234 234,372
Toyota Motor Credit Corp.
2.600%, 01/11/22............................ 5,776 5,638,202
2.625%, 01/10/23............................ 1,055 1,018,301
Travelers Cos., Inc. (The)
3.900%, 11/01/20............................ 250 252,978
TRI Pointe Group, Inc.
4.875%, 07/01/21............................ 1,100 1,089,000
Tupperware Brands Corp.
4.750%, 06/01/21............................ 1,700 1,733,035
Tyson Foods, Inc.
4.500%, 06/15/22............................ 1,000 1,022,537
United Continental Holdings, Inc.
6.000%, 12/01/20............................ 1,000 1,036,250
# 4.250%, 10/01/22............................ 1,000 981,250
UnitedHealth Group, Inc.
2.125%, 03/15/21............................ 200 194,826
2.875%, 12/15/21............................ 500 493,044
2.375%, 10/15/22............................ 1,000 957,126
Unum Group
3.000%, 05/15/21............................ 1,000 982,415
US Bancorp
2.625%, 01/24/22............................ 1,000 974,003
3.000%, 03/15/22............................ 2,000 1,968,907
Verizon Communications, Inc.
3.450%, 03/15/21............................ 215 215,207
3.500%, 11/01/21............................ 500 500,140
2.375%, 02/17/22............................ EUR 2,500 3,016,112
VF Corp.
3.500%, 09/01/21............................ 1,040 1,042,832
Viacom, Inc.
2.750%, 12/15/19............................ 598 592,833
Walgreen Co.
3.100%, 09/15/22............................ 500 486,645
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21............................ 1,000 988,292
FACE
AMOUNT^ VALUE+
--------- ------------
(000)
UNITED STATES -- (Continued)
Warner Media LLC
2.100%, 06/01/19........................ 105 $ 104,442
Waste Management, Inc.
4.600%, 03/01/21........................ 1,288 1,319,811
Wells Fargo & Co.
2.500%, 03/04/21........................ 2,000 1,949,153
2.094%, 04/25/22........................ CAD 3,000 2,182,643
1.500%, 09/12/22........................ EUR 750 879,159
Western Gas Partners L.P.
5.375%, 06/01/21........................ 175 180,478
4.000%, 07/01/22........................ 800 793,230
Western Union Co. (The)
5.253%, 04/01/20........................ 1,000 1,021,542
Whirlpool Corp.
4.850%, 06/15/21........................ 436 446,183
Williams Cos., Inc. (The)
7.875%, 09/01/21........................ 1,200 1,321,371
4.000%, 11/15/21........................ 1,848 1,857,098
WR Berkley Corp.
4.625%, 03/15/22........................ 975 997,581
WR Grace & Co-Conn
W 5.125%, 10/01/21........................ 1,600 1,612,000
Wyndham Destinations, Inc.
4.250%, 03/01/22........................ 2,400 2,316,480
Xcel Energy, Inc.
2.400%, 03/15/21........................ 2,000 1,951,295
Xilinx, Inc.
# 3.000%, 03/15/21........................ 989 976,459
ZF North America Capital, Inc.
W 4.500%, 04/29/22........................ 2,299 2,302,744
Zimmer Biomet Holdings, Inc.
3.150%, 04/01/22........................ 1,345 1,312,744
Zoetis, Inc.
3.250%, 02/01/23........................ 1,000 979,174
------------
TOTAL UNITED STATES......................... 420,105,881
------------
TOTAL BONDS................................. 639,320,716
------------
SHARES
---------
SECURITIES LENDING COLLATERAL -- (2.7%)
@(S) DFA Short Term Investment Fund......... 1,511,263 17,485,315
------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$676,362,901)............................. $656,806,031
============
92
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
As of October 31, 2018, DFA Targeted Credit Portfolio had entered into the
following forward currency contracts and the net unrealized forward currency
gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
USD 20,767,680 CAD 26,803,391 Citibank, N.A. 11/13/18 $ 403,302
USD 1,217,071 EUR 1,031,666 Citibank, N.A. 11/23/18 46,662
USD 1,676,651 EUR 1,424,310 Citibank, N.A. 11/23/18 60,793
USD 2,450,344 EUR 2,075,110 Citibank, N.A. 11/23/18 96,164
USD 4,489,111 EUR 3,839,605 State Street Bank and Trust 11/23/18 133,139
USD 4,693,606 EUR 4,000,920 Citibank, N.A. 11/23/18 154,624
USD 21,296,062 EUR 18,249,356 Citibank, N.A. 11/23/18 592,453
USD 77,366,361 EUR 66,176,883 Citibank, N.A. 12/06/18 2,206,089
USD 190,174 EUR 164,156 Citibank, N.A. 01/04/19 3,127
USD 1,111,258 EUR 962,531 Citibank, N.A. 01/04/19 14,505
USD 1,925,919 EUR 1,668,509 Citibank, N.A. 01/04/19 24,743
USD 3,453,845 EUR 2,977,632 Citibank, N.A. 01/04/19 60,993
USD 4,941,304 EUR 4,243,227 Citibank, N.A. 01/04/19 106,375
----------
TOTAL APPRECIATION $3,902,969
EUR 537,660 USD 627,459 Citibank, N.A. 12/06/18 $ (16,812)
EUR 305,803 USD 358,318 Citibank, N.A. 12/06/18 (11,002)
----------
TOTAL (DEPRECIATION) $ (27,814)
----------
TOTAL APPRECIATION
(DEPRECIATION) $3,875,155
==========
Summary of the Portfolio's investments as of October 31, 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........................ -- $ 20,728,290 -- $ 20,728,290
Belgium.......................... -- 4,908,226 -- 4,908,226
Canada........................... -- 40,843,849 -- 40,843,849
Denmark.......................... -- 3,138,289 -- 3,138,289
Finland.......................... -- 5,537,776 -- 5,537,776
France........................... -- 21,261,545 -- 21,261,545
Germany.......................... -- 6,592,034 -- 6,592,034
Ireland.......................... -- 9,228,313 -- 9,228,313
Italy............................ -- 6,352,176 -- 6,352,176
Japan............................ -- 13,437,703 -- 13,437,703
Luxembourg....................... -- 6,112,508 -- 6,112,508
Netherlands...................... -- 29,324,314 -- 29,324,314
S.Georgia/S.San.................. -- 2,413,450 -- 2,413,450
Spain............................ -- 8,235,070 -- 8,235,070
Sweden........................... -- 5,232,241 -- 5,232,241
Switzerland...................... -- 1,923,297 -- 1,923,297
United Kingdom................... -- 33,945,754 -- 33,945,754
United States.................... -- 420,105,881 -- 420,105,881
93
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Securities Lending Collateral........ -- $ 17,485,315 -- $ 17,485,315
Forward Currency Contracts**......... -- 3,875,155 -- 3,875,155
-- ------------ -- ------------
TOTAL................................ -- $660,681,186 -- $660,681,186
== ============ == ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
94
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (95.7%)
AUSTRALIA -- (2.6%)
Australia & New Zealand Banking Group, Ltd.
0.750%, 09/29/26................................ EUR 3,000 $ 3,290,623
BHP Billiton Finance USA, Ltd.
2.875%, 02/24/22................................ 13 12,797
BHP Billiton Finance, Ltd.
3.250%, 09/24/27................................ EUR 1,800 2,371,461
Commonwealth Bank of Australia
5.000%, 03/19/20................................ 9 9,209
W 2.850%, 05/18/26................................ 266 244,068
W 3.150%, 09/19/27................................ 10 9,270
FMG Resources August 2006 Pty, Ltd.
W 5.125%, 05/15/24................................ 1,000 950,000
Macquarie Bank, Ltd.
W 3.900%, 01/15/26................................ 289 281,048
National Australia Bank, Ltd.
3.000%, 02/10/23................................ AUD 2,000 1,411,173
0.625%, 09/18/24................................ EUR 4,000 4,452,575
W 3.500%, 01/10/27................................ 351 335,269
Westpac Banking Corp.
4.875%, 11/19/19................................ 63 64,125
0.625%, 11/22/24................................ EUR 1,000 1,115,423
2.850%, 05/13/26................................ 104 95,568
2.700%, 08/19/26................................ 23 20,831
3.350%, 03/08/27................................ 319 301,125
-----------
TOTAL AUSTRALIA 14,964,565
-----------
BELGIUM -- (0.3%)
Anheuser-Busch InBev Finance, Inc.
3.650%, 02/01/26................................ 35 33,218
Anheuser-Busch InBev SA
2.700%, 03/31/26................................ EUR 1,000 1,243,124
2.250%, 05/24/29................................ GBP 600 717,243
-----------
TOTAL BELGIUM 1,993,585
-----------
CANADA -- (4.5%)
Alimentation Couche-Tard, Inc.
1.875%, 05/06/26................................ EUR 700 803,777
W 3.550%, 07/26/27................................ 750 693,414
Bank of Nova Scotia (The)
2.620%, 12/02/26................................ CAD 2,000 1,436,408
Canadian Natural Resources, Ltd.
3.420%, 12/01/26................................ CAD 1,000 728,072
FACE
AMOUNT^ VALUE+
------- -----------
(000)
CANADA -- (Continued)
Canadian Pacific Railway Co.
2.900%, 02/01/25................................ 535 $ 503,583
3.700%, 02/01/26................................ 45 43,636
Cenovus Energy, Inc.
3.000%, 08/15/22................................ 719 687,055
Enbridge, Inc.
4.000%, 10/01/23................................ 34 33,950
3.500%, 06/10/24................................ 15 14,478
Goldcorp, Inc.
3.625%, 06/09/21................................ 46 45,727
Husky Energy, Inc.
3.600%, 03/10/27................................ CAD 2,000 1,457,906
ITC Holdings Corp.
3.650%, 06/15/24................................ 113 110,495
Nutrien, Ltd.
3.625%, 03/15/24................................ 540 521,138
3.000%, 04/01/25................................ 40 36,773
Province of British Columbia Canada
6.500%, 01/15/26................................ 93 109,523
Province of Manitoba Canada
6.300%, 03/05/31................................ CAD 5,000 4,935,660
Province of Ontario Canada
3.150%, 06/02/22................................ CAD 233 179,265
2.400%, 06/02/26................................ CAD 4,000 2,903,263
Province of Quebec Canada
0.875%, 05/04/27................................ EUR 3,800 4,311,999
0.875%, 07/05/28................................ EUR 3,700 4,138,568
Rogers Communications, Inc.
3.000%, 03/15/23................................ 21 20,359
4.000%, 03/13/24................................ CAD 2,000 1,542,178
Spectra Energy Partners L.P.
4.750%, 03/15/24................................ 22 22,334
Suncor Energy, Inc.
3.600%, 12/01/24................................ 87 85,441
Thomson Reuters Corp.
4.300%, 11/23/23................................ 60 60,517
3.850%, 09/29/24................................ 79 76,440
Toronto-Dominion Bank (The)
1.994%, 03/23/22................................ CAD 58 42,541
Toyota Credit Canada, Inc.
2.020%, 02/28/22................................ CAD 58 42,403
TransCanada PipeLines, Ltd.
3.800%, 10/01/20................................ 15 15,120
Videotron, Ltd.
5.000%, 07/15/22................................ 921 919,849
-----------
TOTAL CANADA 26,521,872
-----------
DENMARK -- (1.3%)
Denmark Government Bond
0.500%, 11/15/27................................ DKK 32,300 4,974,775
95
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
DENMARK -- (Continued)
Kommunekredit
2.900%, 11/27/26............................................ AUD 3,500 $2,414,126
----------
TOTAL DENMARK 7,388,901
----------
FINLAND -- (1.1%)
Nokia Oyj
4.375%, 06/12/27............................................ 1,750. 1,645,875
Nordea Bank AB
1.000%, 02/22/23............................................ EUR 4,000 4,635,240
----------
TOTAL FINLAND 6,281,115
----------
FRANCE -- (6.7%)
Agence Francaise de Developpement
0.250%, 07/21/26............................................ EUR 500 547,236
Air Liquide Finance SA
1.000%, 03/08/27............................................ EUR 1,100 1,240,593
BNP Paribas SA
2.450%, 03/17/19............................................ 7 6,988
3.250%, 03/03/23............................................ 22 21,503
1.500%, 11/17/25............................................ EUR 1,200 1,347,187
BPCE SA
4.000%, 04/15/24............................................ 500 499,525
Credit Agricole SA
2.375%, 05/20/24............................................ EUR 1,000 1,227,607
1.375%, 05/03/27............................................ EUR 2,000 2,279,296
Dexia Credit Local SA
1.000%, 10/18/27............................................ EUR 1,600 1,821,778
Electricite de France SA
W 3.625%, 10/13/25............................................ 40 38,196
5.875%, 07/18/31............................................ GBP 1,200 1,970,282
Orange SA
0.875%, 02/03/27............................................ EUR 500 548,137
8.125%, 11/20/28............................................ GBP 964 1,796,255
Pernod Ricard SA
1.500%, 05/18/26............................................ EUR 800 925,417
W 3.250%, 06/08/26............................................ 173 163,676
Sanofi
1.750%, 09/10/26............................................ EUR 2,000 2,411,347
0.500%, 01/13/27............................................ EUR 2,300 2,505,401
1.125%, 04/05/28............................................ EUR 700 797,127
3.625%, 06/19/28............................................ 2,000 1,964,364
SNCF Mobilites
5.375%, 03/18/27............................................ GBP 500 805,049
SNCF Reseau EPIC
5.250%, 12/07/28............................................ GBP 5,998 9,913,647
1.125%, 05/25/30............................................ EUR 1,100 1,247,453
Societe Generale SA
1.125%, 01/23/25............................................ EUR 1,200 1,319,847
Total Capital International SA
2.100%, 06/19/19............................................ 26 25,878
3.750%, 04/10/24............................................ 112 112,361
0.625%, 10/04/24............................................ EUR 1,000 1,132,297
FACE
AMOUNT^ VALUE+
--------- -----------
(000)
FRANCE -- (Continued)
2.500%, 03/25/26............................................ EUR 2,000 $ 2,533,562
-----------
TOTAL FRANCE 39,202,009
-----------
GERMANY -- (3.0%)
Bayer U.S. Finance II LLC
W 1.850%, 11/15/18............................................ 34 33,987
W 5.500%, 08/15/25............................................ 26 27,240
BMW US Capital LLC
W 2.800%, 04/11/26............................................ 194 177,939
W 3.300%, 04/06/27............................................ 58 54,344
Daimler AG
1.000%, 11/15/27............................................ EUR 3,300 3,521,592
Daimler Finance North America LLC
8.500%, 01/18/31............................................ 604 823,765
Deutsche Bank AG
2.500%, 02/13/19............................................ 40 39,906
2.950%, 08/20/20............................................ 2 1,960
# 3.125%, 01/13/21............................................ 23 22,473
3.700%, 05/30/24............................................ 113 105,439
1.125%, 03/17/25............................................ EUR 1,900 2,013,292
Kreditanstalt fuer Wiederaufbau
2.050%, 02/16/26............................................ JPY 1,069,000 10,897,301
-----------
TOTAL GERMANY 17,719,238
-----------
IRELAND -- (0.0%)
Johnson Controls International P.L.C.
(r) 3.625%, 07/02/24............................................ 11 10,801
-----------
ITALY -- (1.0%)
Enel Finance International NV
W 4.875%, 06/14/29............................................ 2,000 1,870,461
Eni SpA
1.500%, 01/17/27............................................ EUR 1,000 1,119,294
1.125%, 09/19/28............................................ EUR 500 525,650
Italy Buoni Poliennali Del Tesoro
1.250%, 12/01/26............................................ EUR 2,100 2,079,761
-----------
TOTAL ITALY 5,595,166
-----------
JAPAN -- (0.7%)
American Honda Finance Corp.
2.300%, 09/09/26............................................ 130 115,485
Beam Suntory, Inc.
3.250%, 06/15/23............................................ 21 20,278
Mitsubishi UFJ Financial Group, Inc.
3.677%, 02/22/27............................................ 35 33,758
96
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
JAPAN -- (Continued)
Nissan Motor Acceptance Corp.
W 2.125%, 03/03/20............................................ 20 $ 19,651
Nomura Holdings, Inc.
# 6.700%, 03/04/20............................................ 16 16,683
Sumitomo Mitsui Financial Group, Inc.
3.784%, 03/09/26............................................ 58 56,481
Toyota Motor Credit Corp.
2.100%, 01/17/19............................................ 10 9,992
3.200%, 01/11/27............................................ 3,815 3,617,299
-----------
TOTAL JAPAN 3,889,627
-----------
LUXEMBOURG -- (3.1%)
Allergan Funding SCS
3.450%, 03/15/22............................................ 150 147,539
2.125%, 06/01/29............................................ EUR 1,500 1,622,350
DH Europe Finance SA
1.200%, 06/30/27............................................ EUR 1,300 1,457,217
European Financial Stability Facility
0.950%, 02/14/28............................................ EUR 1,900 2,177,251
Nestle Finance International, Ltd.
1.250%, 11/02/29............................................ EUR 1,380 1,558,120
Novartis Finance SA
1.625%, 11/09/26............................................ EUR 3,300 3,935,099
1.125%, 09/30/27............................................ EUR 5,000 5,690,220
Whirlpool Finance Luxembourg Sarl
1.250%, 11/02/26............................................ EUR 1,200 1,300,464
1.100%, 11/09/27............................................ EUR 500 523,527
-----------
TOTAL LUXEMBOURG 18,411,787
-----------
NETHERLANDS -- (7.7%)
Ahold Finance USA LLC
6.875%, 05/01/29............................................ 8 9,212
BMW Finance NV
1.125%, 01/10/28............................................ EUR 750 818,393
BNG Bank NV
0.625%, 06/19/27............................................ EUR 5,100 5,728,999
Cooperatieve Rabobank UA
3.875%, 02/08/22............................................ 83 83,449
2.375%, 05/22/23............................................ EUR 2,300 2,826,313
1.250%, 03/23/26............................................ EUR 2,500 2,889,445
Deutsche Telekom International Finance BV
1.125%, 05/22/26............................................ EUR 1,000 1,124,194
1.375%, 01/30/27............................................ EUR 500 564,920
E.ON International Finance BV
6.375%, 06/07/32............................................ GBP 1,150 1,973,076
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NETHERLANDS -- (Continued)
Enel Finance International NV
1.375%, 06/01/26............................................ EUR 1,500 $ 1,626,837
Heineken NV
W 2.750%, 04/01/23............................................ 26 25,184
1.375%, 01/29/27............................................ EUR 1,200 1,363,111
Iberdrola International BV
0.375%, 09/15/25............................................ EUR 1,400 1,508,664
ING Groep NV
1.375%, 01/11/28............................................ EUR 2,100 2,276,992
Koninklijke KPN NV
5.750%, 09/17/29............................................ GBP 1,500 2,340,161
Koninklijke Philips NV
1.375%, 05/02/28............................................ EUR 2,000 2,221,784
Mylan NV
2.250%, 11/22/24............................................ EUR 1,000 1,138,768
3.125%, 11/22/28............................................ EUR 1,400 1,593,100
Sensata Technologies BV
W 5.000%, 10/01/25............................................ 500 482,500
Shell International Finance BV
2.250%, 11/10/20............................................ 54 53,018
3.400%, 08/12/23............................................ 123 122,405
3.250%, 05/11/25............................................ 334 321,968
2.875%, 05/10/26............................................ 348 325,274
2.500%, 09/12/26............................................ 2,595 2,356,047
1.625%, 01/20/27............................................ EUR 6,208 7,366,614
Unilever NV
1.000%, 02/14/27............................................ EUR 1,500 1,675,530
Volkswagen International Finance NV
1.875%, 03/30/27............................................ EUR 2,000 2,188,756
-----------
TOTAL NETHERLANDS 45,004,714
-----------
NORWAY -- (0.3%)
Equinor ASA
2.650%, 01/15/24............................................ 81 77,256
Norway Government Bond
W 1.500%, 02/19/26............................................ NOK 14,000 1,625,158
-----------
TOTAL NORWAY 1,702,414
-----------
SPAIN -- (0.5%)
Santander Holdings USA, Inc.
4.500%, 07/17/25............................................ 206 201,466
Santander UK P.L.C.
4.000%, 03/13/24............................................ 103 102,475
Telefonica Emisiones SAU
5.462%, 02/16/21............................................ 10 10,390
1.715%, 01/12/28............................................ EUR 1,800 1,971,124
Telefonica Europe BV
8250%, 09/15/30............................................. 500 631,283
-----------
TOTAL SPAIN 2,916,738
-----------
97
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- -----------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (4.4%)
Asian Development Bank
2.350%, 06/21/27............................................ JPY 1,130,000 $11,981,114
European Investment Bank
1.900%, 01/26/26............................................ JPY 118,300 1,192,280
2.150%, 01/18/27............................................ JPY 1,205,000 12,523,489
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 25,696,883
-----------
SWEDEN -- (1.7%)
Svenska Handelsbanken AB
0.250%, 02/28/22............................................ EUR 110 124,637
Sweden Government Bond
0.750%, 05/12/28............................................ SEK 35,400 3,915,502
2.250%, 06/01/32............................................ SEK 37,000 4,674,530
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/22............................................ 1,323 1,299,242
-----------
TOTAL SWEDEN 10,013,911
-----------
SWITZERLAND -- (0.6%)
ABB Finance USA, Inc.
2.875%, 05/08/22............................................ 45 44,010
Credit Suisse AG
1.500%, 04/10/26............................................ EUR 700 822,315
Novartis Capital Corp.
3.100%, 05/17/27............................................ 878 832,305
UBS Group Funding Switzerland AG
1.250%, 09/01/26............................................ EUR 1,800 1,985,836
-----------
TOTAL SWITZERLAND 3,684,466
-----------
UNITED KINGDOM -- (8.6%)
Aon P.L.C.
4.000%, 11/27/23............................................ 47 47,259
2.875%, 05/14/26............................................ EUR 1,400 1,708,146
AstraZeneca P.L.C.
2.375%, 11/16/20............................................ 34 33,379
3.375%, 11/16/25............................................ 87 82,659
1.250%, 05/12/28............................................ EUR 1,200 1,330,504
5.750%, 11/13/31............................................ GBP 450 753,018
Barclays Bank P.L.C.
2.250%, 06/10/24............................................ EUR 500 606,938
Barclays P.L.C.
3.250%, 02/12/27............................................ GBP 1,657 2,061,191
BAT International Finance P.L.C.
4.000%, 09/04/26............................................ GBP 1,220 1,684,774
1.250%, 03/13/27............................................ EUR 1,000 1,068,735
BP Capital Markets P.L.C.
3.245%, 05/06/22............................................ 33 32,673
3.535%, 11/04/24............................................ 26 25,601
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED KINGDOM -- (Continued)
1.077%, 06/26/25............................................ EUR 1,200 $1,364,310
3.119%, 05/04/26............................................ 35 32,937
3.017%, 01/16/27............................................ 127 117,568
1.594%, 07/03/28............................................ EUR 1,233 1,413,428
British Telecommunications P.L.C.
1.000%, 11/21/24............................................ EUR 1,200 1,317,372
1.500%, 06/23/27............................................ EUR 500 542,627
3.125%, 11/21/31............................................ GBP 700 870,180
Centrica P.L.C.
4.375%, 03/13/29............................................ GBP 1,000 1,437,481
Coca-Cola European Partners P.L.C.
1.750%, 05/26/28............................................ EUR 1,400 1,614,234
GlaxoSmithKline Capital P.L.C.
1.000%, 09/12/26............................................ EUR 1,500 1,681,767
HSBC Holdings P.L.C.
4.000%, 03/30/22............................................ 59 59,535
2.625%, 08/16/28............................................ GBP 2,364 2,913,155
HSBC USA, Inc.
3.500%, 06/23/24............................................ 147 143,109
Janus Capital Group, Inc.
4.875%, 08/01/25............................................ 106 106,530
Lloyds Banking Group P.L.C.
1.500%, 09/12/27............................................ EUR 2,100 2,265,898
Mead Johnson Nutrition Co.
4.125%, 11/15/25............................................ 69 69,111
Nationwide Building Society
3.250%, 01/20/28............................................ GBP 1,500 1,998,546
Network Rail Infrastructure Finance P.L.C.
4.375%, 12/09/30............................................ GBP 2,150 3,511,138
Rio Tinto Finance P.L.C.
4.000%, 12/11/29............................................ GBP 2,000 2,932,958
Rolls-Royce P.L.C.
W 3.625%, 10/14/25............................................ 520 502,246
3.375%, 06/18/26............................................ GBP 800 1,088,434
Santander UK P.L.C.
2.375%, 03/16/20............................................ 4 3,950
3.875%, 10/15/29............................................ GBP 1,478 2,055,490
Sky P.L.C.
2.500%, 09/15/26............................................ EUR 2,000 2,430,930
TechnipFMC P.L.C.
3.450%, 10/01/22............................................ 49 47,598
Transport for London
4.000%, 09/12/33............................................ GBP 4,400 6,715,716
Vodafone Group P.L.C.
4.375%, 03/16/21............................................ 11 11,224
2.500%, 09/26/22............................................ 113 107,468
1.125%, 11/20/25............................................ EUR 500 553,094
1.500%, 07/24/27............................................ EUR 350 388,463
4.200%, 12/13/27............................................ AUD 1,800 1,257,768
7.875%, 02/15/30............................................ 77 94,407
98
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED KINGDOM -- (Continued)
Western Power Distribution South West P.L.C.
5.875%, 03/25/27............................................ GBP 900 $ 1,416,773
-----------
TOTAL UNITED KINGDOM 50,500,322
-----------
UNITED STATES -- (47.6%)
21st Century Fox America, Inc.
3.700%, 09/15/24............................................ 168 165,984
3M Co.
1.500%, 11/09/26............................................ EUR 1,100 1,295,383
2.875%, 10/15/27............................................ 168 157,785
Abbott Laboratories
2.800%, 09/15/20............................................ 2 1,983
2.950%, 03/15/25............................................ 146 138,806
AbbVie, Inc.
2.900%, 11/06/22............................................ 33 31,947
3.600%, 05/14/25............................................ 1,000 954,171
4.250%, 11/14/28............................................ 400 385,637
Activision Blizzard, Inc.
3.400%, 06/15/27............................................ 52 48,262
Adobe, Inc.
3.250%, 02/01/25............................................ 22 21,278
Advance Auto Parts, Inc.
4.500%, 12/01/23............................................ 14 14,251
AECOM
5.875%, 10/15/24............................................ 500 508,750
5.125%, 03/15/27............................................ 700 651,000
Aetna, Inc.
2.200%, 03/15/19............................................ 4 3,992
2.750%, 11/15/22............................................ 97 93,014
3.500%, 11/15/24............................................ 63 61,224
Affiliated Managers Group, Inc.
3.500%, 08/01/25............................................ 30 28,433
Aflac, Inc.
2.400%, 03/16/20............................................ 13 12,870
3.250%, 03/17/25............................................ 129 124,084
Air Products & Chemicals, Inc.
2.750%, 02/03/23............................................ 11 10,641
Alabama Power Co.
2.800%, 04/01/25............................................ 30 28,021
Albemarle Corp.
4.150%, 12/01/24............................................ 86 85,992
Allergan Finance LLC
3.250%, 10/01/22............................................ 88 85,428
Allergan Funding SCS
3.800%, 03/15/25............................................ 529 509,765
Allstate Corp. (The)
3.150%, 06/15/23............................................ 59 57,941
Ally Financial, Inc.
4.125%, 02/13/22............................................ 1,250 1,231,250
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Alphabet, Inc.
3.375%, 02/25/24............................................ 53 $ 52,862
1.998%, 08/15/26............................................ 86 76,410
Altria Group, Inc.
4.750%, 05/05/21............................................ 2 2,057
2.850%, 08/09/22............................................ 46 44,706
Amazon.com, Inc.
3.800%, 12/05/24............................................ 57 57,275
Ameren Corp.
2.700%, 11/15/20............................................ 12 11,823
American Express Credit Corp.
2.250%, 05/05/21............................................ 2 1,945
3.300%, 05/03/27............................................ 131 124,864
American International Group, Inc.
3.300%, 03/01/21............................................ 17 16,828
4.875%, 06/01/22............................................ 17 17,492
4.125%, 02/15/24............................................ 118 117,290
3.750%, 07/10/25............................................ 95 90,711
3.900%, 04/01/26............................................ 46 43,826
1.875%, 06/21/27............................................ EUR 2,075 2,328,127
American Water Capital Corp.
3.850%, 03/01/24............................................ 25 25,122
Ameriprise Financial, Inc.
4.000%, 10/15/23............................................ 43 43,395
2.875%, 09/15/26............................................ 65 59,357
AmerisourceBergen Corp.
3.400%, 05/15/24............................................ 433 419,090
Amgen, Inc.
4.100%, 06/15/21............................................ 82 83,137
3.625%, 05/22/24............................................ 75 73,890
3.125%, 05/01/25............................................ 37 35,014
2.600%, 08/19/26............................................ 28 25,058
4.000%, 09/13/29............................................ GBP 1,336 1,894,985
Analog Devices, Inc.
3.900%, 12/15/25............................................ 35 34,245
3.500%, 12/05/26............................................ 23 21,700
Anheuser-Busch InBev Finance, Inc.
2.625%, 01/17/23............................................ 58 54,933
Anheuser-Busch InBev Worldwide, Inc.
4.375%, 02/15/21............................................ 5 5,084
2.500%, 07/15/22............................................ 24 22,880
Anixter, Inc.
5.500%, 03/01/23............................................ 1,090 1,098,175
Anthem, Inc.
4.350%, 08/15/20............................................ 13 13,217
3.125%, 05/15/22............................................ 25 24,437
3.500%, 08/15/24............................................ 58 56,230
3.650%, 12/01/27............................................ 4,424 4,136,027
Aon Corp.
5.000%, 09/30/20............................................ 9 9,262
99
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Aon P.L.C.
3.500%, 06/14/24............................................ 107 $ 104,013
Apache Corp.
3.250%, 04/15/22............................................ 75 73,406
4.375%, 10/15/28............................................ 3,000 2,876,847
Apple, Inc.
2.250%, 02/23/21............................................ 58 56,851
2.400%, 05/03/23............................................ 153 145,880
3.450%, 05/06/24............................................ 227 224,606
2.500%, 02/09/25............................................ 53 49,456
0.875%, 05/24/25............................................ EUR 4,000 4,562,225
3.250%, 02/23/26............................................ 233 224,336
2.450%, 08/04/26............................................ 200 182,171
3.350%, 02/09/27............................................ 393 378,607
3.000%, 06/20/27............................................ 64 59,899
3.000%, 11/13/27............................................ 81 75,624
1.375%, 05/24/29............................................ EUR 2,700 3,098,157
3.050%, 07/31/29............................................ GBP 4,700 6,502,851
Applied Materials, Inc.
4.300%, 06/15/21............................................ 7 7,165
3.300%, 04/01/27............................................ 59 55,675
Archer-Daniels-Midland Co.
2.500%, 08/11/26............................................ 58 52,319
Arconic, Inc.
5.900%, 02/01/27............................................ 1,200 1,185,000
Arizona Public Service Co.
8.750%, 03/01/19............................................ 2 2,037
3.150%, 05/15/25............................................ 71 68,206
Arrow Electronics, Inc.
3.875%, 01/12/28............................................ 1,104 1,007,791
Ashland LLC
4.750%, 08/15/22............................................ 900 893,250
Assurant, Inc.
4.000%, 03/15/23............................................ 75 74,164
AT&T, Inc.
3.000%, 02/15/22............................................ 74 72,255
3.800%, 03/15/22............................................ 59 58,928
3.950%, 01/15/25............................................ 115 111,600
3.400%, 05/15/25............................................ 253 237,550
1.800%, 09/05/26............................................ EUR 800 897,784
4.375%, 09/14/29............................................ GBP 500 694,299
Autodesk, Inc.
3.125%, 06/15/20............................................ 31 30,871
4.375%, 06/15/25............................................ 35 34,682
3.500%, 06/15/27............................................ 36 33,085
Automatic Data Processing, Inc.
3.375%, 09/15/25............................................ 144 142,485
AutoZone, Inc.
2.875%, 01/15/23............................................ 140 134,458
3.125%, 07/15/23............................................ 15 14,536
3.250%, 04/15/25............................................ 72 67,640
3.125%, 04/21/26............................................ 1,187 1,091,449
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Avnet, Inc.
4.625%, 04/15/26............................................ 65 $ 63,237
BAE Systems Holdings, Inc.
W 2.850%, 12/15/20............................................ 14 13,854
Baker Hughes a GE Co. LLC
3.200%, 08/15/21............................................ 2 1,982
Ball Corp.
5.000%, 03/15/22............................................ 645 654,675
4.875%, 03/15/26............................................ 500 493,125
Baltimore Gas & Electric Co.
2.400%, 08/15/26............................................ 8 7,176
Bank of America Corp.
3.300%, 01/11/23............................................ 52 50,843
4.000%, 04/01/24............................................ 72 71,889
7.000%, 07/31/28............................................ GBP 1,500 2,587,129
(r) 3.419%, 12/20/28............................................ 184 169,709
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19............................................ 5 5,068
3.650%, 02/04/24............................................ 123 122,305
3.000%, 02/24/25............................................ 330 313,102
2.800%, 05/04/26............................................ 64 59,182
Baxalta, Inc.
2.875%, 06/23/20............................................ 2 1,978
Baxter International, Inc.
2.600%, 08/15/26............................................ 49 44,060
Bayer U.S. Finance II LLC
W 2.125%, 07/15/19............................................ 3 2,977
Bed Bath & Beyond, Inc.
# 3.749%, 08/01/24............................................ 1,407 1,229,930
Bemis Co., Inc.
4.500%, 10/15/21............................................ 7 7,144
Berkshire Hathaway, Inc.
# 3.750%, 08/15/21............................................ 30 30,498
3.400%, 01/31/22............................................ 37 37,101
3.125%, 03/15/26............................................ 2,387 2,273,151
1.125%, 03/16/27............................................ EUR 2,448 2,738,174
2.150%, 03/15/28............................................ EUR 700 847,630
Biogen, Inc.
2.900%, 09/15/20............................................ 172 170,356
4.050%, 09/15/25............................................ 1,000 991,529
BlackRock, Inc.
3.200%, 03/15/27............................................ 287 273,347
Boeing Co. (The)
8.750%, 08/15/21............................................ 11 12,586
2.500%, 03/01/25............................................ 75 69,628
2.600%, 10/30/25............................................ 42 38,995
Booking Holdings, Inc.
2.375%, 09/23/24............................................ EUR 1,000 1,207,556
3.600%, 06/01/26............................................ 108 103,163
1.800%, 03/03/27............................................ EUR 800 915,030
Boston Scientific Corp.
4.125%, 10/01/23............................................ 17 17,158
100
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Brinker International, Inc.
3.875%, 05/15/23............................................ 1,250 $1,168,750
Bristol-Myers Squibb Co.
2.000%, 08/01/22............................................ 79 75,289
Brown & Brown, Inc.
4.200%, 09/15/24............................................ 54 53,092
Brown-Forman Corp.
2.600%, 07/07/28............................................ GBP 1,100 1,411,923
Buckeye Partners L.P.
4.150%, 07/01/23............................................ 22 21,441
3.950%, 12/01/26............................................ 87 79,465
Bunge, Ltd. Finance Corp.
3.750%, 09/25/27............................................ 2,000 1,819,303
Burlington Northern Santa Fe LLC
3.000%, 04/01/25............................................ 50 48,006
7.000%, 12/15/25............................................ 10 11,862
CA, Inc.
4.700%, 03/15/27............................................ 205 198,639
Campbell Soup Co.
4.250%, 04/15/21............................................ 12 12,160
2.500%, 08/02/22............................................ 23 21,707
3.300%, 03/19/25............................................ 47 42,826
# 4.150%, 03/15/28............................................ 2,050 1,886,590
Capital One Financial Corp.
4.750%, 07/15/21............................................ 23 23,669
3.750%, 04/24/24............................................ 54 52,581
3.750%, 03/09/27............................................ 1,800 1,670,646
Cardinal Health, Inc.
4.625%, 12/15/20............................................ 7 7,147
3.200%, 06/15/22............................................ 45 43,794
3.410%, 06/15/27............................................ 2,067 1,873,247
Caterpillar, Inc.
2.600%, 06/26/22............................................ 30 29,121
3.400%, 05/15/24............................................ 21 20,795
CBS Corp.
3.375%, 03/01/22............................................ 27 26,574
3.500%, 01/15/25............................................ 28 26,439
2.900%, 01/15/27............................................ 3,269 2,867,261
7.875%, 07/30/30............................................ 13 15,960
Celgene Corp.
4.000%, 08/15/23............................................ 96 95,853
3.625%, 05/15/24............................................ 52 50,506
CenterPoint Energy Resources Corp.
4.500%, 01/15/21............................................ 18 18,311
CF Industries, Inc.
# 3.450%, 06/01/23............................................ 1,048 995,600
Charles Schwab Corp. (The)
3.000%, 03/10/25............................................ 99 93,997
Chemours Co. (The)
5.375%, 05/15/27............................................ 1,600 1,488,000
Chevron Corp.
2.355%, 12/05/22............................................ 52 49,902
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
2.954%, 05/16/26............................................ 133 $ 125,218
Choice Hotels International, Inc.
5.750%, 07/01/22............................................ 988 1,037,400
Chubb INA Holdings, Inc.
2.875%, 11/03/22............................................ 22 21,486
2.700%, 03/13/23............................................ 35 33,730
3.350%, 05/15/24............................................ 60 58,879
1.550%, 03/15/28............................................ EUR 2,400 2,704,258
Cigna Corp.
4.000%, 02/15/22............................................ 9 9,061
Cisco Systems, Inc.
3.625%, 03/04/24............................................ 22 22,091
2.500%, 09/20/26............................................ 1,000 911,502
CIT Group, Inc.
5.000%, 08/01/23............................................ 800 802,000
5.250%, 03/07/25............................................ 640 643,200
Citigroup, Inc.
4.500%, 01/14/22............................................ 17 17,365
3.875%, 10/25/23............................................ 33 32,947
3.750%, 06/16/24............................................ 30 29,530
3.300%, 04/27/25............................................ 90 85,769
5.150%, 05/21/26............................................ GBP 1,323 1,971,961
Clorox Co. (The)
3.500%, 12/15/24............................................ 37 36,441
CME Group, Inc.
3.000%, 03/15/25............................................ 33 31,503
CMS Energy Corp.
3.875%, 03/01/24............................................ 20 19,880
3.600%, 11/15/25............................................ 37 35,766
3.000%, 05/15/26............................................ 58 54,047
CNA Financial Corp.
5.750%, 08/15/21............................................ 49 51,625
4.500%, 03/01/26............................................ 75 75,039
CNH Industrial Capital LLC
4.375%, 04/05/22............................................ 406 408,014
CNO Financial Group, Inc.
5.250%, 05/30/25............................................ 1,720 1,735,050
Coca Cola Co.
1.875%, 09/22/26............................................ EUR 1,400 1,688,905
Coca-Cola Co. (The)
1.875%, 10/27/20............................................ 190 185,714
2.250%, 09/01/26............................................ 147 131,795
# 2.900%, 05/25/27............................................ 275 257,228
Comcast Cable Communications Holdings, Inc.
9.455%, 11/15/22............................................ 35 42,279
Comcast Corp.
3.600%, 03/01/24............................................ 51 50,480
3.375%, 08/15/25............................................ 49 47,140
3.150%, 03/01/26............................................ 102 95,399
Conagra Brands, Inc.
3.200%, 01/25/23............................................ 54 52,167
101
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
ConocoPhillips Co.
4.950%, 03/15/26............................................ 173 $ 183,665
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24............................................ 15 14,612
Constellation Brands, Inc.
3.500%, 05/09/27............................................ 3,000 2,773,287
Continental Resources, Inc.
4.500%, 04/15/23............................................ 800 802,711
Corning, Inc.
3.700%, 11/15/23............................................ 32 31,376
Cox Communications, Inc.
W 3.850%, 02/01/25............................................ 79 76,305
W 3.500%, 08/15/27............................................ 800 736,362
CSX Corp.
4.250%, 06/01/21............................................ 9 9,168
CVS Health Corp.
2.800%, 07/20/20............................................ 22 21,767
2.125%, 06/01/21............................................ 15 14,458
3.375%, 08/12/24............................................ 174 166,830
3.875%, 07/20/25............................................ 1,985 1,931,954
Danaher Corp.
3.350%, 09/15/25............................................ 17 16,539
Deere & Co.
5.375%, 10/16/29............................................ 5 5,543
Diageo Investment Corp.
2.875%, 05/11/22............................................ 2 1,959
Discovery Communications LLC
W 2.800%, 06/15/20............................................ 6 5,925
3.300%, 05/15/22............................................ 16 15,597
W 3.500%, 06/15/22............................................ 90 88,190
3.250%, 04/01/23............................................ 7 6,760
W 3.900%, 11/15/24............................................ 63 61,018
3.450%, 03/15/25............................................ 66 61,988
Dollar General Corp.
3.250%, 04/15/23............................................ 79 76,733
4.150%, 11/01/25............................................ 13 12,854
4.125%, 05/01/28............................................ 2,000 1,938,008
Dollar Tree, Inc.
4.200%, 05/15/28............................................ 1,600 1,513,838
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20............................................ 84 82,908
3.600%, 12/15/24............................................ 37 36,186
Dominion Energy, Inc.
3.625%, 12/01/24............................................ 15 14,700
3.900%, 10/01/25............................................ 117 114,151
Dover Corp.
1.250%, 11/09/26............................................ EUR 3,100 3,440,184
Dow Chemical Co. (The)
3.000%, 11/15/22............................................ 31 30,107
3.500%, 10/01/24............................................ 87 84,392
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
DTE Energy Co.
2.400%, 12/01/19............................................ 25 $ 24,742
3.850%, 12/01/23............................................ 11 10,959
2.850%, 10/01/26............................................ 500 452,384
Duke Energy Corp.
3.050%, 08/15/22............................................ 131 128,036
3.750%, 04/15/24............................................ 67 66,401
DXC Technology Co.
4.450%, 09/18/22............................................ 37 37,574
E*TRADE Financial Corp.
4.500%, 06/20/28............................................ 2,000 1,965,889
Eastman Chemical Co.
2.700%, 01/15/20............................................ 5 4,962
3.600%, 08/15/22............................................ 3 2,980
3.800%, 03/15/25............................................ 51 49,447
1.875%, 11/23/26............................................ EUR 3,500 4,097,884
Eaton Corp.
2.750%, 11/02/22............................................ 34 32,831
Eaton Vance Corp.
3.500%, 04/06/27............................................ 517 489,638
eBay, Inc.
3.800%, 03/09/22............................................ 87 87,198
2.600%, 07/15/22............................................ 31 29,765
3.600%, 06/05/27............................................ 115 106,437
Ecolab, Inc.
2.700%, 11/01/26............................................ 52 47,573
Edgewell Personal Care Co.
4.700%, 05/24/22............................................ 1,185 1,152,413
EMC Corp.
3.375%, 06/01/23............................................ 1,255 1,168,195
EMD Finance LLC
W 2.950%, 03/19/22............................................ 60 58,358
Emerson Electric Co.
3.150%, 06/01/25............................................ 62 59,425
Energy Transfer Operating L.P.
4.750%, 01/15/26............................................ 67 65,974
Enterprise Products Operating LLC
5.200%, 09/01/20............................................ 6 6,179
3.900%, 02/15/24............................................ 24 23,965
3.750%, 02/15/25............................................ 23 22,555
3.700%, 02/15/26............................................ 62 59,843
EOG Resources, Inc.
4.100%, 02/01/21............................................ 20 20,261
3.150%, 04/01/25............................................ 79 76,080
EQT Corp.
3.900%, 10/01/27............................................ 1,500 1,365,002
Equifax, Inc.
3.250%, 06/01/26............................................ 900 814,817
ERAC USA Finance LLC
W 3.850%, 11/15/24............................................ 1,388 1,369,173
Evergy, Inc.
4.850%, 06/01/21............................................ 29 29,599
102
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Eversource Energy
2.500%, 03/15/21............................................ 6 $ 5,887
2.800%, 05/01/23............................................ 55 52,904
Exelon Corp.
2.450%, 04/15/21............................................ 15 14,574
3.950%, 06/15/25............................................ 27 26,577
3.400%, 04/15/26............................................ 1,225 1,152,274
Exelon Generation Co. LLC
2.950%, 01/15/20............................................ 10 9,936
Express Scripts Holding Co.
3.900%, 02/15/22............................................ 56 56,166
3.500%, 06/15/24............................................ 97 94,195
3.400%, 03/01/27............................................ 174 159,851
Exxon Mobil Corp.
3.176%, 03/15/24............................................ 385 379,948
3.043%, 03/01/26............................................ 3,058 2,920,718
FedEx Corp.
2.625%, 08/01/22............................................ 51 49,239
4.000%, 01/15/24............................................ 99 100,635
3.200%, 02/01/25............................................ 44 42,043
1.625%, 01/11/27............................................ EUR 2,000 2,265,418
Fidelity National Information Services, Inc.
2.250%, 08/15/21............................................ 45 43,287
5.000%, 10/15/25............................................ 35 36,420
Gap, Inc. (The)
5.950%, 04/12/21............................................ 315 325,211
GATX Corp.
3.250%, 03/30/25............................................ 60 56,074
3.250%, 09/15/26............................................ 32 29,092
General Dynamics Corp.
2.250%, 11/15/22............................................ 56 53,706
2.125%, 08/15/26............................................ 86 76,562
General Electric Co.
0.375%, 05/17/22............................................ EUR 135 149,866
3.375%, 03/11/24............................................ 37 35,271
0.875%, 05/17/25............................................ EUR 500 535,224
6.750%, 03/15/32............................................ 221 249,655
General Mills, Inc.
3.150%, 12/15/21............................................ 9 8,856
3.200%, 02/10/27............................................ 1,007 908,910
1.500%, 04/27/27............................................ EUR 1,000 1,132,461
General Motors Financial Co., Inc.
2.250%, 09/06/24............................................ GBP 950 1,157,460
5.250%, 03/01/26............................................ 208 207,690
4.350%, 01/17/27............................................ 58 54,007
Georgia Power Co.
2.850%, 05/15/22............................................ 21 20,376
3.250%, 03/30/27............................................ 154 142,823
Gilead Sciences, Inc.
2.050%, 04/01/19............................................ 2 1,992
4.400%, 12/01/21............................................ 17 17,421
3.700%, 04/01/24............................................ 124 122,761
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
3.650%, 03/01/26............................................ 57 $ 55,208
GlaxoSmithKline Capital, Inc.
2.800%, 03/18/23............................................ 63 61,025
Goldman Sachs Group, Inc. (The)
5.250%, 07/27/21............................................ 26 27,037
4.000%, 03/03/24............................................ 250 248,372
3.750%, 05/22/25............................................ 87 84,291
1.625%, 07/27/26............................................ EUR 1,175 1,317,247
2.000%, 03/22/28............................................ EUR 2,000 2,259,943
Goodyear Tire & Rubber Co. (The)
4.875%, 03/15/27............................................ 1,239 1,105,808
Graphic Packaging International LLC
4.125%, 08/15/24............................................ 500 473,750
Halliburton Co.
3.500%, 08/01/23............................................ 75 73,828
3.800%, 11/15/25............................................ 29 28,213
Hanesbrands, Inc.
W 4.875%, 05/15/26............................................ 1,300 1,231,750
Harley-Davidson, Inc.
3.500%, 07/28/25............................................ 42 40,120
Harris Corp.
2.700%, 04/27/20............................................ 6 5,933
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22............................................ 79 82,428
Hasbro, Inc.
3.500%, 09/15/27............................................ 3,562 3,268,907
Hewlett Packard Enterprise Co.
4.900%, 10/15/25............................................ 35 35,540
Home Depot, Inc. (The)
2.700%, 04/01/23............................................ 15 14,537
3.350%, 09/15/25............................................ 43 42,085
Honeywell International, Inc.
2.500%, 11/01/26............................................ 102 93,495
Hormel Foods Corp.
4.125%, 04/15/21............................................ 17 17,320
Humana, Inc.
3.850%, 10/01/24............................................ 91 89,853
Huntington Bancshares, Inc.
3.150%, 03/14/21............................................ 18 17,796
2.300%, 01/14/22............................................ 38 36,317
Hyatt Hotels Corp.
3.375%, 07/15/23............................................ 23 22,383
Illinois Tool Works, Inc.
1.950%, 03/01/19............................................ 4 3,991
3.500%, 03/01/24............................................ 75 74,852
Intel Corp.
2.700%, 12/15/22............................................ 11 10,692
103
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Intercontinental Exchange, Inc.
3.750%, 12/01/25............................................ 1,000 $ 988,420
International Business Machines Corp.
2.250%, 02/19/21............................................ 231 225,339
3.625%, 02/12/24............................................ 112 111,016
# 3.300%, 01/27/27............................................ 306 291,432
1.750%, 03/07/28............................................ EUR 1,000 1,163,370
International Paper Co.
3.650%, 06/15/24............................................ 92 91,058
3.800%, 01/15/26............................................ 12 11,593
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24............................................ 546 542,535
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.
4.850%, 01/15/27............................................ 57 54,762
JM Smucker Co. (The)
3.500%, 03/15/25............................................ 58 55,238
John Deere Capital Corp.
2.550%, 01/08/21............................................ 112 110,413
3.350%, 06/12/24............................................ 672 661,195
Johnson & Johnson
2.450%, 03/01/26............................................ 38 35,076
2.950%, 03/03/27............................................ 700 663,508
JPMorgan Chase & Co.
3.625%, 05/13/24............................................ 142 139,820
3.900%, 07/15/25............................................ 129 127,220
Juniper Networks, Inc.
4.600%, 03/15/21............................................ 30 30,584
# 4.500%, 03/15/24............................................ 49 49,613
Kellogg Co.
1.250%, 03/10/25............................................ EUR 500 565,183
3.250%, 04/01/26............................................ 661 610,756
7.450%, 04/01/31............................................ 61 75,716
Keurig Dr Pepper, Inc.
3.400%, 11/15/25............................................ 20 18,570
KeyCorp
2.900%, 09/15/20............................................ 17 16,843
Kimberly-Clark Corp.
1.900%, 05/22/19............................................ 6 5,969
2.400%, 06/01/23............................................ 22 20,929
Kohl's Corp.
4.750%, 12/15/23............................................ 17 17,312
Kraft Heinz Foods Co.
3.500%, 06/06/22............................................ 107 105,751
3.950%, 07/15/25............................................ 135 130,501
4.125%, 07/01/27............................................ GBP 1,600 2,177,614
Kroger Co. (The)
3.850%, 08/01/23............................................ 39 38,861
7.500%, 04/01/31............................................ 90 107,736
L Brands, Inc.
6.694%, 01/15/27............................................ 950 893,000
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
L3 Technologies, Inc.
3.950%, 05/28/24............................................ 29 $ 28,562
Laboratory Corp. of America Holdings
4.000%, 11/01/23............................................ 45 45,132
Lam Research Corp.
3.800%, 03/15/25............................................ 1,000 985,838
Legg Mason, Inc.
3.950%, 07/15/24............................................ 55 53,923
4.750%, 03/15/26............................................ 23 23,159
Lennar Corp.
4.750%, 05/30/25............................................ 1,465 1,395,412
Liberty Mutual Group, Inc.
W 5.000%, 06/01/21............................................ 78 79,988
2.750%, 05/04/26............................................ EUR 1,700 2,040,691
Lockheed Martin Corp.
2.900%, 03/01/25............................................ 552 524,564
3.550%, 01/15/26............................................ 56 54,662
Loews Corp.
2.625%, 05/15/23............................................ 44 42,031
3.750%, 04/01/26............................................ 125 122,834
Lowe's Cos., Inc.
3.120%, 04/15/22............................................ 3 2,972
3.375%, 09/15/25............................................ 61 59,014
LYB International Finance II BV
3.500%, 03/02/27............................................ 35 31,953
LyondellBasell Industries NV
5.750%, 04/15/24............................................ 1,400 1,496,083
Macy's Retail Holdings, Inc.
# 3.625%, 06/01/24............................................ 750 709,447
Magellan Midstream Partners L.P.
4.250%, 02/01/21............................................ 18 18,232
Marathon Petroleum Corp.
3.625%, 09/15/24............................................ 96 93,566
Marriott International, Inc.
# 2.875%, 03/01/21............................................ 12 11,841
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19............................................ 6 5,966
3.500%, 06/03/24............................................ 97 94,636
3.500%, 03/10/25............................................ 700 675,132
Mastercard, Inc.
3.375%, 04/01/24............................................ 21 20,794
Maxim Integrated Products, Inc.
3.450%, 06/15/27............................................ 69 64,191
McDonald's Corp.
2.200%, 05/26/20............................................ 9 8,867
3.500%, 07/15/20............................................ 57 57,285
2.625%, 01/15/22............................................ 22 21,398
2.875%, 12/17/25............................................ EUR 600 758,928
5.875%, 04/23/32............................................ GBP 750 1,259,973
104
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
McKesson Corp.
3.796%, 03/15/24......................................... 51 $ 50,136
3.125%, 02/17/29......................................... GBP 2,170 2,729,890
Medtronic, Inc.
3.125%, 03/15/22......................................... 13 12,834
3.500%, 03/15/25......................................... 23 22,519
Merck & Co., Inc.
2.750%, 02/10/25......................................... 136 128,979
Meritage Homes Corp.
6.000%, 06/01/25......................................... 1,325 1,288,562
MetLife, Inc.
3.600%, 04/10/24......................................... 189 187,771
3.000%, 03/01/25......................................... 1,500 1,414,895
MGIC Investment Corp.
5.750%, 08/15/23......................................... 500 512,500
MGM Resorts International
7.750%, 03/15/22......................................... 1,100 1,181,125
4.625%, 09/01/26......................................... 105 94,763
Microsoft Corp.
3.125%, 11/03/25......................................... 36 34,883
2.400%, 08/08/26......................................... 346 315,611
3.300%, 02/06/27......................................... 288 279,290
Molson Coors Brewing Co.
3.500%, 05/01/22......................................... 33 32,612
1.250%, 07/15/24......................................... EUR 1,200 1,344,450
3.000%, 07/15/26......................................... 87 77,465
Mondelez International, Inc.
1.625%, 03/08/27......................................... EUR 1,500 1,710,719
Morgan Stanley
5.500%, 07/28/21......................................... 10 10,475
3.875%, 04/29/24......................................... 140 138,427
3.875%, 01/27/26......................................... 1,095 1,060,917
1.375%, 10/27/26......................................... EUR 2,550 2,809,464
Mosaic Co. (The)
4.250%, 11/15/23......................................... 46 46,235
4.050%, 11/15/27......................................... 1,000 949,150
Motorola Solutions, Inc.
3.750%, 05/15/22......................................... 37 36,419
3.500%, 03/01/23......................................... 37 35,886
MPLX L.P.
4.125%, 03/01/27......................................... 1,189 1,134,477
4.000%, 03/15/28......................................... 1,500 1,408,865
MUFG Americas Holdings Corp.
3.500%, 06/18/22......................................... 64 63,497
Murphy Oil Corp.
4.000%, 06/01/22......................................... 1,100 1,060,391
Mylan NV
3.950%, 06/15/26......................................... 173 158,760
Mylan, Inc.
4.200%, 11/29/23......................................... 52 50,706
Nasdaq, Inc.
4.250%, 06/01/24......................................... 33 33,151
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
National Oilwell Varco, Inc.
2.600%, 12/01/22........................................... 94 $ 89,046
National Rural Utilities Cooperative Finance Corp.
8.000%, 03/01/32........................................... 32 43,440
NetApp, Inc.
3.250%, 12/15/22........................................... 13 12,655
3.300%, 09/29/24........................................... 1,800 1,717,825
Newell Brands, Inc.
4.000%, 06/15/22........................................... 76 75,268
Newfield Exploration Co.
5.625%, 07/01/24........................................... 500 515,000
# 5.375%, 01/01/26........................................... 800 807,504
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21........................................... 10 10,193
3.550%, 05/01/27........................................... 684 650,438
NextEra Energy Operating Partners L.P.
W 4.500%, 09/15/27........................................... 525 484,313
NIKE, Inc.
2.375%, 11/01/26........................................... 328 294,669
NiSource, Inc.
3.850%, 02/15/23........................................... 27 26,815
Noble Energy, Inc.
4.150%, 12/15/21........................................... 20 20,145
3.900%, 11/15/24........................................... 18 17,496
3.850%, 01/15/28........................................... 1,000 917,012
Nordstrom, Inc.
4.750%, 05/01/20........................................... 16 16,309
4.000%, 10/15/21........................................... 11 11,076
4.000%, 03/15/27........................................... 148 141,676
Norfolk Southern Corp.
2.903%, 02/15/23........................................... 52 50,315
2.900%, 06/15/26........................................... 526 486,967
Northrop Grumman Corp.
3.250%, 08/01/23........................................... 12 11,743
Novartis Capital Corp.
3.400%, 05/06/24........................................... 71 70,387
NuStar Logistics L.P.
# 5.625%, 04/28/27........................................... 730 698,063
Nuveen Finance LLC
W 4.125%, 11/01/24........................................... 32 32,021
Occidental Petroleum Corp.
2.700%, 02/15/23........................................... 5 4,807
3.400%, 04/15/26........................................... 85 82,433
3.000%, 02/15/27........................................... 1,376 1,289,724
Ohio Power Co.
5.375%, 10/01/21........................................... 27 28,442
Omnicom Group, Inc. /Omnicom Capital, Inc.
3.650%, 11/01/24........................................... 2,038 1,962,925
ONE Gas, Inc.
2.070%, 02/01/19........................................... 6 5,986
105
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES --(Continued)
ONEOK, Inc.
4.000%, 07/13/27......................................... 77 $ 73,827
Oracle Corp.
2.500%, 10/15/22......................................... 22 21,171
2.950%, 05/15/25......................................... 325 308,290
2.650%, 07/15/26......................................... 5,078 4,644,676
3.250%, 11/15/27......................................... 2,056 1,944,746
O'Reilly Automotive, Inc.
3.800%, 09/01/22......................................... 8 8,016
3.600%, 09/01/27......................................... 2,200 2,056,765
Pacific Gas & Electric Co.
3.850%, 11/15/23......................................... 37 36,112
3.750%, 02/15/24......................................... 76 73,446
3.500%, 06/15/25......................................... 700 651,979
Packaging Corp. of America
4.500%, 11/01/23......................................... 45 46,166
Parker-Hannifin Corp.
3.300%, 11/21/24......................................... 71 69,485
PepsiCo, Inc.
2.150%, 10/14/20......................................... 75 73,707
2.750%, 03/05/22......................................... 33 32,343
2.750%, 03/01/23......................................... 52 50,485
3.500%, 07/17/25......................................... 75 74,012
0.875%, 07/18/28......................................... EUR 1,500 1,625,564
Perrigo Finance Unlimited Co.
4.375%, 03/15/26......................................... 500 483,085
Pfizer, Inc.
3.000%, 06/15/23......................................... 22 21,594
3.400%, 05/15/24......................................... 75 74,511
3.000%, 12/15/26......................................... 492 465,948
3.600%, 09/15/28......................................... 3,000 2,925,646
Philip Morris International, Inc.
3.250%, 11/10/24......................................... 68 65,972
Phillips 66
4.300%, 04/01/22......................................... 49 50,010
Phillips 66 Partners L.P.
3.550%, 10/01/26......................................... 752 702,492
Plains All American Pipeline L.P. / PAA Finance Corp.
4.650%, 10/15/25......................................... 800 789,191
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20......................................... 3 3,049
3.300%, 03/08/22......................................... 9 8,912
3.150%, 05/19/27......................................... 1,000 937,581
PolyOne Corp.
5.250%, 03/15/23......................................... 1,170 1,170,690
PPG Industries, Inc.
# 3.750%, 03/15/28......................................... 750 710,975
PPL Capital Funding, Inc.
3.400%, 06/01/23......................................... 57 55,867
Praxair, Inc.
2.200%, 08/15/22......................................... 9 8,619
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Precision Castparts Corp.
2.500%, 01/15/23......................................... 91 $ 87,416
3.250%, 06/15/25......................................... 362 347,868
Principal Financial Group, Inc.
3.125%, 05/15/23......................................... 52 50,594
3.100%, 11/15/26......................................... 53 48,597
Procter & Gamble Co. (The)
1.850%, 02/02/21......................................... 18 17,521
2.450%, 11/03/26......................................... 13 11,856
2.850%, 08/11/27......................................... 150 140,145
1.800%, 05/03/29......................................... GBP 6,100 7,564,873
Progress Energy, Inc.
4.875%, 12/01/19......................................... 6 6,117
4.400%, 01/15/21......................................... 27 27,462
7.750%, 03/01/31......................................... 500 646,906
7.000%, 10/30/31......................................... 630 779,453
Progressive Corp.
2.450%, 01/15/27......................................... 500 449,990
Progressive Corp. (The)
3.750%, 08/23/21......................................... 51 51,433
Prudential Financial, Inc.
4.500%, 11/15/20......................................... 4 4,095
# 3.500%, 05/15/24......................................... 1,712 1,701,198
PSEG Power LLC
2.450%, 11/15/18......................................... 6 5,999
5.125%, 04/15/20......................................... 26 26,590
4.300%, 11/15/23......................................... 68 68,499
Puget Energy, Inc.
6.000%, 09/01/21......................................... 92 97,344
PulteGroup, Inc.
4.250%, 03/01/21......................................... 500 498,800
# 5.000%, 01/15/27......................................... 1,000 925,000
QEP Resources, Inc.
5.375%, 10/01/22......................................... 750 738,750
# 5.625%, 03/01/26......................................... 500 470,625
QUALCOMM, Inc.
3.450%, 05/20/25......................................... 1,631 1,565,375
Quest Diagnostics, Inc.
3.500%, 03/30/25......................................... 4 3,817
Radian Group, Inc.
7.000%, 03/15/21......................................... 96 101,400
4.500%, 10/01/24......................................... 1,200 1,155,000
Range Resources Corp.
# 4.875%, 05/15/25......................................... 805 746,638
Raytheon Co.
3.125%, 10/15/20......................................... 47 46,976
2.500%, 12/15/22......................................... 16 15,432
Reinsurance Group of America, Inc.
5.000%, 06/01/21......................................... 11 11,379
4.700%, 09/15/23......................................... 45 46,231
3.950%, 09/15/26......................................... 111 106,672
Republic Services, Inc.
5.500%, 09/15/19......................................... 2 2,041
106
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
3.550%, 06/01/22......................................... 52 $ 51,830
Reynolds American, Inc.
6.875%, 05/01/20......................................... 47 49,311
Rockwell Automation, Inc.
2.875%, 03/01/25......................................... 67 63,075
Roper Technologies, Inc.
3.000%, 12/15/20......................................... 15 14,859
Royal Caribbean Cruises, Ltd.
3.700%, 03/15/28......................................... 1,000 917,677
Ryder System, Inc.
2.450%, 09/03/19......................................... 1 994
SCANA Corp.
4.125%, 02/01/22......................................... 23 22,684
Sealed Air Corp.
W 4.875%, 12/01/22......................................... 1,180 1,168,200
Sempra Energy
4.050%, 12/01/23......................................... 49 49,057
3.550%, 06/15/24......................................... 76 74,124
Sherwin-Williams Co. (The)
3.450%, 08/01/25......................................... 53 50,421
Southern Co. (The)
3.250%, 07/01/26......................................... 556 515,607
Southern Power Co.
4.150%, 12/01/25......................................... 1,017 995,062
1.850%, 06/20/26......................................... EUR 1,200 1,384,927
Southwest Airlines Co.
2.650%, 11/05/20......................................... 60 59,272
3.000%, 11/15/26......................................... 107 97,925
Spirit AeroSystems, Inc.
4.600%, 06/15/28......................................... 2,000 1,961,105
StanCorp Financial Group, Inc.
5.000%, 08/15/22......................................... 37 38,077
Starbucks Corp.
3.850%, 10/01/23......................................... 14 14,076
State Street Corp.
1.950%, 05/19/21......................................... 28 27,028
3.300%, 12/16/24......................................... 163 158,216
3.550%, 08/18/25......................................... 96 93,785
Stryker Corp.
2.625%, 03/15/21......................................... 10 9,817
3.375%, 05/15/24......................................... 6 5,868
3.375%, 11/01/25......................................... 109 103,544
SunTrust Banks, Inc.
2.900%, 03/03/21......................................... 40 39,412
Sysco Corp.
2.600%, 10/01/20......................................... 35 34,499
3.300%, 07/15/26......................................... 23 21,526
Tapestry, Inc.
4.250%, 04/01/25......................................... 1,196 1,173,368
Target Corp.
2.900%, 01/15/22......................................... 42 41,511
2.500%, 04/15/26......................................... 52 47,556
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
TD Ameritrade Holding Corp.
5.600%, 12/01/19......................................... 2 $ 2,052
2.950%, 04/01/22......................................... 21 20,523
3.625%, 04/01/25......................................... 86 83,664
Texas Instruments, Inc.
2.250%, 05/01/23......................................... 8 7,577
Thermo Fisher Scientific, Inc.
2.000%, 04/15/25......................................... EUR 1,000 1,180,842
1.450%, 03/16/27......................................... EUR 1,000 1,115,208
TJX Cos., Inc. (The)
2.250%, 09/15/26......................................... 600 535,442
T-Mobile USA, Inc.
4.000%, 04/15/22......................................... 800 790,000
Toll Brothers Finance Corp.
4.875%, 03/15/27......................................... 500 461,250
4.350%, 02/15/28......................................... 800 707,000
Total System Services, Inc.
4.800%, 04/01/26......................................... 69 70,283
Toyota Motor Credit Corp.
3.300%, 01/12/22......................................... 30 29,945
2.625%, 01/10/23......................................... 75 72,391
3.400%, 04/14/25......................................... 3,000 2,936,174
TRI Pointe Group, Inc. / TRI Pointe Homes, Inc.
5.875%, 06/15/24......................................... 1,300 1,215,500
Tyson Foods, Inc.
4.500%, 06/15/22......................................... 65 66,465
Under Armour, Inc.
# 3.250%, 06/15/26......................................... 1,250 1,100,034
Union Pacific Corp.
2.250%, 02/15/19......................................... 4 3,997
2.750%, 04/15/23......................................... 7 6,734
3.250%, 01/15/25......................................... 111 106,893
United Continental Holdings, Inc.
# 4.250%, 10/01/22......................................... 1,400 1,373,750
United Technologies Corp.
3.100%, 06/01/22......................................... 2 1,963
7.500%, 09/15/29......................................... 7 8,782
UnitedHealth Group, Inc.
2.750%, 02/15/23......................................... 101 97,587
2.875%, 03/15/23......................................... 67 65,064
3.750%, 07/15/25......................................... 137 135,691
Unum Group
4.000%, 03/15/24......................................... 734 723,373
3.875%, 11/05/25......................................... 23 21,943
US Bancorp
2.350%, 01/29/21......................................... 9 8,808
Valero Energy Corp.
3.400%, 09/15/26......................................... 1,046 967,064
VeriSign, Inc.
5.250%, 04/01/25......................................... 1,557 1,553,107
Verizon Communications, Inc.
3.500%, 11/01/24......................................... 14 13,693
107
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
3.376%, 02/15/25......................................... 194 $ 187,319
2.625%, 08/15/26......................................... 24 21,531
1.375%, 10/27/26......................................... EUR 1,500 1,675,020
Viacom, Inc.
2.750%, 12/15/19......................................... 3 2,974
4.500%, 03/01/21......................................... 22 22,339
4.250%, 09/01/23......................................... 7 6,990
# 3.875%, 04/01/24......................................... 57 55,483
Visa, Inc.
3.150%, 12/14/25......................................... 170 163,460
Walgreen Co.
3.100%, 09/15/22......................................... 80 77,863
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21......................................... 150 148,244
3.450%, 06/01/26......................................... 35 32,374
2.125%, 11/20/26......................................... EUR 1,700 1,972,241
Wallmart, Inc.
3.300%, 04/22/24......................................... 78 77,453
2.550%, 04/08/26......................................... EUR 1,300 1,638,221
4.875%, 09/21/29......................................... EUR 1,300 1,999,693
Walmart, Inc.
5.750%, 12/19/30......................................... GBP 2,000 3,491,931
Walt Disney Co. (The)
3.150%, 09/17/25......................................... 75 72,309
Warner Media LLC
4.750%, 03/29/21......................................... 13 13,341
4.000%, 01/15/22......................................... 13 13,094
3.550%, 06/01/24......................................... 52 50,305
3.600%, 07/15/25......................................... 998 944,542
3.800%, 02/15/27......................................... 653 611,371
Waste Management, Inc.
4.600%, 03/01/21......................................... 21 21,519
3.500%, 05/15/24......................................... 58 56,672
3.125%, 03/01/25......................................... 40 38,341
WEC Energy Group, Inc.
2.450%, 06/15/20......................................... 19 18,733
3.550%, 06/15/25......................................... 52 50,969
Wells Fargo & Co.
2.600%, 07/22/20......................................... 3 2,961
3.500%, 03/08/22......................................... 102 101,000
3.000%, 02/19/25......................................... 190 177,788
3.000%, 04/22/26......................................... 32 29,494
2.000%, 04/27/26......................................... EUR 800 935,716
1.375%, 10/26/26......................................... EUR 500 556,818
Western Digital Corp.
4.750%, 02/15/26......................................... 1,195 1,103,881
Western Gas Partners L.P.
4.000%, 07/01/22......................................... 700 694,076
Western Union Co. (The)
5.253%, 04/01/20......................................... 27 27,582
WestRock MWV LLC
8.200%, 01/15/30......................................... 180 229,805
Whirlpool Corp.
4.700%, 06/01/22......................................... 22 22,558
FACE
AMOUNT^ VALUE+
------- ------------
(000)
UNITED STATES -- (Continued)
3.700%, 05/01/25....................................... 145 $ 138,455
Williams Cos., Inc. (The)
7.875%, 09/01/21....................................... 498 548,369
3.700%, 01/15/23....................................... 100 98,134
4.000%, 09/15/25....................................... 136 131,462
3.750%, 06/15/27....................................... 16 14,899
Wisconsin Electric Power Co.
3.100%, 06/01/25....................................... 37 35,149
Wm Wrigley Jr Co.
W 2.900%, 10/21/19....................................... 2 1,995
WR Grace & Co-Conn
W 5.125%, 10/01/21....................................... 1,010 1,017,575
Wyndham Destinations, Inc.
3.900%, 03/01/23....................................... 1,088 1,006,400
Xerox Corp.
4.070%, 03/17/22....................................... 13 12,402
3.800%, 05/15/24....................................... 50 44,243
Xilinx, Inc.
3.000%, 03/15/21....................................... 11 10,861
ZF North America Capital, Inc.
W 4.500%, 04/29/22....................................... 870 871,417
Zimmer Biomet Holdings, Inc.
3.550%, 04/01/25....................................... 731 689,609
Zoetis, Inc.
3.000%, 09/12/27....................................... 62 56,512
------------
TOTAL UNITED STATES 278,195,174
------------
TOTAL BONDS 559,693,288
------------
AGENCY OBLIGATIONS -- (2.0%)
Federal Farm Credit Bank
5.320%, 09/03/19....................................... 74 75,612
4.670%, 05/07/20....................................... 19 19,515
5.350%, 08/07/20....................................... 23 23,964
3.650%, 12/21/20....................................... 152 154,142
5.250%, 03/02/21....................................... 21 22,067
5.220%, 02/22/22....................................... 17 18,175
5.210%, 12/19/22....................................... 73 79,101
4.800%, 02/13/23....................................... 7 7,483
5.250%, 03/06/23....................................... 21 22,850
5.220%, 05/15/23....................................... 166 180,936
2.630%, 08/03/26....................................... 67 63,513
5.770%, 01/05/27....................................... 22 25,647
Federal Home Loan Bank
1.875%, 03/08/19....................................... 195 194,638
5.375%, 05/15/19....................................... 195 197,951
1.625%, 06/14/19....................................... 185 183,904
3.000%, 03/18/20....................................... 65 65,140
3.375%, 06/12/20....................................... 100 100,778
2.875%, 09/11/20....................................... 50 49,936
4.625%, 09/11/20....................................... 90 92,714
3.125%, 12/11/20....................................... 20 20,082
5.250%, 12/11/20....................................... 25 26,157
5.000%, 03/12/21....................................... 20 20,944
108
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
3.625%, 06/11/21............................................. 35 $ 35,566
5.625%, 06/11/21............................................. 130 138,483
2.375%, 09/10/21............................................. 135 132,678
3.000%, 09/10/21............................................. 110 109,938
5.000%, 12/10/21............................................. 155 164,324
2.250%, 03/11/22............................................. 35 34,129
2.500%, 03/11/22............................................. 40 39,366
5.250%, 06/10/22............................................. 30 32,267
5.750%, 06/10/22............................................. 65 71,022
2.000%, 09/09/22............................................. 55 52,919
5.375%, 09/30/22............................................. 220 238,483
5.250%, 12/09/22............................................. 50 54,198
4.750%, 03/10/23............................................. 170 181,502
3.250%, 06/09/23............................................. 120 120,780
2.500%, 12/08/23............................................. 115 111,801
2.875%, 06/14/24............................................. 55 54,238
5.375%, 08/15/24............................................. 65 72,512
2.750%, 12/13/24............................................. 880 856,849
4.375%, 03/13/26............................................. 70 74,508
5.750%, 06/12/26............................................. 140 162,557
Federal Home Loan Mortgage Corp.
6.750%, 09/15/29............................................. 216 280,277
6.750%, 03/15/31............................................. 260 344,201
6.250%, 07/15/32............................................. 243 314,914
Federal National Mortgage Association
1.500%, 06/22/20............................................. 53 51,849
1.250%, 05/06/21............................................. 58 55,651
2.125%, 04/24/26............................................. 730 675,932
1.875%, 09/24/26............................................. 1,171 1,058,335
6.250%, 05/15/29............................................. 616 768,165
FACE
AMOUNT^ VALUE+
------- ------------
(000)
7.125%, 01/15/30........................................... 75 $ 100,380
7.250%, 05/15/30........................................... 249 337,774
6.625%, 11/15/30........................................... 1,288 1,680,385
Tennessee Valley Authority
2.875%, 09/15/24........................................... 646 634,774
6.750%, 11/01/25........................................... 296 359,338
2.875%, 02/01/27........................................... 196 188,041
7.125%, 05/01/30........................................... 498 665,787
------------
TOTAL AGENCY OBLIGATIONS 11,899,172
------------
U.S. TREASURY OBLIGATIONS -- (0.2%)
U.S. Treasury Bonds
5.250%, 11/15/28........................................... 426 501,862
6.250%, 05/15/30........................................... 300 389,264
U.S. Treasury Notes
2.250%, 11/15/24........................................... 0 96
------------
TOTAL U.S. TREASURY OBLIGATIONS 891,222
------------
TOTAL INVESTMENT
SECURITIES................................................. 572,483,682
------------
SHARES
---------
SECURITIES LENDING COLLATERAL -- (2.1%)
@(S) DFA Short Term Investment Fund........................ 1,050,030 12,148,842
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $616,660,151)...................................... $584,632,524
============
As of October 31, 2018, DFA Global Core Plus Fixed Income Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ------------------ ---------------------------- ---------- --------------
USD 78,503,457 EUR 67,150,669 Citibank, N.A. 12/06/18 $2,237,209
USD 73,517,338 EUR 63,116,150 Citibank, N.A. 12/07/18 1,825,125
USD 5,209,225 AUD 7,245,644 State Street Bank and Trust 12/13/18 75,952
USD 1,786,621 EUR 1,531,623 Citibank, N.A. 01/08/19 40,819
USD 1,792,693 EUR 1,536,939 Citibank, N.A. 01/08/19 40,832
USD 2,062,727 EUR 1,780,382 Citibank, N.A. 01/08/19 33,379
USD 4,343,004 EUR 3,741,103 State Street Bank and Trust 01/08/19 78,752
USD 1,147,056 GBP 868,078 Citibank, N.A. 01/11/19 33,272
USD 2,315,484 GBP 1,769,457 Citibank, N.A. 01/11/19 45,187
USD 37,288,649 JPY 4,145,814,279 Citibank, N.A. 01/15/19 303,731
USD 13,699,749 CAD 17,740,826 State Street Bank and Trust 01/16/19 201,873
USD 5,063,195 DKK 32,663,140 Citibank, N.A. 01/18/19 66,436
USD 8,823,826 SEK 78,875,444 Citibank, N.A. 01/18/19 138,533
109
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
USD 81,744,235 GBP 62,439,397 Citibank, N.A. 01/18/19 $1,604,022
USD 43,696,231 EUR 37,699,926 State Street Bank and Trust 01/22/19 672,631
USD 1,676,333 NOK 13,833,896 Citibank, N.A. 01/23/19 28,857
-----------
TOTAL APPRECIATION $7,426,610
EUR 330,377 USD 390,168 Citibank, N.A. 12/06/18 $(14,943)
USD 889,304 GBP 697,100 Citibank, N.A. 01/11/19 (5,108)
-----------
TOTAL (DEPRECIATION) $(20,051)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $7,406,559
===========
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Bonds
Australia............................ -- $ 14,964,564 -- $ 14,964,564
Belgium.............................. -- 1,993,586 -- 1,993,586
Canada............................... -- 26,521,875 -- 26,521,875
Denmark.............................. -- 7,388,902 -- 7,388,902
Finland.............................. -- 6,281,115 -- 6,281,115
France............................... -- 39,202,007 -- 39,202,007
Germany.............................. -- 17,719,238 -- 17,719,238
Ireland.............................. -- 10,801 -- 10,801
Italy................................ -- 5,595,166 -- 5,595,166
Japan................................ -- 3,889,626 -- 3,889,626
Luxembourg........................... -- 18,411,787 -- 18,411,787
Netherlands.......................... -- 45,004,713 -- 45,004,713
Norway............................... -- 1,702,414 -- 1,702,414
Spain................................ -- 2,916,738 -- 2,916,738
Supranational Organization
Obligations........................ -- 25,696,884 -- 25,696,884
Sweden............................... -- 10,013,911 -- 10,013,911
Switzerland.......................... -- 3,684,466 -- 3,684,466
United Kingdom....................... -- 50,500,318 -- 50,500,318
United States........................ -- 278,195,177 -- 278,195,177
Agency Obligations...................... -- 11,899,172 -- 11,899,172
U.S. Treasury Obligations............... -- 891,222 -- 891,222
Securities Lending Collateral........... -- 12,148,842 -- 12,148,842
Forward Currency Contracts**............ -- 7,406,559 -- 7,406,559
-- ------------ -- ------------
TOTAL................................... -- $592,039,083 -- $592,039,083
== ============ == ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT GRADE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ------------
(000)
BONDS -- (53.9%)
AUSTRALIA -- (1.6%)
ANZ New Zealand International Ltd.
W 3.450%, 07/17/27........................................... 6,000 $ 5,665,513
Australia & New Zealand Banking Group, Ltd.
3.700%, 11/16/25........................................... 6,110 6,008,736
BHP Billiton Finance USA, Ltd.
# 2.875%, 02/24/22........................................... 1,077 1,060,219
Commonwealth Bank of Australia
2.300%, 09/06/19........................................... 558 554,450
5.000%, 03/19/20........................................... 784 802,214
2.400%, 11/02/20........................................... 3,605 3,531,176
W 2.850%, 05/18/26........................................... 22,784 20,905,459
W 3.150%, 09/19/27........................................... 890 824,986
Macquarie Bank, Ltd.
#W 3.900%, 01/15/26........................................... 24,711 24,031,041
National Australia Bank, Ltd.
2.250%, 07/01/19........................................... 1,849 1,840,404
3.375%, 01/14/26........................................... 3,000 2,856,308
#W 3.500%, 01/10/27........................................... 29,999 28,654,486
Westpac Banking Corp.
4.875%, 11/19/19........................................... 3,878 3,947,253
2.850%, 05/13/26........................................... 8,933 8,208,692
# 2.700%, 08/19/26........................................... 5,052 4,575,631
3.350%, 03/08/27........................................... 27,267 25,739,076
------------
TOTAL AUSTRALIA............................................ 139,205,644
------------
BELGIUM -- (0.3%)
Anheuser-Busch InBev Finance, Inc.
3.650%, 02/01/26........................................... 15,100 14,331,102
Anheuser-Busch InBev Worldwide, Inc.
# 4.000%, 04/13/28........................................... 14,000 13,427,816
Solvay Finance America LLC
W 4.450%, 12/03/25........................................... 865 865,162
------------
TOTAL BELGIUM.............................................. 28,624,080
------------
CANADA -- (1.2%)
Alimentation Couche-Tard, Inc.
W 3.550%, 07/26/27........................................... 2,780 2,570,254
Bank of Montreal
2.375%, 01/25/19........................................... 32 31,977
Bank of Nova Scotia (The)
4.375%, 01/13/21........................................... 2,092 2,137,040
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
Canadian Natural Resources, Ltd.
# 3.850%, 06/01/27......................................... 3,898 $ 3,700,790
Canadian Pacific Railway Co.
2.900%, 02/01/25......................................... 3,024 2,846,420
3.700%, 02/01/26......................................... 4,880 4,732,075
Enbridge, Inc.
4.000%, 10/01/23......................................... 2,898 2,893,747
# 3.500%, 06/10/24......................................... 1,280 1,235,461
# 3.700%, 07/15/27......................................... 1,000 939,790
Goldcorp, Inc.
3.625%, 06/09/21......................................... 3,975 3,951,404
ITC Holdings Corp.
3.650%, 06/15/24......................................... 9,714 9,498,681
Nutrien, Ltd.
3.625%, 03/15/24......................................... 3,460 3,339,144
3.000%, 04/01/25......................................... 3,460 3,180,825
Province of British Columbia Canada
# 6.500%, 01/15/26......................................... 7,918 9,324,783
Province of Ontario Canada
3.150%, 06/02/22......................................... CAD 19,927 15,331,431
Rogers Communications, Inc.
3.000%, 03/15/23......................................... 1,765 1,711,101
Spectra Energy Partners L.P.
4.750%, 03/15/24......................................... 1,915 1,944,073
Suncor Energy, Inc.
3.600%, 12/01/24......................................... 7,406 7,273,259
Thomson Reuters Corp.
4.300%, 11/23/23......................................... 5,120 5,164,121
3.850%, 09/29/24......................................... 203 196,423
Toronto-Dominion Bank (The)
2.125%, 07/02/19......................................... 3,660 3,641,489
2.125%, 04/07/21......................................... 7,407 7,198,641
1.994%, 03/23/22......................................... CAD 4,942 3,624,784
Toyota Credit Canada, Inc.
2.020%, 02/28/22......................................... CAD 4,942 3,613,071
TransCanada PipeLines, Ltd.
3.800%, 10/01/20......................................... 780 786,221
# 2.500%, 08/01/22......................................... 1,050 1,003,470
4.875%, 01/15/26......................................... 5,560 5,730,007
------------
TOTAL CANADA............................................. 107,600,482
------------
DENMARK -- (0.4%)
Danske Bank A.S.
W 2.750%, 09/17/20......................................... 1,058 1,038,751
W 2.800%, 03/10/21......................................... 6,530 6,354,675
W 4.375%, 06/12/28......................................... 2,000 1,900,374
111
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
DENMARK -- (Continued)
Kommunekredit
0.000%, 09/08/22......................................... EUR 21,894 $24,763,380
-----------
TOTAL DENMARK............................................... 34,057,180
-----------
FRANCE -- (0.7%)
Airbus SE
W 3.150%, 04/10/27......................................... 7,500 7,098,046
BNP Paribas SA
2.450%, 03/17/19......................................... 592 591,005
# 3.250%, 03/03/23......................................... 1,920 1,876,659
BPCE SA
4.000%, 04/15/24......................................... 10,914 10,903,632
Credit Agricole SA
W 2.750%, 06/10/20......................................... 1,125 1,112,411
3.875%, 04/15/24......................................... 8,591 8,529,333
Electricite de France SA
W 3.625%, 10/13/25......................................... 3,460 3,303,976
Pernod Ricard SA
W 4.450%, 01/15/22......................................... 6,474 6,595,267
#W 3.250%, 06/08/26......................................... 14,827 14,027,889
Total Capital International SA
2.100%, 06/19/19......................................... 2,226 2,215,555
3.750%, 04/10/24......................................... 9,600 9,630,974
-----------
TOTAL FRANCE................................................ 65,884,747
-----------
GERMANY -- (0.9%)
Bayer U.S. Finance II LLC
W 1.850%, 11/15/18......................................... 2,925 2,923,887
W 5.500%, 08/15/25......................................... 2,240 2,346,873
Bayer U.S. Finance LLC
W 2.375%, 10/08/19......................................... 4,739 4,701,458
W 3.375%, 10/08/24......................................... 12,544 11,908,789
BMW US Capital LLC
#W 2.800%, 04/11/26......................................... 18,030 16,537,333
W 3.300%, 04/06/27......................................... 4,942 4,630,481
Daimler Finance North
America LLC
W 3.250%, 08/01/24......................................... 2,072 1,985,848
8.500%, 01/18/31......................................... 10,896 14,860,509
Deutsche Bank AG
2.500%, 02/13/19......................................... 2,405 2,399,334
2.500%, 02/13/19......................................... 1,058 1,055,516
2.950%, 08/20/20......................................... 136 133,279
3.125%, 01/13/21......................................... 1,977 1,931,671
3.700%, 05/30/24......................................... 9,641 8,995,898
Siemens Financieringsmaatschappij NV
W 6.125%, 08/17/26......................................... 3,821 4,362,278
FACE
AMOUNT^ VALUE+
------- -----------
(000)
GERMANY -- (Continued)
Volkswagen Group of America Finance LLC
W 2.400%, 05/22/20......................................... 699 $ 686,159
-----------
TOTAL GERMANY 79,459,313
-----------
IRELAND -- (0.1%)
CRH America Finance, Inc.
W 3.950%, 04/04/28......................................... 1,520 1,438,571
Iberdrola Finance Ireland DAC
W 5.000%, 09/11/19......................................... 713 723,795
Johnson Controls International P.L.C.
3.625%, 07/02/24......................................... 983 965,259
Perrigo Finance Un, Ltd. Co.
3.500%, 03/15/21......................................... 843 832,369
Perrigo Finance Unlimited Co.
# 3.500%, 12/15/21......................................... 1,594 1,558,439
-----------
TOTAL IRELAND 5,518,433
-----------
ITALY -- (0.1%)
Enel Finance International NV
W 3.500%, 04/06/28......................................... 2,800 2,353,309
W 4.875%, 06/14/29......................................... 10,000 9,352,307
-----------
TOTAL ITALY 11,705,616
-----------
JAPAN -- (1.1%)
American Honda Finance
Corp.
2.300%, 09/09/26......................................... 11,110 9,869,542
Beam Suntory, Inc.
3.250%, 06/15/23......................................... 1,743 1,683,100
Japan Finance Organization for Municipalities
2.125%, 03/06/19......................................... 528 526,611
Mitsubishi UFJ Financial Group, Inc.
3.850%, 03/01/26......................................... 12,000 11,727,693
3.677%, 02/22/27......................................... 4,465 4,306,592
Mizuho Financial Group, Inc.
W 2.632%, 04/12/21......................................... 2,000 1,952,671
2.839%, 09/13/26......................................... 18,000 16,305,926
MUFG Bank, Ltd.
3.250%, 09/08/24......................................... 3,237 3,122,285
Nissan Motor Acceptance Corp.
W 2.125%, 03/03/20......................................... 1,680 1,650,639
Nomura Holdings, Inc.
# 6.700%, 03/04/20......................................... 1,394 1,453,486
Sumitomo Mitsui Banking Corp.
3.950%, 07/19/23......................................... 5,931 5,964,125
112
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
JAPAN -- (Continued)
Sumitomo Mitsui Financial Group, Inc.
3.784%, 03/09/26............................................ 4,942 $ 4,812,589
Toyota Motor Credit Corp.
2.100%, 01/17/19............................................ 892 891,295
3.200%, 01/11/27............................................ 26,976 25,578,046
3.050%, 01/11/28............................................ 11,550 10,733,363
------------
TOTAL JAPAN 100,577,963
------------
LUXEMBOURG -- (0.4%)
Allergan Funding SCS
3.450%, 03/15/22............................................ 12,881 12,669,670
European Financial Stability Facility
0.000%, 11/17/22............................................ EUR 19,769 22,416,667
------------
TOTAL LUXEMBOURG 35,086,337
------------
NETHERLANDS -- (1.4%)
Ahold Finance USA LLC
6.875%, 05/01/29............................................ 704 810,691
Cooperatieve Rabobank UA
3.875%, 02/08/22............................................ 4,090 4,112,127
# 3.375%, 05/21/25............................................ 17,522 16,968,809
Heineken NV
W 2.750%, 04/01/23............................................ 2,219 2,149,396
ING Bank NV
W 2.050%, 08/15/21............................................ 5,000 4,782,989
ING Groep NV
# 3.950%, 03/29/27............................................ 10,000 9,478,417
Shell International Finance BV
2.250%, 11/10/20............................................ 4,646 4,561,536
3.400%, 08/12/23............................................ 10,559 10,507,941
3.250%, 05/11/25............................................ 31,117 29,996,005
2.875%, 05/10/26............................................ 29,810 27,863,279
2.500%, 09/12/26............................................ 11,169 10,140,535
------------
TOTAL NETHERLANDS 121,371,725
------------
NORWAY -- (0.1%)
Equinor ASA
# 2.650%, 01/15/24............................................ 6,950 6,628,751
Statoil ASA
2.450%, 01/17/23............................................ 3,586 3,444,842
------------
TOTAL NORWAY 10,073,593
------------
SPAIN -- (0.7%)
Banco Santander SA
3.800%, 02/23/28............................................ 7,000 6,220,370
Santander Holdings USA, Inc.
4.500%, 07/17/25............................................ 17,590 17,202,852
4.400%, 07/13/27............................................ 2,000 1,866,961
Santander UK P.L.C.
# 4.000%, 03/13/24............................................ 8,788 8,743,167
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SPAIN -- (Continued)
Telefonica Emisiones SAU
5.462%, 02/16/21............................................ 829 $ 861,339
4.570%, 04/27/23............................................ 7,532 7,696,558
Telefonica Europe BV
# 8.250%, 09/15/30............................................ 13,567 17,129,229
-----------
TOTAL SPAIN 59,720,476
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.0%)
Inter-American Development Bank
6.750%, 07/15/27............................................ 1,942 2,366,162
-----------
SWEDEN -- (1.1%)
Kommuninvest I Sverige AB
0.250%, 06/01/22............................................ SEK 296,540 32,262,835
Svensk Exportkredit AB
1.875%, 06/17/19............................................ 1,164 1,157,613
Svenska Handelsbanken AB
2.500%, 01/25/19............................................ 578 577,665
0.250%, 02/28/22............................................ EUR 9,390 10,639,426
Sweden Government Bond
3.500%, 06/01/22............................................ SEK 419,105 51,782,228
-----------
TOTAL SWEDEN 96,419,767
-----------
SWITZERLAND -- (0.8%)
ABB Finance USA, Inc.
2.875%, 05/08/22............................................ 3,884 3,798,540
Credit Suisse AG
2.300%, 05/28/19............................................ 162 161,476
3.000%, 10/29/21............................................ 3,011 2,964,085
3.625%, 09/09/24............................................ 16,929 16,584,234
Novartis Capital Corp.
3.100%, 05/17/27............................................ 10,983 10,411,399
Roche Holdings, Inc.
W 2.625%, 05/15/26............................................ 1,000 922,823
#W 2.375%, 01/28/27............................................ 14,000 12,565,078
UBS AG
2.375%, 08/14/19............................................ 148 147,181
UBS Group Funding Switzerland AG
W 4.125%, 09/24/25............................................ 20,990 20,652,305
-----------
TOTAL SWITZERLAND 68,207,121
-----------
UNITED KINGDOM -- (2.3%)
Aon P.L.C.
4.000%, 11/27/23............................................ 4,000 4,022,038
AstraZeneca P.L.C.
2.375%, 11/16/20............................................ 2,916 2,862,737
3.375%, 11/16/25............................................ 8,259 7,846,924
Barclays P.L.C.
2.750%, 11/08/19............................................ 626 621,632
3.650%, 03/16/25............................................ 14,330 13,328,548
113
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
UNITED KINGDOM -- (Continued)
4.375%, 01/12/26............................................ 9,970 $ 9,554,819
BP Capital Markets P.L.C.
3.245%, 5/06/22............................................. 2,848 2,819,749
3.535%, 11/04/24............................................ 2,240 2,205,627
3.119%, 05/04/26............................................ 5,915 5,566,421
3.017%, 01/16/27............................................ 11,773 10,898,683
GlaxoSmithKline Capital, Inc.
# 3.875%, 05/15/28............................................ 7,700 7,691,051
HSBC Holdings P.L.C.
3.400%, 03/08/21............................................ 4,100 4,079,947
4.000%, 03/30/22............................................ 5,009 5,054,432
4.300%, 03/08/26............................................ 12,270 12,103,652
3.900%, 05/25/26............................................ 12,666 12,171,142
HSBC USA, Inc.
2.375%, 11/13/19............................................ 317 314,600
# 3.500%, 06/23/24............................................ 12,593 12,259,635
Janus Capital Group, Inc.
4.875%, 08/01/25............................................ 9,046 9,091,262
Lloyds Banking Group P.L.C.
3.750%, 01/11/27............................................ 10,250 9,485,399
4.375%, 03/22/28............................................ 4,000 3,822,931
Mead Johnson Nutrition Co.
# 4.125%, 11/15/25............................................ 5,931 5,940,494
Nationwide Building Society
W 3.900%, 07/21/25............................................ 4,600 4,493,064
Rolls-Royce P.L.C.
W 3.625%, 10/14/25............................................ 20,258 19,566,357
Royal Bank of Scotland Group P.L.C.
4.800%, 04/05/26............................................ 4,800 4,732,113
Santander UK P.L.C.
2.375%, 03/16/20............................................ 330 325,895
Standard Chartered P.L.C.
#W 4.050%, 04/12/26............................................ 4,380 4,176,869
TechnipFMC P.L.C.
3.450%, 10/01/22............................................ 4,235 4,113,864
Unilever Capital Corp.
2.000%, 07/28/26............................................ 1,900 1,655,608
Vodafone Group P.L.C.
# 4.375%, 03/16/21............................................ 902 920,401
2.500%, 09/26/22............................................ 9,656 9,183,320
7.875%, 02/15/30............................................ 7,107 8,713,659
------------
TOTAL UNITED KINGDOM 199,622,873
------------
UNITED STATES -- (40.7%)
21st Century Fox America, Inc.
3.700%, 09/15/24............................................ 14,364 14,191,601
3M Co.
2.875%, 10/15/27............................................ 14,390 13,515,065
Abbott Laboratories
2.800%, 09/15/20............................................ 130 128,890
2.950%, 03/15/25............................................ 12,469 11,854,590
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
AbbVie, Inc.
2.900%, 11/06/22............................................ 2,800 $ 2,710,688
3.600%, 05/14/25............................................ 18,850 17,986,116
4.250%, 11/14/28............................................ 5,000 4,820,468
Activision Blizzard, Inc.
3.400%, 06/15/27............................................ 4,448 4,128,274
Adobe, Inc.
3.250%, 02/01/25............................................ 1,920 1,856,965
Advance Auto Parts, Inc.
4.500%, 12/01/23............................................ 1,186 1,207,295
Aetna, Inc.
2.200%, 03/15/19............................................ 339 338,299
2.750%, 11/15/22............................................ 8,320 7,978,066
3.500%, 11/15/24............................................ 5,359 5,207,947
Affiliated Managers Group, Inc.
3.500%, 08/01/25............................................ 3,410 3,231,834
Aflac, Inc.
3.250%, 03/17/25............................................ 11,007 10,587,563
Agilent Technologies, Inc.
5.000%, 07/15/20............................................ 17 17,439
Air Products & Chemicals, Inc.
# 2.750%, 02/03/23............................................ 976 944,179
Alabama Power Co.
2.800%, 04/01/25............................................ 2,560 2,391,132
Albemarle Corp.
4.150%, 12/01/24............................................ 7,365 7,364,280
Allergan Finance LLC
3.250%, 10/01/22............................................ 7,562 7,341,010
Allergan Funding SCS
3.800%, 03/15/25............................................ 2,471 2,381,154
Allstate Corp. (The)
3.150%, 06/15/23............................................ 5,073 4,981,914
Alphabet, Inc.
3.375%, 02/25/24............................................ 4,494 4,482,324
1.998%, 08/15/26............................................ 7,385 6,561,511
Altria Group, Inc.
4.750%, 05/05/21............................................ 208 213,923
2.850%, 08/09/22............................................ 3,950 3,838,913
Amazon.com, Inc.
# 3.800%, 12/05/24............................................ 4,864 4,887,479
Ameren Corp.
2.700%, 11/15/20............................................ 988 973,408
3.650%, 02/15/26............................................ 10,631 10,256,161
American Express Credit Corp.
# 2.250%, 05/05/21............................................ 148 143,926
# 3.300%, 05/03/27............................................ 16,929 16,135,987
American International Group, Inc.
3.300%, 03/01/21............................................ 1,483 1,467,987
4.875%, 06/01/22............................................ 1,425 1,466,227
4.125%, 02/15/24............................................ 10,069 10,008,376
3.750%, 07/10/25............................................ 9,247 8,829,545
114
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
3.900%, 04/01/26....................................... 6,429 $ 6,125,219
# 4.200%, 04/01/28....................................... 2,100 2,016,692
American Water Capital Corp.
3.850%, 03/01/24....................................... 2,115 2,125,288
# 2.950%, 09/01/27....................................... 584 540,362
Ameriprise Financial, Inc.
5.300%, 03/15/20....................................... 129 132,579
4.000%, 10/15/23....................................... 3,722 3,756,168
2.875%, 09/15/26....................................... 6,175 5,638,916
AmerisourceBergen Corp.
3.400%, 05/15/24....................................... 1,223 1,183,711
# 3.450%, 12/15/27....................................... 3,000 2,776,884
Amgen, Inc.
4.100%, 06/15/21....................................... 6,993 7,089,952
3.625%, 05/22/24....................................... 6,399 6,304,311
3.125%, 05/01/25....................................... 3,200 3,028,214
2.600%, 08/19/26....................................... 9,147 8,186,012
Analog Devices, Inc.
3.900%, 12/15/25....................................... 4,965 4,857,963
3.500%, 12/05/26....................................... 1,977 1,865,214
Anheuser-Busch InBev Finance, Inc.
2.625%, 01/17/23....................................... 3,471 3,287,480
Anheuser-Busch InBev Worldwide, Inc.
4.375%, 02/15/21....................................... 385 391,487
2.500%, 07/15/22....................................... 2,011 1,917,164
Anthem, Inc.
4.350%, 08/15/20....................................... 1,087 1,105,115
3.125%, 05/15/22....................................... 2,177 2,127,981
3.500%, 08/15/24....................................... 4,986 4,833,873
3.650%, 12/01/27....................................... 4,000 3,739,627
4.101%, 03/01/28....................................... 16,600 16,051,543
Aon Corp.
5.000%, 09/30/20....................................... 810 833,613
Aon P.L.C.
3.500%, 06/14/24....................................... 9,147 8,891,688
Apache Corp.
3.250%, 04/15/22....................................... 6,399 6,263,031
Apple, Inc.
2.250%, 02/23/21....................................... 4,942 4,844,131
2.400%, 05/03/23....................................... 7,328 6,986,976
# 3.450%, 05/06/24....................................... 19,459 19,253,782
2.500%, 02/09/25....................................... 4,560 4,255,084
3.250%, 02/23/26....................................... 19,942 19,200,452
# 2.450%, 08/04/26....................................... 17,090 15,566,473
3.350%, 02/09/27....................................... 33,607 32,376,230
3.000%, 06/20/27....................................... 11,436 10,703,198
3.000%, 11/13/27....................................... 26,919 25,132,237
Applied Materials, Inc.
4.300%, 06/15/21....................................... 640 655,070
3.300%, 04/01/27....................................... 6,750 6,369,568
Archer-Daniels-Midland Co.
2.500%, 08/11/26....................................... 4,942 4,457,962
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Arizona Public Service Co.
8.750%, 03/01/19....................................... 210 $ 213,934
3.150%, 05/15/25....................................... 9,580 9,203,025
Arrow Electronics, Inc.....................................
3.875%, 01/12/28....................................... 12,338 11,262,800
Associated Banc-Corp
2.750%, 11/15/19....................................... 53 52,698
Assurant, Inc.
4.000%, 03/15/23....................................... 6,399 6,327,643
AT&T, Inc.
3.000%, 02/15/22....................................... 1,325 1,293,749
3.800%, 03/15/22....................................... 5,056 5,049,827
3.950%, 01/15/25....................................... 9,885 9,592,765
3.400%, 05/15/25....................................... 23,617 22,174,795
Autodesk, Inc..............................................
3.125%, 06/15/20....................................... 372 370,457
4.375%, 06/15/25....................................... 3,015 2,987,568
3.500%, 06/15/27....................................... 8,699 7,994,536
Automatic Data Processing, Inc.
3.375%, 09/15/25....................................... 12,356 12,225,996
AutoZone, Inc.
2.875%, 01/15/23....................................... 11,988 11,513,405
# 3.125%, 07/15/23....................................... 1,270 1,230,736
3.250%, 04/15/25....................................... 6,203 5,827,374
3.125%, 04/21/26....................................... 988 908,468
Avnet, Inc.
# 4.625%, 04/15/26....................................... 5,560 5,409,228
AXIS Specialty Finance P.L.C...............................
4.000%, 12/06/27....................................... 20,320 19,038,093
BAE Systems Holdings, Inc.
W 2.850%, 12/15/20....................................... 1,239 1,226,101
Baker Hughes a GE Co. LLC..................................
3.200%, 08/15/21....................................... 183 181,349
Baker Hughes a GE Co. LLC / Baker Hughes
Co-Obligor, Inc.
3.337%, 12/15/27....................................... 1,900 1,735,621
Baltimore Gas & Electric Co.
2.400%, 08/15/26....................................... 692 620,720
Bank of America Corp.
4.000%, 04/01/24....................................... 6,120 6,110,531
3.875%, 08/01/25....................................... 2,350 2,316,290
(r) 3.419%, 12/20/28....................................... 15,341 14,149,465
Bank of New York Mellon Corp. (The)
5.450%, 05/15/19....................................... 386 391,243
3.650%, 02/04/24....................................... 10,524 10,464,539
3.000%, 02/24/25....................................... 2,560 2,428,914
2.800%, 05/04/26....................................... 6,436 5,951,470
Baxalta, Inc...............................................
2.875%, 06/23/20....................................... 141 139,436
Baxter International, Inc.
2.600%, 08/15/26....................................... 4,201 3,777,485
115
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Bayer U.S. Finance II LLC
W 2.125%, 07/15/19....................................... 261 $ 259,013
BB&T Corp.
3.700%, 06/05/25....................................... 14,345 14,194,304
Bemis Co., Inc.
4.500%, 10/15/21....................................... 640 653,179
Berkshire Hathaway, Inc.
# 3.750%, 08/15/21....................................... 2,560 2,602,512
3.400%, 01/31/22....................................... 3,200 3,208,698
# 3.125%, 03/15/26....................................... 33,128 31,547,952
Biogen, Inc.
2.900%, 09/15/20....................................... 14,678 14,537,713
4.050%, 09/15/25....................................... 8,950 8,874,182
BlackRock, Inc.
3.200%, 03/15/27....................................... 24,563 23,394,522
Boeing Co. (The)
8.750%, 08/15/21....................................... 977 1,117,864
2.500%, 03/01/25....................................... 6,399 5,940,619
2.600%, 10/30/25....................................... 3,568 3,312,703
Booking Holdings, Inc.
3.600%, 06/01/26....................................... 10,484 10,014,494
Boston Scientific Corp.
# 4.125%, 10/01/23....................................... 1,472 1,485,670
Bristol-Myers Squibb Co.
2.000%, 08/01/22....................................... 4,244 4,044,635
Brown & Brown, Inc.
4.200%, 09/15/24....................................... 4,660 4,581,626
Buckeye Partners L.P.
4.150%, 07/01/23....................................... 1,920 1,871,223
3.950%, 12/01/26....................................... 7,413 6,770,937
Bunge, Ltd. Finance Corp.
3.750%, 09/25/27....................................... 14,400 13,098,985
Burlington Northern Santa Fe LLC
# 3.000%, 04/01/25....................................... 4,279 4,108,318
7.000%, 12/15/25....................................... 858 1,017,772
CA, Inc.
4.700%, 03/15/27....................................... 17,502 16,958,912
Campbell Soup Co.
# 4.250%, 04/15/21....................................... 1,024 1,037,639
2.500%, 08/02/22....................................... 1,939 1,830,007
3.300%, 03/19/25....................................... 4,045 3,685,788
# 4.150%, 03/15/28....................................... 9,628 8,860,531
Capital One Bank USA NA
2.300%, 06/05/19....................................... 529 526,912
Capital One Financial Corp.
4.750%, 07/15/21....................................... 1,956 2,012,870
3.750%, 04/24/24....................................... 4,607 4,485,923
3.200%, 02/05/25....................................... 2,700 2,522,890
3.750%, 03/09/27....................................... 7,165 6,650,098
# 3.800%, 01/31/28....................................... 3,000 2,764,631
Cardinal Health, Inc.
4.625%, 12/15/20....................................... 640 653,439
3.200%, 06/15/22....................................... 3,840 3,737,067
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
# 3.410%, 06/15/27....................................... 12,718 $11,525,859
Caterpillar, Inc.
# 2.600%, 06/26/22....................................... 2,531 2,456,807
3.400%, 05/15/24....................................... 1,823 1,805,220
CBS Corp.
3.375%, 03/01/22....................................... 2,276 2,240,129
3.500%, 01/15/25....................................... 2,364 2,232,170
2.900%, 01/15/27....................................... 26,061 22,858,275
7.875%, 07/30/30....................................... 1,137 1,395,865
Celgene Corp.
4.000%, 08/15/23....................................... 8,237 8,224,409
3.625%, 05/15/24....................................... 4,433 4,305,605
CenterPoint Energy
Resources Corp.
4.500%, 01/15/21....................................... 1,549 1,575,765
4.000%, 04/01/28....................................... 4,800 4,728,615
Charles Schwab Corp. (The)
3.000%, 03/10/25....................................... 12,777 12,131,316
Chevron Corp.
2.954%, 05/16/26....................................... 11,356 10,691,541
Chubb INA Holdings, Inc.
2.875%, 11/03/22....................................... 1,852 1,808,702
2.700%, 03/13/23....................................... 2,965 2,857,430
3.350%, 05/15/24....................................... 5,120 5,024,376
Cigna Corp.
4.000%, 02/15/22....................................... 743 748,013
Cincinnati Financial Corp.
6.920%, 05/15/28....................................... 4,000 4,795,206
Cisco Systems, Inc.
3.625%, 03/04/24....................................... 1,920 1,927,920
Citigroup, Inc.
4.500%, 01/14/22....................................... 1,472 1,503,612
3.875%, 10/25/23....................................... 2,843 2,838,430
3.750%, 06/16/24....................................... 2,560 2,519,870
3.300%, 04/27/25....................................... 7,679 7,318,008
Clorox Co. (The)
3.500%, 12/15/24....................................... 3,200 3,151,627
3.100%, 10/01/27....................................... 5,077 4,703,477
# 3.900%, 05/15/28....................................... 16,112 15,924,716
CME Group, Inc.
3.000%, 03/15/25....................................... 2,833 2,704,524
CMS Energy Corp.
3.875%, 03/01/24....................................... 1,725 1,714,666
3.600%, 11/15/25....................................... 3,163 3,057,543
3.000%, 05/15/26....................................... 4,942 4,605,174
CNA Financial Corp.
4.500%, 03/01/26....................................... 16,457 16,465,649
Coca-Cola Co. (The)
1.875%, 10/27/20....................................... 6,447 6,301,586
3.200%, 11/01/23....................................... 13,789 13,629,021
# 2.250%, 09/01/26....................................... 12,603 11,299,418
# 2.900%, 05/25/27....................................... 23,535 22,014,010
116
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Comcast Cable Communications Holdings, Inc.
9.455%, 11/15/22....................................... 2,956 $ 3,570,729
Comcast Corp.
3.600%, 03/01/24....................................... 4,324 4,279,901
3.375%, 08/15/25....................................... 4,946 4,758,268
3.150%, 03/01/26....................................... 9,198 8,602,756
# 3.150%, 02/15/28....................................... 5,000 4,594,450
7.050%, 03/15/33....................................... 2,200 2,709,173
Conagra Brands, Inc.
3.200%, 01/25/23....................................... 4,643 4,485,404
ConocoPhillips Co.
# 4.950%, 03/15/26....................................... 14,827 15,741,054
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24....................................... 1,280 1,246,881
Corning, Inc.
3.700%, 11/15/23....................................... 2,710 2,657,155
Costco Wholesale Corp.
3.000%, 05/18/27....................................... 19,300 18,133,391
Cox Communications, Inc.
#W 3.850%, 02/01/25....................................... 6,790 6,558,382
W 3.500%, 08/15/27....................................... 1,200 1,104,543
CSX Corp.
4.250%, 06/01/21....................................... 748 761,948
CVS Health Corp.
2.800%, 07/20/20....................................... 1,913 1,892,767
2.125%, 06/01/21....................................... 1,285 1,238,573
3.375%, 08/12/24....................................... 14,857 14,244,803
3.875%, 07/20/25....................................... 13,408 13,049,693
Danaher Corp.
3.350%, 09/15/25....................................... 1,483 1,442,763
Deere & Co.
5.375%, 10/16/29....................................... 467 517,704
Diageo Investment Corp.
2.875%, 05/11/22....................................... 131 128,329
Discovery Communications LLC
W 2.800%, 06/15/20....................................... 544 537,160
W 3.500%, 06/15/22....................................... 7,694 7,539,274
3.250%, 04/01/23....................................... 640 618,031
#W 3.900%, 11/15/24....................................... 5,376 5,206,855
3.450%, 03/15/25....................................... 5,671 5,326,310
Dollar General Corp.
3.250%, 04/15/23....................................... 6,733 6,539,758
4.150%, 11/01/25....................................... 1,604 1,585,970
Dollar Tree, Inc.
4.200%, 05/15/28....................................... 6,440 6,093,199
Dominion Energy Gas Holdings LLC
# 2.800%, 11/15/20....................................... 7,166 7,072,842
3.600%, 12/15/24....................................... 3,200 3,129,600
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Dominion Energy, Inc.
3.625%, 12/01/24....................................... 1,280 $ 1,254,400
3.900%, 10/01/25....................................... 10,013 9,769,140
Dow Chemical Co. (The)
3.000%, 11/15/22....................................... 1,694 1,645,186
# 3.500%, 10/01/24....................................... 7,452 7,228,644
DTE Energy Co.
2.400%, 12/01/19....................................... 2,145 2,122,871
3.850%, 12/01/23....................................... 960 956,378
2.850%, 10/01/26....................................... 1,000 904,768
6.375%, 04/15/33....................................... 2,305 2,684,532
Duke Energy Corp.
3.050%, 08/15/22....................................... 11,244 10,989,567
3.750%, 04/15/24....................................... 5,705 5,653,966
DXC Technology Co.
4.450%, 09/18/22....................................... 3,200 3,249,680
4.750%, 04/15/27....................................... 16,500 16,393,787
Eastman Chemical Co.
2.700%, 01/15/20....................................... 439 435,696
4.500%, 01/15/21....................................... 88 89,599
3.600%, 08/15/22....................................... 297 295,063
3.800%, 03/15/25....................................... 9,527 9,236,984
Eaton Corp.
4.000%, 11/02/32....................................... 11,600 11,224,257
Eaton Vance Corp.
3.500%, 04/06/27....................................... 10,462 9,908,294
eBay, Inc.
# 3.800%, 03/09/22....................................... 7,413 7,429,859
2.600%, 07/15/22....................................... 1,688 1,620,778
3.600%, 06/05/27....................................... 13,375 12,379,064
Ecolab, Inc.
4.350%, 12/08/21....................................... 480 492,180
2.700%, 11/01/26....................................... 4,448 4,069,349
Edison International
4.125%, 03/15/28....................................... 32,367 31,583,914
Electronic Arts, Inc.
4.800%, 03/01/26....................................... 15,000 15,400,443
EMD Finance LLC
W 2.950%, 03/19/22....................................... 5,120 4,979,880
Emerson Electric Co.
3.150%, 06/01/25....................................... 5,312 5,091,387
Energy Transfer Operating L.P.
4.750%, 01/15/26....................................... 8,233 8,106,890
Enterprise Products Operating LLC
5.200%, 09/01/20....................................... 480 494,328
3.900%, 02/15/24....................................... 2,080 2,076,972
3.750%, 02/15/25....................................... 1,977 1,938,781
# 3.700%, 02/15/26....................................... 5,276 5,092,412
6.875%, 03/01/33....................................... 700 841,369
EOG Resources, Inc.
4.100%, 02/01/21....................................... 1,722 1,744,474
3.150%, 04/01/25....................................... 6,718 6,469,664
117
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
EQT Corp.
3.900%, 10/01/27....................................... 18,855 $17,158,081
ERAC USA Finance LLC
W 3.850%, 11/15/24....................................... 6,590 6,500,611
Evergy, Inc.
4.850%, 06/01/21....................................... 2,466 2,516,894
Eversource Energy
2.500%, 03/15/21....................................... 494 484,699
2.800%, 05/01/23....................................... 4,743 4,562,291
Exelon Corp.
2.450%, 04/15/21....................................... 370 359,497
# 3.950%, 06/15/25....................................... 2,323 2,286,586
3.400%, 04/15/26....................................... 20,540 19,320,572
Exelon Generation Co. LLC
2.950%, 01/15/20....................................... 326 323,928
Express Scripts Holding Co.
3.900%, 02/15/22....................................... 4,767 4,781,121
# 3.500%, 06/15/24....................................... 8,342 8,100,740
3.400%, 03/01/27....................................... 14,920 13,706,800
Exxon Mobil Corp.
3.176%, 03/15/24....................................... 17,923 17,687,808
3.043%, 03/01/26....................................... 4,942 4,720,139
FedEx Corp.
2.625%, 08/01/22....................................... 3,357 3,241,098
4.000%, 01/15/24....................................... 8,491 8,631,241
3.200%, 02/01/25....................................... 3,744 3,577,509
3.400%, 02/15/28....................................... 5,250 4,903,975
Fidelity National Information Services, Inc.
2.250%, 08/15/21....................................... 3,855 3,708,244
5.000%, 10/15/25....................................... 4,265 4,438,012
Fifth Third Bancorp
3.500%, 03/15/22....................................... 56 55,533
# 3.950%, 03/14/28....................................... 26,032 25,332,185
FMR LLC
W 4.950%, 02/01/33....................................... 650 682,590
Ford Motor Credit Co. LLC
2.459%, 03/27/20....................................... 635 622,126
3.200%, 01/15/21....................................... 1,200 1,171,044
3.219%, 01/09/22....................................... 8,750 8,362,265
4.375%, 08/06/23....................................... 8,417 8,192,284
3.664%, 09/08/24....................................... 4,875 4,434,481
GATX Corp.
3.250%, 03/30/25....................................... 5,120 4,784,965
3.250%, 09/15/26....................................... 6,368 5,789,327
General Dynamics Corp.
2.250%, 11/15/22....................................... 4,800 4,603,413
2.125%, 08/15/26....................................... 7,339 6,533,617
General Electric Co.
0.375%, 05/17/22....................................... EUR 11,546 12,817,442
# 3.375%, 03/11/24....................................... 3,200 3,050,438
6.750%, 03/15/32....................................... 29,038 32,803,057
General Mills, Inc.
3.150%, 12/15/21....................................... 748 735,995
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
# 4.200%, 04/17/28....................................... 8,600 $ 8,311,393
General Motors Co.
# 4.200%, 10/01/27....................................... 2,000 1,828,123
General Motors Financial Co., Inc.
5.250%, 03/01/26....................................... 17,826 17,799,391
4.350%, 01/17/27....................................... 4,942 4,601,761
Georgia Power Co.
# 2.850%, 05/15/22....................................... 1,830 1,775,648
3.250%, 04/01/26....................................... 3,000 2,817,267
# 3.250%, 03/30/27....................................... 15,966 14,807,206
Georgia-Pacific LLC
7.750%, 11/15/29....................................... 1,000 1,303,632
Gilead Sciences, Inc.
2.050%, 04/01/19....................................... 175 174,324
4.400%, 12/01/21....................................... 1,414 1,449,045
3.700%, 04/01/24....................................... 10,612 10,505,941
3.650%, 03/01/26....................................... 8,806 8,529,170
GlaxoSmithKline Capital, Inc.
2.800%, 03/18/23....................................... 5,387 5,218,128
Goldman Sachs Group, Inc. (The)
6.000%, 06/15/20....................................... 42 43,707
5.250%, 07/27/21....................................... 2,240 2,329,383
4.000%, 03/03/24....................................... 21,404 21,264,588
3.750%, 05/22/25....................................... 8,213 7,957,242
3.750%, 02/25/26....................................... 4,950 4,749,450
Halliburton Co.
3.500%, 08/01/23....................................... 6,399 6,299,041
3.800%, 11/15/25....................................... 3,441 3,347,608
Harley-Davidson, Inc.
# 3.500%, 07/28/25....................................... 5,593 5,342,651
Harris Corp.
2.700%, 04/27/20....................................... 121 119,659
Hartford Financial Services Group, Inc. (The)
5.125%, 04/15/22....................................... 6,737 7,029,307
Hasbro, Inc.
3.500%, 09/15/27....................................... 3,300 3,028,465
Hewlett Packard Enterprise Co.
4.900%, 10/15/25....................................... 6,965 7,072,417
Home Depot, Inc. (The)
2.700%, 04/01/23....................................... 1,280 1,240,476
3.350%, 09/15/25....................................... 3,642 3,564,527
Honeywell International, Inc.
2.500%, 11/01/26....................................... 9,698 8,889,398
Hormel Foods Corp.
4.125%, 04/15/21....................................... 1,479 1,506,820
Humana, Inc.
3.850%, 10/01/24....................................... 7,825 7,726,338
Huntington Bancshares, Inc.
3.150%, 03/14/21....................................... 1,582 1,564,090
2.300%, 01/14/22....................................... 2,292 2,190,496
118
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Hyatt Hotels Corp.
3.375%, 07/15/23....................................... 1,936 $ 1,884,025
Illinois Tool Works, Inc.
1.950%, 03/01/19....................................... 310 309,286
3.500%, 03/01/24....................................... 6,399 6,386,333
Intel Corp.
# 2.700%, 12/15/22....................................... 413 401,431
# 3.150%, 05/11/27....................................... 2,500 2,388,507
4.000%, 12/15/32....................................... 3,200 3,220,389
Intercontinental Exchange, Inc.
3.750%, 12/01/25....................................... 10,000 9,884,200
International Business Machines Corp.
2.250%, 02/19/21....................................... 19,769 19,284,573
3.375%, 08/01/23....................................... 4,409 4,345,138
3.625%, 02/12/24....................................... 9,600 9,515,619
# 3.300%, 01/27/27....................................... 26,154 24,908,390
International Paper Co.
3.650%, 06/15/24....................................... 7,850 7,769,641
3.800%, 01/15/26....................................... 3,050 2,946,523
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24....................................... 3,903 3,878,233
Jefferies Group LLC / Jefferies Group Capital
Finance, Inc.
4.850%, 01/15/27....................................... 6,594 6,335,062
JM Smucker Co. (The)
3.500%, 03/15/25....................................... 6,042 5,754,256
John Deere Capital Corp.
2.550%, 01/08/21....................................... 9,591 9,455,128
3.350%, 06/12/24....................................... 6,195 6,095,396
Johnson & Johnson
2.450%, 03/01/26....................................... 3,212 2,964,809
JPMorgan Chase & Co.
3.625%, 05/13/24....................................... 12,131 11,944,798
# 3.900%, 07/15/25....................................... 13,351 13,166,802
Juniper Networks, Inc.
4.600%, 03/15/21....................................... 2,560 2,609,859
# 4.500%, 03/15/24....................................... 4,224 4,276,869
Kellogg Co.
# 3.250%, 04/01/26....................................... 13,739 12,694,674
3.400%, 11/15/27....................................... 14,600 13,449,468
7.450%, 04/01/31....................................... 6,959 8,637,868
Keurig Dr Pepper, Inc.
3.400%, 11/15/25....................................... 5,885 5,464,306
Keurig Dr. Pepper, Inc.
2.000%, 01/15/20....................................... 88 86,394
KeyBank NA
2.500%, 12/15/19....................................... 153 151,934
3.300%, 06/01/25....................................... 750 720,443
KeyCorp
2.900%, 09/15/20....................................... 1,449 1,435,653
5.100%, 03/24/21....................................... 101 104,541
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Kimberly-Clark Corp.
1.900%, 05/22/19....................................... 491 $ 488,445
# 2.400%, 06/01/23....................................... 1,920 1,826,532
Kohl's Corp.
# 4.750%, 12/15/23....................................... 1,417 1,442,971
Kraft Heinz Foods Co.
3.500%, 06/06/22....................................... 9,148 9,041,239
3.950%, 07/15/25....................................... 18,315 17,704,582
Kroger Co. (The)
3.850%, 08/01/23....................................... 3,341 3,329,051
7.500%, 04/01/31....................................... 16,177 19,364,973
L3 Technologies, Inc.
3.950%, 05/28/24....................................... 2,469 2,431,743
Laboratory Corp. of America Holdings
4.000%, 11/01/23....................................... 3,840 3,851,263
3.600%, 09/01/27....................................... 2,500 2,358,976
Lam Research Corp.
3.800%, 03/15/25....................................... 4,094 4,036,021
Legg Mason, Inc.
3.950%, 07/15/24....................................... 4,736 4,643,238
4.750%, 03/15/26....................................... 9,317 9,381,567
Liberty Mutual Group, Inc.
W 5.000%, 06/01/21....................................... 6,665 6,834,902
Lincoln National Corp.
6.250%, 02/15/20....................................... 117 121,046
Lockheed Martin Corp.
2.900%, 03/01/25....................................... 4,480 4,257,328
3.550%, 01/15/26....................................... 4,800 4,685,329
Loews Corp.
2.625%, 05/15/23....................................... 3,761 3,592,712
3.750%, 04/01/26....................................... 10,670 10,485,118
Lowe's Cos., Inc.
3.120%, 04/15/22....................................... 292 289,302
# 3.375%, 09/15/25....................................... 5,183 5,014,280
LYB International Finance II BV
3.500%, 03/02/27....................................... 4,166 3,803,310
LyondellBasell Industries NV
# 5.750%, 04/15/24....................................... 5,827 6,226,911
Magellan Midstream Partners L.P.
4.250%, 02/01/21....................................... 1,516 1,535,526
Manufacturers & Traders Trust Co.
2.100%, 02/06/20....................................... 243 239,794
2.900%, 02/06/25....................................... 8,028 7,586,467
Marathon Petroleum Corp.
# 3.625%, 09/15/24....................................... 8,191 7,983,311
Marriott International, Inc.
2.875%, 03/01/21....................................... 1,009 995,647
# 4.000%, 04/15/28....................................... 7,900 7,610,799
Marsh & McLennan Cos., Inc.
2.350%, 09/10/19....................................... 523 520,017
119
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
3.500%, 06/03/24....................................... 8,320 $ 8,117,198
Mastercard, Inc.
3.375%, 04/01/24....................................... 1,787 1,769,476
# 2.950%, 11/21/26....................................... 2,700 2,538,809
Maxim Integrated Products, Inc.
3.450%, 06/15/27....................................... 5,931 5,517,659
McDonald's Corp.
2.200%, 05/26/20....................................... 802 790,115
# 3.500%, 07/15/20....................................... 4,915 4,939,566
McKesson Corp.
3.796%, 03/15/24....................................... 4,348 4,274,297
Medtronic, Inc.
3.125%, 03/15/22....................................... 1,143 1,128,400
3.500%, 03/15/25....................................... 1,977 1,935,641
Merck & Co., Inc.
# 2.750%, 02/10/25....................................... 11,609 11,009,727
MetLife, Inc.
# 3.600%, 04/10/24....................................... 16,140 16,035,026
Microsoft Corp.
2.700%, 02/12/25....................................... 1,567 1,486,586
3.125%, 11/03/25....................................... 3,109 3,012,557
2.400%, 08/08/26....................................... 29,634 27,031,256
# 3.300%, 02/06/27....................................... 24,692 23,945,234
Molson Coors Brewing Co.
# 3.500%, 05/01/22....................................... 2,787 2,754,214
3.000%, 07/15/26....................................... 18,416 16,397,621
Morgan Stanley
2.500%, 04/21/21....................................... 750 730,779
5.500%, 07/28/21....................................... 865 906,071
3.875%, 04/29/24....................................... 11,982 11,847,415
3.875%, 01/27/26....................................... 17,253 16,715,984
3.625%, 01/20/27....................................... 4,903 4,633,360
Mosaic Co. (The)
4.250%, 11/15/23....................................... 3,965 3,985,234
4.050%, 11/15/27....................................... 6,000 5,694,897
Motorola Solutions, Inc.
3.750%, 05/15/22....................................... 3,200 3,149,732
3.500%, 03/01/23....................................... 3,200 3,103,656
MPLX L.P.
4.125%, 03/01/27....................................... 12,320 11,755,053
MUFG Americas Holdings Corp.
3.500%, 06/18/22....................................... 5,472 5,429,023
Mylan NV
3.950%, 06/15/26....................................... 17,157 15,744,791
Mylan, Inc.
4.200%, 11/29/23....................................... 4,480 4,368,540
Nasdaq, Inc.
4.250%, 06/01/24....................................... 2,816 2,828,925
National Oilwell Varco, Inc.
2.600%, 12/01/22....................................... 3,923 3,716,249
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
National Rural Utilities Cooperative
Finance Corp.
8.000%, 03/01/32....................................... 2,708 $ 3,676,095
NetApp, Inc.
3.250%, 12/15/22....................................... 1,088 1,059,149
# 3.300%, 09/29/24....................................... 3,451 3,293,453
Newell Brands, Inc.
4.000%, 06/15/22....................................... 6,483 6,420,559
NextEra Energy Capital Holdings,
Inc.
# 4.500%, 06/01/21....................................... 828 843,944
3.550%, 05/01/27....................................... 20,641 19,628,196
NIKE, Inc.
2.375%, 11/01/26....................................... 28,083 25,229,269
NiSource, Inc.
3.850%, 02/15/23....................................... 2,335 2,319,040
Noble Energy, Inc.
4.150%, 12/15/21....................................... 1,717 1,729,410
3.900%, 11/15/24....................................... 1,556 1,512,444
3.850%, 01/15/28....................................... 2,760 2,530,952
Nordstrom, Inc.
4.750%, 05/01/20....................................... 1,337 1,362,859
4.000%, 10/15/21....................................... 960 966,647
4.000%, 03/15/27....................................... 12,652 12,111,348
Norfolk Southern Corp.
2.903%, 02/15/23....................................... 4,480 4,334,860
Northrop Grumman Corp.
3.250%, 08/01/23....................................... 988 966,816
Novartis Capital Corp.
3.400%, 05/06/24....................................... 6,080 6,027,518
Nucor Corp.
3.950%, 05/01/28....................................... 10,245 10,076,760
Nuveen Finance LLC
W 4.125%, 11/01/24....................................... 2,748 2,749,833
Occidental Petroleum Corp.
2.700%, 02/15/23....................................... 420 403,764
3.400%, 04/15/26....................................... 7,291 7,070,807
3.000%, 02/15/27....................................... 7,118 6,671,698
Ohio Power Co.
5.375%, 10/01/21....................................... 2,308 2,431,243
Omnicom Group, Inc. / Omnicom
Capital, Inc.
3.650%, 11/01/24....................................... 6,057 5,833,875
ONE Gas, Inc.
2.070%, 02/01/19....................................... 491 489,870
ONEOK, Inc.
4.000%, 07/13/27....................................... 6,623 6,350,053
Oracle Corp.
2.950%, 05/15/25....................................... 27,858 26,425,640
2.650%, 07/15/26....................................... 39,785 36,390,005
# 3.250%, 11/15/27....................................... 26,794 25,344,121
O'Reilly Automotive, Inc.
3.800%, 09/01/22....................................... 722 723,484
3.600%, 09/01/27....................................... 21,580 20,174,993
120
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Pacific Gas & Electric Co.
3.850%, 11/15/23....................................... 3,200 $ 3,123,212
3.750%, 02/15/24....................................... 6,502 6,283,511
3.500%, 06/15/25....................................... 4,288 3,993,835
2.950%, 03/01/26....................................... 3,000 2,662,428
Packaging Corp. of America
4.500%, 11/01/23....................................... 3,888 3,988,705
Parker-Hannifin Corp.
3.300%, 11/21/24....................................... 6,093 5,963,019
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
W 3.400%, 11/15/26....................................... 1,000 917,989
PepsiCo, Inc.
2.150%, 10/14/20....................................... 5,128 5,039,609
2.750%, 03/05/22....................................... 2,810 2,754,040
2.750%, 03/01/23....................................... 4,480 4,349,512
3.500%, 07/17/25....................................... 13,489 13,311,365
Perrigo Finance Unlimited Co.
3.900%, 12/15/24....................................... 3,885 3,725,548
# 4.375%, 03/15/26....................................... 5,000 4,830,850
Pfizer, Inc.
# 3.000%, 06/15/23....................................... 1,920 1,884,600
3.400%, 05/15/24....................................... 6,399 6,357,300
# 3.000%, 12/15/26....................................... 42,108 39,878,303
Philip Morris International, Inc.
3.250%, 11/10/24....................................... 7,098 6,886,284
Phillips 66
4.300%, 04/01/22....................................... 2,235 2,281,049
Phillips 66 Partners L.P.
3.550%, 10/01/26....................................... 21,603 20,180,763
PNC Bank NA
3.300%, 10/30/24....................................... 3,788 3,679,511
2.950%, 02/23/25....................................... 8,093 7,650,609
3.250%, 06/01/25....................................... 8,000 7,696,064
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20....................................... 267 271,361
3.300%, 03/08/22....................................... 795 787,198
PPG Industries, Inc.
3.750%, 03/15/28....................................... 13,512 12,808,931
PPL Capital Funding, Inc.
3.400%, 06/01/23....................................... 4,857 4,760,418
3.100%, 05/15/26....................................... 9,200 8,473,107
Praxair, Inc.
2.200%, 08/15/22....................................... 800 766,131
Precision Castparts Corp.
2.500%, 01/15/23....................................... 7,769 7,463,030
3.250%, 06/15/25....................................... 30,987 29,777,334
Principal Financial Group, Inc.
3.125%, 05/15/23....................................... 4,444 4,323,832
3.400%, 05/15/25....................................... 5,700 5,497,862
3.100%, 11/15/26....................................... 5,472 5,017,424
Procter & Gamble Co. (The)
1.850%, 02/02/21....................................... 515 501,304
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
2.450%, 11/03/26....................................... 1,077 $ 982,193
# 2.850%, 08/11/27....................................... 12,850 12,005,776
Progress Energy, Inc.
4.875%, 12/01/19....................................... 547 557,711
4.400%, 01/15/21....................................... 1,225 1,245,962
7.750%, 03/01/31....................................... 2,500 3,234,532
Progressive Corp. (The)
3.750%, 08/23/21....................................... 4,352 4,388,980
Prudential Financial, Inc.
# 4.500%, 11/15/20....................................... 357 365,514
# 3.500%, 05/15/24....................................... 9,600 9,539,427
PSEG Power LLC
2.450%, 11/15/18....................................... 523 522,931
5.125%, 04/15/20....................................... 2,243 2,293,867
# 4.300%, 11/15/23....................................... 5,815 5,857,675
Puget Energy, Inc.
6.000%, 09/01/21....................................... 7,900 8,358,919
QUALCOMM, Inc.
3.450%, 05/20/25....................................... 15,743 15,109,562
Quest Diagnostics, Inc.
3.500%, 03/30/25....................................... 384 366,444
Raytheon Co.
3.125%, 10/15/20....................................... 4,003 4,000,998
2.500%, 12/15/22....................................... 383 369,415
Reinsurance Group of America, Inc.
5.000%, 06/01/21....................................... 960 993,058
4.700%, 09/15/23....................................... 3,840 3,945,045
3.950%, 09/15/26....................................... 16,189 15,557,793
Republic Services, Inc.
3.550%, 06/01/22....................................... 4,488 4,473,344
Rockwell Automation, Inc.
2.875%, 03/01/25....................................... 5,738 5,401,819
Roper Technologies, Inc.
3.000%, 12/15/20....................................... 1,285 1,272,962
Royal Caribbean Cruises, Ltd.
# 7.500%, 10/15/27....................................... 5,180 6,064,036
# 3.700%, 03/15/28....................................... 14,325 13,145,725
Ryder System, Inc.
2.450%, 09/03/19....................................... 120 119,334
salesforce.com, Inc.
3.700%, 04/11/28....................................... 12,800 12,499,142
Sempra Energy
2.850%, 11/15/20....................................... 3,650 3,601,196
4.050%, 12/01/23....................................... 4,205 4,209,863
3.550%, 06/15/24....................................... 6,528 6,366,844
Sherwin-Williams Co. (The)
# 3.450%, 08/01/25....................................... 6,794 6,463,339
Southern Co. (The)
# 3.250%, 07/01/26....................................... 8,992 8,338,738
Southern Power Co.
4.150%, 12/01/25....................................... 5,433 5,315,801
Southwest Airlines Co.
2.650%, 11/05/20....................................... 5,140 5,077,632
121
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
3.000%, 11/15/26....................................... 9,166 $ 8,388,567
Southwest Gas Corp.
3.700%, 04/01/28....................................... 2,900 2,797,540
StanCorp Financial Group, Inc.
5.000%, 08/15/22....................................... 3,200 3,293,179
Starbucks Corp.
3.850%, 10/01/23....................................... 1,231 1,237,695
State Street Corp.
# 1.950%, 05/19/21....................................... 1,321 1,275,139
3.300%, 12/16/24....................................... 13,947 13,537,662
3.550%, 08/18/25....................................... 8,254 8,063,563
Stryker Corp.
2.625%, 03/15/21....................................... 896 879,629
3.375%, 05/15/24....................................... 512 500,764
3.375%, 11/01/25....................................... 10,289 9,773,946
# 3.650%, 03/07/28....................................... 24,340 23,186,611
SunTrust Banks, Inc.
2.900%, 03/03/21....................................... 2,000 1,970,581
Sysco Corp.
2.600%, 10/01/20....................................... 2,965 2,922,546
3.750%, 10/01/25....................................... 685 668,614
3.300%, 07/15/26....................................... 15,704 14,697,802
# 3.250%, 07/15/27....................................... 4,934 4,563,830
Tapestry, Inc.
4.250%, 04/01/25....................................... 16,805 16,486,997
Target Corp.
2.900%, 01/15/22....................................... 2,996 2,961,132
# 2.500%, 04/15/26....................................... 4,468 4,086,139
TCI Communications, Inc.
7.875%, 02/15/26....................................... 1,520 1,853,952
TD Ameritrade Holding Corp.
5.600%, 12/01/19....................................... 210 215,482
2.950%, 04/01/22....................................... 1,785 1,744,495
3.625%, 04/01/25....................................... 7,358 7,158,144
Texas Instruments, Inc.
2.250%, 05/01/23....................................... 657 622,243
TJX Cos., Inc. (The)
2.250%, 09/15/26....................................... 7,600 6,782,266
Total System Services, Inc.
4.800%, 04/01/26....................................... 5,931 6,041,248
4.450%, 06/01/28....................................... 3,822 3,763,076
Toyota Motor Credit Corp.
3.300%, 01/12/22....................................... 2,605 2,600,199
2.625%, 01/10/23....................................... 2,999 2,894,679
Tyson Foods, Inc.
4.500%, 06/15/22....................................... 5,527 5,651,562
U.S. Bank NA
2.800%, 01/27/25....................................... 5,950 5,610,299
Union Pacific Corp.
2.250%, 02/15/19....................................... 332 331,712
2.750%, 04/15/23....................................... 640 615,668
3.250%, 01/15/25....................................... 9,515 9,162,965
3.950%, 09/10/28....................................... 22,950 22,580,975
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
United Parcel Service, Inc.
3.050%, 11/15/27....................................... 1,085 $ 1,019,703
United Technologies Corp.
3.100%, 06/01/22....................................... 158 155,038
7.500%, 09/15/29....................................... 615 771,518
UnitedHealth Group, Inc.
2.750%, 02/15/23....................................... 8,672 8,378,987
2.875%, 03/15/23....................................... 5,760 5,593,558
3.750%, 07/15/25....................................... 12,530 12,410,246
3.100%, 03/15/26....................................... 1,290 1,222,126
Unum Group
4.000%, 03/15/24....................................... 5,051 4,977,871
3.875%, 11/05/25....................................... 1,977 1,886,121
US Bancorp
2.350%, 01/29/21....................................... 806 788,824
Valero Energy Corp.
3.400%, 09/15/26....................................... 8,918 8,245,008
7.500%, 04/15/32....................................... 580 710,718
Verizon Communications, Inc.
3.500%, 11/01/24....................................... 1,186 1,160,006
3.376%, 02/15/25....................................... 18,194 17,567,420
2.625%, 08/15/26....................................... 2,026 1,817,564
# 4.125%, 03/16/27....................................... 3,000 2,968,040
Viacom, Inc.
2.750%, 12/15/19....................................... 293 290,468
4.500%, 03/01/21....................................... 1,856 1,884,558
4.250%, 09/01/23....................................... 640 639,067
# 3.875%, 04/01/24....................................... 4,899 4,768,645
Visa, Inc.
3.150%, 12/14/25....................................... 14,555 13,995,030
Walgreen Co.
3.100%, 09/15/22....................................... 6,807 6,625,188
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21....................................... 7,828 7,736,347
3.450%, 06/01/26....................................... 2,965 2,742,517
Wallmart, Inc.
3.300%, 04/22/24....................................... 6,704 6,656,974
Walt Disney Co. (The)
3.150%, 09/17/25....................................... 9,588 9,244,002
Warner Media LLC
4.750%, 03/29/21....................................... 1,089 1,117,582
4.000%, 01/15/22....................................... 1,152 1,160,358
3.550%, 06/01/24....................................... 4,480 4,333,963
3.600%, 07/15/25....................................... 12,500 11,830,430
3.800%, 02/15/27....................................... 8,782 8,222,149
Waste Management, Inc.
4.600%, 03/01/21....................................... 1,831 1,876,222
3.500%, 05/15/24....................................... 4,942 4,828,876
# 3.125%, 03/01/25....................................... 3,460 3,316,471
WEC Energy Group, Inc.
2.450%, 06/15/20....................................... 1,658 1,634,663
3.550%, 06/15/25....................................... 6,271 6,146,706
Wells Fargo & Co.
