================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7440
-----------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
(Exact name of registrant as specified in charter)
-----------------
6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices) (Zip code)
-----------------
Catherine L. Newell, Esquire, President and General Counsel
Dimensional Emerging Markets Value Fund,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
-----------------
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: 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
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.
ITEM3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees 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.
ITEM4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2018: $20,708
Fiscal Year Ended October 31, 2017: $19,780
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended October 31, 2018: $1,721
Fiscal Year Ended October 31, 2017: $1,635
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.
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: $4,835
Fiscal Year Ended October 31, 2017: $4,642
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: $1,158,162
Fiscal Year Ended October 31, 2017: $1,557,179
(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) The Registrant's schedule of investments is provided below.
DIMENSIONAL EMERGING MARKETS VALUE FUND
SCHEDULE OF INVESTMENTS
October 31, 2018
Shares Value(double right angle quote)
---------- -------------------------------
COMMON STOCKS -- (96.8%)
BRAZIL -- (9.1%)
Aliansce Shopping Centers SA....................... 955,514 $ 4,498,349
* Alliar Medicos A Frente SA......................... 200,900 646,724
Banco Bradesco SA, ADR............................. 2,284,062 20,944,849
Banco Bradesco SA.................................. 920,662 7,483,548
Banco BTG Pactual SA............................... 165,425 878,799
Banco do Brasil SA................................. 5,671,292 65,147,852
Banco Santander Brasil SA.......................... 1,943,535 22,038,742
* Brasil Brokers Participacoes SA.................... 81,676 130,365
BrasilAgro - Co. Brasileira de Propriedades
Agricolas........................................ 176,684 674,167
* BRF SA............................................. 597,734 3,517,500
* Cia Siderurgica Nacional SA........................ 4,647,072 11,950,149
* Construtora Tenda SA............................... 434,602 3,331,773
* Cosan Logistica SA................................. 3,000 10,270
Cosan SA........................................... 1,183,572 10,256,670
CSU Cardsystem SA.................................. 23,200 46,132
Cyrela Brazil Realty SA Empreendimentos e
Participacoes.................................... 2,756,617 10,814,620
* Direcional Engenharia SA........................... 1,368,861 2,626,271
Duratex SA......................................... 4,001,937 12,355,839
Embraer SA......................................... 1,042,062 5,860,636
Embraer SA, Sponsored ADR.......................... 968,215 21,562,148
* Even Construtora e Incorporadora SA................ 1,787,056 2,300,147
Ez Tec Empreendimentos e Participacoes SA.......... 729,625 4,701,444
Fibria Celulose SA................................. 523,595 10,108,908
Fibria Celulose SA, Sponsored ADR.................. 2,018,972 38,784,452
Fras-Le SA......................................... 8,500 9,981
Gafisa SA, ADR..................................... 165,084 1,028,472
Gerdau SA, Sponsored ADR........................... 7,033,312 30,594,907
Gerdau SA.......................................... 1,459,232 5,085,648
Guararapes Confeccoes SA........................... 31,300 1,118,608
* Helbor Empreendimentos SA.......................... 2,537,426 1,138,654
International Meal Co. Alimentacao SA, Class A..... 909,400 1,637,238
Iochpe-Maxion SA................................... 1,407,439 7,329,348
JBS SA............................................. 11,195,257 30,834,713
* JHSF Participacoes SA.............................. 1,139,474 483,775
* JSL SA............................................. 61,700 113,237
Kroton Educacional SA.............................. 10,164,014 31,189,854
* Magnesita Refratarios SA........................... 643,250 9,696,715
* Marfrig Global Foods SA............................ 97,000 167,075
* Marisa Lojas SA.................................... 254,400 355,470
* Mills Estruturas e Servicos de Engenharia SA....... 480,246 405,206
Movida Participacoes SA............................ 328,526 696,512
MRV Engenharia e Participacoes SA.................. 3,376,033 11,466,628
* Paranapanema SA.................................... 1,683,489 664,982
* Petro Rio SA....................................... 27,400 876,152
Petroleo Brasileiro SA, Sponsored ADR.............. 14,367,145 212,921,089
Petroleo Brasileiro SA, Sponsored ADR.............. 11,860,183 192,727,974
Petroleo Brasileiro SA............................. 6,217,583 50,656,218
Porto Seguro SA.................................... 98,386 1,437,654
Portobello SA...................................... 47,900 66,801
* Profarma Distribuidora de Produtos Farmaceuticos SA 37,500 47,561
QGEP Participacoes SA.............................. 1,478,438 4,767,233
Qualicorp Consultoria e Corretora de Seguros SA.... 484,700 1,875,502
Santos Brasil Participacoes SA..................... 1,256,600 1,205,445
Sao Carlos Empreendimentos e Participacoes SA...... 57,300 492,705
Sao Martinho SA.................................... 102,089 532,185
Ser Educacional SA................................. 160,800 673,619
SLC Agricola SA.................................... 569,717 8,738,263
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
BRAZIL -- (Continued)
* Springs Global Participacoes SA.................... 71,200 $ 130,289
Sul America SA..................................... 2,321,731 15,471,968
T4F Entretenimento SA.............................. 135,900 261,100
* Tecnisa SA......................................... 1,585,414 575,120
Tupy SA............................................ 594,387 2,795,048
Usinas Siderurgicas de Minas Gerais SA............. 531,600 1,828,424
Vale SA, Sponsored ADR............................. 16,255,951 245,464,858
Vale SA............................................ 25,779,178 392,835,471
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao S.A.................... 335,690 1,374,692
--------------
TOTAL BRAZIL........................................... 1,532,442,748
--------------
CHILE -- (1.5%)
Besalco SA......................................... 512,877 411,470
CAP SA............................................. 1,254,382 12,078,633
Cementos BIO BIO SA................................ 665,307 880,340
Cencosud SA........................................ 14,173,959 29,059,080
* Cia Pesquera Camanchaca SA......................... 970,267 98,660
* Cia Sud Americana de Vapores SA.................... 75,214,368 2,246,224
Cristalerias de Chile SA........................... 264,624 2,202,875
Empresa Nacional de Telecomunicaciones SA.......... 590,381 4,270,508
* Empresas AquaChile SA.............................. 216,273 148,457
Empresas CMPC SA................................... 12,712,718 43,696,755
Empresas COPEC SA.................................. 2,553,403 35,798,125
Empresas Hites SA.................................. 1,895,532 1,470,698
* Empresas La Polar SA............................... 18,624,381 907,673
Enel Americas SA, ADR.............................. 3,876,008 30,542,943
Enel Americas SA................................... 21,341,268 3,339,446
Enel Chile SA, ADR................................. 2,913,074 12,526,218
Grupo Security SA.................................. 2,441,889 1,005,750
Inversiones Aguas Metropolitanas SA................ 4,697,740 6,467,808
Itau CorpBanca..................................... 894,514,811 8,266,811
Itau CorpBanca, ADR................................ 3,677 47,654
Latam Airlines Group SA, Sponsored ADR............. 930,270 8,577,089
Latam Airlines Group SA............................ 1,778,558 16,190,922
Masisa SA.......................................... 41,779,325 2,228,879
PAZ Corp. SA....................................... 2,208,690 3,255,732
Ripley Corp. SA.................................... 12,143,201 10,270,006
Salfacorp SA....................................... 4,066,548 5,759,859
Sigdo Koppers SA................................... 177,128 274,931
* SMU SA............................................. 276,502 73,020
Sociedad Matriz SAAM SA............................ 55,558,770 4,774,819
Socovesa SA........................................ 5,888,997 3,063,547
Vina Concha y Toro SA.............................. 1,552,271 2,921,472
--------------
TOTAL CHILE............................................ 252,856,404
--------------
CHINA -- (17.3%)
361 Degrees International, Ltd..................... 6,238,000 1,451,498
* A8 New Media Group, Ltd............................ 986,000 36,588
Agile Group Holdings, Ltd.......................... 13,432,999 15,433,783
Agricultural Bank of China, Ltd., Class H.......... 174,752,000 76,922,301
Air China, Ltd., Class H........................... 9,396,000 7,596,282
Ajisen China Holdings, Ltd......................... 1,465,000 488,203
* Aluminum Corp. of China, Ltd., Class H............. 14,544,000 5,294,673
AMVIG Holdings, Ltd................................ 4,797,100 1,198,894
Angang Steel Co., Ltd., Class H.................... 5,510,640 4,712,457
* Anton Oilfield Services Group...................... 11,664,000 1,649,369
* Anxin-China Holdings, Ltd.......................... 6,152,000 56,641
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
CHINA -- (Continued)
Asia Cement China Holdings Corp.................... 4,890,500 $ 4,181,501
# * Asian Citrus Holdings, Ltd......................... 4,633,000 66,465
AVIC International Holdings, Ltd., Class H......... 2,788,000 1,351,844
AviChina Industry & Technology Co., Ltd., Class H.. 3,631,000 2,424,705
BAIC Motor Corp., Ltd., Class H.................... 10,876,500 6,140,030
Bank of China, Ltd., Class H....................... 319,537,817 136,136,324
Bank of Chongqing Co., Ltd., Class H............... 2,761,500 1,596,915
Bank of Communications Co., Ltd., Class H.......... 30,438,574 22,867,165
Bank of Tianjin Co., Ltd., Class H................. 29,000 14,852
* Baoye Group Co., Ltd., Class H..................... 2,337,120 1,254,410
# BBMG Corp., Class H................................ 12,331,000 3,411,157
Beijing Capital International Airport Co., Ltd.,
Class H.......................................... 3,162,000 3,432,817
Beijing Capital Land, Ltd., Class H................ 8,977,060 3,048,104
# * Beijing Enterprises Clean Energy Group, Ltd........ 4,880,000 61,786
Beijing Enterprises Holdings, Ltd.................. 2,597,500 14,083,535
# * Beijing Enterprises Medical & Health Group, Ltd.... 2,124,000 84,205
# Beijing North Star Co., Ltd., Class H.............. 3,490,000 922,834
* Beijing Properties Holdings, Ltd................... 456,000 13,554
# Beijing Urban Construction Design & Development
Group Co., Ltd., Class H......................... 28,000 8,727
# Best Pacific International Holdings, Ltd........... 210,000 53,428
Bosideng International Holdings, Ltd............... 12,864,000 1,810,825
# * Boyaa Interactive International, Ltd............... 2,026,000 475,463
BYD Electronic International Co., Ltd.............. 2,661,500 3,131,887
C C Land Holdings, Ltd............................. 21,931,429 5,211,256
Cabbeen Fashion, Ltd............................... 930,000 251,342
* Capital Environment Holdings, Ltd.................. 8,486,000 175,818
* CAR, Inc........................................... 1,440,000 1,144,675
# * Carnival Group International Holdings, Ltd......... 3,900,000 70,679
Carrianna Group Holdings Co., Ltd.................. 3,880,391 416,970
* CECEP COSTIN New Materials Group, Ltd.............. 132,000 1,894
Central China Real Estate, Ltd..................... 6,729,350 2,458,938
* Century Sunshine Group Holdings, Ltd............... 14,780,000 365,313
* CGN Meiya Power Holdings Co., Ltd.................. 12,860,000 1,692,687
Changshouhua Food Co., Ltd......................... 91,000 30,692
# Chaowei Power Holdings, Ltd........................ 4,680,000 2,014,932
* Chigo Holding, Ltd................................. 28,274,000 260,662
* Chiho Environmental Group, Ltd..................... 38,000 11,046
# China Aerospace International Holdings, Ltd........ 19,106,000 1,321,802
China Agri-Industries Holdings, Ltd................ 18,251,500 6,117,166
China Aircraft Leasing Group Holdings, Ltd......... 49,000 49,683
China Aoyuan Property Group, Ltd................... 10,408,000 6,109,831
* China Beidahuang Industry Group Holdings, Ltd...... 408,000 10,439
China BlueChemical, Ltd., Class H.................. 14,452,878 4,954,444
China Cinda Asset Management Co., Ltd., Class H.... 47,902,000 11,759,100
China CITIC Bank Corp., Ltd., Class H.............. 30,948,112 19,182,695
China Coal Energy Co., Ltd., Class H............... 11,053,000 4,963,153
China Communications Construction Co., Ltd.,
Class H.......................................... 21,552,327 19,761,444
China Communications Services Corp., Ltd., Class H. 12,631,071 10,235,849
China Construction Bank Corp., Class H............. 456,403,101 362,177,201
China Dongxiang Group Co., Ltd..................... 19,497,000 3,012,117
China Eastern Airlines Corp., Ltd., Class H........ 3,812,000 2,115,710
China Electronics Optics Valley Union Holding Co.,
Ltd.............................................. 2,208,000 122,938
China Energy Engineering Corp., Ltd., Class H...... 1,236,000 119,954
* China Environmental Technology and Bioenergy
Holdings, Ltd.................................... 650,000 6,649
China Everbright Bank Co., Ltd., Class H........... 12,049,000 5,378,091
China Everbright, Ltd.............................. 7,561,869 13,409,565
* China Fiber Optic Network System Group, Ltd........ 3,598,000 128,468
China Financial Services Holdings, Ltd............. 1,884,000 118,398
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
CHINA -- (Continued)
# China Galaxy Securities Co., Ltd., Class H......... 9,507,000 $ 4,789,302
* China Glass Holdings, Ltd.......................... 6,584,000 471,125
* China Greenfresh Group Co., Ltd.................... 2,720,000 368,029
China Hanking Holdings, Ltd........................ 127,000 14,791
# China Harmony New Energy Auto Holding, Ltd......... 4,503,500 1,793,162
* China High Precision Automation Group, Ltd......... 429,000 12,514
China High Speed Transmission Equipment Group Co.,
Ltd.............................................. 1,889,000 1,760,862
# China Hongqiao Group, Ltd.......................... 10,475,000 7,022,617
China Huarong Asset Management Co., Ltd., Class H.. 60,041,000 10,901,324
* China Huiyuan Juice Group, Ltd..................... 5,210,483 503,311
# China International Capital Corp., Ltd., Class H... 1,217,200 2,004,906
# China International Marine Containers Group Co.,
Ltd., Class H.................................... 1,180,400 1,042,143
* China ITS Holdings Co., Ltd........................ 4,101,147 117,397
China Jinmao Holdings Group, Ltd................... 29,670,580 12,501,636
China Lesso Group Holdings, Ltd.................... 6,130,000 3,238,191
* China Longevity Group Co., Ltd..................... 1,152,649 37,775
China Machinery Engineering Corp., Class H......... 4,111,000 1,875,655
# China Merchants Land, Ltd.......................... 11,902,000 1,538,428
China Merchants Port Holdings Co., Ltd............. 6,748,383 11,494,717
# China Merchants Securities Co., Ltd., Class H...... 139,200 158,079
China Minsheng Banking Corp., Ltd., Class H........ 27,695,400 20,450,203
China Mobile, Ltd.................................. 26,696,500 250,089,559
China Mobile, Ltd., Sponsored ADR.................. 1,343,555 62,542,485
China National Building Material Co., Ltd., Class H 36,225,250 26,044,675
China New Town Development Co., Ltd................ 11,705,522 285,469
China Oil & Gas Group, Ltd......................... 10,820,000 745,576
China Oilfield Services, Ltd., Class H............. 8,572,000 7,997,824
# China Oriental Group Co., Ltd...................... 5,520,000 4,379,774
China Overseas Grand Oceans Group, Ltd............. 11,941,500 3,701,325
China Overseas Land & Investment, Ltd.............. 28,630,000 90,008,084
China Petroleum & Chemical Corp., ADR.............. 1,096,853 88,472,147
China Petroleum & Chemical Corp., Class H.......... 75,317,575 61,351,877
* China Properties Group, Ltd........................ 4,975,000 667,107
China Railway Construction Corp., Ltd., Class H.... 14,089,514 17,893,782
China Railway Group, Ltd., Class H................. 20,920,000 18,696,448
China Railway Signal & Communication Corp., Ltd.,
Class H.......................................... 416,000 280,116
China Reinsurance Group Corp., Class H............. 16,281,000 3,120,136
China Resources Cement Holdings, Ltd............... 12,230,000 10,856,303
China Resources Land, Ltd.......................... 21,320,000 72,513,561
China Resources Pharmaceutical Group, Ltd.......... 734,000 1,078,403
* China Rundong Auto Group, Ltd...................... 22,000 7,105
* China Saite Group Co., Ltd......................... 546,000 34,567
China Sanjiang Fine Chemicals Co., Ltd............. 3,277,000 750,510
China SCE Group Holdings, Ltd...................... 13,252,000 4,530,395
# * China Shengmu Organic Milk, Ltd.................... 309,000 12,440
China Shenhua Energy Co., Ltd., Class H............ 24,770,000 56,040,852
China Shineway Pharmaceutical Group, Ltd........... 435,000 508,002
* China Silver Group, Ltd............................ 5,664,000 703,152
# China Singyes Solar Technologies Holdings, Ltd..... 4,197,200 1,150,732
China South City Holdings, Ltd..................... 27,296,000 4,011,949
China Southern Airlines Co., Ltd., Class H......... 10,660,000 5,810,625
China Starch Holdings, Ltd......................... 23,300,000 535,823
China State Construction International Holdings,
Ltd.............................................. 1,970,000 1,408,766
China Sunshine Paper Holdings Co., Ltd............. 1,374,500 230,534
* China Taifeng Beddings Holdings, Ltd............... 640,000 16,526
China Travel International Investment Hong Kong,
Ltd.............................................. 17,987,631 4,835,318
China Unicom Hong Kong, Ltd., ADR.................. 6,408,129 66,836,785
China Vast Industrial Urban Development Co., Ltd... 272,000 106,046
# China XLX Fertiliser, Ltd.......................... 1,072,000 389,600
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
CHINA -- (Continued)
# * China Yurun Food Group, Ltd........................ 5,286,000 $ 419,115
# China ZhengTong Auto Services Holdings, Ltd........ 6,611,000 3,172,641
# China Zhongwang Holdings, Ltd...................... 13,496,154 6,005,596
Chongqing Machinery & Electric Co., Ltd., Class H.. 9,984,000 613,598
Chongqing Rural Commercial Bank Co., Ltd., Class H. 22,208,000 12,267,588
* Chu Kong Petroleum & Natural Gas Steel Pipe
Holdings, Ltd.................................... 1,188,000 92,670
Chu Kong Shipping Enterprise Group Co., Ltd........ 526,000 119,597
CIFI Holdings Group Co., Ltd....................... 11,508,000 4,828,256
* CITIC Dameng Holdings, Ltd......................... 4,333,000 210,808
CITIC Resources Holdings, Ltd...................... 9,744,000 797,450
CITIC Securities Co., Ltd., Class H................ 2,680,500 4,732,436
CITIC, Ltd......................................... 20,882,483 31,376,123
Citychamp Watch & Jewellery Group, Ltd............. 1,142,000 234,608
Clear Media, Ltd................................... 101,000 28,158
CNOOC, Ltd......................................... 86,560,000 147,409,849
CNOOC, Ltd., Sponsored ADR......................... 193,369 32,727,703
Cogobuy Group...................................... 747,000 255,335
# * Comba Telecom Systems Holdings, Ltd................ 11,818,683 1,665,129
Concord New Energy Group, Ltd...................... 35,200,000 1,394,458
* Coolpad Group, Ltd................................. 5,380,800 13,990
# * COSCO SHIPPING Development Co., Ltd., Class H...... 4,215,000 431,201
# COSCO SHIPPING Energy Transportation Co., Ltd.,
Class H.......................................... 5,544,000 3,037,495
# COSCO SHIPPING International Hong Kong Co., Ltd.... 4,544,000 1,561,977
COSCO SHIPPING Ports, Ltd.......................... 13,834,656 14,139,553
* Coslight Technology International Group Co., Ltd... 1,032,000 256,865
# CPMC Holdings, Ltd................................. 3,158,000 1,040,450
CRCC High-Tech Equipment Corp., Ltd., Class H...... 1,931,500 392,658
* CSC Financial Co., Ltd., Class H................... 31,000 17,594
# CT Environmental Group, Ltd........................ 5,652,000 256,596
* DaChan Food Asia, Ltd.............................. 1,919,000 87,114
Dah Chong Hong Holdings, Ltd....................... 8,440,108 2,862,363
* Daphne International Holdings, Ltd................. 2,812,000 91,592
Dawnrays Pharmaceutical Holdings, Ltd.............. 189,000 43,461
* Dongfang Electric Corp., Ltd., Class H............. 471,600 253,261
Dongfeng Motor Group Co., Ltd., Class H............ 13,620,000 13,458,073
Dongyue Group, Ltd................................. 2,696,000 1,444,374
* Dynasty Fine Wines Group, Ltd...................... 9,228,600 317,743
E-Commodities Holdings, Ltd........................ 4,104,000 194,602
* eHi Car Services, Ltd., Sponsored ADR.............. 8,185 98,793
Embry Holdings, Ltd................................ 539,000 171,806
EVA Precision Industrial Holdings, Ltd............. 5,296,000 420,379
Everbright Securities Co., Ltd., Class H........... 816,000 715,338
* Evergreen International Holdings, Ltd.............. 833,000 53,439
Fantasia Holdings Group Co., Ltd................... 15,452,515 1,544,654
Far East Horizon, Ltd.............................. 3,763,000 3,655,232
Fosun International, Ltd........................... 11,099,183 16,284,043
# Fufeng Group, Ltd.................................. 8,739,000 3,708,847
# * GCL New Energy Holdings, Ltd....................... 7,946,000 264,818
# * GCL-Poly Energy Holdings, Ltd...................... 83,998,000 4,991,325
Gemdale Properties & Investment Corp., Ltd......... 14,802,000 1,366,328
Genertec Universal Medical Group Co., Ltd.......... 2,432,000 1,893,644
# GF Securities Co., Ltd., Class H................... 3,375,200 4,373,042
* Glorious Property Holdings, Ltd.................... 26,231,000 1,277,982
Goldlion Holdings, Ltd............................. 1,962,000 773,363
# Goldpac Group, Ltd................................. 1,145,000 277,996
# * GOME Retail Holdings, Ltd.......................... 80,257,000 8,015,681
# Grand Baoxin Auto Group, Ltd....................... 3,329,500 726,544
# Great Wall Motor Co., Ltd., Class H................ 17,402,500 10,337,446
Greenland Hong Kong Holdings, Ltd.................. 7,422,575 1,711,302
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
CHINA -- (Continued)
Greentown China Holdings, Ltd...................... 5,522,591 $ 3,859,514
Guangdong Yueyun Transportation Co., Ltd., Class H. 225,000 88,850
Guangshen Railway Co., Ltd., Sponsored ADR......... 340,009 6,385,369
Guangzhou Automobile Group Co., Ltd., Class H...... 10,444,000 10,585,450
Guangzhou R&F Properties Co., Ltd., Class H........ 8,578,314 13,544,736
* Guodian Technology & Environment Group Corp.,
Ltd., Class H.................................... 3,139,000 117,683
* Guolian Securities Co., Ltd., Class H.............. 171,500 38,214
# Guorui Properties, Ltd............................. 1,844,000 442,765
Guotai Junan Securities Co., Ltd., Class H......... 95,400 201,138
Haitong Securities Co., Ltd., Class H.............. 12,976,400 13,073,588
* Hanergy Thin Film Power Group, Ltd................. 14,642,000 9,335,688
