================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-7440
-----------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)
-----------------
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)
-----------------
CATHERINE L. NEWELL, ESQUIRE, PRESIDENT AND GENERAL COUNSEL
DIMENSIONAL EMERGING MARKETS VALUE FUND,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
-----------------
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400
DATE OF FISCAL YEAR END: OCTOBER 31
DATE OF REPORTING PERIOD: NOVEMBER 1, 2018 - APRIL 30, 2019
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO] Dimensional
Semi-Annual Report
SIX MONTHS ENDED: APRIL 30, 2019 (UNAUDITED)
--------------------------------------------------------------------------------
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 GLOBAL SMALL COMPANY PORTFOLIO WORLD EX U.S. VALUE PORTFOLIO
U.S. LARGE CAP EQUITY PORTFOLIO INTERNATIONAL SMALL COMPANY PORTFOLIO WORLD EX U.S. TARGETED VALUE PORTFOLIO
U.S. LARGE CAP VALUE PORTFOLIO JAPANESE SMALL COMPANY PORTFOLIO WORLD EX U.S. CORE EQUITY PORTFOLIO
U.S. TARGETED VALUE PORTFOLIO ASIA PACIFIC SMALL COMPANY PORTFOLIO WORLD CORE EQUITY PORTFOLIO
U.S. SMALL CAP VALUE PORTFOLIO UNITED KINGDOM SMALL COMPANY SELECTIVELY HEDGED GLOBAL EQUITY
PORTFOLIO PORTFOLIO
U.S. CORE EQUITY 1 PORTFOLIO CONTINENTAL SMALL COMPANY PORTFOLIO EMERGING MARKETS PORTFOLIO
U.S. CORE EQUITY 2 PORTFOLIO DFA INTERNATIONAL REAL ESTATE EMERGING MARKETS SMALL CAP PORTFOLIO
SECURITIES PORTFOLIO
U.S. VECTOR EQUITY PORTFOLIO DFA GLOBAL REAL ESTATE SECURITIES EMERGING MARKETS VALUE PORTFOLIO
PORTFOLIO
U.S. SMALL CAP PORTFOLIO DFA INTERNATIONAL SMALL CAP VALUE EMERGING MARKETS CORE EQUITY
PORTFOLIO PORTFOLIO
U.S. MICRO CAP PORTFOLIO INTERNATIONAL VECTOR EQUITY PORTFOLIO EMERGING MARKETS TARGETED VALUE
PORTFOLIO
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO INTERNATIONAL HIGH RELATIVE DFA COMMODITY STRATEGY PORTFOLIO
PROFITABILITY PORTFOLIO
DFA REAL ESTATE SECURITIES PORTFOLIO
LARGE CAP INTERNATIONAL PORTFOLIO
INTERNATIONAL CORE EQUITY PORTFOLIO
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO U.S. LARGE COMPANY PORTFOLIO
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES THE CONTINENTAL SMALL COMPANY SERIES
THE DFA INTERNATIONAL VALUE SERIES THE CANADIAN SMALL COMPANY SERIES
THE JAPANESE SMALL COMPANY SERIES THE EMERGING MARKETS SERIES
THE ASIA PACIFIC SMALL COMPANY SERIES THE EMERGING MARKETS SMALL CAP SERIES
THE UNITED KINGDOM SMALL COMPANY
SERIES
DIMENSIONAL EMERGING MARKETS VALUE FUND
--------------------------------------------------------------------------------
SEE THE INSIDE FRONT COVER FOR IMPORTANT INFORMATION ABOUT ACCESS TO YOUR
FUND'S ANNUAL AND SEMI-ANNUAL SHAREHOLDER REPORTS.
IMPORTANT INFORMATION ABOUT ACCESS TO SHAREHOLDER REPORTS
Beginning on January 1, 2021, as permitted by regulations adopted by the
Securities and Exchange Commission, paper copies of each Portfolio's annual and
semi-annual shareholder reports will no longer be sent by mail, unless you
specifically request paper copies of the reports from the Portfolio or from
your financial intermediary. Instead, the reports will be made available on a
Portfolio's website, and you will be notified by mail each time a report is
posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you
will not be affected by this change and you need not take any action. You may
elect to receive shareholder reports and other communications electronically
from a Portfolio anytime by contacting the Portfolio's transfer agent at (888)
576-1167 or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of
charge. You can inform a Portfolio that you wish to continue receiving paper
copies of your shareholder reports by contacting your financial intermediary
or, if you invest directly with the Portfolio, by calling (888) 576-1167, to
let the Portfolio know of your request. Your election to receive reports in
paper will apply to all DFA Funds held directly or to all funds held through
your financial intermediary.
[LOGO] DIMENSIONAL
June 2019
Dear Fellow Shareholder,
Delivering a great investment experience for our clients informs everything we
do at Dimensional, from the way we design and manage strategies to how we
communicate and set expectations.
Our investment philosophy keeps us focused on the things we can control. And
our expert implementation--the way we apply academic insights to real
portfolios--helps us pursue better investor outcomes. We work hard to make
clients aware of what to expect from markets--and what to expect from
Dimensional. We are committed to being open and transparent about what we seek
to deliver, and to following through with robust investment strategies that can
help achieve our clients' financial goals.
On behalf of everyone at Dimensional, thank you for entrusting us with your
investments. We understand that the assets we manage play an important role in
your future. We are honored by the opportunity to serve you. And we are
committed to delivering a great investment experience.
Sincerely,
/s/ David P. Butler /s/ Gerard K. O'Reilly
DAVID P. BUTLER GERARD K. O'REILLY
Co-Chief Executive Officer Co-Chief Executive Officer and
Chief Investment Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES.............................. 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Disclosure of Fund Expenses.......................................... 3
Disclosure of Portfolio Holdings..................................... 8
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio............................ 11
U.S. Large Cap Equity Portfolio.................................. 16
U.S. Large Cap Value Portfolio................................... 19
U.S. Targeted Value Portfolio.................................... 20
U.S. Small Cap Value Portfolio................................... 23
U.S. Core Equity 1 Portfolio..................................... 26
U.S. Core Equity 2 Portfolio..................................... 29
U.S. Vector Equity Portfolio..................................... 32
U.S. Small Cap Portfolio......................................... 35
U.S. Micro Cap Portfolio......................................... 38
U.S. High Relative Profitability Portfolio....................... 41
DFA Real Estate Securities Portfolio............................. 44
Large Cap International Portfolio................................ 46
International Core Equity Portfolio.............................. 50
Global Small Company Portfolio................................... 54
International Small Company Portfolio............................ 55
Japanese Small Company Portfolio................................. 56
Asia Pacific Small Company Portfolio............................. 57
United Kingdom Small Company Portfolio........................... 58
Continental Small Company Portfolio.............................. 59
DFA International Real Estate Securities Portfolio............... 60
DFA Global Real Estate Securities Portfolio...................... 64
DFA International Small Cap Value Portfolio...................... 66
International Vector Equity Portfolio............................ 70
International High Relative Profitability Portfolio.............. 74
World ex U.S. Value Portfolio.................................... 78
World ex U.S. Targeted Value Portfolio........................... 79
World ex U.S. Core Equity Portfolio.............................. 84
World Core Equity Portfolio...................................... 90
Selectively Hedged Global Equity Portfolio....................... 91
Emerging Markets Portfolio....................................... 93
Emerging Markets Small Cap Portfolio............................. 94
Emerging Markets Value Portfolio................................. 95
Emerging Markets Core Equity Portfolio........................... 96
Emerging Markets Targeted Value Portfolio........................ 101
Statements of Assets and Liabilities................................. 105
Statements of Operations............................................. 113
Statements of Changes in Net Assets.................................. 121
Financial Highlights................................................. 133
Notes to Financial Statements........................................ 155
Section 19(a) Notice................................................. 193
DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO
Consolidated Disclosure of Fund Expenses............................. 195
Consolidated Disclosure of Portfolio Holdings........................ 197
Consolidated Schedule of Investments
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
DFA Commodity Strategy Portfolio............................ 198
Consolidated Statement of Assets and Liabilities................ 210
Consolidated Statement of Operations............................ 211
Consolidated Statement of Changes in Net Assets................. 212
Consolidated Financial Highlights............................... 213
Consolidated Notes to Financial Statements...................... 214
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses..................................... 228
Disclosure of Portfolio Holdings................................ 230
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio........................... 231
U.S. Large Company Portfolio................................ 232
Statements of Assets and Liabilities............................ 235
Statements of Operations........................................ 236
Statements of Changes in Net Assets............................. 237
Financial Highlights............................................ 238
Notes to Financial Statements................................... 241
Section 19(a) Notice............................................ 252
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses..................................... 253
Disclosure of Portfolio Holdings................................ 255
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series............................. 257
The DFA International Value Series.......................... 260
The Japanese Small Company Series........................... 264
The Asia Pacific Small Company Series....................... 267
The United Kingdom Small Company Series..................... 269
The Continental Small Company Series........................ 272
The Canadian Small Company Series........................... 276
The Emerging Markets Series................................. 279
The Emerging Markets Small Cap Series....................... 283
Statements of Assets and Liabilities............................ 287
Statements of Operations........................................ 289
Statements of Changes in Net Assets............................. 291
Financial Highlights............................................ 294
Notes to Financial Statements................................... 299
DIMENSIONAL EMERGING MARKETS VALUE FUND
Disclosure of Fund Expenses..................................... 313
Disclosure of Portfolio Holdings................................ 315
Summary Schedule of Portfolio Holdings
Dimensional Emerging Markets Value Fund..................... 316
Statement of Assets and Liabilities............................. 320
Statement of Operations......................................... 321
Statements of Changes in Net Assets............................. 322
Financial Highlights............................................ 323
Notes to Financial Statements................................... 324
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................ 333
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS................. 334
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
ii
[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
DKK Danish Krone
EUR Euro
GBP British Pounds
NOK Norwegian Krone
SEK Swedish Krona
USD United States Dollar
AUD Australian Dollars
CHF Swiss Franc
HKD Hong Kong Dollar
ILS Israeli New Shekel
JPY Japanese Yen
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.
(OMEGA) Rule 144A, Section 4(2), or other security that
is restricted as to resale to institutional
investors. This security has been deemed liquid
based upon the Fund's Liquidity Guidelines.
# Total or Partial Securities on Loan.
(double left angle quote) Total or partial security pledged as collateral
for 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.
(double right angle quote) Securities that have generally been fair value
factored. See Note B to Financial Statements.
~ Total or partial security pledged as collateral
for Swap Agreements.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Non-Annualized
(C) Annualized
(D) Represents the combined ratios for the
respective portfolio and its respective pro-rata
share of its Master Fund(s) and/or Underlying
Fund(s).
(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.
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 APRIL 30, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
-------------------------------------
Actual Fund Return.................... $1,000.00 $1,108.60 0.15% $0.78
Hypothetical 5% Annual Return......... $1,000.00 $1,024.05 0.15% $0.75
U.S. LARGE CAP EQUITY PORTFOLIO
-------------------------------
Actual Fund Return.................... $1,000.00 $1,095.20 0.18% $0.94
Hypothetical 5% Annual Return......... $1,000.00 $1,023.90 0.18% $0.90
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
U.S. LARGE CAP VALUE PORTFOLIO (2)
----------------------------------
Actual Fund Return......................... $1,000.00 $1,043.70 0.27% $1.37
Hypothetical 5% Annual Return.............. $1,000.00 $1,023.46 0.27% $1.35
U.S. TARGETED VALUE PORTFOLIO
-----------------------------
Actual Fund Return
Class R1 Shares......................... $1,000.00 $1,042.00 0.47% $2.38
Class R2 Shares......................... $1,000.00 $1,041.70 0.62% $3.14
Institutional Class Shares.............. $1,000.00 $1,042.60 0.37% $1.87
Hypothetical 5% Annual Return
Class R1 Shares......................... $1,000.00 $1,022.46 0.47% $2.36
Class R2 Shares......................... $1,000.00 $1,021.72 0.62% $3.11
Institutional Class Shares.............. $1,000.00 $1,022.96 0.37% $1.86
U.S. SMALL CAP VALUE PORTFOLIO
------------------------------
Actual Fund Return......................... $1,000.00 $1,020.30 0.52% $2.60
Hypothetical 5% Annual Return.............. $1,000.00 $1,022.22 0.52% $2.61
U.S. CORE EQUITY 1 PORTFOLIO
----------------------------
Actual Fund Return......................... $1,000.00 $1,084.80 0.19% $0.98
Hypothetical 5% Annual Return.............. $1,000.00 $1,023.85 0.19% $0.95
U.S. CORE EQUITY 2 PORTFOLIO
----------------------------
Actual Fund Return......................... $1,000.00 $1,076.00 0.22% $1.13
Hypothetical 5% Annual Return.............. $1,000.00 $1,023.70 0.22% $1.10
U.S. VECTOR EQUITY PORTFOLIO
----------------------------
Actual Fund Return......................... $1,000.00 $1,056.00 0.32% $1.63
Hypothetical 5% Annual Return.............. $1,000.00 $1,023.21 0.32% $1.61
U.S. SMALL CAP PORTFOLIO
------------------------
Actual Fund Return......................... $1,000.00 $1,038.10 0.37% $1.87
Hypothetical 5% Annual Return.............. $1,000.00 $1,022.96 0.37% $1.86
U.S. MICRO CAP PORTFOLIO
------------------------
Actual Fund Return......................... $1,000.00 $1,023.20 0.52% $2.61
Hypothetical 5% Annual Return.............. $1,000.00 $1,022.22 0.52% $2.61
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
------------------------------------------
Actual Fund Return......................... $1,000.00 $1,107.00 0.25% $1.31
Hypothetical 5% Annual Return.............. $1,000.00 $1,023.56 0.25% $1.25
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------
Actual Fund Return................................. $1,000.00 $1,131.40 0.18% $0.95
Hypothetical 5% Annual Return...................... $1,000.00 $1,023.90 0.18% $0.90
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------
Actual Fund Return................................. $1,000.00 $1,078.10 0.23% $1.19
Hypothetical 5% Annual Return...................... $1,000.00 $1,023.65 0.23% $1.15
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return................................. $1,000.00 $1,061.90 0.30% $1.53
Hypothetical 5% Annual Return...................... $1,000.00 $1,023.31 0.30% $1.51
GLOBAL SMALL COMPANY PORTFOLIO (3)
----------------------------------
Actual Fund Return................................. $1,000.00 $1,053.30 0.49% $2.49
Hypothetical 5% Annual Return...................... $1,000.00 $1,022.37 0.49% $2.46
INTERNATIONAL SMALL COMPANY PORTFOLIO (3)
-----------------------------------------
Actual Fund Return................................. $1,000.00 $1,049.10 0.54% $2.74
Hypothetical 5% Annual Return...................... $1,000.00 $1,022.12 0.54% $2.71
JAPANESE SMALL COMPANY PORTFOLIO (2)
------------------------------------
Actual Fund Return................................. $1,000.00 $ 984.10 0.54% $2.66
Hypothetical 5% Annual Return...................... $1,000.00 $1,022.12 0.54% $2.71
ASIA PACIFIC SMALL COMPANY PORTFOLIO (2)
----------------------------------------
Actual Fund Return................................. $1,000.00 $1,095.30 0.56% $2.91
Hypothetical 5% Annual Return...................... $1,000.00 $1,022.02 0.56% $2.81
UNITED KINGDOM SMALL COMPANY PORTFOLIO (2)
------------------------------------------
Actual Fund Return................................. $1,000.00 $1,093.00 0.59% $3.06
Hypothetical 5% Annual Return...................... $1,000.00 $1,021.87 0.59% $2.96
CONTINENTAL SMALL COMPANY PORTFOLIO (2)
---------------------------------------
Actual Fund Return................................. $1,000.00 $1,070.90 0.55% $2.82
Hypothetical 5% Annual Return...................... $1,000.00 $1,022.07 0.55% $2.76
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------
Actual Fund Return................................. $1,000.00 $1,111.80 0.28% $1.47
Hypothetical 5% Annual Return...................... $1,000.00 $1,023.41 0.28% $1.40
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO (4)
-----------------------------------------------
Actual Fund Return................................. $1,000.00 $1,124.00 0.24% $1.26
Hypothetical 5% Annual Return...................... $1,000.00 $1,023.60 0.24% $1.20
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-------------------------------------------
Actual Fund Return.................................. $1,000.00 $1,023.00 0.69% $3.46
Hypothetical 5% Annual Return....................... $1,000.00 $1,021.37 0.69% $3.46
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-------------------------------------
Actual Fund Return.................................. $1,000.00 $1,048.40 0.49% $2.49
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.37 0.49% $2.46
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
---------------------------------------------------
Actual Fund Return.................................. $1,000.00 $1,095.40 0.35% $1.82
Hypothetical 5% Annual Return....................... $1,000.00 $1,023.06 0.35% $1.76
WORLD EX U.S. VALUE PORTFOLIO (3)
---------------------------------
Actual Fund Return.................................. $1,000.00 $1,055.40 0.53% $2.70
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.17 0.53% $2.66
WORLD EX U.S. TARGETED VALUE PORTFOLIO
--------------------------------------
Actual Fund Return.................................. $1,000.00 $1,060.30 0.68% $3.47
Hypothetical 5% Annual Return....................... $1,000.00 $1,021.42 0.68% $3.41
WORLD EX U.S. CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return.................................. $1,000.00 $1,080.20 0.37% $1.91
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.96 0.37% $1.86
WORLD CORE EQUITY PORTFOLIO (3)
-------------------------------
Actual Fund Return.................................. $1,000.00 $1,081.40 0.33% $1.70
Hypothetical 5% Annual Return....................... $1,000.00 $1,023.16 0.33% $1.66
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO (3)
----------------------------------------------
Actual Fund Return.................................. $1,000.00 $1,084.30 0.35% $1.81
Hypothetical 5% Annual Return....................... $1,000.00 $1,023.06 0.35% $1.76
EMERGING MARKETS PORTFOLIO (2)
------------------------------
Actual Fund Return.................................. $1,000.00 $1,120.20 0.48% $2.52
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.41 0.48% $2.41
EMERGING MARKETS SMALL CAP PORTFOLIO (2)
----------------------------------------
Actual Fund Return.................................. $1,000.00 $1,144.00 0.71% $3.77
Hypothetical 5% Annual Return....................... $1,000.00 $1,021.27 0.71% $3.56
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
EMERGING MARKETS VALUE PORTFOLIO (2)
------------------------------------
Actual Fund Return
Class R2 Shares............................ $1,000.00 $1,093.00 0.80% $4.15
Institutional Class Shares................. $1,000.00 $1,094.30 0.55% $2.86
Hypothetical 5% Annual Return
Class R2 Shares............................ $1,000.00 $1,020.83 0.80% $4.01
Institutional Class Shares................. $1,000.00 $1,022.07 0.55% $2.76
EMERGING MARKETS CORE EQUITY PORTFOLIO
--------------------------------------
Actual Fund Return............................ $1,000.00 $1,125.40 0.52% $2.74
Hypothetical 5% Annual Return................. $1,000.00 $1,022.22 0.52% $2.61
EMERGING MARKETS TARGETED VALUE PORTFOLIO (5)
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,202.10 0.85% $4.64
Hypothetical 5% Annual Return................. $1,000.00 $1,018.99 0.85% $3.93
--------
(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 (181), 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 allocation 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).
(5)Emerging Markets Targeted Value Portfolio commenced operations on
November 14, 2018. Expenses are equal to the fund's annualized expense ratio
for the period, multiplied by the average account value over the period,
multiplied by the number of days since inception (167), then divided by the
number of days in the year (365) to reflect the period. The "Ending Account
Value" is derived from the fund's share class actual return since inception.
The "Hypothetical 5% Annual Return" information reflects the 181 day period
for the six months ended April 30, 2019 to allow for comparability.
7
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-PORT. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-PORT 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 April 1, 2019. 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%
FUNDS OF FUNDS
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Global Small Company Portfolio................. 100.0%
International 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%
8
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
ENHANCED DOMESTIC EQUITY PORTFOLIO
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Corporate................................. 31.7%
Government................................ 17.9%
Foreign Corporate......................... 31.0%
Foreign Government........................ 16.2%
Supranational............................. 3.2%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. LARGE CAP EQUITY PORTFOLIO
Communication Services.................... 9.7%
Consumer Discretionary.................... 12.0%
Consumer Staples.......................... 6.7%
Energy.................................... 5.3%
Financials................................ 13.6%
Health Care............................... 13.0%
Industrials............................... 11.9%
Information Technology.................... 21.4%
Materials................................. 3.7%
Real Estate............................... 0.2%
Utilities................................. 2.5%
-----
100.0%
U.S. TARGETED VALUE PORTFOLIO
Communication Services.................... 3.4%
Consumer Discretionary.................... 13.4%
Consumer Staples.......................... 4.4%
Energy.................................... 8.4%
Financials................................ 28.0%
Health Care............................... 4.5%
Industrials............................... 19.6%
Information Technology.................... 12.1%
Materials................................. 5.8%
Real Estate............................... 0.3%
Utilities................................. 0.1%
-----
100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Communication Services.................... 4.4%
Consumer Discretionary.................... 13.3%
Consumer Staples.......................... 3.9%
Energy.................................... 11.4%
Financials................................ 27.3%
Health Care............................... 3.5%
Industrials............................... 18.4%
Information Technology.................... 10.9%
Materials................................. 6.4%
Real Estate............................... 0.4%
Utilities................................. 0.1%
-----
100.0%
U.S. CORE EQUITY 1 PORTFOLIO
Communication Services.................... 7.9%
Consumer Discretionary.................... 13.1%
Consumer Staples.......................... 6.1%
Energy.................................... 5.4%
Financials................................ 14.9%
Health Care............................... 11.3%
Industrials............................... 13.3%
Information Technology.................... 20.7%
Materials................................. 4.1%
Real Estate............................... 0.3%
Utilities................................. 2.9%
-----
100.0%
U.S. CORE EQUITY 2 PORTFOLIO
Communication Services.................... 7.9%
Consumer Discretionary.................... 12.4%
Consumer Staples.......................... 5.8%
Energy.................................... 5.8%
Financials................................ 17.2%
Health Care............................... 11.0%
Industrials............................... 14.4%
Information Technology.................... 18.8%
Materials................................. 4.4%
Real Estate............................... 0.3%
Utilities................................. 2.0%
-----
100.0%
U.S. VECTOR EQUITY PORTFOLIO
Communication Services.................... 6.7%
Consumer Discretionary.................... 11.4%
Consumer Staples.......................... 3.9%
Energy.................................... 6.7%
Financials................................ 24.7%
Health Care............................... 8.5%
Industrials............................... 16.3%
Information Technology.................... 15.0%
Materials................................. 5.1%
Real Estate............................... 0.5%
Utilities................................. 1.2%
-----
100.0%
U.S. SMALL CAP PORTFOLIO
Communication Services.................... 4.1%
Consumer Discretionary.................... 14.7%
Consumer Staples.......................... 4.4%
Energy.................................... 5.5%
Financials................................ 19.6%
Health Care............................... 8.7%
Industrials............................... 19.6%
Information Technology.................... 14.1%
Materials................................. 5.1%
Real Estate............................... 0.7%
Utilities................................. 3.5%
-----
100.0%
U.S. MICRO CAP PORTFOLIO
Communication Services.................... 3.4%
Consumer Discretionary.................... 13.2%
Consumer Staples.......................... 3.8%
Energy.................................... 6.5%
Financials................................ 21.6%
Health Care............................... 10.3%
Industrials............................... 19.8%
Information Technology.................... 13.6%
Materials................................. 4.4%
Real Estate............................... 1.1%
Utilities................................. 2.3%
-----
100.0%
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
Communication Services.................... 6.1%
Consumer Discretionary.................... 18.1%
Consumer Staples.......................... 9.5%
Energy.................................... 2.0%
Financials................................ 3.8%
Health Care............................... 9.3%
Industrials............................... 17.8%
Information Technology.................... 30.4%
Materials................................. 3.0%
Utilities................................. 0.0%
-----
100.0%
9
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA REAL ESTATE SECURITIES PORTFOLIO
Real Estate............................... 100.0%
-----
100.0%
LARGE CAP INTERNATIONAL PORTFOLIO
Communication Services.................... 5.9%
Consumer Discretionary.................... 12.7%
Consumer Staples.......................... 10.1%
Energy.................................... 7.3%
Financials................................ 18.7%
Health Care............................... 8.8%
Industrials............................... 15.4%
Information Technology.................... 6.1%
Materials................................. 9.8%
Real Estate............................... 2.0%
Utilities................................. 3.2%
-----
100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO
Communication Services.................... 6.1%
Consumer Discretionary.................... 14.2%
Consumer Staples.......................... 7.5%
Energy.................................... 7.1%
Financials................................ 16.4%
Health Care............................... 6.0%
Industrials............................... 18.2%
Information Technology.................... 6.3%
Materials................................. 12.5%
Real Estate............................... 2.6%
Utilities................................. 3.1%
-----
100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES
PORTFOLIO
Real Estate............................... 100.0%
-----
100.0%
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
Affiliated Investment Companies............ 49.8%
Real Estate................................ 50.2%
-----
100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Communication Services.................... 2.7%
Consumer Discretionary.................... 13.9%
Consumer Staples.......................... 4.8%
Energy.................................... 7.3%
Financials................................ 19.8%
Health Care............................... 2.3%
Industrials............................... 24.2%
Information Technology.................... 4.3%
Materials................................. 15.4%
Real Estate............................... 3.3%
Utilities................................. 2.0%
-----
100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Communication Services.................... 5.2%
Consumer Discretionary.................... 13.9%
Consumer Staples.......................... 5.9%
Energy.................................... 7.1%
Financials................................ 18.2%
Health Care............................... 4.6%
Industrials............................... 19.8%
Information Technology.................... 6.6%
Materials................................. 13.6%
Real Estate............................... 2.9%
Utilities................................. 2.2%
-----
100.0%
INTERNATIONAL HIGH RELATIVE PROFITABILITY
PORTFOLIO
Communication Services.................... 9.4%
Consumer Discretionary.................... 17.3%
Consumer Staples.......................... 12.4%
Energy.................................... 4.2%
Financials................................ 4.8%
Health Care............................... 10.9%
Industrials............................... 20.0%
Information Technology.................... 7.0%
Materials................................. 11.1%
Real Estate............................... 0.6%
Utilities................................. 2.3%
-----
100.0%
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Communication Services.................... 4.0%
Consumer Discretionary.................... 14.4%
Consumer Staples.......................... 4.7%
Energy.................................... 5.9%
Financials................................ 18.1%
Health Care............................... 2.6%
Industrials............................... 21.5%
Information Technology.................... 7.1%
Materials................................. 15.3%
Real Estate............................... 4.6%
Utilities................................. 1.8%
-----
100.0%
WORLD EX U.S. CORE EQUITY PORTFOLIO
Communication Services.................... 6.4%
Consumer Discretionary.................... 13.3%
Consumer Staples.......................... 7.0%
Energy.................................... 6.8%
Financials................................ 17.7%
Health Care............................... 5.4%
Industrials............................... 15.9%
Information Technology.................... 8.8%
Materials................................. 11.9%
Real Estate............................... 3.6%
Utilities................................. 3.2%
-----
100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Communication Services.................... 7.6%
Consumer Discretionary.................... 11.1%
Consumer Staples.......................... 7.2%
Energy.................................... 6.9%
Financials................................ 18.7%
Health Care............................... 3.1%
Industrials............................... 9.0%
Information Technology.................... 18.3%
Materials................................. 10.8%
Real Estate............................... 4.0%
Utilities................................. 3.3%
-----
100.0%
EMERGING MARKETS TARGETED VALUE PORTFOLIO
Communication Services.................... 3.0%
Consumer Discretionary.................... 10.9%
Consumer Staples.......................... 5.1%
Energy.................................... 4.2%
Financials................................ 16.7%
Health Care............................... 3.1%
Industrials............................... 17.9%
Information Technology.................... 14.1%
Materials................................. 15.7%
Real Estate............................... 7.5%
Utilities................................. 1.8%
-----
100.0%
10
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
FACE
AMOUNT^
(000) VALUE+
------- -----------
BONDS -- (80.1%)
AUSTRALIA -- (6.3%)
Australia & New Zealand Banking Group, Ltd.
(OMEGA) 2.250%, 12/19/19................................... 1,000 $ 997,345
5.100%, 01/13/20................................... 750 762,161
Commonwealth Bank of Australia
(OMEGA) 2.250%, 03/10/20................................... 1,000 996,402
(OMEGA) 2.050%, 09/18/20................................... 1,800 1,783,837
2.400%, 11/02/20................................... 2,096 2,087,681
National Australia Bank, Ltd.
2.125%, 05/22/20................................... 5,586 5,554,425
2.500%, 01/12/21................................... 3,500 3,481,541
Westpac Banking Corp.
2.150%, 03/06/20................................... 2,204 2,194,779
2.300%, 05/26/20................................... 3,500 3,486,790
-----------
TOTAL AUSTRALIA............................................. 21,344,961
-----------
BELGIUM -- (0.3%)
Dexia Credit Local SA
0.040%, 12/11/19................................... EUR 1,000 1,123,736
-----------
CANADA -- (15.9%)
Bank of Montreal
1.900%, 08/27/21................................... 4,000 3,937,662
Bank of Nova Scotia (The)
2.350%, 10/21/20................................... 1,500 1,493,269
2.450%, 03/22/21................................... 6,000 5,976,183
CPPIB Capital, Inc.