2.600%, 07/22/20....................................... 297 293,105
122
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
UNITED STATES -- (Continued)
3.500%, 03/08/22....................................... 8,768 $ 8,682,062
3.000%, 02/19/25....................................... 16,264 15,218,631
3.000%, 04/22/26....................................... 10,373 9,560,815
Western Union Co. (The)
5.253%, 04/01/20....................................... 2,283 2,332,180
WestRock MWV LLC
8.200%, 01/15/30....................................... 19,367 24,725,705
Whirlpool Corp.
4.700%, 06/01/22....................................... 1,920 1,968,707
3.700%, 05/01/25....................................... 15,463 14,765,006
Williams Cos., Inc. (The)
4.000%, 09/15/25....................................... 12,364 11,951,449
3.750%, 06/15/27....................................... 7,863 7,322,042
Wisconsin Electric Power Co.
3.100%, 06/01/25....................................... 3,200 3,039,899
Wm Wrigley Jr Co.
W 2.900%, 10/21/19....................................... 174 173,575
Xerox Corp.
4.070%, 03/17/22....................................... 1,125 1,073,250
3.800%, 05/15/24....................................... 4,290 3,796,007
Zimmer Biomet Holdings, Inc.
3.550%, 04/01/25....................................... 5,634 5,314,991
Zoetis, Inc.
3.000%, 09/12/27....................................... 26,275 23,949,102
--------------
TOTAL UNITED STATES........................................ 3,589,846,501
--------------
TOTAL BONDS................................................ 4,755,348,013
--------------
U.S. TREASURY OBLIGATIONS -- (24.6%)
U.S. Treasury Bonds
8.125%, 05/15/21....................................... 6,590 7,422,052
7.250%, 08/15/22....................................... 28,625 33,001,263
6.250%, 08/15/23....................................... 51,143 58,577,058
7.500%, 11/15/24....................................... 24,371 30,339,618
6.875%, 08/15/25....................................... 39,904 49,177,373
6.000%, 02/15/26....................................... 44,152 52,583,402
6.750%, 08/15/26....................................... 38,863 48,701,840
6.625%, 02/15/27....................................... 44,651 56,122,218
6.125%, 11/15/27....................................... 29,406 36,281,295
5.250%, 11/15/28....................................... 10,442 12,307,402
5.250%, 02/15/29....................................... 99,685 117,830,785
6.125%, 08/15/29....................................... 25,585 32,454,592
6.250%, 05/15/30....................................... 25,710 33,315,799
5.375%, 02/15/31....................................... 95,000 116,044,727
U.S. Treasury Notes
3.125%, 05/15/21....................................... 25,000 25,132,812
1.125%, 07/31/21....................................... 24,711 23,542,340
1.250%, 10/31/21....................................... 49,423 47,044,042
2.000%, 10/31/21....................................... 54,125 52,678,653
1.625%, 08/15/22....................................... 88,961 84,707,171
2.125%, 12/31/22....................................... 24,711 23,890,808
1.500%, 02/28/23....................................... 76,309 71,753,742
1.500%, 03/31/23....................................... 86,984 81,696,722
1.750%, 05/15/23....................................... 43,203 40,965,314
FACE
AMOUNT^ VALUE+
------- --------------
(000)
1.250%, 07/31/23....................................... 39,538 $ 36,524,772
2.750%, 02/15/24....................................... 70,834 69,957,074
2.500%, 05/15/24....................................... 86,868 84,584,517
2.250%, 11/15/24....................................... 67,709 64,762,505
2.000%, 02/15/25....................................... 44,711 42,019,889
2.125%, 05/15/25....................................... 123,730 116,861,641
2.875%, 05/31/25....................................... 25,000 24,726,562
2.000%, 08/15/25....................................... 150,000 140,156,250
2.250%, 11/15/25....................................... 98,895 93,726,192
1.625%, 02/15/26....................................... 64,249 58,150,636
1.625%, 05/15/26....................................... 125,533 113,215,255
1.500%, 08/15/26....................................... 103,787 92,362,589
2.250%, 11/15/27....................................... 109,018 101,442,380
--------------
TOTAL U.S. TREASURY OBLIGATIONS............................ 2,174,061,290
--------------
AGENCY OBLIGATIONS -- (17.8%)
Federal Farm Credit Bank
4.670%, 05/07/20....................................... 1,658 1,702,910
5.350%, 08/07/20....................................... 1,984 2,067,144
3.650%, 12/21/20....................................... 13,026 13,209,575
5.250%, 03/02/21....................................... 1,806 1,897,781
5.220%, 02/22/22....................................... 1,480 1,582,315
5.210%, 12/19/22....................................... 6,276 6,800,485
4.800%, 02/13/23....................................... 576 615,778
5.250%, 03/06/23....................................... 1,776 1,932,430
5.220%, 05/15/23....................................... 14,240 15,521,287
2.630%, 08/03/26....................................... 5,760 5,460,215
5.770%, 01/05/27....................................... 1,920 2,238,246
Federal Home Loan Bank
1.875%, 03/13/20....................................... 7,260 7,168,764
4.125%, 03/13/20....................................... 16,560 16,839,814
3.000%, 03/18/20....................................... 5,350 5,361,487
3.375%, 06/12/20....................................... 8,435 8,500,650
2.875%, 09/11/20....................................... 4,355 4,349,408
4.625%, 09/11/20....................................... 7,590 7,818,869
3.125%, 12/11/20....................................... 1,775 1,782,286
5.250%, 12/11/20....................................... 2,235 2,338,438
1.750%, 03/12/21....................................... 11,970 11,652,855
5.000%, 03/12/21....................................... 1,535 1,607,454
# 2.250%, 06/11/21....................................... 20,725 20,377,483
3.625%, 06/11/21....................................... 2,970 3,018,070
5.625%, 06/11/21....................................... 10,945 11,659,205
2.375%, 09/10/21....................................... 11,650 11,449,655
3.000%, 09/10/21....................................... 9,245 9,239,758
2.625%, 12/10/21....................................... 31,855 31,498,797
5.000%, 12/10/21....................................... 13,470 14,280,248
2.250%, 03/11/22....................................... 2,960 2,886,367
2.500%, 03/11/22....................................... 3,255 3,203,405
5.250%, 06/10/22....................................... 2,440 2,624,374
5.750%, 06/10/22....................................... 5,775 6,310,036
# 2.000%, 09/09/22....................................... 4,805 4,623,193
5.375%, 09/30/22....................................... 18,760 20,336,140
5.250%, 12/09/22....................................... 4,440 4,812,791
123
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
4.750%, 03/10/23....................................... 14,565 $ 15,550,439
3.250%, 06/09/23....................................... 10,360 10,427,309
2.500%, 12/08/23....................................... 9,885 9,610,029
3.250%, 03/08/24....................................... 29,405 29,562,787
2.875%, 06/14/24....................................... 4,845 4,777,911
5.375%, 08/15/24....................................... 5,490 6,124,457
5.365%, 09/09/24....................................... 600 665,411
2.875%, 09/13/24....................................... 67,240 66,133,566
2.750%, 12/13/24....................................... 75,120 73,143,743
4.375%, 03/13/26....................................... 5,950 6,333,174
5.750%, 06/12/26....................................... 11,775 13,672,200
3.250%, 06/09/28....................................... 10,000 9,801,830
Federal Home Loan Mortgage Corp.
# 6.750%, 09/15/29....................................... 18,505 24,011,718
6.750%, 03/15/31....................................... 22,231 29,430,487
6.250%, 07/15/32....................................... 30,757 39,859,288
Federal National Mortgage Association
1.250%, 05/06/21....................................... 4,942 4,741,849
# 2.000%, 01/05/22....................................... 22,734 22,040,158
2.375%, 01/19/23....................................... 38,550 37,524,840
2.625%, 09/06/24....................................... 151,431 147,061,610
2.125%, 04/24/26....................................... 101,970 94,417,592
# 1.875%, 09/24/26....................................... 150,229 135,775,017
FACE
AMOUNT^ VALUE+
---------- --------------
(000)
6.250%, 05/15/29....................................... 57,206 $ 71,337,083
7.125%, 01/15/30....................................... 17,749 23,755,386
7.250%, 05/15/30....................................... 21,301 28,895,318
6.625%, 11/15/30....................................... 110,212 143,787,755
Tennessee Valley Authority
3.875%, 02/15/21....................................... 31,374 31,982,311
# 1.875%, 08/15/22....................................... 37,801 36,272,441
# 2.875%, 09/15/24....................................... 65,279 64,144,582
6.750%, 11/01/25....................................... 25,327 30,746,446
# 2.875%, 02/01/27....................................... 31,804 30,512,503
# 7.125%, 05/01/30....................................... 42,633 56,996,953
--------------
TOTAL AGENCY OBLIGATIONS.................................... 1,565,863,906
--------------
TOTAL INVESTMENT SECURITIES................................. 8,495,273,209
--------------
SHARES VALUE
---------- --------------
SECURITIES LENDING COLLATERAL -- (3.7%)
@(S) DFA Short Term Investment Fund......................... 28,364,115 328,172,813
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $9,192,944,214)......... $8,823,446,022
==============
As of October 31, 2018, DFA Investment Grade Portfolio had entered into the
following forward currency contracts and the net unrealized forward currency
gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ----------------------------- ---------- --------------
USD 73,289,187 EUR 62,713,636 JP Morgan 12/06/18 $2,062,291
USD 87,516,482 SEK 777,473,673 Citibank, N.A. 01/11/19 1,955,294
USD 22,998,156 CAD 29,915,111 National Australia Bank Ltd. 01/18/19 236,871
-----------
TOTAL APPRECIATION $4,254,456
===========
Summary of the Portfolio's investments as of October 31, 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......................... -- $139,205,644 -- $139,205,644
Belgium........................... -- 28,624,080 -- 28,624,080
Canada............................ -- 107,600,482 -- 107,600,482
Denmark........................... -- 34,057,180 -- 34,057,180
France............................ -- 65,884,747 -- 65,884,747
124
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Germany................................ -- $ 79,459,313 -- $ 79,459,313
Ireland................................ -- 5,518,433 -- 5,518,433
Italy.................................. -- 11,705,616 -- 11,705,616
Japan.................................. -- 100,577,963 -- 100,577,963
Luxembourg............................. -- 35,086,337 -- 35,086,337
Netherlands............................ -- 121,371,725 -- 121,371,725
Norway................................. -- 10,073,593 -- 10,073,593
Spain.................................. -- 59,720,476 -- 59,720,476
Supranational Organization Obligations. -- 2,366,162 -- 2,366,162
Sweden................................. -- 96,419,767 -- 96,419,767
Switzerland............................ -- 68,207,121 -- 68,207,121
United Kingdom......................... -- 199,622,873 -- 199,622,873
United States.......................... -- 3,589,846,501 -- 3,589,846,501
Agency Obligations........................ -- 1,565,863,906 -- 1,565,863,906
U.S. Treasury Obligations................. -- 2,174,061,290 -- 2,174,061,290
Securities Lending Collateral............. -- 328,172,813 -- 328,172,813
Forward Currency Contracts**.............. -- 4,254,456 -- 4,254,456
-- -------------- -- --------------
TOTAL..................................... -- $8,827,700,478 -- $8,827,700,478
== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
125
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT VALUE+
------ ------------
(000)
------
U.S. TREASURY OBLIGATIONS --(18.6%)
Treasury Inflation Protected Security
0.125%, 04/15/20................... 35,407 $ 37,461,811
0.125%, 04/15/21................... 25,686 26,625,315
0.125%, 01/15/22................... 4,000 4,324,333
0.125%, 04/15/22................... 17,400 17,431,996
0.125%, 01/15/23................... 12,800 13,456,704
0.625%, 01/15/24................... 7,400 7,824,893
2.375%, 01/15/25................... 24,373 35,130,877
0.625%, 01/15/26................... 5,150 5,280,268
------------
TOTAL U.S. TREASURY OBLIGATIONS....... 147,536,197
------------
SHARES
----------
AFFILIATED INVESTMENT COMPANIES -- (81.4%)
Investment in DFA Intermediate Government Fixed Income Portfolio of DFA Investment
Dimensions Group Inc................................................................. 34,070,950 404,762,881
Investment in DFA Two-Year Global Fixed Income Portfolio of DFA Investment Dimensions
Group Inc............................................................................ 24,473,913 243,515,436
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES...................................... 648,278,317
------------
TOTAL INVESTMENT SECURITIES............................................................... 795,814,514
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund 2.090%.................... 290,015 290,015
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $817,842,940)..................................................................... $796,104,529
============
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ ------------ ------- ------------
U.S. Treasury Obligations....... -- $147,536,197 -- $147,536,197
Affiliated Investment Companies. $648,278,317 -- -- 648,278,317
Temporary Cash Investments...... 290,015 -- -- 290,015
------------ ------------ -- ------------
TOTAL........................... $648,568,332 $147,536,197 -- $796,104,529
============ ============ == ============
See accompanying Notes to Financial Statements.
126
DFA LTIP PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^(+/-) VALUE+
------------ ------------
(000)
------------
U.S. TREASURY OBLIGATIONS -- (100.0%)
Treasury Inflation Protected Security
0.750%, 02/15/45.................................... 17,781 $ 16,653,430
1.000%, 02/15/46.................................... 50,840 50,215,198
0.875%, 02/15/47.................................... 53,695 50,299,982
1.000%, 02/15/48.................................... 53,150 50,306,242
------------
TOTAL U.S. TREASURY OBLIGATIONS........................ 167,474,852
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $182,846,269)...... $167,474,852
============
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
U.S. Treasury Obligations.............................. -- $167,474,852 -- $167,474,852
-- ------------ -- ------------
TOTAL.................................................. -- $167,474,852 -- $167,474,852
== ============ == ============
See accompanying Notes to Financial Statements.
127
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT(+/-) VALUE+
----------- --------------
(000)
-----------
U.S. TREASURY OBLIGATIONS -- (99.9%)
Treasury Inflation Protected Security
0.125%, 07/15/24................... 15,000 $ 15,176,717
0.250%, 01/15/25................... 367,000 371,226,430
2.375%, 01/15/25................... 199,500 287,552,775
0.375%, 07/15/25................... 340,000 346,123,662
0.625%, 01/15/26................... 435,000 446,003,211
2.000%, 01/15/26................... 210,800 284,330,462
0.125%, 07/15/26................... 413,700 405,003,824
0.375%, 01/15/27................... 490,000 481,431,538
2.375%, 01/15/27................... 167,500 229,863,029
0.375%, 07/15/27................... 515,500 500,030,939
0.500%, 01/15/28................... 13,100 12,652,233
1.750%, 01/15/28................... 206,700 262,098,966
3.625%, 04/15/28................... 137,500 261,544,000
2.500%, 01/15/29................... 165,500 219,517,192
3.875%, 04/15/29................... 131,745 255,522,071
3.375%, 04/15/32................... 54,000 97,449,225
--------------
TOTAL U.S. TREASURY OBLIGATIONS....... 4,475,526,274
--------------
SHARES
---------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund 2.090%. 6,554,707 6,554,707
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,621,505,277)................................................ $4,482,080,981
==============
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------- -------------- ------- --------------
U.S. Treasury Obligations.............................. -- $4,475,526,274 -- $4,475,526,274
Temporary Cash Investments............................. $6,554,707 -- -- 6,554,707
---------- -------------- -- --------------
TOTAL.................................................. $6,554,707 $4,475,526,274 -- $4,482,080,981
========== ============== == ==============
See accompanying Notes to Financial Statements.
128
DFA SHORT-DURATION REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (92.4%)
AUSTRALIA -- (4.3%)
ASB Finance, Ltd.
0.500%, 06/10/22................................... EUR 3,800 $ 4,306,202
Australia & New Zealand Banking Group, Ltd.
2.550%, 11/23/21................................... 2,700 2,614,061
2.625%, 05/19/22................................... 250 241,119
Commonwealth Bank of Australia
W 2.750%, 03/10/22................................... 7,974 7,734,448
2.750%, 03/10/22................................... 200 193,992
0.500%, 07/11/22................................... EUR 2,500 2,841,624
Macquarie Group, Ltd.
W 3.000%, 12/03/18................................... 5,174 5,175,449
National Australia Bank, Ltd.
2.800%, 01/10/22................................... 15,000 14,611,098
0.875%, 01/20/22................................... EUR 1,700 1,957,151
2.500%, 05/22/22................................... 1,635 1,564,417
0.350%, 09/07/22................................... EUR 1,600 1,804,250
Westpac Banking Corp.
2.600%, 11/23/20................................... 3,000 2,956,442
2.100%, 05/13/21................................... 461 444,796
# 2.800%, 01/11/22................................... 16,749 16,316,291
0.250%, 01/17/22................................... EUR 450 508,265
-----------
TOTAL AUSTRALIA........................................ 63,269,605
-----------
AUSTRIA -- (0.6%)
Republic of Austria Government Bond
W 0.000%, 07/15/23................................... EUR 8,000 9,093,932
-----------
CANADA -- (11.8%)
Bank of Montreal
2.375%, 01/25/19................................... 24 23,983
1.900%, 08/27/21................................... 7,000 6,710,197
Bank of Nova Scotia (The)
2.350%, 10/21/20................................... 11,405 11,216,566
Canadian Imperial Bank of Commerce
2.550%, 06/16/22................................... 2,500 2,404,756
Canadian Natural Resources, Ltd.
2.950%, 01/15/23................................... 4,500 4,332,110
CPPIB Capital, Inc.
W 2.250%, 01/25/22................................... 2,000 1,941,356
Enbridge, Inc.
2.900%, 07/15/22................................... 3,010 2,905,694
Export Development Canada
1.375%, 10/21/21................................... 5,000 4,759,571
Husky Energy, Inc.
3.950%, 04/15/22................................... 1,250 1,253,605
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
Province of British Columbia Canada
# 2.650%, 09/22/21.................................. 5,000 $ 4,933,671
# 2.000%, 10/23/22.................................. 8,890 8,492,826
Province of Manitoba Canada
2.125%, 05/04/22.................................. 8,500 8,157,199
Province of Ontario Canada
4.000%, 06/02/21.................................. CAD 5,200 4,086,095
2.500%, 09/10/21.................................. 3,221 3,155,844
2.400%, 02/08/22.................................. 6,000 5,832,114
1.350%, 03/08/22.................................. CAD 2,400 1,743,890
2.250%, 05/18/22.................................. 5,000 4,822,062
3.150%, 06/02/22.................................. CAD 13,000 10,001,937
Province of Quebec Canada
4.250%, 12/01/21.................................. CAD 5,000 3,977,515
# 2.375%, 01/31/22.................................. 6,000 5,839,734
Royal Bank of Canada
2.350%, 10/30/20.................................. 6,000 5,891,616
1.583%, 09/13/21.................................. CAD 6,000 4,373,672
1.968%, 03/02/22.................................. CAD 2,300 1,684,366
2.000%, 03/21/22.................................. CAD 11,000 8,057,085
Toronto-Dominion Bank (The)
2.500%, 12/14/20.................................. 16,681 16,424,138
# 2.550%, 01/25/21.................................. 8,200 8,067,442
1.994%, 03/23/22.................................. CAD 6,300 4,620,830
3.005%, 05/30/23.................................. CAD 5,000 3,762,885
0.625%, 07/20/23.................................. EUR 4,800 5,458,838
Total Capital Canada, Ltd.
1.125%, 03/18/22.................................. EUR 5,000 5,863,448
Toyota Credit Canada, Inc.
2.020%, 02/28/22.................................. CAD 8,500 6,214,307
2.350%, 07/18/22.................................. CAD 3,000 2,205,340
2.700%, 01/25/23.................................. CAD 4,000 2,961,571
------------
TOTAL CANADA.......................................... 172,176,263
------------
DENMARK -- (0.2%)
Danske Bank A.S.
#W 2.750%, 09/17/20.................................. 3,000 2,945,417
------------
FINLAND -- (0.9%)
Municipality Finance P.L.C.
2.375%, 03/15/22.................................. 650 633,263
Nordea Bank AB
W 2.250%, 05/27/21.................................. 3,800 3,665,379
0.300%, 06/30/22.................................. EUR 1,000 1,131,728
Nordea Bank Abp
W 2.500%, 09/17/20.................................. 4,000 3,928,696
OP Corporate Bank P.L.C.
0.375%, 08/29/23.................................. EUR 3,000 3,355,436
------------
TOTAL FINLAND......................................... 12,714,502
------------
129
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FRANCE -- (3.6%)
Agence Francaise de Developpement
0.500%, 10/25/22................................... EUR 500 $ 575,494
BNP Paribas SA
# 2.375%, 05/21/20................................... 500 493,260
BPCE SA
# 2.500%, 07/15/19................................... 1,650 1,642,186
2.650%, 02/03/21................................... 1,300 1,274,018
Caisse d'Amortissement de la Dette Sociale
0.500%, 05/25/23................................... EUR 4,500 5,195,807
Dexia Credit Local SA
1.875%, 09/15/21................................... 2,000 1,923,812
0.250%, 06/02/22................................... EUR 350 399,103
0.750%, 01/25/23................................... EUR 7,750 8,983,279
0.250%, 06/01/23................................... EUR 5,400 6,115,615
Electricite de France SA
W 2.350%, 10/13/20................................... 1,000 980,792
French Republic Government Bond OAT
1.750%, 05/25/23................................... EUR 5,300 6,509,632
Pernod Ricard SA
W 5.750%, 04/07/21................................... 5,000 5,235,970
Sanofi
4.000%, 03/29/21................................... 3,290 3,339,224
0.500%, 03/21/23................................... EUR 5,900 6,744,846
Total Capital International SA
2.750%, 06/19/21................................... 2,000 1,974,920
0.250%, 07/12/23................................... EUR 1,500 1,693,313
-----------
TOTAL FRANCE........................................... 53,081,271
-----------
GERMANY -- (4.9%)
Bayer U.S. Finance II LLC
W 1.850%, 11/15/18................................... 2,155 2,154,180
Bayer U.S. Finance LLC
W 2.375%, 10/08/19................................... 2,500 2,480,195
Deutsche Bank AG
2.950%, 08/20/20................................... 1,900 1,861,992
FMS Wertmanagement
1.375%, 06/08/21................................... 9,000 8,619,333
Kreditanstalt fuer Wiederaufbau
1.875%, 06/30/20................................... 4,000 3,928,711
2.750%, 09/08/20................................... 2,000 1,990,848
0.000%, 12/15/22................................... EUR 20,500 23,254,393
0.125%, 06/07/23................................... EUR 3,400 3,865,837
0.000%, 09/15/23................................... EUR 2,000 2,254,133
Landwirtschaftliche Rentenbank
0.050%, 06/12/23................................... EUR 7,500 8,479,213
NRW Bank
0.000%, 08/10/22................................... EUR 3,500 3,966,219
0.125%, 07/07/23................................... EUR 2,400 2,712,788
FACE
AMOUNT^ VALUE+
------- -----------
(000)
GERMANY -- (Continued)
State of North Rhine- Westphalia Germany
0.200%, 04/17/23................................... EUR 1,000 $ 1,138,509
Volkswagen Group of America Finance LLC
W 2.400%, 05/22/20................................... 4,000 3,926,518
-----------
TOTAL GERMANY.......................................... 70,632,869
-----------
IRELAND -- (0.4%)
GE Capital European Funding Un, Ltd. Co.
0.800%, 01/21/22................................... EUR 2,400 2,717,317
GE Capital International Funding Co., Unlimited Co.
# 2.342%, 11/15/20................................... 3,323 3,220,989
-----------
TOTAL IRELAND.......................................... 5,938,306
-----------
ITALY -- (0.4%)
Intesa Sanpaolo SpA
W 3.125%, 07/14/22................................... 5,700 5,178,150
-----------
JAPAN -- (1.3%)
Daiwa Securities Group, Inc.
W 3.129%, 04/19/22................................... 1,770 1,728,244
Mizuho Bank, Ltd.
W 2.700%, 10/20/20................................... 1,000 984,667
MUFG Bank, Ltd.
W 2.300%, 03/05/20................................... 3,900 3,848,671
Nissan Motor Acceptance Corp.
W 2.125%, 03/03/20................................... 2,250 2,210,677
Nomura Holdings, Inc.
2.750%, 03/19/19................................... 1,500 1,499,385
Sumitomo Mitsui Banking Corp.
2.450%, 01/10/19................................... 2,673 2,671,056
2.450%, 01/16/20................................... 2,000 1,980,033
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21................................... 400 384,114
Toyota Motor Credit Corp.
2.100%, 01/17/19................................... 3,526 3,523,212
-----------
TOTAL JAPAN............................................ 18,830,059
-----------
LUXEMBOURG -- (1.8%)
Allergan Funding SCS
3.450%, 03/15/22................................... 6,800 6,688,437
European Financial Stability Facility
0.000%, 11/17/22................................... EUR 9,842 11,160,141
0.125%, 10/17/23................................... EUR 1,000 1,129,454
130
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
LUXEMBOURG -- (Continued)
Novartis Finance SA
0.500%, 08/14/23................................... EUR 3,000 $ 3,430,035
0.125%, 09/20/23................................... EUR 3,000 3,359,894
-----------
TOTAL LUXEMBOURG....................................... 25,767,961
-----------
NETHERLANDS -- (6.2%)
BNG Bank NV
W 2.375%, 02/01/22................................... 19,932 19,439,998
2.375%, 02/01/22................................... 12,000 11,703,792
0.050%, 07/11/23................................... EUR 9,000 10,152,701
Cooperatieve Rabobank UA
4.500%, 01/11/21................................... 3,000 3,063,334
2.750%, 01/10/22................................... 5,000 4,860,474
4.000%, 01/11/22................................... EUR 2,950 3,743,553
Deutsche Telekom International Finance BV
6.000%, 07/08/19................................... 259 263,968
W 1.500%, 09/19/19................................... 5,570 5,486,827
Enel Finance International NV
W 2.875%, 05/25/22................................... 1,500 1,412,985
ING Bank NV
W 2.750%, 03/22/21................................... 3,000 2,941,592
Mondelez International Holdings Netherlands BV
W 2.000%, 10/28/21................................... 2,258 2,149,350
Shell International Finance BV
2.125%, 05/11/20................................... 2,200 2,170,324
1.875%, 05/10/21................................... 10,000 9,663,155
1.750%, 09/12/21................................... 11,000 10,542,982
1.000%, 04/06/22................................... EUR 2,000 2,332,505
-----------
TOTAL NETHERLANDS...................................... 89,927,540
-----------
NEW ZEALAND -- (0.0%)
ANZ New Zealand International, Ltd.
0.400%, 03/01/22................................... EUR 200 226,091
-----------
NORWAY -- (0.3%)
Kommunalbanken A.S.
2.250%, 01/25/22................................... 5,000 4,860,010
-----------
SINGAPORE -- (0.1%)
Flex, Ltd.
5.000%, 02/15/23................................... 1,000 1,005,556
-----------
SPAIN -- (0.4%)
Banco Santander SA
# 3.848%, 04/12/23................................... 2,000 1,935,628
Telefonica Emisiones SAU
5.134%, 04/27/20................................... 4,250 4,350,983
-----------
TOTAL SPAIN............................................ 6,286,611
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (5.2%)
Asian Development Bank
2.000%, 02/16/22................................... 3,000 $ 2,897,688
Council Of Europe Development Bank
0.125%, 05/25/23................................... EUR 8,500 9,653,137
European Investment Bank
1.625%, 12/15/20................................... 3,000 2,914,138
2.000%, 03/15/21................................... 7,000 6,832,669
# 1.375%, 09/15/21................................... 11,500 10,965,552
0.000%, 10/16/23................................... EUR 2,000 2,250,411
European Stability Mechanism
0.000%, 10/18/22................................... EUR 13,950 15,806,634
0.100%, 07/31/23................................... EUR 14,500 16,408,123
International Bank for Reconstruction & Development
1.625%, 03/09/21................................... 4,000 3,874,872
Nordic Investment Bank
2.125%, 02/01/22................................... 5,000 4,849,360
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS........... 76,452,584
-----------
SWEDEN -- (5.0%)
Kommuninvest I Sverige AB
0.250%, 06/01/22................................... SEK 185,000 20,127,553
0.750%, 02/22/23................................... SEK 170,000 18,722,246
Svenska Handelsbanken AB
2.500%, 01/25/19................................... 358 357,792
1.875%, 09/07/21................................... 447 426,784
0.250%, 02/28/22................................... EUR 1,900 2,152,813
Swedbank AB
0.300%, 09/06/22................................... EUR 3,000 3,387,132
Sweden Government Bond
3.500%, 06/01/22................................... SEK 225,500 27,861,496
-----------
TOTAL SWEDEN........................................... 73,035,816
-----------
SWITZERLAND -- (0.1%)
Credit Suisse AG
2.300%, 05/28/19................................... 625 622,977
3.000%, 10/29/21................................... 480 472,521
-----------
TOTAL SWITZERLAND...................................... 1,095,498
-----------
UNITED KINGDOM -- (2.5%)
AstraZeneca P.L.C.
2.375%, 11/16/20................................... 5,071 4,978,374
Barclays P.L.C.
2.750%, 11/08/19................................... 2,000 1,986,044
3.250%, 01/12/21................................... 1,500 1,477,587
BAT International Finance P.L.C.
W 3.250%, 06/07/22................................... 7,900 7,727,598
131
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED KINGDOM -- (Continued)
BP Capital Markets P.L.C.
4.500%, 10/01/20..................................... 3,750 $ 3,831,795
British Telecommunications P.L.C.
2.350%, 02/14/19..................................... 700 698,576
HSBC Holdings P.L.C.
4.000%, 03/30/22..................................... 700 706,349
3.600%, 05/25/23..................................... 775 763,449
HSBC USA, Inc.
2.375%, 11/13/19..................................... 3,281 3,256,156
Lloyds Banking Group P.L.C.
3.100%, 07/06/21..................................... 1,156 1,134,546
3.000%, 01/11/22..................................... 1,000 971,137
Santander UK Group Holdings P.L.C.
2.875%, 08/05/21..................................... 750 726,594
Santander UK P.L.C.
2.500%, 03/14/19..................................... 600 599,439
2.375%, 03/16/20..................................... 4,600 4,542,782
Vodafone Group P.L.C.
# 2.500%, 09/26/22..................................... 2,500 2,377,620
-----------
TOTAL UNITED KINGDOM..................................... 35,778,046
-----------
UNITED STATES -- (42.4%)
Abbott Laboratories
2.800%, 09/15/20..................................... 3,500 3,470,127
AbbVie, Inc.
2.500%, 05/14/20..................................... 6,000 5,921,584
2.900%, 11/06/22..................................... 1,000 968,103
Aetna, Inc.
2.200%, 03/15/19..................................... 340 339,297
Aflac, Inc.
2.400%, 03/16/20..................................... 307 303,922
Agilent Technologies, Inc.
3.200%, 10/01/22..................................... 2,000 1,952,486
Airgas, Inc.
2.375%, 02/15/20..................................... 4,000 3,953,400
Allergan Finance LLC
3.250%, 10/01/22..................................... 2,300 2,232,785
Altria Group, Inc.
4.750%, 05/05/21..................................... 500 514,239
Amazon.com, Inc.
2.600%, 12/05/19..................................... 2,700 2,691,491
American Express Co.
2.500%, 08/01/22..................................... 7,383 7,056,983
American Express Credit Corp.
2.375%, 05/26/20..................................... 800 788,888
American Honda Finance Corp.
2.450%, 09/24/20..................................... 3,000 2,959,116
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
American International Group, Inc.
2.300%, 07/16/19.................................... 2,062 $2,052,184
3.375%, 08/15/20.................................... 3,000 2,994,372
6.400%, 12/15/20.................................... 2,475 2,612,179
3.300%, 03/01/21.................................... 500 494,938
4.875%, 06/01/22.................................... 600 617,359
Ameriprise Financial, Inc.
5.300%, 03/15/20.................................... 1,000 1,027,747
Amphenol Corp.
2.550%, 01/30/19.................................... 3,800 3,796,750
Anheuser-Busch InBev Finance, Inc.
2.625%, 01/17/23.................................... 3,000 2,841,383
Anthem, Inc.
3.125%, 05/15/22.................................... 1,000 977,483
3.300%, 01/15/23.................................... 825 807,066
Aon Corp.
5.000%, 09/30/20.................................... 2,710 2,789,001
Apache Corp.
3.250%, 04/15/22.................................... 500 489,376
# 2.625%, 01/15/23.................................... 2,069 1,961,088
Apple, Inc.
2.250%, 02/23/21.................................... 5,000 4,900,982
2.500%, 02/09/22.................................... 7,828 7,628,241
2.300%, 05/11/22.................................... 7,500 7,238,181
2.700%, 05/13/22.................................... 4,362 4,266,093
# 2.100%, 09/12/22.................................... 5,000 4,770,903
1.000%, 11/10/22.................................... EUR 2,700 3,170,051
Assurant, Inc.
4.000%, 03/15/23.................................... 3,000 2,966,546
AT&T, Inc.
5.800%, 02/15/19.................................... 2,444 2,463,562
2.450%, 06/30/20.................................... 1,331 1,310,478
# 4.600%, 02/15/21.................................... 1,000 1,019,704
3.000%, 06/30/22.................................... 620 601,477
AutoZone, Inc.
3.700%, 04/15/22.................................... 750 751,283
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor,
Inc.
2.773%, 12/15/22.................................... 3,000 2,889,507
Baltimore Gas & Electric Co.
3.350%, 07/01/23.................................... 610 601,675
Bank of America Corp.
2.600%, 01/15/19.................................... 730 729,642
2.625%, 10/19/20.................................... 2,500 2,466,116
Bank of New York Mellon Corp. (The)
4.600%, 01/15/20.................................... 680 691,522
2.150%, 02/24/20.................................... 1,200 1,185,816
3.500%, 04/28/23.................................... 2,000 1,987,477
Bayer U.S. Finance II LLC
W 2.125%, 07/15/19.................................... 2,550 2,530,583
132
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
BB&T Corp.
2.050%, 05/10/21................................... 731 $ 706,778
2.750%, 04/01/22................................... 1,090 1,061,366
Berkshire Hathaway, Inc.
0.750%, 03/16/23................................... EUR 600 685,509
Biogen, Inc.
2.900%, 09/15/20................................... 1,500 1,485,664
3.625%, 09/15/22................................... 4,500 4,490,712
BMW US Capital LLC
W 3.450%, 04/12/23................................... 2,000 1,973,510
Booking Holdings, Inc.
# 2.750%, 03/15/23................................... 4,500 4,301,952
Boston Scientific Corp.
6.000%, 01/15/20................................... 500 515,397
Bristol-Myers Squibb Co.
1.750%, 03/01/19................................... 500 498,470
Buckeye Partners L.P.
2.650%, 11/15/18................................... 261 260,945
Bunge, Ltd. Finance Corp.
3.000%, 09/25/22................................... 1,100 1,052,308
Campbell Soup Co.
3.650%, 03/15/23................................... 4,000 3,878,085
Capital One Bank USA NA
2.300%, 06/05/19................................... 2,000 1,992,106
Capital One Financial Corp.
3.200%, 01/30/23................................... 6,000 5,807,847
Cardinal Health, Inc.
4.625%, 12/15/20................................... 1,000 1,020,998
Caterpillar Financial Services Corp.
# 1.700%, 08/09/21................................... 1,000 957,339
2.625%, 03/01/23................................... 500 480,585
CBS Corp.
2.300%, 08/15/19................................... 2,000 1,987,187
Celgene Corp.
2.750%, 02/15/23................................... 5,500 5,231,362
Chevron Corp.
# 2.419%, 11/17/20................................... 5,800 5,718,111
2.100%, 05/16/21................................... 1,375 1,334,475
2.498%, 03/03/22................................... 12,400 12,060,374
Chubb INA Holdings, Inc.
2.300%, 11/03/20................................... 425 416,756
Church & Dwight Co., Inc.
2.875%, 10/01/22................................... 1,000 970,085
Cisco Systems, Inc.
2.200%, 02/28/21................................... 3,000 2,928,481
1.850%, 09/20/21................................... 14,000 13,448,772
Citigroup, Inc.
2.050%, 06/07/19................................... 3,000 2,982,279
2.400%, 02/18/20................................... 3,000 2,967,090
Citizens Bank N.A.
3.700%, 03/29/23................................... 8,178 8,090,755
CMS Energy Corp.
5.050%, 03/15/22................................... 2,549 2,649,583
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
CNA Financial Corp.
5.875%, 08/15/20...................................... 1,790 $1,863,582
5.750%, 08/15/21...................................... 880 927,135
Coca-Cola Co. (The).......................................
1.550%, 09/01/21...................................... 2,500 2,390,268
3.300%, 09/01/21...................................... 1,000 1,006,232
Comcast Corp.
# 5.150%, 03/01/20...................................... 1,900 1,947,449
Comerica, Inc.
2.125%, 05/23/19...................................... 1,450 1,443,182
Conagra Brands, Inc.
3.200%, 01/25/23...................................... 667 644,360
Constellation Brands, Inc.
2.700%, 05/09/22...................................... 5,000 4,804,022
3.200%, 02/15/23...................................... 1,706 1,653,485
Cox Communications, Inc.
W 3.250%, 12/15/22...................................... 375 363,734
CVS Health Corp.
2.250%, 08/12/19...................................... 2,500 2,484,701
2.125%, 06/01/21...................................... 500 481,935
2.750%, 12/01/22...................................... 2,500 2,389,605
Daimler Finance North America LLC
W 2.700%, 08/03/20...................................... 3,085 3,040,120
Discovery Communications LLC
W 2.750%, 11/15/19...................................... 2,369 2,352,214
Dollar General Corp.
3.250%, 04/15/23...................................... 2,320 2,253,414
Dollar Tree, Inc.
3.700%, 05/15/23...................................... 4,882 4,758,626
Dominion Energy, Inc.
2.500%, 12/01/19...................................... 3,500 3,478,848
Dow Chemical Co. (The)
3.000%, 11/15/22...................................... 2,000 1,942,368
DTE Energy Co.
2.400%, 12/01/19...................................... 4,000 3,958,734
3.300%, 06/15/22...................................... 503 495,115
E*TRADE Financial Corp.
2.950%, 08/24/22...................................... 8,280 7,980,117
eBay, Inc.
2.200%, 08/01/19...................................... 2,846 2,827,851
2.750%, 01/30/23...................................... 417 398,685
Edison International
2.950%, 03/15/23...................................... 710 675,401
EI du Pont de Nemours & Co.
2.800%, 02/15/23...................................... 2,675 2,589,530
Electronic Arts, Inc.
3.700%, 03/01/21...................................... 2,000 2,011,643
Enterprise Products Operating LLC
3.350%, 03/15/23...................................... 2,000 1,958,479
Equifax, Inc.
3.950%, 06/15/23...................................... 3,000 2,973,167
133
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Exelon Generation Co. LLC
2.950%, 01/15/20................................... 2,600 $ 2,583,479
4.000%, 10/01/20................................... 600 604,836
Express Scripts Holding Co.
2.250%, 06/15/19................................... 1,000 996,301
3.900%, 02/15/22................................... 1,866 1,871,527
Exxon Mobil Corp.
1.912%, 03/06/20................................... 2,400 2,365,971
2.222%, 03/01/21................................... 5,824 5,690,328
2.397%, 03/06/22................................... 11,161 10,815,823
Fidelity National Information Services, Inc.
2.250%, 08/15/21................................... 5,000 4,809,655
Fifth Third Bancorp
3.500%, 03/15/22................................... 2,000 1,983,314
Fifth Third Bank
2.375%, 04/25/19................................... 203 202,448
Ford Motor Credit Co. LLC
# 3.157%, 08/04/20................................... 1,200 1,179,351
3.336%, 03/18/21................................... 2,128 2,078,955
GATX Corp.
2.500%, 07/30/19................................... 200 198,988
General Electric Co.
0.375%, 05/17/22................................... EUR 4,400 4,884,527
General Mills, Inc.
3.150%, 12/15/21................................... 500 491,975
General Motors Financial Co., Inc.
3.200%, 07/06/21................................... 7,200 7,043,810
Georgia Power Co.
4.250%, 12/01/19................................... 215 217,399
Gilead Sciences, Inc.
2.550%, 09/01/20................................... 1,000 987,475
Goldman Sachs Group, Inc. (The)
2.550%, 10/23/19................................... 4,900 4,869,991
5.750%, 01/24/22................................... 2,700 2,853,322
Harley-Davidson Financial Services, Inc.
W 2.850%, 01/15/21................................... 500 490,226
W 2.550%, 06/09/22................................... 500 473,644
Harris Corp.
# 2.700%, 04/27/20................................... 4,500 4,450,119
Hewlett Packard Enterprise Co.
3.600%, 10/15/20................................... 3,800 3,805,955
Humana, Inc.
2.625%, 10/01/19................................... 3,000 2,984,649
Huntington National Bank (The)
2.400%, 04/01/20................................... 2,600 2,563,924
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Intercontinental Exchange, Inc.
# 2.750%, 12/01/20...................................... 268 $ 264,910
International Business Machines Corp.
1.625%, 05/15/20...................................... 1,390 1,357,294
JM Smucker Co. (The)
# 2.500%, 03/15/20...................................... 3,320 3,289,170
John Deere Capital Corp.
2.050%, 03/10/20...................................... 1,625 1,603,442
Johnson & Johnson
2.250%, 03/03/22...................................... 1,500 1,457,062
JPMorgan Chase & Co.
2.350%, 01/28/19...................................... 3,000 2,996,803
3.250%, 09/23/22...................................... 2,300 2,268,423
Kellogg Co.
4.000%, 12/15/20...................................... 1,000 1,013,187
Keurig Dr Pepper, Inc.
2.600%, 01/15/19...................................... 1,000 998,960
KeyCorp
2.900%, 09/15/20...................................... 2,000 1,981,578
Kimberly-Clark Corp.
1.900%, 05/22/19...................................... 2,000 1,989,594
Kraft Heinz Foods Co.
3.500%, 06/06/22...................................... 2,350 2,322,575
# 4.000%, 06/15/23...................................... 6,000 5,968,712
Kroger Co. (The)
3.400%, 04/15/22...................................... 1,000 988,695
# 2.800%, 08/01/22...................................... 500 484,026
L3 Technologies, Inc.
4.950%, 02/15/21...................................... 701 718,812
Laboratory Corp. of America Holdings
3.200%, 02/01/22...................................... 1,500 1,476,408
Lam Research Corp.
2.750%, 03/15/20...................................... 2,800 2,775,014
Legg Mason, Inc.
2.700%, 07/15/19...................................... 3,000 2,989,664
Liberty Mutual Group, Inc.
W 5.000%, 06/01/21...................................... 2,900 2,973,926
LyondellBasell Industries NV
# 6.000%, 11/15/21...................................... 3,853 4,063,092
Manufacturers & Traders Trust Co.
2.100%, 02/06/20...................................... 4,225 4,169,250
Marriott International, Inc.
3.000%, 03/01/19...................................... 2,960 2,960,841
2.300%, 01/15/22...................................... 1,385 1,324,015
Marsh & McLennan Cos., Inc.
2.350%, 03/06/20...................................... 2,000 1,971,828
2.750%, 01/30/22...................................... 1,500 1,458,122
Maxim Integrated Products, Inc.
2.500%, 11/15/18...................................... 1,780 1,779,199
134
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
McKesson Corp.
# 2.700%, 12/15/22....................................... 787 $ 752,490
Mead Johnson Nutrition Co.
3.000%, 11/15/20....................................... 700 695,100
Merck & Co., Inc.
2.350%, 02/10/22....................................... 1,345 1,305,044
2.400%, 09/15/22....................................... 1,500 1,445,898
Microsoft Corp.
2.000%, 11/03/20....................................... 3,500 3,427,510
1.550%, 08/08/21....................................... 4,000 3,830,480
2.400%, 02/06/22....................................... 2,000 1,947,757
2.375%, 02/12/22....................................... 18,000 17,500,888
2.650%, 11/03/22....................................... 6,400 6,235,100
Morgan Stanley
2.375%, 07/23/19....................................... 2,220 2,209,055
5.500%, 07/28/21....................................... 925 968,920
3.125%, 01/23/23....................................... 3,000 2,903,302
Mosaic Co. (The)
3.750%, 11/15/21....................................... 1,000 999,182
Nasdaq, Inc.
5.550%, 01/15/20....................................... 2,484 2,546,622
National Oilwell Varco, Inc.
2.600%, 12/01/22....................................... 5,283 5,004,574
NetApp, Inc.
3.250%, 12/15/22....................................... 2,000 1,946,966
Newell Brands, Inc.
4.000%, 06/15/22....................................... 1,000 990,368
NextEra Energy Capital
Holdings, Inc.
2.400%, 09/15/19....................................... 2,950 2,932,730
Nordstrom, Inc.
4.750%, 05/01/20....................................... 350 356,769
Northrop Grumman Corp.
3.500%, 03/15/21....................................... 535 535,238
Nuveen Finance LLC
W 2.950%, 11/01/19....................................... 3,890 3,882,397
NVIDIA Corp.
# 2.200%, 09/16/21....................................... 575 557,705
Occidental Petroleum Corp.
2.700%, 02/15/23....................................... 1,000 961,342
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.625%, 05/01/22....................................... 1,900 1,876,922
ONEOK, Inc.
# 4.250%, 02/01/22....................................... 3,000 3,019,849
Oracle Corp.
1.900%, 09/15/21....................................... 9,000 8,643,572
2.500%, 05/15/22....................................... 3,000 2,903,970
# 2.500%, 10/15/22....................................... 2,000 1,924,638
Pacific Gas & Electric Co.
3.250%, 06/15/23....................................... 4,452 4,247,044
Penske Truck Leasing Co.
L.P. / PTL Finance Corp.
W 3.375%, 02/01/22....................................... 1,200 1,180,008
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
W 4.875%, 07/11/22.................................... 900 $ 925,092
W 4.250%, 01/17/23.................................... 822 826,557
PepsiCo, Inc.
2.150%, 10/14/20.................................... 3,000 2,948,289
2.250%, 05/02/22.................................... 710 684,591
Pfizer, Inc.
1.950%, 06/03/21.................................... 5,000 4,853,656
0.250%, 03/06/22.................................... EUR 4,000 4,548,484
Philip Morris International, Inc.
2.375%, 08/17/22.................................... 200 191,385
PNC Bank NA
2.400%, 10/18/19.................................... 3,000 2,981,261
Principal Financial Group, Inc.
3.300%, 09/15/22.................................... 1,416 1,395,151
Procter & Gamble Co. (The)
1.700%, 11/03/21.................................... 5,000 4,788,106
# 2.300%, 02/06/22.................................... 650 632,910
2.000%, 08/16/22.................................... EUR 1,000 1,207,009
Progress Energy, Inc.
4.400%, 01/15/21.................................... 2,150 2,186,791
Prudential Financial, Inc.
5.375%, 06/21/20.................................... 3,000 3,094,439
PSEG Power LLC
2.450%, 11/15/18.................................... 2,499 2,498,669
QUALCOMM, Inc.
2.250%, 05/20/20.................................... 3,000 2,958,600
# 2.600%, 01/30/23.................................... 6,690 6,402,062
Quest Diagnostics, Inc.
2.700%, 04/01/19.................................... 1,300 1,299,649
2.500%, 03/30/20.................................... 3,630 3,585,757
Regions Financial Corp.
2.750%, 08/14/22.................................... 2,750 2,644,273
Reinsurance Group of America, Inc.
4.700%, 09/15/23.................................... 1,000 1,027,355
Ryder System, Inc.
2.350%, 02/26/19.................................... 2,000 1,995,503
3.400%, 03/01/23.................................... 1,200 1,180,513
Santander Holdings USA, Inc.
2.650%, 04/17/20.................................... 2,000 1,974,912
# 3.700%, 03/28/22.................................... 780 765,866
3.400%, 01/18/23.................................... 2,150 2,052,387
Sempra Energy
2.850%, 11/15/20.................................... 5,000 4,933,145
Sherwin-Williams Co. (The)
2.750%, 06/01/22.................................... 1,600 1,540,148
Solvay Finance America LLC
W 3.400%, 12/03/20.................................... 3,200 3,185,089
Southern Power Co.
2.500%, 12/15/21.................................... 539 522,403
Southwest Airlines Co.
2.750%, 11/06/19.................................... 426 424,314
State Street Corp.
4.375%, 03/07/21.................................... 2,000 2,045,883
135
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Stryker Corp.
2.625%, 03/15/21....................................... 2,378 $ 2,334,551
Sunoco Logistics Partners
Operations L.P.
3.450%, 01/15/23....................................... 740 714,587
SunTrust Banks, Inc.
2.900%, 03/03/21....................................... 3,000 2,955,872
Sysco Corp.
2.600%, 10/01/20....................................... 3,970 3,913,156
Target Corp.
# 2.300%, 06/26/19....................................... 515 513,230
Texas Instruments, Inc.
# 1.850%, 05/15/22....................................... 600 569,798
Thermo Fisher Scientific, Inc.
3.300%, 02/15/22....................................... 2,300 2,277,505
Toyota Motor Credit Corp.
4.500%, 06/17/20....................................... 1,900 1,940,969
1.900%, 04/08/21....................................... 10,500 10,149,508
2.600%, 01/11/22....................................... 3,000 2,928,429
3.300%, 01/12/22....................................... 1,561 1,558,123
Tupperware Brands Corp.
4.750%, 06/01/21....................................... 2,000 2,038,865
Tyson Foods, Inc.
2.650%, 08/15/19....................................... 1,940 1,934,541
4.500%, 06/15/22....................................... 2,000 2,045,074
Unilever Capital Corp.
4.250%, 02/10/21....................................... 1,200 1,224,804
United Parcel Service, Inc.
2.450%, 10/01/22....................................... 300 289,185
UnitedHealth Group, Inc.
2.300%, 12/15/19....................................... 815 808,266
2.700%, 07/15/20....................................... 439 435,510
2.125%, 03/15/21....................................... 2,000 1,948,257
US Bancorp
2.200%, 04/25/19....................................... 66 65,825
Verizon Communications, Inc.
3.500%, 11/01/21....................................... 1,000 1,000,281
# 2.946%, 03/15/22....................................... 2,500 2,446,297
Viacom, Inc.
3.875%, 12/15/21....................................... 2,740 2,731,408
Walgreen Co.
5.250%, 01/15/19....................................... 8 8,035
3.100%, 09/15/22....................................... 1,500 1,459,936
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19....................................... 2,000 1,989,816
3.300%, 11/18/21....................................... 500 494,146
Warner Media LLC
2.100%, 06/01/19....................................... 2,000 1,989,370
FACE
AMOUNT^ VALUE+
- --------- --------------
(000)
UNITED STATES -- (Continued)
Wells Fargo & Co.
2.150%, 01/30/20................................ 1,500 $ 1,480,399
WestRock RKT Co.
4.450%, 03/01/19................................ 595 597,792
Xilinx, Inc.
2.125%, 03/15/19................................ 716 713,703
Zimmer Biomet Holdings, Inc.
3.150%, 04/01/22................................ 950 927,217
Zoetis, Inc.
3.250%, 02/01/23................................ 2,219 2,172,788
--------------
TOTAL UNITED STATES................................... 616,663,595
--------------
TOTAL BONDS........................................... 1,344,959,682
--------------
AGENCY OBLIGATIONS -- (4.2%)
Federal Home Loan Bank
3.250%, 06/09/23................................ 3,000 3,019,491
Federal Home Loan Mortgage Corp.
2.375%, 02/16/21................................ 4,000 3,946,644
Federal Home Loan Mortgage Corporation
2.375%, 01/13/22................................ 4,000 3,923,608
Federal National Mortgage Association
# 1.875%, 12/28/20................................ 22,000 21,531,290
1.250%, 05/06/21................................ 4,000 3,838,000
2.750%, 06/22/21................................ 7,000 6,957,517
1.875%, 04/05/22................................ 6,000 5,781,366
# 2.000%, 10/05/22................................ 4,000 3,846,988
2.375%, 01/19/23................................ 6,000 5,840,442
Tennessee Valley Authority
3.875%, 02/15/21................................ 2,000 2,038,778
--------------
TOTAL AGENCY OBLIGATIONS.............................. 60,724,124
--------------
TOTAL INVESTMENT SECURITIES........................... 1,405,683,806
--------------
SHARES
---------
SECURITIES LENDING COLLATERAL -- (3.4%)
@(S) DFA Short Term Investment Fund.................. 4,320,932 49,993,188
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,491,225,122)............. $1,455,676,994
==============
136
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
As of October 31, 2018, DFA Short-Duration Real Return Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY SETTLEMENT DATE (DEPRECIATION)
------------------- ----------------- ----------------- --------------- --------------
USD 974,050 GBP 748,255 Citibank, N.A. 11/16/18 $ 17,063
USD 1,236,209 EUR 1,065,393 Citibank, N.A. 11/29/18 26,978
USD 4,308,869 EUR 3,697,192 Barclays Capital 11/29/18 112,520
USD 9,747,063 EUR 8,303,200 Citibank, N.A. 11/29/18 322,850
USD 73,246,904 EUR 62,379,492 Barclays Capital 11/29/18 2,445,569
USD 3,789,710 EUR 3,267,431 Citibank, N.A. 01/03/19 66,968
USD 4,283,774 EUR 3,701,287 Barclays Capital 01/03/19 66,719
USD 9,464,593 EUR 8,155,891 Citibank, N.A. 01/03/19 172,192
USD 27,021,598 CAD 35,062,685 Citibank, N.A. 01/07/19 348,629
USD 2,390,689 EUR 2,051,696 Citibank, N.A. 01/11/19 51,484
USD 6,824,372 EUR 5,950,041 Barclays Capital 01/11/19 40,539
USD 8,534,736 EUR 7,387,740 Barclays Capital 01/11/19 111,736
USD 103,711,583 EUR 89,234,269 Barclays Capital 01/16/19 1,928,955
USD 27,713,469 CAD 36,196,803 Barclays Capital 01/22/19 170,837
----------
TOTAL APPRECIATION $5,883,039
GBP 748,255 USD 985,907 Citibank, N.A. 11/16/18 $ (28,921)
USD 67,790,332 SEK 616,791,084 Citibank, N.A. 01/25/19 (166,378)
----------
TOTAL (DEPRECIATION) $ (195,299)
----------
TOTAL APPRECIATION
(DEPRECIATION) $5,687,740
==========
As of October 31, 2018, DFA Short-Duration Real Return Portfolio had entered
into the following outstanding Inflation Swaps:
PAYMENTS UPFRONT UPFRONT UNREALIZED
PAYMENTS MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------- -------- --------- -------------- ---------- -------- -------- ---------- --------------
Bank of America
Corp............ 2.340% Fixed CPI Maturity USD 21,000,000 09/26/23 -- -- $ (175,356) $ (175,356)
Bank of America
Corp............ 2.333% Fixed CPI Maturity USD 36,000,000 10/03/23 -- -- (279,645) (279,645)
Bank of America
Corp............ 2.282% Fixed CPI Maturity USD 40,000,000 02/08/20 -- -- (182,718) (182,718)
Bank of America
Corp............ 2.254% Fixed CPI Maturity USD 30,000,000 10/24/23 -- -- (101,830) (101,830)
Bank of America
Corp............ 2.228% Fixed CPI Maturity USD 26,000,000 03/12/22 -- -- (68,867) (68,867)
Bank of America
Corp............ 2.225% Fixed CPI Maturity USD 29,000,000 03/01/20 -- -- (97,454) (97,454)
Bank of America
Corp............ 2.208% Fixed CPI Maturity USD 26,000,000 02/01/23 -- -- (16,662) (16,662)
Bank of America
Corp............ 2.204% Fixed CPI Maturity USD 44,000,000 02/16/19 -- -- 26,409 26,409
Bank of America
Corp............ 1.832% Fixed CPI Maturity USD 40,000,000 11/08/20 -- -- 578,997 578,997
Bank of America
Corp............ 1.633% Fixed CPI Maturity USD 27,000,000 04/14/21 -- -- 762,632 762,632
Bank of America
Corp............ 1.525% Fixed CPI Maturity USD 43,000,000 08/31/21 -- -- 1,310,200 1,310,200
137
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- -------- ---------- --------------
Bank of America
Corp............ 1.435% Fixed CPI Maturity USD 30,000,000 10/30/20 -- -- $ 804,864 $ 804,864
Citibank, N.A... 2.318% Fixed CPI Maturity USD 24,000,000 07/05/22 -- -- (157,267) (157,267)
Citibank, N.A... 2.196% Fixed CPI Maturity USD 24,000,000 05/31/23 -- -- (13,895) (13,895)
Citibank, N.A... 2.190% Fixed CPI Maturity USD 23,000,000 08/13/21 -- -- (86,022) (86,022)
Citibank, N.A... 2.182% Fixed CPI Maturity USD 23,000,000 01/19/23 -- -- 21,876 21,876
Citibank, N.A... 2.149% Fixed CPI Maturity USD 38,000,000 01/23/21 -- -- 10,780 10,780
Citibank, N.A... 2.144% Fixed CPI Maturity USD 44,000,000 01/11/21 -- -- 14,080 14,080
Citibank, N.A... 2.041% Fixed CPI Maturity USD 24,000,000 10/17/22 -- -- 284,331 284,331
Citibank, N.A... 2.036% Fixed CPI Maturity USD 36,000,000 11/21/22 -- -- 320,646 320,646
Citibank, N.A... 2.009% Fixed CPI Maturity USD 42,000,000 10/23/22 -- -- 553,264 553,264
Citibank, N.A... 1.970% Fixed CPI Maturity USD 23,000,000 11/16/19 -- -- 148,928 148,928
Citibank, N.A... 1.879% Fixed CPI Maturity USD 54,000,000 07/26/21 -- -- 760,191 760,191
Citibank, N.A... 1.849% Fixed CPI Maturity USD 20,000,000 10/27/21 -- -- 351,405 351,405
Citibank, N.A... 1.655% Fixed CPI Maturity USD 40,000,000 07/20/20 -- -- 835,336 835,336
Citibank, N.A... 1.623% Fixed CPI Maturity USD 38,000,000 06/20/20 -- -- 910,337 910,337
Credit Suisse... 1.735% Fixed CPI Maturity USD 33,000,000 03/05/19 -- -- 110,280 110,280
Deutsche Bank
AG.............. 2.333% Fixed CPI Maturity USD 40,000,000 07/11/21 -- -- (269,475) (269,475)
Deutsche Bank
AG.............. 2.318% Fixed CPI Maturity USD 28,000,000 08/31/23 -- -- (226,887) (226,887)
Deutsche Bank
AG.............. 2.289% Fixed CPI Maturity USD 33,000,000 06/13/22 -- -- (166,045) (166,045)
Deutsche Bank
AG.............. 2.235% Fixed CPI Maturity USD 38,000,000 05/02/22 -- -- (184,492) (184,492)
Deutsche Bank
AG.............. 2.233% Fixed CPI Maturity USD 48,000,000 08/01/21 -- -- (239,253) (239,253)
Deutsche Bank
AG.............. 2.208% Fixed CPI Maturity USD 20,000,000 04/05/23 -- -- (55,016) (55,016)
Deutsche Bank
AG.............. 2.203% Fixed CPI Maturity USD 31,000,000 10/25/22 -- -- (54,187) (54,187)
Deutsche Bank
AG.............. 2.193% Fixed CPI Maturity USD 40,000,000 03/08/21 -- -- (71,612) (71,612)
Deutsche Bank
AG.............. 2.125% Fixed CPI Maturity USD 20,000,000 01/04/23 -- -- 82,523 82,523
Deutsche Bank
AG.............. 2.035% Fixed CPI Maturity USD 22,000,000 12/11/22 -- -- 176,464 176,464
Deutsche Bank
AG.............. 1.938% Fixed CPI Maturity USD 25,000,000 09/08/22 -- -- 409,210 409,210
Deutsche Bank
AG, London
Branch.......... 2.145% Fixed CPI Maturity USD 25,000,000 03/17/20 -- -- (60,047) (60,047)
Deutsche Bank
AG, London
Branch.......... 2.135% Fixed CPI Maturity USD 30,000,000 04/05/21 -- -- (61,873) (61,873)
Deutsche Bank
AG, London
Branch.......... 1.990% Fixed CPI Maturity USD 45,000,000 06/05/22 -- -- 474,282 474,282
Deutsche Bank
AG, London
Branch.......... 1.983% Fixed CPI Maturity USD 32,000,000 05/12/22 -- -- 266,649 266,649
Deutsche Bank
AG, London
Branch.......... 1.860% Fixed CPI Maturity USD 60,000,000 06/30/20 -- -- 570,934 570,934
Deutsche Bank
AG, London
Branch.......... 1.348% Fixed CPI Maturity USD 14,000,000 01/28/20 -- -- 387,946 387,946
-- -- ---------- ----------
TOTAL........... -- -- $7,603,961 $7,603,961
== == ========== ==========
138
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 63,269,605 -- $ 63,269,605
Austria................................ -- 9,093,932 -- 9,093,932
Canada................................. -- 172,176,263 -- 172,176,263
Denmark................................ -- 2,945,417 -- 2,945,417
Finland................................ -- 12,714,502 -- 12,714,502
France................................. -- 53,081,271 -- 53,081,271
Germany................................ -- 70,632,869 -- 70,632,869
Ireland................................ -- 5,938,306 -- 5,938,306
Italy.................................. -- 5,178,150 -- 5,178,150
Japan.................................. -- 18,830,059 -- 18,830,059
Luxembourg............................. -- 25,767,961 -- 25,767,961
Netherlands............................ -- 89,927,540 -- 89,927,540
New Zealand............................ -- 226,091 -- 226,091
Norway................................. -- 4,860,010 -- 4,860,010
Singapore.............................. -- 1,005,556 -- 1,005,556
Spain.................................. -- 6,286,611 -- 6,286,611
Supranational Organization Obligations. -- 76,452,584 -- 76,452,584
Sweden................................. -- 73,035,816 -- 73,035,816
Switzerland............................ -- 1,095,498 -- 1,095,498
United Kingdom......................... -- 35,778,046 -- 35,778,046
United States.......................... -- 616,663,595 -- 616,663,595
Agency Obligations........................ -- 60,724,124 -- 60,724,124
Securities Lending Collateral............. -- 49,993,188 -- 49,993,188
Forward Currency Contracts**.............. -- 5,687,740 -- 5,687,740
Swap Agreements**......................... -- 7,603,961 -- 7,603,961
-- -------------- -- --------------
TOTAL..................................... -- $1,468,968,695 -- $1,468,968,695
== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
139
DFA MUNICIPAL REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.6%)
Alabama State (GO) Series A
5.000%, 08/01/20........................................ 2,250 $ 2,361,285
5.000%, 08/01/23........................................ 2,200 2,460,370
-----------
TOTAL ALABAMA.............................................. 4,821,655
-----------
ALASKA -- (0.5%)
City of Anchorage (GO) Series B
5.000%, 09/01/21........................................ 900 968,508
5.000%, 09/01/23........................................ 600 671,316
City of Anchorage (GO) Series D
5.000%, 09/01/23........................................ 2,585 2,892,253
-----------
TOTAL ALASKA 4,532,077
-----------
ARIZONA -- (0.5%)
City of Phoenix (GO)
4.000%, 07/01/20........................................ 1,500 1,546,080
City of Tempe (GO) Series C
4.000%, 07/01/22........................................ 1,400 1,487,192
Maricopa County High School District No. 210-Phoenix (GO)
3.000%, 07/01/23........................................ 650 666,809
Scottsdale Municipal Property Corp. (RB) Series A
3.000%, 07/01/21........................................ 805 821,768
-----------
TOTAL ARIZONA.............................................. 4,521,849
-----------
ARKANSAS -- (1.3%)
Arkansas State (GO)
5.000%, 04/01/21........................................ 2,600 2,771,444
5.000%, 10/01/21........................................ 7,195 7,754,123
-----------
TOTAL ARKANSAS............................................. 10,525,567
-----------
CALIFORNIA -- (2.7%)
California State (GO)
5.000%, 08/01/26........................................ 9,000 10,472,130
3.500%, 08/01/27........................................ 1,500 1,582,110
5.000%, 08/01/27........................................ 4,000 4,681,760
California State (GO) Series B
5.000%, 09/01/25........................................ 3,140 3,621,488
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/27........................................ 2,000 2,363,340
-----------
TOTAL CALIFORNIA........................................... 22,720,828
-----------
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
COLORADO -- (1.2%)
City of Colorado Springs CO Utilities System Revenue (RB)
Series A-1
5.000%, 11/15/26......................................... 3,000 $3,509,610
Denver City & County School District No. 1 (GO) (ST AID
WITHHLDG) (ETM) Series B
4.000%, 12/01/18......................................... 35 35,061
Denver City & County School District No. 1 (GO) (ST AID
WITHHLDG) Series B
4.000%, 12/01/18......................................... 265 265,464
5.000%, 12/01/24......................................... 900 1,027,260
El Paso County School District No. 20 Academy (GO) (ST AID
WITHHLDG)
5.000%, 12/15/21......................................... 1,240 1,342,920
Jefferson County School District R-1 (GO) (ST AID WITHHLDG)
5.250%, 12/15/24......................................... 1,000 1,156,350
Weld County School District No. RE-4 (GO) (ST INTERCEPT)
4.000%, 12/01/23......................................... 2,425 2,592,713
----------
TOTAL COLORADO.............................................. 9,929,378
----------
CONNECTICUT -- (0.0%).......................................
Connecticut State (GO) Series A
5.000%, 10/15/19......................................... 300 307,473
----------
DELAWARE -- (0.5%)..........................................
New Castle County (GO)
5.000%, 10/01/23......................................... 2,275 2,553,187
New Castle County (GO) Series B
5.000%, 07/15/22......................................... 1,450 1,591,941
----------
TOTAL DELAWARE.............................................. 4,145,128
----------
DISTRICT OF COLUMBIA -- (1.4%)
District of Columbia (GO) Series A
5.000%, 06/01/20......................................... 1,900 1,986,393
District of Columbia (GO) Series E
5.000%, 06/01/21......................................... 2,550 2,728,780
140
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
DISTRICT OF COLUMBIA -- (Continued)
5.000%, 06/01/26........................................ 1,875 $ 2,175,769
Washington Metropolitan Area Transit Authority (RB) Series
A-1
5.000%, 07/01/27........................................ 4,535 5,274,931
-----------
TOTAL DISTRICT OF COLUMBIA................................. 12,165,873
-----------
FLORIDA -- (2.8%)
Florida Department of Environmental Protection (RB) Series
A
5.000%, 07/01/26........................................ 5,000 5,802,400
Florida State (GO)
5.000%, 07/01/21........................................ 2,000 2,147,280
5.000%, 07/01/24........................................ 500 567,030
Florida State (GO) Series A
5.000%, 06/01/23........................................ 700 780,745
Florida State (GO) Series B
5.000%, 06/01/20........................................ 3,300 3,450,051
5.000%, 06/01/23........................................ 650 724,978
Florida State Board of Education (GO) Series B
5.000%, 06/01/19........................................ 555 564,879
5.000%, 06/01/25........................................ 3,000 3,454,380
Miami-Dade County (GO) Series A
5.000%, 07/01/26........................................ 1,810 2,100,469
Miami-Dade County (GO) Series D
5.000%, 07/01/20........................................ 3,520 3,686,566
-----------
TOTAL FLORIDA.............................................. 23,278,778
-----------
GEORGIA -- (3.3%)
Cobb County (GO)
5.000%, 01/01/22........................................ 2,335 2,536,674
Georgia State (GO) Series A
5.000%, 07/01/26........................................ 1,200 1,402,548
5.000%, 07/01/27........................................ 8,000 9,446,560
Georgia State (GO) Series A-1
5.000%, 02/01/19........................................ 720 725,559
Georgia State (GO) Series C
5.000%, 10/01/21........................................ 2,490 2,688,627
Georgia State (GO) Series C-1
5.000%, 07/01/23........................................ 3,000 3,356,190
5.000%, 07/01/24........................................ 3,200 3,641,696
Georgia State (GO) Series I
5.000%, 07/01/20........................................ 2,345 2,456,739
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
GEORGIA -- (Continued)
Georgia State Road & Tollway Authority (RB) (MUN GOVT GTD)
5.000%, 10/01/23........................................ 1,580 $ 1,771,654
-----------
TOTAL GEORGIA.............................................. 28,026,247
-----------
HAWAII -- (1.0%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23........................................ 2,150 2,408,666
5.000%, 10/01/25........................................ 450 519,161
Hawaii State (GO) Series EF
5.000%, 11/01/22........................................ 300 330,645
Hawaii State (GO) Series EH-2017
5.000%, 08/01/23........................................ 970 1,083,868
Hawaii State (GO) Series FK
5.000%, 05/01/23........................................ 1,800 2,003,256
Hawaii State (GO) (ETM) Series EH
5.000%, 08/01/23........................................ 1,225 1,370,555
Hawaii State (GO) (ETM) Series EH-2017
5.000%, 08/01/23........................................ 305 341,240
-----------
TOTAL HAWAII............................................... 8,057,391
-----------
IOWA -- (0.1%)
City of Ankeny (GO) Series G
5.000%, 06/01/19........................................ 910 925,825
-----------
KANSAS -- (1.3%)
City of Lenexa (GO) Series A
5.000%, 09/01/21........................................ 600 645,840
City of Lenexa (GO) Series B
5.000%, 09/01/20........................................ 1,610 1,693,366
City of Merriam (GO)
5.000%, 10/01/25........................................ 200 230,876
City of Wichita (GO) Series A
5.000%, 12/01/20........................................ 3,000 3,175,530
Johnson County (GO) Series B
5.000%, 09/01/22........................................ 1,405 1,544,910
Johnson County Unified School District No. 229 Blue Valley
(GO) Series A
5.000%, 10/01/26........................................ 1,500 1,753,635
Kansas State Department of Transportation (RB) Series B
5.000%, 09/01/20........................................ 1,975 2,077,996
141
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
KANSAS -- (Continued)
Kansas State Department of Transportation (RB) Series C
5.000%, 09/01/19........................................ 125 $ 128,144
-----------
TOTAL KANSAS............................................... 11,250,297
-----------
KENTUCKY -- (0.7%)
Louisville & Jefferson County (GO) Series A
5.000%, 12/01/22........................................ 1,500 1,651,935
5.000%, 12/01/25........................................ 3,800 4,375,624
-----------
TOTAL KENTUCKY............................................. 6,027,559
-----------
LOUISIANA -- (0.3%)
Louisiana State (GO) Series C
5.000%, 07/15/22........................................ 250 273,540
5.000%, 08/01/23........................................ 1,100 1,225,994
Louisiana State (GO) Series D-2
5.000%, 12/01/21........................................ 600 648,090
-----------
TOTAL LOUISIANA............................................ 2,147,624
-----------
MAINE -- (0.1%)
Maine State (GO) Series B
5.000%, 06/01/23........................................ 495 551,638
-----------
MARYLAND -- (8.9%)
Anne Arundel County (GO)
5.000%, 10/01/19........................................ 1,195 1,227,946
5.000%, 04/01/23........................................ 4,000 4,450,760
Baltimore County (GO)......................................
5.000%, 08/01/21........................................ 500 537,800
3.000%, 11/01/24........................................ 5,015 5,159,482
City of Baltimore (GO) Series B
5.000%, 10/15/22........................................ 645 709,919
City of Frederick (GO) Series C
5.000%, 03/01/27........................................ 3,100 3,621,048
Harford County (GO) Series A
5.000%, 09/15/20........................................ 900 947,916
Howard County (GO) Series A
5.000%, 02/15/28........................................ 3,000 3,541,650
Howard County (GO) Series B
5.000%, 02/15/26........................................ 6,420 7,445,723
Howard County (GO) Series D
5.000%, 02/15/24........................................ 4,000 4,515,400
Maryland State (GO) Series A
5.000%, 03/15/28........................................ 7,000 8,273,860
Maryland State (GO) Series B
5.000%, 03/01/19........................................ 1,000 1,010,360
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MARYLAND -- (Continued)
5.000%, 08/01/20........................................ 2,000 $ 2,099,280
4.000%, 08/01/23........................................ 1,785 1,914,859
5.000%, 08/01/26........................................ 5,500 6,412,230
5.000%, 08/01/26........................................ 1,000 1,165,860
5.000%, 08/01/27........................................ 325 382,324
Maryland State (GO) Series C
5.000%, 08/01/20........................................ 2,000 2,099,280
Montgomery County (GO) Series C
5.000%, 10/01/27........................................ 6,655 7,848,774
Montgomery County (GO) Series D
3.000%, 11/01/23........................................ 2,000 2,056,200
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/24........................................ 4,325 4,906,539
3.000%, 06/01/26........................................ 2,080 2,123,930
Worcester County (GO) Series B
4.000%, 08/01/21........................................ 2,255 2,364,413
-----------
TOTAL MARYLAND............................................. 74,815,553
-----------
MASSACHUSETTS -- (4.1%)
City of Boston (GO) Series A
5.000%, 03/01/20........................................ 1,200 1,247,004
5.000%, 04/01/20........................................ 1,250 1,301,825
City of Boston (GO) Series B
5.000%, 04/01/24........................................ 3,500 3,972,675
Commonwealth of Massachusetts (GO) Series B
5.250%, 08/01/21........................................ 500 541,115
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20........................................ 3,255 3,416,578
5.000%, 04/01/23........................................ 4,000 4,449,000
5.000%, 08/01/24........................................ 1,360 1,544,810
Commonwealth of Massachusetts (GO) Series E
5.000%, 11/01/27........................................ 1,000 1,177,390
Massachusetts Clean Water Trust (The) (RB)
5.000%, 08/01/20........................................ 400 419,996
Massachusetts School Building Authority (RB) (ETM) Series A
5.000%, 11/15/25........................................ 3,240 3,741,520
142
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MASSACHUSETTS -- (Continued)
Massachusetts Water Resources Authority (RB) (AGM) Series B
5.250%, 08/01/28........................................ 9,000 $10,835,100
Town of Lexington (GO).....................................
4.000%, 02/15/27........................................ 1,000 1,092,800
Town of Medfield (GO)......................................
3.000%, 09/15/19........................................ 510 514,809
-----------
TOTAL MASSACHUSETTS........................................ 34,254,622
-----------
MICHIGAN -- (0.6%).........................................
Michigan State (GO)
5.000%, 11/01/19........................................ 700 720,986
Michigan State (GO) Series A
5.000%, 05/01/23........................................ 2,425 2,703,220
5.000%, 05/01/25........................................ 1,500 1,722,630
-----------
TOTAL MICHIGAN............................................. 5,146,836
-----------
MINNESOTA -- (3.8%)
City of Edina (GO) Series B
3.000%, 02/01/19........................................ 1,000 1,002,800
Hennepin County (GO) Series C
5.000%, 12/01/28........................................ 1,150 1,370,846
Metropolitan Council (GO) Series C
5.000%, 03/01/24........................................ 6,250 7,051,687
Minneapolis Special School District No. 1 (GO) (SD CRED
PROG) Series B
5.000%, 02/01/28........................................ 2,590 3,042,059
Minnesota State (GO) Series A
5.000%, 08/01/21........................................ 1,330 1,429,817
5.000%, 08/01/25........................................ 7,000 8,070,720
5.000%, 08/01/28........................................ 6,000 7,130,220
Minnesota State (GO) Series D
5.000%, 08/01/21........................................ 700 752,535
Minnesota State (GO) Series E
2.000%, 08/01/19........................................ 1,000 1,000,210
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20........................................ 900 935,010
-----------
TOTAL MINNESOTA............................................ 31,785,904
-----------
MISSISSIPPI -- (0.3%)
Madison County School District (GO)
3.500%, 12/01/19........................................ 350 355,544
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MISSISSIPPI -- (Continued)
Mississippi State (GO) Series B
5.000%, 11/01/20........................................ 600 $ 633,012
Mississippi State (GO) Series C
5.000%, 10/01/20........................................ 1,565 1,647,867
-----------
TOTAL MISSISSIPPI.......................................... 2,636,423
-----------
MISSOURI -- (0.8%)
Columbia School District (GO) Series B
5.000%, 03/01/23........................................ 2,500 2,781,000
Missouri Highway & Transportation Commission (RB)
5.000%, 02/01/19........................................ 1,525 1,537,231
North Kansas City School District No. 74 (GO) (ST AID DIR
DEP)
4.000%, 03/01/26........................................ 1,845 1,998,393
-----------
TOTAL MISSOURI............................................. 6,316,624
-----------
NEBRASKA -- (1.1%)
Douglas County School District No. 17 (GO)
4.000%, 12/15/26........................................ 3,000 3,289,470
Omaha School District (GO)
5.000%, 12/15/25........................................ 1,345 1,555,425
5.000%, 12/15/26........................................ 3,975 4,646,934
-----------
TOTAL NEBRASKA............................................. 9,491,829
-----------
NEVADA -- (3.2%)
City of Henderson NV (GO)
5.000%, 06/01/21........................................ 600 641,442
Clark County (GO) Series B
5.000%, 11/01/24........................................ 8,665 9,838,674
Nevada State (GO) Series D
5.000%, 04/01/25........................................ 11,625 13,270,519
Nevada State (GO) Series D1
5.000%, 03/01/22........................................ 2,000 2,172,780
Washoe County School District (GO) Series F
5.000%, 06/01/21........................................ 900 960,993
-----------
TOTAL NEVADA............................................... 26,884,408
-----------
NEW HAMPSHIRE -- (0.3%)
City of Dover (GO) Series C
5.000%, 07/01/20........................................ 220 230,483
City of Nashua (GO)
4.000%, 07/15/24........................................ 2,000 2,164,000
143
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEW HAMPSHIRE -- (Continued)
New Hampshire State (GO) Series B
5.000%, 06/01/19........................................ 540 $ 549,580
-----------
TOTAL NEW HAMPSHIRE........................................ 2,944,063
-----------
NEW JERSEY -- (0.3%)
City of Hoboken (GO)
3.000%, 02/01/27........................................ 1,000 997,070
Township of Parsippany-Troy Hills (GO) Series ABCD
2.000%, 09/15/21........................................ 1,515 1,493,017
-----------
TOTAL NEW JERSEY........................................... 2,490,087
-----------
NEW MEXICO -- (1.8%)
New Mexico State (GO)
5.000%, 03/01/19........................................ 1,500 1,515,000
New Mexico State (GO) (ETM)
5.000%, 03/01/21........................................ 2,105 2,239,615
New Mexico State Severance Tax Permanent Fund (RB) Series A
5.000%, 07/01/27........................................ 2,570 3,004,356
New Mexico State Severance Tax Permanent Fund (RB) Series B
4.000%, 07/01/20........................................ 2,000 2,059,780
New Mexico State Severance Tax Permanent Fund (RB) Series D
5.000%, 07/01/26........................................ 5,580 6,467,108
-----------
TOTAL NEW MEXICO........................................... 15,285,859
-----------
NEW YORK -- (5.0%)
City of New York (GO) Series C
5.000%, 08/01/26........................................ 500 579,510
5.000%, 08/01/26........................................ 1,960 2,271,679
City of New York (GO) Series J
5.000%, 08/01/22........................................ 650 712,640
New York State Dormitory Authority
5.000%, 03/15/27........................................ 7,000 8,170,120
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/25........................................ 500 571,030
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22........................................ 2,500 2,717,350
5.000%, 02/15/24........................................ 700 787,605
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEW YORK -- (Continued)
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/27........................................ 14,000 $16,340,240
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/26........................................ 6,890 7,962,291
New York State Urban Development Corp. (RB) Series C
5.000%, 12/15/18........................................ 1,000 1,003,830
Riverhead Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/15/22........................................ 700 694,988
-----------
TOTAL NEW YORK............................................. 41,811,283
-----------
NORTH CAROLINA -- (5.9%)
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/21........................................ 1,800 1,932,084
Forsyth County (GO)
4.000%, 12/01/21........................................ 1,500 1,580,895
Gaston County (GO)
5.000%, 02/01/26........................................ 2,500 2,881,400
Iredell County (GO)
2.500%, 02/01/24........................................ 2,285 2,286,074
Mecklenburg County (GO) Series A
5.000%, 04/01/22........................................ 5,000 5,459,650
Mecklenburg County (GO) Series B
5.000%, 12/01/21........................................ 6,120 6,633,284
5.000%, 12/01/26........................................ 8,430 9,902,552
North Carolina Eastern Municipal Power Agency (RB)
(NATL-IBC) (ETM) Series B
6.000%, 01/01/22........................................ 650 723,379
North Carolina State (GO) Series C
3.750%, 05/01/19........................................ 1,500 1,513,965
Wake County (GO)
5.000%, 03/01/19........................................ 1,000 1,010,360
5.000%, 09/01/21........................................ 2,250 2,424,465
5.000%, 09/01/24........................................ 4,000 4,560,240
Wake County (GO) Series C
5.000%, 03/01/25........................................ 7,530 8,654,154
-----------
TOTAL NORTH CAROLINA....................................... 49,562,502
-----------
144
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NORTH DAKOTA -- (0.1%)
North Dakota State University of Agriculture & Applied
Science (RB)
5.000%, 04/01/21......................................... 545 $ 578,425
-----------
OHIO -- (5.8%)
Beavercreek City School District (GO) (AGM)
5.000%, 12/01/18......................................... 525 526,313
City of Columbus (GO) Series 1
5.000%, 07/01/21......................................... 2,775 2,977,880
5.000%, 07/01/23......................................... 1,875 2,093,212
City of Columbus (GO) Series A
5.000%, 02/15/20......................................... 650 674,362
2.000%, 08/15/22......................................... 2,000 1,969,820
4.000%, 08/15/25......................................... 3,500 3,796,135
City of Columbus (GO) Series A
4.000%, 04/01/24......................................... 4,000 4,301,960
Columbus City School District (GO) Series A
5.000%, 12/01/21......................................... 1,595 1,724,323
Franklin County (GO)
5.000%, 06/01/21......................................... 1,830 1,959,729
Ohio State (GO)
5.000%, 09/15/24......................................... 2,000 2,274,840
5.000%, 09/15/25......................................... 1,950 2,247,921
Ohio State (GO) Series A
4.000%, 03/01/21......................................... 1,475 1,535,991
5.000%, 09/01/28......................................... 2,500 2,962,150
Ohio State (GO) Series B
5.000%, 08/01/20......................................... 650 682,383
5.000%, 09/01/27......................................... 9,300 10,930,290
5.000%, 09/15/27......................................... 3,500 4,115,965
Ohio Water Development Authority (RB)
5.000%, 06/01/19......................................... 2,225 2,264,471
Upper Arlington City School District (GO) Series A
5.000%, 12/01/26......................................... 1,530 1,785,112
-----------
TOTAL OHIO.................................................. 48,822,857
-----------
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
OREGON -- (1.0%)
City of Portland Sewer System Revenue (RB) Series A
5.000%, 10/01/23......................................... 3,570 4,001,256
OREGON -- (Continued)
Multnomah County School District No. 1 Portland (GO) (SCH BD GTY)
Series B
5.000%, 06/15/23......................................... 1,005 $1,119,047
Oregon State (GO)
5.000%, 12/01/22......................................... 2,050 2,267,751
Oregon State (GO) Series A
5.000%, 05/01/21......................................... 800 855,552
----------
TOTAL OREGON................................................ 8,243,606
----------
PENNSYLVANIA -- (0.9%)
Commonwealth of Pennsylvania (GO)
5.000%, 04/01/22......................................... 3,925 4,248,106
Pennsylvania Economic Development Financing Authority (RB) Series A
5.000%, 07/01/19......................................... 3,145 3,208,718
----------
TOTAL PENNSYLVANIA.................................................. 7,456,824
----------
RHODE ISLAND -- (0.5%)
Rhode Island State (GO) Series A
5.000%, 08/01/20......................................... 1,900 1,991,295
Rhode Island State (GO) Series D
5.000%, 08/01/22......................................... 600 657,144
Rhode State Island (GO) Series A
5.000%, 04/01/27......................................... 1,060 1,233,713
----------
TOTAL RHODE ISLAND 3,882,152
----------
SOUTH CAROLINA -- (2.7%)
Beaufort County (GO) (ST AID WITHHLDG) Series A
4.000%, 03/01/22......................................... 640 676,154
Beaufort County School District (GO) (SCSDE) Series A
5.000%, 03/01/23......................................... 6,000 6,653,460
Berkeley County School District (GO) (SCSDE) Series A
5.000%, 03/01/27......................................... 2,500 2,920,200
Charleston County (GO)
5.000%, 11/01/23......................................... 1,000 1,124,260
Charleston County School District (GO) (SCSDE) Series A
5.000%, 02/01/21......................................... 800 849,728
145
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
SOUTH CAROLINA -- (Continued)
Clemson University (RB) Series B
5.000%, 05/01/25......................................... 750 $ 861,315
Lexington & Richland School District No. 5 (GO) (SCSDE)
5.000%, 03/01/24......................................... 2,750 3,101,257
Richland County (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/26......................................... 1,870 2,175,857
South Carolina State (GO) (ST AID WITHHLDG) Series A
5.000%, 10/01/23......................................... 3,000 3,369,810
Spartanburg County (GO) (ST AID WITHHLDG)
5.000%, 04/01/19......................................... 1,210 1,225,319
-----------
TOTAL SOUTH CAROLINA........................................ 22,957,360
-----------
TENNESSEE -- (4.2%)
City of Kingsport (GO) Series A
5.000%, 09/01/21......................................... 510 548,673
Hamilton County (GO) Series B
5.000%, 03/01/22......................................... 2,000 2,178,160
Maury County (GO) Series B
5.000%, 04/01/20......................................... 1,205 1,253,586
Metropolitan Government of Nashville & Davidson County (GO)
5.000%, 01/01/26......................................... 7,165 8,261,890
4.000%, 07/01/28......................................... 1,000 1,085,950
Metropolitan Government of Nashville & Davidson County (GO)
Series C
5.000%, 07/01/21......................................... 5,000 5,364,200
Rutherford County (GO) Series B
5.000%, 04/01/23......................................... 4,085 4,541,703
Shelby County (GO)
5.000%, 04/01/25......................................... 5,000 5,733,200
Shelby County (GO) Series A
5.000%, 04/01/20......................................... 1,500 1,561,335
Sullivan County (GO) Series A
5.000%, 04/01/21......................................... 1,000 1,065,210
Sumner County (GO)
5.000%, 06/01/21......................................... 650 695,909
5.000%, 12/01/21......................................... 900 974,367
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
TENNESSEE -- (Continued)
Washington County (GO) Series A
4.000%, 06/01/26......................................... 1,705 $ 1,855,995
-----------
TOTAL TENNESSEE............................................. 35,120,178
-----------
TEXAS -- (14.9%)
City of Arlington (GO)
5.000%, 08/15/25......................................... 1,000 1,145,710
City of Austin (GO)
5.000%, 09/01/25......................................... 2,305 2,647,546
City of Dallas (GO)
5.000%, 02/15/19......................................... 1,600 1,613,792
City of Dallas Waterworks & Sewer System Revenue (RB)
Series A
5.000%, 10/01/22......................................... 9,000 9,886,680
City of Frisco (GO) Series A
5.000%, 02/15/25......................................... 2,000 2,277,880
City of Garland (GO) Series A
5.000%, 02/15/24......................................... 400 448,164
City of Houston (GO) Series A
5.000%, 03/01/27......................................... 5,000 5,808,050
City of Lubbock (GO)
5.000%, 02/15/23......................................... 4,000 4,421,040
City of San Antonio (GO)
5.000%, 02/01/20......................................... 2,500 2,590,600
5.000%, 02/01/21......................................... 2,200 2,334,772
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/24......................................... 9,515 10,702,567
5.000%, 02/01/26......................................... 2,850 3,288,871
City of San Antonio Electric & Gas Systems Revenue (RB)
Series D
5.000%, 02/01/19......................................... 310 312,378
City of Sugar Land (GO)
5.000%, 02/15/21......................................... 1,050 1,114,680
Conroe Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/26......................................... 8,710 10,020,419
Cypress-Fairbanks Independent School District (GO) (PSF-GTD)
5.000%, 02/15/21......................................... 800 849,832
Dallas County Community College District (GO)
5.000%, 02/15/21......................................... 2,155 2,289,731
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24......................................... 3,035 3,432,555
146
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
TEXAS -- (Continued) Fort Worth Independent School
District (GO)
5.000%, 02/15/20....................................... 4,000 $ 4,147,880
Frisco Independent School District (GO) (PSF-GTD)
5.000%, 08/15/20....................................... 2,460 2,583,025
Goose Creek Consolidated Independent School District (GO)
(PSF-GTD)
5.000%, 02/15/27....................................... 3,000 3,477,720
Highland Park Independent School District (GO)
5.000%, 02/15/23....................................... 3,120 3,453,777
Houston Independent School District (GO) (PSF-GTD)
5.000%, 02/15/27....................................... 5,000 5,808,250
Humble Independent School District (GO) (PSF-GTD) Series A
2.000%, 02/15/19....................................... 660 660,211
Permanent University Fund - University of Texas System
(RB) Series B
5.250%, 07/01/28....................................... 2,610 3,130,904
Pflugerville Independent School District (GO) (PSF-GTD)
4.000%, 08/15/20....................................... 2,000 2,065,160
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/24....................................... 2,225 2,496,405
San Antonio Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20....................................... 1,790 1,856,176
Texas State (GO)
5.000%, 04/01/19....................................... 1,150 1,164,605
5.000%, 10/01/23....................................... 4,200 4,699,086
Texas State
4.000%, 08/29/19....................................... 2,000 2,031,640
Texas Transportation
Commission State Highway Fund (RB)
5.000%, 10/01/26....................................... 2,505 2,909,132
University of Texas System (The) (RB) Series C
5.000%, 08/15/19....................................... 100 102,341
University of Texas System (The) (RB) Series J
5.000%, 08/15/25....................................... 12,500 14,363,250
5.000%, 08/15/26....................................... 3,850 4,464,999
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
TEXAS -- (Continued) Ysleta Independent School District
(GO) (PSF-GTD) Series A
5.000%, 08/15/20......................................... 460 $ 483,005
------------
TOTAL TEXAS 125,082,833
------------
UTAH -- (0.8%) City of American Fork (GO)
5.000%, 05/01/26......................................... 1,165 1,337,245
Davis School District (GO) (SCH BD GTY)
5.000%, 06/01/23......................................... 1,000 1,114,420
Tooele County School District (GO) (SCH BD GTY) Series B
5.000%, 06/01/22......................................... 650 710,918
Utah State (GO)
5.000%, 07/01/22......................................... 1,500 1,645,920
Utah State (GO) Series C
5.000%, 07/01/19......................................... 900 918,297
Weber School District (GO) (SCH BD GTY)
5.000%, 06/15/21......................................... 650 696,410
------------
TOTAL UTAH 6,423,210
------------
VERMONT -- (0.2%) Vermont State (GO) Series C
4.000%, 08/15/23......................................... 1,300 1,398,358
------------
VIRGINIA -- (5.4%) Arlington County (GO)
5.000%, 08/15/27......................................... 4,000 4,718,600
5.000%, 08/15/27......................................... 3,820 4,506,263
Arlington County (GO) Series B
5.000%, 08/15/22......................................... 4,830 5,309,329
City of Lynchburg (GO)
5.000%, 02/01/26......................................... 1,930 2,235,481
City of Manassas (GO) (ST AID WITHHLDG) Series C
5.000%, 07/01/21......................................... 1,040 1,116,866
City of Richmond (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/21......................................... 900 958,608
City of Virginia Beach (GO) (ST AID WITHHLDG) Series B
5.000%, 09/15/24......................................... 3,000 3,417,540
Fairfax County (GO) (ST AIDWITHHLDG) Series A
5.000%, 10/01/19......................................... 2,000 2,055,140
147
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
VIRGINIA -- (Continued)
5.000%, 10/01/23............................................ 4,775 $ 5,366,002
5.000%, 10/01/26............................................ 5,535 6,496,817
Loudoun County (GO) Series A
5.000%, 12/01/21............................................ 5,000 5,420,900
Virginia Public Building Authority (RB) Series C
5.000%, 08/01/23............................................ 600 669,864
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20............................................ 200 211,326
Virginia State
5.000%, 06/01/27............................................ 2,115 2,499,528
-----------
TOTAL VIRGINIA.................................................. 44,982,264
-----------
WASHINGTON -- (4.4%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20............................................ 175 182,130
City of Seattle Municipal Light & Power Revenue (RB) Series B
5.000%, 04/01/24............................................ 3,000 3,385,590
City of Seattle Water System Revenue (RB)
5.000%, 09/01/19............................................ 190 194,746
City of Spokane (GO)
5.000%, 12/01/25............................................ 1,165 1,339,855
Clark County School District No. 119 Battleground (GO) (SCH BD
GTY)
4.000%, 12/01/21............................................ 510 536,413
King & Snohomish Counties School District No. 417 Northshore
(GO) (SCH BD GTY)
5.000%, 12/01/19............................................ 2,825 2,916,332
King County (GO) Series A
5.000%, 07/01/20............................................ 700 733,355
5.000%, 12/01/25............................................ 1,830 2,114,876
King County School District No. 405 Bellevue (GO) (SCH BD GTY)
5.000%, 12/01/24............................................ 2,265 2,583,912
King County School District No. 414 Lake Washington (GO) (SCH
BD GTY)
5.000%, 12/01/22............................................ 925 1,021,348
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/22............................................ 2,080 2,296,653
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
WASHINGTON -- (Continued)
Port of Seattle (GO)
5.000%, 06/01/21............................................ 3,150 $ 3,373,303
Washington State (GO)
5.000%, 08/01/27............................................ 4,800 5,618,112
Washington State (GO) Series 2017-A
5.000%, 08/01/26............................................ 1,480 1,719,834
Washington State (GO) Series A
5.000%, 07/01/19............................................ 1,585 1,617,223
5.000%, 08/01/21............................................ 500 537,105
Washington State (GO) Series C
5.000%, 02/01/25............................................ 1,930 2,202,593
Washington State (GO) Series R-2012C
4.000%, 07/01/21............................................ 150 156,986
Washington State (GO) Series R-2013A
5.000%, 07/01/20............................................ 2,775 2,906,313
Washington State (GO) Series R-2015
5.000%, 07/01/20............................................ 1,560 1,633,819
-----------
TOTAL WASHINGTON................................................ 37,070,498
-----------
WISCONSIN -- (4.7%)
City of Janesville (GO)
3.000%, 03/01/24............................................ 1,245 1,272,104
City of Milwaukee (GO)
5.000%, 05/01/20............................................ 2,370 2,472,573
City of Milwaukee (GO) Series N1
5.000%, 02/01/19............................................ 100 100,772
City of Milwaukee (GO) Series N2
4.000%, 03/01/24............................................ 6,500 7,003,815
City of Milwaukee (GO) Series N4
5.000%, 04/01/27............................................ 1,510 1,754,997
5.000%, 04/01/28............................................ 9,990 11,707,281
City of Oshkosh (GO) Series B
3.000%, 12/01/23............................................ 650 665,093
Germantown School District (GO) Series A
5.000%, 04/01/27............................................ 2,200 2,578,532
Oregon School District (GO)
3.000%, 03/01/21............................................ 1,900 1,928,253
Wisconsin State (GO) Series
1 5.000%, 11/01/24.......................................... 4,025 4,587,011
148
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
WISCONSIN -- (Continued)
Wisconsin State (GO) Series 2
5.000%, 11/01/20...................................... 800 $ 844,824
5.000%, 11/01/22...................................... 600 661,770
Wisconsin State (GO) Series B
5.000%, 05/01/21...................................... 3,405 3,639,707
------------
TOTAL WISCONSIN........................................... 39,216,732
------------
TOTAL MUNICIPAL BONDS..................................... 838,596,477
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $860,767,008)......... $838,596,477
============
As of October 31, 2018, DFA Municipal Real Return Portfolio had entered into
the following outstanding Inflation Swaps:
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- -------- --------- --------------
Bank of America
Corp.......... 2.373% Fixed CPI Maturity USD 18,000,000 07/13/26 -- -- $(207,174) $(207,174)
Bank of America
Corp.......... 2.355% Fixed CPI Maturity USD 17,000,000 05/29/28 -- -- (145,338) (145,338)
Bank of America
Corp.......... 2.349% Fixed CPI Maturity USD 14,000,000 08/13/27 -- -- (140,624) (140,624)
Bank of America
Corp.......... 2.349% Fixed CPI Maturity USD 14,000,000 09/20/26 -- -- (135,756) (135,756)
Bank of America
Corp.......... 2.327% Fixed CPI Maturity USD 17,000,000 07/30/24 -- -- (151,556) (151,556)
Bank of America
Corp.......... 2.243% Fixed CPI Maturity USD 15,000,000 11/01/27 -- -- 14,059 14,059
Bank of America
Corp.......... 2.195% Fixed CPI Maturity USD 15,000,000 01/09/24 -- -- 5,963 5,963
Bank of America
Corp.......... 2.192% Fixed CPI Maturity USD 14,000,000 03/29/25 -- -- (11,134) (11,134)
Bank of America
Corp.......... 2.185% Fixed CPI Maturity USD 17,000,000 03/03/23 -- -- (9,659) (9,659)
Bank of America
Corp.......... 2.177% Fixed CPI Maturity USD 11,000,000 09/20/27 -- -- 135,043 135,043
Bank of America
Corp.......... 2.149% Fixed CPI Maturity USD 14,000,000 08/10/27 -- -- 185,524 185,524
Bank of America
Corp.......... 2.064% Fixed CPI Maturity USD 13,000,000 10/24/24 -- -- 190,289 190,289
Bank of America
Corp.......... 2.029% Fixed CPI Maturity USD 15,000,000 05/24/25 -- -- 227,791 227,791
Bank of America
Corp.......... 2.004% Fixed CPI Maturity USD 14,000,000 06/13/25 -- -- 252,193 252,193
Bank of America
Corp.......... 1.902% Fixed CPI Maturity USD 25,000,000 07/14/22 -- -- 399,551 399,551
Bank of America
Corp.......... 1.826% Fixed CPI Maturity USD 26,000,000 11/07/20 -- -- 384,982 384,982
Bank of America
Corp.......... 1.715% Fixed CPI Maturity USD 11,000,000 09/28/23 -- -- 374,433 374,433
149
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- -------- ----------- --------------
Bank of America
Corp.......... 1.706% Fixed CPI Maturity USD 11,000,000 06/14/22 -- -- $ 336,173 $ 336,173
Bank of America
Corp.......... 1.704% Fixed CPI Maturity USD 27,000,000 05/31/21 -- -- 698,152 698,152
Bank of America
Corp.......... 1.663% Fixed CPI Maturity USD 17,000,000 04/15/22 -- -- 548,502 548,502
Bank of America
Corp.......... 1.619% Fixed CPI Maturity USD 12,000,000 10/14/22 -- -- 339,005 339,005
Bank of America
Corp.......... 1.610% Fixed CPI Maturity USD 20,000,000 12/31/20 -- -- 439,034 439,034
Bank of America
Corp.......... 1.609% Fixed CPI Maturity USD 17,000,000 06/24/21 -- -- 510,484 510,484
Bank of America
Corp.......... 1.580% Fixed CPI Maturity USD 14,000,000 12/30/20 -- -- 328,165 328,165
Bank of America
Corp.......... 1.548% Fixed CPI Maturity USD 8,000,000 01/08/21 -- -- 203,108 203,108
Bank of America
Corp.......... 1.530% Fixed CPI Maturity USD 19,000,000 12/24/20 -- -- 491,073 491,073
Bank of America
Corp.......... 1.520% Fixed CPI Maturity USD 14,000,000 12/23/20 -- -- 368,621 368,621
Bank of America
Corp.......... 0.022% Fixed CPI Maturity USD 16,000,000 02/14/24 -- -- 3,224 3,224
Citibank, N.A... 2.367% Fixed CPI Maturity USD 10,000,000 05/04/28 -- -- (117,317) (117,317)
Citibank, N.A... 2.234% Fixed CPI Maturity USD 34,000,000 01/23/24 -- -- (39,154) (39,154)
Citibank, N.A... 2.171% Fixed CPI Maturity USD 11,000,000 04/07/24 -- -- (4,588) (4,588)
Citibank, N.A... 2.148% Fixed CPI Maturity USD 19,000,000 01/04/24 -- -- 82,198 82,198
Citibank, N.A... 2.114% Fixed CPI Maturity USD 14,000,000 12/19/23 -- -- 87,361 87,361
Citibank, N.A... 2.112% Fixed CPI Maturity USD 11,000,000 05/02/24 -- -- 45,070 45,070
Citibank, N.A... 2.112% Fixed CPI Maturity USD 27,000,000 12/21/24 -- -- 213,660 213,660
Citibank, N.A... 2.102% Fixed CPI Maturity USD 11,000,000 11/21/26 -- -- 149,865 149,865
Citibank, N.A... 2.100% Fixed CPI Maturity USD 18,000,000 12/11/25 -- -- 186,170 186,170
Citibank, N.A... 2.087% Fixed CPI Maturity USD 23,000,000 12/29/22 -- -- 136,750 136,750
Citibank, N.A... 2.005% Fixed CPI Maturity USD 12,000,000 11/09/25 -- -- 245,347 245,347
Citibank, N.A... 1.986% Fixed CPI Maturity USD 20,000,000 07/24/23 -- -- 303,596 303,596
Citibank, N.A... 1.789% Fixed CPI Maturity USD 21,000,000 03/31/24 -- -- 683,013 683,013
Citibank, N.A... 1.752% Fixed CPI Maturity USD 17,000,000 05/20/23 -- -- 577,032 577,032
Citibank, N.A... 1.718% Fixed CPI Maturity USD 16,000,000 05/27/20 -- -- 331,461 331,461
Citibank, N.A... 1.698% Fixed CPI Maturity USD 22,000,000 06/02/22 -- -- 701,676 701,676
Citibank, N.A... 1.581% Fixed CPI Maturity USD 10,000,000 12/28/20 -- -- 234,067 234,067
Citibank, N.A... 1.578% Fixed CPI Maturity USD 25,000,000 08/09/23 -- -- 1,054,495 1,054,495
Citibank, N.A... 1.577% Fixed CPI Maturity USD 10,000,000 11/18/21 -- -- 281,274 281,274
Citibank, N.A... 1.555% Fixed CPI Maturity USD 10,000,000 12/11/20 -- -- 243,506 243,506
Citibank, N.A... 1.533% Fixed CPI Maturity USD 10,000,000 11/10/20 -- -- 230,871 230,871
Citibank, N.A... 1.520% Fixed CPI Maturity USD 24,000,000 08/01/21 -- -- 777,934 777,934
Citibank, N.A... 1.481% Fixed CPI Maturity USD 17,000,000 08/18/21 -- -- 567,028 567,028
Citibank, N.A... 1.253% Fixed CPI Maturity USD 12,000,000 02/11/22 -- -- 615,432 615,432
-- -- ----------- -----------
TOTAL........... -- -- $13,220,875 $13,220,875
== == =========== ===========
150
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Municipal Bonds....................... -- $838,596,477 -- $838,596,477
Swap Agreements**..................... -- 13,220,875 -- 13,220,875
-- ------------ -- ------------
TOTAL................................. -- $851,817,352 -- $851,817,352
== ============ == ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
151
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Albany Unified School District (GO)
5.000%, 08/01/25................................. 230 $ 266,726
Alhambra Unified School District (GO) Series A
1.750%, 08/01/22................................. 300 292,818
Alhambra Unified School District (GO) Series B
5.000%, 08/01/23................................. 100 112,938
Anaheim Housing & Public Improvements Authority (RB)
(currency) 5.000%, 10/01/33 (Pre-refunded @ $100, 10/1/21).. 500 542,540
(currency) 5.000%, 10/01/41 (Pre-refunded @ $100, 10/1/21).. 1,320 1,432,306
Bay Area Toll Authority (RB)
Series S-4
(currency) 5.250%, 04/01/53 (Pre-refunded @ $100, 4/1/23)... 250 283,705
Berkeley Unified School District (GO) Series E
5.000%, 08/01/27................................. 695 837,392
Beverly Hills Unified School District (GO)
2.000%, 08/01/22................................. 150 149,568
Burbank Unified School District (GO)
5.000%, 08/01/24................................. 565 650,281
Cajon Valley Union School District (GO)
5.000%, 08/01/24................................. 305 349,438
California Infrastructure & Economic Development Bank (RB) (AMBAC)
(currency) 5.000%, 07/01/36 (Pre-refunded @ $100, 1/1/28)... 100 119,184
California Municipal Finance Authority (RB)
(currency) 6.000%, 01/01/42 (Pre-refunded @ $100, 1/1/22)... 250 280,175
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
California State (GO)
5.000%, 12/01/22................................. 500 $ 553,930
5.000%, 08/01/23................................. 585 655,071
5.000%, 10/01/25................................. 1,700 1,962,446
5.000%, 08/01/26................................. 2,380 2,769,297
5.000%, 08/01/26................................. 2,540 2,955,468
5.000%, 09/01/26................................. 3,215 3,743,514
4.000%, 11/01/26................................. 1,735 1,900,172
3.500%, 08/01/27................................. 2,835 2,990,188
5.000%, 08/01/27................................. 4,200 4,915,848
5.000%, 11/01/27................................. 200 234,782
California State (GO) Series A
(currency) 5.250%, 07/01/21 (Pre-refunded @ $100, 7/1/19)... 365 373,658
California State (GO) (AMBAC)
5.000%, 02/01/27................................. 625 727,606
California State (GO) (ETM) Series A
5.000%, 07/01/19................................. 150 153,311
California State Department of Water Resources (RB) Series AS
5.000%, 12/01/24................................. 775 901,209
California State Department of Water Resources Power Supply
Revenue (RB) Series L
5.000%, 05/01/19................................. 250 254,093
5.000%, 05/01/20................................. 325 340,099
(currency) 5.000%, 05/01/22 (Pre-refunded @ $100, 5/1/20)... 1,000 1,046,460
California State Department of Water Resources Power Supply
Revenue (RB) Series O
5.000%, 05/01/21................................. 1,225 1,315,944
5.000%, 05/01/22................................. 1,675 1,843,321
California State Public Works Board (RB)
(currency) 6.125%, 11/01/29 (Pre-refunded @ $100, 11/1/19).. 1,000 1,043,470
152
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
California State Public Works Board (RB) Series C-1
(currency) 5.000%, 03/01/22 (Pre-refunded @ $100, 3/1/20).. 310 $ 322,893
California State Public Works Board (RB) Series D
(currency) 5.000%, 09/01/24 (Pre-refunded @ $100, 9/1/22).. 935 1,037,915
(currency) 5.000%, 09/01/29 (Pre-refunded @ $100, 9/1/22).. 1,250 1,387,587
California State University (RB) Series A
5.000%, 11/01/20................................ 570 605,277
5.000%, 11/01/21................................ 250 272,247
5.000%, 11/01/23................................ 375 425,764
5.000%, 11/01/23................................ 1,935 2,196,941
Camrosa Water District Financing Authority (RB) Series A
4.000%, 01/15/22................................ 205 217,983
Carlsbad Unified School District (GO)
5.000%, 08/01/26................................ 310 367,142
City & County of San Francisco (GO) Series E
5.000%, 06/15/22................................ 200 221,288
City & County of San Francisco (GO) Series R1
5.000%, 06/15/19................................ 375 382,680
5.000%, 06/15/21................................ 250 269,975
City of Grover Beach (GO)
5.000%, 09/01/22................................ 390 432,319
5.000%, 09/01/26................................ 345 408,677
5.000%, 09/01/27................................ 445 533,039
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18................................ 400 400,484
City of Los Angeles (GO) Series B
5.000%, 09/01/19................................ 150 153,962
City of Los Angeles CA (RN)
4.000%, 06/27/19................................ 2,000 2,028,780
City of Pacifica COP
5.000%, 01/01/24................................ 250 283,592
City of Pasadena Electric Revenue (RB) Series A
5.000%, 06/01/23................................ 975 1,100,580
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
City of Pittsburg Water Revenue (RB) Series A
5.000%, 08/01/24................................ 275 $ 315,227
City of San Francisco Public Utilities Commission Water
Revenue (RB)
5.000%, 11/01/23................................ 855 975,093
5.000%, 11/01/24................................ 1,000 1,159,560
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series D
5.000%, 11/01/25................................ 220 259,279
5.000%, 11/01/26................................ 150 178,827
Cloverdale Unified School District (GO) (AGM) Series A
(currency) 5.250%, 08/01/32 (Pre-refunded @ $100, 8/1/21) 235 255,903
Conejo Valley Unified School District (GO) Series B
4.000%, 08/01/27................................ 525 585,202
Contra Costa Transportation Authority (RB) Series A
5.000%, 03/01/23................................ 260 292,425
5.000%, 03/01/24................................ 750 860,752
Contra Costa Transportation Authority (RB) Series B
(currency) 5.000%, 03/01/23 (Pre-refunded @ $100, 3/1/20).. 225 234,358
Contra Costa Water District (RB) Series U
5.000%, 10/01/19................................ 100 103,025
Culver City Unified School District (GO) Series C
8.000%, 08/01/23................................ 460 581,279
Desert Sands Unified School District (GO) Series A
5.000%, 06/01/23................................ 375 422,426
Dixie School District (GO)
5.000%, 08/01/21................................ 500 540,725
Dublin-San Ramon Services District Water Revenue (RB)
(currency) 5.500%, 08/01/34 (Pre-refunded @ $100, 2/1/21).. 1,425 1,538,273
El Monte Union High School District (GO)
5.000%, 06/01/24................................ 250 285,017
153
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Elsinore Valley Municipal Water District Financing Authority
(RB) Series A
5.000%, 07/01/24................................. 400 $ 459,096
Emery Unified School District (GO)
5.000%, 08/01/27................................. 600 712,506
Fairfield-Suisun Unified School District (GO)
5.000%, 08/01/26................................. 695 822,032
Grossmont Healthcare District (GO) Series C
5.000%, 07/15/23................................. 1,000 1,125,840
Grossmont Union High School District (GO)
5.000%, 08/01/21................................. 200 216,458
Kern High School District (GO) Series E
4.000%, 08/01/24................................. 200 219,330
Los Angeles Community College District (GO) Series C
5.000%, 08/01/22................................. 360 399,758
Los Angeles County Metropolitan Transportation Authority (RB)
(currency) 5.000%, 07/01/23 (Pre-refunded @ $100, 7/1/21)... 1,000 1,080,130
Los Angeles County Metropolitan Transportation Authority
(RB) Series A
5.000%, 07/01/19................................. 1,200 1,226,004
5.000%, 07/01/22................................. 1,600 1,771,712
5.000%, 07/01/24................................. 600 692,094
Los Angeles Department of Water (RB) Series A
5.000%, 07/01/25................................. 1,000 1,175,360
Los Angeles Department of Water & Power Power System Revenue
(RB) Series A
5.000%, 07/01/19................................. 300 306,501
5.000%, 07/01/20................................. 515 541,363
Los Angeles Department of Water & Power Power System Revenue
(RB) Series B
5.000%, 07/01/23................................. 825 932,704
5.000%, 07/01/26................................. 400 474,860
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Los Angeles Department of Water & Power Power System Revenue
(RB) Series C
5.000%, 07/01/26................................. 335 $ 397,695
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/19................................. 1,000 1,021,670
5.000%, 07/01/24................................. 1,425 1,633,078
5.000%, 07/01/26................................. 1,085 1,270,600
5.000%, 07/01/27................................. 480 567,202
Los Angeles Unified School District (GO) Series B-1
5.000%, 07/01/27................................. 175 206,792
Los Rios Community College District (GO) Series F
2.000%, 08/01/20................................. 200 200,752
Merced Community College District (GO)
4.000%, 08/01/19................................. 200 203,502
Mesa Water District COP
(currency) 5.000%, 03/15/22 (Pre-refunded @ $100, 3/15/20).. 500 521,050
Millbrae Public Financing Authority (RB)
5.000%, 12/01/25................................. 390 455,383
5.000%, 12/01/26................................. 265 312,136
5.000%, 12/01/27................................. 385 457,927
Morongo Unified School District (GO) Series A
5.000%, 08/01/25................................. 20 23,167
5.000%, 08/01/26................................. 280 328,154
5.000%, 08/01/27................................. 130 153,707
Mount Diablo Unified School District (GO) Series G
3.000%, 08/01/24................................. 130 135,083
Municipal Improvement Corp. of Los Angeles (RB) Series A
5.000%, 11/01/22................................. 1,100 1,221,253
5.000%, 11/01/23................................. 750 848,865
5.000%, 11/01/24................................. 425 489,196
Napa Valley Community College District (GO) Series A
5.000%, 08/01/21................................. 250 270,013
New Haven Unified School District (GO)
5.000%, 08/01/26................................. 150 177,300
154
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Northern California Transmission Agency (RB) Series A
5.000%, 05/01/24................................ 280 $ 319,295
Northern Humboldt Union High School District (GO)
4.000%, 08/01/25................................ 120 131,813
Novato Sanitary District (RB)
5.000%, 02/01/22................................ 340 371,793
Oak Park Unified School District (GO)
4.000%, 08/01/22................................ 200 213,620
Oakdale Joint Unified School District (GO)
4.000%, 08/01/23................................ 400 431,528
4.000%, 08/01/24................................ 175 190,631
Oakland Unified School District/ Alameda County (GO)
5.000%, 08/01/24................................ 750 854,505
(currency) 6.625%, 08/01/38 (Pre-refunded @ $100, 8/1/21).. 800 900,224
Oakland Unified School District/ Alameda County (GO) Series
A
5.000%, 08/01/25................................ 200 231,128
Oakland Unified School District/ Alameda County (GO) Series
C
5.000%, 08/01/24................................ 510 581,063
Oakland Unified School District/ Alameda County (GO) (AGM)
5.000%, 08/01/25................................ 1,075 1,242,313
Ontario Montclair School District (GO) (AGM) Series B
5.000%, 08/01/21................................ 160 172,496
Otay Water District (RB)
5.000%, 09/01/22................................ 740 820,875
Pacific Grove Unified School District (GO)
3.000%, 08/01/26................................ 210 217,199
Pajaro Valley Unified School District (GO) Series D
4.000%, 08/01/19................................ 370 376,283
Palm Springs Financing Authority (RB)
5.000%, 11/01/25................................ 260 304,949
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Palomar Community College District (GO)
5.000%, 05/01/23................................ 200 $ 225,682
Pasadena Unified School District (GO)
5.000%, 08/01/26................................ 525 620,146
Pasadena Unified School District (GO) Series B
5.000%, 08/01/26................................ 1,000 1,181,230
Placentia-Yorba Linda Unified School District (GO)
5.000%, 08/01/23................................ 205 230,635
Port of Los Angeles (RB) Series A
5.000%, 08/01/19................................ 750 768,450
Redondo Beach Unified School District (GO) (AGM) Series A
5.000%, 08/01/23................................ 255 287,500
Reed Union School District (GO)
4.000%, 08/01/26................................ 250 278,680
Regents of the University of California Medical Center
Pooled Revenue (RB) Series J
(currency) 5.000%, 05/15/25 (Pre-refunded @ $100, 5/15/23). 530 596,409
(currency) 5.250%, 05/15/27 (Pre-refunded @ $100, 5/15/23). 260 295,378
Riverside Unified School District (GO) Series A
5.000%, 08/01/19................................ 775 793,949
Ross Valley Public Financing Authority (RB)
5.000%, 01/01/25................................ 410 473,013
Sacramento County Sanitation Districts Financing Authority
(RB) (NATL) Series A
5.250%, 12/01/20................................ 510 544,144
Sacramento Municipal Utility District (RB) Series D
5.000%, 08/15/22................................ 1,350 1,501,632
Sacramento Municipal Utility District (RB) Series E
5.000%, 08/15/23................................ 350 397,687
San Carlos CA School District (GO)
5.000%, 10/01/20................................ 500 529,185
155
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
San Diego Community College District (GO)
5.000%, 08/01/23................................ 500 $ 567,840
5.000%, 08/01/26................................ 275 328,482
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
(currency) 5.250%, 05/15/39 (Pre-refunded @ $100, 5/15/19). 475 484,215
San Diego Unified School District (GO) (AGM) Series F-1
5.250%, 07/01/27................................ 475 579,481
San Diego Unified School District (GO) Series R-5
5.000%, 07/01/26................................ 200 237,274
San Francisco Bay Area Rapid Transit District (GO)
5.000%, 08/01/20................................ 1,030 1,085,496
San Francisco Community College District (GO)
5.000%, 06/15/24................................ 1,315 1,507,845
San Francisco County Transportation Authority (RB)
3.000%, 02/01/22................................ 1,300 1,340,235
San Francisco Unified School District (GO) Series A
5.000%, 06/15/25................................ 650 758,914
5.000%, 06/15/26................................ 880 1,041,119
San Gabriel Unified School District (GO) Series A
5.000%, 08/01/25................................ 230 266,883
San Lorenzo Unified School District (GO)
5.000%, 08/01/21................................ 140 151,130
San Mateo Union High School District (GO) Series C
4.000%, 09/01/26................................ 320 357,069
San Matro County Community College District (GO) Series B
5.000%, 09/01/28................................ 100 121,086
San Rafael City High School District (GO) Series B
5.000%, 08/01/27................................ 100 119,703
Santa Clara County Financing Authority (RB) Series A
5.000%, 11/15/22................................ 2,000 2,233,180
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Santa Clara Unified School District (GO)
5.000%, 07/01/19................................ 1,200 $1,225,596
Santa Clara Valley Transportation Authority (RB) Series A
5.000%, 06/01/26................................ 400 474,120
Santa County Clara (GO) Series C
5.000%, 08/01/26................................ 1,100 1,309,616
Santa Paula Union High School District (GO) Series A
5.000%, 08/01/19................................ 260 266,240
Santee School District (GO)
5.000%, 08/01/24................................ 290 332,253
Scotts Valley Unified School District (GO) Series B
4.000%, 08/01/24................................ 150 163,989
4.000%, 08/01/25................................ 250 275,755
5.000%, 08/01/26................................ 250 294,920
Simi Valley Unified School District (GO)
5.000%, 08/01/19................................ 610 624,866
Southern California Water Replenishment District (RB)
5.000%, 08/01/24................................ 625 721,525
Southwestern Community College District (GO) Series B
4.000%, 08/01/25................................ 250 275,427
Sylvan Union School District (GO) Series C
5.000%, 08/01/25................................ 380 440,937
Tahoe-Truckee Unified School District (GO)
5.000%, 08/01/26................................ 100 118,588
Tahoe-Truckee Unified School District (GO) Series C
2.000%, 08/01/20................................ 1,190 1,193,046
University of California (RB) Series AF
(currency) 5.000%, 05/15/27 (Pre-refunded @ $100, 5/15/23). 1,550 1,747,811
Washington Union School District/ Monterey County (GO)
5.000%, 08/01/27................................ 135 160,082
156
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
CALIFORNIA -- (Continued)
West Valley-Mission Community College District (GO) Series B
5.000%, 08/01/27................................................. 220 $ 264,304
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $120,317,893).............................................. $117,836,189
============
As of October 31, 2018, DFA California Municipal Real Return Portfolio had
entered into the following outstanding Inflation Swaps:
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- -------- -------- --------------
Bank of
America....
Corp......... 2.367% Fixed CPI Maturity USD 6,000,000 07/17/25 -- -- $(66,665) $(66,665)
Bank of
America....
Corp......... 2.265% Fixed CPI Maturity USD 7,000,000 02/23/24 -- -- (22,850) (22,850)
Bank of
America....
Corp......... 2.063% Fixed CPI Maturity USD 4,000,000 11/08/23 -- -- 45,330 45,330
Bank of
America....
Corp......... 2.060% Fixed CPI Maturity USD 11,000,000 11/06/21 -- -- 84,872 84,872
Bank of
America....
Corp......... 2.058% Fixed CPI Maturity USD 11,000,000 12/12/22 -- -- 76,490 76,490
Citibank,
N.A........ 2.312% Fixed CPI Maturity USD 7,000,000 07/24/23 -- -- (53,467) (53,467)
Citibank,
N.A........ 2.289% Fixed CPI Maturity USD 12,000,000 07/26/23 -- -- (79,377) (79,377)
Citibank,
N.A........ 2.260% Fixed CPI Maturity USD 10,000,000 08/08/22 -- -- (57,707) (57,707)
Citibank,
N.A........ 2.225% Fixed CPI Maturity USD 6,000,000 03/26/23 -- -- (18,022) (18,022)
Citibank,
N.A........ 2.160% Fixed CPI Maturity USD 7,000,000 01/09/23 -- -- 16,048 16,048
Citibank,
N.A........ 2.143% Fixed CPI Maturity USD 8,000,000 01/18/22 -- -- 12,678 12,678
Citibank,
N.A........ 2.075% Fixed CPI Maturity USD 5,000,000 12/06/23 -- -- 39,778 39,778
Citibank,
N.A........ 2.065% Fixed CPI Maturity USD 4,000,000 11/09/21 -- -- 28,168 28,168
Citibank,
N.A........ 2.054% Fixed CPI Maturity USD 10,000,000 11/06/22 -- -- 99,291 99,291
Citibank,
N.A........ 2.043% Fixed CPI Maturity USD 6,000,000 11/07/22 -- -- 61,716 61,716
Merrill
Lynch......
Capital
Services,..
Inc.......... 2.317% Fixed CPI Maturity USD 6,000,000 05/09/25 -- -- (28,013) (28,013)
-- -- -------- --------
TOTAL........ -- -- $138,270 $138,270
== == ======== ========
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Municipal Bonds......................... -- $117,836,189 -- $117,836,189
Swap Agreements**....................... -- 138,270 -- 138,270
-- ------------ -- ------------
TOTAL................................... -- $117,974,459 -- $117,974,459
== ============ == ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
157
DFA MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.5%)
Alabama State (GO) Series A
5.000%, 08/01/20........................................ 200 $ 209,892
5.000%, 08/01/21........................................ 1,000 1,075,050
5.000%, 08/01/23........................................ 300 335,505
Baldwin County (GO)
4.000%, 05/01/20........................................ 610 627,269
----------
TOTAL ALABAMA............................................... 2,247,716
----------
ALASKA -- (0.4%)
Alaska State (GO) Series B
5.000%, 08/01/20........................................ 290 303,885
Borough of Fairbanks North Star (GO) Series S
4.000%, 10/01/21........................................ 560 587,160
City of Anchorage (GO) Series A
3.000%, 09/01/22........................................ 765 784,798
----------
TOTAL ALASKA................................................ 1,675,843
----------
ARIZONA -- (0.4%)
City of Chandler (GO)
3.000%, 07/01/20........................................ 550 558,041
City of Phoenix (GO)
4.000%, 07/01/21........................................ 500 523,550
Maricopa County School District No. 3 Tempe Elementary (GO)
3.000%, 07/01/21........................................ 550 560,742
----------
TOTAL ARIZONA............................................... 1,642,333
----------
ARKANSAS -- (0.7%)
Arkansas State (GO)
5.000%, 04/01/21........................................ 400 426,376
5.000%, 06/15/21........................................ 1,250 1,338,913
5.000%, 04/01/22........................................ 1,110 1,209,367
----------
TOTAL ARKANSAS.............................................. 2,974,656
----------
CALIFORNIA -- (1.5%)
California State (GO)
5.000%, 09/01/26........................................ 1,195 1,391,446
3.500%, 08/01/27........................................ 5,000 5,273,700
----------
TOTAL CALIFORNIA............................................ 6,665,146
----------
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
COLORADO -- (1.4%)
Boulder Valley School District No. Re-2 Boulder (GO) (ST
AID WITHHLDG) Series B
4.000%, 12/01/24........................................ 1,000 $1,085,290
Denver City & County School District No. 1 (GO) (ST AID
WITHHLDG) Series B
5.000%, 12/01/24........................................ 550 627,770
Pueblo City Schools (GO) (ST AID WITHHLDG)
5.000%, 12/15/20........................................ 550 582,175
Weld County School District No. RE-4 (GO) (ST INTERCEPT)
4.000%, 12/01/22........................................ 1,140 1,210,019
5.000%, 12/01/24........................................ 2,280 2,581,758
----------
TOTAL COLORADO.............................................. 6,087,012
----------
CONNECTICUT -- (0.3%)
Connecticut State (GO) Series E
4.000%, 09/15/20........................................ 550 565,169
Hartford County Metropolitan District (GO)
5.000%, 03/01/19........................................ 600 605,820
----------
TOTAL CONNECTICUT........................................... 1,170,989
----------
DELAWARE -- (0.5%)
Kent County (GO)
4.000%, 09/01/24........................................ 415 449,038
New Castle County (GO)
5.000%, 10/01/23........................................ 1,600 1,795,648
----------
TOTAL DELAWARE.............................................. 2,244,686
----------
DISTRICT OF COLUMBIA -- (0.4%)
Washington Metropolitan Area Transit Authority (RB) Series B
5.000%, 07/01/25........................................ 720 822,240
5.000%, 07/01/27........................................ 1,000 1,163,160
----------
TOTAL DISTRICT OF COLUMBIA 1,985,400
----------
FLORIDA -- (1.9%)
City of Port Saint Lucie (GO)
5.000%, 07/01/20........................................ 420 438,534
Flagler County (GO) (BAM)
5.000%, 07/01/22........................................ 465 507,320
158
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
FLORIDA -- (Continued)
Florida State (GO) Series A
5.000%, 06/01/19....................................... 100 $ 101,780
5.000%, 06/01/24....................................... 350 397,061
Florida State Board of Education (GO) Series E
5.000%, 06/01/20....................................... 1,390 1,453,203
Florida's Turnpike Enterprise (RB) Series B
5.000%, 07/01/19....................................... 1,135 1,157,689
Miami-Dade County (GO) Series D
5.000%, 07/01/20....................................... 2,000 2,094,640
Orange County Water Utility System Revenue (RB)
5.000%, 10/01/21....................................... 525 566,722
Orlando Utilities Commission (RB) Series C
5.250%, 10/01/22....................................... 1,000 1,109,400
Palm Beach County (RB)
5.000%, 11/01/23....................................... 810 907,402
-----------
TOTAL FLORIDA.............................................. 8,733,751
-----------
GEORGIA -- (3.9%)
Cobb County School District
2.000%, 12/20/18....................................... 1,000 1,000,470
Columbia County School District (GO) (ST AID WITHHLDG)
5.000%, 04/01/20....................................... 1,305 1,358,361
Georgia State (GO) Series A
5.000%, 07/01/26....................................... 1,200 1,402,548
Georgia State (GO) Series C
5.000%, 07/01/19....................................... 2,000 2,040,660
Georgia State (GO) Series E
5.000%, 12/01/21....................................... 3,000 3,251,610
5.000%, 12/01/26....................................... 2,000 2,349,360
Georgia State (GO) Series I
5.000%, 07/01/20....................................... 2,000 2,095,300
Georgia State Road & Tollway Authority (RB) (MUN GOVT GTD)
5.000%, 10/01/23....................................... 3,455 3,874,092
-----------
TOTAL GEORGIA.............................................. 17,372,401
-----------
HAWAII -- (2.1%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23....................................... 150 168,047
5.000%, 10/01/25....................................... 725 836,425
Hawaii County (GO) Series D
5.000%, 09/01/20....................................... 1,375 1,446,198
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
HAWAII -- (Continued)
Hawaii State (GO) Series DQ
5.000%, 06/01/19................................ 300 $ 305,304
Hawaii State (GO) Series EE
5.000%, 11/01/20................................ 1,300 1,373,099
Hawaii State (GO) Series EO
5.000%, 08/01/22................................ 1,000 1,097,130
Hawaii State (GO) Series FE
5.000%, 10/01/24................................ 1,005 1,141,127
5.000%, 10/01/25................................ 2,790 3,211,178
----------
TOTAL HAWAII................................................ 9,578,508
----------
INDIANA -- (0.7%)
Indiana University (RB) Series A
5.000%, 06/01/21................................ 2,755 2,951,735
----------
IOWA -- (0.4%)
City of Davenport (GO) Series C
4.000%, 06/01/24................................ 1,410 1,517,978
Iowa Finance Authority (RB)
(currency) 5.000%, 08/01/20
(Pre-refunded @ $100, 8/1/19)................... 500 511,395
----------
TOTAL IOWA.................................................. 2,029,373
----------
KANSAS -- (1.5%)
City of Merriam (GO)
5.000%, 10/01/25................................ 800 923,504
City of Wichita (GO) Series 811
5.000%, 06/01/22................................ 550 602,140
Johnson County (GO) Series B
5.000%, 09/01/22................................ 650 714,727
Johnson County Unified School District No. 229 Blue Valley
(GO) Series A
5.000%, 10/01/26................................ 225 263,045
Johnson County Unified School District No. 229 Blue Valley
(GO) Series B
5.000%, 10/01/23................................ 750 840,600
Kansas State Department of Transportation (RB) Series A
5.000%, 09/01/26................................ 1,000 1,168,240
Saline County Unified School District No. 305 Salina (GO)
5.000%, 09/01/20................................ 1,900 1,997,679
----------
TOTAL KANSAS................................................ 6,509,935
----------
159
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
KENTUCKY -- (2.1%)
Kentucky State Economic Development Finance Authority (RB)
Series A
(currency) 5.000%, 05/01/24 (Pre-refunded @ $100, 5/1/19) 2,300 $2,334,546
Louisville & Jefferson County (RB)
(currency) 5.000%, 12/01/35................................ 2,200 2,405,392
Louisville & Jefferson County (GO) Series B
5.000%, 11/01/21................................ 1,700 1,838,363
Louisville & Jefferson County Metropolitan Sewer District
(RB) Series C
5.000%, 05/15/23................................ 1,850 2,056,386
Louisville Water Co. (RB) Series A
4.000%, 11/15/21................................ 800 840,856
----------
TOTAL KENTUCKY.............................................. 9,475,543
----------
LOUISIANA -- (0.4%)
Louisiana State (GO) Series C
5.000%, 08/01/21................................ 1,000 1,072,550
5.000%, 08/01/23................................ 500 557,270
----------
TOTAL LOUISIANA............................................. 1,629,820
----------
MAINE -- (0.2%)
Maine State (GO) Series B
5.000%, 06/01/23................................ 1,000 1,114,420
----------
MARYLAND -- (6.9%)
Anne County Arundel (GO)
5.000%, 10/01/20................................ 500 527,150
Baltimore County (BAN)
4.000%, 03/18/19................................ 3,500 3,528,315
Baltimore County (GO)
5.000%, 08/01/20................................ 750 787,095
5.000%, 08/01/22................................ 600 659,184
5.000%, 03/01/28................................ 1,335 1,575,847
Carroll County (GO).........................................
5.000%, 11/01/21................................ 550 594,600
City of Baltimore (GO) Series B
5.000%, 10/15/27................................ 2,025 2,373,847
Harford County (GO) Series A
5.000%, 09/15/20................................ 570 600,347
Howard County (GO) Series D
5.000%, 02/15/24................................ 1,300 1,467,505
Maryland State (GO)
5.000%, 06/01/22................................ 1,175 1,285,121
5.000%, 06/01/23................................ 3,000 3,343,260
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MARYLAND -- (Continued)
Maryland State (GO) Series B
5.000%, 08/01/20....................................... 1,000 $ 1,049,640
4.000%, 08/01/23....................................... 850 911,837
5.000%, 08/01/24....................................... 1,000 1,135,890
5.000%, 08/01/27....................................... 500 588,190
Maryland State (GO) Series C
5.000%, 11/01/19....................................... 915 942,432
5.000%, 08/01/20....................................... 700 734,748
5.000%, 08/01/22....................................... 1,000 1,097,130
Montgomery County (GO) Series A
5.000%, 11/01/24....................................... 2,000 2,281,640
Montgomery County (GO) Series B
5.000%, 12/01/21....................................... 350 379,792
Montgomery County (GO) Series D
3.000%, 11/01/23....................................... 3,000 3,084,300
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/24....................................... 655 743,071
Worcester County (GO) Series B
4.000%, 08/01/21....................................... 1,000 1,048,520
-----------
TOTAL MARYLAND............................................. 30,739,461
-----------
MASSACHUSETTS -- (4.2%)
City of Lowell (GO) (ST AID WITHHLDG)
4.000%, 09/01/23....................................... 250 266,370
City of Quincy (BAN).......................................
2.500%, 01/18/19....................................... 1,000 1,001,140
City of Somerville (BAN)
3.000%, 06/07/19....................................... 4,000 4,023,200
City of Springfield (GO) (ST AID WITHHLDG) Series C
4.000%, 08/01/23....................................... 285 305,073
Commonwealth of Massachusetts (GO) Series A
5.000%, 07/01/26....................................... 1,250 1,454,363
Commonwealth of Massachusetts (GO) Series B
5.000%, 01/01/22....................................... 1,000 1,085,410
5.000%, 08/01/22....................................... 1,165 1,279,916
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20....................................... 100 104,964
5.000%, 10/01/21....................................... 1,750 1,889,072
5.000%, 04/01/22....................................... 1,275 1,391,331
160
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MASSACHUSETTS -- (Continued)
Commonwealth of Massachusetts (GO) (AGM) Series B
5.250%, 09/01/24............................... 400 $ 460,260
Massachusetts Development Finance Agency (RB) Series I
(currency) 6.750%, 01/01/36 (Pre-refunded @ $100, 1/1/21). 2,865 3,136,974
Tantasqua Regional School District (GO)
5.000%, 10/01/19............................... 1,360 1,397,876
Town of Holbrook (GO)
5.000%, 12/01/21............................... 755 816,215
-----------
TOTAL MASSACHUSETTS........................................ 18,612,164
-----------
MICHIGAN -- (2.0%)
Michigan Finance Authority (RB) Series A
5.000%, 01/01/19............................... 1,500 1,507,515
Michigan State (GO) Series A
5.000%, 12/01/24............................... 1,275 1,456,063
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/18............................... 2,515 2,517,867
Michigan State Trunk Line Revenue (RB) (AGM)
5.500%, 11/01/21............................... 3,275 3,584,815
-----------
TOTAL MICHIGAN............................................. 9,066,260
-----------
MINNESOTA -- (4.0%)
Bloomington Independent School District No. 271 (GO) (SD
CRED PROG) Series A
5.000%, 02/01/21............................... 1,100 1,168,629
City of Rochester (GO) Series A
5.000%, 02/01/20............................... 150 155,399
City of Saint Paul (GO) Series A
5.000%, 09/01/21............................... 400 430,904
City of Saint Paul (GO) Series B
5.000%, 11/01/20............................... 100 105,663
Elk River Independent School District No. 728 (GO) (SD
CRED PROG) Series A
5.000%, 02/01/21............................... 520 551,855
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MINNESOTA -- (Continued)
Elk River Independent School District No. 728 (GO) (SD
CRED PROG) Series C
5.000%, 02/01/21............................... 3,000 $ 3,183,780
Hennepin County (GO) Series B
5.000%, 12/01/21............................... 350 379,683
Housing & Redevelopment Authority of The City of Saint
Paul Minnesota (RB) Series A1
(currency) 5.250%, 11/15/29 (Pre-refunded @ $100,
11/15/19).................................... 2,000 2,065,060
Metropolitan Council (GO) Series B
5.000%, 03/01/24............................... 1,295 1,461,110
Minnesota State (GO) Series B
5.000%, 10/01/19............................... 600 616,320
Minnesota State (GO) Series D
5.000%, 08/01/21............................... 2,000 2,150,100
Minnesota State (GO) Series E
5.000%, 08/01/22............................... 760 834,100
4.000%, 10/01/22............................... 3,000 3,190,950
Saint Paul Independent School District No. 625 (GO) (SD
CRED PROG) Series B
5.000%, 02/01/21............................... 1,425 1,512,609
-----------
TOTAL MINNESOTA............................................ 17,806,162
-----------
MISSISSIPPI -- (0.2%)
Mississippi State (GO) Series C
5.000%, 10/01/20............................... 950 1,000,303
-----------
MISSOURI -- (0.7%)
Cass County Reorganized School District No. R-2 (GO) (ST
AID DIR DEP)
5.000%, 03/01/21............................... 1,110 1,181,506
Columbia School District (GO) Series B
5.000%, 03/01/25............................... 1,725 1,982,525
-----------
TOTAL MISSOURI............................................. 3,164,031
-----------
161
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MONTANA -- (0.1%)
City & County of Butte-Silver Bow (GO)
4.000%, 07/01/21................................ 500 $ 521,960
----------
NEBRASKA -- (1.4%)
Lancaster County School District 001 (GO)
5.000%, 01/15/21................................ 700 741,741
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20................................ 300 317,364
Omaha School District (GO)
5.000%, 12/15/25................................ 4,000 4,625,800
Southern Public Power District (RB)
5.000%, 12/15/21................................ 400 432,196
----------
TOTAL NEBRASKA.............................................. 6,117,101
----------
NEVADA -- (1.9%)
Clark County School District (GO) Series A
5.000%, 06/15/21................................ 1,250 1,329,375
Clark County Water Reclamation District (GO) Series A
(currency) 5.250%, 07/01/34 (Pre-refunded @ $100, 7/1/19).. 2,320 2,371,133
Nevada State (GO) Series C
5.000%, 11/01/24................................ 450 510,952
Nevada State (GO) Series D1
5.000%, 03/01/22................................ 250 271,598
Washoe County School District (GO) Series A
3.000%, 06/01/19................................ 550 552,865
Washoe County School District (GO) Series D
5.000%, 06/01/21................................ 3,335 3,561,013
----------
TOTAL NEVADA................................................ 8,596,936
----------
NEW HAMPSHIRE -- (0.4%)
City of Dover (GO)
3.000%, 06/15/20................................ 610 619,077
City of Nashua (GO)
4.000%, 07/15/24................................ 770 833,140
New Hampshire State (GO) Series B
5.000%, 06/01/19................................ 250 254,435
----------
TOTAL NEW HAMPSHIRE......................................... 1,706,652
----------
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW JERSEY -- (2.1%)
City of Hoboken (GO)
3.000%, 02/01/23........................................ 2,000 $2,039,200
3.000%, 02/01/25........................................ 910 923,477
Middlesex County (BAN)......................................