Harbin Bank Co., Ltd., Class H..................... 1,489,000 346,350
# Harbin Electric Co., Ltd., Class H................. 5,713,474 1,615,930
# * HC Group, Inc...................................... 1,275,500 828,970
* Hengdeli Holdings, Ltd............................. 14,156,000 588,342
* Hi Sun Technology China, Ltd....................... 5,823,000 676,225
Hilong Holding, Ltd................................ 5,833,000 697,559
HKC Holdings, Ltd.................................. 1,208,155 869,259
* Honghua Group, Ltd................................. 4,453,000 283,645
Honworld Group, Ltd................................ 527,500 242,848
# Hopefluent Group Holdings, Ltd..................... 1,624,000 530,173
Hopson Development Holdings, Ltd................... 5,500,000 4,228,824
# * Hua Han Health Industry Holdings, Ltd.............. 23,012,000 622,109
Hua Hong Semiconductor, Ltd........................ 2,382,000 4,157,805
Huaneng Renewables Corp., Ltd., Class H............ 33,002,000 8,493,878
* Huatai Securities Co., Ltd., Class H............... 4,174,800 6,721,233
Huishang Bank Corp., Ltd., Class H................. 1,351,900 585,192
* Hydoo International Holding, Ltd................... 1,112,000 59,378
Industrial & Commercial Bank of China, Ltd.,
Class H.......................................... 347,978,996 236,094,205
Inner Mongolia Yitai Coal Co., Ltd., Class H....... 10,500 9,019
# * Jiangnan Group, Ltd................................ 12,064,000 562,744
# Jiangxi Copper Co., Ltd., Class H.................. 6,197,000 6,845,004
Jilin Jiutai Rural Commercial Bank Corp., Ltd.,
Class H.......................................... 37,000 16,500
# Jingrui Holdings, Ltd.............................. 819,000 211,278
* JinkoSolar Holding Co., Ltd., ADR.................. 245,851 1,981,559
Joy City Property, Ltd............................. 9,202,000 978,150
Ju Teng International Holdings, Ltd................ 7,482,249 1,914,025
K Wah International Holdings, Ltd.................. 2,184,233 989,550
* Kai Yuan Holdings, Ltd............................. 41,600,000 255,532
Kaisa Group Holdings, Ltd.......................... 6,307,632 1,542,574
Kangda International Environmental Co., Ltd........ 5,159,000 574,457
# Kasen International Holdings, Ltd.................. 1,807,000 767,183
Kingboard Holdings, Ltd............................ 5,960,345 16,010,847
# Kingboard Laminates Holdings, Ltd.................. 766,000 588,051
Kunlun Energy Co., Ltd............................. 25,910,000 29,480,012
KWG Group Holdings, Ltd............................ 10,525,000 8,077,152
* Labixiaoxin Snacks Group, Ltd...................... 2,175,000 152,321
Lai Fung Holdings, Ltd............................. 947,639 1,142,907
Le Saunda Holdings, Ltd............................ 120,000 15,320
Lee & Man Paper Manufacturing, Ltd................. 2,119,000 1,819,334
Legend Holdings Corp., Class H..................... 845,800 2,300,387
* Leoch International Technology, Ltd................ 2,305,000 194,342
* Lianhua Supermarket Holdings Co., Ltd., Class H.... 388,000 89,263
LK Technology Holdings, Ltd........................ 785,000 75,334
Longfor Group Holdings, Ltd........................ 9,774,500 23,753,835
Lonking Holdings, Ltd.............................. 13,758,000 3,101,951
# Maanshan Iron & Steel Co., Ltd., Class H........... 11,328,000 6,100,454
Maoye International Holdings, Ltd.................. 9,688,000 694,447
Metallurgical Corp. of China, Ltd., Class H........ 6,949,000 1,688,993
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
CHINA -- (Continued)
* MIE Holdings Corp.................................. 2,680,000 $ 56,023
Min Xin Holdings, Ltd.............................. 708,418 464,549
* Mingfa Group International Co., Ltd................ 608,000 4,365
Minmetals Land, Ltd................................ 11,653,205 1,788,001
MOBI Development Co., Ltd.......................... 379,000 38,765
# Modern Land China Co., Ltd......................... 2,643,200 332,654
# * Munsun Capital Group, Ltd.......................... 4,091,500 79,133
* Nature Home Holding Co., Ltd....................... 605,000 112,848
* New World Department Store China, Ltd.............. 3,883,000 773,613
Nine Dragons Paper Holdings, Ltd................... 8,438,000 8,080,974
* North Mining Shares Co., Ltd....................... 5,170,000 17,873
NVC Lighting Holdings, Ltd......................... 5,114,000 334,013
Orient Securities Co., Ltd., Class H............... 381,200 251,037
* Ourgame International Holdings, Ltd................ 329,000 30,701
Overseas Chinese Town Asia Holdings, Ltd........... 982,000 277,345
# Ozner Water International Holding, Ltd............. 349,000 75,228
# * Panda Green Energy Group, Ltd...................... 3,996,000 150,583
# * Parkson Retail Group, Ltd.......................... 9,308,000 820,467
# PAX Global Technology, Ltd......................... 3,983,000 1,963,606
People's Insurance Co. Group of China, Ltd. (The),
Class H.......................................... 32,245,000 13,188,264
PetroChina Co., Ltd., ADR.......................... 75,718 5,500,156
PetroChina Co., Ltd., Class H...................... 132,694,000 95,410,082
PICC Property & Casualty Co., Ltd., Class H........ 10,145,000 9,861,342
# Poly Culture Group Corp., Ltd., Class H............ 297,300 341,881
Poly Property Group Co., Ltd....................... 16,818,488 5,040,320
Postal Savings Bank of China Co., Ltd., Class H.... 9,392,000 5,619,319
Pou Sheng International Holdings, Ltd.............. 5,007,000 951,979
Powerlong Real Estate Holdings, Ltd................ 11,449,000 3,928,910
* Prosperity International Holdings HK, Ltd.......... 16,380,000 88,069
* PW Medtech Group, Ltd.............................. 1,439,000 241,313
* Qingdao Port International Co., Ltd., Class H...... 395,000 229,860
Qingling Motors Co., Ltd., Class H................. 8,100,000 2,100,003
Qinhuangdao Port Co., Ltd., Class H................ 63,500 13,800
Qunxing Paper Holdings Co., Ltd.................... 5,020,071 241,979
* Real Gold Mining, Ltd.............................. 3,137,500 105,224
Red Star Macalline Group Corp., Ltd., Class H...... 550,543 487,054
Regal International Airport Group Co., Ltd.,
Class H.......................................... 1,270,000 1,138,342
# * Renhe Commercial Holdings Co., Ltd................. 43,919,000 1,460,761
# * Rentian Technology Holdings, Ltd................... 4,720,000 86,700
* REXLot Holdings, Ltd............................... 118,774,931 197,914
# * Ronshine China Holdings, Ltd....................... 1,277,500 1,441,414
* Royale Furniture Holdings, Ltd..................... 450,000 39,677
Sany Heavy Equipment International Holdings Co.,
Ltd.............................................. 4,972,000 1,434,194
* Scud Group, Ltd.................................... 3,368,000 128,845
Seaspan Corp....................................... 574,922 5,139,803
# * Semiconductor Manufacturing International Corp..... 13,658,698 11,282,595
* Semiconductor Manufacturing International Corp.,
ADR.............................................. 1,056,940 4,460,287
# Shandong Chenming Paper Holdings, Ltd., Class H.... 1,811,227 1,019,926
Shandong Xinhua Pharmaceutical Co., Ltd., Class H.. 104,000 52,241
* Shanghai Dasheng Agricultural Finance Technology
Co., Ltd., Class H............................... 4,352,000 26,677
# Shanghai Electric Group Co., Ltd., Class H......... 6,666,000 2,169,555
Shanghai Industrial Holdings, Ltd.................. 4,234,918 8,918,695
# Shanghai Industrial Urban Development Group, Ltd... 12,292,000 1,855,206
Shanghai Jin Jiang International Hotels Group Co.,
Ltd., Class H.................................... 8,446,000 1,977,692
# Shanghai La Chapelle Fashion Co., Ltd., Class H.... 81,000 72,281
Shanghai Pharmaceuticals Holding Co., Ltd., Class H 1,502,000 3,326,186
* Shanghai Prime Machinery Co., Ltd., Class H........ 7,102,000 997,615
Shengjing Bank Co., Ltd., Class H.................. 328,500 144,670
Shenguan Holdings Group, Ltd....................... 3,610,000 182,155
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
CHINA -- (Continued)
Shenzhen International Holdings, Ltd............... 2,845,817 $ 5,452,110
Shenzhen Investment, Ltd........................... 25,444,650 7,323,593
Shimao Property Holdings, Ltd...................... 10,404,035 20,500,523
* Shougang Concord International Enterprises Co.,
Ltd.............................................. 54,246,416 1,216,332
Shougang Fushan Resources Group, Ltd............... 20,484,594 4,146,503
Shui On Land, Ltd.................................. 30,798,803 6,224,532
* Shunfeng International Clean Energy, Ltd........... 12,548,000 462,344
Sihuan Pharmaceutical Holdings Group, Ltd.......... 7,119,000 1,449,536
# * Silver Grant International Industries, Ltd......... 6,430,804 1,397,150
SIM Technology Group, Ltd.......................... 7,497,000 263,531
# * Sinofert Holdings, Ltd............................. 7,620,000 856,818
# * Sinolink Worldwide Holdings, Ltd................... 10,762,508 827,265
Sino-Ocean Group Holding, Ltd...................... 24,191,602 9,509,621
Sinopec Engineering Group Co., Ltd., Class H....... 5,599,000 5,215,765
Sinopec Kantons Holdings, Ltd...................... 5,446,000 2,222,502
Sinopec Shanghai Petrochemical Co., Ltd., Class H.. 2,000 879
# Sinotrans Shipping, Ltd............................ 10,048,416 3,360,189
Sinotrans, Ltd., Class H........................... 13,270,000 4,642,235
# Sinotruk Hong Kong, Ltd............................ 5,172,335 7,479,049
Skyworth Digital Holdings, Ltd..................... 15,847,083 3,669,830
SOHO China, Ltd.................................... 19,301,888 6,561,611
Springland International Holdings, Ltd............. 4,129,000 843,822
* SPT Energy Group, Inc.............................. 1,680,000 124,136
* SRE Group, Ltd..................................... 21,316,285 402,674
# * Starrise Media Holdings, Ltd....................... 286,000 48,461
Summi Group Holdings, Ltd.......................... 3,092,000 79,444
Sun King Power Electronics Group................... 148,000 18,934
* Sunshine 100 China Holdings, Ltd................... 187,000 90,699
* Taung Gold International, Ltd...................... 7,700,000 35,313
TCL Electronics Holdings, Ltd...................... 921,666 375,655
# * Technovator International, Ltd..................... 2,224,000 301,079
Tenwow International Holdings, Ltd................. 2,993,000 145,033
Texhong Textile Group, Ltd......................... 922,500 1,114,203
Tian An China Investment Co., Ltd.................. 4,936,000 2,636,193
# Tiangong International Co., Ltd.................... 2,152,000 478,391
Tianjin Port Development Holdings, Ltd............. 18,399,657 1,876,700
# Tianneng Power International, Ltd.................. 1,250,000 1,003,137
Time Watch Investments, Ltd........................ 92,000 13,076
# Tomson Group, Ltd.................................. 2,790,526 781,335
Tongda Group Holdings, Ltd......................... 3,080,000 398,384
Tonly Electronics Holdings, Ltd.................... 41,330 26,417
# Top Spring International Holdings, Ltd............. 146,000 38,332
TPV Technology, Ltd................................ 8,358,496 683,685
Trigiant Group, Ltd................................ 2,574,000 293,146
Trony Solar Holdings Co., Ltd...................... 8,775,000 132,040
United Energy Group, Ltd........................... 4,574,000 892,995
* V1 Group, Ltd...................................... 6,098,000 373,254
Wasion Holdings, Ltd............................... 4,330,000 2,123,969
# Weichai Power Co., Ltd., Class H................... 4,866,000 4,810,531
Weiqiao Textile Co., Class H....................... 3,521,500 1,095,800
West China Cement, Ltd............................. 25,138,000 3,732,052
# Wisdom Sports Group................................ 440,000 33,781
Xiamen International Port Co., Ltd., Class H....... 9,888,000 1,298,853
* Xinchen China Power Holdings, Ltd.................. 4,685,000 341,256
Xingda International Holdings, Ltd................. 8,418,842 2,273,036
Xingfa Aluminium Holdings, Ltd..................... 435,000 286,492
# Xinhua Winshare Publishing and Media Co., Ltd.,
Class H.......................................... 1,323,000 829,806
* Xinjiang Xinxin Mining Industry Co., Ltd., Class H. 2,692,000 251,159
Xinyuan Real Estate Co., Ltd., ADR................. 105,240 434,641
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
CHINA -- (Continued)
Xtep International Holdings, Ltd................... 2,087,000 $ 1,144,927
* Yanchang Petroleum International, Ltd.............. 21,400,000 202,963
Yanzhou Coal Mining Co., Ltd., Class H............. 10,052,000 9,560,264
Yip's Chemical Holdings, Ltd....................... 842,000 255,432
# * Youyuan International Holdings, Ltd................ 3,376,251 1,116,179
* Yuanda China Holdings, Ltd......................... 712,000 7,372
* YuanShengTai Dairy Farm, Ltd....................... 658,000 14,621
Yuexiu Property Co., Ltd........................... 55,800,786 8,854,792
Yuzhou Properties Co., Ltd......................... 14,807,960 5,286,611
Zhaojin Mining Industry Co., Ltd., Class H......... 625,500 553,279
Zhengzhou Coal Mining Machinery Group Co., Ltd.,
Class H.......................................... 473,600 242,209
# * Zhong An Real Estate, Ltd.......................... 18,638,600 642,632
Zhuhai Holdings Investment Group, Ltd.............. 1,404,000 147,366
# Zoomlion Heavy Industry Science and Technology
Co., Ltd., Class H............................... 9,018,200 2,892,965
--------------
TOTAL CHINA 2,906,453,103
--------------
COLOMBIA -- (0.2%)
Almacenes Exito SA................................. 1,643,737 7,096,726
Cementos Argos SA.................................. 23,923 52,163
Constructora Conconcreto SA........................ 86,988 7,430
Grupo Argos SA..................................... 1,390,662 6,479,235
Grupo de Inversiones Suramericana SA............... 1,609,854 15,700,990
Grupo Nutresa SA................................... 193,270 1,338,691
Mineros SA......................................... 65,037 39,442
--------------
TOTAL COLOMBIA 30,714,677
--------------
CZECH REPUBLIC -- (0.2%)
CEZ A.S............................................ 1,627,582 38,726,011
--------------
GREECE -- (0.0%)
* Alpha Bank AE...................................... 121,090 182,739
Bank of Greece..................................... 25,557 358,688
* Ellaktor SA........................................ 973,195 1,403,651
* Intracom Holdings SA............................... 855,955 817,612
* Piraeus Bank SA.................................... 1,682 2,470
--------------
TOTAL GREECE 2,765,160
--------------
HONG KONG -- (0.0%)
* China Rare Earth Holdings, Ltd..................... 7,028,600 310,211
--------------
HUNGARY -- (0.2%)
# MOL Hungarian Oil & Gas P.L.C...................... 2,932,548 30,748,508
OTP Bank P.L.C..................................... 269,536 9,683,197
Richter Gedeon Nyrt................................ 21,339 396,382
--------------
TOTAL HUNGARY 40,828,087
--------------
INDIA -- (12.3%)
* 5Paisa Capital, Ltd................................ 75,677 184,865
Aarti Drugs, Ltd................................... 16,264 130,962
* Aban Offshore, Ltd................................. 77,993 78,059
ACC, Ltd........................................... 475,507 8,816,959
Adani Enterprises, Ltd............................. 3,374,526 7,754,782
* Adani Gas, Ltd..................................... 3,374,526 2,763,237
* Adani Green Energy, Ltd............................ 2,568,014 1,364,853
* Adani Power, Ltd................................... 5,210,321 3,227,177
* Adani Transmissions, Ltd........................... 674,212 1,507,675
* Aditya Birla Capital, Ltd.......................... 1,689,688 2,394,113
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
INDIA -- (Continued)
* Aditya Birla Fashion and Retail, Ltd............... 1,821,411 $ 4,425,089
Alembic, Ltd....................................... 518,846 298,966
* Allahabad Bank..................................... 1,291,820 772,457
Allcargo Logistics, Ltd............................ 462,900 635,161
Ambuja Cements, Ltd................................ 4,289,850 11,420,844
* Amtek Auto, Ltd.................................... 1,036,955 65,298
Anant Raj, Ltd..................................... 884,689 429,079
* Andhra Bank........................................ 2,343,184 939,403
Andhra Sugars, Ltd. (The).......................... 14,835 73,839
Apar Industries, Ltd............................... 155,271 1,166,100
Apollo Tyres, Ltd.................................. 4,163,726 12,268,952
Arvind, Ltd........................................ 2,074,030 9,603,351
Ashiana Housing, Ltd............................... 37,295 63,544
Ashoka Buildcon, Ltd............................... 567,283 872,504
Asian Granito India, Ltd........................... 4,325 10,491
Astra Microwave Products, Ltd...................... 107,891 114,608
Aurobindo Pharma, Ltd.............................. 1,151,205 12,414,326
* Axis Bank, Ltd..................................... 11,193,280 87,680,593
* Bajaj Hindusthan Sugar, Ltd........................ 1,266,222 174,826
Bajaj Holdings & Investment, Ltd................... 391,038 14,894,112
Balkrishna Industries, Ltd......................... 88,982 1,314,023
Balmer Lawrie & Co., Ltd........................... 597,383 1,575,777
* Balrampur Chini Mills, Ltd......................... 2,074,917 2,981,699
Banco Products India, Ltd.......................... 111,231 267,061
* Bank of Baroda..................................... 4,632,816 6,917,623
* Bank of India...................................... 737,171 858,325
* Bank of Maharashtra................................ 969,657 177,954
Bannari Amman Sugars, Ltd.......................... 295 7,029
BEML, Ltd.......................................... 52,357 416,144
Bharat Electronics, Ltd............................ 3,556,074 4,466,572
Bharat Heavy Electricals, Ltd...................... 7,729,434 7,207,493
Bharti Airtel, Ltd................................. 16,624,129 65,573,870
Bharti Infratel, Ltd............................... 1,311,841 4,731,214
Birla Corp., Ltd................................... 177,985 1,358,235
Bodal Chemicals, Ltd............................... 86,611 136,351
Bombay Dyeing & Manufacturing Co., Ltd............. 11,606 16,445
Brigade Enterprises, Ltd........................... 187,699 405,861
BSE, Ltd........................................... 65,358 530,007
Can Fin Homes, Ltd................................. 137,310 510,141
* Canara Bank........................................ 1,065,655 3,773,368
Ceat, Ltd.......................................... 251,385 3,895,432
* Central Bank of India.............................. 70,316 30,506
Century Textiles & Industries, Ltd................. 12,794 142,259
* CG Power and Industrial Solutions, Ltd............. 3,762,643 1,800,201
Chambal Fertilizers & Chemicals, Ltd............... 1,903,272 3,693,576
Chennai Super Kings Cricket, Ltd................... 5,080,767 28,989
Cipla, Ltd......................................... 232,783 1,970,592
City Union Bank, Ltd............................... 1,583,412 3,633,291
* Coffee Day Enterprises, Ltd........................ 38,981 137,328
Container Corp. Of India, Ltd...................... 322,944 2,763,179
* Corp. Bank......................................... 1,646,469 601,565
* Cox & Kings Financial Service, Ltd................. 447,523 393,992
Cox & Kings, Ltd................................... 1,342,568 3,803,052
Cyient, Ltd........................................ 124,698 1,044,988
Dalmia Bharat, Ltd................................. 89,076 2,519,663
DB Corp., Ltd...................................... 119,605 266,073
* DB Realty, Ltd..................................... 572,302 156,000
DCB Bank, Ltd...................................... 2,592,693 5,556,784
DCM Shriram, Ltd................................... 439,667 2,439,342
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
INDIA -- (Continued)
Deepak Fertilisers & Petrochemicals Corp., Ltd..... 383,396 $ 1,020,128
Delta Corp., Ltd................................... 51,743 164,929
* DEN Networks, Ltd.................................. 391,626 360,454
* Dena Bank.......................................... 305,763 66,587
Dewan Housing Finance Corp., Ltd................... 2,299,350 6,983,537
Dhampur Sugar Mills, Ltd........................... 49,279 105,350
* Dishman Carbogen Amcis, Ltd........................ 1,112,429 3,529,279
DLF, Ltd........................................... 4,286,621 9,507,544
Dr Reddy's Laboratories, Ltd., ADR................. 263,337 8,961,358
Dr Reddy's Laboratories, Ltd....................... 496,386 17,049,282
Dredging Corp. of India, Ltd....................... 12,603 53,891
eClerx Services, Ltd............................... 2,417 34,674
Edelweiss Financial Services, Ltd.................. 334,855 735,196
EID Parry India, Ltd............................... 971,919 2,917,748
EIH, Ltd........................................... 983,731 2,145,258
Electrosteel Castings, Ltd......................... 948,259 259,123
Engineers India, Ltd............................... 678,889 1,067,735
* Eros International Media, Ltd...................... 366,181 371,461
Essel Propack, Ltd................................. 1,200,048 1,428,078
Exide Industries, Ltd.............................. 126,332 453,703
* FDC, Ltd........................................... 56,441 152,970
Federal Bank, Ltd.................................. 13,007,526 14,538,467
FIEM Industries, Ltd............................... 2,436 20,131
Finolex Cables, Ltd................................ 506,794 3,431,508
Finolex Industries, Ltd............................ 126,285 930,376
Firstsource Solutions, Ltd......................... 2,945,911 2,433,687
* Fortis Healthcare, Ltd............................. 2,206,119 4,175,934
* Future Enterprises, Ltd............................ 1,523,254 803,032
* Future Retail, Ltd................................. 1,095,978 7,274,848
GAIL India, Ltd.................................... 6,693,221 33,983,509
Gateway Distriparks, Ltd........................... 358,715 645,461
Gati, Ltd.......................................... 761,861 770,967
Genus Power Infrastructures, Ltd................... 32,426 12,722
GHCL, Ltd.......................................... 367,289 1,130,733
GIC Housing Finance, Ltd........................... 142,373 493,279
Glenmark Pharmaceuticals, Ltd...................... 766,829 6,425,557
GOCL Corp., Ltd.................................... 4,209 16,750
* Godawari Power and Ispat, Ltd...................... 78,671 404,843
Godfrey Phillips India, Ltd........................ 70,572 735,080
Granules India, Ltd................................ 1,885,387 2,506,620
Grasim Industries, Ltd............................. 2,055,461 23,120,304
Great Eastern Shipping Co., Ltd. (The)............. 870,198 3,663,192
Greaves Cotton, Ltd................................ 340,138 535,187
Gujarat Alkalies & Chemicals, Ltd.................. 342,773 2,476,006
Gujarat Ambuja Exports, Ltd........................ 135,969 444,220
Gujarat Fluorochemicals, Ltd....................... 387,110 4,623,603
Gujarat Mineral Development Corp., Ltd............. 1,228,209 1,438,713
Gujarat Narmada Valley Fertilizers & Chemicals,
Ltd.............................................. 655,128 2,951,317
Gujarat Pipavav Port, Ltd.......................... 245,747 331,539
Gujarat State Fertilizers & Chemicals, Ltd......... 2,186,080 3,094,848
Gujarat State Petronet, Ltd........................ 2,384,500 5,768,306
* Hathway Cable & Datacom, Ltd....................... 684,589 278,646
HBL Power Systems, Ltd............................. 174,131 70,131
HCL Technologies, Ltd.............................. 79,232 1,139,572
HeidelbergCement India, Ltd........................ 396,490 760,532
Hikal, Ltd......................................... 295,081 638,206