1.400%, 06/04/20................................... CAD 6,200 4,609,020
Manitoba, Province of Canada
0.750%, 12/15/21................................... GBP 2,500 3,218,282
Province of Alberta Canada
1.250%, 06/01/20................................... CAD 2,000 1,484,362
Province of British Columbia Canada
3.700%, 12/18/20................................... CAD 6,000 4,618,303
Province of Ontario Canada
1.650%, 09/27/19................................... 4,000 3,985,787
Province of Quebec Canada
4.500%, 12/01/20................................... CAD 5,500 4,281,847
Province of Saskatchewan Canada
3.900%, 07/28/20................................... CAD 6,300 4,824,812
Royal Bank of Canada
2.350%, 12/09/19................................... CAD 1,300 972,569
2.860%, 03/04/21................................... CAD 5,000 3,787,863
2.030%, 03/15/21................................... CAD 2,130 1,589,352
FACE
AMOUNT^
(000) VALUE+
------- -----------
CANADA -- (Continued)
Toronto-Dominion Bank (The)
1.693%, 04/02/20................................... CAD 3,000 $ 2,234,112
2.563%, 06/24/20................................... CAD 5,000 3,754,609
0.625%, 03/08/21................................... EUR 2,000 2,273,605
3.250%, 06/11/21................................... 1,000 1,012,116
-----------
TOTAL CANADA 54,053,753
-----------
DENMARK -- (2.7%)
Denmark Government Bond
3.000%, 11/15/21................................... DKK 55,000 9,021,610
-----------
FRANCE -- (3.1%)
Caisse d'Amortissement de la Dette Sociale
4.250%, 04/25/20................................... EUR 1,000 1,172,615
Sanofi
4.125%, 10/11/19................................... EUR 1,629 1,861,930
SNCF Reseau EPIC
5.500%, 12/01/21................................... GBP 2,000 2,888,595
Total Capital Canada, Ltd.
1.875%, 07/09/20................................... EUR 200 230,096
Total Capital International SA
2.750%, 06/19/21................................... 2,000 2,007,283
Total Capital SA
4.450%, 06/24/20................................... 2,200 2,245,534
-----------
TOTAL FRANCE 10,406,053
-----------
GERMANY -- (2.1%)
Daimler Finance North America LLC
(OMEGA) 2.250%, 03/02/20................................... 1,500 1,493,423
EMD Finance LLC
(OMEGA) 2.400%, 03/19/20................................... 2,100 2,091,290
Kreditanstalt fuer Wiederaufbau
1.375%, 01/28/20................................... CAD 5,000 3,719,489
-----------
TOTAL GERMANY 7,304,202
-----------
IRELAND -- (0.2%)
Shire Acquisitions Investments Ireland DA
2.400%, 09/23/21................................... 515 508,947
-----------
JAPAN -- (3.2%)
MUFG Bank, Ltd.
(OMEGA) 2.300%, 03/05/20................................... 1,400 1,395,879
Toyota Credit Canada, Inc.
2.250%, 05/23/19................................... CAD 1,900 1,418,639
11
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^
(000) VALUE+
------- -----------
JAPAN -- (Continued)
1.800%, 02/19/20................................... CAD 6,500 $ 4,842,614
2.200%, 02/25/21................................... CAD 4,500 3,363,160
-----------
TOTAL JAPAN................................................. 11,020,292
-----------
LUXEMBOURG -- (1.0%)
Nestle Finance International, Ltd.
0.750%, 11/08/21................................... EUR 2,827 3,244,596
-----------
NETHERLANDS -- (4.0%)
BNG Bank NV
5.375%, 06/07/21................................... GBP 600 851,339
Cooperatieve Rabobank UA
2.250%, 12/02/19................................... 1,655 1,650,704
4.750%, 01/15/20................................... 700 710,008
Shell International Finance BV
4.375%, 03/25/20................................... 1,547 1,570,798
2.250%, 11/10/20................................... 2,685 2,676,311
1.625%, 03/24/21................................... EUR 4,879 5,661,740
Toyota Motor Finance Netherlands BV
0.250%, 01/10/22................................... EUR 500 565,001
-----------
TOTAL NETHERLANDS........................................... 13,685,901
-----------
NEW ZEALAND -- (0.6%)
ANZ New Zealand International Ltd.
2.600%, 09/23/19................................... 2,200 2,198,911
-----------
NORWAY -- (1.9%)
Norway Government Bond
(OMEGA) 3.750%, 05/25/21................................... NOK 35,000 4,252,601
Equinor ASA
2.000%, 09/10/20................................... EUR 1,200 1,384,795
2.900%, 11/08/20................................... 941 945,504
-----------
TOTAL NORWAY................................................ 6,582,900
-----------
SPAIN -- (0.8%)
Telefonica Emisiones SA
5.462%, 02/16/21................................... 2,500 2,611,429
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.2%)
Council Of Europe Development Bank
1.625%, 03/10/20................................... 3,000 2,978,712
European Investment Bank
(OMEGA) 2.250%, 07/30/21................................... CAD 8,000 6,029,171
FACE
AMOUNT^
(000) VALUE+
------- -----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
Nordic Investment Bank
1.375%, 07/15/20................................... NOK 14,890 $ 1,724,195
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS................ 10,732,078
-----------
SWEDEN -- (1.6%)
Kommuninvest I Sverige AB
1.000%, 09/15/21................................... SEK 42,000 4,525,155
Svenska Handelsbanken AB
2.400%, 10/01/20................................... 1,000 995,353
-----------
TOTAL SWEDEN................................................ 5,520,508
-----------
SWITZERLAND -- (0.7%)
UBS Group Funding Switzerland AG
(OMEGA) 2.950%, 09/24/20................................... 2,500 2,503,897
-----------
UNITED KINGDOM -- (1.8%)
AstraZeneca P.L.C.
1.950%, 09/18/19................................... 700 697,090
Barclays P.L.C.
2.750%, 11/08/19................................... 1,500 1,497,164
2.875%, 06/08/20................................... 500 498,698
BP Capital Markets P.L.C.
2.315%, 02/13/20................................... 2,550 2,542,119
HSBC USA, Inc.
2.375%, 11/13/19................................... 1,000 998,170
-----------
TOTAL UNITED KINGDOM........................................ 6,233,241
-----------
UNITED STATES -- (30.7%)
Allergan Funding SCS
3.000%, 03/12/20................................... 1,200 1,200,432
Allergan, Inc.
3.375%, 09/15/20................................... 1,800 1,809,667
Altria Group, Inc.
# 2.625%, 01/14/20................................... 2,000 1,996,058
American Honda Finance Corp.
# 2.150%, 03/13/20................................... 1,500 1,493,808
Amgen, Inc.
2.200%, 05/11/20................................... 1,000 995,705
Anthem, Inc.
2.500%, 11/21/20................................... 1,766 1,757,088
AT&T, Inc.
2.450%, 06/30/20................................... 1,500 1,495,151
Autodesk, Inc.
3.125%, 06/15/20................................... 1,500 1,504,495
BAE Systems Holdings, Inc.
(OMEGA) 6.375%, 06/01/19................................... 480 481,258
12
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^
(000) VALUE+
------- ----------
UNITED STATES -- (Continued)
Bank of America Corp.
2.250%, 04/21/20...................................... 1,035 $1,030,931
Biogen, Inc.
2.900%, 09/15/20...................................... 2,000 1,999,395
Broadcom Corp. / Broadcom Cayman Finance Ltd.
3.000%, 01/15/22...................................... 2,900 2,883,235
Capital One NA
# 2.350%, 01/31/20...................................... 1,500 1,494,968
Chevron Corp.
1.961%, 03/03/20...................................... 3,600 3,580,397
Citibank NA
2.100%, 06/12/20...................................... 1,000 993,338
Citizens Bank N.A.
2.450%, 12/04/19...................................... 2,200 2,196,328
CVS Health Corp.
2.800%, 07/20/20...................................... 1,500 1,498,539
Discovery Communications LLC
2.750%, 11/15/19...................................... 2,000 1,995,316
Eastman Chemical Co.
2.700%, 01/15/20...................................... 622 621,539
Enterprise Products Operating LLC
5.250%, 01/31/20...................................... 2,000 2,032,896
Exelon Generation Co. LLC
2.950%, 01/15/20...................................... 2,000 2,000,706
Express Scripts Holding Co.
2.250%, 06/15/19...................................... 2,000 1,998,423
General Electric Co.
# 2.200%, 01/09/20...................................... 1,000 992,900
General Motors Financial Co., Inc.
2.350%, 10/04/19...................................... 429 428,212
3.150%, 01/15/20...................................... 1,600 1,602,873
Gilead Sciences, Inc.
2.350%, 02/01/20...................................... 1,500 1,495,769
Goldman Sachs Group, Inc. (The)
# 6.000%, 06/15/20...................................... 1,000 1,034,197
Harley-Davidson Financial Services, Inc.
(OMEGA) 2.150%, 02/26/20...................................... 1,000 992,752
Humana, Inc.
2.625%, 10/01/19...................................... 2,981 2,977,725
JM Smucker Co. (The)
2.500%, 03/15/20...................................... 1,061 1,058,323
John Deere Capital Corp.
2.050%, 03/10/20...................................... 220 218,922
JPMorgan Chase & Co.
2.250%, 01/23/20...................................... 1,000 996,963
# 4.950%, 03/25/20...................................... 2,000 2,039,999
Kraft Heinz Foods Co.
5.375%, 02/10/20...................................... 1,500 1,527,441
FACE
AMOUNT^
(000) VALUE+
------- ----------
UNITED STATES -- (Continued)
Lowe's Cos., Inc.
# 3.750%, 04/15/21.................................... 2,500 $2,545,274
LyondellBasell Industries NV
6.000%, 11/15/21.................................... 2,500 2,663,688
Manufacturers & Traders Trust Co.
2.100%, 02/06/20.................................... 400 398,135
Markel Corp.
7.125%, 09/30/19.................................... 527 535,166
5.350%, 06/01/21.................................... 2,100 2,190,758
Merck & Co., Inc.
1.125%, 10/15/21.................................... EUR 1,700 1,961,247
Molson Coors Brewing Co.
# 2.100%, 07/15/21.................................... 2,800 2,751,376
Nasdaq, Inc.
5.550%, 01/15/20.................................... 1,300 1,325,299
NBCUniversal Media LLC
# 4.375%, 04/01/21.................................... 2,700 2,785,033
NetApp, Inc.
3.375%, 06/15/21.................................... 1,014 1,022,565
Newmont Goldcorp Corp.
(OMEGA) 3.625%, 06/09/21.................................... 2,800 2,822,851
Nissan Motor Acceptance Corp.
(OMEGA) 2.125%, 03/03/20.................................... 1,300 1,290,224
Nordstrom, Inc.
# 4.000%, 10/15/21.................................... 2,500 2,557,366
Oracle Corp.
2.250%, 01/10/21.................................... EUR 2,000 2,334,511
Philip Morris International, Inc.
2.000%, 02/21/20.................................... 3,000 2,983,614
PNC Bank NA
2.600%, 07/21/20.................................... 1,000 999,774
Quest Diagnostics, Inc.
4.750%, 01/30/20.................................... 1,131 1,147,031
Ryder System, Inc.
2.450%, 09/03/19.................................... 2,000 1,997,341
Southern Co. (The)
2.750%, 06/15/20.................................... 1,000 999,392
Target Corp.
3.875%, 07/15/20.................................... 463 470,392
TD Ameritrade Holding Corp.
5.600%, 12/01/19.................................... 1,500 1,525,266
Textron, Inc.
7.250%, 10/01/19.................................... 1,500 1,527,218
Tyson Foods, Inc.
2.650%, 08/15/19.................................... 1,200 1,200,496
Verizon Communications, Inc.
4.600%, 04/01/21.................................... 1,600 1,657,830
Volkswagen Group of America Finance LLC
2.450%, 11/20/19.................................... 2,000 1,995,783
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21.................................... 2,500 2,521,470
13
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^
(000) VALUE+
------- ------------
UNITED STATES -- (Continued)
Walmart, Inc.
2.850%, 06/23/20............. 3,759 $ 3,774,229
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20............. 2,000 1,996,078
------------
TOTAL UNITED STATES..................................... 104,405,156
------------
TOTAL BONDS............................................. 272,502,171
------------
U.S. TREASURY OBLIGATIONS -- (17.5%)
U.S. Treasury Notes
1.500%, 04/15/20............. 17,200 17,056,219
1.125%, 04/30/20............. 23,000 22,715,195
(double left angle quote) 1.750%, 10/31/20............. 20,000 19,835,156
------------
TOTAL U.S. TREASURY OBLIGATIONS......................... 59,606,570
------------
TOTAL INVESTMENT SECURITIES............................. 332,108,741
------------
FACE
AMOUNT^
(000) VALUE+
--------- ------------
COMMERCIAL PAPER -- (1.7%)
(OMEGA) NRW Bank 2.561%, 06/21/19....................... 3,000,000 $ 2,989,231
(OMEGA) Sanofi 2.540%, 06/28/19......................... 2,800,000 2,788,629
------------
TOTAL COMMERCIAL PAPER................................... 5,777,860
------------
SHARES
---------
SECURITIES LENDING COLLATERAL -- (0.7%)
@(S) The DFA Short Term Investment Fund.............. 209,006 2,418,413
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $342,451,447).................................... $340,305,014
============
As of April 30, 2019, 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 1,759,044 NOK 15,059,012 Citibank, N.A. 05/07/19 $ 13,266
USD 4,476,140 NOK 37,937,175 Royal Bank of Scotland 05/07/19 78,116
USD 876,104 GBP 670,313 Citibank, N.A. 05/08/19 1,735
USD 6,246,373 GBP 4,748,762 HSBC Bank 05/08/19 51,992
USD 564,137 EUR 502,568 Citibank, N.A. 05/09/19 159
USD 1,913,051 EUR 1,691,218 Citibank, N.A. 05/09/19 15,179
USD 6,163,881 EUR 5,463,344 Citibank, N.A. 05/09/19 32,960
USD 13,450,333 EUR 11,907,279 Citibank, N.A. 05/09/19 88,080
USD 4,672,896 SEK 43,237,150 Citibank, N.A. 05/14/19 116,113
USD 52,076,052 CAD 69,507,156 Royal Bank of Scotland 07/15/19 96,037
--------
TOTAL APPRECIATION $493,637
USD 9,122,970 DKK 61,027,085 Royal Bank of Scotland 06/03/19 $(72,440)
--------
TOTAL (DEPRECIATION) $(72,440)
--------
TOTAL APPRECIATION
(DEPRECIATION) $421,197
========
14
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
As of April 30, 2019, 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.......... 2,350 06/21/19 $325,763,311 $346,448,750 $20,685,439
------------ ------------ -----------
TOTAL FUTURES
CONTRACTS $325,763,311 $346,448,750 $20,685,439
============ ============ ===========
Summary of the Portfolio's investments as of April 30, 2019, 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..................... -- $ 21,344,961 -- $ 21,344,961
Belgium....................... -- 1,123,736 -- 1,123,736
Canada........................ -- 54,053,753 -- 54,053,753
Denmark....................... -- 9,021,610 -- 9,021,610
France........................ -- 10,406,053 -- 10,406,053
Germany....................... -- 7,304,202 -- 7,304,202
Ireland....................... -- 508,947 -- 508,947
Japan......................... -- 11,020,292 -- 11,020,292
Luxembourg.................... -- 3,244,596 -- 3,244,596
Netherlands................... -- 13,685,901 -- 13,685,901
New Zealand................... -- 2,198,911 -- 2,198,911
Norway........................ -- 6,582,900 -- 6,582,900
Spain......................... -- 2,611,429 -- 2,611,429
Supranational Organization
Obligations................. -- 10,732,078 -- 10,732,078
Sweden........................ -- 5,520,508 -- 5,520,508
Switzerland................... -- 2,503,897 -- 2,503,897
United Kingdom................ -- 6,233,241 -- 6,233,241
United States................. -- 104,405,156 -- 104,405,156
U.S. Treasury Obligations........ -- 59,606,570 -- 59,606,570
Commercial Paper................. -- 5,777,860 -- 5,777,860
Securities Lending Collateral.... -- 2,418,413 -- 2,418,413
Forward Currency Contracts**..... -- 421,197 -- 421,197
Futures Contracts**.............. $20,685,439 -- -- 20,685,439
----------- ------------ -- ------------
TOTAL............................ $20,685,439 $340,726,211 -- $361,411,650
=========== ============ == ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
15
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- ------------ ---------------
COMMON STOCKS -- (96.7%)
COMMUNICATION SERVICES -- (9.4%)
* Alphabet, Inc., Class A............... 13,558 $ 16,255,500 1.0%
* Alphabet, Inc., Class C............... 14,246 16,931,086 1.0%
AT&T, Inc............................. 407,523 12,616,912 0.8%
Comcast Corp., Class A................ 303,463 13,209,744 0.8%
* Facebook, Inc., Class A............... 133,100 25,741,540 1.6%
* Netflix, Inc.......................... 16,202 6,003,489 0.4%
Verizon Communications, Inc........... 302,773 17,315,588 1.0%
Walt Disney Co. (The)................. 121,810 16,684,316 1.0%
Other Securities...................... 36,270,364 2.1%
------------ ----
TOTAL COMMUNICATION SERVICES.............. 161,028,539 9.7%
------------ ----
CONSUMER DISCRETIONARY -- (11.5%)
* Amazon.com, Inc....................... 23,535 45,340,648 2.7%
Home Depot, Inc. (The)................ 65,421 13,326,258 0.8%
McDonald's Corp....................... 32,870 6,494,126 0.4%
NIKE, Inc., Class B................... 74,296 6,525,418 0.4%
Other Securities...................... 126,383,482 7.7%
------------ ----
TOTAL CONSUMER DISCRETIONARY.............. 198,069,932 12.0%
------------ ----
CONSUMER STAPLES -- (6.5%)
Coca-Cola Co. (The)................... 204,946 10,054,651 0.6%
PepsiCo, Inc.......................... 81,549 10,442,349 0.6%
Procter & Gamble Co. (The)............ 139,066 14,807,748 0.9%
Walmart, Inc.......................... 95,127 9,782,861 0.6%
Other Securities...................... 66,183,722 4.0%
------------ ----
TOTAL CONSUMER STAPLES.................... 111,271,331 6.7%
------------ ----
ENERGY -- (5.1%)
Chevron Corp.......................... 104,689 12,568,961 0.8%
Exxon Mobil Corp...................... 222,311 17,847,127 1.1%
Other Securities...................... 57,475,996 3.4%
------------ ----
TOTAL ENERGY.............................. 87,892,084 5.3%
------------ ----
FINANCIALS -- (13.2%)
American Express Co................... 52,259 6,126,323 0.4%
Bank of America Corp.................. 407,306 12,455,417 0.8%
* Berkshire Hathaway, Inc., Class B..... 85,580 18,546,042 1.1%
Citigroup, Inc........................ 103,871 7,343,680 0.4%
JPMorgan Chase & Co................... 183,469 21,291,577 1.3%
Wells Fargo & Co...................... 211,703 10,248,542 0.6%
Other Securities...................... 149,710,722 9.0%
------------ ----
TOTAL FINANCIALS.......................... 225,722,303 13.6%
------------ ----
HEALTH CARE -- (12.6%)
Abbott Laboratories................... 81,622 6,493,846 0.4%
Amgen, Inc............................ 36,106 6,474,528 0.4%
Eli Lilly & Co........................ 52,635 6,160,400 0.4%
Gilead Sciences, Inc.................. 93,509 6,081,825 0.4%
16
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (Continued)
Johnson & Johnson............... 157,146 $ 22,189,015 1.3%
Merck & Co., Inc................ 127,628 10,045,600 0.6%
Pfizer, Inc..................... 357,515 14,518,684 0.9%
Thermo Fisher Scientific, Inc... 21,663 6,010,399 0.4%
UnitedHealth Group, Inc......... 56,213 13,101,564 0.8%
Other Securities................ 124,775,691 7.5%
-------------- -----
TOTAL HEALTH CARE..................... 215,851,552 13.1%
-------------- -----
INDUSTRIALS -- (11.5%)
3M Co........................... 33,417 6,332,856 0.4%
Boeing Co. (The)................ 26,559 10,031,069 0.6%
Honeywell International, Inc.... 37,479 6,507,479 0.4%
Union Pacific Corp.............. 43,964 7,783,387 0.5%
United Technologies Corp........ 45,156 6,439,697 0.4%
Other Securities................ 159,365,291 9.6%
-------------- -----
TOTAL INDUSTRIALS..................... 196,459,779 11.9%
-------------- -----
INFORMATION TECHNOLOGY -- (20.7%)
* Adobe, Inc...................... 22,054 6,379,119 0.4%
Apple, Inc...................... 266,968 53,572,469 3.2%
Broadcom, Inc................... 23,056 7,341,030 0.4%
Cisco Systems, Inc.............. 245,070 13,711,666 0.8%
Intel Corp...................... 348,935 17,809,642 1.1%
International Business Machines
Corp.......................... 51,907 7,280,995 0.4%
Mastercard, Inc. Class A........ 53,029 13,482,093 0.8%
Microsoft Corp.................. 379,440 49,554,864 3.0%
Oracle Corp..................... 150,479 8,326,003 0.5%
QUALCOMM, Inc................... 70,662 6,086,118 0.4%
Texas Instruments, Inc.......... 55,500 6,539,565 0.4%
# Visa, Inc., Class A............. 90,457 14,873,844 0.9%
Other Securities................ 149,486,039 9.1%
-------------- -----
TOTAL INFORMATION TECHNOLOGY.......... 354,443,447 21.4%
-------------- -----
MATERIALS -- (3.6%)
Other Securities................ 61,354,630 3.7%
-------------- -----
REAL ESTATE -- (0.2%)
Other Securities................ 3,650,667 0.2%
-------------- -----
UTILITIES -- (2.4%)
Other Securities................ 40,569,018 2.5%
-------------- -----
TOTAL COMMON STOCKS................... 1,656,313,282 100.1%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S.
Government Money Market Fund,
2.370%........................ 15,732,514 15,732,514 0.9%
-------------- -----
SECURITIES LENDING COLLATERAL -- (2.4%)
@(S) The DFA Short Term Investment
Fund.......................... 3,552,638 41,107,577 2.5%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,270,143,849)............... $1,713,153,373 103.5%
============== =====
17
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2019, 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...... $ 161,028,539 -- -- $ 161,028,539
Consumer Discretionary...... 198,069,932 -- -- 198,069,932
Consumer Staples............ 111,271,331 -- -- 111,271,331
Energy...................... 87,892,084 -- -- 87,892,084
Financials.................. 225,722,303 -- -- 225,722,303
Health Care................. 215,851,552 -- -- 215,851,552
Industrials................. 196,459,779 -- -- 196,459,779
Information Technology...... 354,443,447 -- -- 354,443,447
Materials................... 61,354,630 -- -- 61,354,630
Real Estate................. 3,650,667 -- -- 3,650,667
Utilities................... 40,569,018 -- -- 40,569,018
Temporary Cash Investments..... 15,732,514 -- -- 15,732,514
Securities Lending Collateral.. -- $41,107,577 -- 41,107,577
-------------- ----------- -- --------------
TOTAL.......................... $1,672,045,796 $41,107,577 -- $1,713,153,373
============== =========== == ==============
See accompanying Notes to Financial Statements.