3.000%, 06/11/19........................................ 950 955,615
Middlesex County (GO)
4.000%, 01/15/21........................................ 1,210 1,258,944
Montville Township (GO)
3.000%, 10/01/25........................................ 500 512,255
Princeton (GO)
3.000%, 09/15/24........................................ 1,515 1,559,435
Township of Parsippany-Troy Hills (GO) Series ABCD
2.000%, 09/15/21........................................ 2,000 1,970,980
----------
TOTAL NEW JERSEY............................................ 9,219,906
----------
NEW MEXICO -- (1.5%)
New Mexico State (GO) (ETM)
5.000%, 03/01/21........................................ 1,000 1,063,950
New Mexico State Severance Tax Permanent Fund (RB) Series A
5.000%, 07/01/27........................................ 4,000 4,676,040
Santa Fe County (GO)
5.000%, 07/01/22........................................ 710 777,755
----------
TOTAL NEW MEXICO............................................ 6,517,745
----------
NEW YORK -- (6.7%)
City of New York (GO) Series A
5.000%, 08/01/24........................................ 2,100 2,380,560
City of New York (GO) Series B
5.000%, 08/01/19........................................ 100 102,241
City of New York (GO) Series C
5.000%, 08/01/22........................................ 500 548,185
City of New York (GO) Series E
5.000%, 08/01/19........................................ 250 255,602
5.000%, 08/01/19........................................ 1,000 1,022,410
5.000%, 08/01/21........................................ 265 284,594
5.000%, 08/01/22........................................ 1,000 1,096,370
City of New York (GO) Series F
5.000%, 08/01/21........................................ 450 483,273
City of New York (GO) Series F-1
5.000%, 06/01/21........................................ 2,110 2,257,932
162
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
City of New York (GO) Series H
5.000%, 08/01/22................................ 2,010 $2,203,704
Corning City School District (GO) (ST AID WITHHLDG)
5.000%, 06/15/19................................ 250 254,745
Kingston City School District (GO) (ST AID WITHHLDG)
3.000%, 06/01/26................................ 1,530 1,555,995
Long Island Power Authority (RB) (BHAC-CR) Series A
(currency) 6.000%, 05/01/33 (Pre-refunded @ $100, 5/1/19).. 600 612,360
Metropolitan Transportation Authority (RB)
5.000%, 11/15/25................................ 1,275 1,444,294
Middle Country Central School District (GO) (ST AID
WITHHLDG)
2.000%, 08/15/21................................ 400 398,380
Middletown City School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20................................ 760 759,392
New York State Dormitory Authority (RB)
(currency) 6.250%, 12/01/37 (Pre-refunded @ $100, 12/1/18). 250 250,905
New York State Dormitory Authority (RB) Series A
5.000%, 03/15/19................................ 350 354,028
5.000%, 03/15/21................................ 1,000 1,065,470
5.000%, 03/15/23................................ 600 666,168
5.000%, 02/15/25................................ 500 571,030
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22................................ 800 869,552
5.000%, 02/15/24................................ 300 337,545
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19................................ 250 252,878
New York State Dormitory Authority (RB) Series E
5.000%, 02/15/21................................ 100 106,298
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/20................................ 810 842,530
5.000%, 03/15/25................................ 500 571,900
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEW YORK -- (Continued)
North Shore Central School District (GO) (ST AID WITHHLDG)
2.000%, 12/15/23............................... 315 $ 306,391
Port Authority of New York & New Jersey (RB) Series 194
5.000%, 10/15/19............................... 465 478,722
Riverhead Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/15/22............................... 540 536,134
Triborough Bridge & Tunnel Authority (RB) Series B
5.000%, 11/15/18............................... 325 325,370
5.000%, 11/15/20............................... 4,700 4,972,177
Triborough Bridge & Tunnel Authority (RB) Series C1
4.000%, 11/15/27............................... 1,500 1,644,075
-----------
TOTAL NEW YORK............................................. 29,811,210
-----------
NORTH CAROLINA -- (3.4%)
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/19............................... 3,000 3,061,380
New Hanover County (GO)
5.000%, 02/01/23............................... 1,550 1,720,360
North Carolina Eastern Municipal Power Agency (RB)
(NATL-IBC) (ETM) Series B
(currency) 6.000%, 01/01/22............................... 1,725 1,919,735
North Carolina Medical Care Commission (RB) Series D
(currency) 6.250%, 12/01/33 (Pre-refunded @ $100, 12/1/18) 1,000 1,003,480
North Carolina State (GO) Series B
5.000%, 06/01/25............................... 1,405 1,622,410
North Carolina State (GO) Series C
4.000%, 05/01/22............................... 1,530 1,623,269
5.000%, 05/01/22............................... 1,950 2,134,197
North Carolina State (GO) Series D
4.000%, 06/01/23............................... 350 376,036
Wake County (GO)
5.000%, 03/01/19............................... 160 161,658
163
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NORTH CAROLINA -- (Continued)
5.000%, 09/01/21....................................... 1,300 $ 1,400,802
-----------
TOTAL NORTH CAROLINA....................................... 15,023,327
-----------
NORTH DAKOTA -- (0.4%)
City of West Fargo (GO) Series A
5.000%, 05/01/24....................................... 1,150 1,283,044
North Dakota State University of Agriculture & Applied
Science (RB)
5.000%, 04/01/21....................................... 500 530,665
-----------
TOTAL NORTH DAKOTA......................................... 1,813,709
-----------
OHIO -- (5.0%)
City of Columbus (GO) Series 3
5.000%, 02/15/27....................................... 1,250 1,459,100
City of Columbus (GO) Series A
4.000%, 04/01/22....................................... 2,000 2,115,040
3.000%, 07/01/22....................................... 835 856,593
5.000%, 02/15/23....................................... 4,000 4,436,560
City of Columbus (GO) Series B
5.000%, 02/15/23....................................... 475 526,841
City of Columbus (GO) Series A
4.000%, 04/01/24....................................... 1,500 1,613,235
Hamilton County Sewer System Revenue (RB) Series A
5.000%, 12/01/21....................................... 500 540,850
Ohio State (GO) Series A
5.000%, 09/15/21....................................... 800 861,936
5.000%, 08/01/22....................................... 1,000 1,097,130
5.000%, 09/15/22....................................... 2,250 2,474,505
5.000%, 02/01/24....................................... 2,820 3,176,392
Ohio State (GO) Series B
5.000%, 08/01/21....................................... 1,000 1,074,490
5.000%, 06/15/22....................................... 450 492,611
Ohio State Water Development Authority (RB) Series A
5.000%, 06/01/21....................................... 1,550 1,659,879
-----------
TOTAL OHIO................................................. 22,385,162
-----------
OKLAHOMA -- (1.4%)
City of Oklahoma City (GO)
4.000%, 03/01/23....................................... 1,680 1,796,323
4.000%, 03/01/25....................................... 1,255 1,363,784
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
OKLAHOMA -- (Continued)
Tulsa County Independent School District No. 1 Tulsa (GO)
Series B
2.000%, 08/01/20................................ 2,000 $1,989,680
Tulsa County Independent School District No. 1 Tulsa (GO)
Series C
2.000%, 07/01/19................................ 1,000 1,000,380
----------
TOTAL OKLAHOMA.............................................. 6,150,167
----------
OREGON -- (0.9%)
City of McMinnville (GO)
5.000%, 02/01/22................................ 290 314,450
City of Portland Water System Revenue (RB) Series A
5.000%, 04/01/21................................ 1,250 1,334,250
Lane County School District No. 4J Eugene (GO) (SCH BD GTY)
3.000%, 06/15/25................................ 940 962,137
Oregon State (GO) Series E
5.000%, 08/01/21................................ 410 440,996
Oregon State (GO) Series F
3.000%, 05/01/20................................ 750 760,342
Oregon State (GO) Series L
5.000%, 11/01/19................................ 200 205,976
----------
TOTAL OREGON................................................ 4,018,151
----------
PENNSYLVANIA -- (0.6%)
Berks County (GO)
5.000%, 11/15/22................................ 445 490,515
City of Philadelphia (GO) (AGM) Series A
(currency) 5.250%, 12/15/32 (Pre-refunded @ $100, 12/15/18) 500 502,040
Commonwealth of Pennsylvania (GO) Series REF
5.000%, 07/01/21................................ 550 587,257
5.000%, 07/01/22................................ 1,025 1,114,523
----------
TOTAL PENNSYLVANIA 2,694,335
----------
RHODE ISLAND -- (0.6%)
Rhode Island State (GO) Series A
5.000%, 08/01/19................................ 1,800 1,839,798
5.000%, 08/01/21................................ 1,000 1,073,110
----------
TOTAL RHODE ISLAND 2,912,908
----------
164
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
SOUTH CAROLINA -- (1.7%)
Aiken County Consolidated School District (GO) (SCSDE)
Series A
5.000%, 03/01/20......................................... 770 $ 800,469
Anderson County School District No. 4 (GO) (SCSDE) Series A
5.000%, 03/01/21......................................... 500 532,445
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21......................................... 500 535,445
Clemson University (RB) Series B
5.000%, 05/01/25......................................... 750 861,315
Lexington & Richland School District No. 5 (GO) (SCSDE)
5.000%, 03/01/19......................................... 1,440 1,455,307
Richland County (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/22......................................... 1,085 1,182,379
Richland County School District No. 2 (GO) (SCSDE)
5.000%, 03/01/20......................................... 500 519,785
5.000%, 03/01/21......................................... 1,235 1,314,559
Richland County School District No. 2 (GO) (SCSDE) Series A
5.000%, 02/01/20......................................... 600 622,350
----------
TOTAL SOUTH CAROLINA........................................ 7,824,054
----------
TENNESSEE -- (4.2%)
Blount County (GO) Series B
5.000%, 06/01/22......................................... 2,635 2,879,080
City of Clarksville Water Sewer & Gas Revenue (RB)
5.000%, 02/01/20......................................... 565 585,476
City of Knoxville Wastewater System Revenue (RB) Series A
5.000%, 04/01/19......................................... 1,825 1,848,177
City of Knoxville Wastewater System Revenue (RB) Series B
4.000%, 04/01/22......................................... 310 327,831
City of Memphis (GO) Series A
5.000%, 04/01/25......................................... 1,250 1,430,125
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
TENNESSEE -- (Continued)
Hamilton County (GO) Series B
5.000%, 03/01/22....................................... 1,735 $ 1,889,554
Metropolitan Government of Nashville & Davidson County
(GO)
5.000%, 07/01/22....................................... 650 712,511
Metropolitan Government of Nashville & Davidson County
(GO) Series A
5.000%, 01/01/22....................................... 615 667,140
(currency) 5.000%, 07/01/25 (Pre-refunded @ $100,
7/1/20).............................................. 3,000 3,141,960
5.000%, 07/01/25....................................... 2,325 2,670,448
Sullivan County (GO) Series A
5.000%, 04/01/21....................................... 450 479,345
Sumner County (GO)
5.000%, 12/01/21....................................... 230 249,005
5.000%, 12/01/22....................................... 640 706,662
Town of Collierville (GO) Series A
5.000%, 01/01/21....................................... 1,095 1,162,047
-----------
TOTAL TENNESSEE........................................... 18,749,361
-----------
TEXAS -- (13.6%)
Austin Independent School District (GO) Series B
5.000%, 08/01/20....................................... 2,410 2,530,066
Bexar County (GO).........................................
5.000%, 06/15/20....................................... 500 522,630
5.000%, 06/15/21....................................... 1,275 1,363,676
City of Dallas (GO) Series A..............................
5.000%, 02/15/21....................................... 500 529,765
City of Fort Worth Water & Sewer System Revenue (RB)
5.000%, 02/15/19....................................... 180 181,593
5.000%, 02/15/21....................................... 1,745 1,853,696
City of Fort Worth Water & Sewer System Revenue (RB)
Series A
5.000%, 02/15/25....................................... 1,930 2,200,547
City of Garland (GO) Series A
5.000%, 02/15/24....................................... 200 224,082
City of Houston Combined Utility System Revenue (RB) (AGC)
(currency) 5.375%, 11/15/38 (Pre-refunded @ $100,
5/15/19)............................................. 5,000 5,091,650
165
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
TEXAS -- (Continued)
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/21......................................... 700 $ 743,036
5.000%, 02/01/22......................................... 3,360 3,645,466
Cypress-Fairbanks Independent School District (GO) (PSF-GTD)
5.000%, 02/15/21......................................... 790 839,209
Dallas Independent School District (GO) (PSF-GTD) Series A
5.000%, 08/15/24......................................... 3,250 3,685,045
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24......................................... 500 565,495
Fort Bend Independent School District (GO) (PSF-GTD) Series
C
5.000%, 02/15/24......................................... 1,275 1,433,891
Fort Worth Independent School District (GO) (PSF-GTD)
5.000%, 02/15/26......................................... 445 511,634
Grapevine-Colleyville Independent School District (GO)
(PSF-GTD)
2.000%, 08/15/19......................................... 1,500 1,500,570
Harris County (GO) Series A
5.000%, 10/01/19......................................... 1,000 1,026,830
Highland Park Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20......................................... 1,500 1,555,455
Highland Park Independent School District (GO)
5.000%, 02/15/23......................................... 2,000 2,213,960
Houston Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/26......................................... 750 863,370
Humble Independent School District (GO) (PSF-GTD) Series B
5.000%, 02/15/20......................................... 1,000 1,036,970
Katy Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/20......................................... 750 777,728
5.000%, 02/15/21......................................... 400 425,008
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
TEXAS -- (Continued)
McAllen Independent School District (GO) (PSF-GTD)
Series A
5.000%, 02/15/22....................................... 2,725 $ 2,959,187
Northwest Independent School District (GO) (PSF-GTD)
Series A
5.000%, 02/15/24....................................... 1,000 1,121,460
Permanent University Fund - University of Texas System
(RB) Series B
5.000%, 07/01/20....................................... 2,875 3,008,141
San Antonio Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20....................................... 400 414,788
Texas State (GO)
5.000%, 04/01/19....................................... 250 253,175
5.000%, 10/01/22....................................... 1,140 1,253,213
5.000%, 10/01/23....................................... 375 419,561
Texas State (GO) Series A
5.000%, 10/01/21....................................... 1,300 1,401,023
5.000%, 04/01/25....................................... 2,185 2,497,062
5.000%, 10/01/25....................................... 845 971,404
Texas Transportation Commission State Highway Fund (RB)
Series A
5.000%, 10/01/19....................................... 1,000 1,027,570
University of Texas System (The) (RB) Series D
5.000%, 08/15/21....................................... 615 661,266
University of Texas System (The) (RB) Series J
5.000%, 08/15/25....................................... 3,000 3,447,180
Williamson County (GO)
5.000%, 02/15/21....................................... 5,640 5,991,316
-----------
TOTAL TEXAS............................................... 60,747,718
-----------
UTAH -- (1.4%)
Alpine School District (GO) (SCH BD GTY)
5.000%, 03/15/21....................................... 550 586,008
Central Utah Water Conservancy District (RB) Series A
5.000%, 10/01/20....................................... 450 474,350
Davis School District (GO) (SCH BD GTY)
5.000%, 06/01/23....................................... 2,445 2,724,757
166
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
UTAH -- (Continued)
Snyderville Basin Special Recreation District (GO) Series B
4.000%, 12/15/20......................................... 540 $ 560,466
State of Utah (GO)
5.000%, 07/01/22......................................... 1,045 1,146,658
Utah State (GO)
5.000%, 07/01/22......................................... 800 877,824
----------
TOTAL UTAH.................................................. 6,370,063
----------
VERMONT -- (0.2%)
Vermont State (GO) Series B
5.000%, 08/15/23......................................... 1,000 1,120,710
----------
VIRGINIA -- (2.1%)
City of Hampton (GO) (ST AID WITHHLDG) Series B
5.000%, 09/01/21......................................... 840 905,134
5.000%, 09/01/22......................................... 475 522,852
City of Richmond (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/20......................................... 1,635 1,697,506
City of Richmond (GO) (ST AID WITHHLDG) Series B
5.000%, 07/15/22......................................... 1,065 1,169,647
Commonwealth of Virginia (GO) Series D
5.000%, 06/01/19......................................... 1,260 1,282,352
Loudoun County (GO) (ST AID WITHHLDG) Series A
5.000%, 12/01/22......................................... 1,225 1,356,124
Loudoun County (GO) (ST AID WITHHLDG) Series B
5.000%, 12/01/20......................................... 550 582,411
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21......................................... 1,830 1,938,793
----------
TOTAL VIRGINIA.............................................. 9,454,819
----------
WASHINGTON -- (8.2%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20......................................... 755 785,759
City of Seattle Drainage & Wastewater Revenue (RB)
5.000%, 09/01/20......................................... 1,500 1,577,670
5.000%, 04/01/21......................................... 445 474,561
City of Seattle Municipal Light & Power Revenue (RB)
5.000%, 09/01/20......................................... 650 683,416
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
WASHINGTON -- (Continued)
County of Kitsap WA (GO)
5.000%, 06/01/21........................................ 1,455 $1,555,497
King County (GO) Series A
5.000%, 07/01/20........................................ 265 277,627
King County (GO) Series E
5.000%, 12/01/25........................................ 1,275 1,473,479
King County School District No. 405 Bellevue (GO) (SCH BD
GTY) Series A
5.000%, 12/01/18........................................ 500 501,255
5.000%, 12/01/20........................................ 1,350 1,427,571
King County School District No. 411 Issaquah (GO) (SCH BD
GTY)
5.000%, 12/01/23........................................ 1,440 1,617,307
King County School District No. 414 Lake Washington (GO)
(SCH BD GTY)
5.000%, 12/01/22........................................ 2,000 2,208,320
King County Sewer Revenue (RB)
5.000%, 01/01/21........................................ 585 619,925
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22........................................ 1,165 1,276,176
5.000%, 07/01/25........................................ 1,305 1,501,481
Pierce County School District No.10 Tacoma (GO) (SCH BD
GTY)
5.000%, 12/01/18........................................ 500 501,250
Snohomish County Public Utility District No. 1 (RB)
5.000%, 12/01/18........................................ 895 897,246
Snohomish County School District No. 6 Mukilteo (GO) (SCH
BD GTY)
5.000%, 12/01/25........................................ 2,000 2,309,940
Spokane County (GO)
5.000%, 12/01/20........................................ 450 475,857
State of Washington (GO) Series C
5.000%, 02/01/20........................................ 1,320 1,367,837
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21........................................ 350 378,161
Washington Health Care Facilities Authority (RB)
(currency) 7.375%, 03/01/38 (Pre-refunded @ $100,
3/1/19)............................................... 3,000 3,053,010
167
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
WASHINGTON -- (Continued)
(currency) 5.625%, 10/01/38 (Pre-refunded @ $100,
10/1/19).............................................. 1,000 $ 1,032,550
Washington State (GO)......................................
5.000%, 08/01/25........................................ 2,500 2,872,350
Washington State (GO) Series 2013A
5.000%, 08/01/21........................................ 200 214,842
Washington State (GO) Series 2017-A
5.000%, 08/01/26........................................ 1,675 1,946,434
Washington State (GO) Series A
5.000%, 08/01/21........................................ 800 859,368
Washington State (GO) Series B
5.000%, 07/01/20........................................ 325 340,379
5.000%, 07/01/25........................................ 475 545,262
Washington State (GO) Series C
5.000%, 02/01/23........................................ 500 553,455
Washington State (GO) Series R-2012C
4.000%, 07/01/21........................................ 100 104,657
Washington State (GO) Series R-2013A
5.000%, 07/01/21........................................ 1,520 1,629,896
Washington State (GO) Series R-2018D
5.000%, 08/01/25........................................ 1,365 1,568,303
-----------
TOTAL WASHINGTON........................................... 36,630,841
-----------
WEST VIRGINIA -- (0.6%)
Jefferson County Board of Education (GO) (WV BD COMM)
4.000%, 05/01/20........................................ 250 256,593
West Virginia State (GO)
4.000%, 11/01/20........................................ 1,975 2,046,060
West Virginia State (GO) Series A
5.000%, 06/01/19........................................ 550 559,658
-----------
TOTAL WEST VIRGINIA........................................ 2,862,311
-----------
WISCONSIN -- (4.3%)........................................
City of Janesville (GO)....................................
3.000%, 03/01/24........................................ 2,000 2,043,540
City of Madison Water Utility Revenue (RB)
5.000%, 01/01/21........................................ 1,000 1,059,700
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
WISCONSIN -- (Continued)
City of Milwaukee (GO) Series N3
5.000%, 05/15/20....................................... 1,000 $ 1,044,380
Germantown School District (GO) Series A
5.000%, 04/01/27....................................... 1,000 1,172,060
Milwaukee County (GO) Series E
2.000%, 12/01/20....................................... 1,060 1,056,555
Milwaukee County Metropolitan Sewer District (GO) Series A
5.000%, 10/01/25....................................... 2,635 3,047,219
Oak Creek Franklin Joint School District (GO) Series B
3.000%, 04/01/20....................................... 630 637,762
Wisconsin Health & Educational Facilities Authority (RB)
Series A
(currency) 5.250%, 12/01/35 (Pre-refunded @ $100,
12/3/18)............................................. 2,500 2,507,250
Wisconsin State (GO) (AMBAC) Series 1
5.000%, 05/01/19....................................... 1,310 1,330,069
Wisconsin State (GO) Series 1
5.000%, 05/01/19....................................... 500 507,660
Wisconsin State (GO) Series 2
5.000%, 11/01/20....................................... 600 633,618
5.000%, 11/01/22....................................... 1,400 1,544,130
Wisconsin State (GO) Series 3
5.000%, 11/01/22....................................... 1,875 2,068,031
Wisconsin State (GO) Series B
5.000%, 05/01/21....................................... 400 427,572
------------
TOTAL WISCONSIN........................................... 19,079,546
------------
TOTAL MUNICIPAL BONDS..................................... 446,806,340
------------
TOTAL INVESTMENTS --(100.0%) (Cost $454,095,024).......... $446,806,340
============
168
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Municipal Bonds...................... -- $446,806,340 -- $446,806,340
-- ------------ -- ------------
TOTAL................................ -- $446,806,340 -- $446,806,340
== ============ == ============
See accompanying Notes to Financial Statements.
169
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
MUNICIPAL BONDS -- (99.3%)
ALABAMA -- (1.0%)
Alabama State (GO) Series A
5.000%, 08/01/19........ 1,925 $ 1,968,293
5.000%, 08/01/19........ 8,500 8,691,165
5.000%, 08/01/20........ 5,495 5,766,783
5.000%, 08/01/21........ 1,450 1,558,823
5.000%, 08/01/21........ 6,030 6,482,551
-----------
TOTAL ALABAMA....................... 24,467,615
-----------
ALASKA -- (0.4%)
Alaska State (GO) Series B
5.000%, 08/01/20........ 3,920 4,107,690
City of Koyukuk (RB)
(currency) 7.750%, 10/01/41
(Pre-refunded @ $100,
10/1/19).............. 4,650 4,881,663
-----------
TOTAL ALASKA........................ 8,989,353
-----------
ARIZONA -- (1.0%)
Arizona State Transportation
Board (RB)
5.000%, 07/01/20........ 5,000 5,234,900
City of Phoenix (GO)
5.000%, 07/01/19........ 3,000 3,059,970
4.000%, 07/01/20........ 1,085 1,118,331
4.000%, 07/01/21........ 5,970 6,251,187
Madison Elementary School
District No. 38 (GO) Series A
2.000%, 07/01/20........ 1,400 1,397,928
Maricopa County Community
College District (GO)
3.000%, 07/01/20........ 6,505 6,600,103
Maricopa County School District
No. 3 Tempe Elementary (GO)
3.000%, 07/01/21........ 1,410 1,437,538
-----------
TOTAL ARIZONA....................... 25,099,957
-----------
ARKANSAS -- (1.1%)
Arkansas State (GO)
5.000%, 04/01/19........ 7,240 7,331,948
5.000%, 04/01/21........ 4,300 4,583,542
5.000%, 04/01/21........ 6,495 6,923,280
5.000%, 06/15/21........ 8,730 9,350,965
-----------
TOTAL ARKANSAS...................... 28,189,735
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
CALIFORNIA -- (2.4%)
Bay Area Toll Authority (RB)
Series F-1
(currency) 5.125%, 04/01/39
(Pre-refunded @ $100,
4/1/19)............... 9,200 $ 9,331,560
California State (GO)
5.000%, 04/01/19........ 1,000 1,013,410
2.000%, 11/01/19........ 695 696,439
5.000%, 10/01/21........ 2,215 2,400,838
City of Long Beach Harbor
Revenue (RB) Series C
5.000%, 11/15/18........ 4,125 4,129,991
City of Los Angeles CA (RN)
4.000%, 06/27/19........ 27,000 27,388,530
County of Riverside CA (RN)
4.000%, 06/28/19........ 10,000 10,146,400
Los Angeles Unified School
District (GO) Series A
5.000%, 07/01/19........ 1,000 1,021,670
Oakland Unified School District
(GO) Series A
(currency) 6.125%, 08/01/29
(Pre-refunded @ $100,
8/1/19)............... 3,595 3,713,599
-----------
TOTAL CALIFORNIA.................... 59,842,437
-----------
COLORADO -- (2.0%)
Board of Water Commissioners
City & County of Denver
(The) (RB) Series B
5.000%, 09/15/19........ 2,060 2,114,219
City & County of Denver (GO)
Series A
5.000%, 08/01/19........ 15,000 15,340,650
5.000%, 08/01/20........ 4,920 5,165,114
City & County of Denver (GO)
Series B
5.000%, 08/01/19........ 4,000 4,090,840
Colorado State (RN)
5.000%, 06/26/19........ 20,000 20,398,600
Denver City & County School
District No. 1 (GO) (ST AID
WITHHLDG) (ETM) Series B
(currency) 4.000%, 12/01/18........ 140 140,245
170
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-----
COLORADO -- (Continued)
Denver City & County School District
No. 1 (GO) (ST AID WITHHLDG)
Series B
4.000%, 12/01/18............... 1,045 $ 1,046,829
Weld County School District No. RE-4
(GO) (ST INTERCEPT)
4.000%, 12/01/22............... 1,000 1,061,420
-----------
TOTAL COLORADO........................ 49,357,917
-----------
CONNECTICUT -- (0.9%)
City of Middletown (GO)
5.000%, 04/01/21............... 1,905 2,037,131
City of New London (BAN)..............
3.000%, 03/21/19............... 5,300 5,323,638
Connecticut State (GO) Series A
5.000%, 10/15/19............... 5,350 5,483,268
Connecticut State Special Tax Revenue
(RB)
5.000%, 01/01/19............... 11,000 11,052,250
-----------
TOTAL CONNECTICUT..................... 23,896,287
-----------
DELAWARE -- (0.6%)
Delaware State (GO)
5.000%, 07/01/19............... 5,000 5,099,650
Delaware State (GO) Series A
5.000%, 07/01/19............... 1,900 1,937,867
5.000%, 08/01/19............... 5,745 5,873,344
Delaware State (GO) Series B
5.000%, 02/01/20............... 2,755 2,853,794
-----------
TOTAL DELAWARE........................ 15,764,655
-----------
DISTRICT OF COLUMBIA -- (0.1%)
District of Columbia (GO) Series A
5.000%, 06/01/20............... 2,320 2,425,490
-----------
FLORIDA -- (1.9%)
Florida State (GO)
5.000%, 07/01/19............... 2,045 2,086,718
Florida State (GO) Series A
5.000%, 06/01/19............... 10,100 10,279,780
5.000%, 06/01/20............... 2,850 2,979,589
Florida State (GO) Series B
5.000%, 06/01/20............... 1,000 1,045,470
Florida State Board of Education (GO)
Series A
5.000%, 06/01/19............... 19,310 19,653,718
5.000%, 01/01/21............... 2,340 2,481,734
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
FLORIDA -- (Continued)
Florida State Board of Education
(GO) Series B
5.000%, 06/01/19........ 3,500 $ 3,562,300
Orange County Water Utility System
Revenue (RB)
5.000%, 10/01/21........ 2,500 2,698,675
Tampa Bay Water (RB)
(currency) 5.000%, 10/01/25
(Pre-refunded @ $100,
10/1/20).............. 2,160 2,272,277
------------
TOTAL FLORIDA....................... 47,060,261
------------
GEORGIA -- (4.7%)
Cobb County (GO)
5.000%, 01/01/21........ 3,710 3,937,163
5.000%, 01/01/22........ 500 543,185
Cobb County School District
2.000%, 12/20/18........ 22,320 22,330,490
Forsyth County School District (GO)
5.000%, 02/01/20........ 3,525 3,654,086
Gainesville & Hall County Hospital
Authority (RB)
(currency) 5.500%, 02/15/45
(Pre-refunded @ $100,
2/15/20).............. 6,575 6,848,389
Georgia State (GO) Series A
5.000%, 07/01/19........ 7,350 7,499,425
Georgia State (GO) Series A-1
5.000%, 02/01/19........ 8,000 8,061,760
5.000%, 02/01/19........ 1,395 1,405,769
5.000%, 02/01/20........ 4,210 4,363,623
Georgia State (GO) Series C
5.000%, 07/01/19........ 2,000 2,040,660
Georgia State (GO) Series D
5.000%, 02/01/19........ 7,970 8,031,528
Georgia State (GO) Series E
5.000%, 12/01/19........ 6,200 6,400,446
Georgia State (GO) Series E-1
4.500%, 07/01/19........ 6,890 7,007,475
Georgia State (GO) Series F
5.000%, 07/01/20........ 5,000 5,238,250
Georgia State (GO) Series I
5.000%, 07/01/19........ 20,475 20,891,257
5.000%, 07/01/20........ 1,890 1,980,059
Gwinnett County School District
(GO)
4.000%, 02/01/20........ 8,750 8,963,237
------------
TOTAL GEORGIA....................... 119,196,802
------------
171
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
HAWAII -- (2.3%)
City & County of Honolulu (GO)
Series B
5.000%, 11/01/19........ 8,000 $ 8,239,040
Hawaii County (GO) Series C
5.000%, 09/01/19........ 3,625 3,715,552
Hawaii State (GO) Series DR
5.000%, 06/01/19........ 9,725 9,896,938
Hawaii State (GO) Series EA
5.000%, 12/01/18........ 9,250 9,273,680
Hawaii State (GO) Series EE
5.000%, 11/01/18........ 2,495 2,495,000
Hawaii State (GO) Series EF
5.000%, 11/01/21........ 5,500 5,944,345
Hawaii State (GO) Series EH
5.000%, 08/01/19........ 4,410 4,509,490
Hawaii State (GO) Series EL
5.000%, 08/01/19........ 1,160 1,186,170
Hawaii State (GO) Series EO
5.000%, 08/01/22........ 6,000 6,582,780
University of Hawaii (RB)
Series A
(currency) 6.000%, 10/01/38
(Pre-refunded @ $100,
10/1/19).............. 7,000 7,254,800
-----------
TOTAL HAWAII........................ 59,097,795
-----------
IDAHO -- (0.4%)
Idaho State (TAN)
4.000%, 06/28/19........ 11,000 11,148,720
-----------
IOWA -- (0.2%)
Iowa Finance Authority (RB)
(currency) 5.000%, 08/01/20
(Pre-refunded @ $100,
8/1/19)............... 2,535 2,592,773
(currency) 5.000%, 08/01/21
(Pre-refunded @ $100,
8/1/19)............... 1,560 1,595,552
-----------
TOTAL IOWA.......................... 4,188,325
-----------
KANSAS -- (0.8%)
City of Topeka Series A
5.000%, 10/01/19........ 10,000 10,263,600
City of Wichita (GO) Series A
5.000%, 12/01/19........ 3,960 4,086,720
Kansas State Department of
Transportation (RB) Series C
5.000%, 09/01/19........ 4,975 5,100,121
-----------
TOTAL KANSAS........................ 19,450,441
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
KENTUCKY -- (0.3%)
Kentucky State Economic
Development Finance
Authority (RB) Series A
(currency) 5.000%, 05/01/24
(Pre-refunded @ $100,
5/1/19)............... 1,000 $ 1,015,020
Louisville & Jefferson
County (RB)
(currency) 5.000%, 12/01/35........ 1,675 1,831,378
Louisville & Jefferson County
Metropolitan Government
(GO) Series A
5.000%, 12/01/19........ 4,095 4,222,477
-----------
TOTAL KENTUCKY...................... 7,068,875
-----------
LOUISIANA -- (0.2%)
Louisiana State (GO) Series C
5.000%, 08/01/21........ 5,000 5,362,750
-----------
MARYLAND -- (6.8%)
Anne Arundel County (GO)
5.000%, 10/01/19........ 3,000 3,082,710
Anne County Arundel (GO)
3.000%, 10/01/19........ 3,900 3,937,245
5.000%, 10/01/20........ 1,790 1,887,197
5.000%, 04/01/21........ 12,740 13,595,618
Baltimore County (BAN)
4.000%, 03/18/19........ 10,000 10,080,900
Baltimore County (GO)
5.000%, 03/01/20........ 1,850 1,921,225
5.000%, 03/01/20........ 3,510 3,645,135
Charles County (GO) (ETM)
(currency) 5.000%, 03/01/19........ 10 10,101
Charles County (GO)
5.000%, 03/01/19........ 2,440 2,464,961
Harford County (GO) Series B
5.000%, 02/01/20........ 2,650 2,746,699
Maryland State (GO)
5.000%, 06/01/19........ 3,000 3,053,580
Maryland State (GO) Series A
5.000%, 08/01/19........ 20,000 20,452,800
Maryland State (GO) Series B
5.000%, 03/01/19........ 6,300 6,365,268
5.000%, 08/01/19........ 11,500 11,760,360
5.000%, 03/15/20........ 3,590 3,732,703
5.000%, 08/01/20........ 8,425 8,843,217
Maryland State (GO) Series C
5.000%, 08/01/19........ 2,000 2,045,280
5.000%, 11/01/19........ 4,000 4,119,920
5.000%, 08/01/20........ 8,810 9,247,328
172
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
MARYLAND -- (Continued)
Maryland State Department of
Transportation (RB)
5.000%, 12/15/19.......... 15,745 $ 16,270,253
Montgomery County (GO) Series A
5.000%, 11/01/19.......... 1,400 1,441,692
Montgomery County (GO) Series B
5.000%, 06/01/19.......... 7,725 7,861,115
5.000%, 12/01/19.......... 5,975 6,166,857
5.000%, 12/01/21.......... 4,000 4,340,480
Prince George's County (GO) Series B
4.000%, 03/01/19.......... 9,575 9,641,642
4.000%, 03/01/20.......... 9,780 10,031,444
Talbot County (GO)
2.000%, 12/15/21.......... 1,330 1,313,229
------------
TOTAL MARYLAND................... 170,058,959
------------
MASSACHUSETTS -- (8.3%)
City of Fall River (BAN)
2.500%, 02/08/19.......... 9,831 9,845,452
City of New Bedford (BAN)
2.750%, 05/03/19.......... 1,000 1,003,100
City of Quincy (BAN)
2.500%, 01/18/19.......... 13,000 13,014,820
3.000%, 07/12/19.......... 10,000 10,076,400
City of Quincy (BAN) Series A
3.000%, 06/14/19.......... 5,000 5,034,900
City of Somerville (BAN)
3.000%, 06/07/19.......... 40,000 40,232,000
City of Springfield (GO) (ST AID
WITHHLDG)
5.000%, 09/01/21.......... 4,240 4,561,519
City of Worcester (BAN)
3.000%, 01/31/19.......... 6,000 6,017,400
Commonwealth of Massachusetts
(GO) Series A
5.000%, 04/01/20.......... 10,000 10,408,900
5.000%, 05/01/21.......... 10,000 10,694,400
Commonwealth of Massachusetts
(GO) Series B
5.000%, 07/01/19.......... 5,000 5,101,300
Commonwealth of Massachusetts
(GO) Series C
4.000%, 09/01/19.......... 4,475 4,551,254
5.000%, 04/01/20.......... 2,700 2,810,403
5.000%, 08/01/20.......... 18,500 19,418,340
5.000%, 10/01/21.......... 8,000 8,635,760
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
MASSACHUSETTS -- (Continued)
Commonwealth of Massachusetts
(GO) (AGM) Series B
5.250%, 09/01/21......... 2,405 $ 2,607,910
Commonwealth of Massachusetts
(GO) (AMBAC) Series D
5.500%, 10/01/19......... 6,970 7,194,225
Massachusetts Bay Transportation
Authority (RB) Series A
5.250%, 07/01/19......... 3,115 3,182,595
Massachusetts Clean Water Trust
(The) (RB)
5.000%, 08/01/20......... 5,830 6,121,442
Massachusetts Development Finance
Agency (RB) Series A
(currency) 5.750%, 07/01/39
(Pre-refunded @ $ 100,
7/1/19)................ 9,990 10,242,947
Massachusetts Health & Educational
Facilities Authority (RB)
(currency) 5.000%, 07/01/39
(Pre-refunded @ $ 100,
7/1/19)................ 4,160 4,244,864
Town of Lexington (BAN)
3.000%, 02/15/19......... 10,555 10,590,148
Town of Marshfield (BAN)
3.000%, 07/26/19......... 5,000 5,035,150
Town of Plymouth (BAN) Series B
3.000%, 06/14/19......... 7,209 7,252,614
------------
TOTAL MASSACHUSETTS.................. 207,877,843
------------
MICHIGAN -- (1.0%)
Michigan Finance Authority (RB)
Series A
5.000%, 01/01/19......... 7,110 7,145,621
Michigan State (GO)
5.000%, 11/01/19......... 13,000 13,389,740
Michigan State Trunk Line Revenue
(RB)
5.000%, 11/15/18......... 3,600 3,604,104
------------
TOTAL MICHIGAN....................... 24,139,465
------------
173
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
MINNESOTA -- (3.4%)
Bloomington Independent School
District No. 271 (GO) (SD CRED
PROG) Series A
5.000%, 02/01/21........ 1,290 $1,370,483
Chaska Independent School District
No. 112 (GO) (SD CRED PROG)
Series A
5.000%, 02/01/21........ 590 625,872
City of Minneapolis (GO)
2.000%, 12/01/18........ 5,085 5,085,610
2.000%, 12/01/19........ 3,690 3,690,775
City of Minneapolis (RB) Series A
(currency) 6.750%, 11/15/32
(Pre-refunded @ $100,
11/15/18)............. 6,500 6,511,505
City of Saint Cloud (RB) Series A
(currency) 5.125%, 05/01/30
(Pre-refunded @ $100,
5/1/20)............... 950 990,993
Elk River Independent School District
No. 728 (GO) (SD CRED PROG)
Series A
5.000%, 02/01/21........ 1,000 1,061,260
Elk River Independent School District
No. 728 (GO) (SD CRED PROG)
Series C
5.000%, 02/01/20........ 5,000 5,179,300
5.000%, 02/01/21........ 2,000 2,122,520
Hennepin County (GO) Series B
5.000%, 12/01/21........ 650 705,127
Hennepin County Sales Tax Revenue
(RB)
5.000%, 12/15/19........ 345 356,589
Housing & Redevelopment Authority
of The City of Saint Paul Minnesota
(RB) Series A1
(currency) 5.250%, 11/15/29
(Pre-refunded @ $100,
11/15/19)............. 660 681,470
Lakeville Independent School District
No. 194 (GO) (SD CRED PROG)
Series D
5.000%, 02/01/19........ 4,425 4,459,249
Minnesota State (GO) Series B
5.000%, 08/01/19........ 4,425 4,523,854
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
MINNESOTA -- (Continued)
5.000%, 10/01/19......... 2,120 $ 2,177,664
4.000%, 08/01/20......... 8,800 9,082,040
Minnesota State (GO) Series D
5.000%, 08/01/19......... 19,750 20,191,215
5.000%, 08/01/20......... 740 776,341
5.000%, 08/01/20......... 6,330 6,640,866
5.000%, 08/01/21......... 7,230 7,772,611
Minnesota State (GO) Series E
2.000%, 08/01/19......... 725 725,152
Minnesota State (GO) (ETM) Series
D
(currency) 5.000%, 08/01/20......... 10 10,486
Watertown-Mayer Independent
School District No. 111 (GO) (SD
CRED PROG) Series B
4.000%, 02/01/20......... 1,610 1,648,431
-----------
TOTAL MINNESOTA...................... 86,389,413
-----------
MISSOURI -- (1.7%)
Clayton School District (GO)
5.000%, 03/01/20......... 3,115 3,235,769
Health & Educational Facilities
Authority of the State of Missouri
(RB) (AGM) Series 2003A
(currency) 5.500%, 11/15/23
(Pre-refunded @ $ 100,
11/15/18).............. 10,000 10,013,100
(currency) 5.500%, 11/15/28
(Pre-refunded @ $ 100,
11/15/18).............. 10,000 10,013,100
Jackson County Reorganized School
District No. 7 (GO)
3.000%, 03/01/21......... 2,375 2,417,346
Missouri State (GO) Series A
5.000%, 12/01/20......... 4,515 4,780,121
Saint Louis County Reorganized
School District No. R-6 (GO)
4.000%, 02/01/20......... 12,775 13,084,666
-----------
TOTAL MISSOURI....................... 43,544,102
-----------
NEBRASKA -- (0.4%)
Lancaster County School District 001
(GO)
5.000%, 01/15/21......... 1,620 1,716,601
174
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
NEBRASKA -- (Continued)
Metropolitan Utilities District of
Omaha (RB)
5.000%, 12/01/20........ 4,340 $ 4,591,199
Omaha Public Power District Series B
5.000%, 02/01/20........ 4,620 4,786,274
-----------
TOTAL NEBRASKA...................... 11,094,074
-----------
NEVADA -- (0.4%)
City of Henderson NV (GO)
5.000%, 06/01/19........ 5,295 5,387,398
Clark County School District (GO)
Series A
5.000%, 06/15/19........ 1,000 1,017,790
Clark County Water Reclamation
District (GO) Series A
(currency) 5.250%, 07/01/34
(Pre-refunded @ $100,
7/1/19)............... 2,905 2,969,026
Washoe County School District (GO)
Series A
3.000%, 06/01/19........ 1,125 1,130,861
-----------
TOTAL NEVADA........................ 10,505,075
-----------
NEW HAMPSHIRE -- (0.1%)
City of Nashua (GO)
4.000%, 07/15/21........ 1,720 1,803,076
-----------
NEW JERSEY -- (2.8%)
City of Jersey City (BAN) Series C
3.000%, 06/20/19........ 15,000 15,096,900
Essex County (BAN)
5.000%, 09/10/19........ 10,000 10,252,100
Middlesex County (BAN)
3.000%, 06/11/19........ 10,000 10,059,100
Monmouth County (GO)
5.000%, 07/15/20........ 4,540 4,764,412
5.000%, 07/15/21........ 3,770 4,051,582
New Jersey Educational Facilities
Authority (RB) Series E
(currency) 6.250%, 07/01/37
(Pre-refunded @ $100,
7/1/19)............... 3,000 3,085,800
Sussex County (BAN)
3.000%, 06/24/19........ 10,000 10,064,500
Town of Dover (BAN)
3.000%, 05/31/19........ 3,000 3,016,920
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
NEW JERSEY -- (Continued)
Union County (BAN)
3.000%, 06/21/19.... 10,000 $10,064,900
-----------
TOTAL NEW JERSEY..................... 70,456,214
-----------
NEW MEXICO -- (0.8%)
Bernalillo County (GO)
5.000%, 08/15/19.... 4,505 4,610,462
New Mexico State (GO)
5.000%, 03/01/19.... 1,500 1,515,000
New Mexico State (GO) Series B
5.000%, 03/01/20.... 3,775 3,916,789
New Mexico State (GO) (ETM)
5.000%, 03/01/21.... 4,000 4,255,800
New Mexico State Severance Tax
Permanent Fund (RB) Series A
5.000%, 07/01/19.... 6,500 6,627,335
-----------
TOTAL NEW MEXICO..................... 20,925,386
-----------
NEW YORK -- (6.8%)
Amityville Union Free School District
(BAN) (ST AID WITHHLDG)
2.750%, 06/21/19.... 3,250 3,265,340
Brewster Central School District (GO)
(ST AID WITHHLDG)
2.000%, 10/01/19.... 1,160 1,161,253
Broome County (BAN) Series A
3.000%, 05/03/19.... 5,690 5,716,174
City of New York (GO) (ETM)
(currency) 5.000%, 03/01/19.... 7,935 8,018,317
City of New York (GO)
5.000%, 03/01/19.... 2,170 2,192,199
4.000%, 08/01/20.... 1,400 1,445,122
City of New York (GO) Series 1
5.000%, 08/01/19.... 2,000 2,044,820
City of New York (GO) Series C
5.000%, 08/01/19.... 1,000 1,022,410
City of New York (GO) Series E
5.000%, 08/01/19.... 10,000 10,224,100
5.000%, 08/01/20.... 3,565 3,740,719
5.000%, 08/01/21.... 1,500 1,610,910
175
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
NEW YORK -- (Continued)
City of New York (GO) Series F
5.000%, 08/01/21......... 1,000 $ 1,073,940
City of New York (GO) Series G
5.000%, 08/01/19......... 15,310 15,653,097
5.000%, 08/01/21......... 5,915 6,352,355
City of New York (GO) Series J
5.000%, 08/01/19......... 7,985 8,163,944
City of New York (GO) Series J7
5.000%, 08/01/20......... 5,000 5,246,450
City of Rochester (BAN) Series III
2.000%, 08/08/19......... 5,600 5,598,208
Columbia County (GO) (AGM) Series A
2.000%, 02/01/19......... 500 500,200
East Hampton Union Free School
District (GO) (ST AID
WITHHLDG)
5.000%, 06/01/19......... 235 239,251
Hilton Central School District (GO)
(ST AID WITHHLDG)
2.000%, 06/15/21......... 685 677,671
Lancaster Central School District
(BAN) (ST AID WITHHLDG)
3.000%, 06/13/19......... 13,900 13,981,176
Metropolitan Transportation Authority
(RB) (ETM) Series A
(currency) 5.000%, 11/15/21......... 85 92,239
Metropolitan Transportation Authority
(RB) Series A
5.000%, 11/15/21......... 515 554,763
Nassau County (BAN) Series B
5.000%, 12/14/18......... 2,000 2,007,320
New York State Dormitory Authority
(RB)
(currency) 6.125%, 12/01/29
(Pre-refunded @ $ 100,
12/1/18)............... 600 602,112
(currency) 6.250%, 12/01/37
(Pre-refunded @ $ 100,
12/1/18)............... 450 451,629
New York State Dormitory Authority
(RB) Series A
5.000%, 12/15/18......... 5,395 5,415,663
5.000%, 03/15/21......... 1,795 1,912,519
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
NEW YORK -- (Continued)
5.000%, 12/15/21......... 3,545 $ 3,839,235
(currency) 5.500%, 07/01/25
(Pre-refunded @ $ 100,
7/1/20)................ 500 527,975
(currency) 5.000%, 07/01/39
(Pre-refunded @ $ 100,
7/1/19)................ 6,125 6,251,175
New York State Dormitory
Authority (RB) Series B
5.000%, 02/15/20......... 15,000 15,568,050
5.000%, 02/15/22......... 4,000 4,347,760
New York State Dormitory
Authority (RB) Series C
5.000%, 03/15/19......... 700 708,057
New York State Dormitory
Authority (RB) Series E
5.000%, 02/15/19......... 875 882,822
5.000%, 03/15/20......... 500 520,080
5.000%, 03/15/21......... 2,000 2,129,980
New York State Dormitory
Authority Series A
5.000%, 02/15/20......... 2,900 3,009,823
New York State Urban Development
Corp. (RB) (NATL)
5.500%, 03/15/20......... 4,250 4,449,240
New York State Urban Development
Corp. (RB) Series A
5.000%, 03/15/20......... 550 572,088
New York State Urban Development
Corp. (RB) Series C
5.000%, 12/15/18......... 250 250,958
Town of Brookhaven (GO) Series A
3.000%, 02/01/19......... 5,080 5,094,935
Triborough Bridge & Tunnel
Authority (RB) Series A-1
5.000%, 11/15/19......... 500 515,720
Triborough Bridge & Tunnel
Authority (RB) Series B
4.000%, 11/15/18......... 11,860 11,869,251
5.000%, 11/15/19......... 1,000 1,031,440
------------
TOTAL NEW YORK....................... 170,532,490
------------
NORTH CAROLINA -- (2.7%)
City of Charlotte Water & Sewer
System Revenue (RB)
5.000%, 07/01/19......... 10,555 10,770,955
176
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
NORTH CAROLINA --
(Continued)
Davie County (GO)
5.000%, 05/01/20......... 1,595 $ 1,664,989
Guilford County (GO) Series A
4.000%, 02/01/20......... 2,135 2,187,820
Mecklenburg County (GO) Series C
5.000%, 12/01/19......... 1,500 1,549,155
North Carolina Medical Care
Commission (RB) Series D
(currency) 6.250%, 12/01/33
(Pre-refunded @ $ 100,
12/1/18)............... 15,455 15,508,783
North Carolina State (GO) Series A
5.000%, 03/01/19......... 5,000 5,051,800
North Carolina State (GO) Series E
5.000%, 05/01/19......... 1,500 1,523,205
5.000%, 05/01/20......... 4,100 4,278,063
North Carolina Turnpike Authority
(RB) (AGC) Series A
(currency) 5.500%, 01/01/29
(Pre-refunded @ $ 100,
1/1/19)................ 4,275 4,300,308
Wake County (GO)
5.000%, 03/01/19......... 7,225 7,299,851
Wake County (GO) Series A
5.000%, 02/01/20......... 4,500 4,665,330
Wake County (GO) Series B
5.000%, 02/01/20......... 2,475 2,565,932
Wake County (RB)
(currency) 5.000%, 06/01/32
(Pre-refunded @ $ 100,
6/1/19)................ 7,000 7,126,210
-----------
TOTAL NORTH CAROLINA................. 68,492,401
-----------
OHIO -- (4.3%)
City of Columbus (GO) Series 1
5.000%, 07/01/20......... 10,000 10,474,800
City of Columbus (GO) Series A
5.000%, 02/15/19......... 10,000 10,089,400
5.000%, 02/15/20......... 800 829,984
3.000%, 07/01/21......... 12,830 13,103,921
Ohio State (GO) Series A
3.000%, 05/01/20......... 5,000 5,069,700
5.000%, 05/01/20......... 7,000 7,302,960
5.000%, 09/15/21......... 2,335 2,515,776
Ohio State (GO) Series B
5.000%, 08/01/19......... 7,270 7,435,102
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
OHIO -- (Continued)
5.000%, 09/01/19.............. 4,215 $ 4,321,344
5.000%, 08/01/20.............. 10,000 10,498,200
2.000%, 09/01/20.............. 2,500 2,496,400
5.000%, 06/15/21.............. 9,500 10,180,770
Ohio State (GO) Series C
5.000%, 09/15/19.............. 5,005 5,137,182
Ohio State (GO) Series Q
5.000%, 05/01/20.............. 1,635 1,705,763
Ohio State (GO) Series R
5.000%, 05/01/20.............. 11,830 12,342,002
Ohio State (GO) Series T
5.000%, 04/01/21.............. 2,040 2,175,517
Ohio State Water Development
Authority (RB) Series A
5.000%, 06/01/21.............. 1,825 1,954,374
------------
TOTAL OHIO........................... 107,633,195
------------
OKLAHOMA -- (0.5%)
Tulsa County Independent School
District No. 1 Tulsa (GO) Series B
2.000%, 08/01/20.............. 5,000 4,974,200
Tulsa County Independent School
District No. 1 Tulsa (GO) Series C
2.000%, 07/01/19.............. 8,610 8,613,272
------------
TOTAL OKLAHOMA....................... 13,587,472
------------
OREGON -- (1.2%)
City of Portland Sewer System
Revenue (RB) Series A
5.000%, 06/01/19.............. 2,140 2,177,472
Metro (GO)
5.000%, 06/01/20.............. 2,125 2,221,964
Multnomah County (GO)
5.000%, 08/01/19.............. 4,580 4,683,691
Oregon State (GO) Series A
5.000%, 05/01/19.............. 3,000 3,045,660
Oregon State (GO) Series F
3.000%, 05/01/20.............. 6,585 6,675,807
Oregon State (GO) Series L
5.000%, 11/01/19.............. 11,515 11,859,068
------------
TOTAL OREGON......................... 30,663,662
------------
177
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
PENNSYLVANIA -- (3.3%) City of
Philadelphia (GO) (AGM) Series A
(currency) 5.250%, 12/15/32
(Pre-refunded @ $100,
12/15/18)............. 7,290 $ 7,319,743
Commonwealth of Pennsylvania (GO)
5.000%, 11/15/18........ 10,645 10,656,922
5.000%, 10/15/19........ 2,250 2,312,078
5.000%, 04/01/20........ 8,500 8,826,995
Commonwealth of Pennsylvania (GO)
Series A
5.000%, 02/15/19........ 5,010 5,053,337
Commonwealth of Pennsylvania (GO)
Series REF
5.000%, 07/01/19........ 7,655 7,803,430
5.000%, 07/01/22........ 2,000 2,174,680
Montgomery County Industrial
Development Authority (RB) (FHA
INS)
(currency) 5.375%, 08/01/38
(Pre-refunded @ $100,
8/1/20)............... 10,000 10,549,800
Pennsylvania Economic Development
Financing Authority (RB) Series A
5.000%, 07/01/19........ 23,650 24,129,149
University of Pittsburgh-of the
Commonwealth System of Higher
Education (RB) Series B
(currency) 5.250%, 09/15/34
(Pre-refunded @ $100,
9/15/19).............. 3,330 3,424,772
-----------
TOTAL PENNSYLVANIA.................. 82,250,906
-----------
RHODE ISLAND -- (0.2%)
Rhode Island State (GO) Series A
5.000%, 08/01/19........ 4,700 4,803,917
-----------
SOUTH CAROLINA -- (4.3%)
Aiken County Consolidated School
District (GO) (SCSDE) Series A
5.000%, 03/01/20........ 3,000 3,118,710
Berkeley County School District (GO)
(SCSDE) Series A
5.000%, 03/01/20........ 1,085 1,127,933
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
SOUTH CAROLINA -- (Continued)
Charleston County School District
(GO) (SCSDE) Series A
5.000%, 02/01/19......... 7,595 $ 7,655,001
Darlington County School District
(GO) (SCSDE)
3.000%, 03/01/19......... 3,000 3,010,950
Dorchester County School District
No. 2 (GO) (SCSDE) Series A
5.000%, 03/01/21......... 1,885 2,005,979
Florence County (GO) (ST AID
WITHHLDG)
4.000%, 06/01/19......... 15,000 15,178,200
4.000%, 06/01/20......... 2,475 2,548,087
Florence School District One (GO)
(SCSDE)
5.000%, 03/01/19......... 3,730 3,769,650
Georgetown County School District
(BAN) (SCSDE)
3.000%, 06/20/19......... 12,625 12,706,557
Lexington & Richland School District
No. 5 (GO) (SCSDE) Series B
5.000%, 03/01/21......... 1,660 1,767,717
Richland County (BAN) (ST AID
WITHHLDG)
3.000%, 02/27/19......... 12,500 12,544,000
Richland County School District
No. 2 (GO) (SCSDE)
5.000%, 03/01/20......... 910 946,009
Richland County School District
No. 2 (GO) (SCSDE) Series A
5.000%, 02/01/20......... 5,520 5,725,620
5.000%, 02/01/21......... 7,000 7,435,120
Richland County School District
No. 2 (GO) (SCSDE) Series C
5.000%, 02/01/19......... 5,740 5,785,748
South Carolina Jobs-Economic Dev.
Authority (RB) Series A
(currency) 6.250%, 04/01/35
(Pre-refunded @ $ 100,
4/1/20)................ 2,180 2,302,821
(currency) 6.500%, 04/01/42
(Pre-refunded @ $ 100,
4/1/20)................ 2,000 2,119,320
178
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
SOUTH CAROLINA --
(Continued)
South Carolina State (GO) (ST AID
WITHHLDG)
5.000%, 04/01/19......... 1,380 $ 1,397,581
South Carolina State (GO) (ST AID
WITHHLDG) Series A
5.000%, 10/01/19......... 4,530 4,654,892
4.000%, 04/01/20......... 1,185 1,216,853
South Carolina State (GO) Series A
5.000%, 06/01/20......... 8,945 9,348,867
South Carolina Transportation
Infrastructure Bank (RB) Series A
(currency) 5.250%, 10/01/40
(Pre-refunded @ $ 100,
10/1/19)............... 2,690 2,767,230
------------
TOTAL SOUTH CAROLINA................. 109,132,845
------------
TENNESSEE -- (2.4%)
City of Memphis (GO) Series A
5.000%, 04/01/21......... 4,550 4,853,349
City of Memphis (GO) Series D
5.000%, 07/01/19......... 4,180 4,263,015
Hamilton County (GO) Series A
5.000%, 05/01/21......... 3,895 4,163,482
Metropolitan Government of
Nashville & Davidson County
(GO)
5.000%, 07/01/21......... 9,055 9,714,566
Metropolitan Government of
Nashville & Davidson County
(GO) Series A
(currency) 5.000%, 07/01/25
(Pre-refunded @ $ 100,
7/1/20)................ 525 549,843
Metropolitan Government of
Nashville & Davidson County
Electric Revenue (RB) Series A
5.000%, 05/15/20......... 2,000 2,088,440
Shelby County (GO) Series A
5.000%, 04/01/19......... 5,000 5,063,700
5.000%, 04/01/20......... 18,135 18,876,540
5.000%, 03/01/21......... 2,550 2,716,668
Tennessee State (GO) Series A
5.000%, 08/01/19......... 2,000 2,045,720
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
TENNESSEE -- (Continued)
5.000%, 09/01/19........ 1,600 $ 1,640,640
5.000%, 02/01/20........ 3,500 3,627,715
-----------
TOTAL TENNESSEE..................... 59,603,678
-----------
TEXAS -- (12.7%)
Austin Independent School District
(GO)
(currency) 4.500%, 08/01/25
(Pre-refunded @ $100,
8/1/19)............... 3,340 3,404,529
Bexar County Health Facilities
Development Corp. (RB)
(currency) 6.200%, 07/01/45
(Pre-refunded @ $100,
7/1/20)............... 3,030 3,222,223
City of Allen (GO)
5.000%, 08/15/21........ 1,840 1,978,423
City of Arlington (GO)
5.000%, 08/15/19........ 2,110 2,159,564
City of Dallas (GO)
5.000%, 02/15/19........ 8,400 8,472,408
5.000%, 02/15/21........ 1,500 1,589,295
City of Fort Worth Water & Sewer
System Revenue (RB)
5.000%, 02/15/19........ 830 837,346
City of Frisco (GO) Series A
5.000%, 02/15/21........ 4,825 5,126,659
City of Houston (RAN)
5.000%, 06/28/19........ 30,000 30,592,800
City of Houston (GO)
(currency) 5.000%, 03/01/26
(Pre-refunded @ $100,
3/1/19)............... 3,405 3,439,595
City of Houston Combined Utility
System Revenue (RB) (AGC)
(currency) 5.375%, 11/15/38
(Pre-refunded @ $100,
5/15/19).............. 25,155 25,616,091
City of San Antonio (GO)
4.000%, 08/01/19........ 5,000 5,075,550
5.000%, 02/01/20........ 7,350 7,616,364
City of San Antonio Electric & Gas
Systems Revenue (RB) Series A
(currency) 5.000%, 02/01/34
(Pre-refunded @ $100,
2/1/19)............... 4,750 4,786,195
179
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
TEXAS -- (Continued)
City of San Antonio Electric & Gas
Systems Revenue (RB) Series D
5.000%, 02/01/19......... 700 $ 705,369
City of Waco (GO)....................
5.000%, 02/01/20......... 5,765 5,974,615
Conroe Independent School District
(GO) (PSF-GTD) Series A
4.000%, 02/15/21......... 1,940 2,017,387
Dallas County Community College
District (GO)
5.000%, 02/15/20......... 11,975 12,426,937
Fort Worth Independent School
District (GO)
5.000%, 02/15/20......... 3,875 4,018,259
Harris County (GO) Series A
5.000%, 10/01/19......... 5,640 5,791,321
Highland Park Independent School
District (GO)
4.000%, 02/15/20......... 2,070 2,120,135
Houston Higher Education Finance
Corp. (RB) Series A
(currency) 6.875%, 05/15/41
(Pre-refunded @ $ 100,
5/15/21)............... 6,000 6,656,760
Humble Independent School District
(GO) (PSF-GTD) Series B
5.000%, 02/15/20......... 4,000 4,147,880
Humble Independent School District
(GO) Series C
5.000%, 02/15/19......... 1,200 1,210,620
Lewisville Independent School
District (GO) (PSF-GTD)
3.000%, 08/15/19......... 6,000 6,048,780
Metropolitan Transit Authority of
Harris County (RB) Series B
(currency) 5.000%, 11/01/33
(Pre-refunded @ $ 100,
11/1/19)............... 10,000 10,296,700
Plano Independent School District
(GO) (PSF-GTD)
5.000%, 02/15/19......... 18,185 18,345,392
San Antonio Independent School
District (GO) (PSF-GTD)
5.000%, 02/15/20......... 7,000 7,258,790
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
TEXAS -- (Continued)
Southwest Higher Education
Authority Inc (RB)
(currency) 5.000%, 10/01/23
(Pre-refunded @ $100,
10/1/19).............. 2,740 $ 2,815,788
Texas State (GO)
5.000%, 04/01/19........ 4,350 4,405,245
5.000%, 10/01/20........ 3,825 4,029,752
5.000%, 10/01/23........ 1,425 1,594,333
Texas State (GO) Series A
5.000%, 10/01/19........ 1,950 2,003,586
5.000%, 10/01/21........ 2,200 2,370,962
Texas State
4.000%, 08/29/19........ 60,000 60,949,200
Texas Tech University (RB)
Series A
5.000%, 08/15/19........ 3,025 3,095,815
Texas Transportation
Commission State Highway Fund
(RB) Series A
5.000%, 04/01/19........ 5,110 5,175,101
5.000%, 10/01/19........ 4,000 4,110,280
5.000%, 10/01/20........ 12,500 13,178,750
University of Texas System (The)
(RB) Series C
5.000%, 08/15/19........ 7,975 8,161,695
University of Texas System (The)
(RB) Series D
(currency) 5.000%, 08/15/23
(Pre-refunded @ $100,
8/15/19).............. 6,635 6,795,567
University of Texas System (The)
Series J
5.000%, 08/15/19........ 8,285 8,478,952
------------
TOTAL TEXAS......................... 318,101,013
------------
UTAH -- (2.0%)
Alpine School District (GO) (SCH
BD GTY)
5.000%, 03/15/21........ 940 1,001,542
Jordan School District (GO) (SCH
BD GTY)
5.000%, 06/15/19........ 16,420 16,731,652
5.000%, 06/15/20........ 9,175 9,603,748
Tooele County School District (GO)
(SCH BD GTY) Series B
5.000%, 06/01/19........ 1,675 1,704,815
Utah State (GO)
5.000%, 07/01/19........ 3,250 3,316,072
5.000%, 07/01/22........ 9,690 10,632,643
180
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
UTAH -- (Continued)
Utah State (GO) Series C
4.500%, 07/01/19.............. 6,675 $ 6,788,809
-----------
TOTAL UTAH........................... 49,779,281
-----------
VIRGINIA -- (5.2%)
Arlington County (GO) (ST AID
WITHHLDG)
4.000%, 08/15/21.............. 2,125 2,230,698
Chesterfield County (GO) Series A
5.000%, 01/01/19.............. 3,575 3,593,268
City of Hampton (GO) (ST AID
WITHHLDG) Series B
5.000%, 09/01/21.............. 2,700 2,909,358
City of Norfolk (GO) (ST AID
WITHHLDG) Series C
5.000%, 10/01/19.............. 2,500 2,568,450
City of Richmond (GO) (ST AID
WITHHLDG) Series A
5.000%, 03/01/20.............. 1,000 1,038,230
5.000%, 03/01/20.............. 2,700 2,803,221
Commonwealth of Virginia (GO)
Series B
5.000%, 06/01/19.............. 10,250 10,431,835
5.000%, 06/01/19.............. 5,705 5,806,207
Fairfax County (GO) (ST AID
WITHHLDG) Series A
5.000%, 04/01/19.............. 1,000 1,012,740
4.000%, 10/01/19.............. 12,300 12,528,288
5.000%, 10/01/19.............. 4,000 4,110,280
4.000%, 10/01/20.............. 15,530 16,083,489
Fairfax County (GO) (ST AID
WITHHLDG) Series B
4.000%, 04/01/19.............. 7,000 7,060,480
Henrico County (GO)
5.000%, 07/15/19.............. 5,460 5,576,680
Henrico County (GO) (ST AID
WITHHLDG)
5.000%, 08/01/19.............. 2,345 2,398,091
Loudoun County (GO) Series A
5.000%, 12/01/19.............. 3,105 3,205,385
Loudoun County (GO) (ST AID
WITHHLDG) Series A
5.000%, 12/01/19.............. 5,850 6,039,130
University of Virginia (RB) Series B
5.000%, 08/01/21.............. 15,000 16,134,000
Virginia Public School Authority
(RB) (ST AID WITHHLDG)
5.000%, 07/15/19.............. 4,080 4,167,761
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
VIRGINIA -- (Continued)
Virginia Public School Authority
(RB) (ST AID WITHHLDG)
Series B
5.000%, 08/01/19........ 15,580 $ 15,935,068
Virginia Resources Authority (RB)
Series B
4.000%, 10/01/19........ 4,875 4,967,235
------------
TOTAL VIRGINIA...................... 130,599,894
------------
WASHINGTON -- (3.8%)
City of Seattle Drainage &
Wastewater Revenue (RB)
5.000%, 04/01/21........ 3,000 3,199,290
City of Seattle Municipal Light &
Power Revenue (RB) (BHAC-CR)
(currency) 5.750%, 04/01/29
(Pre-refunded @ $100,
4/1/19)............... 10,000 10,160,200
City of Seattle Water System
Revenue (RB)
5.000%, 09/01/19........ 3,890 3,987,172
King & Snohomich Countries School
District No. 417 (GO)
4.000%, 12/01/19........ 1,330 1,358,848
King County (GO)
5.000%, 12/01/18........ 9,420 9,443,644
King County School District No. 405
Bellevue (GO) (SCH BD GTY)
5.000%, 12/01/18........ 1,240 1,243,112
King County School District No. 405
Bellevue (GO) (SCH BD GTY)
Series A
5.000%, 12/01/18........ 400 401,004
King County School District No. 414
Lake Washington (GO)
5.000%, 12/01/19........ 4,815 4,970,669
King County Sewer Revenue (RB)
5.000%, 07/01/19........ 1,755 1,790,328
Snohomish County Public Utility
District No. 1 (RB)
5.000%, 12/01/18........ 3,190 3,198,007
5.000%, 12/01/19........ 5,810 5,997,837
Snohomish County School District
No. 201 Snohomish (GO) (SCH
BD GTY)
5.000%, 12/01/21........ 4,000 4,321,840
181
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
WASHINGTON -- (Continued)
Snohomish County School District
No. 6 Mukilteo (GO) (SCH BD GTY)
5.000%, 12/01/18......... 500 $ 501,250
Spokane County School District
No. 81 Spokane (GO) (SCH BD GTY)
Series A
5.000%, 12/01/18......... 7,375 7,393,511
Washington Health Care Facilities
Authority (RB)
(currency) 7.375%, 03/01/38
(Pre-refunded @ $ 100,
3/1/19)................ 800 814,136
(currency) 5.625%, 10/01/38
(Pre-refunded @ $ 100,
10/1/19)............... 9,965 10,289,361
Washington State (GO) Series 2013A
5.000%, 08/01/21......... 4,245 4,560,022
Washington State (GO) Series A
5.000%, 08/01/21......... 1,500 1,611,315
Washington State (GO) Series B
5.000%, 07/01/20......... 5,000 5,236,600
Washington State (GO) Series C
5.000%, 07/01/20......... 3,650 3,822,718
Washington State (GO) Series D
5.000%, 02/01/19......... 1,710 1,723,201
Washington State (GO) Series E
5.000%, 02/01/19......... 4,080 4,111,498
Washington State (GO) Series R-2015-C
5.000%, 07/01/19......... 1,500 1,530,495
Washington State (GO) Series R-2017A
5.000%, 08/01/22......... 2,500 2,740,925
Washington State (GO) Series R-2017C
5.000%, 08/01/19......... 2,000 2,045,580
-----------
TOTAL WASHINGTON..................... 96,452,563
-----------
WEST VIRGINIA -- (0.4%)
West Virginia State (GO) Series A
5.000%, 06/01/21......... 9,620 10,304,463
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
-----
WISCONSIN -- (3.5%)
City of Milwaukee (GO)
5.000%, 05/01/19.... 10,010 $ 10,163,854
City of Milwaukee (GO) Series N2
5.000%, 04/01/20.... 5,860 6,100,436
Wisconsin Health & Educational
Facilities Authority (RB)
Series A
(currency) 5.250%, 12/01/35
(Pre-refunded @
$100, 12/3/18).... 1,980 1,985,742
Wisconsin State (GO) (AMBAC)
Series 1
5.000%, 05/01/19.... 6,320 6,416,822
Wisconsin State (GO) Series 1
5.000%, 05/01/19.... 9,230 9,371,404
5.000%, 05/01/20.... 3,235 3,374,040
Wisconsin State (GO) Series 2
5.000%, 11/01/19.... 4,000 4,119,920
5.000%, 11/01/21.... 6,160 6,657,666
5.000%, 11/01/22.... 3,000 3,308,850
Wisconsin State (GO) Series A
5.000%, 05/01/19.... 8,440 8,569,301
Wisconsin State (GO) Series B
5.000%, 05/01/19.... 4,620 4,690,778
5.000%, 05/01/20.... 11,930 12,442,752
5.000%, 05/01/21.... 9,655 10,320,519
Wisconsin State (GO) (ETM)
Series 1
(currency) 5.000%, 05/01/20.... 120 124,958
---------------
TOTAL WISCONSIN................. 87,647,042
---------------
TOTAL MUNICIPAL BONDS........... 2,496,985,844
---------------
COMMERCIAL PAPER -- (0.7%)
University of Michigan
1.700%, 12/06/18.... 17,385 17,384,478
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,528,229,318)............. $ 2,514,370,322
===============
182
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- --------------- ------- --------------
Municipal Bonds... -- $ 2,496,985,844 -- $2,496,985,844
Commercial Paper.. -- 17,384,478 -- 17,384,478
-- --------------- -- --------------
TOTAL............. -- $ 2,514,370,322 -- $2,514,370,322
== =============== == ==============
See accompanying Notes to Financial Statements.
183
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.5%)
Alabama State (GO) Series A
5.000%, 08/01/19..................................... 3,995 $ 4,084,848
5.000%, 08/01/21..................................... 250 268,762
Alabama State (GO) Series B
5.000%, 11/01/19..................................... 1,000 1,029,780
Alabama State (GO) Series C
5.000%, 08/01/24..................................... 3,000 3,407,670
-----------
TOTAL ALABAMA............................................ 8,791,060
-----------
ALASKA -- (0.4%)
City of Anchorage (GO) Series B
5.000%, 09/01/21..................................... 3,845 4,137,681
5.000%, 09/01/23..................................... 200 223,772
City of Anchorage (GO) Series C
5.000%, 09/01/24..................................... 2,765 3,144,220
-----------
TOTAL ALASKA............................................. 7,505,673
-----------
ARIZONA -- (0.2%)
City of Tucson (GO) Series 2012-C
3.000%, 07/01/22..................................... 1,455 1,489,527
Maricopa County High School District No. 210-Phoenix (GO)
3.000%, 07/01/23..................................... 1,810 1,856,807
-----------
TOTAL ARIZONA............................................ 3,346,334
-----------
ARKANSAS -- (0.7%)
Arkansas State (GO)
5.000%, 04/01/21..................................... 1,000 1,065,940
5.000%, 06/15/21..................................... 3,750 4,016,737
5.000%, 04/01/22..................................... 2,800 3,050,656
4.250%, 06/01/23..................................... 3,325 3,596,287
-----------
TOTAL ARKANSAS........................................... 11,729,620
-----------
CALIFORNIA -- (1.7%)
California State (GO)
5.000%, 11/01/24..................................... 1,175 1,341,168
5.000%, 08/01/25..................................... 750 864,218
5.000%, 08/01/26..................................... 200 232,714
5.000%, 08/01/26..................................... 8,000 9,308,560
3.500%, 08/01/27..................................... 800 843,792
5.000%, 11/01/27..................................... 5,580 6,550,418
California State (GO) Series B
5.000%, 09/01/21..................................... 250 270,460
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
5.000%, 09/01/25..................................... 9,000 $10,380,060
-----------
TOTAL CALIFORNIA......................................... 29,791,390
-----------
COLORADO -- (1.2%)
Adams & Arapahoe Joint School District 28J (GO) (ST AID
WITHHLDG)
5.000%, 12/01/21..................................... 425 459,854
Arapahoe County School District No. 5 (GO) (ST AID
WITHHLDG)
5.000%, 12/15/19..................................... 3,115 3,218,916
5.000%, 12/15/19..................................... 5,705 5,895,319
Boulder Valley School District No. Re-2 Boulder (GO) (ST
AID WITHHLDG) Series B
4.000%, 12/01/24..................................... 2,185 2,371,359
Denver City & County School District No. 1 (GO) (NATL ST
AID WITHHLDG) Series A
5.250%, 12/01/21..................................... 2,490 2,712,631
Denver City & County School District No. 1 (GO) (ST AID
WITHHLDG) Series C
3.000%, 12/01/23..................................... 1,540 1,585,415
Platte River Power Authority (RB) Series JJ
5.000%, 06/01/23..................................... 4,425 4,921,175
-----------
TOTAL COLORADO........................................... 21,164,669
-----------
CONNECTICUT -- (0.1%)
City of Middletown (GO)
4.000%, 04/01/22..................................... 1,350 1,433,592
Connecticut State (GO) Series A
5.000%, 10/15/19..................................... 600 614,946
-----------
TOTAL CONNECTICUT........................................ 2,048,538
-----------
DELAWARE -- (0.5%)
Delaware State (GO) Series A
5.000%, 08/01/23..................................... 2,225 2,491,510
Delaware State (GO) Series B
5.000%, 07/01/19..................................... 4,335 4,421,397
New Castle County (GO)
5.000%, 10/01/23..................................... 1,000 1,122,280
184
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
DELAWARE -- (Continued)
New Castle County (GO) Series B
5.000%, 07/15/22.................................... 700 $ 768,523
-----------
TOTAL DELAWARE.......................................... 8,803,710
-----------
DISTRICT OF COLUMBIA -- (1.8%)
District of Columbia (GO) Series A
5.000%, 06/01/20.................................... 3,445 3,601,644
5.000%, 06/01/20.................................... 6,000 6,272,820
5.000%, 06/01/23.................................... 2,000 2,227,920
5.000%, 06/01/25.................................... 1,500 1,722,285
District of Columbia (GO) Series B
5.000%, 06/01/25.................................... 4,500 5,166,855
Washington Metropolitan Area Transit Authority (RB)
Series B
5.000%, 07/01/26.................................... 3,500 4,035,500
5.000%, 07/01/27.................................... 8,100 9,421,596
-----------
TOTAL DISTRICT OF COLUMBIA.............................. 32,448,620
-----------
FLORIDA -- (3.2%)
Board of Governors State University System of Florida
(RB) Series A
3.000%, 07/01/24.................................... 2,580 2,640,811
City of Tallahassee Energy System Revenue (RB)
5.000%, 10/01/20.................................... 250 263,140
Florida State (GO)
5.000%, 07/01/21.................................... 7,000 7,515,480
5.000%, 07/01/24.................................... 5,000 5,670,300
Florida State (GO) Series A
5.000%, 06/01/19.................................... 2,860 2,910,908
5.000%, 06/01/20.................................... 4,000 4,181,880
5.000%, 06/01/23.................................... 1,300 1,449,955
5.000%, 06/01/24.................................... 1,400 1,588,244
Florida State (GO) Series B
5.000%, 06/01/20.................................... 6,400 6,691,008
5.000%, 06/01/23.................................... 350 390,372
Florida State (GO) Series C
5.000%, 06/01/20.................................... 3,000 3,136,410
5.000%, 06/01/27.................................... 2,000 2,343,500
Florida State (GO) Series D
5.000%, 06/01/22.................................... 1,000 1,095,160
Florida State (GO) (ST GTD) Series A
5.000%, 06/01/27.................................... 6,565 7,692,539
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
FLORIDA -- (Continued)
Orlando Utilities Commission (RB) Series C
5.250%, 10/01/22.................................... 1,745 $ 1,935,903
Peace River Manasota Regional Water Supply Authority
(RB)
5.000%, 10/01/25.................................... 2,030 2,317,123
Tampa Bay Water (RB)
5.000%, 10/01/19.................................... 450 462,159
Tampa Bay Water (RB) Series A
5.000%, 10/01/25.................................... 2,850 3,278,269
-----------
TOTAL FLORIDA........................................... 55,563,161
-----------
GEORGIA -- (3.9%)
City of Atlanta (GO)
5.000%, 12/01/19.................................... 5,875 6,065,585
City of Atlanta Water & Wastewater Revenue (RB) Series B
5.000%, 11/01/19.................................... 1,700 1,750,966
Columbia County School District (GO) (ST AID WITHHLDG)
5.000%, 04/01/20.................................... 1,700 1,769,513
DeKalb County Water & Sewerage Revenue (RB) Series B
5.250%, 10/01/24.................................... 2,830 3,258,660
Georgia State (GO) Series A
5.000%, 07/01/26.................................... 1,340 1,566,178
5.000%, 07/01/27.................................... 6,090 7,191,194
Georgia State (GO) Series A-1
5.000%, 02/01/22.................................... 2,730 2,969,994
Georgia State (GO) Series C
5.000%, 10/01/21.................................... 3,060 3,304,096
Georgia State (GO) Series C-1
5.000%, 07/01/23.................................... 10,915 12,210,938
5.000%, 07/01/26.................................... 9,200 10,752,868
Georgia State (GO) Series F
5.000%, 12/01/19.................................... 6,000 6,193,980
5.000%, 01/01/27.................................... 2,000 2,347,740
Georgia State (GO) Series I
5.000%, 07/01/19.................................... 4,490 4,581,282
5.000%, 07/01/20.................................... 900 942,885
Gwinnett County School District (GO)
5.000%, 02/01/20.................................... 1,700 1,762,254
185
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
GEORGIA -- (Continued)
5.000%, 02/01/20.................................... 1,585 $ 1,643,043
-----------
TOTAL GEORGIA........................................... 68,311,176
-----------
HAWAII -- (2.4%)
City & County of Honolulu (GO) Series B
5.000%, 08/01/20.................................... 1,470 1,542,971
5.000%, 10/01/23.................................... 200 224,062
5.000%, 10/01/24.................................... 6,870 7,820,739
5.000%, 10/01/25.................................... 4,925 5,681,923
Hawaii State (GO) Series EA
5.000%, 12/01/21.................................... 850 920,499
Hawaii State (GO) Series EE
5.000%, 11/01/20.................................... 515 543,959
Hawaii State (GO) Series EF
5.000%, 11/01/22.................................... 2,240 2,468,816
Hawaii State (GO) Series EH
4.000%, 08/01/19.................................... 1,110 1,126,850
Hawaii State (GO) Series ET
3.000%, 10/01/23.................................... 3,710 3,814,288
Hawaii State (GO) Series EZ
5.000%, 10/01/21.................................... 6,080 6,559,651
Hawaii State (GO) Series FT
5.000%, 01/01/27.................................... 10,000 11,634,900
-----------
TOTAL HAWAII............................................ 42,338,658
-----------
IOWA -- (0.1%)
Black County Hawk (GO) Series A
5.000%, 06/01/19.................................... 1,200 1,220,796
-----------
KANSAS -- (1.4%)
City of Lenexa (GO) Series A
5.000%, 09/01/21.................................... 525 565,110
City of Wichita (GO) Series A
5.000%, 12/01/19.................................... 3,000 3,096,000
Johnson County (GO) Series B
3.000%, 09/01/22.................................... 2,260 2,318,489
Johnson County Unified School District No. 229 Blue
Valley (GO) Series B
5.000%, 10/01/23.................................... 445 498,756
Johnson County Unified School District No. 232 De Soto
(GO) Series A
5.000%, 09/01/20.................................... 2,550 2,681,095
Johnson County Unified School District No. 233 Olathe
(GO) Series B
5.000%, 09/01/23.................................... 4,380 4,896,358
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
KANSAS -- (Continued)
Kansas State Department of Transportation (RB) Series A
5.000%, 09/01/21.................................... 3,250 $ 3,501,095
Kansas State Department of Transportation (RB) Series B
5.000%, 09/01/20.................................... 3,000 3,156,450
Saline County Unified School District No. 305 Salina
(GO)
5.000%, 09/01/20.................................... 1,860 1,955,623
Sedgwick County Unified School District No. 260 Derby
(GO)
5.000%, 10/01/21.................................... 1,325 1,424,084
-----------
TOTAL KANSAS............................................ 24,093,060
-----------
KENTUCKY -- (0.8%)
Louisville & Jefferson County (GO) Series A
5.000%, 12/01/22.................................... 5,645 6,216,782
Louisville Water Co. (RB) Series A
4.000%, 11/15/21.................................... 1,215 1,277,050
Louisville/Jefferson County Metropolitan Government (GO)
5.000%, 12/01/19.................................... 1,250 1,288,913
Louisville/Jefferson County Metropolitan Government
(GO) Series A
5.000%, 12/01/20.................................... 5,155 5,456,619
-----------
TOTAL KENTUCKY.......................................... 14,239,364
-----------
LOUISIANA -- (1.4%)
Louisiana State (GO) Series A
5.000%, 11/15/19.................................... 4,500 4,637,700
5.000%, 02/01/24.................................... 2,000 2,243,340
Louisiana State (GO) Series C
5.000%, 07/15/22.................................... 12,765 13,966,952
Louisiana State (GO) Series D-1
5.000%, 12/01/20.................................... 4,065 4,293,453
-----------
TOTAL LOUISIANA......................................... 25,141,445
-----------
MAINE -- (0.3%)
Maine State (GO) Series B
5.000%, 06/01/20.................................... 3,000 3,133,560
5.000%, 06/01/27.................................... 2,000 2,345,160
-----------
TOTAL MAINE............................................. 5,478,720
-----------
186
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
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MARYLAND -- (9.3%)
Anne County Arundel (GO)
5.000%, 04/01/22.................................... 2,475 $ 2,700,819
Baltimore County (GO)
5.000%, 08/01/21.................................... 1,980 2,129,688
5.000%, 02/01/22.................................... 2,100 2,283,225
5.000%, 08/01/22.................................... 400 439,456
3.000%, 11/01/24.................................... 1,000 1,028,810
5.000%, 11/01/27.................................... 2,175 2,566,522
5.000%, 03/01/28.................................... 4,000 4,721,640
Baltimore County (GO) Series B
5.000%, 08/01/24.................................... 5,800 6,594,832
Carroll County (GO)
4.000%, 11/01/18.................................... 2,890 2,890,000
5.000%, 11/01/19.................................... 2,300 2,368,954
5.000%, 11/01/20.................................... 5,450 5,756,454
Charles County (GO) (ETM)
5.000%, 03/01/19.................................... 10 10,101
Charles County (GO)
5.000%, 03/01/19.................................... 1,990 2,010,358
City of Baltimore (GO) Series B
5.000%, 10/15/19.................................... 7,330 7,539,271
5.000%, 10/15/21.................................... 2,500 2,697,550
5.000%, 10/15/22.................................... 8,060 8,871,239
Frederick County (GO) Series A
5.000%, 08/01/27.................................... 4,725 5,558,396
Harford County (GO)
5.000%, 09/15/19.................................... 1,545 1,585,803
Howard County (GO) Series A
5.000%, 02/15/28.................................... 1,220 1,440,271
Howard County (GO) Series D
5.000%, 02/15/24.................................... 5,140 5,802,289
Maryland State (GO) Series A
5.000%, 03/15/26.................................... 5,000 5,803,550
Maryland State (GO) Series B
5.000%, 08/01/19.................................... 2,500 2,556,600
5.000%, 08/01/26.................................... 10,000 11,658,600
5.000%, 08/01/27.................................... 4,000 4,705,520
5.000%, 08/01/28.................................... 4,000 4,745,960
Maryland State (GO) Series C
5.000%, 08/01/19.................................... 3,000 3,067,920
5.000%, 08/01/20.................................... 7,250 7,609,890
5.000%, 08/01/22.................................... 1,500 1,645,695
Montgomery County (GO) Series C
5.000%, 10/01/27.................................... 8,500 10,024,730
Montgomery County (GO) Series D
3.000%, 11/01/23.................................... 4,000 4,112,400
4.000%, 11/01/26.................................... 9,500 10,404,400
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
MARYLAND -- (Continued)
Prince County George's (GO) Series A
4.000%, 07/01/26.................................... 2,000 $ 2,186,100
3.000%, 09/15/27.................................... 10,950 11,017,780
Prince County George's (GO) Series B
4.000%, 03/01/22.................................... 2,480 2,621,732
Prince County George's (GO) Series C
5.000%, 08/01/20.................................... 3,450 3,621,879
Queen County Anne's (GO)
5.000%, 11/15/19.................................... 1,805 1,860,991
University System of Maryland (RB) Series B
5.000%, 04/01/20.................................... 4,355 4,532,423
Worcester County (GO) Series B
4.000%, 08/01/21.................................... 2,000 2,097,040
------------
TOTAL MARYLAND.......................................... 163,268,888
------------
MASSACHUSETTS -- (4.3%)
City of Boston (GO) Series A
5.000%, 03/01/20.................................... 3,270 3,398,086
City of Boston (GO) Series B
5.000%, 04/01/19.................................... 4,700 4,759,878
4.000%, 01/01/23.................................... 1,795 1,919,142
5.000%, 04/01/24.................................... 3,000 3,405,150
City of Cambridge (GO)
3.000%, 02/15/20.................................... 2,070 2,095,316
City of Springfield (GO) (ST AID WITHHLDG) Series C
4.000%, 08/01/23.................................... 150 160,565
City of Woburn (GO)
4.000%, 09/01/22.................................... 350 372,085
Commonwealth of Massachusetts (GO) Series B
5.250%, 08/01/21.................................... 5,000 5,411,150
5.000%, 07/01/28.................................... 1,725 2,039,502
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20.................................... 2,500 2,624,100
5.000%, 10/01/21.................................... 1,005 1,084,867
5.000%, 04/01/23.................................... 10,000 11,122,500
5.000%, 08/01/24.................................... 1,500 1,703,835
5.000%, 04/01/26.................................... 4,000 4,640,520
Commonwealth of Massachusetts (GO) Series E
5.000%, 11/01/27.................................... 9,000 10,596,510
187
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
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MASSACHUSETTS -- (Continued)
Commonwealth of Massachusetts (GO) (AGM) Series B
5.250%, 09/01/24.................................... 3,700 $ 4,257,405
Commonwealth of Massachusetts (GO) (AMBAC) Series C
5.500%, 12/01/23.................................... 3,500 4,019,575
Massachusetts Bay Transportation Authority (RB) (NATL)
Series B
5.500%, 07/01/24.................................... 3,020 3,504,257
Massachusetts Water Resources Authority (RB) Series A
5.000%, 08/01/22.................................... 3,000 3,295,920
Massachusetts Water Resources Authority (RB) (AGM)
Series B
5.250%, 08/01/28.................................... 1,000 1,203,900
Town of Auburn (GO)
2.000%, 03/15/19.................................... 750 750,398
Town of Nantucket (GO)
3.000%, 10/01/22.................................... 1,115 1,143,198
Town of Wilmington (GO)
5.000%, 03/15/20.................................... 1,665 1,732,099
-----------
TOTAL MASSACHUSETTS..................................... 75,239,958
-----------
MICHIGAN -- (0.8%)
Kentwood Public Schools (GO)
4.000%, 05/01/22.................................... 500 525,135
Michigan State (GO)
5.000%, 11/01/19.................................... 4,400 4,531,912
Michigan State (GO) Series A
5.000%, 05/01/25.................................... 2,000 2,296,840
Michigan State Comprehensive Transportation Revenue
(RB) (AGM)
5.250%, 05/15/21.................................... 1,000 1,073,290
Michigan State Trunk Line Revenue (RB)
5.000%, 11/15/18.................................... 5,000 5,005,700
University of Michigan (RB) Series A
4.000%, 04/01/23.................................... 1,000 1,072,250
-----------
TOTAL MICHIGAN.......................................... 14,505,127
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MINNESOTA -- (4.1%)
Bloomington Independent School District No. 271 (GO)
(SD CRED PROG) Series A
5.000%, 02/01/20.................................... 1,150 $ 1,191,527
City of Edina (GO) Series B
3.000%, 02/01/19.................................... 305 305,854
City of Saint Cloud (GO) Series B
5.000%, 02/01/21.................................... 1,275 1,353,973
Dakota County Community Development Agency (RB) (CNTY
GTD) Series B
5.000%, 01/01/23.................................... 800 887,288
Elk River Independent School District No. 728 (GO) (SD
CRED PROG) Series A
5.000%, 02/01/21.................................... 5,000 5,306,300
Hennepin County (GO) Series C
5.000%, 12/01/26.................................... 4,070 4,771,220
5.000%, 12/01/27.................................... 5,800 6,862,676
Lakeville Independent School District No. 194 (GO) (SD
CRED PROG) Series D
5.000%, 02/01/22.................................... 4,000 4,337,240
Metropolitan Council (GO) Series C
5.000%, 03/01/26.................................... 700 810,432
Minnesota State (GO)
5.000%, 10/01/21.................................... 4,660 5,027,627
Minnesota State (GO) Series A
5.000%, 10/01/20.................................... 4,390 4,624,997
5.000%, 08/01/22.................................... 3,000 3,292,500
5.000%, 08/01/28.................................... 6,130 7,284,708
Minnesota State (GO) Series B
5.000%, 08/01/20.................................... 5,460 5,728,141
Minnesota State (GO) Series F
5.000%, 10/01/21.................................... 12,025 12,973,652
Minnesota State (GO) Series K
5.000%, 11/01/19.................................... 3,680 3,788,818
Morris Area Schools Independent School District
No. 2769 (GO) (SD CRED PROG) Series A
4.000%, 02/01/24.................................... 1,125 1,206,326
188
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
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FACE
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MINNESOTA -- (Continued)
Rochester Independent School District No. 535 (GO) (SD
CRED PROG) Series A
3.000%, 02/01/22.................................... 1,240 $ 1,267,764
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20.................................... 250 259,725
-----------
TOTAL MINNESOTA......................................... 71,280,768
-----------
MISSISSIPPI -- (1.1%)
Mississippi State (GO) Series A
5.000%, 10/01/27.................................... 9,110 10,665,441
Mississippi State (GO) Series F
5.000%, 11/01/21.................................... 7,750 8,362,018
-----------
TOTAL MISSISSIPPI....................................... 19,027,459
-----------
MISSOURI -- (1.3%)
Cass County Reorganized School District No. R-2 (GO)
(ST AID DIR DEP)
5.000%, 03/01/21.................................... 1,000 1,064,420
City of Belton (GO) Series C
5.000%, 03/01/27.................................... 2,150 2,492,280
City of Kansas City (GO) Series A
4.000%, 02/01/22.................................... 1,150 1,212,284
5.000%, 02/01/23.................................... 3,955 4,382,892
Columbia School District (GO) Series B
5.000%, 03/01/23.................................... 1,120 1,245,888
5.000%, 03/01/24.................................... 4,100 4,639,068
North Kansas City School District No. 74 (GO) (ST AID
DIR DEP)
4.000%, 03/01/23.................................... 5,335 5,693,032
St. Charles Community College (GO)
3.000%, 02/15/20.................................... 2,245 2,272,456
-----------
TOTAL MISSOURI.......................................... 23,002,320
-----------
MONTANA -- (0.0%)
City & County of Butte-Silver Bow (GO)
4.000%, 07/01/21.................................... 615 642,011
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEBRASKA -- (0.4%)
Douglas County School District No. 17 (GO)
4.000%, 12/15/26.................................... 2,260 $ 2,478,067
Lancaster County School District 001 (GO)
5.000%, 01/15/21.................................... 2,470 2,617,286
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20.................................... 1,000 1,057,880
Omaha School District (GO)
4.000%, 12/15/19.................................... 1,365 1,395,358
-----------
TOTAL NEBRASKA.......................................... 7,548,591
-----------
NEVADA -- (0.4%)
City of Henderson NV (GO)
5.000%, 06/01/21.................................... 490 523,845
Clark County (GO) Series A
5.000%, 07/01/19.................................... 1,725 1,759,724
5.000%, 07/01/25.................................... 2,700 3,095,820
Nevada State (GO) Series A
5.000%, 08/01/19.................................... 1,825 1,866,044
-----------
TOTAL NEVADA............................................ 7,245,433
-----------
NEW HAMPSHIRE -- (0.9%)
City of Dover (GO)
3.000%, 06/15/19.................................... 600 603,852
City of Nashua (GO)
4.000%, 07/15/19.................................... 5,350 5,427,575
4.000%, 07/15/20.................................... 2,720 2,807,775
New Hampshire State (GO) Series A
5.000%, 03/01/23.................................... 5,910 6,561,400
-----------
TOTAL NEW HAMPSHIRE..................................... 15,400,602
-----------
NEW JERSEY -- (1.4%)
City of Hoboken (GO)
3.000%, 02/01/26.................................... 2,945 2,965,968
3.000%, 02/01/27.................................... 3,035 3,026,107
3.000%, 02/01/28.................................... 4,560 4,498,166
Essex County (GO) Series A
5.000%, 08/01/20.................................... 1,000 1,050,520
Montville Township (GO)
3.000%, 10/01/25.................................... 505 517,378
Morris County (GO)
4.000%, 10/15/20.................................... 2,390 2,478,741
New Jersey Educational Facilities Authority (RB)
Series B
5.000%, 07/01/19.................................... 2,330 2,377,672
189
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
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NEW JERSEY -- (Continued)
Princeton Regional School District (GO) (ST AID
WITHHLDG)
1.750%, 02/01/22.................................... 1,095 $ 1,069,059
South Orange & Maplewood School District (GO) (SCH BD
RES FD)
3.000%, 03/01/22.................................... 350 354,991
Township of Livingston (GO)
3.000%, 01/15/21.................................... 350 355,905
Township of Parsippany-Troy Hills (GO) Series ABCD
2.000%, 09/15/22.................................... 4,100 3,982,576
Union County (GO) (ETM) Series B
3.000%, 03/01/22.................................... 45 45,974
Union County (GO) Series B
3.000%, 03/01/22.................................... 2,315 2,371,116
-----------
TOTAL NEW JERSEY........................................ 25,094,173
-----------
NEW MEXICO -- (1.1%)
City of Albuquerque (GO) Series A
5.000%, 07/01/24.................................... 1,300 1,473,537
Farmington Municipal School District No. 5 (GO) (ST AID
WITHHLDG)
4.000%, 09/01/20.................................... 945 975,675
Las Cruces School District No. 2 (GO) (ST AID WITHHLDG)
Series A
4.000%, 08/01/19.................................... 1,000 1,014,590
4.000%, 08/01/20.................................... 125 128,876
New Mexico State Severance Tax Permanent Fund (RB)
Series A
5.000%, 07/01/19.................................... 2,000 2,039,180
5.000%, 07/01/27.................................... 2,000 2,338,020
New Mexico State Severance Tax Permanent Fund (RB)
Series B
4.000%, 07/01/20.................................... 4,100 4,222,549
Santa Fe County (GO)
5.000%, 07/01/22.................................... 1,000 1,095,430
Santa Fe Public School District (GO) (ST AID WITHHLDG)
5.000%, 08/01/20.................................... 3,270 3,428,857
5.000%, 08/01/24.................................... 2,000 2,260,340
-----------
TOTAL NEW MEXICO........................................ 18,977,054
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEW YORK -- (4.8%)
Brewster Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/01/19.................................... 1,000 $ 1,001,080
City of New York (GO) Series A
5.000%, 08/01/24.................................... 3,860 4,375,696
5.000%, 08/01/26.................................... 5,000 5,795,100
City of New York (GO) Series B
5.000%, 08/01/19.................................... 600 613,446
5.000%, 08/01/21.................................... 450 483,273
5.000%, 08/01/22.................................... 600 657,822
City of New York (GO) Series C
5.000%, 08/01/20.................................... 5,625 5,902,256
5.000%, 08/01/22.................................... 1,500 1,644,555
City of New York (GO) Series D
5.000%, 08/01/22.................................... 1,055 1,156,670
City of New York (GO) Series E
5.000%, 08/01/21.................................... 3,975 4,268,912
5.000%, 08/01/23.................................... 6,000 6,692,940
City of New York (GO) Series H
5.000%, 08/01/22.................................... 1,000 1,096,370
Kingston City School District (GO) (ST AID WITHHLDG)
3.000%, 06/01/26.................................... 2,000 2,033,980
New York State Dormitory Authority (RB) Series A
3.000%, 07/01/20.................................... 1,615 1,641,276
5.000%, 03/15/23.................................... 200 222,056
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22.................................... 10,200 11,086,788
5.000%, 02/15/24.................................... 4,900 5,513,235
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19.................................... 825 834,496
5.000%, 03/15/27.................................... 1,265 1,476,457
New York State Dormitory Authority (RB) Series D
5.000%, 02/15/24.................................... 9,950 11,195,242
New York State Dormitory Authority (RB) Series E
5.000%, 03/15/21.................................... 2,000 2,129,980
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/19.................................... 1,630 1,648,761
190
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
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FACE
AMOUNT^ VALUE+
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NEW YORK -- (Continued)
5.000%, 03/15/22.................................... 1,250 $ 1,361,338
5.000%, 03/15/25.................................... 3,440 3,934,672
Penfield Central School District (GO) (AGC ST AID
WITHHLDG)
3.750%, 06/15/19.................................... 150 151,727
Sachem Central School District (GO) (ST AID WITHHLDG)
5.000%, 10/15/19.................................... 1,300 1,338,116
Town of Cheektowaga (GO)
5.000%, 07/15/23.................................... 300 334,905
Town of Huntington (GO)
2.000%, 12/01/23.................................... 100 98,266
Triborough Bridge & Tunnel Authority (RB) Series B
5.000%, 11/15/20.................................... 4,000 4,231,640
Triborough Bridge & Tunnel Authority (RB) Series C1
4.000%, 11/15/27.................................... 1,250 1,370,063
-----------
TOTAL NEW YORK.......................................... 84,291,118
-----------
NORTH CAROLINA -- (5.0%)
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/19.................................... 2,000 2,040,920
City of Raleigh (GO) Series A
5.000%, 09/01/22.................................... 2,685 2,955,487
Forsyth County (GO)
4.000%, 12/01/21.................................... 3,500 3,688,755
Guilford County (GO) Series A
5.000%, 02/01/22.................................... 1,800 1,957,644
Guilford County (GO) Series B
5.000%, 05/01/24.................................... 5,000 5,674,050
Johnston County (GO)
4.000%, 02/01/20.................................... 3,735 3,826,022
Johnston County (GO) Series A
5.000%, 02/01/21.................................... 2,995 3,183,206
Moore County (GO)
5.000%, 06/01/22.................................... 2,740 2,996,793
New Hanover County (GO)
4.000%, 08/01/19.................................... 2,280 2,315,135
5.000%, 02/01/23.................................... 250 277,477
North Carolina Eastern Municipal Power Agency (RB)
(NATL- IBC) (ETM) Series B
6.000%, 01/01/22.................................... 9,700 10,795,033
FACE
AMOUNT^ VALUE+
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(000)
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NORTH CAROLINA -- (Continued)
North Carolina State (GO) Series A
5.000%, 06/01/28.................................... 5,035 $ 5,997,390
North Carolina State (GO) Series B
5.000%, 06/01/25.................................... 8,000 9,237,920
North Carolina State (GO) Series C
5.000%, 05/01/20.................................... 3,270 3,412,016
4.000%, 05/01/22.................................... 3,000 3,182,880
North Carolina State (GO) Series D
4.000%, 06/01/21.................................... 5,000 5,236,050
4.000%, 06/01/23.................................... 8,700 9,347,193
North Carolina State (GO) Series E
5.000%, 05/01/19.................................... 5,000 5,077,350
Wake County (GO)
5.000%, 09/01/21.................................... 1,450 1,562,433
Wake County (GO) Series A
5.000%, 03/01/28.................................... 2,000 2,371,660
Wake County (GO) Series C
5.000%, 03/01/24.................................... 3,000 3,394,440
-----------
TOTAL NORTH CAROLINA.................................... 88,529,854
-----------
OHIO -- (5.8%)
City of Cincinnati (GO) Series A
4.000%, 12/01/21.................................... 2,645 2,773,917
City of Cincinnati (GO) Series C
5.000%, 12/01/19.................................... 2,955 3,049,235
City of Columbus (GO) Series 1
5.000%, 07/01/22.................................... 4,100 4,492,780
City of Columbus (GO) Series 2017-1
4.000%, 04/01/27.................................... 3,690 4,005,384
City of Columbus (GO) Series A
2.000%, 08/15/20.................................... 3,285 3,279,810
3.000%, 07/01/21.................................... 470 480,035
4.000%, 04/01/22.................................... 2,000 2,115,040
3.000%, 07/01/22.................................... 700 718,102
2.000%, 08/15/22.................................... 6,160 6,067,046
4.000%, 07/01/23.................................... 4,995 5,354,640
4.000%, 04/01/27.................................... 8,800 9,552,136
City of Columbus (GO) Series A
4.000%, 04/01/24.................................... 4,000 4,301,960
191
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OHIO -- (Continued)
Hamilton County Sewer System Revenue (RB) Series A
5.000%, 12/01/21.................................. 200 $ 216,340
Ohio Higher Educational Facility Commission (RB)
(currency) 5.250%, 07/01/44 (Pre-refunded @ $100, 7/1/20).... 1,875 1,968,187
Ohio State (GO)
5.000%, 09/01/19.................................. 6,000 6,151,380
Ohio State (GO) Series A
5.000%, 09/01/19.................................. 550 563,877
3.000%, 02/01/22.................................. 500 511,670
5.000%, 08/01/22.................................. 4,005 4,394,006
5.000%, 08/01/22.................................. 3,000 3,291,390
5.000%, 09/15/22.................................. 250 274,945
5.000%, 09/15/22.................................. 500 549,890
5.000%, 09/01/25.................................. 5,550 6,393,489
Ohio State (GO) Series B
5.000%, 09/15/19.................................. 2,065 2,119,537
5.000%, 08/01/20.................................. 3,020 3,170,456
5.000%, 06/15/21.................................. 1,500 1,607,490
5.000%, 06/15/22.................................. 4,000 4,378,760
5.000%, 09/01/27.................................. 625 734,562
5.000%, 09/15/27.................................. 1,500 1,763,985
Ohio State (GO) Series C
5.000%, 09/15/21.................................. 1,000 1,077,420
5.000%, 09/15/21.................................. 4,500 4,848,390
5.000%, 08/01/27.................................. 6,880 8,075,950
Upper Arlington City School District (GO) Series A
5.000%, 12/01/27.................................. 3,190 3,754,789
------------
TOTAL OHIO.................................................... 102,036,598
------------
OKLAHOMA -- (0.1%)
City of Oklahoma (GO)
5.000%, 03/01/19.................................. 1,310 1,323,401
City of Oklahoma City (GO)
4.000%, 03/01/23.................................. 1,000 1,069,240
------------
TOTAL OKLAHOMA................................................ 2,392,641
------------
OREGON -- (1.8%)
City of Portland (GO)
4.000%, 06/01/20.................................. 935 962,611
City of Portland Sewer System Revenue (RB) Series A
5.000%, 06/15/26.................................. 1,550 1,792,823
City of Portland Water System Revenue (RB) Series A
5.000%, 04/01/21.................................. 8,000 8,539,200
FACE
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OREGON -- (Continued)
Clackamas County School District No. 46 Oregon Trail
(GO) (SCH BD GTY)
5.000%, 06/15/22.................................... 1,215 $ 1,329,161
Deschutes County Administrative School District No. 1
Bend-La Pine (GO) (SCH BD GTY)
5.000%, 06/15/27.................................... 4,680 5,479,110
Lane County School District No. 4J Eugene (GO) (SCH BD
GTY) Series A
5.000%, 06/15/23.................................... 3,355 3,741,966
Oregon State (GO)
5.000%, 12/01/24.................................... 2,290 2,620,768
Oregon State (GO) Series A
5.000%, 05/01/21.................................... 200 213,888
Oregon State Department of Transportation (RB) Series B
5.000%, 11/15/26.................................... 3,500 4,094,545
Washington & Multnomah Counties School District No. 48J
Beaverton (GO) (SCH BD GTY) Series C
5.000%, 06/15/27.................................... 2,390 2,798,092
-----------
TOTAL OREGON............................................ 31,572,164
-----------
PENNSYLVANIA -- (1.3%)
Commonwealth of Pennsylvania (GO)
5.000%, 04/01/22.................................... 11,260 12,186,923
Commonwealth of Pennsylvania (GO) Series REF
5.000%, 07/01/22.................................... 2,000 2,174,680
Monroe County (GO)
4.000%, 12/15/18.................................... 400 400,992
Montgomery County (GO)
5.000%, 05/01/23.................................... 5,255 5,853,177
Pennsylvania Economic Development Financing Authority
(RB) Series A
5.000%, 07/01/19.................................... 1,300 1,326,338
West View Municipal Authority Water Revenue (RB)
4.000%, 11/15/20.................................... 1,100 1,136,762
-----------
TOTAL PENNSYLVANIA...................................... 23,078,872
-----------
192
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
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RHODE ISLAND -- (1.4%)
Rhode Island State (GO)
5.000%, 08/01/22.................................... 1,605 $ 1,757,860
Rhode Island State (GO) Series A
5.000%, 08/01/19.................................... 8,000 8,176,880
Rhode Island State (GO) Series C
5.000%, 08/01/19.................................... 9,185 9,388,080
5.000%, 08/01/20.................................... 4,870 5,104,004
Rhode Island State (GO) Series D
5.000%, 08/01/22.................................... 685 750,239
-----------
TOTAL RHODE ISLAND...................................... 25,177,063
-----------
SOUTH CAROLINA -- (3.0%)
Beaufort County (GO) (ST AID WITHHLDG) Series C
5.000%, 03/01/22.................................... 3,485 3,793,109
Berkeley County School District (GO) (SCSDE) Series B
5.000%, 03/01/22.................................... 4,120 4,482,848
Charleston County (GO) Series A
5.000%, 11/01/22.................................... 4,780 5,277,885
Charleston County School District (GO) (SCSDE) Series A
5.000%, 02/01/21.................................... 2,020 2,145,563
City of Charleston Waterworks & Sewer System Revenue
(RB)
5.000%, 01/01/20.................................... 1,805 1,866,514
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21.................................... 385 412,293
Clemson University (RB)
3.000%, 05/01/21.................................... 350 356,255
Dorchester County School District No. 2 (GO) (SCSDE)
Series B
5.000%, 03/01/25.................................... 1,430 1,636,263
Florence School District One (GO) (SCSDE)
5.000%, 03/01/20.................................... 3,335 3,466,966
5.000%, 03/01/21.................................... 3,170 3,372,721
Lexington & Richland School District No. 5 (GO) (SCSDE)
5.000%, 03/01/19.................................... 945 955,045
FACE
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SOUTH CAROLINA -- (Continued)
Richland County School District No. 1 (GO) (SCSDE)
Series 1-A
5.000%, 03/01/20.................................... 5,480 $ 5,696,844
Richland County School District No. 2 (GO) (SCSDE)
Series A
5.000%, 02/01/21.................................... 2,085 2,214,604
South Carolina State (GO) Series A
5.000%, 06/01/19.................................... 2,500 2,544,350
South Carolina State (GO) (ST AID WITHHLDG) Series A
5.000%, 10/01/23.................................... 5,500 6,177,985
South Carolina State (GO) (ST AID WITHHLDG) Series B
4.000%, 08/01/26.................................... 1,405 1,544,236
York County (GO) (ST AID WITHHLDG)
5.000%, 04/01/20.................................... 1,900 1,976,057
York County School District No. 1 (GO) (SCSDE)
5.000%, 03/01/21.................................... 3,790 4,030,589
-----------
TOTAL SOUTH CAROLINA.................................... 51,950,127
-----------
TENNESSEE -- (3.1%)
City of Clarksville Water Sewer & Gas Revenue (RB)
5.000%, 02/01/20.................................... 3,150 3,264,156
City of Johnson City (GO)
3.000%, 06/01/19.................................... 875 880,425
City of Maryville (GO) Series A
5.000%, 06/01/22.................................... 1,865 2,037,084
City of Memphis (GO) Series A
5.000%, 11/01/22.................................... 9,695 10,689,222
5.000%, 04/01/25.................................... 1,945 2,225,275
City of Pigeon Forge (GO)
4.000%, 06/01/21.................................... 670 699,051
Hamilton County (GO)
3.000%, 03/01/22.................................... 4,550 4,663,249
Hamilton County (GO) Series A
5.000%, 04/01/26.................................... 3,000 3,486,990
Knox County (GO)
5.000%, 06/01/20.................................... 2,585 2,702,126
Maury County (GO)
5.000%, 04/01/21.................................... 5,105 5,444,125
193
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TENNESSEE -- (Continued)
Maury County (GO) Series B
5.000%, 04/01/19.................................... 1,000 $ 1,012,570
Metropolitan Government of Nashville & Davidson County
(GO)
5.000%, 07/01/22.................................... 1,000 1,096,170
Metropolitan Government of Nashville & Davidson County
(GO) Series A
5.000%, 01/01/20.................................... 1,100 1,137,356
5.000%, 01/01/22.................................... 1,500 1,627,170
Putnam County (GO)
4.000%, 04/01/23.................................... 975 1,041,641
Shelby County (GO) Series A
5.000%, 04/01/20.................................... 7,000 7,286,230
Sumner County (GO)
5.000%, 06/01/21.................................... 110 117,769
Tennessee State (GO) Series B
5.000%, 08/01/20.................................... 1,945 2,041,900
Town of Greeneville (GO)
3.000%, 06/01/21.................................... 1,360 1,384,045
Williamson County (GO) Series A
4.000%, 05/01/22.................................... 300 317,976
Wilson County (GO)
4.000%, 04/01/20.................................... 1,040 1,068,101
-----------
TOTAL TENNESSEE......................................... 54,222,631
-----------
TEXAS -- (13.9%)
Aldine Independent School District (GO) (PSF-GTD)
5.000%, 02/15/25.................................... 4,750 5,409,965
Austin Independent School District (GO) (PSF-GTD)
5.000%, 08/01/20.................................... 350 367,129
City of Arlington (GO) Series A
3.000%, 08/15/20.................................... 1,700 1,726,945
City of Austin (GO)
5.000%, 09/01/20.................................... 1,655 1,737,651
City of Dallas (GO)
5.000%, 02/15/21.................................... 9,505 10,070,833
City of Denton (GO)
4.000%, 02/15/22.................................... 2,510 2,640,972
City of El Paso (GO)
5.000%, 08/15/19.................................... 3,505 3,585,124
City of Fort Worth (GO) Series A
5.000%, 03/01/25.................................... 5,000 5,677,350
FACE
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TEXAS -- (Continued)
City of Fort Worth Water & Sewer System Revenue (RB)
5.000%, 02/15/19.................................... 400 $ 403,540
City of Houston (GO) Series A
5.000%, 03/01/21.................................... 3,100 3,295,331
5.000%, 03/01/22.................................... 5,890 6,394,891
City of Houston Combined Utility System Revenue (RB) (AGC)
(currency) 5.375%, 11/15/38 (Pre-refunded @ $100, 5/15/19)..... 4,735 4,821,793
City of Lubbock (GO)
5.000%, 02/15/19.................................... 3,000 3,025,950
5.000%, 02/15/23.................................... 1,000 1,105,260
City of Richardson (GO)
5.000%, 02/15/27.................................... 1,715 1,988,097
City of San Antonio (GO)
5.000%, 02/01/20.................................... 1,000 1,036,240
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/21.................................... 720 764,266
5.000%, 02/01/21.................................... 3,000 3,184,440
City of San Antonio Electric & Gas Systems Revenue (RB) Series D
5.000%, 02/01/19.................................... 400 403,068
City of Southlake (GO)
3.000%, 02/15/23.................................... 1,510 1,548,520
Clear Creek Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/25.................................... 2,175 2,477,194
Cypress-Fairbanks Independent School District (GO) (PSF-GTD)
5.000%, 02/15/21.................................... 3,500 3,718,015
Dallas Area Rapid Transit (RB) Series B
5.000%, 12/01/21.................................... 2,545 2,752,138
Dallas Independent School District (GO) (PSF-GTD)
5.000%, 02/15/19.................................... 3,480 3,510,694
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24.................................... 500 565,495
Galveston County (GO)
5.000%, 02/01/22.................................... 1,000 1,083,650
Grayson County (GO)
5.000%, 01/01/21.................................... 1,990 2,100,564
194
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
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TEXAS -- (Continued)
Harris County (GO) Series A
5.000%, 10/01/19............................ 4,345 $4,461,576
5.000%, 10/01/19............................ 3,500 3,593,905
Hays Consolidated Independent School District (GO)
(PSF-GTD)
5.000%, 08/15/23............................ 1,355 1,511,394
Hidalgo County Drain District No. 1 (GO)
5.000%, 09/01/22............................ 1,000 1,091,900
Highland Park Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20............................ 1,790 1,856,176
Houston Higher Education Finance Corp. (RB) Series A
(currency) 6.875%, 05/15/41 (Pre-refunded @ $100,
5/15/21).................................... 3,225 3,578,008
Humble Independent School District (GO) (PSF-GTD)
Series A
2.000%, 02/15/19............................ 100 100,032
5.500%, 02/15/25............................ 7,000 8,183,210
Katy Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/20............................ 3,820 3,961,225
La Porte Independent School District (GO)
5.000%, 02/15/21............................ 1,700 1,802,765
Lake Travis Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20............................ 3,480 3,608,656
Mansfield Independent School District (GO)
5.000%, 02/15/20............................ 1,000 1,037,350
Mansfield Independent School District (GO) (PSF-GTD)
Series A
5.000%, 02/15/22............................ 895 971,621
Metropolitan Transit Authority of Harris County (RB)
(ETM) Series B
4.000%, 11/01/18............................ 400 400,000
North Texas Municipal Water District Water System
Revenue (RB)
5.000%, 09/01/24............................ 5,715 6,468,923
FACE
AMOUNT^ VALUE+
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(000)
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TEXAS -- (Continued)
Northside Independent School District (GO) (PSF-GTD)
5.000%, 02/15/23.................................... 4,535 $ 5,022,104
5.000%, 08/15/25.................................... 1,880 2,153,935
Northside Independent School District (GO) (PSF-GTD)
Series A
4.000%, 08/15/24.................................... 5,215 5,627,976
Northwest Independent School District (GO) (PSF-GTD)
Series A
5.000%, 02/15/24.................................... 1,695 1,900,875
Permanent University Fund - Texas A&M University System
(RB)
5.000%, 07/01/23.................................... 3,500 3,900,785
Permanent University Fund - University of Texas System
(RB) Series B
5.000%, 07/01/26.................................... 5,500 6,362,015
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/24.................................... 11,000 12,341,780
San Antonio Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20.................................... 4,100 4,251,577
Spring Independent School District (GO) (PSF-GTD)
5.000%, 08/15/19.................................... 5,000 5,118,250
Spring Independent School District (GO) (BAM)
5.000%, 08/15/24.................................... 4,985 5,620,787
Tarrant Regional Water District (RB)
6.000%, 09/01/24.................................... 3,450 4,092,976
Texas A&M University (RB) Series B
5.000%, 05/15/21.................................... 4,000 4,277,840
Texas State (GO)
5.000%, 04/01/19.................................... 4,500 4,557,150
5.000%, 04/01/23.................................... 10,000 11,100,300
5.000%, 10/01/23.................................... 15,345 17,168,446
Texas State (GO) Series A
5.000%, 10/01/19.................................... 1,900 1,952,212
5.000%, 04/01/25.................................... 1,000 1,142,820
Texas Transportation Commission State Highway Fund (RB)
5.250%, 04/01/26.................................... 300 351,303
5.000%, 10/01/26.................................... 4,340 5,040,172
195
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
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FACE
AMOUNT^ VALUE+
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(000)
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TEXAS -- (Continued)
Texas Transportation Commission State Highway Fund (RB)
Series A
5.000%, 04/01/19..................................... 5,000 $ 5,063,700
5.000%, 04/01/20..................................... 7,900 8,224,137
Trinity River Authority Central Regional Wastewater
System Revenue (RB)
5.000%, 08/01/27..................................... 3,150 3,670,947
University of Texas System (The) (RB) Series J
5.000%, 08/15/25..................................... 2,500 2,872,650
5.000%, 08/15/26..................................... 1,500 1,739,610
Via Metropolitan Transit (RB)
5.000%, 07/15/20..................................... 2,495 2,616,606
------------
TOTAL TEXAS.............................................. 244,192,809
------------
UTAH -- (1.6%)
North Davis County Sewer District (RB)
3.000%, 03/01/21..................................... 2,135 2,175,031
Utah State (GO)
5.000%, 07/01/22..................................... 11,285 12,382,805
5.000%, 07/01/27..................................... 4,435 5,233,167
Utah State (GO) Series C
5.000%, 07/01/19..................................... 1,100 1,122,363
Washington County School District Board of Education/St
George (GO) (SCH BD GTY)
5.000%, 03/01/20..................................... 2,135 2,218,051
5.000%, 03/01/22..................................... 4,465 4,858,233
------------
TOTAL UTAH............................................... 27,989,650
------------
VERMONT -- (0.2%)
Vermont State (GO) Series B
5.000%, 08/15/23..................................... 1,270 1,423,302
Vermont State (GO) Series C
4.000%, 08/15/23..................................... 225 242,023
Vermont State (GO) Series F
5.000%, 08/15/20..................................... 1,100 1,155,803
------------
TOTAL VERMONT............................................ 2,821,128
------------
VIRGINIA -- (3.8%)
Arlington County (GO)
5.000%, 08/15/22..................................... 3,000 3,297,720
City of Hampton (GO) (ST AID WITHHLDG) Series B
5.000%, 09/01/21..................................... 3,000 3,232,620
5.000%, 09/01/22..................................... 2,050 2,256,517
FACE
AMOUNT^ VALUE+
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VIRGINIA -- (Continued)
City of Lynchburg (GO)
5.000%, 02/01/20..................................... 1,390 $1,440,374
City of Norfolk (GO) (ST AID WITHHLDG) Series C
5.000%, 10/01/19..................................... 2,505 2,573,587
City of Richmond (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/21..................................... 1,370 1,459,214
City of Richmond (GO) (ST AID WITHHLDG) Series B
5.000%, 07/15/26..................................... 3,635 4,234,775
City of Richmond (GO) Series B
5.000%, 07/15/25..................................... 5,350 6,177,645
City of Roanoke (GO) (ST AID WITHHLDG)
4.000%, 04/01/20..................................... 1,000 1,027,020
Commonwealth of Virginia (GO) Series B
4.000%, 06/01/23..................................... 2,500 2,681,475
Fairfax County (GO) (ST AID WITHHLDG) Series A
5.000%, 10/01/19..................................... 3,880 3,986,972
5.000%, 10/01/19..................................... 2,500 2,568,925
5.000%, 10/01/26..................................... 1,000 1,173,770
5.000%, 10/01/27..................................... 1,000 1,182,850
Fairfax County (GO) (ST AID WITHHLDG) Series C
5.000%, 10/01/19..................................... 6,925 7,115,922
Henrico County (GO) (ST AID WITHHLDG)
5.000%, 08/01/27..................................... 1,680 1,979,191
5.000%, 08/01/28..................................... 2,905 3,452,215
Loudoun County (GO) (ST AID WITHHLDG) Series A
5.000%, 12/01/22..................................... 4,000 4,428,160
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21..................................... 250 264,863
Spotsylvania County Water & Sewer System Revenue (RB)
5.000%, 06/01/19..................................... 2,885 2,935,343
University of Virginia (RB) Series B
5.000%, 08/01/21..................................... 6,250 6,722,500
Virginia Resources Authority (RB) Series B
4.000%, 10/01/19..................................... 2,000 2,037,840
196
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
VIRGINIA -- (Continued)
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20.................................... 745 $ 787,189
-----------
TOTAL VIRGINIA.......................................... 67,016,687
-----------
WASHINGTON -- (6.9%)
Benton County School District No. 400 Richland (GO)
(SCH BD GTY)
5.000%, 12/01/22.................................... 4,705 5,195,073
City of Seattle (GO)
5.000%, 12/01/19.................................... 1,500 1,547,835
5.000%, 12/01/20.................................... 2,745 2,905,033
City of Seattle Drainage & Wastewater Revenue (RB)
5.000%, 09/01/20.................................... 3,665 3,854,774
5.000%, 07/01/27.................................... 8,400 9,805,572
City of Seattle Municipal Light & Power Revenue (RB)
5.000%, 09/01/20.................................... 350 367,994
City of Seattle Municipal Light & Power Revenue (RB)
Series A
5.000%, 06/01/19.................................... 1,525 1,551,779
5.000%, 06/01/22.................................... 310 339,053
City of Seattle Water System Revenue (RB)
5.000%, 09/01/22.................................... 6,000 6,592,860
Clark County School District No. 119 Battleground (GO)
(SCH BD GTY)
4.000%, 12/01/21.................................... 1,000 1,051,790
4.000%, 12/01/22.................................... 2,630 2,794,717
County of Kitsap WA (GO)
5.000%, 06/01/21.................................... 200 213,814
King County (GO)
5.000%, 01/01/21.................................... 425 450,649
King County (GO) Series A
5.000%, 07/01/19.................................... 1,110 1,132,422
5.000%, 07/01/20.................................... 2,650 2,776,272
King County (GO) Series E
5.000%, 12/01/19.................................... 1,300 1,342,029
5.000%, 12/01/25.................................... 955 1,103,665
King County School District No. 400 Mercer Island (GO)
(SCH BD GTY)
5.000%, 12/01/22.................................... 1,145 1,264,263
King County School District No. 403 Renton (GO) (SCH BD
GTY)
5.000%, 12/01/19.................................... 1,150 1,187,053
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
WASHINGTON -- (Continued)
King County School District No. 405 Bellevue (GO) (SCH BD
GTY)
5.000%, 12/01/18...................................... 1,500 $1,503,765
King County School District No. 411 Issaquah (GO) (SCH BD
GTY)
5.000%, 12/01/23...................................... 3,500 3,930,955
King County School District No. 412 Shoreline (GO) (SCH
BD GTY)
4.000%, 12/01/21...................................... 1,000 1,052,400
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22...................................... 1,000 1,095,430
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/20...................................... 2,880 3,045,485
Skagit County School District No. 103 Anacortes (GO) (SCH
BD GTY)
5.000%, 12/01/19...................................... 1,925 1,986,388
5.000%, 12/01/20...................................... 2,245 2,374,941
Snohomish County Public Utility District No. 1 (RB)
5.000%, 12/01/19...................................... 1,655 1,708,506
Snohomish County School District No. 15 Edmonds (GO) (SCH
BD GTY)
5.000%, 12/01/20...................................... 2,555 2,701,810
Snohomish County School District No. 201 Snohomish (GO)
(SCH BD GTY)
5.000%, 12/01/25...................................... 4,000 4,614,320
Snohomish County School District No. 6 Mukilteo (GO) (SCH
BD GTY)
5.000%, 12/01/18...................................... 2,000 2,005,000
Spokane County (GO)
5.000%, 12/01/22...................................... 1,025 1,129,663
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21...................................... 150 162,069
Thurston County School District No. 111 Olympia (GO) (SCH
BD GTY)
5.000%, 12/01/21...................................... 425 459,854
University of Washington (RB) Series A
5.000%, 07/01/22...................................... 6,505 7,130,586
197
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
WASHINGTON -- (Continued)
Washington State (GO) Series 2013A
5.000%, 08/01/21.................................... 225 $ 241,697
Washington State (GO) Series A
5.000%, 08/01/23.................................... 750 837,330
Washington State (GO) Series B
5.000%, 07/01/25.................................... 1,500 1,721,880
Washington State (GO) Series C
5.000%, 02/01/23.................................... 1,500 1,660,365
Washington State (GO) Series D
5.000%, 07/01/20.................................... 5,000 5,236,600
5.000%, 07/01/23.................................... 3,800 4,236,924
Washington State (GO) Series R-2012C
4.000%, 07/01/21.................................... 1,610 1,684,978
Washington State (GO) Series R-2013A
5.000%, 07/01/21.................................... 7,000 7,506,100
Washington State (GO) Series R-2015
5.000%, 07/01/22.................................... 3,720 4,072,247
Washington State (GO) Series R-2015-C
5.000%, 07/01/20.................................... 2,000 2,094,640
Washington State (GO) Series R-2015E
5.000%, 07/01/21.................................... 5,000 5,361,500
Washington State (GO) Series R-2018D
5.000%, 08/01/25.................................... 3,635 4,176,397
Washington State (GO) Series R-C
5.000%, 07/01/19.................................... 1,750 1,785,577
------------
TOTAL WASHINGTON........................................ 120,994,054
------------
WEST VIRGINIA -- (0.6%)
Jefferson County Board of Education (GO) (WV BD COMM)
4.000%, 05/01/20.................................... 130 133,428
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
WEST VIRGINIA -- (Continued)
West Virginia State (GO) Series A
5.000%, 06/01/19................................... 9,525 $ 9,692,259
--------------
TOTAL WEST VIRGINIA.................................... 9,825,687
--------------
WISCONSIN -- (1.0%)
City of Milwaukee (GO) Series N4
5.000%, 04/01/27................................... 2,000 2,324,500
City of Oshkosh (GO) Series B
3.000%, 12/01/23................................... 445 455,333
Oregon School District (GO)
3.000%, 03/01/21................................... 430 436,394
Sun Prairie Area School District (GO)
4.000%, 03/01/20................................... 570 584,125
Wisconsin State (GO) (AMBAC) Series 1
5.000%, 05/01/19................................... 1,000 1,015,320
Wisconsin State (GO) Series 2
5.000%, 11/01/20................................... 5,610 5,924,328
Wisconsin State (GO) Series 3
5.000%, 11/01/22................................... 3,110 3,430,174
Wisconsin State (GO) Series C
5.000%, 05/01/20................................... 3,295 3,436,619
--------------
TOTAL WISCONSIN........................................ 17,606,793
--------------
TOTAL MUNICIPAL BONDS.................................. 1,756,946,254
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,783,011,628).... $1,756,946,254
==============
198
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Municipal Bonds................. -- $1,756,946,254 -- $1,756,946,254
-- -------------- -- --------------
TOTAL........................... -- $1,756,946,254 -- $1,756,946,254
== ============== == ==============
199
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^
(000) VALUE+
------- -----------
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Acton-Agua Dulce Unified School District (GO) (AGM) Series
A
(currency) 4.500%, 08/01/23 (Pre-refunded @ $100, 8/1/19).. 850 $ 867,833
Alameda County Transportation Commission (RB)..............
5.000%, 03/01/20........................................ 4,500 4,687,155
Alhambra Unified School District (GO) Series A.............
3.000%, 08/01/19........................................ 700 706,643
3.000%, 08/01/19........................................ 575 580,457
4.000%, 08/01/20........................................ 750 777,495
4.000%, 08/01/20........................................ 585 606,446
Anaheim Union High School District (GO)....................
5.000%, 08/01/19........................................ 400 409,748
5.000%, 08/01/19........................................ 7,200 7,375,464
Bay Area Toll Authority (RB)...............................
5.000%, 04/01/19........................................ 775 785,842
Bay Area Toll Authority (RB) Series F-1....................
(currency) 5.000%, 04/01/34 (Pre-refunded @ $100, 4/1/19).. 1,000 1,013,780
(currency) 5.125%, 04/01/39 (Pre-refunded @ $100, 4/1/19).. 8,125 8,241,187
(currency) 5.625%, 04/01/44 (Pre-refunded @ $100, 4/1/19).. 14,075 14,305,126
Bay Area Toll Authority (RB) Series F-2....................
4.000%, 04/01/20........................................ 12,780 13,181,548
4.000%, 04/01/21........................................ 500 525,380
Berkeley Unified School District (GO) Series A.............
4.000%, 08/01/19........................................ 500 508,455
Berkeley Unified School District (GO) Series D.............
5.000%, 08/01/23........................................ 295 334,309
California Educational Facilities Authority (RB) Series A..
4.000%, 11/01/19........................................ 850 868,318
FACE
AMOUNT^
(000) VALUE+
------- -----------
CALIFORNIA -- (Continued)
California Health Facilities Financing Authority (RB)
(currency) 5.000%, 08/15/39 (Pre-refunded @ $100, 8/15/19). 11,190 $11,471,540
California Health Facilities Financing Authority (RB)
Series A
(currency) 6.000%, 07/01/39 (Pre-refunded @ $100, 7/1/19).. 6,100 6,272,691
California Municipal Finance Authority
(currency) 5.500%, 02/01/39 (Pre-refunded @ $100, 2/1/19).. 7,000 7,066,640
California State (GO)......................................
5.000%, 11/01/18........................................ 2,000 2,000,000
5.000%, 02/01/19........................................ 10,940 11,028,286
5.000%, 04/01/19........................................ 5,960 6,039,924
5.500%, 04/01/19........................................ 11,420 11,596,553
5.000%, 08/01/19........................................ 2,340 2,395,786
5.000%, 08/01/19........................................ 4,460 4,566,326
5.000%, 09/01/19........................................ 5,815 5,969,039
5.000%, 09/01/19........................................ 4,000 4,105,960
5.000%, 09/01/19........................................ 5,000 5,132,450
5.000%, 10/01/19........................................ 1,500 1,543,575
5.000%, 10/01/19........................................ 5,000 5,145,250
5.000%, 10/01/19........................................ 5,340 5,495,127
5.000%, 10/01/19........................................ 19,000 19,551,950
2.000%, 11/01/19........................................ 8,000 8,016,560
4.000%, 11/01/19........................................ 225 229,894
4.000%, 11/01/19........................................ 1,095 1,118,816
5.000%, 11/01/19........................................ 3,545 3,656,987
5.000%, 11/01/19........................................ 5,935 6,122,487
5.000%, 02/01/20........................................ 12,870 13,362,277
5.000%, 04/01/20........................................ 325 338,985
5.000%, 04/01/20........................................ 3,705 3,864,426
5.000%, 08/01/20........................................ 7,440 7,829,038
5.000%, 08/01/20........................................ 2,415 2,541,280
5.000%, 09/01/20........................................ 700 738,318
5.000%, 10/01/20........................................ 1,580 1,670,076
5.000%, 10/01/20........................................ 3,410 3,604,404
5.000%, 10/01/20........................................ 1,610 1,701,786
5.000%, 10/01/20........................................ 11,000 11,627,110
5.000%, 11/01/20........................................ 8,000 8,474,080
5.000%, 02/01/21........................................ 1,575 1,679,706
5.000%, 02/01/21........................................ 650 693,212
5.000%, 04/01/21........................................ 795 851,501
5.000%, 08/01/21........................................ 8,060 8,702,946
200
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^
(000) VALUE+
------- -----------
CALIFORNIA -- (Continued)
5.000%, 09/01/21........................................ 2,645 $ 2,861,467
5.000%, 09/01/21........................................ 7,845 8,487,035
5.000%, 09/01/21........................................ 1,570 1,698,489
5.000%, 10/01/21........................................ 5,300 5,744,670
5.000%, 12/01/21........................................ 2,000 2,176,480
5.000%, 03/01/22........................................ 1,075 1,172,933
5.000%, 04/01/22........................................ 1,800 1,967,328
5.000%, 08/01/22........................................ 2,250 2,476,192
5.000%, 08/01/22........................................ 785 863,916
5.250%, 09/01/22........................................ 5,750 6,395,150
5.250%, 10/01/22........................................ 500 557,080
(currency) 6.500%, 04/01/33 (Pre-refunded @ $100, 4/1/19).. 5,215 5,319,874
(currency) 6.000%, 04/01/35 (Pre-refunded @ $100, 4/1/19).. 6,330 6,444,573
(currency) 6.000%, 04/01/38 (Pre-refunded @ $100, 4/1/19).. 6,725 6,846,722
California State (GO) Series A
(currency) 5.250%, 07/01/21 (Pre-refunded @ $100, 7/1/19).. 4,930 5,046,940
(currency) 5.250%, 07/01/21 (Pre-refunded @ $100, 7/1/19).. 2,820 2,886,890
California State (GO) Series B
5.000%, 09/01/19........................................ 5,000 5,132,450
5.000%, 09/01/20........................................ 3,600 3,797,064
5.000%, 09/01/21........................................ 840 908,746
California State (GO) (ETM) Series A
4.600%, 07/01/19........................................ 1,000 1,019,440
5.000%, 07/01/19........................................ 8,930 9,127,085
California State Department of Water Resources (RB) Series
AS
5.000%, 12/01/19........................................ 2,070 2,142,346
5.000%, 12/01/22........................................ 3,355 3,751,662
California State Department of Water Resources (RB) (ETM)
Series AS
5.000%, 12/01/22........................................ 35 38,905
California State Department of Water Resources Power
Supply Revenue (RB) Series L
5.000%, 05/01/19........................................ 22,610 22,980,126
5.000%, 05/01/20........................................ 4,005 4,191,072
FACE
AMOUNT^
(000) VALUE+
------- -----------
CALIFORNIA -- (Continued)
(currency) 5.000%, 05/01/22 (Pre-refunded @ $100, 5/1/20).. 4,600 $ 4,813,716
California State Department of Water Resources Power
Supply Revenue (RB) Series M
4.000%, 05/01/19........................................ 1,515 1,532,332
California State Department of Water Resources Power
Supply Revenue (RB) Series O
5.000%, 05/01/21........................................ 12,855 13,809,355
California State Public Works Board (RB)
(currency) 5.500%, 03/01/25 (Pre-refunded @ $100, 3/1/20).. 2,020 2,117,223
(currency) 6.125%, 11/01/29 (Pre-refunded @ $100, 11/1/19). 5,700 5,947,779
(currency) 6.250%, 04/01/34 (Pre-refunded @ $100, 4/1/19).. 2,980 3,037,007
(currency) 6.000%, 11/01/34 (Pre-refunded @ $100, 11/1/19). 865 901,096
(currency) 6.375%, 11/01/34 (Pre-refunded @ $100, 11/1/19). 2,550 2,667,121
California State Public Works Board (RB) Series G-1
(currency) 5.750%, 10/01/30 (Pre-refunded @ $100, 10/1/19). 14,735 15,272,238
California State Public Works Board (RB) (ETM) Series H
5.000%, 09/01/21........................................ 1,050 1,138,652
California State University (RB) Series A
5.000%, 11/01/18........................................ 150 150,000
5.000%, 11/01/18........................................ 555 555,000
5.000%, 11/01/18........................................ 1,000 1,000,000
5.000%, 11/01/19........................................ 1,000 1,031,990
5.000%, 11/01/19........................................ 3,660 3,777,083
5.000%, 11/01/21........................................ 2,595 2,825,929
(currency) 5.250%, 11/01/34 (Pre-refunded @ $100, 5/1/19).. 9,275 9,441,950
201
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^
(000) VALUE+
------- -----------
CALIFORNIA -- (Continued)
(currency) 6.000%, 11/01/40 (Pre-refunded @ $ 100, 5/1/19). 2,000 $ 2,042,900
California Statewide Communities Dev. Authority (RB) (FHA
INS)
(currency) 6.625%, 08/01/29 (Pre-refunded @ $ 100, 8/1/19). 2,225 2,305,612
California Statewide Communities Dev. Authority (RB)
(currency) 6.000%, 07/01/40 (Pre-refunded @ $ 100, 1/1/19). 6,135 6,178,804
(currency) 6.125%, 07/01/46 (Pre-refunded @ $ 100, 1/1/19). 2,570 2,588,864
California Statewide Communities Dev. Authority (RB)
Series A
(currency) 6.000%, 08/15/42 (Pre-refunded @ $ 100, 8/15/20) 5,000 5,352,700
Campbell Union High School District (GO) Series B
3.000%, 08/01/19........................................ 250 252,400
Central Marin Sanitation Agency (RB)
3.000%, 09/01/19........................................ 1,160 1,172,748
Chabot-Las Positas Community College District (GO)
4.000%, 08/01/22........................................ 3,050 3,263,378
City & County of San Francisco (GO) Series A
4.750%, 06/15/19........................................ 650 662,318
5.000%, 06/15/20........................................ 750 787,995
5.000%, 06/15/20........................................ 1,000 1,050,660
City & County of San Francisco (GO) Series R1
5.000%, 06/15/20........................................ 865 908,821
5.000%, 06/15/21........................................ 250 269,975
City of Berkeley (RN)
3.000%, 07/17/19........................................ 7,000 7,054,530
City of Long Beach Harbor Revenue (RB) Series B
5.000%, 05/15/19........................................ 815 828,937
City of Long Beach Harbor Revenue (RB) Series C
5.000%, 11/15/18........................................ 26,960 26,992,622
FACE
AMOUNT^
(000) VALUE+
------- -----------
CALIFORNIA -- (Continued)
City of Los Angeles (GO) Series A
5.000%, 09/01/20........................................ 9,400 $ 9,930,348
City of Los Angeles (GO) Series B
5.000%, 09/01/21........................................ 4,700 5,094,142
City of Los Angeles CA (RN)
4.000%, 06/27/19........................................ 25,000 25,359,750
City of Los Angeles Wastewater System Revenue (RB) Series A
(currency) 5.375%, 06/01/39 (Pre-refunded @ $100, 6/1/19).. 19,000 19,399,190
City of Los Angeles Wastewater System Revenue (RB) Series B
5.000%, 06/01/21........................................ 1,400 1,511,720
City of Pasadena Electric Revenue (RB) Series A
5.000%, 06/01/22........................................ 385 425,413
City of San Francisco Public Utilities Commission Water
Revenue (RB)
5.000%, 11/01/19........................................ 5,920 6,111,749
5.000%, 11/01/20........................................ 3,825 4,057,866
5.000%, 11/01/20........................................ 1,070 1,135,142
5.000%, 11/01/21........................................ 1,800 1,958,526
4.000%, 11/01/22........................................ 3,000 3,230,580
5.000%, 11/01/22........................................ 500 557,555
5.000%, 11/01/23........................................ 1,835 2,092,744
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series A
(currency) 5.125%, 11/01/39 (Pre-refunded @ $100, 11/1/19). 10,300 10,646,286
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series B
5.000%, 11/01/19........................................ 275 283,907
City of Santa Rosa Wastewater Revenue (RB) Series A
5.000%, 09/01/21........................................ 760 822,419
City of Tulare Sewer Revenue (RB) (AGM)
3.000%, 11/15/19........................................ 200 202,390
Colton Joint Unified School District (GO) (AGM)
4.000%, 08/01/20........................................ 1,000 1,034,320
202
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^
(000) VALUE+
------- -----------
CALIFORNIA -- (Continued)
Contra Costa Water District (RB) Series Q
5.000%, 10/01/19........................................ 2,545 $ 2,621,986
Contra Costa Water District (RB) Series U
5.000%, 10/01/19........................................ 350 360,588
County of Los Angeles CA (RN)
4.000%, 06/28/19........................................ 43,500 44,136,840
County of Riverside CA (RN)
4.000%, 06/28/19........................................ 32,500 32,975,800
County of Santa Clara CA (GO) Series A
(currency) 5.000%, 08/01/39 (Pre-refunded @ $100, 8/1/19).. 5,355 5,485,126
County of Ventura CA (RN)
2.500%, 07/01/19........................................ 40,000 40,205,600
Desert Community College District (GO)
4.000%, 08/01/19........................................ 1,750 1,780,642
5.000%, 08/01/21........................................ 665 718,419
Dublin Unified School District (GO)
5.000%, 02/01/19........................................ 11,775 11,872,144
East Bay Regional Park District (GO) Series A
4.000%, 09/01/21........................................ 210 222,331
East Bay Regional Park District (GO) Series A-1
5.000%, 09/01/20........................................ 810 856,000
East Bay Regional Park District (GO) Series A-2
5.000%, 09/01/20........................................ 4,900 5,178,271
East Side Union High School District (GO)
2.000%, 08/01/20........................................ 1,055 1,056,794
East Side Union High School District (GO) Series B
3.000%, 08/01/19........................................ 4,000 4,036,880
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/20........................................ 780 807,862
Evergreen School District (GO)
5.000%, 08/01/19........................................ 500 512,185
Fontana Unified School District (GO)
5.000%, 08/01/19........................................ 1,285 1,316,315
4.000%, 08/01/20........................................ 3,620 3,753,107
4.000%, 08/01/21........................................ 530 557,751
FACE
AMOUNT^
(000) VALUE+
------- -----------
CALIFORNIA -- (Continued)
Foothill-De Anza Community College District (GO)
4.000%, 08/01/19........................................ 550 $ 559,631
Fort Bragg Unified School District (GO) (AGM)
(currency) 5.500%, 08/01/31 (Pre-refunded @ $100, 8/1/19).. 500 513,995
Fremont Unified School District/ Alameda County (GO)
Series C
5.000%, 08/01/19........................................ 20,495 20,994,463
5.000%, 08/01/20........................................ 13,340 14,058,759
Fremont Union High School District (GO)
5.000%, 08/01/20........................................ 1,000 1,053,880
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/23........................................ 1,900 2,049,758
Grossmont Union High School District (GO)
4.000%, 08/01/20........................................ 2,420 2,508,983
Kern Community College District (GO)
4.000%, 08/01/20........................................ 5,000 5,182,100
Kern County Series A (AGC) Series A
(currency) 5.750%, 08/01/35 (Pre-refunded @ $100, 2/1/19).. 520 525,273
Livermore Valley Joint Unified School District (GO)
5.000%, 08/01/20........................................ 800 843,104
Long Beach Unified School District (GO) Series A
5.000%, 08/01/20........................................ 7,375 7,772,365
Los Altos Elementary School District (GO)
5.000%, 08/01/19........................................ 975 998,761
4.000%, 08/01/21........................................ 1,550 1,638,397
Los Angeles Community College District (GO)
5.000%, 08/01/21........................................ 2,890 3,132,673
Los Angeles Community College District (GO) Series A
5.000%, 08/01/20........................................ 10,000 10,533,500
5.000%, 08/01/21........................................ 2,875 3,116,414
Los Angeles Community College District (GO) Series C
5.000%, 08/01/20........................................ 1,025 1,079,684
203
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^
(000) VALUE+
------- -----------
CALIFORNIA -- (Continued)
Los Angeles Community College District (GO) Series G
5.000%, 08/01/23........................................ 3,350 $ 3,799,637
Los Angeles County Metropolitan Transportation Authority
(RB)
5.000%, 07/01/19........................................ 4,000 4,086,680
5.000%, 07/01/20........................................ 11,960 12,570,199
Los Angeles County Metropolitan Transportation Authority
(RB) Series A
5.000%, 07/01/22........................................ 1,765 1,954,420
Los Angeles County Metropolitan Transportation Authority
(RB) Series C
5.000%, 07/01/21........................................ 1,400 1,511,804
Los Angeles Department of Water (RB) Series B
5.000%, 07/01/19........................................ 1,000 1,021,800
Los Angeles Department of Water & Power Power System Revenue (RB)
Series A
5.000%, 07/01/19........................................ 2,250 2,298,757
5.000%, 07/01/19........................................ 4,230 4,321,664
5.000%, 07/01/20........................................ 1,050 1,103,750
5.000%, 07/01/21........................................ 1,750 1,889,282
5.000%, 07/01/21........................................ 2,000 2,159,180
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/19........................................ 4,000 4,086,680
5.000%, 07/01/19........................................ 6,330 6,467,171
5.000%, 07/01/19........................................ 3,590 3,667,795
5.000%, 07/01/21........................................ 3,500 3,777,620
Los Angeles Unified School District (GO) Series A-2
5.000%, 07/01/21........................................ 2,200 2,374,504
Los Angeles Unified School District (GO) Series B
5.000%, 07/01/19........................................ 1,000 1,021,670
5.000%, 07/01/22........................................ 1,350 1,491,345
Los Angeles Unified School District (GO) Series B-1
5.000%, 07/01/19........................................ 6,080 6,211,754
Los Angeles Unified School District (GO) Series C
5.000%, 07/01/20........................................ 1,895 1,991,361
5.000%, 07/01/22........................................ 5,560 6,142,132
5.000%, 07/01/23........................................ 2,000 2,253,500
FACE
AMOUNT^
(000) VALUE+
------- ----------
CALIFORNIA -- (Continued)
Los Angeles Unified School District (GO) Series KRY
5.000%, 07/01/19......................................... 3,390 $3,463,461
Los Rios Community College District (GO) Series C
2.000%, 08/01/19......................................... 2,265 2,271,183
Los Rios Community College District (GO) Series F
2.000%, 08/01/19......................................... 2,740 2,747,480
2.000%, 08/01/20......................................... 2,365 2,373,892
Manhattan Beach Unified School District (GO) Series A
4.000%, 09/01/19......................................... 1,000 1,018,870
5.000%, 09/01/20......................................... 1,575 1,663,862
Manhattan Beach Unified School District (GO) Series F
4.000%, 09/01/21......................................... 500 528,225
Marin Community College District (GO) Series B
(currency) 5.000%, 08/01/38 (Pre-refunded @ $100, 8/1/19)... 5,000 5,123,400
Metropolitan Water District of Southern California (RB)
Series C
5.000%, 07/01/19......................................... 3,000 3,065,400
Mount Diablo Unified School District (GO)
5.000%, 02/01/19......................................... 500 504,125
Mountain View Los Altos Union High School District (GO)
Series A
4.000%, 08/01/19......................................... 9,175 9,330,791
Municipal Improvement Corp. of Los Angeles (RB) Series A
5.000%, 03/01/19......................................... 9,500 9,601,365
New Haven Unified School District (GO) (AGM)
4.000%, 08/01/19......................................... 1,430 1,453,638
New Haven Unified School District (GO) (BAM) Series B
5.000%, 08/01/21......................................... 3,100 3,350,759
Northern California Power Agency (RB) Series A
5.000%, 07/01/19......................................... 1,000 1,021,670
204
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA--(Continued)
Oakland Unified School District/ Alameda County (GO)
5.000%, 08/01/19....................................... 1,000 $1,023,920
5.000%, 08/01/20....................................... 600 631,692
Oakland Unified School District/ Alameda County (GO) Series A
5.000%, 08/01/19....................................... 3,635 3,721,949
Orange County Sanitation District (RB) Series A
5.000%, 02/01/24....................................... 5,295 6,065,317
Oxnard Union High School District (GO) Series A
4.000%, 08/01/19....................................... 2,750 2,796,695
4.000%, 08/01/20....................................... 3,000 3,110,310
Padre Dam Municipal Water District Series A Series A
(currency) 5.250%, 10/01/34.......................................