HIL, Ltd........................................... 17,515 528,913
Himachal Futuristic Communications, Ltd............ 7,434,134 2,128,966
Himatsingka Seide, Ltd............................. 347,051 1,121,030
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
INDIA -- (Continued)
Hindalco Industries, Ltd........................... 11,292,426 $33,623,344
Hinduja Global Solutions, Ltd...................... 74,046 657,699
Hindustan Media Ventures, Ltd...................... 11,103 19,448
Honda SIEL Power Products, Ltd..................... 3,435 48,434
* Housing Development & Infrastructure, Ltd.......... 2,719,300 745,047
HSIL, Ltd.......................................... 429,703 1,385,118
HT Media, Ltd...................................... 800,270 428,895
Huhtamaki PPL, Ltd................................. 6,622 19,314
I G Petrochemicals, Ltd............................ 15,701 92,719
ICICI Bank, Ltd., Sponsored ADR.................... 9,736,742 92,401,680
* IDBI Bank, Ltd..................................... 2,655,560 2,121,760
IDFC Bank, Ltd..................................... 11,560,990 5,412,967
IDFC, Ltd.......................................... 8,872,862 4,407,907
* IFCI, Ltd.......................................... 8,839,280 1,651,604
IIFL Holdings, Ltd................................. 2,709,306 16,876,707
* IL&FS Transportation Networks, Ltd................. 529,814 141,905
India Cements, Ltd. (The).......................... 2,685,958 3,267,113
India Glycols, Ltd................................. 118,892 614,450
* Indiabulls Real Estate, Ltd........................ 2,831,621 2,879,115
* Indian Bank........................................ 519,386 1,763,202
Indian Hotels Co., Ltd. (The)...................... 4,335,404 7,570,848
Indian Hume Pipe Co., Ltd.......................... 2,945 10,827
Indo Count Industries, Ltd......................... 363,483 334,421
Indoco Remedies, Ltd............................... 52,819 135,498
INEOS Styrolution India, Ltd....................... 32,615 295,393
Infosys, Ltd....................................... 696,020 6,427,742
Ingersoll-Rand India, Ltd.......................... 46,093 322,740
* Inox Leisure, Ltd.................................. 18,187 54,056
* Inox Wind, Ltd..................................... 45,583 51,940
Insecticides India, Ltd............................ 12,305 69,118
* Intellect Design Arena, Ltd........................ 476,136 1,607,965
* International Paper APPM, Ltd...................... 25,252 165,575
Ipca Laboratories, Ltd............................. 23,144 213,372
ITD Cementation India, Ltd......................... 127,859 199,725
J Kumar Infraprojects, Ltd......................... 141,986 240,599
Jagran Prakashan, Ltd.............................. 387,987 582,731
Jai Corp., Ltd..................................... 737,204 1,030,028
Jain Irrigation Systems, Ltd....................... 5,462,650 5,254,741
* Jaiprakash Associates, Ltd......................... 17,658,065 1,558,918
* Jammu & Kashmir Bank, Ltd. (The)................... 3,014,805 1,716,447
* Jaypee Infratech, Ltd.............................. 3,502,595 109,600
JB Chemicals & Pharmaceuticals, Ltd................ 416,210 1,733,613
JBF Industries, Ltd................................ 171,506 44,890
Jindal Poly Films, Ltd............................. 247,064 903,755
Jindal Saw, Ltd.................................... 1,852,856 2,139,382
* Jindal Stainless Hisar, Ltd........................ 10,311 13,675
* Jindal Stainless, Ltd.............................. 222,465 157,877
* Jindal Steel & Power, Ltd.......................... 3,263,783 7,518,962
JK Cement, Ltd..................................... 205,774 1,866,921
JK Lakshmi Cement, Ltd............................. 396,116 1,441,758
JK Paper, Ltd...................................... 543,355 1,235,220
JK Tyre & Industries, Ltd.......................... 1,145,678 1,602,693
JM Financial, Ltd.................................. 3,611,805 3,689,297
JMC Projects India, Ltd............................ 131,140 149,836
* JSW Energy, Ltd.................................... 5,451,141 4,730,723
* JSW Holdings, Ltd.................................. 2,820 83,044
JSW Steel, Ltd..................................... 14,073,872 64,500,655
Jubilant Life Sciences, Ltd........................ 1,028,152 9,172,039
Kalpataru Power Transmission, Ltd.................. 671,568 2,922,850
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
--------- -------------------------------
INDIA -- (Continued)
Kalyani Steels, Ltd................................ 81,065 $ 250,181
Karnataka Bank, Ltd. (The)......................... 2,303,013 3,223,102
Karur Vysya Bank, Ltd. (The)....................... 2,882,794 3,093,071
* Kaveri Seed Co., Ltd............................... 104,478 700,981
KCP, Ltd........................................... 226,777 303,916
* Kiri Industries, Ltd............................... 93,041 577,376
Kirloskar Brothers, Ltd............................ 64,949 176,066
Kirloskar Oil Engines, Ltd......................... 294,687 864,500
Kitex Garments, Ltd................................ 7,052 10,566
KNR Constructions, Ltd............................. 121,242 294,697
Kolte-Patil Developers, Ltd........................ 153,124 503,928
KPIT Technologies, Ltd............................. 2,056,795 6,166,951
KPR Mill, Ltd...................................... 22,143 178,719
KRBL, Ltd.......................................... 96,906 446,384
L&T Finance Holdings, Ltd.......................... 3,608,277 6,211,829
Lakshmi Machine Works, Ltd......................... 1,659 129,418
* Lakshmi Vilas Bank, Ltd. (The)..................... 474,085 567,140
Larsen & Toubro, Ltd............................... 4,341,385 76,144,793
Laurus Labs, Ltd................................... 31,029 143,124
LG Balakrishnan & Bros, Ltd........................ 18,860 109,181
LIC Housing Finance, Ltd........................... 2,374,495 13,164,764
Linde India, Ltd................................... 56,811 338,602
LT Foods, Ltd...................................... 507,279 246,665
Lumax Auto Technologies, Ltd....................... 26,710 63,168
Lupin, Ltd......................................... 2,088,375 24,875,246
Magma Fincorp, Ltd................................. 287,143 414,698
Maharashtra Scooters, Ltd.......................... 5,257 163,080
Maharashtra Seamless, Ltd.......................... 176,428 1,128,841
Mahindra & Mahindra Financial Services, Ltd........ 1,602,790 8,797,113
Mahindra & Mahindra, Ltd........................... 4,781,519 49,477,171
* Mahindra CIE Automotive, Ltd....................... 68,076 244,004
Mahindra Lifespace Developers, Ltd................. 247,493 1,364,191
Maithan Alloys, Ltd................................ 20,557 145,069
* Majesco, Ltd....................................... 8,348 54,134
Man Infraconstruction, Ltd......................... 232,063 121,614
Manappuram Finance, Ltd............................ 5,540,541 5,980,487
Mangalam Cement, Ltd............................... 7,882 21,845
Marksans Pharma, Ltd............................... 977,705 383,403
Mastek, Ltd........................................ 100,251 612,964
* Max India, Ltd..................................... 473,583 435,305
McLeod Russel India, Ltd........................... 714,387 1,297,836
Meghmani Organics, Ltd............................. 918,506 896,033
Mercator, Ltd...................................... 273,477 50,324
Merck, Ltd......................................... 62,631 2,631,162
Mirza International, Ltd........................... 72,490 78,566
MOIL, Ltd.......................................... 451,682 1,081,916
Monte Carlo Fashions, Ltd.......................... 6,053 28,212
Mphasis, Ltd....................................... 519,146 6,940,129
MPS, Ltd........................................... 3,844 27,540
MRF, Ltd........................................... 13,476 11,795,128
Munjal Showa, Ltd.................................. 11,077 26,809
Muthoot Finance, Ltd............................... 903,875 4,999,270
* Nagarjuna Fertilizers & Chemicals, Ltd............. 1,812,637 227,067
National Aluminium Co., Ltd........................ 4,964,081 4,586,955
* National Fertilizers, Ltd.......................... 33,882 16,501
Nava Bharat Ventures, Ltd.......................... 651,690 1,019,345
Navin Fluorine International, Ltd.................. 19,225 167,783
* Navkar Corp., Ltd.................................. 161,123 146,057
NCC, Ltd........................................... 6,595,141 6,687,567
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
INDIA -- (Continued)
* Neuland Laboratories, Ltd.......................... 1,152 $ 8,897
NIIT Technologies, Ltd............................. 537,348 8,910,767
* NIIT, Ltd.......................................... 883,919 850,871
Nilkamal, Ltd...................................... 56,350 1,215,696
NOCIL, Ltd......................................... 272,770 570,253
Nucleus Software Exports, Ltd...................... 25,508 133,439
Oberoi Realty, Ltd................................. 609,858 3,475,038
OCL India, Ltd..................................... 106,796 1,308,213
Omaxe, Ltd......................................... 440,368 1,280,372
Orient Cement, Ltd................................. 621,657 702,143
* Oriental Bank of Commerce.......................... 975,550 1,056,723
Parag Milk Foods, Ltd.............................. 29,693 103,776
* Patel Engineering, Ltd............................. 17,563 8,739
PC Jeweller, Ltd................................... 1,220,290 967,089
Persistent Systems, Ltd............................ 267,798 2,052,875
Petronet LNG, Ltd.................................. 4,844,788 14,855,944
Phillips Carbon Black, Ltd......................... 382,914 1,169,500
Piramal Enterprises, Ltd........................... 739,433 21,523,702
PNB Housing Finance, Ltd........................... 7,080 76,040
PNC Infratech, Ltd................................. 208,046 389,806
Polyplex Corp., Ltd................................ 70,641 500,690
Power Finance Corp., Ltd........................... 6,211,801 8,027,795
Power Mech Projects, Ltd........................... 20,884 247,503
* Prabhat Dairy, Ltd................................. 172,202 237,606
Praj Industries, Ltd............................... 1,158,084 1,729,044
* Prakash Industries, Ltd............................ 623,087 885,374
Prestige Estates Projects, Ltd..................... 428,381 1,118,725
PTC India Financial Services, Ltd.................. 2,660,009 550,576
PTC India, Ltd..................................... 3,168,880 3,286,242
* Punjab National Bank............................... 3,325,212 3,310,376
Puravankara, Ltd................................... 540,207 480,890
Quick Heal Technologies, Ltd....................... 66,350 180,361
Radico Khaitan, Ltd................................ 509,550 2,695,837
Rain Commodities, Ltd.............................. 885,256 2,199,714
Rajesh Exports, Ltd................................ 379,232 2,919,264
Rallis India, Ltd.................................. 285,411 657,288
Ramco Industries, Ltd.............................. 119,330 300,350
* Ramco Systems, Ltd................................. 20,610 85,081
Ramkrishna Forgings, Ltd........................... 12,991 94,467
Rashtriya Chemicals & Fertilizers, Ltd............. 1,435,385 1,154,299
Ratnamani Metals & Tubes, Ltd...................... 6,971 77,515
Raymond, Ltd....................................... 298,430 3,035,045
Redington India, Ltd............................... 2,396,812 2,692,831
Reliance Capital, Ltd.............................. 1,546,388 5,067,625
* Reliance Communications, Ltd....................... 9,358,526 1,572,825
Reliance Home Finance, Ltd......................... 1,766,396 979,190
Reliance Industries, Ltd., GDR..................... 98,068 2,799,281
Reliance Industries, Ltd........................... 34,030,289 487,144,109
* Reliance Power, Ltd................................ 8,848,791 3,627,115
Repco Home Finance, Ltd............................ 161,193 804,019
Rico Auto Industries, Ltd.......................... 173,157 175,445
* Ruchi Soya Industries, Ltd......................... 456,150 35,075
Rural Electrification Corp., Ltd................... 9,418,048 14,864,485
S Chand & Co., Ltd................................. 5,198 13,421
Sadbhav Engineering, Ltd........................... 53,649 151,074
* Sanghi Industries, Ltd............................. 133,780 110,720
* Sanghvi Movers, Ltd................................ 34,909 55,405
Sarda Energy & Minerals, Ltd....................... 55,259 226,339
Sasken Technologies, Ltd........................... 18,086 162,621
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
INDIA -- (Continued)
Sequent Scientific, Ltd............................ 435,379 $ 285,983
Seshasayee Paper & Boards, Ltd..................... 11,195 174,934
Sharda Cropchem, Ltd............................... 22,892 99,128
Shilpa Medicare, Ltd............................... 4,373 22,957
* Shipping Corp. of India, Ltd....................... 1,684,388 1,003,794
* Shree Renuka Sugars, Ltd........................... 334,703 58,553
Shriram City Union Finance, Ltd.................... 21,358 469,075
Shriram Transport Finance Co., Ltd................. 1,187,712 18,554,646
* Sical Logistics, Ltd............................... 3,268 6,838
Simplex Infrastructures, Ltd....................... 88,696 275,762
Sintex Industries, Ltd............................. 2,517,100 407,795
* Sintex Plastics Technology, Ltd.................... 7,695,076 2,709,222
Siyaram Silk Mills, Ltd............................ 5,861 28,171
SML ISUZU, Ltd..................................... 17,544 174,706
Sobha, Ltd......................................... 769,693 4,624,058
* Solara Active Pharma Sciences, Ltd................. 1,685 7,394
Somany Ceramics, Ltd............................... 15,517 71,397
South Indian Bank, Ltd. (The)...................... 9,805,919 1,938,839
Srei Infrastructure Finance, Ltd................... 1,890,601 844,308
SRF, Ltd........................................... 223,833 5,832,973
Srikalahasthi Pipes, Ltd........................... 77,761 198,202
Star Cement, Ltd................................... 104,969 144,144
* State Bank of India................................ 11,878,292 45,099,880
* Steel Authority of India, Ltd...................... 4,730,984 4,127,112
Strides Pharma Science, Ltd........................ 10,111 57,967
Sun Pharmaceutical Industries, Ltd................. 988,323 7,744,200
Sunteck Realty, Ltd................................ 163,893 716,960
Surya Roshni, Ltd.................................. 96,151 269,027
Sutlej Textiles and Industries, Ltd................ 7,506 4,577
Suven Life Sciences, Ltd........................... 70,978 231,894
* Syndicate Bank..................................... 2,092,900 981,729
TAKE Solutions, Ltd................................ 437,601 961,164
Tamil Nadu Newsprint & Papers, Ltd................. 314,014 1,097,385
Tata Chemicals, Ltd................................ 1,272,950 11,742,800
Tata Global Beverages, Ltd......................... 3,379,577 9,905,372
* Tata Motors, Ltd., Sponsored ADR................... 103,766 1,266,983
* Tata Motors, Ltd................................... 16,824,571 40,663,558
Tata Steel, Ltd.................................... 5,248,434 39,294,892
Tata Steel, Ltd.................................... 402,178 542,800
Tech Mahindra, Ltd................................. 1,558,572 15,699,385
* Techno Electric & Engineering Co., Ltd............. 54,776 195,340
* Tejas Networks, Ltd................................ 85,981 297,056
Texmaco Rail & Engineering, Ltd.................... 348,962 293,500
Thirumalai Chemicals, Ltd.......................... 160,281 268,720
TI Financial Holdings, Ltd......................... 542,920 3,566,347
Tide Water Oil Co India, Ltd....................... 1,922 146,876
Time Technoplast, Ltd.............................. 1,140,644 1,733,457
Tinplate Co. of India, Ltd. (The).................. 215,283 438,376
Titagarh Wagons, Ltd............................... 207,006 188,430
Tourism Finance Corp. of India, Ltd................ 68,586 116,040
Transport Corp. of India, Ltd...................... 138,760 551,579
Trident, Ltd....................................... 567,084 494,816
* Triveni Engineering & Industries, Ltd.............. 47,998 30,947
Tube Investments of India, Ltd..................... 558,500 2,231,382
TV Today Network, Ltd.............................. 29,230 160,498
* TV18 Broadcast, Ltd................................ 6,567,720 3,326,720
TVS Srichakra, Ltd................................. 752 24,419
* UCO Bank........................................... 2,330,376 598,178
Uflex, Ltd......................................... 455,786 1,720,414
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
INDIA -- (Continued)
UFO Moviez India, Ltd.............................. 21,281 $ 90,796
Unichem Laboratories, Ltd.......................... 359,521 1,055,809
* Union Bank of India................................ 2,045,981 2,118,591
* Unitech, Ltd....................................... 12,073,793 350,927
UPL, Ltd........................................... 328,518 2,984,448
VA Tech Wabag, Ltd................................. 180,499 612,164
Vardhman Textiles, Ltd............................. 239,481 3,252,151
Vedanta, Ltd....................................... 18,349,151 52,350,731
Vedanta, Ltd., ADR................................. 924,092 10,294,389
Vijaya Bank........................................ 2,775,054 1,650,853
Vindhya Telelinks, Ltd............................. 16,260 327,534
Visaka Industries, Ltd............................. 17,061 109,768
* Vodafone Idea, Ltd................................. 18,594,249 9,721,538
Welspun Corp., Ltd................................. 1,121,673 2,090,569
Welspun Enterprises, Ltd........................... 646,670 1,070,194
Welspun India, Ltd................................. 1,231,684 981,164
West Coast Paper Mills, Ltd........................ 150,026 791,954
Wipro, Ltd......................................... 9,490,080 42,587,054
* Wockhardt, Ltd..................................... 276,374 1,846,632
Yes Bank, Ltd...................................... 4,790,818 12,200,324
* Zee Media Corp., Ltd............................... 374,089 126,618
Zensar Technologies, Ltd........................... 829,415 2,878,974
* Zuari Agro Chemicals, Ltd.......................... 23,149 77,479
--------------
TOTAL INDIA............................................ 2,068,323,463
--------------
INDONESIA -- (2.4%)
Adaro Energy Tbk PT................................ 201,627,100 21,910,010
Adhi Karya Persero Tbk PT.......................... 24,162,200 1,790,714
* Agung Podomoro Land Tbk PT......................... 81,295,500 749,142
AKR Corporindo Tbk PT.............................. 508,700 115,848
* Alam Sutera Realty Tbk PT.......................... 159,012,300 2,913,126
Aneka Tambang Tbk PT............................... 89,064,177 3,997,392
Asahimas Flat Glass Tbk PT......................... 4,882,900 1,413,881
Astra Agro Lestari Tbk PT.......................... 3,695,867 2,922,325
Astra Graphia Tbk PT............................... 436,900 38,706
Astra International Tbk PT......................... 4,065,100 2,114,522
Astra Otoparts Tbk PT.............................. 345,400 32,721
* Astrindo Nusantara Infrastructure Tbk PT........... 142,047,100 468,154
* Bakrie and Brothers Tbk PT......................... 5,548,865 18,246
* Bakrie Telecom Tbk PT.............................. 160,430,200 52,764
* Bank Bukopin Tbk................................... 54,046,033 1,180,744
Bank Danamon Indonesia Tbk PT...................... 32,878,254 16,069,804
Bank Mandiri Persero Tbk PT........................ 114,365,362 51,386,787
Bank Negara Indonesia Persero Tbk PT............... 89,706,241 43,314,367
* Bank Pan Indonesia Tbk PT.......................... 114,401,501 8,173,251
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk
PT............................................... 34,986,300 4,121,006
Bank Pembangunan Daerah Jawa Timur Tbk PT.......... 27,192,000 1,091,900
Bank Rakyat Indonesia Persero Tbk PT............... 1,869,000 387,907
Bank Tabungan Negara Persero Tbk PT................ 52,076,227 7,269,716
Bank Tabungan Pensiunan Nasional Tbk PT............ 44,900 10,836
Barito Pacific Tbk PT.............................. 46,009,400 5,686,950
Bekasi Fajar Industrial Estate Tbk PT.............. 52,848,100 487,020
BISI International Tbk PT.......................... 13,394,400 1,280,155
Blue Bird Tbk PT................................... 58,800 11,031
* Buana Lintas Lautan Tbk PT......................... 1,332,400 11,833
* Bumi Serpong Damai Tbk PT.......................... 71,866,900 5,217,605
* Centratama Telekomunikasi Indonesia Tbk PT......... 6,763,500 43,212
Ciputra Development Tbk PT......................... 168,129,778 9,092,246
* City Retail Developments Tbk PT.................... 1,000,000 6,094
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
INDONESIA -- (Continued)
* Clipan Finance Indonesia Tbk PT.................... 1,572,800 $ 25,904
* Eagle High Plantations Tbk PT...................... 111,235,400 1,284,469
Elnusa Tbk PT...................................... 51,940,700 1,280,750
* Energi Mega Persada Tbk PT......................... 11,397,301 75,750
Erajaya Swasembada Tbk PT.......................... 13,892,700 1,553,895
* Gajah Tunggal Tbk PT............................... 16,976,300 693,326
* Garuda Indonesia Persero Tbk PT.................... 45,666,781 606,414
Global Mediacom Tbk PT............................. 102,794,700 2,220,279
* Hanson International Tbk PT........................ 48,742,700 388,446
Harum Energy Tbk PT................................ 11,888,400 1,535,919
Hexindo Adiperkasa Tbk PT.......................... 721,744 135,444
* Holcim Indonesia Tbk PT............................ 26,017,400 3,127,415
Indah Kiat Pulp & Paper Corp. Tbk PT............... 34,676,600 29,060,970
Indika Energy Tbk PT............................... 13,340,300 1,971,151
Indo Tambangraya Megah Tbk PT...................... 3,353,700 5,495,074
Indocement Tunggal Prakarsa Tbk PT................. 153,700 175,375
Indofood Sukses Makmur Tbk PT...................... 61,867,000 24,340,864
Indomobil Sukses Internasional Tbk PT.............. 708,500 88,456
* Indo-Rama Synthetics Tbk PT........................ 180,100 49,225
* Intiland Development Tbk PT........................ 96,785,100 2,074,745
Japfa Comfeed Indonesia Tbk PT..................... 46,974,650 6,282,662
Jaya Real Property Tbk PT.......................... 115,414,400 4,629,227
* Kawasan Industri Jababeka Tbk PT................... 273,325,156 3,990,830
KMI Wire & Cable Tbk PT............................ 7,493,500 121,474
* Krakatau Steel Persero Tbk PT...................... 7,314,600 178,259
* Lippo Cikarang Tbk PT.............................. 3,669,000 372,499
Lippo Karawaci Tbk PT.............................. 261,757,349 4,836,924
* Malindo Feedmill Tbk PT............................ 8,083,300 659,095
* Matahari Putra Prima Tbk PT........................ 4,231,700 41,778
* Medco Energi Internasional Tbk PT.................. 110,730,466 5,973,967
Media Nusantara Citra Tbk PT....................... 15,035,400 773,590
Metrodata Electronics Tbk PT....................... 1,823,650 85,729
Mitra Pinasthika Mustika Tbk PT.................... 3,395,700 172,138
* MNC Investama Tbk PT............................... 332,569,700 1,683,146
Modernland Realty Tbk PT........................... 89,667,000 1,286,121
* Multipolar Tbk PT.................................. 65,539,400 366,534
Pabrik Kertas Tjiwi Kimia Tbk PT................... 696,400 473,427
Pakuwon Jati Tbk PT................................ 2,315,800 72,872
Pan Brothers Tbk PT................................ 39,179,650 1,429,712