18
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company............................ $26,219,622,034
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........... $26,219,622,034
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
19
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (90.2%)
COMMUNICATION SERVICES -- (3.0%)
Nexstar Media Group, Inc., Class A.... 328,957 $ 38,504,417 0.3%
Other Securities...................... 335,272,775 3.0%
-------------- ----
TOTAL COMMUNICATION SERVICES.............. 373,777,192 3.3%
-------------- ----
CONSUMER DISCRETIONARY -- (12.1%)
#* AutoNation, Inc....................... 919,485 38,554,006 0.4%
Foot Locker, Inc...................... 677,657 38,768,757 0.4%
Graham Holdings Co., Class B.......... 48,146 35,793,181 0.3%
Marriott Vacations Worldwide Corp..... 402,103 42,474,140 0.4%
PulteGroup, Inc....................... 1,453,321 45,721,479 0.4%
Toll Brothers, Inc.................... 1,774,310 67,601,211 0.6%
Other Securities...................... 1,219,966,942 10.8%
-------------- ----
TOTAL CONSUMER DISCRETIONARY.............. 1,488,879,716 13.3%
-------------- ----
CONSUMER STAPLES -- (3.9%)
# Coty, Inc., Class A................... 3,378,933 36,560,055 0.3%
* Post Holdings, Inc.................... 611,801 68,998,917 0.6%
# Sanderson Farms, Inc.................. 256,548 38,900,373 0.4%
* US Foods Holding Corp................. 1,326,779 48,493,773 0.4%
Other Securities...................... 291,595,284 2.6%
-------------- ----
TOTAL CONSUMER STAPLES.................... 484,548,402 4.3%
-------------- ----
ENERGY -- (7.6%)
Murphy Oil Corp....................... 1,787,848 48,700,979 0.4%
PBF Energy, Inc., Class A............. 1,340,975 45,029,940 0.4%
* WPX Energy, Inc....................... 2,817,522 39,135,381 0.3%
Other Securities...................... 801,829,383 7.2%
-------------- ----
TOTAL ENERGY.............................. 934,695,683 8.3%
-------------- ----
FINANCIALS -- (25.3%)
Associated Banc-Corp.................. 1,683,926 38,208,281 0.3%
Assurant, Inc......................... 608,872 57,842,840 0.5%
Assured Guaranty, Ltd................. 1,413,881 67,442,124 0.6%
CIT Group, Inc........................ 700,495 37,315,369 0.3%
IBERIABANK Corp....................... 484,413 38,510,833 0.4%
Investors Bancorp, Inc................ 3,443,442 40,460,443 0.4%
Kemper Corp........................... 424,596 38,162,688 0.3%
Legg Mason, Inc....................... 1,154,213 38,608,425 0.4%
# New York Community Bancorp, Inc....... 4,178,802 48,599,479 0.4%
Old Republic International Corp....... 2,061,820 46,102,295 0.4%
# PacWest Bancorp....................... 1,302,222 51,502,880 0.5%
# People's United Financial, Inc........ 4,039,945 69,850,649 0.6%
Popular, Inc.......................... 791,016 45,649,533 0.4%
# Prosperity Bancshares, Inc............ 656,814 48,367,783 0.4%
Santander Consumer USA Holdings, Inc.. 1,713,138 36,575,496 0.3%
Sterling Bancorp...................... 1,819,972 38,983,800 0.4%
Umpqua Holdings Corp.................. 2,546,551 44,208,125 0.4%
Unum Group............................ 1,227,622 45,323,804 0.4%
20
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
FINANCIALS -- (Continued)
Other Securities................................................. $ 2,277,342,662 20.3%
--------------- ----
TOTAL FINANCIALS..................................................... 3,109,057,509 27.7%
--------------- ----
HEALTH CARE -- (4.1%)
Perrigo Co. P.L.C................................................ 808,694 38,752,617 0.4%
Other Securities................................................. 463,438,426 4.1%
--------------- ----
TOTAL HEALTH CARE.................................................... 502,191,043 4.5%
--------------- ----
INDUSTRIALS -- (17.7%)
* AECOM............................................................ 1,446,396 49,032,824 0.4%
AGCO Corp........................................................ 647,918 45,859,636 0.4%
Air Lease Corp................................................... 1,040,908 40,137,412 0.4%
Alaska Air Group, Inc............................................ 626,331 38,769,889 0.4%
# AMERCO........................................................... 103,133 38,486,142 0.3%
#* Chart Industries, Inc............................................ 398,655 35,189,277 0.3%
* Genesee & Wyoming, Inc., Class A................................. 587,682 52,098,009 0.5%
* JetBlue Airways Corp............................................. 2,789,272 51,740,996 0.5%
#* Kirby Corp....................................................... 482,788 39,453,435 0.4%
Quanta Services, Inc............................................. 1,660,315 67,408,789 0.6%
Other Securities................................................. 1,719,042,989 15.2%
--------------- ----
TOTAL INDUSTRIALS.................................................... 2,177,219,398 19.4%
--------------- ----
INFORMATION TECHNOLOGY -- (11.0%)
* Arrow Electronics, Inc........................................... 1,011,968 85,521,416 0.8%
Avnet, Inc....................................................... 1,463,239 71,128,048 0.6%
Jabil, Inc....................................................... 1,470,618 44,427,370 0.4%
SYNNEX Corp...................................................... 366,525 39,540,717 0.4%
* Tech Data Corp................................................... 484,009 51,600,199 0.5%
Xerox Corp....................................................... 1,083,724 36,153,033 0.3%
Other Securities................................................. 1,020,069,373 9.0%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 1,348,440,156 12.0%
--------------- ----
MATERIALS -- (5.2%)
Reliance Steel & Aluminum Co..................................... 771,739 70,969,118 0.6%
Other Securities................................................. 575,289,443 5.2%
--------------- ----
TOTAL MATERIALS...................................................... 646,258,561 5.8%
--------------- ----
REAL ESTATE -- (0.2%)
Other Securities................................................. 27,376,895 0.3%
--------------- ----
UTILITIES -- (0.1%)
Other Securities................................................. 15,827,088 0.2%
--------------- ----
TOTAL COMMON STOCKS.................................................. 11,108,271,643 99.1%
--------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................................................... 619,517 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES.......................................... 11,108,891,160
---------------
21
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
2.370%......................................................... 102,616,379 $ 102,616,379 0.9%
--------------- -----
SECURITIES LENDING COLLATERAL -- (9.0%)
@(S) The DFA Short Term Investment Fund............................... 95,092,810 1,100,318,899 9.8%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $10,650,561,576)............................................. $12,311,826,438 109.8%
=============== =====
As of April 30, 2019, 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............. 556 06/21/19 $77,115,960 $81,968,300 $4,852,340
----------- ----------- ----------
TOTAL FUTURES
CONTRACTS......... $77,115,960 $81,968,300 $4,852,340
=========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2019, 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.......... $ 373,777,192 -- -- $ 373,777,192
Consumer Discretionary.......... 1,488,854,076 $ 25,640 -- 1,488,879,716
Consumer Staples................ 484,548,402 -- -- 484,548,402
Energy.......................... 934,695,683 -- -- 934,695,683
Financials...................... 3,109,029,333 28,176 -- 3,109,057,509
Health Care..................... 502,191,043 -- -- 502,191,043
Industrials..................... 2,177,219,398 -- -- 2,177,219,398
Information Technology.......... 1,348,369,764 70,392 -- 1,348,440,156
Materials....................... 646,258,561 -- -- 646,258,561
Real Estate..................... 27,376,895 -- -- 27,376,895
Utilities....................... 15,827,088 -- -- 15,827,088
Preferred Stocks
Communication Services.......... 619,517 -- -- 619,517
Temporary Cash Investments......... 102,616,379 -- -- 102,616,379
Securities Lending Collateral...... -- 1,100,318,899 -- 1,100,318,899
Futures Contracts**................ 4,852,340 -- -- 4,852,340
--------------- -------------- -- ---------------
TOTAL.............................. $11,216,235,671 $1,100,443,107 -- $12,316,678,778
=============== ============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
22
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (89.9%)
COMMUNICATION SERVICES -- (3.9%)
#* Iridium Communications, Inc................. 2,236,633 $ 61,417,942 0.4%
Telephone & Data Systems, Inc............... 3,276,904 104,467,700 0.7%
Other Securities............................ 479,132,917 3.2%
-------------- ----
TOTAL COMMUNICATION SERVICES.................... 645,018,559 4.3%
-------------- ----
CONSUMER DISCRETIONARY -- (12.0%)
Aaron's, Inc................................ 1,880,784 104,740,861 0.7%
#* Adtalem Global Education, Inc............... 1,863,422 91,903,973 0.6%
# Bed Bath & Beyond, Inc...................... 5,590,884 93,423,672 0.6%
Graham Holdings Co., Class B................ 120,790 89,798,910 0.6%
* Liberty Expedia Holdings, Inc., Class A..... 1,341,882 62,290,162 0.4%
* Meritage Homes Corp......................... 1,426,415 72,961,127 0.5%
#* Taylor Morrison Home Corp., Class A......... 4,091,900 79,219,184 0.5%
Other Securities............................ 1,365,148,450 9.3%
-------------- ----
TOTAL CONSUMER DISCRETIONARY.................... 1,959,486,339 13.2%
-------------- ----
CONSUMER STAPLES -- (3.5%)
* Darling Ingredients, Inc.................... 5,660,971 123,465,777 0.8%
Seaboard Corp............................... 18,093 81,338,529 0.6%
Other Securities............................ 367,012,349 2.4%
-------------- ----
TOTAL CONSUMER STAPLES.......................... 571,816,655 3.8%
-------------- ----
ENERGY -- (10.3%)
#* Oasis Petroleum, Inc........................ 10,648,238 61,723,454 0.4%
Patterson-UTI Energy, Inc................... 4,582,905 62,281,679 0.4%
PBF Energy, Inc., Class A................... 2,327,765 78,166,349 0.5%
#* PDC Energy, Inc............................. 1,877,326 81,644,908 0.6%
#* Whiting Petroleum Corp...................... 2,447,646 67,041,024 0.5%
World Fuel Services Corp.................... 2,643,638 81,556,232 0.6%
Other Securities............................ 1,247,892,161 8.3%
-------------- ----
TOTAL ENERGY.................................... 1,680,305,807 11.3%
-------------- ----
FINANCIALS -- (24.5%)
American Equity Investment Life Holding Co.. 3,256,996 95,788,252 0.7%
Argo Group International Holdings, Ltd...... 1,161,025 90,641,222 0.6%
Associated Banc-Corp........................ 4,348,093 98,658,230 0.7%
CNO Financial Group, Inc.................... 4,510,009 74,640,649 0.5%
First BanCorp............................... 6,551,149 74,027,984 0.5%
# Fulton Financial Corp....................... 5,262,504 90,778,194 0.6%
IBERIABANK Corp............................. 854,270 67,914,465 0.5%
International Bancshares Corp............... 1,565,480 64,920,456 0.4%
Kemper Corp................................. 1,387,903 124,744,722 0.8%
# Old National Bancorp........................ 4,705,347 80,367,327 0.5%
# Selective Insurance Group, Inc.............. 892,881 63,671,344 0.4%
# United Bankshares, Inc...................... 1,605,713 63,008,178 0.4%
Washington Federal, Inc..................... 2,935,549 97,284,094 0.7%
Other Securities............................ 2,926,059,795 19.7%
-------------- ----
TOTAL FINANCIALS................................ 4,012,504,912 27.0%
-------------- ----
23
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
HEALTH CARE -- (3.2%)
#* Acadia Healthcare Co., Inc.............................. 2,396,004 $ 76,054,032 0.5%
Other Securities........................................ 445,044,252 3.0%
--------------- ----
TOTAL HEALTH CARE........................................... 521,098,284 3.5%
--------------- ----
INDUSTRIALS -- (16.5%)
* FTI Consulting, Inc..................................... 1,026,370 87,220,923 0.6%
# GATX Corp............................................... 1,315,675 101,478,013 0.7%
Regal Beloit Corp....................................... 980,540 83,424,343 0.6%
# SkyWest, Inc............................................ 1,722,896 106,113,165 0.7%
* Spirit Airlines, Inc.................................... 1,187,538 64,578,316 0.4%
Triton International, Ltd............................... 2,079,274 68,512,078 0.5%
* WESCO International, Inc................................ 1,425,513 81,596,364 0.6%
Other Securities........................................ 2,111,897,929 14.1%
--------------- ----
TOTAL INDUSTRIALS........................................... 2,704,821,131 18.2%
--------------- ----
INFORMATION TECHNOLOGY -- (9.8%)
* CACI International, Inc., Class A....................... 570,059 111,127,301 0.8%
#* Finisar Corp............................................ 3,473,046 83,735,139 0.6%
* Insight Enterprises, Inc................................ 1,090,649 61,708,920 0.4%
#* Netscout Systems, Inc................................... 2,543,627 74,782,634 0.5%
* Sanmina Corp............................................ 2,305,591 78,205,647 0.5%
SYNNEX Corp............................................. 647,009 69,799,331 0.5%
* Tech Data Corp.......................................... 1,121,386 119,550,961 0.8%
# Vishay Intertechnology, Inc............................. 3,965,663 78,559,784 0.5%
Other Securities........................................ 929,762,432 6.2%
--------------- ----
TOTAL INFORMATION TECHNOLOGY................................ 1,607,232,149 10.8%
--------------- ----
MATERIALS -- (5.8%)
Carpenter Technology Corp............................... 1,562,755 77,622,041 0.5%
# Commercial Metals Co.................................... 4,138,745 71,558,901 0.5%
Domtar Corp............................................. 2,239,187 109,496,244 0.7%
# Element Solutions, Inc.................................. 6,470,184 70,266,198 0.5%
Other Securities........................................ 615,140,300 4.2%
--------------- ----
TOTAL MATERIALS............................................. 944,083,684 6.4%
--------------- ----
REAL ESTATE -- (0.3%)
Other Securities........................................ 50,637,912 0.3%
--------------- ----
UTILITIES -- (0.1%)
Other Securities........................................ 19,829,801 0.1%
--------------- ----
TOTAL COMMON STOCKS......................................... 14,716,835,233 98.9%
--------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security.......................................... 455,314 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES................................. 14,717,290,547
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market
Fund, 2.370%.......................................... 147,568,564 147,568,564 1.0%
--------------- ----
24
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
SECURITIES LENDING COLLATERAL -- (9.2%)
@(S) The DFA Short Term Investment Fund...... 129,729,538 $ 1,501,100,488 10.1%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $13,609,009,387).................... $16,365,959,599 110.0%
=============== =====
As of April 30, 2019, 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......................................... 863 06/21/19 $123,283,544 $127,227,775 $3,944,231
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.......................................... $123,283,544 $127,227,775 $3,944,231
============ ============ ==========
Summary of the Portfolio's investments as of April 30, 2019, 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.......... $ 645,018,559 -- -- $ 645,018,559
Consumer Discretionary.......... 1,959,464,222 $ 22,117 -- 1,959,486,339
Consumer Staples................ 571,816,655 -- -- 571,816,655
Energy.......................... 1,680,305,807 -- -- 1,680,305,807
Financials...................... 4,012,440,010 64,902 -- 4,012,504,912
Health Care..................... 521,098,284 -- -- 521,098,284
Industrials..................... 2,704,821,131 -- -- 2,704,821,131
Information Technology.......... 1,607,232,149 -- -- 1,607,232,149
Materials....................... 944,083,684 -- -- 944,083,684
Real Estate..................... 50,637,912 -- -- 50,637,912
Utilities....................... 19,829,801 -- -- 19,829,801
Preferred Stocks
Communication Services.......... 455,314 -- -- 455,314
Temporary Cash Investments......... 147,568,564 -- -- 147,568,564
Securities Lending Collateral...... -- 1,501,100,488 -- 1,501,100,488
Futures Contracts**................ 3,944,231 -- -- 3,944,231
--------------- -------------- -- ---------------
TOTAL.............................. $14,868,716,323 $1,501,187,507 -- $16,369,903,830
=============== ============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
25
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (93.3%)
COMMUNICATION SERVICES -- (7.3%)
* Alphabet, Inc., Class A.... 120,930 $ 144,990,233 0.6%
* Alphabet, Inc., Class C.... 127,904 152,011,346 0.6%
AT&T, Inc.................. 6,236,737 193,089,377 0.7%
Comcast Corp., Class A..... 3,810,232 165,859,399 0.6%
* Facebook, Inc., Class A.... 1,319,884 255,265,566 1.0%
Verizon Communications,
Inc...................... 3,574,772 204,441,211 0.8%
Walt Disney Co. (The)...... 1,447,874 198,315,302 0.8%
Other Securities........... 720,599,464 2.7%
-------------- ----
TOTAL COMMUNICATION SERVICES..... 2,034,571,898 7.8%
-------------- ----
CONSUMER DISCRETIONARY -- (12.3%)
* Amazon.com, Inc............ 325,490 627,062,995 2.4%
Home Depot, Inc. (The)..... 912,692 185,915,360 0.7%
Lowe's Cos., Inc........... 635,866 71,941,879 0.3%
McDonald's Corp............ 422,272 83,428,279 0.3%
NIKE, Inc., Class B........ 897,617 78,837,701 0.3%
Starbucks Corp............. 1,064,324 82,676,688 0.3%
Other Securities........... 2,273,882,859 8.7%
-------------- ----
TOTAL CONSUMER DISCRETIONARY..... 3,403,745,761 13.0%
-------------- ----
CONSUMER STAPLES -- (5.7%)
Altria Group, Inc.......... 1,416,780 76,973,657 0.3%
Coca-Cola Co. (The)........ 2,670,749 131,026,946 0.5%
Costco Wholesale Corp...... 310,004 76,115,282 0.3%
PepsiCo, Inc............... 1,094,982 140,212,445 0.5%
Procter & Gamble Co.
(The).................... 1,330,619 141,684,311 0.6%
Walmart, Inc............... 987,203 101,523,957 0.4%
Other Securities........... 921,818,315 3.5%
-------------- ----
TOTAL CONSUMER STAPLES........... 1,589,354,913 6.1%
-------------- ----
ENERGY -- (5.0%)
Chevron Corp............... 1,385,384 166,329,203 0.7%
Exxon Mobil Corp........... 2,718,233 218,219,745 0.9%
Other Securities........... 1,008,783,851 3.7%
-------------- ----
TOTAL ENERGY..................... 1,393,332,799 5.3%
-------------- ----
FINANCIALS -- (13.9%)
Bank of America Corp....... 5,850,983 178,923,060 0.7%
Berkshire Hathaway,
* Inc., Class B............ 1,192,385 258,401,753 1.0%
Citigroup, Inc............. 1,414,364 99,995,535 0.4%
JPMorgan Chase & Co........ 2,424,288 281,338,622 1.1%
Wells Fargo & Co........... 3,242,707 156,979,446 0.6%
Other Securities........... 2,894,444,054 11.0%
-------------- ----
TOTAL FINANCIALS................. 3,870,082,470 14.8%
-------------- ----
HEALTH CARE -- (10.6%)
Amgen, Inc................. 522,469 93,689,141 0.4%
Johnson & Johnson.......... 1,776,597 250,855,496 1.0%
26
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
HEALTH CARE -- (Continued)
Merck & Co., Inc........................................ 1,410,637 $ 111,031,238 0.4%
Pfizer, Inc............................................. 4,127,168 167,604,292 0.7%
UnitedHealth Group, Inc................................. 526,962 122,819,033 0.5%
Other Securities........................................ 2,186,382,147 8.2%
--------------- ----
TOTAL HEALTH CARE........................................... 2,932,381,347 11.2%
--------------- ----
INDUSTRIALS -- (12.4%)
3M Co................................................... 451,022 85,473,179 0.3%
Boeing Co. (The)........................................ 315,877 119,303,584 0.5%
Honeywell International, Inc............................ 490,013 85,080,957 0.3%
Union Pacific Corp...................................... 505,841 89,554,091 0.4%
United Technologies Corp................................ 601,909 85,838,243 0.3%
Other Securities........................................ 2,976,101,483 11.3%
--------------- ----
TOTAL INDUSTRIALS........................................... 3,441,351,537 13.1%
--------------- ----
INFORMATION TECHNOLOGY -- (19.3%)
Accenture P.L.C., Class A............................... 529,501 96,723,948 0.4%
* Adobe, Inc.............................................. 257,391 74,450,347 0.3%
Apple, Inc.............................................. 3,961,863 795,027,048 3.0%
Broadcom, Inc........................................... 222,517 70,849,413 0.3%
Cisco Systems, Inc...................................... 2,718,780 152,115,741 0.6%
Intel Corp.............................................. 4,520,919 230,747,706 0.9%
International Business Machines Corp.................... 721,201 101,162,864 0.4%
Mastercard, Inc., Class A............................... 728,506 185,215,365 0.7%
Microsoft Corp.......................................... 5,151,344 672,765,526 2.6%
NVIDIA Corp............................................. 393,195 71,168,295 0.3%
Oracle Corp............................................. 1,546,136 85,547,705 0.3%
QUALCOMM, Inc........................................... 873,328 75,219,741 0.3%
Texas Instruments, Inc.................................. 769,161 90,630,241 0.4%
# Visa, Inc., Class A..................................... 1,178,103 193,715,476 0.8%
Other Securities........................................ 2,482,420,903 9.2%
--------------- ----
TOTAL INFORMATION TECHNOLOGY................................ 5,377,760,319 20.5%
--------------- ----
MATERIALS -- (3.8%)
Other Securities........................................ 1,059,473,926 4.0%
--------------- ----
REAL ESTATE -- (0.3%)
Other Securities........................................ 80,295,080 0.3%
--------------- ----
UTILITIES -- (2.7%)
Other Securities........................................ 752,397,978 2.9%
--------------- ----
TOTAL COMMON STOCKS......................................... 25,934,748,028 99.0%
--------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security.......................................... 400,881 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES................................. 25,935,148,909
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market
Fund, 2.370%.......................................... 231,478,329 231,478,329 0.9%
--------------- ----
27
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
SECURITIES LENDING COLLATERAL -- (5.9%)
@(S) The DFA Short Term Investment Fund...... 141,548,860 $ 1,637,861,856 6.3%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $18,587,927,834)..................... $27,804,489,094 106.2%
=============== =====
As of April 30, 2019, U.S. Core Equity 1 Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R)/ /Emini Index........... 1,493 06/21/19 $207,074,757 $220,105,525 $13,030,768
------------ ------------ -----------
TOTAL FUTURES CONTRACTS............ $207,074,757 $220,105,525 $13,030,768
============ ============ ===========
Summary of the Portfolio's investments as of April 30, 2019, 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............... $ 2,034,571,898 -- -- $ 2,034,571,898
Consumer Discretionary............... 3,403,744,186 $ 1,575 -- 3,403,745,761
Consumer Staples..................... 1,589,354,913 -- -- 1,589,354,913
Energy............................... 1,393,332,799 -- -- 1,393,332,799
Financials........................... 3,870,075,471 6,999 -- 3,870,082,470
Health Care.......................... 2,932,381,347 -- -- 2,932,381,347
Industrials.......................... 3,441,351,537 -- -- 3,441,351,537
Information Technology............... 5,377,760,319 -- -- 5,377,760,319
Materials............................ 1,059,473,926 -- -- 1,059,473,926
Real Estate.......................... 80,295,080 -- -- 80,295,080
Utilities............................ 752,397,978 -- -- 752,397,978
Preferred Stocks
Communication Services............... 400,881 -- -- 400,881
Temporary Cash Investments.............. 231,478,329 -- -- 231,478,329
Securities Lending Collateral........... -- 1,637,861,856 -- 1,637,861,856
Futures Contracts**..................... 13,030,768 -- -- 13,030,768
--------------- -------------- -- ---------------
TOTAL................................... $26,179,649,432 $1,637,870,430 -- $27,817,519,862
=============== ============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
28
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (92.6%)
COMMUNICATION SERVICES -- (7.3%)
* Alphabet, Inc., Class A................... 96,783 $ 116,038,946 0.4%
* Alphabet, Inc., Class C................... 102,183 121,442,452 0.5%
AT&T, Inc................................. 7,446,283 230,536,922 0.9%
* Charter Communications, Inc., Class A..... 212,965 79,050,478 0.3%
Comcast Corp., Class A.................... 5,191,520 225,986,866 0.8%
* Facebook, Inc., Class A................... 937,110 181,237,074 0.7%
Verizon Communications, Inc............... 3,707,953 212,057,832 0.8%
Walt Disney Co. (The)..................... 1,676,944 229,691,020 0.8%
Other Securities.......................... 739,583,937 2.6%
-------------- ----
TOTAL COMMUNICATION SERVICES.................. 2,135,625,527 7.8%
-------------- ----
CONSUMER DISCRETIONARY -- (11.5%)
* Amazon.com, Inc........................... 222,113 427,905,137 1.6%
Home Depot, Inc. (The).................... 617,705 125,826,508 0.5%
Other Securities.......................... 2,815,275,609 10.2%
-------------- ----
TOTAL CONSUMER DISCRETIONARY.................. 3,369,007,254 12.3%
-------------- ----
CONSUMER STAPLES -- (5.4%)
Coca-Cola Co. (The)....................... 2,183,360 107,115,642 0.4%
PepsiCo, Inc.............................. 787,126 100,791,484 0.4%
Procter & Gamble Co. (The)................ 1,360,960 144,915,021 0.5%
Walmart, Inc.............................. 1,069,681 110,005,994 0.4%
Other Securities.......................... 1,104,035,497 4.0%
-------------- ----
TOTAL CONSUMER STAPLES........................ 1,566,863,638 5.7%
-------------- ----
ENERGY -- (5.4%)
Chevron Corp.............................. 1,471,514 176,669,971 0.7%
ConocoPhillips............................ 1,189,748 75,096,894 0.3%
Exxon Mobil Corp.......................... 3,143,859 252,389,001 0.9%
Other Securities.......................... 1,074,016,938 3.9%
-------------- ----
TOTAL ENERGY.................................. 1,578,172,804 5.8%
-------------- ----
FINANCIALS -- (15.9%)
American Express Co....................... 742,133 87,000,252 0.3%
Bank of America Corp...................... 5,982,585 182,947,449 0.7%
* Berkshire Hathaway, Inc., Class B......... 1,010,279 218,937,562 0.8%
Citigroup, Inc............................ 1,515,166 107,122,236 0.4%
JPMorgan Chase & Co....................... 2,802,537 325,234,419 1.2%
Wells Fargo & Co.......................... 4,070,914 197,072,947 0.7%
Other Securities.......................... 3,531,592,050 12.9%
-------------- ----
TOTAL FINANCIALS.............................. 4,649,906,915 17.0%
-------------- ----
HEALTH CARE -- (10.2%)
Abbott Laboratories....................... 833,213 66,290,426 0.3%
Amgen, Inc................................ 432,973 77,640,718 0.3%
* Cigna Corp................................ 407,290 64,693,944 0.3%
CVS Health Corp........................... 1,180,741 64,208,696 0.2%
Gilead Sciences, Inc...................... 1,079,751 70,227,005 0.3%
29
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
HEALTH CARE -- (Continued)
Johnson & Johnson....................................... 1,566,116 $ 221,135,579 0.8%
Merck & Co., Inc........................................ 1,242,111 97,766,557 0.4%
Pfizer, Inc............................................. 5,075,393 206,111,710 0.8%
UnitedHealth Group, Inc................................. 617,082 143,823,302 0.5%
Other Securities........................................ 1,970,007,659 7.0%
--------------- ----
TOTAL HEALTH CARE........................................... 2,981,905,596 10.9%
--------------- ----
INDUSTRIALS -- (13.3%)
Boeing Co. (The)........................................ 219,736 82,992,090 0.3%
Caterpillar, Inc........................................ 494,234 68,906,104 0.3%
Delta Air Lines, Inc.................................... 1,138,794 66,380,302 0.3%
Honeywell International, Inc............................ 379,638 65,916,546 0.3%
Union Pacific Corp...................................... 618,468 109,493,575 0.4%
United Technologies Corp................................ 736,666 105,055,938 0.4%
Other Securities........................................ 3,393,494,070 12.2%
--------------- ----
TOTAL INDUSTRIALS........................................... 3,892,238,625 14.2%
--------------- ----
INFORMATION TECHNOLOGY -- (17.4%)
Accenture P.L.C., Class A............................... 364,931 66,661,946 0.3%
Apple, Inc.............................................. 3,339,047 670,046,561 2.5%
Broadcom, Inc........................................... 244,537 77,860,581 0.3%
Cisco Systems, Inc...................................... 2,865,665 160,333,957 0.6%
Intel Corp.............................................. 5,141,165 262,405,062 1.0%
International Business Machines Corp.................... 681,008 95,524,992 0.4%
Mastercard, Inc., Class A............................... 495,575 125,994,988 0.5%
* Micron Technology, Inc.................................. 1,627,340 68,445,920 0.3%
Microsoft Corp.......................................... 3,927,281 512,902,899 1.9%
Oracle Corp............................................. 1,640,590 90,773,845 0.3%
Texas Instruments, Inc.................................. 544,841 64,198,615 0.2%
# Visa, Inc., Class A..................................... 871,369 143,279,205 0.5%
Other Securities........................................ 2,748,370,098 9.8%
--------------- ----
TOTAL INFORMATION TECHNOLOGY................................ 5,086,798,669 18.6%
--------------- ----
MATERIALS -- (4.1%)
Other Securities........................................ 1,208,404,896 4.4%
--------------- ----
REAL ESTATE -- (0.3%)
Other Securities........................................ 95,295,254 0.4%
--------------- ----
UTILITIES -- (1.8%)
Other Securities........................................ 531,243,667 2.0%
--------------- ----
TOTAL COMMON STOCKS......................................... 27,095,462,845 99.1%
--------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security.......................................... 621,427 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES................................. 27,096,084,272
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market
Fund, 2.370%.......................................... 242,131,326 242,131,326 0.9%
--------------- ----
30
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
SECURITIES LENDING COLLATERAL -- (6.6%)
@(S) The DFA Short Term Investment Fund...... 165,055,589 $ 1,909,858,226 7.0%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $19,538,810,825)..................... $29,248,073,824 107.0%
=============== =====
As of April 30, 2019, 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................ 1,585 06/21/19 $219,947,481 $233,668,625 $13,721,144
------------ ------------ -----------
TOTAL FUTURES CONTRACTS................. $219,947,481 $233,668,625 $13,721,144
============ ============ ===========
Summary of the Portfolio's investments as of April 30, 2019, 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............... $ 2,135,625,527 -- -- $ 2,135,625,527
Consumer Discretionary............... 3,369,002,954 $ 4,300 -- 3,369,007,254
Consumer Staples..................... 1,566,863,638 -- -- 1,566,863,638
Energy............................... 1,578,172,804 -- -- 1,578,172,804
Financials........................... 4,649,895,180 11,735 -- 4,649,906,915
Health Care.......................... 2,981,904,246 1,350 -- 2,981,905,596
Industrials.......................... 3,892,085,125 153,500 -- 3,892,238,625
Information Technology............... 5,086,785,768 12,901 -- 5,086,798,669
Materials............................ 1,208,404,896 -- -- 1,208,404,896
Real Estate.......................... 95,295,254 -- -- 95,295,254
Utilities............................ 531,243,667 -- -- 531,243,667
Preferred Stocks
Communication Services............... 621,427 -- -- 621,427
Temporary Cash Investments.............. 242,131,326 -- -- 242,131,326
Securities Lending Collateral........... -- 1,909,858,226 -- 1,909,858,226