(Pre-refunded @ $100, 10/1/19) 6,100 6,292,089
Palm Springs Unified School District (GO) Series D
3.000%, 08/01/20....................................... 3,120 3,178,126
Palo Alto Unified School District (GO)
5.000%, 08/01/19....................................... 8,000 8,194,960
Palomar Community College District (GO)
5.000%, 05/01/23....................................... 715 806,813
Pasadena Unified School District (GO)
5.000%, 05/01/20....................................... 550 575,718
Peralta Community College District (GO)
5.000%, 08/01/19....................................... 2,220 2,275,278
Peralta Community College District (GO) Series B
5.000%, 08/01/22....................................... 1,845 2,033,282
Redwood City School District (GO)
4.000%, 08/01/19....................................... 1,000 1,016,980
4.000%, 08/01/20....................................... 450 466,547
Riverside Unified School District (GO) Series A
5.000%, 08/01/19....................................... 6,200 6,351,590
Sacramento City Unified School District (GO)
5.000%, 07/01/24....................................... 1,375 1,570,264
Sacramento Municipal Utility District (RB)
5.000%, 07/01/19....................................... 2,000 2,043,200
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
Sacramento Municipal Utility District (RB) Series F
5.000%, 08/15/19....................................... 3,350 $ 3,435,626
Sacramento Municipal Utility District (RB) Series X
5.000%, 08/15/21....................................... 750 814,275
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/20....................................... 1,385 1,449,970
5.000%, 05/01/21....................................... 550 591,811
San Diego Public Facilities Financing Authority Sewer Revenue (RB)
5.000%, 05/15/22....................................... 4,425 4,899,935
San Diego Public Facilities Financing Authority Sewer Revenue (RB)
Series A
(currency) 5.000%, 05/15/22 (Pre-refunded @ $100, 5/15/19)........ 1,695 1,725,171
(currency) 5.250%, 05/15/24 (Pre-refunded @ $100, 5/15/20)........ 1,235 1,297,528
(currency) 5.250%, 05/15/39 (Pre-refunded @ $100, 5/15/19)........ 3,500 3,567,900
San Diego Public Facilities Financing Authority Sewer Revenue (RB)
Series B
(currency) 5.000%, 05/15/20 (Pre-refunded @ $100, 5/15/19)........ 2,400 2,442,720
San Diego Public Facilities Financing Authority Water Revenue (RB)
Series B
(currency) 5.000%, 08/01/20 (Pre-refunded @ $100, 8/1/19)......... 1,045 1,070,394
(currency) 5.375%, 08/01/34 (Pre-refunded @ $100, 8/1/19)......... 13,350 13,711,384
San Diego Unified School District (GO) Series H-2
5.000%, 07/01/19....................................... 15,210 15,534,429
San Diego Unified School District (GO) Series K-1
5.000%, 07/01/19....................................... 1,550 1,583,062
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/23....................................... 2,000 2,263,000
205
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
San Francisco Bay Area Rapid Transit District (GO) Series C
4.000%, 08/01/19....................................... 300 $ 305,094
San Francisco Community College District (GO)
5.000%, 06/15/19....................................... 1,625 1,658,784
5.000%, 06/15/20....................................... 2,700 2,839,023
5.000%, 06/15/22....................................... 2,000 2,207,700
San Francisco County Transportation Authority (RB)
3.000%, 02/01/20....................................... 5,000 5,077,300
San Francisco Unified School District (GO)
5.000%, 06/15/21....................................... 2,200 2,372,260
San Francisco Unified School District (GO) Series A
3.000%, 06/15/20....................................... 5,320 5,416,239
San Francisco Unified School District (GO) Series F&C
2.000%, 06/15/22....................................... 1,750 1,749,982
San Jose Evergreen Community College District (GO)
5.000%, 09/01/21....................................... 250 271,180
San Jose Evergreen Community College District (GO) Series A
3.000%, 09/01/19....................................... 1,000 1,011,240
San Juan Unified School District (GO)
2.000%, 08/01/19....................................... 14,330 14,361,669
3.000%, 08/01/22....................................... 1,200 1,240,452
San Leandro Unified School District (GO) Series B
4.000%, 08/01/21....................................... 265 278,655
San Mateo County Community College District (GO)
4.000%, 09/01/19....................................... 1,210 1,232,131
4.000%, 09/01/20....................................... 755 784,370
4.000%, 09/01/21....................................... 1,310 1,385,430
San Rafael City High School District (GO) Series B
3.000%, 08/01/19....................................... 735 742,056
4.000%, 08/01/20....................................... 305 316,215
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21....................................... 4,225 4,455,474
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Santa Barbara Unified School District (RN)
3.000%, 06/28/19................................ 5,000 $5,035,400
Santa Clara County Financing Authority (RB)
5.000%, 02/01/19................................ 3,610 3,639,963
Santa Clara Valley Transportation Authority (RB) Series A
5.000%, 06/01/19................................ 2,000 2,038,180
Santa Monica Community College District (GO) Series A
5.000%, 08/01/19................................ 315 322,844
Santa Monica-Malibu Unified School District (GO) Series D
4.000%, 08/01/20................................ 5,765 5,976,979
Sonoma County (RB)
5.000%, 09/01/19................................ 6,035 6,200,419
Sonoma Valley Unified School District (GO)
3.000%, 08/01/19................................ 600 605,760
South Bay Union School District/San Diego County (GO) (AGC)
Series A
(currency) 6.000%, 08/01/23 (Pre-refunded @ $100, 8/1/19).. 700 722,449
Southern California Public Power Authority (RB)
5.000%, 07/01/20................................ 1,175 1,235,148
Southwestern Community College District (GO)
5.000%, 08/01/19................................ 2,230 2,282,673
Tustin Unified School District (GO)
(currency) 6.000%, 08/01/36 (Pre-refunded @ $100, 8/1/21).. 1,500 1,661,250
University of California (RB) Series O
(currency) 5.750%, 05/15/25 (Pre-refunded @ $100, 5/15/19). 2,000 2,043,580
(currency) 5.250%, 05/15/39 (Pre-refunded @ $100, 5/15/19). 1,615 1,645,895
206
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Victor Valley Community College District (GO) Series C
(currency) 5.750%, 08/01/44 (Pre-refunded @ $100, 8/1/19).. 3,150 $3,245,193
Walnut Valley Unified School District (GO) Series A
5.000%, 08/01/19................................ 3,050 3,124,328
Washington Unified School District/ Yolo County (GO)
4.000%, 08/01/20................................ 1,000 1,034,150
West Contra Costa Unified School District (GO) (AGM)
5.000%, 08/01/20................................ 820 863,312
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
CALIFORNIA -- (Continued)
5.000%, 08/01/21.................................... 2,350 $ 2,540,091
West Contra Costa Unified School District (GO) Series B
6.000%, 08/01/21.................................... 1,000 1,107,500
Westlands Water District (RB) (AGM) Series A
4.000%, 09/01/20.................................... 1,045 1,081,021
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,155,011,182)............................... $1,150,991,120
==============
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
Municipal Bonds.................. -- $1,150,991,120 -- $1,150,991,120
-- -------------- -- --------------
TOTAL............................ -- $1,150,991,120 -- $1,150,991,120
== ============== == ==============
See accompanying Notes to Financial Statements.
207
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Albany Unified School District (GO)
4.000%, 08/01/21................................ 240 $ 252,367
Amador County Unified School District (GO)
4.000%, 08/01/19 385 391,222
Anaheim Housing & Public Improvements Authority (RB)
(currency) 5.000%, 10/01/32 (Pre-refunded @ $100, 10/1/21). 235 254,994
(currency) 5.000%, 10/01/33 (Pre-refunded @ $100, 10/1/21). 965 1,047,102
(currency) 5.000%, 10/01/34 (Pre-refunded @ $100, 10/1/21). 400 434,032
(currency) 5.000%, 10/01/41 (Pre-refunded @ $100, 10/1/21). 960 1,041,677
Anaheim Union High School District (GO)
5.000%, 08/01/19................................ 855 875,836
5.000%, 08/01/23................................ 1,905 2,149,640
Antelope Valley Community College District (GO) Series A
5.000%, 08/01/24................................ 850 976,811
Antelope Valley Union High School District (GO).............
4.000%, 08/01/21................................ 500 525,765
5.000%, 08/01/22................................ 1,650 1,817,755
Arcadia Unified School District (GO)
3.000%, 08/01/26................................ 1,035 1,073,440
Azusa Unified School District (GO)
4.000%, 07/01/21................................ 400 420,220
5.000%, 07/01/21................................ 825 887,980
Bay Area Toll Authority (RB) Series F-1
(currency) 5.125%, 04/01/39 (Pre-refunded @ $100, 4/1/19).. 3,450 3,499,335
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Bay Area Toll Authority (RB) Series S-4
(currency) 5.000%, 04/01/30 (Pre-refunded @ $100, 4/1/23).. 2,500 $2,810,800
Berkeley Unified School District (GO)
5.000%, 08/01/19................................ 325 332,898
Berkeley Unified School District (GO) Series D
5.000%, 08/01/23................................ 600 679,950
Berkeley Unified School District (GO) Series E
5.000%, 08/01/27................................ 455 548,220
5.000%, 08/01/28................................ 2,540 3,083,738
Beverly Hills Unified School District (GO)
2.000%, 08/01/21................................ 145 145,036
2.000%, 08/01/22................................ 2,805 2,796,922
Buena Park School District (GO) (AGM)
2.500%, 08/01/21................................ 75 75,896
Burbank Unified School District (GO)
5.000%, 08/01/24................................ 300 345,282
Butte-Glenn Community College District (GO)
2.500%, 08/01/20................................ 550 556,776
California Infrastructure & Economic Dev. Bank (RB) (FGIC)
(ETM)
5.000%, 07/01/25................................ 2,500 2,918,125
California Infrastructure & Economic Development Bank (RB)
(AMBAC)
(currency) 5.000%, 07/01/36 (Pre-refunded @ $100, 1/1/28).. 225 268,164
California Municipal Finance Authority (RB)
(currency) 5.750%, 01/01/33 (Pre-refunded @ $100, 1/1/22).. 750 834,810
(currency) 6.000%, 01/01/42 (Pre-refunded @ $100, 1/1/22).. 3,905 4,376,333
California State (GO)
5.000%, 09/01/19................................ 1,795 1,842,550
3.125%, 10/01/19................................ 100 101,213
208
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
5.000%, 10/01/19....................................... 1,000 $1,029,050
5.000%, 10/01/19....................................... 500 514,525
4.000%, 11/01/19....................................... 135 137,936
5.000%, 02/01/20....................................... 1,200 1,245,900
5.250%, 02/01/20....................................... 500 520,660
5.000%, 04/01/20....................................... 900 938,727
5.000%, 08/01/20....................................... 1,000 1,052,290
5.000%, 09/01/20....................................... 1,000 1,054,740
5.000%, 10/01/20....................................... 1,375 1,453,389
5.000%, 10/01/20....................................... 4,040 4,270,320
5.000%, 11/01/20....................................... 750 794,445
4.000%, 12/01/20....................................... 750 781,192
5.000%, 12/01/20....................................... 1,240 1,316,731
5.000%, 02/01/21....................................... 700 746,536
5.000%, 04/01/21....................................... 475 508,758
5.000%, 08/01/21....................................... 3,500 3,779,195
5.000%, 08/01/21....................................... 1,750 1,889,597
5.000%, 09/01/21....................................... 460 497,646
5.000%, 09/01/21....................................... 3,705 4,008,217
5.000%, 09/01/21....................................... 175 189,322
5.000%, 10/01/21....................................... 200 216,780
5.000%, 02/01/22....................................... 2,575 2,803,917
5.000%, 04/01/22....................................... 940 1,027,382
5.000%, 08/01/22....................................... 1,250 1,375,662
4.000%, 09/01/22....................................... 525 559,519
5.000%, 09/01/22....................................... 625 688,931
5.250%, 09/01/22....................................... 2,585 2,875,037
5.000%, 10/01/22....................................... 1,000 1,104,040
5.250%, 10/01/22....................................... 2,380 2,651,701
5.000%, 12/01/22....................................... 1,245 1,379,286
5.000%, 02/01/23....................................... 1,400 1,553,874
5.000%, 08/01/23....................................... 1,500 1,679,670
5.000%, 09/01/23....................................... 1,635 1,833,293
5.000%, 10/01/23....................................... 100 112,278
5.000%, 11/01/23....................................... 875 983,727
5.000%, 05/01/24....................................... 975 1,105,357
5.000%, 09/01/24....................................... 1,000 1,138,900
5.000%, 10/01/24....................................... 400 456,064
5.000%, 11/01/24....................................... 850 970,207
5.500%, 02/01/25....................................... 1,000 1,175,010
5.000%, 08/01/25....................................... 1,000 1,152,290
5.000%, 08/01/25....................................... 3,275 3,773,750
5.000%, 10/01/25....................................... 1,000 1,154,380
5.000%, 08/01/26....................................... 1,000 1,163,570
5.000%, 08/01/26....................................... 800 930,856
5.000%, 08/01/26....................................... 1,400 1,628,998
5.000%, 08/01/26....................................... 2,850 3,316,174
5.000%, 09/01/26....................................... 305 355,139
3.500%, 08/01/27....................................... 2,220 2,341,523
5.000%, 08/01/27....................................... 6,250 7,315,250
5.000%, 08/01/28....................................... 1,000 1,178,080
5.000%, 10/01/28....................................... 1,250 1,475,912
California State (GO) Series B
5.000%, 09/01/21....................................... 1,060 1,146,750
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
5.000%, 09/01/21................................ 1,700 $1,839,128
5.000%, 09/01/23................................ 2,285 2,562,125
California State (GO) (ETM) Series A
5.000%, 07/01/19................................ 1,400 1,430,898
California State Department of Water Resources (RB) Series AM
5.000%, 12/01/22................................ 4,105 4,590,334
California State Department of Water Resources (RB) Series AR
5.000%, 12/01/22................................ 3,210 3,589,518
5.000%, 12/01/23................................ 900 1,028,871
California State Department of Water Resources (RB) Series AS
5.000%, 12/01/19................................ 530 548,524
5.000%, 12/01/22................................ 1,485 1,660,572
5.000%, 12/01/24................................ 1,000 1,162,850
California State Department of Water Resources (RB) (ETM) Series AS
5.000%, 12/01/19................................ 15 15,516
5.000%, 12/01/22................................ 15 16,674
California State Department of Water Resources Power Supply Revenue
(RB) Series L
5.000%, 05/01/19................................ 925 940,142
5.000%, 05/01/20................................ 3,380 3,537,035
(currency) 5.000%, 05/01/22................................
(Pre-refunded @ $100, 5/1/20)................... 610 638,341
California State Department of Water Resources Power Supply Revenue
(RB) Series M
4.000%, 05/01/19................................ 455 460,205
California State Department of Water Resources Power Supply Revenue
(RB) Series O
5.000%, 05/01/21................................ 3,640 3,910,234
5.000%, 05/01/22................................ 6,765 7,444,815
California State Public Works Board (RB) (ETM) Series F
5.000%, 10/01/20................................ 500 529,280
California State Public Works Board (RB) (ETM) Series H
5.000%, 09/01/20................................ 1,000 1,056,040
5.000%, 09/01/21................................ 1,740 1,886,908
209
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
California State University (RB) Series A
5.000%, 11/01/18................................ 1,300 $1,300,000
5.000%, 11/01/19................................ 3,000 3,095,970
5.000%, 11/01/19................................ 450 464,396
5.000%, 11/01/20................................ 685 727,395
5.000%, 11/01/25................................ 1,015 1,190,473
5.000%, 11/01/25................................ 2,000 2,345,760
California State University (RB) (AGM) Series C
5.000%, 11/01/22................................ 100 111,348
California Statewide Communities Dev. Authority (RB)
(currency) 6.000%, 06/01/33................................
(Pre-refunded @ $100, 6/1/21)................... 1,295 1,424,629
Capistrano Unified School District School Facilities
Improvement District No. 1 (GO)
4.000%, 08/01/22................................ 170 181,261
Carlsbad Unified School District (GO)
5.000%, 08/01/21................................ 230 248,862
Central Marin Sanitation Agency (RB)
4.000%, 09/01/21................................ 1,425 1,503,831
Chabot-Las Positas Community College District (GO)
5.000%, 08/01/22................................ 900 995,265
4.000%, 08/01/23................................ 1,970 2,133,589
Chaffey Community College District (GO) Series E
4.000%, 06/01/22................................ 335 358,755
Chico Unified School District (GO) Series A-2
4.000%, 08/01/24................................ 250 272,750
Chino Valley Unified School District (GO) Series A
4.000%, 08/01/21................................ 200 210,856
Chula Vista Elementary School District (GO)
5.000%, 08/01/22................................ 1,835 2,024,354
Chula Vista Municipal Financing Authority (RB)
5.000%, 05/01/25................................ 250 289,215
City & County of San Francisco (GO)
4.000%, 06/15/20................................ 800 827,824
5.000%, 06/15/20................................ 1,715 1,801,882
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
City & County of San Francisco (GO) Series A
4.750%, 06/15/19................................ 545 $ 555,328
5.000%, 06/15/22................................ 2,200 2,434,168
City & County of San Francisco (GO) Series C
5.000%, 06/15/20................................ 575 604,130
City & County of San Francisco (GO) Series D
5.000%, 06/15/20................................ 2,000 2,101,320
City & County of San Francisco (GO) Series R1
5.000%, 06/15/20................................ 500 525,330
5.000%, 06/15/21................................ 2,315 2,499,968
City of Grover Beach (GO)
5.000%, 09/01/23................................ 360 407,178
City of Long Beach Harbor Revenue (RB) Series B
5.000%, 05/15/19................................ 250 254,275
City of Los Angeles (GO) Series A
5.000%, 09/01/20................................ 445 470,107
City of Los Angeles (GO) Series B
5.000%, 09/01/19................................ 600 615,846
5.000%, 09/01/24................................ 1,000 1,152,400
City of Oakland (GO) Series A
5.000%, 01/15/25................................ 500 578,860
City of Pacifica COP
5.000%, 01/01/24................................ 250 283,593
City of Pasadena Electric Revenue (RB) Series A
5.000%, 06/01/22................................ 1,000 1,104,970
City of San Francisco Public Utilities Commission Water
Revenue (RB)
5.000%, 11/01/21................................ 865 941,181
5.000%, 11/01/22................................ 1,335 1,488,672
5.000%, 11/01/23................................ 1,475 1,682,178
5.000%, 11/01/24................................ 1,250 1,449,450
5.000%, 11/01/25................................ 1,000 1,178,540
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series B
5.000%, 11/01/19................................ 420 433,604
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series F
(currency) 5.000%, 11/01/23 (Pre-refunded @ $100, 11/1/20). 1,000 1,061,080
210
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
(currency) 5.500%, 11/01/30 (Pre-refunded @ $100, 11/1/20)........ 1,000 $1,070,840
Coachella Valley Unified School District (GO) (BAM)
4.000%, 08/01/22....................................... 825 879,029
Colton Joint Unified School District (GO)
5.000%, 08/01/21....................................... 900 970,794
Conejo Valley Unified School District (GO) Series B
5.000%, 08/01/21....................................... 500 540,445
Contra Costa Transportation Authority (RB) Series A
5.000%, 03/01/22....................................... 470 516,953
Contra Costa Transportation Authority (RB) Series B
(currency) 5.000%, 03/01/23 (Pre-refunded @ $100, 3/1/20)......... 500 520,795
5.000%, 03/01/27....................................... 1,250 1,487,800
Contra Costa Water District (RB) Series Q
5.000%, 10/01/22....................................... 505 561,752
Corona-Norco Unified School District (GO) Series B
3.000%, 08/01/23....................................... 500 517,925
5.000%, 08/01/27....................................... 150 178,386
Culver City School Facilities Financing Authority (RB) (AGM)
5.500%, 08/01/26....................................... 855 1,036,619
Cupertino Union School District (GO) Series B
4.000%, 08/01/21....................................... 400 422,372
Davis Joint Unified School District Community Facilities District
(ST) (AGM)
3.000%, 08/15/19....................................... 500 504,030
3.000%, 08/15/22....................................... 1,000 1,022,660
Desert Sands Unified School District (GO)
5.000%, 08/01/21....................................... 3,000 3,246,870
Dublin Unified School District (GO)
5.000%, 02/01/19....................................... 425 428,506
5.000%, 08/01/22....................................... 875 969,622
5.000%, 08/01/23....................................... 1,665 1,883,631
East Bay Regional Park District (GO) Series A-1
5.000%, 09/01/27....................................... 550 659,775
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
East Side Union High School District (GO)
4.000%, 08/01/21....................................... 600 $ 633,558
East Side Union High School District (GO) Series A
3.000%, 08/01/21....................................... 575 591,842
East Side Union High School District (GO) Series D
3.000%, 08/01/19....................................... 825 832,606
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/21....................................... 1,285 1,349,815
Elsinore Valley Municipal Water District Financing
Authority (RB) Series A
5.000%, 07/01/24....................................... 200 229,548
Enterprise Elementary School District (GO)
4.000%, 09/01/19....................................... 500 509,435
Fallbrook Union Elementary School District (GO) Series A
5.000%, 08/01/20....................................... 200 210,776
Folsom Cordova Unified School District School Facilities
Improvement Dist No. 5 (GO) (AGM) Series B
5.000%, 10/01/26....................................... 250 295,998
Folsom Cordova Unified School District School Facilities
Improvement Dist No. 5 (GO) Series C
5.000%, 10/01/25....................................... 100 116,887
Fontana Unified School District (GO)
5.000%, 08/01/19....................................... 600 614,622
4.000%, 08/01/21....................................... 1,585 1,667,991
4.000%, 08/01/22....................................... 875 933,607
Fountain Valley Public Finance Authority (RB) Series A
5.000%, 07/01/24....................................... 250 286,790
Franklin-Mckinley School District (GO)
4.000%, 08/01/23....................................... 325 352,599
Fresno Unified School District (GO) (AGM) Series A
4.500%, 08/01/20....................................... 480 501,418
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/24....................................... 2,615 2,848,572
211
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
Grossmont Healthcare District (GO) Series C
5.000%, 07/15/23........................................ 100 $ 112,584
Grossmont Union High School District (GO)
5.000%, 08/01/27........................................ 500 594,190
Hacienda La Puente Unified School District (GO) (NATL)
5.000%, 08/01/23........................................ 225 254,003
Jurupa Unified School District (GO) (AGM)
5.000%, 08/01/20........................................ 725 763,295
Kern High School District (GO) (AGM)
5.000%, 08/01/19........................................ 250 255,868
Kern High School District (GO) Series A
3.000%, 08/01/20........................................ 3,885 3,953,337
3.000%, 08/01/26........................................ 895 931,453
Kern High School District (GO) Series E
2.000%, 08/01/19........................................ 1,350 1,351,782
2.000%, 08/01/20........................................ 2,435 2,436,217
3.000%, 08/01/21........................................ 465 478,369
Lakeside Union School District/San Diego County (GO)
5.000%, 08/01/23........................................ 695 782,911
Lancaster Financing Authority (NATL) (ETM)
5.250%, 02/01/20........................................ 540 562,108
Liberty Union High School District (GO)
5.000%, 08/01/20........................................ 380 400,474
4.000%, 08/01/21........................................ 500 526,725
Lompoc Unified School District (GO) (AGC)
5.250%, 08/01/20........................................ 540 571,023
Long Beach Unified School District (GO)
5.000%, 08/01/20........................................ 1,500 1,580,820
5.000%, 08/01/26........................................ 200 237,176
Los Altos Elementary School District (GO)
4.000%, 08/01/21........................................ 250 264,258
4.000%, 08/01/21........................................ 470 496,804
Los Angeles Community College District (GO) Series A
5.000%, 08/01/21........................................ 2,725 2,953,818
5.000%, 08/01/23........................................ 340 385,635
5.000%, 08/01/24........................................ 250 289,050
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
Los Angeles Community College District (GO) Series C
5.000%, 08/01/19........................................ 950 $ 973,151
5.000%, 08/01/22........................................ 400 444,176
5.000%, 08/01/25........................................ 1,240 1,458,265
5.000%, 06/01/26........................................ 2,500 2,974,725
Los Angeles Community College District (GO) Series G
5.000%, 08/01/23........................................ 650 737,243
Los Angeles County Metropolitan Transportation Authority
(RB)
5.000%, 07/01/20........................................ 830 872,347
5.000%, 07/01/20........................................ 300 315,306
Los Angeles County Metropolitan Transportation Authority
(RB) Series A
5.000%, 07/01/19........................................ 1,000 1,021,670
5.000%, 07/01/21........................................ 520 562,515
5.000%, 07/01/22........................................ 870 964,021
5.000%, 07/01/25........................................ 1,590 1,865,579
5.000%, 07/01/27........................................ 3,565 4,286,057
Los Angeles County Metropolitan Transportation Authority
(RB) Series B
5.000%, 06/01/19........................................ 370 377,041
5.000%, 06/01/20........................................ 500 524,335
5.000%, 07/01/20........................................ 525 551,786
Los Angeles County Metropolitan Transportation Authority
(RB) Series C
5.000%, 07/01/20........................................ 525 551,786
Los Angeles County Public Works Financing Authority (RB)
Series D
5.000%, 12/01/25........................................ 165 193,835
Los Angeles Department of Water (RB) Series B
5.000%, 07/01/20........................................ 500 525,845
5.000%, 07/01/22........................................ 435 481,358
Los Angeles Department of Water & Power Power System
Revenue (RB) Series A
5.000%, 07/01/19........................................ 370 378,018
5.000%, 07/01/19........................................ 1,195 1,220,896
5.000%, 07/01/20........................................ 600 630,714
5.000%, 07/01/21........................................ 1,000 1,079,590
5.000%, 07/01/21........................................ 2,950 3,184,790
5.000%, 07/01/21........................................ 1,650 1,781,323
212
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Los Angeles Department of Water & Power Power System
Revenue (RB) Series C
5.000%, 07/01/26.................................... 1,665 $1,976,605
Los Angeles Department of Water & Power Power System
Revenue (RB) Series D
4.000%, 07/01/19.................................... 1,000 1,015,100
Los Angeles Unified School District (GO) Series A
3.000%, 07/01/20.................................... 790 804,417
5.000%, 07/01/20.................................... 900 945,765
5.000%, 07/01/20.................................... 150 157,628
2.000%, 07/01/22.................................... 1,210 1,206,164
5.000%, 07/01/22.................................... 1,115 1,231,740
5.000%, 07/01/24.................................... 720 825,134
5.000%, 07/01/26.................................... 1,270 1,487,246
Los Angeles Unified School District (GO) Series A-1
5.000%, 07/01/21.................................... 1,710 1,845,637
Los Angeles Unified School District (GO) Series A-2
5.000%, 07/01/21.................................... 2,600 2,806,232
Los Angeles Unified School District (GO) Series B-1
5.000%, 07/01/27.................................... 500 590,835
Los Angeles Unified School District (GO) Series C
5.000%, 07/01/22.................................... 500 552,350
5.000%, 07/01/23.................................... 3,050 3,436,587
Los Angeles Unified School District (GO) Series I
5.000%, 07/01/19.................................... 750 766,252
Los Rios Community College District (GO)
5.000%, 08/01/19.................................... 2,965 3,038,828
Los Rios Community College District (GO) Series B
5.000%, 08/01/23.................................... 510 576,968
Los Rios Community College District (GO) Series F
3.000%, 08/01/21.................................... 800 823,648
Lynwood Unified School District (GO) (AGM)
5.000%, 08/01/21.................................... 450 483,773
5.000%, 08/01/22.................................... 485 532,288
Manhattan Beach Unified School District (GO) Series C
3.500%, 09/01/21.................................... 1,185 1,235,659
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
Manhattan Beach Unified School District (GO) Series E
3.000%, 09/01/22.................................... 660 $ 682,975
Metropolitan Water District of Southern California
(RB) Series A
5.000%, 07/01/19.................................... 1,090 1,113,762
Montebello Unified School District (GO)
5.000%, 08/01/20.................................... 415 436,626
Moreland School District (GO) Series B
5.000%, 08/01/21.................................... 500 539,750
Moreno Valley Public Financing Authority (RB)
5.000%, 11/01/20.................................... 1,470 1,555,921
Morongo Unified School District (GO)
3.000%, 08/01/22.................................... 480 494,256
Morongo Unified School District (GO) Series A
5.000%, 08/01/24.................................... 100 114,165
5.000%, 08/01/25.................................... 80 92,666
5.000%, 08/01/26.................................... 220 257,836
5.000%, 08/01/27.................................... 120 141,883
Mount Diablo Unified School District (GO)
3.250%, 08/01/19.................................... 500 505,720
Mount Diablo Unified School District (GO) Series G
3.000%, 08/01/24.................................... 800 831,280
Municipal Improvement Corp. of Los Angeles (RB) Series
A
5.000%, 11/01/24.................................... 325 374,091
New Haven Unified School District (GO) (AGC) (ETM)
5.000%, 08/01/19.................................... 55 56,357
New Haven Unified School District (GO) (AGC)
5.000%, 08/01/19.................................... 95 97,272
Northern Humboldt Union High School District (GO)
4.000%, 08/01/26.................................... 220 242,942
Oak Park Unified School District (GO)
4.000%, 08/01/22.................................... 445 475,305
Oakland Unified School District/Alameda County (GO)
5.000%, 08/01/20.................................... 1,005 1,058,084
213
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
5.000%, 08/01/22....................................... 1,500 $1,649,655
5.000%, 08/01/24....................................... 900 1,025,406
5.000%, 08/01/26....................................... 575 672,123
Oakland Unified School District/Alameda County (GO) Series A
5.000%, 08/01/21....................................... 610 656,458
4.000%, 08/01/22....................................... 350 372,404
5.000%, 08/01/22....................................... 3,000 3,299,310
4.000%, 08/01/24....................................... 500 543,255
5.000%, 08/01/25....................................... 540 624,046
5.000%, 08/01/25....................................... 750 866,730
Oakland Unified School District/Alameda County (GO) Series B
5.000%, 08/01/24....................................... 1,675 1,908,394
Oakland Unified School District/Alameda County (GO) Series C
5.000%, 08/01/20....................................... 255 268,469
5.000%, 08/01/26....................................... 500 584,455
Oakland Unified School District/Alameda County (GO) (AGM)
5.000%, 08/01/23....................................... 300 336,219
5.000%, 08/01/24....................................... 1,125 1,281,757
5.000%, 08/01/25....................................... 1,250 1,444,550
Orange County Sanitation District (RB) Series A
5.000%, 02/01/23....................................... 1,240 1,394,479
Oxnard Union High School District (GO)
4.000%, 08/01/21....................................... 320 337,722
4.000%, 08/01/22....................................... 500 535,730
Palm Springs Unified School District (GO)
5.000%, 08/01/19....................................... 500 511,810
Palomar Community College District (GO)
5.000%, 05/01/21....................................... 965 1,039,344
Palomar Community College District (GO) Series D
5.000%, 08/01/23....................................... 150 170,060
Palos Verdes Peninsula Unified School District (GO) Series B
5.000%, 11/01/21....................................... 250 271,943
Pasadena Unified School District (GO) Series B
5.000%, 08/01/24....................................... 800 917,960
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
Piedmont Unified School District (GO)
3.000%, 08/01/20............................ 845 $ 861,621
Plumas Unified School District (GO) (AGM)
5.250%, 08/01/21............................ 800 867,352
Porterville Unified School District Facilities Improvement
District (GO) (AGM) Series B
5.000%, 08/01/19............................ 325 332,774
Poway Unified School District (GO)
5.000%, 08/01/19............................ 200 204,874
Rancho Santiago Community College District (GO) (AGM)
5.250%, 09/01/20............................ 500 530,725
Redlands Financing Authority (RB) Series A
5.000%, 09/01/22............................ 1,290 1,426,959
Redlands Unified School District (GO)
5.000%, 07/01/26............................ 300 354,528
5.000%, 07/01/27............................ 500 597,675
Redwood City School District (GO)
5.000%, 08/01/27............................ 50 59,247
5.000%, 08/01/28............................ 85 101,653
Reed Union School District (GO)
4.000%, 08/01/27............................ 460 515,048
Regents of the University of California Medical Center
Pooled Revenue (RB) Series J
(currency) 5.250%, 05/15/29 (Pre-refunded @ $ 100,
5/15/23).................................. 670 761,167
(currency) 5.000%, 05/15/33 (Pre-refunded @ $ 100,
5/15/23).................................. 500 562,650
Riverside County Infrastructure Financing Authority (RB)
Series A
5.000%, 11/01/24............................ 1,100 1,263,504
Sacramento City Unified School District (GO)
5.000%, 07/01/24............................ 1,800 2,055,618
Sacramento Municipal Utility District (RB) Series D
5.000%, 08/15/22............................ 525 583,968
214
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
Sacramento Municipal Utility District (RB) Series E
5.000%, 08/15/23................................ 1,050 $1,193,062
5.000%, 08/15/26................................ 1,000 1,189,080
Sacramento Municipal Utility District (RB) Series F
5.000%, 08/15/22................................ 1,000 1,112,320
Saddleback Valley Unified School District (GO)
5.000%, 08/01/22................................ 465 514,574
San Diego Community College District (GO)
5.000%, 08/01/24................................ 1,300 1,504,581
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/21................................ 310 333,566
San Diego County Water Authority Financing Corp. (RB)
Series A
(currency) 5.250%, 05/01/23 (Pre-refunded @ $100, 11/1/19). 1,395 1,443,616
San Diego Public Facilities Financing Authority Sewer
Revenue (RB)
5.000%, 05/15/22................................ 700 775,131
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
4.000%, 05/15/20................................ 3,000 3,099,060
(currency) 5.250%, 05/15/24 (Pre-refunded @ $100, 5/15/20). 1,975 2,074,994
(currency) 5.375%, 05/15/34 (Pre-refunded @ $100, 5/15/19). 650 663,039
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series B
(currency) 5.500%, 05/15/23 (Pre-refunded @ $100, 5/15/19). 500 510,230
San Diego Public Facilities Financing Authority Water
Revenue (RB) Series A
(currency) 5.000%, 08/01/23 (Pre-refunded @ $100, 8/1/20).. 2,690 2,832,086
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
San Diego Unified School District (GO) (AGM) Series C-2
5.500%, 07/01/21................................ 4,270 $4,673,173
5.500%, 07/01/25................................ 2,550 3,068,874
San Diego Unified School District (GO) (NATL) Series D-1
5.500%, 07/01/24................................ 190 224,210
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/20................................ 435 456,972
5.000%, 07/01/21................................ 1,705 1,843,940
5.000%, 07/01/22................................ 1,000 1,108,070
5.000%, 07/01/23................................ 300 339,450
San Diego Unified School District (GO) Series R-5
5.000%, 07/01/26................................ 110 130,501
San Dieguito Union High School District (GO) Series A-2
5.000%, 08/01/23................................ 490 552,686
San Francisco Bay Area Rapid Transit District (GO) Series C
4.000%, 08/01/19................................ 325 330,519
San Francisco Bay Area Rapid Transit District Sales Tax
Revenue (RB)
4.000%, 07/01/26................................ 375 417,596
San Francisco City & County Airport Comm-San Francisco
International Airport (RB)
(currency) 5.000%, 05/01/21 (Pre-refunded @ $ 100, 5/1/20). 540 564,268
San Francisco City & County Airport Comm-San Francisco
International Airport (RB) Series D
(currency) 5.000%, 05/01/23 (Pre-refunded @ $ 100, 5/3/21). 875 936,775
San Francisco Community College District (GO)
5.000%, 06/15/20................................ 2,100 2,208,129
5.000%, 06/15/22................................ 2,070 2,284,969
5.000%, 06/15/23................................ 3,775 4,252,688
5.000%, 06/15/24................................ 1,365 1,565,177
215
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
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CALIFORNIA -- (Continued)
San Francisco Community College District (GO) Series D
5.000%, 06/15/20................................ 600 $ 630,894
San Francisco County Transportation Authority (RB)
3.000%, 02/01/22................................ 2,000 2,061,900
San Francisco Municipal Transportation Agency (RB) Series A
5.000%, 03/01/20................................ 860 896,696
San Francisco Unified School District (GO)
5.000%, 06/15/20................................ 725 761,134
5.000%, 06/15/21................................ 230 248,009
San Francisco Unified School District (GO) Series F&C
2.000%, 06/15/22................................ 1,580 1,579,984
San Joaquin County Transportation Authority (RB) Series A
(currency) 6.000%, 03/01/36 (Pre-refunded @ $100, 3/1/21).. 335 365,994
San Jose Evergreen Community College District (GO)
5.000%, 09/01/21................................ 1,750 1,898,260
San Jose Evergreen Community College District (GO) Series A
4.000%, 09/01/23................................ 100 108,730
San Juan Unified School District (GO)
3.000%, 08/01/22................................ 1,480 1,529,891
5.000%, 08/01/22................................ 800 884,376
3.000%, 08/01/24................................ 610 634,187
3.000%, 08/01/25................................ 1,475 1,535,401
3.000%, 08/01/26................................ 3,135 3,260,431
San Juan Water District (RB)
5.000%, 02/01/26................................ 500 588,170
San Lorenzo Unified School District (GO)
5.000%, 08/01/21................................ 265 286,068
San Mateo County Community College District (GO)
5.000%, 09/01/27................................ 450 540,932
FACE
AMOUNT^ VALUE+
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(000)
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CALIFORNIA -- (Continued)
San Matro County Community College District (GO) Series B
5.000%, 09/01/28....................................... 400 $ 484,344
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21....................................... 1,600 1,687,280
Santa Ana Unified School District (GO)
5.000%, 08/01/25....................................... 350 407,309
Santa County Clara (GO) Series C
5.000%, 08/01/26....................................... 900 1,071,504
5.000%, 08/01/27....................................... 170 204,384
Santa Cruz City High School District (GO)
4.000%, 08/01/22....................................... 715 763,155
Santa Monica Community College District (GO) Series A
5.000%, 08/01/22....................................... 225 249,073
5.000%, 08/01/22....................................... 400 442,796
5.000%, 08/01/26....................................... 105 124,273
Santa Monica Public Financing Authority (RB) Series B
4.000%, 12/01/19....................................... 175 179,270
Simi Valley Unified School District (GO)
5.000%, 08/01/23....................................... 260 293,514
Sonoma Valley Unified School District (GO) Series B
5.000%, 08/01/25....................................... 500 583,570
Southern California Public Power Authority (RB)
4.000%, 07/01/19....................................... 575 583,642
Standard Elementary School District (GO) Series A
4.000%, 08/01/24....................................... 240 260,628
Stockton Unified School District (GO) (AGM)
5.000%, 07/01/20....................................... 150 157,400
Sylvan Union School District (GO) Series C
5.000%, 08/01/26....................................... 405 475,583
Tahoe Forest Hospital District (GO)
4.000%, 08/01/20....................................... 295 305,953
216
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
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CALIFORNIA -- (Continued)
Tustin Unified School District (GO)
(currency) 5.250%, 08/01/31 (Pre-refunded @ $100, 8/1/21).. 415 $ 451,914
University of California (RB) Series AF
5.000%, 05/15/22................................ 3,000 3,315,480
(currency) 5.000%, 05/15/26 (Pre-refunded @ $100, 5/15/23). 400 451,048
University of California (RB) Series G
(currency) 5.000%, 05/15/37 (Pre-refunded @ $100, 5/15/22). 305 335,976
Upland Unified School District (GO) Series A
5.000%, 08/01/21................................ 500 539,190
Upper Santa Clara Valley Joint Powers Authority (RB) (ETM)
Series A
4.000%, 08/01/21................................ 1,125 1,186,065
Vista Unified School District (GO)
5.000%, 08/01/19................................ 200 204,874
Walnut Creek Elementary School District Contra Costa County
(GO)
4.000%, 09/01/25................................ 100 110,287
Washington Unified School District/ Yolo County (GO)
4.000%, 08/01/19................................ 450 457,137
West Contra Costa Unified School District (GO) (AGM)
5.000%, 08/01/20................................ 100 105,282
West Contra Costa Unified School District (GO)
5.000%, 08/01/21................................ 430 464,783
West Contra Costa Unified School District (GO) Series A
5.000%, 08/01/24................................ 1,095 1,255,177
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
CALIFORNIA -- (Continued)
West Contra Costa Unified School District (GO) Series A-1
5.000%, 08/01/25...................................... 520 $ 605,498
5.000%, 08/01/26...................................... 545 642,926
5.000%, 08/01/27...................................... 575 684,802
West Contra Costa Unified School District (GO) Series B
6.000%, 08/01/20...................................... 1,475 1,578,132
West Covina Unified School District (GO) (AGM)
5.000%, 08/01/21...................................... 385 414,322
Western Riverside Water & Wastewater Financing Authority
(RB) (AGC)
5.000%, 09/01/19...................................... 250 256,728
Westside Union School District (GO) Series A
3.000%, 08/01/21...................................... 300 308,787
4.000%, 08/01/23...................................... 700 759,444
Whittier Union High School District (GO) Series C
2.000%, 08/01/19...................................... 645 646,425
Windsor Unified School District (GO)
4.000%, 08/01/26...................................... 105 115,483
Wright Elementary School District (GO) Series A
3.000%, 08/01/20...................................... 165 167,817
Yosemite Unified School District (GO) (AGM)
4.000%, 08/01/19...................................... 395 401,265
Yuba Community College District (GO) Series B
4.000%, 08/01/21...................................... 355 373,975
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $431,598,575)......... $427,751,392
============
217
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Municipal Bonds...................... -- $427,751,392 -- $427,751,392
-- ------------ -- ------------
TOTAL................................ -- $427,751,392 -- $427,751,392
== ============ == ============
See accompanying Notes to Financial Statements.
218
DFA NY MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
NEW YORK -- (100.0%)
Albany County
5.000%, 04/01/20................................ 500 $ 520,445
Albany County (GO)
5.000%, 06/01/21................................ 370 397,099
Amityville Union Free School District (BAN) (ST AID
WITHHLDG)
2.750%, 06/21/19................................ 750 753,540
Ardsley Union Free School District (GO) (ST AID WITHHLDG)
3.000%, 11/01/18................................ 200 200,000
2.250%, 08/15/23................................ 290 289,733
Babylon Union Free School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20................................ 290 289,904
Brewster Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/01/19................................ 100 100,108
Chappaqua Central School District (GO) (ST AID WITHHLDG)
2.125%, 06/15/19................................ 365 365,613
City of Ithaca (GO) Series A
3.000%, 02/15/21................................ 225 229,239
City of New York (GO) (ETM)
4.000%, 12/01/18................................ 530 530,970
City of New York (GO)
4.000%, 12/01/18................................ 1,470 1,472,543
5.000%, 08/01/19................................ 900 920,169
4.000%, 08/01/20................................ 100 103,223
(currency) 5.450%, 04/01/31 (Pre-refunded @ $100, 4/1/19).. 965 979,600
City of New York (GO) Series 1
5.000%, 08/01/19................................ 500 511,205
City of New York (GO) Series 1-I
5.000%, 03/01/22................................ 265 288,161
City of New York (GO) Series A
5.000%, 08/01/23................................ 1,200 1,338,588
5.000%, 08/01/24................................ 620 702,832
5.000%, 08/01/25................................ 220 252,034
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
City of New York (GO) Series B
5.000%, 08/01/19....................................... 115 $ 117,577
5.000%, 08/01/21....................................... 1,000 1,073,940
City of New York (GO) Series C
5.000%, 08/01/19....................................... 360 368,068
5.000%, 08/01/20....................................... 200 209,858
5.000%, 08/01/20....................................... 100 104,929
City of New York (GO) Series E
5.000%, 08/01/19....................................... 1,050 1,073,530
5.000%, 08/01/20....................................... 1,000 1,049,290
5.000%, 08/01/21....................................... 625 671,212
City of New York (GO) Series F
5.000%, 08/01/21....................................... 300 322,182
City of New York (GO) Series F-1
5.000%, 06/01/21....................................... 300 321,033
City of New York (GO) Series G
5.000%, 08/01/19....................................... 800 817,928
City of New York (GO) Series J
5.000%, 08/01/19....................................... 150 153,362
City of New York (GO)Series J7
5.000%, 08/01/20....................................... 1,000 1,049,290
City of New York (GO) Series K
5.000%, 08/01/19....................................... 1,000 1,022,410
City of Rochester (GO) Series I
4.000%, 10/15/21....................................... 675 710,336
City of Rochester (BAN) Series III
2.000%, 08/08/19....................................... 1,400 1,399,552
Columbia County (GO) (AGM) Series A
2.000%, 02/01/19....................................... 275 275,110
Corning City School District (GO) (ST AID WITHHLDG)
5.000%, 06/15/19....................................... 750 764,235
East Hampton Union Free School District (GO) (ST AID
WITHHLDG)
5.000%, 06/01/19....................................... 850 865,376
219
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
East Islip Union Free School District (GO) (ST AID WITHHLDG)
4.000%, 07/01/19................................ 240 $ 243,367
Eastport-South Manor Central School District (GO) (ST AID
WITHHLDG)
4.000%, 08/01/23................................ 500 534,750
Haverstraw-Stony Point Central School District (GO) (ST AID
WITHHLDG)
3.000%, 08/15/22................................ 200 204,386
3.000%, 08/15/23................................ 360 369,374
Herricks Union Free School District (GO) (ST AID WITHHLDG)
4.000%, 06/15/21................................ 150 157,341
Hilton Central School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/21................................ 450 445,185
Lancaster Central School District (BAN) (ST AID WITHHLDG)
3.000%, 06/13/19................................ 500 502,920
Lindenhurst Union Free School District (GO) (ST AID
WITHHLDG)
2.250%, 09/01/23................................ 195 193,231
Long Island Power Authority (RB) Series A
(currency) 6.000%, 05/01/33 (Pre-refunded @ $100, 5/1/19).. 1,000 1,020,600
Long Island Power Authority (RB) (BHAC-CR) Series A
(currency) 6.000%, 05/01/33 (Pre-refunded @ $100, 5/1/19).. 400 408,240
Longwood Central School District Suffolk County (GO) (ST
AID WITHHLDG)
2.000%, 06/15/21................................ 1,195 1,193,172
Metropolitan Transportation Authority (RB) (ETM) Series A
(currency) 5.000%, 11/15/21................................ 145 157,350
Metropolitan Transportation Authority (RB) Series A
5.000%, 11/15/21................................ 855 921,015
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
Metropolitan Transportation Authority (RB) (NATL) Series B
5.250%, 11/15/18................................ 1,285 $1,286,632
Middle Country Central School District (GO) (ST AID
WITHHLDG)
2.000%, 08/15/21................................ 500 497,975
Middletown City School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20................................ 500 499,600
5.000%, 09/15/24................................ 130 148,169
Nassau County (BAN) Series B
5.000%, 12/14/18................................ 700 702,562
Nassau County Interim Finance Authority (RB) Series A
5.000%, 11/15/21................................ 505 547,390
New Rochelle City School District (GO) (ST AID WITHHLDG)
4.000%, 06/01/20................................ 300 309,285
New York City Transitional Finance Authority Future Tax
Secured Revenue (RB)
(currency) 5.250%, 11/01/27 (Pre-refunded @ $100, 11/1/18). 485 485,000
(currency) 5.000%, 05/01/34 (Pre-refunded @ $100, 5/1/19).. 1,000 1,015,920
New York State (GO) Series C
5.000%, 04/15/22................................ 600 657,444
New York State Dormitory Authority (RB)
(currency) 6.125%, 12/01/29 (Pre-refunded @ $100, 12/1/18). 3,640 3,652,813
(currency) 6.250%, 12/01/37 (Pre-refunded @ $100, 12/1/18). 2,550 2,559,231
New York State Dormitory Authority (RB) Series A
5.000%, 03/15/19................................ 1,650 1,668,991
5.000%, 03/15/19................................ 510 515,870
5.000%, 07/01/20................................ 395 414,221
(currency) 5.000%, 07/01/21 (Pre-refunded @ $100, 7/1/19).. 455 464,373
220
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
5.000%, 12/15/21................................ 150 $ 162,450
5.000%, 10/01/22................................ 475 525,735
4.000%, 12/15/22................................ 100 106,602
5.000%, 12/15/22................................ 500 552,550
5.000%, 03/15/23................................ 650 721,682
5.000%, 03/15/23................................ 200 222,056
(currency) 5.500%, 07/01/25 (Pre-refunded @ $100, 7/1/20).. 900 950,355
(currency) 5.000%, 02/15/34 (Pre-refunded @ $100, 2/15/19). 1,600 1,614,576
(currency) 5.000%, 07/01/39 (Pre-refunded @ $100, 7/1/19).. 700 714,420
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/20................................ 2,690 2,791,870
5.000%, 02/15/22................................ 1,000 1,086,940
5.000%, 02/15/24................................ 455 511,943
5.000%, 02/15/25................................ 550 628,133
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/19................................ 150 151,727
5.000%, 03/15/20................................ 300 312,048
New York State Dormitory Authority (RB) Series D
3.000%, 02/15/19................................ 175 175,572
5.000%, 02/15/24................................ 300 337,545
New York State Dormitory Authority (RB) Series E
5.000%, 02/15/19................................ 1,390 1,402,427
5.000%, 08/15/19................................ 495 506,865
5.000%, 03/15/20................................ 850 884,136
5.000%, 02/15/21................................ 900 956,682
5.000%, 03/15/21................................ 1,000 1,064,990
New York State Dormitory Authority Series A
5.000%, 02/15/20................................ 1,750 1,816,272
5.000%, 03/15/20................................ 175 182,028
New York State Environmental Facilities Corp. (RB) Series A
5.250%, 12/15/18................................ 260 261,074
New York State Urban Dev. Corp. (RB) Series A
5.000%, 03/15/21................................ 300 319,497
New York State Urban Dev. Corp. (RB) Series A-1
5.000%, 03/15/21................................ 360 383,396
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
New York State Urban Development Corp. (RB) (NATL)
5.500%, 03/15/20................................ 750 $ 785,160
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/19................................ 300 303,453
5.000%, 03/15/20................................ 560 582,490
5.000%, 03/15/20................................ 1,550 1,612,248
5.000%, 03/15/22................................ 630 686,114
5.000%, 03/15/25................................ 1,200 1,372,560
Niagara-Wheatfield Central School District (GO) (ST AID
WITHHLDG)
3.000%, 03/15/19................................ 330 331,373
North Shore Central School District (GO) (ST AID WITHHLDG)
2.000%, 12/15/18................................ 740 740,170
2.000%, 12/15/22................................ 285 282,099
2.000%, 12/15/23................................ 550 534,968
North Tonawanda City School District (GO) (ST AID WITHHLDG)
4.000%, 09/15/21................................ 650 683,091
Oceanside Union Free School District (GO) (ST AID WITHHLDG)
2.500%, 07/01/23................................ 520 521,586
Oneida County (GO)
5.000%, 04/01/20................................ 225 233,944
Onondaga Civic Dev. Corp. (RB)
(currency) 5.125%, 07/01/31 (Pre-refunded @ $100, 7/1/19).. 1,375 1,403,985
Onondaga County (GO)
5.000%, 05/15/19................................ 115 116,935
Orange County (GO)
3.000%, 08/15/20................................ 665 675,660
3.000%, 08/15/21................................ 830 848,509
Pelham Union Free School District (GO) (ST AID WITHHLDG)
5.000%, 08/15/19................................ 605 619,689
Penfield Central School District (GO) (AGC ST AID WITHHLDG)
3.750%, 06/15/19................................ 350 354,029
221
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------
(000)
-------
NEW YORK -- (Continued)
Plainview Old Bethpage Central School District (GO) (ST AID
WITHHLDG)
4.000%, 12/15/18......................................... 320 $320,845
Port Authority of New York & New Jersey (RB) Series 189
5.000%, 05/01/23......................................... 305 340,407
Port Authority of New York & New Jersey (RB) Series 194
5.000%, 10/15/19......................................... 790 813,313
Port Washington Union Free School District (GO) (ST AID
WITHHLDG)
2.000%, 12/01/18......................................... 350 350,053
3.000%, 08/01/21......................................... 135 137,897
Red Hook Central School District (GO) (ST AID WITHHLDG)
4.000%, 06/15/20......................................... 150 154,634
Riverhead Central School District (GO) (ST AID WITHHLDG)
3.000%, 03/15/22......................................... 120 123,060
2.000%, 10/15/22......................................... 280 277,995
Sachem Central School District (GO) (ST AID WITHHLDG)
5.000%, 10/15/19......................................... 200 205,864
Schenectady County (GO)
5.000%, 06/15/25......................................... 140 161,781
Schenectady County (GO) Series B
3.000%, 12/15/21......................................... 470 479,842
Sewanhaka Central High School District of Elmont (GO) (ST
AID WITHHLDG)
3.000%, 07/15/23......................................... 590 606,437
Spencerport Central School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/21......................................... 500 497,590
Suffern Central School District (GO) (ST AID WITHHLDG)
5.000%, 10/15/21......................................... 215 232,374
Taconic Hills Central School District at Craryville (GO) (ST
AID WITHHLDG)
5.000%, 06/15/20......................................... 100 104,722
4.000%, 06/15/22......................................... 250 265,033
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
Town of Amherst (BAN)
3.250%, 11/07/19........................................ 2,000 $2,024,240
Town of Babylon (GO)
3.000%, 07/01/25........................................ 375 388,069
Town of Bedford (GO) Series A
3.000%, 03/15/21........................................ 455 464,409
3.000%, 03/15/25........................................ 330 340,834
Town of Brookhaven (GO) Series A
3.000%, 03/15/22........................................ 650 666,575
Town of Cheektowaga (GO)
5.000%, 07/15/23........................................ 265 295,833
Town of Clarence (GO)
2.250%, 08/01/24........................................ 210 207,423
Town of Hempstead (GO) Series B
5.000%, 09/15/20........................................ 1,030 1,085,424
5.000%, 09/15/21........................................ 2,250 2,427,457
Town of Huntington (GO)
2.000%, 12/01/23........................................ 220 216,185
Town of Huntington (GO) Series B
5.000%, 11/01/20........................................ 2,280 2,412,354
Town of LaGrange (GO)
4.000%, 03/01/19........................................ 280 282,005
4.000%, 03/01/20........................................ 220 225,832
Town of North Hempstead (GO) Series A
3.000%, 04/01/24........................................ 425 438,961
Triborough Bridge & Tunnel Authority (RB) Series A
5.000%, 11/15/18........................................ 140 140,160
5.000%, 11/15/20........................................ 165 174,555
Triborough Bridge & Tunnel Authority (RB) Series A-1
5.000%, 11/15/19........................................ 300 309,432
Triborough Bridge & Tunnel Authority (RB) Series B
4.000%, 11/15/18........................................ 250 250,195
5.000%, 11/15/18........................................ 1,170 1,171,334
5.000%, 11/15/19........................................ 820 845,781
5.000%, 11/15/20........................................ 570 603,009
5.000%, 11/15/22........................................ 190 210,127
Triborough Bridge & Tunnel Authority (RB) Series C
4.000%, 11/15/18........................................ 100 100,078
Tuckahoe Union Free School District (GO) (ST AID WITHHLDG)
5.000%, 07/15/19........................................ 145 148,109
5.000%, 07/15/21........................................ 230 247,556
222
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------
(000)
-------
NEW YORK -- (Continued)
Ulster County (GO)
2.000%, 11/15/22......................................... 240 $235,236
Vestal Central School District (GO) (AGM ST AID WITHHLDG)
3.750%, 06/15/19......................................... 150 151,727
Village of Farmingdale (GO)
3.000%, 07/15/21......................................... 215 219,997
Wantagh Union Free School District (GO) (ST AID WITHHLDG)
2.000%, 11/15/22......................................... 250 248,078
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEW YORK -- (Continued)
Yorktown Central School District (GO) (ST AID WITHHLDG)
2.000%, 07/01/21....................................... 400 $ 396,108
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $99,059,886)........... $98,421,195
===========
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ----------- ------- -----------
Municipal Bonds...................... -- $98,421,195 -- $98,421,195
-- ----------- -- -----------
TOTAL................................ -- $98,421,195 -- $98,421,195
== =========== == ===========
See accompanying Notes to Financial Statements.
223
DFA MN MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
MINNESOTA -- (100.0%)
Belle Plaine Independent School District No. 716 (GO) (SD
CRED PROG) Series A
4.000%, 02/01/19........................................ 100 $ 100,517
Bloomington Independent School District No. 271 (GO) (SD
CRED PROG) Series A
5.000%, 02/01/21........................................ 100 106,239
Chaska Independent School District No. 112 (GO) (SD CRED
PROG) Series A
5.000%, 02/01/21........................................ 1,150 1,219,920
City of Bemidji (GO) (AGM) Series A
5.000%, 02/01/20........................................ 230 237,988
5.000%, 02/01/21........................................ 575 609,442
City of Cambridge (GO) Series A
3.000%, 02/01/23........................................ 375 382,957
City of Chaska (GO) Series B
5.000%, 02/01/21........................................ 385 408,758
City of Circle Pines (GO) Series B
3.000%, 02/01/21........................................ 215 218,700
City of Duluth (GO) Series A
3.000%, 02/01/20........................................ 240 242,640
City of East Grand Forks (GO) Series A
3.000%, 02/01/21........................................ 200 202,868
City of Hopkins (GO) Series D
3.000%, 02/01/22........................................ 130 132,870
City of Hutchinson (GO) Series C
2.000%, 02/01/19........................................ 140 139,992
City of Kasson (GO)
4.000%, 02/01/23........................................ 320 339,882
City of Kasson (GO) Series A
2.000%, 02/01/20........................................ 160 159,666
City of Lakeville (GO) Series A
5.000%, 02/01/19........................................ 605 609,640
5.000%, 02/01/20........................................ 470 487,150
City of Lakeville (GO) Series B
5.000%, 02/01/24........................................ 710 800,852
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
City of Mahtomedi (GO) Series A
2.000%, 02/01/19................................ 225 $ 225,068
City of Marshall (GO) Series B
5.000%, 02/01/21................................ 110 116,813
City of Minneapolis (GO)
2.000%, 12/01/19................................ 100 100,021
2.000%, 12/01/20................................ 480 478,541
3.000%, 12/01/27................................ 5,000 5,011,000
City of New Ulm (GO) Series B
2.000%, 12/01/18................................ 220 220,024
2.000%, 12/01/19................................ 325 325,101
City of Red Wing (GO) Series A
4.000%, 02/01/26................................ 700 755,202
City of Richfield (GO) Series A
3.000%, 02/01/24................................ 255 261,735
City of Rochester (GO) Series A
5.000%, 02/01/20................................ 1,000 1,035,990
City of Saint Cloud (GO) Series A
3.000%, 02/01/24................................ 450 459,549
City of Saint Cloud (GO) Series B
5.000%, 02/01/20................................ 275 284,966
City of Saint Cloud (RB) Series A
(currency) 5.125%, 05/01/30 (Pre-refunded @ $100, 5/1/20).. 300 312,945
City of Saint Francis (GO) Series A
3.000%, 02/01/19................................ 275 275,679
3.000%, 02/01/20................................ 285 287,995
City of Saint Paul (GO) Series A
5.000%, 09/01/21................................ 610 657,129
City of Saint Paul (GO) Series B
5.000%, 11/01/20................................ 835 882,286
City of Saint Paul Sewer Revenue (RB) Series C
3.000%, 12/01/19................................ 250 252,658
City of Savage (GO) Series A
3.000%, 02/01/22................................ 325 330,736
City of Shoreview (GO) Series A
3.000%, 02/01/21................................ 290 294,927
224
DFA MN MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
City of Waconia (GO) Series A
3.000%, 02/01/23......................................... 450 $ 460,282
3.000%, 02/01/26......................................... 820 833,907
City of West Saint Paul (GO) Series A
3.000%, 02/01/23......................................... 230 234,881
City of Woodbury (GO) Series A
2.000%, 02/01/20......................................... 135 134,981
2.000%, 02/01/22......................................... 145 143,914
Cloquet Independent School District No. 94 (GO) (SD CRED
PROG) Series A
5.000%, 04/01/22......................................... 910 988,961
Cook County (GO) Series A
3.000%, 02/01/21......................................... 180 182,660
County of Itasca (GO) Series A
5.000%, 02/01/24......................................... 545 609,032
County of Olmsted (GO) Series A
5.000%, 02/01/24......................................... 675 759,955
4.000%, 02/01/27......................................... 445 474,606
County of Rice (GO)
3.000%, 02/01/20......................................... 220 222,611
County of Sherburne (GO) Series A
3.000%, 02/01/24......................................... 1,360 1,394,558
County of Swift (GO) Series A
3.000%, 02/01/23......................................... 215 219,913
Dakota County Community Development Agency (RB) (CNTY GTD)
Series B
5.000%, 01/01/23......................................... 1,180 1,308,750
Eden Prairie Independent School District No. 272 (GO) (SD
CRED PROG) Series C
5.000%, 02/01/20......................................... 1,105 1,143,929
Edina Independent School District No. 273 (GO) (SD CRED
PROG) Series B
5.000%, 02/01/20......................................... 1,000 1,036,110
Fosston Independent School District No. 601 (GO) (SD CRED
PROG)
4.000%, 02/01/25......................................... 550 592,801
Hastings Independent School District No. 200 (GO) (SD CRED
PROG) Series A
5.000%, 02/01/21......................................... 740 784,992
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
Hennepin County (GO) Series A
5.000%, 12/01/20.................................... 400 $ 423,740
5.000%, 12/01/22.................................... 2,125 2,352,460
Hennepin County (GO) Series B
5.000%, 12/01/21.................................... 2,000 2,169,620
Hennepin County Sales Tax Revenue (RB)
5.000%, 12/15/19.................................... 250 258,398
Housing & Redevelopment Authority of The City of Saint Paul
Minnesota (RB) Series A1
(currency) 5.250%, 11/15/29 (Pre-refunded @ $100, 11/15/19) 350 361,385
Itasca County (GO) Series A
5.000%, 02/01/23.................................... 865 950,860
Lakeville Independent School District No. 194 (GO) (SD CRED PROG)
Series A
5.000%, 02/01/20.................................... 345 357,675
Luverne Independent School District No. 2184 (GO) (SD CRED PROG)
Series A
4.000%, 02/01/21.................................... 510 530,461
Mahtomedi Independent School District No. 832 (GO) (SD CRED PROG)
Series A
5.000%, 02/01/21.................................... 175 185,404
Metropolitan Council (GO) Series B
5.000%, 03/01/21.................................... 350 372,218
Metropolitan Council (GO) Series C
5.000%, 03/01/26.................................... 1,550 1,794,528
Milaca Independent School District No. 912 (GO) (SD CRED PROG)
Series A
4.000%, 02/01/23.................................... 825 874,549
4.000%, 02/01/24.................................... 830 887,046
Minneapolis Special School District No. 1 (GO) (SD CRED PROG)
Series B
5.000%, 02/01/24.................................... 1,200 1,351,656
225
DFA MN MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
Minnesota Higher Education Facilities Authority (RB) Series 7-K2-HA 6.000%, 10/01/40...............
(Pre-refunded @ $100, 10/1/21).................................................................. 450 $ 496,926
Minnesota Public Facilities Authority (RB) Series C 3.250%, 03/01/24 (Pre-refunded @ $100, 3/1/20). 770 781,442
Minnesota State (GO) Series A
5.000%, 10/01/20................................................................................ 505 532,033
5.000%, 08/01/23 (Pre-refunded @ $100, 8/1/20).................................................. 250 262,365
Minnesota State (GO) Series B
5.000%, 08/01/19................................................................................ 100 102,234
5.000%, 08/01/19................................................................................ 1,500 1,533,510
5.000%, 10/01/19................................................................................ 500 513,600
Minnesota State (GO) Series D
5.000%, 08/01/19................................................................................ 50 51,117
5.000%, 08/01/20................................................................................ 1,975 2,071,992
5.000%, 08/01/22................................................................................ 1,820 1,997,450
Minnesota State (GO) (ETM) Series D
(currency) 5.000%, 08/01/20....................................................................... 25 26,215
Minnesota State 911 Services Revenue (RB) 5.000%, 06/01/20 (Pre-refunded @ $100, 6/1/19)........... 2,100 2,137,737
Minnesota State Colleges & Universities (RB) Series A
4.000%, 10/01/19................................................................................ 100 101,837
Moorhead Independent School District No. 152 (GO) (SD CRED PROG) Series A
4.000%, 02/01/24................................................................................ 600 644,286
Morris Area Schools Independent School District No. 2769 (GO) (SD CRED PROG) Series A
4.000%, 02/01/23................................................................................ 1,490 1,585,062
4.000%, 02/01/24................................................................................ 300 321,687
FACE
AMOUNT^ VALUE+
------- --------
(000)
-------
MINNESOTA -- (Continued)
New London-Spicer Independent School District No. 345 (GO) (SD CRED PROG) Series A
3.000%, 02/01/23.............................................................................. 150 $153,549
New Prague Independent School District No. 721 (GO) (SD CRED PROG) Series A
4.000%, 02/01/20.............................................................................. 605 619,290
5.000%, 02/01/20.............................................................................. 320 331,475
North Branch Independent School District No. 138 (GO) (SD CRED PROG) Series A
5.000%, 02/01/20.............................................................................. 300 310,758
North St Paul-Maplewood-Oakdale Independent School District No. 622 (GO) (SD CRED PROG) Series A
5.000%, 02/01/22.............................................................................. 255 276,665
3.000%, 02/01/24.............................................................................. 255 260,975
Northfield Independent School District No. 659 (GO) (SD CRED PROG) Series A
4.000%, 02/01/21.............................................................................. 500 502,670
Osseo Independent School District No. 279 (GO) (SD CRED PROG) Series C
5.000%, 02/01/20.............................................................................. 780 808,509
Pine City Independent School District No. 578 (GO) (SD CRED PROG) Series A
2.000%, 02/01/21.............................................................................. 300 297,417
Robbinsdale Independent School District No. 281 (GO) (SD CRED PROG) Series A
5.000%, 02/01/20.............................................................................. 250 258,870
Rochester Independent School District No. 535 (GO) (SD CRED PROG) Series B
5.000%, 02/01/20.............................................................................. 205 212,351
5.000%, 02/01/22.............................................................................. 210 227,705
Rockford Independent School District No. 883 (GO) (SD CRED PROG) Series A
5.000%, 02/01/19.............................................................................. 200 201,524
226
DFA MN MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
Saint Michael-Albertville Independent School District
No. 885 (GO) (SD CRED PROG) Series A
4.000%, 02/01/19......................................... 150 $ 150,768
St Louis County Independent School District No. 2142 (GO)
(SD CRED PROG) Series A
3.000%, 02/01/20......................................... 600 606,972
Three Rivers Park District (GO) Series C
5.000%, 02/01/21......................................... 1,060 1,125,890
University of Minnesota (RB) Series B
4.000%, 01/01/20......................................... 700 715,526
Washington County (GO) Series A
5.000%, 02/01/19......................................... 150 151,154
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MINNESOTA -- (Continued)
5.000%, 02/01/21......................................... 310 $ 329,270
Watertown-Mayer Independent School District No. 111 (GO)
(SD CRED PROG) Series B
4.000%, 02/01/20......................................... 500 511,935
Westonka Independent School District No. 277 (GO) (SD CRED
PROG) Series A
2.000%, 02/01/20......................................... 500 499,565
White Bear Lake Independent School District No. 624 (GO)
(SD CRED PROG) Series A
3.000%, 02/01/23......................................... 350 356,405
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $67,153,395)............ $65,434,025
===========
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ----------- ------- -----------
Municipal Bonds................................... -- $65,434,025 -- $65,434,025
-- ----------- -- -----------
TOTAL............................................. -- $65,434,025 -- $65,434,025
== =========== == ===========
See accompanying Notes to Financial Statements.
227
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
DFA TWO-YEAR SELECTIVELY DFA FIVE-YEAR
DFA ONE-YEAR GLOBAL FIXED HEDGED GLOBAL GLOBAL FIXED
FIXED INCOME INCOME FIXED INCOME INCOME
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $179,222, $79,106, $10,453
and $55,479 of securities on loan, respectively).......... $ 7,930,310 $ 5,519,094 $ 1,190,821 $ 14,803,255
Temporary Cash Investments at Value & Cost.................. 65,069 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $177,361, $80,881, $10,691 and
$56,717).................................................. 177,374 80,883 10,691 56,718
Foreign Currencies at Value................................. -- 10 5 1,970
Cash........................................................ -- 13,296 8,626 27,431
Receivables:
Investment Securities Sold............................... -- 33,027 10,219 160,915
Dividends and Interest................................... 31,854 35,274 7,274 72,377
Securities Lending Income................................ 24 22 -- 5
Fund Shares Sold......................................... 7,536 3,646 611 13,743
Unrealized Gain on Forward Currency Contracts............... -- 15,721 5,587 229,904
Unrealized Gain on Foreign Currency Contracts............... -- 24 8 1
Prepaid Expenses and Other Assets........................... 96 81 16 115
-------------- -------------- -------------- --------------
Total Assets......................................... 8,212,263 5,701,078 1,233,858 15,366,434
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 177,388 80,873 10,691 56,735
Investment Securities Purchased.......................... 33,166 23,373 11,192 159,220
Fund Shares Redeemed..................................... 29,697 3,190 935 12,270
Due to Advisor........................................... 1,015 713 156 3,216
Unrealized Loss on Forward Currency Contracts............... -- 1,352 72 2,706
Unrealized Loss on Foreign Currency Contracts............... -- 5 -- 53
Accrued Expenses and Other Liabilities...................... 926 633 108 1,248
-------------- -------------- -------------- --------------
Total Liabilities.................................... 242,192 110,139 23,154 235,448
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 7,970,071 $ 5,590,939 $ 1,210,704 $ 15,130,986
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$7,970,071; $5,590,939; $1,210,704 and $15,130,986 and
shares outstanding of 778,033,762, 561,959,000,
126,075,029 and 1,388,601,202, respectively............... $ 10.24 $ 9.95 $ 9.60 $ 10.90
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 4,000,000,000 4,000,000,000 1,000,000,000 6,600,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 7,962,743 $ 5,587,346 $ 1,220,136 $ 15,414,917
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ -- $ 10 $ 5 $ 1,973
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 8,023,323 $ 5,605,293 $ 1,282,447 $ 15,264,549
Total Distributable Earnings (Loss)......................... (53,252) (14,354) (71,743) (133,563)
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 7,970,071 $ 5,590,939 $ 1,210,704 $ 15,130,986
============== ============== ============== ==============
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
228
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA WORLD EX DFA
U.S. DFA SHORT- INTERMEDIATE DFA SHORT-
GOVERNMENT TERM GOVERNMENT TERM EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $0, $0, $0 and $70,964 of
securities on loan, respectively)......................... $ 1,094,357 $ 2,286,477 $ 4,905,534 $ 5,534,385
Temporary Cash Investments at Value & Cost.................. -- 6,653 12,737 --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $0 and $72,658).......... -- -- -- 72,662
Foreign Currencies at Value................................. 1,191 -- -- 537
Cash........................................................ 7,097 -- -- 50,927
Receivables:
Investment Securities Sold............................... -- -- -- 6,327
Dividends and Interest................................... 8,958 11,564 49,291 36,450
Securities Lending Income................................ -- -- -- 23
Fund Shares Sold......................................... 1,823 2,064 5,080 7,729
Unrealized Gain on Forward Currency Contracts............... 18,296 -- -- 22,318
Prepaid Expenses and Other Assets........................... 19 23 43 61
-------------- -------------- -------------- --------------
Total Assets......................................... 1,131,741 2,306,781 4,972,685 5,731,419
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... -- -- -- 72,645
Fund Shares Redeemed..................................... 5,223 1,846 7,100 6,075
Due to Advisor........................................... 152 333 420 937
Unrealized Loss on Forward Currency Contracts............... 244 -- -- 1,258
Accrued Expenses and Other Liabilities...................... 85 228 495 445
-------------- -------------- -------------- --------------
Total Liabilities.................................... 5,704 2,407 8,015 81,360
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 1,126,037 $ 2,304,374 $ 4,964,670 $ 5,650,059
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of
$1,126,037; $2,304,374; $4,964,670 and $5,650,059 and
shares outstanding of 107,737,354, 221,992,018,
417,732,682 and 528,996,608, respectively................. $ 10.45 $ 10.38 $ 11.88 $ 10.68
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 1,700,000,000 3,000,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 1,128,949 $ 2,343,262 $ 5,110,308 $ 5,699,849
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ 1,193 $ -- $ -- $ 539
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 1,077,741 $ 2,366,172 $ 5,186,418 $ 5,737,479
Total Distributable Earnings (Loss)......................... 48,296 (61,798) (221,748) (87,420)
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 1,126,037 $ 2,304,374 $ 4,964,670 $ 5,650,059
============== ============== ============== ==============
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
229
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERMEDIATE- DFA
TERM EXTENDED DFA TARGETED GLOBAL CORE DFA
QUALITY CREDIT PLUS FIXED INVESTMENT
PORTFOLIO* PORTFOLIO* INCOME PORTFOLIO* GRADE PORTFOLIO *
-------------- -------------- ----------------- -----------------
ASSETS:
Investments at Value (including $90,021, $17,080, $11,859
and $320,795 of securities on loan, respectively)......... $ 1,764,512 $ 639,321 $ 572,484 $ 8,495,273
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $92,090, $17,485, $12,150 and
$328,162)................................................. 92,092 17,485 12,149 328,173
Foreign Currencies at Value................................. -- 67 79 1
Cash........................................................ 1,391 3,219 4,533 34,367
Receivables:
Investment Securities Sold............................... 3,431 -- 231 37,936
Dividends and Interest................................... 17,475 5,470 5,570 79,102
Securities Lending Income................................ 6 1 5 54
Fund Shares Sold......................................... 1,222 871 2,263 9,290
Unrealized Gain on Forward Currency Contracts............... -- 3,903 7,427 4,254
Deferred Offering Costs..................................... -- -- 13 --
Prepaid Expenses and Other Assets........................... 26 17 19 93
-------------- -------------- ------------ --------------
Total Assets......................................... 1,880,155 670,354 604,773 8,988,543
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 92,111 17,487 12,150 328,235
Fund Shares Redeemed..................................... 5,411 912 94 19,482
Due to Advisor........................................... 300 75 88 1,410
Unrealized Loss on Forward Currency Contracts............... -- 28 20 --
Accrued Expenses and Other Liabilities...................... 142 72 96 623
-------------- -------------- ------------ --------------
Total Liabilities.................................... 97,964 18,574 12,448 349,750
-------------- -------------- ------------ --------------
NET ASSETS.................................................. $ 1,782,191 $ 651,780 $ 592,325 $ 8,638,793
============== ============== ============ ==============
Institutional Class Shares -- based on net assets of
$1,782,191; $651,780; $592,325 and $8,638,793 and shares
outstanding of 176,205,456, 66,541,772, 59,913,799 and
832,211,323, respectively................................. $ 10.11 $ 9.80 $ 9.89 $ 10.38
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED................................. 2,000,000,000 1,000,000,000 500,000,000 2,000,000,000
============== ============== ============ ==============
Investments at Cost......................................... $ 1,863,119 $ 658,878 $ 604,510 $ 8,864,782
============== ============== ============ ==============
Foreign Currencies at Cost.................................. $ -- $ 67 $ 80 $ 1
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 1,894,927 $ 664,980 $ 596,746 $ 9,007,796
Total Distributable Earnings (Loss)......................... (112,736) (13,200) (4,421) (369,003)
-------------- -------------- ------------ --------------
NET ASSETS.................................................. $ 1,782,191 $ 651,780 $ 592,325 $ 8,638,793
============== ============== ============ ==============
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
230
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA DFA INFLATION- DFA SHORT-
DIVERSIFIED PROTECTED DURATION REAL
FIXED INCOME DFA LTIP SECURITIES RETURN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value........ $ 648,278 -- -- --
Investments at Value (including $0, $0, $0 and $48,806 of
securities on loan, respectively)............................ 147,537 $ 167,475 $ 4,475,526 $ 1,405,684
Temporary Cash Investments at Value & Cost..................... 290 -- 6,555 --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $0 and $49,992)............. -- -- -- 49,993
Foreign Currencies at Value.................................... -- -- -- 16
Cash........................................................... -- 1,191 -- 14,438
Receivables:
Dividends and Interest...................................... 270 364 11,425 8,705
Securities Lending Income................................... -- -- -- 5
Fund Shares Sold............................................ 1,159 512 4,315 2,394
From Advisor................................................ 15 -- -- --
Unrealized Gain on Swap Contracts.............................. -- -- -- 10,173
Unrealized Gain on Forward Currency Contracts.................. -- -- -- 5,883
Prepaid Expenses and Other Assets.............................. 32 6 42 33
-------------- -------------- -------------- --------------
Total Assets............................................ 797,581 169,548 4,497,863 1,497,324
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................ -- -- -- 49,989
Investment Securities/Affiliated Investment Companies
Purchased................................................. -- 862 -- 1,495
Fund Shares Redeemed........................................ 1,229 4 5,764 960
Due to Advisor.............................................. -- 10 383 241
Unrealized Loss on Swap Contracts.............................. -- -- -- 2,569
Unrealized Loss on Forward Currency Contracts.................. -- -- -- 195
Accrued Expenses and Other Liabilities......................... 56 24 390 157
-------------- -------------- -------------- --------------
Total Liabilities....................................... 1,285 900 6,537 55,606
-------------- -------------- -------------- --------------
NET ASSETS..................................................... $ 796,296 $ 168,648 $ 4,491,326 $ 1,441,718
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of $796,296;
$168,648; $4,491,326 and $1,441,718 and shares
outstanding of 84,041,925, 19,912,256, 399,329,548 and
145,342,613, respectively.................................... $ 9.47 $ 8.47 $ 11.25 $ 9.92
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................................... 1,000,000,000 1,000,000,000 1,500,000,000 1,500,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at Cost......... $ 666,024 $ -- $ -- $ --
============== ============== ============== ==============
Investments at Cost............................................ $ 151,529 $ 182,846 $ 4,614,951 $ 1,441,232
============== ============== ============== ==============
Foreign Currencies at Cost..................................... $ -- $ -- $ -- $ 16
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................ $ 818,033 $ 183,480 $ 4,643,226 $ 1,453,285
Total Distributable Earnings (Loss)............................ (21,737) (14,832) (151,900) (11,567)
-------------- -------------- -------------- --------------
NET ASSETS..................................................... $ 796,296 $ 168,648 $ 4,491,326 $ 1,441,718
============== ============== ============== ==============
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
231
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
CALIFORNIA DFA SHORT-
DFA MUNICIPAL MUNICIPAL TERM
REAL RETURN REAL RETURN DFA MUNICIPAL MUNICIPAL
PORTFOLIO PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- ------------ -------------- --------------
ASSETS:
Investments at Value........................................... $ 838,596 $ 117,836 $ 446,806 $ 2,514,370
Cash........................................................... 18,831 3,359 534 6,942
Receivables:
Dividends and Interest...................................... 8,717 1,554 5,779 33,468
Fund Shares Sold............................................ 1,265 146 1,187 2,022
Unrealized Gain on Swap Contracts.............................. 14,183 464 -- --
Prepaid Expenses and Other Assets.............................. 28 12 23 60
-------------- ------------ -------------- --------------
Total Assets............................................ 881,620 123,371 454,329 2,556,862
-------------- ------------ -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased............................. 13,722 518 -- --
Fund Shares Redeemed........................................ 983 125 783 3,022
Due to Advisor.............................................. 147 11 66 434
Due to Broker............................................... 25 -- -- --
Unrealized Loss on Swap Contracts.............................. 962 326 -- --
Accrued Expenses and Other Liabilities......................... 71 23 33 149
-------------- ------------ -------------- --------------
Total Liabilities....................................... 15,910 1,003 882 3,605
-------------- ------------ -------------- --------------
NET ASSETS..................................................... $ 865,710 $ 122,368 $ 453,447 $ 2,553,257
============== ============ ============== ==============
Institutional Class Shares -- based on net assets of $865,710;
$122,368; $453,447 and $2,553,257 and shares outstanding
of 89,180,956, 12,489,698, 45,539,594 and 252,675,437,
respectively................................................. $ 9.71 $ 9.80 $ 9.96 $ 10.10
============== ============ ============== ==============
NUMBER OF SHARES AUTHORIZED.................................... 1,000,000,000 500,000,000 1,000,000,000 1,500,000,000
============== ============ ============== ==============
Investments at Cost............................................ $ 860,767 $ 120,318 $ 454,095 $ 2,528,229
============== ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................ $ 877,039 $ 124,671 $ 460,618 $ 2,566,538
Total Distributable Earnings (Loss)............................ (11,329) (2,303) (7,171) (13,281)
-------------- ------------ -------------- --------------
NET ASSETS..................................................... $ 865,710 $ 122,368 $ 453,447 $ 2,553,257
============== ============ ============== ==============
See accompanying Notes to Financial Statements.
232
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA DFA CALIFORNIA
INTERMEDIATE- DFA CALIFORNIA INTERMEDIATE-
TERM SHORT-TERM TERM
MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- --------------
ASSETS:
Investments at Value............................................................ $ 1,756,946 $ 1,150,991 $ 427,751
Cash............................................................................ 1,063 24,460 10,227
Receivables:
Investment Securities Sold................................................... 17,254 -- --
Dividends and Interest....................................................... 20,837 14,187 5,494
Fund Shares Sold............................................................. 4,097 1,399 274
Prepaid Expenses and Other Assets............................................... 28 24 16
-------------- -------------- --------------
Total Assets............................................................. 1,800,225 1,191,061 443,762
-------------- -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased.............................................. -- 4,689 2,997
Fund Shares Redeemed......................................................... 17,153 381 5,113
Due to Advisor............................................................... 306 197 74
Accrued Expenses and Other Liabilities.......................................... 86 61 29
-------------- -------------- --------------
Total Liabilities........................................................ 17,545 5,328 8,213
-------------- -------------- --------------
NET ASSETS...................................................................... $ 1,782,680 $ 1,185,733 $ 435,549
============== ============== ==============
Institutional Class Shares -- based on net assets of $1,782,680; $1,185,733 and
$435,549 and shares outstanding of 179,463,561, 115,905,144 and
42,162,130, respectively...................................................... $ 9.93 $ 10.23 $ 10.33
============== ============== ==============
NUMBER OF SHARES AUTHORIZED..................................................... 1,500,000,000 1,000,000,000 1,000,000,000
============== ============== ==============
Investments at Cost............................................................. $ 1,783,012 $ 1,155,011 $ 431,599
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................. $ 1,808,328 $ 1,189,596 $ 439,281
Total Distributable Earnings (Loss)............................................. (25,648) (3,863) (3,732)
-------------- -------------- --------------
NET ASSETS...................................................................... $ 1,782,680 $ 1,185,733 $ 435,549
============== ============== ==============
See accompanying Notes to Financial Statements.
233
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA NY DFA MN
MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO
-------------- --------------
ASSETS:
Investments at Value................................................................... $ 98,421 $ 65,434
Cash................................................................................... 2,823 1,447
Receivables:
Dividends and Interest.............................................................. 1,242 746
Fund Shares Sold.................................................................... 10 45
Prepaid Expenses and Other Assets...................................................... 7 9
-------------- ------------
Total Assets.................................................................... 102,503 67,681
-------------- ------------
LIABILITIES:
Payables:
Investment Securities Purchased..................................................... 2,024 807
Fund Shares Redeemed................................................................ 24 537
Due to Advisor...................................................................... 12 11
Accrued Expenses and Other Liabilities................................................. 11 8
-------------- ------------
Total Liabilities............................................................... 2,071 1,363
-------------- ------------
NET ASSETS............................................................................. $ 100,432 $ 66,318
============== ============
Institutional Class Shares -- based on net assets of $ 100,432 and $ 66,318 and shares
outstanding of 9,948,380 and 6,816,187, respectively................................. $ 10.10 $ 9.73
============== ============
NUMBER OF SHARES AUTHORIZED............................................................ 1,000,000,000 500,000,000
============== ============
Investments at Cost.................................................................... $ 99,060 $ 67,153
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 101,053 $ 68,048
Total Distributable Earnings (Loss).................................................... (621) (1,730)
-------------- ------------
NET ASSETS............................................................................. $ 100,432 $ 66,318
============== ============
See accompanying Notes to Financial Statements.
234
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DFA
DFA TWO-YEAR SELECTIVELY DFA FIVE-YEAR
DFA ONE-YEAR GLOBAL FIXED HEDGED GLOBAL GLOBAL FIXED
FIXED INCOME INCOME FIXED INCOME INCOME
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
------------ ------------ ------------- -------------
INVESTMENT INCOME
Interest..................................................... $151,197 $102,509 $ 21,284 $ 191,556
Income from Securities Lending............................... 571 355 35 146
-------- -------- -------- ---------
Total Investment Income............................... 151,768 102,864 21,319 191,702
-------- -------- -------- ---------
EXPENSES
Investment Management Fees................................... 11,832 8,119 1,789 36,815
Accounting & Transfer Agent Fees............................. 509 460 87 1,478
Custodian Fees............................................... 164 149 35 605
Filing Fees.................................................. 253 186 50 431
Shareholders' Reports........................................ 233 164 35 537
Directors'/Trustees' Fees & Expenses......................... 32 22 5 59
Professional Fees............................................ 114 85 22 225
Other........................................................ 174 139 29 346
-------- -------- -------- ---------
Total Expenses........................................ 13,311 9,324 2,052 40,496
-------- -------- -------- ---------
Fees Paid Indirectly (Note C)................................ -- (151) (15) (525)
-------- -------- -------- ---------
Net Expenses................................................. 13,311 9,173 2,037 39,971
-------- -------- -------- ---------
NET INVESTMENT INCOME (LOSS)................................. 138,457 93,691 19,282 151,731
-------- -------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................. (17,244) (43,407) (8,987) (204,764)
Affiliated Investment Companies Shares Sold.............. (27) (5) (2) (17)
Foreign Currency Transactions............................ -- (217) (89) 5,633
Forward Currency Contracts............................... -- 63,372 24,270 536,489
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... (21,946) (51,466) (28,811) (587,143)
Affiliated Investment Companies Shares................... 17 3 -- 3
Translation of Foreign Currency Denominated Amounts...... -- (34) (17) (821)
Forward Currency Contracts............................... -- (12,380) 8,093 152,598
-------- -------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... (39,200) (44,134) (5,543) (98,022)
-------- -------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $ 99,257 $ 49,557 $ 13,739 $ 53,709
======== ======== ======== =========
--------
** 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.
235
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DFA WORLD EX DFA
U.S. DFA SHORT- INTERMEDIATE DFA SHORT-
GOVERNMENT TERM GOVERNMENT TERM EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO#
------------ ---------- ------------ -------------
INVESTMENT INCOME
Interest........................................................ $ 11,821 $ 38,911 $ 113,693 $ 115,080
Income from Securities Lending.................................. -- -- -- 268
-------- -------- --------- ---------
Total Investment Income.................................. 11,821 38,911 113,693 115,348
-------- -------- --------- ---------
EXPENSES
Investment Management Fees...................................... 1,870 3,878 4,839 11,628
Accounting & Transfer Agent Fees................................ 78 200 644 593
Custodian Fees.................................................. 62 24 49 115
Filing Fees..................................................... 57 72 134 167
Shareholders' Reports........................................... 38 81 185 229
Directors'/Trustees' Fees & Expenses............................ 4 9 19 23
Professional Fees............................................... 15 33 69 90
Other........................................................... 24 50 106 130
-------- -------- --------- ---------
Total Expenses........................................... 2,148 4,347 6,045 12,975
-------- -------- --------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................ (70) -- -- (185)
Fees Paid Indirectly (Note C)................................... (64) -- -- --
-------- -------- --------- ---------
Net Expenses.................................................... 2,014 4,347 6,045 12,790
-------- -------- --------- ---------
NET INVESTMENT INCOME (LOSS).................................... 9,807 34,564 107,648 102,558
-------- -------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 21,129 (8,657) (29,472) (19,815)
Affiliated Investment Companies Shares Sold................. -- -- -- (2)
Foreign Currency Transactions............................... 127 -- -- (372)
Forward Currency Contracts.................................. 48,335 -- -- 87,752
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (60,943) (39,753) (192,885) (166,633)
Affiliated Investment Companies Shares...................... -- -- -- 2
Translation of Foreign Currency Denominated Amounts......... (370) -- -- (182)
Forward Currency Contracts.................................. 7,776 -- -- 11,894
-------- -------- --------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 16,054 (48,410) (222,357) (87,356)
-------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $ 25,861 $(13,846) $(114,709) $ 15,202
======== ======== ========= =========
--------
** 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.
236
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DFA
INTERMEDIATE- DFA
TERM EXTENDED DFA TARGETED GLOBAL CORE DFA
QUALITY CREDIT PLUS FIXED INVESTMENT
PORTFOLIO# PORTFOLIO# INCOME PORTFOLIO(A) GRADE PORTFOLIO #
------------- ------------ ------------------- -----------------
INVESTMENT INCOME
Income Distributions........................................ -- -- -- $ 2
--------- -------- -------- ---------
Total Investment Income........................... -- -- -- 2
--------- -------- -------- ---------
FUND INVESTMENT INCOME
Interest................................................. $ 62,739 $ 14,378 $ 7,656 235,136
Income from Securities Lending........................... 380 80 23 1,275
--------- -------- -------- ---------
Total Fund Investment Income...................... 63,119 14,458 7,679 236,411
--------- -------- -------- ---------
EXPENSES
Investment Management Fees............................... 3,683 1,121 907 17,054
Accounting & Transfer Agent Fees......................... 147 82 27 665
Custodian Fees........................................... 10 11 17 52
Filing Fees.............................................. 75 58 83 381
Shareholders' Reports.................................... 69 30 16 297
Directors'/Trustees' Fees & Expenses..................... 7 3 -- 35
Professional Fees........................................ 29 10 6 127
Organizational & Offering Costs.......................... -- -- 52 --
Other.................................................... 43 13 7 192
--------- -------- -------- ---------
Total Expenses.................................... 4,063 1,328 1,115 18,803
--------- -------- -------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).............. (12) (148) (54) (42)
--------- -------- -------- ---------
Net Expenses............................................. 4,051 1,180 1,061 18,761
--------- -------- -------- ---------
NET INVESTMENT INCOME (LOSS)............................. 59,068 13,278 6,618 217,652
--------- -------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................... (14,076) (807) (629) (35,141)
Affiliated Investment Companies Shares Sold.......... (20) (2) (2,559) (85)
Foreign Currency Transactions........................ -- 6 (197) (99)
Forward Currency Contracts........................... -- 4,180 20,855 13,170
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... (110,775) (20,100) (32,027) (402,382)
Affiliated Investment Companies Shares............... 4 1 (1) 18
Translation of Foreign Currency Denominated
Amounts............................................ -- (18) (102) (7)
Forward Currency Contracts........................... -- 3,019 7,407 2,028
--------- -------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS).................. (124,867) (13,721) (7,253) (422,498)
--------- -------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $ (65,799) $ (443) $ (635) $(204,846)
========= ======== ======== =========
--------
** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
(a)The Portfolio commenced operations on January 11, 2018.
See accompanying Notes to Financial Statements.
237
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DFA DFA INFLATION- DFA SHORT-
DIVERSIFIED PROTECTED DURATION REAL
FIXED INCOME DFA LTIP SECURITIES RETURN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO#
------------ --------- -------------- -------------
INVESTMENT INCOME
Income Distributions.................................................... $ 9,806 -- -- --
-------- -------- --------- --------
Total Investment Income....................................... 9,806 -- -- --
-------- -------- --------- --------
FUND INVESTMENT INCOME
Interest............................................................. 3,962 $ 5,974 $ 142,686 $ 25,535
Income from Securities Lending....................................... -- -- -- 160
-------- -------- --------- --------
Total Fund Investment Income.................................. 3,962 5,974 142,686 25,695
-------- -------- --------- --------
EXPENSES
Investment Management Fees........................................... 839 163 4,557 2,554
Accounting & Transfer Agent Fees..................................... 27 12 316 122
Custodian Fees....................................................... 2 2 48 46
Filing Fees.......................................................... 108 26 146 94
Shareholders' Reports................................................ 24 10 161 68
Directors'/Trustees' Fees & Expenses................................. 3 -- 19 4
Professional Fees.................................................... 5 5 66 24
Other................................................................ 4 4 101 29
-------- -------- --------- --------
Total Expenses................................................ 1,012 222 5,414 2,941
-------- -------- --------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)...................................... (752) 22 -- 20
-------- -------- --------- --------
Net Expenses......................................................... 260 244 5,414 2,961
-------- -------- --------- --------
NET INVESTMENT INCOME (LOSS)......................................... 13,508 5,730 137,272 22,734
-------- -------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment Securities....... 302 -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................... (403) 862 (14,593) (4,509)
Affiliated Investment Companies Shares Sold...................... -- -- -- (4)
Swap Contracts................................................... -- -- -- 2,092
Foreign Currency Transactions.................................... -- -- -- (4)
Forward Currency Contracts....................................... -- -- -- 17,453
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... (3,675) (17,426) (194,604) (35,170)
Affiliated Investment Companies Shares........................... (15,638) -- -- 1
Swap Contracts................................................... -- -- -- 3,426
Translation of Foreign Currency Denominated Amounts.............. -- -- -- (22)
Forward Currency Contracts....................................... -- -- -- 2,070
-------- -------- --------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (19,414) (16,564) (209,197) (14,667)
-------- -------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......... $ (5,906) $(10,834) $ (71,925) $ 8,067
======== ======== ========= ========
--------
** 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.
238
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DFA
CALIFORNIA DFA SHORT-
DFA MUNICIPAL MUNICIPAL TERM
REAL RETURN REAL RETURN DFA MUNICIPAL MUNICIPAL
PORTFOLIO PORTFOLIO(A) BOND PORTFOLIO BOND PORTFOLIO
------------- ------------ -------------- --------------
INVESTMENT INCOME
Interest........................................................ $ 14,095 $ 1,378 $ 6,603 $ 33,389
-------- ------- ------- --------
Total Investment Income.................................. 14,095 1,378 6,603 33,389
-------- ------- ------- --------
EXPENSES
Investment Management Fees...................................... 1,616 172 823 5,162
Accounting & Transfer Agent Fees................................ 52 8 27 171
Custodian Fees.................................................. 36 9 5 27
Filing Fees..................................................... 66 21 63 146
Shareholders' Reports........................................... 23 7 15 62
Directors'/Trustees' Fees & Expenses............................ 3 -- 1 10
Professional Fees............................................... 15 2 5 36
Organizational & Offering Costs................................. -- 59 -- --
Other........................................................... 175 8 13 59
-------- ------- ------- --------
Total Expenses........................................... 1,986 286 952 5,673
-------- ------- ------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................ -- (22) (5) --
Fees Paid Indirectly (Note C)................................... (74) (13) (31) (180)
-------- ------- ------- --------
Net Expenses.................................................... 1,912 251 916 5,493
-------- ------- ------- --------
NET INVESTMENT INCOME (LOSS).................................... 12,183 1,127 5,687 27,896
-------- ------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ (758) -- (6) (31)
Swap Contracts.............................................. 747 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (25,235) (2,482) (8,949) (20,244)
Swap Contracts.............................................. 5,402 138 -- --
-------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... (19,844) (2,344) (8,955) (20,275)
-------- ------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $ (7,661) $(1,217) $(3,268) $ 7,621
======== ======= ======= ========
--------
** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0,
respectively.
(a)The Portfolio commenced operations on November 1, 2017.
See accompanying Notes to Financial Statements.
239
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DFA DFA CALIFORNIA
INTERMEDIATE- DFA CALIFORNIA INTERMEDIATE-
TERM SHORT-TERM TERM
MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- --------------
INVESTMENT INCOME
Interest............................................................. $ 30,370 $ 13,538 $ 6,690
-------- -------- -------
Total Investment Income....................................... 30,370 13,538 6,690
-------- -------- -------
EXPENSES
Investment Management Fees........................................... 3,509 2,193 802
Accounting & Transfer Agent Fees..................................... 127 62 27
Custodian Fees....................................................... 18 12 4
Filing Fees.......................................................... 114 57 34
Shareholders' Reports................................................ 52 24 13
Directors'/Trustees' Fees & Expenses................................. 7 4 1
Professional Fees.................................................... 25 15 5
Other................................................................ 50 25 13
-------- -------- -------
Total Expenses................................................ 3,902 2,392 899
-------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)...................................... 23 -- 9
Fees Paid Indirectly (Note C)........................................ (121) (81) (28)
-------- -------- -------
Net Expenses......................................................... 3,804 2,311 880
-------- -------- -------
NET INVESTMENT INCOME (LOSS)......................................... 26,566 11,227 5,810
-------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................... (92) (96) (13)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... (44,920) (8,418) (9,087)
-------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. (45,012) (8,514) (9,100)
-------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......... $(18,446) $ 2,713 $(3,290)
======== ======== =======
--------
** Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
240
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DFA NY DFA MN
MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO
-------------- --------------
INVESTMENT INCOME
Interest.................................................................................. $ 1,347 $ 911
------- -------
Total Investment Income............................................................ 1,347 911
------- -------
EXPENSES
Investment Management Fees................................................................ 187 162
Accounting & Transfer Agent Fees.......................................................... 8 5
Custodian Fees............................................................................ 2 1
Filing Fees............................................................................... 20 13
Shareholders' Reports..................................................................... 8 6
Professional Fees......................................................................... 2 --
Organizational & Offering Costs........................................................... -- 55
Other..................................................................................... 2 3
------- -------
Total Expenses..................................................................... 229 245
------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................ 5 (37)
Fees Paid Indirectly (Note C)............................................................. (10) (6)
------- -------
Net Expenses.............................................................................. 224 202
------- -------
NET INVESTMENT INCOME (LOSS).............................................................. 1,123 709
------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.......................................................... (8) (27)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................................ (1,345) (1,420)
------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... (1,353) (1,447)
------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............................. $ (230) $ (738)
======= =======
--------
** Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
241
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA ONE-YEAR FIXED DFA TWO-YEAR GLOBAL
INCOME PORTFOLIO FIXED INCOME PORTFOLIO
------------------------ -----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
----------- ----------- ----------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 138,457 $ 78,106 $ 93,691 $ 60,188
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. (17,244) (3,170) (43,407) (9,125)
Affiliated Investment Companies Shares Sold................. (27) (5) (5) 10
Foreign Currency Transactions............................... -- -- (217) (6)
Forward Currency Contracts.................................. -- -- 63,372 (15,260)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (21,946) (11,738) (51,466) (12,838)
Affiliated Investment Companies Shares...................... 17 (10) 3 (11)
Translation of Foreign Currency Denominated Amounts......... -- -- (34) (181)
Forward Currency Contracts.................................. -- -- (12,380) 25,152
----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 99,257 63,183 49,557 47,929
----------- ----------- ----------- ----------
Distributions:^
Institutional Class Shares...................................... (134,236) (76,161) (67,032) (46,352)
----------- ----------- ----------- ----------
Total Distributions......................................... (134,236) (76,161) (67,032) (46,352)
----------- ----------- ----------- ----------
Capital Share Transactions (1):
Shares Issued................................................... 4,214,515 3,802,547 1,406,818 1,413,377
Shares Issued in Lieu of Cash Distributions..................... 124,874 70,974 61,604 42,763
Shares Redeemed................................................. (3,792,350) (3,388,321) (1,061,658) (980,824)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Capital Share
Transactions.............................................. 547,039 485,200 406,764 475,316
----------- ----------- ----------- ----------
Total Increase (Decrease) in Net Assets..................... 512,060 472,222 389,289 476,893
NET ASSETS
Beginning of Year............................................... 7,458,011 6,985,789 5,201,650 4,724,757
----------- ----------- ----------- ----------
End of Year..................................................... $ 7,970,071 $ 7,458,011 $ 5,590,939 $5,201,650
=========== =========== =========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 410,649 369,200 141,973 141,855
Shares Issued in Lieu of Cash Distributions..................... 12,179 6,893 6,228 4,302
Shares Redeemed................................................. (369,575) (328,963) (107,140) (98,424)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 53,253 47,130 41,061 47,733
=========== =========== =========== ==========
DFA SELECTIVELY DFA
HEDGED GLOBAL FIXED FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO INCOME PORTFOLIO
---------------------- ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 19,282 $ 18,914 $ 151,731 $ 218,002
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. (8,987) 1,096 (204,764) 9,356
Affiliated Investment Companies Shares Sold................. (2) -- (17) (14)
Foreign Currency Transactions............................... (89) 32 5,633 (118)
Forward Currency Contracts.................................. 24,270 (1,675) 536,489 (29,234)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (28,811) (6,683) (587,143) (135,610)
Affiliated Investment Companies Shares...................... -- -- 3 (11)
Translation of Foreign Currency Denominated Amounts......... (17) (19) (821) (286)
Forward Currency Contracts.................................. 8,093 (893) 152,598 73,100
---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 13,739 10,772 53,709 135,185
---------- ---------- ----------- -----------
Distributions:^
Institutional Class Shares...................................... (19,847) (16,079) (226,263) (267,908)
---------- ---------- ----------- -----------
Total Distributions......................................... (19,847) (16,079) (226,263) (267,908)
---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 260,563 273,288 3,770,863 3,690,788
Shares Issued in Lieu of Cash Distributions..................... 19,805 16,054 213,684 253,124
Shares Redeemed................................................. (201,281) (135,061) (2,766,123) (2,323,448)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions.............................................. 79,087 154,281 1,218,424 1,620,464
---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets..................... 72,979 148,974 1,045,870 1,487,741
NET ASSETS
Beginning of Year............................................... 1,137,725 988,751 14,085,116 12,597,375
---------- ---------- ----------- -----------
End of Year..................................................... $1,210,704 $1,137,725 $15,130,986 $14,085,116
========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 27,307 28,488 346,747 336,497
Shares Issued in Lieu of Cash Distributions..................... 2,085 1,704 19,638 23,294
Shares Redeemed................................................. (21,084) (14,096) (254,450) (211,994)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 8,308 16,096 111,935 147,797
========== ========== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note K in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
242
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA WORLD EX U.S.
GOVERNMENT FIXED DFA SHORT-TERM
INCOME PORTFOLIO GOVERNMENT PORTFOLIO
--------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
---------- --------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 9,807 $ 8,807 $ 34,564 $ 25,234
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. 21,129 (7,868) (8,657) (293)
Affiliated Investment Companies Shares Sold................. -- -- -- --
Foreign Currency Transactions............................... 127 88 -- --
Forward Currency Contracts.................................. 48,335 (35,520) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (60,943) 41,145 (39,753) (26,421)
Affiliated Investment Companies Shares...................... -- -- -- --
Translation of Foreign Currency Denominated Amounts......... (370) 371 -- --
Forward Currency Contracts.................................. 7,776 5,671 -- --
---------- --------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 25,861 12,694 (13,846) (1,480)
---------- --------- ---------- ----------
Distributions:^
Institutional Class Shares...................................... (1,574) (21,249) (32,064) (29,827)
---------- --------- ---------- ----------
Total Distributions......................................... (1,574) (21,249) (32,064) (29,827)
---------- --------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................................... 311,042 310,507 651,375 656,942
Shares Issued in Lieu of Cash Distributions..................... 1,534 20,926 29,939 27,900
Shares Redeemed................................................. (144,466) (161,902) (552,871) (526,204)
---------- --------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions.............................................. 168,110 169,531 128,443 158,638
---------- --------- ---------- ----------
Total Increase (Decrease) in Net Assets..................... 192,397 160,976 82,533 127,331
NET ASSETS
Beginning of Year............................................... 933,640 772,664 2,221,841 2,094,510
---------- --------- ---------- ----------
End of Year..................................................... $1,126,037 $ 933,640 $2,304,374 $2,221,841
========== ========= ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 30,234 30,894 62,307 61,811
Shares Issued in Lieu of Cash Distributions..................... 149 2,118 2,871 2,635
Shares Redeemed................................................. (14,028) (16,144) (52,932) (49,508)
---------- --------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 16,355 16,868 12,246 14,938
========== ========= ========== ==========
DFA INTERMEDIATE DFA
GOVERNMENT FIXED SHORT-TERM EXTENDED
INCOME PORTFOLIO QUALITY PORTFOLIO
---------------------- ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 107,648 $ 86,271 $ 102,558 $ 95,353
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. (29,472) 5,070 (19,815) 4,711
Affiliated Investment Companies Shares Sold................. -- -- (2) 13
Foreign Currency Transactions............................... -- -- (372) (12)
Forward Currency Contracts.................................. -- -- 87,752 (5,021)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (192,885) (118,697) (166,633) (38,269)
Affiliated Investment Companies Shares...................... -- -- 2 (12)
Translation of Foreign Currency Denominated Amounts......... -- -- (182) (28)
Forward Currency Contracts.................................. -- -- 11,894 9,166
---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (114,709) (27,356) 15,202 65,901
---------- ---------- ----------- -----------
Distributions:^
Institutional Class Shares...................................... (107,136) (95,222) (104,210) (84,616)
---------- ---------- ----------- -----------
Total Distributions......................................... (107,136) (95,222) (104,210) (84,616)
---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................................... 1,241,223 1,485,982 1,708,188 1,860,954
Shares Issued in Lieu of Cash Distributions..................... 101,281 89,994 102,004 82,823
Shares Redeemed................................................. (785,830) (635,193) (1,630,889) (1,088,768)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions.............................................. 556,674 940,783 179,303 855,009
---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets..................... 334,829 818,205 90,295 836,294
NET ASSETS
Beginning of Year............................................... 4,629,841 3,811,636 5,559,764 4,723,470
---------- ---------- ----------- -----------
End of Year..................................................... $4,964,670 $4,629,841 $ 5,650,059 $ 5,559,764
========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 102,427 119,215 159,261 172,020
Shares Issued in Lieu of Cash Distributions..................... 8,365 7,275 9,516 7,658
Shares Redeemed................................................. (64,976) (51,024) (152,282) (100,624)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 45,816 75,466 16,495 79,054
========== ========== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note K in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
243
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERMEDIATE-
TERM EXTENDED DFA TARGETED
QUALITY PORTFOLIO CREDIT PORTFOLIO
---------------------- -------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
---------- ---------- --------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)....................................... $ 59,068 $ 47,210 $ 13,278 $ 9,907
Net Realized Gain (Loss) on:
Investment Securities Sold*,**................................. (14,076) 5,720 (807) 793
Affiliated Investment Companies Shares Sold.................... (20) (2) (2) --
Foreign Currency Transactions.................................. -- -- 6 (7)
Forward Currency Contracts..................................... -- -- 4,180 (137)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... (110,775) (17,528) (20,100) (1,972)
Affiliated Investment Companies Shares......................... 4 (8) 1 (1)
Translation of Foreign Currency Denominated Amounts............ -- -- (18) 3
Forward Currency Contracts..................................... -- -- 3,019 844
---------- ---------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ (65,799) 35,392 (443) 9,430
---------- ---------- --------- --------
Distributions:^
Institutional Class Shares..................................... (63,709) (48,777) (14,525) (9,264)
---------- ---------- --------- --------
Total Distributions......................................... (63,709) (48,777) (14,525) (9,264)
---------- ---------- --------- --------
Capital Share Transactions (1):
Shares Issued...................................................... 594,054 671,617 254,756 228,033
Shares Issued in Lieu of Cash Distributions........................ 59,798 45,412 14,077 8,916
Shares Redeemed.................................................... (547,044) (312,794) (116,673) (79,106)
---------- ---------- --------- --------
Net Increase (Decrease) from Capital Share
Transactions.............................................. 106,808 404,235 152,160 157,843
---------- ---------- --------- --------
Total Increase (Decrease) in Net Assets..................... (22,700) 390,850 137,192 158,009
NET ASSETS
Beginning of Period................................................ 1,804,891 1,414,041 514,588 356,579
---------- ---------- --------- --------
End of Period...................................................... $1,782,191 $1,804,891 $ 651,780 $514,588
========== ========== ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................................................... 56,798 62,563 25,763 22,826
Shares Issued in Lieu of Cash Distributions........................ 5,734 4,238 1,425 893
Shares Redeemed.................................................... (52,724) (29,251) (11,815) (7,910)
---------- ---------- --------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 9,808 37,550 15,373 15,809
========== ========== ========= ========
DFA GLOBAL
CORE PLUS FIXED DFA INVESTMENT GRADE
INCOME PORTFOLIO PORTFOLIO
---------------- ------------------------
PERIOD
JAN 11,
2018(A) YEAR YEAR
TO ENDED ENDED
OCT 31, OCT 31, OCT 31,
2018 2018 2017
---------------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)....................................... $ 6,618 $ 217,652 $ 165,935
Net Realized Gain (Loss) on:
Investment Securities Sold*,**................................. (629) (35,141) 4,461
Affiliated Investment Companies Shares Sold.................... (2,559) (85) 4
Foreign Currency Transactions.................................. (197) (99) 12
Forward Currency Contracts..................................... 20,855 13,170 (4,776)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... (32,027) (402,382) (83,455)
Affiliated Investment Companies Shares......................... (1) 18 (43)
Translation of Foreign Currency Denominated Amounts............ (102) (7) (13)
Forward Currency Contracts..................................... 7,407 2,028 2,226
-------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ (635) (204,846) 84,351
-------- ----------- -----------
Distributions:^
Institutional Class Shares..................................... (2,471) (212,294) (150,794)
-------- ----------- -----------
Total Distributions......................................... (2,471) (212,294) (150,794)
-------- ----------- -----------
Capital Share Transactions (1):
Shares Issued...................................................... 627,094 3,474,177 3,121,375
Shares Issued in Lieu of Cash Distributions........................ 2,471 209,307 148,903
Shares Redeemed.................................................... (34,134) (2,812,841) (1,212,334)
-------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions.............................................. 595,431 870,643 2,057,944
-------- ----------- -----------
Total Increase (Decrease) in Net Assets..................... 592,325 453,503 1,991,501
NET ASSETS
Beginning of Period................................................ -- 8,185,290 6,193,789
-------- ----------- -----------
End of Period...................................................... $592,325 $ 8,638,793 $ 8,185,290
======== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................................................... 63,115 327,812 288,163
Shares Issued in Lieu of Cash Distributions........................ 250 19,784 13,835
Shares Redeemed.................................................... (3,451) (266,225) (112,043)
-------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 59,914 81,371 189,955
======== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note K in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
244
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA DIVERSIFIED
FIXED INCOME DFA LTIP
PORTFOLIO PORTFOLIO
------------------- ------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
--------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 13,508 $ 5,387 $ 5,730 $ 2,612
Capital Gain Distributions Received from Investment
Securities.................................................... 302 215 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. (403) (50) 862 (56)
Affiliated Investment Companies Shares Sold................. -- -- -- --
Swap Contracts.............................................. -- -- -- --
Foreign Currency Transactions............................... -- -- -- --
Forward Currency Contracts.................................. -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (3,675) (351) (17,426) (2,773)
Affiliated Investment Companies Shares...................... (15,638) (1,586) -- --
Swap Contracts.............................................. -- -- -- --
Translation of Foreign Currency Denominated Amounts......... -- -- -- --
Forward Currency Contracts.................................. -- -- -- --
--------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (5,906) 3,615 (10,834) (217)
--------- -------- -------- --------
Distributions:^
Institutional Class Shares.................................. (13,542) (5,141) (5,731) (2,415)
--------- -------- -------- --------
Total Distributions...................................... (13,542) (5,141) (5,731) (2,415)
--------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................... 467,593 477,812 93,798 73,479
Shares Issued in Lieu of Cash Distributions..................... 13,539 5,141 5,731 2,415
Shares Redeemed................................................. (195,404) (63,972) (38,907) (11,938)
--------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 285,728 418,981 60,622 63,956
--------- -------- -------- --------
Total Increase (Decrease) in Net Assets.................. 266,280 417,455 44,057 61,324
NET ASSETS
Beginning of Year............................................... 530,016 112,561 124,591 63,267
--------- -------- -------- --------
End of Year..................................................... $ 796,296 $530,016 $168,648 $124,591
========= ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 48,776 48,977 10,137 7,955
Shares Issued in Lieu of Cash Distributions..................... 1,413 529 612 265
Shares Redeemed................................................. (20,443) (6,552) (4,219) (1,289)
--------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 29,746 42,954 6,530 6,931
========= ======== ======== ========
DFA INFLATION-
PROTECTED SECURITIES DFA SHORT-DURATION
PORTFOLIO REAL RETURN PORTFOLIO
----------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
----------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 137,272 $ 84,591 $ 22,734 $ 17,577
Capital Gain Distributions Received from Investment
Securities.................................................... -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. (14,593) (187) (4,509) 765
Affiliated Investment Companies Shares Sold................. -- -- (4) 7
Swap Contracts.............................................. -- -- 2,092 (4,208)
Foreign Currency Transactions............................... -- -- (4) 23
Forward Currency Contracts.................................. -- -- 17,453 (2,531)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (194,604) (85,390) (35,170) (5,924)
Affiliated Investment Companies Shares...................... -- -- 1 (9)
Swap Contracts.............................................. -- -- 3,426 6,736
Translation of Foreign Currency Denominated Amounts......... -- -- (22) (8)
Forward Currency Contracts.................................. -- -- 2,070 3,618
----------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (71,925) (986) 8,067 16,046
----------- ---------- ---------- ----------
Distributions:^
Institutional Class Shares.................................. (141,539) (86,878) (19,458) (13,087)
----------- ---------- ---------- ----------
Total Distributions...................................... (141,539) (86,878) (19,458) (13,087)
----------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................................... 1,424,209 1,690,026 591,329 391,386
Shares Issued in Lieu of Cash Distributions..................... 128,414 77,379 18,997 12,649
Shares Redeemed................................................. (1,207,134) (834,307) (287,635) (191,532)
----------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 345,489 933,098 322,691 212,503
----------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 132,025 845,234 311,300 215,462
NET ASSETS
Beginning of Year............................................... 4,359,301 3,514,067 1,130,418 914,956
----------- ---------- ---------- ----------
End of Year..................................................... $ 4,491,326 $4,359,301 $1,441,718 $1,130,418
=========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 122,790 143,167 59,699 39,408
Shares Issued in Lieu of Cash Distributions..................... 11,087 6,630 1,933 1,293
Shares Redeemed................................................. (104,237) (70,815) (29,051) (19,296)
----------- ---------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 29,640 78,982 32,581 21,405
=========== ========== ========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note K in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
245
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA CALIFORNIA
DFA MUNICIPAL REAL MUNICIPAL REAL
RETURN PORTFOLIO RETURN PORTFOLIO
-------------------- ----------------
PERIOD
NOV 01,
YEAR YEAR 2017(A)
ENDED ENDED TO
OCT 31, OCT 31, OCT 31,
2018 2017 2018
--------- --------- ----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $12,183 $ 8,457 $ 1,127
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.................................... (758) (42) --
Swap Contracts.................................................... 747 (1,007) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (25,235) 389 (2,482)
Swap Contracts.................................................... 5,402 2,646 138
--------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... (7,661) 10,443 (1,217)
--------- --------- --------
Distributions:^
Institutional Class Shares........................................ (12,044) (8,396) (1,086)
--------- --------- --------
Total Distributions............................................ (12,044) (8,396) (1,086)
--------- --------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 410,521 363,496 145,121
Shares Issued in Lieu of Cash Distributions........................... 12,037 8,370 1,086
Shares Redeemed....................................................... (253,964) (131,077) (21,536)
--------- --------- --------
Net Increase (Decrease) from Capital Share Transactions........ 168,594 240,789 124,671
--------- --------- --------
Total Increase (Decrease) in Net Assets........................ 148,889 242,836 122,368
NET ASSETS
Beginning of Year..................................................... 716,821 473,985 --
--------- --------- --------
End of Year........................................................... $ 865,710 $ 716,821 $122,368
========= ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 41,589 36,806 14,545
Shares Issued in Lieu of Cash Distributions........................... 1,223 845 109
Shares Redeemed....................................................... (25,760) (13,241) (2,165)
--------- --------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed..................................................... 17,052 24,410 12,489
========= ========= ========
DFA SHORT-TERM
DFA MUNICIPAL MUNICIPAL BOND
BOND PORTFOLIO PORTFOLIO
------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
--------- -------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 5,687 $ 3,406 $ 27,896 $ 22,235
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.................................... (6) (23) (31) (1)
Swap Contracts.................................................... -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (8,949) (242) (20,244) (6,027)
Swap Contracts.................................................... -- -- -- --
--------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... (3,268) 3,141 7,621 16,207
--------- -------- ---------- ----------
Distributions:^
Institutional Class Shares........................................ (5,602) (3,378) (27,517) (22,189)
--------- -------- ---------- ----------
Total Distributions............................................ (5,602) (3,378) (27,517) (22,189)
--------- -------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................................................... 264,400 224,318 906,692 1,110,957
Shares Issued in Lieu of Cash Distributions........................... 5,583 3,376 26,799 21,505
Shares Redeemed....................................................... (159,604) (96,240) (892,279) (698,520)
--------- -------- ---------- ----------
Net Increase (Decrease) from Capital Share Transactions........ 110,379 131,454 41,212 433,942
--------- -------- ---------- ----------
Total Increase (Decrease) in Net Assets........................ 101,509 131,217 21,316 427,960
NET ASSETS
Beginning of Year..................................................... 351,938 220,721 2,531,941 2,103,981
--------- -------- ---------- ----------
End of Year........................................................... $ 453,447 $351,938 $2,553,257 $2,531,941
========= ======== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 26,315 22,146 89,489 109,168
Shares Issued in Lieu of Cash Distributions........................... 557 332 2,647 2,111
Shares Redeemed....................................................... (15,893) (9,512) (88,080) (68,675)
--------- -------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed..................................................... 10,979 12,966 4,056 42,604
========= ======== ========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note K in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
246
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA CALIFORNIA
DFA INTERMEDIATE- DFA CALIFORNIA SHORT- INTERMEDIATE-TERM
TERM MUNICIPAL BOND TERM MUNICIPAL BOND
PORTFOLIO MUNICIPAL BOND PORTFOLIO PORTFOLIO
---------------------- ---------------------- -------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017 2018 2017
---------- ---------- ---------- ---------- --------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............................ $ 26,566 $ 20,229 $ 11,227 $ 8,473 $ 5,810 $ 4,138
Net Realized Gain (Loss) on:
Investment Securities Sold*,**...................... (92) (8) (96) (10) (13) 3
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.......... (44,920) (3,913) (8,418) (1,455) (9,087) (459)
---------- ---------- ---------- ---------- --------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... (18,446) 16,308 2,713 7,008 (3,290) 3,682
---------- ---------- ---------- ---------- --------- --------
Distributions:^
Institutional Class Shares.......................... (26,332) (20,181) (11,064) (8,471) (5,751) (4,115)
---------- ---------- ---------- ---------- --------- --------
Total Distributions.............................. (26,332) (20,181) (11,064) (8,471) (5,751) (4,115)
---------- ---------- ---------- ---------- --------- --------
Capital Share Transactions (1):
Shares Issued........................................... 682,137 784,057 536,227 384,206 222,985 178,513
Shares Issued in Lieu of Cash Distributions............. 25,243 19,346 10,947 8,432 5,676 4,051
Shares Redeemed......................................... (547,570) (396,529) (384,629) (239,845) (131,373) (90,722)
---------- ---------- ---------- ---------- --------- --------
Net Increase (Decrease) from Capital
Share Transactions............................. 159,810 406,874 162,545 152,793 97,288 91,842
---------- ---------- ---------- ---------- --------- --------
Total Increase (Decrease) in Net Assets.......... 115,032 403,001 154,194 151,330 88,247 91,409
NET ASSETS
Beginning of Year....................................... 1,667,648 1,264,647 1,031,539 880,209 347,302 255,893
---------- ---------- ---------- ---------- --------- --------
End of Year............................................. $1,782,680 $1,667,648 $1,185,733 $1,031,539 $ 435,549 $347,302
========== ========== ========== ========== ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 67,950 77,473 52,277 37,348 21,398 17,004
Shares Issued in Lieu of Cash Distributions............. 2,519 1,902 1,068 819 545 384
Shares Redeemed......................................... (54,612) (39,157) (37,491) (23,320) (12,613) (8,657)
---------- ---------- ---------- ---------- --------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed............................ 15,857 40,218 15,854 14,847 9,330 8,731
========== ========== ========== ========== ========= ========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note K in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
247
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA NY MUNICIPAL DFA MN MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO
------------------ -----------------
PERIOD
JUL 25,
YEAR YEAR YEAR 2017(A)
ENDED ENDED ENDED TO
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
-------- -------- -------- -------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............................... $ 1,123 $ 800 $ 709 $ 136
Net Realized Gain (Loss) on:
Investment Securities Sold*,**......................... (8) (2) (27) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............. (1,345) 98 (1,420) (299)
-------- -------- -------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... (230) 896 (738) (163)
-------- -------- -------- -------
Distributions:^
Institutional Class Shares............................. (1,109) (796) (698) (131)
-------- -------- -------- -------
Total Distributions................................. (1,109) (796) (698) (131)
-------- -------- -------- -------
Capital Share Transactions (1):
Shares Issued.............................................. 38,034 47,751 59,841 63,224
Shares Issued in Lieu of Cash Distributions................ 1,109 796 698 131
Shares Redeemed............................................ (28,576) (15,024) (54,044) (1,802)
-------- -------- -------- -------
Net Increase (Decrease) from Capital Share
Transactions...................................... 10,567 33,523 6,495 61,553
-------- -------- -------- -------
Total Increase (Decrease) in Net Assets............. 9,228 33,623 5,059 61,259
NET ASSETS
Beginning of Year.......................................... 91,204 57,581 61,259 --
-------- -------- -------- -------
End of Year................................................ $100,432 $ 91,204 $ 66,318 $61,259
======== ======== ======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.............................................. 3,749 4,685 6,101 6,322
Shares Issued in Lieu of Cash Distributions................ 109 78 71 13
Shares Redeemed............................................ (2,816) (1,476) (5,511) (180)
-------- -------- -------- -------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 1,042 3,287 661 6,155
======== ======== ======== =======
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note K in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
248
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA ONE-YEAR FIXED INCOME PORTFOLIO
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015 OCT 31, 2014
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of
Year............................ $ 10.29 $ 10.31 $ 10.32 $ 10.32 $ 10.33
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.18 0.11 0.07 0.04 0.03
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.06) (0.02) -- 0.01 --
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... 0.12 0.09 0.07 0.05 0.03
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.17) (0.11) (0.07) (0.04) (0.03)
Net Realized Gains............. -- -- (0.01) (0.01) (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.17) (0.11) (0.08) (0.05) (0.04)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year...... $ 10.24 $ 10.29 $ 10.31 $ 10.32 $ 10.32
========== ========== ========== ========== ==========
Total Return...................... 1.22% 0.86% 0.70% 0.44% 0.28%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year
(thousands)..................... $7,970,071 $7,458,011 $6,985,789 $7,306,008 $8,455,559
Ratio of Expenses to Average Net
Assets.......................... 0.17% 0.17% 0.17% 0.17% 0.17%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)..................... 0.17% 0.17% 0.17% 0.17% 0.17%
Ratio of Net Investment Income to
Average Net Assets.............. 1.76% 1.08% 0.69% 0.38% 0.30%
Portfolio Turnover Rate........... 68% 86% 64% 81% 72%
---------- ---------- ---------- ---------- ----------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015 OCT 31, 2014
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of
Year............................ $ 9.99 $ 9.99 $ 9.96 $ 10.02 $ 10.06
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.17 0.12 0.08 0.05 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.08) (0.03) -- -- --
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... 0.09 0.09 0.08 0.05 0.05
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.13) (0.09) (0.05) (0.10) (0.08)
Net Realized Gains............. -- -- -- (0.01) (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.13) (0.09) (0.05) (0.11) (0.09)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year...... $ 9.95 $ 9.99 $ 9.99 $ 9.96 $ 10.02
========== ========== ========== ========== ==========
Total Return...................... 0.87% 0.95% 0.81% 0.56% 0.51%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year
(thousands)..................... $5,590,939 $5,201,650 $4,724,757 $5,360,173 $6,188,952
Ratio of Expenses to Average Net
Assets.......................... 0.17% 0.17% 0.17% 0.18% 0.17%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)..................... 0.17% 0.17% 0.17% 0.18% 0.17%
Ratio of Net Investment Income to
Average Net Assets.............. 1.73% 1.21% 0.79% 0.54% 0.51%
Portfolio Turnover Rate........... 81% 121% 87% 125% 99%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
249
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
----------------------------------------------------------
YEAR YEAR
YEAR ENDED YEAR ENDED ENDED OCT ENDED OCT YEAR ENDED
OCT 31, 2018 OCT 31, 2017 31, 2016 31, 2015 OCT 31, 2014
------------ ------------ --------- --------- ------------
Net Asset Value, Beginning of
Year............................ $ 9.66 $ 9.72 $ 9.41 $ 10.00 $ 10.21
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.15 0.17 0.17 0.15 0.15
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.04) (0.08) 0.24 (0.59) (0.22)
---------- ---------- -------- -------- ----------
Total from Investment
Operations............... 0.11 0.09 0.41 (0.44) (0.07)
---------- ---------- -------- -------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.17) (0.15) (0.10) (0.15) (0.12)
Net Realized Gains............. -- -- -- -- (0.02)
---------- ---------- -------- -------- ----------
Total Distributions........ (0.17) (0.15) (0.10) (0.15) (0.14)
---------- ---------- -------- -------- ----------
Net Asset Value, End of Year...... $ 9.60 $ 9.66 $ 9.72 $ 9.41 $ 10.00
========== ========== ======== ======== ==========
Total Return...................... 1.12% 1.00% 4.44% (4.42%) (0.72%)
---------- ---------- -------- -------- ----------
Net Assets, End of Year
(thousands)..................... $1,210,704 $1,137,725 $988,751 $995,914 $1,099,647
Ratio of Expenses to Average Net
Assets.......................... 0.17% 0.17% 0.17% 0.17% 0.17%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)..................... 0.17% 0.17% 0.17% 0.17% 0.17%
Ratio of Net Investment Income to
Average Net Assets.............. 1.62% 1.77% 1.75% 1.55% 1.46%
Portfolio Turnover Rate........... 63% 52% 54% 56% 48%
---------- ---------- -------- -------- ----------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015 OCT 31, 2014
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of
Year............................ $ 11.03 $ 11.16 $ 11.08 $ 11.06 $ 11.14
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.11 0.18 0.18 0.17 0.15
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.07) (0.08) 0.10 0.07 0.05
----------- ----------- ----------- ----------- ----------
Total from Investment
Operations............... 0.04 0.10 0.28 0.24 0.20
----------- ----------- ----------- ----------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.16) (0.19) (0.17) (0.20) (0.13)
Net Realized Gains............. (0.01) (0.04) (0.03) (0.02) (0.15)
----------- ----------- ----------- ----------- ----------
Total Distributions........ (0.17) (0.23) (0.20) (0.22) (0.28)
----------- ----------- ----------- ----------- ----------
Net Asset Value, End of Year...... $ 10.90 $ 11.03 $ 11.16 $ 11.08 $ 11.06
=========== =========== =========== =========== ==========
Total Return...................... 0.38% 0.95% 2.63% 2.22% 1.90%
----------- ----------- ----------- ----------- ----------
Net Assets, End of Year
(thousands)..................... $15,130,986 $14,085,116 $12,597,375 $11,237,965 $9,818,116
Ratio of Expenses to Average Net
Assets.......................... 0.27% 0.27% 0.27% 0.27% 0.27%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)..................... 0.27% 0.27% 0.27% 0.27% 0.27%
Ratio of Net Investment Income to
Average Net Assets.............. 1.03% 1.66% 1.60% 1.55% 1.34%
Portfolio Turnover Rate........... 67% 69% 41% 51% 62%
----------- ----------- ----------- ----------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
250
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
-------------------------------------------------- ------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014 2018
---------- -------- -------- -------- -------- ----------
Net Asset Value, Beginning of
Year............................ $ 10.22 $ 10.37 $ 10.48 $ 10.81 $ 10.31 $ 10.59
---------- -------- -------- -------- -------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.10 0.10 0.11 0.14 0.19 0.16
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.15 0.02 0.50 0.27 0.60 (0.22)
---------- -------- -------- -------- -------- ----------
Total from Investment
Operations............... 0.25 0.12 0.61 0.41 0.79 (0.06)
---------- -------- -------- -------- -------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.02) (0.25) (0.71) (0.69) (0.29) (0.15)
Net Realized Gains............. -- (0.02) (0.01) (0.05) -- --
---------- -------- -------- -------- -------- ----------
Total Distributions........ (0.02) (0.27) (0.72) (0.74) (0.29) (0.15)
---------- -------- -------- -------- -------- ----------
Net Asset Value, End of Year...... $ 10.45 $ 10.22 $ 10.37 $ 10.48 $ 10.81 $ 10.38
========== ======== ======== ======== ======== ==========
Total Return...................... 2.42% 1.31% 6.26% 3.93% 7.93% (0.60%)
---------- -------- -------- -------- -------- ----------
Net Assets, End of Year
(thousands)..................... $1,126,037 $933,640 $772,664 $567,118 $355,241 $2,304,374
Ratio of Expenses to Average Net
Assets.......................... 0.20% 0.20% 0.20% 0.20% 0.20% 0.19%
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor and Fees Paid
Indirectly)..................... 0.21% 0.21% 0.22% 0.22% 0.22% 0.19%
Ratio of Net Investment Income to
Average Net Assets.............. 0.94% 1.04% 1.09% 1.37% 1.81% 1.52%
Portfolio Turnover Rate........... 37% 51% 48% 27% 41% 30%
---------- -------- -------- -------- -------- ----------
DFA SHORT-TERM GOVERNMENT PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2017 2016 2015 2014
---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Year............................ $ 10.75 $ 10.75 $ 10.69 $ 10.70
---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.12 0.11 0.10 0.08
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.13) 0.04 0.07 --
---------- ---------- ---------- ----------
Total from Investment
Operations............... (0.01) 0.15 0.17 0.08
---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.12) (0.11) (0.09) (0.07)
Net Realized Gains............. (0.03) (0.04) (0.02) (0.02)
---------- ---------- ---------- ----------
Total Distributions........ (0.15) (0.15) (0.11) (0.09)
---------- ---------- ---------- ----------
Net Asset Value, End of Year...... $ 10.59 $ 10.75 $ 10.75 $ 10.69
========== ========== ========== ==========
Total Return...................... (0.10%) 1.40% 1.65% 0.83%
---------- ---------- ---------- ----------
Net Assets, End of Year
(thousands)..................... $2,221,841 $2,094,510 $2,144,989 $2,061,710
Ratio of Expenses to Average Net
Assets.......................... 0.19% 0.19% 0.19% 0.19%
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor and Fees Paid
Indirectly)..................... 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets.............. 1.17% 1.02% 0.90% 0.75%
Portfolio Turnover Rate........... 34% 51% 82% 40%
---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
251
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Year............................ $ 12.45 $ 12.86 $ 12.67 $ 12.60 $ 12.52
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.27 0.26 0.26 0.27 0.29
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.57) (0.39) 0.24 0.13 0.08
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... (0.30) (0.13) 0.50 0.40 0.37
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.26) (0.25) (0.25) (0.27) (0.29)
Net Realized Gains............. (0.01) (0.03) (0.06) (0.06) --
---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.27) (0.28) (0.31) (0.33) (0.29)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year...... $ 11.88 $ 12.45 $ 12.86 $ 12.67 $ 12.60
========== ========== ========== ========== ==========
Total Return...................... (2.44%) (0.93%) 3.95% 3.25% 3.00%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year
(thousands)..................... $4,964,670 $4,629,841 $3,811,636 $3,378,949 $4,021,616
Ratio of Expenses to Average Net
Assets.......................... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor)........................ 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to
Average Net Assets.............. 2.22% 2.06% 2.01% 2.17% 2.30%
Portfolio Turnover Rate........... 16% 12% 17% 19% 29%
---------- ---------- ---------- ---------- ----------
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Year............................ $ 10.85 $ 10.90 $ 10.82 $ 10.86 $ 10.86
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.19 0.20 0.19 0.17 0.16
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.16) (0.07) 0.10 (0.01) --
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... 0.03 0.13 0.29 0.16 0.16
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.19) (0.18) (0.19) (0.19) (0.14)
Net Realized Gains............. (0.01) -- (0.02) (0.01) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.20) (0.18) (0.21) (0.20) (0.16)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year...... $ 10.68 $ 10.85 $ 10.90 $ 10.82 $ 10.86
========== ========== ========== ========== ==========
Total Return...................... 0.22% 1.19% 2.70% 1.48% 1.44%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year
(thousands)..................... $5,650,059 $5,559,764 $4,723,470 $3,896,233 $3,822,894
Ratio of Expenses to Average Net
Assets.......................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor)........................ 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets.............. 1.76% 1.85% 1.77% 1.58% 1.45%
Portfolio Turnover Rate........... 27% 23% 25% 28% 23%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
252
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period.......................... $ 10.85 $ 10.97 $ 10.67 $ 10.80 $ 10.50
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.33 0.33 0.32 0.33 0.33
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.71) (0.11) 0.37 (0.04) 0.28
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... (0.38) 0.22 0.69 0.29 0.61
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.33) (0.32) (0.34) (0.37) (0.31)
Net Realized Gains............. (0.03) (0.02) (0.05) (0.05) --
---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.36) (0.34) (0.39) (0.42) (0.31)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.... $ 10.11 $ 10.85 $ 10.97 $ 10.67 $ 10.80
========== ========== ========== ========== ==========
Total Return...................... (3.53%) 2.05% 6.61% 2.66% 5.91%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $1,782,191 $1,804,891 $1,414,041 $1,068,817 $2,133,894
Ratio of Expenses to Average Net
Assets.......................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor)........................ 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets.............. 3.21% 3.03% 2.99% 3.05% 3.06%
Portfolio Turnover Rate........... 24% 18% 28% 30% 23%
---------- ---------- ---------- ---------- ----------
DFA TARGETED CREDIT PORTFOLIO
----------------------------------------
PERIOD
YEAR YEAR YEAR MAY 20,
ENDED ENDED ENDED 2015(A) TO
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015
-------- -------- -------- ----------
Net Asset Value, Beginning of
Period.......................... $ 10.06 $ 10.08 $ 9.96 $ 10.00
-------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)
(A).......................... 0.22 0.22 0.21 0.08
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. (0.24) (0.03) 0.12 (0.06)
-------- -------- -------- --------
Total from Investment
Operations............... (0.02) 0.19 0.33 0.02
-------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......... (0.22) (0.21) (0.21) (0.06)
Net Realized Gains............. (0.02) -- -- --
-------- -------- -------- --------
Total Distributions........ (0.24) (0.21) (0.21) (0.06)
-------- -------- -------- --------
Net Asset Value, End of Period.... $ 9.80 $ 10.06 $ 10.08 $ 9.96
======== ======== ======== ========
Total Return...................... (0.18%) 1.94% 3.39% 0.18%(B)
-------- -------- -------- --------
Net Assets, End of Period
(thousands)..................... $651,780 $514,588 $356,579 $220,608
Ratio of Expenses to Average Net
Assets.......................... 0.20% 0.20% 0.20% 0.20%(C)(D)
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor)........................ 0.23% 0.23% 0.24% 0.28%(C)(D)
Ratio of Net Investment Income to
Average Net Assets.............. 2.25% 2.25% 2.06% 1.81%(C)(D)
Portfolio Turnover Rate........... 19% 41% 21% 2%(B)
-------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
253
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA
GLOBAL CORE
PLUS FIXED
INCOME PORTFOLIO DFA INVESTMENT GRADE PORTFOLIO
---------------- ------------------------------------------------
PERIOD
JAN 11, YEAR YEAR YEAR YEAR
2018(A) TO ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2018 2017 2016 2015
---------------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period............ $ 10.00 $ 10.90 $ 11.04 $ 10.80 $ 10.76
-------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............. 0.15 0.27 0.25 0.24 0.27
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ (0.21) (0.53) (0.16) 0.25 0.02
-------- ---------- ---------- ---------- ----------
Total from Investment Operations......... (0.06) (0.26) 0.09 0.49 0.29
-------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income........................ (0.05) (0.26) (0.23) (0.22) (0.25)
Net Realized Gains........................... -- -- -- (0.03) --
-------- ---------- ---------- ---------- ----------
Total Distributions...................... (0.05) (0.26) (0.23) (0.25) (0.25)
-------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.................. $ 9.89 $ 10.38 $ 10.90 $ 11.04 $ 10.80
======== ========== ========== ========== ==========
Total Return.................................... (0.56%)(B) (2.38%) 0.86% 4.62% 2.77%
-------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........... $592,325 $8,638,793 $8,185,290 $6,193,789 $4,153,194
Ratio of Expenses to Average Net Assets *....... 0.30%(C)(D)(E) 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) *................. 0.31%(C)(D)(E) 0.22% 0.22% 0.22% 0.38%
Ratio of Net Investment Income to Average Net
Assets........................................ 1.82%(C)(D) 2.55% 2.32% 2.20% 2.49%
Portfolio Turnover Rate......................... 68%(B) 15% 18% 7% 52%
-------- ---------- ---------- ---------- ----------
* The Ratio of Expenses to Average Net Assets
is inclusive of acquired fund fees and
expenses incurred by the Portfolio indirectly
as a result of Portfolio's investment in
Underlying Funds as follows:. 0.01% N/A N/A N/A 0.16%
-------- ---------- ---------- ---------- ----------
-----------
YEAR
ENDED
OCT 31,
2014
----------
Net Asset Value, Beginning of Period............ $ 10.57
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............. 0.26
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.18
----------
Total from Investment Operations......... 0.44
----------
Less Distributions:
-------------------
Net Investment Income........................ (0.25)
Net Realized Gains........................... --
----------
Total Distributions...................... (0.25)
----------
Net Asset Value, End of Period.................. $ 10.76
==========
Total Return.................................... 4.29%
----------
Net Assets, End of Period (thousands)........... $2,433,057
Ratio of Expenses to Average Net Assets *....... 0.22%(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) *................. 0.40%(E)
Ratio of Net Investment Income to Average Net
Assets........................................ 2.40%(E)
Portfolio Turnover Rate......................... N/A
----------
* The Ratio of Expenses to Average Net Assets
is inclusive of acquired fund fees and
expenses incurred by the Portfolio indirectly
as a result of Portfolio's investment in
Underlying Funds as follows:. 0.18%
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
254
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA DIVERSIFIED FIXED INCOME
PORTFOLIO
-----------------------------------
PERIOD
YEAR YEAR AUG 10,
ENDED ENDED 2016(A) TO
OCT 31, OCT 31, OCT 31,
2018 2017 2016
-------- -------- ----------
Net Asset Value, Beginning of Period............................................ $ 9.76 $ 9.92 $ 10.00
-------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................. 0.19 0.15 0.02
Net Gains (Losses) on Securities (Realized and Unrealized)................... (0.29) (0.16) (0.08)
-------- -------- --------
Total from Investment Operations......................................... (0.10) (0.01) (0.06)
-------- -------- --------
Less Distributions:
-------------------
Net Investment Income........................................................ (0.19) (0.15) (0.02)
Net Realized Gains........................................................... (--) -- --
-------- -------- --------
Total Distributions...................................................... (0.19) (0.15) (0.02)
-------- -------- --------
Net Asset Value, End of Period.................................................. $ 9.47 $ 9.76 $ 9.92
======== ======== ========
Total Return.................................................................... (1.05%) (0.05%) (0.64%)(B)
-------- -------- --------
Net Assets, End of Period (thousands)........................................... $796,296 $530,016 $112,561
Ratio of Expenses to Average Net Assets *....................................... 0.15%(E) 0.15%(E) 0.15%(C)(D)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) *............ 0.26%(E) 0.29%(E) 0.45%(C)(D)(E)
Ratio of Net Investment Income to Average Net Assets............................ 1.93% 1.56% 0.91%(C)(D)
Portfolio Turnover Rate......................................................... 3% 5% N/A
-------- -------- --------
* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund
fees and expenses incurred by the Portfolio indirectly as a result of
Portfolio's investment in Underlying Funds as follows:........................ 0.11% 0.11% 0.11%
-------- -------- --------
DFA LTIP PORTFOLIO
----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- ------- ------- -------
Net Asset Value, Beginning of Period............................................ $ 9.31 $ 9.81 $ 8.67 $ 9.50 $ 8.80
-------- -------- ------- ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................. 0.33 0.25 0.26 0.05 0.20
Net Gains (Losses) on Securities (Realized and Unrealized)................... (0.83) (0.50) 1.03 (0.81) 0.86
-------- -------- ------- ------ ------
Total from Investment Operations......................................... (0.50) (0.25) 1.29 (0.76) 1.06
-------- -------- ------- ------ ------
Less Distributions:
-------------------
Net Investment Income........................................................ (0.34) (0.24) (0.15) (0.07) (0.36)
Net Realized Gains........................................................... -- (0.01) -- -- --
-------- -------- ------- ------ ------
Total Distributions...................................................... (0.34) (0.25) (0.15) (0.07) (0.36)
-------- -------- ------- ------ ------
Net Asset Value, End of Period.................................................. $ 8.47 $ 9.31 $ 9.81 $ 8.67 $ 9.50
======== ======== ======= ====== ======
Total Return.................................................................... (5.73%) (2.52%) 14.90% (8.04%) 12.22%
-------- -------- ------- ------ ------
Net Assets, End of Period (thousands)........................................... $168,648 $124,591 $63,267 $ 208 $ 995
Ratio of Expenses to Average Net Assets *....................................... 0.15% 0.15% 0.15% 0.28% 0.40%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor) *............ 0.14% 0.14% 0.21% 16.22% 3.63%
Ratio of Net Investment Income to Average Net Assets............................ 3.52% 2.75% 2.76% 0.49% 2.29%
Portfolio Turnover Rate......................................................... 53% 2% 4% 88% 105%
-------- -------- ------- ------ ------
* The Ratio of Expenses to Average Net Assets is inclusive of acquired fund
fees and expenses incurred by the Portfolio indirectly as a result of
Portfolio's investment in Underlying Funds as follows:........................ 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.