* Panin Financial Tbk PT............................. 203,836,500 3,679,868
* Panin Insurance Tbk PT............................. 28,679,500 1,901,862
Perusahaan Perkebunan London Sumatra Indonesia Tbk
PT............................................... 43,955,784 3,736,073
PP Persero Tbk PT.................................. 29,192,600 2,561,801
Puradelta Lestari Tbk PT........................... 5,165,200 44,177
Ramayana Lestari Sentosa Tbk PT.................... 32,581,600 2,552,404
Salim Ivomas Pratama Tbk PT........................ 44,471,100 1,346,725
Sampoerna Agro PT.................................. 11,830,341 1,862,610
Selamat Sempurna Tbk PT............................ 31,125,000 3,020,615
Semen Baturaja Persero Tbk PT...................... 8,621,300 999,039
Semen Indonesia Persero Tbk PT..................... 19,945,300 11,825,912
* Sentul City Tbk PT................................. 206,604,200 1,293,015
* Siloam International Hospitals Tbk PT.............. 1,190,700 180,098
Sinar Mas Agro Resources & Technology Tbk PT....... 7,724,800 2,123,971
Sri Rejeki Isman Tbk PT............................ 123,855,400 2,958,260
Summarecon Agung Tbk PT............................ 13,927,000 549,583
* Surya Esa Perkasa Tbk PT........................... 1,526,800 30,109
Surya Semesta Internusa Tbk PT..................... 47,739,500 1,464,640
* Tiga Pilar Sejahtera Food Tbk...................... 41,727,122 461,119
Timah Tbk PT....................................... 44,150,560 1,877,719
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
INDONESIA -- (Continued)
Tiphone Mobile Indonesia Tbk PT.................... 7,827,700 $ 330,146
* Trias Sentosa Tbk PT............................... 336,500 8,863
Tunas Baru Lampung Tbk PT.......................... 24,845,700 1,454,286
Tunas Ridean Tbk PT................................ 34,967,000 2,641,084
Ultrajaya Milk Industry & Trading Co. Tbk PT....... 22,039,800 1,795,484
Unggul Indah Cahaya Tbk PT......................... 304,535 71,807
United Tractors Tbk PT............................. 12,282,400 27,117,412
* Vale Indonesia Tbk PT.............................. 19,222,200 3,709,808
* Visi Media Asia Tbk PT............................. 2,555,100 22,537
Waskita Beton Precast Tbk PT....................... 68,191,400 1,428,679
Waskita Karya Persero Tbk PT....................... 24,693,700 2,344,466
Wijaya Karya Beton Tbk PT.......................... 17,903,700 353,499
Wijaya Karya Persero Tbk PT........................ 30,974,000 2,244,988
* XL Axiata Tbk PT................................... 25,142,400 4,344,812
------------
TOTAL INDONESIA......................................... 395,331,341
------------
MALAYSIA -- (2.9%)
Aeon Co. M Bhd..................................... 345,700 139,625
AFFIN Bank Bhd..................................... 10,493,750 5,670,379
AirAsia Group Bhd.................................. 17,947,500 11,276,310
* AirAsia X Bhd...................................... 1,246,100 68,644
Alliance Bank Malaysia Bhd......................... 15,016,000 14,221,851
Allianz Malaysia Bhd............................... 32,500 94,638
AMMB Holdings Bhd.................................. 19,975,062 18,155,453
# Ann Joo Resources Bhd.............................. 2,013,500 703,153
APM Automotive Holdings Bhd........................ 721,300 565,016
Batu Kawan Bhd..................................... 2,043,450 8,241,108
Benalec Holdings Bhd............................... 5,886,700 288,697
* Berjaya Assets Bhd................................. 746,100 50,156
* Berjaya Corp. Bhd.................................. 42,290,678 2,832,177
Berjaya Food Bhd................................... 121,800 40,143
* Berjaya Land Bhd................................... 13,220,000 634,130
BIMB Holdings Bhd.................................. 1,025,907 898,041
Boustead Holdings Bhd.............................. 12,294,491 4,612,316
Boustead Plantations Bhd........................... 3,008,700 679,913
* Bumi Armada Bhd.................................... 29,247,800 2,828,212
Cahya Mata Sarawak Bhd............................. 104,100 72,228
Can-One Bhd........................................ 401,400 191,841
# CB Industrial Product Holding Bhd.................. 1,722,100 445,342
Chin Teck Plantations BHD.......................... 309,100 535,302
CIMB Group Holdings Bhd............................ 49,160,594 67,265,767
CJ Century Logistics Holdings Bhd, Class B......... 71,300 8,098
# Coastal Contracts Bhd.............................. 3,193,700 695,223
CSC Steel Holdings Bhd............................. 2,010,456 494,560
Cypark Resources Bhd............................... 430,300 261,577
Dagang NeXchange Bhd............................... 909,800 80,634
* Dayang Enterprise Holdings Bhd..................... 2,480,000 316,238
# DRB-Hicom Bhd...................................... 10,460,600 4,706,283
# Eastern & Oriental Bhd............................. 10,793,313 3,051,176
# * Eco World Development Group Bhd.................... 4,203,400 1,005,226
# Ekovest BHD........................................ 10,441,300 1,224,932
Engtex Group Bhd................................... 775,500 165,976
Evergreen Fibreboard Bhd........................... 6,661,289 740,883
FAR East Holdings BHD.............................. 1,372,920 954,019
# FGV Holdings Bhd................................... 19,565,700 6,551,992
Gabungan AQRS Bhd.................................. 2,502,500 551,527
Gadang Holdings Bhd................................ 4,381,200 644,565
# Gamuda Bhd......................................... 7,870,200 4,502,708
Genting Bhd........................................ 24,402,500 42,824,828
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
MALAYSIA -- (Continued)
# Genting Malaysia Bhd................................ 20,718,500 $22,252,981
# George Kent Malaysia Bhd............................ 1,586,200 413,785
Glomac Bhd.......................................... 5,851,950 552,124
GuocoLand Malaysia Bhd.............................. 2,754,100 526,894
HAP Seng Consolidated Bhd........................... 3,657,182 8,606,460
Hap Seng Plantations Holdings Bhd................... 3,052,700 1,349,915
# Hengyuan Refining Co. Bhd........................... 930,800 1,305,613
# HeveaBoard Bhd...................................... 2,120,000 413,385
# * Hiap Teck Venture Bhd............................... 9,625,500 781,521
# Hong Leong Financial Group Bhd...................... 2,818,534 12,392,200
Hong Leong Industries Bhd........................... 577,200 1,456,678
Hua Yang Bhd........................................ 1,561,810 140,501
I-Bhd............................................... 84,900 9,352
# IGB Bhd............................................. 3,210,195 1,939,302
IJM Corp. Bhd....................................... 32,369,218 12,618,348
# Insas Bhd........................................... 7,075,700 1,184,174
IOI Properties Group Bhd............................ 6,834,825 2,140,067
* Iris Corp. Bhd...................................... 19,270,000 668,314
# * Iskandar Waterfront City Bhd........................ 3,703,000 442,854
# * JAKS Resources Bhd.................................. 3,622,500 789,208
Jaya Tiasa Holdings Bhd............................. 5,444,733 696,634
JCY International Bhd............................... 8,591,700 513,603
Keck Seng Malaysia Bhd.............................. 2,504,000 2,435,783
Kenanga Investment Bank Bhd......................... 2,123,487 314,877
# Kian JOO CAN Factory Bhd............................ 4,458,080 2,348,079
# Kimlun Corp. Bhd.................................... 912,902 253,324
# * KNM Group Bhd....................................... 24,453,390 788,440
Kretam Holdings Bhd................................. 3,429,400 332,349
# * KSL Holdings Bhd.................................... 8,161,651 1,384,266
Kumpulan Fima BHD................................... 1,960,700 718,017
# Kumpulan Perangsang Selangor Bhd.................... 2,391,307 715,679
* Kwantas Corp. BHD................................... 187,500 51,449
* Land & General Bhd.................................. 33,231,420 1,228,478
* Landmarks Bhd....................................... 2,119,208 283,558
# LBS Bina Group Bhd.................................. 8,370,780 1,362,844
# * Lion Industries Corp. Bhd........................... 3,076,300 522,540
Magnum Bhd.......................................... 6,044,000 2,617,594
Mah Sing Group Bhd.................................. 14,040,162 3,222,631
Malayan Banking Bhd................................. 8,003,101 18,164,972
Malayan Flour Mills Bhd............................. 3,267,850 797,397
* Malayan United Industries Bhd....................... 881,500 33,788
Malaysia Airports Holdings Bhd...................... 601,254 1,195,105
# Malaysia Building Society Bhd....................... 13,047,004 2,936,887
# Malaysia Marine and Heavy Engineering Holdings Bhd.. 2,406,100 339,032
# * Malaysian Bulk Carriers Bhd......................... 4,598,325 521,005
Malaysian Pacific Industries Bhd.................... 229,575 595,896
# Malaysian Resources Corp. Bhd....................... 24,219,700 4,235,082
Malton Bhd.......................................... 4,504,200 534,039
Matrix Concepts Holdings Bhd........................ 567,800 250,980
MBM Resources BHD................................... 2,625,103 1,248,969
# * Media Prima Bhd..................................... 6,626,700 641,795
Mega First Corp. Bhd................................ 1,781,400 1,290,989
MISC Bhd............................................ 12,922,804 18,813,243
Mitrajaya Holdings Bhd.............................. 496,730 39,870
* MK Land Holdings Bhd................................ 1,299,600 57,612
MKH Bhd............................................. 4,260,078 1,260,878
MMC Corp. Bhd....................................... 10,859,680 2,781,049
# * MNRB Holdings Bhd................................... 5,589,959 1,310,969
* MPHB Capital Bhd.................................... 53,100 14,714
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
MALAYSIA -- (Continued)
Muda Holdings Bhd.................................. 1,136,000 $ 432,476
* Mudajaya Group Bhd................................. 4,184,700 314,896
# Muhibbah Engineering M Bhd......................... 4,342,400 2,877,464
# * Mulpha International Bhd........................... 2,063,860 912,855
* Naim Holdings Bhd.................................. 1,311,100 140,964
OCK Group Bhd...................................... 108,300 12,569
# Oriental Holdings BHD.............................. 3,357,079 4,836,822
# OSK Holdings Bhd................................... 11,770,806 2,562,261
Pacific & Orient Bhd............................... 390,052 94,036
Panasonic Manufacturing Malaysia Bhd............... 250,880 2,284,300
Pantech Group Holdings Bhd......................... 4,446,309 483,982
Paramount Corp. Bhd................................ 1,734,425 850,859
# * Parkson Holdings Bhd............................... 6,253,028 493,577
Petron Malaysia Refining & Marketing Bhd........... 145,000 250,714
PIE Industrial Bhd................................. 181,200 66,353
PPB Group Bhd...................................... 5,045,239 20,216,836
Protasco Bhd....................................... 4,370,991 366,289
# RHB Bank Bhd....................................... 9,062,200 11,337,155
* Rimbunan Sawit Bhd................................. 6,810,000 277,010
# * Sapura Energy Bhd.................................. 41,938,100 3,396,530
# Sarawak Oil Palms Bhd.............................. 677,967 421,420
Selangor Dredging Bhd.............................. 1,300,900 224,226
Selangor Properties Bhd............................ 75,300 96,595
Shangri-La Hotels Malaysia Bhd..................... 511,500 675,338
SHL Consolidated Bhd............................... 331,800 186,900
Sime Darby Bhd..................................... 12,481,600 6,565,545
Sime Darby Property Bhd............................ 2,879,500 672,619
SP Setia Bhd Group................................. 6,756,123 3,394,866
Star Media Group Bhd............................... 1,710,000 312,897
* Sumatec Resources Bhd.............................. 2,855,100 20,597
# Sunway Bhd......................................... 16,127,671 5,281,096
Supermax Corp. Bhd................................. 4,472,500 3,408,471
Suria Capital Holdings Bhd......................... 824,400 301,187
Symphony Life Bhd.................................. 222,624 18,616
Ta Ann Holdings Bhd................................ 2,445,826 1,345,283
TA Enterprise Bhd.................................. 17,678,300 2,536,993
TA Global Bhd...................................... 15,391,880 974,917
# Tan Chong Motor Holdings Bhd....................... 3,639,500 1,287,977
TDM Bhd............................................ 10,542,920 516,834
TH Plantations Bhd................................. 900,500 134,591
Thong Guan Industries Bhd.......................... 114,200 59,772
TIME dotCom Bhd.................................... 3,161,480 5,896,150
* Tiong NAM Logistics Holdings....................... 1,474,262 305,553
Titijaya Land Bhd.................................. 317,200 23,890
Tropicana Corp. Bhd................................ 8,398,246 1,747,200
TSH Resources Bhd.................................. 95,400 23,059
Tune Protect Group Bhd............................. 755,500 112,818
UEM Edgenta Bhd.................................... 1,330,200 815,165
# UEM Sunrise Bhd.................................... 19,521,445 3,201,844
UMW Holdings Bhd................................... 671,900 763,550
Unisem M Bhd....................................... 5,554,100 3,839,377
United Malacca Bhd................................. 960,500 1,312,673
United Plantations Bhd............................. 7,000 44,821
UOA Development Bhd................................ 8,522,800 3,976,517
# * Velesto Energy Bhd................................. 16,557,527 1,027,493
* Vivocom International Holdings Bhd................. 3,725,667 22,246
* Vizione Holdings Bhd............................... 130,271 27,993
* Wah Seong Corp. Bhd................................ 3,838,083 820,999
# WCT Holdings Bhd................................... 11,686,262 2,265,389
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
MALAYSIA -- (Continued)
WTK Holdings Bhd................................... 5,153,250 $ 566,928
# YNH Property Bhd................................... 6,425,950 2,069,016
YTL Corp. Bhd...................................... 60,621,943 15,383,704
* YTL Land & Development Bhd......................... 879,200 83,865
------------
TOTAL MALAYSIA.......................................... 481,103,917
------------
MEXICO -- (3.3%)
Alfa S.A.B. de C.V., Class A....................... 31,425,253 33,230,253
Alpek S.A.B. de C.V................................ 4,125,775 5,473,749
Arca Continental S.A.B. de C.V..................... 730,293 3,667,059
* Axtel S.A.B. de C.V................................ 2,911,685 475,886
Banco del Bajio SA................................. 208,093 408,334
Banco Santander Mexico SA Institucion de Banca
Multiple Grupo Financiero Santand, ADR........... 1,848,434 11,608,166
# Banco Santander Mexico SA Institucion de Banca
Multiple Grupo Financiero Santand, Class B....... 4,993,822 6,251,727
# Becle S.A.B. de C.V................................ 1,190,388 1,464,453
* Bio Pappel S.A.B. de C.V........................... 418,232 429,901
* Cemex S.A.B. de C.V., Sponsored ADR................ 8,230,918 41,483,824
Coca-Cola Femsa S.A.B. de C.V...................... 1,106,840 6,321,219
Coca-Cola Femsa S.A.B. de C.V., Sponsored ADR...... 108,685 6,193,958
Consorcio ARA S.A.B. de C.V........................ 8,636,113 2,283,038
* Corp Interamericana de Entretenimiento S.A.B. de
C.V., Class B.................................... 1,519,014 1,415,949
Corp. Actinver S.A.B. de C.V....................... 105,133 67,283
Credito Real S.A.B. de C.V. SOFOM ER............... 1,437,906 1,636,586
Cydsa S.A.B. de C.V................................ 5,874 8,759
# * Dine S.A.B. de C.V................................. 1,027,267 469,554
El Puerto de Liverpool S.A.B. de C.V............... 479,628 3,045,894
Fomento Economico Mexicano S.A.B. de C.V.,
Sponsored ADR.................................... 828,427 70,474,285
# * Genomma Lab Internacional S.A.B. de C.V., Class B.. 318,685 202,696
# Gentera S.A.B. de C.V.............................. 1,595,697 1,293,007
* Grupo Aeromexico S.A.B. de C.V..................... 1,437,507 1,584,472
Grupo Bimbo S.A.B. de C.V.......................... 41,500 77,593
# Grupo Carso S.A.B. de C.V.......................... 6,079,906 17,805,797
# Grupo Cementos de Chihuahua S.A.B. de C.V.......... 2,340,857 12,676,173
Grupo Comercial Chedraui S.A. de C.V............... 3,045,573 5,378,002
# Grupo Elektra S.A.B. de C.V........................ 253,183 10,718,983
# * Grupo Famsa S.A.B. de C.V., Class A................ 2,553,848 1,267,290
# Grupo Financiero Banorte S.A.B. de C.V............. 16,763,095 92,417,464
# Grupo Financiero Inbursa S.A.B. de C.V............. 14,982,956 19,524,145
* Grupo Gigante S.A.B. de C.V........................ 471,076 879,387
Grupo Herdez S.A.B. de C.V......................... 977,438 1,811,652
* Grupo Hotelero Santa Fe S.A.B. de C.V.............. 72,712 32,252
Grupo Industrial Saltillo S.A.B. de C.V............ 1,355,006 1,627,615
Grupo KUO S.A.B. de C.V............................ 2,034,528 4,807,569
# Grupo Lala S.A.B. de C.V........................... 645,892 567,569
Grupo Mexico S.A.B. de C.V......................... 37,049,726 85,450,613
* Grupo Pochteca S.A.B. de C.V....................... 67,810 21,682
Grupo Posadas S.A.B. de C.V........................ 328,713 645,670
# Grupo Rotoplas S.A.B. de C.V....................... 154,019 150,127
# Grupo Sanborns S.A.B. de C.V....................... 1,379,018 1,253,884
# * Grupo Simec S.A.B. de C.V.......................... 1,067,389 2,897,936
* Grupo Sports World S.A.B. de C.V................... 293,561 289,034
Grupo Televisa S.A.B............................... 1,048,157 3,019,097
Grupo Televisa S.A.B., Sponsored ADR............... 541,782 7,790,825
* Hoteles City Express S.A.B. de C.V................. 446,808 494,908
Industrias Bachoco S.A.B. de C.V., Sponsored ADR... 32,912 1,443,520
Industrias Bachoco S.A.B. de C.V................... 1,624,707 5,941,909
* Industrias CH S.A.B. de C.V........................ 1,914,209 6,877,234
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
MEXICO -- (Continued)
Industrias Penoles S.A.B. de C.V................... 307,496 $ 4,329,384
* La Comer S.A.B. de C.V............................. 4,997,412 5,215,568
Medica Sur S.A.B. de C.V........................... 1,000 1,575
Mexichem S.A.B. de C.V............................. 10,214,475 26,716,309
# * Minera Frisco S.A.B. de C.V., Class A1............. 7,180,791 2,241,208
Nemak S.A.B. de C.V................................ 2,690,588 1,943,112
OHL Mexico S.A.B. de C.V........................... 43,335 59,584
Organizacion Cultiba S.A.B. de C.V................. 157,421 129,110
# * Organizacion Soriana S.A.B. de C.V., Class B....... 14,282,365 18,646,367
Promotora y Operadora de Infraestructura S.A.B. de
C.V.............................................. 398,758 3,620,834
Promotora y Operadora de Infraestructura S.A.B. de
C.V.............................................. 3,563 24,469
Qualitas Controladora S.A.B. de C.V................ 1,165,162 2,343,144
Rassini S.A.B. de C.V.............................. 245,193 816,817
Rassini S.A.B. de C.V., Class A.................... 68,523 109,127
# TV Azteca S.A.B. de C.V............................ 9,572,299 1,036,715
# Unifin Financiera S.A.B. de C.V. SOFOM ENR......... 187,704 351,785
# Vitro S.A.B. de C.V................................ 1,507,849 3,637,261
------------
TOTAL MEXICO............................................ 556,580,351
------------
PHILIPPINES -- (1.0%)
8990 Holdings, Inc................................. 485,900 64,361
A Soriano Corp..................................... 6,145,300 714,959
ACR Mining Corp.................................... 105,455 6,615
* Alliance Global Group, Inc......................... 37,413,406 7,967,730
Alsons Consolidated Resources, Inc................. 19,066,000 460,172
* Apex Mining Co., Inc............................... 2,248,000 76,612
* Atlas Consolidated Mining & Development Corp....... 5,351,500 290,493
Bank of the Philippine Islands..................... 767,763 1,180,485
BDO Unibank, Inc................................... 12,476,198 28,578,341
Belle Corp......................................... 2,758,000 121,731
Cebu Air, Inc...................................... 2,569,180 3,070,915
* CEMEX Holdings Philippines, Inc.................... 9,333,000 370,015
Century Properties Group, Inc...................... 28,217,400 218,640
China Banking Corp................................. 922,332 482,707
Cosco Capital, Inc................................. 16,581,400 2,099,313
DMCI Holdings, Inc................................. 3,184,500 764,789
* East West Banking Corp............................. 4,586,800 970,746
* EEI Corp........................................... 1,897,400 314,552
Emperador, Inc..................................... 1,258,100 163,747
* Empire East Land Holdings, Inc..................... 24,178,000 235,125
* Energy Development Corp............................ 5,035,869 646,663
Filinvest Development Corp......................... 142,800 19,324
Filinvest Land, Inc................................ 164,237,031 4,300,054
First Philippine Holdings Corp..................... 4,211,660 5,016,393
* Global Ferronickel Holdings, Inc................... 5,789,176 196,828
GT Capital Holdings, Inc........................... 282,897 4,020,675
Integrated Micro-Electronics, Inc.................. 350,600 70,566
International Container Terminal Services, Inc..... 767,860 1,299,486
JG Summit Holdings, Inc............................ 12,512,210 11,079,735
Lopez Holdings Corp................................ 31,957,200 2,527,815
LT Group, Inc...................................... 17,026,100 4,617,321
Megaworld Corp..................................... 125,431,200 10,348,776
Metro Retail Stores Group, Inc..................... 1,545,000 64,245
Metropolitan Bank & Trust Co....................... 7,211,994 8,847,877
Nickel Asia Corp................................... 14,900,940 707,863
Pepsi-Cola Products Philippines, Inc............... 1,602,000 49,577
Petron Corp........................................ 21,123,900 3,197,266
Philex Mining Corp................................. 1,297,000 84,320
* Philippine National Bank........................... 4,600,833 3,408,986
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
PHILIPPINES -- (Continued)
* Philippine National Construction Corp.............. 398,900 $ 6,851
Philippine Savings Bank............................ 1,195,293 1,743,865
Phinma Energy Corp................................. 25,640,000 460,625
Phoenix Petroleum Philippines, Inc................. 1,483,700 305,475
Pilipinas Shell Petroleum Corp..................... 59,430 54,034
Premium Leisure Corp............................... 1,479,000 20,469
RFM Corp........................................... 976,000 87,440
Rizal Commercial Banking Corp...................... 6,264,706 3,400,075
Robinsons Land Corp................................ 32,366,008 12,722,406
Robinsons Retail Holdings, Inc..................... 312,740 443,269
San Miguel Corp.................................... 6,453,816 20,655,405
San Miguel Food and Beverage, Inc.................. 599,990 953,860
Security Bank Corp................................. 1,944,794 5,255,716
SSI Group, Inc..................................... 2,648,000 133,817
STI Education Systems Holdings, Inc................ 11,885,000 151,154
* Top Frontier Investment Holdings, Inc.............. 628,532 3,291,108
* Travellers International Hotel Group, Inc.......... 2,808,200 272,963