Futures Contracts**..................... 13,721,144 -- -- 13,721,144
--------------- -------------- -- ---------------
TOTAL................................... $27,351,752,956 $1,910,042,012 -- $29,261,794,968
=============== ============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
31
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- ------------ ---------------
COMMON STOCKS -- (91.8%)
COMMUNICATION SERVICES -- (6.1%)
* Alphabet, Inc., Class A........................... 10,540 $ 12,637,038 0.3%
* Alphabet, Inc., Class C........................... 11,067 13,152,908 0.3%
AT&T, Inc......................................... 1,478,073 45,761,140 1.0%
* Charter Communications, Inc., Class A............. 22,828 8,473,525 0.2%
Comcast Corp., Class A............................ 487,867 21,236,851 0.5%
Nexstar Media Group, Inc., Class A................ 74,085 8,671,649 0.2%
Verizon Communications, Inc....................... 270,126 15,448,506 0.3%
Walt Disney Co. (The)............................. 154,596 21,175,014 0.5%
Other Securities.................................. 167,033,313 3.3%
------------ ----
TOTAL COMMUNICATION SERVICES.......................... 313,589,944 6.6%
------------ ----
CONSUMER DISCRETIONARY -- (10.4%)
Ford Motor Co..................................... 816,906 8,536,668 0.2%
General Motors Co................................. 390,610 15,214,259 0.3%
Lennar Corp., Class A............................. 148,783 7,741,179 0.2%
PulteGroup, Inc................................... 244,585 7,694,644 0.2%
Other Securities.................................. 493,505,851 10.4%
------------ ----
TOTAL CONSUMER DISCRETIONARY.......................... 532,692,601 11.3%
------------ ----
CONSUMER STAPLES -- (3.6%)
Procter & Gamble Co. (The)........................ 116,144 12,367,013 0.3%
Walmart, Inc...................................... 76,857 7,903,974 0.2%
Other Securities.................................. 162,670,396 3.4%
------------ ----
TOTAL CONSUMER STAPLES................................ 182,941,383 3.9%
------------ ----
ENERGY -- (6.2%)
Chevron Corp...................................... 219,265 26,324,956 0.6%
Exxon Mobil Corp.................................. 365,812 29,367,387 0.6%
HollyFrontier Corp................................ 177,176 8,456,610 0.2%
Valero Energy Corp................................ 89,358 8,101,196 0.2%
Other Securities.................................. 242,579,953 5.1%
------------ ----
TOTAL ENERGY.......................................... 314,830,102 6.7%
------------ ----
FINANCIALS -- (22.7%)
Ally Financial, Inc............................... 297,038 8,824,999 0.2%
American Express Co............................... 71,837 8,421,452 0.2%
Bank of America Corp.............................. 851,074 26,025,843 0.6%
* Berkshire Hathaway, Inc., Class B................. 118,517 25,683,819 0.6%
Citigroup, Inc.................................... 258,480 18,274,536 0.4%
Fifth Third Bancorp............................... 342,882 9,881,859 0.2%
First American Financial Corp..................... 149,802 8,547,702 0.2%
Goldman Sachs Group, Inc. (The)................... 44,550 9,173,736 0.2%
Hartford Financial Services Group, Inc. (The)..... 171,851 8,989,526 0.2%
JPMorgan Chase & Co............................... 455,329 52,840,930 1.1%
# Kemper Corp....................................... 101,589 9,130,819 0.2%
Morgan Stanley.................................... 171,784 8,288,578 0.2%
Principal Financial Group, Inc.................... 157,281 8,990,182 0.2%
Regions Financial Corp............................ 513,764 7,978,755 0.2%
32
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- -------------- ---------------
FINANCIALS -- (Continued)
Sterling Bancorp.............. 360,233 $ 7,716,191 0.2%
Wells Fargo & Co.............. 538,528 26,070,140 0.6%
Other Securities.............. 914,519,759 19.0%
-------------- ----
TOTAL FINANCIALS.................. 1,159,358,826 24.5%
-------------- ----
HEALTH CARE -- (7.8%)
Abbott Laboratories........... 118,077 9,394,206 0.2%
Johnson & Johnson............. 93,489 13,200,647 0.3%
Merck & Co., Inc.............. 149,737 11,785,799 0.3%
Pfizer, Inc................... 375,679 15,256,324 0.3%
UnitedHealth Group, Inc....... 51,083 11,905,915 0.3%
Other Securities.............. 338,306,285 7.0%
-------------- ----
TOTAL HEALTH CARE................. 399,849,176 8.4%
-------------- ----
INDUSTRIALS -- (15.0%)
Norfolk Southern Corp......... 41,621 8,491,516 0.2%
Quanta Services, Inc.......... 202,897 8,237,618 0.2%
United Technologies Corp...... 67,283 9,595,229 0.2%
Other Securities.............. 740,750,508 15.6%
-------------- ----
TOTAL INDUSTRIALS................. 767,074,871 16.2%
-------------- ----
INFORMATION TECHNOLOGY -- (13.8%)
Apple, Inc.................... 285,245 57,240,114 1.2%
Cisco Systems, Inc............ 237,876 13,309,162 0.3%
Intel Corp.................... 578,019 29,502,090 0.6%
Jabil, Inc.................... 256,371 7,744,968 0.2%
* Micron Technology, Inc........ 295,915 12,446,185 0.3%
Microsoft Corp................ 278,222 36,335,793 0.8%
Oracle Corp................... 141,867 7,849,501 0.2%
Other Securities.............. 539,429,992 11.3%
-------------- ----
TOTAL INFORMATION TECHNOLOGY...... 703,857,805 14.9%
-------------- ----
MATERIALS -- (4.6%)
Reliance Steel & Aluminum Co.. 86,542 7,958,402 0.2%
Other Securities.............. 229,933,377 4.8%
-------------- ----
TOTAL MATERIALS................... 237,891,779 5.0%
-------------- ----
REAL ESTATE -- (0.5%)
Other Securities.............. 24,490,375 0.5%
-------------- ----
UTILITIES -- (1.1%)
Other Securities.............. 54,066,878 1.1%
-------------- ----
TOTAL COMMON STOCKS............... 4,690,643,740 99.1%
-------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................ 386,634 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES....... 4,691,030,374
--------------
33
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund, 2.370%.... 41,200,704 $ 41,200,704 0.9%
SECURITIES LENDING COLLATERAL -- (7.4%)
@(S) The DFA Short Term Investment Fund.................................... 32,802,784 379,561,018 8.0%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,496,509,569).................................................... $5,111,792,096 108.0%
============== =====
As of April 30, 2019, 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........... 260 06/21/19 $36,146,000 $38,330,500 $2,184,500
----------- ----------- ----------
TOTAL FUTURES CONTRACTS............ $36,146,000 $38,330,500 $2,184,500
=========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2019, 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............... $ 313,589,944 -- -- $ 313,589,944
Consumer Discretionary............... 532,691,079 $ 1,522 -- 532,692,601
Consumer Staples..................... 182,941,383 -- -- 182,941,383
Energy............................... 314,830,102 -- -- 314,830,102
Financials........................... 1,159,354,068 4,758 -- 1,159,358,826
Health Care.......................... 399,849,176 -- -- 399,849,176
Industrials.......................... 767,074,871 -- -- 767,074,871
Information Technology............... 703,857,805 -- -- 703,857,805
Materials............................ 237,891,779 -- -- 237,891,779
Real Estate.......................... 24,490,375 -- -- 24,490,375
Utilities............................ 54,066,878 -- -- 54,066,878
Preferred Stocks
Communication Services............... 386,634 -- -- 386,634
Temporary Cash Investments.............. 41,200,704 -- -- 41,200,704
Securities Lending Collateral........... -- 379,561,018 -- 379,561,018
Futures Contracts**..................... 2,184,500 -- -- 2,184,500
-------------- ------------ -- --------------
TOTAL................................... $4,734,409,298 $379,567,298 -- $5,113,976,596
============== ============ == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
34
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (85.9%)
COMMUNICATION SERVICES -- (3.5%)
# Nexstar Media Group, Inc., Class A...... 460,746 $ 53,930,319 0.3%
* Zynga, Inc., Class A.................... 8,817,621 49,907,735 0.3%
Other Securities........................ 625,619,953 3.4%
-------------- ----
TOTAL COMMUNICATION SERVICES................ 729,458,007 4.0%
-------------- ----
CONSUMER DISCRETIONARY -- (12.6%)
Aaron's, Inc............................ 727,525 40,515,867 0.2%
# American Eagle Outfitters, Inc.......... 1,887,209 44,877,830 0.3%
* Deckers Outdoor Corp.................... 504,842 79,871,053 0.5%
* Helen of Troy, Ltd...................... 324,067 46,665,648 0.3%
# Marriott Vacations Worldwide Corp....... 410,789 43,391,642 0.2%
#* Planet Fitness, Inc., Class A........... 530,292 40,143,104 0.2%
Wolverine World Wide, Inc............... 1,157,045 42,590,827 0.2%
Other Securities........................ 2,294,880,089 12.7%
-------------- ----
TOTAL CONSUMER DISCRETIONARY................ 2,632,936,060 14.6%
-------------- ----
CONSUMER STAPLES -- (3.8%)
* Darling Ingredients, Inc................ 1,790,986 39,061,405 0.2%
# Sanderson Farms, Inc.................... 317,453 48,135,398 0.3%
#* TreeHouse Foods, Inc.................... 552,881 37,031,969 0.2%
Other Securities........................ 658,138,026 3.6%
-------------- ----
TOTAL CONSUMER STAPLES...................... 782,366,798 4.3%
-------------- ----
ENERGY -- (4.7%)
#* Oceaneering International, Inc.......... 2,063,021 39,610,003 0.2%
Other Securities........................ 938,698,607 5.2%
-------------- ----
TOTAL ENERGY................................ 978,308,610 5.4%
-------------- ----
FINANCIALS -- (16.9%)
# BancorpSouth Bank....................... 1,522,695 46,411,744 0.3%
# Cathay General Bancorp.................. 1,469,974 54,080,343 0.3%
Columbia Banking System, Inc............ 1,046,459 39,284,071 0.2%
# Community Bank System, Inc.............. 620,520 41,239,759 0.2%
FirstCash, Inc.......................... 625,879 61,135,861 0.3%
# Fulton Financial Corp................... 2,086,869 35,998,490 0.2%
# Glacier Bancorp, Inc.................... 932,686 39,723,097 0.2%
* Green Dot Corp., Class A................ 572,524 36,509,855 0.2%
# Kemper Corp............................. 522,796 46,988,904 0.3%
#* LendingTree, Inc........................ 111,496 42,905,891 0.2%
# RLI Corp................................ 474,546 38,594,826 0.2%
# Selective Insurance Group, Inc.......... 763,279 54,429,425 0.3%
TCF Financial Corp...................... 2,107,424 46,637,293 0.3%
Other Securities........................ 2,933,178,552 16.3%
-------------- ----
TOTAL FINANCIALS............................ 3,517,118,111 19.5%
-------------- ----
HEALTH CARE -- (7.5%)
* Amedisys, Inc........................... 364,629 46,606,879 0.3%
* Horizon Pharma P.L.C.................... 2,283,701 58,302,887 0.3%
35
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
HEALTH CARE -- (Continued)
#* LHC Group, Inc........................... 374,532 $ 41,614,251 0.2%
Other Securities......................... 1,417,528,653 7.9%
--------------- ----
TOTAL HEALTH CARE............................ 1,564,052,670 8.7%
--------------- ----
INDUSTRIALS -- (16.8%)
Armstrong World Industries, Inc.......... 528,717 45,823,902 0.3%
#* Chart Industries, Inc.................... 487,187 43,003,996 0.2%
* Clean Harbors, Inc....................... 518,261 39,387,836 0.2%
# MSA Safety, Inc.......................... 350,718 38,547,415 0.2%
Regal Beloit Corp........................ 469,890 39,978,241 0.2%
#* Spirit Airlines, Inc..................... 748,626 40,710,282 0.2%
Terex Corp............................... 1,116,268 37,205,212 0.2%
Tetra Tech, Inc.......................... 660,168 42,726,073 0.2%
#* Trex Co., Inc............................ 555,448 38,475,883 0.2%
Other Securities......................... 3,134,941,804 17.5%
--------------- ----
TOTAL INDUSTRIALS............................ 3,500,800,644 19.4%
--------------- ----
INFORMATION TECHNOLOGY -- (12.1%)
* ACI Worldwide, Inc....................... 1,171,716 41,619,352 0.2%
# Cabot Microelectronics Corp.............. 328,904 41,524,130 0.2%
#* Cree, Inc................................ 834,593 55,158,251 0.3%
KBR, Inc................................. 1,714,360 38,093,079 0.2%
#* LiveRamp Holdings, Inc................... 764,293 44,581,211 0.3%
#* Manhattan Associates, Inc................ 575,072 38,788,606 0.2%
# Science Applications International Corp.. 518,425 38,855,954 0.2%
* Semtech Corp............................. 674,047 36,310,912 0.2%
* Silicon Laboratories, Inc................ 353,830 38,093,338 0.2%
* Tech Data Corp........................... 393,553 41,956,685 0.2%
Other Securities......................... 2,105,537,189 11.7%
--------------- ----
TOTAL INFORMATION TECHNOLOGY................. 2,520,518,707 13.9%
--------------- ----
MATERIALS -- (4.4%)
Domtar Corp.............................. 757,834 37,058,083 0.2%
Other Securities......................... 880,591,188 4.9%
--------------- ----
TOTAL MATERIALS.............................. 917,649,271 5.1%
--------------- ----
REAL ESTATE -- (0.6%)
Other Securities......................... 122,353,039 0.7%
--------------- ----
UTILITIES -- (3.0%)
Spire, Inc............................... 447,695 37,691,442 0.2%
Other Securities......................... 587,410,645 3.3%
--------------- ----
TOTAL UTILITIES.............................. 625,102,087 3.5%
--------------- ----
TOTAL COMMON STOCKS.......................... 17,890,664,004 99.1%
--------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security........................... 1,862,140 0.0%
--------------- ----
36
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Security.................................... $ 341 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES............................. 17,892,526,485
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government
Money Market Fund, 2.370%....................... 164,503,671 164,503,671 0.9%
--------------- -----
SECURITIES LENDING COLLATERAL -- (13.3%)
@(S) The DFA Short Term Investment Fund................ 240,269,928 2,780,163,333 15.4%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $16,850,786,859).............................. $20,837,193,489 115.4%
=============== =====
As of April 30, 2019, U.S. Small Cap Portfolio had entered into the following
outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R)/ /Emini Index........ 1,102 06/21/19 $153,579,006 $162,462,350 $8,883,344
------------ ------------ ----------
TOTAL FUTURES CONTRACTS......... $153,579,006 $162,462,350 $8,883,344
============ ============ ==========
Summary of the Portfolio's investments as of April 30, 2019, 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....... $ 729,458,007 -- -- $ 729,458,007
Consumer Discretionary....... 2,632,923,011 $ 13,049 -- 2,632,936,060
Consumer Staples............. 782,366,798 -- -- 782,366,798
Energy....................... 978,308,610 -- -- 978,308,610
Financials................... 3,517,091,407 26,704 -- 3,517,118,111
Health Care.................. 1,564,048,717 3,953 -- 1,564,052,670
Industrials.................. 3,500,647,144 153,500 -- 3,500,800,644
Information Technology....... 2,520,486,839 31,868 -- 2,520,518,707
Materials.................... 917,649,271 -- -- 917,649,271
Real Estate.................. 122,353,039 -- -- 122,353,039
Utilities.................... 625,102,087 -- -- 625,102,087
Preferred Stocks
Communication Services....... 1,862,140 -- -- 1,862,140
Rights/Warrants
Consumer Discretionary....... -- 341 -- 341
Temporary Cash Investments...... 164,503,671 -- -- 164,503,671
Securities Lending Collateral... -- 2,780,163,333 -- 2,780,163,333
Futures Contracts**............. 8,883,344 -- -- 8,883,344
--------------- -------------- -- ---------------
TOTAL........................... $18,065,684,085 $2,780,392,748 -- $20,846,076,833
=============== ============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
37
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (88.4%)
COMMUNICATION SERVICES -- (3.0%)
Shenandoah Telecommunications Co.. 449,832 $ 18,591,557 0.3%
Other Securities.................. 201,606,064 3.0%
-------------- ----
TOTAL COMMUNICATION SERVICES.......... 220,197,621 3.3%
-------------- ----
CONSUMER DISCRETIONARY -- (11.7%)
# Abercrombie & Fitch Co., Class A.. 554,004 16,559,180 0.3%
Callaway Golf Co.................. 1,105,362 19,410,157 0.3%
* Fox Factory Holding Corp.......... 238,594 18,514,894 0.3%
* Gentherm, Inc..................... 398,697 16,888,805 0.3%
La-Z-Boy, Inc..................... 558,862 18,330,674 0.3%
Other Securities.................. 780,669,454 11.6%
-------------- ----
TOTAL CONSUMER DISCRETIONARY.......... 870,373,164 13.1%
-------------- ----
CONSUMER STAPLES -- (3.4%)
# Calavo Growers, Inc............... 186,692 17,886,961 0.3%
# Coca-Cola Consolidated, Inc....... 72,733 23,640,407 0.4%
Inter Parfums, Inc................ 301,212 21,834,858 0.3%
Medifast, Inc..................... 129,943 19,061,339 0.3%
# MGP Ingredients, Inc.............. 188,068 16,525,535 0.3%
Other Securities.................. 153,603,057 2.2%
-------------- ----
TOTAL CONSUMER STAPLES................ 252,552,157 3.8%
-------------- ----
ENERGY -- (5.7%)
# US Silica Holdings, Inc........... 1,105,810 17,493,914 0.3%
Other Securities.................. 410,216,321 6.1%
-------------- ----
TOTAL ENERGY.......................... 427,710,235 6.4%
-------------- ----
FINANCIALS -- (19.1%)
First BanCorp..................... 1,728,154 19,528,140 0.3%
* NMI Holdings, Inc., Class A....... 763,913 21,450,677 0.3%
Safety Insurance Group, Inc....... 179,085 16,640,578 0.3%
Walker & Dunlop, Inc.............. 339,012 18,628,709 0.3%
#* World Acceptance Corp............. 128,175 16,661,468 0.3%
WSFS Financial Corp............... 401,598 17,341,002 0.3%
Other Securities.................. 1,309,096,750 19.6%
-------------- ----
TOTAL FINANCIALS...................... 1,419,347,324 21.4%
-------------- ----
HEALTH CARE -- (9.1%)
Atrion Corp....................... 20,115 17,701,200 0.3%
#* BioTelemetry, Inc................. 301,832 16,419,661 0.3%
CONMED Corp....................... 271,422 21,721,903 0.3%
* CorVel Corp....................... 262,182 18,824,668 0.3%
Ensign Group, Inc. (The).......... 505,197 26,027,749 0.4%
# US Physical Therapy, Inc.......... 143,514 16,717,946 0.3%
Other Securities.................. 557,059,173 8.3%
-------------- ----
TOTAL HEALTH CARE..................... 674,472,300 10.2%
-------------- ----
38
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- -------------- ---------------
INDUSTRIALS -- (17.5%)
# AAON, Inc....................... 421,106 $ 21,143,732 0.3%
#* Aerovironment, Inc.............. 243,472 16,692,440 0.3%
Albany International Corp.,
Class A....................... 251,985 18,639,330 0.3%
* Casella Waste Systems, Inc.,
Class A....................... 462,261 17,251,580 0.3%
#* Chart Industries, Inc........... 288,629 25,477,282 0.4%
Comfort Systems USA, Inc........ 378,197 20,460,458 0.3%
Exponent, Inc................... 333,717 18,895,057 0.3%
Federal Signal Corp............. 671,262 19,312,208 0.3%
Forward Air Corp................ 306,722 19,421,637 0.3%
Kaman Corp...................... 281,442 17,424,074 0.3%
* Mercury Systems, Inc............ 241,492 17,633,746 0.3%
* Meritor, Inc.................... 757,605 18,379,497 0.3%
Other Securities................ 1,074,662,459 16.0%
-------------- ----
TOTAL INDUSTRIALS................... 1,305,393,500 19.7%
-------------- ----
INFORMATION TECHNOLOGY -- (12.0%)
# Badger Meter, Inc............... 332,787 18,463,023 0.3%
Brooks Automation, Inc.......... 491,358 18,430,839 0.3%
* Fabrinet........................ 394,515 23,876,048 0.4%
#* Finisar Corp.................... 846,065 20,398,627 0.3%
* Insight Enterprises, Inc........ 311,814 17,642,436 0.3%
* Knowles Corp.................... 870,371 16,432,604 0.3%
#* OSI Systems, Inc................ 216,976 19,556,047 0.3%
Progress Software Corp.......... 389,221 17,752,370 0.3%
* Virtusa Corp.................... 358,465 19,912,731 0.3%
Other Securities................ 720,962,821 10.7%
-------------- ----
TOTAL INFORMATION TECHNOLOGY........ 893,427,546 13.5%
-------------- ----
MATERIALS -- (3.9%)
Innospec, Inc................... 254,933 21,623,417 0.3%
Kaiser Aluminum Corp............ 167,047 16,437,425 0.3%
Other Securities................ 248,951,588 3.7%
-------------- ----
TOTAL MATERIALS..................... 287,012,430 4.3%
-------------- ----
REAL ESTATE -- (1.0%)
HFF, Inc., Class A.............. 425,510 20,250,021 0.3%
Other Securities................ 55,312,548 0.8%
-------------- ----
TOTAL REAL ESTATE................... 75,562,569 1.1%
-------------- ----
UTILITIES -- (2.0%)
# American States Water Co........ 267,077 19,007,870 0.3%
# California Water Service Group.. 430,087 21,672,084 0.3%
Other Securities................ 110,510,164 1.7%
-------------- ----
TOTAL UTILITIES..................... 151,190,118 2.3%
-------------- ----
TOTAL COMMON STOCKS................. 6,577,238,964 99.1%
-------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security.................. 700,716 0.0%
-------------- ----
39
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Security.......................... $ 508 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES................... 6,577,940,188
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S.
Government Money Market Fund, 2.370%.. 61,419,797 61,419,797 0.9%
-------------- -----
SECURITIES LENDING COLLATERAL -- (10.7%)
@(S) The DFA Short Term Investment Fund...... 68,932,306 797,615,708 12.0%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $5,386,435,950)....................... $7,436,975,693 112.0%
============== =====
As of April 30, 2019, 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.......... 393 06/21/19 $54,507,873 $57,938,025 $3,430,152
----------- ----------- ----------
TOTAL FUTURES CONTRACTS......... $54,507,873 $57,938,025 $3,430,152
=========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2019, 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....... $ 220,197,621 -- -- $ 220,197,621
Consumer Discretionary....... 870,361,685 $ 11,479 -- 870,373,164
Consumer Staples............. 252,552,157 -- -- 252,552,157
Energy....................... 427,710,235 -- -- 427,710,235
Financials................... 1,419,326,073 21,251 -- 1,419,347,324
Health Care.................. 674,472,300 -- -- 674,472,300
Industrials.................. 1,305,393,500 -- -- 1,305,393,500
Information Technology....... 893,411,499 16,047 -- 893,427,546
Materials.................... 287,012,430 -- -- 287,012,430
Real Estate.................. 75,562,569 -- -- 75,562,569
Utilities.................... 151,190,118 -- -- 151,190,118
Preferred Stocks
Communication Services....... 700,716 -- -- 700,716
Rights/Warrants
Consumer Discretionary....... -- 508 -- 508
Temporary Cash Investments...... 61,419,797 -- -- 61,419,797
Securities Lending Collateral... -- 797,615,708 -- 797,615,708
Futures Contracts**............. 3,430,152 -- -- 3,430,152
-------------- ------------ -- --------------
TOTAL........................... $6,642,740,852 $797,664,993 -- $7,440,405,845
============== ============ == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
40
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- ------------ ---------------
COMMON STOCKS -- (98.4%)
COMMUNICATION SERVICES -- (6.0%)
Comcast Corp., Class A.......... 207,454 $ 9,030,472 0.8%
Verizon Communications, Inc..... 732,708 41,903,570 3.6%
Other Securities................ 18,828,072 1.6%
------------ ----
TOTAL COMMUNICATION SERVICES........ 69,762,114 6.0%
------------ ----
CONSUMER DISCRETIONARY -- (17.8%)
* Amazon.com, Inc................. 22,905 44,126,941 3.8%
* Booking Holdings, Inc........... 5,646 10,473,274 0.9%
General Motors Co............... 170,415 6,637,664 0.6%
Home Depot, Inc. (The).......... 125,512 25,566,794 2.2%
Lowe's Cos., Inc................ 96,419 10,908,846 0.9%
NIKE, Inc., Class B............. 155,829 13,686,461 1.2%
Starbucks Corp.................. 127,762 9,924,552 0.9%
TJX Cos., Inc. (The)............ 141,074 7,742,141 0.7%
Other Securities................ 79,827,387 6.8%
------------ ----
TOTAL CONSUMER DISCRETIONARY........ 208,894,060 18.0%
------------ ----
CONSUMER STAPLES -- (9.3%)
Altria Group, Inc............... 285,640 15,518,821 1.3%
Coca-Cola Co. (The)............. 402,471 19,745,227 1.7%
Costco Wholesale Corp........... 54,131 13,290,785 1.2%
PepsiCo, Inc.................... 181,767 23,275,264 2.0%
Walmart, Inc.................... 69,502 7,147,586 0.6%
Other Securities................ 30,315,737 2.6%
------------ ----
TOTAL CONSUMER STAPLES.............. 109,293,420 9.4%
------------ ----
ENERGY -- (2.0%)
ConocoPhillips.................. 122,749 7,747,917 0.7%
Other Securities................ 15,621,602 1.3%
------------ ----
TOTAL ENERGY........................ 23,369,519 2.0%
------------ ----
FINANCIALS -- (3.7%)
American Express Co............. 97,128 11,386,316 1.0%
Other Securities................ 32,230,522 2.8%
------------ ----
TOTAL FINANCIALS.................... 43,616,838 3.8%
------------ ----
HEALTH CARE -- (9.2%)
AbbVie, Inc..................... 80,446 6,386,608 0.6%
Amgen, Inc...................... 93,489 16,764,447 1.5%
* Biogen, Inc..................... 27,369 6,274,070 0.5%
* Celgene Corp.................... 73,557 6,962,906 0.6%
Eli Lilly & Co.................. 95,261 11,149,347 1.0%
Gilead Sciences, Inc............ 182,157 11,847,491 1.0%
Johnson & Johnson............... 68,418 9,660,622 0.8%
Merck & Co., Inc................ 226,437 17,822,856 1.5%
Other Securities................ 20,577,770 1.8%
------------ ----
TOTAL HEALTH CARE................... 107,446,117 9.3%
------------ ----
41
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
INDUSTRIALS -- (17.5%)
3M Co........................... 76,750 $ 14,544,892 1.3%
Boeing Co. (The)................ 41,230 15,572,159 1.3%
Caterpillar, Inc................ 93,447 13,028,381 1.1%
Deere & Co...................... 46,325 7,672,810 0.7%
Honeywell International, Inc.... 90,936 15,789,218 1.4%
Lockheed Martin Corp............ 25,181 8,393,583 0.7%
Northrop Grumman Corp........... 21,045 6,101,156 0.5%
Union Pacific Corp.............. 107,236 18,985,061 1.6%
United Parcel Service, Inc.,
Class B....................... 70,880 7,528,874 0.7%
Waste Management, Inc........... 57,467 6,168,508 0.5%
Other Securities................ 91,768,030 7.9%
-------------- -----
TOTAL INDUSTRIALS..................... 205,552,672 17.7%
-------------- -----
INFORMATION TECHNOLOGY -- (29.9%)
Accenture P.L.C., Class A....... 89,904 16,422,764 1.4%
Apple, Inc...................... 213,682 42,879,567 3.7%
Applied Materials, Inc.......... 138,054 6,084,040 0.5%
Automatic Data Processing, Inc.. 51,086 8,398,028 0.7%
Intel Corp...................... 217,957 11,124,525 1.0%
International Business Machines
Corp.......................... 145,047 20,345,743 1.8%
Intuit, Inc..................... 26,493 6,651,333 0.6%
Mastercard, Inc., Class A....... 103,339 26,272,907 2.3%
* Micron Technology, Inc.......... 170,453 7,169,253 0.6%
Microsoft Corp.................. 354,106 46,246,244 4.0%
NVIDIA Corp..................... 51,136 9,255,616 0.8%
Oracle Corp..................... 390,543 21,608,744 1.9%
QUALCOMM, Inc................... 119,601 10,301,234 0.9%
Texas Instruments, Inc.......... 122,062 14,382,565 1.2%
Visa, Inc., Class A............. 199,744 32,843,906 2.8%
Other Securities................ 70,796,432 6.1%
-------------- -----
TOTAL INFORMATION TECHNOLOGY.......... 350,782,901 30.3%
-------------- -----
MATERIALS -- (2.9%)
Other Securities................ 34,147,383 3.0%
-------------- -----
UTILITIES -- (0.1%)
Other Security.................. 478,437 0.0%
-------------- -----
TOTAL COMMON STOCKS................... 1,153,343,461 99.5%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S.
Government Money Market Fund,
2.370%........................ 7,126,990 7,126,990 0.6%
-------------- -----
SECURITIES LENDING COLLATERAL -- (1.0%)
@(S) The DFA Short Term Investment
Fund.......................... 1,001,149 11,584,296 1.0%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,056,774,833)............... $1,172,054,747 101.1%
============== =====
42
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2019, 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............... $ 69,762,114 -- -- $ 69,762,114
Consumer Discretionary............... 208,894,060 -- -- 208,894,060
Consumer Staples..................... 109,293,420 -- -- 109,293,420
Energy............................... 23,369,519 -- -- 23,369,519
Financials........................... 43,616,838 -- -- 43,616,838
Health Care.......................... 107,446,117 -- -- 107,446,117
Industrials.......................... 205,552,672 -- -- 205,552,672
Information Technology............... 350,782,901 -- -- 350,782,901
Materials............................ 34,147,383 -- -- 34,147,383
Utilities............................ 478,437 -- -- 478,437
Temporary Cash Investments.............. 7,126,990 -- -- 7,126,990
Securities Lending Collateral........... -- $11,584,296 -- 11,584,296
-------------- ----------- -- --------------
TOTAL................................... $1,160,470,451 $11,584,296 -- $1,172,054,747
============== =========== == ==============
See accompanying Notes to Financial Statements.
43
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- ------------ ---------------
COMMON STOCKS -- (96.0%)
REAL ESTATE -- (96.0%)
Alexandria Real Estate Equities,
Inc............................. 972,171 $138,427,429 1.5%
American Campus Communities, Inc.. 1,214,231 57,311,703 0.6%
American Homes 4 Rent, Class A.... 2,377,832 57,020,411 0.6%
American Tower Corp............... 3,898,135 761,305,765 8.0%
Apartment Investment & Management
Co., Class A.................... 1,359,864 67,122,887 0.7%
AvalonBay Communities, Inc........ 1,227,275 246,596,366 2.6%
Boston Properties, Inc............ 1,374,080 189,100,890 2.0%
Camden Property Trust............. 829,894 83,528,831 0.9%
Crown Castle International Corp... 3,656,867 459,960,731 4.9%
CubeSmart......................... 1,649,253 52,627,663 0.6%
# CyrusOne, Inc..................... 912,567 50,820,856 0.5%
# Digital Realty Trust, Inc......... 1,823,385 214,630,648 2.3%
Douglas Emmett, Inc............... 1,429,147 58,866,565 0.6%
Duke Realty Corp.................. 3,156,127 98,218,672 1.0%
# EPR Properties.................... 658,068 51,895,242 0.5%
Equinix, Inc...................... 736,041 334,677,843 3.5%
Equity LifeStyle Properties, Inc.. 756,993 88,341,083 0.9%
Equity Residential................ 3,275,457 250,310,424 2.6%
Essex Property Trust, Inc......... 586,560 165,703,200 1.7%
Extra Space Storage, Inc.......... 1,135,236 117,712,621 1.2%
Federal Realty Investment Trust... 650,812 87,111,186 0.9%
Gaming and Leisure Properties,
Inc............................. 1,817,447 73,388,510 0.8%
# HCP, Inc.......................... 4,208,980 125,343,424 1.3%
Host Hotels & Resorts, Inc........ 6,595,002 126,887,838 1.3%
# Invitation Homes, Inc............. 2,899,871 72,090,793 0.8%
# Iron Mountain, Inc................ 2,396,121 77,826,010 0.8%
# Kilroy Realty Corp................ 912,637 70,190,912 0.7%
# Kimco Realty Corp................. 3,730,315 64,870,178 0.7%
# Lamar Advertising Co., Class A.... 753,369 62,281,015 0.7%
Liberty Property Trust............ 1,308,853 64,971,463 0.7%
# Medical Properties Trust, Inc..... 3,282,123 57,305,868 0.6%
Mid-America Apartment
Communities, Inc................ 1,022,014 111,818,552 1.2%
National Retail Properties, Inc... 1,426,336 75,053,800 0.8%
# Omega Healthcare Investors, Inc... 1,773,132 62,751,141 0.7%
# Park Hotels & Resorts, Inc........ 1,812,783 58,154,079 0.6%
Prologis, Inc..................... 5,576,702 427,565,742 4.5%
Public Storage.................... 1,383,304 305,959,179 3.2%
Realty Income Corp................ 2,643,115 185,044,481 2.0%
Regency Centers Corp.............. 1,373,557 92,261,824 1.0%
* SBA Communications Corp........... 1,010,698 205,909,504 2.2%
Simon Property Group, Inc......... 2,743,583 476,560,367 5.0%
SL Green Realty Corp.............. 750,935 66,337,598 0.7%
STORE Capital Corp................ 1,729,189 57,616,577 0.6%
Sun Communities, Inc.............. 742,323 91,365,115 1.0%
UDR, Inc.......................... 2,460,402 110,595,070 1.2%
Ventas, Inc....................... 3,142,226 192,021,431 2.0%
VEREIT, Inc....................... 8,545,020 70,581,873 0.7%
Vornado Realty Trust.............. 1,509,612 104,374,574 1.1%
Welltower, Inc.................... 3,453,849 257,415,366 2.7%
# WP Carey, Inc..................... 1,439,561 114,185,979 1.2%
44
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
REAL ESTATE -- (Continued)
Other Securities........................ $1,906,514,923 20.2%
-------------- -----
TOTAL COMMON STOCKS........................... 9,398,534,202 99.1%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S.