255
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.................... $ 11.79 $ 12.09 $ 11.54 $ 11.75 $ 11.84
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.35 0.25 0.16 0.06 0.22
Net Gains (Losses) on Securities (Realized and
Unrealized)...................................... (0.52) (0.29) 0.53 (0.17) (0.06)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... (0.17) (0.04) 0.69 (0.11) 0.16
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.............................. (0.37) (0.23) (0.13) (0.07) (0.25)
Net Realized Gains................................. -- (0.03) (0.01) (0.03) --
---------- ---------- ---------- ---------- ----------
Total Distributions............................ (0.37) (0.26) (0.14) (0.10) (0.25)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year.......................... $ 11.25 $ 11.79 $ 12.09 $ 11.54 $ 11.75
========== ========== ========== ========== ==========
Total Return.......................................... (1.53%) (0.26%) 5.96% (0.98%) 1.38%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)................... $4,491,326 $4,359,301 $3,514,067 $2,982,898 $2,722,146
Ratio of Expenses to Average Net Assets............... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor)........ 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets.. 3.01% 2.14% 1.35% 0.54% 1.83%
Portfolio Turnover Rate............................... 24% 16% 19% 12% 25%
---------- ---------- ---------- ---------- ----------
DFA SHORT-DURATION REAL RETURN PORTFOLIO
--------------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR NOV 5,
ENDED ENDED ENDED ENDED 2013(A) TO
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- -------- -------- ----------
Net Asset Value, Beginning of Year.................... $ 10.02 $ 10.02 $ 9.79 $ 10.00 $ 10.00
---------- ---------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.18 0.17 0.17 0.14 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized)...................................... (0.11) (0.03) 0.18 (0.26) (0.09)
---------- ---------- -------- -------- --------
Total from Investment Operations............... 0.07 0.14 0.35 (0.12) 0.02
---------- ---------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................. (0.17) (0.14) (0.12) (0.09) (0.02)
Net Realized Gains................................. -- -- -- -- --
---------- ---------- -------- -------- --------
Total Distributions............................ (0.17) (0.14) (0.12) (0.09) (0.02)
---------- ---------- -------- -------- --------
Net Asset Value, End of Year.......................... $ 9.92 $ 10.02 $ 10.02 $ 9.79 $ 10.00
========== ========== ======== ======== ========
Total Return.......................................... 0.70% 1.42% 3.67% (1.14%) 0.20%(B)
---------- ---------- -------- -------- --------
Net Assets, End of Year (thousands)................... $1,441,718 $1,130,418 $914,956 $784,996 $632,077
Ratio of Expenses to Average Net Assets............... 0.23% 0.24% 0.24% 0.24% 0.24%(C)(D)
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor)........ 0.23% 0.23% 0.23% 0.23% 0.31%(C)(D)
Ratio of Net Investment Income to Average Net Assets.. 1.78% 1.72% 1.68% 1.38%(C) 1.12%(C)(D)
Portfolio Turnover Rate............................... 39% 35% 62% 30% 138%(B)
---------- ---------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
256
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA MUNICIPAL REAL RETURN PORTFOLIO
----------------------------------------
PERIOD
YEAR YEAR YEAR NOV 4,
ENDED ENDED ENDED 2014(A) TO
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015
-------- -------- -------- ----------
Net Asset Value, Beginning of Period................................ $ 9.94 $ 9.93 $ 9.72 $ 10.00
-------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.15 0.13 0.12 0.11
Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.23) 0.01 0.21 (0.31)
-------- -------- -------- --------
Total from Investment Operations............................. (0.08) 0.14 0.33 (0.20)
-------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income............................................ (0.15) (0.13) (0.12) (0.08)
-------- -------- -------- --------
Total Distributions.......................................... (0.15) (0.13) (0.12) (0.08)
-------- -------- -------- --------
Net Asset Value, End of Period...................................... $ 9.71 $ 9.94 $ 9.93 $ 9.72
======== ======== ======== ========
Total Return........................................................ (0.86%) 1.42% 3.40% (1.98%)(B)
-------- -------- -------- --------
Net Assets, End of Period (thousands)............................... $865,710 $716,821 $473,985 $184,238
Ratio of Expenses to Average Net Assets............................. 0.23% 0.23% 0.26% 0.27%(C)(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)................................. 0.24% 0.24% 0.24% 0.35%(C)(D)
Ratio of Net Investment Income to Average Net Assets................ 1.51% 1.34% 1.19% 1.12%(C)(D)
Portfolio Turnover Rate............................................. 8% 4% N/A N/A(B)
-------- -------- -------- --------
DFA
CALIFORNIA
MUNICIPAL
REAL RETURN
PORTFOLIO
-----------
PERIOD
NOV 1,
2017(A) TO
OCT 31,
2018
-----------
Net Asset Value, Beginning of Period................................ $ 10.00
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.13
Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.22)
--------
Total from Investment Operations............................. (0.09)
--------
Less Distributions:
-------------------
Net Investment Income............................................ (0.11)
--------
Total Distributions.......................................... (0.11)
--------
Net Asset Value, End of Period...................................... $ 9.80
========
Total Return........................................................ (0.86%)(B)
--------
Net Assets, End of Period (thousands)............................... $122,368
Ratio of Expenses to Average Net Assets............................. 0.30%(C)(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)................................. 0.32%(C)(D)
Ratio of Net Investment Income to Average Net Assets................ 1.31%(C)(D)
Portfolio Turnover Rate............................................. 2%(B)
--------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
257
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA MUNICIPAL BOND PORTFOLIO
----------------------------------------
PERIOD
YEAR YEAR YEAR MAR 10,
ENDED ENDED ENDED 2015(A) TO
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015
-------- -------- -------- ----------
Net Asset Value, Beginning of Period.............. $ 10.18 $ 10.22 $ 10.12 $ 10.00
-------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............... 0.14 0.12 0.12 0.09
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (0.23) (0.04) 0.10 0.09
-------- -------- -------- --------
Total from Investment Operations........... (0.09) 0.08 0.22 0.18
-------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......................... (0.13) (0.12) (0.12) (0.06)
-------- -------- -------- --------
Total Distributions........................ (0.13) (0.12) (0.12) (0.06)
-------- -------- -------- --------
Net Asset Value, End of Period.................... $ 9.96 $ 10.18 $ 10.22 $ 10.12
======== ======== ======== ========
Total Return...................................... (0.84%) 0.76% 2.22% 1.83%(B)
-------- -------- -------- --------
Net Assets, End of Period (thousands)............. $453,447 $351,938 $220,721 $100,315
Ratio of Expenses to Average Net Assets........... 0.23% 0.23% 0.23% 0.23%(C)(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).. 0.24% 0.24% 0.25% 0.37%(C)(D)
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.38% 1.17% 1.13% 1.31%(C)(D)
Portfolio Turnover Rate........................... 11% 8% 2% 2%(B)
-------- -------- -------- --------
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period.............. $ 10.18 $ 10.21 $ 10.24 $ 10.23 $ 10.23
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............... 0.11 0.10 0.09 0.09 0.09
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (0.08) (0.03) (0.02) 0.01 --
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 0.03 0.07 0.07 0.10 0.09
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......................... (0.11) (0.10) (0.10) (0.09) (0.09)
---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.11) (0.10) (0.10) (0.09) (0.09)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.................... $ 10.10 $ 10.18 $ 10.21 $ 10.24 $ 10.23
========== ========== ========== ========== ==========
Total Return...................................... 0.28% 0.67% 0.68% 1.00% 0.87%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $2,553,257 $2,531,941 $2,103,981 $2,199,837 $2,206,915
Ratio of Expenses to Average Net Assets........... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly).. 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.08% 0.96% 0.92% 0.90% 0.88%
Portfolio Turnover Rate........................... 31% 16% 11% 18% 30%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
258
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
-------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- -------- --------
Net Asset Value, Beginning of Year................ $ 10.19 $ 10.25 $ 10.17 $ 10.10 $ 9.84
---------- ---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............... 0.15 0.14 0.14 0.15 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (0.26) (0.06) 0.09 0.06 0.25
---------- ---------- ---------- -------- --------
Total from Investment Operations........... (0.11) 0.08 0.23 0.21 0.42
---------- ---------- ---------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......................... (0.15) (0.14) (0.15) (0.14) (0.16)
---------- ---------- ---------- -------- --------
Total Distributions........................ (0.15) (0.14) (0.15) (0.14) (0.16)
---------- ---------- ---------- -------- --------
Net Asset Value, End of Year...................... $ 9.93 $ 10.19 $ 10.25 $ 10.17 $ 10.10
========== ========== ========== ======== ========
Total Return...................................... (1.08%) 0.75% 2.23% 2.13% 4.34%
---------- ---------- ---------- -------- --------
Net Assets, End of Year (thousands)............... $1,782,680 $1,667,648 $1,264,647 $910,481 $508,722
Ratio of Expenses to Average Net Assets........... 0.22% 0.23% 0.23% 0.23% 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly).. 0.22% 0.23% 0.22% 0.23% 0.24%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.51% 1.35% 1.34% 1.47% 1.69%
Portfolio Turnover Rate........................... 6% 4% 3% 1% 4%
---------- ---------- ---------- -------- --------
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- -------- -------- --------
Net Asset Value, Beginning of Year................ $ 10.31 $ 10.33 $ 10.34 $ 10.33 $ 10.31
---------- ---------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............... 0.11 0.09 0.09 0.08 0.09
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (0.09) (0.02) (0.01) 0.01 0.01
---------- ---------- -------- -------- --------
Total from Investment Operations........... 0.02 0.07 0.08 0.09 0.10
---------- ---------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......................... (0.10) (0.09) (0.09) (0.08) (0.08)
---------- ---------- -------- -------- --------
Total Distributions........................ (0.10) (0.09) (0.09) (0.08) (0.08)
---------- ---------- -------- -------- --------
Net Asset Value, End of Year...................... $ 10.23 $ 10.31 $ 10.33 $ 10.34 $ 10.33
========== ========== ======== ======== ========
Total Return...................................... 0.22% 0.68% 0.79% 0.87% 1.02%
---------- ---------- -------- -------- --------
Net Assets, End of Year (thousands)............... $1,185,733 $1,031,539 $880,209 $825,484 $703,773
Ratio of Expenses to Average Net Assets........... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly).. 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.02% 0.88% 0.84% 0.78% 0.83%
Portfolio Turnover Rate........................... 39% 19% 20% 23% 22%
---------- ---------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
259
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------------------- ----------
YEAR
YEAR YEAR YEAR YEAR YEAR ENDED
ENDED ENDED ENDED ENDED ENDED OCT
OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015 OCT 31, 2014 31, 2018
------------ ------------ ------------ ------------ ------------ --------
Net Asset Value, Beginning of Period.............. $ 10.58 $ 10.62 $ 10.56 $ 10.47 $ 10.16 $ 10.24
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............... 0.15 0.14 0.15 0.17 0.18 0.12
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (0.25) (0.04) 0.07 0.08 0.30 (0.14)
-------- -------- -------- -------- -------- --------
Total from Investment Operations........... (0.10) 0.10 0.22 0.25 0.48 (0.02)
-------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......................... (0.15) (0.14) (0.16) (0.16) (0.17) (0.12)
-------- -------- -------- -------- -------- --------
Total Distributions........................ (0.15) (0.14) (0.16) (0.16) (0.17) (0.12)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period.................... $ 10.33 $ 10.58 $ 10.62 $ 10.56 $ 10.47 $ 10.10
======== ======== ======== ======== ======== ========
Total Return...................................... (0.96%) 0.97% 2.10% 2.46% 4.82% (0.20%)
-------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands)............. $435,549 $347,302 $255,893 $196,624 $140,424 $100,432
Ratio of Expenses to Average Net Assets........... 0.23% 0.23% 0.23% 0.23% 0.23% 0.25%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and Fees Paid Indirectly).. 0.23% 0.23% 0.23% 0.23% 0.24% 0.25%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.45% 1.36% 1.42% 1.59% 1.75% 1.20%
Portfolio Turnover Rate........................... 7% 7% 4% 2% 14% 27%
-------- -------- -------- -------- -------- --------
DFA NY MUNICIPAL BOND PORTFOLIO
------------------------------------
PERIOD
YEAR YEAR JUN 16,
ENDED ENDED 2015(A) TO
OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------
Net Asset Value, Beginning of Period.............. $ 10.25 $ 10.14 $ 10.00
------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............... 0.11 0.11 0.05
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (0.01) 0.12 0.12
------- ------- -------
Total from Investment Operations........... 0.10 0.23 0.17
------- ------- -------
Less Distributions:
-------------------
Net Investment Income.......................... (0.11) (0.12) (0.03)
------- ------- -------
Total Distributions........................ (0.11) (0.12) (0.03)
------- ------- -------
Net Asset Value, End of Period.................... $ 10.24 $ 10.25 $ 10.14
======= ======= =======
Total Return...................................... 0.94% 2.29% 1.75%(B)
------- ------- -------
Net Assets, End of Period (thousands)............. $91,204 $57,581 $28,985
Ratio of Expenses to Average Net Assets........... 0.25% 0.25% 0.25%(C)(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).. 0.25% 0.34% 0.51%(C)(D)
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.06% 1.10% 1.25%(C)(D)
Portfolio Turnover Rate........................... 15% 1% N/A(B)
------- ------- -------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
260
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA MN MUNICIPAL BOND PORTFOLIO
-----------------------
PERIOD
YEAR JUL 25,
ENDED 2017(A) TO
OCT 31, 2018 OCT 31, 2017
------------ ------------
Net Asset Value, Beginning of Period............................................................ $ 9.95 $ 10.00
------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................................. 0.11 0.02
Net Gains (Losses) on Securities (Realized and Unrealized)................................... (0.22) (0.05)
------- -------
Total from Investment Operations......................................................... (0.11) (0.03)
------- -------
Less Distributions:
-------------------
Net Investment Income........................................................................ (0.11) (0.02)
------- -------
Total Distributions...................................................................... (0.11) (0.02)
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Net Asset Value, End of Period.................................................................. $ 9.73 $ 9.95
======= =======
Total Return.................................................................................... (1.16%) (0.28%)(B)
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Net Assets, End of Period (thousands)........................................................... $66,318 $61,259
Ratio of Expenses to Average Net Assets......................................................... 0.32% 0.24%(C)(D)
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor and...............................................
Fees Paid Indirectly)........................................................................... 0.38% 0.37%(C)(D)
Ratio of Net Investment Income to Average Net Assets............................................ 1.09% 0.96%(C)(D)
Portfolio Turnover Rate......................................................................... 14% N/A(B)
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See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
261
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of one hundred and
two operational portfolios, of which twenty-five (the "Portfolios") are
included in this report. The remaining operational portfolios are presented in
separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under the Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC"), Topic 946,
"Financial Services-Investment Companies."
The DFA Diversified Fixed Income Portfolio achieves its investment objective
by primarily investing directly or through other series of the Fund
(collectively, the "Underlying Funds"). As of October 31, 2018, the Portfolio
was the owner of record of the following approximate percentages of the total
outstanding shares of the following Underlying Funds as detailed below:
PERCENTAGE
OWNERSHIP
FUND OF FUNDS UNDERLYING FUNDS AT 10/31/18
------------- ---------------- -----------
DFA Diversified Fixed Income Portfolio DFA Two-Year Global Fixed Income Portfolio 4%
DFA Intermediate Government Fixed Income
Portfolio 8%
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, the
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 use 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,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by the Portfolios are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of Directors
of the Fund. These valuations are generally categorized as Level 2 in the
hierarchy.
262
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy. Swap
agreements will be valued at the price provided by an independent third-party
pricing service or source. If a price is not available from an independent
third-party pricing service or source, the swap agreement will be valued in
good faith at fair value in accordance with procedures adopted by the Board.
These securities are generally categorized as Level 2 in the hierarchy.
Shares held by the Portfolios in other investment companies (such as the
Underlying Funds shares held by the DFA Diversified Fixed Income Portfolio) are
valued at their respective daily net asset values as reported by their
administrator. These valuations are classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments. The methodology or inputs used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities
of DFA Two-Year Global Fixed Income Portfolio, DFA Selectively Hedged Global
Fixed Income Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA World
ex U.S. Government Fixed Income Portfolio, DFA Short-Term Extended Quality
Portfolio, DFA Intermediate-Term Extended Quality Portfolio, DFA Targeted
Credit Portfolio, DFA Global Core Plus Fixed Income Portfolio (the
"International Fixed Income Portfolios"), DFA Investment Grade Portfolio, DFA
Diversified Fixed Income Portfolio and DFA Short-Duration Real Return Portfolio
whose values are initially expressed in foreign currencies are translated to
U.S. dollars using the mean between the most recent bid and ask prices for the
U.S. dollar as quoted by generally recognized reliable sources. Dividend and
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked-to-market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement. The International Fixed Income Portfolios enter into forward
currency contracts for the purpose of hedging against fluctuations in currency
exchange rates or to transfer balances from one currency to another. DFA
Selectively Hedged Global Fixed Income Portfolio may hedge the currency
exposure of its foreign securities or leave some or all of the currency
exposure unhedged. Forward currency contracts are marked-to-market daily based
on daily forward exchange rates.
The International Fixed Income Portfolios, DFA Investment Grade Portfolio,
DFA Diversified Fixed Income Portfolio and DFA Short-Duration Real Return
Portfolio isolate the effect of foreign currency rate fluctuations 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 of
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Fixed Income Portfolios, DFA Investment Grade Portfolio, DFA
Diversified Fixed Income Portfolio and DFA Short-Duration Real Return Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. TREASURY INFLATION-PROTECTED SECURITIES (TIPS): Inflation-protected
securities (also known as inflation indexed securities) are securities whose
principal and/or interest payments are adjusted for inflation, unlike
conventional debt securities that make fixed principal and interest payments.
Inflation-protected securities include Treasury Inflation-Protected Securities
("TIPS"), which are securities issued by the U.S. Treasury. The principal value
of TIPS is adjusted for inflation (payable at maturity) and the semi-annual
interest payments by TIPS equal a fixed percentage of the inflation-adjusted
principal amount. These inflation adjustments are based upon the Consumer Price
Index for Urban Consumers (CPI-U). The original principal value of TIPS is
guaranteed, even during period of deflation. At maturity, TIPS are redeemed at
the greater of their inflation-adjusted principal or par amount at original
issue. Other types of inflation-protected securities may use other methods to
adjust for inflation and other measures of inflation. Additionally,
inflation-protected securities issued by entities other than the U.S. Treasury
may not provide a guarantee of principal value at maturity.
263
4. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate 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: the 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.
The Directors may receive their distributions of proceeds by 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. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
5. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities/affiliated investment companies and foreign currency are accounted
for on the basis of identified cost. Dividend income and distributions to
shareholders are recorded on the ex-dividend date. Distributions received on
securities and from the investment in affiliated investment companies that
represent a return of capital or capital gains are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of received distributions 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, using the effective interest method. Expenses
directly attributable to a Portfolio are directly charged. Common expenses of
the Fund or the Portfolios are allocated using methods approved by the Board,
generally based on average net assets.
The 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. Additionally, 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.
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.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 2018, the
Portfolios' investment management fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
DFA One-Year Fixed Income Portfolio......................... 0.15%
DFA Two-Year Global Fixed Income Portfolio.................. 0.15%
DFA Selectively Hedged Global Fixed Income Portfolio........ 0.15%
DFA Five-Year Global Fixed Income Portfolio................. 0.25%
DFA World ex U.S. Government Fixed Income Portfolio......... 0.18%
DFA Short-Term Government Portfolio......................... 0.17%
264
DFA Intermediate Government Fixed Income Portfolio.......... 0.10%
DFA Short-Term Extended Quality Portfolio................... 0.20%
DFA Intermediate-Term Extended Quality Portfolio............ 0.20%
DFA Targeted Credit Portfolio............................... 0.19%
DFA Global Core Plus Fixed Income Portfolio................. 0.25%
DFA Investment Grade Portfolio.............................. 0.20%
DFA Diversified Fixed Income Portfolio...................... 0.12%
DFA LTIP Portfolio.......................................... 0.10%
DFA Inflation-Protected Securities Portfolio................ 0.10%
DFA Short-Duration Real Return Portfolio.................... 0.20%
DFA Municipal Real Return Portfolio......................... 0.20%
DFA California Municipal Real Return Portfolio.............. 0.20%
DFA Municipal Bond Portfolio................................ 0.20%
DFA Short-Term Municipal Bond Portfolio..................... 0.20%
DFA Intermediate-Term Municipal Bond Portfolio.............. 0.20%
DFA California Short-Term Municipal Bond Portfolio.......... 0.20%
DFA California Intermediate-Term Municipal Bond Portfolio... 0.20%
DFA NY Municipal Bond Portfolio............................. 0.20%
DFA MN Municipal Bond Portfolio............................. 0.25%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees, and in certain instances, assume certain expenses of the
Portfolios, as described in the notes below. The Fee Waiver Agreements for the
Portfolios will remain in effect through February 28, 2019, 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. During the year ended October 31, 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 assumed expenses
(amounts in thousands), as listed below. The net amount of waived fees/expenses
assumed (recovered previously waived fees/expenses assumed) during the year
ended October 31, 2018, and the previously waived fees/expenses assumed subject
to future recovery by the Advisor as of October 31, 2018, are also reflected
below (amounts in thousands). The Fund, on behalf of the Portfolios, is not
obligated to reimburse the Advisor for fees previously waived or expenses
previously assumed by the Advisor more than thirty-six months before the date
of recovery. 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.
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
EXPENSE OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
LIMITATION WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------------- ----------------- -----------------
DFA Selectively Hedged Global Fixed Income Portfolio (1).... 0.25% -- -- --
DFA World ex U.S. Government Fixed Income Portfolio (1)..... 0.20% $ 1 $ 70 $294
DFA Short-Term Government Portfolio (2)..................... 0.20% -- -- --
DFA Short-Term Extended Quality Portfolio (1)............... 0.22% 17 185 571
265
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
EXPENSE OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
LIMITATION WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------------- ----------------- -----------------
DFA Intermediate-Term Extended Quality Portfolio (1)........ 0.22% $23 $ 12 $ 155
DFA Targeted Credit Portfolio (1)........................... 0.20% -- 148 375
DFA Global Core Plus Fixed Income Portfolio (3)............. 0.30% 16 54 54
DFA Investment Grade Portfolio (4).......................... 0.22% 87 42 790
DFA Diversified Fixed Income Portfolio (3).................. 0.15% -- 752 1,272
DFA LTIP Portfolio (1)...................................... 0.15% 27 (22) 30
DFA Inflation-Protected Securities Portfolio (1)............ 0.20% -- -- --
DFA Short-Duration Real Return Portfolio (5)................ 0.24% 20 (20) --
DFA Municipal Real Return Portfolio (1)..................... 0.27% -- -- --
DFA California Municipal Real Return Portfolio (3).......... 0.30% 1 22 22
DFA Municipal Bond Portfolio (1)............................ 0.23% 12 5 80
DFA Short-Term Municipal Bond Portfolio (2)................. 0.30% -- -- --
DFA Intermediate-Term Municipal Bond Portfolio (1).......... 0.23% 23 (23) --
DFA California Short-Term Municipal Bond Portfolio (1)...... 0.30% -- -- --
DFA California Intermediate-Term Municipal Bond Portfolio
(1)....................................................... 0.23% 10 (9) --
DFA NY Municipal Bond Portfolio (1)......................... 0.25% 10 (5) 47
DFA MN Municipal Bond Portfolio (1)......................... 0.32% 3 37 58
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of
each of the Portfolios listed above (excluding the expenses that the
Portfolio incurs indirectly through its investment in other investment
companies) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of a class of each Portfolio, on an annualized basis,
to the rates listed above as a percentage of a class of the respective
Portfolio's average net assets (the "Expense Limitation Amount"). At any
time that the Portfolio Expenses of a class of the Portfolio are less than
the Expense Limitation Amount for such class of shares of the Portfolio,
the Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery will not
cause the annualized Portfolio Expenses for such class of shares of the
Portfolio to exceed the applicable Expense Limitation Amount.
(2) The Advisor has contractually agreed to waive all or a portion of its
management fee to the extent necessary to reduce the ordinary operating
expenses (excluding expenses incurred through its investment in other
investment companies) ("Portfolio Expenses") of a class of each of the
Portfolios listed above so that such Portfolio Expenses, on an annualized
basis, do not exceed the rate reflected above for a class of each such
Portfolio (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses of a class of the Portfolio are less than the Expense
Limitation Amount for a class of the Portfolio, the Advisor retains the
right to recover any fees previously waived to the extent that such
recovery will not cause the annualized Portfolio Expenses for such class
of shares of the Portfolio to exceed the Expense Limitation Amount.
266
(3) The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the ordinary operating expenses of a class of
the Portfolio (including the expenses that the Portfolio bears as a
shareholder of other funds managed by the Advisor, excluding money market
funds, but excluding the expenses that the Portfolio incurs indirectly
through its investment in unaffiliated investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a
class of the Portfolio to the rate listed above as a percentage of the
average net assets of a class of the Portfolio on an annualized basis (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses are
less than the Expense Limitation Amount of a class of shares of the
Portfolio, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery
will not cause the annualized Portfolio Expenses for such class of shares
of the Portfolio to exceed the Expense Limitation Amount.
(4) The Advisor has agreed to waive all or a portion of its management fee and
to assume the expenses of a class of the Portfolio (including the expenses
that the Portfolio bears as a shareholder of other funds managed by the
Advisor but excluding the expenses that the Portfolio incurs indirectly
through investment of its securities lending cash collateral in The DFA
Short Term Investment Fund (the "Money Market Series") and its investment
in unaffiliated investment companies) ("Portfolio Expenses") to the extent
necessary to limit Portfolio Expenses of a class of the Portfolio, on an
annualized basis, to the rate listed above as a percentage of the average
net assets of a class of the Portfolio (the "Expense Limitation Amount").
At any time that the Portfolio Expenses are less than the Expense
Limitation Amount of a class of shares of the Portfolio, the Advisor
retains the right to recover any fees previously waived and/or expenses
previously assumed to the extent that such recovery will not cause the
annualized Portfolio Expenses for such class of shares of the Portfolio to
exceed the Expense Limitation Amount.
(5) The Advisor has contractually agreed to waive up to the full amount of the
Portfolio's management fee to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through
its investment in other funds managed by the Advisor, except for the fees
paid through its investment of securities lending cash collateral in the
Money Market Series (the "Underlying Funds"). In addition, under the Fee
Waiver Agreement, the Advisor has also agreed to waive all or a portion of
the management fee and to assume the ordinary operating expenses of a
class of the Portfolio (including the expenses that the Portfolio bears as
a shareholder of other funds managed by the Advisor but excluding the
expenses that the Portfolio incurs indirectly through investment of its
securities lending cash collateral in the Money Market Series and the
expenses that the Portfolio incurs indirectly through its investment in
unaffiliated investment companies) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of a class of the Portfolio to
the rate listed above as a percentage of the average net assets of a class
of the Portfolio on an annualized basis (the "Expense Limitation Amount").
At any time that the Portfolio's annualized Portfolio Expenses are less
than the Portfolio's Expense Limitation Amount, described above, the
Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery will not
cause the annualized Portfolio Expenses of a class of the Portfolio to
exceed the Expense Limitation Amount. The Advisor, however, shall not be
reimbursed for any management fees previously waived to offset the
Portfolio's proportionate share of the management fees paid by the
Portfolio through its investment in other funds managed by the Advisor.
EARNED INCOME CREDIT:
Additionally, the Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolios' custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2018, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Two-Year Global Fixed Income Portfolio.................. $151
DFA Selectively Hedged Global Fixed Income Portfolio........ 15
DFA Five-Year Global Fixed Income Portfolio................. 525
DFA World ex U.S. Government Fixed Income Portfolio......... 64
DFA Municipal Real Return Portfolio......................... 74
DFA California Municipal Real Return Portfolio.............. 13
DFA Municipal Bond Portfolio................................ 31
DFA Short-Term Municipal Bond Portfolio..................... 180
DFA Intermediate-Term Municipal Bond Portfolio.............. 121
DFA California Short-Term Municipal Bond Portfolio.......... 81
DFA California Intermediate-Term Municipal Bond Portfolio... 28
DFA NY Municipal Bond Portfolio............................. 10
267
FEES PAID
INDIRECTLY
----------
DFA MN Municipal Bond Portfolio............................. $6
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2018, the total related amounts paid by the Fund
to the CCO were $322 (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:
As of October 31, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statements of Assets and Liabilities as follows (amounts in thousands):
DFA One-Year Fixed Income Portfolio......................... $383
DFA Two-Year Global Fixed Income Portfolio.................. 307
DFA Selectively Hedged Global Fixed Income Portfolio........ 30
DFA Five-Year Global Fixed Income Portfolio................. 321
DFA World ex U.S. Government Fixed Income Portfolio......... 11
DFA Short-Term Government Portfolio......................... 75
DFA Intermediate Government Fixed Income Portfolio.......... 127
DFA Short-Term Extended Quality Portfolio................... 90
DFA Intermediate-Term Extended Quality Portfolio............ 30
DFA Targeted Credit Portfolio............................... 4
DFA Global Core Plus Fixed Income Portfolio................. (1)
DFA Investment Grade Portfolio.............................. 82
DFA Diversified Fixed Income Portfolio...................... 2
DFA LTIP Portfolio.......................................... 1
DFA Inflation-Protected Securities Portfolio................ 89
DFA Short-Duration Real Return Portfolio.................... 11
DFA Municipal Real Return Portfolio......................... 5
DFA California Municipal Real Return Portfolio.............. --
DFA Municipal Bond Portfolio................................ 2
DFA Short-Term Municipal Bond Portfolio..................... 79
DFA Intermediate-Term Municipal Bond Portfolio.............. 16
DFA California Short-Term Municipal Bond Portfolio.......... 22
DFA California Intermediate-Term Municipal Bond Portfolio... 4
DFA NY Municipal Bond Portfolio............................. 1
DFA MN Municipal Bond Portfolio............................. --
268
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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):
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
---------- ---------- ----------- ----------
DFA One-Year Fixed Income Portfolio....................... $1,931,524 $1,517,607 $ 3,414,705 $3,240,703
DFA Two-Year Global Fixed Income Portfolio................ 589,770 626,531 4,224,488 3,703,679
DFA Selectively Hedged Global Fixed Income Portfolio...... 219,764 143,809 624,596 591,675
DFA Five-Year Global Fixed Income Portfolio............... -- -- 11,499,808 9,682,166
DFA World ex U.S. Government Fixed Income Portfolio....... -- 2,834 611,051 370,527
DFA Short-Term Government Portfolio....................... 828,583 689,319 -- --
DFA Intermediate Government Fixed Income Portfolio........ 1,378,772 772,302 -- --
DFA Short-Term Extended Quality Portfolio................. 154,717 190,336 1,630,174 1,359,969
DFA Intermediate-Term Extended Quality Portfolio.......... 28,116 49,338 524,485 393,525
DFA Targeted Credit Portfolio............................. -- -- 267,313 109,786
DFA Global Core Plus Fixed Income Portfolio............... -- 33,614 769,449 217,691
DFA Investment Grade Portfolio............................ 834,036 648,547 1,396,875 604,949
DFA Diversified Fixed Income Portfolio.................... 68,089 24,067 241,558 --
DFA LTIP Portfolio........................................ 141,496 85,400 -- --
DFA Inflation-Protected Securities Portfolio.............. 1,357,370 1,097,117 -- --
DFA Short-Duration Real Return Portfolio.................. 202,507 176,469 618,225 304,612
DFA Municipal Real Return Portfolio....................... -- -- 245,796 65,472
DFA California Municipal Real Return Portfolio............ -- -- 118,970 1,293
DFA Municipal Bond Portfolio.............................. -- -- 174,302 41,406
DFA Short-Term Municipal Bond Portfolio................... -- -- 807,991 711,164
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- 315,013 110,490
DFA California Short-Term Municipal Bond Portfolio........ -- -- 490,784 388,256
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- 130,606 26,496
DFA NY Municipal Bond Portfolio........................... -- -- 34,137 22,018
DFA MN Municipal Bond Portfolio........................... -- -- 18,876 8,812
269
For the year ended October 31, 2018, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
CHANGE IN SHARES AS
NET REALIZED UNREALIZED BALANCE AT OF
BALANCE AT PURCHASES AT PROCEEDS GAIN/(LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
10/31/17 COST FROM SALES ON SALES DEPRECIATION 2018 2018 INCOME DISTRIBUTIONS
---------- ------------ ---------- ------------ ------------- ----------- ----------- -------- -------------
DFA ONE-YEAR
FIXED
INCOME PORTFOLIO
The DFA Short
Term
Investment Fund $100,564 $2,315,130 $2,238,310 $(27) $17 $177,374 15,330 $5,037 --
-------- ---------- ---------- ---- --- -------- ------ ------ --
TOTAL $100,564 $2,315,130 $2,238,310 $(27) $17 $177,374 15,330 $5,037 --
======== ========== ========== ==== === ======== ====== ====== ==
DFA TWO-YEAR
GLOBAL
FIXED INCOME
PORTFOLIO
The DFA Short
Term
Investment Fund $ 27,030 $ 814,618 $ 760,763 $ (5) $ 3 $ 80,883 6,991 $2,094 --
-------- ---------- ---------- ---- --- -------- ------ ------ --
TOTAL $ 27,030 $ 814,618 $ 760,763 $ (5) $ 3 $ 80,883 6,991 $2,094 --
======== ========== ========== ==== === ======== ====== ====== ==
DFA SELECTIVELY
HEDGED GLOBAL
FIXED INCOME
PORTFOLIO
The DFA Short
Term
Investment Fund $ 1 $ 197,161 $ 186,469 $ (2) -- $ 10,691 924 $ 319 --
-------- ---------- ---------- ---- --- -------- ------ ------ --
TOTAL $ 1 $ 197,161 $ 186,469 $ (2) -- $ 10,691 924 $ 319 --
======== ========== ========== ==== === ======== ====== ====== ==
DFA FIVE-YEAR
GLOBAL
FIXED INCOME
PORTFOLIO
The DFA Short
Term
Investment Fund $ 77,381 $ 641,352 $ 662,001 $(17) $ 3 $ 56,718 4,902 $1,224 --
-------- ---------- ---------- ---- --- -------- ------ ------ --
TOTAL $ 77,381 $ 641,352 $ 662,001 $(17) $ 3 $ 56,718 4,902 $1,224 --
======== ========== ========== ==== === ======== ====== ====== ==
DFA SHORT-TERM
EXTENDED QUALITY
PORTFOLIO
The DFA Short
Term
Investment Fund $ 21,242 $ 676,073 $ 624,653 $ (2) $ 2 $ 72,662 6,280 $2,073 --
-------- ---------- ---------- ---- --- -------- ------ ------ --
TOTAL $ 21,242 $ 676,073 $ 624,653 $ (2) $ 2 $ 72,662 6,280 $2,073 --
======== ========== ========== ==== === ======== ====== ====== ==
DFA
INTERMEDIATE-
TERM
EXTENDED QUALITY
PORTFOLIO
The DFA Short
Term
Investment Fund $ 55,477 $ 630,341 $ 593,710 $(20) $ 4 $ 92,092 7,960 $2,790 --
-------- ---------- ---------- ---- --- -------- ------ ------ --
TOTAL $ 55,477 $ 630,341 $ 593,710 $(20) $ 4 $ 92,092 7,960 $2,790 --
======== ========== ========== ==== === ======== ====== ====== ==
270
CHANGE IN SHARES AS
NET REALIZED UNREALIZED BALANCE AT OF
BALANCE AT PURCHASES AT PROCEEDS GAIN/(LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
10/31/17 COST FROM SALES ON SALES DEPRECIATION 2018 2018 INCOME DISTRIBUTIONS
---------- ------------ ---------- ------------ ------------- ----------- ----------- -------- -------------
DFA TARGETED
CREDIT
PORTFOLIO
The DFA Short
Term
Investment Fund $ 7,336 $ 157,783 $ 147,633 $ (2) $ 1 $ 17,485 1,511 $ 565 --
-------- ---------- ---------- ------- -------- -------- ------ ------ ----
TOTAL $ 7,336 $ 157,783 $ 147,633 $ (2) $ 1 $ 17,485 1,511 $ 565 --
======== ========== ========== ======= ======== ======== ====== ====== ====
DFA GLOBAL CORE
PLUS
FIXED INCOME
PORTFOLIO
The DFA Short
Term
Investment Fund -- $ 40,262 $ 28,112 -- $ (1) $ 12,149 1,050 -- --
DFA Investment
Grade
Portfolio -- 202,418 199,859 $(2,559) -- -- -- -- --
-------- ---------- ---------- ------- -------- -------- ------ ------ ----
TOTAL $ 0 $ 242,680 $ 227,971 $(2,559) $ (1) $ 12,149 1,050 -- --
======== ========== ========== ======= ======== ======== ====== ====== ====
DFA INVESTMENT
GRADE PORTFOLIO
The DFA Short
Term
Investment Fund $319,672 $1,538,345 $1,529,777 $ (85) $ 18 $328,173 28,364 $8,298 --
-------- ---------- ---------- ------- -------- -------- ------ ------ ----
TOTAL $319,672 $1,538,345 $1,529,777 $ (85) $ 18 $328,173 28,364 $8,298 --
======== ========== ========== ======= ======== ======== ====== ====== ====
DFA DIVERSIFIED
FIXED
INCOME PORTFOLIO
DFA Intermediate
Government Fixed
Income $263,735 $ 156,400 -- -- $(15,372) $404,763 34,071 $7,441 $302
DFA Two-Year
Global
Fixed Income 158,623 85,158 -- -- (266) 243,515 24,474 2,365 --
-------- ---------- ---------- ------- -------- -------- ------ ------ ----
TOTAL $422,358 $ 241,558 -- -- $(15,638) $648,278 58,545 $9,806 $302
======== ========== ========== ======= ======== ======== ====== ====== ====
DFA SHORT-
DURATION
REAL RETURN
PORTFOLIO
The DFA Short
Term
Investment Fund $ 28,874 $ 327,907 $ 306,785 $ (4) $ 1 $ 49,993 4,321 $1,153 --
-------- ---------- ---------- ------- -------- -------- ------ ------ ----
TOTAL $ 28,874 $ 327,907 $ 306,785 $ (4) $ 1 $ 49,993 4,321 $1,153 --
======== ========== ========== ======= ======== ======== ====== ====== ====
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 that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences
271
as of October 31, 2018, 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 accounts mentioned above. These reclassifications had
no effect on net assets or net asset value per share.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND LONG-TERM
SHORT-TERM CAPITAL TAX EXEMPT
CAPITAL GAINS GAINS INCOME TOTAL
-------------- --------- ---------- --------
DFA One-Year Fixed Income Portfolio 2017.................. $ 75,758 $ 403 -- $ 76,161
2018...................................................... 134,236 -- -- 134,236
DFA Two-Year Global Fixed Income Portfolio 2017........... 46,352 -- -- 46,352
2018...................................................... 67,032 -- -- 67,032
DFA Selectively Hedged Global Fixed Income Portfolio 2017. 16,079 -- -- 16,079
2018...................................................... 19,847 -- -- 19,847
DFA Five-Year Global Fixed Income Portfolio 2017.......... 225,389 42,519 -- 267,908
2018...................................................... 217,046 9,217 -- 226,263
DFA World ex U.S. Government Fixed Income Portfolio 2017.. 19,427 550 -- 19,977
2018...................................................... 1,574 -- -- 1,574
DFA Short-Term Government Portfolio 2017.................. 25,111 4,717 -- 29,828
2018...................................................... 32,064 -- -- 32,064
DFA Intermediate Government Fixed Income Portfolio 2017... 88,513 6,710 -- 95,223
2018...................................................... 102,138 4,998 -- 107,136
DFA Short-Term Extended Quality Portfolio 2017............ 84,613 4 -- 84,617
2018...................................................... 100,156 4,054 -- 104,210
DFA Intermediate-Term Extended Quality Portfolio 2017..... 46,757 2,020 -- 48,777
2018...................................................... 58,070 5,639 -- 63,709
DFA Targeted Credit Portfolio 2017........................ 9,264 -- -- 9,264
2018...................................................... 13,620 906 -- 14,526
DFA Global Core Plus Fixed Income Portfolio 2018.......... 2,471 -- -- 2,471
DFA Investment Grade Portfolio 2017....................... 150,794 -- -- 150,794
2018...................................................... 212,294 -- -- 212,294
DFA Diversified Fixed Income Portfolio 2017............... 5,141 -- -- 5,141
2018...................................................... 13,444 98 -- 13,542
272
NET INVESTMENT
INCOME AND LONG-TERM
SHORT-TERM CAPITAL TAX EXEMPT
CAPITAL GAINS GAINS INCOME TOTAL
-------------- --------- ---------- --------
DFA LTIP Portfolio 2017................................. $ 2,415 -- -- $ 2,415
2018.................................................... 5,731 -- -- 5,731
DFA Inflation-Protected Securities Portfolio 2017....... 78,014 $8,864 -- 86,878
2018.................................................... 141,539 -- -- 141,539
DFA Short-Duration Real Return Portfolio 2017........... 13,087 -- -- 13,087
2018.................................................... 19,458 -- -- 19,458
DFA Municipal Real Return Portfolio 2017................ -- -- $ 8,396 8,396
2018.................................................... -- -- 12,044 12,044
DFA California Municipal Real Return Portfolio 2018..... -- -- 1,086 1,086
DFA Municipal Bond Portfolio 2017....................... -- -- 3,378 3,378
2018.................................................... -- -- 5,602 5,602
DFA Short-Term Municipal Bond Portfolio 2017............ -- -- 22,189 22,189
2018.................................................... -- -- 27,517 27,517
DFA Intermediate-Term Municipal Bond Portfolio 2017..... 20,181 -- -- 20,181
2018.................................................... -- -- 26,332 26,332
DFA California Short-Term Municipal Bond Portfolio 2017. 8,471 -- -- 8,471
2018.................................................... -- -- 11,064 11,064
DFA California Intermediate-Term Municipal Bond.........
Portfolio 2017.......................................... -- -- 4,115 4,115
2018.................................................... -- -- 5,751 5,751
DFA NY Municipal Bond Portfolio 2017.................... -- -- 796 796
2018.................................................... -- -- 1,109 1,109
DFA MN Municipal Bond Portfolio 2017.................... 131 -- -- 131
2018.................................................... -- -- 698 698
The DFA Global Core Plus Fixed Income Portfolio commenced operations on
January 11, 2018, and did not pay any distributions for the year ended
October 31, 2017.
The DFA California Municipal Real Return Portfolio commenced operations on
November 1, 2017, and did not pay any distributions for the year ended
October 31, 2017.
273
As of October 31, 2018, 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 use of accumulated earnings and profits
distributed to shareholders upon redemption of shares (amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
DFA One-Year Fixed Income Portfolio....................... $ (4,596) -- $ (4,596)
DFA Two-Year Global Fixed Income Portfolio................ (7,841) -- (7,841)
DFA Selectively Hedged Global Fixed Income Portfolio...... (2,963) -- (2,963)
DFA Five-Year Global Fixed Income Portfolio............... (60,447) -- (60,447)
DFA World ex U.S. Government Fixed Income Portfolio....... (2,404) -- (2,404)
DFA Short-Term Government Portfolio....................... (1,086) -- (1,086)
DFA Intermediate Government Fixed Income Portfolio........ (1,995) -- (1,995)
DFA Short-Term Extended Quality Portfolio................. (18,210) -- (18,210)
DFA Intermediate-Term Extended Quality Portfolio.......... (1,476) -- (1,476)
DFA Targeted Credit Portfolio............................. (1,229) -- (1,229)
DFA Global Core Plus Fixed Income Portfolio............... (1,315) -- (1,315)
DFA Investment Grade Portfolio............................ (11,070) -- (11,070)
DFA Diversified Fixed Income Portfolio.................... (214) -- (214)
DFA LTIP Portfolio........................................ (267) -- (267)
DFA Inflation-Protected Securities Portfolio.............. (3,069) -- (3,069)
DFA Short-Duration Real Return Portfolio.................. (3,710) -- (3,710)
DFA Municipal Real Return Portfolio....................... -- -- --
DFA California Municipal Real Return Portfolio............ -- -- --
DFA Municipal Bond Portfolio.............................. -- -- --
DFA Short-Term Municipal Bond Portfolio................... -- -- --
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- --
DFA California Short-Term Municipal Bond Portfolio........ -- -- --
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- --
DFA NY Municipal Bond Portfolio........................... -- -- --
DFA MN Municipal Bond Portfolio........................... -- -- --
As of October 31, 2018, the components of distributable earnings
(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
DFA One-Year Fixed Income Portfolio.................. -- -- $ (20,410) $ (32,459) $ (52,869)
DFA Two-Year Global Fixed Income Portfolio........... $ 82,867 -- (28,479) (68,436) (14,048)
DFA Selectively Hedged Global Fixed Income Portfolio. 34,416 -- (76,765) (29,363) (71,712)
DFA Five-Year Global Fixed Income Portfolio.......... 601,382 -- (120,577) (614,046) (133,241)
DFA World ex U.S. Government Fixed Income
Portfolio.......................................... 77,810 $4,328 -- (33,831) 48,307
274
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
DFA Short-Term Government Portfolio................ $ 4,048 -- $ (8,987) $ (56,785) $ (61,724)
DFA Intermediate Government Fixed Income Portfolio. 12,906 -- (29,753) (204,774) (221,621)
DFA Short-Term Extended Quality Portfolio.......... 92,145 -- (13,668) (165,806) (87,329)
DFA Intermediate-Term Extended Quality Portfolio... -- -- (14,081) (98,626) (112,707)
DFA Targeted Credit Portfolio...................... 7,073 -- (685) (19,584) (13,196)
DFA Global Core Plus Fixed Income Portfolio........ 30,359 -- (2,717) (32,063) (4,421)
DFA Investment Grade Portfolio..................... 36,903 -- (35,915) (369,909) (368,921)
DFA Diversified Fixed Income Portfolio............. 105 -- (102) (21,738) (21,735)
DFA LTIP Portfolio................................. 90 $829 (199) (15,551) (14,831)
DFA Inflation-Protected Securities Portfolio....... 4,164 -- (15,577) (140,398) (151,811)
DFA Short-Duration Real Return Portfolio........... 34,262 -- (17,837) (27,981) (11,556)
DFA Municipal Real Return Portfolio................ -- -- (2,678) (8,950) (11,628)
DFA California Municipal Real Return Portfolio..... -- -- (--) (2,343) (2,343)
DFA Municipal Bond Portfolio....................... -- -- (34) (7,289) (7,323)
DFA Short-Term Municipal Bond Portfolio............ -- -- (137) (13,859) (13,996)
DFA Intermediate-Term Municipal Bond Portfolio..... -- -- (195) (26,065) (26,260)
DFA California Short-Term Municipal Bond Portfolio. -- -- (118) (4,020) (4,138)
DFA California Intermediate-Term Municipal Bond
Portfolio........................................ -- -- (23) (3,847) (3,870)
DFA NY Municipal Bond Portfolio.................... -- -- (10) (639) (649)
DFA MN Municipal Bond Portfolio.................... -- -- (27) (1,719) (1,746)
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. Additionally, such losses must be used prior to the losses
incurred in the years preceding enactment. As of October 31, 2018, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through October 31 of the indicated expiration
dates, as applicable (amounts in thousands):
2018 2019 UNLIMITED TOTAL
---- ---- --------- --------
DFA One-Year Fixed Income Portfolio.................. -- -- $ 20,410 $ 20,410
DFA Two-Year Global Fixed Income Portfolio........... -- -- 28,479 28,479
DFA Selectively Hedged Global Fixed Income Portfolio. -- -- 76,765 76,765
DFA Five-Year Global Fixed Income Portfolio.......... -- -- 120,577 120,577
275
2018 2019 UNLIMITED TOTAL
---- ---- --------- -------
DFA World ex U.S. Government Fixed Income Portfolio....... -- -- -- --
DFA Short-Term Government Portfolio....................... -- -- $ 8,987 $ 8,987
DFA Intermediate Government Fixed Income Portfolio........ -- -- 29,753 29,753
DFA Short-Term Extended Quality Portfolio................. -- -- 13,668 13,668
DFA Intermediate-Term Extended Quality Portfolio.......... -- -- 14,081 14,081
DFA Targeted Credit Portfolio............................. -- -- 685 685
DFA Global Core Plus Fixed Income Portfolio............... -- -- 2,717 2,717
DFA Investment Grade Portfolio............................ -- -- 35,915 35,915
DFA Diversified Fixed Income Portfolio.................... -- -- 102 102
DFA LTIP Portfolio........................................ -- -- 199 199
DFA Inflation-Protected Securities Portfolio.............. -- -- 15,577 15,577
DFA Short-Duration Real Return Portfolio.................. -- -- 17,837 17,837
DFA Municipal Real Return Portfolio....................... -- -- 2,678 2,678
DFA California Municipal Real Return Portfolio............ -- -- -- --
DFA Municipal Bond Portfolio.............................. -- -- 34 34
DFA Short-Term Municipal Bond Portfolio................... $ 3 -- 133 136
DFA Intermediate-Term Municipal Bond Portfolio............ -- -- 195 195
DFA California Short-Term Municipal Bond Portfolio........ -- $ 3 115 118
DFA California Intermediate-Term Municipal Bond Portfolio. -- -- 23 23
DFA NY Municipal Bond Portfolio........................... -- -- 10 10
DFA MN Municipal Bond Portfolio........................... -- -- 27 27
During the year ended October 31, 2018, the following Portfolios used the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA Selectively Hedged Global Fixed Income Portfolio. $2,141
DFA World ex U.S. Government Fixed Income Portfolio.. 171
DFA LTIP Portfolio................................... 188
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
DFA One-Year Fixed Income Portfolio.................. $ 8,205,214 $ 855 $ (33,316) $ (32,461)
DFA Two-Year Global Fixed Income Portfolio........... 5,668,276 3 (68,439) (68,436)
DFA Selectively Hedged Global Fixed Income Portfolio. 1,236,360 -- (29,363) (29,363)
DFA Five-Year Global Fixed Income Portfolio.......... 15,702,070 67 (613,048) (612,981)
DFA World ex U.S. Government Fixed Income Portfolio.. 1,129,015 25,565 (59,126) (33,561)
DFA Short-Term Government Portfolio.................. 2,349,914 -- (56,785) (56,785)
DFA Intermediate Government Fixed Income Portfolio... 5,123,045 7,221 (211,994) (204,773)
DFA Short-Term Extended Quality Portfolio............ 5,751,582 297 (165,893) (165,596)
DFA Intermediate-Term Extended Quality Portfolio..... 1,955,230 53 (98,678) (98,625)
DFA Targeted Credit Portfolio........................ 676,365 74 (19,566) (19,492)
276
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
DFA Global Core Plus Fixed Income Portfolio........ $ 623,899 -- $ (32,061) $ (32,061)
DFA Investment Grade Portfolio..................... 9,197,590 $ 4,235 (374,143) (369,908)
DFA Diversified Fixed Income Portfolio............. 817,843 88 (21,827) (21,739)
DFA LTIP Portfolio................................. 183,026 -- (15,551) (15,551)
DFA Inflation-Protected Securities Portfolio....... 4,622,479 6,601 (146,999) (140,398)
DFA Short-Duration Real Return Portfolio........... 1,496,936 15,844 (43,825) (27,981)
DFA Municipal Real Return Portfolio................ 860,767 14,193 (23,143) (8,950)
DFA California Municipal Real Return Portfolio..... 120,318 466 (2,809) (2,343)
DFA Municipal Bond Portfolio....................... 454,095 4 (7,293) (7,289)
DFA Short-Term Municipal Bond Portfolio............ 2,528,229 4 (13,862) (13,858)
DFA Intermediate-Term Municipal Bond Portfolio..... 1,783,012 2,280 (28,345) (26,065)
DFA California Short-Term Municipal Bond Portfolio. 1,155,011 254 (4,274) (4,020)
DFA California Intermediate-Term Municipal Bond
Portfolio........................................ 431,599 1,144 (4,991) (3,847)
DFA NY Municipal Bond Portfolio.................... 99,060 4 (643) (639)
DFA MN Municipal Bond Portfolio.................... 67,153 1 (1,720) (1,719)
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark-to-market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
2. INFLATION PROTECTION RISKS: Because the interest and/or principal
payments on an inflation-protected security are adjusted periodically for
changes in inflation, the income distributed by the DFA Diversified Fixed
Income Portfolio, DFA LTIP Portfolio, DFA Inflation-Protected Securities
Portfolio, DFA Short-Duration Real Return Portfolio and DFA Municipal Real
Return Portfolio may be irregular. Although the U.S. Treasury guarantees to pay
at least the original face value of any inflation-protected securities the
Treasury issues, other issuers may not offer the same guarantee. Also,
inflation-protected securities, including those issued by the U.S. Treasury,
are not protected against deflation. As a result, in a period of deflation, the
principal and income of inflation-protected securities held by a
277
Portfolio will decline and the Portfolio may suffer a loss during such periods.
While inflation-protected securities are expected to be protected from
long-term inflationary trends, short-term increases in inflation may lead to a
decline in a Portfolio's value. For example, if interest rates rise due to
reasons other than inflation, the Portfolio's investment in these securities
may not be protected to the extent that the increase is not reflected in the
securities' inflation measures. Additionally, positive adjustments to principal
generally will result in taxable income to a Portfolio at the time of such
adjustments (which generally would be distributed by the Portfolio as part of
its taxable dividends), even though the principal amount is not paid until
maturity. The current market value of inflation-protected securities is not
guaranteed and will fluctuate.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
Portfolios.
3. FORWARD CURRENCY CONTRACTS: The International Fixed Income Portfolios
listed below may acquire and sell forward currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies
(foreign exchange rate risk). The decision to hedge a Portfolio's currency
exposure with respect to a foreign market will be based primarily on the
Portfolio's existing exposure to a given foreign currency. Each contract is
valued daily and the change in value is recorded by the Portfolio as an
unrealized gain or loss, which is presented in the Statement of Operations as
the change in unrealized appreciation or depreciation from translation of
foreign-currency-denominated amounts. When the contract is closed or offset
with the same counterparty, the Portfolio records a realized gain or loss equal
to the change in the value of the contract when it was opened and the value at
the time it was closed or offset. This is presented in the Statement of
Operations as a net realized gain or loss on foreign currency transactions.
Risks may arise upon entering into these contracts from the potential inability
of counterparties to meet the terms of their contracts and from unanticipated
movements in the value of foreign currency relative to the U.S. dollar.
4. SWAP AGREEMENTS: The Portfolios noted below may enter into inflation swap
agreements to seek inflation protection. Inflation swap agreements are
contracts in which one party agrees to pay the cumulative percentage increase
in a price index (the Consumer Price Index with respect to CPI swaps) over the
term of the swap (with some lag on the inflation index), and the other pays a
compounded fixed rate. Inflation swap agreements may be used by the Portfolios
to hedge the inflation risk in nominal bonds (i.e. non-inflation indexed bonds)
thereby creating "synthetic" inflation-indexed bonds. Among other reasons, one
factor that may lead to changes in the values of inflation swap agreements are
changes in real interest rates. Real interest rates are tied to the
relationship between nominal interest rates and the rate of inflation. If
nominal interest rates increase at a faster rate than inflation, real interest
rates may rise, which may lead to a change in the value of an inflation swap
agreement. Additionally, payments received by the Portfolios from inflation
swap agreements will result in taxable income, either as ordinary income or
capital gains, which will increase the amount of taxable distributions received
by shareholders.
The Advisor and the Fund do not believe that a Portfolio's obligations under
swap contracts are senior securities and, accordingly, the Portfolio will not
treat them as being subject to the Portfolio's borrowing or senior securities
restrictions. Most swap agreements entered into by the Portfolio will calculate
the obligations of the parties to the agreement on a "net" basis, which means
that the two payment streams are netted out, with the Portfolio receiving or
paying, as the case may be, only the net amount of the two payments. The
Portfolio's current obligations under a swap agreement will be accrued daily
(offset against any amounts owed to the Portfolio) and any accrued but unpaid
net amounts owed to a swap counterparty will be covered by the segregation of
assets determined to be liquid to avoid any potential leveraging of the
Portfolio's portfolio. To the extent that a Portfolio cannot dispose of a swap
in the ordinary course of business within seven days at approximately the value
at which the Portfolio has valued the swap, the Portfolio will treat the swap
as illiquid and subject to its overall limit on illiquid investments of 15% of
the Portfolio's net assets. Inflation swap agreements are not currently subject
to mandatory central clearing and exchange-trading.
Uncleared swaps are typically executed bilaterally with a swap dealer rather
than traded on exchanges. Parties to uncleared swaps face greater counterparty
credit risk than those engaging in cleared swaps since performance of uncleared
swap obligations is the responsibility only of the swap counterparty rather
than a clearing house, as is the case with cleared swaps. As a result, a
Portfolio bears the risk of loss of the amount expected to be received under
278
a swap agreement in the event of the default, insolvency or bankruptcy of a
swap agreement counterparty beyond any collateral received. In such an event,
the Portfolio will have contractual remedies pursuant to the swap agreements,
but bankruptcy and insolvency laws could affect the Portfolio's rights as a
creditor.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2018 (amounts in thousands):
FORWARD
CURRENCY SWAP
CONTRACTS CONTRACTS
---------- ----------
DFA Two-Year Global Fixed Income Portfolio........... $1,345,158 $ --
DFA Selectively Hedged Global Fixed Income Portfolio. 436,522 --
DFA Five-Year Global Fixed Income Portfolio.......... 9,070,196 --
DFA World ex U.S. Government Fixed Income Portfolio.. 1,078,610 --
DFA Short-Term Extended Quality Portfolio............ 1,145,054 --
DFA Targeted Credit Portfolio........................ 112,715 --
DFA Global Core Plus Fixed Income Portfolio.......... 220,056 --
DFA Investment Grade Portfolio....................... 182,017 --
DFA Short-Duration Real Return Portfolio............. 274,685 1,246,154
DFA Municipal Real Return Portfolio.................. -- 784,769
DFA California Municipal Real Return Portfolio....... -- 76,000
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2018 (amounts in
thousands):
ASSET DERIVATIVES VALUE
------------------------------------------
TOTAL VALUE FORWARD
AT CURRENCY SWAP
OCTOBER 31, 2018 CONTRACTS(1) CONTRACTS(2)
---------------- ------------ ------------
DFA Two-Year Global Fixed Income Portfolio........... $ 15,721 $ 15,721 --
DFA Selectively Hedged Global Fixed Income Portfolio. 5,587 5,587 --
DFA Five-Year Global Fixed Income Portfolio.......... 229,904 229,904 --
DFA World ex U.S. Government Fixed Income Portfolio.. 18,296 18,296 --
DFA Short-Term Extended Quality Portfolio............ 22,318 22,318 --
DFA Targeted Credit Portfolio........................ 3,903 3,903 --
DFA Global Core Plus Fixed Income Portfolio.......... 7,427 7,427 --
DFA Investment Grade Portfolio....................... 4,254 4,254 --
DFA Short-Duration Real Return Portfolio............. 16,056 5,883 $10,173
DFA Municipal Real Return Portfolio.................. 14,183 -- 14,183
DFA California Municipal Real Return Portfolio....... 464 -- 464
LIABILITY DERIVATIVES VALUE
------------------------------------------
TOTAL VALUE FORWARD
AT CURRENCY SWAP
OCTOBER 31, 2018 CONTRACTS(3) CONTRACTS(4)
---------------- ------------ ------------
DFA Two-Year Global Fixed Income Portfolio........... $(1,352) $(1,352) --
DFA Selectively Hedged Global Fixed Income Portfolio. (72) (72) --
DFA Five-Year Global Fixed Income Portfolio.......... (2,706) (2,706) --
279
LIABILITY DERIVATIVES VALUE
-----------------------------------------
TOTAL VALUE FORWARD
AT CURRENCY SWAP
OCTOBER 31, 2018 CONTRACTS(3) CONTRACTS(4)
---------------- ------------ ------------
DFA World ex U.S. Government Fixed Income Portfolio. $ (244) $ (244) --
DFA Short-Term Extended Quality Portfolio........... (1,258) (1,258) --
DFA Targeted Credit Portfolio....................... (28) (28) --
DFA Global Core Plus Fixed Income Portfolio......... (20) (20) --
DFA Short-Duration Real Return Portfolio............ (2,764) (195) $(2,569)
DFA Municipal Real Return Portfolio................. (962) -- (962)
DFA California Municipal Real Return Portfolio...... (326) -- (326)
(1)Presented on Statements of Assets and Liabilities as Unrealized Gain on
Forward Currency Contracts.
(2)Presented on Statements of Assets and Liabilities as Unrealized Gain on Swap
Contracts.
(3)Presented on Statements of Assets and Liabilities as Unrealized Loss on
Forward Currency Contracts.
(4)Presented on Statements of Assets and Liabilities as Unrealized Loss on Swap
Contracts.
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2018 (amounts in
thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES
----------------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS(1) CONTRACTS(2)
-------- ------------ ------------
DFA Two-Year Global Fixed Income Portfolio........... $ 63,372 $ 63,372 --
DFA Selectively Hedged Global Fixed Income Portfolio. 24,270 24,270 --
DFA Five-Year Global Fixed Income Portfolio.......... 536,489 536,489 --
DFA World ex U.S. Government Fixed Income Portfolio.. 48,335 48,335 --
DFA Short-Term Extended Quality Portfolio............ 87,752 87,752 --
DFA Targeted Credit Portfolio........................ 4,180 4,180 --
DFA Global Core Plus Fixed Income Portfolio.......... 20,855 20,855 --
DFA Investment Grade Portfolio....................... 13,170 13,170 --
DFA Short-Duration Real Return Portfolio............. 19,545 17,453 $2,092
DFA Municipal Real Return Portfolio.................. 747 -- 747
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
-----------------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS(3) CONTRACTS(4)
-------- ------------ ------------
DFA Two-Year Global Fixed Income Portfolio........... $(12,380) $(12,380) --
DFA Selectively Hedged Global Fixed Income Portfolio. 8,093 8,093 --
DFA Five-Year Global Fixed Income Portfolio.......... 152,598 152,598 --
DFA World ex U.S. Government Fixed Income Portfolio.. 7,776 7,776 --
DFA Short-Term Extended Quality Portfolio............ 11,894 11,894 --
DFA Targeted Credit Portfolio........................ 3,019 3,019 --
280
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
--------------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS(3) CONTRACTS(4)
------ ------------ ------------
DFA Global Core Plus Fixed Income Portfolio.... $7,407 $7,407 --
DFA Investment Grade Portfolio................. 2,028 2,028 --
DFA Short-Duration Real Return Portfolio....... 5,496 2,070 $3,426
DFA Municipal Real Return Portfolio............ 5,402 -- 5,402
DFA California Municipal Real Return Portfolio. 138 -- 138
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Forward Currency Contracts.
(2)Presented on Statements of Operations as Net Realized Gain (Loss) on: Swap
Contracts.
(3)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Forward Currency Contracts.
(4)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Swap 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
Statements of Assets and Liabilities.
The Portfolios are subject to master netting agreements ("MNA") with certain
counterparties that govern the terms of derivative transactions and reduce the
counterparty risk associated with such transactions by specifying offsetting
mechanisms and collateral posting arrangements at pre-arranged exposure levels.
Since different types of transactions have different mechanics and are
sometimes traded out of different legal entities of a particular counterparty
organization, each type of transaction may be covered by a different MNA,
possibly resulting in the need for multiple agreements with a single
counterparty. As the MNA's are specific to unique operations of different asset
types, they allow each Portfolio to close out and net its total exposure to a
counterparty in the event of a default with respect to all the transactions
governed under a single MNA with a counterparty. Certain MNA's contain
provisions which allow for the net settlement of receivable and payable
positions with the same counterparty if defined conditions are met.
281
The following table presents the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of October 31, 2018
(amounts in thousands):
NET
AMOUNTS GROSS AMOUNTS NOT
OF ASSETS OFFSET IN THE
GROSS PRESENTED STATEMENTS OF ASSETS GROSS
AMOUNTS IN THE AND LIABILITIES AMOUNTS
OF STATEMENTS ---------------------- OF
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES
DESCRIPTION (a) LIABILITIES (b) RECEIVED (c) (a)
----------- ---------- ----------- ----------- ---------- -------- -----------
ASSETS
------------------------------------------------------ -----------
DFA TWO-YEAR GLOBAL FIXED
INCOME PORTFOLIO
Bank of America Corp.......... $ 405 $ 405 -- -- $ 405 --
Citibank, N.A................. 3,932 3,932 -- -- 3,932 --
State Street Bank and Trust... 3,125 3,125 $ (615) -- 2,510 $ 615
HSBC Bank..................... 842 842 -- -- 842 --
UBS AG........................ 197 197 (197) -- -- 736
Barclays Capital.............. 1,990 1,990 -- -- 1,990 --
JP Morgan..................... 103 103 -- -- 103 --
National Australia Bank Ltd... 1,632 1,632 -- -- 1,632 --
Morgan Stanley and Co.
International................ 3,494 3,494 -- -- 3,494 --
-------- -------- ------- -- -------- ------
Total......................... $ 15,720 $ 15,720 $ (812) -- $ 14,908 $1,351
======== ======== ======= == ======== ======
DFA SELECTIVELY HEDGED GLOBAL
FIXED INCOME PORTFOLIO
Royal Bank of Scotland........ $ 874 $ 874 -- -- $ 874 --
State Street Bank and Trust... 3,741 3,741 -- -- 3,741 --
Citibank, N.A................. 655 655 $ (33) -- 622 $ 33
National Australia Bank Ltd... 123 123 (30) -- 93 30
Bank of America Corp.......... 159 159 -- -- 159 --
JP Morgan..................... 35 35 -- -- 35 --
HSBC Bank..................... -- -- -- -- -- 8
-------- -------- ------- -- -------- ------
Total......................... $ 5,587 $ 5,587 $ (63) -- $ 5,524 $ 71
======== ======== ======= == ======== ======
DFA FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
State Street Bank and Trust... $ 89,426 $ 89,426 $(1,044) -- $ 88,382 $1,044
Bank of America Corp.......... 35,607 35,607 (196) -- 35,411 196
Citibank, N.A................. 31,997 31,997 (660) -- 31,337 660
JP Morgan..................... 22,557 22,557 -- -- 22,557 --
Barclays Capital.............. 10,877 10,877 -- -- 10,877 --
Morgan Stanley and Co.
International................ 3,525 3,525 (154) -- 3,371 154
UBS AG........................ 10,897 10,897 (507) -- 10,390 507
National Australia Bank Ltd... 17,603 17,603 (111) -- 17,492 111
HSBC Bank..................... 7,416 7,416 (35) -- 7,381 35
-------- -------- ------- -- -------- ------
Total......................... $229,905 $229,905 $(2,707) -- $227,198 $2,707
======== ======== ======= == ======== ======
DFA WORLD EX U.S. GOVERNMENT
FIXED INCOME PORTFOLIO
Citibank, N.A................. $ 1,115 $ 1,115 $ (104) -- $ 1,011 $ 104
State Street Bank and Trust... 10,838 10,838 (44) -- 10,794 44
Bank of America Corp.......... 3,310 3,310 -- -- 3,310 --
UBS AG........................ 1,794 1,794 (95) -- 1,699 95
National Australia Bank Ltd... 11 -- -- 1 --
JP Morgan..................... 1,238 1,238 -- -- 1,238 --
-------- -------- ------- -- -------- ------
Total......................... $ 18,296 $ 18,296 $ (243) -- $ 18,053 $ 243
======== ======== ======= == ======== ======
NET
AMOUNTS GROSS AMOUNTS NOT
OF LIABILITIES OFFSET IN THE
PRESENTED IN STATEMENTS OF ASSETS
THE AND LIABILITIES
STATEMENTS ----------------------
OF ASSETS FINANCIAL CASH NET
AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION LIABILITIES (d) PLEDGED (e)
----------- -------------- ----------- ---------- ------
LIABILITIES
---------------------------------------------
DFA TWO-YEAR GLOBAL FIXED
INCOME PORTFOLIO
Bank of America Corp.......... -- -- -- --
Citibank, N.A................. -- -- -- --
State Street Bank and Trust... $ 615 $ (615) -- --
HSBC Bank..................... -- -- -- --
UBS AG........................ 736 (197) -- $539
Barclays Capital.............. -- -- -- --
JP Morgan..................... -- -- -- --
National Australia Bank Ltd... -- -- -- --
Morgan Stanley and Co.
International................ -- -- -- --
------ ------- -- ----
Total......................... $1,351 $ (812) -- $539
====== ======= == ====
DFA SELECTIVELY HEDGED GLOBAL
FIXED INCOME PORTFOLIO
Royal Bank of Scotland........ -- -- -- --
State Street Bank and Trust... -- -- -- --
Citibank, N.A................. $ 33 $ (33) -- --
National Australia Bank Ltd... 30 (30) -- --
Bank of America Corp.......... -- -- -- --
JP Morgan..................... -- -- -- --
HSBC Bank..................... 8 -- -- $ 8
------ ------- -- ----
Total......................... $ 71 $ (63) -- $ 8
====== ======= == ====
DFA FIVE-YEAR GLOBAL FIXED
INCOME PORTFOLIO
State Street Bank and Trust... $1,044 $(1,044) -- --
Bank of America Corp.......... 196 (196) -- --
Citibank, N.A................. 660 (660) -- --
JP Morgan..................... -- -- -- --
Barclays Capital.............. -- -- -- --
Morgan Stanley and Co.
International................ 154 (154) -- --
UBS AG........................ 507 (507) -- --
National Australia Bank Ltd... 111 (111) -- --
HSBC Bank..................... 35 (35) -- --
------ ------- -- ----
Total......................... $2,707 $(2,707) -- --
====== ======= == ====
DFA WORLD EX U.S. GOVERNMENT
FIXED INCOME PORTFOLIO
Citibank, N.A................. $ 104 $ (104) -- --
State Street Bank and Trust... 44 (44) -- --
Bank of America Corp.......... -- -- -- --
UBS AG........................ 95 (95) -- --
National Australia Bank Ltd... -- -- -- --
JP Morgan..................... -- -- -- --
------ ------- -- ----
Total......................... $ 243 $ (243) -- --
====== ======= == ====
282
NET
AMOUNTS GROSS AMOUNTS NOT
OF ASSETS OFFSET IN THE
GROSS PRESENTED STATEMENTS OF ASSETS GROSS
AMOUNTS IN THE AND LIABILITIES AMOUNTS
OF STATEMENTS ---------------------- OF
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES
DESCRIPTION (a) LIABILITIES (b) RECEIVED (c) (a)
----------- ---------- ----------- ----------- ---------- ------- -----------
ASSETS
----------------------------------------------------- -----------
DFA SHORT-TERM EXTENDED
QUALITY PORTFOLIO
State Street Bank and Trust..... $14,119 $14,119 $ (99) -- $14,020 $ 99
Citibank, N.A................... 46 46 (46) -- -- 1,159
Bank of America Corp............ 5,144 5,144 -- -- 5,144 --
UBS AG.......................... 3,009 3,009 -- -- 3,009 --
------- ------- ------- -- ------- ------
Total........................... $22,318 $22,318 $ (145) -- $22,173 $1,258
======= ======= ======= == ======= ======
DFA TARGETED CREDIT PORTFOLIO
Citibank, N.A................... $ 3,770 $ 3,770 $ (28) -- $ 3,742 $ 28
State Street Bank and Trust..... 133 133 -- -- 133 --
------- ------- ------- -- ------- ------
Total........................... $ 3,903 $ 3,903 $ (28) -- $ 3,875 $ 28
======= ======= ======= == ======= ======
DFA GLOBAL CORE PLUS FIXED
INCOME PORTFOLIO
Citibank, N.A................... $ 6,398 $ 6,398 $ (20) -- $ 6,378 $ 20
State Street Bank and Trust..... 1,029 1,029 -- -- 1,029 --
------- ------- ------- -- ------- ------
Total........................... $ 7,427 $ 7,427 $ (20) -- $ 7,407 $ 20
======= ======= ======= == ======= ======
DFA INVESTMENT GRADE PORTFOLIO
JP Morgan....................... $ 2,062 $ 2,062 -- -- $ 2,062 --
National Australia Bank Ltd..... 237 237 -- -- 237 --
Citibank, N.A................... 1,955 1,955 -- -- 1,955 --
------- ------- ------- -- ------- ------
Total........................... $ 4,254 $ 4,254 -- -- $ 4,254 --
======= ======= ======= == ======= ======
DFA SHORT-DURATION REAL RETURN
PORTFOLIO
Citibank, N.A................... $ 5,217 $ 5,217 $ (452) -- $ 4,765 $ 452
Bank of America Corp............ 3,483 3,483 (922) -- 2,561 922
Deutsche Bank AG, London
Branch......................... 1,700 1,700 (122) -- 1,578 122
Deutsche Bank AG................ 668 668 (668) -- -- 1,267
Credit Suisse................... 110 110 -- -- 110 --
Barclays Capital................ 4,877 4,877 -- -- 4,877 --
------- ------- ------- -- ------- ------
Total........................... $16,055 $16,055 $(2,164) -- $13,891 $2,763
======= ======= ======= == ======= ======
DFA MUNICIPAL REAL RETURN
PORTFOLIO
Citibank, N.A................... $ 7,748 $ 7,748 $ (161) -- $ 7,587 $ 161
Bank of America Corp............ 6,435 6,435 (801) -- 5,634 801
------- ------- ------- -- ------- ------
Total........................... $14,183 $14,183 $ (962) -- $13,221 $ 962
======= ======= ======= == ======= ======
DFA CALIFORNIA MUNICIPAL REAL
RETURN PORTFOLIO
Bank of America Corp............ $ 207 $ 207 $ (90) -- $ 117 $ 90
Citibank, N.A................... 258 258 (209) -- 49 209
Merrill Lynch Capital Services,
Inc............................ -- -- -- -- -- 28
------- ------- ------- -- ------- ------
Total........................... $ 465 $ 465 $ (299) -- $ 166 $ 327
======= ======= ======= == ======= ======
NET
AMOUNTS GROSS AMOUNTS NOT
OF LIABILITIES OFFSET IN THE
PRESENTED IN STATEMENTS OF ASSETS
THE AND LIABILITIES
STATEMENTS ---------------------
OF ASSETS FINANCIAL CASH NET
AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION LIABILITIES (d) PLEDGED (e)
----------- -------------- ----------- ---------- ------
LIABILITIES
---------------------------------------------
DFA SHORT-TERM EXTENDED
QUALITY PORTFOLIO
State Street Bank and Trust..... $ 99 $ (99) -- --
Citibank, N.A................... 1,159 (46) -- $1,113
Bank of America Corp............ -- -- -- --
UBS AG.......................... -- -- -- --
------ ------- ----- ------
Total........................... $1,258 $ (145) -- $1,113
====== ======= ===== ======
DFA TARGETED CREDIT PORTFOLIO
Citibank, N.A................... $ 28 $ (28) -- --
State Street Bank and Trust..... -- -- -- --
------ ------- ----- ------
Total........................... $ 28 $ (28) -- --
====== ======= ===== ======
DFA GLOBAL CORE PLUS FIXED
INCOME PORTFOLIO
Citibank, N.A................... $ 20 $ (20) -- --
State Street Bank and Trust..... -- -- -- --
------ ------- ----- ------
Total........................... $ 20 $ (20) -- --
====== ======= ===== ======
DFA INVESTMENT GRADE PORTFOLIO
JP Morgan....................... -- -- -- --
National Australia Bank Ltd..... -- -- -- --
Citibank, N.A................... -- -- -- --
------ ------- ----- ------
Total........................... -- -- -- --
====== ======= ===== ======
DFA SHORT-DURATION REAL RETURN
PORTFOLIO
Citibank, N.A................... $ 452 $ (452) -- --
Bank of America Corp............ 922 (922) -- --
Deutsche Bank AG, London
Branch......................... 122 (122) -- --
Deutsche Bank AG................ 1,267 (668) $(599) --
Credit Suisse................... -- -- -- --
Barclays Capital................ -- -- -- --
------ ------- ----- ------
Total........................... $2,763 $(2,164) $(599) --
====== ======= ===== ======
DFA MUNICIPAL REAL RETURN
PORTFOLIO
Citibank, N.A................... $ 161 $ (161) -- --
Bank of America Corp............ 801 (801) -- --
------ ------- ----- ------
Total........................... $ 962 $ (962) -- --
====== ======= ===== ======
DFA CALIFORNIA MUNICIPAL REAL
RETURN PORTFOLIO
Bank of America Corp............ $ 90 $ (90) -- --
Citibank, N.A................... 209 (209) -- --
Merrill Lynch Capital Services,
Inc............................ 28 -- -- $ 28
------ ------- ----- ------
Total........................... $ 327 $ (299) -- $ 28
====== ======= ===== ======
(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.
283
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
Note I contains information regarding securities lending amounts that are
subject to netting arrangements.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective March 28, 2018, with its domestic custodian bank. A line of credit
with similar terms was in effect through March 28, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on March 27, 2019.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 5, 2018. A line of credit with
similar terms was in effect through January 5, 2018. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 4, 2019.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor. The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. lnterfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolios did not use the interfund lending program during the year
ended October 31, 2018.
I. SECURITIES LENDING:
As of October 31, 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
------
DFA One-Year Fixed Income Portfolio. $6,115
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
284
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, cash collateral being maintained by
the borrower is insufficient to cover the value of loaned securities, and 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, each Portfolio with securities
on loan will generally invest the cash collateral received for the loaned
securities in the Money Market Series, an affiliated registered money market
fund advised by the Advisor for which the Advisor receives a management fee of
0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with 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 or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities.
Additionally, 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 for
taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2018:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2018
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Bonds............................................. $177,373,826 -- -- -- $177,373,826
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Bonds............................................. 80,882,982 -- -- -- 80,882,982
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
Bonds............................................. 10,690,748 -- -- -- 10,690,748
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Bonds............................................. 56,718,031 -- -- -- 56,718,031
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
Bonds............................................. 72,661,780 -- -- -- 72,661,780
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
Bonds............................................. 92,091,500 -- -- -- 92,091,500
DFA TARGETED CREDIT PORTFOLIO
Bonds............................................. 17,485,315 -- -- -- 17,485,315
285
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2018
---------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ------------
SECURITIES LENDING TRANSACTIONS
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
Bonds.................................... $ 12,148,842 -- -- -- $ 12,148,842
DFA INVESTMENT GRADE PORTFOLIO
Agency Obligations, Bonds................ 328,172,813 -- -- -- 328,172,813
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Agency Obligations, Bonds................ 49,993,188 -- -- -- 49,993,188
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolios' early adoption of certain of the ASU
2018-13 disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Portfolios' financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Portfolios' adoption
of these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Portfolios' net assets or results of operations.
286
Comparable prior year information presented in the Statements of Changes in
Net Assets has been revised to reflect current disclosure requirements
prescribed by these amendments. Amounts originally presented as of October 31,
2017 are as follows (amounts in thousands):
DISTRIBUTIONS FROM:
-----------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- ---------
DFA One-Year Fixed Income Portfolio - Institutional Class............ $ (75,756) -- $ (405) $ (76,161)
DFA Two-Year Global Fixed Income Portfolio - Institutional Class..... (46,352) -- -- (46,352)
DFA Selectively Hedged Global Fixed Income Portfolio - Institutional
Class.............................................................. (16,079) -- -- (16,079)
DFA Five-Year Global Fixed Income Portfolio - Institutional Class.... (219,966) $(5,423) (42,519) (267,908)
DFA World Ex U.S. Government Fixed Income Portfolio - Institutional
Class.............................................................. (19,386) (1,312) (551) (21,249)
DFA Short-Term Government Portfolio - Institutional Class............ (24,390) (720) (4,717) (29,827)
DFA Intermediate Government Fixed Income Portfolio - Institutional
Class.............................................................. (85,509) (3,003) (6,710) (95,222)
DFA Short-Term Extended Quality Portfolio - Institutional Class...... (84,608) (4) (4) (84,616)
DFA Intermediate-Term Extended Quality Portfolio - Institutional
Class.............................................................. (46,418) (339) (2,020) (48,777)
DFA Targeted Credit Portfolio - Institutional Class.................. (9,264) -- -- (9,264)
DFA Investment Grade Portfolio - Institutional Class................. (150,794) -- -- (150,794)
DFA Diversified Fixed Income Portfolio - Institutional Class......... (5,141) -- -- (5,141)
DFA LTIP Portfolio - Institutional Class............................. (2,365) (50) -- (2,415)
DFA Inflation-Protected Securities Portfolio - Institutional Class... (77,872) (141) (8,865) (86,878)
DFA Short-Duration Real Return Portfolio - Institutional Class....... (13,087) -- -- (13,087)
DFA Municipal Real Return Portfolio - Institutional Class............ (8,396) -- -- (8,396)
DFA Municipal Bond Portfolio - Institutional Class................... (3,378) -- -- (3,378)
DFA Short-Term Municipal Bond Portfolio - Institutional Class........ (22,189) -- -- (22,189)
DFA Intermediate-Term Municipal Bond Portfolio - Institutional
Class.............................................................. (20,181) -- -- (20,181)
DFA California Short-Term Municipal Bond Portfolio - Institutional
Class.............................................................. (8,471) -- -- (8,471)
DFA California Intermediate-Term Municipal Bond Portfolio -
Institutional Class................................................ (4,115) -- -- (4,115)
DFA NY Municipal Bond Portfolio - Institutional Class................ (796) -- -- (796)
DFA MN Municipal Bond Portfolio - Institutional Class................ (131) -- -- (131)
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
DFA One-Year Fixed Income Portfolio.................. $ (9)
DFA Two-Year Global Fixed Income Portfolio........... 8,617
DFA Selectively Hedged Global Fixed Income Portfolio. 12,958
287
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
DFA Five-Year Global Fixed Income Portfolio............... 40,474
DFA World Ex U.S. Government Fixed Income Portfolio....... (9,949)
DFA Short-Term Government Portfolio....................... 2,558
DFA Intermediate Government Fixed Income Portfolio........ 9,264
DFA Short-Term Extended Quality Portfolio................. 5,437
DFA Intermediate-Term Extended Quality Portfolio.......... 449
DFA Targeted Credit Portfolio............................. 699
DFA Investment Grade Portfolio............................ 25,208
DFA Diversified Fixed Income Portfolio.................... 253
DFA LTIP Portfolio........................................ 358
DFA Inflation-Protected Securities Portfolio.............. 11,411
DFA Short-Duration Real Return Portfolio.................. 12,481
DFA Municipal Real Return Portfolio....................... 158
DFA Municipal Bond Portfolio.............................. 66
DFA Short-Term Municipal Bond Portfolio................... 335
DFA Intermediate-Term Municipal Bond Portfolio............ 380
DFA California Short-Term Municipal Bond Portfolio........ 112
DFA California Intermediate-Term Municipal Bond Portfolio. 78
DFA NY Municipal Bond Portfolio........................... 14
DFA MN Municipal Bond Portfolio........................... 5
L. OTHER:
As of October 31, 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 One-Year Fixed Income Portfolio.................. 5 76%
DFA Two-Year Global Fixed Income Portfolio........... 4 79%
DFA Selectively Hedged Global Fixed Income Portfolio. 3 84%
DFA Five-Year Global Fixed Income Portfolio.......... 3 76%
DFA World ex U.S. Government Fixed Income Portfolio.. 4 73%
DFA Short-Term Government Portfolio.................. 6 88%
DFA Intermediate Government Fixed Income Portfolio... 4 84%
DFA Short-Term Extended Quality Portfolio............ 4 80%
DFA Intermediate-Term Extended Quality Portfolio..... 5 79%
DFA Targeted Credit Portfolio........................ 3 86%
DFA Global Core Plus Fixed Income Portfolio.......... 4 97%
DFA Investment Grade Portfolio....................... 4 87%
288
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA Diversified Fixed Income Portfolio.................... 3 99%
DFA LTIP Portfolio........................................ 6 92%
DFA Inflation-Protected Securities Portfolio.............. 3 49%
DFA Short-Duration Real Return Portfolio.................. 3 81%
DFA Municipal Real Return Portfolio....................... 3 92%
DFA California Municipal Real Return Portfolio............ 3 97%
DFA Municipal Bond Portfolio.............................. 4 95%
DFA Short-Term Municipal Bond Portfolio................... 4 90%
DFA Intermediate-Term Municipal Bond Portfolio............ 4 85%
DFA California Short-Term Municipal Bond Portfolio........ 3 91%
DFA California Intermediate-Term Municipal Bond Portfolio. 4 96%
DFA NY Municipal Bond Portfolio........................... 3 94%
DFA MN Municipal Bond Portfolio........................... 1 93%
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.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
289
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of each of the twenty-five portfolios listed in the table below
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of each of the portfolios listed in the
table below (twenty-five of the portfolios constituting DFA Investment
Dimensions Group Inc., hereafter referred to as the "Portfolios") as of
October 31, 2018, the related statements of operations and of changes in net
assets for each of the periods indicated in the table below, including the
related notes, and the financial highlights for each of the periods indicated
in the table below (collectively referred to as the "financial statements"). In
our opinion, the financial statements present fairly, in all material respects,
the financial position of each of the Portfolios as of October 31, 2018, the
results of each of their operations, the changes in each of their net assets,
and each of the financial highlights for each of the periods indicated in the
table below, in conformity with accounting principles generally accepted in the
United States of America.
STATEMENT OF
STATEMENT OF CHANGES IN NET FINANCIAL
PORTFOLIO OPERATIONS ASSETS HIGHLIGHTS
--------- -------------- -------------- ------------
DFA One-Year Fixed Income Portfolio For the year For the years For each of
DFA Two-Year Global Fixed Income Portfolio ended October ended October the periods
DFA Selectively Hedged Global Fixed Income Portfolio 31, 2018 31, 2018 and indicated
DFA Five-Year Global Fixed Income Portfolio 2017 therein
DFA World ex U.S. Government Fixed Income Portfolio
DFA Short-Term Government Portfolio
DFA Intermediate Government Fixed Income Portfolio
DFA Short-Term Extended Quality Portfolio
DFA Intermediate-Term Extended Quality Portfolio
DFA Targeted Credit Portfolio
DFA Investment Grade Portfolio
DFA Diversified Fixed Income Portfolio
DFA LTIP Portfolio DFA Inflation-Protected Securities Portfolio
DFA Short-Duration Real Return Portfolio
DFA Municipal Real Return Portfolio
DFA Municipal Bond Portfolio
DFA Short-Term Municipal Bond Portfolio
DFA Intermediate-Term Municipal Bond Portfolio
DFA California Short-Term Municipal Bond Portfolio
DFA California Intermediate-Term Municipal Bond Portfolio
DFA NY Municipal Bond Portfolio
DFA MN Municipal Bond Portfolio For the year For the year ended October 31,
ended October 2018 and the period from July 25,
31, 2018 2017 (commencement of
operations) through October 31,
2017
DFA California Municipal Real Return Portfolio For the period from November 1, 2017
(commencement of operations) through October 31,
2018
DFA Global Core Plus Fixed Income Portfolio For the period from January 11, 2018
(commencement of operations) through October 31,
2018
BASIS FOR OPINIONS
These financial statements are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered
290
with the Public Company Accounting Oversight Board (United States) ("PCAOB")
and are required to be independent with respect to the Portfolios in accordance
with the U.S. federal securities laws and the applicable rules and regulations
of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodians, brokers and the transfer agents of the
investee funds; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
291
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 Portfolio paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of the 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. The Portfolio will send (or has sent) shareholders
a Form 1099-DIV (or a financial intermediary should provide (or has provided)
shareholders with similar information) for the relevant calendar year informing
shareholders how to report these distributions for federal income tax purposes.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
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 Five-Year Global Fixed Income Portfolio
September 27, 2018....................... 46% 0% 54%
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.
292
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA TWO-YEAR FIXED INCOME PORTFOLIO VS.
ICE BOFAML 1-3 YEAR US CORPORATE & GOVERNMENT INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA Two-Year ICE BofAML 1-3 Year
Government Portfolio US Treasury & Agency Index
-------------------- ----------------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,184 10,130
12/31/2008 10,351 10,232
1/31/2009 10,310 10,195
2/28/2009 10,310 10,195
3/31/2009 10,365 10,248
4/30/2009 10,396 10,249
5/31/2009 10,437 10,276
6/30/2009 10,434 10,267
7/31/2009 10,445 10,283
8/31/2009 10,476 10,324
9/30/2009 10,500 10,351
10/31/2009 10,521 10,373
11/30/2009 10,562 10,433
12/31/2009 10,508 10,358
1/31/2010 10,551 10,432
2/28/2010 10,572 10,453
3/31/2010 10,563 10,430
4/30/2010 10,584 10,458
5/31/2010 10,605 10,501
6/30/2010 10,648 10,549
7/31/2010 10,669 10,576
8/31/2010 10,679 10,595
9/30/2010 10,696 10,613
10/31/2010 10,728 10,638
11/30/2010 10,696 10,618
12/31/2010 10,707 10,600
1/31/2011 10,718 10,618
2/28/2011 10,707 10,610
3/31/2011 10,702 10,606
4/30/2011 10,745 10,652
5/31/2011 10,778 10,689
6/30/2011 10,777 10,694
7/31/2011 10,787 10,721
8/31/2011 10,798 10,757
9/30/2011 10,799 10,744
10/31/2011 10,799 10,753
11/30/2011 10,810 10,758
12/31/2011 10,811 10,765
1/31/2012 10,833 10,779
2/29/2012 10,833 10,768
3/31/2012 10,834 10,763
4/30/2012 10,845 10,784
5/31/2012 10,845 10,788
6/30/2012 10,838 10,784
7/31/2012 10,849 10,808
8/31/2012 10,860 10,810
9/30/2012 10,854 10,811
10/31/2012 10,854 10,806
11/30/2012 10,854 10,815
12/31/2012 10,858 10,819
1/31/2013 10,858 10,821
2/28/2013 10,858 10,829
3/31/2013 10,859 10,832
4/30/2013 10,870 10,843
5/31/2013 10,859 10,827
6/30/2013 10,859 10,819
7/31/2013 10,870 10,836
8/31/2013 10,859 10,827
9/30/2013 10,871 10,851
10/31/2013 10,882 10,863
11/30/2013 10,882 10,873
12/31/2013 10,874 10,859
1/31/2014 10,885 10,876
2/28/2014 10,885 10,886
3/31/2014 10,885 10,874
4/30/2014 10,896 10,889
5/31/2014 10,907 10,908
6/30/2014 10,898 10,903
7/31/2014 10,898 10,895
8/31/2014 10,909 10,913
9/30/2014 10,903 10,907
10/31/2014 10,925 10,936
11/30/2014 10,936 10,953
12/31/2014 10,910 10,927
1/31/2015 10,954 10,981
2/28/2015 10,932 10,959
3/31/2015 10,947 10,984
4/30/2015 10,958 10,989
5/31/2015 10,958 10,997
6/30/2015 10,957 11,000
7/31/2015 10,957 11,006
8/31/2015 10,957 11,002
9/30/2015 10,978 11,035
10/31/2015 10,967 11,025
11/30/2015 10,933 10,998
12/31/2015 10,921 10,987
1/31/2016 10,977 11,054
2/29/2016 10,977 11,066
3/31/2016 11,003 11,086
4/30/2016 11,003 11,090
5/31/2016 10,992 11,079
6/30/2016 11,040 11,143
7/31/2016 11,029 11,137
8/31/2016 11,018 11,120
9/30/2016 11,030 11,133
10/31/2016 11,030 11,126
11/30/2016 10,996 11,082
12/31/2016 11,007 11,085
1/31/2017 11,018 11,100
2/28/2017 11,018 11,111
3/31/2017 11,029 11,115
4/30/2017 11,040 11,130
5/31/2017 11,040 11,143
6/30/2017 11,034 11,135
7/31/2017 11,057 11,158
8/31/2017 11,068 11,179
9/30/2017 11,062 11,162
10/31/2017 11,051 11,155
11/30/2017 11,039 11,133
12/31/2017 11,039 11,134
1/31/2018 11,028 11,103
2/28/2018 11,028 11,099
3/31/2018 11,044 11,121
4/30/2018 11,033 11,103
5/31/2018 11,067 11,144
6/30/2018 11,076 11,145
7/31/2018 11,065 11,145 Past performance is not predictive of
8/31/2018 11,099 11,181 future performance.
9/30/2018 11,094 11,168
10/31/2018 11,117 11,185 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------ ICE BofAML index data copyright 2018
0.86% 0.68% 1.13% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA TWO-YEAR GOVERNMENT PORTFOLIO VS.
ICE BOFAML 1-3 YEAR US TREASURY & AGENCY INDEX
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
DFA Two-Year ICE BofAML 1-3 Year
Government Portfolio US Treasury & Agency Index
-------------------- ----------------------------
10/31/2008 $10,000 $10,000
11/30/2008 10,184 10,130
12/31/2008 10,351 10,232
1/31/2009 10,310 10,195
2/28/2009 10,310 10,195
3/31/2009 10,365 10,248
4/30/2009 10,396 10,249
5/31/2009 10,437 10,276
6/30/2009 10,434 10,267
7/31/2009 10,445 10,283
8/31/2009 10,476 10,324
9/30/2009 10,500 10,351
10/31/2009 10,521 10,373
11/30/2009 10,562 10,433
12/31/2009 10,508 10,358
1/31/2010 10,551 10,432
2/28/2010 10,572 10,453
3/31/2010 10,563 10,430
4/30/2010 10,584 10,458
5/31/2010 10,605 10,501
6/30/2010 10,648 10,549
7/31/2010 10,669 10,576
8/31/2010 10,679 10,595
9/30/2010 10,696 10,613
10/31/2010 10,728 10,638
11/30/2010 10,696 10,618
12/31/2010 10,707 10,600
1/31/2011 10,718 10,618
2/28/2011 10,707 10,610
3/31/2011 10,702 10,606
4/30/2011 10,745 10,652
5/31/2011 10,778 10,689
6/30/2011 10,777 10,694
7/31/2011 10,787 10,721
8/31/2011 10,798 10,757
9/30/2011 10,799 10,744
10/31/2011 10,799 10,753
11/30/2011 10,810 10,758
12/31/2011 10,811 10,765
1/31/2012 10,833 10,779
2/29/2012 10,833 10,768
3/31/2012 10,834 10,763
4/30/2012 10,845 10,784
5/31/2012 10,845 10,788
6/30/2012 10,838 10,784
7/31/2012 10,849 10,808
8/31/2012 10,860 10,810
9/30/2012 10,854 10,811
10/31/2012 10,854 10,806
11/30/2012 10,854 10,815
12/31/2012 10,858 10,819
1/31/2013 10,858 10,821
2/28/2013 10,858 10,829
3/31/2013 10,859 10,832
4/30/2013 10,870 10,843
5/31/2013 10,859 10,827
6/30/2013 10,859 10,819
7/31/2013 10,870 10,836
8/31/2013 10,859 10,827
9/30/2013 10,871 10,851
10/31/2013 10,882 10,863
11/30/2013 10,882 10,873
12/31/2013 10,874 10,859
1/31/2014 10,885 10,876
2/28/2014 10,885 10,886
3/31/2014 10,885 10,874
4/30/2014 10,896 10,889
5/31/2014 10,907 10,908
6/30/2014 10,898 10,903
7/31/2014 10,898 10,895
8/31/2014 10,909 10,913
9/30/2014 10,903 10,907
10/31/2014 10,925 10,936
11/30/2014 10,936 10,953
12/31/2014 10,910 10,927
1/31/2015 10,954 10,981
2/28/2015 10,932 10,959
3/31/2015 10,947 10,984
4/30/2015 10,958 10,989
5/31/2015 10,958 10,997
6/30/2015 10,957 11,000
7/31/2015 10,957 11,006
8/31/2015 10,957 11,002
9/30/2015 10,978 11,035
10/31/2015 10,967 11,025
11/30/2015 10,933 10,998
12/31/2015 10,921 10,987
1/31/2016 10,977 11,054
2/29/2016 10,977 11,066
3/31/2016 11,003 11,086
4/30/2016 11,003 11,090
5/31/2016 10,992 11,079
6/30/2016 11,040 11,143
7/31/2016 11,029 11,137
8/31/2016 11,018 11,120
9/30/2016 11,030 11,133
10/31/2016 11,030 11,126
11/30/2016 10,996 11,082
12/31/2016 11,007 11,085
1/31/2017 11,018 11,100
2/28/2017 11,018 11,111
3/31/2017 11,029 11,115
4/30/2017 11,040 11,130
5/31/2017 11,040 11,143
6/30/2017 11,034 11,135
7/31/2017 11,057 11,158
8/31/2017 11,068 11,179
9/30/2017 11,062 11,162
10/31/2017 11,051 11,155
11/30/2017 11,039 11,133
12/31/2017 11,039 11,134
1/31/2018 11,028 11,103
2/28/2018 11,028 11,099
3/31/2018 11,044 11,121
4/30/2018 11,033 11,103
5/31/2018 11,067 11,144
6/30/2018 11,076 11,145
7/31/2018 11,065 11,145 Past performance is not predictive of
8/31/2018 11,099 11,181 future performance.
9/30/2018 11,094 11,168
10/31/2018 11,117 11,185 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------ ICE BofAML index data copyright 2018
0.60% 0.43% 1.06% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
293
MANAGEMENT'S DISCUSSION AND ANALYSIS
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Bond yields increased in the U.S. during the 12 months ended October 31,
2018. Short-term yields increased more than long-term yields. However,
long-term bonds generally underperformed short-term bonds during the period.
Bond yields also increased in Japan and Italy, resulting in long-term bonds
generally underperforming short-term bonds in these markets. In Germany, the
U.K., and Spain, short-term yields generally increased while long-term yields
generally decreased. Thus, long-term bonds generally outperformed short-term
bonds in these countries.
In the aggregate, long-term bonds generally underperformed short- term bonds
in global developed fixed income markets for the 12-month period ended
October 31, 2018. For example, the FTSE World Government Bond Index 1-3 Years
(hedged to USD) returned 1.06%, while the FTSE World Government Bond Index 20+
Years (hedged to USD) had a total return of -0.33%. Within the U.S., the
Bloomberg Barclays U.S. Treasury Bond Index 1-3 Years had a total return of
0.18% while the Bloomberg Barclays U.S. Treasury Bond Index 20+ Years had a
total return of -6.55% during the period.
OCTOBER 31, 2017 OCTOBER 31, 2018 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)......... 0.99% 2.20% 1.21%
Ten-Year U.S. Treasury Notes (yield).... 2.38% 3.15% 0.77%
--------
Source: Bloomberg
Some of Dimensional's fixed income strategies are based on a variable
maturity strategy that identifies a maturity range with higher expected
returns. When the yield curve is flat or inverted, short-term securities are
believed to offer higher expected returns. When the yield curve is upwardly
sloped, aggregate Portfolio maturities may be lengthened to seek the higher
expected returns associated with longer maturities. These higher returns may be
achieved by capital appreciation (from holding bonds through an upwardly sloped
term structure) as well as by earning higher current yields. During the period
under review, many of the Portfolios employing a variable maturity approach
continued to maintain a duration near the longer end of their eligible range,
reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable credit
approach that varies exposure to lower credit quality securities. When credit
spreads are narrow, higher-quality securities are emphasized. When credit
spreads are wide, additional credit exposure may be taken in order to position
a Portfolio to seek higher expected returns by capturing high expected credit
premiums. While credit spreads generally widened for the 12 months ended
October 31, 2018, many of the Portfolios employing a variable credit approach
held less than their maximum allowable weight in credit.
DFA TWO-YEAR FIXED INCOME PORTFOLIO
The DFA Two- Year Fixed Income Portfolio is designed to maximize total
returns consistent with preservation of capital by investing in high- quality
fixed income securities maturing in two years or less. The investment strategy
uses a variable maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges for risk-adjusted expected returns based on potential buy and sell
strategies. Maturity targets are shifted based on Dimensional's expectations
for term premium. The average maturity of the Portfolio remained relatively
unchanged at 1.38 years as of October 31, 2018, versus 1.37 years as of
October 31, 2017.
For the 12 months ended October 31, 2018, total returns were 0.86% for the
Portfolio and 0.41% for the ICE BofAML 1-3 Year U.S. Corporate & Government
Index, the Portfolio's benchmark. Interest rates generally increased during the
period, resulting in negative realized term premiums. The benchmark can hold
securities with maturities between one and three years, whereas the Portfolio
may invest in securities with maturities of up to two years. The Portfolio's
higher weight in securities in the zero- to two-year maturity range and lower
weight in securities in the two- to three-year maturity range contributed
positively to performance relative to the benchmark.
DFA TWO-YEAR GOVERNMENT PORTFOLIO
The DFA Two-Year Government Portfolio is designed to maximize total returns
consistent with preservation of capital by investing in securities of the U.S.
government and its agencies maturing in two years or less. The investment
strategy uses a variable maturity approach and shifts maturities based on
changes in the yield curve. The strategy uses current yields and identifies
favorable maturity ranges for risk-adjusted expected returns based on potential
buy and sell
294
strategies. Maturity targets are shifted based on Dimensional's expectations
for term premium. The average maturity of the Portfolio decreased to 1.37 years
as of October 31, 2018, from 1.45 years as of October 31, 2017.
For the 12 months ended October 31, 2018, total returns were 0.60% for the
Portfolio and 0.26% for the ICE BofAML 1-3 Year U.S. Treasury & Agency Index,
the Portfolio's benchmark. Interest rates generally increased during the
period, resulting in negative realized term premiums. The benchmark can hold
securities with maturities between one and three years, whereas the Portfolio
may invest in securities with maturities of up to two years. The Portfolio's
higher weight in securities in the one- to two-year maturity range and lack of
exposure to securities in the two- to three-year maturity range contributed
positively to performance relative to the benchmark.
295
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 and 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" reflects
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
DFA TWO-YEAR FIXED INCOME PORTFOLIO
Actual Fund Return.................. $1,000.00 $1,009.80 0.21% $1.06
Hypothetical 5% Annual Return....... $1,000.00 $1,024.15 0.21% $1.07
DFA TWO-YEAR GOVERNMENT PORTFOLIO
Actual Fund Return.................. $1,000.00 $1,007.60 0.20% $1.01
296
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.20% $1.02
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
297
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 2018. They are available upon request, without charge,
by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting
the SEC's website at http://www.sec.gov.
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 used. The
following tables, which present portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
FIXED INCOME PORTFOLIOS
DFA TWO-YEAR FIXED INCOME PORTFOLIO DFA TWO-YEAR GOVERNMENT PORTFOLIO
Corporate............................... 15.0% Government.............................. 100.0%
-----
Government.............................. 22.3% 100.0%
Foreign Corporate....................... 18.7%
Foreign Government...................... 25.5%
Supranational........................... 18.5%
-----
100.0%
298
DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT VALUE+
------ ----------
(000)
------
AGENCY OBLIGATIONS -- (7.3%)
Federal Home Loan Bank
2.125%, 02/11/20....................................... 250 $ 247,810
1.875%, 03/13/20....................................... 250 246,858
4.125%, 03/13/20....................................... 3,600 3,660,829
2.375%, 03/30/20....................................... 450 447,155
Federal Home Loan Banks
2.625%, 05/28/20....................................... 2,250 2,242,051
Federal Home Loan Mortgage Corp.
1.375%, 05/01/20....................................... 2,500 2,446,427
----------
TOTAL AGENCY OBLIGATIONS................................... 9,291,130
----------
BONDS -- (77.3%)
African Development Bank
1.375%, 02/12/20....................................... 750 735,543
1.875%, 03/16/20....................................... 2,500 2,464,175
Agence Francaise de Developpement
1.375%, 08/02/19....................................... 600 593,227
1.625%, 01/21/20....................................... 1,934 1,900,495
ANZ New Zealand International Ltd.
2.600%, 09/23/19....................................... 700 696,489
Apple, Inc.
1.500%, 09/12/19....................................... 1,150 1,136,643
1.900%, 02/07/20....................................... 1,054 1,040,727
Asian Development Bank
1.625%, 05/05/20....................................... 3,450 3,382,902
Australia & New Zealand Banking Group, Ltd.
1.600%, 07/15/19....................................... 750 742,705
W 2.250%, 12/19/19....................................... 400 396,279
Bank of Montreal
2.100%, 06/15/20....................................... 500 491,201
3.100%, 07/13/20....................................... 725 724,053
BNG Bank NV
1.625%, 11/25/19....................................... 250 246,645
W 2.500%, 02/28/20....................................... 1,850 1,838,436
2.500%, 02/28/20....................................... 700 695,624
1.750%, 03/24/20....................................... 594 583,971
1.750%, 10/05/20....................................... 300 292,739
Caisse d'Amortissement de la Dette Sociale
1.750%, 09/24/19....................................... 1,000 990,040
2.000%, 04/17/20....................................... 250 246,344
1.875%, 07/28/20....................................... 1,500 1,468,965
Chevron Corp.
1.991%, 03/03/20....................................... 2,750 2,711,972
FACE
AMOUNT VALUE+
------ ----------
(000)
------
Cisco Systems, Inc.
4.450%, 01/15/20....................................... 250 $ 254,214
Cooperatieve Rabobank UA
W 4.750%, 01/15/20....................................... 500 509,295
Council Of Europe Development Bank
1.750%, 11/14/19....................................... 500 494,399
1.875%, 01/27/20....................................... 750 740,469
1.625%, 03/10/20....................................... 1,381 1,356,716
Equinor ASA
2.250%, 11/08/19....................................... 2,463 2,442,899
Erste Abwicklungsanstalt
2.500%, 03/13/20....................................... 600 595,468
EUROFIMA
1.750%, 05/29/20....................................... 990 969,786
European Bank for Reconstruction & Development
1.750%, 11/26/19....................................... 748 739,360
1.625%, 05/05/20....................................... 500 490,200
European Investment Bank
1.625%, 03/16/20....................................... 819 804,703
1.750%, 05/15/20....................................... 2,650 2,602,088
1.625%, 08/14/20....................................... 250 244,106
Export Development Canada
W 2.300%, 02/10/20....................................... 1,000 991,735
1.750%, 07/21/20....................................... 900 880,988
FMS Wertmanagement
1.750%, 05/15/20....................................... 600 588,946
Inter-American Development Bank
1.625%, 05/12/20....................................... 1,570 1,539,595
1.875%, 06/16/20....................................... 1,250 1,228,546
International Bank for Reconstruction & Development
1.875%, 10/07/19....................................... 300 297,361
1.875%, 04/21/20....................................... 500 492,532
1.625%, 09/04/20....................................... 1,362 1,329,597
International Finance Corp.
1.625%, 07/16/20....................................... 792 774,154
Kommunalbanken A.S.
W 2.500%, 04/17/20....................................... 250 248,358
2.500%, 04/17/20....................................... 750 745,050
1.750%, 09/15/20....................................... 1,100 1,074,476
1.375%, 10/26/20....................................... 500 484,065
Kommunekredit
1.750%, 01/10/20....................................... 500 493,205
1.625%, 06/12/20....................................... 1,781 1,742,370
Kommuninvest I Sverige AB
1.125%, 09/17/19....................................... 600 590,990
1.750%, 03/19/20....................................... 500 491,799
299
DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ----------
(000)
------
1.625%, 09/01/20....................................... 500 $ 487,444
W 1.625%, 09/01/20....................................... 500 487,392
Kreditanstalt fuer Wiederaufbau
4.000%, 01/27/20....................................... 250 253,311
1.750%, 03/31/20....................................... 1,000 983,645
1.500%, 04/20/20....................................... 800 783,410
1.625%, 05/29/20....................................... 352 344,734
1.875%, 06/30/20....................................... 250 245,544
2.750%, 07/15/20 1,150 1,145,312
Merck & Co., Inc.
1.850%, 02/10/20....................................... 1,989 1,958,788
Municipality Finance P.L.C.
1.500%, 03/23/20....................................... 968 948,504
National Australia Bank, Ltd.
2.250%, 07/01/19....................................... 1,250 1,244,189
2.250%, 01/10/20....................................... 500 494,607
Nederlandse Waterschapsbank NV
W 1.250%, 09/09/19....................................... 450 443,984
1.625%, 03/04/20....................................... 500 491,169
Nestle Holdings, Inc.
2.125%, 01/14/20....................................... 1,219 1,206,602
Nordea Bank Abp
W 1.625%, 09/30/19....................................... 500 493,359
Nordic Investment Bank
2.500%, 04/28/20....................................... 2,550 2,533,635
1.500%, 09/29/20....................................... 397 385,998
Novartis Capital Corp.
1.800%, 02/14/20....................................... 2,335 2,300,002
4.400%, 04/24/20....................................... 464 472,612
Oesterreichische Kontrollbank AG
1.750%, 01/24/20....................................... 250 246,485
1.375%, 02/10/20....................................... 200 196,029
Oracle Corp.
2.250%, 10/08/19....................................... 1,250 1,242,041
Procter & Gamble Co. (The)
1.750%, 10/25/19....................................... 500 494,302
Province of Alberta Canada
1.900%, 12/06/19....................................... 3,200 3,164,109
Province of Ontario Canada
4.400%, 04/14/20....................................... 2,350 2,394,164
1.875%, 05/21/20....................................... 750 736,522
Province of Quebec Canada
3.500%, 07/29/20....................................... 971 977,979
Royal Bank of Canada
2.150%, 10/26/20....................................... 2,000 1,955,140
Shell International Finance BV
1.375%, 09/12/19....................................... 200 197,451
4.300%, 09/22/19....................................... 500 506,020
4.375%, 03/25/20....................................... 1,446 1,471,638
2.125%, 05/11/20....................................... 1,360 1,341,655
FACE
AMOUNT VALUE+
------ ------------
(000)
------
State of North Rhine-Westphalia Germany
1.250%, 09/16/19.................................... 200 $ 197,161
1.625%, 01/22/20.................................... 1,500 1,475,775
Svensk Exportkredit AB
1.750%, 05/18/20.................................... 2,100 2,058,882
1.875%, 06/23/20.................................... 500 490,507
2.750%, 10/07/20.................................... 700 695,744
Svenska Handelsbanken AB
2.500%, 01/25/19.................................... 216 215,875
Toronto-Dominion Bank (The)
1.900%, 10/24/19.................................... 500 494,472
3.000%, 06/11/20.................................... 2,839 2,830,485
Total Capital SA
4.450%, 06/24/20.................................... 1,999 2,036,852
Toyota Motor Credit Corp.
2.200%, 01/10/20.................................... 1,854 1,837,192
2.150%, 03/12/20.................................... 1,263 1,249,028
Walmart, Inc.
1.750%, 10/09/19.................................... 2,000 1,978,746
2.850%, 06/23/20.................................... 1,190 1,188,110
------------
TOTAL BONDS............................................. 98,993,250
------------
U.S. TREASURY OBLIGATIONS -- (14.9%)
U.S. Treasury Notes
1.375%, 01/15/20.................................... 400 393,438
1.250%, 01/31/20.................................... 1,500 1,472,051
1.375%, 02/15/20.................................... 2,850 2,799,012
1.250%, 02/29/20.................................... 2,050 2,008,840
1.375%, 02/29/20.................................... 2,000 1,962,812
1.625%, 03/15/20.................................... 3,000 2,952,539
1.125%, 03/31/20.................................... 250 244,180
1.375%, 03/31/20.................................... 1,450 1,421,000
2.250%, 03/31/20.................................... 1,000 992,148
1.500%, 04/15/20.................................... 3,000 2,943,633
1.125%, 04/30/20.................................... 2,000 1,950,156
------------
TOTAL U.S. TREASURY OBLIGATIONS......................... 19,139,809
------------
TOTAL INVESTMENT SECURITIES............................. 127,424,189
------------
300
DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
SHARES VALUE+
------- ------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
@(S) DFA Short Term Investment Fund........................................ 18 $ 202
State Street Institutional U.S. Government Money Market Fund 2.090%... 689,278 689,278
------------
TOTAL TEMPORARY CASH INVESTMENTS 689,480
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $128,670,965)..................... $128,113,669
============
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------- ----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------- ------------ ------- ------------
Agency Obligations................. -- $ 9,291,130 -- $ 9,291,130
Bonds.............................. -- 98,993,250 -- 98,993,250
U.S. Treasury Obligations.......... -- 19,139,809 -- 19,139,809
Temporary Cash Investments......... $689,278 202 -- 689,480
-------- ------------ -- ------------
TOTAL.............................. $689,278 $127,424,391 -- $128,113,669
======== ============ == ============
See accompanying Notes to Financial Statements.
301
DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
AGENCY OBLIGATIONS -- (37.7%)
Federal Home Loan Bank
2.125%, 02/11/20.................................................... 8,350 $ 8,276,862
1.875%, 03/13/20.................................................... 10,000 9,874,330
4.125%, 03/13/20.................................................... 14,250 14,490,782
2.375%, 03/30/20.................................................... 14,200 14,110,214
------------
TOTAL AGENCY OBLIGATIONS............................................... 46,752,188
------------
U.S. TREASURY OBLIGATIONS -- (62.3%)
U.S. Treasury Notes
1.250%, 01/31/20.................................................... 11,000 10,795,039
1.375%, 02/15/20.................................................... 11,200 10,999,625
1.250%, 02/29/20.................................................... 15,150 14,845,817
1.625%, 03/15/20.................................................... 5,000 4,920,898
1.375%, 03/31/20.................................................... 5,450 5,341,000
2.250%, 03/31/20.................................................... 200 198,430
1.500%, 04/15/20.................................................... 28,300 27,768,270
1.500%, 05/15/20.................................................... 2,400 2,352,000
------------
TOTAL U.S. TREASURY OBLIGATIONS........................................ 77,221,079
------------
TOTAL INVESTMENT SECURITIES............................................ 123,973,267
SHARES
-------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund 2.090%. 19,348 19,348
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $124,658,510).................................................. $123,992,615
============
Summary of the Portfolio's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- ------------ ------- ------------
Agency Obligations...................... -- $ 46,752,188 -- $ 46,752,188
U.S. Treasury Obligations............... -- 77,221,079 -- 77,221,079
Temporary Cash Investments.............. $19,348 -- -- 19,348
------- ------------ -- ------------
TOTAL................................... $19,348 $123,973,267 -- $123,992,615
======= ============ == ============
See accompanying Notes to Financial Statements.
302
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA TWO-YEAR DFA TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
------------ ------------
ASSETS:
Investments at Value............................ $ 127,424 $ 123,973
Temporary Cash Investments at Value & Cost...... 689 19
Receivables:
Investment Securities Sold................... 1,483 --
Dividends and Interest....................... 671 326
Fund Shares Sold............................. 37 --
Prepaid Expenses and Other Assets............... 14 27
------------ ------------
Total Assets............................. 130,318 124,345
------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased.............. 1,463 --
Fund Shares Redeemed......................... 244 95
Due to Advisor............................... 16 16
Accrued Expenses and Other Liabilities.......... 26 24
------------ ------------
Total Liabilities........................ 1,749 135
------------ ------------
NET ASSETS...................................... $ 128,569 $ 124,210
============ ============
Institutional Class Shares -- based on net
assets of $128,569 and $124,210 and shares
outstanding of 12,979,542 and 12,782,142,
respectively.................................. $ 9.91 $ 9.72
============ ============
NUMBER OF SHARES AUTHORIZED..................... 300,000,000 300,000,000
============ ============
Investments at Cost............................. $ 127,982 $ 124,640
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................. $ 129,432 $ 126,179
Total Distributable Earnings (Loss)............. (863) (1,969)
------------ ------------
NET ASSETS...................................... $ 128,569 $ 124,210
============ ============
See accompanying Notes to Financial Statements.
303
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
DFA TWO-YEAR DFA TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
------------ ------------
INVESTMENT INCOME
Interest........................................................... $2,112 $ 2,222
------ -------
Total Investment Income........................................ 2,112 2,222
------ -------
FUND EXPENSES
Investment Management Fees......................................... 149 170
Accounting & Transfer Agent Fees................................... 11 10
Custodian Fees..................................................... 3 2
Filing Fees........................................................ 31 30
Shareholders' Reports.............................................. 9 10
Professional Fees.................................................. 4 4
Other.............................................................. 3 4
------ -------
Total Fund Expenses............................................ 210 230
------ -------
Net Expenses....................................................... 210 230
------ -------
NET INVESTMENT INCOME (LOSS)....................................... 1,902 1,992
------ -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... (498) (1,024)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... (425) (347)
------ -------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................ (923) (1,371)
------ -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $ 979 $ 621
====== =======
--------
** Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
304
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA TWO-YEAR FIXED DFA TWO-YEAR
INCOME PORTFOLIO GOVERNMENT PORTFOLIO
------------------ ------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 1,902 $ 912 $ 1,992 $ 1,042
Net Realized Gain (Loss) on:..................................................
Investment Securities Sold*,**............................................ (498) (120) (1,024) (283)
Change in Unrealized Appreciation (Depreciation) of:..........................
Investment Securities and Foreign Currency................................ (425) (123) (347) (476)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations........ 979 669 621 283
-------- -------- -------- --------
Distributions:^
Institutional Class Shares................................................ (1,635) (895) (1,767) (1,008)
-------- -------- -------- --------
Total Distributions.................................................... (1,635) (895) (1,767) (1,008)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................................. 60,182 7,220 35,971 15,655
Shares Issued in Lieu of Cash Distributions................................... 1,635 895 1,767 1,008
Shares Redeemed............................................................... (11,407) (10,242) (25,316) (18,503)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions................ 50,410 (2,127) 12,422 (1,840)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets................................ 49,754 (2,353) 11,276 (2,565)
NET ASSETS
Beginning of Year............................................................. 78,815 81,168 112,934 115,499
-------- -------- -------- --------
End of Year................................................................... $128,569 $ 78,815 $124,210 $112,934
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................. 6,065 723 3,689 1,590
Shares Issued in Lieu of Cash Distributions................................... 165 90 182 103
Shares Redeemed............................................................... (1,150) (1,026) (2,594) (1,881)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed................... 5,080 (213) 1,277 (188)
======== ======== ======== ========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0 and $0, respectively
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note J in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
305
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA TWO-YEAR FIXED INCOME PORTFOLIO DFA TWO-YEAR GOVERNMENT PORTFOLIO
-------------------------------------------- ------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014 2018 2017 2016 2015 2014
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Net Asset Value, Beginning
of Year........................ $ 9.98 $ 10.00 $ 10.02 $ 10.02 $ 10.02 $ 9.81 $ 9.88 $ 9.90 $ 9.92 $ 9.91
Income from Investment
Operations
Net Investment Income
(Loss) (A).................. 0.19 0.11 0.08 0.04 0.02 0.17 0.09 0.05 0.03 0.01
Net Gains (Losses) on
Securities (Realized
and Unrealized)............. (0.10) (0.02) (0.01) 0.02 0.01 (0.11) (0.07) 0.01 0.01 0.03
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Total from Investment
Operations.............. 0.09 0.09 0.07 0.06 0.03 0.06 0.02 0.06 0.04 0.04
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Less Distributions:
Net Investment Income......... (0.16) (0.11) (0.07) (0.04) (0.02) (0.15) (0.09) (0.05) (0.03) (0.01)
Net Realized Gains............ -- -- (0.02) (0.02) (0.01) -- -- (0.03) (0.03) (0.02)
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Total Distributions....... (0.16) (0.11) (0.09) (0.06) (0.03) (0.15) (0.09) (0.08) (0.06) (0.03)
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Net Asset Value, End of Year..... $ 9.91 $ 9.98 $ 10.00 $ 10.02 $ 10.02 $ 9.72 $ 9.81 $ 9.88 $ 9.90 $ 9.92
======== ======= ======= ======= ======= ======== ======== ======== ======== ========
Total Return..................... 0.86% 0.92% 0.74% 0.57% 0.31% 0.60% 0.19% 0.58% 0.38% 0.39%
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Net Assets, End of Year
(thousands).................... $128,569 $78,815 $81,168 $91,779 $98,961 $124,210 $112,934 $115,499 $133,648 $145,231
Ratio of Expenses to Average
Net Assets..................... 0.21% 0.24% 0.29% 0.29% 0.28% 0.20% 0.23% 0.28% 0.28% 0.27%
Ratio of Net Investment
Income to Average Net
Assets......................... 1.92% 1.14% 0.75% 0.43% 0.20% 1.76% 0.93% 0.55% 0.31% 0.12%
Portfolio Turnover Rate.......... 89% 115% 93% 238% 122% 115% 176% 118% 262% 225%
-------- ------- ------- ------- ------- -------- -------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes. See page 1 for
the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
306
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of twelve
portfolios, two of which, DFA Two-Year Fixed Income Portfolio and DFA Two-Year
Government Portfolio (the "Portfolios") are presented in this report. The
remaining operational portfolios are presented in separate reports. The
Portfolios are investment companies, and accordingly, follow the accounting and
reporting guidance under the Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC"), Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
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 use 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,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by the Portfolios are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of Directors
of the Fund. Fair value pricing may also be used if events that have a
significant effect on the value of an investment (as determined in the
discretion of Dimensional Fund Advisors LP) occur before the net asset value of
the Portfolio is calculated. When fair value pricing is used, the prices of
securities used by the Portfolios may differ from the quoted or published
prices for the same securities on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments. The methodology or inputs used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate 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: the U.S. Large Cap Value Portfolio,
307
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.
The Directors may receive their distributions of proceeds by 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. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 2018, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 2018, the
Portfolios' investment management fees were accrued daily and paid monthly to
the Advisor based on the following effective annual rates of average daily net
assets:
DFA Two-Year Fixed Income Portfolio. 0.15%
DFA Two-Year Government Portfolio... 0.15%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2018, the total related amounts paid by the Fund
to the CCO were $32 (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:
As of October 31, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statements of Assets and Liabilities as follows (amounts in thousands):
DFA Two-Year Fixed Income Portfolio. $4
DFA Two-Year Government Portfolio... 7
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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):
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- -------
DFA Two-Year Fixed Income Portfolio. $ 40,174 $ 14,607 $97,683 $73,158
DFA Two-Year Government Portfolio... 142,042 129,676 -- --
308
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 that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 2018, 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 accounts
mentioned above. These reclassifications had no effect on net assets or net
asset value per share.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ------
DFA Two-Year Fixed Income Portfolio
2017................................ $ 895 -- -- $ 895
2018................................ 1,635 -- -- 1,635
DFA Two-Year Government Portfolio
2017................................ 1,008 -- -- 1,008
2018................................ 1,767 -- -- 1,767
As of October 31, 2018, 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 use of accumulated earnings and profits
distributed to shareholders upon redemption of shares (amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
DFA Two-Year Fixed Income Portfolio. $(40) -- $(40)
DFA Two-Year Government Portfolio... (70) -- (70)
As of October 31, 2018, the components of distributable earnings
(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
DFA Two-Year Fixed Income Portfolio. $334 -- $ (635) $(557) $ (858)
DFA Two-Year Government Portfolio... 279 -- (1,575) (666) (1,962)
309
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011, will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. As of October 31, 2018, the Portfolios had the following
capital loss carryforwards available to offset future realized capital gains
with no expiration date (amounts in thousands):
UNLIMITED TOTAL
--------- ------
DFA Two-Year Fixed Income Portfolio. $ 635 $ 635
DFA Two-Year Government Portfolio... 1,575 1,575
During the year ended October 31, 2018, the Portfolios did not use capital
loss carryforwards to offset realized capital gains for federal income tax
purposes.
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------- ------------ -------------- --------------
DFA Two-Year Fixed Income Portfolio. $128,671 -- $(557) $(557)
DFA Two-Year Government Portfolio... 124,639 -- (666) (666)
The difference between GAAP-basis and tax basis unrealized gains (losses) is
attributable primarily to wash sales and net mark-to-market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
1. FUTURES CONTRACTS: The Portfolios may purchase or sell futures contracts
and options on futures contracts to adjust market exposure based on actual or
expected cash inflows to or outflows from the Portfolios. The Portfolios,
however, do not intend to sell futures contracts to establish short positions
in individual securities. When the contracts are closed, the Portfolios record
a realized gain or loss, which is presented in the Statements of Operations as
a net realized gain or loss on futures, equal to the difference between the
value of the contract at the time it was opened and the value at the time it
was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Portfolios could lose more
than the initial margin requirements. 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.
310
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.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor . The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolios did not use the interfund lending program during the year
ended October 31, 2018.
I. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
J. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. At this time, management is
evaluating the implications of these changes on the financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolios' early adoption of certain of the ASU 2018-13
311
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Portfolios' financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Portfolios' adoption
of these amendments, effective with these financial statements prepared as of
October 31, 2018, required modified disclosures reflected herein, but had no
effect on the Portfolios' net assets or results of operations.
Comparable prior year information presented in the Statements of Changes in
Net Assets has been revised to reflect current disclosure requirements
prescribed by these amendments. Amounts originally presented as of October 31,
2017 are as follows (amounts in thousands):
DISTRIBUTIONS FROM:
---------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- -------
DFA Two-Year Fixed Income Portfolio - Institutional Class. $ (895) -- -- $ (895)
DFA Two-Year Government Portfolio - Institutional Class... (1,008) -- -- (1,008)
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
DFA Two-Year Fixed Income Portfolio. $102
DFA Two-Year Government Portfolio... 117
K. OTHER:
As of October 31, 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 Two-Year Fixed Income Portfolio. 4 100%
DFA Two-Year Government Portfolio... 3 97%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have 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.
312
L. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
313
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of DFA Two-Year Fixed Income Portfolio and DFA Two-Year Government Portfolio
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of DFA Two-Year Fixed Income Portfolio
and DFA Two-Year Government Portfolio (two of the portfolios constituting
Dimensional Investment Group Inc., hereafter collectively referred to as the
"Portfolios") as of October 31, 2018, the related statements of operations for
the year ended October 31, 2018, the statements of changes in net assets for
each of the two years in the period ended October 31, 2018, including the
related notes, and the financial highlights for each of the five years in the
period ended October 31, 2018 (collectively referred to as the "financial
statements"). In our opinion, the financial statements present fairly, in all
material respects, the financial position of each of the Portfolios as of
October 31, 2018, the results of each of their operations for the year then
ended, the changes in each of their net assets for each of the two years in the
period ended October 31, 2018, and each of the financial highlights for each of
the five years in the period ended October 31, 2018 in conformity with
accounting principles generally accepted in the United States of America.
BASIS FOR OPINIONS
These financial statements are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
("PCAOB") and are required to be independent with respect to the Portfolios in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodian and brokers; when replies were not received
from brokers, we performed other auditing procedures. We believe that our
audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
314
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were two
Audit Committee meetings held during the fiscal year ended October 31, 2018.
Each Board's Nominating Committee is composed of George M. Constantinides,
Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J. Smith. Each
member of the Nominating Committee is a disinterested Trustee/Director. The
Nominating Committee for each Board makes recommendations for nominations of
disinterested and interested members on the Board to the full Board. The
Nominating Committee evaluates a candidate's qualification for Board membership
and the independence of such candidate from the Advisor and other principal
service providers. The Nominating Committee met two times during the fiscal
year ended October 31, 2018.
Each Board's Strategy Committee is composed of Douglas W. Diamond, Edward P.
Lazear, and Myron S. Scholes. Each member of the Strategy Committee is a
disinterested Trustee/Director. The Strategy Committee assists the Board in
carrying out its fiduciary duties with respect to the oversight of the Fund and
its performance. At the request of the Board or the Advisor, the Strategy
Committee may (i) review the design of possible new series of the Fund,
(ii) review performance of existing portfolios of the Fund and discuss and
recommend possible enhancements to the portfolios' investment strategies,
(iii) review proposals by the Advisor to modify or enhance the investment
strategies or policies of each portfolio, and (iv) consider issues relating to
investment services for each portfolio of the Fund. There were four Strategy
Committee meetings held during the fiscal year ended October 31, 2018.
Certain biographical information for each disinterested Trustee/Director and
interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a Director or Trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746. Prospectuses
are also available at http://us.dimensional.com.
315
DISINTERESTED TRUSTEE/DIRECTORS
PORTFOLIOS
WITHIN THE OTHER DIRECTORSHIPS
TERM OF DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND OFFICE/1/ AND LENGTH PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION OF SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- -------- ------------------ -------------------- ---------- -------------------
George M. Constantinides Director of DFADIG- Leo Melamed Professor of 128 None
University of Chicago DFAIDG and Since 1983 Finance, University of portfolios
Booth School of Business DIG Trustee of DIG- Since Chicago Booth School of in 4
5807 S. Woodlawn Avenue DFAITC and 1993 DFAITC- Business (since 1978). investment
Chicago, IL 60637 DEM Since 1992 companies
1947 DEM- Since
1993
Douglas W. Diamond Director of DFADIG- Merton H. Miller 128 None
University of Chicago DFAIDG and Since June Distinguished Service portfolios
Booth School of Business DIG Trustee of 2017 DIG- Professor of Finance, in 4
5807 S. Woodlawn Avenue DFAITC and Since June University of Chicago investment
Chicago, IL 60637 DEM 2017 DFAITC- Booth School of Business companies
1953 Since June (since 1988). Visiting
2017 DEM- Scholar, Federal Reserve
Since June Bank of Richmond (since
2017 1990). Formerly, Fischer
Black Visiting Professor of
Financial Economics,
Alfred P. Sloan School of
Management,
Massachusetts Institute of
Technology (2015 to 2016).