Union Bank Of Philippines.......................... 4,413,349 5,514,544
Vista Land & Lifescapes, Inc....................... 65,469,168 6,468,863
------------
TOTAL PHILIPPINES....................................... 170,597,757
------------
POLAND -- (1.4%)
Agora SA........................................... 516,087 1,249,435
* Alior Bank SA...................................... 171,702 2,577,384
Amica SA........................................... 3,144 86,803
Asseco Poland SA................................... 1,113,981 14,016,716
Bank Handlowy w Warszawie SA....................... 30,090 548,800
* Bank Millennium SA................................. 4,427,257 10,191,512
* Boryszew SA........................................ 106,415 132,634
# Ciech SA........................................... 120,338 1,330,471
* Cyfrowy Polsat SA.................................. 507,896 2,920,471
* Enea SA............................................ 2,423,548 5,074,573
# Firma Oponiarska Debica SA......................... 64,729 1,790,783
* Getin Holding SA................................... 3,022,179 196,990
* Getin Noble Bank SA................................ 948,327 133,411
# Grupa Azoty SA..................................... 236,563 1,595,402
Grupa Kety SA...................................... 49,731 4,418,364
Grupa Lotos SA..................................... 1,471,574 26,534,242
* Impexmetal SA...................................... 3,428,740 2,785,706
* Jastrzebska Spolka Weglowa SA...................... 46,733 898,442
Kernel Holding SA.................................. 472,763 6,052,945
* KGHM Polska Miedz SA............................... 1,172,532 26,508,630
LC Corp. SA........................................ 1,308,893 818,359
# * Lubelski Wegiel Bogdanka SA........................ 45,495 637,710
# mBank SA........................................... 12,464 1,212,098
* Netia SA........................................... 2,058,981 2,515,470
Orbis SA........................................... 447,369 7,844,079
* PGE Polska Grupa Energetyczna SA................... 8,557,688 23,415,725
* PKP Cargo SA....................................... 75,608 792,927
* Polnord SA......................................... 5,709 13,817
Polski Koncern Naftowy Orlen S.A................... 2,559,128 61,540,376
Powszechna Kasa Oszczednosci Bank Polski SA........ 1,990,595 20,673,147
Stalexport Autostrady SA........................... 35,535 30,313
Stalprodukt SA..................................... 2,720 261,492
* Tauron Polska Energia SA........................... 10,944,247 5,076,378
# Trakcja SA......................................... 512,608 408,349
* Vistula Group SA................................... 37,292 37,849
------------
TOTAL POLAND............................................ 234,321,803
------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
RUSSIA -- (2.2%)
* AFI Development P.L.C., GDR........................ 16,827 $ 3,465
Etalon Group P.L.C., GDR........................... 102,719 236,767
Gazprom PJSC, Sponsored ADR........................ 23,529,456 111,258,703
Gazprom PJSC, Sponsored ADR........................ 48,875 229,712
Lukoil PJSC, Sponsored ADR(BYZF386)................ 1,486,443 110,948,106
Lukoil PJSC, Sponsored ADR(BYZDW2900).............. 1,526,223 113,793,494
Magnitogorsk Iron & Steel Works PJSC, GDR.......... 658,541 6,172,980
Ros Agro P.L.C., GDR............................... 1,124 11,330
Rosneft Oil Co. PJSC, GDR.......................... 2,708,027 19,037,430
RusHydro PJSC, ADR................................. 7,387,899 5,772,365
VTB Bank PJSC, GDR................................. 2,171,822 2,736,496
------------
TOTAL RUSSIA............................................ 370,200,848
------------
SINGAPORE -- (0.0%)
* Pacc Offshore Services Holdings, Ltd............... 1,776,725 290,047
------------
SOUTH AFRICA -- (6.5%)
Absa Group, Ltd.................................... 7,309,742 73,859,722
# * Adcorp Holdings, Ltd............................... 928,995 1,285,322
AECI, Ltd.......................................... 1,713,430 11,026,701
African Oxygen, Ltd................................ 116,909 231,186
# * African Phoenix Investments, Ltd................... 10,121,910 334,450
African Rainbow Minerals, Ltd...................... 1,688,326 14,294,849
Alexander Forbes Group Holdings, Ltd............... 4,851,736 1,709,002
* Allied Electronics Corp., Ltd., Class A............ 27,818 33,112
Alviva Holdings, Ltd............................... 969,688 1,157,686
Anglo American Platinum, Ltd....................... 439,470 14,307,942
AngloGold Ashanti, Ltd............................. 1,854,319 18,048,224
AngloGold Ashanti, Ltd., Sponsored ADR............. 3,227,611 30,371,819
# * ArcelorMittal South Africa, Ltd.................... 2,390,579 616,902
* Ascendis Health, Ltd............................... 171,417 88,279
Aspen Pharmacare Holdings, Ltd..................... 1,305,627 13,806,988
Assore, Ltd........................................ 81,805 1,714,214
# * Aveng, Ltd......................................... 85,419,618 290,024
Barloworld, Ltd.................................... 4,253,619 34,670,606
Blue Label Telecoms, Ltd........................... 3,106,950 1,092,006
# * Brait SE........................................... 2,567,253 6,425,715
Caxton and CTP Publishers and Printers, Ltd........ 3,089,885 2,090,727
Clover Industries, Ltd............................. 1,507,768 1,678,777
DataTec, Ltd....................................... 4,748,370 7,523,986
DRDGOLD, Ltd....................................... 5,442,943 1,375,766
* enX Group, Ltd..................................... 361,828 319,210
# EOH Holdings, Ltd.................................. 369,443 824,732
# Exxaro Resources, Ltd.............................. 2,503,520 25,605,663
# Gold Fields, Ltd................................... 2,560,837 6,770,214
Gold Fields, Ltd., Sponsored ADR................... 12,744,846 33,901,290
# * Grindrod Shipping Holdings, Ltd.................... 187,872 1,228,066
* Grindrod, Ltd...................................... 7,514,882 3,379,729
* Group Five, Ltd.................................... 1,254,769 94,579
Harmony Gold Mining Co., Ltd....................... 1,956,999 3,653,491
Harmony Gold Mining Co., Ltd., Sponsored ADR....... 491,788 904,890
* Howden Africa Holdings, Ltd........................ 9,723 27,690
Hudaco Industries, Ltd............................. 154,051 1,465,510
Hulamin, Ltd....................................... 1,953,365 654,129
# * Impala Platinum Holdings, Ltd...................... 5,228,472 9,607,719
Imperial Holdings, Ltd............................. 2,207,724 24,496,006
Investec, Ltd...................................... 2,770,602 17,200,036
Invicta Holdings, Ltd.............................. 82,427 186,909
KAP Industrial Holdings, Ltd....................... 5,152,372 2,721,483
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
SOUTH AFRICA -- (Continued)
Kumba Iron Ore, Ltd................................ 545,192 $ 10,689,431
Lewis Group, Ltd................................... 1,655,553 3,528,019
Liberty Holdings, Ltd.............................. 1,721,995 12,631,484
Life Healthcare Group Holdings, Ltd................ 3,233,960 5,370,161
Long4Life, Ltd..................................... 549,853 167,268
Merafe Resources, Ltd.............................. 25,011,796 2,648,288
# Metair Investments, Ltd............................ 1,591,567 1,566,062
* MMI Holdings, Ltd.................................. 17,542,403 21,272,082
Mpact, Ltd......................................... 2,812,393 3,964,483
# MTN Group, Ltd..................................... 20,660,217 119,972,420
Murray & Roberts Holdings, Ltd..................... 6,948,515 7,995,869
* Nampak, Ltd........................................ 5,254,037 5,300,862
Nedbank Group, Ltd................................. 2,135,269 36,097,038
Novus Holdings, Ltd................................ 186,594 56,832
Omnia Holdings, Ltd................................ 746,296 5,879,950
Peregrine Holdings, Ltd............................ 1,486,586 2,066,012
# * PPC, Ltd........................................... 8,503,835 3,429,620
Raubex Group, Ltd.................................. 2,227,888 2,861,795
RCL Foods, Ltd..................................... 130,261 147,960
Reunert, Ltd....................................... 998,464 5,394,429
Rhodes Food Group Pty, Ltd......................... 23,326 25,277
# * Royal Bafokeng Platinum, Ltd....................... 469,845 851,532
# Sappi, Ltd......................................... 7,755,890 43,576,815
Sasol, Ltd......................................... 3,511,112 114,742,961
Sasol, Ltd., Sponsored ADR......................... 1,594,557 51,854,994
* Sibanye Gold, Ltd.................................. 6,956,319 4,839,507
* Sibanye Gold, Ltd., Sponsored ADR.................. 2,498,559 7,045,938
Standard Bank Group, Ltd........................... 17,066,487 189,083,288
# * Steinhoff International Holdings NV................ 23,998,309 2,919,434
* Super Group, Ltd................................... 4,836,479 13,106,269
# Telkom SA SOC, Ltd................................. 5,017,373 18,261,373
Tongaat Hulett, Ltd................................ 1,558,340 6,000,766
Trencor, Ltd....................................... 1,605,753 3,315,090
Tsogo Sun Holdings, Ltd............................ 2,552,635 3,501,493
Wilson Bayly Holmes-Ovcon, Ltd..................... 605,804 6,284,456
--------------
TOTAL SOUTH AFRICA...................................... 1,087,524,609
--------------
SOUTH KOREA -- (16.1%)
Aekyung Petrochemical Co., Ltd..................... 44,722 323,526
# AJ Networks Co., Ltd............................... 55,951 224,135
# * AJ Rent A Car Co., Ltd............................. 142,766 1,346,156
# * Ajin Industrial Co., Ltd........................... 64,617 93,089
AK Holdings, Inc................................... 7,312 287,076
# * APS Holdings Corp.................................. 38,646 137,100
# Asia Cement Co., Ltd............................... 19,344 1,895,028
# ASIA Holdings Co., Ltd............................. 14,578 1,478,738
# Asia Paper Manufacturing Co., Ltd.................. 67,604 2,155,660
* Asiana Airlines, Inc............................... 1,194,370 3,836,515
# AUK Corp........................................... 358,407 614,382
Aurora World Corp.................................. 1,883 13,178
# Austem Co., Ltd.................................... 268,376 917,235
* Avaco Co., Ltd..................................... 12,655 59,154
Baiksan Co., Ltd................................... 32,477 143,650
BGF Co., Ltd....................................... 212,938 1,395,955
Bixolon Co., Ltd................................... 32,698 180,029
# Bluecom Co., Ltd................................... 78,495 271,865
BNK Financial Group, Inc........................... 2,799,963 18,701,624
# * Bohae Brewery Co., Ltd............................. 82,530 83,483
# Bookook Securities Co., Ltd........................ 32,673 630,423
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
--------- -------------------------------
SOUTH KOREA -- (Continued)
* Bubang Co., Ltd.................................... 10,960 $ 18,066
Busan City Gas Co., Ltd............................ 2,705 84,509
BYC Co., Ltd....................................... 752 154,377
Byucksan Corp...................................... 282,424 587,431
# Capro Corp......................................... 326,590 1,237,063
# Castec Korea Co., Ltd.............................. 17,797 55,488
Changhae Ethanol Co., Ltd.......................... 6,103 63,899
* Chemtronics Co., Ltd............................... 2,758 11,949
Chinyang Holdings Corp............................. 105,928 205,920
# Chokwang Paint, Ltd................................ 75,208 397,317
Chongkundang Holdings Corp......................... 13,328 657,742
# Chosun Refractories Co., Ltd....................... 9,716 695,998
CJ CheilJedang Corp................................ 13,388 3,818,926
CJ Corp............................................ 86,602 8,327,664
CJ Hello Co., Ltd.................................. 381,521 3,056,918
CKD Bio Corp....................................... 27,552 440,934
# Cosmax BTI, Inc.................................... 20,454 343,392
CROWNHAITAI Holdings Co., Ltd...................... 43,546 377,111
Cymechs, Inc....................................... 6,384 46,841
D.I Corp........................................... 85,616 262,834
# Dae Dong Industrial Co., Ltd....................... 184,857 918,582
Dae Han Flour Mills Co., Ltd....................... 14,919 2,231,717
# Dae Hyun Co., Ltd.................................. 338,986 566,540
# Dae Won Kang Up Co., Ltd........................... 273,168 778,483
# * Dae Young Packaging Co., Ltd....................... 812,054 622,455
# Daechang Co., Ltd.................................. 656,070 517,524
Daechang Forging Co., Ltd.......................... 3,535 120,934
Daeduck Electronics Co............................. 402,837 2,934,432
Daeduck GDS Co., Ltd............................... 301,526 3,407,129
# Daegu Department Store............................. 71,060 555,493
# Daehan Steel Co., Ltd.............................. 206,076 936,615
# Dae-Il Corp........................................ 87,114 432,827
Daekyo Co., Ltd.................................... 184,455 1,118,404
Daelim B&Co Co., Ltd............................... 17,858 58,541
# Daelim C&S Co., Ltd................................ 20,983 183,674
Daelim Industrial Co., Ltd......................... 298,128 19,959,041
Daeryuk Can Co., Ltd............................... 2,323 9,404
Daesang Corp....................................... 263,930 5,241,266
Daesang Holdings Co., Ltd.......................... 178,884 1,140,926
# Daesung Holdings Co., Ltd.......................... 42,463 232,221
Daewon San Up Co., Ltd............................. 61,406 308,313
* Daewoo Engineering & Construction Co., Ltd......... 1,271,610 5,076,477
# * Daewoo Shipbuilding & Marine Engineering Co., Ltd.. 404,211 10,469,486
* Dahaam E-Tec Co., Ltd.............................. 3,535 81,042
# Daishin Securities Co., Ltd........................ 545,344 5,321,470
# Daou Data Corp..................................... 95,690 731,857
# Daou Technology, Inc............................... 405,892 7,162,192
* Dasan Networks, Inc................................ 97,461 501,369
# Dayou Automotive Seat Technology Co., Ltd.......... 117,031 83,336
# * Dayou Plus Co., Ltd................................ 51,812 36,046
DB Financial Investment Co., Ltd................... 408,332 1,336,755
DB Insurance Co., Ltd.............................. 51,972 3,276,267
* DB, Inc............................................ 496,039 353,706
DCM Corp........................................... 5,497 57,940
# * Deutsch Motors, Inc................................ 83,713 371,244
Development Advance Solution Co., Ltd.............. 23,913 131,216
DGB Financial Group, Inc........................... 1,806,576 14,942,611
# Display Tech Co., Ltd.............................. 43,544 147,046
DMS Co., Ltd....................................... 4,843 19,277
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Dong A Eltek Co., Ltd.............................. 52,254 $ 322,405
* Dong Ah Tire & Rubber Co., Ltd..................... 5,165 61,070
Dong-A Socio Holdings Co., Ltd..................... 5,512 431,103
# Dong-Ah Geological Engineering Co., Ltd............ 84,391 979,916
# Dongbang Transport Logistics Co., Ltd.............. 302,271 365,097
* Dongbu Corp........................................ 24,489 150,934
Dong-Il Corp....................................... 17,778 953,744
# Dongil Industries Co., Ltd......................... 19,900 1,048,010
# * Dongkook Industrial Co., Ltd....................... 661,873 498,199
# Dongkuk Industries Co., Ltd........................ 429,695 830,596
# Dongkuk Steel Mill Co., Ltd........................ 997,740 6,207,632
# DONGSUNG Corp...................................... 221,292 1,016,164
# Dongwha Enterprise Co., Ltd........................ 12,832 282,828
Dongwha Pharm Co., Ltd............................. 37,344 298,154
Dongwon Development Co., Ltd....................... 418,777 1,305,418
Dongwon Industries Co., Ltd........................ 2,576 547,532
# Dongwoo Farm To Table Co., Ltd..................... 14,971 43,335
# Dongyang E&P, Inc.................................. 37,218 311,380
Doosan Bobcat, Inc................................. 162,590 5,042,460
Doosan Corp........................................ 68,759 7,246,985
# * Doosan Heavy Industries & Construction Co., Ltd.... 779,132 7,528,737
# * Doosan Infracore Co., Ltd.......................... 1,980,558 13,465,307
# DRB Holding Co., Ltd............................... 114,810 652,404
# DTR Automotive Corp................................ 50,162 1,383,845
DY Corp............................................ 202,430 945,397
e Tec E&C, Ltd..................................... 2,229 164,404
Eagon Holdings Co., Ltd............................ 385,141 789,322
# Eagon Industrial, Ltd.............................. 40,910 330,032
# Easy Bio, Inc...................................... 333,714 1,710,199
# * Elentec Co., Ltd................................... 167,314 334,527
# e-LITECOM Co., Ltd................................. 87,616 344,722
E-MART, Inc........................................ 215,370 38,744,535
# ENF Technology Co., Ltd............................ 93,805 860,809
# Eugene Corp........................................ 629,152 2,905,955
# * Eugene Investment & Securities Co., Ltd............ 1,113,895 2,282,961
* Eusu Holdings Co., Ltd............................. 72,796 395,887
# EVERDIGM Corp...................................... 36,984 195,060
# * FarmStory Co., Ltd................................. 739,942 672,108
# Feelux Co., Ltd.................................... 36,504 356,542
Fine Semitech Corp................................. 23,873 86,499
# * Fine Technix Co., Ltd.............................. 223,276 265,822
# Fursys, Inc........................................ 28,479 734,725
# Gaon Cable Co., Ltd................................ 28,266 402,104
# GMB Korea Corp..................................... 77,523 390,598
# Golfzon Newdin Holdings Co., Ltd................... 293,366 972,522
GS Engineering & Construction Corp................. 463,545 17,092,937
# GS Global Corp..................................... 672,899 1,434,812
GS Holdings Corp................................... 714,906 30,510,910
GS Home Shopping, Inc.............................. 2,626 448,307
# Gwangju Shinsegae Co., Ltd......................... 6,299 926,523
# Halla Corp......................................... 159,934 535,379
# Halla Holdings Corp................................ 118,273 4,261,942
# Han Kuk Carbon Co., Ltd............................ 231,961 1,386,839
Hana Financial Group, Inc.......................... 3,478,498 117,175,337
# * Hana Micron, Inc................................... 178,725 574,786
# Handsome Co., Ltd.................................. 146,627 4,687,187
* Hanil Cement Co., Ltd.............................. 24,093 2,484,294
# Hanil Holdings Co., Ltd............................ 20,065 815,255
* Hanjin Heavy Industries & Construction Co., Ltd.... 571,915 891,590
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# * Hanjin Heavy Industries & Construction Holdings
Co., Ltd......................................... 179,841 $ 455,567
# Hanjin Kal Corp.................................... 405,032 6,893,339
Hanjin Transportation Co., Ltd..................... 127,829 4,207,465
Hankook Tire Co., Ltd.............................. 403,204 14,664,772
# Hankuk Paper Manufacturing Co., Ltd................ 38,692 528,150
# HanmiGlobal Co., Ltd............................... 13,645 106,686
Hansae Yes24 Holdings Co., Ltd..................... 19,325 150,370
# Hanshin Construction............................... 63,489 879,584
# Hansol Holdings Co., Ltd........................... 514,389 1,878,438
# Hansol HomeDeco Co., Ltd........................... 964,171 1,077,188
Hansol Paper Co., Ltd.............................. 191,141 2,933,309
* Hansol Technics Co., Ltd........................... 97,306 571,219
* Hanwha Aerospace Co., Ltd.......................... 328,593 8,239,296
Hanwha Chemical Corp............................... 1,695,322 24,142,378
Hanwha Corp........................................ 708,306 17,543,321
* Hanwha Galleria Timeworld Co., Ltd................. 5,778 129,798
Hanwha General Insurance Co., Ltd.................. 558,922 2,917,159
# * Hanwha Investment & Securities Co., Ltd............ 1,174,063 2,117,184
Hanwha Life Insurance Co., Ltd..................... 3,549,990 13,998,568
Hanyang Eng Co., Ltd............................... 42,970 450,997
# Hanyang Securities Co., Ltd........................ 97,444 577,078
# * Harim Co., Ltd..................................... 178,051 382,633
HDC Hyundai Engineering Plastics Co., Ltd.......... 108,662 422,829
# * Heung-A Shipping Co., Ltd.......................... 2,197,266 762,600
* Heungkuk Fire & Marine Insurance Co., Ltd.......... 118,659 503,070
Hite Jinro Co., Ltd................................ 264,860 3,669,283
# Hitejinro Holdings Co., Ltd........................ 120,661 694,449
# HS R&A Co., Ltd.................................... 488,828 770,079
* HSD Engine Co., Ltd................................ 77,848 300,866
# * Humax Co., Ltd..................................... 182,229 720,108
* Huneed Technologies................................ 30,542 206,641
Husteel Co., Ltd................................... 16,188 160,314
# Huvis Corp......................................... 135,728 882,004
# Hwa Shin Co., Ltd.................................. 247,915 457,905
# Hwacheon Machine Tool Co., Ltd..................... 14,514 539,312
# Hwangkum Steel & Technology Co., Ltd............... 103,102 681,724
HwaSung Industrial Co., Ltd........................ 109,587 1,258,772
# Hy-Lok Corp........................................ 40,098 805,466
* Hyosung Advanced Materials Corp.................... 3,047 281,008
* Hyosung Chemical Corp.............................. 2,169 250,127
# Hyosung Corp....................................... 9,383 424,028
* Hyosung Heavy Industries Corp...................... 6,343 236,268
# * Hyosung TNC Co., Ltd............................... 2,944 453,238
# Hyundai BNG Steel Co., Ltd......................... 143,240 1,151,600
# * Hyundai Construction Equipment Co., Ltd............ 36,064 2,377,504
Hyundai Corp Holdings, Inc......................... 17,401 258,417
# Hyundai Corp....................................... 64,266 1,374,581
Hyundai Department Store Co., Ltd.................. 188,446 14,414,638
Hyundai Development Co-Engineering & Construction.. 281,792 4,180,625
# * Hyundai Electric & Energy System Co., Ltd.......... 10,484 435,966
Hyundai Engineering & Construction Co., Ltd........ 894,963 36,167,423
Hyundai Glovis Co., Ltd............................ 31,936 3,206,858
Hyundai Greenfood Co., Ltd......................... 404,973 4,394,935
* Hyundai Heavy Industries Co., Ltd.................. 262,088 28,830,501
* Hyundai Heavy Industries Holdings Co., Ltd......... 124,621 39,161,325
Hyundai Home Shopping Network Corp................. 47,725 4,095,878
Hyundai Hy Communications & Networks Co., Ltd...... 409,309 1,512,082
# * Hyundai Mipo Dockyard Co., Ltd..................... 116,451 9,658,542
Hyundai Mobis Co., Ltd............................. 466,986 78,006,168
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Hyundai Motor Co................................... 1,260,771 $118,087,465
# Hyundai Motor Securities Co., Ltd.................. 224,622 1,687,676
Hyundai Steel Co................................... 1,130,085 41,469,846