Government Money Market Fund, 2.370%.... 79,804,730 79,804,730 0.9%
-------------- -----
SECURITIES LENDING COLLATERAL -- (3.2%)
@(S) The DFA Short Term Investment Fund...... 26,525,430 306,925,746 3.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $6,793,380,655)....................... $9,785,264,678 103.2%
============== =====
As of April 30, 2019, 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.......... 518 06/21/19 $72,733,424 $76,366,150 $3,632,726
----------- ----------- ----------
TOTAL FUTURES CONTRACTS......... $72,733,424 $76,366,150 $3,632,726
=========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2019, 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.................. $9,398,534,202 -- -- $9,398,534,202
Temporary Cash Investments...... 79,804,730 -- -- 79,804,730
Securities Lending Collateral... -- $306,925,746 -- 306,925,746
Futures Contracts**............. 3,632,726 -- -- 3,632,726
-------------- ------------ -- --------------
TOTAL........................... $9,481,971,658 $306,925,746 -- $9,788,897,404
============== ============ == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
45
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (93.5%)
AUSTRALIA -- (5.7%)
BHP Group, Ltd.......................... 842,811 $ 22,302,754 0.4%
Commonwealth Bank of Australia.......... 512,071 26,912,000 0.5%
CSL, Ltd................................ 133,309 18,698,157 0.4%
# Westpac Banking Corp.................... 850,861 16,529,165 0.3%
Other Securities........................ 227,576,953 4.3%
------------ ----
TOTAL AUSTRALIA............................. 312,019,029 5.9%
------------ ----
AUSTRIA -- (0.3%)
Other Securities........................ 13,948,564 0.3%
------------ ----
BELGIUM -- (0.9%)
# Anheuser-Busch InBev SA................. 265,831 23,634,271 0.5%
Other Securities........................ 27,094,590 0.5%
------------ ----
TOTAL BELGIUM............................... 50,728,861 1.0%
------------ ----
CANADA -- (8.6%)
Bank of Montreal........................ 205,319 16,214,041 0.3%
Royal Bank of Canada.................... 239,620 19,096,982 0.4%
# Royal Bank of Canada.................... 200,169 15,951,468 0.3%
Other Securities........................ 423,462,933 8.0%
------------ ----
TOTAL CANADA................................ 474,725,424 9.0%
------------ ----
DENMARK -- (1.6%)
Novo Nordisk A.S., Class B.............. 483,626 23,695,033 0.5%
Other Securities........................ 61,672,711 1.1%
------------ ----
TOTAL DENMARK............................... 85,367,744 1.6%
------------ ----
FINLAND -- (1.0%)
Other Securities........................ 55,516,282 1.1%
------------ ----
FRANCE -- (9.6%)
Air Liquide SA.......................... 121,498 16,163,101 0.3%
# Airbus SE............................... 178,673 24,465,631 0.5%
# L'Oreal SA.............................. 57,248 15,746,204 0.3%
# LVMH Moet Hennessy Louis Vuitton SE..... 92,526 36,327,289 0.7%
Sanofi.................................. 234,559 20,465,101 0.4%
# Total SA................................ 645,202 35,867,270 0.7%
# Vinci SA................................ 180,868 18,266,993 0.4%
Other Securities........................ 357,838,167 6.7%
------------ ----
TOTAL FRANCE................................ 525,139,756 10.0%
------------ ----
GERMANY -- (6.8%)
Allianz SE.............................. 86,528 20,915,039 0.4%
BASF SE................................. 330,762 27,003,720 0.5%
Daimler AG.............................. 279,077 18,317,491 0.4%
Deutsche Telekom AG..................... 1,086,899 18,210,884 0.4%
SAP SE.................................. 219,235 28,261,211 0.5%
Siemens AG.............................. 128,077 15,356,716 0.3%
46
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
GERMANY -- (Continued)
Other Securities..... $ 248,182,308 4.7%
-------------- ----
TOTAL GERMANY............ 376,247,369 7.2%
-------------- ----
HONG KONG -- (3.2%)
AIA Group, Ltd....... 3,407,600 34,891,901 0.7%
Other Securities..... 140,624,215 2.6%
-------------- ----
TOTAL HONG KONG.......... 175,516,116 3.3%
-------------- ----
IRELAND -- (0.7%)
Other Securities..... 36,045,764 0.7%
-------------- ----
ISRAEL -- (0.5%)
Other Securities..... 26,338,915 0.5%
-------------- ----
ITALY -- (1.9%)
Enel SpA............. 2,271,536 14,383,734 0.3%
Other Securities..... 92,254,658 1.7%
-------------- ----
TOTAL ITALY.............. 106,638,392 2.0%
-------------- ----
JAPAN -- (21.3%)
KDDI Corp............ 633,700 14,605,228 0.3%
Keyence Corp......... 24,902 15,558,606 0.3%
SoftBank Group Corp.. 328,988 34,883,033 0.7%
Sony Corp............ 385,400 19,411,866 0.4%
Toyota Motor Corp.... 669,423 41,444,274 0.8%
Other Securities..... 1,046,464,612 19.9%
-------------- ----
TOTAL JAPAN.............. 1,172,367,619 22.4%
-------------- ----
NETHERLANDS -- (2.9%)
ASML Holding NV...... 72,895 15,221,934 0.3%
# Unilever NV.......... 268,265 16,231,256 0.3%
Other Securities..... 129,127,508 2.5%
-------------- ----
TOTAL NETHERLANDS........ 160,580,698 3.1%
-------------- ----
NEW ZEALAND -- (0.3%)
Other Securities..... 16,856,193 0.3%
-------------- ----
NORWAY -- (0.8%)
Other Securities..... 44,918,569 0.9%
-------------- ----
PORTUGAL -- (0.1%)
Other Securities..... 8,075,868 0.1%
-------------- ----
SINGAPORE -- (1.2%)
Other Securities..... 63,448,024 1.2%
-------------- ----
SPAIN -- (2.5%)
# Banco Santander SA... 4,300,420 21,800,445 0.4%
Iberdrola S.A........ 1,985,222 18,040,488 0.3%
Other Securities..... 96,959,601 1.9%
-------------- ----
TOTAL SPAIN.............. 136,800,534 2.6%
-------------- ----
47
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SWEDEN -- (2.5%)
Other Securities....................................... $ 139,655,722 2.7%
-------------- -----
SWITZERLAND -- (6.9%)
Nestle SA.............................................. 891,325 85,814,635 1.6%
Novartis AG............................................ 448,358 36,738,484 0.7%
Roche Holding AG....................................... 217,168 57,302,662 1.1%
Other Securities....................................... 197,037,444 3.8%
-------------- -----
TOTAL SWITZERLAND............................................ 376,893,225 7.2%
-------------- -----
UNITED KINGDOM -- (14.1%)
# AstraZeneca P.L.C., Sponsored ADR...................... 461,956 17,397,263 0.3%
BP P.L.C., Sponsored ADR............................... 1,077,644 47,125,394 0.9%
Diageo P.L.C., Sponsored ADR........................... 128,576 21,683,057 0.4%
GlaxoSmithKline P.L.C., Sponsored ADR.................. 428,638 17,629,881 0.3%
HSBC Holdings P.L.C., Sponsored ADR.................... 612,368 26,680,874 0.5%
Lloyds Banking Group P.L.C............................. 17,603,292 14,396,590 0.3%
Royal Dutch Shell P.L.C., Class A...................... 491,594 15,662,888 0.3%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A....... 352,746 22,409,970 0.4%
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B....... 423,661 27,491,362 0.5%
Unilever P.L.C., Sponsored ADR......................... 274,641 16,698,173 0.3%
Other Securities....................................... 546,389,268 10.5%
-------------- -----
TOTAL UNITED KINGDOM......................................... 773,564,720 14.7%
-------------- -----
UNITED STATES -- (0.1%)
Other Securities....................................... 3,479,813 0.1%
-------------- -----
TOTAL COMMON STOCKS.......................................... 5,134,873,201 97.9%
-------------- -----
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Volkswagen AG.......................................... 83,696 14,613,496 0.3%
Other Securities....................................... 15,105,237 0.3%
-------------- -----
TOTAL GERMANY................................................ 29,718,733 0.6%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Security......................................... 50,662 0.0%
-------------- -----
TOTAL PREFERRED STOCKS....................................... 29,769,395 0.6%
-------------- -----
TOTAL INVESTMENT SECURITIES.................................. 5,164,642,596
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (6.0%)
@(S) The DFA Short Term Investment Fund..................... 28,454,609 329,248,281 6.3%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,768,037,911).................................... $5,493,890,877 104.8%
============== =====
48
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
As of April 30, 2019, 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.................... 85 06/21/19 $ 7,764,049 $ 8,147,250 $ 383,201
S&P 500(R)/ /Emini Index........... 253 06/21/19 35,452,763 37,298,525 1,845,762
----------- ----------- ----------
TOTAL FUTURES CONTRACTS............ $43,216,812 $45,445,775 $2,228,963
=========== =========== ==========
Summary of the Portfolio's investments as of April 30, 2019, based on their
valuation inputs, is as follows (see Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Common Stocks
Australia............................ $ 4,936,876 $ 307,082,153 -- $ 312,019,029
Austria.............................. -- 13,948,564 -- 13,948,564
Belgium.............................. 1,440,429 49,288,432 -- 50,728,861
Canada............................... 473,157,093 1,568,331 -- 474,725,424
Denmark.............................. 3,324,056 82,043,688 -- 85,367,744
Finland.............................. -- 55,516,282 -- 55,516,282
France............................... 8,892,968 516,246,788 -- 525,139,756
Germany.............................. 14,620,001 361,627,368 -- 376,247,369
Hong Kong............................ 856,814 174,659,302 -- 175,516,116
Ireland.............................. 9,422,404 26,623,360 -- 36,045,764
Israel............................... 5,350,111 20,988,804 -- 26,338,915
Italy................................ 6,362,367 100,276,025 -- 106,638,392
Japan................................ 28,763,742 1,143,603,877 -- 1,172,367,619
Netherlands.......................... 39,478,074 121,102,624 -- 160,580,698
New Zealand.......................... -- 16,856,193 -- 16,856,193
Norway............................... 1,432,700 43,485,869 -- 44,918,569
Portugal............................. -- 8,075,868 -- 8,075,868
Singapore............................ -- 63,448,024 -- 63,448,024
Spain................................ 3,368,578 133,431,956 -- 136,800,534
Sweden............................... -- 139,655,722 -- 139,655,722
Switzerland.......................... 25,800,625 351,092,600 -- 376,893,225
United Kingdom....................... 253,741,058 519,823,662 -- 773,564,720
United States........................ 3,449,141 30,672 -- 3,479,813
Preferred Stocks
Germany.............................. -- 29,718,733 -- 29,718,733
United Kingdom....................... -- 50,662 -- 50,662
Securities Lending Collateral........... -- 329,248,281 -- 329,248,281
Futures Contracts**..................... 2,228,963 -- -- 2,228,963
------------ -------------- -- --------------
TOTAL................................... $886,626,000 $4,609,493,840 -- $5,496,119,840
============ ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
49
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (92.8%)
AUSTRALIA -- (5.8%)
BHP Group, Ltd................................................... 4,074,214 $ 107,813,251 0.4%
# Commonwealth Bank of Australia................................... 1,329,108 69,851,552 0.3%
Macquarie Group, Ltd............................................. 602,362 57,244,919 0.2%
Other Securities................................................. 1,601,402,996 5.2%
-------------- ---
TOTAL AUSTRALIA...................................................... 1,836,312,718 6.1%
-------------- ---
AUSTRIA -- (0.6%)
Other Securities................................................. 172,494,338 0.6%
-------------- ---
BELGIUM -- (1.2%)
# Anheuser-Busch InBev SA.......................................... 645,683 57,405,821 0.2%
Other Securities................................................. 307,603,089 1.0%
-------------- ---
TOTAL BELGIUM........................................................ 365,008,910 1.2%
-------------- ---
CANADA -- (8.5%)
Bank of Montreal................................................. 847,416 66,920,442 0.2%
Barrick Gold Corp................................................ 4,637,776 58,992,511 0.2%
Canadian Natural Resources, Ltd.................................. 2,471,877 74,106,872 0.3%
Royal Bank of Canada............................................. 899,806 71,705,540 0.3%
Suncor Energy, Inc............................................... 2,387,585 78,790,305 0.3%
Other Securities................................................. 2,312,535,525 7.6%
-------------- ---
TOTAL CANADA......................................................... 2,663,051,195 8.9%
-------------- ---
CHINA -- (0.0%)
Other Securities................................................. 1,252,997 0.0%
-------------- ---
DENMARK -- (1.7%)
Other Securities................................................. 533,095,646 1.8%
-------------- ---
FINLAND -- (1.5%)
Other Securities................................................. 468,747,488 1.6%
-------------- ---
FRANCE -- (7.7%)
BNP Paribas SA................................................... 1,068,400 56,874,233 0.2%
Cie Generale des Etablissements Michelin SCA..................... 583,291 75,425,660 0.3%
Eiffage SA....................................................... 545,963 57,004,650 0.2%
# LVMH Moet Hennessy Louis Vuitton SE.............................. 248,440 97,541,791 0.3%
Orange SA........................................................ 4,330,858 67,685,038 0.2%
# Peugeot SA....................................................... 3,354,230 87,944,144 0.3%
# Total SA......................................................... 2,441,383 135,718,338 0.5%
Other Securities................................................. 1,846,788,989 6.1%
-------------- ---
TOTAL FRANCE......................................................... 2,424,982,843 8.1%
-------------- ---
GERMANY -- (6.8%)
Allianz SE....................................................... 354,255 85,628,434 0.3%
BASF SE.......................................................... 1,590,584 129,856,771 0.4%
Bayerische Motoren Werke AG...................................... 932,150 79,520,248 0.3%
Daimler AG....................................................... 2,440,186 160,163,989 0.5%
Deutsche Telekom AG.............................................. 6,594,331 110,487,356 0.4%
50
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
GERMANY -- (Continued)
E.ON SE............... 5,371,567 $ 57,753,604 0.2%
Other Securities...... 1,525,075,056 5.1%
-------------- ----
TOTAL GERMANY............... 2,148,485,458 7.2%
-------------- ----
HONG KONG -- (2.9%)
AIA Group, Ltd........ 8,634,000 88,407,287 0.3%
Other Securities...... 836,277,955 2.8%
-------------- ----
TOTAL HONG KONG............. 924,685,242 3.1%
-------------- ----
IRELAND -- (0.5%)
Other Securities...... 165,058,698 0.6%
-------------- ----
ISRAEL -- (0.7%)
Other Securities...... 212,185,185 0.7%
-------------- ----
ITALY -- (2.7%)
Eni SpA............... 4,051,470 69,041,664 0.2%
Other Securities...... 789,094,390 2.7%
-------------- ----
TOTAL ITALY................. 858,136,054 2.9%
-------------- ----
JAPAN -- (21.2%)
Hitachi, Ltd.......... 1,846,885 61,424,117 0.2%
Honda Motor Co., Ltd.. 2,640,923 73,689,493 0.3%
SoftBank Group Corp... 1,002,632 106,310,357 0.4%
Toyota Motor Corp..... 2,741,740 169,742,336 0.6%
Other Securities...... 6,259,576,633 20.8%
-------------- ----
TOTAL JAPAN................. 6,670,742,936 22.3%
-------------- ----
NETHERLANDS -- (2.6%)
Other Securities...... 811,819,321 2.7%
-------------- ----
NEW ZEALAND -- (0.4%)
Other Securities...... 132,945,691 0.4%
-------------- ----
NORWAY -- (0.9%)
Other Securities...... 287,119,213 1.0%
-------------- ----
PORTUGAL -- (0.2%)
Other Securities...... 77,723,418 0.3%
-------------- ----
SINGAPORE -- (1.1%)
Other Securities...... 331,544,566 1.1%
-------------- ----
SPAIN -- (2.2%)
Banco Santander SA.... 13,394,582 67,902,164 0.2%
Iberdrola S.A......... 8,366,674 76,031,224 0.3%
Other Securities...... 561,361,998 1.9%
-------------- ----
TOTAL SPAIN................. 705,295,386 2.4%
-------------- ----
SWEDEN -- (2.6%)
Volvo AB, Class B..... 3,408,461 54,625,441 0.2%
51
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
SWEDEN -- (Continued)
Other Securities........................ $ 763,019,329 2.5%
--------------- -----
TOTAL SWEDEN.................................. 817,644,770 2.7%
--------------- -----
SWITZERLAND -- (5.7%)
ABB, Ltd................................ 2,974,017 61,171,693 0.2%
Nestle SA............................... 2,417,067 232,709,418 0.8%
Novartis AG, Sponsored ADR.............. 953,193 78,381,060 0.3%
Roche Holding AG........................ 511,113 134,863,956 0.5%
Zurich Insurance Group AG............... 189,900 60,533,992 0.2%
Other Securities........................ 1,237,164,776 4.0%
--------------- -----
TOTAL SWITZERLAND............................. 1,804,824,895 6.0%
--------------- -----
UNITED KINGDOM -- (15.3%)
Anglo American P.L.C.................... 4,549,559 118,059,689 0.4%
BP P.L.C., Sponsored ADR................ 5,212,204 227,929,681 0.8%
Glencore P.L.C.......................... 22,274,023 88,373,475 0.3%
# HSBC Holdings P.L.C., Sponsored ADR..... 3,458,420 150,683,359 0.5%
Lloyds Banking Group P.L.C.............. 73,603,870 60,195,826 0.2%
# Rio Tinto P.L.C., Sponsored ADR......... 1,875,418 110,462,120 0.4%
Royal Dutch Shell P.L.C., Sponsored
ADR, Class A.......................... 1,546,368 98,240,759 0.3%
Royal Dutch Shell P.L.C., Sponsored
ADR, Class B.......................... 1,716,768 111,401,076 0.4%
Tesco P.L.C............................. 20,372,336 66,467,597 0.2%
Vodafone Group P.L.C.................... 31,621,343 58,653,603 0.2%
Other Securities........................ 3,723,201,297 12.4%
--------------- -----
TOTAL UNITED KINGDOM.......................... 4,813,668,482 16.1%
--------------- -----
UNITED STATES -- (0.0%)
Other Securities........................ 14,213,514 0.0%
--------------- -----
TOTAL COMMON STOCKS........................... 29,241,038,964 97.8%
--------------- -----
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Volkswagen AG........................... 594,615 103,821,020 0.4%
Other Securities........................ 82,303,498 0.2%
--------------- -----
TOTAL GERMANY................................. 186,124,518 0.6%
--------------- -----
UNITED KINGDOM -- (0.0%)
Other Security.......................... 305,340 0.0%
--------------- -----
TOTAL PREFERRED STOCKS........................ 186,429,858 0.6%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................ 788,947 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES................... 29,428,257,769
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (6.6%)
@(S) The DFA Short Term Investment Fund...... 179,954,585 2,082,254,508 7.0%
--------------- -----
TOTAL INVESTMENTS--(100.0%) (Cost
$28,765,950,166)............................ $31,510,512,277 105.4%
=============== =====
52
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
As of April 30, 2019, 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.......... 1,725 06/21/19 $239,678,311 $254,308,125 $14,629,814
------------ ------------ -----------
TOTAL FUTURES CONTRACTS......... $239,678,311 $254,308,125 $14,629,814
============ ============ ===========
Summary of the Portfolio's investments as of April 30, 2019, 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.................... $ 45,968,976 $ 1,790,343,742 -- $ 1,836,312,718
Austria...................... 62,750 172,431,588 -- 172,494,338
Belgium...................... 12,420,726 352,588,184 -- 365,008,910
Canada....................... 2,659,747,813 3,303,382 -- 2,663,051,195
China........................ -- 1,252,997 -- 1,252,997
Denmark...................... 30,537,476 502,558,170 -- 533,095,646
Finland...................... 3,754,429 464,993,059 -- 468,747,488
France....................... 74,550,225 2,350,432,618 -- 2,424,982,843
Germany...................... 72,940,505 2,075,544,953 -- 2,148,485,458
Hong Kong.................... 1,511,191 923,174,051 -- 924,685,242
Ireland...................... 24,954,268 140,104,430 -- 165,058,698
Israel....................... 20,054,012 192,131,173 -- 212,185,185
Italy........................ 19,944,563 838,191,491 -- 858,136,054
Japan........................ 116,640,203 6,554,102,733 -- 6,670,742,936
Netherlands.................. 121,408,717 690,410,604 -- 811,819,321
New Zealand.................. 207,642 132,738,049 -- 132,945,691
Norway....................... 16,009,731 271,109,482 -- 287,119,213
Portugal..................... 273,892 77,449,526 -- 77,723,418
Singapore.................... 14,892 331,529,674 -- 331,544,566
Spain........................ 22,725,713 682,569,673 -- 705,295,386
Sweden....................... 2,587,480 815,057,290 -- 817,644,770
Switzerland.................. 129,551,428 1,675,273,467 -- 1,804,824,895
United Kingdom............... 1,076,595,281 3,737,073,201 -- 4,813,668,482
United States................ 13,974,326 239,188 -- 14,213,514
Preferred Stocks
Germany...................... -- 186,124,518 -- 186,124,518
United Kingdom............... -- 305,340 -- 305,340
Rights/Warrants
Canada....................... -- 629,542 -- 629,542
Hong Kong.................... -- 1,989 -- 1,989
Sweden....................... -- 96,883 -- 96,883
Switzerland.................. -- 60,533 -- 60,533
Securities Lending Collateral... -- 2,082,254,508 -- 2,082,254,508
Futures Contracts**............. 14,629,814 -- -- 14,629,814
-------------- --------------- -- ---------------
TOTAL........................... $4,481,066,053 $27,044,076,038 -- $31,525,142,091
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
53
GLOBAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Small Cap Portfolio of
DFA Investment Dimensions Group Inc..................... 557,423 $19,392,755
Investment in The Continental Small Company Series of
The DFA Investment Trust Company........................ 4,786,246
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company........................ 4,164,246
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company........................ 2,713,294
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company........................ 2,331,418
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company........................ 1,280,306
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company........................ 1,067,427
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $36,301,830)..................................... $35,735,692
===========
Summary of the Portfolio's investments as of April 30, 2019, 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......... $35,735,692 -- -- $35,735,692
----------- -- -- -----------
TOTAL................................... $35,735,692 -- -- $35,735,692
=========== == == ===========
See accompanying Notes to Financial Statements.
54
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company.................................... $ 4,899,120,716
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company.................................... 2,924,510,257
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company.................................... 2,315,115,565
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company.................................... 1,328,300,786
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company.................................... 1,087,960,517
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES.................. $12,555,007,841
===============
As of April 30, 2019, 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... 275 06/21/19 $40,214,243 $40,541,875 $327,632
----------- ----------- --------
TOTAL FUTURES CONTRACTS.. $40,214,243 $40,541,875 $327,632
=========== =========== ========
Summary of the Portfolio's investments as of April 30, 2019, 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................... $12,555,007,841 -- -- $12,555,007,841
Futures Contracts**........... 327,632 -- -- 327,632
--------------- -- -- ---------------
TOTAL......................... $12,555,335,473 -- -- $12,555,335,473
=============== == == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
55
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company....................................... $591,606,841
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES............. $591,606,841
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
56
ASIA PACIFIC SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Asia Pacific Small Company Series of The DFA
Investment Trust Company....................................... $378,520,784
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES............. $378,520,784
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
57
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
-----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company.......................... $31,178,274
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $31,178,274
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
58
CONTINENTAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of The
DFA Investment Trust Company.............................. $643,849,665
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $643,849,665
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
59
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (96.8%)
AUSTRALIA -- (16.9%)
Charter Hall Group............................................... 5,811,056 $ 40,251,450 0.7%
Dexus............................................................ 12,551,773 110,816,261 1.9%
Goodman Group.................................................... 20,389,986 189,740,799 3.3%
GPT Group (The).................................................. 22,071,637 89,280,996 1.6%
Mirvac Group..................................................... 43,213,283 86,508,207 1.5%
Scentre Group.................................................... 64,973,306 175,265,373 3.1%
Stockland........................................................ 29,127,245 77,540,494 1.4%
Vicinity Centres................................................. 39,606,173 71,027,096 1.2%
Other Securities................................................. 137,832,237 2.5%
------------ ----
TOTAL AUSTRALIA...................................................... 978,262,913 17.2%
------------ ----
BELGIUM -- (2.4%)
Cofinimmo SA..................................................... 314,060 40,165,755 0.7%
Warehouses De Pauw CVA........................................... 245,440 36,832,518 0.7%
Other Securities................................................. 62,622,797 1.1%
------------ ----
TOTAL BELGIUM........................................................ 139,621,070 2.5%
------------ ----
CANADA -- (5.3%)
# H&R Real Estate Investment Trust................................. 1,969,217 33,645,878 0.6%
# RioCan Real Estate Investment Trust.............................. 1,850,200 35,575,989 0.6%
Other Securities................................................. 238,411,174 4.2%
------------ ----
TOTAL CANADA......................................................... 307,633,041 5.4%
------------ ----
CHINA -- (0.2%)
Other Securities................................................. 13,693,846 0.3%
------------ ----
FRANCE -- (6.0%)
# Covivio.......................................................... 479,811 51,929,847 0.9%
Gecina SA........................................................ 566,551 84,650,577 1.5%
# ICADE............................................................ 426,625 36,461,843 0.7%
Klepierre SA..................................................... 2,437,172 86,602,502 1.5%
Unibail-Rodamco-Westfield (BF2PQ09).............................. 306,361 52,658,948 0.9%
Other Securities................................................. 33,365,058 0.6%
------------ ----
TOTAL FRANCE......................................................... 345,668,775 6.1%
------------ ----
GERMANY -- (0.8%)
Other Securities................................................. 45,401,206 0.8%
------------ ----
GREECE -- (0.0%)
Other Security................................................... 1,055,103 0.0%
------------ ----
HONG KONG -- (6.4%)
Link REIT........................................................ 25,807,405 301,532,574 5.3%
Other Securities................................................. 66,026,709 1.2%
------------ ----
TOTAL HONG KONG...................................................... 367,559,283 6.5%
------------ ----
IRELAND -- (0.4%)
Other Securities................................................. 20,248,196 0.4%
------------ ----
60
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
ITALY -- (0.1%)
Other Securities................................................. $ 6,666,461 0.1%
-------------- ----
JAPAN -- (23.5%)
Advance Residence Investment Corp................................ 14,800 41,316,811 0.7%
Daiwa House REIT Investment Corp................................. 22,098 50,743,139 0.9%
GLP J-Reit....................................................... 41,838 45,018,527 0.8%
Invincible Investment Corp....................................... 69,404 35,119,231 0.6%
# Japan Hotel REIT Investment Corp................................. 53,604 43,627,667 0.8%
Japan Prime Realty Investment Corp............................... 10,108 40,413,330 0.7%
Japan Real Estate Investment Corp................................ 16,000 88,690,519 1.6%
Japan Retail Fund Investment Corp................................ 31,657 60,491,104 1.1%
# Kenedix Office Investment Corp................................... 5,265 35,222,915 0.6%
Nippon Building Fund, Inc........................................ 16,374 105,438,834 1.9%
Nippon Prologis REIT, Inc........................................ 21,166 45,453,454 0.8%
Nomura Real Estate Master Fund, Inc.............................. 48,168 70,577,310 1.2%
Orix JREIT, Inc.................................................. 31,736 55,719,186 1.0%
United Urban Investment Corp..................................... 35,413 56,538,500 1.0%
Other Securities................................................. 585,853,954 10.2%
-------------- ----
TOTAL JAPAN.......................................................... 1,360,224,481 23.9%
-------------- ----
MALAYSIA -- (0.5%)
Other Securities................................................. 30,772,016 0.6%
-------------- ----
MEXICO -- (1.9%)
Fibra Uno Administracion S.A. de C.V............................. 40,376,788 59,848,228 1.0%
Other Securities................................................. 48,790,931 0.9%
-------------- ----
TOTAL MEXICO......................................................... 108,639,159 1.9%
-------------- ----
NETHERLANDS -- (5.1%)
Unibail-Rodamco-Westfield........................................ 10,223,379 248,003,794 4.4%
Other Securities................................................. 49,120,811 0.8%
-------------- ----
TOTAL NETHERLANDS.................................................... 297,124,605 5.2%
-------------- ----
NEW ZEALAND -- (1.0%)
Other Securities................................................. 58,145,258 1.0%
-------------- ----
SINGAPORE -- (9.0%)
# Ascendas Real Estate Investment Trust............................ 32,153,600 71,026,383 1.2%
# CapitaLand Commercial Trust...................................... 33,056,749 47,228,035 0.8%
CapitaLand Mall Trust............................................ 31,505,100 56,097,609 1.0%
# Suntec Real Estate Investment Trust.............................. 28,076,500 38,189,552 0.7%
Other Securities................................................. 307,119,169 5.4%
-------------- ----
TOTAL SINGAPORE...................................................... 519,660,748 9.1%
-------------- ----
SOUTH AFRICA -- (3.2%)
Growthpoint Properties, Ltd...................................... 37,602,505 65,364,457 1.2%
Redefine Properties, Ltd......................................... 73,235,595 50,437,951 0.9%
Other Securities................................................. 65,980,454 1.1%
-------------- ----
TOTAL SOUTH AFRICA................................................... 181,782,862 3.2%
-------------- ----
SPAIN -- (1.5%)
Merlin Properties Socimi SA...................................... 4,503,799 61,433,894 1.1%
61
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SPAIN -- (Continued)
Other Securities............................. $ 25,195,832 0.4%
-------------- -----
TOTAL SPAIN........................................ 86,629,726 1.5%
-------------- -----
TAIWAN -- (0.2%)
Other Securities............................. 12,434,673 0.2%
-------------- -----
TURKEY -- (0.1%)
Other Securities............................. 7,629,101 0.1%
-------------- -----
UNITED KINGDOM -- (12.3%)
British Land Co. P.L.C. (The)................ 11,596,686 89,974,890 1.6%
Derwent London P.L.C......................... 1,436,453 59,451,774 1.0%
Great Portland Estates P.L.C................. 4,159,069 40,987,424 0.7%
Hammerson P.L.C.............................. 10,354,758 43,566,203 0.8%
Land Securities Group P.L.C.................. 9,299,230 112,073,659 2.0%
Segro P.L.C.................................. 13,377,031 118,528,261 2.1%
Shaftesbury P.L.C............................ 3,040,736 34,082,392 0.6%
Other Securities............................. 212,558,504 3.7%
-------------- -----
TOTAL UNITED KINGDOM............................... 711,223,107 12.5%
-------------- -----
TOTAL COMMON STOCKS................................ 5,600,075,630 98.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Security............................... 988,779 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES........................ 5,601,064,409
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (3.2%)
@(S) The DFA Short Term Investment Fund........... 16,032,487 185,511,906 3.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $5,254,686,050).......................... $5,786,576,315 101.7%
============== =====
As of April 30, 2019, 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.......................... 257 06/21/19 $35,660,473 $37,888,225 $2,227,752
----------- ----------- ----------
TOTAL FUTURES CONTRACTS........................... $35,660,473 $37,888,225 $2,227,752
=========== =========== ==========
62
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2019, 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.................... $ 118,656 $ 978,144,257 -- $ 978,262,913
Belgium...................... -- 139,621,070 -- 139,621,070
Canada....................... 307,633,041 -- -- 307,633,041
China........................ -- 13,693,846 -- 13,693,846
France....................... 52,658,948 293,009,827 -- 345,668,775
Germany...................... -- 45,401,206 -- 45,401,206
Greece....................... -- 1,055,103 -- 1,055,103
Hong Kong.................... -- 367,559,283 -- 367,559,283
Ireland...................... -- 20,248,196 -- 20,248,196
Italy........................ -- 6,666,461 -- 6,666,461
Japan........................ -- 1,360,224,481 -- 1,360,224,481
Malaysia..................... -- 30,772,016 -- 30,772,016
Mexico....................... 108,639,159 -- -- 108,639,159
Netherlands.................. -- 297,124,605 -- 297,124,605
New Zealand.................. -- 58,145,258 -- 58,145,258
Singapore.................... 1,855,968 517,804,780 -- 519,660,748
South Africa................. -- 181,782,862 -- 181,782,862
Spain........................ -- 86,629,726 -- 86,629,726
Taiwan....................... 2,597,807 9,836,866 -- 12,434,673
Turkey....................... -- 7,629,101 -- 7,629,101
United Kingdom............... -- 711,223,107 -- 711,223,107
Rights/Warrants
Belgium...................... -- 988,779 -- 988,779
Securities Lending Collateral... -- 185,511,906 -- 185,511,906
Futures Contracts**............. 2,227,752 -- -- 2,227,752
------------ -------------- -- --------------
TOTAL........................... $475,731,331 $5,313,072,736 -- $5,788,804,067
============ ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
63
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (49.7%)
UNITED STATES -- (49.7%)
Alexandria Real Estate Equities, Inc.... 440,200 $ 62,680,078 0.8%
American Campus Communities, Inc........ 541,167 25,543,082 0.3%
American Tower Corp..................... 1,735,168 338,878,310 4.1%
# Apartment Investment & Management Co.,
Class A............................... 596,218 29,429,327 0.4%
AvalonBay Communities, Inc.............. 540,749 108,652,697 1.3%
Boston Properties, Inc.................. 604,073 83,132,526 1.0%
Camden Property Trust................... 378,145 38,060,294 0.5%
Crown Castle International Corp......... 1,598,444 201,052,286 2.4%
Digital Realty Trust, Inc............... 811,085 95,472,792 1.2%
Douglas Emmett, Inc..................... 637,971 26,278,026 0.3%
Duke Realty Corp........................ 1,424,778 44,339,091 0.5%
Equinix, Inc............................ 326,117 148,285,400 1.8%
Equity LifeStyle Properties, Inc........ 339,485 39,617,900 0.5%
# Equity Residential...................... 1,437,485 109,852,604 1.3%
Essex Property Trust, Inc............... 258,189 72,938,393 0.9%
Extra Space Storage, Inc................ 499,040 51,745,458 0.6%
Federal Realty Investment Trust......... 295,613 39,567,800 0.5%
Gaming and Leisure Properties, Inc...... 810,069 32,710,586 0.4%
HCP, Inc................................ 1,855,776 55,265,009 0.7%
Host Hotels & Resorts, Inc.............. 2,894,703 55,694,086 0.7%
Invitation Homes, Inc................... 1,210,697 30,097,924 0.4%
Iron Mountain, Inc...................... 1,082,735 35,167,233 0.4%
Kilroy Realty Corp...................... 403,004 30,995,038 0.4%
# Kimco Realty Corp....................... 1,677,460 29,171,029 0.4%
Lamar Advertising Co., Class A.......... 340,339 28,135,825 0.3%
Liberty Property Trust.................. 587,563 29,166,627 0.4%
Medical Properties Trust, Inc........... 1,472,857 25,716,083 0.3%
Mid-America Apartment Communities, Inc.. 452,548 49,513,224 0.6%
National Retail Properties, Inc......... 629,516 33,125,132 0.4%
# Omega Healthcare Investors, Inc......... 812,285 28,746,766 0.3%
Prologis, Inc........................... 2,458,318 188,479,247 2.3%
Public Storage.......................... 614,993 136,024,152 1.6%
Realty Income Corp...................... 1,192,635 83,496,376 1.0%
Regency Centers Corp.................... 602,401 40,463,248 0.5%
#* SBA Communications Corp................. 443,093 90,271,337 1.1%
Simon Property Group, Inc............... 1,214,648 210,984,358 2.5%
SL Green Realty Corp.................... 357,734 31,602,222 0.4%
STORE Capital Corp...................... 810,598 27,009,125 0.3%
Sun Communities, Inc.................... 343,197 42,240,687 0.5%
# UDR, Inc................................ 1,083,311 48,694,829 0.6%
# Ventas, Inc............................. 1,394,014 85,188,196 1.0%
VEREIT, Inc............................. 3,882,639 32,070,598 0.4%
Vornado Realty Trust.................... 682,155 47,164,197 0.6%
Welltower, Inc.......................... 1,494,898 111,414,748 1.3%
# WP Carey, Inc........................... 515,153 40,861,936 0.5%
Other Securities........................ 963,237,241 11.4%
-------------- ----
TOTAL UNITED STATES......................... 4,158,233,123 50.1%
-------------- ----
64
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
AFFILIATED INVESTMENT COMPANIES -- (49.3%)
DFA International Real Estate
Securities Portfolio of DFA
Investment Dimensions Group Inc....... 569,492,445 $2,898,716,544 34.9%
DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc... 32,458,571 1,232,451,966 14.9%
-------------- -----
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES................................... 4,131,168,510 49.8%
-------------- -----
TOTAL INVESTMENT SECURITIES................... 8,289,401,633
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (1.0%)
@(S) The DFA Short Term Investment Fund...... 7,486,114 86,621,822 1.0%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $7,200,357,965)..................... $8,376,023,455 100.9%
============== =====
Summary of the Portfolio's investments as of April 30, 2019, 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........................ $4,158,233,123 -- -- $4,158,233,123
Affiliated Investment Companies......... 4,131,168,510 -- -- 4,131,168,510
Securities Lending Collateral........... -- $86,621,822 -- 86,621,822
-------------- ----------- -------- --------------
TOTAL................................... $8,289,401,633 $86,621,822 -- $8,376,023,455
============== =========== ======== ==============
See accompanying Notes to Financial Statements.