Roger G. Ibbotson Director of DFADIG- Professor in Practice 128 None
Yale School of DFAIDG and Since 1981 Emeritus of Finance, Yale portfolios
Management DIG Trustee of DIG- Since School of Management in 4
P.O. Box 208200 DFAITC and 1993 DFAITC- (since 1984). Chairman, investment
New Haven, CT 06520- DEM Since 1992 CIO and Partner, Zebra companies
8200 DEM- Since Capital Management, LLC
1943 1993 (hedge fund and asset
manager) (since 2001).
Formerly, Consultant to
Morningstar, Inc. (2006 -
2016).
Edward P. Lazear Director of DFADIG- Distinguished Visiting 128 None
Stanford University DFAIDG and Since 2010 Fellow, Becker Friedman portfolios
Graduate School of DIG Trustee of DIG- Since Institute for Research in in 4
Business DFAITC and 2010 DFAITC- Economics, University of investment
Knight Management DEM Since 2010 Chicago (since 2015). companies
Center, E346 DEM- Since Morris Arnold Cox Senior
Stanford, CA 94305 2010 Fellow, Hoover Institution
1948 (since 2002). Jack Steele
Parker Professor of Human
Resources Management and
Economics, Graduate
School of Business,
Stanford University (since
1995). Cornerstone
Research (expert testimony
and economic and financial
analysis) (since 2009).
Myron S. Scholes Director of DFADIG- Chief Investment Strategist, 128 Formerly,
c/o Dimensional Fund DFAIDG and Since 1981 Janus Henderson Investors portfolios Adviser, Kuapay,
Advisors LP DIG Trustee of DIG- Since (since 2014). Frank E. Buck in 4 Inc. (2013-
6300 Bee Cave Road, DFAITC and 1993 DFAITC- Professor of Finance, investment 2014). Formerly,
Building One DEM Since 1992 Emeritus, Graduate School companies Director,
Austin, TX 78746 DEM- Since of Business, Stanford American
1941 1993 University (since 1981). Century Fund
Complex
(registered
investment
companies) (43
Portfolios)
(1980-2014).
316
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/AND DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- -------- ---------- -------------------- ---------- -------------------
Abbie J. Smith Director of DFAIDG DFADIG- Boris and Irene Stern 128 Director (since
University of Chicago and DIG Trustee of Since 2000 Distinguished Service portfolios 2000) and
Booth School of Business DFAITC and DEM DIG- Professor of Accounting, in 4 formerly, Lead
5807 S. Woodlawn Avenue Since 2000 University of Chicago investment Director (May
Chicago, IL 60637 DFAITC- Booth School of Business companies 2014 - May
1953 Since 2000 (since 1980). 2017), HNI
DEM- Corporation
Since 2000 (formerly known
as HON
Industries Inc.)
(office furniture);
Director, Ryder
System Inc.
(transportation,
logistics and
supply-chain
management)
(since 2003); and
Trustee, UBS
Funds (3
investment
companies
within the fund
complex) (21
portfolios) (since
2009).
INTERESTED TRUSTEE/DIRECTOR*
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/AND DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- -------- ---------- -------------------- ---------- -------------------
David G. Booth Chairman DFADIG- Chairman, Director/ 128 None
6300 Bee Cave Road, and Since 1981 Trustee, and portfolios
Building One Director of DIG- formerly, President in 4
Austin, TX 78746 DFAIDG Since 1992 and Co-Chief investment
1946 and DIG DFAITC- Executive Officer companies
Trustee of Since 1992 (each until March
DFAITC DEM- 2017) of
and DEM Since 1993 Dimensional
Emerging Markets
Value Fund
("DEM"),
DFAIDG,
Dimensional
Investment Group
Inc. ("DIG") and
The DFA
Investment Trust
Company
("DFAITC").
Executive
Chairman, and
formerly, President
and Co-Chief
Executive Officer
(each until February
2017) of
Dimensional
Holdings Inc.,
Dimensional Fund
Advisors LP and
DFA Securities
LLC (collectively
with DEM,
DFAIDG, DIG and
DFAITC, the "DFA
Entities").
Formerly, Chairman
and Director (2009-
2018), Co-Chief
Executive Officer
(2010 - June 2017)
of Dimensional
Fund Advisors
Canada ULC.
Trustee, University
of Chicago (since
2002). Trustee,
University of
Kansas Endowment
Association (since
2005). Formerly,
Director of
Dimensional Fund
Advisors Ltd. (2002
- July 2017), DFA
Australia Limited
(1994 - July 2017),
Dimensional
Advisors Ltd. (2012
- July 2017),
Dimensional Funds
plc (2006 - July
2017) and
Dimensional Funds
II plc (2006 - July
2017). Formerly,
Director and
President of
Dimensional Japan
Ltd. (2012 - April
2017). Formerly,
President,
Dimensional
SmartNest (US)
LLC (2009-2014);
and Limited Partner,
VSC Investors, LLC
(2007 to 2015).
Formerly,
Chairman, Director,
President and
Co-Chief Executive
Officer of
Dimensional
Cayman
Commodity Fund I
Ltd. (2010-
September 2017).
/1/ Each Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Director is a director or trustee of each of the four registered
investment companies within the DFA Fund Complex, which include: DFAIDG;
DIG; DFAITC; and DEM. Each disinterested Director also serves on the
Independent Review Committee of the Dimensional Funds, mutual funds
registered in the provinces of Canada and managed by the Advisor's
affiliate, Dimensional Fund Advisors Canada ULC.
* The Interested Trustee/Director is described as such because he is deemed
to be an "interested person," as that term is defined under the Investment
Company Act of 1940, as amended, due to his position with the Advisor.
317
OFFICERS
Below is the name, year of birth, information regarding positions with the
Fund and the principal occupation for each officer of the Fund. The address of
each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the
officers listed below holds the same office (except as otherwise noted) in the
DFA Entities.
TERM OF
OFFICE/ 1/
AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- -------------------- ----------- -----------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of
1967 Assistant Secretary .all the DFA Entities (since 2001)
.DFA Australia Limited (since 2002)
.Dimensional Fund Advisors Ltd. (since 2002)
.Dimensional Cayman Commodity Fund I Ltd. (since 2010)
.Dimensional Fund Advisors Pte. Ltd. (since 2012)
.Dimensional Hong Kong Limited (since 2012)
Director, Vice President and Assistant Secretary (since 2003) of
Dimensional Fund Advisors Canada ULC
David P. Butler Co-Chief Executive Since 2017 Co-Chief Executive Officer (since 2017) of
1964 Officer .all the DFA entities
Director (since 2017) of
.Dimensional Holdings Inc.
.Dimensional Fund Advisors Canada ULC
.Dimensional Japan Ltd.
.Dimensional Advisors Ltd.
.Dimensional Fund Advisors Ltd.
.DFA Australia Limited
Director and Co-Chief Executive Officer (since 2017) of
.Dimensional Cayman Commodity Fund I Ltd.
Head of Global Financial Advisor Services (since 2007) for
.Dimensional Fund Advisors LP
Formerly, Vice President (2007 - 2017) of
.all the DFA Entities
Stephen A. Clark Executive Vice Since 2017 Executive Vice President (since 2017) of
1972 President .all the DFA entities
Director and Vice President (since 2016) of
.Dimensional Japan Ltd.
President and Director (since 2016) of
.Dimensional Fund Advisors Canada ULC
Vice President (since 2008) and Director (since 2016) of
.DFA Australia Limited
Director (since 2016) of
.Dimensional Advisors Ltd.
.Dimensional Fund Advisors Pte. Ltd.
.Dimensional Hong Kong Limited
Vice President (since 2016) of
.Dimensional Fund Advisors Pte. Ltd.
Head of Global Institutional Services (since 2014) for
.Dimensional Fund Advisors LP
Formerly, Vice President (2004 - 2017) of
.all the DFA Entities
Formerly, Vice President (2010 - 2016) of
.Dimensional Fund Advisors Canada ULC
Formerly, Head of Institutional, North America (2012 - 2013) for
.Dimensional Fund Advisors LP
318
Christopher S. Vice President and Since 2004 Vice President and Global Chief Compliance Officer (since 2004) of
Crossan Global Chief .all the DFA Entities
1965 Compliance Officer .DFA Australia Limited
.Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006) and Chief Privacy Officer (since
2015) of
.Dimensional Fund Advisors Canada ULC
Chief Compliance Officer of
.Dimensional Fund Advisors Pte. Ltd. (since 2012)
.Dimensional Japan Ltd. (since 2017)
Formerly, Vice President and Global Chief Compliance Officer (2010 -
2014) for
.Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Vice Vice President, Chief Financial Officer, and Treasurer (since 2016) of
1958 Chief Financial President .all the DFA Entities
Officer, and since 2015 .Dimensional Advisors Ltd.
Treasurer and Chief .Dimensional Fund Advisors Ltd.
Financial .Dimensional Hong Kong Limited
Officer .Dimensional Cayman Commodity Fund I Ltd.
and .Dimensional Fund Advisors Canada ULC
Treasurer .Dimensional Fund Advisors Pte. Ltd.
since 2016 .DFA Australia Limited
Director (since 2016) for
.Dimensional Funds plc
.Dimensional Funds II plc
Formerly, interim Chief Financial Officer and interim Treasurer (2016) of
.all the DFA Entities
.Dimensional Fund Advisors LP
.Dimensional Fund Advisors Ltd.
.DFA Australia Limited
.Dimensional Advisors Ltd.
.Dimensional Fund Advisors Pte. Ltd.
.Dimensional Hong Kong Limited
.Dimensional Cayman Commodity Fund I Ltd.
.Dimensional Fund Advisors Canada ULC
Formerly, Controller (2015 - 2016) of
.all the DFA Entities
.Dimensional Fund Advisors LP
Formerly, Vice President (2008 - 2015) of
.T. Rowe Price Group, Inc.
Formerly, Director of Investment Treasury and Treasurer (2008 - 2015) of
.the T. Rowe Price Funds
Jeff J. Jeon Vice President and Vice Vice President (since 2004) and Assistant Secretary (since 2017) of
1973 Assistant Secretary President .all the DFA Entities
since 2004 Vice President and Assistant Secretary (since 2010) of
and .Dimensional Cayman Commodity Fund I Ltd.
Assistant
Secretary
since 2017
Joy Lopez Vice President and Vice Vice President (since 2015) of
1971 Assistant Treasurer President .all the DFA Entities
since 2015 Assistant Treasurer (since 2017) of
and .the DFA Fund Complex
Assistant Formerly, Senior Tax Manager (2013 - 2015) for
Treasurer .Dimensional Fund Advisors LP
since 2017
Kenneth M. Manell Vice President Since 2010 Vice President (since 2010) of
1972 .all the DFA Entities
.Dimensional Cayman Commodity Fund I Ltd.
319
Catherine L. Newell President and President President (since 2017) of
1964 General Counsel since 2017 .the DFA Fund Complex
and General Counsel (since 2001) of
General .All the DFA Entities
Counsel Executive Vice President (since 2017) and Secretary (since 2000) of
since 2001 .Dimensional Fund Advisors LP
.Dimensional Holdings Inc.
.DFA Securities LLC
.Dimensional Investment LLC
Director (since 2002), Vice President (since 1997) and Secretary (since
2002) of
.DFA Australia Limited
.Dimensional Fund Advisors Ltd.
Vice President and Secretary of
.Dimensional Fund Advisors Canada ULC (since 2003)
.Dimensional Cayman Commodity Fund I Ltd. (since 2010)
.Dimensional Japan Ltd. (since 2012)
.Dimensional Advisors Ltd. (since 2012)
.Dimensional Fund Advisors Pte. Ltd. (since 2012)
Director of
.Dimensional Funds plc (since 2002)
.Dimensional Funds II plc (since 2006)
.Director of Dimensional Japan Ltd. (since 2012)
.Dimensional Advisors Ltd. (since 2012)
.Dimensional Fund Advisors Pte. Ltd. (since 2012)
.Dimensional Hong Kong Limited (since 2012)
Formerly, Vice President and Secretary (2010 - 2014) of
.Dimensional SmartNest (US) LLC
Formerly, Vice President (1997 - 2017) and Secretary (2000 - 2017) of
.the DFA Fund Complex
Formerly, Vice President of
.Dimensional Fund Advisors LP (1997 - 2017)
.Dimensional Holdings Inc. (2006 - 2017)
.DFA Securities LLC (1997 - 2017)
.Dimensional Investment LLC (2009 - 2017)
Selwyn Notelovitz Vice President and Since Vice President and Deputy Chief Compliance Officer of
1961 Deputy Chief 2013 .the DFA Fund Complex (since 2013)
Compliance Officer .Dimensional Fund Advisors LP (since 2012)
Carolyn L. O Vice President and Vice Vice President (since 2010) and Secretary (since 2017) of
1974 Secretary President .the DFA Fund Complex
since 2010 Vice President (since 2010) and Assistant Secretary (since 2016) of
and .Dimensional Fund Advisors LP
Secretary .Dimensional Holdings Inc.
since 2017 .Dimensional Investment LLC
Vice President of
.DFA Securities LLC (since 2010)
.Dimensional Cayman Commodity Fund I Ltd. (since 2010)
.Dimensional Fund Advisors Canada ULC (since 2016)
320
Gerard K. O'Reilly Co-Chief Executive Co-Chief Co-Chief Executive Officer and Chief Investment Officer (since 2017) of
1976 Officer and Chief Executive .all the DFA Entities
Investment Officer Officer .Dimensional Fund Advisors Canada ULC
and Chief Director, Chief Investment Officer and Vice President (since 2017) of
Investment .DFA Australia Limited
Officer Chief Investment Officer (since 2017) and Vice President (since 2016) of
since 2017 .Dimensional Japan Ltd.
Director, Co-Chief Executive Officer and Chief Investment Officer (since
2017) of
.Dimensional Cayman Commodity Fund I Ltd.
Director of
.Dimensional Funds plc (since 2014)
.Dimensional Fund II plc (since 2014)
.Dimensional Holdings Inc. (since 2017)
Formerly, Co-Chief Investment Officer of
.Dimensional Japan Ltd. (2016 - 2017)
.DFA Australia Limited (2014 - 2017)
Formerly, Executive Vice President (2017) and Co-Chief Investment Officer
(2014 - 2017) of
.all the DFA Entities
Formerly, Vice President (2007 - 2017) of
.all the DFA Entities
Formerly, Vice President and Co-Chief Investment Officer (2014 - 2017) of
.Dimensional Fund Advisors Canada ULC
Formerly, Director of
.Dimensional Fund Advisors Pte. Ltd. (2017)
321
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.
322
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2018 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2018
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 01, 2017 to October 31, 2018, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST
------------------------------------ ------------- ------------- ------------- --------- ----------
DFA One-Year Fixed Income Portfolio.................... 100% 0% 0% 0% 0%
DFA Two-Year Global Fixed Income Portfolio............. 100% 0% 0% 0% 0%
DFA Selectively Hedged Global Fixed Income Portfolio... 100% 0% 0% 0% 0%
DFA Five- Year Global Fixed Income Portfolio........... 96% 0% 4% 0% 0%
DFA World ex U.S. Government Fixed Income Portfolio.... 100% 0% 0% 0% 0%
DFA Short- Term Government Portfolio................... 100% 0% 0% 0% 0%
DFA Intermediate Government Fixed Income Portfolio..... 95% 0% 5% 0% 0%
DFA Short- Term Extended Quality Portfolio............. 96% 0% 4% 0% 0%
DFA Intermediate-Term Extended Quality Portfolio....... 91% 0% 9% 0% 0%
DFA Targeted Credit Portfolio.......................... 94% 0% 6% 0% 0%
DFA Global Core Plus Fixed Income Portfolio............ 100% 0% 0% 0% 0%
DFA Investment Grade Portfolio......................... 100% 0% 0% 0% 0%
DFA Diversified Fixed Income Portfolio................. 99% 0% 1% 0% 0%
DFA LTIP Portfolio..................................... 100% 0% 0% 0% 0%
DFA Inflation- Protected Securities Portfolio.......... 100% 0% 0% 0% 0%
DFA Short- Duration Real Return Portfolio.............. 100% 0% 0% 0% 0%
DFA Municipal Real Return Portfolio.................... 0% 0% 0% 0% 100%
QUALIFYING
FOR
CORPORATE
DIVIDENDS QUALIFYING U.S. FOREIGN FOREIGN
TOTAL RECEIVED DIVIDEND GOVERNMENT TAX SOURCE
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DEDUCTION (1) INCOME (2) INTEREST (3) CREDIT (4) INCOME (5)
------------------------------------ ------------- ------------- ---------- ------------ ---------- ----------
DFA One-Year Fixed Income Portfolio.................... 100% 0% 0% 100% 0% 0%
DFA Two-Year Global Fixed Income Portfolio............. 100% 0% 0% 0% 0% 0%
DFA Selectively Hedged Global Fixed Income Portfolio... 100% 0% 0% 0% 0% 0%
DFA Five- Year Global Fixed Income Portfolio........... 100% 0% 0% 0% 0% 0%
DFA World ex U.S. Government Fixed Income Portfolio.... 100% 0% 0% 53% 0% 0%
DFA Short- Term Government Portfolio................... 100% 0% 0% 100% 0% 0%
DFA Intermediate Government Fixed Income Portfolio..... 100% 0% 0% 100% 0% 0%
DFA Short- Term Extended Quality Portfolio............. 100% 0% 0% 1% 0% 0%
DFA Intermediate-Term Extended Quality Portfolio....... 100% 0% 0% 4% 0% 0%
DFA Targeted Credit Portfolio.......................... 100% 0% 0% 0% 0% 0%
DFA Global Core Plus Fixed Income Portfolio............ 100% 0% 0% 0% 0% 0%
DFA Investment Grade Portfolio......................... 100% 0% 0% 29% 0% 0%
DFA Diversified Fixed Income Portfolio................. 100% 73% 73% 0% 0% 0%
DFA LTIP Portfolio..................................... 100% 0% 0% 22% 0% 0%
DFA Inflation- Protected Securities Portfolio.......... 100% 0% 0% 100% 0% 0%
DFA Short- Duration Real Return Portfolio.............. 100% 0% 0% 4% 0% 0%
DFA Municipal Real Return Portfolio.................... 100% 0% 0% 0% 0% 0%
QUALIFYING
SHORT-
QUALIFYING TERM
INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INCOME (6) GAIN (7)
------------------------------------ ---------- ----------
DFA One-Year Fixed Income Portfolio.................... 100% 0%
DFA Two-Year Global Fixed Income Portfolio............. 100% 0%
DFA Selectively Hedged Global Fixed Income Portfolio... 100% 0%
DFA Five- Year Global Fixed Income Portfolio........... 100% 0%
DFA World ex U.S. Government Fixed Income Portfolio.... 100% 0%
DFA Short- Term Government Portfolio................... 100% 0%
DFA Intermediate Government Fixed Income Portfolio..... 100% 0%
DFA Short- Term Extended Quality Portfolio............. 100% 0%
DFA Intermediate-Term Extended Quality Portfolio....... 100% 0%
DFA Targeted Credit Portfolio.......................... 100% 0%
DFA Global Core Plus Fixed Income Portfolio............ 100% 0%
DFA Investment Grade Portfolio......................... 100% 0%
DFA Diversified Fixed Income Portfolio................. 27% 0%
DFA LTIP Portfolio..................................... 100% 0%
DFA Inflation- Protected Securities Portfolio.......... 100% 0%
DFA Short- Duration Real Return Portfolio.............. 100% 0%
DFA Municipal Real Return Portfolio.................... 100% 0%
See accompanying Notes to Financial Statements.
323
NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST
------------------------------------ ------------- ------------- ------------- --------- ----------
DFA California Municipal Real Return Portfolio......... 0% 0% 0% 0% 100%
DFA Municipal Bond Portfolio........................... 0% 0% 0% 0% 100%
DFA Short- Term Municipal Bond Portfolio............... 0% 0% 0% 0% 100%
DFA Intermediate-Term Municipal Bond Portfolio......... 0% 0% 0% 0% 100%
DFA California Short- Term Municipal Bond Portfolio.... 0% 0% 0% 0% 100%
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ 0% 0% 0% 0% 100%
DFA NY Municipal Bond Portfolio........................ 0% 0% 0% 0% 100%
DFA MN Municipal Bond Portfolio........................ 0% 0% 0% 0% 100%
DIMENSIONAL INVESTMENT GROUP INC.
---------------------------------
DFA Two-Year Fixed Income Portfolio.................... 100% 0% 0% 0% 0%
DFA Two-Year Government Portfolio...................... 100% 0% 0% 0% 0%
QUALIFYING
FOR
CORPORATE
DIVIDENDS QUALIFYING U.S. FOREIGN FOREIGN
TOTAL RECEIVED DIVIDEND GOVERNMENT TAX SOURCE
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DEDUCTION (1) INCOME (2) INTEREST (3) CREDIT (4) INCOME (5)
------------------------------------ ------------- ------------- ---------- ------------ ---------- ----------
DFA California Municipal Real Return Portfolio......... 100% 0% 0% 0% 0% 0%
DFA Municipal Bond Portfolio........................... 100% 0% 0% 0% 0% 0%
DFA Short- Term Municipal Bond Portfolio............... 100% 0% 0% 0% 0% 0%
DFA Intermediate-Term Municipal Bond Portfolio......... 100% 0% 0% 0% 0% 0%
DFA California Short- Term Municipal Bond Portfolio.... 100% 0% 0% 0% 0% 0%
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ 100% 0% 0% 0% 0% 0%
DFA NY Municipal Bond Portfolio........................ 100% 0% 0% 0% 0% 0%
DFA MN Municipal Bond Portfolio........................ 100% 0% 0% 0% 0% 0%
DIMENSIONAL INVESTMENT GROUP INC.
---------------------------------
DFA Two-Year Fixed Income Portfolio.................... 100% 0% 0% 38% 0% 0%
DFA Two-Year Government Portfolio...................... 100% 0% 0% 100% 0% 0%
QUALIFYING
SHORT-
QUALIFYING TERM
INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INCOME (6) GAIN (7)
------------------------------------ ---------- ----------
DFA California Municipal Real Return Portfolio......... 100% 0%
DFA Municipal Bond Portfolio........................... 100% 0%
DFA Short- Term Municipal Bond Portfolio............... 100% 0%
DFA Intermediate-Term Municipal Bond Portfolio......... 100% 0%
DFA California Short- Term Municipal Bond Portfolio.... 100% 0%
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ 100% 0%
DFA NY Municipal Bond Portfolio........................ 100% 0%
DFA MN Municipal Bond Portfolio........................ 100% 0%
DIMENSIONAL INVESTMENT GROUP INC.
---------------------------------
DFA Two-Year Fixed Income Portfolio.................... 100% 0%
DFA Two-Year Government Portfolio...................... 100% 0%
(1)Qualifying Dividends represents dividends that qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
See accompanying Notes to Financial Statements.
324
LOGO DFA103118-024A
00218741
LOGO
Annual Report
YEAR ENDED: OCTOBER 31, 2018
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO
GLOBAL ALLOCATION 60/40 PORTFOLIO
GLOBAL ALLOCATION 25/75 PORTFOLIO
LOGO
December 2018
Dear Fellow Shareholder,
Since our founding in 1981, we have put clients at the center of everything we
do.
Our investment approach and philosophy are grounded in rigorous academic
research and robust implementation to help you target higher expected returns
in an ever-evolving marketplace. And our 38-year track record of outperforming
indices and competitors is a testament to our approach.
Our mission is to improve people's lives.
We recognize and appreciate the trust and responsibility you've placed in us to
manage your assets and we take that responsibility seriously. Our company
strives to act with integrity and provide excellent investment solutions for
clients.
On behalf of the more than 1,300 employees at Dimensional working in 13 cities
across nine countries, we appreciate the opportunity to serve you.
Sincerely,
/s/ David Butler /s/ Gerard O'Reilly
DAVID BUTLER GERARD O'REILLY
Co-Chief Executive Officer Co-Chief Executive Officer and
Chief Investment Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................................. 1
Performance Charts...................................................... 2
Management's Discussion and Analysis.................................... 5
Disclosure of Fund Expenses............................................. 9
Disclosure of Portfolio Holdings........................................ 11
Schedules of Investments
Global Equity Portfolio............................................. 12
Global Allocation 60/40 Portfolio................................... 13
Global Allocation 25/75 Portfolio................................... 14
Statements of Assets and Liabilities.................................... 15
Statements of Operations................................................ 16
Statements of Changes in Net Assets..................................... 17
Financial Highlights.................................................... 18
Notes to Financial Statements........................................... 22
Report of Independent Registered Public Accounting Firm................. 35
FUND MANAGEMENT............................................................ 36
Board of Independent Directors or Trustees Table........................ 37
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................................ 43
NOTICE TO SHAREHOLDERS..................................................... 44
This report is submitted for the information of the Global Fund's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Footnotes
+ See Note B to Financial Statements.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata
share of its Underlying Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO - INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Global Equity Portfolio - MSCI World Index
Institutional Class (net dividends)
--------------------------- ------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,190 9,353
12/31/2008 9,636 9,653
1/31/2009 8,632 8,807
2/28/2009 7,683 7,906
3/31/2009 8,414 8,502
4/30/2009 9,622 9,456
5/31/2009 10,443 10,312
6/30/2009 10,414 10,266
7/31/2009 11,385 11,135
8/31/2009 11,888 11,595
9/30/2009 12,489 12,057
10/31/2009 12,030 11,842
11/30/2009 12,523 12,326
12/31/2009 12,962 12,547
1/31/2010 12,489 12,029
2/28/2010 12,826 12,198
3/31/2010 13,761 12,954
4/30/2010 14,054 12,956
5/31/2010 12,757 11,715
6/30/2010 12,159 11,313
7/31/2010 13,192 12,230
8/31/2010 12,545 11,774
9/30/2010 13,872 12,871
10/31/2010 14,385 13,351
11/30/2010 14,294 13,063
12/31/2010 15,470 14,023
1/31/2011 15,734 14,340
2/28/2011 16,284 14,842
3/31/2011 16,383 14,696
4/30/2011 16,958 15,320
5/31/2011 16,613 15,003
6/30/2011 16,307 14,765
7/31/2011 15,879 14,497
8/31/2011 14,607 13,476
9/30/2011 13,049 12,312
10/31/2011 14,618 13,586
11/30/2011 14,397 13,254
12/31/2011 14,324 13,247
1/31/2012 15,260 13,911
2/29/2012 15,962 14,591
3/31/2012 16,175 14,778
4/30/2012 15,952 14,611
5/31/2012 14,592 13,349
6/30/2012 15,256 14,030
7/31/2012 15,316 14,210
8/31/2012 15,765 14,570
9/30/2012 16,285 14,970
10/31/2012 16,226 14,869
11/30/2012 16,416 15,060
12/31/2012 16,937 15,343
1/31/2013 17,822 16,124
2/28/2013 17,906 16,151
3/31/2013 18,416 16,529
4/30/2013 18,739 17,050
5/31/2013 18,991 17,056
6/30/2013 18,598 16,636
7/31/2013 19,636 17,512
8/31/2013 19,141 17,139
9/30/2013 20,175 17,996
10/31/2013 20,962 18,701
11/30/2013 21,386 19,033
12/31/2013 21,874 19,436
1/31/2014 21,070 18,716
2/28/2014 22,118 19,653
3/31/2014 22,325 19,681
4/30/2014 22,362 19,883
5/31/2014 22,753 20,274
6/30/2014 23,340 20,637
7/31/2014 22,787 20,308
8/31/2014 23,476 20,755
9/30/2014 22,546 20,192
10/31/2014 22,854 20,322
11/30/2014 23,089 20,730
12/31/2014 22,885 20,395
1/31/2015 22,401 20,026
2/28/2015 23,730 21,199
3/31/2015 23,508 20,867
4/30/2015 23,919 21,357
5/31/2015 24,069 21,430
6/30/2015 23,643 20,932
7/31/2015 23,568 21,308
8/31/2015 22,165 19,898
9/30/2015 21,398 19,164
10/31/2015 22,871 20,682
11/30/2015 22,921 20,579
12/31/2015 22,264 20,218
1/31/2016 20,948 19,008
2/29/2016 20,922 18,867
3/31/2016 22,566 20,147
4/30/2016 22,858 20,466
5/31/2016 23,023 20,581
6/30/2016 22,890 20,350
7/31/2016 23,901 21,210
8/31/2016 24,054 21,228
9/30/2016 24,207 21,340
10/31/2016 23,706 20,927
11/30/2016 24,631 21,228
12/31/2016 25,143 21,736
1/31/2017 25,750 22,261
2/28/2017 26,396 22,878
3/31/2017 26,571 23,122
4/30/2017 26,908 23,464
5/31/2017 27,128 23,961
6/30/2017 27,459 24,053
7/31/2017 28,098 24,629
8/31/2017 28,072 24,663
9/30/2017 28,805 25,217
10/31/2017 29,473 25,693
11/30/2017 30,231 26,250
12/31/2017 30,713 26,605
1/31/2018 32,166 28,010
2/28/2018 30,779 26,850
3/31/2018 30,439 26,264
4/30/2018 30,545 26,566
5/31/2018 30,928 26,733
6/30/2018 30,754 26,720 Past performance is not predictive of
7/31/2018 31,645 27,554 future performance.
8/31/2018 32,137 27,895
9/30/2018 32,007 28,051 The returns shown do not reflect the
10/31/2018 29,402 25,991 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------- MSCI data copyright MSCI 2018, all
-0.24% 7.00% 11.39% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO - CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Global Equity Portfolio - MSCI World Index
Class R2 (net dividends)
--------------------------- ------------------
10/31/2008 $10,000 $10,000
11/30/2008 9,193 9,353
12/31/2008 9,639 9,653
1/31/2009 8,630 8,807
2/28/2009 7,676 7,906
3/31/2009 8,416 8,502
4/30/2009 9,615 9,456
5/31/2009 10,440 10,312
6/30/2009 10,400 10,266
7/31/2009 11,374 11,135
8/31/2009 11,860 11,595
9/30/2009 12,472 12,057
10/31/2009 12,006 11,842
11/30/2009 12,494 12,326
12/31/2009 12,931 12,547
1/31/2010 12,451 12,029
2/28/2010 12,786 12,198
3/31/2010 13,714 12,954
4/30/2010 14,004 12,956
5/31/2010 12,709 11,715
6/30/2010 12,109 11,313
7/31/2010 13,131 12,230
8/31/2010 12,491 11,774
9/30/2010 13,817 12,871
10/31/2010 14,312 13,351
11/30/2010 14,222 13,063
12/31/2010 15,391 14,023
1/31/2011 15,651 14,340
2/28/2011 16,195 14,842
3/31/2011 16,289 14,696
4/30/2011 16,856 15,320
5/31/2011 16,504 15,003
6/30/2011 16,192 14,765
7/31/2011 15,770 14,497
8/31/2011 14,504 13,476
9/30/2011 12,959 12,312
10/31/2011 14,504 13,586
11/30/2011 14,287 13,254
12/31/2011 14,205 13,247
1/31/2012 15,139 13,911
2/29/2012 15,841 14,591
3/31/2012 16,040 14,778
4/30/2012 15,821 14,611
5/31/2012 14,460 13,349
6/30/2012 15,126 14,030
7/31/2012 15,172 14,210
8/31/2012 15,614 14,570
9/30/2012 16,138 14,970
10/31/2012 16,068 14,869
11/30/2012 16,255 15,060
12/31/2012 16,764 15,343
1/31/2013 17,633 16,124
2/28/2013 17,703 16,151
3/31/2013 18,220 16,529
4/30/2013 18,537 17,050
5/31/2013 18,773 17,056
6/30/2013 18,389 16,636
7/31/2013 19,406 17,512
8/31/2013 18,909 17,139
9/30/2013 19,923 17,996
10/31/2013 20,706 18,701
11/30/2013 21,122 19,033
12/31/2013 21,594 19,436
1/31/2014 20,795 18,716
2/28/2014 21,821 19,653
3/31/2014 22,028 19,681
4/30/2014 22,052 19,883
5/31/2014 22,434 20,274
6/30/2014 23,008 20,637
7/31/2014 22,467 20,308
8/31/2014 23,141 20,755
9/30/2014 22,213 20,192
10/31/2014 22,515 20,322
11/30/2014 22,744 20,730
12/31/2014 22,540 20,395
1/31/2015 22,055 20,026
2/28/2015 23,365 21,199
3/31/2015 23,137 20,867
4/30/2015 23,538 21,357
5/31/2015 23,672 21,430
6/30/2015 23,259 20,932
7/31/2015 23,173 21,308
8/31/2015 21,792 19,898
9/30/2015 21,030 19,164
10/31/2015 22,478 20,682
11/30/2015 22,515 20,579
12/31/2015 21,868 20,218
1/31/2016 20,572 19,008
2/29/2016 20,548 18,867
3/31/2016 22,149 20,147
4/30/2016 22,434 20,466
5/31/2016 22,583 20,581
6/30/2016 22,451 20,350
7/31/2016 23,437 21,210
8/31/2016 23,587 21,228
9/30/2016 23,735 21,340
10/31/2016 23,235 20,927
11/30/2016 24,136 21,228
12/31/2016 24,628 21,736
1/31/2017 25,219 22,261
2/28/2017 25,847 22,878
3/31/2017 26,006 23,122
4/30/2017 26,333 23,464
5/31/2017 26,535 23,961
6/30/2017 26,867 24,053
7/31/2017 27,487 24,629
8/31/2017 27,449 24,663
9/30/2017 28,159 25,217
10/31/2017 28,807 25,693
11/30/2017 29,544 26,250
12/31/2017 30,016 26,605
1/31/2018 31,428 28,010
2/29/2018 30,068 26,850
3/31/2018 29,730 26,264
4/30/2018 29,820 26,566
5/31/2018 30,192 26,733
6/30/2018 30,016 26,720
7/31/2018 30,881 27,554 Past performance is not predictive of
8/31/2018 31,345 27,895 future performance.
9/30/2018 31,211 28,051
10/31/2018 28,673 25,991 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------- MSCI data copyright MSCI 2018, all
-0.47% 6.73% 11.11% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO - INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
FTSE WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/FTSE)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
Global Allocation FTSE World
60/40 Government Bond Global 60/40
Portfolio Index,1-3 Years, Composite
- Institutional MSCI World Index Currency-Hedged Index
Class (net dividends) in USD Terms (MSCI/FTSE)
-------------- ----------------- --------------- ----------------
10/31/2008 $10,000 $10,000 $10,000 $10,000
11/30/2008 9,549 9,353 10,068 9,639
12/31/2008 9,907 9,653 10,143 9,853
1/31/2009 9,239 8,807 10,164 9,343
2/28/2009 8,624 7,906 10,180 8,775
3/31/2009 9,227 8,502 10,221 9,187
4/30/2009 10,067 9,456 10,229 9,808
5/31/2009 10,694 10,312 10,249 10,349
6/30/2009 10,698 10,266 10,258 10,324
7/31/2009 11,360 11,135 10,283 10,859
8/31/2009 11,702 11,595 10,308 11,138
9/30/2009 12,120 12,057 10,332 11,415
10/31/2009 11,894 11,842 10,342 11,298
11/30/2009 12,238 12,326 10,375 11,589
12/31/2009 12,436 12,547 10,351 11,703
1/31/2010 12,199 12,029 10,379 11,426
2/28/2010 12,404 12,198 10,411 11,536
3/31/2010 12,946 12,954 10,410 11,965
4/30/2010 13,152 12,956 10,408 11,965
5/31/2010 12,395 11,715 10,450 11,296
6/30/2010 12,096 11,313 10,461 11,069
7/31/2010 12,760 12,230 10,484 11,617
8/31/2010 12,422 11,774 10,507 11,367
9/30/2010 13,253 12,871 10,501 12,000
10/31/2010 13,591 13,351 10,512 12,274
11/30/2010 13,471 13,063 10,486 12,102
12/31/2010 14,145 14,023 10,491 12,639
1/31/2011 14,299 14,340 10,491 12,810
2/28/2011 14,619 14,842 10,488 13,078
3/31/2011 14,701 14,696 10,483 12,998
4/30/2011 15,120 15,320 10,500 13,338
5/31/2011 14,955 15,003 10,530 13,187
6/30/2011 14,798 14,765 10,534 13,063
7/31/2011 14,676 14,497 10,545 12,927
8/31/2011 14,032 13,476 10,606 12,410
9/30/2011 13,030 12,312 10,605 11,767
10/31/2011 14,045 13,586 10,595 12,493
11/30/2011 13,866 13,254 10,581 12,303
12/31/2011 13,840 13,247 10,641 12,327
1/31/2012 14,472 13,911 10,671 12,712
2/29/2012 14,901 14,591 10,685 13,091
3/31/2012 15,001 14,778 10,681 13,190
4/30/2012 14,910 14,611 10,691 13,105
5/31/2012 14,108 13,349 10,687 12,424
6/30/2012 14,538 14,030 10,699 12,810
7/31/2012 14,629 14,210 10,718 12,918
8/31/2012 14,925 14,570 10,744 13,127
9/30/2012 15,254 14,970 10,756 13,349
10/31/2012 15,220 14,869 10,762 13,298
11/30/2012 15,345 15,060 10,777 13,408
12/31/2012 15,646 15,343 10,785 13,563
1/31/2013 16,108 16,124 10,788 13,979
2/28/2013 16,166 16,151 10,802 14,000
3/31/2013 16,464 16,529 10,809 14,200
4/30/2013 16,695 17,050 10,831 14,480
5/31/2013 16,718 17,056 10,819 14,477
6/30/2013 16,375 16,636 10,807 14,256
7/31/2013 16,979 17,512 10,827 14,717
8/31/2013 16,665 17,139 10,822 14,527
9/30/2013 17,299 17,996 10,843 14,974
10/31/2013 17,753 18,701 10,863 15,337
11/30/2013 17,940 19,033 10,876 15,508
12/31/2013 18,145 19,436 10,868 15,700
1/31/2014 17,804 18,716 10,890 15,363
2/28/2014 18,379 19,653 10,898 15,830
3/31/2014 18,490 19,681 10,898 15,843
4/30/2014 18,549 19,883 10,908 15,946
5/31/2014 18,808 20,274 10,923 16,144
6/30/2014 19,104 20,637 10,930 16,321
7/31/2014 18,808 20,308 10,932 16,166
8/31/2014 19,198 20,755 10,948 16,389
9/30/2014 18,654 20,192 10,948 16,122
10/31/2014 18,832 20,322 10,963 16,194
11/30/2014 18,974 20,730 10,978 16,397
12/31/2014 18,818 20,395 10,972 16,235
1/31/2015 18,651 20,026 11,008 16,080
2/28/2015 19,285 21,199 11,001 16,641
3/31/2015 19,183 20,867 11,017 16,494
4/30/2015 19,435 21,357 11,020 16,728
5/31/2015 19,447 21,430 11,028 16,767
6/30/2015 19,187 20,932 11,025 16,532
7/31/2015 19,139 21,308 11,037 16,717
8/31/2015 18,404 19,898 11,035 16,052
9/30/2015 18,069 19,164 11,055 15,709
10/31/2015 18,831 20,682 11,058 16,457
11/30/2015 18,831 20,579 11,051 16,404
12/31/2015 18,492 20,218 11,049 16,230
1/31/2016 17,894 19,008 11,095 15,674
2/29/2016 17,919 18,867 11,110 15,613
3/31/2016 18,887 20,147 11,120 16,254
4/30/2016 19,059 20,466 11,127 16,412
5/31/2016 19,108 20,581 11,128 16,468
6/30/2016 19,169 20,350 11,172 16,384
7/31/2016 19,735 21,210 11,173 16,799
8/31/2016 19,785 21,228 11,168 16,805
9/30/2016 19,885 21,340 11,185 16,869
10/31/2016 19,601 20,927 11,181 16,670
11/30/2016 19,922 21,228 11,162 16,803
12/31/2016 20,186 21,736 11,180 17,055
1/31/2017 20,522 22,261 11,188 17,307
2/28/2017 20,883 22,878 11,204 17,605
3/31/2017 20,961 23,122 11,207 17,719
4/30/2017 21,161 23,464 11,225 17,888
5/31/2017 21,311 23,961 11,239 18,124
6/30/2017 21,462 24,053 11,233 18,162
7/31/2017 21,813 24,629 11,256 18,438
8/31/2017 21,839 24,663 11,279 18,468
9/30/2017 22,136 25,217 11,273 18,713 Past performance is not predictive of
10/31/2017 22,450 25,693 11,284 18,932 future performance.
11/30/2017 22,778 26,250 11,279 19,175
12/31/2017 23,019 26,605 11,282 19,333 The returns shown do not reflect the
1/31/2018 23,618 28,010 11,270 19,937 deduction of taxes that a shareholder
2/28/2018 22,969 26,850 11,281 19,449 would pay on fund distributions or the
3/31/2018 22,861 26,264 11,307 19,213 redemption of fund shares.
4/30/2018 22,886 26,566 11,308 19,346
5/31/2018 23,103 26,733 11,323 19,429 MSCI data copyright MSCI 2018, all
6/30/2018 23,040 26,720 11,344 19,438 rights reserved.
7/31/2018 23,436 27,554 11,352 19,807
8/31/2018 23,705 27,895 11,373 19,969 FTSE fixed income indices (C) 2018 FTSE
9/30/2018 23,632 28,051 11,380 20,041 Fixed Income LLC. All rights reserved.
10/31/2018 22,463 25,991 11,403 19,174
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL ONE FIVE TEN for additional details. MSCI data
TOTAL RETURN YEAR YEARS YEARS copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------- FTSE fixed income indices (C) 2018 FTSE
0.06% 4.82% 8.43% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO - CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
FTSE WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/FTSE)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
FTSE World
Global Allocation Government Bond Global 60/40
60/40 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/FTSE)
----------------- --------------- --------------- ----------------
10/31/2008 $10,000 $10,000 $10,000 $10,000
11/30/2008 9,539 9,353 10,068 9,639
12/31/2008 9,896 9,653 10,143 9,853
1/31/2009 9,232 8,807 10,164 9,343
2/28/2009 8,620 7,906 10,180 8,775
3/31/2009 9,220 8,502 10,221 9,187
4/30/2009 10,054 9,456 10,229 9,808
5/31/2009 10,677 10,312 10,249 10,349
6/30/2009 10,677 10,266 10,258 10,324
7/31/2009 11,323 11,135 10,283 10,859
8/31/2009 11,663 11,595 10,308 11,138
9/30/2009 12,080 12,057 10,332 11,415
10/31/2009 11,846 11,842 10,342 11,298
11/30/2009 12,197 12,326 10,375 11,589
12/31/2009 12,386 12,547 10,351 11,703
1/31/2010 12,151 12,029 10,379 11,426
2/28/2010 12,354 12,198 10,411 11,536
3/31/2010 12,895 12,954 10,410 11,965
4/30/2010 13,098 12,956 10,408 11,965
5/31/2010 12,338 11,715 10,450 11,296
6/30/2010 12,035 11,313 10,461 11,069
7/31/2010 12,702 12,230 10,484 11,617
8/31/2010 12,347 11,774 10,507 11,367
9/30/2010 13,170 12,871 10,501 12,000
10/31/2010 13,505 13,351 10,512 12,274
11/30/2010 13,397 13,063 10,486 12,102
12/31/2010 14,051 14,023 10,491 12,639
1/31/2011 14,204 14,340 10,491 12,810
2/28/2011 14,519 14,842 10,488 13,078
3/31/2011 14,595 14,696 10,483 12,998
4/30/2011 15,009 15,320 10,500 13,338
5/31/2011 14,845 15,003 10,530 13,187
6/30/2011 14,681 14,765 10,534 13,063
7/31/2011 14,549 14,497 10,545 12,927
8/31/2011 13,914 13,476 10,606 12,410
9/30/2011 12,915 12,312 10,605 11,767
10/31/2011 13,927 13,586 10,595 12,493
11/30/2011 13,740 13,254 10,581 12,303
12/31/2011 13,716 13,247 10,641 12,327
1/31/2012 14,328 13,911 10,671 12,712
2/29/2012 14,762 14,591 10,685 13,091
3/31/2012 14,851 14,778 10,681 13,190
4/30/2012 14,762 14,611 10,691 13,105
5/31/2012 13,961 13,349 10,687 12,424
6/30/2012 14,377 14,030 10,699 12,810
7/31/2012 14,477 14,210 10,718 12,918
8/31/2012 14,757 14,570 10,744 13,127
9/30/2012 15,071 14,970 10,756 13,349
10/31/2012 15,049 14,869 10,762 13,298
11/30/2012 15,172 15,060 10,777 13,408
12/31/2012 15,456 15,343 10,785 13,563
1/31/2013 15,909 16,124 10,788 13,979
2/28/2013 15,966 16,151 10,802 14,000
3/31/2013 16,263 16,529 10,809 14,200
4/30/2013 16,479 17,050 10,831 14,480
5/31/2013 16,502 17,056 10,819 14,477
6/30/2013 16,155 16,636 10,807 14,256
7/31/2013 16,748 17,512 10,827 14,717
8/31/2013 16,429 17,139 10,822 14,527
9/30/2013 17,063 17,996 10,843 14,974
10/31/2013 17,509 18,701 10,863 15,337
11/30/2013 17,691 19,033 10,876 15,508
12/31/2013 17,890 19,436 10,868 15,700
1/31/2014 17,545 18,716 10,890 15,363
2/28/2014 18,109 19,653 10,898 15,830
3/31/2014 18,210 19,681 10,898 15,843
4/30/2014 18,268 19,883 10,908 15,946
5/31/2014 18,510 20,274 10,923 16,144
6/30/2014 18,812 20,637 10,930 16,321
7/31/2014 18,499 20,308 10,932 16,166
8/31/2014 18,893 20,755 10,948 16,389
9/30/2014 18,360 20,192 10,948 16,122
10/31/2014 18,534 20,322 10,963 16,194
11/30/2014 18,673 20,730 10,978 16,397
12/31/2014 18,514 20,395 10,972 16,235
1/31/2015 18,351 20,026 11,008 16,080
2/28/2015 18,969 21,199 11,001 16,641
3/31/2015 18,860 20,867 11,017 16,494
4/30/2015 19,094 21,357 11,020 16,728
5/31/2015 19,118 21,430 11,028 16,767
6/30/2015 18,843 20,932 11,025 16,532
7/31/2015 18,796 21,308 11,037 16,717
8/31/2015 18,068 19,898 11,035 16,052
9/30/2015 17,742 19,164 11,055 15,709
10/31/2015 18,484 20,682 11,058 16,457
11/30/2015 18,484 20,579 11,051 16,404
12/31/2015 18,148 20,218 11,049 16,230
1/31/2016 17,555 19,008 11,095 15,674
2/29/2016 17,578 18,867 11,110 15,613
3/31/2016 18,514 20,147 11,120 16,254
4/30/2016 18,681 20,466 11,127 16,412
5/31/2016 18,729 20,581 11,128 16,468
6/30/2016 18,789 20,350 11,172 16,384
7/31/2016 19,328 21,210 11,173 16,799
8/31/2016 19,376 21,228 11,168 16,805
9/30/2016 19,474 21,340 11,185 16,869
10/31/2016 19,197 20,927 11,181 16,670
11/30/2016 19,510 21,228 11,162 16,803
12/31/2016 19,749 21,736 11,180 17,055
1/31/2017 20,088 22,261 11,188 17,307
2/28/2017 20,427 22,878 11,204 17,605
3/31/2017 20,505 23,122 11,207 17,719
4/30/2017 20,688 23,464 11,225 17,888
5/31/2017 20,833 23,961 11,239 18,124
6/30/2017 20,979 24,053 11,233 18,162
7/31/2017 21,321 24,629 11,256 18,438
8/31/2017 21,333 24,663 11,279 18,468
9/30/2017 21,633 25,217 11,273 18,713 Past performance is not predictive of
10/31/2017 21,926 25,693 11,284 18,932 future performance.
11/30/2017 22,244 26,250 11,279 19,175
12/31/2017 22,472 26,605 11,282 19,333 The returns shown do not reflect the
1/31/2018 23,053 28,010 11,270 19,937 deduction of taxes that a shareholder
2/28/2018 22,410 26,850 11,281 19,449 would pay on fund distributions or the
3/31/2018 22,303 26,264 11,307 19,213 redemption of fund shares.
4/30/2018 22,315 26,566 11,308 19,346
5/31/2018 22,538 26,733 11,323 19,429 MSCI data copyright MSCI 2018, all
6/30/2018 22,462 26,720 11,344 19,438 rights reserved.
7/31/2018 22,847 27,554 11,352 19,807
8/31/2018 23,107 27,895 11,373 19,969 FTSE fixed income indices (C) 2018 FTSE
9/30/2018 23,023 28,051 11,380 20,041 Fixed Income LLC. All rights reserved.
10/31/2018 21,878 25,991 11,403 19,174
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL ONE FIVE TEN for additional details. MSCI data
TOTAL RETURN YEAR YEARS YEARS copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------- FTSE fixed income indices (C) 2018 FTSE
-0.22% 4.56% 8.14% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO - INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
FTSE WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/FTSE)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
FTSE World
Global Allocation Government Bond Global 25/75
25/75 Portfolio - MSCI World Index,1-3 Years, Composite
Institutional Index Currency-Hedged Index
Class (net dividends) in USD Terms (MSCI/FTSE)
----------------- --------------- ---------------- ----------------
10/31/2008 $10,000 $10,000 $10,000 $10,000
11/30/2008 9,890 9,353 10,068 9,889
12/31/2008 10,095 9,653 10,143 10,023
1/31/2009 9,840 8,807 10,164 9,820
2/28/2009 9,545 7,906 10,180 9,580
3/31/2009 9,893 8,502 10,221 9,790
4/30/2009 10,280 9,456 10,229 10,070
5/31/2009 10,585 10,312 10,249 10,313
6/30/2009 10,621 10,266 10,258 10,308
7/31/2009 10,928 11,135 10,283 10,545
8/31/2009 11,113 11,595 10,308 10,673
9/30/2009 11,319 12,057 10,332 10,798
10/31/2009 11,267 11,842 10,342 10,758
11/30/2009 11,474 12,326 10,375 10,893
12/31/2009 11,496 12,547 10,351 10,924
1/31/2010 11,475 12,029 10,379 10,833
2/28/2010 11,559 12,198 10,411 10,896
3/31/2010 11,759 12,954 10,410 11,064
4/30/2010 11,906 12,956 10,408 11,063
5/31/2010 11,622 11,715 10,450 10,831
6/30/2010 11,554 11,313 10,461 10,747
7/31/2010 11,849 12,230 10,484 10,982
8/31/2010 11,765 11,774 10,507 10,898
9/30/2010 12,120 12,871 10,501 11,148
10/31/2010 12,300 13,351 10,512 11,260
11/30/2010 12,226 13,063 10,486 11,178
12/31/2010 12,429 14,023 10,491 11,388
1/31/2011 12,514 14,340 10,491 11,452
2/28/2011 12,643 14,842 10,488 11,550
3/31/2011 12,682 14,696 10,483 11,517
4/30/2011 12,886 15,320 10,500 11,654
5/31/2011 12,865 15,003 10,530 11,618
6/30/2011 12,824 14,765 10,534 11,575
7/31/2011 12,857 14,497 10,545 11,532
8/31/2011 12,652 13,476 10,606 11,379
9/30/2011 12,285 12,312 10,605 11,132
10/31/2011 12,697 13,586 10,595 11,413
11/30/2011 12,632 13,254 10,581 11,332
12/31/2011 12,631 13,247 10,641 11,378
1/31/2012 12,926 13,911 10,671 11,545
2/29/2012 13,079 14,591 10,685 11,697
3/31/2012 13,118 14,778 10,681 11,732
4/30/2012 13,129 14,611 10,691 11,706
5/31/2012 12,888 13,349 10,687 11,450
6/30/2012 13,028 14,030 10,699 11,607
7/31/2012 13,116 14,210 10,718 11,659
8/31/2012 13,226 14,570 10,744 11,754
9/30/2012 13,360 14,970 10,756 11,845
10/31/2012 13,360 14,869 10,762 11,830
11/30/2012 13,426 15,060 10,777 11,880
12/31/2012 13,516 15,343 10,785 11,943
1/31/2013 13,672 16,124 10,788 12,097
2/28/2013 13,716 16,151 10,802 12,113
3/31/2013 13,838 16,529 10,809 12,191
4/30/2013 13,938 17,050 10,831 12,305
5/31/2013 13,882 17,056 10,819 12,296
6/30/2013 13,689 16,636 10,807 12,210
7/31/2013 13,924 17,512 10,827 12,387
8/31/2013 13,789 17,139 10,822 12,318
9/30/2013 14,033 17,996 10,843 12,490
10/31/2013 14,213 18,701 10,863 12,629
11/30/2013 14,280 19,033 10,876 12,697
12/31/2013 14,307 19,436 10,868 12,756
1/31/2014 14,250 18,716 10,890 12,658
2/28/2014 14,442 19,653 10,898 12,823
3/31/2014 14,460 19,681 10,898 12,828
4/30/2014 14,505 19,883 10,908 12,869
5/31/2014 14,641 20,274 10,923 12,946
6/30/2014 14,738 20,637 10,930 13,011
7/31/2014 14,636 20,308 10,932 12,960
8/31/2014 14,795 20,755 10,948 13,046
9/30/2014 14,590 20,192 10,948 12,957
10/31/2014 14,681 20,322 10,963 12,992
11/30/2014 14,761 20,730 10,978 13,070
12/31/2014 14,678 20,395 10,972 13,012
1/31/2015 14,736 20,026 11,008 12,985
2/28/2015 14,909 21,199 11,001 13,169
3/31/2015 14,890 20,867 11,017 13,132
4/30/2015 14,960 21,357 11,020 13,211
5/31/2015 14,972 21,430 11,028 13,230
6/30/2015 14,867 20,932 11,025 13,151
7/31/2015 14,879 21,308 11,037 13,220
8/31/2015 14,634 19,898 11,035 12,999
9/30/2015 14,553 19,164 11,055 12,898
10/31/2015 14,797 20,682 11,058 13,155
11/30/2015 14,786 20,579 11,051 13,133
12/31/2015 14,639 20,218 11,049 13,074
1/31/2016 14,533 19,008 11,095 12,918
2/29/2016 14,557 18,867 11,110 12,908
3/31/2016 14,920 20,147 11,120 13,135
4/30/2016 14,990 20,466 11,127 13,194
5/31/2016 15,002 20,581 11,128 13,213
6/30/2016 15,098 20,350 11,172 13,216
7/31/2016 15,286 21,210 11,173 13,356
8/31/2016 15,298 21,228 11,168 13,354
9/30/2016 15,341 21,340 11,185 13,387
10/31/2016 15,247 20,927 11,181 13,318
11/30/2016 15,282 21,228 11,162 13,349
12/31/2016 15,366 21,736 11,180 13,446
1/31/2017 15,497 22,261 11,188 13,533
2/28/2017 15,628 22,878 11,204 13,642
3/31/2017 15,662 23,122 11,207 13,682
4/30/2017 15,770 23,464 11,225 13,748
5/31/2017 15,817 23,961 11,239 13,834
6/30/2017 15,842 24,053 11,233 13,842
7/31/2017 15,986 24,629 11,256 13,946
8/31/2017 16,022 24,663 11,279 13,972
9/30/2017 16,093 25,217 11,273 14,045 Past performance is not predictive of
10/31/2017 16,213 25,693 11,284 14,121 future performance.
11/30/2017 16,298 26,250 11,279 14,193
12/31/2017 16,386 26,605 11,282 14,245 The returns shown do not reflect the
1/31/2018 16,519 28,010 11,270 14,421 deduction of taxes that a shareholder
2/28/2018 16,313 26,850 11,281 14,282 would pay on fund distributions or the
3/31/2018 16,303 26,264 11,307 14,229 redemption of fund shares.
4/30/2018 16,315 26,566 11,308 14,271
5/31/2018 16,412 26,733 11,323 14,307 MSCI data copyright MSCI 2018, all
6/30/2018 16,413 26,720 11,344 14,326 rights reserved.
7/31/2018 16,535 27,554 11,352 14,445
8/31/2018 16,645 27,895 11,373 14,510 FTSE fixed income indices (C) 2018 FTSE
9/30/2018 16,608 28,051 11,380 14,536 Fixed Income LLC. All rights reserved.
10/31/2018 16,253 25,991 11,403 14,292
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL ONE FIVE TEN for additional details. MSCI data
TOTAL RETURN YEAR YEARS YEARS copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------- FTSE fixed income indices (C) 2018 FTSE
0.24% 2.72% 4.98% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO - CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
FTSE WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/FTSE)
OCTOBER 31, 2008-OCTOBER 31, 2018
[CHART]
FTSE World
Global Government Bond Global 25/75
Allocation 25/75 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/FTSE)
---------------- --------------- --------------- ----------------
10/31/2008 $10,000 $10,000 $10,000 $10,000
11/30/2008 9,880 9,353 10,068 9,889
12/31/2008 10,085 9,653 10,143 10,023
1/31/2009 9,822 8,807 10,164 9,820
2/28/2009 9,539 7,906 10,180 9,580
3/31/2009 9,873 8,502 10,221 9,790
4/30/2009 10,267 9,456 10,229 10,070
5/31/2009 10,560 10,312 10,249 10,313
6/30/2009 10,597 10,266 10,258 10,308
7/31/2009 10,902 11,135 10,283 10,545
8/31/2009 11,074 11,595 10,308 10,673
9/30/2009 11,281 12,057 10,332 10,798
10/31/2009 11,219 11,842 10,342 10,758
11/30/2009 11,434 12,326 10,375 10,893
12/31/2009 11,449 12,547 10,351 10,924
1/31/2010 11,428 12,029 10,379 10,833
2/28/2010 11,501 12,198 10,411 10,896
3/31/2010 11,711 12,954 10,410 11,064
4/30/2010 11,846 12,956 10,408 11,063
5/31/2010 11,566 11,715 10,450 10,831
6/30/2010 11,500 11,313 10,461 10,747
7/31/2010 11,760 12,230 10,484 10,982
8/31/2010 11,677 11,774 10,507 10,898
9/30/2010 12,018 12,871 10,501 11,148
10/31/2010 12,196 13,351 10,512 11,260
11/30/2010 12,122 13,063 10,486 11,178
12/31/2010 12,313 14,023 10,491 11,388
1/31/2011 12,398 14,340 10,491 11,452
2/28/2011 12,513 14,842 10,488 11,550
3/31/2011 12,543 14,696 10,483 11,517
4/30/2011 12,744 15,320 10,500 11,654
5/31/2011 12,723 15,003 10,530 11,618
6/30/2011 12,668 14,765 10,534 11,575
7/31/2011 12,700 14,497 10,545 11,532
8/31/2011 12,498 13,476 10,606 11,379
9/30/2011 12,122 12,312 10,605 11,132
10/31/2011 12,526 13,586 10,595 11,413
11/30/2011 12,452 13,254 10,581 11,332
12/31/2011 12,457 13,247 10,641 11,378
1/31/2012 12,736 13,911 10,671 11,545
2/29/2012 12,896 14,591 10,685 11,697
3/31/2012 12,926 14,778 10,681 11,732
4/30/2012 12,937 14,611 10,691 11,706
5/31/2012 12,690 13,349 10,687 11,450
6/30/2012 12,820 14,030 10,699 11,607
7/31/2012 12,906 14,210 10,718 11,659
8/31/2012 13,014 14,570 10,744 11,754
9/30/2012 13,146 14,970 10,756 11,845
10/31/2012 13,136 14,869 10,762 11,830
11/30/2012 13,200 15,060 10,777 11,880
12/31/2012 13,286 15,343 10,785 11,943
1/31/2013 13,439 16,124 10,788 12,097
2/28/2013 13,482 16,151 10,802 12,113
3/31/2013 13,584 16,529 10,809 12,191
4/30/2013 13,682 17,050 10,831 12,305
5/31/2013 13,628 17,056 10,819 12,296
6/30/2013 13,441 16,636 10,807 12,210
7/31/2013 13,660 17,512 10,827 12,387
8/31/2013 13,518 17,139 10,822 12,318
9/30/2013 13,768 17,996 10,843 12,490
10/31/2013 13,943 18,701 10,863 12,629
11/30/2013 14,009 19,033 10,876 12,697
12/31/2013 14,023 19,436 10,868 12,756
1/31/2014 13,968 18,716 10,890 12,658
2/28/2014 14,155 19,653 10,898 12,823
3/31/2014 14,167 19,681 10,898 12,828
4/30/2014 14,211 19,883 10,908 12,869
5/31/2014 14,343 20,274 10,923 12,946
6/30/2014 14,429 20,637 10,930 13,011
7/31/2014 14,329 20,308 10,932 12,960
8/31/2014 14,473 20,755 10,948 13,046
9/30/2014 14,218 20,192 10,948 12,957
10/31/2014 14,318 20,322 10,963 12,992
11/30/2014 14,384 20,730 10,978 13,070
12/31/2014 14,303 20,395 10,972 13,012
1/31/2015 14,359 20,026 11,008 12,985
2/28/2015 14,516 21,199 11,001 13,169
3/31/2015 14,503 20,867 11,017 13,132
4/30/2015 14,571 21,357 11,020 13,211
5/31/2015 14,582 21,430 11,028 13,230
6/30/2015 14,469 20,932 11,025 13,151
7/31/2015 14,480 21,308 11,037 13,220
8/31/2015 14,243 19,898 11,035 12,999
9/30/2015 14,153 19,164 11,055 12,898
10/31/2015 14,390 20,682 11,058 13,155
11/30/2015 14,379 20,579 11,051 13,133
12/31/2015 14,232 20,218 11,049 13,074
1/31/2016 14,118 19,008 11,095 12,918
2/29/2016 14,141 18,867 11,110 12,908
3/31/2016 14,498 20,147 11,120 13,135
4/30/2016 14,555 20,466 11,127 13,194
5/31/2016 14,566 20,581 11,128 13,213
6/30/2016 14,654 20,350 11,172 13,216
7/31/2016 14,838 21,210 11,173 13,356
8/31/2016 14,849 21,228 11,168 13,354
9/30/2016 14,893 21,340 11,185 13,387
10/31/2016 14,789 20,927 11,181 13,318
11/30/2016 14,824 21,228 11,162 13,349
12/31/2016 14,901 21,736 11,180 13,446
1/31/2017 15,017 22,261 11,188 13,533
2/28/2017 15,156 22,878 11,204 13,642
3/31/2017 15,181 23,122 11,207 13,682
4/30/2017 15,274 23,464 11,225 13,748
5/31/2017 15,332 23,961 11,239 13,834
6/30/2017 15,346 24,053 11,233 13,842
7/31/2017 15,474 24,629 11,256 13,946
8/31/2017 15,520 24,663 11,279 13,972
9/30/2017 15,569 25,217 11,273 14,045 Past performance is not predictive of
10/31/2017 15,685 25,693 11,284 14,121 future performance.
11/30/2017 15,767 26,250 11,279 14,193
12/31/2017 15,848 26,605 11,282 14,245 The returns shown do not reflect the
1/31/2018 15,977 28,010 11,270 14,421 deduction of taxes that a shareholder
2/28/2018 15,765 26,850 11,281 14,282 would pay on fund distributions or the
3/31/2018 15,765 26,264 11,307 14,229 redemption of fund shares.
4/30/2018 15,765 26,566 11,308 14,271
5/31/2018 15,860 26,733 11,323 14,307 MSCI data copyright MSCI 2018, all
6/30/2018 15,862 26,720 11,344 14,326 rights reserved.
7/31/2018 15,969 27,554 11,352 14,445
8/31/2018 16,076 27,895 11,373 14,510 FTSE fixed income indices (C) 2018 FTSE
9/30/2018 16,042 28,051 11,380 14,536 Fixed Income LLC. All rights reserved.
10/31/2018 15,697 25,991 11,403 14,292
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL ONE FIVE TEN for additional details. MSCI data
TOTAL RETURN YEAR YEARS YEARS copyright MSCI 2018, all rights reserved.
--------------------------------------------------------------- FTSE fixed income indices (C) 2018 FTSE
0.08% 2.40% 4.61% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
4
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
6.6%. Small-cap stocks underperformed large-cap stocks, and mid- cap stocks, a
subset of the large-cap universe, underperformed large-cap stocks but
outperformed small-cap stocks as measured by Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 3000(R) Index.................................................. 6.60%
Russell Microcap(R) Index (micro-cap stocks)........................... 1.42%
Russell 2000(R) Index (small-cap stocks)............................... 1.85%
Russell Midcap(R) Index (mid-cap stocks)............................... 2.79%
Russell 1000(R) Index (large-cap stocks)............................... 6.98%
Dow Jones U.S. Select REIT Index SM.................................... 3.04%
Value stocks underperformed growth stocks as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2018
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)................... -0.59%
Russell 2000(R) Growth Index (small-cap growth stocks)................. 4.13%
Russell 1000(R) Value Index (large-cap value stocks)................... 3.03%
Russell 1000(R) Growth Index (large-cap growth stocks)................. 10.71%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Performance of non-U.S. developed markets was negative for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed both large-cap and small-cap stocks. Value stocks underperformed
growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index................................. -6.76%
MSCI World ex USA Mid Cap Index......................... -8.02%
MSCI World ex USA Small Cap Index....................... -7.75%
MSCI World ex USA Value Index........................... -7.54%
MSCI World ex USA Growth Index.......................... -6.01%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against currencies of most other developed markets. Overall, currency movements
had a negative impact on the U.S. dollar-denominated returns of developed
markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP ------------ ----------------------
Japan.................................................. -4.22% -3.56%
United Kingdom......................................... -0.91% -4.65%
France................................................. -4.30% -6.92%
Canada................................................. -4.08% -5.84%
Germany................................................ -12.26% -14.66%
Switzerland............................................ 0.19% -0.72%
Australia.............................................. 2.96% -4.83%
Hong Kong.............................................. -8.47% -8.88%
Netherlands............................................ -7.68% -9.99%
Spain.................................................. -13.55% -15.92%
5
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
Emerging markets had negative performance for the period, underperforming
both the U.S. and non-U.S. developed markets. As measured by the MSCI emerging
markets indices, small-cap stocks underperformed large-cap stocks, and mid-cap
stocks, a subset of the large-cap universe, outperformed both large-cap and
small-cap stocks. Value stocks outperformed growth stocks as measured by the
MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index............................. -12.52%
MSCI Emerging Markets Mid Cap Index..................... -11.85%
MSCI Emerging Markets Small Cap Index................... -17.21%
MSCI Emerging Markets Value Index....................... -8.27%
MSCI Emerging Markets Growth Index...................... -16.70%
For the 12 Months Ended October 31, 2018, the U.S. dollar appreciated
against most emerging markets currencies. Overall, currency movements had a
negative impact on the U.S. dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2018
--------------------------------
LOCAL RETURN RETURN IN U.S. DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ ----------------------
China.................................................. -16.33% -16.73%
Korea.................................................. -18.52% -19.90%
Taiwan................................................. -6.62% -8.98%
India.................................................. -0.01% -12.42%
Brazil................................................. 18.95% 4.76%
South Africa........................................... -13.80% -17.45%
Russia................................................. 22.79% 10.69%
Mexico................................................. -9.54% -14.55%
Thailand............................................... 4.01% 4.23%
Malaysia............................................... -0.18% 0.99%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2018, all rights reserved.
For Portfolios investing in non- U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2018,
these differences generally detracted from the Portfolios' relative performance.
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2018
Bond yields increased in the U.S. during the 12 months ended October 31,
2018. Short-term yields increased more than long-term yields. However,
long-term bonds generally underperformed short-term bonds during the period.
Bond yields also increased in Japan and Italy, resulting in long-term bonds
generally underperforming short-term bonds in these markets. In Germany, the
U.K., and Spain, short-term yields generally increased while long-term yields
generally decreased. Thus, long-term bonds generally outperformed short-term
bonds in these countries.
In the aggregate, long-term bonds generally underperformed short- term bonds
in global developed fixed income markets for the 12-month period ended
October 31, 2018. For example, the FTSE World Government Bond Index 1-3 Years
(hedged to USD) returned 1.06%, while the FTSE World Government Bond Index 20+
Years (hedged to USD) had a total return of -0.33%. Within the U.S., the
Bloomberg Barclays U.S. Treasury Bond Index 1-3 Years had a total return of
0.18% while the Bloomberg Barclays U.S. Treasury Bond Index 20+ Years had a
total return of -6.55% during the period.
OCTOBER 31, 2017 OCTOBER 31, 2018 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield).............. 0.99% 2.20% 1.21%
Ten-Year U.S. Treasury Notes (yield)......... 2.38% 3.15% 0.77%
--------
Source: Bloomberg
6
Some of Dimensional's fixed income strategies are based on a variable
maturity strategy that identifies a maturity range with higher expected
returns. When the yield curve is flat or inverted, short-term securities are
believed to offer higher expected returns. When the yield curve is upwardly
sloped, aggregate Portfolio maturities may be lengthened to seek the higher
expected returns associated with longer maturities. These higher returns may be
achieved by capital appreciation (from holding bonds through an upwardly sloped
term structure) as well as by earning higher current yields. During the period
under review, many of the Portfolios employing a variable maturity approach
continued to maintain a duration near the longer end of their eligible range,
reflecting upward-sloping eligible yield curves.
Some of Dimensional's fixed income strategies are based on a variable credit
approach that varies exposure to lower credit quality securities. When credit
spreads are narrow, higher-quality securities are emphasized. When credit
spreads are wide, additional credit exposure may be taken in order to position
a Portfolio to seek higher expected returns by capturing high expected credit
premiums. While credit spreads generally widened for the 12 months ended
October 31, 2018, many of the Portfolios employing a variable credit approach
held less than their maximum allowable weight in credit.
GLOBAL EQUITY PORTFOLIO
The Global Equity Portfolio seeks long-term capital appreciation by
investing in a combination of other mutual funds managed by Dimensional that
invest in domestic and international equity securities, including emerging
markets securities. As of the date of this report, the Portfolio's investments
in the domestic equity funds included the U.S. Core Equity 1 Portfolio, the
U.S. Core Equity 2 Portfolio, and the DFA Real Estate Securities Portfolio; and
the Portfolio's investments in the international equity funds included the
International Core Equity Portfolio and the Emerging Markets Core Equity
Portfolio (collectively, the "Underlying Funds"). The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2018, the
Underlying Funds collectively held approximately 13,600 equity securities in 44
eligible developed and emerging markets.
For the 12 months ended October 31, 2018, total returns were -0.24% for the
Portfolio's Institutional Class shares, -0.47% for the Portfolio's Class R2
shares, and 1.16% for the MSCI World Index (net dividends), the Portfolio's
benchmark. As a result of the Underlying Funds' diversified investment
approach, performance was determined principally by broad trends in global
equity markets rather than by the behavior of a limited group of stocks. The
Underlying Funds' inclusion of emerging markets (a region not included in the
benchmark) had a negative impact on performance relative to the benchmark, as
emerging markets underperformed developed markets. With small-caps
underperforming large-caps globally for the period, the Underlying Funds'
inclusion of and emphasis on small-cap stocks detracted from performance
relative to the benchmark (which is composed primarily of large- and mid-cap
stocks). With low relative price (value) stocks generally underperforming high
relative price (growth) stocks in developed markets, the Underlying Funds'
greater emphasis on value stocks also had a negative impact on relative
performance.
GLOBAL ALLOCATION 60/40 PORTFOLIO
The Global Allocation 60/40 Portfolio seeks capital appreciation and current
income by investing in a combination of other mutual funds managed by
Dimensional that invest in domestic and international equity securities,
including emerging markets securities, and fixed income securities. As of the
date of this report, the Portfolio's investments in domestic equity funds
included the U.S. Core Equity 1 Portfolio, the U.S. Core Equity 2 Portfolio,
and the DFA Real Estate Securities Portfolio; the Portfolio's investments in
international equity funds, included the International Core Equity Portfolio
and the Emerging Markets Core Equity Portfolio (collectively, the "Equity
Underlying Funds"); and the Portfolio's investments in fixed income funds
included the DFA Short-Term Extended Quality Portfolio, the DFA Five-Year
Global Fixed Income Portfolio, the DFA Inflation-Protected Securities
Portfolio, the DFA Selectively Hedged Global Fixed Income Portfolio, the DFA
Intermediate-Term Extended Quality Portfolio, and the DFA World ex U.S.
Government Fixed Income Portfolio (the "Fixed Income Underlying Funds," and,
collectively with the Equity Underlying Funds, the "Equity and Fixed Income
Underlying Funds"). The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2018, the Equity and Fixed Income
Underlying Funds collectively held approximately 13,600 equity securities in 44
eligible developed and emerging markets and approximately 1,250 fixed income
securities in 19 countries, excluding supranationals.
For the 12 months ended October 31, 2018, total returns were 0.06% for the
Portfolio's Institutional Class shares, -0.22% for the Portfolio's Class R2
shares, and 1.28% for the Portfolio's composite benchmark, a hypothetical
composite index composed of 60% MSCI World Index (net dividends), the
Portfolio's equity benchmark, and 40% FTSE World Government Bond Index 1-3
Years (hedged to USD), the Portfolio's fixed income benchmark. As a result of
the
7
Equity and Fixed Income Underlying Funds' diversified investment approach,
performance was determined principally by broad trends in global equity and
fixed income markets rather than by the behavior of a limited group of
securities. The Portfolio's equity and fixed income components each
underperformed the relevant component of the composite benchmark and detracted
from the Portfolio's performance relative to the composite benchmark.
The Equity Underlying Funds' inclusion of emerging markets (a region not
included in the equity benchmark) had a negative impact on performance relative
to the equity benchmark, as emerging markets underperformed developed markets.
With small-caps underperforming large-caps globally for the period, the Equity
Underlying Funds' inclusion of and emphasis on small-cap stocks detracted from
performance relative to the equity benchmark (which is composed primarily of
large- and mid-cap stocks). With low relative price (value) stocks generally
underperforming high relative price (growth) stocks in developed markets, the
Equity Underlying Funds' greater emphasis on value stocks also had a negative
impact on relative performance.
During the period ended October 31, 2018, interest rates generally
increased, resulting in negative realized term premiums. Credit spreads
generally widened, resulting in negative realized credit premiums. The Fixed
Income Underlying Funds' exposure to longer-term and credit securities
detracted from performance relative to the fixed income benchmark. The Fixed
Income Underlying Funds' exposure to U.S. TIPS (Treasury Inflation- Protected
Securities) also detracted from relative performance, as real interest rates
increased during the period.
GLOBAL ALLOCATION 25/75 PORTFOLIO
The Global Allocation 25/75 Portfolio seeks total return consistent with
current income and preservation of capital with some capital appreciation by
investing in a combination of mutual funds managed by Dimensional that invest
in domestic and international securities, including emerging markets
securities, and fixed income securities. The Portfolio allocates the majority
of its assets to fixed income funds, but also invests a portion of its assets
in domestic and international equity funds. As of the date of this report, the
Portfolio's investments in domestic equity funds included the U.S. Core Equity
1 Portfolio, the U.S. Core Equity 2 Portfolio, and the DFA Real Estate
Securities Portfolio; the Portfolio's investments in international equity funds
included the International Core Equity Portfolio and the Emerging Markets Core
Equity Portfolio (collectively, the "Equity Underlying Funds"); and the
Portfolio's investments in fixed income funds included the DFA Two-Year Global
Fixed Income Portfolio, the DFA Inflation-Protected Securities Portfolio, the
DFA Short-Term Extended Quality Portfolio, and the DFA World ex U.S. Government
Fixed Income Portfolio (the "Fixed Income Underlying Funds," and, collectively
with the Equity Underlying Funds, the "Equity and Fixed Income Underlying
Funds"). The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2018, the Equity and Fixed Income Underlying
Funds collectively approximately 13,600 equity securities in 44 eligible
developed and emerging markets and approximately 850 fixed income securities in
18 countries, excluding supranationals.
For the 12 months ended October 31, 2018, total returns were 0.24% for the
Portfolio's Institutional Class shares, 0.08% for the Portfolio's Class R2
shares, and 1.21% for the Portfolio's composite benchmark, hypothetical
composite index composed of 25% MSCI World Index (net dividends), the
Portfolio's equity benchmark, and 75% FTSE World Government Bond Index, 1-3
Years (hedged to USD), the Portfolio's fixed income benchmark. As a result of
the Equity and Fixed Income Underlying Funds' diversified investment approach,
performance was determined principally by broad trends in global equity and
fixed income markets rather than by the behavior of a limited group of
securities. The Portfolio's equity and fixed income components each
underperformed the relevant component of the composite benchmark and detracted
from the Portfolio's performance relative to the composite benchmark.
The Equity Underlying Funds' inclusion of emerging markets (a region not
included in the equity benchmark) had a negative impact on performance relative
to the equity benchmark, as emerging markets underperformed developed markets.
With small-caps underperforming large-caps globally for the period, the Equity
Underlying Funds' inclusion of and emphasis on small-cap stocks detracted from
performance relative to the equity benchmark (which is composed primarily of
large- and mid-cap stocks). With low relative price (value) stocks generally
underperforming high relative price (growth) stocks in developed markets, the
Equity Underlying Funds' greater emphasis on value stocks also had a negative
impact on relative performance.
During the period ended October 31, 2018, interest rates generally
increased, resulting in negative realized term premiums. Credit spreads
generally widened, resulting in negative realized credit premiums. The Fixed
Income Underlying Funds' exposure to longer-term and credit securities
detracted from performance relative to the fixed income benchmark. The Fixed
Income Underlying Funds' exposure to U.S. TIPS (Treasury Inflation- Protected
Securities) also detracted from relative performance, as real interest rates
increased during the period.
8
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 and 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"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2018
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
GLOBAL EQUITY PORTFOLIO(2)
--------------------------
Actual Fund Return
Class R2 Shares..................... $1,000.00 $ 961.50 0.55% $2.72
Institutional Class Shares.......... $1,000.00 $ 962.60 0.30% $1.48
Hypothetical 5% Annual Return
Class R2 Shares..................... $1,000.00 $1,022.43 0.55% $2.80
Institutional Class Shares.......... $1,000.00 $1,023.69 0.30% $1.53
9
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/18 10/31/18 RATIO(1) PERIOD(1)
--------- --------- ---------- ---------
GLOBAL ALLOCATION 60/40 PORTFOLIO(2)
------------------------------------
Actual Fund Return
Class R2 Shares..................... $1,000.00 $ 980.40 0.54% $2.70
Institutional Class Shares.......... $1,000.00 $ 981.50 0.29% $1.45
Hypothetical 5% Annual Return
Class R2 Shares..................... $1,000.00 $1,022.48 0.54% $2.75
Institutional Class Shares.......... $1,000.00 $1,023.74 0.29% $1.48
GLOBAL ALLOCATION 25/75 PORTFOLIO(2)
------------------------------------
Actual Fund Return
Class R2 Shares..................... $1,000.00 $ 995.70 0.51% $2.57
Institutional Class Shares.......... $1,000.00 $ 996.20 0.26% $1.31
Hypothetical 5% Annual Return
Class R2 Shares..................... $1,000.00 $1,022.64 0.51% $2.60
Institutional Class Shares.......... $1,000.00 $1,023.90 0.26% $1.33
--------
(1) Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2) 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 Underlying Funds (Affiliated Investment Companies).
10
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 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 used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Global Equity Portfolio..................................... 100.0%
Global Allocation 60/40 Portfolio........................... 100.0%
Global Allocation 25/75 Portfolio........................... 100.0%
11
GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE+
----------- --------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 162,942,454 $3,462,527,139
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 115,100,640 1,456,023,098
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 50,523,972 1,150,430,854
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 24,502,611 464,324,470
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 4,917,876 167,896,285
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $4,698,324,504).............................................. $6,701,201,846
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 2.090%
(Cost $1,559,296).................................................. 1,559,296 1,559,296
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,699,883,800).............................................. $6,702,761,142
==============
Summary of the Global Fund's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------- ------- --------------
Affiliated Investment Companies......... $6,701,201,846 -- -- $6,701,201,846
Temporary Cash Investments.............. 1,559,296 -- -- 1,559,296
-------------- -- -- --------------
TOTAL................................... $6,702,761,142 -- -- $6,702,761,142
============== == == ==============
See accompanying Notes to Financial Statements.
12
GLOBAL ALLOCATION 60/40 PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................. 57,936,392 $1,231,148,334
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 64,500,734 619,207,047
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 40,449,922 511,691,515
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 39,135,465 417,966,765
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 17,908,893 407,785,497
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 19,472,047 212,245,316
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 20,881,373 211,110,685
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 8,730,990 165,452,254
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 10,260,801 107,225,367
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 9,404,306 105,798,438
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 1,735,541 59,251,368
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $3,314,028,943)............................................... $4,048,882,586
==============
Summary of the Global Fund's investments as of October 31, 2018, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ------- ------- --------------
Affiliated Investment Companies......... $4,048,882,586 -- -- $4,048,882,586
-------------- -- -- --------------
TOTAL................................... $4,048,882,586 -- -- $4,048,882,586
============== == == ==============
See accompanying Notes to Financial Statements.
13
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 26,673,704 $265,403,354
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................ 24,847,835 265,374,882
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 5,184,464 110,169,863
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 8,665,642 97,488,473
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 3,504,194 44,328,052
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 3,448,014 36,031,740
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 1,555,981 35,429,692
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 756,466 14,335,027
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 151,003 5,155,236
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $788,845,637)................................................ $873,716,319
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund, 2.090%
(Cost $973,952).................................................... 973,952 973,952
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $789,819,589)................................................ $874,690,271
============
Summary of the Global Fund's investments as of October 31, 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....... $873,716,319 -- -- $873,716,319
Temporary Cash Investments............ 973,952 -- -- 973,952
------------ -- -- ------------
TOTAL................................. $874,690,271 -- -- $874,690,271
============ == == ============
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
GLOBAL GLOBAL
GLOBAL EQUITY ALLOCATION ALLOCATION
PORTFOLIO 60/40 PORTFOLIO 25/75 PORTFOLIO
------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value......................... $ 6,701,202 $ 4,048,883 $ 873,716
Temporary Cash Investments at Value & Cost...................................... 1,559 -- 974
Receivables:
Affiliated Investment Companies Sold......................................... -- 2,100 --
Dividends and Interest....................................................... 4 2 --
Fund Shares Sold............................................................. 4,596 3,008 1,120
Prepaid Expenses and Other Assets............................................... 71 57 19
------------ ------------ ------------
Total Assets............................................................. 6,707,432 4,054,050 875,829
------------ ------------ ------------
LIABILITIES:
Payables:
Due to Custodian............................................................. -- 748 --
Affiliated Investment Companies Purchased.................................... 1,559 -- 662
Fund Shares Redeemed......................................................... 4,035 3,235 8,839
Due to Advisor............................................................... 202 133 29
Accrued Expenses and Other Liabilities.......................................... 299 184 44
------------ ------------ ------------
Total Liabilities........................................................ 6,095 4,300 9,574
------------ ------------ ------------
NET ASSETS...................................................................... $ 6,701,337 $ 4,049,750 $ 866,255
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $27,415; $6,774 and $983 and shares
outstanding of 1,238,187, 385,300 and 74,387, respectively.................... $ 22.14 $ 17.58 $ 13.22
============ ============ ============
NUMBER OF SHARES AUTHORIZED..................................................... 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares -- based on net assets of $6,673,922; $4,042,976 and
$865,272 and shares outstanding of 303,181,089, 231,213,869 and 65,236,711,
respectively.................................................................. $ 22.01 $ 17.49 $ 13.26
============ ============ ============
NUMBER OF SHARES AUTHORIZED..................................................... 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost.......................... $ 4,698,325 $ 3,314,029 $ 788,846
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................. $ 4,804,020 $ 3,330,539 $ 785,685
Total Distributable Earnings (Loss)............................................. 1,897,317 719,211 80,570
------------ ------------ ------------
NET ASSETS...................................................................... $ 6,701,337 $ 4,049,750 $ 866,255
============ ============ ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2018
(AMOUNTS IN THOUSANDS)
GLOBAL GLOBAL
GLOBAL EQUITY ALLOCATION ALLOCATION
PORTFOLIO 60/40 PORTFOLIO 25/75 PORTFOLIO
------------- --------------- ---------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated
Investment Companies Income Distributions................ $ 125,827 $ 75,321 $ 14,737
--------- -------- --------
Total Net Investment Income Received from
Affiliated Investment Companies................... 125,827 75,321 14,737
--------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0
and $0, respectively)................................. 50 32 8
--------- -------- --------
Total Fund Investment Income........................ 50 32 8
--------- -------- --------
FUND EXPENSES
Investment Management Fees.............................. 20,691 10,288 1,732
Accounting & Transfer Agent Fees........................ 320 164 39
Custodian Fees.......................................... 3 1 1
Shareholder Servicing Fees
Class R2 Shares..................................... 78 18 2
Filing Fees............................................. 187 157 59
Shareholders' Reports................................... 197 108 26
Directors'/Trustees' Fees & Expenses.................... 27 16 3
Professional Fees....................................... 37 25 5
Other................................................... 29 28 8
--------- -------- --------
Total Fund Expenses................................. 21,569 10,805 1,875
--------- -------- --------
Fees Waived, (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)
Class R2 Shares..................................... (82) (15) (2)
Institutional Class Shares.......................... (18,249) (8,651) (1,384)
--------- -------- --------
Net Expenses............................................ 3,238 2,139 489
--------- -------- --------
NET INVESTMENT INCOME (LOSS)............................ 122,639 73,214 14,256
--------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated
Investment Companies.................................. 36,754 14,379 1,377
Net Realized Gain (Loss) on:
Investment Securities Sold**........................ 1 -- --
Affiliated Investment Companies Shares Sold......... 1,009 (1,730) 1,602
Futures............................................. 53 -- --
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares.............. (192,562) (89,878) (15,141)
Futures............................................. (7) -- --
--------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................. (154,752) (77,229) (12,162)
--------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................... $ (32,113) $ (4,015) $ 2,094
========= ======== ========
--------
** Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
GLOBAL ALLOCATION 60/40 GLOBAL ALLOCATION 25/75
GLOBAL EQUITY PORTFOLIO PORTFOLIO PORTFOLIO
----------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2018 2017 2018 2017
----------- ---------- ---------- ---------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 122,639 $ 105,031 $ 73,214 $ 63,216 $ 14,256 $ 11,860
Capital Gain Distributions Received from
Affiliated Investment Companies.................... 36,754 21,988 14,379 9,719 1,377 1,092
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/................. 1 27 -- 23 -- 3
Affiliated Investment Companies Shares
Sold........................................... 1,009 8,670 (1,730) 625 1,602 1,570
Futures.......................................... 53 -- -- -- -- --
Change in Unrealized Appreciation (Depreciation)
of:
Affiliated Investment Companies
Shares......................................... (192,562) 1,075,454 (89,878) 397,790 (15,141) 34,194
Futures.......................................... (7) 7 -- -- -- --
----------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... (32,113) 1,211,177 (4,015) 471,373 2,094 48,719
----------- ---------- ---------- ---------- --------- ---------
Distributions:/^/
Class R2 Shares.................................. (562) (448) (128) (112) (16) (15)
Institutional Class Shares....................... (141,845) (104,823) (82,506) (68,570) (16,226) (14,763)
----------- ---------- ---------- ---------- --------- ---------
Total Distributions........................... (142,407) (105,271) (82,634) (68,682) (16,242) (14,778)
----------- ---------- ---------- ---------- --------- ---------
Capital Share Transactions:
Shares Issued........................................ 1,575,632 1,397,796 1,114,804 1,037,853 249,574 228,286
Shares Issued in Lieu of Cash Distributions.......... 141,114 104,442 81,286 67,662 16,176 14,716
Shares Redeemed...................................... (1,261,621) (988,697) (905,941) (760,979) (227,795) (161,801)
----------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) from Capital
Share Transactions.......................... 455,125 513,541 290,149 344,536 37,955 81,201
----------- ---------- ---------- ---------- --------- ---------
Total Increase (Decrease) in Net
Assets...................................... 280,605 1,619,447 203,500 747,227 23,807 115,142
NET ASSETS
Beginning of Year.................................... 6,420,732 4,801,285 3,846,250 3,099,023 842,448 727,306
----------- ---------- ---------- ---------- --------- ---------
End of Year.......................................... $ 6,701,337 $6,420,732 $4,049,750 $3,846,250 $ 866,255 $ 842,448
=========== ========== ========== ========== ========= =========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2017 of $0, $0 and $0, respectively
^ Distributions from net investment income and net realized capital gains are
combined for the years/period ended October 31, 2017 and October 31, 2018,
respectively. Comparable prior year information has been revised to reflect
current year presentation, if applicable. See Note F in the Notes to
Financial Statements for more information regarding distributions and see
Note L in the Notes to Financial Statements for more information regarding
recently issued accounting standards.
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL EQUITY PORTFOLIO-CLASS R2 SHARES
---------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
------- ------- ------- ------- -------
Net Asset Value, Beginning of
Year............................. $ 22.66 $ 18.58 $ 18.32 $ 18.66 $ 17.44
------- ------- ------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................... 0.35 0.34 0.34 0.31 0.28
Net Gains (Losses) on
Securities (Realized and
Unrealized)................... (0.44) 4.08 0.26 (0.34) 1.24
------- ------- ------- ------- -------
Total from Investment
Operations................ (0.09) 4.42 0.60 (0.03) 1.52
------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income........... (0.36) (0.34) (0.34) (0.31) (0.30)
Net Realized Gains.............. (0.07) -- -- -- --
------- ------- ------- ------- -------
Total Distributions......... (0.43) (0.34) (0.34) (0.31) (0.30)
------- ------- ------- ------- -------
Net Asset Value, End of Year....... $ 22.14 $ 22.66 $ 18.58 $ 18.32 $ 18.66
======= ======= ======= ======= =======
Total Return....................... (0.47%) 23.98% 3.37% (0.16%) 8.73%
------- ------- ------- ------- -------
Net Assets, End of Year
(thousands)...................... $27,415 $30,644 $19,844 $50,269 $10,109
Ratio of Expenses to Average Net
Assets *(B)...................... 0.55% 0.55% 0.55% 0.57% 0.56%
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor) *(B).................... 0.82% 0.82% 0.83% 0.86% 0.85%
Ratio of Net Investment Income to
Average Net Assets............... 1.49% 1.62% 1.89% 1.67% 1.54%
------- ------- ------- ------- -------
*The Ratio of Expenses to
Average Net Assets is inclusive
of acquired fund fees and
expenses incurred by the
Portfolio indirectly as a result
of Portfolio's investment in
Underlying Funds as
follows:.......................... 0.25% 0.26% 0.27% 0.29% 0.30%
------- ------- ------- ------- -------
GLOBAL ALLOCATION 60/40 PORTFOLIO-CLASS R2 SHARES
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
------- ------- ------- ------- -------
Net Asset Value, Beginning of
Year............................. $17.94 $15.99 $15.70 $16.01 $15.32
------ ------ ------ ------ ------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................... 0.28 0.26 0.26 0.26 0.22
Net Gains (Losses) on
Securities (Realized and
Unrealized)................... (0.31) 1.99 0.33 (0.31) 0.67
------ ------ ------ ------ ------
Total from Investment
Operations................ (0.03) 2.25 0.59 (0.05) 0.89
------ ------ ------ ------ ------
Less Distributions:
-------------------
Net Investment Income........... (0.28) (0.28) (0.30) (0.26) (0.20)
Net Realized Gains.............. (0.05) (0.02) -- -- --
------ ------ ------ ------ ------
Total Distributions......... (0.33) (0.30) (0.30) (0.26) (0.20)
------ ------ ------ ------ ------
Net Asset Value, End of Year....... $17.58 $17.94 $15.99 $15.70 $16.01
====== ====== ====== ====== ======
Total Return....................... (0.22%) 14.21% 3.86% (0.27%) 5.85%
------ ------ ------ ------ ------
Net Assets, End of Year
(thousands)...................... $6,774 $6,902 $5,793 $5,455 $3,259
Ratio of Expenses to Average Net
Assets *(B)...................... 0.53% 0.53% 0.53% 0.54% 0.54%
Ratio of Expenses to Average Net
Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or Previously
Waived Fees Recovered by
Advisor) *(B).................... 0.74% 0.74% 0.75% 0.77% 0.77%
Ratio of Net Investment Income to
Average Net Assets............... 1.55% 1.56% 1.67% 1.61% 1.42%
------ ------ ------ ------ ------
*The Ratio of Expenses to
Average Net Assets is inclusive
of acquired fund fees and
expenses incurred by the
Portfolio indirectly as a result
of Portfolio's investment in
Underlying Funds as
follows:.......................... 0.23% 0.24% 0.25% 0.25% 0.25%
------ ------ ------ ------ ------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL ALLOCATION 25/75 PORTFOLIO-CLASS R2 SHARES
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year........ $13.44 $12.89 $12.74 $12.93 $12.75
------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.19 0.16 0.16 0.14 0.14
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.18) 0.61 0.19 (0.08) 0.20
------ ------ ------ ------ ------
Total from Investment
Operations....................... 0.01 0.77 0.35 0.06 0.34
------ ------ ------ ------ ------
Less Distributions:
-------------------
Net Investment Income.................. (0.19) (0.18) (0.20) (0.23) (0.13)
Net Realized Gains..................... (0.04) (0.04) -- (0.02) (0.03)
------ ------ ------ ------ ------
Total Distributions................ (0.23) (0.22) (0.20) (0.25) (0.16)
------ ------ ------ ------ ------
Net Asset Value, End of Year.............. $13.22 $13.44 $12.89 $12.74 $12.93
====== ====== ====== ====== ======
Total Return.............................. 0.08% 6.06% 2.78% 0.50% 2.69%
------ ------ ------ ------ ------
Net Assets, End of Year (thousands)....... $ 983 $ 902 $ 848 $ 428 $ 183
Ratio of Expenses to Average Net
Assets *(B)............................. 0.51% 0.51% 0.50% 0.51% 0.52%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered by
Advisor) *(B)........................... 0.67% 0.67% 0.67% 0.68% 0.69%
Ratio of Net Investment Income to
Average Net Assets...................... 1.40% 1.26% 1.22% 1.12% 1.09%
------ ------ ------ ------ ------
* The Ratio of Expenses to Average
Net Assets is inclusive of acquired
fund fees and expenses incurred by
the Portfolio indirectly as a
result of Portfolio's investment in
Underlying Funds as follows:............ 0.20% 0.20% 0.21% 0.21% 0.21%
------ ------ ------ ------ ------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL EQUITY PORTFOLIO-INSTITUTIONAL CLASS SHARES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year........ $ 22.53 $ 18.46 $ 18.17 $ 18.51 $ 17.30
---------- ---------- ---------- ---------- ----------
Income (loss) from Investment
Operations
-----------------------------
Net Investment Income (Loss) (A)....... 0.42 0.38 0.36 0.35 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.46) 4.07 0.29 (0.34) 1.21
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations....................... (0.04) 4.45 0.65 0.01 1.55
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................. (0.41) (0.38) (0.36) (0.35) (0.34)
Net Realized Gains..................... (0.07) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions................ (0.48) (0.38) (0.36) (0.35) (0.34)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year.............. $ 22.01 $ 22.53 $ 18.46 $ 18.17 $ 18.51
========== ========== ========== ========== ==========
Total Return.............................. (0.24%) 24.33% 3.65% 0.07% 9.03%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)....... $6,673,922 $6,390,088 $4,781,441 $4,331,809 $3,822,287
Ratio of Expenses to Average Net
Assets (B)*............................. 0.30% 0.30% 0.30% 0.31% 0.31%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered by
Advisor) (B)*........................... 0.57% 0.57% 0.58% 0.60% 0.60%
Ratio of Net Investment Income to
Average Net Assets...................... 1.78% 1.85% 1.99% 1.90% 1.87%
---------- ---------- ---------- ---------- ----------
* The Ratio of Expenses to Average
Net Assets is inclusive of acquired
fund fees and expenses incurred by
the Portfolio indirectly as a
result of Portfolio's investment in
Underlying Funds as follows:............ 0.25% 0.26% 0.27% 0.29% 0.30%
---------- ---------- ---------- ---------- ----------
GLOBAL ALLOCATION 60/40 PORTFOLIO-INSTITUTIONAL CLASS SHARES
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year........ $ 17.84 $ 15.89 $ 15.57 $ 15.88 $ 15.24
---------- ---------- ---------- ---------- ----------
Income (loss) from Investment
Operations
-----------------------------
Net Investment Income (Loss) (A)....... 0.32 0.30 0.30 0.31 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.30) 1.98 0.33 (0.31) 0.65
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations....................... 0.02 2.28 0.63 -- 0.92
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................. (0.32) (0.31) (0.31) (0.31) (0.28)
Net Realized Gains..................... (0.05) (0.02) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions................ (0.37) (0.33) (0.31) (0.31) (0.28)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year.............. $ 17.49 $ 17.84 $ 15.89 $ 15.57 $ 15.88
========== ========== ========== ========== ==========
Total Return.............................. 0.06% 14.54% 4.09% -- 6.08%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)....... $4,042,976 $3,839,348 $3,093,230 $2,954,230 $2,616,515
Ratio of Expenses to Average Net
Assets (B)*............................. 0.28% 0.28% 0.28% 0.29% 0.29%
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered by
Advisor) (B)*........................... 0.49% 0.49% 0.50% 0.52% 0.52%
Ratio of Net Investment Income to
Average Net Assets...................... 1.78% 1.80% 1.93% 1.93% 1.70%
---------- ---------- ---------- ---------- ----------
* The Ratio of Expenses to Average
Net Assets is inclusive of acquired
fund fees and expenses incurred by
the Portfolio indirectly as a
result of Portfolio's investment in
Underlying Funds as follows:............ 0.23% 0.24% 0.25% 0.25% 0.25%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
20
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL ALLOCATION 25/75 PORTFOLIO-INSTITUTIONAL CLASS SHARES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year..................... $ 13.48 $ 12.92 $ 12.72 $ 12.89 $ 12.69
-------- -------- -------- -------- --------
Income (loss) from Investment Operations
----------------------------------------
Net Investment Income (Loss) (A).................... 0.22 0.20 0.19 0.20 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... (0.19) 0.60 0.19 (0.10) 0.24
-------- -------- -------- -------- --------
Total from Investment Operations................ 0.03 0.80 0.38 0.10 0.41
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income............................... (0.21) (0.20) (0.18) (0.25) (0.18)
Net Realized Gains.................................. (0.04) (0.04) -- (0.02) (0.03)
-------- -------- -------- -------- --------
Total Distributions............................. (0.25) (0.24) (0.18) (0.27) (0.21)
-------- -------- -------- -------- --------
Net Asset Value, End of Year........................... $ 13.26 $ 13.48 $ 12.92 $ 12.72 $ 12.89
======== ======== ======== ======== ========
Total Return........................................... 0.24% 6.34% 3.04% 0.79% 3.30%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands).................... $865,272 $841,546 $726,458 $712,072 $673,375
Ratio of Expenses to Average Net Assets (B)*........... 0.26% 0.26% 0.25% 0.26% 0.27%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor) (B)*.... 0.42% 0.42% 0.42% 0.43% 0.44%
Ratio of Net Investment Income to Average Net Assets... 1.65% 1.49% 1.53% 1.58% 1.36%
-------- -------- -------- -------- --------
* The Ratio of Expenses to Average Net Assets is
inclusive of acquired fund fees and expenses
incurred by the Portfolio indirectly as a result of
Portfolio's investment in Underlying Funds as
follows:............................................. 0.20% 0.20% 0.21% 0.21% 0.21%
-------- -------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
21
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers twelve portfolios,
three of which, the Global Equity Portfolio, Global Allocation 60/40 Portfolio
and Global Allocation 25/75 Portfolio (each a "Global Fund" and collectively,
the "Global Funds"), are presented in this report. The remaining operational
portfolios are presented in separate reports.
The Global Funds are investment companies and accordingly, follow the
accounting and reporting guidance under the Financial Accounting Standards
Board ( "FASB") Accounting Standards Certification ("ASC"), Topic 946,
"Financial Services-Investment Companies".
The Global Funds achieve their investment objectives by primarily investing
in other portfolios within DFA Investment Dimensions Group Inc. ("IDG")
(collectively, the "Underlying Funds"). As of October 31, 2018, the Global
Funds were the owner of record of the following approximate percentages of the
total outstanding shares of the following Underlying Funds as detailed below:
PERCENTAGE
OWNERSHIP
FUND OF FUNDS UNDERLYING FUNDS AT 10/31/18
------------- ------------------------------------------------------- -----------
Global Equity Portfolio U.S. Core Equity 1 Portfolio (IDG) 5%
U.S. Core Equity 2 Portfolio (IDG) 14%
DFA Real Estate Securities Portfolio (IDG) 2%
International Core Equity Portfolio (IDG) 5%
Emerging Markets Core Equity Portfolio (IDG) 2%
Global Allocation 60/40 Portfolio U.S. Core Equity 1 Portfolio (IDG) 2%
U.S. Core Equity 2 Portfolio (IDG) 5%
DFA Real Estate Securities Portfolio (IDG) 1%
International Core Equity Portfolio (IDG) 2%
DFA Selectively Hedged Global Fixed Income Portfolio
(IDG) 51%
Emerging Markets Core Equity Portfolio (IDG) 1%
DFA Five-Year Global Fixed Income Portfolio (IDG) 1%
DFA Inflation-Protected Securities Portfolio (IDG) 2%
DFA Short-Term Extended Quality Portfolio (IDG) 7%
DFA Intermediate-Term Extended Quality Portfolio (IDG) 12%
DFA World ex U.S. Government Fixed Income Portfolio
(IDG) 10%
Global Allocation 25/75 Portfolio U.S. Core Equity 1 Portfolio (IDG) --
U.S. Core Equity 2 Portfolio (IDG) --
DFA Real Estate Securities Portfolio (IDG) --
International Core Equity Portfolio (IDG) --
22
PERCENTAGE
OWNERSHIP
FUND OF FUNDS UNDERLYING FUNDS AT 10/31/18
------------- ---------------------------------------------------- -----------
DFA Two-Year Global Fixed Income Portfolio (IDG) 5%
Emerging Markets Core Equity Portfolio (IDG) --
DFA Inflation-Protected Securities Portfolio (IDG) 2%
DFA Short-Term Extended Quality Portfolio (IDG) 5%
DFA World ex U.S. Government Fixed Income Portfolio
(IDG) 3%
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, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Global Funds use 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,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Global Funds'
own assumptions in determining the fair value of investments)
Underlying Fund shares held by the Global Funds are valued at their
respective daily net asset values as reported by their administrator, as these
Underlying Funds are treated as regulated investment companies. These
securities are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Global Funds net assets by each
major security type is disclosed previously in this note. Valuation hierarchy
tables have been included at the end of the Schedule of Investments. The
methodology or inputs used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate 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: the 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.
The Directors may receive their distributions of proceeds by 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. The 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
23
Directors of the Fund; and (ii) five years following the effective date of the
Director's first deferral election. If a Director who elects to defer fees
fails to designate in the Notice a time or date as of which payment of the
Director's deferred fee account shall commence, payment of such amount shall
commence as of the first business day of January following the year in which
the Director ceases to be a member of the Board (unless the Director files an
amended Notice selecting a different distribution date). As of October 31,
2018, none of the Directors have requested or received a distribution of
proceeds of a deferred fee account.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of affiliated
investment company shares are accounted for on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received from the investment in affiliated
investment companies that represent a return of capital or capital gains are
recorded as a reduction of cost of investments or as a realized gain,
respectively. The Global Funds estimate the character of received distributions
that may be considered return of capital distributions. Interest income is
recorded on an accrual basis. Expenses directly attributable to a Global Fund
are directly charged. Common expenses of the Fund or Global Funds are allocated
using methods approved by the Board, generally based on average net assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Global Funds. For the year ended October 31, 2018, the Global
Funds' investment management fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets:
Global Equity Portfolio............................................... 0.30%
Global Allocation 60/40 Portfolio..................................... 0.25%
Global Allocation 25/75 Portfolio..................................... 0.20%
Pursuant to an Amended and Restated Fee Waiver Agreement (the "Fee Waiver
Agreement"), the Advisor has agreed to waive certain fees of the Global Funds,
as described below. The Fee Waiver Agreement for the Global Funds will remain
in effect through February 28, 2019, and may only be terminated by the Fund's
Board of Directors prior to that date. The Fee Waiver Agreement shall continue
in effect from year to year thereafter unless terminated by the Fund or the
Advisor.
Effective July 21, 2015, pursuant to the Fee Waiver Agreement, in order to
limit the total management fees received by the Advisor, the Advisor has agreed
to waive the management fee each Global Fund pays to the Advisor to the extent
necessary to limit the proportionate share of the total combined management fee
paid by a class of each Global Fund and management fees paid by each Global
Fund's Underlying Funds to the Advisor, except for fees paid indirectly through
its investment of securities lending cash collateral in The DFA Short Term
Investment Fund, on an annualized basis (the "Annualized Expense Ratio"), to
the Total Management Fee Limits listed below based on a percentage of average
net assets on an annualized basis. The maximum amount waived under this waiver
is the full amount of a Global Fund's management fee to the Advisor.
At any time that the Annualized Expense Ratio of a class of a Global Fund is
less than the limit listed below for such class of the Global Fund, the Advisor
retains the right to recover any fees previously waived to the extent that such
recovery will not cause the Annualized Expense Ratio of such class of shares of
the Global Fund to exceed the limit listed below. During the year ended
October 31, 2018, the the Global Funds had Total Management Fee Limits based on
a percentage of average net assets on an annualized basis, and the Advisor
recovered previously waived fees (amounts in thousands), as listed below. The
net amount of waived fees (recovered previously waived fees) during the year
ended October 31, 2018 and the previously waived fees subject to future
recovery as of October 31, 2018, are also reflected below (amounts in
thousands). The Global Funds are not obligated to reimburse the Advisor
24
for fees waived by the Advisor more than thirty-six months before the date of
such reimbursement. With respect to the Fee Waiver Agreement, prior year
expenses can be recaptured only if the current expense ratio is less than the
prior year expense cap that was in place when such prior year expenses were
waived.
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
TOTAL OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
MANAGEMENT WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES FEE LIMITS EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------------- ----------------- -----------------
Global Equity Portfolio............... 0.27% -- $18,249 $46,064
Global Allocation 60/40 Portfolio..... 0.25% -- 8,651 22,781
Global Allocation 25/75 Portfolio..... 0.22% -- 1,384 3,844
CLASS R2 SHARES
---------------
Global Equity Portfolio............... 0.27% -- 82 280
Global Allocation 60/40 Portfolio..... 0.25% -- 15 41
Global Allocation 25/75 Portfolio..... 0.22% -- 2 4
Prior to July 21, 2015, in order to limit the total administration and
management fees received by the Advisor, the Advisor had agreed to waive the
administration fee each Global Fund paid to the Advisor to the extent necessary
to limit the proportionate share of the total combined administration fee paid
by a class of each Global Fund and management fees paid by each Global Fund's
Underlying Funds to the Advisor to the expense limitations listed above. The
maximum amount waived under this waiver was the full amount of a Global Fund's
administration fee to the Advisor.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2018, the total related amounts paid by the Fund
to the CCO were $32 (in thousands). The total related amounts paid by each of
the Global Funds are included in Other Expenses on the Statements of Operations.
D. DEFERRED COMPENSATION:
As of October 31, 2018, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statements of Assets and Liabilities as follows (amounts in thousands):
Global Equity Portfolio.................................................... $123
Global Allocation 60/40 Portfolio.......................................... 76
Global Allocation 25/75 Portfolio.......................................... 19
25
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2018, the Global Funds' transactions related
to Affiliated Investment Companies, excluding in-kind redemptions, were as
follows (amounts in thousands):
CHANGE IN
NET REALIZED UNREALIZED BALANCE AT SHARES AS OF
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION 2018 2018 INCOME DISTRIBUTIONS
---------- --------- ---------- ------------ ------------- ----------- ------------ -------- -------------
GLOBAL EQUITY
PORTFOLIO
U.S. Core Equity 2
Portfolio $3,148,772 $338,488 $ 67,950 $ 1,712 $ 41,505 $3,462,527 162,942 $ 49,949 $30,302
International Core
Equity Portfolio 1,518,390 202,750 86,298 941 (179,760) 1,456,023 115,101 40,031 --
U.S. Core Equity 1
Portfolio 1,051,811 80,988 16,571 469 33,734 1,150,431 50,524 16,920 5,943
Emerging Markets Core
Equity Portfolio 490,272 72,197 11,604 (1,994) (84,547) 464,324 24,503 11,009 --
DFA Real Estate
Securities Portfolio 162,799 16,566 7,856 (119) (3,494) 167,896 4,918 7,918 509
---------- -------- -------- ------- --------- ---------- ------- -------- -------
TOTAL $6,372,044 $710,989 $190,279 $ 1,009 $(192,562) $6,701,201 357,988 $125,827 $36,754
========== ======== ======== ======= ========= ========== ======= ======== =======
GLOBAL ALLOCATION
60/40 PORTFOLIO
U.S. Core Equity 2
Portfolio $1,138,990 $120,924 $ 47,436 $ 1,984 $ 16,686 $1,231,148 57,936 $ 17,923 $11,009
DFA Selectively
Hedged Global Fixed
Income Portfolio 572,695 97,452 47,787 (3,230) 77 619,207 64,501 10,149 --
International Core
Equity Portfolio 562,394 41,988 29,255 418 (63,853) 511,692 40,450 14,396 --
DFA Short-Term
Extended Quality
Portfolio 381,980 61,404 19,150 (310) (5,957) 417,967 39,135 7,114 281
U.S. Core Equity 1
Portfolio 381,946 20,168 7,319 197 12,793 407,785 17,909 6,089 2,176
DFA Five-Year Global
Fixed Income
Portfolio 189,805 29,791 5,147 (115) (2,089) 212,245 19,472 3,000 126
DFA Intermediate-Term
Extended Quality
Portfolio 190,125 40,087 4,810 (278) (14,013) 211,111 20,881 6,520 599
Emerging Markets Core
Equity Portfolio 181,950 16,614 3,054 (275) (29,783) 165,452 8,731 3,925 --
DFA World ex U.S.
Government Fixed
Income Portfolio 94,398 12,970 2,523 (26) 2,406 107,225 10,261 157 --
DFA
Inflation-Protected
Securities Portfolio 93,998 18,222 1,635 (61) (4,726) 105,798 9,404 3,205 --
DFA Real Estate
Securities Portfolio 59,189 3,030 1,515 (34) (1,419) 59,251 1,736 2,842 188
---------- -------- -------- ------- --------- ---------- ------- -------- -------
TOTAL $3,847,470 $462,650 $169,631 $(1,730) $ (89,878) $4,048,881 290,416 $ 75,320 $14,379
========== ======== ======== ======= ========= ========== ======= ======== =======
26
CHANGE IN
NET REALIZED UNREALIZED BALANCE AT SHARES AS OF
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
10/31/17 AT COST FROM SALES ON SALES DEPRECIATION 2018 2018 INCOME DISTRIBUTIONS
---------- --------- ---------- ------------ ------------- ----------- ------------ -------- -------------
GLOBAL ALLOCATION
25/75 PORTFOLIO
DFA Two-Year Global
Fixed Income
Portfolio $252,106 $ 28,138 $13,870 $ (430) $ (541) $265,403 26,674 $ 3,246 --
DFA Short-Term
Extended Quality
Portfolio 251,872 31,980 14,413 (224) (3,840) 265,375 24,848 4,497 $ 182
U.S. Core Equity 2
Portfolio 103,856 23,503 19,192 1,341 662 110,170 5,184 1,572 985
DFA
Inflation-Protected
Securities Portfolio 92,566 13,793 4,398 (131) (4,342) 97,488 8,666 2,993 --
International Core
Equity Portfolio 51,248 5,453 7,024 628 (5,977) 44,328 3,504 1,254 --
DFA World ex U.S.
Government Fixed
Income Portfolio 33,467 3,194 1,423 (7) 801 36,032 3,448 55 --
U.S. Core Equity 1
Portfolio 34,783 3,567 4,138 431 787 35,430 1,556 532 193
Emerging Markets Core
Equity Portfolio 16,913 1,396 1,400 8 (2,582) 14,335 756 342 --
DFA Real Estate
Securities Portfolio 5,377 539 638 (14) (109) 5,155 151 246 17
-------- -------- ------- ------ -------- -------- ------ ------- ------
TOTAL $842,188 $111,563 $66,496 $1,602 $(15,141) $873,716 74,787 $14,737 $1,377
======== ======== ======= ====== ======== ======== ====== ======= ======
F. FEDERAL INCOME TAXES:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, undistributed net investment income or accumulated net realized gains
or losses, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 2018, primarily
attributable to passive foreign investment companies, short-term distributions
received from underlying RICs, return of capital, the use of accumulated
earnings and profits distributed to shareholders on redemptions of shares as
part of the dividends paid deduction for income tax purposes, were reclassified
to the accounts mentioned above. These reclassifications had no effect on net
assets or net asset value per share.
27
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
Global Equity Portfolio
2017.................................. $105,271 -- -- $105,271
2018.................................. 121,683 $20,724 -- 142,407
Global Allocation 60/40 Portfolio
2017.................................. 63,803 4,879 -- 68,682
2018.................................. 72,229 10,405 -- 82,634
Global Allocation 25/75 Portfolio
2017.................................. 12,231 2,546 -- 14,777
2018.................................. 13,998 2,244 -- 16,242
As of October 31, 2018, 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 use of accumulated earnings and profits
distributed to shareholders upon redemption of shares (amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
Global Equity Portfolio...................... $(2,296) $(1,639) $(3,935)
Global Allocation 60/40 Portfolio............ (1,615) -- (1,615)
Global Allocation 25/75 Portfolio............ (488) -- (488)
As of October 31, 2018, 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 APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES)
-------------- ------------- -------------- -------------
Global Equity
Portfolio.......... $ 970 $37,477 $1,858,992 $1,897,439
Global Allocation
60/40 Portfolio.... 1,372 14,462 703,455 719,289
Global Allocation
25/75 Portfolio.... 609 3,144 76,837 80,590
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Global Funds after October 31, 2011, will not be
subject to expiration and will retain their character as either short-term or
long-term capital losses. As of October 31, 2018, the Global Funds did not have
any capital loss carryforwards available to offset future realized capital
gains.
During the year ended October 31, 2018, the Portfolios did not use capital
loss carryforwards to offset realized capital gains for federal income tax
purposes.
28
As of October 31, 2018, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
Global Equity Portfolio....... $4,844,034 $1,858,727 -- $1,858,727
Global Allocation 60/40
Portfolio................... 3,345,427 720,375 $(16,920) 703,455
Global Allocation 25/75
Portfolio................... 797,854 78,656 (1,819) 76,837
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed each
Global Fund's tax positions and has concluded that no additional provision for
income tax is required in any Global Fund's financial statements. No Global
Fund is aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. Each Global Fund's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Global Funds.
1. FUTURES CONTRACTS: The Global Equity Portfolio may purchase or sell
futures contracts and options on futures contracts for foreign or U.S. equity
securities and indices to adjust market exposure based on actual or expected
cash inflows to or outflows from the Global Equity Portfolio. The Global Equity
Portfolio, however, does not intend to sell futures contracts to establish
short positions in individual securities. Upon entering into a futures
contract, the Global Equity Portfolio deposits cash or pledges U.S. government
securities to a broker, in an amount equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Global Equity
Portfolio as unrealized gains or losses until the contracts are closed. When
the contracts are closed, the Global Equity 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 entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Global Equity Portfolio could
lose more than the initial margin requirements. Entering into stock index
futures subjects the Portfolio to equity price risk from those futures
contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2018 (amounts in thousands):
FUTURES
-------
Global Equity Portfolio................................................ $3,364
29
The following is a summary of the realized and change in unrealized gains
and losses from the Global Equity Portfolio's derivative instrument holdings
categorized by primary risk exposure for the year ended October 31, 2018
(amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS *,(1)
----- ---------------
Global Equity Portfolio................................ $53 $53
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
--------------------------------
EQUITY
TOTAL CONTRACTS (2)
----- -------------
Global Equity Portfolio................................ $(7) $(7)
(1) Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(2) Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
* As of October 31, 2018, there were no futures contracts outstanding. During
the year ended October 31, 2018, the Global Equity Portfolio had limited
activity in futures contracts.
H. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR ENDED YEAR ENDED
OCTOBER 31, 2018 OCTOBER 31, 2017
-------------------- -------------------
AMOUNT SHARES AMOUNT SHARES
----------- ------- ---------- -------
GLOBAL EQUITY PORTFOLIO
Class R2 Shares
Shares Issued.................... $ 7,897 338 $ 12,705 619
Shares Issued in Lieu of Cash
Distributions.................. 561 24 448 21
Shares Redeemed.................. (11,265) (476) (7,548) (356)
----------- ------- ---------- -------
Net Increase (Decrease) -- Class R2
Shares............................ $ (2,807) (114) $ 5,605 284
=========== ======= ========== =======
Institutional Class Shares
Shares Issued.................... $ 1,567,735 66,986 $1,385,091 67,015
Shares Issued in Lieu of Cash
Distributions.................. 140,553 6,056 103,994 4,999
Shares Redeemed.................. (1,250,356) (53,488) (981,149) (47,345)
----------- ------- ---------- -------
Net Increase (Decrease) --
Institutional Class Shares........ $ 457,932 19,554 $ 507,936 24,669
=========== ======= ========== =======
30
YEAR ENDED YEAR ENDED
OCTOBER 31, 2018 OCTOBER 31, 2017
------------------- -------------------
AMOUNT SHARES AMOUNT SHARES
---------- ------- ---------- -------
GLOBAL ALLOCATION 60/40 PORTFOLIO
Class R2 Shares
Shares Issued....................................... $ 1,091 60 $ 1,184 70
Shares Issued in Lieu of Cash Distributions......... 128 7 112 7
Shares Redeemed..................................... (1,215) (66) (920) (54)
---------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares............. $ 4 1 $ 376 23
========== ======= ========== =======
Institutional Class Shares
Shares Issued....................................... $1,113,712 61,356 $1,036,669 61,437
Shares Issued in Lieu of Cash Distributions......... 81,159 4,499 67,550 4,035
Shares Redeemed..................................... (904,726) (49,853) (760,059) (44,909)
---------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares.. $ 290,145 16,002 $ 344,160 20,563
========== ======= ========== =======
YEAR ENDED YEAR ENDED
OCTOBER 31, 2018 OCTOBER 31, 2017
------------------ ------------------
AMOUNT SHARES AMOUNT SHARES
--------- ------- --------- -------
GLOBAL ALLOCATION 25/75 PORTFOLIO
Class R2 Shares
Shares Issued....................................... $ 180 13 $ 127 9
Shares Issued in Lieu of Cash Distributions......... 16 1 15 1
Shares Redeemed..................................... (98) (7) (125) (9)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............. $ 98 7 $ 17 1
========= ======= ========= =======
Institutional Class Shares
Shares Issued....................................... $ 249,394 18,472 $ 228,159 17,359
Shares Issued in Lieu of Cash Distributions......... 16,160 1,201 14,701 1,127
Shares Redeemed..................................... (227,698) (16,887) (161,676) (12,281)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares.. $ 37,856 2,786 $ 81,184 6,205
========= ======= ========= =======
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
31
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 year ended October 31, 2018, borrowings by the Global Funds under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio............. 2.41% $3,603 41 $ 9 $58,308
Global Allocation 60/40 Portfolio... 2.48% 1,733 79 10 17,883
Global Allocation 25/75 Portfolio... 2.49% 567 81 3 3,550
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2018, that each Global Fund's
available line of credit was used.
There were no outstanding borrowings by the Global Funds under the lines of
credit as of October 31, 2018.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Global
Funds may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
lnterfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Global Funds did not use the interfund lending program during the year
ended October 31, 2018.
J. SHAREHOLDER SERVICING FEES:
The Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the Global Funds' Class R2 Shares.
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.
32
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Global Funds' early adoption of certain of the ASU
2018-13 disclosure requirements are reflected within these financial statements
prepared as of October 31, 2018. Management does not believe that adoption of
the remaining disclosure requirements within ASU 2018-13 will materially impact
the Global Funds' financial statements.
In August 2018, the SEC adopted amendments to certain financial statement
disclosure requirements to conform them to GAAP for investment companies. These
amendments made certain removals from, changes to and additions to existing
disclosure requirements under Regulation S-X. These amendments became effective
for filings made with the SEC after November 5, 2018. The Global Funds'
adoption of these amendments, effective with these financial statements
prepared as of October 31, 2018, required modified disclosures reflected
herein, but had no effect on the Global Funds' net assets or results of
operations.
Comparable prior year information presented in the Statements of Changes in
Net Assets has been revised to reflect current disclosure requirements
prescribed by these amendments. Amounts originally presented as of October 31,
2017 are as follows (amounts in thousands):
DISTRIBUTIONS FROM:
-----------------------------------------
NET NET NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME GAINS GAINS TOTAL
---------- ---------- --------- ---------
Global Equity Portfolio - Class R2.. $ (448) -- -- $ (448)
Global Equity Portfolio -
Institutional Class............... (104,823) -- -- (104,823)
Global Allocation 60/40 Portfolio -
Class R2.......................... (103) -- $ (9) (112)
Global Allocation 60/40 Portfolio -
Institutional Class............... (63,700) -- (4,870) (68,570)
Global Allocation 25/75 Portfolio -
Class R2.......................... (12) -- (3) (15)
Global Allocation 25/75 Portfolio -
Institutional Class............... (12,219) -- (2,544) (14,763)
UNDISTRIBUTED
NET INVESTMENT
INCOME
(DISTRIBUTIONS
IN EXCESS
OF NET
INVESTMENT
INCOME)
--------------
Global Equity Portfolio......................................... $(125)
Global Allocation 60/40 Portfolio............................... (78)
Global Allocation 25/75 Portfolio............................... 27
M. OTHER:
As of October 31, 2018, the following number of shareholders held the
following approximate percentages of the Global Funds' outstanding shares. One
or more of the shareholders may be omnibus accounts, which typically hold
shares for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
Global Equity Portfolio-Class R2................... 4 92%
Global Equity Portfolio-Institutional Class........ 3 75%
33
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
Global Allocation 60/40 Portfolio-Class R2................ 2 94%
Global Allocation 60/40 Portfolio-Institutional Class..... 4 82%
Global Allocation 25/75 Portfolio-Class R2................ 2 95%
Global Allocation 25/75 Portfolio-Institutional Class..... 4 88%
The Global Funds 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.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Global
Funds through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
34
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of Global Equity Portfolio, Global Allocation 60/40 Portfolio and Global
Allocation 25/75 Portfolio
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Global Equity Portfolio, Global
Allocation 60/40 Portfolio and Global Allocation 25/75 Portfolio (three of the
funds constituting Dimensional Investment Group Inc., hereafter collectively
referred to as the "Funds") as of October 31, 2018, the related statements of
operations for the year ended October 31, 2018, the statements of changes in
net assets for each of the two years in the period ended October 31, 2018,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2018 (collectively referred to as the
"financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of each of the Funds
as of October 31, 2018, the results of each of their operations for the year
then ended, the changes in each of their net assets for each of the two years
in the period ended October 31, 2018, and each of the financial highlights for
each of the five years in the period ended October 31, 2018 in conformity with
accounting principles generally accepted in the United States of America.
BASIS FOR OPINIONS
These financial statements are the responsibility of the Funds' management. Our
responsibility is to express an opinion on the Funds' financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) ("PCAOB") and are required
to be independent with respect to the Funds in accordance with the U.S. federal
securities laws and the applicable rules and regulations of the Securities and
Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodian and transfer agent of the investee funds. We
believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
35
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were two
Audit Committee meetings held during the fiscal year ended October 31, 2018.
Each Board's Nominating Committee is composed of George M. Constantinides,
Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J. Smith. Each
member of the Nominating Committee is a disinterested Trustee/Director. The
Nominating Committee for each Board makes recommendations for nominations of
disinterested and interested members on the Board to the full Board. The
Nominating Committee evaluates a candidate's qualification for Board membership
and the independence of such candidate from the Advisor and other principal
service providers. The Nominating Committee met two times during the fiscal
year ended October 31, 2018.
Each Board's Strategy Committee is composed of Douglas W. Diamond, Edward P.
Lazear, and Myron S. Scholes. Each member of the Strategy Committee is a
disinterested Trustee/Director. The Strategy Committee assists the Board in
carrying out its fiduciary duties with respect to the oversight of the Fund and
its performance. At the request of the Board or the Advisor, the Strategy
Committee may (i) review the design of possible new series of the Fund, (ii)
review performance of existing portfolios of the Fund and discuss and recommend
possible enhancements to the portfolios' investment strategies, (iii) review
proposals by the Advisor to modify or enhance the investment strategies or
policies of each portfolio, and (iv) consider issues relating to investment
services for each portfolio of the Fund. There were four Strategy Committee
meetings held during the fiscal year ended October 31, 2018.
Certain biographical information for each disinterested Trustee/Director and
interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a Director or Trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746. Prospectuses
are also available at http://us.dimensional.com.
36
DISINTERESTED TRUSTEE/DIRECTORS
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/ DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- ------------ ------------- --------------------------- ------------------ -----------------------
George M. Constantinides Director of DFADIG- Leo Melamed Professor 128 portfolios in None
University of Chicago DFAIDG Since 1983 of Finance, University of 4 investment
Booth School of Business and DIG DIG- Since Chicago Booth School of companies
5807 S. Woodlawn Avenue Trustee of 1993 Business (since 1978).
Chicago, IL 60637 DFAITC DFAITC-
1947 and DEM Since 1992
DEM-
Since 1993
Douglas W. Diamond Director of DFADIG- Merton H. Miller 128 portfolios in None
University of Chicago DFAIDG Since June Distinguished Service 4 investment
Booth School of Business and DIG 2017 DIG- Professor of Finance, companies
5807 S. Woodlawn Avenue Trustee of Since June University of Chicago
Chicago, IL 60637 DFAITC 2017 Booth School of Business
1953 and DEM DFAITC- (since 1988). Visiting
Since June Scholar, Federal Reserve
2017 DEM- Bank of Richmond (since
Since June 1990). Formerly, Fischer
2017 Black Visiting Professor
of Financial Economics,
Alfred P. Sloan School of
Management,
Massachusetts Institute of
Technology (2015 to
2016).
Roger G. Ibbotson Yale Director of DFADIG- Professor in Practice 128 portfolios in None
School of Management DFAIDG Since 1981 Emeritus of Finance, Yale 4 investment
P.O. Box 208200 New and DIG DIG- Since School of Management companies
Haven, CT 06520-8200 Trustee of 1993 (since 1984). Chairman,
1943 DFAITC DFAITC- CIO and Partner, Zebra
and DEM Since 1992 Capital Management,
DEM- LLC (hedge fund and
Since 1993 asset manager) (since
2001). Formerly,
Consultant to
Morningstar, Inc. (2006 -
2016).
Edward P. Lazear Stanford Director of DFADIG- Distinguished Visiting 128 portfolios in None
University Graduate School DFAIDG Since 2010 Fellow, Becker Friedman 4 investment
of Business Knight and DIG DIG- Since Institute for Research in companies
Management Center, E346 Trustee of 2010 Economics, University of
Stanford, CA 94305 DFAITC DFAITC- Chicago (since 2015).
1948 and DEM Since 2010 Morris Arnold Cox
DEM- Senior Fellow, Hoover
Since 2010 Institution (since 2002).
Jack Steele Parker
Professor of Human
Resources Management
and Economics, Graduate
School of Business,
Stanford University
(since 1995). Cornerstone
Research (expert
testimony and economic
and financial analysis)
(since 2009).
Myron S. Scholes Director of DFADIG- Chief Investment 128 portfolios in Formerly, Adviser,
c/o Dimensional Fund DFAIDG Since 1981 Strategist, Janus 4 investment Kuapay, Inc. (2013-
Advisors LP 6300 Bee Cave and DIG DIG- Since Henderson Investors companies 2014). Formerly,
Road, Building One Austin, Trustee of 1993 (since 2014). Frank E. Director, American
TX 78746 DFAITC DFAITC- Buck Professor of Century Fund Complex
1941 and DEM Since 1992 Finance, Emeritus, (registered investment
DEM- Graduate School of companies) (43
Since 1993 Business, Stanford Portfolios) (1980-
University (since 1981). 2014).
37
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/ DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- ------------ ------------- --------------------------- ------------------ -------------------------
Abbie J. Smith Director of DFADIG- Boris and Irene Stern 128 portfolios in Director (since 2000)
University of Chicago DFAIDG Since 2000 Distinguished Service 4 investment and formerly, Lead
Booth School of Business and DIG DIG- Since Professor of companies Director (May 2014 -
5807 S. Woodlawn Trustee of 2000 Accounting, University May 2017), HNI
Avenue Chicago, IL DFAITC DFAITC- of Chicago Booth Corporation (formerly
60637 and DEM Since 2000 School of Business known as HON
DEM- (since 1980). Industries Inc.) (office
1953 Since 2000 furniture); Director,
Ryder System Inc.
(transportation,
logistics and supply-
chain management)
(since 2003); and
Trustee, UBS Funds
(3 investment
companies within the
fund complex) (21
portfolios) (since
2009).
INTERESTED TRUSTEE/DIRECTOR*
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/ AND DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- ------------ ----------- --------------------------- ------------------ -------------------
David G. Booth Chairman DFADIG- Chairman, Director/ 128 portfolios in None
6300 Bee Cave Road, and Since 1981 Trustee, and formerly, 4 investment
Building One Austin, TX Director of DIG- Since President and Co-Chief companies
78746 DFAIDG 1992 Executive Officer (each
and DIG DFAITC- until March 2017) of
1946 Trustee of Since 1992 Dimensional Emerging
DFAITC DEM- Markets Value Fund
and DEM Since 1993 ("DEM"), DFAIDG,
Dimensional Investment
Group Inc. ("DIG") and
The DFA Investment
Trust Company
("DFAITC"). Executive
Chairman, and formerly,
President and Co-Chief
Executive Officer (each
until February 2017) of
Dimensional Holdings
Inc., Dimensional Fund
Advisors LP and DFA
Securities LLC
(collectively with DEM,
DFAIDG, DIG and
DFAITC, the "DFA
Entities"). Formerly,
Chairman and Director
(2009-2018), Co-Chief
Executive Officer (2010 -
June 2017) of
Dimensional Fund
Advisors Canada ULC.
Trustee, University of
Chicago (since 2002).
Trustee, University of
Kansas Endowment
Association (since 2005).
Formerly, Director of
Dimensional Fund
Advisors Ltd. (2002 -
July 2017), DFA
Australia Limited (1994 -
July 2017), Dimensional
Advisors Ltd. (2012 -
July 2017), Dimensional
Funds plc (2006 - July
2017) and Dimensional
Funds II plc (2006 - July
2017). Formerly, Director
and President of
Dimensional Japan Ltd.
(2012 - April 2017).
Formerly, President,
Dimensional SmartNest
(US) LLC (2009-2014);
and Limited Partner, VSC
Investors, LLC (2007 to
2015). Formerly,
Chairman, Director,
President and Co-Chief
Executive Officer of
Dimensional Cayman
Commodity Fund I Ltd.
(2010-September 2017).
/1/ Each Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Director is a director or trustee of each of the four registered
investment companies within the DFA Fund Complex, which include: DFAIDG;
DIG; DFAITC; and DEM. Each disinterested Director also serves on the
Independent Review Committee of the Dimensional Funds, mutual funds
registered in the provinces of Canada and managed by the Advisor's
affiliate, Dimensional Fund Advisors Canada ULC.
* The Interested Trustee/Director is described as such because he is deemed
to be an "interested person," as that term is defined under the Investment
Company Act of 1940, as amended, due to his position with the Advisor.
38
OFFICERS
Below is the name, year of birth, information regarding positions with the
Fund and the principal occupation for each officer of the Fund. The address of
each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the
officers listed below holds the same office (except as otherwise noted) in the
DFA Entities.
TERM OF
OFFICE/1/
AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- -------------------- --------- ---------------------------------------------------------------------
Valerie A. Brown Vice President and Since Vice President and Assistant Secretary of
1967 Assistant Secretary 2001 . all the DFA Entities (since 2001)
. DFA Australia Limited (since 2002)
. Dimensional Fund Advisors Ltd. (since 2002)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Hong Kong Limited (since 2012)
Director, Vice President and Assistant Secretary (since 2003) of
. Dimensional Fund Advisors Canada ULC
David P. Butler Co-Chief Executive Since Co-Chief Executive Officer (since 2017) of
1964 Officer 2017 . all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive Officer (since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Head of Global Financial Advisor Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since Executive Vice President (since 2017) of
1972 President 2017 . all the DFA entities
Director and Vice President (since 2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors Canada ULC
Vice President (since 2008) and Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte. Ltd.
Head of Global Institutional Services (since 2014) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2004 - 2017) of
. all the DFA Entities
Formerly, Vice President (2010 - 2016) of
. Dimensional Fund Advisors Canada ULC
Formerly, Head of Institutional, North America (2012 - 2013) for
. Dimensional Fund Advisors LP
39
Christopher S. Vice President and Since Vice President and Global Chief Compliance Officer (since 2004) of
Crossan Global Chief 2004 . all the DFA Entities
1965 Compliance Officer . DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006) and Chief Privacy Officer
(since 2015)of
. Dimensional Fund Advisors Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Japan Ltd. (since 2017)
Formerly, Vice President and Global Chief Compliance Officer (2010 -
2014)for
. Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Vice Vice President, Chief Financial Officer, and Treasurer (since 2016) of
1958 Chief Financial President
Officer, and since 2015
Treasurer and Chief . all the DFA Entities
Financial . Dimensional Advisors Ltd.
Officer . Dimensional Fund Advisors Ltd.
and . Dimensional Hong Kong Limited
Treasurer . Dimensional Cayman Commodity Fund I Ltd.
since 2016 . Dimensional Fund Advisors Canada ULC
. Dimensional Fund Advisors Pte. Ltd.
. DFA Australia Limited
Director (since 2016) for
. Dimensional Funds plc
. Dimensional Funds II plc
Formerly, interim Chief Financial Officer and interim Treasurer
(2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity Fund I Ltd.
. Dimensional Fund Advisors Canada ULC
Formerly, Controller (2015 - 2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
Formerly, Vice President (2008 - 2015) of
. T. Rowe Price Group, Inc.
Formerly, Director of Investment Treasury and Treasurer (2008 - 2015)
of
. the T. Rowe Price Funds
Jeff J. Jeon Vice President and Vice Vice President (since 2004) and Assistant Secretary (since 2017) of
1973 Assistant Secretary President . all the DFA Entities
since 2004 Vice President and Assistant Secretary (since 2010) of
and . Dimensional Cayman Commodity Fund I Ltd.
Assistant
Secretary since
2017
Joy Lopez Vice President and Vice Vice President (since 2015) of
1971 Assistant Treasurer President . all the DFA Entities
since 2015 Assistant Treasurer (since 2017) of
and . the DFA Fund Complex
Assistant Formerly, Senior Tax Manager (2013 - 2015) for
Treasurer . Dimensional Fund Advisors LP
since 2017
Kenneth M. Manell Vice President Since Vice President (since 2010) of
1972 2010 . all the DFA Entities
. Dimensional Cayman Commodity Fund I Ltd.
40
Catherine L. President and President President (since 2017) of
Newell General Counsel since 2017
1964 and General . the DFA Fund Complex
Counsel General Counsel (since 2001) of
since 2001 . All the DFA Entities
Executive Vice President (since 2017) and Secretary (since 2000) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. DFA Securities LLC
. Dimensional Investment LLC
Director (since 2002), Vice President (since 1997) and Secretary
(since 2002)of
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Vice President and Secretary of
. Dimensional Fund Advisors Canada ULC (since 2003)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Japan Ltd. (since 2012)
. Dimensional Advisors Ltd. (since 2012)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
Director of
. Dimensional Funds plc (since 2002)
. Dimensional Funds II plc (since 2006)
. Director of Dimensional Japan Ltd. (since 2012)
. Dimensional Advisors Ltd. (since 2012)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Hong Kong Limited (since 2012)
Formerly, Vice President and Secretary (2010 - 2014) of
. Dimensional SmartNest (US) LLC
Formerly, Vice President (1997 - 2017) and Secretary (2000 - 2017) of
. the DFA Fund Complex
Formerly, Vice President of
. Dimensional Fund Advisors LP (1997 - 2017)
. Dimensional Holdings Inc. (2006 - 2017)
. DFA Securities LLC (1997 - 2017)
. Dimensional Investment LLC (2009 - 2017)
Selwyn Notelovitz Vice President and Since Vice President and Deputy Chief Compliance Officer of
1961 Deputy Chief 2013 . the DFA Fund Complex (since 2013)
Compliance Officer . Dimensional Fund Advisors LP (since 2012)
Carolyn L. O Vice President and Vice Vice President (since 2010) and Secretary (since 2017) of
1974 Secretary President . the DFA Fund Complex
since 2010 and Vice President (since 2010) and Assistant Secretary (since 2016) of
Secretary . Dimensional Fund Advisors LP
since 2017 . Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Canada ULC (since 2016)
41
Gerard K. O'Reilly Co-Chief Executive Co-Chief Co-Chief Executive Officer and Chief Investment Officer (since 2017)
1976 Officer and Chief Executive of
Investment Officer Officer . all the DFA Entities
and Chief . Dimensional Fund Advisors Canada ULC
Investment Director, Chief Investment Officer and Vice President (since 2017) of
Officer . DFA Australia Limited
since 2017 Chief Investment Officer (since 2017) and Vice President (since 2016)
of
. Dimensional Japan Ltd.
Director, Co-Chief Executive Officer and Chief Investment Officer
(since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Director of
. Dimensional Funds plc (since 2014)
. Dimensional Fund II plc (since 2014)
. Dimensional Holdings Inc. (since 2017)
Formerly, Co-Chief Investment Officer of
. Dimensional Japan Ltd. (2016 - 2017)
. DFA Australia Limited (2014 - 2017)
Formerly, Executive Vice President (2017) and Co-Chief Investment
Officer (2014 - 2017) of
. all the DFA Entities
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Formerly, Vice President and Co-Chief Investment Officer (2014 -
2017) of
. Dimensional Fund Advisors Canada ULC
Formerly, Director of
. Dimensional Fund Advisors Pte. Ltd. (2017)
42
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.