# Hyundai Wia Corp................................... 207,777 5,412,256
# IDIS Holdings Co., Ltd............................. 33,484 338,185
# Iljin Electric Co., Ltd............................ 239,602 635,064
* Iljin Holdings Co., Ltd............................ 26,443 64,894
# Ilshin Spinning Co., Ltd........................... 17,863 1,499,684
# Ilsung Pharmaceuticals Co., Ltd.................... 9,407 787,784
iMarketKorea, Inc.................................. 165,293 940,067
Industrial Bank of Korea........................... 2,957,264 38,617,432
* INITECH Co., Ltd................................... 31,597 143,871
# Intergis Co., Ltd.................................. 49,180 93,448
# Interpark Holdings Corp............................ 470,150 875,654
# INTOPS Co., Ltd.................................... 181,917 1,243,036
# Inzi Controls Co., Ltd............................. 122,085 446,541
# INZI Display Co., Ltd.............................. 244,705 289,395
# IS Dongseo Co., Ltd................................ 50,983 1,391,041
# ISC Co., Ltd....................................... 41,308 330,906
# ISU Chemical Co., Ltd.............................. 154,978 1,313,195
IsuPetasys Co., Ltd................................ 245,323 1,208,705
# Jahwa Electronics Co., Ltd......................... 98,971 1,271,409
# JASTECH, Ltd....................................... 44,961 241,795
JB Financial Group Co., Ltd........................ 1,744,618 8,432,004
# Kangnam Jevisco Co., Ltd........................... 41,716 856,604
# KAON Media Co., Ltd................................ 96,918 486,615
KB Financial Group, Inc............................ 1,122,173 46,731,996
KB Financial Group, Inc., ADR...................... 2,944,487 122,343,435
* KB Metal Co., Ltd.................................. 33,213 53,685
KC Co., Ltd........................................ 15,641 224,402
KC Green Holdings Co., Ltd......................... 68,858 201,616
# KCC Corp........................................... 51,928 11,292,405
KCC Engineering & Construction Co., Ltd............ 43,102 255,112
# KEC Corp........................................... 973,189 837,862
# Keyang Electric Machinery Co., Ltd................. 248,222 735,129
# KG Chemical Corp................................... 81,219 1,272,152
# KG Eco Technology Service Co., Ltd................. 301,386 800,757
# KGMobilians Co., Ltd............................... 119,747 735,000
# * KH Vatec Co., Ltd.................................. 153,792 868,446
Kia Motors Corp.................................... 2,339,274 58,471,822
# KISCO Corp......................................... 336,460 1,715,105
# KISCO Holdings Co., Ltd............................ 63,245 652,701
# Kishin Corp........................................ 107,298 305,617
KISWIRE, Ltd....................................... 94,457 1,793,827
# KIWOOM Securities Co., Ltd......................... 27,040 1,806,000
# * KleanNara Co., Ltd................................. 110,992 297,812
* KMH Co., Ltd....................................... 98,465 630,829
Kodaco Co., Ltd.................................... 180,741 297,412
# Kolon Corp......................................... 33,888 914,413
Kolon Global Corp.................................. 23,192 120,910
# Kolon Industries, Inc.............................. 252,202 11,160,018
# Komelon Corp....................................... 33,167 219,736
# Kook Soon Dang Brewery Co., Ltd.................... 112,565 391,501
# Korea Alcohol Industrial Co., Ltd.................. 115,730 650,757
Korea Asset In Trust Co., Ltd...................... 94,078 359,116
Korea Autoglass Corp............................... 9,776 97,174
# Korea Cast Iron Pipe Industries Co., Ltd........... 33,557 287,369
# * Korea Circuit Co., Ltd............................. 149,135 665,089
Korea Electric Terminal Co., Ltd................... 24,632 811,627
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Korea Export Packaging Industrial Co., Ltd......... 4,498 $ 80,568
# * Korea Flange Co., Ltd.............................. 333,243 476,068
Korea Investment Holdings Co., Ltd................. 435,903 22,796,068
# * Korea Line Corp.................................... 78,513 1,486,513
Korea Petrochemical Ind Co., Ltd................... 33,165 4,556,669
# Korea Petroleum Industries Co...................... 1,552 173,151
Korea Real Estate Investment & Trust Co., Ltd...... 350,049 723,719
Korean Air Lines Co., Ltd.......................... 493,461 11,945,695
Korean Reinsurance Co.............................. 1,069,352 9,106,703
# Kortek Corp........................................ 127,952 1,606,096
# KPX Chemical Co., Ltd.............................. 20,126 911,100
# KSS LINE, Ltd...................................... 118,988 719,924
KT Skylife Co., Ltd................................ 101,167 1,103,451
# KT Submarine Co., Ltd.............................. 22,384 62,282
# * KTB Investment & Securities Co., Ltd............... 640,410 1,831,891
# KTCS Corp.......................................... 293,732 577,389
Ktis Corp.......................................... 122,194 242,071
# Kukdo Chemical Co., Ltd............................ 50,066 1,985,965
# Kukdong Oil & Chemicals Co., Ltd................... 26,930 74,901
* Kumho Electric Co., Ltd............................ 44,601 251,890
Kumho Industrial Co., Ltd.......................... 7,575 65,056
* Kumho Tire Co., Inc................................ 618,179 2,727,785
Kumkang Kind Co., Ltd.............................. 13,277 249,955
Kwang Dong Pharmaceutical Co., Ltd................. 32,278 159,495
# * Kyeryong Construction Industrial Co., Ltd.......... 41,398 708,010
Kyobo Securities Co., Ltd.......................... 278,736 2,134,624
# Kyungbang Co., Ltd................................. 145,334 1,515,664
Kyungchang Industrial Co., Ltd..................... 8,656 11,525
# Kyung-In Synthetic Corp............................ 120,253 557,293
# LEADCORP, Inc. (The)............................... 163,684 807,128
Lee Ku Industrial Co., Ltd......................... 102,941 171,065
LF Corp............................................ 311,438 6,000,088
LG Corp............................................ 747,426 43,546,855
LG Display Co., Ltd., ADR.......................... 4,048,932 29,719,161
# LG Display Co., Ltd................................ 1,493,377 21,790,609
LG Electronics, Inc................................ 1,469,865 82,172,519
# LG Hausys, Ltd..................................... 70,017 2,960,305
LG International Corp.............................. 328,061 4,529,126
LG Uplus Corp...................................... 2,414,724 34,318,639
# LMS Co., Ltd....................................... 47,891 240,539
LOT Vacuum Co., Ltd................................ 12,830 89,519
Lotte Chemical Corp................................ 185,646 42,892,137
Lotte Chilsung Beverage Co., Ltd................... 519 623,730
Lotte Confectionery Co., Ltd....................... 54 7,488
LOTTE Fine Chemical Co., Ltd....................... 94,603 3,401,922
Lotte Food Co., Ltd................................ 1,083 623,129
LOTTE Himart Co., Ltd.............................. 100,627 4,969,498
# Lotte Non-Life Insurance Co., Ltd.................. 625,917 1,364,560
Lotte Shopping Co., Ltd............................ 99,870 17,049,841
LS Corp............................................ 191,625 8,524,197
# * Lumens Co., Ltd.................................... 440,737 910,706
LVMC Holdings...................................... 162,310 300,169
Maeil Holdings Co., Ltd............................ 11,288 111,676
# Mando Corp......................................... 91,704 2,467,389
MegaStudy Co., Ltd................................. 25,776 212,777
* Melfas, Inc........................................ 5,474 12,576
Meritz Financial Group, Inc........................ 123,590 1,124,647
# Meritz Securities Co., Ltd......................... 2,628,959 9,203,554
# Mi Chang Oil Industrial Co., Ltd................... 6,497 438,572
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# Mirae Asset Daewoo Co., Ltd........................ 3,255,754 $ 18,475,596
Mirae Asset Life Insurance Co., Ltd................ 594,403 2,383,182
# MK Electron Co., Ltd............................... 206,303 1,529,269
# * MNTech Co., Ltd.................................... 245,637 662,384
Mobase Co., Ltd.................................... 129,174 341,184
# Moorim P&P Co., Ltd................................ 329,441 2,207,136
# Moorim Paper Co., Ltd.............................. 222,084 554,503
# Motonic Corp....................................... 100,277 740,098
# Muhak Co., Ltd..................................... 65,854 674,052
# * Namsun Aluminum Co., Ltd........................... 704,816 858,293
# Namyang Dairy Products Co., Ltd.................... 4,193 2,210,359
* Neowiz............................................. 33,577 337,630
# * NEOWIZ HOLDINGS Corp............................... 76,012 729,386
New Power Plasma Co., Ltd.......................... 14,538 174,368
# Nexen Corp......................................... 238,586 1,083,923
# Nexen Tire Corp.................................... 262,802 1,884,908
# NH Investment & Securities Co., Ltd................ 1,270,375 13,637,534
# * NHN Entertainment Corp............................. 97,947 3,953,723
# Nong Shim Holdings Co., Ltd........................ 25,423 1,474,889
# NongShim Co., Ltd.................................. 27,797 5,327,870
# NOROO Paint & Coatings Co., Ltd.................... 104,866 726,871
# NPC................................................ 116,690 400,271
NS Shopping Co., Ltd............................... 47,824 454,215
# OCI Co., Ltd....................................... 206,418 15,507,926
Opto Device Technology Co., Ltd.................... 58,130 255,940
* OPTRON-TEC, Inc.................................... 22,413 79,265
Orion Holdings Corp................................ 104,984 1,446,925
Paik Kwang Industrial Co., Ltd..................... 84,447 172,828
* Pan Ocean Co., Ltd................................. 1,695,419 7,136,874
Pang Rim Co., Ltd.................................. 2,940 63,390
* Pan-Pacific Co., Ltd............................... 38,849 99,381
# Poongsan Corp...................................... 323,678 6,893,059
# Poongsan Holdings Corp............................. 60,583 1,883,871
POSCO, Sponsored ADR............................... 1,487,744 85,723,809
POSCO.............................................. 609,801 139,579,119
# POSCO Coated & Color Steel Co., Ltd................ 32,979 547,570
Posco Daewoo Corp.................................. 505,293 7,949,488
# * Power Logics Co., Ltd.............................. 331,462 1,666,206
Protec Co., Ltd.................................... 23,657 227,855
# PS TEC Co., Ltd.................................... 35,164 137,085
# Pyeong Hwa Automotive Co., Ltd..................... 149,814 807,678
# RFTech Co., Ltd.................................... 195,968 891,257
S&S Tech Corp...................................... 3,073 7,881
* S&T Dynamics Co., Ltd.............................. 287,714 1,742,884
# S&T Holdings Co., Ltd.............................. 119,356 1,306,544
S&T Motiv Co., Ltd................................. 85,781 1,985,620
# Sajo Industries Co., Ltd........................... 37,757 1,661,648
# Sam Young Electronics Co., Ltd..................... 149,231 1,471,793
Sambo Corrugated Board Co., Ltd.................... 15,975 125,099
# Sambo Motors Co., Ltd.............................. 66,587 363,086
# Samho Development Co., Ltd......................... 182,987 693,340
* Samho International Co., Ltd....................... 5,198 55,049
# SAMHWA Paints Industrial Co., Ltd.................. 93,183 438,366
# Samick Musical Instruments Co., Ltd................ 588,028 814,315
# Samji Electronics Co., Ltd......................... 106,216 722,970
# * Samjin LND Co., Ltd................................ 92,054 143,846
# Samkee Automotive Co., Ltd......................... 104,071 222,094
Samkwang Glass Co., Ltd............................ 2,678 68,689
Sammok S-Form Co., Ltd............................. 33,844 329,526
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# SAMPYO Cement Co., Ltd............................. 182,565 $ 507,957
Samsung C&T Corp................................... 343,263 32,852,929
Samsung Card Co., Ltd.............................. 275,671 8,145,766
Samsung Fire & Marine Insurance Co., Ltd........... 53,985 13,209,481
* Samsung Heavy Industries Co., Ltd.................. 3,609,474 22,144,982
Samsung Life Insurance Co., Ltd.................... 710,716 57,500,837
Samsung SDI Co., Ltd............................... 194,224 40,391,626
Samsung Securities Co., Ltd........................ 594,939 14,055,601
SAMT Co., Ltd...................................... 356,700 516,889
# Samyang Corp....................................... 31,617 1,684,798
Samyang Holdings Corp.............................. 55,756 4,239,882
# Samyang Tongsang Co., Ltd.......................... 21,786 758,710
# SAVEZONE I&C Corp.................................. 90,870 265,488
* SBS Media Holdings Co., Ltd........................ 488,064 968,791
# Seah Besteel Corp.................................. 217,933 3,104,947
# SeAH Holdings Corp................................. 12,963 1,137,591
# * SeAH Steel Corp.................................... 24,962 1,290,213
# SeAH Steel Holdings Corp........................... 27,846 1,199,027
# Sebang Co., Ltd.................................... 153,120 1,660,995
Sebang Global Battery Co., Ltd..................... 89,967 2,772,098
Sebo Manufacturing Engineer Corp................... 28,022 213,280
# Sejong Industrial Co., Ltd......................... 121,648 562,070
# * Sejoong Co., Ltd................................... 74,223 216,932
# * Sekonix Co., Ltd................................... 82,118 470,789
# S-Energy Co., Ltd.................................. 34,888 159,030
# Seohan Co., Ltd.................................... 327,024 487,360
# Seohee Construction Co., Ltd....................... 1,964,856 2,036,331
SEOWONINTECH Co., Ltd.............................. 16,998 60,409
# Seoyon Co., Ltd.................................... 131,812 389,831
Seoyon E-Hwa Co., Ltd.............................. 34,845 122,470
Sewon Precision Industry Co., Ltd.................. 1,457 10,212
* SFA Semicon Co., Ltd............................... 370,172 461,104
* SG Corp............................................ 29,677 15,908
# * SG&G Corp.......................................... 291,585 448,153
# Shindaeyang Paper Co., Ltd......................... 8,123 487,747
Shinhan Financial Group Co., Ltd................... 2,532,382 94,320,601
Shinhan Financial Group Co., Ltd., ADR............. 1,400,691 51,839,573
# Shinsegae Engineering & Construction Co., Ltd...... 9,644 201,309
Shinsegae Information & Communication Co., Ltd..... 10,147 1,224,953
# Shinsegae, Inc..................................... 88,199 20,137,756
# * Shinsung Tongsang Co., Ltd......................... 881,967 635,429
# * Shinwha Intertek Corp.............................. 125,015 165,416
# * Shinwon Corp....................................... 181,086 261,332
Shinyoung Securities Co., Ltd...................... 45,109 2,252,579
# * Signetics Corp..................................... 784,046 531,653
# Silla Co., Ltd..................................... 69,160 766,248
# SIMMTECH Co., Ltd.................................. 97,374 707,620
# SIMMTECH HOLDINGS Co., Ltd......................... 3,959 6,794
SIMPAC, Inc........................................ 143,838 298,640
Sindoh Co., Ltd.................................... 58,289 2,229,118
# SK Discovery Co., Ltd.............................. 253,761 6,043,900
# SK Gas, Ltd........................................ 58,518 3,764,748
SK Innovation Co., Ltd............................. 835,521 156,802,205
SK Networks Co., Ltd............................... 1,836,089 6,884,307
# * SK Securities Co., Ltd............................. 2,262,158 1,479,604
SKC Co., Ltd....................................... 297,589 8,702,831
# SL Corp............................................ 206,384 2,620,211
* SNU Precision Co., Ltd............................. 11,913 24,626
# Ssangyong Cement Industrial Co., Ltd............... 894,118 3,783,080
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# * Ssangyong Motor Co................................. 328,315 $ 1,068,761
# Sun Kwang Co., Ltd................................. 29,230 423,426
* Sunchang Corp...................................... 54,825 234,702
Sung Kwang Bend Co., Ltd........................... 156,885 1,610,007
# * Sungchang Enterprise Holdings, Ltd................. 326,002 565,440
# Sungdo Engineering & Construction Co., Ltd......... 148,317 558,526
# * Sungshin Cement Co., Ltd........................... 274,430 2,121,338
Sungwoo Hitech Co., Ltd............................ 738,360 2,259,454
# * Sunjin Co., Ltd.................................... 26,014 251,860
# Tae Kyung Industrial Co., Ltd...................... 126,238 579,248
Taekwang Industrial Co., Ltd....................... 5,203 6,751,742
# * Taewoong Co., Ltd.................................. 117,534 1,094,326
# Taeyoung Engineering & Construction Co., Ltd....... 547,753 4,596,127
Tailim Packaging Co., Ltd.......................... 102,742 264,235
# * TBH Global Co., Ltd................................ 197,666 624,438
# Tera Semicon Co., Ltd.............................. 68,650 893,234
# * Thinkware Systems Corp............................. 85,996 402,405
# * TK Chemical Corp................................... 589,088 936,673
TK Corp............................................ 115,733 1,229,328
# Tong Yang Moolsan Co., Ltd......................... 300,253 408,039
Tongyang Life Insurance Co., Ltd................... 587,643 2,917,647
# Tongyang pile, Inc................................. 7,975 44,200
Tongyang, Inc...................................... 358,717 501,858
# Top Engineering Co., Ltd........................... 140,570 1,089,061
# Tovis Co., Ltd..................................... 154,554 884,836
# TS Corp............................................ 69,753 1,159,676
# * Ubiquoss Holdings, Inc............................. 98,752 476,959
UIL Co., Ltd....................................... 82,914 318,765
# Uju Electronics Co., Ltd........................... 61,425 435,337
Unid Co., Ltd...................................... 76,362 2,696,726
Uniquest Corp...................................... 16,606 106,412
# Visang Education, Inc.............................. 52,293 327,998
# * WillBes & Co. (The)................................ 769,724 731,449
* Wonik Holdings Co., Ltd............................ 383,991 1,354,955
# * Woongjin Co., Ltd.................................. 243,455 559,910
# * Woongjin Energy Co., Ltd........................... 118,888 181,299
# Woongjin Thinkbig Co., Ltd......................... 234,163 851,603
Woori Bank......................................... 4,430,917 61,394,689
Woori Bank, Sponsored ADR.......................... 8,968 372,531
# * Woorison F&G Co., Ltd.............................. 154,441 213,106
# Wooshin Systems Co., Ltd........................... 26,128 142,702
# WooSung Feed Co., Ltd.............................. 255,261 505,989
# Y G-1 Co., Ltd..................................... 173,523 1,468,540
* YeaRimDang Publishing Co., Ltd..................... 63,631 285,151
Yong Pyong Resort Co., Ltd......................... 162,031 751,835
# Yoosung Enterprise Co., Ltd........................ 197,921 487,737
# YooSung T&S Co., Ltd............................... 196,580 427,726
Youlchon Chemical Co., Ltd......................... 125,065 1,356,367
# Young Poong Corp................................... 3,737 2,154,183
# Young Poong Precision Corp......................... 130,166 804,496
Youngone Corp...................................... 39,068 1,229,109
# Youngone Holdings Co., Ltd......................... 15,120 815,818
* Yuanta Securities Korea Co., Ltd................... 738,392 2,061,183
YuHwa Securities Co., Ltd.......................... 29,804 353,544
# Zeus Co., Ltd...................................... 67,976 727,595
--------------
TOTAL SOUTH KOREA....................................... 2,711,575,988
--------------
TAIWAN -- (15.9%)
# Ability Enterprise Co., Ltd........................ 2,942,330 1,154,864
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
TAIWAN -- (Continued)
AcBel Polytech, Inc................................ 1,454,000 $ 836,277
Acer, Inc.......................................... 26,086,109 18,355,802
# ACES Electronic Co., Ltd........................... 1,323,000 673,014
* Acon Holding, Inc.................................. 2,183,000 423,455
A-DATA Technology Co., Ltd......................... 820,000 1,002,859
Advanced International Multitech Co., Ltd.......... 444,000 452,491
# Advanced Optoelectronic Technology, Inc............ 551,000 281,170
Advancetek Enterprise Co., Ltd..................... 186,639 90,934
* AGV Products Corp.................................. 5,884,211 1,259,369
AimCore Technology Co., Ltd........................ 762,223 344,657
Airmate Cayman International Co., Ltd.............. 26,000 10,777
Alcor Micro Corp................................... 522,000 283,349
# Allis Electric Co., Ltd............................ 1,250,000 482,027
# Alpha Networks, Inc................................ 4,590,313 2,025,060
# Altek Corp......................................... 3,036,365 2,247,553
Ambassador Hotel (The)............................. 1,249,000 900,098
Ampire Co., Ltd.................................... 426,000 234,304
# AMPOC Far-East Co., Ltd............................ 1,402,000 1,077,574
# * AmTRAN Technology Co., Ltd......................... 10,964,956 4,190,122
Apacer Technology, Inc............................. 384,210 324,481
# APCB, Inc.......................................... 1,973,000 1,659,945
# * Apex International Co., Ltd........................ 1,635,263 1,560,039
Apex Medical Corp.................................. 28,000 21,894
Apex Science & Engineering......................... 211,536 61,722
# Arcadyan Technology Corp........................... 1,941,675 3,175,629
Ardentec Corp...................................... 2,830,058 2,468,618
# Asia Cement Corp................................... 22,151,589 23,486,782
Asia Electronic Material Co., Ltd.................. 23,000 12,055
* Asia Pacific Telecom Co., Ltd...................... 8,189,000 1,576,598
# Asia Plastic Recycling Holding, Ltd................ 3,042,942 610,712
# Asia Polymer Corp.................................. 5,269,830 2,320,763
Asia Tech Image, Inc............................... 10,000 11,757
# Asia Vital Components Co., Ltd..................... 4,751,984 3,266,708
# ASROCK, Inc........................................ 157,000 248,077
Asustek Computer, Inc.............................. 3,935,000 29,178,967
AU Optronics Corp., Sponsored ADR.................. 9,028,323 34,578,477
# AU Optronics Corp.................................. 51,158,812 19,988,032
# Audix Corp......................................... 1,216,332 1,389,963
# Avermedia Technologies............................. 2,331,000 706,378
* Avision, Inc....................................... 1,540,555 207,216
# AVY Precision Technology, Inc...................... 907,934 847,151
Bank of Kaohsiung Co., Ltd......................... 6,356,412 1,808,581
# BenQ Materials Corp................................ 1,013,000 474,949
# BES Engineering Corp............................... 19,640,443 4,459,542
Bin Chuan Enterprise Co., Ltd...................... 87,000 39,440
# Biostar Microtech International Corp............... 2,187,055 682,310
# Bright Led Electronics Corp........................ 1,495,000 480,883
C Sun Manufacturing, Ltd........................... 449,837 362,487
* Cameo Communications, Inc.......................... 2,551,197 655,205
Capital Securities Corp............................ 27,204,158 8,151,931