65
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (94.3%)
AUSTRALIA -- (7.0%)
Beach Energy, Ltd............................ 34,112,182 $ 51,152,859 0.4%
Cleanaway Waste Management, Ltd.............. 49,762,479 79,022,413 0.6%
Downer EDI, Ltd.............................. 11,238,963 61,363,475 0.5%
# Metcash, Ltd................................. 21,781,214 44,072,925 0.3%
OZ Minerals, Ltd............................. 7,939,160 55,901,729 0.4%
Other Securities............................. 717,574,772 5.1%
-------------- ---
TOTAL AUSTRALIA.................................. 1,009,088,173 7.3%
-------------- ---
AUSTRIA -- (1.0%)
Wienerberger AG.............................. 2,440,116 56,076,062 0.4%
Other Securities............................. 82,618,291 0.6%
-------------- ---
TOTAL AUSTRIA.................................... 138,694,353 1.0%
-------------- ---
BELGIUM -- (1.5%)
Ackermans & van Haaren NV.................... 368,716 59,408,631 0.4%
Other Securities............................. 154,368,598 1.2%
-------------- ---
TOTAL BELGIUM.................................... 213,777,229 1.6%
-------------- ---
CANADA -- (8.0%)
# Laurentian Bank of Canada.................... 1,556,662 49,313,082 0.4%
TransAlta Corp............................... 6,574,340 44,362,196 0.3%
# Whitecap Resources, Inc...................... 11,057,354 44,486,928 0.3%
Yamana Gold, Inc............................. 19,748,423 43,338,332 0.3%
Other Securities............................. 960,747,917 7.0%
-------------- ---
TOTAL CANADA..................................... 1,142,248,455 8.3%
-------------- ---
CHINA -- (0.0%)
Other Securities............................. 2,684,455 0.0%
-------------- ---
DENMARK -- (1.6%)
Jyske Bank A.S............................... 1,646,223 66,399,521 0.5%
Other Securities............................. 158,903,562 1.1%
-------------- ---
TOTAL DENMARK.................................... 225,303,083 1.6%
-------------- ---
FINLAND -- (2.4%)
Cargotec Oyj, Class B........................ 1,064,031 43,684,338 0.3%
Kesko Oyj, Class B........................... 1,457,604 75,795,263 0.6%
Other Securities............................. 219,878,446 1.6%
-------------- ---
TOTAL FINLAND.................................... 339,358,047 2.5%
-------------- ---
FRANCE -- (4.1%)
Rexel SA..................................... 7,556,241 101,585,317 0.7%
Other Securities............................. 481,145,509 3.5%
-------------- ---
TOTAL FRANCE..................................... 582,730,826 4.2%
-------------- ---
GERMANY -- (6.1%)
Aareal Bank AG............................... 1,935,615 67,704,197 0.5%
66
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
GERMANY -- (Continued)
Aurubis AG.................. 1,195,600 $ 58,460,362 0.4%
K+S AG...................... 4,442,728 90,464,467 0.7%
Rheinmetall AG.............. 642,265 74,006,883 0.5%
Other Securities............ 588,301,090 4.3%
-------------- ----
TOTAL GERMANY................... 878,936,999 6.4%
-------------- ----
GREECE -- (0.0%)
Other Security.............. 1,927 0.0%
-------------- ----
HONG KONG -- (3.2%)
Other Securities............ 454,049,994 3.3%
-------------- ----
IRELAND -- (0.1%)
Other Securities............ 13,594,966 0.1%
-------------- ----
ISRAEL -- (0.7%)
Other Securities............ 100,886,550 0.7%
-------------- ----
ITALY -- (5.1%)
#* Banco BPM SpA............... 25,325,494 60,287,784 0.4%
# BPER Banca.................. 14,354,646 69,015,446 0.5%
# Buzzi Unicem SpA............ 2,457,060 54,781,702 0.4%
* Saipem SpA.................. 13,917,366 70,595,564 0.5%
Societa Cattolica di
Assicurazioni SC.......... 4,984,565 46,441,266 0.3%
# Unione di Banche Italiane
SpA....................... 25,232,083 78,771,560 0.6%
Unipol Gruppo SpA........... 12,113,158 61,706,155 0.5%
Other Securities............ 292,928,959 2.1%
-------------- ----
TOTAL ITALY..................... 734,528,436 5.3%
-------------- ----
JAPAN -- (23.3%)
Other Securities............ 3,342,221,086 24.2%
-------------- ----
NETHERLANDS -- (2.9%)
APERAM SA................... 1,534,555 47,342,277 0.3%
ASR Nederland NV............ 1,361,979 60,599,950 0.4%
# Boskalis Westminster........ 2,428,813 66,658,949 0.5%
SBM Offshore NV............. 5,272,467 97,838,067 0.7%
Other Securities............ 147,279,313 1.1%
-------------- ----
TOTAL NETHERLANDS............... 419,718,556 3.0%
-------------- ----
NEW ZEALAND -- (0.4%)
Other Securities............ 56,888,500 0.4%
-------------- ----
NORWAY -- (1.0%)
Other Securities............ 144,965,724 1.1%
-------------- ----
PORTUGAL -- (0.4%)
Other Securities............ 52,714,854 0.4%
-------------- ----
SINGAPORE -- (0.9%)
Other Securities............ 135,457,705 1.0%
-------------- ----
SPAIN -- (2.5%)
Acciona SA.................. 808,315 93,749,013 0.7%
67
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SPAIN -- (Continued)
Acerinox SA.................................. 4,586,964 $ 47,775,309 0.4%
Other Securities............................. 218,669,739 1.5%
--------------- -----
TOTAL SPAIN........................................ 360,194,061 2.6%
--------------- -----
SWEDEN -- (2.4%)
Other Securities............................. 344,055,774 2.5%
--------------- -----
SWITZERLAND -- (3.8%)
Helvetia Holding AG.......................... 124,493 79,112,059 0.6%
Other Securities............................. 459,928,963 3.3%
--------------- -----
TOTAL SWITZERLAND.................................. 539,041,022 3.9%
--------------- -----
UNITED KINGDOM -- (15.9%)
Aggreko P.L.C................................ 4,276,442 47,674,741 0.4%
Bellway P.L.C................................ 3,238,330 131,500,270 1.0%
Bovis Homes Group P.L.C...................... 4,767,183 69,118,189 0.5%
Close Brothers Group P.L.C................... 2,938,517 59,578,070 0.4%
Grafton Group P.L.C.......................... 5,338,210 61,525,374 0.5%
Greene King P.L.C............................ 9,040,744 75,715,316 0.6%
Hiscox, Ltd.................................. 5,112,603 111,826,369 0.8%
Meggitt P.L.C................................ 13,157,225 93,624,479 0.7%
National Express Group P.L.C................. 10,266,182 55,045,202 0.4%
Phoenix Group Holdings P.L.C................. 9,980,022 94,335,610 0.7%
Redrow P.L.C................................. 7,551,086 60,780,663 0.4%
Travis Perkins P.L.C......................... 4,528,375 82,628,035 0.6%
Tullow Oil P.L.C............................. 26,387,832 77,372,331 0.6%
Vesuvius P.L.C............................... 7,530,093 60,751,698 0.4%
Other Securities............................. 1,197,482,727 8.5%
--------------- -----
TOTAL UNITED KINGDOM............................... 2,278,959,074 16.5%
--------------- -----
TOTAL COMMON STOCKS................................ 13,510,099,849 97.9%
--------------- -----
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities............................. 14,629,570 0.1%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................. 321,588 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES........................ 13,525,051,007
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (5.6%)
@(S) The DFA Short Term Investment Fund........... 68,907,478 797,328,425 5.8%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $13,520,917,039)......................... $14,322,379,432 103.8%
=============== =====
68
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
As of April 30, 2019, 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........... 1,162 06/21/19 $165,091,553 $171,307,850 $6,216,297
------------ ------------ ----------
TOTAL FUTURES CONTRACTS............ $165,091,553 $171,307,850 $6,216,297
============ ============ ==========
Summary of the Portfolio's investments as of April 30, 2019, 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................................. -- $ 1,009,088,173 -- $ 1,009,088,173
Austria................................... -- 138,694,353 -- 138,694,353
Belgium................................... -- 213,777,229 -- 213,777,229
Canada.................................... $1,142,248,389 66 -- 1,142,248,455
China..................................... -- 2,684,455 -- 2,684,455
Denmark................................... -- 225,303,083 -- 225,303,083
Finland................................... -- 339,358,047 -- 339,358,047
France.................................... -- 582,730,826 -- 582,730,826
Germany................................... -- 878,936,999 -- 878,936,999
Greece.................................... -- 1,927 -- 1,927
Hong Kong................................. 501,286 453,548,708 -- 454,049,994
Ireland................................... -- 13,594,966 -- 13,594,966
Israel.................................... -- 100,886,550 -- 100,886,550
Italy..................................... -- 734,528,436 -- 734,528,436
Japan..................................... -- 3,342,221,086 -- 3,342,221,086
Netherlands............................... -- 419,718,556 -- 419,718,556
New Zealand............................... -- 56,888,500 -- 56,888,500
Norway.................................... -- 144,965,724 -- 144,965,724
Portugal.................................. -- 52,714,854 -- 52,714,854
Singapore................................. -- 135,457,705 -- 135,457,705
Spain..................................... -- 360,194,061 -- 360,194,061
Sweden.................................... 4,356,064 339,699,710 -- 344,055,774
Switzerland............................... -- 539,041,022 -- 539,041,022
United Kingdom............................ -- 2,278,959,074 -- 2,278,959,074
Preferred Stocks
Germany................................... -- 14,629,570 -- 14,629,570
Rights/Warrants
Canada.................................... -- 315,178 -- 315,178
Japan..................................... -- 6,410 -- 6,410
Securities Lending Collateral................ -- 797,328,425 -- 797,328,425
Futures Contracts**.......................... 6,216,297 -- -- 6,216,297
-------------- --------------- -- ---------------
TOTAL........................................ $1,153,322,036 $13,175,273,693 -- $14,328,595,729
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
69
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (93.2%)
AUSTRALIA -- (6.0%)
Australia & New Zealand Banking
Group, Ltd....................... 253,042 $ 4,854,504 0.2%
BHP Group, Ltd..................... 314,531 8,323,227 0.3%
National Australia Bank, Ltd....... 266,218 4,753,330 0.2%
Other Securities................... 146,397,949 5.7%
------------ ---
TOTAL AUSTRALIA........................ 164,329,010 6.4%
------------ ---
AUSTRIA -- (0.7%)
Other Securities................... 18,509,683 0.7%
------------ ---
BELGIUM -- (1.2%)
Other Securities................... 32,170,816 1.2%
------------ ---
CANADA -- (8.6%)
Bank of Nova Scotia (The).......... 96,755 5,327,330 0.2%
Barrick Gold Corp.................. 351,525 4,471,398 0.2%
Canadian Natural Resources, Ltd.... 173,634 5,205,547 0.2%
Suncor Energy, Inc................. 125,816 4,151,928 0.2%
Teck Resources, Ltd., Class B...... 260,318 6,156,521 0.3%
Other Securities................... 210,308,016 8.0%
------------ ---
TOTAL CANADA........................... 235,620,740 9.1%
------------ ---
CHINA -- (0.0%)
Other Securities................... 234,438 0.0%
------------ ---
DENMARK -- (1.8%)
GN Store Nord A.S.................. 95,918 4,916,304 0.2%
Other Securities................... 45,307,175 1.7%
------------ ---
TOTAL DENMARK.......................... 50,223,479 1.9%
------------ ---
FINLAND -- (1.8%)
UPM-Kymmene Oyj.................... 228,744 6,458,544 0.3%
Other Securities................... 42,762,198 1.6%
------------ ---
TOTAL FINLAND.......................... 49,220,742 1.9%
------------ ---
FRANCE -- (6.8%)
Arkema SA.......................... 50,957 5,232,090 0.2%
BNP Paribas SA..................... 90,176 4,800,347 0.2%
Cie de Saint-Gobain................ 149,152 6,115,224 0.2%
Orange SA.......................... 287,736 4,496,897 0.2%
# Peugeot SA......................... 315,797 8,279,843 0.3%
Total SA........................... 257,810 14,331,854 0.6%
Other Securities................... 143,604,280 5.5%
------------ ---
TOTAL FRANCE........................... 186,860,535 7.2%
------------ ---
GERMANY -- (6.5%)
Allianz SE......................... 24,364 5,889,123 0.2%
BASF SE............................ 54,159 4,421,592 0.2%
Bayer AG........................... 64,921 4,319,507 0.2%
70
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
GERMANY -- (Continued)
Bayerische Motoren Werke AG.................. 50,795 $ 4,333,241 0.2%
* Commerzbank AG............................... 560,765 5,054,393 0.2%
Daimler AG................................... 139,507 9,156,678 0.4%
E.ON SE...................................... 588,434 6,326,680 0.3%
Other Securities............................. 138,549,174 5.2%
------------ ----
TOTAL GERMANY.................................... 178,050,388 6.9%
------------ ----
HONG KONG -- (2.8%)
Other Securities............................. 77,556,491 3.0%
------------ ----
IRELAND -- (0.6%)
Other Securities............................. 16,928,203 0.7%
------------ ----
ISRAEL -- (0.8%)
Other Securities............................. 23,157,968 0.9%
------------ ----
ITALY -- (2.9%)
Fiat Chrysler Automobiles NV................. 368,536 5,679,654 0.2%
Other Securities............................. 74,498,655 2.9%
------------ ----
TOTAL ITALY...................................... 80,178,309 3.1%
------------ ----
JAPAN -- (21.9%)
Mitsubishi UFJ Financial Group, Inc.......... 928,900 4,608,761 0.2%
Toyota Motor Corp............................ 73,263 4,535,745 0.2%
Toyota Motor Corp., Sponsored ADR............ 36,827 4,551,817 0.2%
Other Securities............................. 584,585,279 22.5%
------------ ----
TOTAL JAPAN...................................... 598,281,602 23.1%
------------ ----
NETHERLANDS -- (2.5%)
ASR Nederland NV............................. 90,869 4,043,129 0.2%
Other Securities............................. 63,759,149 2.4%
------------ ----
TOTAL NETHERLANDS................................ 67,802,278 2.6%
------------ ----
NEW ZEALAND -- (0.5%)
Other Securities............................. 13,309,584 0.5%
------------ ----
NORWAY -- (1.0%)
Other Securities............................. 27,423,029 1.1%
------------ ----
PORTUGAL -- (0.4%)
Other Securities............................. 9,588,818 0.4%
------------ ----
SINGAPORE -- (1.0%)
Other Securities............................. 27,250,032 1.1%
------------ ----
SPAIN -- (1.9%)
Banco Santander SA........................... 1,159,792 5,879,419 0.2%
Other Securities............................. 45,702,324 1.8%
------------ ----
TOTAL SPAIN...................................... 51,581,743 2.0%
------------ ----
SWEDEN -- (2.7%)
Other Securities............................. 73,067,775 2.8%
------------ ----
71
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SWITZERLAND -- (5.8%)
Adecco Group AG......................... 92,364 $ 5,306,587 0.2%
# Baloise Holding AG...................... 23,966 4,108,762 0.2%
Helvetia Holding AG..................... 7,972 5,065,998 0.2%
Nestle SA............................... 110,012 10,591,692 0.4%
Novartis AG............................. 52,784 4,325,124 0.2%
Novartis AG, Sponsored ADR.............. 73,269 6,024,910 0.2%
Zurich Insurance Group AG............... 14,600 4,654,009 0.2%
Other Securities........................ 119,286,320 4.6%
-------------- -----
TOTAL SWITZERLAND............................. 159,363,402 6.2%
-------------- -----
UNITED KINGDOM -- (15.0%)
Anglo American P.L.C.................... 296,123 7,684,303 0.3%
Aviva P.L.C............................. 758,044 4,257,270 0.2%
BP P.L.C., Sponsored ADR................ 244,019 10,670,958 0.4%
British American Tobacco P.L.C.......... 165,283 6,470,651 0.3%
Glencore P.L.C.......................... 1,539,187 6,106,815 0.2%
HSBC Holdings P.L.C., Sponsored ADR..... 303,186 13,209,814 0.5%
Kingfisher P.L.C........................ 1,175,179 4,052,236 0.2%
Lloyds Banking Group P.L.C.............. 6,332,142 5,178,648 0.2%
Royal Dutch Shell P.L.C., Sponsored
ADR, Class A.......................... 161,774 10,277,490 0.4%
# Royal Dutch Shell P.L.C., Sponsored
ADR, Class B.......................... 102,022 6,620,208 0.3%
Standard Chartered P.L.C................ 573,981 5,248,007 0.2%
Travis Perkins P.L.C.................... 285,927 5,217,233 0.2%
Other Securities........................ 325,556,869 12.5%
-------------- -----
TOTAL UNITED KINGDOM.......................... 410,550,502 15.9%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities........................ 1,222,313 0.0%
-------------- -----
TOTAL COMMON STOCKS........................... 2,552,481,880 98.7%
-------------- -----
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Volkswagen AG........................... 32,365 5,650,997 0.2%
Other Securities........................ 8,584,636 0.3%
-------------- -----
TOTAL GERMANY................................. 14,235,633 0.5%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Security.......................... 11,631 0.0%
-------------- -----
TOTAL PREFERRED STOCKS........................ 14,247,264 0.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................ 112,313 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES................... 2,566,841,457
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (6.3%)
@(S) The DFA Short Term Investment Fund...... 14,838,909 171,701,017 6.7%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $2,484,658,648)..................... $2,738,542,474 105.9%
============== =====
72
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2019, 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............................ $ 3,352,135 $ 160,976,875 -- $ 164,329,010
Austria.............................. -- 18,509,683 -- 18,509,683
Belgium.............................. 571,706 31,599,110 -- 32,170,816
Canada............................... 235,361,131 259,609 -- 235,620,740
China................................ -- 234,438 -- 234,438
Denmark.............................. 125,288 50,098,191 -- 50,223,479
Finland.............................. 140,180 49,080,562 -- 49,220,742
France............................... 513,859 186,346,676 -- 186,860,535
Germany.............................. 4,504,988 173,545,400 -- 178,050,388
Hong Kong............................ 345,200 77,211,291 -- 77,556,491
Ireland.............................. 2,645,025 14,283,178 -- 16,928,203
Israel............................... 994,653 22,163,315 -- 23,157,968
Italy................................ 1,057,536 79,120,773 -- 80,178,309
Japan................................ 9,705,190 588,576,412 -- 598,281,602
Netherlands.......................... 7,506,412 60,295,866 -- 67,802,278
New Zealand.......................... 9,148 13,300,436 -- 13,309,584
Norway............................... 282,744 27,140,285 -- 27,423,029
Portugal............................. -- 9,588,818 -- 9,588,818
Singapore............................ 4,124 27,245,908 -- 27,250,032
Spain................................ 1,761,885 49,819,858 -- 51,581,743
Sweden............................... 343,373 72,724,402 -- 73,067,775
Switzerland.......................... 11,323,848 148,039,554 -- 159,363,402
United Kingdom....................... 59,584,175 350,966,327 -- 410,550,502
United States........................ 1,210,449 11,864 -- 1,222,313
Preferred Stocks
Germany.............................. -- 14,235,633 -- 14,235,633
United Kingdom....................... -- 11,631 -- 11,631
Rights/Warrants
Canada............................... -- 63,937 -- 63,937
Hong Kong............................ -- 823 -- 823
Sweden............................... -- 42,548 -- 42,548
Switzerland.......................... -- 5,005 -- 5,005
Securities Lending Collateral........... -- 171,701,017 -- 171,701,017
------------ -------------- -- --------------
TOTAL................................... $341,343,049 $2,397,199,425 -- $2,738,542,474
============ ============== == ==============
See accompanying Notes to Financial Statements.
73
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (93.1%)
AUSTRALIA -- (5.8%)
BHP Group, Ltd.......................... 193,864 $ 5,130,096 1.2%
CSL, Ltd................................ 22,583 3,167,532 0.7%
Other Securities........................ 18,500,807 4.2%
----------- ---
TOTAL AUSTRALIA............................. 26,798,435 6.1%
----------- ---
AUSTRIA -- (0.2%)
Other Securities........................ 786,232 0.2%
----------- ---
BELGIUM -- (1.0%)
# Anheuser-Busch InBev SA................. 30,001 2,667,303 0.6%
Other Securities........................ 2,171,214 0.5%
----------- ---
TOTAL BELGIUM............................... 4,838,517 1.1%
----------- ---
CANADA -- (8.1%)
Canadian National Railway Co............ 34,801 3,228,837 0.7%
Magna International, Inc................ 35,924 1,998,811 0.5%
Royal Bank of Canada.................... 34,564 2,754,405 0.6%
Other Securities........................ 29,599,791 6.8%
----------- ---
TOTAL CANADA................................ 37,581,844 8.6%
----------- ---
DENMARK -- (1.4%)
Novo Nordisk A.S., Class B.............. 112,830 5,528,054 1.2%
Other Securities........................ 1,191,149 0.3%
----------- ---
TOTAL DENMARK............................... 6,719,203 1.5%
----------- ---
FINLAND -- (0.9%)
Other Securities........................ 4,239,688 1.0%
----------- ---
FRANCE -- (9.4%)
Airbus SE............................... 27,556 3,773,234 0.9%
Cie Generale des Etablissements
Michelin SCA.......................... 20,502 2,651,124 0.6%
Danone SA............................... 29,506 2,386,373 0.5%
# Kering SA............................... 3,989 2,360,508 0.5%
Legrand SA.............................. 27,507 2,023,219 0.5%
# LVMH Moet Hennessy Louis Vuitton SE..... 16,314 6,405,155 1.5%
Orange SA............................... 135,207 2,113,090 0.5%
# Vinci SA................................ 29,561 2,985,551 0.7%
Other Securities........................ 18,756,744 4.2%
----------- ---
TOTAL FRANCE................................ 43,454,998 9.9%
----------- ---
GERMANY -- (6.9%)
Adidas AG............................... 9,039 2,328,338 0.5%
BASF SE................................. 46,056 3,760,055 0.9%
Deutsche Boerse AG...................... 15,758 2,105,621 0.5%
Deutsche Post AG........................ 59,452 2,066,577 0.5%
Deutsche Telekom AG..................... 208,363 3,491,101 0.8%
E.ON SE................................. 236,568 2,543,514 0.6%
Infineon Technologies AG................ 103,951 2,464,220 0.6%
74
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
GERMANY -- (Continued)
Other Securities....................... $13,212,213 2.9%
----------- ----
TOTAL GERMANY.............................. 31,971,639 7.3%
----------- ----
HONG KONG -- (2.9%)
Hong Kong Exchanges & Clearing, Ltd.... 63,435 2,203,656 0.5%
Other Securities....................... 11,284,908 2.6%
----------- ----
TOTAL HONG KONG............................ 13,488,564 3.1%
----------- ----
IRELAND -- (0.4%)
Other Securities....................... 1,919,748 0.4%
----------- ----
ISRAEL -- (0.4%)
Other Securities....................... 1,758,648 0.4%
----------- ----
ITALY -- (1.9%)
Eni SpA................................ 117,209 1,997,375 0.5%
Other Securities....................... 6,826,675 1.5%
----------- ----
TOTAL ITALY................................ 8,824,050 2.0%
----------- ----
JAPAN -- (21.0%)
KDDI Corp.............................. 133,900 3,086,066 0.7%
SoftBank Group Corp.................... 57,500 6,096,801 1.4%
Sony Corp.............................. 87,200 4,392,098 1.0%
Other Securities....................... 83,748,249 19.1%
----------- ----
TOTAL JAPAN................................ 97,323,214 22.2%
----------- ----
NETHERLANDS -- (3.0%)
# ASML Holding NV........................ 9,811 2,048,643 0.5%
Unilever NV............................ 78,582 4,754,997 1.1%
Wolters Kluwer NV...................... 31,955 2,230,378 0.5%
Other Securities....................... 4,826,671 1.1%
----------- ----
TOTAL NETHERLANDS.......................... 13,860,689 3.2%
----------- ----
NEW ZEALAND -- (0.2%)
Other Securities....................... 1,069,995 0.2%
----------- ----
NORWAY -- (0.8%)
Equinor ASA............................ 95,318 2,124,793 0.5%
Other Securities....................... 1,739,230 0.4%
----------- ----
TOTAL NORWAY............................... 3,864,023 0.9%
----------- ----
PORTUGAL -- (0.1%)
Other Security......................... 394,376 0.1%
----------- ----
SINGAPORE -- (1.0%)
Other Securities....................... 4,835,433 1.1%
----------- ----
SPAIN -- (2.8%)
Telefonica SA.......................... 353,217 2,944,894 0.7%
Other Securities....................... 10,256,295 2.3%
----------- ----
TOTAL SPAIN................................ 13,201,189 3.0%
----------- ----
75
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
SWEDEN -- (2.5%)
Other Securities........................ $ 11,380,969 2.6%
------------ -----
SWITZERLAND -- (7.5%)
ABB, Ltd................................ 124,551 2,561,853 0.6%
Givaudan SA............................. 1,064 2,755,020 0.6%
Nestle SA............................... 53,459 5,146,904 1.2%
Roche Holding AG........................ 46,633 12,304,737 2.8%
Other Securities........................ 12,116,086 2.7%
------------ -----
TOTAL SWITZERLAND............................. 34,884,600 7.9%
------------ -----
UNITED KINGDOM -- (14.9%)
# AstraZeneca P.L.C., Sponsored ADR....... 143,050 5,387,263 1.2%
BAE Systems P.L.C....................... 380,128 2,443,189 0.6%
BHP Group P.L.C......................... 131,628 3,107,021 0.7%
BT Group P.L.C.......................... 1,117,363 3,334,226 0.8%
Diageo P.L.C., Sponsored ADR............ 31,343 5,285,683 1.2%
Experian P.L.C.......................... 99,104 2,884,809 0.7%
Ferguson P.L.C.......................... 29,833 2,123,107 0.5%
GlaxoSmithKline P.L.C., Sponsored ADR... 110,184 4,531,868 1.0%
Rio Tinto P.L.C., Sponsored ADR......... 58,717 3,458,431 0.8%
SSE P.L.C............................... 137,330 2,054,817 0.5%
Unilever P.L.C., Sponsored ADR.......... 57,860 3,517,888 0.8%
Other Securities........................ 30,816,173 6.9%
------------ -----
TOTAL UNITED KINGDOM.......................... 68,944,475 15.7%
------------ -----
TOTAL COMMON STOCKS........................... 432,140,529 98.5%
------------ -----
PREFERRED STOCKS -- (0.8%)
GERMANY -- (0.8%)
Volkswagen AG........................... 13,688 2,389,953 0.5%
Other Securities........................ 1,118,059 0.3%
------------ -----
TOTAL GERMANY................................. 3,508,012 0.8%
------------ -----
UNITED KINGDOM -- (0.0%)
Other Security.......................... 13,814 0.0%
------------ -----
TOTAL PREFERRED STOCKS........................ 3,521,826 0.8%
------------ -----
TOTAL INVESTMENT SECURITIES................... 435,662,355
------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (6.1%)
@(S) The DFA Short Term Investment Fund...... 2,456,957 28,429,451 6.5%
------------ -----
TOTAL INVESTMENTS--(100.0%)
(Cost $453,336,694)....................... $464,091,806 105.8%
============ =====
76
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2019, 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................................. -- $ 26,798,435 -- $ 26,798,435
Austria................................... -- 786,232 -- 786,232
Belgium................................... -- 4,838,517 -- 4,838,517
Canada.................................... $37,581,844 -- -- 37,581,844
Denmark................................... -- 6,719,203 -- 6,719,203
Finland................................... -- 4,239,688 -- 4,239,688
France.................................... -- 43,454,998 -- 43,454,998
Germany................................... -- 31,971,639 -- 31,971,639
Hong Kong................................. -- 13,488,564 -- 13,488,564
Ireland................................... 72,785 1,846,963 -- 1,919,748
Israel.................................... 475,162 1,283,486 -- 1,758,648
Italy..................................... 1,066,611 7,757,439 -- 8,824,050
Japan..................................... -- 97,323,214 -- 97,323,214
Netherlands............................... 5,358,487 8,502,202 -- 13,860,689
New Zealand............................... -- 1,069,995 -- 1,069,995
Norway.................................... -- 3,864,023 -- 3,864,023
Portugal.................................. -- 394,376 -- 394,376
Singapore................................. -- 4,835,433 -- 4,835,433
Spain..................................... -- 13,201,189 -- 13,201,189
Sweden.................................... -- 11,380,969 -- 11,380,969
Switzerland............................... 35,390 34,849,210 -- 34,884,600
United Kingdom............................ 23,379,473 45,565,002 -- 68,944,475
Preferred Stocks
Germany................................... -- 3,508,012 -- 3,508,012
United Kingdom............................ -- 13,814 -- 13,814
Securities Lending Collateral................ -- 28,429,451 -- 28,429,451
----------- ------------ -- ------------
TOTAL........................................ $67,969,752 $396,122,054 -- $464,091,806
=========== ============ == ============
See accompanying Notes to Financial Statements.