43
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2018 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2018
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 01, 2017 to October 31, 2018, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS QUALIFYING
DIMENSIONAL INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED DIVIDEND
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
---------------------- ------------- ------------- ------------- ------- ---------- ------------- ------------- ----------
Global Equity Portfolio.. 85% 0% 15% 0% 0% 100% 100% 100%
Global Allocation 60/40
Portfolio. ............ 86% 1% 13% 0% 0% 100% 100% 100%
Global Allocation 25/75
Portfolio. ............ 85% 2% 14% 0% 0% 101% 100% 100%
QUALIFYING
SHORT-
U.S. FOREIGN FOREIGN QUALIFYING TERM
DIMENSIONAL INVESTMENT GOVERNMENT TAX SOURCE INTEREST CAPITAL
GROUP INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
---------------------- ------------ ---------- ---------- ---------- ----------
Global Equity Portfolio.. 0% 0% 0% 100% 0%
Global Allocation 60/40
Portfolio. ............ 0% 0% 0% 100% 100%
Global Allocation 25/75
Portfolio. ............ 0% 0% 0% 100% 100%
(1) Qualifying Dividends represents dividends that qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4) "Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5) "Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
44
LOGO DFA103118-025A
00218769
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
Co-Principal Executive Officers and Principal Financial Officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Directors has determined that Abbie J. Smith
possesses the technical attributes to qualify as an "audit committee financial
expert" serving on the Registrant's Audit Committee and has designated
Ms. Smith as the "audit committee financial expert." Ms. Smith
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that
present a breadth and level of complexity of issues that can reasonably be
expected to be raised by the Registrant's financial statements. In addition,
Ms. Smith has served on the boards of directors and audit committees of
entities other than the Registrant. Ms. Smith is independent under the
standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2018: $248,494
Fiscal Year Ended October 31, 2017: $276,920
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended October 31, 2018: $20,652
Fiscal Year Ended October 31, 2017: $32,855
For fiscal years ended October 31, 2018 and October 31, 2017, Audit-Related
Fees included fees for services related to limited procedures performed in
connection with the production of the Registrant's semi-annual financial
statements and N-14 filings.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 2018: $205,000
Fiscal Year Ended October 31, 2017: $191,500
For the fiscal years ended October 31, 2018 and October 31, 2017,
Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii)
of Rule 2 01 of Regulation S X included fees for services rendered in
connection with the issuance of a Type II SSAE 16 over controls at the
Registrant's investment adviser for the fiscal year ended October 31, 2017
and the issuance of a Type II SSAE 18 over controls at the Registrant's
investment adviser for the fiscal year ended October 31, 2018.
(c) Tax Fees
Fees for Registrant Fiscal Year Ended October 31, 2018: $58,018
Fiscal Year Ended October 31, 2017: $64,984
Tax Fees included, for the fiscal years ended October 31, 2018 and
October 31, 2017, fees for tax services in connection with the Registrant's
excise tax calculations, review of the Registrant's applicable tax returns
and review of the Registrant's tax equalization calculations.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d) All Other Fees
Fees for Registrant Fiscal Year Ended October 31, 2018: $0
Fiscal Year Ended October 31, 2017: $0
There were no "All Other Fees" required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(e)(1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC") require
that the Funds' Audit Committees (together, the "Committee") pre-approve all
audit services and non-audit services provided to the Funds by their
independent registered public accounting firm (the "Auditor"). The Act and
the Rules also require that the Committee pre-approve all non-audit services
provided by the Auditor to Dimensional Fund Advisors LP ("Dimensional"), the
Funds' investment advisor, and to affiliates of Dimensional that provide
ongoing services to the Funds (with Dimensional, together the "Service
Affiliates") if the services directly impact the Funds' operations and
financial reporting.
The following policies and procedures govern the ways in which the Committee
will pre-approve audit and various types of non-audit services that the
Auditor provides to the Funds and to Service Affiliates. These policies and
procedures do not apply in the case of audit services that the Auditor
provides to Service Affiliates, nor do they apply to services that an audit
firm other than the Auditor provides to such entities.
These policies and procedures comply with the requirements for pre-approval,
but also provide mechanisms by which management of the Funds may request and
secure pre-approval of audit and non-audit services in an orderly manner
with minimal disruption to normal business operations. Pre-approval of
non-audit services may be achieved through a combination of the procedures
described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the period
of the Auditor's engagement to provide audit services to the Funds,
if the non-audit services to the Service Affiliate directly impact
the Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an independent
registered public accounting firm to certify the Funds' financial
statements for each fiscal year (the "Engagement"). The approval of
the Engagement shall not be delegated to a Designated Member (as that
term is defined in Section D below). In approving the Engagement, the
Committee shall obtain, review and consider sufficient information
concerning the proposed Auditor to enable the Committee to make a
reasonable evaluation of the Auditor's qualifications and
independence. The Committee also shall consider the Auditor's
proposed fees for the Engagement, in light of the scope and nature of
the audit services that the Funds will receive.
2. The Committee shall report to the Boards of Directors/Trustees of the
Funds (together, the "Board") regarding its approval of the
Engagement and of the proposed fees for the Engagement, and the basis
for such approval.
3. Unless otherwise in accordance with applicable law, the Engagement,
in any event, shall require that the Auditor be selected by the vote,
cast in person, of a majority of the members of the Board who are not
"interested persons" of the Funds (as that term is defined in
Section 2(a)(19) of the Investment Company Act of 1940) (the
"Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services (including
tax services) to the Funds and their Service Affiliates pursuant to
this Section C.
2. Annually, at such time as the Committee considers the Engagement of
the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration and
action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor during
the fiscal year; and (b) a list of those types of non-audit services
directly impacting the Funds' operations and financial reporting that
Service Affiliates may request from the Auditor during the fiscal
year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail (which may include a range of
tax services) and shall include an estimated budget (or budgeted
range) of fees, where possible, and such other information as the
Committee may request. If management and the Auditor desire the
Committee to preapprove the furnishing of a range of tax services,
the Auditor shall provide an estimated range of fees for such tax
services for the consideration and approval by the Committee.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute authorization
for management of the Funds to utilize the Auditor for the types of
non-audit services so pre-approved, if needed or desired during the
fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners of
the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may submit
either to the Committee or to the Designated Member, as provided in
this Section D, for their consideration and action, a pre-approval
request identifying one or more non-audit service projects. The
request so submitted shall describe the project(s) in reasonable
detail and shall include an estimated budget (or budgeted range) of
fees and such other information as the Committee or the Designated
Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of its
members who are Independent Directors (each a "Designated Member") to
consider, on the Committee's behalf, any non-audit services, whether
to the Funds or to any Service Affiliate, that have not been
pre-approved by the Committee. The Designated Member also shall
review, on the Committee's behalf, any proposed material change in
the nature or extent of any non-audit services previously approved.
The Funds' management, in consultation with the Auditor, shall
explain why such non-audit services or material change in non-audit
services are necessary and appropriate and the anticipated costs
thereof.
4. The Designated Member will review the requested non-audit services or
proposed material change in such services and will either:
(a) pre-approve, pre-approve subject to conditions, or disapprove
any such requested services, or any proposed material change
in services, whether to the Funds or to a Service Affiliate; or
(b) refer such matter to the full Committee for its consideration
and action.
In considering any requested non-audit services or proposed material
change in such services, the Designated Member's authority shall be
limited to approving non-audit services or proposed material changes
that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed material
change in services pursuant to this Section D shall constitute
authorization for the management of the Funds or the Service
Affiliate, as the case may be, to utilize the Auditor for the
non-audit services so pre-approved. Any action by the Designated
Member in approving a requested non-audit service shall be presented
for ratification by the Committee not later than at its next
scheduled meeting. If the Designated Member does not approve the
Auditor providing the requested non-audit service, the matter may be
presented to the full Committee for its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made by
the Committee or by a Designated Member pursuant to these procedures,
together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant to
the de minimis exception provided in the Rules, a record shall be
made indicating that each of the conditions for this exception, as
set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of
the fiscal year in which the actions recorded were taken, for at
least the first two years in an easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the
Registrant's Audit Committee but not pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the
fiscal year ended October 31, 2018 that were attributed to work
performed by persons other than the principal accountant's full time,
permanent employees was not greater than 50%.
---
(g) Aggregate Non-Audit Fees
Fiscal Year Ended October 31, 2018: $1,230,276
Fiscal Year Ended October 31, 2017: $1,648,772
(h) The Registrant's Audit Committee has considered whether the provision
of non-audit services that were rendered to the Registrant's
investment adviser, and any entity controlling, controlled by, or
under common control with the investment adviser that provides ongoing
services to the Registrant, that were not pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with
maintaining the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF RELATIONSHIP TO SERIES OF THE REGISTRANT
INVESTMENTS IS PROVIDED
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II and U.S. Large Cap Value
Portfolio III
The DFA International Value Series Master fund for DFA International
Value Portfolio and DFA International
Value Portfolio III
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2018
Shares Value+
--------- ------------
COMMON STOCKS -- (98.0%)
COMMUNICATION SERVICES -- (9.9%)
Activision Blizzard, Inc........................... 283,541 $ 19,578,506
* Alphabet, Inc., Class A............................ 110,971 121,022,753
* Alphabet, Inc., Class C............................ 114,306 123,081,272
AT&T, Inc.......................................... 2,695,995 82,713,127
CBS Corp., Class B................................. 125,408 7,192,149
CenturyLink, Inc................................... 352,925 7,284,372
* Charter Communications, Inc., Class A.............. 66,294 21,238,609
Comcast Corp., Class A............................. 1,697,523 64,743,527
# * Discovery, Inc., Class A........................... 59,256 1,919,302
* Discovery, Inc., Class C........................... 133,544 3,914,175
* DISH Network Corp., Class A........................ 86,288 2,652,493
* Electronic Arts, Inc............................... 113,632 10,338,239
* Facebook, Inc., Class A............................ 895,329 135,901,989
Interpublic Group of Cos., Inc. (The).............. 142,439 3,298,887
* Netflix, Inc....................................... 161,662 48,786,358
News Corp., Class A................................ 139,480 1,839,741
# News Corp., Class B................................ 47,476 633,330
# Omnicom Group, Inc................................. 83,736 6,223,259
* Take-Two Interactive Software, Inc................. 42,414 5,465,892
# * TripAdvisor, Inc................................... 36,918 1,924,905
Twenty-First Century Fox, Inc., Class A............ 392,215 17,853,627
Twenty-First Century Fox, Inc., Class B............ 180,860 8,171,255
* Twitter, Inc....................................... 267,320 9,289,370
Verizon Communications, Inc........................ 1,533,969 87,574,290
Viacom, Inc., Class B.............................. 131,434 4,203,259
Walt Disney Co. (The).............................. 552,134 63,401,547
------------
TOTAL COMMUNICATION SERVICES............................ 860,246,233
------------
CONSUMER DISCRETIONARY -- (9.6%)
Advance Auto Parts, Inc............................ 27,790 4,439,730
* Amazon.com, Inc.................................... 152,101 243,058,919
Aptiv P.L.C........................................ 97,866 7,516,109
* AutoZone, Inc...................................... 9,841 7,218,078
Best Buy Co., Inc.................................. 90,727 6,365,406
* Booking Holdings, Inc.............................. 17,631 33,050,720
BorgWarner, Inc.................................... 77,553 3,056,364
# * CarMax, Inc........................................ 66,188 4,494,827
Carnival Corp...................................... 150,531 8,435,757
* Chipotle Mexican Grill, Inc........................ 9,048 4,165,066
Darden Restaurants, Inc............................ 45,963 4,897,358
Dollar General Corp................................ 98,593 10,981,288
* Dollar Tree, Inc................................... 88,333 7,446,472
DR Horton, Inc..................................... 126,002 4,531,032
* eBay, Inc.......................................... 345,376 10,026,265
Expedia Group, Inc................................. 44,143 5,536,856
Foot Locker, Inc................................... 42,841 2,019,525
Ford Motor Co...................................... 1,457,462 13,918,762
Gap, Inc. (The).................................... 79,788 2,178,212
Garmin, Ltd........................................ 44,864 2,968,202
General Motors Co.................................. 487,429 17,835,027
Genuine Parts Co................................... 54,531 5,339,675
Goodyear Tire & Rubber Co. (The)................... 87,808 1,849,236
# H&R Block, Inc..................................... 75,396 2,001,010
# Hanesbrands, Inc................................... 133,025 2,282,709
# Harley-Davidson, Inc............................... 61,287 2,342,389
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
CONSUMER DISCRETIONARY -- (Continued)
# Hasbro, Inc........................................ 43,362 $ 3,976,729
Hilton Worldwide Holdings, Inc..................... 110,717 7,879,729
Home Depot, Inc. (The)............................. 424,758 74,706,437
Kohl's Corp........................................ 61,720 4,674,056
# L Brands, Inc...................................... 84,769 2,748,211
# Leggett & Platt, Inc............................... 48,112 1,746,947
Lennar Corp., Class A.............................. 108,318 4,655,508
* LKQ Corp........................................... 118,259 3,224,923
Lowe's Cos., Inc................................... 301,258 28,685,787
Macy's, Inc........................................ 115,326 3,954,528
Marriott International, Inc., Class A.............. 107,070 12,515,412
# * Mattel, Inc........................................ 129,376 1,756,926
McDonald's Corp.................................... 288,013 50,949,500
MGM Resorts International.......................... 190,573 5,084,488
* Michael Kors Holdings, Ltd......................... 55,171 3,057,025
* Mohawk Industries, Inc............................. 23,621 2,946,247
# Newell Brands, Inc................................. 161,405 2,563,111
NIKE, Inc., Class B................................ 475,600 35,689,024
# Nordstrom, Inc..................................... 42,453 2,792,134
* Norwegian Cruise Line Holdings, Ltd................ 74,708 3,292,382
* O'Reilly Automotive, Inc........................... 29,913 9,594,595
PulteGroup, Inc.................................... 98,140 2,411,300
PVH Corp........................................... 28,438 3,435,026
Ralph Lauren Corp.................................. 20,318 2,633,416
Ross Stores, Inc................................... 139,663 13,826,637
Royal Caribbean Cruises, Ltd....................... 63,690 6,670,254
Starbucks Corp..................................... 500,880 29,186,278
Tapestry, Inc...................................... 106,277 4,496,580
Target Corp........................................ 195,521 16,351,421
Tiffany & Co....................................... 40,452 4,502,308
TJX Cos., Inc. (The)............................... 232,385 25,534,464
Tractor Supply Co.................................. 45,685 4,197,995
* Ulta Salon Cosmetics & Fragrance, Inc.............. 20,993 5,762,998
# * Under Armour, Inc., Class A........................ 71,087 1,571,734
# * Under Armour, Inc., Class C........................ 71,826 1,424,310
VF Corp............................................ 120,690 10,002,787
# Whirlpool Corp..................................... 23,612 2,591,653
Wynn Resorts, Ltd.................................. 36,306 3,652,384
Yum! Brands, Inc................................... 117,835 10,653,462
------------
TOTAL CONSUMER DISCRETIONARY............................ 833,353,700
------------
CONSUMER STAPLES -- (7.2%)
Altria Group, Inc.................................. 699,865 45,519,220
Archer-Daniels-Midland Co.......................... 207,162 9,788,404
Brown-Forman Corp., Class B........................ 62,578 2,899,865
# Campbell Soup Co................................... 70,729 2,645,972
# Church & Dwight Co., Inc........................... 90,639 5,381,237
# Clorox Co. (The)................................... 47,317 7,024,209
Coca-Cola Co. (The)................................ 1,420,996 68,037,288
Colgate-Palmolive Co............................... 321,462 19,143,062
Conagra Brands, Inc................................ 144,694 5,151,106
Constellation Brands, Inc., Class A................ 62,488 12,449,484
Costco Wholesale Corp.............................. 162,839 37,229,881
# Coty, Inc., Class A................................ 165,827 1,749,475
Estee Lauder Cos., Inc. (The), Class A............. 82,953 11,401,060
General Mills, Inc................................. 221,285 9,692,283
Hershey Co. (The).................................. 52,165 5,589,480
# Hormel Foods Corp.................................. 101,714 4,438,799
# JM Smucker Co. (The)............................... 41,854 4,533,625
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
CONSUMER STAPLES -- (Continued)
# Kellogg Co......................................... 93,966 $ 6,152,894
Kimberly-Clark Corp................................ 129,309 13,486,929
Kraft Heinz Co. (The).............................. 230,881 12,691,529
Kroger Co. (The)................................... 295,807 8,803,216
# McCormick & Co., Inc. Non-Voting................... 44,932 6,470,208
Molson Coors Brewing Co., Class B.................. 69,046 4,418,944
Mondelez International, Inc., Class A.............. 544,456 22,856,263
* Monster Beverage Corp.............................. 147,710 7,806,474
PepsiCo, Inc....................................... 525,063 59,006,580
Philip Morris International, Inc................... 577,106 50,825,725
Procter & Gamble Co. (The)......................... 924,093 81,948,567
Sysco Corp......................................... 176,922 12,619,846
Tyson Foods, Inc., Class A......................... 109,715 6,574,123
Walgreens Boots Alliance, Inc...................... 313,165 24,981,172
Walmart, Inc....................................... 532,769 53,426,075
------------
TOTAL CONSUMER STAPLES................................. 624,742,995
------------
ENERGY -- (5.6%)
Anadarko Petroleum Corp............................ 190,835 10,152,422
# Apache Corp........................................ 142,220 5,380,183
# Baker Hughes a GE Co............................... 153,079 4,085,678
# Cabot Oil & Gas Corp............................... 165,109 4,000,591
Chevron Corp....................................... 711,364 79,423,791
# Cimarex Energy Co.................................. 35,027 2,783,596
* Concho Resources, Inc.............................. 74,358 10,342,454
ConocoPhillips..................................... 431,573 30,166,953
Devon Energy Corp.................................. 188,918 6,120,943
EOG Resources, Inc................................. 215,400 22,690,236
EQT Corp........................................... 98,023 3,329,841
Exxon Mobil Corp................................... 1,571,789 125,240,147
Halliburton Co..................................... 326,902 11,336,961
Helmerich & Payne, Inc............................. 40,123 2,499,262
Hess Corp.......................................... 93,471 5,365,235
HollyFrontier Corp................................. 60,181 4,058,607
Kinder Morgan, Inc................................. 705,453 12,006,810
Marathon Oil Corp.................................. 315,482 5,991,003
Marathon Petroleum Corp............................ 249,082 17,547,827
National Oilwell Varco, Inc........................ 141,185 5,195,608
* Newfield Exploration Co............................ 74,523 1,505,365
Noble Energy, Inc.................................. 178,799 4,443,155
Occidental Petroleum Corp.......................... 283,938 19,043,722
ONEOK, Inc......................................... 152,581 10,009,314
Phillips 66........................................ 158,678 16,315,272
Pioneer Natural Resources Co....................... 62,963 9,272,561
Schlumberger, Ltd.................................. 513,850 26,365,643
TechnipFMC P.L.C................................... 158,189 4,160,371
Valero Energy Corp................................. 158,904 14,474,565
Williams Cos., Inc. (The).......................... 449,040 10,925,143
------------
TOTAL ENERGY........................................... 484,233,259
------------
FINANCIALS -- (13.3%)
Affiliated Managers Group, Inc..................... 19,509 2,217,393
Aflac, Inc......................................... 284,663 12,260,435
Allstate Corp. (The)............................... 128,556 12,305,380
American Express Co................................ 262,173 26,933,032
American International Group, Inc.................. 330,126 13,630,903
Ameriprise Financial, Inc.......................... 52,674 6,702,240
Aon P.L.C.......................................... 90,109 14,073,224
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
FINANCIALS -- (Continued)
Arthur J Gallagher & Co............................ 67,732 $ 5,012,845
Assurant, Inc...................................... 19,602 1,905,510
Bank of America Corp............................... 3,448,540 94,834,850
Bank of New York Mellon Corp. (The)................ 341,747 16,174,886
BB&T Corp.......................................... 287,886 14,152,476
* Berkshire Hathaway, Inc., Class B.................. 723,719 148,565,036
BlackRock, Inc..................................... 45,497 18,718,376
* Brighthouse Financial, Inc......................... 44,223 1,752,558
Capital One Financial Corp......................... 177,678 15,866,645
Cboe Global Markets, Inc........................... 41,650 4,700,203
Charles Schwab Corp. (The)......................... 447,076 20,672,794
Chubb, Ltd......................................... 171,983 21,482,397
Cincinnati Financial Corp.......................... 55,809 4,388,820
Citigroup, Inc..................................... 934,282 61,158,100
Citizens Financial Group, Inc...................... 176,610 6,596,384
CME Group, Inc..................................... 126,189 23,122,872
Comerica, Inc...................................... 64,096 5,227,670
Discover Financial Services........................ 127,229 8,864,044
* E*TRADE Financial Corp............................. 96,046 4,746,593
Everest Re Group, Ltd.............................. 15,051 3,279,011
Fifth Third Bancorp................................ 247,414 6,677,704
# Franklin Resources, Inc............................ 113,504 3,461,872
Goldman Sachs Group, Inc. (The).................... 130,355 29,378,106
Hartford Financial Services Group, Inc. (The)...... 133,751 6,074,970
# Huntington Bancshares, Inc......................... 406,454 5,824,486
Intercontinental Exchange, Inc..................... 212,929 16,404,050
Invesco, Ltd....................................... 150,821 3,274,324
Jefferies Financial Group, Inc..................... 107,600 2,310,172
JPMorgan Chase & Co................................ 1,247,718 136,026,216
KeyCorp............................................ 390,330 7,088,393
Lincoln National Corp.............................. 80,599 4,851,254
Loews Corp......................................... 103,246 4,807,134
M&T Bank Corp...................................... 53,618 8,868,953
Marsh & McLennan Cos., Inc......................... 186,857 15,836,131
MetLife, Inc....................................... 369,533 15,221,064
Moody's Corp....................................... 62,281 9,060,640
Morgan Stanley..................................... 492,418 22,483,806
MSCI, Inc.......................................... 32,733 4,922,389
Nasdaq, Inc........................................ 43,288 3,753,503
Northern Trust Corp................................ 82,905 7,798,873
People's United Financial, Inc..................... 137,891 2,159,373
PNC Financial Services Group, Inc. (The)........... 172,473 22,161,056
Principal Financial Group, Inc..................... 97,389 4,584,100
Progressive Corp. (The)............................ 216,552 15,093,674
Prudential Financial, Inc.......................... 154,306 14,470,817
Raymond James Financial, Inc....................... 48,805 3,742,855
Regions Financial Corp............................. 408,094 6,925,355
S&P Global, Inc.................................... 93,122 16,978,003
State Street Corp.................................. 140,877 9,685,294
SunTrust Banks, Inc................................ 171,668 10,756,717
* SVB Financial Group................................ 19,810 4,699,526
Synchrony Financial................................ 253,016 7,307,102
T Rowe Price Group, Inc............................ 89,872 8,716,685
Torchmark Corp..................................... 38,555 3,264,066
Travelers Cos., Inc. (The)......................... 99,323 12,428,287
U.S. Bancorp....................................... 568,613 29,721,402
Unum Group......................................... 81,125 2,941,593
Wells Fargo & Co................................... 1,609,179 85,656,598
Willis Towers Watson P.L.C......................... 48,415 6,931,091
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- --------------
FINANCIALS -- (Continued)
# Zions Bancorp NA................................... 73,065 $ 3,437,708
--------------
TOTAL FINANCIALS........................................ 1,155,130,019
--------------
HEALTHCARE -- (14.8%)
Abbott Laboratories................................ 651,286 44,899,657
AbbVie, Inc........................................ 562,169 43,764,857
* ABIOMED, Inc....................................... 16,663 5,685,416
Aetna, Inc......................................... 121,640 24,133,376
Agilent Technologies, Inc.......................... 118,009 7,645,803
* Alexion Pharmaceuticals, Inc....................... 82,486 9,244,206
* Align Technology, Inc.............................. 27,139 6,003,147
Allergan P.L.C..................................... 118,477 18,720,551
AmerisourceBergen Corp............................. 59,360 5,223,680
Amgen, Inc......................................... 240,298 46,327,051
Anthem, Inc........................................ 96,508 26,594,709
Baxter International, Inc.......................... 184,629 11,541,159
Becton Dickinson and Co............................ 99,442 22,921,381
* Biogen, Inc........................................ 74,822 22,766,090
* Boston Scientific Corp............................. 514,133 18,580,767
Bristol-Myers Squibb Co............................ 606,137 30,634,164
Cardinal Health, Inc............................... 115,408 5,839,645
* Celgene Corp....................................... 261,121 18,696,264
* Centene Corp....................................... 76,465 9,964,919
* Cerner Corp........................................ 122,160 6,997,325
Cigna Corp......................................... 90,430 19,334,838
Cooper Cos., Inc. (The)............................ 18,351 4,740,247
CVS Health Corp.................................... 378,089 27,369,863
Danaher Corp....................................... 228,821 22,744,807
* DaVita, Inc........................................ 47,097 3,171,512
DENTSPLY SIRONA, Inc............................... 81,270 2,814,380
* Edwards Lifesciences Corp.......................... 77,435 11,429,406
Eli Lilly & Co..................................... 354,861 38,481,127
* Express Scripts Holding Co......................... 209,209 20,286,997
Gilead Sciences, Inc............................... 481,263 32,812,511
HCA Healthcare, Inc................................ 100,249 13,386,249
# * Henry Schein, Inc.................................. 56,473 4,687,259
* Hologic, Inc....................................... 100,931 3,935,300
Humana, Inc........................................ 51,006 16,342,832
* IDEXX Laboratories, Inc............................ 32,044 6,797,173
* Illumina, Inc...................................... 54,476 16,950,207
* Incyte Corp........................................ 65,162 4,223,801
* Intuitive Surgical, Inc............................ 42,258 22,024,024
* IQVIA Holdings, Inc................................ 59,772 7,347,772
Johnson & Johnson.................................. 995,965 139,425,140
* Laboratory Corp. of America Holdings............... 38,012 6,102,827
McKesson Corp...................................... 73,904 9,220,263
Medtronic P.L.C.................................... 501,373 45,033,323
Merck & Co., Inc................................... 987,341 72,678,171
* Mettler-Toledo International, Inc.................. 9,434 5,158,700
* Mylan NV........................................... 192,428 6,013,375
* Nektar Therapeutics................................ 64,038 2,476,990
# PerkinElmer, Inc................................... 40,975 3,543,518
# Perrigo Co. P.L.C.................................. 46,549 3,272,395
Pfizer, Inc........................................ 2,176,290 93,711,047
Quest Diagnostics, Inc............................. 51,104 4,809,397
* Regeneron Pharmaceuticals, Inc..................... 28,662 9,723,297
ResMed, Inc........................................ 53,042 5,618,209
Stryker Corp....................................... 115,276 18,700,073
Thermo Fisher Scientific, Inc...................... 149,588 34,951,236
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- --------------
HEALTHCARE -- (Continued)
UnitedHealth Group, Inc............................ 357,315 $ 93,384,275
Universal Health Services, Inc., Class B........... 31,911 3,879,101
* Varian Medical Systems, Inc........................ 34,178 4,079,828
* Vertex Pharmaceuticals, Inc........................ 94,932 16,087,177
* Waters Corp........................................ 28,615 5,427,979
* WellCare Health Plans, Inc......................... 18,556 5,121,270
Zimmer Biomet Holdings, Inc........................ 75,248 8,547,420
Zoetis, Inc........................................ 179,292 16,163,174
--------------
TOTAL HEALTHCARE........................................ 1,278,192,657
--------------
INDUSTRIALS -- (9.1%)
3M Co.............................................. 217,778 41,434,442
# Alaska Air Group, Inc.............................. 46,445 2,852,652
# Allegion P.L.C..................................... 35,807 3,069,734
# American Airlines Group, Inc....................... 152,179 5,338,439
AMETEK, Inc........................................ 86,665 5,813,488
AO Smith Corp...................................... 53,076 2,416,550
Arconic, Inc....................................... 160,921 3,271,524
Boeing Co. (The)................................... 198,354 70,387,900
Caterpillar, Inc................................... 220,783 26,785,394
CH Robinson Worldwide, Inc......................... 51,542 4,588,784
# Cintas Corp........................................ 31,779 5,779,647
# * Copart, Inc........................................ 76,771 3,754,870
CSX Corp........................................... 303,058 20,868,574
Cummins, Inc....................................... 55,787 7,625,525
Deere & Co......................................... 119,462 16,179,933
Delta Air Lines, Inc............................... 233,734 12,792,262
Dover Corp......................................... 54,843 4,543,194
Eaton Corp. P.L.C.................................. 160,338 11,491,424
Emerson Electric Co................................ 233,424 15,844,821
Equifax, Inc....................................... 44,449 4,508,907
Expeditors International of Washington, Inc........ 64,596 4,339,559
# Fastenal Co........................................ 105,800 5,439,178
FedEx Corp......................................... 90,371 19,912,346
# Flowserve Corp..................................... 47,632 2,186,309
Fluor Corp......................................... 51,525 2,259,887
# Fortive Corp....................................... 113,783 8,448,388
Fortune Brands Home & Security, Inc................ 53,315 2,390,111
General Dynamics Corp.............................. 103,440 17,851,675
General Electric Co................................ 3,226,537 32,588,024
Harris Corp........................................ 43,665 6,493,422
Honeywell International, Inc....................... 275,692 39,925,715
Huntington Ingalls Industries, Inc................. 16,032 3,502,671
* IHS Markit, Ltd.................................... 132,930 6,982,813
Illinois Tool Works, Inc........................... 114,635 14,623,987
Ingersoll-Rand P.L.C............................... 90,978 8,728,429
Jacobs Engineering Group, Inc...................... 43,827 3,290,969
JB Hunt Transport Services, Inc.................... 32,480 3,592,613
Johnson Controls International P.L.C............... 341,971 10,932,813
Kansas City Southern............................... 37,546 3,828,190
L3 Technologies, Inc............................... 29,001 5,494,819
Lockheed Martin Corp............................... 92,066 27,053,594
Masco Corp......................................... 114,179 3,425,370
Nielsen Holdings P.L.C............................. 132,267 3,436,297
Norfolk Southern Corp.............................. 104,037 17,460,530
Northrop Grumman Corp.............................. 64,643 16,933,234
PACCAR, Inc........................................ 129,959 7,434,954
Parker-Hannifin Corp............................... 49,029 7,434,267
Pentair P.L.C...................................... 61,166 2,455,815
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
INDUSTRIALS -- (Continued)
* Quanta Services, Inc............................... 54,838 $ 1,710,946
Raytheon Co........................................ 105,955 18,546,363
Republic Services, Inc............................. 80,940 5,882,719
* Resideo Technologies, Inc.......................... 45,949 967,219
Robert Half International, Inc..................... 45,093 2,729,479
Rockwell Automation, Inc........................... 45,731 7,533,268
Rockwell Collins, Inc.............................. 60,834 7,787,969
Rollins, Inc....................................... 36,321 2,150,203
Roper Technologies, Inc............................ 38,535 10,901,552
# Snap-on, Inc....................................... 20,675 3,182,710
Southwest Airlines Co.............................. 191,486 9,401,963
Stanley Black & Decker, Inc........................ 56,371 6,568,349
# * Stericycle, Inc.................................... 32,136 1,605,836
Textron, Inc....................................... 92,235 4,946,563
# * TransDigm Group, Inc............................... 17,953 5,928,978
Union Pacific Corp................................. 274,535 40,142,508
* United Continental Holdings, Inc................... 85,023 7,270,317
United Parcel Service, Inc., Class B............... 257,458 27,429,575
* United Rentals, Inc................................ 30,708 3,687,110
United Technologies Corp........................... 279,312 34,693,344
* Verisk Analytics, Inc.............................. 61,156 7,328,935
Waste Management, Inc.............................. 146,324 13,091,608
# WW Grainger, Inc................................... 16,883 4,794,266
Xylem, Inc......................................... 67,012 4,394,647
------------
TOTAL INDUSTRIALS....................................... 790,470,470
------------
INFORMATION TECHNOLOGY -- (20.4%)
Accenture P.L.C., Class A.......................... 237,876 37,494,015
* Adobe, Inc......................................... 181,786 44,675,727
# * Advanced Micro Devices, Inc........................ 318,534 5,800,504
* Akamai Technologies, Inc........................... 62,515 4,516,709
Alliance Data Systems Corp......................... 17,473 3,602,583
Amphenol Corp., Class A............................ 111,059 9,939,780
Analog Devices, Inc................................ 138,001 11,552,064
* ANSYS, Inc......................................... 31,044 4,642,630
Apple, Inc......................................... 1,703,441 372,815,097
Applied Materials, Inc............................. 365,315 12,011,557
* Arista Networks, Inc............................... 19,170 4,415,809
* Autodesk, Inc...................................... 81,417 10,523,147
Automatic Data Processing, Inc..................... 162,637 23,432,739
Broadcom, Inc...................................... 160,315 35,828,799
Broadridge Financial Solutions, Inc................ 42,797 5,004,681
CA, Inc............................................ 116,891 5,185,285
* Cadence Design Systems, Inc........................ 106,032 4,725,846
Cisco Systems, Inc................................. 1,697,094 77,642,050
* Citrix Systems, Inc................................ 47,953 4,913,744
Cognizant Technology Solutions Corp., Class A...... 215,503 14,876,172
Corning, Inc....................................... 300,759 9,609,250
DXC Technology Co.................................. 104,395 7,603,088
* F5 Networks, Inc................................... 22,642 3,968,690
Fidelity National Information Services, Inc........ 122,501 12,752,354
* Fiserv, Inc........................................ 150,243 11,914,270
* FleetCor Technologies, Inc......................... 32,654 6,531,780
FLIR Systems, Inc.................................. 51,616 2,390,337
* Fortinet, Inc...................................... 53,373 4,386,193
* Gartner, Inc....................................... 33,488 4,940,150
Global Payments, Inc............................... 58,824 6,719,466
Hewlett Packard Enterprise Co...................... 546,424 8,332,966
HP, Inc............................................ 587,864 14,191,037
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- --------------
INFORMATION TECHNOLOGY -- (Continued)
Intel Corp......................................... 1,711,820 $ 80,250,122
International Business Machines Corp............... 338,862 39,114,841
Intuit, Inc........................................ 96,070 20,270,770
# * IPG Photonics Corp................................. 13,122 1,752,443
Juniper Networks, Inc.............................. 128,925 3,773,635
KLA-Tencor Corp.................................... 58,090 5,317,559
Lam Research Corp.................................. 58,510 8,292,622
Mastercard, Inc., Class A.......................... 338,688 66,948,457
# Microchip Technology, Inc.......................... 87,194 5,735,621
* Micron Technology, Inc............................. 429,794 16,211,830
Microsoft Corp..................................... 2,846,802 304,066,922
Motorola Solutions, Inc............................ 60,528 7,418,312
NetApp, Inc........................................ 96,266 7,555,918
NVIDIA Corp........................................ 225,718 47,588,126
Oracle Corp........................................ 1,049,374 51,251,426
Paychex, Inc....................................... 118,895 7,786,434
* PayPal Holdings, Inc............................... 439,566 37,007,062
* Qorvo, Inc......................................... 47,192 3,469,084
# QUALCOMM, Inc...................................... 522,340 32,849,963
* Red Hat, Inc....................................... 65,773 11,289,278
* salesforce.com, Inc................................ 280,923 38,553,872
# Seagate Technology P.L.C........................... 97,035 3,903,718
Skyworks Solutions, Inc............................ 66,167 5,740,649
Symantec Corp...................................... 232,709 4,223,668
* Synopsys, Inc...................................... 54,852 4,910,900
TE Connectivity, Ltd............................... 129,256 9,748,487
Texas Instruments, Inc............................. 360,963 33,508,195
Total System Services, Inc......................... 61,804 5,633,435
* VeriSign, Inc...................................... 39,836 5,678,223
# Visa, Inc., Class A................................ 659,579 90,922,965
Western Digital Corp............................... 108,181 4,659,356
# Western Union Co. (The)............................ 166,065 2,995,813
Xerox Corp......................................... 83,189 2,318,477
Xilinx, Inc........................................ 93,947 8,020,255
--------------
TOTAL INFORMATION TECHNOLOGY............................ 1,765,706,957
--------------
MATERIALS -- (2.3%)
Air Products & Chemicals, Inc...................... 81,230 12,537,850
# Albemarle Corp..................................... 40,109 3,979,615
Avery Dennison Corp................................ 32,123 2,914,199
# Ball Corp.......................................... 128,301 5,747,885
# CF Industries Holdings, Inc........................ 86,236 4,141,915
DowDuPont, Inc..................................... 856,607 46,188,249
Eastman Chemical Co................................ 52,426 4,107,577
Ecolab, Inc........................................ 94,434 14,462,567
FMC Corp........................................... 49,941 3,899,393
Freeport-McMoRan, Inc.............................. 538,016 6,267,886
# International Flavors & Fragrances, Inc............ 37,444 5,416,649
International Paper Co............................. 151,137 6,855,574
# Linde P.L.C........................................ 106,780 17,668,887
LyondellBasell Industries NV, Class A.............. 118,976 10,620,988
# Martin Marietta Materials, Inc..................... 23,244 3,981,232
Mosaic Co. (The)................................... 130,923 4,050,758
Newmont Mining Corp................................ 197,137 6,095,476
Nucor Corp......................................... 118,182 6,986,920
Packaging Corp. of America......................... 34,827 3,197,467
# PPG Industries, Inc................................ 89,862 9,443,598
# Sealed Air Corp.................................... 58,364 1,888,659
Sherwin-Williams Co. (The)......................... 30,430 11,973,292
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
------- ------------
MATERIALS -- (Continued)
# Vulcan Materials Co................................ 49,093 $ 4,965,266
WestRock Co........................................ 94,039 4,040,856
------------
TOTAL MATERIALS........................................ 201,432,758
------------
REAL ESTATE -- (2.8%)
# Alexandria Real Estate Equities, Inc............... 39,268 4,799,728
American Tower Corp................................ 163,659 25,499,709
Apartment Investment & Management Co., Class A..... 58,595 2,521,929
AvalonBay Communities, Inc......................... 51,359 9,007,341
Boston Properties, Inc............................. 57,011 6,884,648
* CBRE Group, Inc., Class A.......................... 117,336 4,727,467
Crown Castle International Corp.................... 154,400 16,789,456
Digital Realty Trust, Inc.......................... 76,541 7,903,624
Duke Realty Corp................................... 131,695 3,630,831
Equinix, Inc....................................... 29,446 11,152,378
Equity Residential................................. 137,134 8,908,225
Essex Property Trust, Inc.......................... 24,700 6,194,266
Extra Space Storage, Inc........................... 47,089 4,240,835
Federal Realty Investment Trust.................... 27,502 3,411,623
HCP, Inc........................................... 175,809 4,843,538
Host Hotels & Resorts, Inc......................... 276,650 5,286,782
Iron Mountain, Inc................................. 104,981 3,213,468
# Kimco Realty Corp.................................. 159,494 2,566,258
Macerich Co. (The)................................. 39,219 2,024,485
Mid-America Apartment Communities, Inc............. 42,738 4,175,930
Prologis, Inc...................................... 233,210 15,035,049
Public Storage..................................... 55,477 11,398,859
# Realty Income Corp................................. 107,693 6,490,657
Regency Centers Corp............................... 62,912 3,986,104
* SBA Communications Corp............................ 42,845 6,948,174
Simon Property Group, Inc.......................... 114,793 21,066,811
SL Green Realty Corp............................... 32,602 2,975,259
# UDR, Inc........................................... 100,413 3,935,186
Ventas, Inc........................................ 131,476 7,630,867
Vornado Realty Trust............................... 63,684 4,335,607
# Welltower, Inc..................................... 138,850 9,173,820
Weyerhaeuser Co.................................... 282,934 7,534,532
------------
TOTAL REAL ESTATE...................................... 238,293,446
------------
UTILITIES -- (3.0%)
AES Corp........................................... 243,780 3,554,312
Alliant Energy Corp................................ 86,011 3,696,753
Ameren Corp........................................ 90,729 5,859,279
American Electric Power Co., Inc................... 183,296 13,446,594
American Water Works Co., Inc...................... 67,494 5,975,244
CenterPoint Energy, Inc............................ 182,056 4,917,332
# CMS Energy Corp.................................... 105,361 5,217,477
Consolidated Edison, Inc........................... 115,512 8,778,912
# Dominion Energy, Inc............................... 242,709 17,334,277
# DTE Energy Co...................................... 67,885 7,630,274
Duke Energy Corp................................... 264,460 21,852,330
Edison International............................... 120,981 8,394,872
Entergy Corp....................................... 66,896 5,615,919
Evergy, Inc........................................ 101,307 5,672,179
# Eversource Energy.................................. 117,857 7,455,634
Exelon Corp........................................ 358,776 15,717,976
# FirstEnergy Corp................................... 180,460 6,727,549
NextEra Energy, Inc................................ 175,283 30,236,317
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Shares Value+
---------- --------------
UTILITIES -- (Continued)
NiSource, Inc................................. 134,796 $ 3,418,427
NRG Energy, Inc............................... 111,693 4,042,170
PG&E Corp..................................... 191,286 8,954,098
Pinnacle West Capital Corp.................... 42,086 3,461,573
PPL Corp...................................... 259,312 7,883,085
Public Service Enterprise Group, Inc.......... 186,681 9,974,366
SCANA Corp.................................... 52,044 2,084,362
# Sempra Energy................................. 101,535 11,181,034
Southern Co. (The)............................ 377,080 16,979,912
WEC Energy Group, Inc......................... 117,075 8,007,930
Xcel Energy, Inc.............................. 189,257 9,275,486
--------------
TOTAL UTILITIES...................................... 263,345,673
--------------
TOTAL COMMON STOCKS.................................. 8,495,148,167
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government
Money Market Fund 2.090%.................... 11,282,028 11,282,028
--------------
SECURITIES LENDING COLLATERAL -- (1.9%)
@ (S) DFA Short Term Investment Fund................ 14,177,776 164,036,867
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,949,404,614)............................. $8,670,467,062
==============
P.L.C. Public Limited Company
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S)Affiliated Fund.
As of October 31, 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... 131 12/21/18 $17,681,628 $17,757,705 $76,077
----------- ----------- -------
Total Futures Contracts.. $17,681,628 $17,757,705 $76,077
=========== =========== =======
Summary of the Portfolio's investments as of October 31, 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
Communication Services........ $ 860,246,233 -- -- $ 860,246,233
Consumer Discretionary........ 833,353,700 -- -- 833,353,700
Consumer Staples.............. 624,742,995 -- -- 624,742,995
Energy........................ 484,233,259 -- -- 484,233,259
Financials.................... 1,155,130,019 -- -- 1,155,130,019
Healthcare.................... 1,278,192,657 -- -- 1,278,192,657
Industrials................... 790,470,470 -- -- 790,470,470
Information Technology........ 1,765,706,957 -- -- 1,765,706,957
Materials..................... 201,432,758 -- -- 201,432,758
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Real Estate..................... $ 238,293,446 -- -- $ 238,293,446
Utilities....................... 263,345,673 -- -- 263,345,673
Temporary Cash Investments......... 11,282,028 -- -- 11,282,028
Securities Lending Collateral...... -- $164,036,867 -- 164,036,867
Futures Contracts**................ 76,077 -- -- 76,077
-------------- ------------ -- --------------
TOTAL.............................. $8,506,506,272 $164,036,867 -- $8,670,543,139
============== ============ == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE+
---------- --------------
COMMON STOCKS -- (97.4%)
COMMUNICATION SERVICES -- (8.7%)
# Altice USA, Inc., Class A.............................. 563,636 $ 9,192,903
AT&T, Inc.............................................. 34,933,504 1,071,759,903
# CenturyLink, Inc....................................... 6,106,226 126,032,505
* Charter Communications, Inc., Class A.................. 962,932 308,494,525
Comcast Corp., Class A................................. 21,585,011 823,252,320
# * Discovery, Inc., Class A............................... 1,025,284 33,208,949
* Discovery, Inc., Class C............................... 1,223,939 35,873,652
* DISH Network Corp., Class A............................ 222,140 6,828,584
# * Liberty Broadband Corp., Class A....................... 27,366 2,265,631
# * Liberty Broadband Corp., Class C....................... 172,660 14,318,694
* Liberty Media Corp.-Liberty Braves, Class A............ 13,703 353,537
# * Liberty Media Corp.-Liberty Braves, Class C............ 24,606 637,295
# * Liberty Media Corp.-Liberty Formula One, Class A....... 39,281 1,244,815
# * Liberty Media Corp.-Liberty Formula One, Class C....... 78,562 2,598,831
* Liberty Media Corp.-Liberty SiriusXM, Class A.......... 157,126 6,479,876
* Liberty Media Corp.-Liberty SiriusXM, Class C.......... 314,252 12,969,180
* Madison Square Garden Co. (The), Class A............... 12,058 3,335,484
News Corp., Class A.................................... 527,829 6,962,064
News Corp., Class B.................................... 64,856 865,179
# * Sprint Corp............................................ 2,014,058 12,326,035
* T-Mobile US, Inc....................................... 994,098 68,145,418
# Viacom, Inc., Class A.................................. 4,879 172,570
Viacom, Inc., Class B.................................. 1,347,805 43,102,804
---------- --------------
TOTAL COMMUNICATION SERVICES................................ 2,590,420,754
--------------
CONSUMER DISCRETIONARY -- (6.6%)
Advance Auto Parts, Inc................................ 259,412 41,443,661
Aramark................................................ 169,551 6,090,272
# Autoliv, Inc........................................... 418,017 34,837,537
# * AutoNation, Inc........................................ 113,565 4,597,111
BorgWarner, Inc........................................ 1,084,164 42,726,903
Carnival Corp.......................................... 1,281,250 71,801,250
* Dollar Tree, Inc....................................... 675,750 56,965,725
DR Horton, Inc......................................... 3,053,585 109,806,916
# Foot Locker, Inc....................................... 448,237 21,129,892
Ford Motor Co.......................................... 16,051,999 153,296,590
# Gap, Inc. (The)........................................ 360,971 9,854,508
Garmin, Ltd............................................ 531,136 35,139,958
# * GCI Liberty, Inc., Class A............................. 59,566 2,819,259
General Motors Co...................................... 6,055,833 221,582,929
Gentex Corp............................................ 1,387,044 29,197,276
Goodyear Tire & Rubber Co. (The)....................... 1,549,233 32,626,847
# Harley-Davidson, Inc................................... 161,981 6,190,914
Hyatt Hotels Corp., Class A............................ 139,548 9,656,722
# Kohl's Corp............................................ 1,636,864 123,959,711
Lear Corp.............................................. 347,852 46,229,531
Lennar Corp., Class A.................................. 1,163,622 50,012,473
# Lennar Corp., Class B.................................. 37,985 1,358,723
* LKQ Corp............................................... 1,167,836 31,846,888
# Macy's, Inc............................................ 2,356,380 80,800,270
# MGM Resorts International.............................. 2,471,336 65,935,244
* Mohawk Industries, Inc................................. 582,542 72,660,464
# Newell Brands, Inc..................................... 686,895 10,907,893
0
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
---------- --------------
CONSUMER DISCRETIONARY -- (Continued)
* Norwegian Cruise Line Holdings, Ltd.................... 1,519,001 $ 66,942,374
# PulteGroup, Inc........................................ 2,391,049 58,748,074
PVH Corp............................................... 445,706 53,836,828
* Qurate Retail, Inc..................................... 2,762,021 60,598,741
Ralph Lauren Corp...................................... 326,288 42,290,188
Royal Caribbean Cruises, Ltd........................... 1,271,015 133,113,401
* Skechers U.S.A., Inc., Class A......................... 187,666 5,361,618
Target Corp............................................ 1,192,437 99,723,506
Toll Brothers, Inc..................................... 338,804 11,404,143
# * Veoneer, Inc........................................... 413,217 13,875,827
# Whirlpool Corp......................................... 544,837 59,801,309
---------- --------------
TOTAL CONSUMER DISCRETIONARY 1,979,171,476
--------------
CONSUMER STAPLES -- (5.1%)
Archer-Daniels-Midland Co.............................. 1,338,015 63,221,209
Bunge, Ltd............................................. 586,005 36,215,109
Conagra Brands, Inc.................................... 318,123 11,325,174
# Coty, Inc., Class A.................................... 419,572 4,426,485
Ingredion, Inc......................................... 146,985 14,871,942
# JM Smucker Co. (The)................................... 897,022 97,165,423
Kraft Heinz Co. (The).................................. 1,012,962 55,682,521
Kroger Co. (The)....................................... 1,465,393 43,610,096
Molson Coors Brewing Co., Class B...................... 1,011,979 64,766,656
Mondelez International, Inc., Class A.................. 3,672,444 154,169,199
# * Post Holdings, Inc..................................... 394,384 34,871,433
Seaboard Corp.......................................... 13 50,245
Tyson Foods, Inc., Class A............................. 1,959,828 117,432,894
* US Foods Holding Corp.................................. 1,025,749 29,921,098
Walgreens Boots Alliance, Inc.......................... 3,095,947 246,963,692
Walmart, Inc........................................... 5,346,820 536,179,110
---------- --------------
TOTAL CONSUMER STAPLES...................................... 1,510,872,286
--------------
ENERGY -- (14.2%)
Anadarko Petroleum Corp................................ 999,792 53,188,934
# * Antero Resources Corp.................................. 415,575 6,603,487
# Apache Corp............................................ 2,116,853 80,080,549
* Apergy Corp............................................ 273,105 10,648,364
# Baker Hughes a GE Co................................... 1,033,235 27,577,042
# * Centennial Resource Development, Inc., Class A......... 7,056 135,193
Chevron Corp........................................... 5,892,482 657,895,615
# Cimarex Energy Co...................................... 44,629 3,546,667
# * Concho Resources, Inc.................................. 815,197 113,385,751
ConocoPhillips......................................... 4,754,869 332,365,343
# * Continental Resources, Inc............................. 11,297 595,126
Devon Energy Corp...................................... 1,783,080 57,771,792
# Diamondback Energy, Inc................................ 435,125 48,890,645
Exxon Mobil Corp....................................... 14,096,229 1,123,187,527
Helmerich & Payne, Inc................................. 394,637 24,581,939
Hess Corp.............................................. 918,391 52,715,643
HollyFrontier Corp..................................... 1,384,206 93,350,853
Kinder Morgan, Inc..................................... 7,052,891 120,040,205
Marathon Oil Corp...................................... 5,405,300 102,646,647
Marathon Petroleum Corp................................ 4,431,554 312,202,979
# Murphy Oil Corp........................................ 803,576 25,601,931
# National Oilwell Varco, Inc............................ 1,338,190 49,245,392
# Noble Energy, Inc...................................... 2,688,721 66,814,717
1
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
---------- --------------
ENERGY -- (Continued)
Occidental Petroleum Corp.............................. 3,043,574 $ 204,132,508
* Parsley Energy, Inc., Class A.......................... 301,021 7,049,912
PBF Energy, Inc., Class A.............................. 655,451 27,430,624
Peabody Energy Corp.................................... 234,009 8,295,619
Phillips 66............................................ 1,017,393 104,608,348
Pioneer Natural Resources Co........................... 347,819 51,223,304
Schlumberger, Ltd...................................... 1,545,495 79,299,348
# Targa Resources Corp................................... 918,831 47,475,998
# TechnipFMC P.L.C....................................... 1,601,490 42,119,187
# * Transocean, Ltd........................................ 586,439 6,456,693
Valero Energy Corp..................................... 2,730,237 248,697,288
Williams Cos., Inc. (The).............................. 1,196,347 29,107,123
* WPX Energy, Inc........................................ 336,015 5,389,681
---------- --------------
TOTAL ENERGY................................................ 4,224,357,974
--------------
FINANCIALS -- (22.0%)
Aflac, Inc............................................. 2,660,090 114,570,076
Alleghany Corp......................................... 32,159 19,317,268
Allstate Corp. (The)................................... 955,676 91,477,307
Ally Financial, Inc.................................... 2,960,989 75,238,731
American Financial Group, Inc.......................... 365,368 36,547,761
American International Group, Inc...................... 1,977,587 81,654,567
# * Arch Capital Group, Ltd................................ 538,218 15,269,245
Assurant, Inc.......................................... 246,917 24,002,802
* Athene Holding, Ltd., Class A.......................... 71,744 3,280,136
Axis Capital Holdings, Ltd............................. 165,056 9,208,474
Bank of America Corp................................... 22,911,090 630,054,975
Bank of New York Mellon Corp. (The).................... 4,090,441 193,600,573
BB&T Corp.............................................. 2,089,291 102,709,546
* Berkshire Hathaway, Inc., Class B...................... 2,931,466 601,771,341
BOK Financial Corp..................................... 6,114 524,153
* Brighthouse Financial, Inc............................. 185,840 7,364,839
Capital One Financial Corp............................. 2,121,634 189,461,916
Chubb, Ltd............................................. 590,560 73,766,850
CIT Group, Inc......................................... 473,057 22,413,441
Citigroup, Inc......................................... 7,448,262 487,563,231
Citizens Financial Group, Inc.......................... 912,076 34,066,039
CNA Financial Corp..................................... 411,635 17,852,610
Everest Re Group, Ltd.................................. 164,894 35,923,807
Fifth Third Bancorp.................................... 4,146,566 111,915,816
First American Financial Corp.......................... 115,297 5,111,116
# First Horizon National Corp............................ 106,101 1,712,470
# Franklin Resources, Inc................................ 138,034 4,210,037
Goldman Sachs Group, Inc. (The)........................ 1,502,760 338,677,021
Hartford Financial Services Group, Inc. (The).......... 2,070,570 94,045,289
# Huntington Bancshares, Inc............................. 5,227,019 74,903,182
Invesco, Ltd........................................... 920,299 19,979,691
# Janus Henderson Group P.L.C............................ 57,192 1,405,207
Jefferies Financial Group, Inc......................... 303,442 6,514,900
JPMorgan Chase & Co.................................... 5,691,942 620,535,517
KeyCorp................................................ 3,261,187 59,223,156
Lincoln National Corp.................................. 842,198 50,691,898
Loews Corp............................................. 1,277,862 59,497,255
M&T Bank Corp.......................................... 182,561 30,197,415
MetLife, Inc........................................... 1,856,059 76,451,070
Morgan Stanley......................................... 5,437,628 248,282,094
2
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
---------- --------------
FINANCIALS -- (Continued)
# New York Community Bancorp, Inc........................ 1,100,233 $ 10,540,232
Old Republic International Corp........................ 816,263 17,998,599
# PacWest Bancorp........................................ 367,566 14,930,531
# People's United Financial, Inc......................... 396,896 6,215,391
# Pinnacle Financial Partners, Inc....................... 42,479 2,221,652
PNC Financial Services Group, Inc. (The)............... 1,313,525 168,774,827
Principal Financial Group, Inc......................... 1,537,689 72,379,021
# Prosperity Bancshares, Inc............................. 69,192 4,499,556
Prudential Financial, Inc.............................. 983,255 92,209,654
Regions Financial Corp................................. 6,240,662 105,904,034
Reinsurance Group of America, Inc...................... 262,175 37,325,855
RenaissanceRe Holdings, Ltd............................ 118,695 14,499,781
Santander Consumer USA Holdings, Inc................... 714,106 13,389,488
State Street Corp...................................... 294,471 20,244,881
SunTrust Banks, Inc.................................... 1,285,995 80,580,447
Synchrony Financial.................................... 247,156 7,137,865
Torchmark Corp......................................... 11,224 950,224
Travelers Cos., Inc. (The)............................. 1,165,331 145,817,868
Unum Group............................................. 1,204,396 43,671,399
Voya Financial, Inc.................................... 184,436 8,070,919
Wells Fargo & Co....................................... 17,488,141 930,893,745
WR Berkley Corp........................................ 377,916 28,683,824
# Zions Bancorp NA....................................... 922,609 43,408,753
---------- --------------
TOTAL FINANCIALS............................................ 6,541,341,368
--------------
HEALTHCARE -- (16.5%)
Abbott Laboratories.................................... 4,212,247 290,392,308
Aetna, Inc............................................. 1,816,031 360,300,550
Allergan P.L.C......................................... 496,938 78,521,173
Anthem, Inc............................................ 1,376,563 379,339,466
* Bio-Rad Laboratories, Inc., Class A.................... 21,944 5,987,420
# Cardinal Health, Inc................................... 543,110 27,481,366
* Centene Corp........................................... 1,211,523 157,885,677
Cigna Corp............................................. 814,507 174,149,742
CVS Health Corp........................................ 4,705,478 340,629,552
Danaher Corp........................................... 1,886,239 187,492,157
* DaVita, Inc............................................ 1,134,770 76,415,412
DENTSPLY SIRONA, Inc................................... 220,294 7,628,781
* Express Scripts Holding Co............................. 2,740,464 265,742,794
Humana, Inc............................................ 545,028 174,632,422
* IQVIA Holdings, Inc.................................... 543,735 66,841,344
* Jazz Pharmaceuticals P.L.C............................. 6,687 1,062,029
* Laboratory Corp. of America Holdings................... 740,399 118,871,059
McKesson Corp.......................................... 559,086 69,751,569
* MEDNAX, Inc............................................ 327,189 13,509,634
Medtronic P.L.C........................................ 4,359,974 391,612,865
* Mylan NV............................................... 2,887,449 90,232,781
# PerkinElmer, Inc....................................... 110,802 9,582,157
# Perrigo Co. P.L.C...................................... 386,545 27,174,114
Pfizer, Inc............................................ 25,544,930 1,099,964,686
Quest Diagnostics, Inc................................. 955,008 89,875,803
STERIS P.L.C........................................... 209,661 22,918,044
# * Syneos Health, Inc..................................... 13,705 625,359
Thermo Fisher Scientific, Inc.......................... 1,073,774 250,887,295
* United Therapeutics Corp............................... 205,248 22,753,793
# Universal Health Services, Inc., Class B............... 509,128 61,889,600
3
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- --------------
HEALTHCARE -- (Continued)
* WellCare Health Plans, Inc............................. 37,453 $ 10,336,654
Zimmer Biomet Holdings, Inc............................ 377,067 42,831,041
--------- --------------
TOTAL HEALTHCARE............................................ 4,917,318,647
--------------
INDUSTRIALS -- (8.7%)
# * AECOM.................................................. 580,731 16,922,501
AGCO Corp.............................................. 469,585 26,315,543
# Alaska Air Group, Inc.................................. 392,638 24,115,826
# AMERCO................................................. 63,505 20,733,112
# Arconic, Inc........................................... 1,964,153 39,931,231
Carlisle Cos., Inc..................................... 360,870 34,856,433
Copa Holdings SA, Class A.............................. 7,044 510,197
Cummins, Inc........................................... 308,236 42,132,779
Curtiss-Wright Corp.................................... 29,500 3,229,070
Delta Air Lines, Inc................................... 2,950,569 161,484,641
# Dover Corp............................................. 802,718 66,497,159
Eaton Corp. P.L.C...................................... 1,816,899 130,217,151
FedEx Corp............................................. 947,923 208,865,354
# Flowserve Corp......................................... 72,916 3,346,844
Fluor Corp............................................. 906,547 39,761,152
Fortune Brands Home & Security, Inc.................... 43,097 1,932,039
General Electric Co.................................... 9,060,025 91,506,253
# * Genesee & Wyoming, Inc., Class A....................... 58,287 4,618,079
Ingersoll-Rand P.L.C................................... 830,409 79,669,440
Jacobs Engineering Group, Inc.......................... 401,182 30,124,756
* JetBlue Airways Corp................................... 2,305,410 38,569,509
Johnson Controls International P.L.C................... 2,599,423 83,103,553
Kansas City Southern................................... 677,498 69,077,696
# Knight-Swift Transportation Holdings, Inc.............. 72,938 2,334,016
L3 Technologies, Inc................................... 393,538 74,563,645
ManpowerGroup, Inc..................................... 425,572 32,466,888
# Nielsen Holdings P.L.C................................. 846,558 21,993,577
Norfolk Southern Corp.................................. 1,385,379 232,508,158
nVent Electric P.L.C................................... 1,075,245 26,257,483
Oshkosh Corp........................................... 424,917 23,854,840
Owens Corning.......................................... 878,164 41,510,812
PACCAR, Inc............................................ 649,338 37,148,627
Pentair P.L.C.......................................... 1,092,445 43,861,667
* Quanta Services, Inc................................... 749,677 23,389,922
Republic Services, Inc................................. 1,929,874 140,263,242
Rockwell Collins, Inc.................................. 10,306 1,319,374
# * Sensata Technologies Holding P.L.C..................... 148,908 6,983,785
# Snap-on, Inc........................................... 231,564 35,646,962
Southwest Airlines Co.................................. 741,730 36,418,943
Stanley Black & Decker, Inc............................ 888,656 103,546,197
# * Stericycle, Inc........................................ 176,533 8,821,354
* Teledyne Technologies, Inc............................. 16,413 3,631,869
Textron, Inc........................................... 1,940,539 104,071,107
Trinity Industries, Inc................................ 245,720 7,015,306
* United Continental Holdings, Inc....................... 1,696,416 145,060,532
United Technologies Corp............................... 925,119 114,909,031
# * USG Corp............................................... 231,469 9,772,621
# Wabtec Corp............................................ 256,124 21,007,291
* XPO Logistics, Inc..................................... 847,283 75,730,155
--------- --------------
TOTAL INDUSTRIALS........................................... 2,591,607,722
--------------
4
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
---------- --------------
INFORMATION TECHNOLOGY -- (11.0%)
* Akamai Technologies, Inc............................... 70,139 $ 5,067,543
# Amdocs, Ltd............................................ 682,500 43,181,775
# Analog Devices, Inc.................................... 444,284 37,191,014
* ARRIS International P.L.C.............................. 839,758 20,884,781
* Arrow Electronics, Inc................................. 652,120 44,155,045
Avnet, Inc............................................. 494,284 19,805,960
Broadcom, Inc.......................................... 457,974 102,352,609
CA, Inc................................................ 3,016,908 133,830,039
Cisco Systems, Inc..................................... 5,345,814 244,570,990
Corning, Inc........................................... 3,685,701 117,758,147
# Cypress Semiconductor Corp............................. 137,933 1,784,853
* Dell Technologies, Inc., Class V....................... 703,394 63,579,784
Dolby Laboratories, Inc., Class A...................... 16,857 1,159,930
DXC Technology Co...................................... 1,076,074 78,370,469
# * EchoStar Corp., Class A................................ 3,985 161,592
Fidelity National Information Services, Inc............ 1,297,798 135,100,772
* First Solar, Inc....................................... 39,472 1,649,930
* Flex, Ltd.............................................. 1,552,059 12,199,184
FLIR Systems, Inc...................................... 64,968 3,008,668
Hewlett Packard Enterprise Co.......................... 8,567,122 130,648,610
HP, Inc................................................ 9,619,949 232,225,569
Intel Corp............................................. 22,880,867 1,072,655,045
Jabil, Inc............................................. 652,770 16,143,002
Juniper Networks, Inc.................................. 2,634,266 77,104,966
# Lam Research Corp...................................... 233,155 33,045,058
Leidos Holdings, Inc................................... 665,010 43,079,348
LogMeIn, Inc........................................... 15,240 1,312,469
Marvell Technology Group, Ltd.......................... 885,460 14,530,399
* Micron Technology, Inc................................. 5,266,057 198,635,670
MKS Instruments, Inc................................... 189,157 13,938,979
* Nuance Communications, Inc............................. 5,268 91,610
* ON Semiconductor Corp.................................. 1,291,622 21,957,574
* Qorvo, Inc............................................. 490,844 36,081,942
# QUALCOMM, Inc.......................................... 1,564,601 98,397,757
SS&C Technologies Holdings, Inc........................ 122,197 6,251,598
SYNNEX Corp............................................ 47,193 3,662,649
TE Connectivity, Ltd................................... 884,592 66,715,929
# Western Digital Corp................................... 1,222,328 52,645,667
* Worldpay, Inc., Class A................................ 338,367 31,075,625
Xerox Corp............................................. 1,739,519 48,480,395
---------- --------------
TOTAL INFORMATION TECHNOLOGY................................ 3,264,492,946
--------------
MATERIALS -- (4.1%)
Air Products & Chemicals, Inc.......................... 340,649 52,579,173
# Albemarle Corp......................................... 492,856 48,901,172
* Alcoa Corp............................................. 830,728 29,067,173
Ashland Global Holdings, Inc........................... 369,641 27,346,041
# Ball Corp.............................................. 481,524 21,572,275
# CF Industries Holdings, Inc............................ 1,279,879 61,472,588
DowDuPont, Inc......................................... 3,009,073 162,249,216
Eastman Chemical Co.................................... 1,053,642 82,552,851
Freeport-McMoRan, Inc.................................. 4,951,916 57,689,821
Huntsman Corp.......................................... 791,799 17,324,562
International Paper Co................................. 1,061,238 48,137,756
# Martin Marietta Materials, Inc......................... 229,436 39,297,798
Mosaic Co. (The)....................................... 1,232,432 38,131,446
5
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
----------- ---------------
MATERIALS -- (Continued)
Newmont Mining Corp.................................... 3,129,949 $ 96,778,023
Nucor Corp............................................. 2,499,919 147,795,211
Olin Corp.............................................. 388,979 7,857,376
Reliance Steel & Aluminum Co........................... 456,094 35,994,939
# Royal Gold, Inc........................................ 121,993 9,348,324
Sonoco Products Co..................................... 61,412 3,351,867
Steel Dynamics, Inc.................................... 1,698,064 67,243,334
# United States Steel Corp............................... 1,062,648 28,192,052
# Valvoline, Inc......................................... 1,033,732 20,591,941
# Vulcan Materials Co.................................... 432,551 43,748,208
Westlake Chemical Corp................................. 371,564 26,492,513
# WestRock Co............................................ 1,056,585 45,401,458
----------- ---------------
TOTAL MATERIALS............................................... 1,219,117,118
---------------
REAL ESTATE -- (0.2%)
* CBRE Group, Inc., Class A.............................. 210,445 8,478,829
# * Howard Hughes Corp. (The).............................. 14,913 1,663,098
Jones Lang LaSalle, Inc................................ 309,764 40,969,386
----------- ---------------
TOTAL REAL ESTATE............................................. 51,111,313
---------------
UTILITIES -- (0.3%)
MDU Resources Group, Inc............................... 248,941 6,213,568
NRG Energy, Inc........................................ 1,445,428 52,310,039
# * Vistra Energy Corp..................................... 962,770 21,787,485
----------- ---------------
TOTAL UTILITIES............................................... 80,311,092
---------------
TOTAL COMMON STOCKS........................................... 28,970,122,696
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money
Market Fund 2.090%................................... 254,325,822 254,325,822
----------- ---------------
SECURITIES LENDING COLLATERAL -- (1.7%)
@ (S) DFA Short Term Investment Fund......................... 44,660,829 516,725,797
----------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $22,308,146,322)...................................... $29,741,174,315
===============
P.L.C.Public Limited Company
SA Special Assessment
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
6
SCHEDULE OF INVESTMENTS
CONTINUED
As of October 31, 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 12/21/18 $217,728,490 $204,010,275 (13,718,215)
------------ ------------ ------------
TOTAL FUTURES CONTRACTS $217,728,490 $204,010,275 $(13,718,215)
============ ============ ============
Summary of the Series' investments as of October 31, 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
Communication Services.......... $ 2,590,420,754 -- -- $ 2,590,420,754
Consumer Discretionary.......... 1,979,171,476 -- -- 1,979,171,476
Consumer Staples................ 1,510,872,286 -- -- 1,510,872,286
Energy.......................... 4,224,357,974 -- -- 4,224,357,974
Financials...................... 6,541,341,368 -- -- 6,541,341,368
Healthcare...................... 4,917,318,647 -- -- 4,917,318,647
Industrials..................... 2,591,607,722 -- -- 2,591,607,722
Information Technology.......... 3,264,492,946 -- -- 3,264,492,946
Materials....................... 1,219,117,118 -- -- 1,219,117,118
Real Estate..................... 51,111,313 -- -- 51,111,313
Utilities....................... 80,311,092 -- -- 80,311,092
Temporary Cash Investments......... 254,325,822 -- -- 254,325,822
Securities Lending Collateral...... -- $516,725,797 -- 516,725,797
Futures Contracts**................ (13,718,215) -- -- (13,718,215)
--------------- ------------ -- ---------------
TOTAL.............................. $29,210,730,303 $516,725,797 -- $29,727,456,100
=============== ============ == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
7
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE>>
---------- ------------
COMMON STOCKS -- (94.9%)
AUSTRALIA -- (5.5%)
AMP, Ltd............................................... 4,582,629 $ 8,035,776
Aurizon Holdings, Ltd.................................. 1,818,522 5,417,990
# Australia & New Zealand Banking Group, Ltd............. 10,195,581 187,666,580
# Bank of Queensland, Ltd................................ 1,641,023 11,249,038
# Bendigo & Adelaide Bank, Ltd........................... 2,091,342 15,196,796
BlueScope Steel, Ltd................................... 3,397,511 34,826,580
Boral, Ltd............................................. 3,092,131 12,318,339
Crown Resorts, Ltd..................................... 89,944 800,311
Downer EDI, Ltd........................................ 2,638,904 12,992,266
Fortescue Metals Group, Ltd............................ 11,576,950 32,951,820
# Harvey Norman Holdings, Ltd............................ 999,067 2,261,605
Incitec Pivot, Ltd..................................... 7,246,933 20,080,239
LendLease Group........................................ 1,361,351 17,001,308
# National Australia Bank, Ltd........................... 1,664,213 29,805,257
Newcrest Mining, Ltd................................... 1,951,490 28,566,307
Oil Search, Ltd........................................ 817,717 4,495,399
* Origin Energy, Ltd..................................... 4,040,722 20,940,044
QBE Insurance Group, Ltd............................... 3,148,070 25,293,836
# Qube Holdings, Ltd..................................... 11,942 20,766
Santos, Ltd............................................ 5,261,153 24,693,605
South32, Ltd., ADR..................................... 233,732 3,012,806
South32, Ltd........................................... 16,666,560 42,985,569
Star Entertainment Grp, Ltd. (The)..................... 4,213,591 14,208,899
Suncorp Group, Ltd..................................... 2,605,022 25,901,965
Tabcorp Holdings, Ltd.................................. 3,890,669 12,767,959
# Westpac Banking Corp................................... 470,227 8,932,304
# Whitehaven Coal, Ltd................................... 4,495,686 15,529,325
Woodside Petroleum, Ltd................................ 2,587,772 63,711,646
---------- ------------
TOTAL AUSTRALIA............................................ 681,664,335
------------
AUSTRIA -- (0.0%)
Erste Group Bank AG.................................... 25,766 1,048,868
Raiffeisen Bank International AG....................... 160,265 4,367,826
Voestalpine AG......................................... 19,052 676,155
---------- ------------
TOTAL AUSTRIA.............................................. 6,092,849
------------
BELGIUM -- (1.0%)
Ageas.................................................. 642,764 32,160,737
KBC Group NV........................................... 565,642 38,981,812
Proximus SADP.......................................... 15,976 407,034
Solvay SA.............................................. 314,975 35,877,958
UCB SA................................................. 284,283 23,874,089
---------- ------------
TOTAL BELGIUM.............................................. 131,301,630
------------
CANADA -- (7.9%)
# AltaGas, Ltd........................................... 455,083 5,721,162
# ARC Resources, Ltd..................................... 870,435 8,106,296
# Bank of Montreal....................................... 1,488,882 111,279,041
Bank of Nova Scotia (The).............................. 364,152 19,558,604
Barrick Gold Corp...................................... 2,694,850 33,755,993
# Barrick Gold Corp...................................... 909,928 11,419,596
* Bausch Health Cos., Inc................................ 1,337,901 30,611,175
Cameco Corp............................................ 468,671 5,019,759
8
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- ------------
CANADA -- (Continued)
Cameco Corp............................................ 571,821 $ 6,129,921
Canadian Imperial Bank of Commerce..................... 13,008 1,122,851
Canadian Natural Resources, Ltd........................ 496,828 13,631,682
# Canadian Natural Resources, Ltd........................ 1,099,426 30,036,318
# Cenovus Energy, Inc.................................... 2,110,053 17,851,048
# Crescent Point Energy Corp............................. 1,221,393 5,770,872
Crescent Point Energy Corp............................. 1,508,054 7,118,016
# Empire Co., Ltd., Class A.............................. 492,296 8,956,276
Enbridge Income Fund Holdings, Inc..................... 377,558 8,738,799
Encana Corp............................................ 1,615,618 16,494,288
Encana Corp............................................ 846,145 8,664,525
Fairfax Financial Holdings, Ltd........................ 93,553 45,460,028
First Quantum Minerals, Ltd............................ 1,844,735 18,413,016
# Genworth MI Canada, Inc................................ 137,465 4,512,031
Goldcorp, Inc.......................................... 2,154,003 19,454,666
# Goldcorp, Inc.......................................... 925,799 8,350,707
Great-West Lifeco, Inc................................. 410,222 9,413,807
# Husky Energy, Inc...................................... 1,605,697 22,698,941
# Imperial Oil, Ltd...................................... 187,707 5,863,126
# Imperial Oil, Ltd...................................... 431,174 13,469,876
Industrial Alliance Insurance & Financial Services,
Inc.................................................. 556,099 19,659,575
* Kinross Gold Corp...................................... 6,346,308 16,487,047
Linamar Corp........................................... 182,108 7,540,512
Lundin Mining Corp..................................... 3,846,864 15,808,830
Magna International, Inc............................... 751,981 37,027,544
Manulife Financial Corp................................ 2,154,766 33,930,874
# Manulife Financial Corp................................ 1,447,829 22,759,872
Metro, Inc............................................. 73,198 2,296,942
# Nutrien, Ltd........................................... 575,450 30,458,558
* Seven Generations Energy, Ltd., Class A................ 767,641 8,227,745
Sun Life Financial, Inc................................ 925,794 33,903,702
# Sun Life Financial, Inc................................ 439,783 16,096,058
Suncor Energy, Inc..................................... 3,317,433 111,282,512
Suncor Energy, Inc..................................... 808,526 26,932,001
Teck Resources, Ltd., Class B.......................... 1,355,792 28,023,169
Teck Resources, Ltd., Class B.......................... 1,867,648 38,604,284
TMX Group, Ltd......................................... 71,045 4,467,937
Tourmaline Oil Corp.................................... 1,225,804 17,877,957
* Turquoise Hill Resources, Ltd.......................... 1,692,690 2,854,474
* Turquoise Hill Resources, Ltd.......................... 127,382 217,823
# Wheaton Precious Metals Corp........................... 340,228 5,589,946
Whitecap Resources, Inc................................ 1,204,446 5,892,083
WSP Global, Inc........................................ 116,963 5,839,043
--------- ------------
TOTAL CANADA............................................... 989,400,908
------------
DENMARK -- (1.5%)
AP Moller - Maersk A.S., Class A....................... 7,706 9,144,749
AP Moller - Maersk A.S., Class B....................... 8,588 10,839,858
Carlsberg A.S., Class B................................ 288,439 31,819,606
Danske Bank A.S........................................ 950,671 18,194,534
DSV A.S................................................ 404,319 32,436,315
H Lundbeck A.S......................................... 217,057 10,123,894
ISS A.S................................................ 553,648 18,182,444
Rockwool International A.S., Class B................... 17,431 5,955,445
# Tryg A.S............................................... 101,237 2,440,415
9
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- --------------
DENMARK -- (Continued)
Vestas Wind Systems A.S................................ 754,737 $ 47,329,838
--------- --------------
TOTAL DENMARK.............................................. 186,467,098
--------------
FINLAND -- (1.0%)
Fortum Oyj............................................. 1,162,352 24,468,325
Nokia Oyj.............................................. 7,823,768 44,193,210
Stora Enso Oyj, Class R................................ 1,056,475 15,873,749
UPM-Kymmene Oyj........................................ 1,258,242 40,450,887
--------- --------------
TOTAL FINLAND.............................................. 124,986,171
--------------
FRANCE -- (9.9%)
Arkema SA.............................................. 5,432 568,805
AXA SA................................................. 2,859,375 71,560,646
BNP Paribas SA......................................... 2,405,711 125,371,327
Bollore SA............................................. 1,707,770 7,225,216
Bouygues SA............................................ 976,474 35,573,618
Carrefour SA........................................... 2,707,717 52,512,857
# Casino Guichard Perrachon SA........................... 97,923 4,318,672
Cie de Saint-Gobain.................................... 1,493,206 56,251,213
Cie Generale des Etablissements Michelin SCA........... 240,776 24,649,329
CNP Assurances......................................... 608,716 13,566,748
Credit Agricole SA..................................... 1,053,519 13,492,894
Electricite de France SA............................... 1,705,570 28,257,964
Engie SA............................................... 2,887,604 38,368,163
Natixis SA............................................. 2,992,604 17,470,525
Orange SA.............................................. 5,978,647 93,316,814
Peugeot SA............................................. 3,133,702 74,490,548
Renault SA............................................. 1,007,824 75,258,162
Sanofi................................................. 355,985 31,811,023
SCOR SE................................................ 349,012 16,128,116
Societe Generale SA.................................... 1,417,282 51,954,351
# Total SA............................................... 6,786,891 398,223,709
--------- --------------
TOTAL FRANCE............................................... 1,230,370,700
--------------
GERMANY -- (6.7%)
Allianz SE, Sponsored ADR.............................. 2,126,392 44,186,426
BASF SE................................................ 144,870 11,117,108
Bayer AG............................................... 459,185 35,197,645
Bayerische Motoren Werke AG............................ 1,225,665 105,542,991
* Commerzbank AG......................................... 3,189,381 30,030,917
Continental AG......................................... 142,986 23,562,084
Daimler AG............................................. 3,530,733 209,148,616
Deutsche Bank AG....................................... 1,938,873 18,950,018
Deutsche Bank AG....................................... 1,679,248 16,406,253
Deutsche Lufthansa AG.................................. 1,461,363 29,334,121
Deutsche Telekom AG.................................... 2,713,105 44,499,470
Evonik Industries AG................................... 460,467 14,244,903
Fraport AG Frankfurt Airport Services Worldwide........ 193,303 14,927,934
# Hapag-Lloyd AG......................................... 20,862 771,388
HeidelbergCement AG.................................... 659,319 44,744,303
* Innogy SE.............................................. 333,102 13,903,542
METRO AG............................................... 392,239 5,900,567
Muenchener Rueckversicherungs-Gesellschaft AG in
Muenchen............................................. 202,936 43,587,707
RWE AG................................................. 3,190,800 62,074,493
10
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
GERMANY -- (Continued)
* Talanx AG.............................................. 205,107 $ 7,328,735
Telefonica Deutschland Holding AG...................... 2,643,126 10,274,950
Uniper SE.............................................. 842,588 24,315,716
Volkswagen AG.......................................... 118,965 19,585,087
# Wacker Chemie AG....................................... 14,750 1,317,534
---------- ------------
TOTAL GERMANY.............................................. 830,952,508
------------
HONG KONG -- (2.8%)
BOC Aviation, Ltd...................................... 400,700 2,872,240
Cathay Pacific Airways, Ltd............................ 5,767,000 7,347,592
CK Asset Holdings, Ltd................................. 2,509,500 16,331,185
CK Hutchison Holdings, Ltd............................. 7,657,984 77,132,126
Great Eagle Holdings, Ltd.............................. 23,627 107,897
Guoco Group, Ltd....................................... 9,000 151,051
Hang Lung Group, Ltd................................... 3,168,000 7,799,419
Hang Lung Properties, Ltd.............................. 4,746,000 8,602,940
Henderson Land Development Co., Ltd.................... 1,905,350 8,886,705
Hopewell Holdings, Ltd................................. 938,669 2,900,302
Kerry Properties, Ltd.................................. 3,067,000 9,655,841
Li & Fung, Ltd......................................... 1,908,000 378,666
# Melco International Development, Ltd................... 257,000 441,085
# MTR Corp., Ltd......................................... 2,160,502 10,483,256
New World Development Co., Ltd......................... 21,926,168 27,893,694
# NWS Holdings, Ltd...................................... 3,084,400 6,121,970
Shangri-La Asia, Ltd................................... 3,398,000 4,641,648
# Sino Land Co., Ltd..................................... 8,400,217 13,196,768
SJM Holdings, Ltd...................................... 4,389,000 3,556,595
Sun Hung Kai Properties, Ltd........................... 4,291,920 55,778,561
Swire Pacific, Ltd., Class A........................... 2,580,500 26,808,002
Swire Pacific, Ltd., Class B........................... 3,125,000 5,043,958
WH Group, Ltd.......................................... 9,882,000 6,939,778
Wharf Holdings, Ltd. (The)............................. 5,540,990 13,851,366
Wheelock & Co., Ltd.................................... 3,612,000 19,309,812
Yue Yuen Industrial Holdings, Ltd...................... 2,831,000 7,773,253
---------- ------------
TOTAL HONG KONG............................................ 344,005,710
------------
IRELAND -- (0.3%)
AIB Group P.L.C........................................ 297,952 1,436,524
Bank of Ireland Group P.L.C............................ 2,070,103 14,626,529
CRH P.L.C.............................................. 293,793 8,763,310
CRH P.L.C., Sponsored ADR.............................. 198,709 5,917,554
Paddy Power Betfair P.L.C.............................. 57,573 4,969,142
---------- ------------
TOTAL IRELAND.............................................. 35,713,059
------------
ISRAEL -- (0.4%)
Bank Hapoalim BM....................................... 2,736,994 18,516,161
Bank Leumi Le-Israel BM................................ 3,566,076 22,236,985
First International Bank Of Israel, Ltd................ 66,299 1,427,721
Israel Discount Bank, Ltd., Class A.................... 2,373,344 7,755,993
# Mizrahi Tefahot Bank, Ltd.............................. 97,484 1,640,707
---------- ------------
TOTAL ISRAEL............................................... 51,577,567
------------
ITALY -- (1.6%)
Assicurazioni Generali SpA............................. 1,463,826 23,621,519
Eni SpA................................................ 535,545 9,511,146
11
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
ITALY -- (Continued)
* Fiat Chrysler Automobiles NV........................... 1,473,730 $ 22,427,872
* Fiat Chrysler Automobiles NV........................... 1,127,682 17,039,275
Intesa Sanpaolo SpA.................................... 8,425,222 18,662,494
Mediobanca Banca di Credito Finanziario SpA............ 1,589,323 13,918,933
Poste Italiane SpA..................................... 48,118 345,266
* Telecom Italia SpA..................................... 63,812,045 37,531,285
# * Telecom Italia SpA, Sponsored ADR...................... 1,847,002 10,989,662
UniCredit SpA.......................................... 3,949,190 50,491,010
---------- ------------
TOTAL ITALY................................................. 204,538,462
------------
JAPAN -- (22.5%)
Aeon Co., Ltd.......................................... 216,200 4,962,255
AGC, Inc............................................... 895,500 29,331,594
Aisin Seiki Co., Ltd................................... 325,100 12,715,067
Alfresa Holdings Corp.................................. 102,600 2,736,513
Amada Holdings Co., Ltd................................ 870,500 8,200,836
Aoyama Trading Co., Ltd................................ 41,900 1,267,620
Asahi Kasei Corp....................................... 299,100 3,588,736
Bank of Kyoto, Ltd. (The).............................. 113,679 5,104,422
Canon Marketing Japan, Inc............................. 152,000 2,876,300
Chiba Bank, Ltd. (The)................................. 1,064,000 6,731,247
Chugoku Bank, Ltd. (The)............................... 256,900 2,306,936
Citizen Watch Co., Ltd................................. 1,284,600 7,394,106
Coca-Cola Bottlers Japan Holdings, Inc................. 427,457 11,187,058
Concordia Financial Group, Ltd......................... 2,530,100 11,579,657
Credit Saison Co., Ltd................................. 344,000 5,462,729
Dai Nippon Printing Co., Ltd........................... 474,300 10,642,105
Daicel Corp............................................ 1,087,400 11,503,620
Daido Steel Co., Ltd................................... 112,900 4,648,152
Dai-ichi Life Holdings, Inc............................ 1,805,447 33,879,789
# Daio Paper Corp........................................ 39,000 505,630
Daiwa Securities Group, Inc............................ 4,606,000 26,414,072
DeNA Co., Ltd.......................................... 365,200 6,074,670
Denka Co., Ltd......................................... 234,800 7,636,332
Denso Corp............................................. 525,000 23,418,008
DIC Corp............................................... 343,600 10,139,676
Dowa Holdings Co., Ltd................................. 119,300 3,472,015
Ebara Corp............................................. 278,100 8,100,009
Fuji Media Holdings, Inc............................... 52,200 847,203
FUJIFILM Holdings Corp................................. 614,000 26,555,729
Fukuoka Financial Group, Inc........................... 422,000 10,368,848
Fukuyama Transporting Co., Ltd......................... 31,093 1,204,840
Furukawa Electric Co., Ltd............................. 271,700 7,332,403
Fuyo General Lease Co., Ltd............................ 5,300 294,426
Glory, Ltd............................................. 185,800 4,326,608
GS Yuasa Corp.......................................... 11,000 225,799
Gunma Bank, Ltd. (The)................................. 661,596 2,995,279
H2O Retailing Corp..................................... 268,800 4,176,400
Hachijuni Bank, Ltd. (The)............................. 622,531 2,629,482
Hankyu Hanshin Holdings, Inc........................... 676,200 22,335,318
Heiwa Corp............................................. 161,400 3,691,224
Hiroshima Bank, Ltd. (The)............................. 381,000 2,350,046
Hitachi Capital Corp................................... 199,000 4,879,308
Hitachi Chemical Co., Ltd.............................. 413,300 6,514,446
Hitachi Metals, Ltd.................................... 1,026,900 12,075,230
Hitachi Transport System, Ltd.......................... 105,000 2,696,259
12
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
JAPAN -- (Continued)
Hitachi, Ltd........................................... 2,689,700 $ 82,224,653
Hokuhoku Financial Group, Inc.......................... 191,900 2,377,380
Honda Motor Co., Ltd., Sponsored ADR................... 26,040 742,140
Honda Motor Co., Ltd................................... 4,590,300 131,032,550
House Foods Group, Inc................................. 64,900 1,866,619
Ibiden Co., Ltd........................................ 488,800 6,035,780
Idemitsu Kosan Co., Ltd................................ 491,896 22,284,195
# Iida Group Holdings Co., Ltd........................... 601,800 10,954,460
Inpex Corp............................................. 2,842,483 32,366,238
Isetan Mitsukoshi Holdings, Ltd........................ 606,900 7,093,019
ITOCHU Corp............................................ 305,700 5,669,498
Itoham Yonekyu Holdings, Inc........................... 61,000 384,143
Iyo Bank, Ltd. (The)................................... 492,300 2,919,914
J Front Retailing Co., Ltd............................. 1,017,700 13,336,253
Japan Post Holdings Co., Ltd........................... 1,147,210 13,604,167
JFE Holdings, Inc...................................... 1,980,900 37,224,227
JSR Corp............................................... 506,200 7,543,986
JTEKT Corp............................................. 980,500 12,199,020
JXTG Holdings, Inc..................................... 9,040,403 61,085,845
Kamigumi Co., Ltd...................................... 336,700 6,947,684
Kandenko Co., Ltd...................................... 213,900 2,178,804
Kaneka Corp............................................ 250,708 10,478,582
Kawasaki Heavy Industries, Ltd......................... 577,800 13,692,950
# * Kawasaki Kisen Kaisha, Ltd............................. 195,599 2,606,454
Kinden Corp............................................ 222,800 3,572,336
Kobe Steel, Ltd........................................ 1,581,200 12,713,336
Kokuyo Co., Ltd........................................ 79,900 1,261,353
Konica Minolta, Inc.................................... 2,140,500 21,187,503
K's Holdings Corp...................................... 304,400 3,845,464
Kuraray Co., Ltd....................................... 1,529,300 21,005,722
Kurita Water Industries, Ltd........................... 7,500 184,726
Kyocera Corp........................................... 291,600 15,782,229
Kyushu Financial Group, Inc............................ 638,149 2,816,166
Lintec Corp............................................ 7,100 167,300
LIXIL Group Corp....................................... 1,113,600 17,506,585
Maeda Corp............................................. 232,800 2,630,561
Marubeni Corp.......................................... 2,754,500 22,335,383
Maruichi Steel Tube, Ltd............................... 22,700 654,081
Mazda Motor Corp....................................... 2,878,100 30,654,883
Mebuki Financial Group, Inc............................ 1,258,420 3,832,345
Medipal Holdings Corp.................................. 514,350 11,010,219
Mitsubishi Chemical Holdings Corp...................... 2,072,900 16,159,073
Mitsubishi Corp........................................ 2,342,100 65,919,083
Mitsubishi Gas Chemical Co., Inc....................... 581,400 9,759,487
Mitsubishi Heavy Industries, Ltd....................... 1,070,100 37,722,861
# Mitsubishi Logistics Corp.............................. 89,600 2,054,121
Mitsubishi Materials Corp.............................. 518,200 14,346,310
Mitsubishi Tanabe Pharma Corp.......................... 21,000 310,189
Mitsubishi UFJ Financial Group, Inc., Sponsored ADR.... 4,407,514 26,533,234
Mitsubishi UFJ Financial Group, Inc.................... 12,360,306 74,810,611
Mitsubishi UFJ Lease & Finance Co., Ltd................ 1,638,400 8,420,081
Mitsui & Co., Ltd., Sponsored ADR...................... 11,723 3,915,541
Mitsui & Co., Ltd...................................... 1,156,000 19,315,145
Mitsui Chemicals, Inc.................................. 788,560 17,682,789
Mitsui Fudosan Co., Ltd................................ 534,400 12,035,879
Mitsui OSK Lines, Ltd.................................. 538,700 13,092,870
Mizuho Financial Group, Inc............................ 32,297,600 55,466,701
13
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- ------------
JAPAN -- (Continued)
# Mizuho Financial Group, Inc., ADR...................... 124,017 $ 426,618
MS&AD Insurance Group Holdings, Inc.................... 639,353 19,204,384
Nagase & Co., Ltd...................................... 176,200 2,767,586
NEC Corp............................................... 1,232,410 35,376,603
NGK Spark Plug Co., Ltd................................ 16,000 323,764
NH Foods, Ltd.......................................... 432,567 14,917,435
NHK Spring Co., Ltd.................................... 832,900 7,131,852
# Nikon Corp............................................. 31,200 543,898
Nippo Corp............................................. 285,900 4,687,389
Nippon Electric Glass Co., Ltd......................... 250,800 6,319,026
Nippon Express Co., Ltd................................ 324,524 20,480,216
Nippon Kayaku Co., Ltd................................. 162,000 1,927,991
# Nippon Paper Industries Co., Ltd....................... 475,600 8,616,844
Nippon Shokubai Co., Ltd............................... 106,100 6,845,300
Nippon Steel & Sumitomo Metal Corp..................... 2,142,693 39,524,477
Nippon Yusen K.K....................................... 771,300 12,437,914
Nipro Corp............................................. 136,100 1,733,127
Nishi-Nippon Financial Holdings, Inc................... 27,400 260,384
Nissan Motor Co., Ltd.................................. 6,443,700 58,623,219
Nisshinbo Holdings, Inc................................ 493,000 5,427,256
NOK Corp............................................... 408,120 5,872,373
Nomura Holdings, Inc................................... 8,840,002 42,449,323
Nomura Real Estate Holdings, Inc....................... 470,500 8,838,318
NSK, Ltd............................................... 741,100 7,322,020
NTN Corp............................................... 1,823,100 6,668,239
Obayashi Corp.......................................... 2,342,282 20,678,169
Oji Holdings Corp...................................... 3,422,700 24,305,012
ORIX Corp.............................................. 3,324,900 54,165,926
# Rengo Co., Ltd......................................... 899,500 7,840,881
Resona Holdings, Inc................................... 4,555,800 23,963,668
Ricoh Co., Ltd......................................... 2,398,100 23,938,499
Sankyo Co., Ltd........................................ 82,100 3,134,637
Sawai Pharmaceutical Co., Ltd.......................... 7,500 380,190
Sega Sammy Holdings, Inc............................... 191,300 2,456,350
Seino Holdings Co., Ltd................................ 481,500 6,667,986
Sekisui House, Ltd..................................... 2,680,700 39,344,689
Shimamura Co., Ltd..................................... 65,800 5,534,736
Shimizu Corp........................................... 746,000 6,055,543
Shinsei Bank, Ltd...................................... 313,400 4,774,019
Shizuoka Bank, Ltd. (The).............................. 851,000 7,445,408
Sojitz Corp............................................ 3,995,200 13,435,700
Sompo Holdings, Inc.................................... 221,710 9,144,542
Sumitomo Chemical Co., Ltd............................. 7,962,000 39,884,741
Sumitomo Corp.......................................... 1,247,500 18,920,415
Sumitomo Electric Industries, Ltd...................... 3,161,100 43,109,780
Sumitomo Forestry Co., Ltd............................. 547,600 8,125,726
Sumitomo Heavy Industries, Ltd......................... 524,600 16,499,072
Sumitomo Metal Mining Co., Ltd......................... 834,300 26,268,800
Sumitomo Mitsui Financial Group, Inc................... 2,857,600 111,260,915
Sumitomo Mitsui Trust Holdings, Inc.................... 405,244 16,101,737
Sumitomo Osaka Cement Co., Ltd......................... 16,700 620,454
Sumitomo Rubber Industries, Ltd........................ 770,500 11,052,582
Suzuken Co., Ltd....................................... 106,100 5,370,291
T&D Holdings, Inc...................................... 1,067,700 17,067,944
Taiheiyo Cement Corp................................... 528,721 15,558,509
Takashimaya Co., Ltd................................... 463,917 7,300,980
TDK Corp............................................... 65,900 5,682,561
14
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- --------------
JAPAN -- (Continued)
Teijin, Ltd............................................ 849,290 $ 14,723,881
Toda Corp.............................................. 652,600 4,391,463
# Toho Holdings Co., Ltd................................. 87,200 2,284,384
Tokai Rika Co., Ltd.................................... 165,500 3,017,741
Tokio Marine Holdings, Inc............................. 86,619 4,080,805
Tokyo Broadcasting System Holdings, Inc................ 56,000 1,036,930
Tokyo Tatemono Co., Ltd................................ 802,300 8,628,855
Tokyu Fudosan Holdings Corp............................ 2,098,400 11,823,098
Toppan Printing Co., Ltd............................... 702,000 9,924,470
Toray Industries, Inc.................................. 342,400 2,428,743
Tosoh Corp............................................. 1,176,700 15,492,185
Toyo Seikan Group Holdings, Ltd........................ 503,949 10,281,470
Toyoda Gosei Co., Ltd.................................. 294,300 6,347,364
Toyota Industries Corp................................. 218,000 10,708,626
# Toyota Motor Corp., Sponsored ADR...................... 240,760 28,180,958
Toyota Motor Corp...................................... 4,650,190 272,412,454
Toyota Tsusho Corp..................................... 650,400 23,472,034
TS Tech Co., Ltd....................................... 62,300 1,792,999
TV Asahi Holdings Corp................................. 31,700 591,803
Ube Industries, Ltd.................................... 504,100 10,980,640
Wacoal Holdings Corp................................... 69,200 1,907,905
# Yamada Denki Co., Ltd.................................. 2,221,600 10,475,619
Yamaguchi Financial Group, Inc......................... 399,348 4,204,802
Yamato Kogyo Co., Ltd.................................. 39,300 1,035,705
Yokohama Rubber Co., Ltd. (The)........................ 552,400 10,700,764
Zeon Corp.............................................. 279,900 2,703,228
--------- --------------
TOTAL JAPAN................................................. 2,801,375,674
--------------
NETHERLANDS -- (3.5%)
ABN AMRO Group NV...................................... 801,264 19,653,071
# Aegon NV............................................... 6,676,955 40,947,385
# Aegon NV............................................... 503,770 3,062,921
Akzo Nobel NV.......................................... 33,168 2,784,951
ArcelorMittal.......................................... 1,780,735 44,434,633
ArcelorMittal.......................................... 726,121 18,073,154
ASR Nederland NV....................................... 19,297 876,030
Coca-Cola European Partners P.L.C...................... 24,638 1,115,967
# ING Groep NV, Sponsored ADR............................ 921,132 10,878,569
ING Groep NV........................................... 5,655,087 66,905,287
Koninklijke Ahold Delhaize NV.......................... 5,195,538 118,928,527
# Koninklijke DSM NV..................................... 679,114 59,292,631
Koninklijke Philips NV................................. 268,784 10,024,524
# Koninklijke Philips NV................................. 32,443 1,207,853
Koninklijke Vopak NV................................... 56,975 2,576,584
NN Group NV............................................ 827,562 35,533,979
Randstad NV............................................ 60,984 3,068,266
--------- --------------
TOTAL NETHERLANDS........................................... 439,364,332
--------------
NEW ZEALAND -- (0.2%)
Air New Zealand, Ltd................................... 2,720,019 4,973,149
# Auckland International Airport, Ltd.................... 1,485,064 6,791,301
EBOS Group, Ltd........................................ 49,727 677,799
# * Fletcher Building, Ltd................................. 1,637,344 6,485,399
# Fonterra Co-operative Group, Ltd....................... 200,886 639,193
15
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
NEW ZEALAND -- (Continued)
SKYCITY Entertainment Group, Ltd....................... 250,735 $ 627,939
---------- ------------
TOTAL NEW ZEALAND.......................................... 20,194,780
------------
NORWAY -- (0.9%)
Aker ASA, Class A...................................... 35,437 2,692,072
Austevoll Seafood ASA.................................. 90,175 1,449,209
DNB ASA................................................ 1,505,214 27,193,801
Equinor ASA............................................ 346,003 8,949,811
Norsk Hydro ASA........................................ 4,776,637 24,770,596
Norsk Hydro ASA, Sponsored ADR......................... 46,000 237,360
SpareBank 1 SR-Bank ASA................................ 342,721 3,809,938
Storebrand ASA......................................... 1,168,402 9,710,417
Subsea 7 SA............................................ 1,270,024 15,940,415
Yara International ASA................................. 346,564 14,882,610
---------- ------------
TOTAL NORWAY............................................... 109,636,229
------------
PORTUGAL -- (0.0%)
EDP Renovaveis SA...................................... 541,158 4,861,587
---------- ------------
SINGAPORE -- (0.9%)
CapitaLand, Ltd........................................ 8,198,700 18,623,233
City Developments, Ltd................................. 1,714,600 9,798,769
# Frasers Property, Ltd.................................. 492,700 561,669
Golden Agri-Resources, Ltd............................. 13,299,300 2,451,991
Hongkong Land Holdings, Ltd............................ 1,020,100 6,040,990
Hutchison Port Holdings Trust.......................... 16,251,500 3,997,706
Keppel Corp., Ltd...................................... 5,536,400 24,805,558
Olam International, Ltd................................ 357,600 465,068
Sembcorp Industries, Ltd............................... 5,069,900 10,350,601
Singapore Airlines, Ltd................................ 2,909,500 19,944,847
Singapore Press Holdings, Ltd.......................... 814,100 1,560,185
United Industrial Corp., Ltd........................... 1,669,070 3,376,191
UOL Group, Ltd......................................... 1,203,774 5,243,205
Wilmar International, Ltd.............................. 4,781,600 10,922,663
---------- ------------
TOTAL SINGAPORE............................................ 118,142,676
------------
SOUTH AFRICA -- (0.0%)
Nedbank Group, Ltd..................................... 83,648 1,414,082
Old Mutual, Ltd........................................ 2,604,492 3,926,576
---------- ------------
TOTAL SOUTH AFRICA......................................... 5,340,658
------------
SPAIN -- (2.3%)
Banco de Sabadell SA................................... 18,523,466 24,388,113
Banco Santander SA..................................... 37,339,499 177,659,607
# Banco Santander SA, Sponsored ADR...................... 70,430 336,655
Bankia SA.............................................. 924,249 2,903,118
Repsol SA.............................................. 4,613,186 82,432,298
---------- ------------
TOTAL SPAIN................................................ 287,719,791
------------
SWEDEN -- (2.5%)
# BillerudKorsnas AB..................................... 238,546 2,825,689
Boliden AB............................................. 1,195,043 27,290,864
Dometic Group AB....................................... 154,712 1,080,490
Getinge AB, Class B.................................... 559,676 5,490,054
16
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- ------------
SWEDEN -- (Continued)
# Holmen AB, Class A..................................... 5,562 $ 137,803
Holmen AB, Class B..................................... 476,284 10,903,828
Husqvarna AB, Class B.................................. 132,968 1,003,304
# ICA Gruppen AB......................................... 138,257 4,891,452
# Intrum AB.............................................. 60,181 1,534,996
Millicom International Cellular SA..................... 140,571 7,932,729
Nordea Bank Abp........................................ 6,227,863 54,125,579
Pandox AB.............................................. 25,680 438,712
Skandinaviska Enskilda Banken AB, Class A.............. 4,478,462 46,344,902
Skandinaviska Enskilda Banken AB, Class C.............. 28,685 294,599
SKF AB, Class B........................................ 265,997 4,264,495
SSAB AB, Class A....................................... 546,342 2,181,148
SSAB AB, Class B....................................... 1,359,160 4,407,825
# Svenska Cellulosa AB SCA, Class A...................... 63,918 618,376
Svenska Cellulosa AB SCA, Class B...................... 1,902,925 17,989,217
# Svenska Handelsbanken AB, Class A...................... 3,408,980 37,055,060
# Svenska Handelsbanken AB, Class B...................... 33,811 374,533
Swedbank AB, Class A................................... 185,207 4,166,145
Tele2 AB, Class B...................................... 200,532 2,277,088
Telefonaktiebolaget LM Ericsson, Class A............... 28,098 249,173
Telefonaktiebolaget LM Ericsson, Class B............... 2,979,007 25,937,492
Telia Co. AB........................................... 7,857,507 35,370,496
Trelleborg AB, Class B................................. 554,061 9,996,592
--------- ------------
TOTAL SWEDEN................................................ 309,182,641
------------
SWITZERLAND -- (7.7%)
Adecco Group AG........................................ 683,506 33,471,309
Baloise Holding AG..................................... 187,891 26,855,830
Banque Cantonale Vaudoise.............................. 1,979 1,479,133
Cie Financiere Richemont SA............................ 273,567 19,995,172
Clariant AG............................................ 1,276,330 27,508,586
Credit Suisse Group AG................................. 1,363,427 17,824,976
# Credit Suisse Group AG, Sponsored ADR.................. 1,052,790 13,612,575
# Dufry AG............................................... 159,126 17,930,293
Flughafen Zurich AG.................................... 43,405 8,578,249
Helvetia Holding AG.................................... 2,332 1,428,409
Julius Baer Group, Ltd................................. 716,015 32,653,696
# LafargeHolcim, Ltd..................................... 853,272 39,515,399
LafargeHolcim, Ltd..................................... 375,078 17,267,946
Lonza Group AG......................................... 16,770 5,273,149
# Novartis AG, Sponsored ADR............................. 469,577 41,069,204
Novartis AG............................................ 2,725,487 238,677,155
# Swatch Group AG (The).................................. 144,166 48,695,458
Swatch Group AG (The).................................. 195,503 13,049,970
Swiss Life Holding AG.................................. 104,266 39,330,670
Swiss Prime Site AG.................................... 82,075 6,659,840
Swiss Re AG............................................ 454,841 41,041,531
# Swisscom AG............................................ 48,985 22,429,330
UBS Group AG........................................... 6,119,363 85,531,038
# * UBS Group AG........................................... 1,233,581 17,146,776
Vifor Pharma AG........................................ 23,955 3,462,192
Zurich Insurance Group AG.............................. 441,250 136,999,799
--------- ------------
TOTAL SWITZERLAND........................................... 957,487,685
------------
UNITED KINGDOM -- (15.5%)
3i Group P.L.C......................................... 136,393 1,527,234
17
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
----------- ---------------
UNITED KINGDOM -- (Continued)
# Anglo American P.L.C................................... 5,896,146 $ 125,843,667
Antofagasta P.L.C...................................... 302,885 3,031,884
Aviva P.L.C............................................ 11,905,803 65,063,848
Barclays P.L.C., Sponsored ADR......................... 5,030,440 44,217,568
Barclays P.L.C......................................... 1,025,755 2,260,052
Barratt Developments P.L.C............................. 3,490,666 22,895,177
BP P.L.C., Sponsored ADR............................... 7,847,784 340,358,392
# British American Tobacco P.L.C., Sponsored ADR......... 413,928 17,964,475
British American Tobacco P.L.C......................... 1,136,911 49,285,393
Glencore P.L.C......................................... 21,880,787 89,047,352
GVC Holdings P.L.C..................................... 69,102 827,729
HSBC Holdings P.L.C.................................... 15,404,835 126,775,678
# HSBC Holdings P.L.C., Sponsored ADR.................... 2,714,621 111,543,777
Investec P.L.C......................................... 340,831 2,107,210
J Sainsbury P.L.C...................................... 8,162,535 32,430,309
# John Wood Group P.L.C.................................. 927,122 8,450,016
Kingfisher P.L.C....................................... 8,242,918 26,766,099
Lloyds Banking Group P.L.C............................. 178,022,807 129,910,115
Lloyds Banking Group P.L.C., ADR....................... 1,479,223 4,245,370
Mediclinic International P.L.C......................... 174,686 839,527
Melrose Industries P.L.C............................... 294,849 634,691
Micro Focus International P.L.C........................ 98,863 1,532,595
# Micro Focus International P.L.C., Sponsored ADR........ 104,958 1,610,056
# Pearson P.L.C.......................................... 748,020 8,593,209
# Pearson P.L.C., Sponsored ADR.......................... 1,119,256 12,759,518
Royal Bank of Scotland Group P.L.C..................... 2,796,353 8,418,411
# Royal Bank of Scotland Group P.L.C., Sponsored ADR..... 632,031 3,855,389
Royal Dutch Shell P.L.C., Class A...................... 122,471 3,901,693
Royal Dutch Shell P.L.C., Sponsored ADR, Class A....... 2,913,977 184,134,183
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B....... 3,006,785 197,575,842
Royal Mail P.L.C....................................... 3,005,342 13,797,307
Shire P.L.C., ADR...................................... 86,843 15,788,057
Shire P.L.C............................................ 293,960 17,740,750
Standard Chartered P.L.C............................... 4,294,713 30,100,386
Standard Life Aberdeen P.L.C........................... 1,614,944 5,577,750
Vodafone Group P.L.C................................... 58,351,986 109,733,134
Vodafone Group P.L.C., Sponsored ADR................... 4,011,201 75,932,040
Wm Morrison Supermarkets P.L.C......................... 9,206,943 29,169,340
WPP P.L.C.............................................. 248,421 2,811,066
----------- ---------------
TOTAL UNITED KINGDOM....................................... 1,929,056,289
---------------
UNITED STATES -- (0.3%)
* Linde P.L.C............................................ 241,948 39,695,031
----------- ---------------
TOTAL COMMON STOCKS........................................ 11,839,128,370
---------------
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Bayerische Motoren Werke AG............................ 109,145 8,220,422
Porsche Automobil Holding SE........................... 298,549 18,986,222
Volkswagen AG.......................................... 689,777 115,884,550
----------- ---------------
TOTAL GERMANY.............................................. 143,091,194
---------------
18
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ---------------
GERMANY -- (Continued)
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
* Banco Santander SA Rights 11/01/18..................... 37,339,498 $ 1,450,636
---------- ---------------
TOTAL INVESTMENT SECURITIES. 11,983,670,200
---------------
VALUE+
---------------
SECURITIES LENDING COLLATERAL -- (3.9%)
@ (S) DFA Short Term Investment Fund....................... 42,184,239 488,071,641
---------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,252,986,071)................................. $12,471,741,841
===============
ADR American Depositary Receipt
P.L.C Public Limited Company.
SA Special Assessment.
>> Securities that have generally been fair value factored. See Note B to
Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
+ See Note B to Financial Statements.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
As of October 31, 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 44 12/21/18 $ 4,270,354 $ 3,987,500 (282,854)
S&P 500(R) Emini Index 714 12/21/18 103,294,447 96,786,270 (6,508,177)
------------ ------------ -----------
TOTAL FUTURES CONTRACTS $107,564,801 $100,773,770 $(6,791,031)
============ ============ ===========
Summary of the Series' investments as of October 31, 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........................................... $ 3,012,806 $ 678,651,529 -- $ 681,664,335
Austria............................................. -- 6,092,849 -- 6,092,849
Belgium............................................. -- 131,301,630 -- 131,301,630
Canada.............................................. 989,400,908 -- -- 989,400,908
Denmark............................................. -- 186,467,098 -- 186,467,098
Finland............................................. -- 124,986,171 -- 124,986,171
France.............................................. -- 1,230,370,700 -- 1,230,370,700
Germany............................................. 60,592,679 770,359,829 -- 830,952,508
Hong Kong........................................... -- 344,005,710 -- 344,005,710
Ireland............................................. 5,917,554 29,795,505 -- 35,713,059
Israel.............................................. -- 51,577,567 -- 51,577,567
Italy............................................... 28,028,937 176,509,525 -- 204,538,462
Japan............................................... 59,798,491 2,741,577,183 -- 2,801,375,674
Netherlands......................................... 33,222,497 406,141,835 -- 439,364,332
New Zealand......................................... -- 20,194,780 -- 20,194,780
Norway.............................................. 237,360 109,398,869 -- 109,636,229
19
SCHEDULE OF INVESTMENTS
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- ------- ---------------
Portugal........ -- $ 4,861,587 -- $ 4,861,587
Singapore....... -- 118,142,676 -- 118,142,676
South Africa.... -- 5,340,658 -- 5,340,658
Spain........... $ 336,655 287,383,136 -- 287,719,791
Sweden.......... -- 309,182,641 -- 309,182,641
Switzerland..... 71,828,555 885,659,130 -- 957,487,685
United Kingdom.. 1,009,984,667 919,071,622 -- 1,929,056,289
United States... 39,695,031 -- -- 39,695,031
Preferred Stocks
Germany......... -- 143,091,194 -- 143,091,194
Rights/Warrants
Spain........... -- 1,450,636 -- 1,450,636
Securities Lending
Collateral....... -- 488,071,641 -- 488,071,641
Futures
Contracts**...... (6,791,031) -- -- (6,791,031)
-------------- --------------- -- ---------------
TOTAL.............. $2,295,265,109 $10,169,685,701 -- $12,464,950,810
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
20
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE>>
--------- -----------
COMMON STOCKS -- (95.4%)
BRAZIL -- (6.4%)
Ambev SA, ADR.......................................... 5,984,451 $25,912,673
Ambev SA............................................... 855,320 3,755,456
Atacadao Distribuicao Comercio e Industria, Ltd........ 154,377 632,193
B3 SA - Brasil Bolsa Balcao............................ 1,910,917 13,627,768
Banco Bradesco SA, ADR................................. 1,056,734 9,690,251
Banco Bradesco SA...................................... 1,025,829 8,338,392
Banco BTG Pactual SA................................... 14,300 75,967
Banco do Brasil SA..................................... 698,316 8,021,768
Banco Santander Brasil SA.............................. 374,457 4,246,160
BB Seguridade Participacoes SA......................... 636,043 4,525,707
Braskem SA, Sponsored ADR.............................. 154,641 4,308,298
* BRF SA................................................. 853,740 5,024,024
CCR SA................................................. 2,672,227 7,877,020
* Centrais Eletricas Brasileiras SA...................... 312,777 1,975,080
* Centrais Eletricas Brasileiras SA, ADR................. 49,971 351,796
Cia de Saneamento Basico do Estado de Sao Paulo........ 457,600 3,436,765
Cia de Saneamento Basico do Estado de Sao Paulo, ADR... 75,638 561,234
Cia Energetica de Minas Gerais......................... 103,000 306,661
* Cia Siderurgica Nacional SA, Sponsored ADR............. 380,551 958,988
* Cia Siderurgica Nacional SA............................ 575,321 1,479,463
Cielo SA............................................... 1,808,236 6,413,737
Cosan SA............................................... 324,677 2,813,606
Embraer SA, Sponsored ADR.............................. 329,053 7,328,010
Engie Brasil Energia SA................................ 259,701 2,777,402
Equatorial Energia SA.................................. 333,000 6,083,748
Fibria Celulose SA..................................... 22,600 436,332
Fibria Celulose SA, Sponsored ADR...................... 196,863 3,781,738
# Gerdau SA, Sponsored ADR............................... 631,681 2,747,812
Gerdau SA.............................................. 176,416 614,837
Hypermarcas SA......................................... 373,949 2,992,396
Itau Unibanco Holding SA............................... 446,626 5,087,324
JBS SA................................................. 3,108,148 8,560,666
Klabin SA.............................................. 663,900 3,330,650
Kroton Educacional SA.................................. 2,416,954 7,416,798
Localiza Rent a Car SA................................. 606,300 4,683,898
Lojas Americanas SA.................................... 158,284 595,453
Lojas Renner SA........................................ 1,274,302 12,874,850
M Dias Branco SA....................................... 104,200 1,245,136
Magazine Luiza SA...................................... 114,700 5,202,569
Multiplan Empreendimentos Imobiliarios SA.............. 153,900 951,149
Natura Cosmeticos SA................................... 302,900 2,652,562
Petroleo Brasileiro SA, Sponsored ADR.................. 1,299,604 19,260,131
# Petroleo Brasileiro SA, Sponsored ADR.................. 556,265 9,039,306
Petroleo Brasileiro SA................................. 2,706,971 22,054,376
Porto Seguro SA........................................ 294,829 4,308,156
Raia Drogasil SA....................................... 402,200 6,789,253
* Rumo SA................................................ 1,470,651 6,579,696
Suzano Papel e Celulose SA............................. 714,655 7,268,492
# Telefonica Brasil SA, ADR.............................. 66,193 767,839
TIM Participacoes SA................................... 1,073,613 3,343,591
Ultrapar Participacoes SA.............................. 311,484 3,703,659
# Ultrapar Participacoes SA, Sponsored ADR............... 254,308 3,000,834
Vale SA, Sponsored ADR................................. 1,665,739 25,152,651
Vale SA................................................ 3,260,013 49,677,633
112
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
----------- ------------
BRAZIL -- (Continued)
WEG SA................................................. 339,933 $ 1,644,174
----------- ------------
TOTAL BRAZIL 356,286,128
------------
CHILE -- (1.3%)
AES Gener SA........................................... 2,468,815 697,580
Aguas Andinas SA, Class A.............................. 4,770,656 2,492,495
# Banco de Chile, ADR.................................... 42,825 3,547,147
Banco de Credito e Inversiones SA...................... 70,603 4,420,667
Banco Santander Chile, ADR............................. 227,071 6,689,512
Cencosud SA............................................ 2,652,360 5,437,799
Cia Cervecerias Unidas SA.............................. 109,017 1,357,633
Cia Cervecerias Unidas SA, Sponsored ADR............... 113,569 2,847,175
Colbun SA.............................................. 11,908,297 2,267,525
Embotelladora Andina SA, ADR, Class B.................. 22,761 470,925
Empresa Nacional de Telecomunicaciones SA.............. 131,382 950,349
Empresas CMPC SA....................................... 1,770,268 6,084,849
Empresas COPEC SA...................................... 351,453 4,927,291
Enel Americas SA, ADR.................................. 853,477 6,725,399
Enel Chile SA, ADR..................................... 811,093 3,487,700
Itau CorpBanca......................................... 217,080,063 2,006,182
# Itau CorpBanca, ADR.................................... 30,902 400,490
# Latam Airlines Group SA, Sponsored ADR................. 468,440 4,319,017
SACI Falabella......................................... 870,305 6,565,335
# Sociedad Quimica y Minera de Chile SA, Sponsored ADR... 153,936 6,743,936
----------- ------------
TOTAL CHILE................................................. 72,439,006
------------
CHINA -- (16.5%)
# * 51job, Inc., ADR....................................... 2,031 124,724
* 58.com, Inc., ADR...................................... 40,230 2,638,686
# AAC Technologies Holdings, Inc......................... 634,000 4,829,342
Agile Group Holdings, Ltd.............................. 2,128,000 2,444,956
Agricultural Bank of China, Ltd., Class H.............. 12,316,000 5,421,254
Air China, Ltd., Class H............................... 2,406,000 1,945,153
* Alibaba Group Holding, Ltd., Sponsored ADR............. 527,081 74,993,085
# * Alibaba Health Information Technology, Ltd............. 1,832,000 1,486,014
* Aluminum Corp. of China, Ltd., ADR..................... 107,180 975,338
* Aluminum Corp. of China, Ltd., Class H................. 4,242,000 1,544,280
Angang Steel Co., Ltd., Class H........................ 1,720,000 1,470,868
# Anhui Conch Cement Co., Ltd., Class H.................. 1,483,000 7,686,596
ANTA Sports Products, Ltd.............................. 1,125,000 4,644,609
BAIC Motor Corp., Ltd., Class H........................ 3,511,000 1,982,039
* Baidu, Inc., Sponsored ADR............................. 106,675 20,274,650
Bank of China, Ltd., Class H........................... 32,226,181 13,729,686
Bank of Communications Co., Ltd., Class H.............. 3,273,515 2,459,248
# BBMG Corp., Class H.................................... 3,681,500 1,018,423
Beijing Capital International Airport Co., Ltd.,
Class H................................................ 1,754,000 1,904,226
Beijing Enterprises Holdings, Ltd...................... 522,972 2,835,532
Beijing Enterprises Water Group, Ltd................... 5,958,000 3,042,507
Brilliance China Automotive Holdings, Ltd.............. 2,582,000 2,265,014
# BYD Co., Ltd., Class H................................. 662,386 4,260,986
BYD Electronic International Co., Ltd.................. 397,000 467,165
CGN Power Co., Ltd., Class H........................... 6,045,000 1,390,219
China Cinda Asset Management Co., Ltd., Class H........ 8,406,000 2,063,525
China CITIC Bank Corp., Ltd., Class H.................. 5,731,928 3,552,844
China Coal Energy Co., Ltd., Class H................... 1,963,777 881,799
113
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- -----------
CHINA -- (Continued)
China Communications Construction Co., Ltd., Class H... 3,334,000 $ 3,056,962
China Communications Services Corp., Ltd., Class H..... 2,068,000 1,675,846
China Conch Venture Holdings, Ltd...................... 1,339,000 3,767,387
China Construction Bank Corp., Class H................. 41,584,590 32,999,317
China Eastern Airlines Corp., Ltd., ADR................ 2,200 61,886
China Eastern Airlines Corp., Ltd., Class H............ 2,220,000 1,232,129
China Energy Engineering Corp., Ltd., Class H.......... 346,000 33,579
China Everbright Bank Co., Ltd., Class H............... 1,711,000 763,708
China Everbright International, Ltd.................... 3,195,703 2,556,548
# China Evergrande Group................................. 3,151,000 7,555,386
# China Galaxy Securities Co., Ltd., Class H............. 3,434,500 1,730,184
China Gas Holdings, Ltd................................ 1,752,800 5,564,068
# China Hongqiao Group, Ltd.............................. 2,630,000 1,763,197
China Huarong Asset Management Co., Ltd., Class H...... 20,946,000 3,803,053
* China Huishan Dairy Holdings Co., Ltd.................. 2,888,000 541
# China International Capital Corp., Ltd., Class H....... 1,015,600 1,672,841
China International Marine Containers Group Co., Ltd.,
Class H.............................................. 346,600 306,004
China Jinmao Holdings Group, Ltd....................... 7,942,000 3,346,345
# China Life Insurance Co., Ltd., ADR.................... 539,265 5,425,006
China Longyuan Power Group Corp., Ltd., Class H........ 2,767,000 2,105,695
China Medical System Holdings, Ltd..................... 370,000 441,944
China Mengniu Dairy Co., Ltd........................... 1,716,000 5,077,439
China Merchants Bank Co., Ltd., Class H................ 2,139,054 8,259,685
China Merchants Port Holdings Co., Ltd................. 1,162,970 1,980,921
# China Merchants Securities Co., Ltd., Class H.......... 281,400 319,564
China Minsheng Banking Corp., Ltd., Class H............ 4,584,100 3,384,886
China Mobile, Ltd., Sponsored ADR...................... 902,501 42,011,422
China Molybdenum Co., Ltd., Class H.................... 3,828,966 1,429,837
China National Building Material Co., Ltd., Class H.... 6,704,000 4,819,939
China Oilfield Services, Ltd., Class H................. 1,830,000 1,707,422
China Overseas Land & Investment, Ltd.................. 4,994,000 15,700,327
China Pacific Insurance Group Co., Ltd., Class H....... 864,400 3,227,152
China Petroleum & Chemical Corp., ADR.................. 123,421 9,955,114
China Petroleum & Chemical Corp., Class H.............. 10,440,800 8,504,823
China Railway Construction Corp., Ltd., Class H........ 2,789,000 3,542,050
China Railway Group, Ltd., Class H..................... 3,780,000 3,378,230
China Railway Signal & Communication Corp., Ltd.,
Class H.............................................. 1,593,000 1,072,654
China Reinsurance Group Corp., Class H................. 5,019,000 961,855
China Resources Beer Holdings Co., Ltd................. 849,611 2,960,575
China Resources Cement Holdings, Ltd................... 3,290,000 2,920,461
China Resources Gas Group, Ltd......................... 1,108,000 4,246,910
China Resources Land, Ltd.............................. 3,844,666 13,076,474
China Resources Pharmaceutical Group, Ltd.............. 1,569,000 2,305,197
China Resources Power Holdings Co., Ltd................ 1,790,517 3,150,318
China Shenhua Energy Co., Ltd., Class H................ 2,188,000 4,950,238
China Southern Airlines Co., Ltd., Sponsored ADR....... 12,306 337,184
China Southern Airlines Co., Ltd., Class H............. 3,138,000 1,710,482
China State Construction International Holdings, Ltd... 1,914,250 1,368,899
China Taiping Insurance Holdings Co., Ltd.............. 1,360,306 4,569,241
# China Telecom Corp., Ltd., ADR......................... 55,096 2,582,900
China Telecom Corp., Ltd., Class H..................... 3,440,000 1,627,574
China Unicom Hong Kong, Ltd............................ 4,018,000 4,202,623
China Unicom Hong Kong, Ltd., ADR...................... 508,463 5,303,269
China Vanke Co., Ltd., Class H......................... 1,335,700 4,124,504
Chongqing Rural Commercial Bank Co., Ltd., Class H..... 3,121,000 1,724,025
114
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- -----------
CHINA -- (Continued)
CIFI Holdings Group Co., Ltd........................... 626,000 $ 262,642
CITIC Securities Co., Ltd., Class H.................... 1,741,500 3,074,627
CITIC, Ltd............................................. 2,958,000 4,444,422
CNOOC, Ltd............................................. 1,597,000 2,719,657
CNOOC, Ltd., Sponsored ADR............................. 104,426 17,674,100
* COSCO SHIPPING Development Co., Ltd., Class H.......... 1,745,000 178,516
* COSCO SHIPPING Holdings Co., Ltd., Class H............. 3,142,000 1,125,743
COSCO SHIPPING Ports, Ltd.............................. 3,305 3,378
Country Garden Holdings Co., Ltd....................... 7,976,686 8,584,179
* Country Garden Services Holdings Co., Ltd.............. 542,492 707,291
CRRC Corp., Ltd., Class H.............................. 2,401,000 2,108,730
* CSC Financial Co., Ltd., Class H....................... 542,500 307,888
CSPC Pharmaceutical Group, Ltd......................... 3,420,000 7,287,360
# * Ctrip.com International, Ltd., ADR..................... 239,497 7,970,460
Dali Foods Group Co., Ltd.............................. 1,145,500 818,976
Dalian Port PDA Co., Ltd., Class H..................... 943,000 121,581
Datang International Power Generation Co., Ltd.,
Class H.............................................. 2,836,000 634,198
Dongfeng Motor Group Co., Ltd., Class H................ 2,772,000 2,739,044
ENN Energy Holdings, Ltd............................... 741,000 6,322,636
Everbright Securities Co., Ltd., Class H............... 129,400 113,437
Fosun International, Ltd............................... 1,692,222 2,482,725
# Fullshare Holdings, Ltd................................ 4,900,000 1,905,776
Fuyao Glass Industry Group Co., Ltd., Class H.......... 716,400 2,117,601
Geely Automobile Holdings, Ltd......................... 5,029,000 9,690,891
# GF Securities Co., Ltd., Class H....................... 1,120,400 1,451,634
# Great Wall Motor Co., Ltd., Class H.................... 5,681,500 3,374,929
Guangdong Investment, Ltd.............................. 2,402,000 4,300,226
# Guangshen Railway Co., Ltd., Sponsored ADR............. 27,353 513,689
Guangzhou Automobile Group Co., Ltd., Class H.......... 2,257,162 2,287,732
Guangzhou Baiyunshan Pharmaceutical Holdings Co.,
Ltd., Class H........................................ 168,000 613,281
Guangzhou R&F Properties Co., Ltd., Class H............ 1,894,400 2,991,164
Guotai Junan Securities Co., Ltd., Class H............. 268,400 565,884
Haier Electronics Group Co., Ltd....................... 1,372,000 2,881,171
Haitian International Holdings, Ltd.................... 396,000 777,721
Haitong Securities Co., Ltd., Class H.................. 2,404,800 2,422,811
* Hanergy Thin Film Power Group, Ltd..................... 5,416,000 3,453,223
Hengan International Group Co., Ltd.................... 853,000 6,780,815
Huadian Power International Corp., Ltd., Class H....... 1,738,000 659,227
# Huaneng Power International, Inc., Sponsored ADR....... 33,132 730,892
Huaneng Power International, Inc., Class H............. 1,598,000 890,735
* Huatai Securities Co., Ltd., Class H................... 1,105,800 1,780,286
Huazhu Group, Ltd., ADR................................ 14,574 381,256
Huishang Bank Corp., Ltd., Class H..................... 800,800 346,639
Industrial & Commercial Bank of China, Ltd., Class H... 43,840,185 29,744,363
* JD.com, Inc., ADR...................................... 203,735 4,791,847
Jiangsu Expressway Co., Ltd., Class H.................. 1,192,000 1,599,049
# Jiangxi Copper Co., Ltd., Class H...................... 1,230,000 1,358,618
Jiayuan International Group, Ltd....................... 60,000 105,324
Kingboard Holdings, Ltd................................ 740,000 1,987,809
Kunlun Energy Co., Ltd................................. 5,458,000 6,210,031
Lee & Man Paper Manufacturing, Ltd..................... 1,126,000 966,763
Legend Holdings Corp., Class H......................... 337,700 918,468
Lenovo Group, Ltd...................................... 10,679,278 6,811,149
Logan Property Holdings Co., Ltd....................... 2,282,000 2,113,368
Longfor Group Holdings, Ltd............................ 1,986,000 4,826,346
115
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- ------------
CHINA -- (Continued)
# Maanshan Iron & Steel Co., Ltd., Class H............... 2,724,000 $ 1,466,952
Metallurgical Corp. of China, Ltd., Class H............ 2,546,000 618,820
Minth Group, Ltd....................................... 400,000 1,299,651
* MMG, Ltd............................................... 532,000 200,507
* Momo, Inc., Sponsored ADR.............................. 95,314 3,199,691
NetEase, Inc., ADR..................................... 37,993 7,896,845
New China Life Insurance Co., Ltd., Class H............ 436,700 2,048,819
* New Oriental Education & Technology Group, Inc.,
Sponsored ADR........................................ 47,189 2,761,028
Nexteer Automotive Group, Ltd.......................... 843,000 1,188,695
Nine Dragons Paper Holdings, Ltd....................... 3,050,000 2,920,949
# Orient Securities Co., Ltd., Class H................... 427,600 281,593
People's Insurance Co. Group of China, Ltd. (The),
Class H.............................................. 5,449,000 2,228,651
PetroChina Co., Ltd., ADR.............................. 118,623 8,616,775
PetroChina Co., Ltd., Class H.......................... 3,056,000 2,197,335
PICC Property & Casualty Co., Ltd., Class H............ 4,067,198 3,953,478
Ping An Insurance Group Co. of China, Ltd., Class H.... 3,690,000 34,885,363
Postal Savings Bank of China Co., Ltd., Class H........ 958,000 573,180
Red Star Macalline Group Corp., Ltd., Class H.......... 184,009 162,789
# * Semiconductor Manufacturing International Corp......... 4,418,600 3,649,929
# * Semiconductor Manufacturing International Corp., ADR... 8,235 34,752
# Shanghai Electric Group Co., Ltd., Class H............. 2,292,000 745,968
Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H. 322,500 969,766
Shanghai Pharmaceuticals Holding Co., Ltd., Class H.... 681,000 1,508,078
Shengjing Bank Co., Ltd., Class H...................... 146,500 64,518
Shenzhou International Group Holdings, Ltd............. 574,000 6,363,705
Shimao Property Holdings, Ltd.......................... 2,297,871 4,527,816
Sino Biopharmaceutical, Ltd............................ 5,633,000 5,084,298
Sino-Ocean Group Holding, Ltd.......................... 1,735,000 682,022
Sinopec Engineering Group Co., Ltd., Class H........... 967,500 901,278
Sinopec Shanghai Petrochemical Co., Ltd., Sponsored
ADR.................................................. 7,417 325,257
Sinopec Shanghai Petrochemical Co., Ltd., Class H...... 4,697,000 2,064,067
Sinopharm Group Co., Ltd., Class H..................... 1,310,800 6,349,974
Sinotruk Hong Kong, Ltd................................ 1,021,000 1,476,337
Sun Art Retail Group, Ltd.............................. 3,457,500 3,790,840
# Sunac China Holdings, Ltd.............................. 2,940,000 8,046,715
Sunny Optical Technology Group Co., Ltd................ 536,000 4,679,754
* TAL Education Group, ADR............................... 24,973 723,718
Tencent Holdings, Ltd.................................. 3,704,000 126,896,300
Tingyi Cayman Islands Holding Corp..................... 3,242,000 4,803,504
# TravelSky Technology, Ltd., Class H.................... 963,000 2,339,315
Tsingtao Brewery Co., Ltd., Class H.................... 296,000 1,170,529
United Energy Group, Ltd............................... 2,714,000 529,862
* Vipshop Holdings, Ltd., ADR............................ 206,174 1,002,006
Want Want China Holdings, Ltd.......................... 6,644,000 4,753,245
# * Weibo Corp., Sponsored ADR............................. 20,022 1,181,498
Weichai Power Co., Ltd., Class H....................... 3,416,800 3,377,851
Xinjiang Goldwind Science & Technology Co., Ltd.,
Class H.............................................. 662,319 494,593
Yanzhou Coal Mining Co., Ltd., Class H................. 3,398,000 3,231,773
Yum China Holdings, Inc................................ 221,181 7,980,210
* YY, Inc., ADR.......................................... 56,111 3,585,493
Zhejiang Expressway Co., Ltd., Class H................. 964,000 810,616
Zhongsheng Group Holdings, Ltd......................... 978,000 1,787,892
116
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- ------------
CHINA -- (Continued)
Zhuzhou CRRC Times Electric Co., Ltd., Class H......... 427,100 $ 2,289,531
Zijin Mining Group Co., Ltd., Class H.................. 7,745,000 2,897,119
Zoomlion Heavy Industry Science and Technology Co.,
Ltd., Class H........................................ 724,400 232,382
* ZTE Corp., Class H..................................... 454,885 696,229
# ZTO Express Cayman, Inc., ADR.......................... 77,216 1,252,444
--------- ------------
TOTAL CHINA................................................ 910,523,201
------------
COLOMBIA -- (0.4%)
Banco de Bogota SA..................................... 48,940 973,174
Bancolombia SA, Sponsored ADR.......................... 111,500 4,118,810
Bancolombia SA......................................... 263,306 2,476,438
Cementos Argos SA...................................... 306,742 668,838
# Ecopetrol SA, Sponsored ADR............................ 172,877 4,021,119
Ecopetrol SA........................................... 3,327,922 3,865,945
Grupo Argos SA......................................... 246,952 1,150,574
Grupo Aval Acciones y Valores SA, ADR.................. 81,955 576,144
Grupo de Inversiones Suramericana SA................... 271,214 2,645,164
Grupo Energia Bogota SA ESP............................ 1,021,542 588,588
Grupo Nutresa SA....................................... 171,224 1,185,988
Interconexion Electrica SA ESP......................... 613,721 2,279,886
--------- ------------
TOTAL COLOMBIA............................................. 24,550,668
------------
CZECH REPUBLIC -- (0.2%)
CEZ A.S................................................ 305,092 7,259,232
Komercni banka A.S..................................... 51,559 1,956,591
Moneta Money Bank A.S.................................. 30,234 100,246
O2 Czech Republic A.S.................................. 70,083 736,804
Philip Morris CR A.S................................... 755 474,443
--------- ------------
TOTAL CZECH REPUBLIC....................................... 10,527,316
------------
EGYPT -- (0.1%)
# Commercial International Bank Egypt S.A.E., GDR........ 1,400,823 6,090,989
Commercial International Bank Egypt S.A.E., GDR........ 109,160 474,300
* Egyptian Financial Group-Hermes Holding Co., GDR....... 33,850 50,944
* Egyptian Financial Group-Hermes Holding Co., GDR....... 17,482 26,407
--------- ------------
TOTAL EGYPT................................................ 6,642,640
------------
GREECE -- (0.3%)
* Alpha Bank AE.......................................... 105,217 158,785
* Eurobank Ergasias SA................................... 331 223
* FF Group............................................... 12,618 28,584
Hellenic Petroleum SA.................................. 112,224 889,563
Hellenic Telecommunications Organization SA............ 340,319 3,792,651
JUMBO SA............................................... 168,373 2,451,550
Motor Oil Hellas Corinth Refineries SA................. 96,253 2,280,118
* National Bank of Greece SA............................. 12,819 22,187
OPAP SA................................................ 278,698 2,618,373
Titan Cement Co. SA.................................... 61,385 1,353,652
--------- ------------
TOTAL GREECE............................................... 13,595,686
------------
HUNGARY -- (0.5%)
# MOL Hungarian Oil & Gas P.L.C.......................... 1,279,647 13,417,423
OTP Bank P.L.C......................................... 283,456 10,183,279
117
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- -----------
HUNGARY -- (Continued)
Richter Gedeon Nyrt.................................... 124,839 $ 2,318,944
--------- -----------
TOTAL HUNGARY.............................................. 25,919,646
-----------
INDIA -- (12.5%)
* 3M India, Ltd.......................................... 557 149,852
* 5Paisa Capital, Ltd.................................... 4,048 9,890
ABB India, Ltd......................................... 39,166 677,873
ACC, Ltd............................................... 87,742 1,626,932
Adani Enterprises, Ltd................................. 274,364 630,498
* Adani Gas, Ltd......................................... 274,364 224,663
* Adani Green Energy, Ltd................................ 208,791 110,969
Adani Ports & Special Economic Zone, Ltd............... 944,416 4,069,515
* Adani Transmissions, Ltd............................... 272,206 608,708
* Aditya Birla Capital, Ltd.............................. 797,316 1,129,714
* Aditya Birla Fashion and Retail, Ltd................... 411,628 1,000,044
AIA Engineering, Ltd................................... 2,527 58,484
Alkem Laboratories, Ltd................................ 1,430 37,008
Ambuja Cements, Ltd.................................... 819,644 2,182,134
Apollo Hospitals Enterprise, Ltd....................... 29,982 463,595
Apollo Tyres, Ltd...................................... 79,582 234,499
Ashok Leyland, Ltd..................................... 2,765,773 4,277,867
Asian Paints, Ltd...................................... 448,324 7,461,329
Aurobindo Pharma, Ltd.................................. 652,018 7,031,210
* Avenue Supermarts, Ltd................................. 16,071 292,000
* Axis Bank, Ltd......................................... 1,624,999 12,729,144
Bajaj Auto, Ltd........................................ 101,584 3,561,073
Bajaj Finance, Ltd..................................... 249,497 7,979,105
Bajaj Finserv, Ltd..................................... 64,359 4,679,672
Bajaj Holdings & Investment, Ltd....................... 65,019 2,476,486
Balkrishna Industries, Ltd............................. 117,465 1,734,640
* Bank of Baroda......................................... 932,221 1,391,973
* Bank of India.......................................... 242,165 281,965
Bayer CropScience, Ltd................................. 2,026 106,174
Berger Paints India, Ltd............................... 372,075 1,407,004
Bharat Electronics, Ltd................................ 949,260 1,192,309
Bharat Forge, Ltd...................................... 361,729 2,843,553
Bharat Heavy Electricals, Ltd.......................... 1,441,323 1,343,996
Bharat Petroleum Corp., Ltd............................ 829,380 3,080,654
Bharti Airtel, Ltd..................................... 1,900,659 7,497,149
Bharti Infratel, Ltd................................... 472,935 1,705,662
Biocon, Ltd............................................ 121,818 1,082,813
Bosch, Ltd............................................. 7,147 1,904,385
Britannia Industries, Ltd.............................. 31,591 2,398,988
Cadila Healthcare, Ltd................................. 372,158 1,813,068
* Canara Bank............................................ 283,414 1,003,538
Castrol India, Ltd..................................... 351,562 703,550
Cholamandalam Investment and Finance Co., Ltd.......... 88,389 1,506,836
Cipla, Ltd............................................. 555,658 4,703,844
Coal India, Ltd........................................ 745,896 2,686,751
Colgate-Palmolive India, Ltd........................... 115,396 1,744,182
Container Corp. Of India, Ltd.......................... 149,736 1,281,172
Cummins India, Ltd..................................... 95,747 965,194
Dabur India, Ltd....................................... 743,476 3,866,839
Dalmia Bharat, Ltd..................................... 39,385 1,114,070
Dewan Housing Finance Corp., Ltd....................... 360,475 1,094,827
Divi's Laboratories, Ltd............................... 147,169 2,945,454
118
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- -----------
INDIA -- (Continued)
DLF, Ltd............................................... 747,955 $ 1,658,933
# Dr Reddy's Laboratories, Ltd., ADR..................... 148,465 5,052,264
Dr Reddy's Laboratories, Ltd........................... 71,015 2,439,140
Edelweiss Financial Services, Ltd...................... 854,301 1,875,673
Eicher Motors, Ltd..................................... 20,610 6,061,689
Emami, Ltd............................................. 180,662 966,736
Endurance Technologies, Ltd............................ 4,240 69,290
Exide Industries, Ltd.................................. 375,923 1,350,074
Federal Bank, Ltd...................................... 2,661,927 2,975,227
* Future Retail, Ltd..................................... 147,909 981,786
GAIL India, Ltd........................................ 824,943 4,188,487
GAIL India, Ltd., GDR.................................. 51,184 1,526,529
Gillette India, Ltd.................................... 1,014 89,419
GlaxoSmithKline Consumer Healthcare, Ltd............... 13,803 1,302,187
GlaxoSmithKline Pharmaceuticals, Ltd................... 26,434 509,770
Glenmark Pharmaceuticals, Ltd.......................... 88,821 744,265
Godrej Consumer Products, Ltd.......................... 506,589 4,977,539
Godrej Industries, Ltd................................. 71,533 451,860
Graphite India, Ltd.................................... 40,072 515,667
Grasim Industries, Ltd................................. 303,963 3,419,040
GRUH Finance, Ltd...................................... 229,367 892,799
Havells India, Ltd..................................... 234,115 2,048,662
HCL Technologies, Ltd.................................. 862,054 12,398,683
HDFC Bank, Ltd......................................... 1,383,984 35,827,777
HEG, Ltd............................................... 9,579 557,923
Hero MotoCorp, Ltd..................................... 85,976 3,198,950
Hindalco Industries, Ltd............................... 2,322,605 6,915,586
Hindustan Petroleum Corp., Ltd......................... 726,814 2,202,422
Hindustan Unilever, Ltd................................ 992,915 21,735,775
Honeywell Automation India, Ltd........................ 76 20,332
Housing Development Finance Corp., Ltd................. 1,388,536 33,180,190
ICICI Bank, Ltd., Sponsored ADR........................ 1,010,599 9,590,580
ICICI Prudential Life Insurance Co., Ltd............... 214,237 962,834
* IDBI Bank, Ltd......................................... 538,410 430,183
IDFC Bank, Ltd......................................... 1,324,674 620,225
IIFL Holdings, Ltd..................................... 114,279 711,862
Indiabulls Housing Finance, Ltd........................ 656,568 7,382,391
Indiabulls Ventures, Ltd............................... 43,707 254,377
* Indian Bank............................................ 114,252 387,861
Indian Hotels Co., Ltd. (The).......................... 42,974 75,045
Indian Oil Corp., Ltd.................................. 1,522,278 2,844,843
Indraprastha Gas, Ltd.................................. 240,300 864,825
IndusInd Bank, Ltd..................................... 173,449 3,333,044
Info Edge India, Ltd................................... 9,065 192,538
Infosys, Ltd., Sponsored ADR........................... 1,695,776 16,058,999
Infosys, Ltd........................................... 3,610,458 33,342,563
InterGlobe Aviation, Ltd............................... 116,576 1,396,838
ITC, Ltd............................................... 4,651,620 17,551,954
* Jindal Steel & Power, Ltd.............................. 624,327 1,438,298
JSW Steel, Ltd......................................... 2,677,650 12,271,689
Jubilant Foodworks, Ltd................................ 107,404 1,573,697
Kansai Nerolac Paints, Ltd............................. 102,132 520,802
Kotak Mahindra Bank, Ltd............................... 538,866 8,139,530
L&T Finance Holdings, Ltd.............................. 810,405 1,395,153
Larsen & Toubro Infotech, Ltd.......................... 53,817 1,276,939
Larsen & Toubro, Ltd................................... 593,379 10,407,444
LIC Housing Finance, Ltd............................... 903,601 5,009,779
119
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- -----------
INDIA -- (Continued)
Lupin, Ltd............................................. 355,461 $ 4,234,000
Mahindra & Mahindra Financial Services, Ltd............ 452,819 2,485,354
Mahindra & Mahindra, Ltd............................... 649,954 6,725,454
Mangalore Refinery & Petrochemicals, Ltd............... 285,511 316,065
Marico, Ltd............................................ 748,884 3,243,012
Maruti Suzuki India, Ltd............................... 138,331 12,347,016
* Max Financial Services, Ltd............................ 6,700 34,127
Mindtree, Ltd.......................................... 153,975 1,782,969
Motherson Sumi Systems, Ltd............................ 958,259 2,113,229
Motherson Sumi Systems, Ltd............................ 479,130 1,057,785
Motilal Oswal Financial Services, Ltd.................. 34,676 290,628
Mphasis, Ltd........................................... 122,230 1,634,014
MRF, Ltd............................................... 2,969 2,598,675
Muthoot Finance, Ltd................................... 258,920 1,432,068
Natco Pharma, Ltd...................................... 5,022 51,189
NBCC India, Ltd........................................ 239,532 179,108
Nestle India, Ltd...................................... 37,106 5,079,847
NHPC, Ltd.............................................. 2,448,181 813,239
NTPC, Ltd.............................................. 1,623,015 3,506,429
Oberoi Realty, Ltd..................................... 48,015 273,595
Oil & Natural Gas Corp., Ltd........................... 990,901 2,050,592
Oil India, Ltd......................................... 271,393 722,372
Oracle Financial Services Software, Ltd................ 31,150 1,527,037
Page Industries, Ltd................................... 5,806 2,306,711
Petronet LNG, Ltd...................................... 1,693,517 5,192,961
Pfizer, Ltd............................................ 299 11,765
Pidilite Industries, Ltd............................... 195,176 2,534,276
Piramal Enterprises, Ltd............................... 109,465 3,186,350
PNB Housing Finance, Ltd............................... 20,866 224,105
Power Finance Corp., Ltd............................... 1,286,772 1,662,954
Power Grid Corp. of India, Ltd......................... 1,910,627 4,803,969
Procter & Gamble Hygiene & Health Care, Ltd............ 10,490 1,326,797
* Punjab National Bank................................... 1,002,726 998,252
Rajesh Exports, Ltd.................................... 147,784 1,137,616
Ramco Cements, Ltd. (The).............................. 74,086 599,453
RBL Bank, Ltd.......................................... 169,340 1,194,263
Reliance Capital, Ltd.................................. 53,706 175,998
Reliance Home Finance, Ltd............................. 151,764 84,129
Reliance Industries, Ltd............................... 3,145,620 45,029,598
Reliance Industries, Ltd., GDR......................... 3,374 96,328
Rural Electrification Corp., Ltd....................... 2,124,950 3,353,804
Sanofi India, Ltd...................................... 529 41,484
Shree Cement, Ltd...................................... 10,928 2,002,045
Shriram City Union Finance, Ltd........................ 1,315 28,881
Shriram Transport Finance Co., Ltd..................... 274,745 4,292,115
Siemens, Ltd........................................... 67,011 844,776
* State Bank of India.................................... 1,485,493 5,640,167
* Steel Authority of India, Ltd.......................... 899,628 784,798
Sun Pharmaceutical Industries, Ltd..................... 787,154 6,167,903
Sun TV Network, Ltd.................................... 141,320 1,243,338
Sundaram Finance Holdings, Ltd......................... 27,690 37,527
Sundaram Finance, Ltd.................................. 38,211 767,956
Tata Chemicals, Ltd.................................... 100,083 923,253
Tata Communications, Ltd............................... 93,519 620,049
Tata Consultancy Services, Ltd......................... 1,381,009 36,137,448
Tata Global Beverages, Ltd............................. 335,765 984,110
# * Tata Motors, Ltd., Sponsored ADR....................... 41,094 501,758
120
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
INDIA -- (Continued)
* Tata Motors, Ltd....................................... 2,887,084 $ 6,977,837
Tata Power Co., Ltd. (The)............................. 2,311,735 2,384,772
Tata Steel, Ltd........................................ 1,295,722 9,701,038
Tech Mahindra, Ltd..................................... 815,943 8,218,936
Titan Co., Ltd......................................... 364,783 4,159,189
Torrent Pharmaceuticals, Ltd........................... 94,358 2,131,615
TVS Motor Co., Ltd..................................... 131,305 956,958
UltraTech Cement, Ltd.................................. 79,522 3,736,792
United Breweries, Ltd.................................. 65,858 1,090,091
* United Spirits, Ltd.................................... 338,070 2,646,110
UPL, Ltd............................................... 1,008,770 9,164,250
Vakrangee, Ltd......................................... 367,011 128,704
Vedanta, Ltd........................................... 4,103,469 11,707,332
* Vodafone Idea, Ltd..................................... 5,576,048 2,915,297
Voltas, Ltd............................................ 93,393 683,451
Whirlpool of India, Ltd................................ 6,867 128,189
Wipro, Ltd............................................. 1,408,295 6,319,771
Yes Bank, Ltd.......................................... 3,352,181 8,536,683
Zee Entertainment Enterprises, Ltd..................... 681,709 4,144,153
---------- ------------
TOTAL INDIA................................................ 690,437,730
------------
INDONESIA -- (2.5%)
Ace Hardware Indonesia Tbk PT.......................... 1,956,300 176,452
Adaro Energy Tbk PT.................................... 53,869,600 5,853,794
Astra Agro Lestari Tbk PT.............................. 1,255,245 992,523
Astra International Tbk PT............................. 22,239,310 11,568,106
Bank Central Asia Tbk PT............................... 8,457,600 13,168,996
Bank Danamon Indonesia Tbk PT.......................... 4,611,679 2,254,036
Bank Mandiri Persero Tbk PT............................ 16,989,234 7,633,624
Bank Negara Indonesia Persero Tbk PT................... 11,832,622 5,713,343
* Bank Pan Indonesia Tbk PT.............................. 894,800 63,928
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT... 1,514,200 178,356
Bank Rakyat Indonesia Persero Tbk PT................... 63,168,800 13,110,556
Bank Tabungan Negara Persero Tbk PT.................... 7,450,900 1,040,128
Barito Pacific Tbk PT.................................. 12,319,700 1,522,765
Bayan Resources Tbk PT................................. 79,500 102,409
Bukit Asam Tbk PT...................................... 8,340,900 2,342,514
* Bumi Serpong Damai Tbk PT.............................. 11,859,700 861,025
Charoen Pokphand Indonesia Tbk PT...................... 11,695,400 4,236,240
Gudang Garam Tbk PT.................................... 812,100 3,871,278
Indah Kiat Pulp & Paper Corp. Tbk PT................... 4,753,400 3,983,621
Indo Tambangraya Megah Tbk PT.......................... 530,000 868,411
Indocement Tunggal Prakarsa Tbk PT..................... 1,739,500 1,984,811
Indofood CBP Sukses Makmur Tbk PT...................... 3,456,800 2,031,057
Indofood Sukses Makmur Tbk PT.......................... 14,843,600 5,840,045
Indosat Tbk PT......................................... 1,720,800 273,186
Jasa Marga Persero Tbk PT.............................. 3,871,113 1,058,227
Kalbe Farma Tbk PT..................................... 27,775,800 2,505,240
Matahari Department Store Tbk PT....................... 3,313,800 1,058,703
Mayora Indah Tbk PT.................................... 18,911,525 3,171,396
Media Nusantara Citra Tbk PT........................... 6,244,300 321,277
* Mitra Keluarga Karyasehat Tbk PT....................... 2,463,600 232,060
Pabrik Kertas Tjiwi Kimia Tbk PT....................... 150,600 102,381
Pakuwon Jati Tbk PT.................................... 46,392,900 1,459,860
Perusahaan Gas Negara Persero Tbk...................... 13,632,200 1,996,486
121
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
INDONESIA -- (Continued)
Semen Baturaja Persero Tbk PT........................... 1,298,200 $ 150,436
Semen Indonesia Persero Tbk PT.......................... 4,737,700 2,809,064
Sinar Mas Agro Resources & Technology Tbk PT............ 1,035,900 284,826
Surya Citra Media Tbk PT................................ 8,971,800 928,371
Telekomunikasi Indonesia Persero Tbk PT................. 37,216,900 9,427,936
# Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR.. 196,768 4,958,554
Tower Bersama Infrastructure Tbk PT..................... 2,551,800 785,558
Unilever Indonesia Tbk PT............................... 2,015,700 5,741,583
United Tractors Tbk PT.................................. 4,047,896 8,937,053
* Vale Indonesia Tbk PT................................... 3,974,600 767,082
Waskita Karya Persero Tbk PT............................ 14,513,179 1,377,908
* XL Axiata Tbk PT........................................ 12,061,400 2,084,308
---------- ------------
TOTAL INDONESIA............................................. 139,829,513
------------
MALAYSIA -- (3.2%)
AFFIN Bank Bhd.......................................... 548,300 296,278
AirAsia Group Bhd....................................... 5,756,900 3,617,027
Alliance Bank Malaysia Bhd.............................. 1,843,300 1,745,814
AMMB Holdings Bhd....................................... 3,389,359 3,080,609
# Astro Malaysia Holdings Bhd............................. 2,488,700 803,949
# Axiata Group Bhd........................................ 4,049,995 3,302,994
Batu Kawan Bhd.......................................... 105,400 425,072
BIMB Holdings Bhd....................................... 1,138,455 996,562
Boustead Holdings Bhd................................... 264,800 99,341
British American Tobacco Malaysia Bhd................... 238,400 1,771,125
Bursa Malaysia Bhd...................................... 311,200 544,845
Carlsberg Brewery Malaysia Bhd, Class B................. 23,600 100,457
CIMB Group Holdings Bhd................................. 4,821,294 6,596,910
Dialog Group Bhd........................................ 1,487,318 1,204,668
DiGi.Com Bhd............................................ 5,082,520 5,236,952
FGV Holdings Bhd........................................ 4,302,300 1,440,717
Fraser & Neave Holdings Bhd............................. 111,200 895,685
Gamuda Bhd.............................................. 2,823,300 1,615,270
Genting Bhd............................................. 5,238,500 9,193,233
# Genting Malaysia Bhd.................................... 3,824,300 4,107,540
Genting Plantations Bhd................................. 460,000 1,062,046
HAP Seng Consolidated Bhd............................... 973,700 2,291,412
# Hartalega Holdings Bhd.................................. 2,213,600 3,311,834
Heineken Malaysia Bhd................................... 28,100 120,896
Hong Leong Bank Bhd..................................... 446,566 2,211,376
Hong Leong Financial Group Bhd.......................... 673,583 2,961,531
IHH Healthcare Bhd...................................... 1,798,500 2,149,580
# IJM Corp. Bhd........................................... 5,859,962 2,284,363
# Inari Amertron Bhd...................................... 3,266,200 1,534,195
IOI Corp. Bhd........................................... 3,602,105 3,874,314
# IOI Properties Group Bhd................................ 2,703,229 846,414
Kuala Lumpur Kepong Bhd................................. 670,900 3,995,099
Malayan Banking Bhd..................................... 4,762,143 10,808,834
Malaysia Airports Holdings Bhd.......................... 1,993,341 3,962,139
# Malaysia Building Society Bhd........................... 3,866,310 870,308
Maxis Bhd............................................... 2,881,400 3,602,706
MISC Bhd................................................ 2,239,398 3,260,155
MMC Corp. Bhd........................................... 1,730,200 443,086
Nestle Malaysia Bhd..................................... 44,500 1,529,762
Petronas Chemicals Group Bhd............................ 3,389,400 7,578,519
122
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
MALAYSIA -- (Continued)
Petronas Dagangan Bhd.................................. 307,800 $ 1,915,663
Petronas Gas Bhd....................................... 890,500 3,895,271
PPB Group Bhd.......................................... 977,880 3,918,474
# Press Metal Aluminium Holdings Bhd..................... 1,919,800 2,222,430
Public Bank Bhd........................................ 3,656,014 21,506,227
QL Resources Bhd....................................... 824,890 1,390,609
# RHB Bank Bhd........................................... 1,367,505 1,710,801
* Sapura Energy Bhd...................................... 1,536,800 124,464
Sime Darby Bhd......................................... 4,120,261 2,167,331
Sime Darby Plantation Bhd.............................. 3,018,761 3,799,427
Sime Darby Property Bhd................................ 3,018,761 705,148
SP Setia Bhd Group..................................... 1,553,649 780,689
# Sunway Bhd............................................. 3,505,225 1,147,806
# Telekom Malaysia Bhd................................... 1,540,864 877,029
Tenaga Nasional Bhd.................................... 3,718,850 13,072,261
Top Glove Corp. Bhd.................................... 2,367,800 3,366,635
# UMW Holdings Bhd....................................... 1,196,366 1,359,555
United Plantations Bhd................................. 48,200 308,627
Westports Holdings Bhd................................. 1,568,000 1,278,937
YTL Corp. Bhd.......................................... 13,836,599 3,511,239
YTL Power International Bhd............................ 2,843,597 646,509
---------- ------------
TOTAL MALAYSIA.............................................. 175,478,749
------------
MEXICO -- (3.7%)
Alfa S.A.B. de C.V., Class A........................... 9,293,344 9,827,134
# America Movil S.A.B. de C.V............................ 48,207,854 34,862,633
America Movil S.A.B. de C.V., Sponsored ADR, Class L... 109,448 1,574,957
Arca Continental S.A.B. de C.V......................... 605,424 3,040,048
Banco Santander Mexico SA Institucion de Banca.........