# Career Technology MFG. Co., Ltd.................... 825,192 1,144,737
* Carnival Industrial Corp........................... 4,823,000 681,464
# Casetek Holdings, Ltd.............................. 2,088,933 2,954,787
Cathay Chemical Works.............................. 812,000 447,892
Cathay Financial Holding Co., Ltd.................. 76,712,000 121,793,535
# Cathay Real Estate Development Co., Ltd............ 8,237,694 4,899,579
CCP Contact Probes Co., Ltd........................ 9,000 5,548
# Celxpert Energy Corp............................... 332,000 333,901
Central Reinsurance Co., Ltd....................... 1,876,366 1,009,501
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
TAIWAN -- (Continued)
Chain Chon Industrial Co., Ltd......................... 767,000 $ 200,351
# ChainQui Construction Development Co., Ltd............. 981,737 903,536
* Champion Building Materials Co., Ltd................... 5,028,828 1,129,024
Chang Hwa Commercial Bank, Ltd......................... 77,654,278 44,114,805
Chang Wah Electromaterials, Inc........................ 38,800 160,343
CHC Healthcare Group................................... 501,000 532,742
Chen Full International Co., Ltd....................... 132,000 138,733
# Cheng Loong Corp....................................... 12,654,659 8,082,214
* Cheng Mei Materials Technology Corp.................... 2,619,000 608,670
Cheng Uei Precision Industry Co., Ltd.................. 6,463,635 4,462,712
Chenming Mold Industry Corp............................ 522,000 235,963
# Chia Chang Co., Ltd.................................... 1,567,000 1,382,344
# Chia Hsin Cement Corp.................................. 5,290,191 1,969,233
Chien Kuo Construction Co., Ltd........................ 3,974,247 1,235,887
China Airlines, Ltd.................................... 45,165,353 13,402,479
China Bills Finance Corp............................... 3,105,000 1,326,900
China Chemical & Pharmaceutical Co., Ltd............... 3,458,264 2,045,125
China Development Financial Holding Corp............... 117,621,734 37,871,655
# China Electric Manufacturing Corp...................... 4,019,200 1,138,793
China General Plastics Corp............................ 532,037 316,032
# China Glaze Co., Ltd................................... 1,714,799 575,261
China Life Insurance Co., Ltd.......................... 15,111,450 14,362,685
China Man-Made Fiber Corp.............................. 13,877,272 4,410,354
China Metal Products................................... 4,099,969 3,997,061
China Motor Corp....................................... 5,701,749 4,304,436
* China Petrochemical Development Corp................... 25,778,397 9,441,355
China Steel Corp....................................... 128,706,320 101,651,701
# China Steel Structure Co., Ltd......................... 1,078,219 908,973
# China Wire & Cable Co., Ltd............................ 1,431,600 1,115,087
# Chinese Maritime Transport, Ltd........................ 1,371,270 1,344,738
# Chin-Poon Industrial Co., Ltd.......................... 3,268,815 3,653,101
Chipbond Technology Corp............................... 487,000 896,951
# * ChipMOS Techinologies, Inc., ADR....................... 45,385 598,174
* ChipMOS Techinologies, Inc............................. 1,762,085 1,219,019
# Chun YU Works & Co., Ltd............................... 3,196,000 2,046,052
# Chun Yuan Steel........................................ 6,093,287 1,971,810
# Chung Hsin Electric & Machinery Manufacturing Corp..... 5,544,250 3,648,193
* Chung Hung Steel Corp.................................. 5,917,000 2,263,029
# Chung Hwa Pulp Corp.................................... 6,099,353 1,794,371
* Chunghwa Picture Tubes, Ltd............................ 51,746,412 2,351,559
Chyang Sheng Dyeing & Finishing Co., Ltd............... 223,000 83,246
Clevo Co............................................... 1,405,000 1,094,229
# * CMC Magnetics Corp..................................... 25,901,621 4,633,003
CoAsia Microelectronics Corp........................... 421,797 136,436
Coland Holdings, Ltd................................... 115,999 103,458
Collins Co., Ltd....................................... 1,872,224 562,827
Compal Electronics, Inc................................ 59,919,332 33,098,087
# Compeq Manufacturing Co., Ltd.......................... 6,243,000 4,009,866
Concord Securities Co., Ltd............................ 2,118,440 494,946
# Continental Holdings Corp.............................. 5,759,540 2,417,718
# * Contrel Technology Co., Ltd............................ 749,000 391,563
Coretronic Corp........................................ 6,556,800 9,022,750
# Coxon Precise Industrial Co., Ltd...................... 1,777,000 862,655
Creative Sensor, Inc................................... 503,000 297,725
# * CSBC Corp. Taiwan...................................... 2,292,259 2,399,826
CTBC Financial Holding Co., Ltd........................ 161,641,073 108,239,785
CviLux Corp............................................ 116,000 83,769
CX Technology Co., Ltd................................. 42,162 28,091
Cyberlink Corp......................................... 35,000 70,318
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
TAIWAN -- (Continued)
# CyberTAN Technology, Inc........................... 969,000 $ 383,249
# DA CIN Construction Co., Ltd....................... 2,293,579 1,358,785
* Danen Technology Corp.............................. 816,000 75,065
# Darwin Precisions Corp............................. 5,086,635 2,533,500
# * Delpha Construction Co., Ltd....................... 1,580,015 802,150
# Depo Auto Parts Ind Co., Ltd....................... 359,000 780,028
# Dimerco Express Corp............................... 188,000 114,287
* D-Link Corp........................................ 8,684,552 2,833,474
DONPON PRECISION, Inc.............................. 55,000 33,774
# * Dynamic Electronics Co., Ltd....................... 4,248,324 1,005,771
Dynapack International Technology Corp............. 685,000 861,336
E Ink Holdings, Inc................................ 784,000 620,815
# E.Sun Financial Holding Co., Ltd................... 94,722,938 62,893,187
* Edimax Technology Co., Ltd......................... 2,965,902 800,239
# * Edison Opto Corp................................... 1,362,000 542,035
Edom Technology Co., Ltd........................... 880,046 351,105
Elite Semiconductor Memory Technology, Inc......... 749,000 720,771
# Elitegroup Computer Systems Co., Ltd............... 4,952,395 2,038,457
Emerging Display Technologies Corp................. 45,000 13,129
* ENG Electric Co., Ltd.............................. 1,036,997 121,329
# EnTie Commercial Bank Co., Ltd..................... 2,326,232 946,061
# Epileds Technologies, Inc.......................... 338,000 154,132
# Epistar Corp....................................... 12,038,869 10,915,935
# Eson Precision Ind. Co., Ltd....................... 723,000 649,832
Eternal Materials Co., Ltd......................... 1,746,513 1,301,976
* E-Ton Solar Tech Co., Ltd.......................... 3,529,443 289,100
Eva Airways Corp................................... 21,898,982 10,031,793
# * Everest Textile Co., Ltd........................... 3,854,378 1,497,419
Evergreen International Storage & Transport Corp... 8,312,000 3,441,901
Evergreen Marine Corp. Taiwan, Ltd................. 25,172,697 9,299,687
Everlight Chemical Industrial Corp................. 505,950 253,106
# Everlight Electronics Co., Ltd..................... 2,878,000 2,479,643
Excellence Opto, Inc............................... 96,000 44,276
# Excelsior Medical Co., Ltd......................... 1,266,726 1,820,045
EZconn Corp........................................ 185,000 166,284
Far Eastern Department Stores, Ltd................. 10,623,445 5,313,438
Far Eastern International Bank..................... 30,953,804 9,910,488
Far Eastern New Century Corp....................... 26,613,528 26,768,341
# Farglory F T Z Investment Holding Co., Ltd......... 1,093,000 656,699
Farglory Land Development Co., Ltd................. 3,590,264 4,104,159
# * Federal Corp....................................... 6,642,160 2,343,033
# * First Copper Technology Co., Ltd................... 2,403,750 702,842
First Financial Holding Co., Ltd................... 111,513,349 70,548,110
# First Hotel........................................ 1,769,857 786,324
# First Insurance Co., Ltd. (The).................... 3,713,064 1,621,291
# * First Steamship Co., Ltd........................... 9,048,360 3,122,432
* FIT Holding Co., Ltd............................... 185,150 108,303
FocalTech Systems Co., Ltd......................... 874,000 640,788
Forest Water Environment Engineering Co., Ltd...... 8,000 14,648
# Formosa Advanced Technologies Co., Ltd............. 2,188,000 2,176,008
# Formosa Laboratories, Inc.......................... 946,154 1,202,415
Formosa Taffeta Co., Ltd........................... 7,950,511 8,666,358
Formosan Rubber Group, Inc......................... 5,174,957 2,394,071
Formosan Union Chemical............................ 3,240,572 1,730,078
# Founding Construction & Development Co., Ltd....... 3,195,418 1,653,220
Foxconn Technology Co., Ltd........................ 8,167,142 17,342,699
Froch Enterprise Co., Ltd.......................... 2,358,734 906,620
# FSP Technology, Inc................................ 1,903,292 1,054,922
Fubon Financial Holding Co., Ltd................... 90,689,471 142,283,110
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
TAIWAN -- (Continued)
Fulgent Sun International Holding Co., Ltd......... 214,922 $ 313,127
# Fullerton Technology Co., Ltd...................... 1,482,200 824,228
# Fulltech Fiber Glass Corp.......................... 5,249,690 2,535,802
Fwusow Industry Co., Ltd........................... 2,691,119 1,586,408
# G Shank Enterprise Co., Ltd........................ 2,144,902 1,509,919
# Gemtek Technology Corp............................. 4,854,962 2,888,618
* Genesis Photonics, Inc............................. 542,810 37,560
Getac Technology Corp.............................. 2,455,065 2,892,684
# Giantplus Technology Co., Ltd...................... 3,555,100 1,054,589
# Gigabyte Technology Co., Ltd....................... 4,337,287 5,702,612
# * Gigastorage Corp................................... 4,647,600 1,060,798
# Global Brands Manufacture, Ltd..................... 4,065,951 1,535,655
# Global Lighting Technologies, Inc.................. 1,051,000 1,161,682
Global Mixed Mode Technology, Inc.................. 73,000 141,074
Globe Union Industrial Corp........................ 3,136,625 1,484,137
# Gloria Material Technology Corp.................... 7,112,116 3,845,183
* Gold Circuit Electronics, Ltd...................... 6,281,965 2,083,638
Goldsun Building Materials Co., Ltd................ 16,498,261 4,358,747
Good Will Instrument Co., Ltd...................... 552,746 377,336
Grand Fortune Securities Co., Ltd.................. 791,000 205,444
Grand Ocean Retail Group, Ltd...................... 705,000 733,826
# Grand Pacific Petrochemical........................ 12,974,000 8,781,484
Great China Metal Industry......................... 902,000 724,393
Great Wall Enterprise Co., Ltd..................... 6,759,828 6,594,801
# * Green Energy Technology, Inc....................... 3,699,880 1,211,735
# Green Seal Holding, Ltd............................ 578,000 679,007
# GTM Holdings Corp.................................. 1,950,900 1,097,758
# Hannstar Board Corp................................ 4,499,635 3,083,699
# HannStar Display Corp.............................. 40,927,435 9,029,893
* HannsTouch Solution, Inc........................... 3,227,481 599,974
# Hanpin Electron Co., Ltd........................... 286,000 279,753
# Harvatek Corp...................................... 1,990,553 802,125
# Hey Song Corp...................................... 2,920,500 2,626,136
Highwealth Construction Corp....................... 1,429,000 2,099,094
# Hiroca Holdings, Ltd............................... 984,000 2,278,514
* HiTi Digital, Inc.................................. 83,000 18,039
# Hitron Technology, Inc............................. 1,927,098 1,050,572
# * Ho Tung Chemical Corp.............................. 12,061,475 2,602,400
Hocheng Corp....................................... 3,817,300 956,995
Hold-Key Electric Wire & Cable Co., Ltd............ 76,124 19,495
Hon Hai Precision Industry Co., Ltd................ 41,860,192 106,557,145
# Hong Pu Real Estate Development Co., Ltd........... 2,919,655 1,871,113
# Hong TAI Electric Industrial....................... 2,620,000 772,431
# Hong YI Fiber Industry Co.......................... 759,000 375,473
Horizon Securities Co., Ltd........................ 5,131,000 1,036,678
Hsin Kuang Steel Co., Ltd.......................... 1,197,124 1,289,051
Hsing TA Cement Co................................. 1,632,614 661,889
# * HTC Corp........................................... 5,642,000 6,141,456
# HUA ENG Wire & Cable Co., Ltd...................... 4,944,035 1,382,286
Hua Nan Financial Holdings Co., Ltd................ 64,252,204 36,292,044
Huaku Development Co., Ltd......................... 2,563,000 5,213,496
# Huang Hsiang Construction Corp..................... 1,195,000 961,504
# Hung Ching Development & Construction Co., Ltd..... 1,635,468 1,232,560
# Hung Sheng Construction, Ltd....................... 4,960,670 4,218,031
Huxen Corp......................................... 268,281 340,044
* Hwa Fong Rubber Industrial Co., Ltd................ 265,000 107,996
Hwacom Systems, Inc................................ 333,000 130,748
# * Ichia Technologies, Inc............................ 2,065,260 925,499
# * I-Chiun Precision Industry Co., Ltd................ 2,628,000 715,620
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
TAIWAN -- (Continued)
* Ideal Bike Corp.................................... 53,254 $ 12,851
Infortrend Technology, Inc......................... 1,104,000 385,925
# Innolux Corp....................................... 150,377,544 45,661,276
# Inpaq Technology Co., Ltd.......................... 213,000 165,667
Integrated Service Technology, Inc................. 10,000 10,743
# International CSRC Investment Holdings Co.......... 10,053,510 11,276,286
Inventec Corp...................................... 31,534,277 25,486,028
ITE Technology, Inc................................ 1,908,479 1,874,375
Jarllytec Co., Ltd................................. 557,000 771,874
Jess-Link Products Co., Ltd........................ 1,110,500 952,523
Jih Sun Financial Holdings Co., Ltd................ 10,459,918 3,038,134
Jinli Group Holdings, Ltd.......................... 1,786,722 939,609
Johnson Health Tech Co., Ltd....................... 150,000 154,174
K Laser Technology, Inc............................ 1,894,601 715,731
# Kaulin Manufacturing Co., Ltd...................... 1,961,656 1,021,138
# KEE TAI Properties Co., Ltd........................ 1,968,000 745,572
# Kenmec Mechanical Engineering Co., Ltd............. 1,954,000 575,930
# Kindom Construction Corp........................... 5,044,000 2,779,324
# King Chou Marine Technology Co., Ltd............... 243,100 267,667
King Yuan Electronics Co., Ltd..................... 16,246,805 9,515,300
King's Town Bank Co., Ltd.......................... 11,404,012 10,911,577
King's Town Construction Co., Ltd.................. 190,380 115,540
# * Kinko Optical Co., Ltd............................. 1,755,000 1,300,410
Kinpo Electronics.................................. 19,025,375 5,701,443
# Kinsus Interconnect Technology Corp................ 2,806,000 3,682,178
# KNH Enterprise Co., Ltd............................ 1,687,078 549,421
# Kung Sing Engineering Corp......................... 3,317,000 763,670
* Kuo Toong International Co., Ltd................... 1,048,160 709,747
# Kuoyang Construction Co., Ltd...................... 6,928,811 2,518,377
# Kwong Fong Industries Corp......................... 1,407,649 631,236
# KYE Systems Corp................................... 3,157,909 844,358
# L&K Engineering Co., Ltd........................... 2,117,000 1,738,293
# LAN FA Textile..................................... 2,812,713 738,421
LCY Chemical Corp.................................. 2,593,000 4,361,171
# * Leader Electronics, Inc............................ 1,966,056 437,409
Lealea Enterprise Co., Ltd......................... 9,391,941 2,876,438
Ledtech Electronics Corp........................... 660,000 175,588
LEE CHI Enterprises Co., Ltd....................... 3,001,900 874,688
* Leofoo Development Co., Ltd........................ 4,643,908 827,476
LES Enphants Co., Ltd.............................. 877,000 252,042
# Lextar Electronics Corp............................ 4,434,000 2,370,510
* Li Peng Enterprise Co., Ltd........................ 7,890,381 2,070,875
* Lida Holdings, Ltd................................. 174,000 319,703
# Lien Hwa Industrial Corp........................... 7,963,494 7,852,343
# Lingsen Precision Industries, Ltd.................. 5,531,480 1,500,689
# Lite-On Semiconductor Corp......................... 2,776,729 2,248,499
# Lite-On Technology Corp............................ 29,594,738 34,026,211
# Long Bon International Co., Ltd.................... 1,697,100 819,168
# Long Chen Paper Co., Ltd........................... 8,939,971 4,572,423
# Longwell Co........................................ 678,000 559,338
# * Lucky Cement Corp.................................. 3,092,000 717,165
# * LuxNet Corp........................................ 341,888 179,427
# Macronix International............................. 20,696,605 11,523,857
Materials Analysis Technology, Inc................. 27,000 36,542
# Mayer Steel Pipe Corp.............................. 2,046,456 917,551
Maywufa Co., Ltd................................... 252,070 99,025
Mega Financial Holding Co., Ltd.................... 96,264,796 81,516,387
Mercuries & Associates Holding, Ltd................ 3,493,514 2,250,714
* Mercuries Life Insurance Co., Ltd.................. 11,498,807 5,043,492
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
TAIWAN -- (Continued)
# MIN AIK Technology Co., Ltd........................ 1,446,600 $ 676,549
# Mitac Holdings Corp................................ 9,358,660 7,609,780
# * Mosel Vitelic, Inc................................. 263,067 194,703
# * Motech Industries, Inc............................. 6,094,658 1,281,458
MPI Corp........................................... 124,000 203,721
Nan Ren Lake Leisure Amusement Co., Ltd............ 1,652,000 342,355
# Nan Ya Printed Circuit Board Corp.................. 3,428,000 2,741,596
Nantex Industry Co., Ltd........................... 911,209 851,231
# Nanya Technology Corp.............................. 6,205,000 10,360,809
* New Asia Construction & Development Corp........... 1,810,304 358,696
New Era Electronics Co., Ltd....................... 203,000 98,284
# Nien Hsing Textile Co., Ltd........................ 1,916,061 1,415,081
# Nishoku Technology, Inc............................ 264,000 463,723
O-Bank Co., Ltd.................................... 830,000 204,251
* Ocean Plastics Co., Ltd............................ 265,000 219,749
* Optimax Technology Corp............................ 499,597 45,339
# OptoTech Corp...................................... 1,567,387 803,096
* Orient Semiconductor Electronics, Ltd.............. 2,349,000 533,063
# Pacific Construction Co............................ 2,487,452 921,818
* Pan Jit International, Inc......................... 610,000 441,069
# Pan-International Industrial Corp.................. 5,794,444 3,325,625
# * Paragon Technologies Co., Ltd...................... 817,191 437,211
# Pegatron Corp...................................... 27,444,998 50,148,749
# * Phihong Technology Co., Ltd........................ 3,918,882 1,043,709
Plastron Precision Co., Ltd........................ 33,536 14,374
# Plotech Co., Ltd................................... 489,000 239,746
Pou Chen Corp...................................... 21,132,550 21,444,211
* Powertech Industrial Co., Ltd...................... 54,000 21,959
# President Securities Corp.......................... 12,528,324 5,076,511
* Prime Electronics & Satellitics, Inc............... 406,000 53,685
Prince Housing & Development Corp.................. 7,121,018 2,325,712
Promate Electronic Co., Ltd........................ 157,000 139,498
* Promise Technology, Inc............................ 909,000 243,640
P-Two Industries, Inc.............................. 110,000 70,972
# Qisda Corp......................................... 24,594,171 13,987,343
# Qualipoly Chemical Corp............................ 290,593 248,760
# Quanta Storage, Inc................................ 2,336,000 1,605,803
Quintain Steel Co., Ltd............................ 3,687,472 975,532
# Radiant Opto-Electronics Corp...................... 4,893,000 12,858,940
* Radium Life Tech Co., Ltd.......................... 8,933,124 4,408,990
# Rich Development Co., Ltd.......................... 7,198,054 2,040,123
* Ritek Corp......................................... 14,529,095 4,659,970
Rotam Global Agrosciences, Ltd..................... 415,693 247,093
Ruentex Development Co., Ltd....................... 3,673,320 5,098,047
Ruentex Industries, Ltd............................ 1,677,600 4,215,331
# Sampo Corp......................................... 5,607,925 2,097,209
San Fang Chemical Industry Co., Ltd................ 23,000 17,181
San Far Property, Ltd.............................. 369,800 135,584
Sanyang Motor Co., Ltd............................. 2,721,624 1,744,154
# Sesoda Corp........................................ 1,687,713 1,273,625
Shan-Loong Transportation Co., Ltd................. 412,000 374,511
Sharehope Medicine Co., Ltd........................ 107,400 89,120
# Sheng Yu Steel Co., Ltd............................ 1,821,000 1,152,932
# ShenMao Technology, Inc............................ 1,149,000 748,898
# Shih Her Technologies, Inc......................... 411,000 387,022
* Shih Wei Navigation Co., Ltd....................... 3,492,288 825,965
# Shihlin Electric & Engineering Corp................ 4,496,000 5,826,216
# Shin Kong Financial Holding Co., Ltd............... 97,825,259 32,253,275
Shin Zu Shing Co., Ltd............................. 1,789,000 4,397,297
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
TAIWAN -- (Continued)
* Shining Building Business Co., Ltd................. 830,692 $ 263,891
# Shinkong Insurance Co., Ltd........................ 3,128,412 3,628,280
Shinkong Synthetic Fibers Corp..................... 18,021,754 6,100,653
# * Shuttle, Inc....................................... 4,367,015 1,450,223
Sigurd Microelectronics Corp....................... 5,178,047 4,655,351
# * Silicon Integrated Systems Corp.................... 4,978,808 1,180,891
* Silitech Technology Corp........................... 824,803 309,982
Simplo Technology Co., Ltd......................... 149,000 866,553
Sincere Navigation Corp............................ 4,571,740 2,361,393
Sinher Technology, Inc............................. 188,000 280,049
Sinon Corp......................................... 5,544,877 3,012,903
SinoPac Financial Holdings Co., Ltd................ 95,675,115 32,546,004
Sinphar Pharmaceutical Co., Ltd.................... 180,000 108,423
Sirtec International Co., Ltd...................... 429,200 297,986
# Siward Crystal Technology Co., Ltd................. 2,327,875 1,143,510
# * Solar Applied Materials Technology Co.............. 1,613,438 914,966
Solomon Technology Corp............................ 539,000 293,945
Solteam Electronics Co., Ltd....................... 39,390 30,236
Southeast Cement Co., Ltd.......................... 3,108,700 1,393,282
Spirox Corp........................................ 505,563 450,923
Stark Technology, Inc.............................. 1,418,160 1,661,455