77
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company.......................... $181,089,000
Investment in Dimensional Emerging Markets Value Fund........ 75,229,703
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc....................... 1,380,166 25,795,301
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $264,095,856)......................................... $282,114,004
============
Summary of the Portfolio's investments as of April 30, 2019, 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........... $282,114,004 -- -- $282,114,004
------------ -- -- ------------
TOTAL..................................... $282,114,004 -- -- $282,114,004
============ == == ============
See accompanying Notes to Financial Statements.
78
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (99.1%)
AUSTRALIA -- (5.3%)
BlueScope Steel, Ltd.................... 117,966 $ 1,121,006 0.2%
Boral, Ltd.............................. 337,513 1,155,523 0.2%
Incitec Pivot, Ltd...................... 464,128 1,102,956 0.2%
Other Securities........................ 25,866,726 4.7%
----------- ---
TOTAL AUSTRALIA............................. 29,246,211 5.3%
----------- ---
AUSTRIA -- (0.6%)
Raiffeisen Bank International AG........ 43,878 1,170,325 0.2%
Other Securities........................ 2,284,689 0.4%
----------- ---
TOTAL AUSTRIA............................... 3,455,014 0.6%
----------- ---
BELGIUM -- (1.1%)
Ageas................................... 35,582 1,880,346 0.4%
Other Securities........................ 4,033,830 0.7%
----------- ---
TOTAL BELGIUM............................... 5,914,176 1.1%
----------- ---
BRAZIL -- (1.8%)
Other Securities........................ 9,795,246 1.8%
----------- ---
CANADA -- (6.2%)
* Kinross Gold Corp....................... 413,553 1,315,023 0.2%
Lundin Mining Corp...................... 216,814 1,163,613 0.2%
Tourmaline Oil Corp..................... 83,893 1,254,293 0.2%
Other Securities........................ 30,594,535 5.6%
----------- ---
TOTAL CANADA................................ 34,327,464 6.2%
----------- ---
CHILE -- (0.2%)
Other Securities........................ 1,228,505 0.2%
----------- ---
CHINA -- (6.9%)
Other Securities........................ 37,837,811 6.8%
----------- ---
COLOMBIA -- (0.1%)
Other Securities........................ 530,455 0.1%
----------- ---
DENMARK -- (1.5%)
ISS A.S................................. 34,088 1,061,555 0.2%
Other Securities........................ 7,192,246 1.3%
----------- ---
TOTAL DENMARK............................... 8,253,801 1.5%
----------- ---
FINLAND -- (1.6%)
Huhtamaki Oyj........................... 30,631 1,171,365 0.2%
Other Securities........................ 7,738,337 1.4%
----------- ---
TOTAL FINLAND............................... 8,909,702 1.6%
----------- ---
FRANCE -- (4.2%)
Arkema SA............................... 18,073 1,855,674 0.3%
79
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
FRANCE -- (Continued)
Rexel SA................................ 88,383 $ 1,188,212 0.2%
SCOR SE................................. 47,204 1,927,084 0.4%
Valeo SA................................ 44,231 1,608,802 0.3%
Other Securities........................ 16,638,567 3.0%
----------- ----
TOTAL FRANCE................................ 23,218,339 4.2%
----------- ----
GERMANY -- (5.6%)
* Commerzbank AG.......................... 311,524 2,807,888 0.5%
Covestro AG............................. 26,810 1,473,145 0.3%
Fraport AG Frankfurt Airport Services
Worldwide............................. 12,970 1,079,689 0.2%
GEA Group AG............................ 45,578 1,276,990 0.2%
K+S AG.................................. 59,745 1,216,550 0.2%
KION Group AG........................... 19,993 1,375,371 0.3%
Rheinmetall AG.......................... 12,040 1,387,345 0.3%
RWE AG.................................. 51,929 1,331,981 0.2%
Other Securities........................ 18,669,126 3.3%
----------- ----
TOTAL GERMANY............................... 30,618,085 5.5%
----------- ----
GREECE -- (0.0%)
Other Securities........................ 92,714 0.0%
----------- ----
HONG KONG -- (2.0%)
Other Securities........................ 10,860,128 1.9%
----------- ----
INDIA -- (2.7%)
Other Securities........................ 14,806,923 2.7%
----------- ----
INDONESIA -- (0.6%)
Other Securities........................ 3,229,386 0.6%
----------- ----
IRELAND -- (0.8%)
Bank of Ireland Group P.L.C............. 376,009 2,403,640 0.4%
Other Securities........................ 1,723,480 0.3%
----------- ----
TOTAL IRELAND............................... 4,127,120 0.7%
----------- ----
ISRAEL -- (0.5%)
Other Securities........................ 2,681,922 0.5%
----------- ----
ITALY -- (2.7%)
* Banco BPM SpA........................... 469,718 1,118,173 0.2%
Mediobanca Banca di Credito Finanziario
SpA................................... 181,748 1,926,402 0.4%
Other Securities........................ 11,742,143 2.1%
----------- ----
TOTAL ITALY................................. 14,786,718 2.7%
----------- ----
JAPAN -- (17.8%)
Other Securities........................ 98,114,421 17.7%
----------- ----
MALAYSIA -- (0.8%)
Other Securities........................ 4,656,785 0.8%
----------- ----
MEXICO -- (0.8%)
Other Securities........................ 4,195,121 0.7%
----------- ----
80
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
NETHERLANDS -- (1.8%)
ASR Nederland NV........................ 44,759 $ 1,991,509 0.4%
Randstad NV............................. 32,096 1,835,610 0.3%
Other Securities........................ 5,990,083 1.1%
----------- ---
TOTAL NETHERLANDS........................... 9,817,202 1.8%
----------- ---
NEW ZEALAND -- (0.4%)
Other Securities........................ 2,177,834 0.4%
----------- ---
NORWAY -- (0.9%)
Other Securities........................ 4,988,111 0.9%
----------- ---
PHILIPPINES -- (0.3%)
Other Securities........................ 1,750,444 0.3%
----------- ---
POLAND -- (0.4%)
Other Securities........................ 2,326,670 0.4%
----------- ---
PORTUGAL -- (0.3%)
Other Securities........................ 1,583,684 0.3%
----------- ---
RUSSIA -- (0.2%)
Other Securities........................ 1,093,642 0.2%
----------- ---
SINGAPORE -- (0.7%)
Other Securities........................ 3,699,849 0.7%
----------- ---
SOUTH AFRICA -- (1.6%)
Other Securities........................ 9,074,674 1.6%
----------- ---
SOUTH KOREA -- (4.4%)
Other Securities........................ 23,979,637 4.3%
----------- ---
SPAIN -- (2.0%)
Banco de Sabadell SA.................... 940,647 1,095,228 0.2%
Siemens Gamesa Renewable Energy SA...... 70,530 1,266,751 0.2%
Other Securities........................ 8,623,004 1.6%
----------- ---
TOTAL SPAIN................................. 10,984,983 2.0%
----------- ---
SWEDEN -- (2.1%)
Other Securities........................ 11,721,413 2.1%
----------- ---
SWITZERLAND -- (3.0%)
Adecco Group AG......................... 41,835 2,403,545 0.5%
Baloise Holding AG...................... 14,564 2,496,871 0.5%
Other Securities........................ 11,704,356 2.0%
----------- ---
TOTAL SWITZERLAND........................... 16,604,772 3.0%
----------- ---
TAIWAN -- (4.0%)
Other Securities........................ 22,189,449 4.0%
----------- ---
THAILAND -- (0.8%)
Other Securities........................ 4,267,816 0.8%
----------- ---
81
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
TURKEY -- (0.2%)
Other Securities........................ $ 1,131,716 0.2%
------------ ----
UNITED KINGDOM -- (12.2%)
Banco Esprito Santa S.A................. 70,105 1,777,083 0.3%
Barratt Developments P.L.C.............. 315,818 2,484,490 0.5%
Bellway P.L.C........................... 39,175 1,590,796 0.3%
Berkeley Group Holdings P.L.C........... 30,006 1,471,993 0.3%
Cineworld Group P.L.C................... 257,540 1,068,714 0.2%
Direct Line Insurance Group P.L.C....... 396,236 1,705,023 0.3%
DS Smith P.L.C.......................... 325,866 1,522,007 0.3%
Investec P.L.C.......................... 211,733 1,343,764 0.2%
John Wood Group P.L.C................... 173,764 1,065,305 0.2%
Kingfisher P.L.C........................ 558,682 1,926,440 0.4%
Phoenix Group Holdings P.L.C............ 129,773 1,226,672 0.2%
RSA Insurance Group P.L.C............... 159,774 1,132,655 0.2%
Tate & Lyle P.L.C....................... 109,620 1,098,697 0.2%
Taylor Wimpey P.L.C..................... 951,078 2,254,822 0.4%
Travis Perkins P.L.C.................... 79,648 1,453,316 0.3%
Tullow Oil P.L.C........................ 435,039 1,275,588 0.2%
Wm Morrison Supermarkets P.L.C.......... 712,962 2,009,570 0.4%
Other Securities........................ 40,478,083 7.2%
------------ ----
TOTAL UNITED KINGDOM.......................... 66,885,018 12.1%
------------ ----
UNITED STATES -- (0.0%)
Other Security.......................... 137 0.0%
------------ ----
TOTAL COMMON STOCKS........................... 545,163,098 98.3%
------------ ----
PREFERRED STOCKS -- (0.5%)
BRAZIL -- (0.3%)
Other Securities........................ 1,962,639 0.4%
------------ ----
COLOMBIA -- (0.0%)
Other Security.......................... 47,914 0.0%
------------ ----
GERMANY -- (0.2%)
Other Securities........................ 1,038,446 0.2%
------------ ----
TOTAL PREFERRED STOCKS........................ 3,048,999 0.6%
------------ ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................ 26,292 0.0%
------------ ----
TOTAL INVESTMENT SECURITIES................... 548,238,389
------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (0.4%)
@(S) The DFA Short Term Investment Fund...... 167,260 1,935,363 0.3%
------------ ----
TOTAL INVESTMENTS--(100.0%)
(Cost $545,413,063)....................... $550,173,752 99.2%
============ ====
82
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2019, 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............................ -- $ 29,246,211 -- $ 29,246,211
Austria.............................. -- 3,455,014 -- 3,455,014
Belgium.............................. -- 5,914,176 -- 5,914,176
Brazil............................... $ 9,795,246 -- -- 9,795,246
Canada............................... 33,965,112 362,352 -- 34,327,464
Chile................................ 1,228,505 -- -- 1,228,505
China................................ 2,791,086 35,046,725 -- 37,837,811
Colombia............................. 530,455 -- -- 530,455
Denmark.............................. -- 8,253,801 -- 8,253,801
Finland.............................. -- 8,909,702 -- 8,909,702
France............................... -- 23,218,339 -- 23,218,339
Germany.............................. -- 30,618,085 -- 30,618,085
Greece............................... -- 92,714 -- 92,714
Hong Kong............................ 3,941 10,856,187 -- 10,860,128
India................................ 120,339 14,686,584 -- 14,806,923
Indonesia............................ -- 3,229,386 -- 3,229,386
Ireland.............................. -- 4,127,120 -- 4,127,120
Israel............................... -- 2,681,922 -- 2,681,922
Italy................................ -- 14,786,718 -- 14,786,718
Japan................................ -- 98,114,421 -- 98,114,421
Malaysia............................. -- 4,656,785 -- 4,656,785
Mexico............................... 4,195,121 -- -- 4,195,121
Netherlands.......................... -- 9,817,202 -- 9,817,202
New Zealand.......................... -- 2,177,834 -- 2,177,834
Norway............................... -- 4,988,111 -- 4,988,111
Philippines.......................... -- 1,750,444 -- 1,750,444
Poland............................... -- 2,326,670 -- 2,326,670
Portugal............................. -- 1,583,684 -- 1,583,684
Russia............................... 878,603 215,039 -- 1,093,642
Singapore............................ -- 3,699,849 -- 3,699,849
South Africa......................... 510,325 8,564,349 -- 9,074,674
South Korea.......................... -- 23,979,637 -- 23,979,637
Spain................................ -- 10,984,983 -- 10,984,983
Sweden............................... 78,402 11,643,011 -- 11,721,413
Switzerland.......................... -- 16,604,772 -- 16,604,772
Taiwan............................... -- 22,189,449 -- 22,189,449
Thailand............................. 4,264,646 3,170 -- 4,267,816
Turkey............................... -- 1,131,716 -- 1,131,716
United Kingdom....................... -- 66,885,018 -- 66,885,018
United States........................ -- 137 -- 137
Preferred Stocks
Brazil............................... 1,962,639 -- -- 1,962,639
Colombia............................. 47,914 -- -- 47,914
Germany.............................. -- 1,038,446 -- 1,038,446
Rights/Warrants
Brazil............................... -- 656 -- 656
Canada............................... -- 12,692 -- 12,692
Hong Kong............................ -- 337 -- 337
South Korea.......................... -- 12,607 -- 12,607
Securities Lending Collateral........... -- 1,935,363 -- 1,935,363
----------- ------------ -- ------------
TOTAL................................... $60,372,334 $489,801,418 -- $550,173,752
=========== ============ == ============
See accompanying Notes to Financial Statements.
83
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (94.1%)
AUSTRALIA -- (4.4%)
BHP Group, Ltd............................... 487,213 $ 12,892,798 0.4%
# Commonwealth Bank of Australia............... 139,804 7,347,429 0.2%
# Westpac Banking Corp......................... 334,539 6,498,888 0.2%
Other Securities............................. 139,231,490 3.8%
------------ ---
TOTAL AUSTRALIA.................................. 165,970,605 4.6%
------------ ---
AUSTRIA -- (0.4%)
Other Securities............................. 16,228,525 0.5%
------------ ---
BELGIUM -- (0.8%)
Other Securities............................. 30,957,542 0.9%
------------ ---
BRAZIL -- (1.6%)
Vale SA...................................... 471,732 6,027,332 0.2%
Other Securities............................. 53,716,228 1.4%
------------ ---
TOTAL BRAZIL..................................... 59,743,560 1.6%
------------ ---
CANADA -- (6.1%)
Bank of Montreal............................. 92,353 7,293,116 0.2%
Royal Bank of Canada......................... 91,254 7,272,031 0.2%
Other Securities............................. 218,675,028 6.0%
------------ ---
TOTAL CANADA..................................... 233,240,175 6.4%
------------ ---
CHILE -- (0.3%)
Other Securities............................. 10,406,136 0.3%
------------ ---
CHINA -- (7.9%)
* Alibaba Group Holding, Ltd., Sponsored ADR... 33,127 6,147,377 0.2%
China Construction Bank Corp., Class H....... 12,926,000 11,395,112 0.3%
China Mobile, Ltd............................ 841,000 8,024,319 0.2%
Industrial & Commercial Bank of China, Ltd.,
Class H.................................... 8,084,000 6,080,460 0.2%
Ping An Insurance Group Co. of China, Ltd.,
Class H.................................... 712,000 8,618,516 0.3%
Tencent Holdings, Ltd........................ 307,300 15,146,093 0.4%
Other Securities............................. 242,825,147 6.6%
------------ ---
TOTAL CHINA...................................... 298,237,024 8.2%
------------ ---
COLOMBIA -- (0.1%)
Other Securities............................. 3,434,489 0.1%
------------ ---
CZECH REPUBLIC -- (0.0%)
Other Securities............................. 1,852,898 0.1%
------------ ---
DENMARK -- (1.3%)
Other Securities............................. 48,237,838 1.3%
------------ ---
EGYPT -- (0.0%)
Other Securities............................. 210,815 0.0%
------------ ---
84
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
FINLAND -- (1.1%)
Other Securities........................ $ 42,318,404 1.2%
------------ ---
FRANCE -- (5.7%)
# LVMH Moet Hennessy Louis Vuitton SE..... 19,797 7,772,641 0.2%
Orange SA............................... 390,196 6,098,198 0.2%
# Peugeot SA.............................. 282,821 7,415,249 0.2%
# Sanofi.................................. 72,266 6,305,156 0.2%
# Total SA................................ 269,003 14,954,081 0.4%
Other Securities........................ 172,813,723 4.7%
------------ ---
TOTAL FRANCE................................ 215,359,048 5.9%
------------ ---
GERMANY -- (5.0%)
Allianz SE.............................. 31,191 7,539,305 0.2%
BASF SE................................. 138,625 11,317,475 0.3%
Bayerische Motoren Werke AG............. 76,817 6,553,137 0.2%
Daimler AG.............................. 174,048 11,423,810 0.3%
Deutsche Telekom AG..................... 609,489 10,211,927 0.3%
Other Securities........................ 144,047,572 4.0%
------------ ---
TOTAL GERMANY............................... 191,093,226 5.3%
------------ ---
GREECE -- (0.0%)
Other Securities........................ 666,287 0.0%
------------ ---
HONG KONG -- (2.2%)
AIA Group, Ltd.......................... 1,173,600 12,017,002 0.4%
Other Securities........................ 69,815,093 1.9%
------------ ---
TOTAL HONG KONG............................. 81,832,095 2.3%
------------ ---
HUNGARY -- (0.1%)
Other Securities........................ 3,593,032 0.1%
------------ ---
INDIA -- (2.7%)
Reliance Industries, Ltd................ 296,998 5,948,406 0.2%
Other Securities........................ 95,762,390 2.6%
------------ ---
TOTAL INDIA................................. 101,710,796 2.8%
------------ ---
INDONESIA -- (0.6%)
Other Securities........................ 20,939,175 0.6%
------------ ---
IRELAND -- (0.5%)
Other Securities........................ 18,938,285 0.5%
------------ ---
ISRAEL -- (0.5%)
Other Securities........................ 19,173,205 0.5%
------------ ---
ITALY -- (2.1%)
Enel SpA................................ 1,025,364 6,492,772 0.2%
Eni SpA................................. 378,555 6,451,008 0.2%
Other Securities........................ 66,079,696 1.8%
------------ ---
TOTAL ITALY................................. 79,023,476 2.2%
------------ ---
85
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
JAPAN -- (15.6%)
Honda Motor Co., Ltd.................... 259,300 $ 7,235,230 0.2%
SoftBank Group Corp..................... 97,372 10,324,482 0.3%
Toyota Motor Corp....................... 287,188 17,779,936 0.5%
Other Securities........................ 557,881,499 15.3%
------------ ----
TOTAL JAPAN................................. 593,221,147 16.3%
------------ ----
MALAYSIA -- (0.6%)
Other Securities........................ 22,311,895 0.6%
------------ ----
MEXICO -- (0.7%)
Other Securities........................ 27,144,120 0.8%
------------ ----
NETHERLANDS -- (1.8%)
Other Securities........................ 70,278,121 1.9%
------------ ----
NEW ZEALAND -- (0.3%)
Other Securities........................ 11,709,084 0.3%
------------ ----
NORWAY -- (0.7%)
Other Securities........................ 25,921,324 0.7%
------------ ----
PERU -- (0.0%)
Other Securities........................ 516,631 0.0%
------------ ----
PHILIPPINES -- (0.3%)
Other Securities........................ 10,771,560 0.3%
------------ ----
POLAND -- (0.3%)
Other Securities........................ 11,909,148 0.3%
------------ ----
PORTUGAL -- (0.2%)
Other Securities........................ 6,515,495 0.2%
------------ ----
RUSSIA -- (0.3%)
Other Securities........................ 10,649,081 0.3%
------------ ----
SINGAPORE -- (0.7%)
Other Securities........................ 27,881,229 0.8%
------------ ----
SOUTH AFRICA -- (1.8%)
Other Securities........................ 69,152,041 1.9%
------------ ----
SOUTH KOREA -- (3.7%)
Samsung Electronics Co., Ltd............ 589,596 23,181,272 0.7%
SK Hynix, Inc........................... 96,784 6,549,448 0.2%
Other Securities........................ 110,792,141 3.0%
------------ ----
TOTAL SOUTH KOREA........................... 140,522,861 3.9%
------------ ----
SPAIN -- (1.7%)
# Banco Santander SA...................... 1,662,997 8,430,356 0.2%
Iberdrola S.A........................... 704,062 6,398,087 0.2%
Other Securities........................ 50,029,086 1.4%
------------ ----
TOTAL SPAIN................................. 64,857,529 1.8%
------------ ----
86
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
SWEDEN -- (1.9%)
Other Securities........................ $ 72,586,602 2.0%
-------------- ----
SWITZERLAND -- (4.3%)
ABB, Ltd................................ 294,037 6,047,962 0.2%
Nestle SA............................... 222,893 21,459,604 0.6%
Novartis AG............................. 132,989 10,897,127 0.3%
Roche Holding AG........................ 43,545 11,489,927 0.3%
Other Securities........................ 113,772,128 3.1%
-------------- ----
TOTAL SWITZERLAND........................... 163,666,748 4.5%
-------------- ----
TAIWAN -- (3.8%)
Other Securities........................ 144,026,769 4.0%
-------------- ----
THAILAND -- (0.7%)
Other Securities........................ 26,016,746 0.7%
-------------- ----
TURKEY -- (0.2%)
Other Securities........................ 7,581,942 0.2%
-------------- ----
UNITED KINGDOM -- (11.1%)
Anglo American P.L.C.................... 412,690 10,709,181 0.3%
BP P.L.C., Sponsored ADR................ 472,008 20,640,910 0.6%
British American Tobacco P.L.C.......... 161,622 6,327,327 0.2%
Glencore P.L.C.......................... 1,708,314 6,777,835 0.2%
# HSBC Holdings P.L.C., Sponsored ADR..... 351,872 15,331,063 0.4%
Legal & General Group P.L.C............. 1,662,435 6,045,494 0.2%
# Rio Tinto P.L.C., Sponsored ADR......... 172,914 10,184,635 0.3%
Royal Dutch Shell P.L.C., Sponsored
ADR, Class A.......................... 161,107 10,235,128 0.3%
Royal Dutch Shell P.L.C., Sponsored
ADR, Class B.......................... 124,657 8,088,993 0.2%
Vodafone Group P.L.C.................... 3,422,553 6,348,404 0.2%
Other Securities........................ 320,769,591 8.7%
-------------- ----
TOTAL UNITED KINGDOM........................ 421,458,561 11.6%
-------------- ----
UNITED STATES -- (0.0%)
Other Securities........................ 1,325,292 0.0%
-------------- ----
TOTAL COMMON STOCKS......................... 3,573,190,562 98.5%
-------------- ----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.5%)
Other Securities........................ 16,537,223 0.5%
-------------- ----
CHILE -- (0.0%)
Other Securities........................ 346,759 0.0%
-------------- ----
COLOMBIA -- (0.0%)
Other Securities........................ 660,459 0.0%
-------------- ----
GERMANY -- (0.4%)
Volkswagen AG........................... 43,057 7,517,842 0.2%
Other Securities........................ 8,316,117 0.2%
-------------- ----
TOTAL GERMANY............................... 15,833,959 0.4%
-------------- ----
87
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SOUTH KOREA -- (0.0%)
Other Security.......................... $ 33,084 0.0%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Security.......................... 20,289 0.0%
-------------- -----
TOTAL PREFERRED STOCKS........................ 33,431,773 0.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................ 218,100 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES................... 3,606,840,435
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (5.0%)
@(S) The DFA Short Term Investment Fund...... 16,397,197 189,731,965 5.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,595,775,532)....................... $3,796,572,400 104.6%
============== =====
Summary of the Portfolio's investments as of April 30, 2019, 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.............................................. $ 1,053,786 $164,916,819 -- $165,970,605
Austria................................................ -- 16,228,525 -- 16,228,525
Belgium................................................ 119,594 30,837,948 -- 30,957,542
Brazil................................................. 59,743,560 -- -- 59,743,560
Canada................................................. 232,989,193 250,982 -- 233,240,175
Chile.................................................. 10,406,136 -- -- 10,406,136
China.................................................. 31,483,117 266,753,907 -- 298,237,024
Colombia............................................... 3,434,489 -- -- 3,434,489
Czech Republic......................................... -- 1,852,898 -- 1,852,898
Denmark................................................ 408,385 47,829,453 -- 48,237,838
Egypt.................................................. 63,379 147,436 -- 210,815
Finland................................................ 209,454 42,108,950 -- 42,318,404
France................................................. 1,309,553 214,049,495 -- 215,359,048
Germany................................................ 1,677,961 189,415,265 -- 191,093,226
Greece................................................. -- 666,287 -- 666,287
Hong Kong.............................................. 98,923 81,733,172 -- 81,832,095
Hungary................................................ -- 3,593,032 -- 3,593,032
India.................................................. 1,363,590 100,347,206 -- 101,710,796
Indonesia.............................................. 160,500 20,778,675 -- 20,939,175
Ireland................................................ 5,723,125 13,215,160 -- 18,938,285
Israel................................................. 1,025,326 18,147,879 -- 19,173,205
Italy.................................................. 73,767 78,949,709 -- 79,023,476
Japan.................................................. 2,929,046 590,292,101 -- 593,221,147
Malaysia............................................... -- 22,311,895 -- 22,311,895
Mexico................................................. 27,143,885 235 -- 27,144,120
Netherlands............................................ 9,436,509 60,841,612 -- 70,278,121
New Zealand............................................ -- 11,709,084 -- 11,709,084
Norway................................................. 267,420 25,653,904 -- 25,921,324
Peru................................................... 516,489 142 -- 516,631
88
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Philippines.......................... $ 169,925 $ 10,601,635 -- $ 10,771,560
Poland............................... -- 11,909,148 -- 11,909,148
Portugal............................. -- 6,515,495 -- 6,515,495
Russia............................... 5,224,716 5,424,365 -- 10,649,081
Singapore............................ -- 27,881,229 -- 27,881,229
South Africa......................... 4,831,627 64,320,414 -- 69,152,041
South Korea.......................... 1,979,732 138,543,129 -- 140,522,861
Spain................................ 381,240 64,476,289 -- 64,857,529
Sweden............................... 154,301 72,432,301 -- 72,586,602
Switzerland.......................... 5,131,151 158,535,597 -- 163,666,748
Taiwan............................... 6,094,510 137,932,259 -- 144,026,769
Thailand............................. 26,014,291 2,455 -- 26,016,746
Turkey............................... 12,528 7,569,414 -- 7,581,942
United Kingdom....................... 97,449,017 324,009,544 -- 421,458,561
United States........................ 1,325,165 127 -- 1,325,292
Preferred Stocks
Brazil............................... 16,537,223 -- -- 16,537,223
Chile................................ 346,759 -- -- 346,759
Colombia............................. 660,459 -- -- 660,459
Germany.............................. -- 15,833,959 -- 15,833,959
South Korea.......................... -- 33,084 -- 33,084
United Kingdom....................... -- 20,289 -- 20,289
Rights/Warrants
Brazil............................... -- 1,259 -- 1,259
Canada............................... -- 16,967 -- 16,967
Hong Kong............................ -- 306 -- 306
India................................ -- 137,647 -- 137,647
Indonesia............................ -- 14,958 -- 14,958
South Korea.......................... -- 36,287 -- 36,287
Sweden............................... -- 4,444 -- 4,444
Switzerland.......................... -- 6,232 -- 6,232
Securities Lending Collateral........... -- 189,731,965 -- 189,731,965
------------ -------------- -- --------------
TOTAL................................... $557,949,831 $3,238,622,569 -- $3,796,572,400
============ ============== == ==============
See accompanying Notes to Financial Statements.