Multiple Grupo Financiero Santand, ADR................. 55,735 350,016
Banco Santander Mexico SA Institucion de Banca.........
Multiple Grupo Financiero Santand, Class B............. 2,837,053 3,551,685
# Becle S.A.B. de C.V.................................... 340,960 419,460
# * Cemex S.A.B. de C.V.................................... 24,758,419 12,407,700
Coca-Cola Femsa S.A.B. de C.V.......................... 369,570 2,110,633
Coca-Cola Femsa S.A.B. de C.V., Sponsored ADR.......... 21,590 1,230,414
El Puerto de Liverpool S.A.B. de C.V................... 293,210 1,862,040
# Fomento Economico Mexicano S.A.B. de C.V............... 1,375,803 11,719,207
Gruma S.A.B. de C.V., Class B.......................... 573,607 6,000,590
Grupo Aeroportuario del Pacifico S.A.B. de C.V., ADR... 13,641 1,130,566
# Grupo Aeroportuario del Pacifico S.A.B. de C.V.,
Class B.............................................. 533,221 4,434,660
# Grupo Aeroportuario del Sureste S.A.B. de C.V., ADR.... 32,374 5,342,357
# Grupo Bimbo S.A.B. de C.V.............................. 2,348,504 4,391,034
Grupo Carso S.A.B. de C.V.............................. 793,269 2,323,192
# Grupo Elektra S.A.B. de C.V............................ 95,655 4,049,736
Grupo Financiero Banorte S.A.B. de C.V................. 2,329,239 12,841,445
Grupo Financiero Inbursa S.A.B. de C.V................. 3,972,661 5,176,736
Grupo Lala S.A.B. de C.V............................... 780,676 686,009
# Grupo Mexico S.A.B. de C.V............................. 6,360,255 14,669,142
Grupo Televisa S.A.B................................... 3,641,138 10,487,883
Grupo Televisa S.A.B., Sponsored ADR................... 168,037 2,416,372
# * Impulsora del Desarrollo y el Empleo en America Latina
S.A.B. de C.V........................................ 2,300,948 3,817,309
# Industrias Penoles S.A.B. de C.V....................... 371,252 5,227,035
123
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
MEXICO -- (Continued)
Infraestructura Energetica Nova S.A.B. de C.V.......... 759,365 $ 2,961,087
# Kimberly-Clark de Mexico S.A.B. de C.V., Class A....... 2,363,448 3,405,566
Megacable Holdings S.A.B. de C.V....................... 250,780 1,114,934
Mexichem S.A.B. de C.V................................. 3,426,482 8,962,081
* Organizacion Soriana S.A.B. de C.V., Class B........... 1,059,965 1,383,839
Promotora y Operadora de Infraestructura S.A.B. de
C.V.................................................. 284,767 2,585,764
Wal-Mart de Mexico S.A.B. de C.V....................... 7,198,435 18,406,051
---------- ------------
TOTAL MEXICO............................................... 204,769,315
------------
PERU -- (0.3%)
Cementos Pacasmayo SAA, ADR............................ 15,158 156,131
# Cia de Minas Buenaventura SAA, ADR..................... 125,122 1,731,689
Credicorp, Ltd......................................... 70,995 16,024,281
* Grana y Montero SAA, Sponsored ADR..................... 108,988 343,312
---------- ------------
TOTAL PERU................................................. 18,255,413
------------
PHILIPPINES -- (1.4%)
Aboitiz Equity Ventures, Inc........................... 2,290,670 2,015,118
Aboitiz Power Corp..................................... 1,962,800 1,236,975
* Alliance Global Group, Inc............................. 9,328,900 1,986,725
Ayala Corp............................................. 321,242 5,530,251
Ayala Land, Inc........................................ 9,812,818 7,281,148
Bank of the Philippine Islands......................... 990,562 1,523,053
BDO Unibank, Inc....................................... 1,553,962 3,559,550
Bloomberry Resorts Corp................................ 827,600 130,110
DMCI Holdings, Inc..................................... 11,675,800 2,804,060
Emperador, Inc......................................... 1,850,900 240,903
* Energy Development Corp................................ 2,973,913 381,884
Globe Telecom, Inc..................................... 70,620 2,759,304
GT Capital Holdings, Inc............................... 148,975 2,117,308
International Container Terminal Services, Inc......... 1,287,400 2,178,728
JG Summit Holdings, Inc................................ 3,081,700 2,728,888
Jollibee Foods Corp.................................... 639,740 3,303,692
LT Group, Inc.......................................... 4,703,300 1,275,492
Manila Electric Co..................................... 321,700 2,214,340
Megaworld Corp......................................... 21,538,400 1,777,039
Metro Pacific Investments Corp......................... 20,451,700 1,837,103
Metropolitan Bank & Trust Co........................... 1,464,017 1,796,097
* Philippine National Bank............................... 73,048 54,125
PLDT, Inc., Sponsored ADR.............................. 75,930 1,930,141
PLDT, Inc.............................................. 89,255 2,303,409
Puregold Price Club, Inc............................... 1,969,800 1,496,355
Robinsons Land Corp.................................... 3,184,682 1,251,832
Robinsons Retail Holdings, Inc......................... 541,860 768,017
San Miguel Corp........................................ 1,462,960 4,682,196
Security Bank Corp..................................... 391,830 1,058,902
Semirara Mining & Power Corp........................... 1,973,600 1,032,187
SM Investments Corp.................................... 216,823 3,655,132
SM Prime Holdings, Inc................................. 7,730,810 4,887,598
* Top Frontier Investment Holdings, Inc.................. 42,789 224,051
Universal Robina Corp.................................. 1,309,160 3,184,548
---------- ------------
TOTAL PHILIPPINES.......................................... 75,206,261
------------
124
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- ------------
POLAND -- (1.6%)
* Alior Bank SA.......................................... 216,845 $ 3,255,017
* AmRest Holdings SE..................................... 3,440 35,527
Bank Handlowy w Warszawie SA........................... 48,849 890,938
* Bank Millennium SA..................................... 1,319,118 3,036,600
Bank Pekao SA.......................................... 120,869 3,295,163
CCC SA................................................. 39,570 1,721,085
* CD Projekt SA.......................................... 91,082 3,749,546
* Cyfrowy Polsat SA...................................... 544,927 3,133,404
* Dino Polska SA......................................... 57,419 1,261,721
* Enea SA................................................ 112,600 235,769
Grupa Azoty SA......................................... 85,402 575,958
Grupa Lotos SA......................................... 352,784 6,361,118
# ING Bank Slaski SA..................................... 37,589 1,594,012
* Jastrzebska Spolka Weglowa SA.......................... 115,275 2,216,161
* KGHM Polska Miedz SA................................... 370,074 8,366,641
LPP SA................................................. 1,985 4,058,207
mBank SA............................................... 30,837 2,998,833
# * Orange Polska SA....................................... 552,973 624,957
* PGE Polska Grupa Energetyczna SA....................... 2,048,684 5,605,652
Polski Koncern Naftowy Orlen S.A....................... 565,808 13,606,212
* Polskie Gornictwo Naftowe i Gazownictwo SA............. 1,863,953 3,040,627
Powszechna Kasa Oszczednosci Bank Polski SA............ 650,842 6,759,262
Powszechny Zaklad Ubezpieczen SA....................... 808,411 8,238,497
Santander Bank Polska SA............................... 35,994 3,189,325
* Tauron Polska Energia SA............................... 1,895,409 879,166
--------- ------------
TOTAL POLAND................................................ 88,729,398
------------
RUSSIA -- (1.8%)
Gazprom PJSC, Sponsored ADR............................ 2,397,765 11,337,798
Gazprom PJSC, Sponsored ADR............................ 266,776 1,253,847
* Lenta, Ltd., GDR....................................... 9,222 33,015
* Lenta, Ltd., GDR....................................... 30,830 110,374
Lukoil PJSC, Sponsored ADR(BYZF386).................... 68,365 5,102,764
Lukoil PJSC, Sponsored ADR(BYZDW2900).................. 171,816 12,810,410
Magnitogorsk Iron & Steel Works PJSC, GDR.............. 199,210 1,867,339
* Mail.Ru Group, Ltd., GDR............................... 59,974 1,597,707
MMC Norilsk Nickel PJSC, ADR........................... 36,191 598,961
MMC Norilsk Nickel PJSC, ADR........................... 406,377 6,728,075
Novatek PJSC, GDR...................................... 41,558 7,009,065
Novolipetsk Steel PJSC, GDR............................ 111,869 2,693,706
PhosAgro PJSC, GDR..................................... 83,207 1,087,242
PhosAgro PJSC, GDR..................................... 2,326 30,471
Rosneft Oil Co. PJSC, GDR.............................. 54,030 379,831
Rosneft Oil Co. PJSC, GDR.............................. 700,727 4,909,480
Rostelecom PJSC, Sponsored ADR......................... 20,806 136,487
Rostelecom PJSC, Sponsored ADR......................... 78,867 500,670
RusHydro PJSC, ADR..................................... 12,131 9,523
RusHydro PJSC, ADR..................................... 1,196,354 934,744
Sberbank of Russia PJSC, Sponsored ADR................. 1,818,206 21,393,792
Severstal PJSC, GDR.................................... 191,829 2,977,743
Tatneft PJSC, Sponsored ADR............................ 137,960 9,683,548
VTB Bank PJSC, GDR..................................... 1,358,280 1,709,985
VTB Bank PJSC, GDR..................................... 1,913,221 2,410,658
X5 Retail Group NV, GDR................................ 115,775 2,720,712
--------- ------------
TOTAL RUSSIA................................................ 100,027,947
------------
125
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- ------------
SOUTH AFRICA -- (7.0%)
Absa Group, Ltd........................................ 2,001,955 $ 20,228,326
Anglo American Platinum, Ltd........................... 87,998 2,864,974
AngloGold Ashanti, Ltd................................. 30,125 293,209
# AngloGold Ashanti, Ltd., Sponsored ADR................. 1,637,102 15,405,130
Aspen Pharmacare Holdings, Ltd......................... 574,874 6,079,285
Assore, Ltd............................................ 23,402 490,386
AVI, Ltd............................................... 429,602 2,912,997
Bid Corp., Ltd......................................... 694,776 13,008,851
Bidvest Group, Ltd. (The).............................. 873,084 10,895,787
# Capitec Bank Holdings, Ltd............................. 75,595 5,078,453
Clicks Group, Ltd...................................... 400,578 5,102,801
Discovery, Ltd......................................... 619,824 6,652,139
Distell Group Holdings, Ltd............................ 49,312 364,649
Exxaro Resources, Ltd.................................. 564,337 5,771,962
FirstRand, Ltd......................................... 4,821,116 21,057,002
Foschini Group, Ltd. (The)............................. 415,863 4,552,545
Gold Fields, Ltd., Sponsored ADR....................... 3,443,277 9,159,117
Imperial Holdings, Ltd................................. 583,684 6,476,320
Investec, Ltd.......................................... 684,825 4,251,428
Kumba Iron Ore, Ltd.................................... 164,394 3,223,228
Liberty Holdings, Ltd.................................. 302,881 2,221,747
Life Healthcare Group Holdings, Ltd.................... 3,525,337 5,854,008
* MMI Holdings, Ltd...................................... 1,438,704 1,744,586
Mondi, Ltd............................................. 303,793 7,270,860
# Mr. Price Group, Ltd................................... 439,100 6,875,079
MTN Group, Ltd......................................... 3,510,155 20,383,222
Naspers, Ltd., Class N................................. 314,943 55,241,268
Nedbank Group, Ltd..................................... 545,382 9,219,763
# NEPI Rockcastle P.L.C.................................. 360,968 3,118,234
Netcare, Ltd........................................... 2,825,287 4,742,248
Pick n Pay Stores, Ltd................................. 261,842 1,210,207
Pioneer Foods Group, Ltd............................... 102,875 565,276
PSG Group, Ltd......................................... 245,614 3,662,740
Sanlam, Ltd............................................ 3,023,284 15,223,199
Sappi, Ltd............................................. 1,826,701 10,263,401
Sasol, Ltd............................................. 118,450 3,870,940
# Sasol, Ltd., Sponsored ADR............................. 771,710 25,096,009
Shoprite Holdings, Ltd................................. 905,692 11,056,848
* Sibanye Gold, Ltd...................................... 3,894,346 2,709,294
# SPAR Group, Ltd. (The)................................. 284,382 3,390,889
Standard Bank Group, Ltd............................... 2,064,368 22,871,578
# * Steinhoff International Holdings NV.................... 3,896,458 474,011
Telkom SA SOC, Ltd..................................... 273,989 997,218
Tiger Brands, Ltd...................................... 311,532 5,580,096
# Truworths International, Ltd........................... 979,184 5,363,726
# Vodacom Group, Ltd..................................... 757,800 6,390,342
Woolworths Holdings, Ltd............................... 2,502,184 8,641,286
--------- ------------
TOTAL SOUTH AFRICA.......................................... 387,906,664
------------
SOUTH KOREA -- (16.2%)
Amorepacific Corp...................................... 27,561 3,723,813
AMOREPACIFIC Group..................................... 42,761 2,343,747
BGF Co., Ltd........................................... 216,994 1,422,542
BGF retail Co., Ltd.................................... 2,691 398,101
BNK Financial Group, Inc............................... 525,177 3,507,782
# * Celltrion Pharm, Inc................................... 7,682 361,356
126
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- -----------
SOUTH KOREA -- (Continued)
# * Celltrion, Inc......................................... 77,760 $14,876,734
Cheil Worldwide, Inc................................... 76,809 1,532,675
CJ CGV Co., Ltd........................................ 16,207 576,311
CJ CheilJedang Corp.................................... 21,659 6,178,228
CJ Corp................................................ 44,364 4,266,050
CJ ENM Co., Ltd........................................ 1,275 253,682
# * CJ Logistics Corp...................................... 14,891 2,077,336
Com2uSCorp............................................. 11,105 1,256,443
# Cosmax, Inc............................................ 2,859 290,466
Coway Co., Ltd......................................... 80,403 4,961,557
Cuckoo Holdings Co., Ltd............................... 1,093 116,675
* Cuckoo Homesys Co., Ltd................................ 368 50,632
Daelim Industrial Co., Ltd............................. 53,399 3,574,951
* Daewoo Engineering & Construction Co., Ltd............. 179,177 715,304
# * Daewoo Shipbuilding & Marine Engineering Co., Ltd...... 71,856 1,861,145
# Daewoong Pharmaceutical Co., Ltd....................... 927 115,394
DB Insurance Co., Ltd.................................. 163,518 10,308,025
DGB Financial Group, Inc............................... 320,239 2,648,771
# Dongsuh Cos., Inc...................................... 15,171 248,761
Doosan Bobcat, Inc..................................... 45,642 1,415,511
Doosan Corp............................................ 21,369 2,252,226
* Doosan Heavy Industries & Construction Co., Ltd........ 239,641 2,315,647
# * Doosan Infracore Co., Ltd.............................. 492,270 3,346,818
Douzone Bizon Co., Ltd................................. 7,317 279,662
E-MART, Inc............................................ 31,044 5,584,738
Fila Korea, Ltd........................................ 57,807 2,140,852
Grand Korea Leisure Co., Ltd........................... 38,572 755,834
Green Cross Corp....................................... 2,754 290,017
Green Cross Holdings Corp.............................. 23,565 431,388
GS Engineering & Construction Corp..................... 78,919 2,910,090
GS Holdings Corp....................................... 185,417 7,913,266
GS Home Shopping, Inc.................................. 4,597 784,794
GS Retail Co., Ltd..................................... 53,143 1,678,631
Hana Financial Group, Inc.............................. 480,370 16,181,560
# * Hanall Biopharma Co., Ltd.............................. 7,801 163,396
Hankook Tire Co., Ltd.................................. 132,767 4,828,816
Hanmi Pharm Co., Ltd................................... 5,814 1,995,175
Hanmi Science Co., Ltd................................. 10,405 610,840
Hanon Systems.......................................... 266,528 2,570,674
# Hanssem Co., Ltd....................................... 16,476 708,467
# * Hanwha Aerospace Co., Ltd.............................. 50,134 1,257,084
Hanwha Chemical Corp................................... 267,771 3,813,216
Hanwha Corp............................................ 185,255 4,588,395
Hanwha Life Insurance Co., Ltd......................... 1,038,851 4,096,470
# Hite Jinro Co., Ltd.................................... 48,621 673,579
# * HLB, Inc............................................... 20,527 1,576,762
Hotel Shilla Co., Ltd.................................. 29,719 1,872,997
* Hugel, Inc............................................. 2,135 515,692
* Hyosung Advanced Materials Corp........................ 7,969 735,092
* Hyosung Chemical Corp.................................. 5,674 654,285
# Hyosung Corp........................................... 24,540 1,108,988
* Hyosung Heavy Industries Corp.......................... 16,588 617,853
* Hyosung TNC Co., Ltd................................... 7,698 1,185,152
# * Hyundai Construction Equipment Co., Ltd................ 8,892 586,218
Hyundai Department Store Co., Ltd...................... 27,576 2,109,347
Hyundai Development Co.-Engineering & Construction..... 206,123 3,058,015
Hyundai Elevator Co., Ltd.............................. 12,902 908,519
127
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
------- -----------
SOUTH KOREA -- (Continued)
Hyundai Engineering & Construction Co., Ltd............ 152,385 $ 6,158,213
Hyundai Glovis Co., Ltd................................ 28,696 2,881,513
Hyundai Greenfood Co., Ltd............................. 38,183 414,378
* Hyundai Heavy Industries Co., Ltd...................... 55,503 6,105,504
* Hyundai Heavy Industries Holdings Co., Ltd............. 21,736 6,830,392
Hyundai Home Shopping Network Corp..................... 5,020 430,829
Hyundai Marine & Fire Insurance Co., Ltd............... 208,568 7,673,603
# * Hyundai Merchant Marine Co., Ltd....................... 188,580 628,119
# * Hyundai Mipo Dockyard Co., Ltd......................... 20,360 1,688,675
Hyundai Mobis Co., Ltd................................. 59,300 9,905,577
Hyundai Motor Co....................................... 135,453 12,686,920
# * Hyundai Rotem Co., Ltd................................. 32,868 636,518
Hyundai Steel Co....................................... 191,753 7,036,610
Hyundai Wia Corp....................................... 25,756 670,902
# Iljin Materials Co., Ltd............................... 17,651 709,141
Industrial Bank of Korea............................... 456,607 5,962,603
Innocean Worldwide, Inc................................ 3,114 158,588
Jeil Pharmaceutical Co., Ltd........................... 157 5,806
# Kakao Corp............................................. 28,969 2,341,681
Kangwon Land, Inc...................................... 104,801 2,653,769
KB Financial Group, Inc................................ 288,994 12,034,912
# KB Financial Group, Inc., ADR.......................... 58,792 2,442,808
KCC Corp............................................... 11,295 2,456,242
KEPCO Plant Service & Engineering Co., Ltd............. 30,975 750,242
Kia Motors Corp........................................ 396,615 9,913,675
# KIWOOM Securities Co., Ltd............................. 25,281 1,688,517
Koh Young Technology, Inc.............................. 2,393 189,616
Kolon Industries, Inc.................................. 40,014 1,770,632
# * Komipharm International Co., Ltd....................... 23,890 448,324
# * Korea Aerospace Industries, Ltd........................ 37,044 943,618
# Korea Electric Power Corp., Sponsored ADR.............. 130,759 1,563,878
Korea Electric Power Corp.............................. 216,158 5,163,248
* Korea Gas Corp......................................... 41,078 1,884,420
Korea Investment Holdings Co., Ltd..................... 85,358 4,463,899
Korea Kolmar Co., Ltd.................................. 20,573 982,451
Korea Petrochemical Ind Co., Ltd....................... 6,572 902,953
# Korea Zinc Co., Ltd.................................... 12,459 4,155,313
Korean Air Lines Co., Ltd.............................. 185,901 4,500,288
Korean Reinsurance Co.................................. 69,779 594,245
KT Corp., Sponsored ADR................................ 82,100 1,136,264
KT&G Corp.............................................. 98,283 8,764,018
Kumho Petrochemical Co., Ltd........................... 32,629 2,478,738
* Kumho Tire Co., Inc.................................... 104,196 459,777
LG Chem, Ltd........................................... 41,518 12,686,886
LG Corp................................................ 137,455 8,008,462
# LG Display Co., Ltd., ADR.............................. 808,137 5,931,726
LG Display Co., Ltd.................................... 525,059 7,661,398
LG Electronics, Inc.................................... 216,779 12,118,988
LG Household & Health Care, Ltd........................ 13,212 12,149,821
LG Innotek Co., Ltd.................................... 31,119 3,415,081
LG International Corp.................................. 2,443 33,727
LG Uplus Corp.......................................... 442,702 6,291,787
LIG Nex1 Co., Ltd...................................... 3,131 80,075
Lotte Chemical Corp.................................... 42,164 9,741,681
Lotte Chilsung Beverage Co., Ltd....................... 28 33,650
Lotte Confectionery Co., Ltd........................... 237 33,052
* Lotte Corp............................................. 20,841 872,023
128
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
--------- ------------
SOUTH KOREA -- (Continued)
LOTTE Fine Chemical Co., Ltd........................... 26,238 $ 943,518
LOTTE Himart Co., Ltd.................................. 14,100 696,333
Lotte Shopping Co., Ltd................................ 22,579 3,854,698
LS Corp................................................ 41,095 1,828,059
LS Industrial Systems Co., Ltd......................... 27,263 1,185,236
Macquarie Korea Infrastructure Fund.................... 501,890 3,991,321
# Mando Corp............................................. 64,625 1,738,804
# Medy-Tox, Inc.......................................... 6,364 2,607,124
Meritz Financial Group, Inc............................ 132,014 1,201,304
Meritz Fire & Marine Insurance Co., Ltd................ 174,445 2,791,164
Meritz Securities Co., Ltd............................. 775,459 2,714,755
Mirae Asset Daewoo Co., Ltd............................ 675,912 3,835,631
NAVER Corp............................................. 188,950 19,028,084
NCSoft Corp............................................ 16,404 6,200,006
# Netmarble Corp......................................... 13,796 1,362,630
Nexen Tire Corp........................................ 50,780 364,212
NH Investment & Securities Co., Ltd.................... 271,628 2,915,938
* NHN Entertainment Corp................................. 13,146 530,651
NongShim Co., Ltd...................................... 5,761 1,104,215
OCI Co., Ltd........................................... 44,797 3,365,542
Orion Corp............................................. 8,589 719,091
Orion Holdings Corp.................................... 82,251 1,133,611
Ottogi Corp............................................ 1,053 610,152
* Pan Ocean Co., Ltd..................................... 431,074 1,814,608
# Paradise Co., Ltd...................................... 42,701 674,735
POSCO, Sponsored ADR................................... 104,186 6,003,197
POSCO.................................................. 70,065 16,037,381
# POSCO Chemtech Co., Ltd................................ 20,052 1,153,406
Posco Daewoo Corp...................................... 99,219 1,560,956
S-1 Corp............................................... 25,186 2,132,881
* Samsung Biologics Co., Ltd............................. 6,405 2,192,299
Samsung C&T Corp....................................... 51,407 4,920,070
Samsung Card Co., Ltd.................................. 51,403 1,518,900
# Samsung Electro-Mechanics Co., Ltd..................... 47,511 4,959,395
Samsung Electronics Co., Ltd., GDR..................... 52,509 49,046,747
Samsung Electronics Co., Ltd........................... 4,912,950 183,920,164
* Samsung Engineering Co., Ltd........................... 116,852 1,886,204
Samsung Fire & Marine Insurance Co., Ltd............... 60,711 14,855,253
* Samsung Heavy Industries Co., Ltd...................... 796,613 4,887,410
Samsung Life Insurance Co., Ltd........................ 61,511 4,976,578
Samsung SDI Co., Ltd................................... 48,119 10,007,026
Samsung SDS Co., Ltd................................... 29,343 4,991,344
Samsung Securities Co., Ltd............................ 120,651 2,850,414
# Seoul Semiconductor Co., Ltd........................... 43,467 783,120
SFA Engineering Corp................................... 28,906 989,999
Shinhan Financial Group Co., Ltd....................... 317,003 11,807,031
# Shinhan Financial Group Co., Ltd., ADR................. 77,966 2,885,522
Shinsegae, Inc......................................... 15,845 3,617,757
SK Discovery Co., Ltd.................................. 47,694 1,135,947
SK Holdings Co., Ltd................................... 51,858 11,940,657
SK Hynix, Inc.......................................... 821,484 49,474,161
SK Innovation Co., Ltd................................. 95,381 17,900,149
SK Materials Co., Ltd.................................. 9,016 1,476,552
SK Networks Co., Ltd................................... 307,973 1,154,727
# SK Telecom Co., Ltd., Sponsored ADR.................... 24,883 644,719
SK Telecom Co., Ltd.................................... 18,352 4,311,994
SKC Co., Ltd........................................... 45,410 1,327,991
129
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
SOUTH KOREA -- (Continued)
# SKCKOLONPI, Inc........................................ 17,473 $ 517,215
S-Oil Corp............................................. 39,787 4,341,648
# Ssangyong Cement Industrial Co., Ltd................... 246,810 1,044,272
Taekwang Industrial Co., Ltd........................... 432 560,591
Tongyang Life Insurance Co., Ltd....................... 53,721 266,725
Woori Bank............................................. 693,574 9,610,146
Woori Bank, Sponsored ADR.............................. 3,749 155,733
Young Poong Corp....................................... 438 252,484
Youngone Corp.......................................... 43,468 1,367,536
Yuhan Corp............................................. 9,386 1,383,880
* Yungjin Pharmaceutical Co., Ltd........................ 60,994 296,385
---------- ------------
TOTAL SOUTH KOREA.......................................... 894,866,311
------------
TAIWAN -- (15.0%)
# Accton Technology Corp................................. 685,000 1,896,025
Acer, Inc.............................................. 4,849,811 3,412,627
Advantech Co., Ltd..................................... 373,663 2,578,306
# Airtac International Group............................. 207,518 1,790,303
ASE Technology Holding Co., Ltd., ADR.................. 133,966 513,090
ASE Technology Holding Co., Ltd........................ 7,079,782 14,279,381
Asia Cement Corp....................................... 3,670,758 3,892,014
* Asia Pacific Telecom Co., Ltd.......................... 2,792,000 537,534
Asustek Computer, Inc.................................. 1,099,180 8,150,683
# AU Optronics Corp., Sponsored ADR...................... 319,570 1,223,953
# AU Optronics Corp...................................... 28,567,873 11,161,627
Casetek Holdings, Ltd.................................. 206,709 292,389
Catcher Technology Co., Ltd............................ 1,524,429 15,413,778
Cathay Financial Holding Co., Ltd...................... 6,857,450 10,887,384
Chailease Holding Co., Ltd............................. 2,451,916 7,032,488
Chang Hwa Commercial Bank, Ltd......................... 9,221,974 5,238,933
# Cheng Shin Rubber Industry Co., Ltd.................... 3,477,965 4,906,870
Chicony Electronics Co., Ltd........................... 1,172,497 2,350,023
China Airlines, Ltd.................................... 9,779,536 2,902,004
China Development Financial Holding Corp............... 22,365,121 7,201,085
China Life Insurance Co., Ltd.......................... 4,546,354 4,321,084
China Motor Corp....................................... 825,000 622,819
* China Petrochemical Development Corp................... 3,819,000 1,398,711
China Steel Corp....................................... 15,533,932 12,268,633
Chipbond Technology Corp............................... 1,093,000 2,013,074
# Chroma ATE, Inc........................................ 457,000 1,609,922
# Chunghwa Telecom Co., Ltd., Sponsored ADR.............. 258,465 9,066,952
Chunghwa Telecom Co., Ltd.............................. 1,536,000 5,425,384
Compal Electronics, Inc................................ 8,616,541 4,759,583
Compeq Manufacturing Co., Ltd.......................... 1,812,000 1,163,844
CTBC Financial Holding Co., Ltd........................ 20,702,175 13,862,807
CTCI Corp.............................................. 1,199,000 1,693,248
Delta Electronics, Inc................................. 2,064,486 8,689,871
E Ink Holdings, Inc.................................... 1,072,000 848,870
E.Sun Financial Holding Co., Ltd....................... 15,030,377 9,979,719
Eclat Textile Co., Ltd................................. 258,402 3,076,715
Elite Material Co., Ltd................................ 14,000 28,062
Epistar Corp........................................... 2,139,000 1,939,483
Eternal Materials Co., Ltd............................. 1,630,591 1,215,559
Eva Airways Corp....................................... 7,636,221 3,498,107
Evergreen Marine Corp. Taiwan, Ltd..................... 4,864,658 1,797,177
Far Eastern New Century Corp........................... 7,623,085 7,667,429
130
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- -----------
TAIWAN -- (Continued)
Far EasTone Telecommunications Co., Ltd................ 2,601,000 $ 6,198,138
Feng TAY Enterprise Co., Ltd........................... 500,424 3,010,373
First Financial Holding Co., Ltd....................... 16,236,988 10,272,213
FLEXium Interconnect, Inc.............................. 132,000 333,715
Formosa Chemicals & Fibre Corp......................... 2,951,518 10,711,225
# Formosa Petrochemical Corp............................. 1,719,000 6,786,227
Formosa Plastics Corp.................................. 3,487,153 11,403,276
# Formosa Sumco Technology Corp.......................... 29,000 99,417
Formosa Taffeta Co., Ltd............................... 1,412,000 1,539,134
Foxconn Technology Co., Ltd............................ 1,494,627 3,173,798
Fubon Financial Holding Co., Ltd....................... 8,817,233 13,833,396
# General Interface Solution Holding, Ltd................ 491,000 1,639,885
Giant Manufacturing Co., Ltd........................... 489,506 1,873,441
Gigabyte Technology Co., Ltd........................... 356,000 468,064
Globalwafers Co., Ltd.................................. 233,000 1,854,807
# Gourmet Master Co., Ltd................................ 133,840 811,760
HannStar Display Corp.................................. 4,716,000 1,040,499
Highwealth Construction Corp........................... 1,158,190 1,701,294
# Hiwin Technologies Corp................................ 419,627 2,723,424
Hon Hai Precision Industry Co., Ltd.................... 10,525,322 26,792,716
# Hota Industrial Manufacturing Co., Ltd................. 290,235 1,221,930
# Hotai Motor Co., Ltd................................... 390,000 2,698,571
* HTC Corp............................................... 301,235 327,902
Hua Nan Financial Holdings Co., Ltd.................... 12,693,935 7,170,009
# Innolux Corp........................................... 29,692,241 9,015,878
# Inventec Corp.......................................... 5,034,550 4,068,928
Kenda Rubber Industrial Co., Ltd....................... 612,377 586,776
# King Slide Works Co., Ltd.............................. 57,000 593,122
King Yuan Electronics Co., Ltd......................... 709,000 415,242
King's Town Bank Co., Ltd.............................. 1,629,000 1,558,658
Largan Precision Co., Ltd.............................. 133,860 14,625,998
LCY Chemical Corp...................................... 817,123 1,374,321
Lien Hwa Industrial Corp............................... 83,600 82,433
# Lite-On Technology Corp................................ 4,435,410 5,099,562
Long Chen Paper Co., Ltd............................... 486,509 248,829
# Macronix International................................. 5,042,074 2,807,424
MediaTek, Inc.......................................... 1,092,995 8,073,557
Mega Financial Holding Co., Ltd........................ 17,948,369 15,198,559
# Merida Industry Co., Ltd............................... 145,287 510,039
Merry Electronics Co., Ltd............................. 53,000 229,695
Micro-Star International Co., Ltd...................... 1,080,000 2,405,887
Nan Ya Plastics Corp................................... 4,331,599 10,790,047
# Nanya Technology Corp.................................. 1,603,010 2,676,629
Nien Made Enterprise Co., Ltd.......................... 257,000 1,593,855
Novatek Microelectronics Corp.......................... 883,000 3,906,324
# Parade Technologies, Ltd............................... 82,000 1,091,379
# Pegatron Corp.......................................... 4,155,345 7,592,835
Phison Electronics Corp................................ 283,000 1,861,037
Pou Chen Corp.......................................... 6,126,487 6,216,840
Powertech Technology, Inc.............................. 2,217,819 4,864,891
Poya International Co., Ltd............................ 55,275 481,703
President Chain Store Corp............................. 795,831 9,002,563
Qisda Corp............................................. 3,366,000 1,914,332
Quanta Computer, Inc................................... 4,491,000 7,103,397
Realtek Semiconductor Corp............................. 728,950 2,935,283
Ruentex Development Co., Ltd........................... 952,230 1,321,560
Ruentex Industries, Ltd................................ 765,109 1,922,502
131
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- ------------
TAIWAN -- (Continued)
# Shin Kong Financial Holding Co., Ltd................... 14,135,330 $ 4,660,460
# Silergy Corp........................................... 66,000 840,869
Simplo Technology Co., Ltd............................. 295,000 1,715,659
Sino-American Silicon Products, Inc.................... 1,456,000 2,726,514
SinoPac Financial Holdings Co., Ltd.................... 17,621,623 5,994,384
St Shine Optical Co., Ltd.............................. 45,000 803,349
# Standard Foods Corp.................................... 624,418 938,920
Synnex Technology International Corp................... 1,945,343 2,099,290
# TA Chen Stainless Pipe................................. 1,653,000 2,335,770
Taichung Commercial Bank Co., Ltd...................... 166,442 54,924
* TaiMed Biologics, Inc.................................. 109,000 680,782
Taishin Financial Holding Co., Ltd..................... 16,620,662 7,405,692
Taiwan Business Bank................................... 6,732,631 2,222,545
Taiwan Cement Corp..................................... 6,287,292 7,067,448
Taiwan Cooperative Financial Holding Co., Ltd.......... 13,888,806 7,822,579
Taiwan FamilyMart Co., Ltd............................. 85,000 577,192
Taiwan Fertilizer Co., Ltd............................. 1,215,000 1,652,374
Taiwan Glass Industry Corp............................. 2,181,374 938,062
Taiwan High Speed Rail Corp............................ 2,031,000 2,018,208
Taiwan Mobile Co., Ltd................................. 2,215,300 7,915,947
Taiwan Secom Co., Ltd.................................. 427,670 1,217,389
Taiwan Semiconductor Manufacturing Co., Ltd.,
Sponsored ADR........................................ 1,815,491 69,170,207
Taiwan Semiconductor Manufacturing Co., Ltd............ 23,066,808 173,171,342
# * Tatung Co., Ltd........................................ 3,317,000 3,877,342
Teco Electric and Machinery Co., Ltd................... 3,222,000 1,853,815
Tong Yang Industry Co., Ltd............................ 453,000 512,240
TPK Holding Co., Ltd................................... 14,000 21,828
# Transcend Information, Inc............................. 353,181 738,501
Tripod Technology Corp................................. 821,870 1,985,917
Uni-President Enterprises Corp......................... 6,976,033 16,908,873
# United Microelectronics Corp........................... 33,504,000 12,767,748
Vanguard International Semiconductor Corp.............. 990,000 1,831,649
Voltronic Power Technology Corp........................ 71,350 1,154,907
Walsin Lihwa Corp...................................... 5,643,000 2,806,618
# Walsin Technology Corp................................. 414,000 1,749,437
Wan Hai Lines, Ltd..................................... 1,467,800 717,873
# Win Semiconductors Corp................................ 842,034 2,600,784
# Winbond Electronics Corp............................... 7,122,407 3,102,905
Wintek Corp............................................ 604,760 6,706
Wistron Corp........................................... 6,755,699 4,141,540
WPG Holdings, Ltd...................................... 2,160,039 2,572,576
# Yageo Corp............................................. 252,682 2,591,030
Yuanta Financial Holding Co., Ltd...................... 16,914,806 8,225,645
# Yulon Motor Co., Ltd................................... 869,000 508,090
Zhen Ding Technology Holding, Ltd...................... 1,297,700 2,969,104
---------- ------------
TOTAL TAIWAN................................................ 830,137,883
------------
THAILAND -- (3.5%)
Advanced Info Service PCL.............................. 1,483,600 8,771,813
Airports of Thailand PCL............................... 5,113,900 9,872,989
B Grimm Power PCL...................................... 541,700 457,545
Bangchak Corp. PCL..................................... 1,453,500 1,446,923
Bangkok Bank PCL....................................... 207,800 1,328,917
Bangkok Dusit Medical Services PCL..................... 5,314,500 3,927,760
Bangkok Expressway & Metro PCL......................... 14,823,799 3,800,974
132
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- -----------
THAILAND -- (Continued)
Bangkok Life Assurance PCL............................. 845,800 $ 810,080
Banpu PCL.............................................. 4,609,350 2,419,387
Banpu Power PCL........................................ 837,900 604,097
Berli Jucker PCL....................................... 1,309,800 2,202,756
BTS Group Holdings PCL................................. 6,576,800 1,815,316
Bumrungrad Hospital PCL................................ 402,600 2,343,946
Carabao Group PCL...................................... 298,700 407,728
Central Pattana PCL.................................... 1,717,900 4,093,940
Central Plaza Hotel PCL................................ 1,091,200 1,324,911
CH Karnchang PCL....................................... 500,300 384,846
Charoen Pokphand Foods PCL............................. 7,313,600 5,570,691
CP ALL PCL............................................. 5,689,600 11,542,250
Delta Electronics Thailand PCL......................... 710,400 1,478,661
Electricity Generating PCL............................. 192,300 1,340,009
Energy Absolute PCL.................................... 2,027,900 3,028,086
Esso Thailand PCL...................................... 2,616,000 1,144,253
Global Power Synergy PCL............................... 530,900 924,871
Glow Energy PCL........................................ 737,100 1,862,206
Home Product Center PCL................................ 7,113,113 3,197,146
Indorama Ventures PCL.................................. 1,976,800 3,235,035
Intouch Holdings PCL................................... 582,500 931,297
IRPC PCL............................................... 20,052,200 3,689,847
Jasmine International PCL.............................. 5,215,000 810,173
Kasikornbank PCL....................................... 990,400 5,960,326
Kasikornbank PCL....................................... 75,400 453,765
Kiatnakin Bank PCL..................................... 753,600 1,619,729
Krung Thai Bank PCL.................................... 5,565,887 3,374,791
Krungthai Card PCL..................................... 1,904,000 1,995,897
Land & Houses PCL...................................... 790,000 245,460
Land & Houses PCL...................................... 2,877,040 893,922
Minor International PCL................................ 2,330,270 2,565,757
MK Restaurants Group PCL............................... 501,100 1,016,560
Muangthai Capital PCL.................................. 1,572,600 2,478,683
Pruksa Holding PCL..................................... 1,867,300 1,137,842
PTT Exploration & Production PCL....................... 1,864,655 7,846,738
PTT Global Chemical PCL................................ 4,261,672 9,931,046
PTT PCL................................................ 16,434,000 25,283,077
Ratchaburi Electricity Generating Holding PCL.......... 661,500 977,783
Robinson PCL........................................... 506,800 997,548
Siam Cement PCL (The).................................. 172,700 2,177,635
Siam Cement PCL (The).................................. 230,100 2,901,412
Siam City Cement PCL................................... 111,567 807,725
Siam Commercial Bank PCL (The)......................... 1,254,166 5,202,046
Siam Global House PCL.................................. 2,170,633 1,224,460
Srisawad Corp. PCL..................................... 619,611 831,755
Star Petroleum Refining PCL............................ 4,448,400 1,892,080
Supalai PCL............................................ 280,100 185,043
Thai Oil PCL........................................... 2,893,800 7,398,176
Thai Union Group PCL................................... 3,261,840 1,633,380
Thanachart Capital PCL................................. 2,104,200 3,348,312
Tisco Financial Group PCL.............................. 724,600 1,721,335
TMB Bank PCL........................................... 23,458,100 1,613,408
Total Access Communication PCL......................... 551,500 790,234
Total Access Communication PCL......................... 1,459,300 2,091,003
TPI Polene PCL......................................... 1,123,700 61,015
TPI Polene Power PCL................................... 2,998,600 542,733
True Corp. PCL......................................... 23,148,731 4,119,985
133
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- --------------
THAILAND -- (Continued)
TTW PCL................................................ 581,700 $ 215,834
VGI Global Media PCL................................... 2,988,700 680,684
WHA Corp. PCL.......................................... 14,117,300 1,754,548
---------- --------------
TOTAL THAILAND.............................................. 192,740,180
--------------
TURKEY -- (1.0%)
Akbank Turk A.S........................................ 3,522,991 4,166,237
Anadolu Efes Biracilik Ve Malt Sanayii A.S............. 238,530 801,989
# Arcelik A.S............................................ 374,452 1,041,476
# Aselsan Elektronik Sanayi Ve Ticaret A.S............... 141,812 641,977
BIM Birlesik Magazalar A.S............................. 361,723 5,142,045
# Coca-Cola Icecek A.S................................... 214,118 1,057,156
# Enka Insaat ve Sanayi A.S.............................. 806,244 673,766
Eregli Demir ve Celik Fabrikalari TAS.................. 2,461,933 3,995,239
Ford Otomotiv Sanayi A.S............................... 126,138 1,354,590
KOC Holding A.S........................................ 1,011,450 2,825,487
* Koza Altin Isletmeleri A.S............................. 33,399 269,213
Petkim Petrokimya Holding A.S.......................... 1,304,636 1,187,517
Soda Sanayii A.S....................................... 301,274 365,354
TAV Havalimanlari Holding A.S.......................... 393,004 1,636,202
Tekfen Holding A.S..................................... 313,689 1,194,248
# Tofas Turk Otomobil Fabrikasi A.S...................... 285,875 1,079,026
Tupras Turkiye Petrol Rafinerileri A.S................. 248,087 5,853,280
* Turk Hava Yollari AO................................... 1,457,515 3,671,312
* Turk Telekomunikasyon A.S.............................. 802,767 460,656
Turkcell Iletisim Hizmetleri A.S....................... 1,664,980 3,388,142
# Turkcell Iletisim Hizmetleri A.S., ADR................. 73,838 381,004
Turkiye Garanti Bankasi A.S............................ 3,279,091 4,124,829
# Turkiye Halk Bankasi A.S............................... 1,332,954 1,474,087
Turkiye Is Bankasi, Class C............................ 2,612,331 1,869,642
Turkiye Sise ve Cam Fabrikalari A.S.................... 1,716,332 1,453,561
# Turkiye Vakiflar Bankasi TAO, Class D.................. 1,893,088 1,161,469
# * Ulker Biskuvi Sanayi A.S............................... 214,925 568,310
# * Yapi ve Kredi Bankasi A.S.............................. 2,425,128 703,307
---------- --------------
TOTAL TURKEY................................................ 52,541,121
--------------
TOTAL COMMON STOCKS......................................... 5,271,410,776
--------------
PREFERRED STOCKS -- (2.2%)
BRAZIL -- (2.1%)
Banco Bradesco SA...................................... 1,913,426 17,635,500
* Centrais Eletricas Brasileiras SA, Class B............. 260,352 1,860,906
Cia Brasileira de Distribuicao......................... 243,459 5,117,120
Cia Energetica de Minas Gerais......................... 769,441 2,280,514
Gerdau SA.............................................. 1,199,021 5,238,770
Itau Unibanco Holding SA............................... 4,000,827 52,946,589
Lojas Americanas SA.................................... 726,150 3,668,311
Petroleo Brasileiro SA................................. 2,860,161 21,227,367
Telefonica Brasil SA................................... 314,262 3,649,712
Usinas Siderurgicas de Minas Gerais SA, Class A........ 771,800 2,131,964
---------- --------------
TOTAL BRAZIL................................................ 115,756,753
--------------
CHILE -- (0.0%)
Embotelladora Andina SA, Class B....................... 348,486 1,222,655
---------- --------------
134
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE>>
---------- --------------
COLOMBIA -- (0.1%)
Banco Davivienda SA.................................... 172,705 $ 1,662,944
Bancolombia SA......................................... 30,330 283,563
Grupo Argos SA......................................... 55,405 223,719
Grupo Aval Acciones y Valores SA....................... 3,848,843 1,350,889
Grupo de Inversiones Suramericana SA................... 127,756 1,166,647
---------- --------------
TOTAL COLOMBIA................................................ 4,687,762
--------------
TOTAL PREFERRED STOCKS........................................ 121,667,170
--------------
RIGHTS/WARRANTS -- (0.0%)
CHILE -- (0.0%)
* Banco de Credito e Inversiones SA Rights 11/29/18...... 5,401 15,512
* SACI Falabella Rights 11/13/18......................... 30,147 3,032
---------- --------------
TOTAL CHILE................................................... 18,544
--------------
TAIWAN -- (0.0%)
* Evergreen Marine Corp., Ltd. Rights 11/21/18........... 277,125 6,269
* Taichung Commercial Bank Rights 11/26/18............... 5,547 0
* Taishin financial Holding Co., Ltd. Rights 11/22/18.... 335,282 32,507
---------- --------------
TOTAL TAIWAN.................................................. 38,776
--------------
THAILAND -- (0.0%)
* BTS Group Holdings PCL Warrants 08/01/19............... 659,522 0
* VGI Global Media PCL Warrents 09/10/22................. 597,740 7,212
---------- --------------
TOTAL THAILAND................................................ 7,212
--------------
TOTAL RIGHTS/WARRANTS......................................... 64,532
--------------
TOTAL INVESTMENT SECURITIES................................... 5,393,142,478
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (2.4%)
@ (S) DFA Short Term Investment Fund......................... 11,686,417 135,211,841
---------- --------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,213,118,395)......................................... $5,528,354,319
==============
ADR American Depositary Receipt
CP Certificate Participation.
GDR Global Depositary Receipt.
P.L.C Public Limited Company.
SA Special Assessment.
>> Securities that have generally been fair value factored. See Note B to
Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
+ See Note B to Financial Statements.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
135
SCHEDULE OF INVESTMENTS
CONTINUED
As of October 31, 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 12/21/18 $33,568,522 $31,092,750 (2,475,772)
S&P 500(R) Emini
Index.................. 148 12/21/18 20,291,986 20,062,140 (229,846)
----------- ----------- -----------
TOTAL FUTURES CONTRACTS.. $53,860,508 $51,154,890 $(2,705,618)
=========== =========== ===========
Summary of the Series' investments as of October 31, 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....................... $ 356,286,128 -- -- $ 356,286,128
Chile........................ 35,231,301 $ 37,207,705 -- 72,439,006
China........................ 235,305,225 675,217,976 -- 910,523,201
Colombia..................... 24,550,668 -- -- 24,550,668
Czech Republic............... -- 10,527,316 -- 10,527,316
Egypt........................ 525,244 6,117,396 -- 6,642,640
Greece....................... -- 13,595,686 -- 13,595,686
Hungary...................... -- 25,919,646 -- 25,919,646
India........................ 31,299,929 659,137,801 -- 690,437,730
Indonesia.................... 5,243,380 134,586,133 -- 139,829,513
Malaysia..................... -- 175,478,749 -- 175,478,749
Mexico....................... 204,769,315 -- -- 204,769,315
Peru......................... 18,255,413 -- -- 18,255,413
Philippines.................. 1,930,141 73,276,120 -- 75,206,261
Poland....................... -- 88,729,398 -- 88,729,398
Russia....................... 14,273,976 85,753,971 -- 100,027,947
South Africa................. 49,660,256 338,246,408 -- 387,906,664
South Korea.................. 20,763,847 874,102,464 -- 894,866,311
Taiwan....................... 79,974,202 750,163,681 -- 830,137,883
Thailand..................... 192,740,180 -- -- 192,740,180
Turkey....................... 381,004 52,160,117 -- 52,541,121
Preferred Stocks
Brazil....................... 115,756,753 -- -- 115,756,753
Chile........................ -- 1,222,655 -- 1,222,655
Colombia..................... 4,687,762 -- -- 4,687,762
Rights/Warrants
Chile........................ -- 18,544 -- 18,544
Taiwan....................... -- 38,776 -- 38,776
Thailand..................... -- 7,212 -- 7,212
Securities Lending Collateral... -- 135,211,841 -- 135,211,841
Futures Contracts**............. (2,705,618) -- -- (2,705,618)
-------------- -------------- -- --------------
TOTAL........................... $1,388,929,106 $4,136,719,595 -- $5,525,648,701
============== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
136
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2018
SHARES VALUE+
--------- ------------
COMMON STOCKS -- (98.1%)
COMMUNICATION SERVICES -- (11.9%)
Activision Blizzard, Inc............................... 849,537 $ 58,660,530
AT&T, Inc.............................................. 7,323,762 224,693,018
ATN International, Inc................................. 84 7,097
* Ballantyne Strong, Inc................................. 9,030 36,481
Beasley Broadcast Group, Inc., Class A................. 9,471 63,172
# * Cars.com, Inc.......................................... 41,779 1,090,850
CBS Corp., Class A..................................... 14,832 854,027
CenturyLink, Inc....................................... 70,603 1,457,246
* Charter Communications, Inc., Class A.................. 339,394 108,731,656
# Cinemark Holdings, Inc................................. 25,895 1,076,455
Comcast Corp., Class A................................. 7,135,970 272,165,896
# Consolidated Communications Holdings, Inc.............. 7,500 93,900
* Discovery, Inc., Class B............................... 3,762 132,178
* Discovery, Inc., Class C............................... 3,762 110,264
Entravision Communications Corp., Class A.............. 2,300 11,362
# EW Scripps Co. (The), Class A.......................... 81,265 1,366,877
Frontier Communications Corp........................... 46,463 223,487
# Gannett Co., Inc....................................... 71,219 690,824
* Gray Television, Inc................................... 54,374 941,214
* Hemisphere Media Group, Inc............................ 1,977 26,630
* IAC/InterActiveCorp.................................... 99,525 19,565,620
* IMAX Corp.............................................. 1,100 21,296
* Iridium Communications, Inc............................ 14,800 293,188
John Wiley & Sons, Inc., Class A....................... 27,900 1,513,296
* Liberty Broadband Corp................................. 1,905 160,020
# * Liberty Broadband Corp., Class A....................... 24,095 1,994,825
* Liberty Broadband Corp., Class C....................... 67,601 5,606,151
# * Liberty Media Corp.-Liberty Braves, Class A............ 7,613 196,415
* Liberty Media Corp.-Liberty Braves, Class B............ 762 19,679
# * Liberty Media Corp.-Liberty Braves, Class C............ 16,901 437,736
# * Liberty Media Corp.-Liberty Formula One, Class A....... 17,043 540,093
# * Liberty Media Corp.-Liberty Formula One, Class C....... 44,409 1,469,050
* Liberty Media Corp.-Liberty SiriusXM, Class A.......... 96,383 3,974,835
* Liberty Media Corp.-Liberty SiriusXM, Class B.......... 7,622 324,125
* Liberty Media Corp.-Liberty SiriusXM, Class C.......... 208,010 8,584,573
* Liberty TripAdvisor Holdings, Inc., Class A............ 76,802 1,107,485
* Liberty TripAdvisor Holdings, Inc., Class B............ 3,570 54,550
# Lions Gate Entertainment Corp., Class A................ 9,332 178,801
# Lions Gate Entertainment Corp., Class B................ 1 18
* Madison Square Garden Co. (The), Class A............... 13,052 3,610,444
Marcus Corp. (The)..................................... 18,899 737,439
# Meredith Corp.......................................... 41,376 2,133,346
# * MSG Networks, Inc., Class A............................ 29,558 755,207
News Corp., Class A.................................... 402,247 5,305,638
News Corp., Class B.................................... 99,903 1,332,706
# Nexstar Media Group, Inc., Class A..................... 51,781 3,877,879
# * ORBCOMM, Inc........................................... 44,499 424,075
Saga Communications, Inc., Class A..................... 8,693 304,603
Salem Media Group, Inc................................. 10,922 32,220
Scholastic Corp........................................ 31,200 1,353,456
Sinclair Broadcast Group, Inc., Class A................ 13,110 375,470
Spok Holdings, Inc..................................... 12,522 175,558
# * Sprint Corp............................................ 422,600 2,586,312
TEGNA, Inc............................................. 184,139 2,124,964
216
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
------- ------------
COMMUNICATION SERVICES -- (Continued)
Telephone & Data Systems, Inc.......................... 74,931 $ 2,310,123
* T-Mobile US, Inc....................................... 113,786 7,800,030
* Tribune Publishing Co.................................. 900 13,581
Twenty-First Century Fox, Inc., Class A................ 987,646 44,957,646
Twenty-First Century Fox, Inc., Class B................ 429,924 19,423,966
* United States Cellular Corp............................ 7,591 362,622
# * Vonage Holdings Corp................................... 85,934 1,139,485
Walt Disney Co. (The).................................. 26,220 3,010,843
* XO Group, Inc.......................................... 6,284 217,489
# * Yelp, Inc.............................................. 59,107 2,530,962
* Zillow Group, Inc., Class A............................ 3,900 157,443
* Zillow Group, Inc., Class C............................ 10,400 418,704
* Zynga, Inc., Class A................................... 635,000 2,311,400
------- ------------
TOTAL COMMUNICATION SERVICES................................ 828,258,531
------------
CONSUMER DISCRETIONARY -- (5.3%)
* 1-800-Flowers.com, Inc., Class A....................... 44,330 463,248
Aaron's, Inc........................................... 60,930 2,871,631
# Acushnet Holdings Corp................................. 2,067 50,497
# Adient P.L.C........................................... 22,979 699,021
* Adtalem Global Education, Inc.......................... 56,470 2,859,076
# * American Axle & Manufacturing Holdings, Inc............ 70,013 1,062,097
American Eagle Outfitters, Inc......................... 118,505 2,732,725
* American Outdoor Brands Corp........................... 12,607 172,464
# * Ascena Retail Group, Inc............................... 135,576 521,968
# * Ascent Capital Group, Inc., Class A.................... 8,350 8,016
# Autoliv, Inc........................................... 9,404 783,729
# * AutoNation, Inc........................................ 57,795 2,339,542
* Barnes & Noble Education, Inc.......................... 7,710 44,024
# Barnes & Noble, Inc.................................... 55,600 351,948
Bassett Furniture Industries, Inc...................... 2,900 57,275
* Beazer Homes USA, Inc.................................. 4,326 38,112
# Bed Bath & Beyond, Inc................................. 25,907 355,962
* Belmond, Ltd., Class A................................. 90,698 1,552,750
Best Buy Co., Inc...................................... 17,763 1,246,252
# Big 5 Sporting Goods Corp.............................. 16,901 59,323
* Biglari Holdings, Inc., Class B........................ 8 1,140
# BJ's Restaurants, Inc.................................. 16,658 1,019,136
BorgWarner, Inc........................................ 119,734 4,718,717
* Bridgepoint Education, Inc............................. 1,999 19,190
* Build-A-Bear Workshop, Inc............................. 25,874 221,481
# Caleres, Inc........................................... 74,697 2,554,637
# Callaway Golf Co....................................... 74,643 1,597,360
* Cambium Learning Group, Inc............................ 37,733 542,601
Canterbury Park Holding Corp........................... 2,755 41,325
Carnival Corp.......................................... 489,649 27,439,930
# Carriage Services, Inc................................. 20,916 398,659
* Carrols Restaurant Group, Inc.......................... 700 9,212
* Cavco Industries, Inc.................................. 7,600 1,524,636
* Century Communities, Inc............................... 1,809 38,387
Churchill Downs, Inc................................... 7,682 1,917,504
* Chuy's Holdings, Inc................................... 4,500 109,665
Citi Trends, Inc....................................... 3,415 86,502
Columbia Sportswear Co................................. 8,634 779,478
# * Conn's, Inc............................................ 25,450 707,001
# Cooper Tire & Rubber Co................................ 12,345 381,337
217
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- -----------
CONSUMER DISCRETIONARY -- (Continued)
* Cooper-Standard Holdings, Inc.......................... 18,702 $ 1,732,740
Core-Mark Holding Co., Inc............................. 96,236 3,696,425
CSS Industries, Inc.................................... 10,465 137,510
Culp, Inc.............................................. 10,036 232,333
* Deckers Outdoor Corp................................... 22,626 2,877,348
* Delta Apparel, Inc..................................... 7,532 143,635
# Dick's Sporting Goods, Inc............................. 29,300 1,036,341
# Dillard's, Inc., Class A............................... 120,300 8,471,526
* Dixie Group, Inc. (The)................................ 9,100 11,375
# * Dorman Products, Inc................................... 9,311 735,662
DR Horton, Inc......................................... 208,125 7,484,175
DSW, Inc., Class A..................................... 53,900 1,431,045
# Educational Development Corp........................... 3,358 41,135
# * Eldorado Resorts, Inc.................................. 18,512 675,688
Escalade, Inc.......................................... 277 3,241
Extended Stay America, Inc............................. 40,828 664,680
Flanigan's Enterprises, Inc............................ 865 23,788
Flexsteel Industries, Inc.............................. 2,068 52,569
Foot Locker, Inc....................................... 69,329 3,268,169
Ford Motor Co.......................................... 2,868,969 27,398,654
# * Fred's, Inc., Class A.................................. 32,745 89,721
# GameStop Corp., Class A................................ 104,752 1,529,379
Gaming Partners International Corp..................... 500 4,345
# * GCI Liberty, Inc., Class A............................. 123,145 5,828,453
* GCI Liberty, Inc., Class B............................. 1,686 82,024
General Motors Co...................................... 1,095,598 40,087,931
# * Genesco, Inc........................................... 6,456 276,252
Gentex Corp............................................ 125,550 2,642,827
# * Gentherm, Inc.......................................... 37,081 1,618,215
* G-III Apparel Group, Ltd............................... 31,225 1,244,628
Goodyear Tire & Rubber Co. (The)....................... 128,534 2,706,926
Graham Holdings Co., Class B........................... 5,780 3,358,469
* Green Brick Partners, Inc.............................. 2,594 24,384
# Group 1 Automotive, Inc................................ 57,936 3,345,225
# Guess?, Inc............................................ 59,800 1,270,152
Hamilton Beach Brands Holding Co., Class A............. 11,699 271,651
# Harley-Davidson, Inc................................... 85,193 3,256,076
# Haverty Furniture Cos., Inc............................ 33,479 678,954
* Helen of Troy, Ltd..................................... 61,653 7,652,370
Hooker Furniture Corp.................................. 14,814 433,606
Hyatt Hotels Corp., Class A............................ 14,601 1,010,389
# International Game Technology P.L.C.................... 7,100 131,705
International Speedway Corp., Class A.................. 24,844 931,898
* J Alexander's Holdings, Inc............................ 2,666 28,126
# * JC Penney Co., Inc..................................... 85,215 125,266
Johnson Outdoors, Inc., Class A........................ 15,588 1,173,932
KB Home................................................ 30,800 615,076
Kohl's Corp............................................ 14,353 1,086,953
# * Lakeland Industries, Inc............................... 9,887 129,915
# * Lands' End, Inc........................................ 13,703 223,496
La-Z-Boy, Inc.......................................... 56,332 1,566,030
Lennar Corp., Class A.................................. 224,100 9,631,818
# Lennar Corp., Class B.................................. 12,506 447,340
* Liberty Expedia Holdings, Inc., Class A................ 80,904 3,512,852
* Liberty Expedia Holdings, Inc., Class B................ 3,457 153,076
Lifetime Brands, Inc................................... 16,431 170,061
# Lithia Motors, Inc., Class A........................... 34,933 3,111,832
218
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
------- -----------
CONSUMER DISCRETIONARY -- (Continued)
* M/I Homes, Inc......................................... 37,930 $ 916,768
# * MarineMax, Inc......................................... 29,164 663,773
Marriott Vacations Worldwide Corp...................... 20,479 1,812,187
* Meritage Homes Corp.................................... 28,156 1,048,811
MGM Resorts International.............................. 227,871 6,079,598
* Modine Manufacturing Co................................ 14,650 190,596
* Mohawk Industries, Inc................................. 98,740 12,315,840
* Monarch Casino & Resort, Inc........................... 1,103 42,763
# Monro, Inc............................................. 3,100 230,640
# * Motorcar Parts of America, Inc......................... 15,438 326,977
Movado Group, Inc...................................... 21,998 847,143
* Murphy USA, Inc........................................ 31,378 2,530,008
* Nautilus, Inc.......................................... 3,900 47,697
# * New York & Co., Inc.................................... 8,600 34,056
# Newell Brands, Inc..................................... 209,562 3,327,845
Office Depot, Inc...................................... 204,426 523,331
# * Overstock.com, Inc..................................... 19,344 389,201
Oxford Industries, Inc................................. 11,400 1,014,372
# Penske Automotive Group, Inc........................... 43,845 1,945,841
PulteGroup, Inc........................................ 189,287 4,650,782
PVH Corp............................................... 31,964 3,860,932
* Qurate Retail Group, Inc. QVC Group, Class B........... 35,706 795,887
* Qurate Retail, Inc..................................... 815,470 17,891,412
RCI Hospitality Holdings, Inc.......................... 12,026 314,841
# * Red Robin Gourmet Burgers, Inc......................... 31,175 941,485
# * Regis Corp............................................. 41,660 701,554
Rocky Brands, Inc...................................... 8,729 250,697
Royal Caribbean Cruises, Ltd........................... 322,500 33,775,425
* Shiloh Industries, Inc................................. 15,461 140,540
# Shoe Carnival, Inc..................................... 32,650 1,329,834
# Signet Jewelers, Ltd................................... 37,700 2,113,085
* Skechers U.S.A., Inc., Class A......................... 28,434 812,359
# Sonic Automotive, Inc., Class A........................ 17,000 308,040
Speedway Motorsports, Inc.............................. 14,935 231,941
Standard Motor Products, Inc........................... 37,342 2,020,576
* Stoneridge, Inc........................................ 19,361 491,963
# Strattec Security Corp................................. 5,224 176,049
Superior Group of Cos, Inc............................. 17,956 312,255
# Superior Industries International, Inc................. 23,275 228,793
* Tandy Leather Factory, Inc............................. 9,974 71,813
Target Corp............................................ 277,933 23,243,537
* Taylor Morrison Home Corp., Class A.................... 28,743 475,409
Tenneco, Inc., Class A................................. 1,425 49,063
# Thor Industries, Inc................................... 14,834 1,033,040
# Tile Shop Holdings, Inc................................ 6,700 43,550
Toll Brothers, Inc..................................... 179,799 6,052,034
* TopBuild Corp.......................................... 16,800 766,416
Tower International, Inc............................... 6,000 178,140
# * Tuesday Morning Corp................................... 60,500 184,525
* Unifi, Inc............................................. 41,401 947,669
# * Universal Electronics, Inc............................. 3,506 109,633
* Urban Outfitters, Inc.................................. 18,700 737,902
# * Veoneer, Inc........................................... 13,904 466,896
* Vista Outdoor, Inc..................................... 62,066 775,825
# Whirlpool Corp......................................... 38,127 4,184,820
# * William Lyon Homes, Class A............................ 23,600 320,016
Winnebago Industries, Inc.............................. 400 11,024
219
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- ------------
CONSUMER DISCRETIONARY -- (Continued)
Wolverine World Wide, Inc.............................. 20,700 $ 728,019
Wyndham Hotels & Resorts, Inc.......................... 10,000 492,900
* ZAGG, Inc.............................................. 7,800 94,458
--------- ------------
TOTAL CONSUMER DISCRETIONARY................................ 369,549,536
------------
CONSUMER STAPLES -- (5.8%)
# Alico, Inc............................................. 960 31,776
Andersons, Inc. (The).................................. 23,960 862,560
Archer-Daniels-Midland Co.............................. 813,476 38,436,741
Bunge, Ltd............................................. 116,968 7,228,622
# Casey's General Stores, Inc............................ 14,000 1,765,540
* CCA Industries, Inc.................................... 8,323 23,221
# * Central Garden & Pet Co................................ 25,184 817,976
* Central Garden & Pet Co., Class A...................... 48,121 1,426,788
# Constellation Brands, Inc., Class B.................... 12,615 2,494,112
* Craft Brew Alliance, Inc............................... 9,754 178,888
* Darling Ingredients, Inc............................... 173,938 3,593,559
# Flowers Foods, Inc..................................... 64,000 1,235,840
Fresh Del Monte Produce, Inc........................... 39,437 1,302,604
# * Hain Celestial Group, Inc. (The)....................... 87,292 2,171,825
* Hostess Brands, Inc.................................... 4,500 46,800
Ingles Markets, Inc., Class A.......................... 11,437 376,735
Ingredion, Inc......................................... 62,117 6,284,998
# JM Smucker Co. (The)................................... 108,204 11,720,657
John B. Sanfilippo & Son, Inc.......................... 10,428 657,590
Kraft Heinz Co. (The).................................. 180,916 9,944,952
* Landec Corp............................................ 37,056 507,297
Molson Coors Brewing Co., Class A...................... 1,908 118,258
Molson Coors Brewing Co., Class B...................... 186,550 11,939,200
Mondelez International, Inc., Class A.................. 2,081,099 87,364,536
* Nature's Sunshine Products, Inc........................ 1,029 9,107
Oil-Dri Corp. of America............................... 5,047 156,104
* Pilgrim's Pride Corp................................... 7,300 128,918
# * Post Holdings, Inc..................................... 66,772 5,903,980
PriceSmart, Inc........................................ 200 14,030
# * Pyxus International, Inc............................... 3,508 83,280
# Sanderson Farms, Inc................................... 17,700 1,741,503
Seaboard Corp.......................................... 1,812 7,003,380
* Seneca Foods Corp., Class A............................ 6,301 199,301
* Seneca Foods Corp., Class B............................ 300 9,525
SpartanNash Co......................................... 32,983 588,747
Tyson Foods, Inc., Class A............................. 405,030 24,269,398
* United Natural Foods, Inc.............................. 44,400 964,812
Universal Corp......................................... 22,290 1,512,599
* US Foods Holding Corp.................................. 87,771 2,560,280
Walgreens Boots Alliance, Inc.......................... 659,669 52,621,796
Walmart, Inc........................................... 1,173,687 117,697,332
# Weis Markets, Inc...................................... 11,602 535,432
--------- ------------
TOTAL CONSUMER STAPLES...................................... 406,530,599
------------
ENERGY -- (12.9%)
Adams Resources & Energy, Inc.......................... 6,004 243,462
Anadarko Petroleum Corp................................ 258,932 13,775,182
# * Antero Resources Corp.................................. 39,182 622,602
# Apache Corp............................................ 15,708 594,234
* Apergy Corp............................................ 1,042 40,628
220
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- ------------
ENERGY -- (Continued)
# Arch Coal, Inc., Class A............................... 6,258 $ 600,142
Archrock, Inc.......................................... 69,200 709,992
# Baker Hughes a GE Co................................... 4,305 114,900
# * Bristow Group, Inc..................................... 32,315 355,788
# * Callon Petroleum Co.................................... 107,911 1,075,873
# * Centennial Resource Development, Inc., Class A......... 1,600 30,656
Chevron Corp........................................... 1,103,373 123,191,595
# Cimarex Energy Co...................................... 33,636 2,673,053
* Cloud Peak Energy, Inc................................. 37,515 64,151
* CNX Resources Corp..................................... 153,941 2,409,177
* Concho Resources, Inc.................................. 40,987 5,700,882
ConocoPhillips......................................... 1,489,306 104,102,489
* Dawson Geophysical Co.................................. 21,211 118,994
# Delek US Holdings, Inc................................. 89,231 3,276,562
# * Denbury Resources, Inc................................. 185,600 640,320
Devon Energy Corp...................................... 60,406 1,957,154
* Dorian LPG, Ltd........................................ 3,567 28,358
# Ensco P.L.C., Class A.................................. 267,169 1,907,587
EOG Resources, Inc..................................... 8,874 934,787
* Era Group, Inc......................................... 24,458 276,865
* Exterran Corp.......................................... 35,500 741,595
Exxon Mobil Corp....................................... 2,833,988 225,812,164
# Green Plains, Inc...................................... 42,334 721,371
Gulf Island Fabrication, Inc........................... 13,009 110,577
* Gulfport Energy Corp................................... 44,661 406,862
Hallador Energy Co..................................... 14,700 96,432
* Helix Energy Solutions Group, Inc...................... 103,010 877,645
Helmerich & Payne, Inc................................. 95,808 5,967,880
Hess Corp.............................................. 165,152 9,479,725
HollyFrontier Corp..................................... 32,210 2,172,242
# * Hornbeck Offshore Services, Inc........................ 6,900 21,735
# * International Seaways, Inc............................. 12 258
Kinder Morgan, Inc..................................... 1,124,143 19,132,914
# * Kosmos Energy, Ltd..................................... 26,900 174,581
# * Laredo Petroleum, Inc.................................. 36,900 193,356
Marathon Oil Corp...................................... 467,019 8,868,691
Marathon Petroleum Corp................................ 1,205,778 84,947,060
# * Matador Resources Co................................... 29,900 862,316
* Matrix Service Co...................................... 17,023 346,078
# * McDermott International, Inc........................... 12,000 92,760
# Murphy Oil Corp........................................ 139,491 4,444,183
# Nabors Industries, Ltd................................. 391,611 1,946,307
NACCO Industries, Inc., Class A........................ 6,832 235,977
National Oilwell Varco, Inc............................ 213,118 7,842,742
* Natural Gas Services Group, Inc........................ 15,026 290,002
* Newfield Exploration Co................................ 60,483 1,221,757
* Newpark Resources, Inc................................. 87,515 718,498
Noble Energy, Inc...................................... 133,794 3,324,781
# * Oasis Petroleum, Inc................................... 194,070 1,952,344
Occidental Petroleum Corp.............................. 484,588 32,501,317
* Oceaneering International, Inc......................... 55,426 1,049,768
# * Parker Drilling Co..................................... 5,589 13,973
* Parsley Energy, Inc., Class A.......................... 50,257 1,177,019
Patterson-UTI Energy, Inc.............................. 161,225 2,682,784
PBF Energy, Inc., Class A.............................. 126,000 5,273,100
* PDC Energy, Inc........................................ 48,958 2,078,267
Peabody Energy Corp.................................... 90,100 3,194,045
221
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- ------------
ENERGY -- (Continued)
* PHI, Inc. Non-Voting................................... 13,870 $ 108,047
Phillips 66............................................ 775,455 79,732,283
* Pioneer Energy Services Corp........................... 74,262 220,558
Pioneer Natural Resources Co........................... 88,400 13,018,668
* QEP Resources, Inc..................................... 96,641 861,071
# Range Resources Corp................................... 161,740 2,563,579
# * REX American Resources Corp............................ 4,050 300,388
* Rowan Cos. P.L.C., Class A............................. 118,378 1,883,394
Schlumberger, Ltd...................................... 577,687 29,641,120
* SEACOR Holdings, Inc................................... 18,204 873,610
# * SEACOR Marine Holdings, Inc............................ 12,678 231,754
# SemGroup Corp., Class A................................ 41,342 764,414
# Ship Finance International, Ltd........................ 12,481 156,013
SM Energy Co........................................... 56,538 1,376,135
* Southwestern Energy Co................................. 6,045 32,280
# * SRC Energy, Inc........................................ 246,067 1,742,154
* Superior Energy Services, Inc.......................... 4,232 33,137
* TETRA Technologies, Inc................................ 25,600 76,032
# * Transocean, Ltd........................................ 174,223 1,918,195
# * Unit Corp.............................................. 52,140 1,205,998
# US Silica Holdings, Inc................................ 40,824 571,536
Valero Energy Corp..................................... 605,899 55,191,340
* Whiting Petroleum Corp................................. 45,107 1,682,491
# * WildHorse Resource Development Corp.................... 6,700 142,107
Williams Cos., Inc. (The).............................. 216,857 5,276,131
World Fuel Services Corp............................... 5,865 187,680
* WPX Energy, Inc........................................ 254,581 4,083,479
--------- ------------
TOTAL ENERGY................................................ 900,292,133
------------
FINANCIALS -- (21.7%)
# 1st Constitution Bancorp............................... 995 20,119
1st Source Corp........................................ 45,305 2,110,760
Aflac, Inc............................................. 428,750 18,466,262
Alleghany Corp......................................... 3,115 1,871,118
Allstate Corp. (The)................................... 169,260 16,201,567
American Equity Investment Life Holding Co............. 98,900 3,087,658
American Financial Group, Inc.......................... 168,865 16,891,566
American International Group, Inc...................... 566,133 23,375,632
American National Insurance Co......................... 23,302 2,871,738
AmeriServ Financial, Inc............................... 30,968 131,304
* Arch Capital Group, Ltd................................ 9,282 263,330
Argo Group International Holdings, Ltd................. 59,381 3,658,463
Aspen Insurance Holdings, Ltd.......................... 102,623 4,297,851
Associated Banc-Corp................................... 120,642 2,796,482
Assurant, Inc.......................................... 65,820 6,398,362
Assured Guaranty, Ltd.................................. 122,989 4,917,100
Asta Funding, Inc...................................... 885 3,381
* Athene Holding, Ltd., Class A.......................... 4,636 211,958
* Atlanticus Holdings Corp............................... 12,567 41,471
Axis Capital Holdings, Ltd............................. 49,610 2,767,742
# Banc of California, Inc................................ 2,500 39,875
* Bancorp, Inc. (The).................................... 459 4,820
# BancorpSouth Bank...................................... 600 17,220
Bank of America Corp................................... 5,929,137 163,051,267
Bank of New York Mellon Corp. (The).................... 702,823 33,264,613
Bank OZK............................................... 10,067 275,433
222
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- ------------
FINANCIALS -- (Continued)
BankFinancial Corp..................................... 18,849 $ 266,148
BankUnited, Inc........................................ 18,295 605,564
Banner Corp............................................ 1,628 94,131
Bar Harbor Bankshares.................................. 2,733 69,883
BB&T Corp.............................................. 249,646 12,272,597
BCB Bancorp, Inc....................................... 1,059 13,174
Berkshire Hills Bancorp, Inc........................... 30,747 1,026,027
* Blucora, Inc........................................... 57,127 1,652,113
Blue Hills Bancorp, Inc................................ 1,469 34,095
* Brighthouse Financial, Inc............................. 63,254 2,506,756
* Cannae Holdings, Inc................................... 15,438 285,140
Capital City Bank Group, Inc........................... 14,283 338,507
Capital One Financial Corp............................. 372,872 33,297,470
Capitol Federal Financial, Inc......................... 9,250 114,793
Carolina Financial Corp................................ 1,153 38,153
Cathay General Bancorp................................. 17,730 667,889
Century Bancorp, Inc., Class A......................... 495 37,184
Chemical Financial Corp................................ 41,900 1,963,434
Chubb, Ltd............................................. 159,855 19,967,488
# Cincinnati Financial Corp.............................. 12,284 966,014
CIT Group, Inc......................................... 73,545 3,484,562
Citigroup, Inc......................................... 1,870,326 122,431,540
# Citizens Community Bancorp, Inc........................ 10,355 132,026
CME Group, Inc......................................... 77,028 14,114,611
CNA Financial Corp..................................... 199,398 8,647,891
CNO Financial Group, Inc............................... 301,264 5,693,890
Codorus Valley Bancorp, Inc............................ 158 4,162
Columbia Banking System, Inc........................... 22,000 815,980
# Community Financial Corp. (The)........................ 408 12,301
Community West Bancshares.............................. 400 4,416
ConnectOne Bancorp, Inc................................ 1,200 24,876
* Consumer Portfolio Services, Inc....................... 26,500 103,615
# * Cowen, Inc............................................. 3,989 59,037
* Customers Bancorp, Inc................................. 2,290 46,922
Donegal Group, Inc., Class A........................... 12,386 166,344
* E*TRADE Financial Corp................................. 86,881 4,293,659
EMC Insurance Group, Inc............................... 23,450 562,096
* Enstar Group, Ltd...................................... 1,400 254,240
Enterprise Financial Services Corp..................... 436 18,944
ESSA Bancorp, Inc...................................... 8,217 132,705
Evans Bancorp, Inc..................................... 1,681 73,964
Everest Re Group, Ltd.................................. 34,913 7,606,146
FBL Financial Group, Inc., Class A..................... 24,660 1,701,047
Federal Agricultural Mortgage Corp., Class A........... 177 11,291
Federal Agricultural Mortgage Corp., Class C........... 9,500 663,480
FedNat Holding Co...................................... 13,665 294,207
Fidelity Southern Corp................................. 7,213 167,486
Fifth Third Bancorp.................................... 173,516 4,683,197
Financial Institutions, Inc............................ 296 8,451
First American Financial Corp.......................... 61,982 2,747,662
First Bancorp.......................................... 16,138 595,331
* First BanCorp.......................................... 9,225 85,147
First Business Financial Services, Inc................. 964 20,177
First Citizens BancShares, Inc., Class A............... 8,627 3,680,537
First Commonwealth Financial Corp...................... 30,547 412,384
First Community Bankshares, Inc........................ 183 6,319
First Defiance Financial Corp.......................... 21,760 592,307
223
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- ------------
FINANCIALS -- (Continued)
First Financial Bancorp................................ 107,737 $ 2,819,477
First Financial Northwest, Inc......................... 25,371 383,356
First Hawaiian, Inc.................................... 1,200 29,736
# First Horizon National Corp............................ 118,936 1,919,627
First Interstate BancSystem, Inc., Class A............. 2,348 97,348
First Merchants Corp................................... 36,312 1,510,942
First Midwest Bancorp, Inc............................. 58,937 1,353,194
First United Corp...................................... 1,266 22,788
* Flagstar Bancorp, Inc.................................. 7,100 218,609
# FNB Corp............................................... 154,117 1,823,204
Fulton Financial Corp.................................. 29,400 470,694
* Genworth Financial, Inc., Class A...................... 34,964 149,646
Global Indemnity, Ltd.................................. 8,282 296,496
Goldman Sachs Group, Inc. (The)........................ 209,155 47,137,262
Great Southern Bancorp, Inc............................ 1,616 87,506
Great Western Bancorp, Inc............................. 8,161 299,101
Guaranty Federal Bancshares, Inc....................... 1,684 40,618
* Hallmark Financial Services, Inc....................... 16,734 186,417
Hancock Whitney Corp................................... 52,689 2,210,830
Hanmi Financial Corp................................... 3,221 67,577
Hanover Insurance Group, Inc. (The).................... 88,829 9,893,774
Hartford Financial Services Group, Inc. (The).......... 245,844 11,166,234
Heartland Financial USA, Inc........................... 465 24,710
Hilltop Holdings, Inc.................................. 26,171 520,803
* HMN Financial, Inc..................................... 3,456 70,813
Home Bancorp, Inc...................................... 719 28,573
* HomeStreet, Inc........................................ 2,200 57,156
Hope Bancorp, Inc...................................... 16,628 240,773
HopFed Bancorp, Inc.................................... 6,781 104,088
Horace Mann Educators Corp............................. 58,206 2,286,332
Huntington Bancshares, Inc............................. 70,847 1,015,238
IBERIABANK Corp........................................ 36,497 2,718,662
# Independent Bank Group, Inc............................ 1,256 72,735
International Bancshares Corp.......................... 5,000 193,500
Invesco, Ltd........................................... 17,600 382,096
Investment Technology Group, Inc....................... 23,677 650,644
Investors Bancorp, Inc................................. 45,405 507,628
Investors Title Co..................................... 1,069 194,558
# Janus Henderson Group P.L.C............................ 135,421 3,327,294
Jefferies Financial Group, Inc......................... 16,565 355,651
JPMorgan Chase & Co.................................... 2,748,095 299,597,317
Kemper Corp............................................ 59,119 4,445,158
KeyCorp................................................ 526,210 9,555,974
Lakeland Bancorp, Inc.................................. 10,040 165,359
Landmark Bancorp, Inc.................................. 2,390 65,128
Legg Mason, Inc........................................ 43,400 1,224,748
Lincoln National Corp.................................. 134,595 8,101,273
Loews Corp............................................. 243,798 11,351,235
M&T Bank Corp.......................................... 4,241 701,504
Macatawa Bank Corp..................................... 291 3,157
Mackinac Financial Corp................................ 6,893 107,531
* Malvern Bancorp, Inc................................... 867 17,609
Marlin Business Services Corp.......................... 13,787 366,458
MB Financial, Inc...................................... 19,678 873,506
# * MBIA, Inc.............................................. 82,267 814,443
MBT Financial Corp..................................... 9,396 107,208
Mercantile Bank Corp................................... 4,422 140,443
224
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- -----------
FINANCIALS -- (Continued)
Meridian Bancorp, Inc.................................. 1,000 $ 15,840
MetLife, Inc........................................... 949,912 39,126,875
* MGIC Investment Corp................................... 98,745 1,205,676
MidWestOne Financial Group, Inc........................ 346 9,968
Morgan Stanley......................................... 1,102,617 50,345,492
# MutualFirst Financial, Inc............................. 2,300 81,673
National Western Life Group, Inc., Class A............. 900 242,352
Navigators Group, Inc. (The)........................... 9,617 665,016
Nelnet, Inc., Class A.................................. 16,900 951,301
# New York Community Bancorp, Inc........................ 107,280 1,027,742
>> NewStar Financial, Inc................................. 41,166 10,685
Northfield Bancorp, Inc................................ 800 10,536
Northrim BanCorp, Inc.................................. 5,734 218,064
OceanFirst Financial Corp.............................. 5,000 126,600
OFG Bancorp............................................ 33,091 565,525
# Old National Bancorp................................... 158,120 2,822,442
Old Republic International Corp........................ 174,823 3,854,847
* OneMain Holdings, Inc.................................. 24,900 710,148
Oppenheimer Holdings, Inc., Class A.................... 3,097 95,264
# PacWest Bancorp........................................ 48,904 1,986,480
# Peoples Bancorp of North Carolina, Inc................. 275 7,656
Peoples Bancorp, Inc................................... 15,923 545,044
People's United Financial, Inc......................... 213,207 3,338,822
# Pinnacle Financial Partners, Inc....................... 11,777 615,937
Piper Jaffray Cos...................................... 312 21,647
PNC Financial Services Group, Inc. (The)............... 217,040 27,887,470
Popular, Inc........................................... 70,636 3,673,778
Premier Financial Bancorp, Inc......................... 6,096 108,143
Principal Financial Group, Inc......................... 218,754 10,296,751
# Prosperity Bancshares, Inc............................. 10,111 657,518
Protective Insurance Corp., Class A.................... 300 6,423
Protective Insurance Corp., Class B.................... 5,929 136,663
Provident Financial Holdings, Inc...................... 544 9,411
Provident Financial Services, Inc...................... 25,859 630,960
Prudential Bancorp, Inc................................ 600 10,782
Prudential Financial, Inc.............................. 497,625 46,667,272
Radian Group, Inc...................................... 161,945 3,107,725
Regions Financial Corp................................. 1,302,555 22,104,358
Reinsurance Group of America, Inc...................... 153,566 21,863,191
RenaissanceRe Holdings, Ltd............................ 25,867 3,159,913
Renasant Corp.......................................... 42,102 1,468,518
Riverview Bancorp, Inc................................. 1,682 14,247
Safety Insurance Group, Inc............................ 26,197 2,181,686
Salisbury Bancorp, Inc................................. 300 12,030
Sandy Spring Bancorp, Inc.............................. 9,725 345,724
SB Financial Group, Inc................................ 1,128 20,451
* Select Bancorp, Inc.................................... 600 7,392
# Selective Insurance Group, Inc......................... 45,200 2,931,220
SI Financial Group, Inc................................ 5,661 74,952
Signature Bank......................................... 10,270 1,128,673
Simmons First National Corp., Class A.................. 22,648 606,513
South State Corp....................................... 7,672 519,164
Southern National Bancorp of Virginia, Inc............. 193 2,916
# State Auto Financial Corp.............................. 15,100 480,029
# Sterling Bancorp....................................... 132,480 2,381,990
Stewart Information Services Corp...................... 12,271 506,547
Stifel Financial Corp.................................. 47,800 2,185,416
225
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- --------------
FINANCIALS -- (Continued)
SunTrust Banks, Inc.................................... 255,532 $ 16,011,635
Synchrony Financial.................................... 544,549 15,726,575
Synovus Financial Corp................................. 8,639 324,481
Territorial Bancorp, Inc............................... 823 22,419
* Texas Capital Bancshares, Inc.......................... 1,480 96,540
Timberland Bancorp, Inc................................ 2,500 72,550
Tiptree, Inc........................................... 37,071 218,348
Travelers Cos., Inc. (The)............................. 184,026 23,027,173
TriCo Bancshares....................................... 854 30,761
# Trustmark Corp......................................... 31,111 958,219
Umpqua Holdings Corp................................... 111,767 2,145,926
# Union Bankshares Corp.................................. 39,149 1,336,547
# United Bankshares, Inc................................. 20,521 680,682
United Financial Bancorp, Inc.......................... 9,993 154,392
United Fire Group, Inc................................. 24,429 1,315,013
United Security Bancshares............................. 440 4,717
Unity Bancorp, Inc..................................... 3,592 76,043
Univest Corp. of Pennsylvania.......................... 2,256 56,310
Unum Group............................................. 517,445 18,762,556
# Valley National Bancorp................................ 158,654 1,583,367
Voya Financial, Inc.................................... 22,660 991,602
Washington Federal, Inc................................ 97,887 2,756,498
Waterstone Financial, Inc.............................. 1,426 23,301
Wells Fargo & Co....................................... 2,802,209 149,161,585
WesBanco, Inc.......................................... 32,396 1,299,080
Western New England Bancorp, Inc....................... 11,698 117,448
Wintrust Financial Corp................................ 44,824 3,412,899
WR Berkley Corp........................................ 5,305 402,650
# Zions Bancorp NA....................................... 53,325 2,508,941
--------- --------------
TOTAL FINANCIALS............................................ 1,507,248,059
--------------
HEALTHCARE -- (15.6%)
Abbott Laboratories.................................... 915,297 63,100,575
# * Acadia Healthcare Co., Inc............................. 21,831 905,986
Aceto Corp............................................. 31,686 64,956
* Addus HomeCare Corp.................................... 2,044 133,882
Aetna, Inc............................................. 558,462 110,798,861
Allergan P.L.C......................................... 131,701 20,810,075
* Allscripts Healthcare Solutions, Inc................... 203,244 2,420,636
# * Amneal Pharmaceuticals, Inc............................ 4,700 86,715
* AngioDynamics, Inc..................................... 14,354 293,252
# * Anika Therapeutics, Inc................................ 14,671 524,635
Anthem, Inc............................................ 504,640 139,063,645
* Aptevo Therapeutics, Inc............................... 4,339 14,622
* Avanos Medical, Inc.................................... 32,638 1,847,311
Baxter International, Inc.............................. 6,557 409,878
* Bio-Rad Laboratories, Inc., Class A.................... 361 98,499
* Brookdale Senior Living, Inc........................... 141,351 1,262,264
* Cambrex Corp........................................... 2,300 122,567
* Centene Corp........................................... 20,136 2,624,123
Cigna Corp............................................. 136,754 29,239,373
* Concert Pharmaceuticals, Inc........................... 5,383 80,314
CONMED Corp............................................ 43,239 2,915,606
Cooper Cos., Inc. (The)................................ 13,956 3,604,974
* Cross Country Healthcare, Inc.......................... 7,595 67,064
* CryoLife, Inc.......................................... 17,502 542,212
226
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- ------------
HEALTHCARE -- (Continued)
# * Cumberland Pharmaceuticals, Inc........................ 23,319 $ 125,923
* Cutera, Inc............................................ 1,289 26,167
CVS Health Corp........................................ 1,510,745 109,362,831
Danaher Corp........................................... 405,225 40,279,365
DENTSPLY SIRONA, Inc................................... 33,093 1,146,011
Digirad Corp........................................... 26,711 33,255
# * Diplomat Pharmacy, Inc................................. 34,200 678,528
* Emergent BioSolutions, Inc............................. 48,978 2,996,964
* Endo International P.L.C............................... 14,700 249,018
* Enzo Biochem, Inc...................................... 6,287 20,873
* Express Scripts Holding Co............................. 493,239 47,829,386
* FONAR Corp............................................. 960 23,750
* Harvard Bioscience, Inc................................ 16,180 64,073
* HMS Holdings Corp...................................... 6,400 184,448
Humana, Inc............................................ 198,071 63,463,929
* Integer Holdings Corp.................................. 41,672 3,103,314
# * IntriCon Corp.......................................... 2,835 118,730
# Invacare Corp.......................................... 7,330 94,704
Kewaunee Scientific Corp............................... 1,631 46,647
* Laboratory Corp. of America Holdings................... 8,149 1,308,322
# * LHC Group, Inc......................................... 30,318 2,771,975
* LifePoint Health, Inc.................................. 82,208 5,332,011
* LivaNova P.L.C......................................... 33,901 3,796,573
Luminex Corp........................................... 1,400 40,278
* Magellan Health, Inc................................... 17,899 1,164,509
# * Mallinckrodt P.L.C..................................... 81,300 2,037,378
McKesson Corp.......................................... 70,069 8,741,808
* MEDNAX, Inc............................................ 72,102 2,977,092
* Medpace Holdings, Inc.................................. 800 41,680
Medtronic P.L.C........................................ 814,175 73,129,198
* Merit Medical Systems, Inc............................. 13,395 765,122
# * Molina Healthcare, Inc................................. 25,541 3,237,833
* Mylan NV............................................... 28,680 896,250
# * Myriad Genetics, Inc................................... 78,116 3,517,563
National HealthCare Corp............................... 6,484 515,673
* Natus Medical, Inc..................................... 16,198 483,996
* Nuvectra Corp.......................................... 10,668 213,467
* Omnicell, Inc.......................................... 35,405 2,503,133
Owens & Minor, Inc..................................... 2,841 22,444
# PerkinElmer, Inc....................................... 76,500 6,615,720
Pfizer, Inc............................................ 3,696,959 159,191,055
# * Prestige Consumer Healthcare, Inc...................... 111,489 4,031,442
* Providence Service Corp. (The)......................... 11,898 786,339
Quest Diagnostics, Inc................................. 10,366 975,544
* RTI Surgical, Inc...................................... 65,316 299,147
* Select Medical Holdings Corp........................... 122,704 2,034,432
STERIS P.L.C........................................... 200 21,862
* Surmodics, Inc......................................... 5,593 354,764
# * Syneos Health, Inc..................................... 31,908 1,455,962
# * Taro Pharmaceutical Industries, Ltd.................... 2,378 236,635
Teleflex, Inc.......................................... 37,223 8,961,065
Thermo Fisher Scientific, Inc.......................... 435,609 101,780,043
* Triple-S Management Corp., Class B..................... 20,684 354,937
* United Therapeutics Corp............................... 20,858 2,312,318
UnitedHealth Group, Inc................................ 89,716 23,447,277
# * Varex Imaging Corp..................................... 8,098 210,224
* WellCare Health Plans, Inc............................. 18,375 5,071,316
227
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
------- --------------
HEALTHCARE -- (Continued)
Zimmer Biomet Holdings, Inc............................ 10,322 $ 1,172,476
------- --------------
TOTAL HEALTHCARE............................................ 1,083,688,804
--------------
INDUSTRIALS -- (11.4%)
AAR Corp............................................... 32,906 1,565,667
# ABM Industries, Inc.................................... 67,600 2,078,700
# Acme United Corp....................................... 1,030 17,881
# Acuity Brands, Inc..................................... 19,531 2,453,875
# * AECOM.................................................. 67,765 1,974,672
* Aegion Corp............................................ 42,549 823,749
# * Aerovironment, Inc..................................... 35,065 3,154,798
AGCO Corp.............................................. 63,273 3,545,819
Air Lease Corp......................................... 38,284 1,458,620
* Air Transport Services Group, Inc...................... 35,408 693,997
Alamo Group, Inc....................................... 22,751 1,950,216
# Alaska Air Group, Inc.................................. 109,152 6,704,116
Albany International Corp., Class A.................... 20,551 1,438,159
# Allegiant Travel Co.................................... 2,000 228,280
Altra Industrial Motion Corp........................... 3,838 123,852
AMERCO................................................. 29,431 9,608,633
* Ameresco, Inc., Class A................................ 981 16,059
American Railcar Industries, Inc....................... 20,003 1,398,410
* American Woodmark Corp................................. 2,204 133,210
# Apogee Enterprises, Inc................................ 36,374 1,313,101
ArcBest Corp........................................... 12,135 450,451
Arconic, Inc........................................... 256,734 5,219,402
Argan, Inc............................................. 21 924
* Armstrong Flooring, Inc................................ 1,000 15,550
* ASGN, Inc.............................................. 53,951 3,619,033
# Astec Industries, Inc.................................. 22,925 862,209
# * Atlas Air Worldwide Holdings, Inc...................... 31,815 1,642,290
AZZ, Inc............................................... 5,300 235,055
Barnes Group, Inc...................................... 49,500 2,801,700
* BMC Stock Holdings, Inc................................ 3,700 61,938
Brady Corp., Class A................................... 38,500 1,551,165
Briggs & Stratton Corp................................. 41,033 596,209
* Builders FirstSource, Inc.............................. 6,000 74,280
# * CAI International, Inc................................. 17,082 425,513
Carlisle Cos., Inc..................................... 27,591 2,665,015
* Casella Waste Systems, Inc., Class A................... 5,201 169,345
Caterpillar, Inc....................................... 84,002 10,191,123
* CBIZ, Inc.............................................. 39,049 866,107
# CECO Environmental Corp................................ 3,773 28,071
* Chart Industries, Inc.................................. 3,320 225,926
# Chicago Rivet & Machine Co............................. 700 23,411
# CIRCOR International, Inc.............................. 9,719 315,965
* Clean Harbors, Inc..................................... 8,600 585,144
* Colfax Corp............................................ 7,300 204,619
Columbus McKinnon Corp................................. 17,542 644,318
Comfort Systems USA, Inc............................... 44,560 2,383,069
* Commercial Vehicle Group, Inc.......................... 11,800 78,942
CompX International, Inc............................... 500 6,520
Copa Holdings SA, Class A.............................. 8,500 615,655
* Covenant Transportation Group, Inc., Class A........... 7,080 177,212
CRA International, Inc................................. 7,613 320,888
Crane Co............................................... 1,280 111,411
228
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- -----------
INDUSTRIALS -- (Continued)
* CSW Industrials, Inc................................... 300 $ 13,809
CSX Corp............................................... 1,055,544 72,684,760
Cubic Corp............................................. 3,576 234,621
Curtiss-Wright Corp.................................... 46,353 5,073,799
Delta Air Lines, Inc................................... 433,135 23,705,479
Deluxe Corp............................................ 5,003 236,192
DMC Global, Inc........................................ 1,436 55,358
Douglas Dynamics, Inc.................................. 30,234 1,311,853
* Ducommun, Inc.......................................... 12,645 469,888
* DXP Enterprises, Inc................................... 402 12,776
* Dycom Industries, Inc.................................. 5,700 386,916
Eastern Co. (The)...................................... 10,193 288,462
Eaton Corp. P.L.C...................................... 265,270 19,011,901
* Echo Global Logistics, Inc............................. 19,400 498,774
EMCOR Group, Inc....................................... 62,540 4,439,089
Encore Wire Corp....................................... 19,966 882,497
EnerSys................................................ 43,639 3,472,355
* Engility Holdings, Inc................................. 7,988 247,868
Ennis, Inc............................................. 30,835 596,966
EnPro Industries, Inc.................................. 8,338 518,624
ESCO Technologies, Inc................................. 18,001 1,102,021
Espey Manufacturing & Electronics Corp................. 1,671 46,788
Essendant, Inc......................................... 14,123 179,927
* Esterline Technologies Corp............................ 44,968 5,277,444
Federal Signal Corp.................................... 71,923 1,581,587
FedEx Corp............................................. 127,314 28,052,367
# Flowserve Corp......................................... 42,560 1,953,504
Fluor Corp............................................. 55,441 2,431,642
Fortune Brands Home & Security, Inc.................... 123,726 5,546,637
* Franklin Covey Co...................................... 3,046 68,048
Franklin Electric Co., Inc............................. 4,674 198,271
* FreightCar America, Inc................................ 4,692 67,096
* FTI Consulting, Inc.................................... 43,236 2,988,040
# GATX Corp.............................................. 65,445 4,903,794
* Gencor Industries, Inc................................. 13,149 149,636
General Electric Co.................................... 2,120,584 21,417,898
# * Genesee & Wyoming, Inc., Class A....................... 19,008 1,506,004
# * Gibraltar Industries, Inc.............................. 34,603 1,233,251
# * Goldfield Corp. (The).................................. 4,304 15,925
Gorman-Rupp Co. (The).................................. 22,062 761,139
* GP Strategies Corp..................................... 18,583 271,498
# Granite Construction, Inc.............................. 32,417 1,482,105
* Great Lakes Dredge & Dock Corp......................... 69,820 405,654
# Greenbrier Cos., Inc. (The)............................ 22,451 1,065,300
Griffon Corp........................................... 67,323 815,955
# Hawaiian Holdings, Inc................................. 24,322 841,784
# Heartland Express, Inc................................. 4,300 83,721
Heidrick & Struggles International, Inc................ 18,234 629,255
* Herc Holdings, Inc..................................... 1,679 53,829
* Heritage-Crystal Clean, Inc............................ 1,365 31,381
Herman Miller, Inc..................................... 15,600 514,020
# * Hertz Global Holdings, Inc............................. 55,682 765,628
* Hub Group, Inc., Class A............................... 6,511 298,334
Hurco Cos., Inc........................................ 7,910 322,253
* Huron Consulting Group, Inc............................ 4,001 218,014
Hyster-Yale Materials Handling, Inc.................... 12,246 740,271
ICF International, Inc................................. 31,660 2,331,442
229
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
------- -----------
INDUSTRIALS -- (Continued)
Ingersoll-Rand P.L.C................................... 213,109 $20,445,677
* InnerWorkings, Inc..................................... 96,587 694,461
Insteel Industries, Inc................................ 17,578 459,137
ITT, Inc............................................... 40,100 2,025,050
* JetBlue Airways Corp................................... 328,115 5,489,364
Johnson Controls International P.L.C................... 151,178 4,833,161
Kadant, Inc............................................ 12,286 1,212,628
Kaman Corp............................................. 19,988 1,269,638
KAR Auction Services, Inc.............................. 18,100 1,030,614
KBR, Inc............................................... 3,600 71,208
Kennametal, Inc........................................ 5,020 177,959
Kimball International, Inc., Class B................... 33,832 556,875
# * Kirby Corp............................................. 41,400 2,978,316
# Knight-Swift Transportation Holdings, Inc.............. 20,293 649,376
Knoll, Inc............................................. 4,200 83,370
Korn/Ferry International............................... 62,504 2,821,431
# * Kratos Defense & Security Solutions, Inc............... 2,711 33,969
L3 Technologies, Inc................................... 100,470 19,036,051
* Lawson Products, Inc................................... 8,847 292,482
* LB Foster Co., Class A................................. 6,682 121,479
# LSC Communications, Inc................................ 5,700 53,751
LSI Industries, Inc.................................... 27,715 119,729
* Lydall, Inc............................................ 15,105 451,186
Macquarie Infrastructure Corp.......................... 1,300 48,035
ManpowerGroup, Inc..................................... 33,089 2,524,360
Marten Transport, Ltd.................................. 79,636 1,533,789
* Masonite International Corp............................ 10,406 576,388
# * MasTec, Inc............................................ 63,539 2,764,582
Matson, Inc............................................ 62,316 2,186,045
# Matthews International Corp., Class A.................. 22,887 952,557
McGrath RentCorp....................................... 17,552 937,101
* Mercury Systems, Inc................................... 2,055 96,297
* Milacron Holdings Corp................................. 2,800 39,200
Miller Industries, Inc................................. 20,099 485,793
* Mistras Group, Inc..................................... 4,200 83,580
Mobile Mini, Inc....................................... 54,461 2,239,436
Moog, Inc., Class A.................................... 35,539 2,542,815
# * MRC Global, Inc........................................ 104,097 1,647,856
MSC Industrial Direct Co., Inc., Class A............... 1,150 93,219
Mueller Industries, Inc................................ 44,012 1,071,692
Mueller Water Products, Inc., Class A.................. 20,300 208,278
# Multi-Color Corp....................................... 8,908 473,549
* MYR Group, Inc......................................... 19,582 653,843
# National Presto Industries, Inc........................ 571 71,187
Navigant Consulting, Inc............................... 12,297 265,615
Nielsen Holdings P.L.C................................. 91,660 2,381,327
* NL Industries, Inc..................................... 30,289 160,532
# NN, Inc................................................ 18,396 213,394
Norfolk Southern Corp.................................. 545,229 91,505,783
# * Northwest Pipe Co...................................... 5,286 94,144
nVent Electric P.L.C................................... 117,934 2,879,948
Oshkosh Corp........................................... 72,838 4,089,125
Owens Corning.......................................... 149,300 7,057,411
PACCAR, Inc............................................ 93,329 5,339,352
* PAM Transportation Services, Inc....................... 6,449 378,040
Pentair P.L.C.......................................... 117,934 4,735,050
* Perma-Pipe International Holdings, Inc................. 8,900 81,435
230
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
------- -----------
INDUSTRIALS -- (Continued)
Powell Industries, Inc................................. 5,719 $ 166,766
Primoris Services Corp................................. 4,000 84,680
Quad/Graphics, Inc..................................... 6,491 100,156
Quanex Building Products Corp.......................... 30,731 455,433
* Quanta Services, Inc................................... 168,307 5,251,178
* Radiant Logistics, Inc................................. 4,144 22,543
Raytheon Co............................................ 44,355 7,763,899
RCM Technologies, Inc.................................. 15,245 64,486
Regal Beloit Corp...................................... 16,070 1,152,219
Republic Services, Inc................................. 429,755 31,234,593
Resources Connection, Inc.............................. 28,155 459,490
* Rexnord Corp........................................... 60,278 1,616,053
# * Roadrunner Transportation Systems, Inc................. 879 404
Rush Enterprises, Inc., Class A........................ 33,503 1,185,671
Rush Enterprises, Inc., Class B........................ 18,522 667,903
Ryder System, Inc...................................... 89,844 4,969,272
* Saia, Inc.............................................. 29,025 1,824,511
Schneider National, Inc., Class B...................... 7,900 172,773
# * Sensata Technologies Holding P.L.C..................... 48,475 2,273,477
* SIFCO Industries, Inc.................................. 4,627 22,837
Simpson Manufacturing Co., Inc......................... 26,100 1,489,788
SkyWest, Inc........................................... 55,106 3,157,023
Snap-on, Inc........................................... 15,588 2,399,617
Southwest Airlines Co.................................. 531,263 26,085,013
* SP Plus Corp........................................... 3,236 103,423
Spartan Motors, Inc.................................... 16,820 113,199
* Sparton Corp........................................... 8,563 106,010
# * Spirit Airlines, Inc................................... 61,789 3,206,849
* SPX FLOW, Inc.......................................... 20,567 704,008
Standex International Corp............................. 22,341 1,812,302
Stanley Black & Decker, Inc............................ 129,900 15,135,948
Steelcase, Inc., Class A............................... 56,369 935,725
* Stericycle, Inc........................................ 23,934 1,195,982
# * Team, Inc.............................................. 6,674 132,813
# Terex Corp............................................. 81,515 2,721,786
Tetra Tech, Inc........................................ 55,922 3,693,089
Textron, Inc........................................... 1,844 98,894
* Thermon Group Holdings, Inc............................ 4,300 92,794
Timken Co. (The)....................................... 13,027 515,218
Titan International, Inc............................... 16,400 115,784
* Titan Machinery, Inc................................... 2,883 41,083
* TriMas Corp............................................ 6,000 176,700
Trinity Industries, Inc................................ 183,814 5,247,890
Triton International, Ltd.............................. 27,753 892,814
# Triumph Group, Inc..................................... 54,800 1,000,100
# * Tutor Perini Corp...................................... 40,944 634,632
* Twin Disc, Inc......................................... 6,900 131,997
* Ultralife Corp......................................... 3,309 22,402
UniFirst Corp.......................................... 18,705 2,792,656
Union Pacific Corp..................................... 563,195 82,350,373
* United Continental Holdings, Inc....................... 114,796 9,816,206
United Technologies Corp............................... 382,009 47,449,338
* Univar, Inc............................................ 3,900 96,018
Universal Forest Products, Inc......................... 95,400 2,696,958
* USA Truck, Inc......................................... 7,482 147,171
* USG Corp............................................... 52,100 2,199,662
Valmont Industries, Inc................................ 4,700 584,257
231
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- ------------
INDUSTRIALS -- (Continued)
* Vectrus, Inc........................................... 6,869 $ 184,089
* Veritiv Corp........................................... 9,437 314,630
Viad Corp.............................................. 23,193 1,110,713
Virco Manufacturing Corp............................... 12,601 54,562
VSE Corp............................................... 610 19,130
Wabash National Corp................................... 23,800 359,380
Watts Water Technologies, Inc., Class A................ 20,022 1,402,541
# Werner Enterprises, Inc................................ 36,605 1,178,315
* Wesco Aircraft Holdings, Inc........................... 6,228 63,401
* WESCO International, Inc............................... 52,083 2,613,525
* Willis Lease Finance Corp.............................. 6,713 232,404
Woodward, Inc.......................................... 5,175 381,087
* XPO Logistics, Inc..................................... 12,216 1,091,866
--------- ------------
TOTAL INDUSTRIALS........................................... 796,250,903
------------
INFORMATION TECHNOLOGY -- (11.4%)
* ACI Worldwide, Inc..................................... 45,800 1,149,122
* Advanced Energy Industries, Inc........................ 500 21,515
* Agilysys, Inc.......................................... 14,791 240,650
* Alpha & Omega Semiconductor, Ltd....................... 20,661 191,527
Amdocs, Ltd............................................ 26,000 1,645,020
* Amkor Technology, Inc.................................. 1,400 10,010
Analog Devices, Inc.................................... 33,465 2,801,355
* Anixter International, Inc............................. 9,601 630,690
* ARRIS International P.L.C.............................. 123,333 3,067,292
* Arrow Electronics, Inc................................. 175,521 11,884,527
AstroNova, Inc......................................... 6,285 121,426
Avnet, Inc............................................. 139,400 5,585,758
AVX Corp............................................... 72,760 1,213,637
* Aware, Inc............................................. 14,326 54,869
* Axcelis Technologies, Inc.............................. 175 3,021
# * AXT, Inc............................................... 24,921 164,229
Bel Fuse, Inc., Class A................................ 3,574 66,977
Bel Fuse, Inc., Class B................................ 11,381 250,382
# Belden, Inc............................................ 9,300 502,665
Benchmark Electronics, Inc............................. 62,063 1,354,835
Brooks Automation, Inc................................. 50,847 1,577,782
* BSQUARE Corp........................................... 4,065 9,349
* CACI International, Inc., Class A...................... 27,330 4,877,312
* Calix, Inc............................................. 10,904 79,599
* Cardtronics P.L.C., Class A............................ 13,293 361,038
CCUR Holdings, Inc..................................... 11,740 44,964
* Ciena Corp............................................. 132,900 4,154,454
# * Cirrus Logic, Inc...................................... 54,200 2,029,248
Cisco Systems, Inc..................................... 4,715,767 215,746,340
# * Coherent, Inc.......................................... 2,510 309,081
Cohu, Inc.............................................. 33,667 700,274
* CommScope Holding Co., Inc............................. 78,534 1,889,528
Comtech Telecommunications Corp........................ 15,569 434,686
* Conduent, Inc.......................................... 177,926 3,398,387
* CoreLogic, Inc......................................... 96,545 3,921,658
Corning, Inc........................................... 785,955 25,111,262
# * Cray, Inc.............................................. 12,866 291,930
# * Cree, Inc.............................................. 75,400 2,927,028
CSP, Inc............................................... 2,414 30,175
CTS Corp............................................... 66,936 1,786,522
232
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
--------- ------------
INFORMATION TECHNOLOGY -- (Continued)
# * CyberOptics Corp....................................... 3,281 $ 69,360
# Cypress Semiconductor Corp............................. 149,322 1,932,227
* Dell Technologies, Inc., Class V....................... 38,133 3,446,842
* Digi International, Inc................................ 25,438 295,081
* Diodes, Inc............................................ 4,709 142,165
* DSP Group, Inc......................................... 46,713 571,300
DXC Technology Co...................................... 228,936 16,673,409
* EchoStar Corp., Class A................................ 26,151 1,060,423
* Edgewater Technology, Inc.............................. 9,510 44,221
# * Electro Scientific Industries, Inc..................... 8,085 234,465
# * Electronics For Imaging, Inc........................... 58,110 1,769,449
* EMCORE Corp............................................ 744 3,668
Entegris, Inc.......................................... 300 7,962
* ePlus, Inc............................................. 17,490 1,484,551
* Fabrinet............................................... 4,055 175,663
* FARO Technologies, Inc................................. 15,800 798,532
Fidelity National Information Services, Inc............ 198,899 20,705,386
# * Finisar Corp........................................... 66,449 1,109,034
# * First Solar, Inc....................................... 28,266 1,181,519
* Flex, Ltd.............................................. 109,227 858,524
* FormFactor, Inc........................................ 46,295 566,651
* Frequency Electronics, Inc............................. 7,390 82,029
* GSI Technology, Inc.................................... 3,363 19,875
# * Harmonic, Inc.......................................... 13,666 75,300
Hewlett Packard Enterprise Co.......................... 894,616 13,642,894
# * II-VI, Inc............................................. 43,940 1,635,886
* Insight Enterprises, Inc............................... 42,100 2,176,149
Intel Corp............................................. 4,978,195 233,377,782
InterDigital, Inc...................................... 6,000 425,700
# * Itron, Inc............................................. 31,001 1,616,392
Jabil, Inc............................................. 136,547 3,376,807
Juniper Networks, Inc.................................. 212,100 6,208,167
* KEMET Corp............................................. 27,123 590,739
* Key Tronic Corp........................................ 17,623 129,177
* Kimball Electronics, Inc............................... 23,443 431,351
Kulicke & Soffa Industries, Inc........................ 74,988 1,524,506
* KVH Industries, Inc.................................... 13,696 169,146
Lam Research Corp...................................... 11,111 1,574,762
* Lattice Semiconductor Corp............................. 35,397 212,736
* Limelight Networks, Inc................................ 10,944 44,104
Littelfuse, Inc........................................ 1,475 267,211
* LiveRamp Holdings, Inc................................. 7,769 354,888
LogMeIn, Inc........................................... 13,184 1,135,406
ManTech International Corp., Class A................... 2,048 117,309
Marvell Technology Group, Ltd.......................... 166,418 2,730,919
Methode Electronics, Inc............................... 79,272 2,346,451
* Micron Technology, Inc................................. 842,584 31,782,268
* MicroStrategy, Inc., Class A........................... 900 113,373
MKS Instruments, Inc................................... 61,200 4,509,828
* Nanometrics, Inc....................................... 1,000 32,060
* NETGEAR, Inc........................................... 31,028 1,721,433
# * NetScout Systems, Inc.................................. 21,784 550,264
# * Nuance Communications, Inc............................. 200,300 3,483,217
* ON Semiconductor Corp.................................. 295,507 5,023,619
* Optical Cable Corp..................................... 10,474 49,751
* OSI Systems, Inc....................................... 500 34,580
# * PAR Technology Corp.................................... 12,896 228,259
233
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
------- ------------
INFORMATION TECHNOLOGY -- (Continued)
Park Electrochemical Corp.............................. 2,472 $ 43,656
PC Connection, Inc..................................... 35,467 1,175,376
# * PCM, Inc............................................... 10,471 197,588
PC-Tel, Inc............................................ 10,851 47,961
* Perceptron, Inc........................................ 1,300 10,335
* Perficient, Inc........................................ 14,100 352,782
Perspecta, Inc......................................... 114,468 2,803,321
* Photronics, Inc........................................ 79,712 776,395
* Plexus Corp............................................ 25,352 1,480,557
* Qorvo, Inc............................................. 45,345 3,333,311
# QUALCOMM, Inc.......................................... 688,597 43,305,865
* Rambus, Inc............................................ 9,315 81,134
* Ribbon Communications, Inc............................. 6,622 45,030
Richardson Electronics, Ltd............................ 15,464 118,145
# * Rogers Corp............................................ 16,943 2,085,006
* Rudolph Technologies, Inc.............................. 25,497 530,083
* Sanmina Corp........................................... 39,846 1,008,104
* ScanSource, Inc........................................ 20,441 794,746
SS&C Technologies Holdings, Inc........................ 51,586 2,639,140
# * StarTek, Inc........................................... 7,152 40,838
* Sykes Enterprises, Inc................................. 20,292 622,356
# * Synaptics, Inc......................................... 40,726 1,528,854
SYNNEX Corp............................................ 80,826 6,272,906
TE Connectivity, Ltd................................... 197,255 14,876,972
* Tech Data Corp......................................... 81,325 5,746,424
Teradyne, Inc.......................................... 26,789 922,881
TESSCO Technologies, Inc............................... 8,689 105,007
TiVo Corp.............................................. 19,000 209,000
# * TTM Technologies, Inc.................................. 68,141 797,250
# * Veeco Instruments, Inc................................. 15,978 151,951
* Verint Systems, Inc.................................... 33,858 1,546,295
# * ViaSat, Inc............................................ 200 12,752
* Viavi Solutions, Inc................................... 16,203 186,821
* Virtusa Corp........................................... 30,064 1,490,874
# Vishay Intertechnology, Inc............................ 151,731 2,776,677
* Vishay Precision Group, Inc............................ 16,480 534,776
Western Digital Corp................................... 215,907 9,299,114
Xerox Corp............................................. 219,074 6,105,592
Xperi Corp............................................. 54,435 707,655
------- ------------
TOTAL INFORMATION TECHNOLOGY................................ 790,328,424
------------
MATERIALS -- (1.9%)
* AdvanSix, Inc.......................................... 19,500 540,930
* Alcoa Corp............................................. 114,373 4,001,911
# * Allegheny Technologies, Inc............................ 49,321 1,276,921
# * Ampco-Pittsburgh Corp.................................. 4,007 14,866
Ashland Global Holdings, Inc........................... 112,560 8,327,189
Bemis Co., Inc......................................... 41,892 1,917,397
Boise Cascade Co....................................... 43,464 1,338,257
Cabot Corp............................................. 53,869 2,622,343
Carpenter Technology Corp.............................. 43,728 1,906,978
# * Century Aluminum Co.................................... 15,822 125,627
* Clearwater Paper Corp.................................. 16,822 406,083
* Coeur Mining, Inc...................................... 13,910 66,490
Commercial Metals Co................................... 104,508 1,991,922
# Compass Minerals International, Inc.................... 7,500 363,825
234
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
------- ----------
MATERIALS -- (Continued)
Core Molding Technologies, Inc......................... 11,847 $ 80,678
Domtar Corp............................................ 46,407 2,149,108
DowDuPont, Inc......................................... 31,359 1,690,877
Eagle Materials, Inc................................... 8,699 642,334
Freeport-McMoRan, Inc.................................. 24,064 280,346
Friedman Industries, Inc............................... 3,048 26,822
FutureFuel Corp........................................ 6,104 100,106
Gold Resource Corp..................................... 4,500 19,485
# Graphic Packaging Holding Co........................... 221,805 2,442,073
Greif, Inc., Class A................................... 20,553 972,157
Hawkins, Inc........................................... 409 13,767
# HB Fuller Co........................................... 53,775 2,390,836
# Hecla Mining Co........................................ 430,424 1,033,018
Huntsman Corp.......................................... 50,242 1,099,295
Innophos Holdings, Inc................................. 7,700 225,610
Innospec, Inc.......................................... 8,833 591,104
Kaiser Aluminum Corp................................... 27,181 2,592,252
KapStone Paper and Packaging Corp...................... 93,014 3,255,490
KMG Chemicals, Inc..................................... 1,350 101,277
* Kraton Corp............................................ 18,082 497,978
Kronos Worldwide, Inc.................................. 2,217 31,104
Louisiana-Pacific Corp................................. 173,457 3,776,159
* LSB Industries, Inc.................................... 1,758 13,361
# Martin Marietta Materials, Inc......................... 23,633 4,047,860
Materion Corp.......................................... 18,497 1,051,184
Mercer International, Inc.............................. 21,725 330,437
Minerals Technologies, Inc............................. 34,280 1,876,830
Mosaic Co. (The)....................................... 17,274 534,458
Myers Industries, Inc.................................. 3,100 49,166
Neenah, Inc............................................ 7,684 618,255
Newmont Mining Corp.................................... 141,468 4,374,190
Northern Technologies International Corp............... 3,035 98,182
Nucor Corp............................................. 103,401 6,113,067
Olin Corp.............................................. 175,888 3,552,938
# Olympic Steel, Inc..................................... 9,986 188,336
PH Glatfelter Co....................................... 50,600 905,740
* Platform Specialty Products Corp....................... 8,534 92,338
* PQ Group Holdings, Inc................................. 2,829 45,405
# Rayonier Advanced Materials, Inc....................... 4,094 50,684
Reliance Steel & Aluminum Co........................... 93,801 7,402,775
# Royal Gold, Inc........................................ 16,109 1,234,433
Schnitzer Steel Industries, Inc., Class A.............. 400 10,760
Schweitzer-Mauduit International, Inc.................. 30,600 976,752
# Sensient Technologies Corp............................. 38,101 2,471,231
Sonoco Products Co..................................... 18,365 1,002,362
Steel Dynamics, Inc.................................... 94,919 3,758,792
Stepan Co.............................................. 4,400 363,396
# * Summit Materials, Inc., Class A........................ 14,342 193,617
* SunCoke Energy, Inc.................................... 62,210 696,752
Synalloy Corp.......................................... 949 17,547
# * TimkenSteel Corp....................................... 17,257 200,699
* Trecora Resources...................................... 1,376 14,861
Tredegar Corp.......................................... 26,545 493,737
# Tronox, Ltd., Class A.................................. 82,313 942,484
* UFP Technologies, Inc.................................. 339 11,702
# United States Steel Corp............................... 128,609 3,411,997
* Universal Stainless & Alloy Products, Inc.............. 6,269 123,123
235
SCHEDULE OF INVESTMENTS
CONTINUED
SHARES VALUE+
---------- --------------
MATERIALS -- (Continued)
# Valvoline, Inc......................................... 253,649 $ 5,052,688
* Verso Corp., Class A................................... 2,361 66,368
# Vulcan Materials Co.................................... 58,246 5,891,000
Westlake Chemical Corp................................. 158,152 11,276,238
WestRock Co............................................ 200,591 8,619,395
Worthington Industries, Inc............................ 48,820 2,044,582
---------- --------------
TOTAL MATERIALS............................................... 129,132,337
--------------
REAL ESTATE -- (0.1%)
Alexander & Baldwin, Inc............................... 81,208 1,586,804
Griffin Industrial Realty, Inc......................... 1,500 52,680
# * Howard Hughes Corp. (The).............................. 6,380 711,498
Jones Lang LaSalle, Inc................................ 11,410 1,509,087
# Kennedy-Wilson Holdings, Inc........................... 82,527 1,566,362
* Rafael Holdings, Inc., Class B......................... 550 4,477
RE/MAX Holdings, Inc., Class A......................... 3,800 142,082
* Stratus Properties, Inc................................ 3,069 88,541
---------- --------------
TOTAL REAL ESTATE............................................. 5,661,531
--------------
UTILITIES -- (0.1%)
Consolidated Water Co., Ltd............................ 5,756 70,799
MDU Resources Group, Inc............................... 36,781 918,054
New Jersey Resources Corp.............................. 11,144 502,594
NRG Energy, Inc........................................ 55,469 2,007,423
# Ormat Technologies, Inc................................ 21,034 1,076,310
---------- --------------
TOTAL UTILITIES............................................... 4,575,180
--------------
TOTAL COMMON STOCKS........................................... 6,821,516,037
--------------
RIGHTS/WARRANTS -- (0.0%)
CONSUMER DISCRETIONARY -- (0.0%)
* >> Media General, Inc. Contingent Value Rights............ 25,196 2,520
---------- --------------
TOTAL INVESTMENT SECURITIES................................... 6,821,518,557
--------------
SECURITIES LENDING COLLATERAL -- (1.9%)
@ (S) DFA Short Term Investment Fund......................... 11,474,074 132,755,035
---------- --------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,962,789,550)....................................... $6,954,273,592
==============
P.L.C. Public Limited Company
SA Special Assessment
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
>> Securities that have generally been fair value factored. See Note B to
Financial Statements.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
236
SCHEDULE OF INVESTMENTS
CONTINUED
Summary of the Series' investments as of October 31, 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
Communication Services.. $ 828,258,531 -- -- $ 828,258,531
Consumer Discretionary.. 369,549,536 -- -- 369,549,536
Consumer Staples........ 406,530,599 -- -- 406,530,599
Energy.................. 900,292,133 -- -- 900,292,133
Financials.............. 1,507,237,374 $ 10,685 -- 1,507,248,059
Healthcare.............. 1,083,688,804 -- -- 1,083,688,804
Industrials............. 796,250,903 -- -- 796,250,903
Information Technology.. 790,328,424 -- -- 790,328,424
Materials............... 129,132,337 -- -- 129,132,337
Real Estate............. 5,661,531 -- -- 5,661,531
Utilities............... 4,575,180 -- -- 4,575,180
Rights/Warrants
Consumer Discretionary.. -- 2,520 -- 2,520
Securities Lending
Collateral............... -- 132,755,035 -- 132,755,035
-------------- ------------ -- --------------
TOTAL...................... $6,821,505,352 $132,768,240 -- $6,954,273,592
============== ============ == ==============
237
[LOGO OF PWC]
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of U.S. Large Company Portfolio
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of U.S. Large Company Portfolio
(one of the portfolios constituting Dimensional Investment Group Inc., referred
to hereafter as the "Portfolio") as of October 31, 2018, the related statement
of operations for the year ended October 31, 2018, the statement of changes in
net assets for each of the two years in the period ended October 31, 2018,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2018 (included in Item 1 of this Form
N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR)
as of October 31, 2018 (collectively referred to as the "financial
statements"). In our opinion, the financial statements present fairly, in all
material respects, the financial position of the Portfolio as of October 31,
2018, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period ended October 31, 2018 and
the financial highlights for each of the five years in the period ended
October 31, 2018 in conformity with accounting principles generally accepted in
the United States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on the Portfolio's
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
("PCAOB") and are required to be independent with respect to the Portfolio in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The U.S. Large Cap Value Series, The DFA International Value Series, The
Emerging Markets Small Cap Series and The Tax-Managed U.S. Marketwide Value
Series
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, of The U.S. Large Cap
Value Series, The DFA International Value Series, The Emerging Markets Small
Cap Series and The Tax-Managed U.S. Marketwide Value Series (four of the series
constituting The DFA Investment Trust Company, hereafter collectively referred
to as the "Series") as of October 31, 2018, the related statements of
operations for the year ended October 31, 2018, the statements of changes in
net assets for each of the two years in the period ended October 31, 2018,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2018 (included in Item 1 of this Form
N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR)
as of October 31, 2018 (collectively referred to as the "financial
statements"). In our opinion, the financial statements present fairly, in all
material respects, the financial position of each of the Series as of
October 31, 2018, the results of each of their operations for the year then
ended, the changes in each of their net assets for each of the two years in the
period ended October 31, 2018, and each of the financial highlights for each of
the five years in the period ended October 31, 2018 in conformity with
accounting principles generally accepted in the United States of America.
BASIS FOR OPINIONS
These financial statements are the responsibility of the Series' management.
Our responsibility is to express an opinion on the Series' financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) ("PCAOB") and are required
to be independent with respect to the Series in accordance with the U.S.
federal securities laws and the applicable rules and regulations of the
Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2018 by
correspondence with the custodians, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2018
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
(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) Code of Ethics is filed herewith.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David P. Butler
---------------------------------
David P. Butler
Co-Chief Executive Officer
Date: January 8, 2019
By: /s/ Gerard K. O'Reilly
---------------------------------
Gerard K. O'Reilly
Co-Chief Executive Officer and
Chief Investment Officer
Date: January 8, 2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David P. Butler
---------------------------------
David P. Butler
Co-Principal Executive Officer
Dimensional Investment Group Inc.
Date: January 8, 2019
By: /s/ Gerard K. O'Reilly
---------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
Dimensional Investment Group Inc.
Date: January 8, 2019
By: /s/ Gregory K. Hinkle
---------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Investment Group Inc.
Date: January 8, 2019