Sunko INK Co., Ltd................................. 76,000 22,384
# Sunplus Technology Co., Ltd........................ 7,149,620 2,411,010
Sunrex Technology Corp............................. 1,573,949 777,150
# Sunspring Metal Corp............................... 667,000 646,015
# Supreme Electronics Co., Ltd....................... 4,212,441 3,551,745
Sweeten Real Estate Development Co., Ltd........... 1,206,925 770,314
Synnex Technology International Corp............... 5,999,550 6,474,331
Sysage Technology Co., Ltd......................... 108,004 99,448
Systex Corp........................................ 1,007,801 2,019,243
T3EX Global Holdings Corp.......................... 235,499 191,347
# Ta Ya Electric Wire & Cable........................ 7,029,329 2,482,731
Tah Hsin Industrial Corp........................... 1,477,900 1,216,911
TAI Roun Products Co., Ltd......................... 63,000 24,457
# TA-I Technology Co., Ltd........................... 1,163,170 1,705,383
* Tai Tung Communication Co., Ltd.................... 558,000 282,574
# Taichung Commercial Bank Co., Ltd.................. 33,161,470 10,942,977
# Taiflex Scientific Co., Ltd........................ 1,827,960 1,784,505
# Tainan Enterprises Co., Ltd........................ 1,134,183 623,521
# Tainan Spinning Co., Ltd........................... 16,897,485 6,645,128
# * Tainergy Tech Co., Ltd............................. 2,172,000 323,243
# Tai-Saw Technology Co., Ltd........................ 158,000 80,154
Taishin Financial Holding Co., Ltd................. 98,465,066 43,873,221
# Taisun Enterprise Co., Ltd......................... 2,234,423 1,093,384
# * Taita Chemical Co., Ltd............................ 2,481,864 869,463
Taiwan Business Bank............................... 36,604,240 12,083,621
Taiwan Cement Corp................................. 61,478,697 69,107,259
# Taiwan Chinsan Electronic Industrial Co., Ltd...... 146,000 164,686
Taiwan Cogeneration Corp........................... 2,535,333 2,141,947
Taiwan Cooperative Financial Holding Co., Ltd...... 83,382,734 46,963,577
# Taiwan Fertilizer Co., Ltd......................... 5,389,000 7,328,924
Taiwan Fire & Marine Insurance Co., Ltd............ 1,362,000 876,472
Taiwan FU Hsing Industrial Co., Ltd................ 667,000 684,250
Taiwan Glass Industry Corp......................... 13,471,982 5,793,391
Taiwan Hon Chuan Enterprise Co., Ltd............... 916,932 1,414,123
# Taiwan Hopax Chemicals Manufacturing Co., Ltd...... 1,732,000 1,064,581
# * Taiwan Land Development Corp....................... 9,188,322 2,376,935
# * Taiwan Line Tek Electronic......................... 146,771 119,573
Taiwan Navigation Co., Ltd......................... 1,597,000 1,051,440
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
TAIWAN -- (Continued)
Taiwan PCB Techvest Co., Ltd....................... 3,813,946 $ 2,982,289
# Taiwan Pulp & Paper Corp........................... 3,581,660 1,978,365
Taiwan Shin Kong Security Co., Ltd................. 39,000 42,179
Taiwan Styrene Monomer............................. 2,408,647 1,795,070
Taiwan Surface Mounting Technology Corp............ 3,390,991 3,704,061
# * Taiwan TEA Corp.................................... 8,595,092 4,351,766
# Taiyen Biotech Co., Ltd............................ 1,396,217 1,323,806
* Tatung Co., Ltd.................................... 6,040,342 7,060,738
Te Chang Construction Co., Ltd..................... 80,260 51,603
Teco Electric and Machinery Co., Ltd............... 19,279,725 11,092,810
Test-Rite International Co., Ltd................... 1,514,266 1,099,202
* Tex-Ray Industrial Co., Ltd........................ 501,000 145,356
Thye Ming Industrial Co., Ltd...................... 26,000 26,717
T-Mac Techvest PCB Co., Ltd........................ 1,603,000 633,054
Ton Yi Industrial Corp............................. 3,425,600 1,462,285
# Tong Hsing Electronic Industries, Ltd.............. 170,000 507,923
# Tong Yang Industry Co., Ltd........................ 1,131,000 1,278,903
# * Tong-Tai Machine & Tool Co., Ltd................... 2,900,447 1,630,070
Topoint Technology Co., Ltd........................ 1,969,459 1,096,874
# TPK Holding Co., Ltd............................... 3,820,000 5,955,997
Tripod Technology Corp............................. 2,828,000 6,833,409
Tsann Kuen Enterprise Co., Ltd..................... 185,000 115,815
* TSEC Corp.......................................... 1,723,684 278,012
Tung Ho Steel Enterprise Corp...................... 12,361,274 8,385,503
TXC Corp........................................... 1,315,000 1,315,104
# TYC Brother Industrial Co., Ltd.................... 1,472,723 1,090,755
# * Tycoons Group Enterprise........................... 5,111,525 1,101,763
# Tyntek Corp........................................ 2,284,097 1,125,870
UDE Corp........................................... 368,000 279,834
U-Ming Marine Transport Corp....................... 1,831,000 1,917,514
# Unimicron Technology Corp.......................... 22,428,363 10,962,151
# Union Bank Of Taiwan............................... 12,246,532 3,819,786
Unitech Computer Co., Ltd.......................... 1,565,739 924,906
# Unitech Printed Circuit Board Corp................. 7,251,466 3,055,549
# United Microelectronics Corp....................... 196,319,681 74,813,761
United Radiant Technology.......................... 95,000 44,590
# * United Renewable Energy Co., Ltd................... 19,156,450 4,267,108
# * Unity Opto Technology Co., Ltd..................... 2,924,000 789,826
Univacco Technology, Inc........................... 46,000 26,873
Universal Cement Corp.............................. 5,909,583 3,581,688
* Unizyx Holding Corp................................ 4,190,000 1,412,280
# UPC Technology Corp................................ 12,468,831 4,588,516
USI Corp........................................... 8,090,827 3,092,109
Usun Technology Co., Ltd........................... 191,100 191,888
Ve Wong Corp....................................... 1,564,806 1,244,578
# Victory New Materials, Ltd. Co..................... 945,170 619,727
Waffer Technology Co., Ltd......................... 69,000 36,337
* Wah Hong Industrial Corp........................... 395,516 217,727
# Wah Lee Industrial Corp............................ 2,043,000 3,204,460
Walsin Lihwa Corp.................................. 33,403,412 16,613,611
# Walsin Technology Corp............................. 3,078,797 13,010,054
# Walton Advanced Engineering, Inc................... 3,931,853 1,314,783
Wan Hai Lines, Ltd................................. 8,094,000 3,958,620
Waterland Financial Holdings Co., Ltd.............. 32,487,337 10,564,301
Weikeng Industrial Co., Ltd........................ 2,614,514 1,617,217
# Well Shin Technology Co., Ltd...................... 1,081,080 1,598,493
* Wha Yu Industrial Co., Ltd......................... 302,000 151,008
# Winbond Electronics Corp........................... 46,468,572 20,244,217
Winstek Semiconductor Co., Ltd..................... 247,000 180,369
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
TAIWAN -- (Continued)
Wintek Corp........................................ 20,783,484 $ 230,450
Wisdom Marine Lines Co., Ltd....................... 3,007,953 2,876,027
# Wistron Corp....................................... 43,039,343 26,385,009
WPG Holdings, Ltd.................................. 8,565,284 10,201,133
# WT Microelectronics Co., Ltd....................... 7,539,751 9,725,541
* WUS Printed Circuit Co., Ltd....................... 2,960,739 1,389,547
* Yang Ming Marine Transport Corp.................... 11,742,759 3,252,761
# YC Co., Ltd........................................ 6,741,177 2,817,010
YC INOX Co., Ltd................................... 4,977,833 3,980,671
Yea Shin International Development Co., Ltd........ 1,043,825 516,398
# Yeong Guan Energy Technology Group Co., Ltd........ 1,042,000 1,414,366
# YFY, Inc........................................... 20,003,847 7,256,772
# Yi Jinn Industrial Co., Ltd........................ 2,823,142 1,120,822
# Yieh Phui Enterprise Co., Ltd...................... 16,572,025 5,148,838
# Young Fast Optoelectronics Co., Ltd................ 1,525,000 754,034
# Youngtek Electronics Corp.......................... 1,095,047 1,343,105
Yuanta Financial Holding Co., Ltd.................. 116,044,918 56,432,471
# Yulon Motor Co., Ltd............................... 12,005,572 7,019,458
# Yung Chi Paint & Varnish Manufacturing Co., Ltd.... 243,687 582,928
Yungshin Construction & Development Co., Ltd....... 47,000 45,430
# Zenitron Corp...................................... 2,495,000 1,584,508
# Zero One Technology Co., Ltd....................... 579,000 350,376
Zhen Ding Technology Holding, Ltd.................. 3,294,000 7,536,587
Zig Sheng Industrial Co., Ltd...................... 6,209,352 1,823,638
Zinwell Corp....................................... 742,000 413,418
# ZongTai Real Estate Development Co., Ltd........... 2,669,844 1,405,196
--------------
TOTAL TAIWAN........................................... 2,682,026,226
--------------
THAILAND -- (3.5%)
AAPICO Hitech PCL.................................. 123,300 92,243
AAPICO Hitech PCL.................................. 681,760 510,035
AJ Plast PCL....................................... 1,465,000 426,463
Ananda Development PCL............................. 6,294,700 877,270
AP Thailand PCL.................................... 13,166,530 3,256,879
Asia Aviation PCL.................................. 6,854,200 827,053
Asia Aviation PCL.................................. 405,600 48,941
Asia Plus Group Holdings PCL....................... 4,806,900 542,317
Bangchak Corp. PCL................................. 4,346,900 4,327,231
Bangkok Airways PCL................................ 4,162,600 1,469,153
Bangkok Bank PCL................................... 1,191,253 7,438,593
Bangkok Insurance PCL.............................. 212,828 2,253,473
Bangkok Land PCL................................... 95,225,996 4,940,836
Bangkok Life Assurance PCL......................... 221,400 212,050
Bangkok Ranch PCL.................................. 3,511,800 516,971
Bank of Ayudhya PCL................................ 17,400 21,127
Banpu PCL.......................................... 21,889,750 11,489,643
Better World Green PCL............................. 4,460,000 162,793
Cal-Comp Electronics Thailand PCL.................. 27,745,614 1,623,725
Charoen Pokphand Foods PCL......................... 28,967,900 22,064,539
Charoong Thai Wire & Cable PCL..................... 1,189,400 328,296
Esso Thailand PCL.................................. 785,300 343,495
* G J Steel PCL...................................... 27,256,975 205,558
GFPT PCL........................................... 4,175,200 1,801,067
Golden Land Property Development PCL............... 2,685,500 745,297
Grand Canal Land PCL............................... 999,800 88,670
Hana Microelectronics PCL.......................... 3,173,000 3,469,721
ICC International PCL.............................. 2,517,200 2,999,379
Ichitan Group PCL.................................. 3,600,900 432,325
IRPC PCL........................................... 78,350,300 14,417,401
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
----------- -------------------------------
THAILAND -- (Continued)
* Italian-Thai Development PCL....................... 14,428,500 $ 1,192,582
Kang Yong Electric PCL............................. 200 2,498
Kasikornbank PCL................................... 6,567,501 39,523,875
KGI Securities Thailand PCL........................ 9,812,900 1,302,466
Khon Kaen Sugar Industry PCL....................... 10,079,907 1,009,511
Kiatnakin Bank PCL................................. 3,989,800 8,575,362
Krung Thai Bank PCL................................ 23,013,300 13,953,766
Lalin Property PCL................................. 204,200 37,883
LH Financial Group PCL............................. 16,993,446 768,934
LPN Development PCL................................ 8,216,801 2,317,559
* MCOT PCL........................................... 1,028,300 286,931
Millcon Steel PCL.................................. 3,063,413 165,415
* Nation Multimedia Group PCL........................ 2,644,800 11,369
Padaeng Industry PCL............................... 1,010,000 396,078
Polyplex Thailand PCL.............................. 4,676,225 2,115,939
* Precious Shipping PCL.............................. 6,382,150 2,214,019
Property Perfect PCL............................... 44,547,300 1,343,810
Pruksa Holding PCL................................. 3,935,600 2,398,163
PTT Exploration & Production PCL................... 12,326,700 51,872,538
PTT Global Chemical PCL............................ 25,060,441 58,398,765
PTT PCL............................................ 117,120,800 180,185,846
Quality Houses PCL................................. 22,802,697 2,159,893
Regional Container Lines PCL....................... 4,399,800 729,982
Rojana Industrial Park PCL......................... 7,752,073 1,262,781
Saha Pathana Inter-Holding PCL..................... 2,601,300 5,218,294
Saha Pathanapibul PCL.............................. 1,587,933 2,466,925
Saha-Union PCL..................................... 2,448,700 3,342,494
Sahaviriya Steel Industries PCL.................... 90,527,440 25,670
Sansiri PCL........................................ 39,681,266 1,879,324
SC Asset Corp. PCL................................. 21,180,353 2,172,344
* SCG Ceramics PCL................................... 456,028 36,317
Sena Development PCL............................... 1,331,366 145,386
Siam Commercial Bank PCL (The)..................... 10,045,500 41,666,855
Siam Future Development PCL........................ 5,994,346 1,392,352
Somboon Advance Technology PCL..................... 1,957,600 1,198,772
Sri Ayudhya Capital PCL............................ 85,100 113,595
Sri Trang Agro-Industry PCL........................ 7,623,240 4,116,320
Srithai Superware PCL.............................. 17,769,800 643,251
Star Petroleum Refining PCL........................ 7,808,400 3,321,220
* STP & I PCL........................................ 892,700 129,260
Supalai PCL........................................ 1,365,100 901,831
* Super Energy Corp. PCL............................. 25,878,500 546,454
SVI PCL............................................ 3,742,300 632,183
Syntec Construction PCL............................ 3,784,500 415,553
* Tata Steel Thailand PCL............................ 47,236,200 983,197
* Thai Airways International PCL..................... 9,655,411 3,786,436
Thai Oil PCL....................................... 9,860,800 25,209,738
Thai Rayon PCL..................................... 58,700 81,011
Thai Stanley Electric PCL.......................... 174,600 1,269,339
Thai Stanley Electric PCL.......................... 43,100 313,336
Thai Wacoal PCL.................................... 85,000 116,026
Thaicom PCL........................................ 4,888,100 1,260,732
Thanachart Capital PCL............................. 6,661,900 10,600,761
Thitikorn PCL...................................... 1,713,900 553,204
Thoresen Thai Agencies PCL......................... 6,672,278 1,348,545
TIPCO Foods PCL.................................... 14,300 3,882
TMB Bank PCL....................................... 82,845,200 5,697,950
TPI Polene PCL..................................... 52,467,040 2,848,889
True Corp. PCL..................................... 47,572,200 8,466,847
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
THAILAND -- (Continued)
Univentures PCL....................................... 1,602,200 $ 355,239
Vinythai PCL.......................................... 3,239,417 2,179,155
---------------
TOTAL THAILAND............................................. 595,597,196
---------------
TURKEY -- (0.8%)
Akbank Turk A.S....................................... 19,800,824 23,416,161
# * Akenerji Elektrik Uretim A.S.......................... 2,324,732 245,394
# Alarko Holding A.S.................................... 1,581,354 557,610
# Albaraka Turk Katilim Bankasi A.S..................... 4,642,337 1,097,920
Anadolu Anonim Turk Sigorta Sirketi................... 3,373,790 2,690,871
Anadolu Cam Sanayii A.S............................... 2,664,287 1,440,949
Anadolu Efes Biracilik Ve Malt Sanayii A.S............ 371,509 1,249,091
# * Bagfas Bandirma Gubre Fabrikalari A.S................. 403,271 381,577
* Baticim Bati Anadolu Cimento Sanayii A.S.............. 488,986 201,821
* Bera Holding A.S...................................... 304,438 87,882
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S......... 698,580 970,132
* Boyner Perakende Ve Tekstil Yatirimlari A.S........... 80,761 66,311
Cimsa Cimento Sanayi VE Ticaret A.S................... 121,596 163,449
# * Dogan Sirketler Grubu Holding A.S..................... 11,925,078 2,329,542
# Dogus Otomotiv Servis ve Ticaret A.S.................. 161,687 144,786
# Eczacibasi Yatirim Holding Ortakligi A.S.............. 282,215 337,971
# EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar
Sanayi ve Ticaret A.S............................... 1,908,942 1,015,969
# Enka Insaat ve Sanayi A.S............................. 3,355,807 2,804,397
# * Global Yatirim Holding A.S............................ 1,043,752 462,910
# * Gozde Girisim Sermayesi Yatirim Ortakligi A.S......... 1,934,165 810,034
# * GSD Holding AS........................................ 3,856,556 483,841
# * Ihlas Holding A.S..................................... 14,534,330 808,414
# * Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S.. 1,119,811 875,495
KOC Holding A.S....................................... 534,621 1,493,464
# Kordsa Teknik Tekstil A.S............................. 520,357 1,008,607
# * Metro Ticari ve Mali Yatirimlar Holding A.S........... 1,557,250 217,633
# * Pegasus Hava Tasimaciligi A.S......................... 363,908 1,308,806
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S.... 1,051,851 617,549
# * Sekerbank Turk AS..................................... 4,091,870 675,137
# Selcuk Ecza Deposu Ticaret ve Sanayi A.S.............. 1,806,234 976,208
Trakya Cam Sanayii A.S................................ 6,973,645 4,082,861
Turcas Petrol A.S..................................... 195,565 48,401
* Turk Hava Yollari AO.................................. 7,297,121 18,380,610
# Turkiye Garanti Bankasi A.S........................... 23,774,317 29,906,152
# Turkiye Halk Bankasi A.S.............................. 6,191,411 6,846,957
Turkiye Is Bankasi, Class C........................... 15,747,591 11,270,529
Turkiye Sinai Kalkinma Bankasi A.S.................... 14,178,792 1,803,707
Turkiye Sise ve Cam Fabrikalari A.S................... 9,231,018 7,817,747
# Turkiye Vakiflar Bankasi TAO, Class D................. 8,857,028 5,434,063
# * Yapi ve Kredi Bankasi A.S............................. 13,604,009 3,945,275
---------------
TOTAL TURKEY............................................... 138,476,233
---------------
TOTAL COMMON STOCKS........................................ 16,297,046,180
---------------
PREFERRED STOCKS -- (1.3%)
BRAZIL -- (1.2%)
Banco ABC Brasil S.A.................................. 1,105,119 4,801,767
Banco Bradesco SA..................................... 4,217,424 38,870,789
Banco do Estado do Rio Grande do Sul SA, Class B...... 2,245,768 11,984,671
Banco Pan SA.......................................... 1,738,792 841,012
Cia Brasileira de Distribuicao........................ 1,364,856 28,687,098
Cia Ferro Ligas da Bahia - FERBASA.................... 599,734 3,045,807
Eucatex SA Industria e Comercio....................... 256,928 303,771
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares Value(double right angle quote)
---------- -------------------------------
BRAZIL -- (Continued)
Grazziotin SA.......................................... 1,900 $ 11,824
Marcopolo SA........................................... 4,204,845 4,440,425
Petroleo Brasileiro SA................................. 12,781,490 94,860,877
Randon SA Implementos e Participacoes.................. 2,241,400 4,782,135
Unipar Carbocloro SA................................... 576,194 6,564,721
Usinas Siderurgicas de Minas Gerais SA, Class A........ 3,222,888 8,902,671
---------------
TOTAL BRAZIL.................................................. 208,097,568
---------------
COLOMBIA -- (0.1%)
Avianca Holdings SA.................................... 1,507,285 924,642
Grupo Argos SA......................................... 374,078 1,510,485
Grupo de Inversiones Suramericana SA................... 1,042,360 9,518,663
---------------
TOTAL COLOMBIA................................................ 11,953,790
---------------
SOUTH KOREA -- (0.0%)
* Mirae Asset Daewoo Co., Ltd............................ 47,268 149,005
---------------
TOTAL PREFERRED STOCKS........................................ 220,200,363
---------------
RIGHTS/WARRANTS -- (0.0%)
INDONESIA -- (0.0%)
* Medco Energi Internasional Tbk PT Warrants 12/11/20.... 26,899,866 544,987
---------------
MALAYSIA -- (0.0%)
* Gabungan AQRS Bhd Warrants 09/26/23.................... 430,575 33,956
* Mitrajaya Holdings Bhd Warrants 04/17/23............... 38,210 799
* Sunway Bhd Warrants 10/03/24........................... 539,326 37,377
* Symphony Life Berhad Rights 11/01/18................... 491,324 0
---------------
TOTAL MALAYSIA................................................ 72,132
---------------
POLAND -- (0.0%)
* Hawe SA Rights 09/30/15................................ 952,876 0
---------------
SOUTH KOREA -- (0.0%)
* SK Securities Co., Ltd. Rights 12/04/18................ 601,896 92,961
---------------
TAIWAN -- (0.0%)
* Evergreen Marine Corp., Ltd. Rights 11/21/18........... 1,434,010 32,441
* Sunplus Technology Co., Ltd. Rights 10/24/18........... 59,250 0
* Taichung Commercial Bank Rights 11/26/18............... 1,105,215 0
* Taishin financial Holding Co., Ltd. Rights 11/22/18.... 1,986,296 192,576
* Tycoons Group Enterprise Co., Ltd. Rights 12/03/18..... 1,076,813 20,880
---------------
TOTAL TAIWAN.................................................. 245,897
---------------
TOTAL RIGHTS/WARRANTS......................................... 955,977
---------------
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
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,551,312,445)..................................... $16,835,853,074
===============
ADR American Depositary Receipt
GDR Global Depositary Receipt
P.L.C. Public Limited Company
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SA Special Assessment
(double right angle quote)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.
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)
============ ============ ===========
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 2,631,744,530 -- 2,906,453,103
Colombia......... 30,714,677 -- -- 30,714,677
Czech Republic... -- 38,726,011 -- 38,726,011
Greece........... -- 2,765,160 -- 2,765,160
Hong Kong........ -- 310,211 -- 310,211
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
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Investments in Securities (Market Value)
-------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- --------------- ------- ---------------
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.
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 (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 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.
(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 Emerging Markets Value Fund
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 Emerging Markets Value Fund
Date: January 8, 2019
By: /s/ Gerard K. O'Reilly
---------------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
Dimensional Emerging Markets Value Fund
Date: January 8, 2019
By: /s/ Gregory K. Hinkle
---------------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Emerging Markets Value Fund
Date: January 8, 2019