89
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc............................... 19,720,320 $479,400,982
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc............................... 22,601,745 300,151,179
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc............................... 4,868,403 103,015,403
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $767,832,413)................................................. $882,567,564
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund, 2.370%
(Cost $630,323)..................................................... 630,323 630,323
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $768,462,736)................................................. $883,197,887
============
Summary of the Portfolio's investments as of April 30, 2019, 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........................ $882,567,564 -- -- $882,567,564
Temporary Cash Investments............................. 630,323 -- -- 630,323
------------ -- -- ------------
TOTAL.................................................. $883,197,887 -- -- $883,197,887
============ == == ============
See accompanying Notes to Financial Statements.
90
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc........................... 9,143,937 $204,732,749
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc........................... 10,278,887 136,503,620
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc........................... 3,562,894 75,390,838
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $337,134,951)............................................ $416,627,207
============
As of April 30, 2019, 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)
------------------ ------------------ ---------------------------- ---------- -------------
NOK 10,220,433 USD 1,176,629 Citibank, N.A. 05/02/19 $ 8,012
USD 1,188,478 NOK 10,220,433 Citibank, N.A. 05/02/19 3,836
USD 19,949,333 GBP 15,262,707 State Street Bank and Trust 05/09/19 39,280
USD 3,358,486 SEK 31,046,986 Citibank, N.A. 05/13/19 86,695
USD 7,203,382 CHF 7,189,819 State Street Bank and Trust 05/13/19 140,362
USD 13,859,230 HKD 108,641,115 State Street Bank and Trust 05/17/19 7,465
USD 34,438,858 EUR 30,561,928 State Street Bank and Trust 05/24/19 98,170
USD 1,270,456 SGD 1,718,856 Citibank, N.A. 06/04/19 6,013
USD 550,418 NZD 801,731 Citibank, N.A. 06/19/19 14,475
USD 7,596,960 AUD 10,708,124 Citibank, N.A. 06/21/19 39,254
USD 7,373,764 CAD 9,801,730 JP Morgan 07/08/19 44,820
USD 27,687,554 JPY 3,064,591,116 Citibank, N.A. 07/08/19 25,971
--------
TOTAL APPRECIATION $514,353
USD 812,501 ILS 2,946,217 Bank of America Corp. 05/14/19 $ (6,984)
USD 2,150,010 DKK 14,359,041 Citibank, N.A. 06/03/19 (13,575)
USD 1,186,496 NOK 10,291,543 Citibank, N.A. 06/06/19 (8,041)
--------
TOTAL (DEPRECIATION) $(28,600)
--------
TOTAL APPRECIATION
(DEPRECIATION) $485,753
========
As of April 30, 2019, 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............ 87 06/21/19 $12,066,913 $12,825,975 $759,062
----------- ----------- --------
TOTAL FUTURES CONTRACTS............. $12,066,913 $12,825,975 $759,062
=========== =========== ========
91
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2019, 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......... $416,627,207 -- -- $416,627,207
Forward Currency Contracts**............ -- $485,753 -- 485,753
Futures Contracts**..................... 759,062 -- -- 759,062
------------ -------- -- ------------
TOTAL................................... $417,386,269 $485,753 -- $417,872,022
============ ======== == ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
92
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company......................... $6,098,526,672
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $6,098,526,672
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
93
EMERGING MARKETS SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company......................... $7,022,074,961
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $7,022,074,961
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
94
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund....... $18,498,093,245
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $18,498,093,245
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
95
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
COMMON STOCKS -- (95.7%)
BRAZIL -- (7.1%)
Ambev SA, ADR................................ 15,156,098 $ 71,385,222 0.3%
Banco Bradesco SA, ADR....................... 12,110,773 109,723,606 0.4%
Lojas Renner SA.............................. 5,227,997 62,505,037 0.2%
Petroleo Brasileiro SA....................... 17,214,592 131,531,758 0.5%
Vale SA...................................... 19,234,312 245,757,324 0.9%
Other Securities............................. 1,469,084,791 4.9%
-------------- ----
TOTAL BRAZIL..................................... 2,089,987,738 7.2%
-------------- ----
CHILE -- (1.2%)
Other Securities............................. 356,491,668 1.2%
-------------- ----
CHINA -- (17.7%)
* Alibaba Group Holding, Ltd., Sponsored ADR... 1,510,117 280,232,412 1.0%
China Construction Bank Corp., Class H....... 226,157,302 199,372,416 0.7%
China Mobile, Ltd............................ 13,173,000 125,688,886 0.4%
China Mobile, Ltd., Sponsored ADR............ 1,997,961 95,242,801 0.3%
China Overseas Land & Investment, Ltd........ 18,806,033 70,459,660 0.3%
China Resources Land, Ltd.................... 13,684,610 59,598,620 0.2%
CNOOC, Ltd................................... 43,446,000 78,912,425 0.3%
Country Garden Holdings Co., Ltd............. 37,392,660 60,256,645 0.2%
Industrial & Commercial Bank of China, Ltd.,
Class H.................................... 149,722,725 112,615,411 0.4%
NetEase, Inc., ADR........................... 270,176 76,873,177 0.3%
Ping An Insurance Group Co. of China, Ltd.,
Class H.................................... 17,734,000 214,663,987 0.8%
Sunac China Holdings, Ltd.................... 12,410,000 63,956,183 0.2%
Tencent Holdings, Ltd........................ 10,834,800 534,021,752 1.9%
Other Securities............................. 3,219,509,316 10.9%
-------------- ----
TOTAL CHINA...................................... 5,191,403,691 17.9%
-------------- ----
COLOMBIA -- (0.4%)
Other Securities............................. 108,191,436 0.4%
-------------- ----
CZECH REPUBLIC -- (0.2%)
Other Securities............................. 45,615,629 0.2%
-------------- ----
EGYPT -- (0.1%)
Other Securities............................. 18,427,956 0.1%
-------------- ----
GREECE -- (0.2%)
Other Securities............................. 65,058,032 0.2%
-------------- ----
HONG KONG -- (0.0%)
Other Securities............................. 3,312,963 0.0%
-------------- ----
HUNGARY -- (0.4%)
Other Securities............................. 121,380,233 0.4%
-------------- ----
INDIA -- (12.5%)
HCL Technologies, Ltd........................ 3,553,227 60,303,307 0.2%
HDFC Bank, Ltd............................... 2,994,559 99,546,222 0.4%
Housing Development Finance Corp., Ltd....... 3,498,747 100,400,284 0.4%
96
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
INDIA -- (Continued)
Infosys, Ltd...................................... 12,734,298 $ 136,704,354 0.5%
# Infosys, Ltd., Sponsored ADR...................... 7,416,008 79,796,246 0.3%
Reliance Industries, Ltd.......................... 10,635,522 213,012,886 0.8%
Tata Consultancy Services, Ltd.................... 3,896,968 126,439,039 0.5%
Other Securities.................................. 2,847,339,560 9.5%
-------------- ----
TOTAL INDIA........................................... 3,663,541,898 12.6%
-------------- ----
INDONESIA -- (2.8%)
Bank Rakyat Indonesia Persero Tbk PT.............. 281,291,900 86,484,631 0.3%
Other Securities.................................. 725,236,236 2.5%
-------------- ----
TOTAL INDONESIA....................................... 811,720,867 2.8%
-------------- ----
MALAYSIA -- (2.9%)
Public Bank Bhd................................... 11,077,811 60,306,925 0.2%
Other Securities.................................. 789,597,424 2.7%
-------------- ----
TOTAL MALAYSIA........................................ 849,904,349 2.9%
-------------- ----
MEXICO -- (3.1%)
# Grupo Financiero Banorte S.A.B. de C.V............ 11,439,072 72,480,187 0.3%
# Grupo Mexico S.A.B. de C.V., Series B............. 24,442,328 71,749,841 0.3%
Other Securities.................................. 753,283,040 2.5%
-------------- ----
TOTAL MEXICO.......................................... 897,513,068 3.1%
-------------- ----
PERU -- (0.1%)
Other Securities.................................. 41,950,684 0.2%
-------------- ----
PHILIPPINES -- (1.2%)
Other Securities.................................. 353,647,363 1.2%
-------------- ----
POLAND -- (1.4%)
Other Securities.................................. 414,399,091 1.4%
-------------- ----
RUSSIA -- (1.5%)
Other Securities.................................. 445,928,289 1.5%
-------------- ----
SINGAPORE -- (0.0%)
Other Security.................................... 140,464 0.0%
-------------- ----
SOUTH AFRICA -- (6.9%)
Absa Group, Ltd................................... 6,582,879 75,832,611 0.3%
FirstRand, Ltd.................................... 23,983,632 114,138,966 0.4%
# MTN Group, Ltd.................................... 15,515,059 112,408,584 0.4%
Naspers, Ltd., Class N............................ 671,488 172,740,493 0.6%
Sanlam, Ltd....................................... 12,724,133 68,132,425 0.2%
# Sasol, Ltd........................................ 1,932,095 64,099,996 0.2%
Standard Bank Group, Ltd.......................... 8,843,736 123,510,283 0.4%
Other Securities.................................. 1,299,021,116 4.5%
-------------- ----
TOTAL SOUTH AFRICA.................................... 2,029,884,474 7.0%
-------------- ----
SOUTH KOREA -- (16.0%)
LG Chem, Ltd...................................... 230,246 71,423,112 0.3%
LG Electronics, Inc............................... 1,041,982 67,699,706 0.3%
97
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SOUTH KOREA -- (Continued)
# Samsung Electronics Co., Ltd........................... 27,785,408 $ 1,092,444,830 3.8%
SK Hynix, Inc.......................................... 3,409,628 230,732,158 0.8%
Other Securities....................................... 3,223,842,624 11.0%
--------------- -----
TOTAL SOUTH KOREA............................................ 4,686,142,430 16.2%
--------------- -----
TAIWAN -- (15.8%)
Hon Hai Precision Industry Co., Ltd.................... 35,204,403 99,111,950 0.4%
Taiwan Semiconductor Manufacturing Co., Ltd............ 41,147,652 345,476,942 1.2%
Taiwan Semiconductor Manufacturing Co., Ltd.,
Sponsored ADR........................................ 10,778,196 472,300,549 1.7%
Other Securities....................................... 3,711,113,152 12.7%
--------------- -----
TOTAL TAIWAN................................................. 4,628,002,593 16.0%
--------------- -----
THAILAND -- (3.3%)
PTT PCL................................................ 72,022,800 109,980,000 0.4%
Other Securities....................................... 859,270,765 2.9%
--------------- -----
TOTAL THAILAND............................................... 969,250,765 3.3%
--------------- -----
TURKEY -- (0.9%)
Other Securities....................................... 274,213,109 1.0%
--------------- -----
TOTAL COMMON STOCKS.......................................... 28,066,108,790 96.8%
--------------- -----
PREFERRED STOCKS -- (2.1%)
BRAZIL -- (2.0%)
Banco Bradesco SA...................................... 7,287,556 66,127,169 0.2%
Itau Unibanco Holding SA............................... 16,854,817 145,417,985 0.5%
Petroleo Brasileiro SA................................. 24,466,728 169,159,929 0.6%
Other Securities....................................... 196,559,450 0.7%
--------------- -----
TOTAL BRAZIL................................................. 577,264,533 2.0%
--------------- -----
CHILE -- (0.0%)
Other Securities....................................... 8,489,165 0.0%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities....................................... 20,298,523 0.1%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Security......................................... 694,794 0.0%
--------------- -----
TOTAL PREFERRED STOCKS....................................... 606,747,015 2.1%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities....................................... 5,255,525 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES.................................. 28,678,111,330
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.2%)
@(S) The DFA Short Term Investment Fund..................... 55,974,340 647,679,091 2.2%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $25,447,581,911)................................... $29,325,790,421 101.1%
=============== =====
98
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
As of April 30, 2019, Emerging Markets Core Equity Portfolio had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R)..... 650 06/21/19 $ 33,804,530 $ 35,106,500 $ 1,301,970
S&P 500(R) Emini Index............. 1,465 06/21/19 204,127,507 215,977,625 11,850,118
------------ ------------ -----------
TOTAL FUTURES CONTRACTS............ $237,932,037 $251,084,125 $13,152,088
============ ============ ===========
Summary of the Portfolio's investments as of April 30, 2019, 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............................... $2,084,980,898 $ 5,006,840 -- $2,089,987,738
Chile................................ 356,491,668 -- -- 356,491,668
China................................ 909,849,945 4,281,553,746 -- 5,191,403,691
Colombia............................. 108,191,436 -- -- 108,191,436
Czech Republic....................... -- 45,615,629 -- 45,615,629
Egypt................................ 1,613,440 16,814,516 -- 18,427,956
Greece............................... -- 65,058,032 -- 65,058,032
Hong Kong............................ 12,747 3,300,216 -- 3,312,963
Hungary.............................. 274,080 121,106,153 -- 121,380,233
India................................ 151,687,990 3,511,853,908 -- 3,663,541,898
Indonesia............................ 25,590,113 786,130,754 -- 811,720,867
Malaysia............................. -- 849,904,349 -- 849,904,349
Mexico............................... 897,487,028 26,040 -- 897,513,068
Peru................................. 41,948,389 2,295 -- 41,950,684
Philippines.......................... 6,547,479 347,099,884 -- 353,647,363
Poland............................... -- 414,399,091 -- 414,399,091
Russia............................... 129,664,449 316,263,840 -- 445,928,289
Singapore............................ -- 140,464 -- 140,464
South Africa......................... 146,184,465 1,883,700,009 -- 2,029,884,474
South Korea.......................... 112,121,840 4,574,020,590 -- 4,686,142,430
Taiwan............................... 498,944,105 4,129,058,488 -- 4,628,002,593
Thailand............................. 968,994,179 256,586 -- 969,250,765
Turkey............................... 1,521,771 272,691,338 -- 274,213,109
Preferred Stocks
Brazil............................... 577,264,533 -- -- 577,264,533
Chile................................ 8,489,165 -- -- 8,489,165
Colombia............................. 20,298,523 -- -- 20,298,523
South Korea.......................... -- 694,794 -- 694,794
Rights/Warrants
Brazil............................... -- 11,091 -- 11,091
Hong Kong............................ -- 4,145 -- 4,145
India................................ -- 4,339,004 -- 4,339,004
Indonesia............................ -- 257,235 -- 257,235
South Korea.......................... -- 644,050 -- 644,050
99
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- ------- ---------------
Securities Lending Collateral................ -- $ 647,679,091 -- $ 647,679,091
Futures Contracts**.......................... $ 13,152,088 -- -- 13,152,088
-------------- --------------- -- ---------------
TOTAL........................................ $7,061,310,331 $22,277,632,178 -- $29,338,942,509
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
100
EMERGING MARKETS TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (98.1%)
BRAZIL -- (7.5%)
CCR SA....................................... 137,800 $ 410,824 0.4%
Cia Brasileira de Distribuicao............... 18,959 465,633 0.4%
Cielo SA..................................... 190,700 373,512 0.3%
Cosan SA..................................... 30,138 360,248 0.3%
Embraer SA................................... 74,866 374,989 0.3%
Gerdau SA, Sponsored ADR..................... 121,953 436,592 0.4%
Hypera SA.................................... 65,100 466,198 0.4%
Kroton Educacional SA........................ 270,317 672,156 0.6%
Sul America SA............................... 54,300 432,062 0.4%
Other Securities............................. 4,775,695 4.0%
----------- ----
TOTAL BRAZIL..................................... 8,767,909 7.5%
----------- ----
CHILE -- (1.0%)
Other Securities............................. 1,179,562 1.0%
----------- ----
CHINA -- (17.3%)
Beijing Enterprises Water Group, Ltd......... 622,000 385,947 0.3%
China Jinmao Holdings Group, Ltd............. 604,000 391,616 0.3%
China National Building Material Co., Ltd.,
Class H.................................... 444,000 413,238 0.4%
Kunlun Energy Co., Ltd....................... 372,000 393,486 0.3%
#* Semiconductor Manufacturing International
Corp....................................... 345,500 369,930 0.3%
Shimao Property Holdings, Ltd................ 133,000 405,384 0.4%
* Vipshop Holdings, Ltd., ADR.................. 53,520 460,807 0.4%
* YY, Inc., ADR................................ 5,207 440,564 0.4%
Other Securities............................. 17,132,798 14.5%
----------- ----
TOTAL CHINA...................................... 20,393,770 17.3%
----------- ----
COLOMBIA -- (0.4%)
Other Securities............................. 461,529 0.4%
----------- ----
GREECE -- (0.3%)
Other Securities............................. 293,410 0.2%
----------- ----
INDIA -- (11.7%)
Indiabulls Housing Finance, Ltd.............. 34,384 341,799 0.3%
LIC Housing Finance, Ltd..................... 50,638 361,499 0.3%
Lupin, Ltd................................... 30,254 378,981 0.3%
Shriram Transport Finance Co., Ltd........... 25,076 400,206 0.4%
Other Securities............................. 12,321,030 10.4%
----------- ----
TOTAL INDIA...................................... 13,803,515 11.7%
----------- ----
INDONESIA -- (2.9%)
Other Securities............................. 3,456,579 2.9%
----------- ----
MALAYSIA -- (3.1%)
Other Securities............................. 3,614,985 3.1%
----------- ----
MEXICO -- (3.5%)
Alfa S.A.B. de C.V., Class A................. 476,555 480,131 0.4%
101
EMERGING MARKETS TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
MEXICO -- (Continued)
* Cemex S.A.B. de C.V.......................... 1,515,619 $ 701,936 0.6%
Other Securities............................. 2,965,391 2.5%
----------- ----
TOTAL MEXICO..................................... 4,147,458 3.5%
----------- ----
PHILIPPINES -- (1.4%)
Other Securities............................. 1,594,988 1.4%
----------- ----
POLAND -- (1.7%)
Other Securities............................. 1,988,757 1.7%
----------- ----
RUSSIA -- (1.0%)
Other Securities............................. 1,190,475 1.0%
----------- ----
SOUTH AFRICA -- (6.7%)
African Rainbow Minerals, Ltd................ 29,837 355,415 0.3%
Bidvest Group, Ltd. (The).................... 29,884 454,539 0.4%
Exxaro Resources, Ltd........................ 43,210 494,461 0.4%
Gold Fields, Ltd., Sponsored ADR............. 91,296 342,360 0.3%
* Impala Platinum Holdings, Ltd................ 106,402 427,916 0.4%
Sappi, Ltd................................... 74,610 356,268 0.3%
Telkom SA SOC, Ltd........................... 61,152 363,962 0.3%
Other Securities............................. 5,099,648 4.3%
----------- ----
TOTAL SOUTH AFRICA............................... 7,894,569 6.7%
----------- ----
SOUTH KOREA -- (17.1%)
Daelim Industrial Co., Ltd................... 4,669 387,409 0.3%
DB Insurance Co., Ltd........................ 8,076 473,132 0.4%
E-MART, Inc.................................. 3,458 509,993 0.4%
GS Engineering & Construction Corp........... 9,935 345,671 0.3%
GS Holdings Corp............................. 8,154 363,382 0.3%
Hyundai Glovis Co., Ltd...................... 2,953 403,968 0.4%
Korea Investment Holdings Co., Ltd........... 7,037 413,110 0.4%
Mirae Asset Daewoo Co., Ltd.................. 64,437 431,237 0.4%
* Samsung Heavy Industries Co., Ltd............ 71,715 505,815 0.4%
Shinsegae, Inc............................... 1,260 367,164 0.3%
Other Securities............................. 15,874,933 13.5%
----------- ----
TOTAL SOUTH KOREA................................ 20,075,814 17.1%
----------- ----
TAIWAN -- (17.9%)
Acer, Inc.................................... 550,000 373,862 0.3%
Compal Electronics, Inc...................... 690,000 446,025 0.4%
Foxconn Technology Co., Ltd.................. 154,000 345,502 0.3%
Innolux Corp................................. 1,416,000 454,370 0.4%
Lite-On Technology Corp...................... 333,000 469,849 0.4%
Pou Chen Corp................................ 309,000 375,913 0.3%
Wistron Corp................................. 490,000 406,783 0.4%
Other Securities............................. 18,173,934 15.4%
----------- ----
TOTAL TAIWAN..................................... 21,046,238 17.9%
----------- ----
THAILAND -- (3.6%)
Other Securities............................. 4,287,011 3.6%
----------- ----
102
EMERGING MARKETS TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------ ------------------------------- ---------------
TURKEY -- (1.0%)
Other Securities...................... $ 1,129,948 1.0%
------------ -----
TOTAL COMMON STOCKS......................... 115,326,517 98.0%
------------ -----
PREFERRED STOCKS -- (1.3%)
BRAZIL -- (1.3%)
Other Securities...................... 1,531,123 1.3%
------------ -----
COLOMBIA -- (0.0%)
Other Security........................ 31,311 0.1%
------------ -----
SOUTH KOREA -- (0.0%)
Other Security........................ 8,914 0.0%
------------ -----
TOTAL PREFERRED STOCKS...................... 1,571,348 1.4%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities...................... 10,342 0.0%
------------ -----
TOTAL INVESTMENT SECURITIES................. 116,908,207
------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (0.6%)
@(S) The DFA Short Term Investment Fund.... 62,928 728,139 0.6%
------------ -----
TOTAL INVESTMENTS--(100.0%)
(Cost $109,705,747)..................... $117,636,346 100.0%
============ =====
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------- ----------- ------- -----------
Common Stocks
Brazil.................................... $8,767,909 -- -- $ 8,767,909
Chile..................................... 1,179,562 -- -- 1,179,562
China..................................... 1,631,838 $18,761,932 -- 20,393,770
Colombia.................................. 461,529 -- -- 461,529
Greece.................................... -- 293,410 -- 293,410
India..................................... 111,201 13,692,314 -- 13,803,515
Indonesia................................. -- 3,456,579 -- 3,456,579
Malaysia.................................. -- 3,614,985 -- 3,614,985
Mexico.................................... 4,147,458 -- -- 4,147,458
Philippines............................... -- 1,594,988 -- 1,594,988
Poland.................................... -- 1,988,757 -- 1,988,757
Russia.................................... 1,040,439 150,036 -- 1,190,475
South Africa.............................. 634,932 7,259,637 -- 7,894,569
South Korea............................... -- 20,075,814 -- 20,075,814
Taiwan.................................... -- 21,046,238 -- 21,046,238
Thailand.................................. 4,287,011 -- -- 4,287,011
Turkey.................................... -- 1,129,948 -- 1,129,948
Preferred Stocks
Brazil.................................... 1,531,123 -- -- 1,531,123
Colombia.................................. 31,311 -- -- 31,311
South Korea............................... -- 8,914 -- 8,914
103
EMERGING MARKETS TARGETED VALUE PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ----------- ------- ------------
Rights/Warrants
Brazil.................................... -- $ 510 -- $ 510
South Korea............................... -- 9,832 -- 9,832
Securities Lending Collateral................ -- 728,139 -- 728,139
----------- ----------- -- ------------
TOTAL........................................ $23,824,313 $93,812,033 -- $117,636,346
=========== =========== == ============
104
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ENHANCED U.S.
LARGE U.S. LARGE CAP
COMPANY EQUITY U.S. LARGE CAP U.S. TARGETED
PORTFOLIO* PORTFOLIO* VALUE PORTFOLIO VALUE PORTFOLIO*
-------------- -------------- --------------- ----------------
ASSETS:
Investments in Affiliated Investment Companies at Value........ -- -- $ 26,219,622 --
Investments at Value (including $2,365, $53,179, $0 and
$1,738,164 of securities on loan, respectively).............. $ 337,887 $ 1,656,313 -- $ 11,108,891
Temporary Cash Investments at Value & Cost..................... -- 15,733 -- 102,616
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $2,418, $41,104, $0 and
$1,100,205).................................................. 2,418 41,108 -- 1,100,319
Segregated Cash for Futures Contracts.......................... 14,805 -- -- 3,503
Foreign Currencies at Value.................................... 48 -- -- --
Cash........................................................... 6,277 -- -- --
Receivables:
Investment Securities Sold.................................. -- -- -- 7,395
Dividends and Interest...................................... 2,366 1,348 -- 4,496
Securities Lending Income................................... -- 8 -- 328
Fund Shares Sold............................................ 50 571 16,548 5,975
Futures Margin Variation.................................... -- -- -- 155
Unrealized Gain on Forward Currency Contracts.................. 494 -- -- --
Prepaid Expenses and Other Assets.............................. 19 35 211 128
-------------- -------------- -------------- --------------
Total Assets............................................ 364,364 1,715,116 26,236,381 12,333,806
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................ 2,417 41,108 -- 1,100,320
Investment Securities Purchased............................. 566 12,494 -- --
Fund Shares Redeemed........................................ 583 6,444 14,902 12,770
Due to Advisor.............................................. 28 199 3,202 3,197
Futures Margin Variation.................................... 14,146 -- -- --
Unrealized Loss on Forward Currency Contracts.................. 72 -- -- --
Accrued Expenses and Other Liabilities......................... 58 130 739 1,043
-------------- -------------- -------------- --------------
Total Liabilities....................................... 17,870 60,375 18,843 1,117,330
-------------- -------------- -------------- --------------
NET ASSETS..................................................... $ 346,494 $ 1,654,741 $ 26,217,538 $ 11,216,476
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and
$52,278 and shares outstanding of 0, 0, 0 and 2,251,507,
respectively................................................. N/A N/A N/A $ 23.22
============== ============== ============== ==============
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
$90,324 and shares outstanding of 0, 0, 0 and 3,910,792,
respectively................................................. N/A N/A N/A $ 23.10
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................................... N/A N/A N/A 200,000,000
============== ============== ============== ==============
Institutional Class Shares -- based on net assets of $346,494;
$1,654,741; $26,217,538 and $11,073,874 and shares
outstanding of 25,577,406, 91,045,611, 715,380,767 and
476,750,117, respectively.................................... $ 13.55 $ 18.17 $ 36.65 $ 23.23
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................................... 1,000,000,000 1,000,000,000 4,000,000,000 1,500,000,000
============== ============== ============== ==============
Investments at Cost............................................ $ 340,033 $ 1,213,307 N/A $ 9,447,741
============== ============== ============== ==============
Foreign Currencies at Cost..................................... $ 48 $ -- $ -- $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................ $ 319,951 $ 1,219,426 $ 19,260,141 $ 9,359,428
Total Distributable Earnings (Loss)............................ 26,543 435,315 6,957,397 1,857,048
-------------- -------------- -------------- --------------
NET ASSETS..................................................... $ 346,494 $ 1,654,741 $ 26,217,538 $ 11,216,476
============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. CORE U.S. CORE U.S. VECTOR
U.S. SMALL CAP EQUITY 1 EQUITY 2 EQUITY
VALUE PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
---------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $2,421,472, $2,422,534,
$2,921,133 and $572,291 of securities on loan,
respectively)............................................. $ 14,717,291 $ 25,935,149 $ 27,096,085 $ 4,691,030
Temporary Cash Investments at Value & Cost.................. 147,569 231,478 242,131 41,201
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $1,500,948, $1,637,736,
$1,909,704 and $379,520).................................. 1,501,100 1,637,862 1,909,858 379,561
Segregated Cash for Futures Contracts....................... 5,437 9,406 9,985 1,638
Receivables:
Investment Securities Sold............................... 22,742 349 128 167
Dividends and Interest................................... 4,901 18,836 20,001 2,938
Securities Lending Income................................ 420 481 617 153
Fund Shares Sold......................................... 9,139 17,994 17,694 2,548
Futures Margin Variation................................. 242 418 444 73
Prepaid Expenses and Other Assets........................... 188 267 287 47
-------------- -------------- -------------- --------------
Total Assets......................................... 16,409,029 27,852,240 29,297,230 5,119,356
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 1,501,011 1,637,853 1,909,764 379,564
Investment Securities Purchased.......................... 12,616 2,070 2,540 --
Fund Shares Redeemed..................................... 8,582 17,268 40,175 3,067
Due to Advisor........................................... 6,079 3,605 4,431 1,154
Accrued Expenses and Other Liabilities...................... 1,545 1,714 1,931 464
-------------- -------------- -------------- --------------
Total Liabilities.................................... 1,529,833 1,662,510 1,958,841 384,249
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 14,879,196 $ 26,189,730 $ 27,338,389 $ 4,735,107
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$14,879,196; $26,189,730; $27,338,389 and $4,735,107 and
shares outstanding of 428,374,034, 1,077,497,854,
1,221,272,283 and 251,955,154, respectively............... $ 34.73 $ 24.31 $ 22.39 $ 18.79
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 3,400,000,000 3,000,000,000 4,600,000,000 2,000,000,000
============== ============== ============== ==============
Investments at Cost......................................... $ 11,960,493 $ 16,718,714 $ 17,386,975 $ 3,075,789
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 11,536,839 $ 16,754,211 $ 17,379,056 $ 3,047,362
Total Distributable Earnings (Loss)......................... 3,342,357 9,435,519 9,959,333 1,687,745
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 14,879,196 $ 26,189,730 $ 27,338,389 $ 4,735,107
============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(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 $4,164,293,
$1,130,032, $24,957, $460,892 and $336,826 of
securities on loan, respectively)............... $ 17,892,526 $ 6,577,940 $ 1,153,343 $ 9,398,534 $ 5,164,643
Temporary Cash Investments at Value & Cost........ 164,504 61,420 7,127 79,805 --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of
$2,779,927, $797,535, $11,583, $306,904 and
$329,239)....................................... 2,780,163 797,616 11,584 306,926 329,248
Segregated Cash for Futures Contracts............. 6,942 2,476 -- 3,263 1,976
Foreign Currencies at Value....................... -- -- -- -- 16,348
Cash.............................................. -- -- -- -- 40,805
Receivables:
Investment Securities Sold..................... 19,107 4,711 -- -- 1,019
Dividends and Interest......................... 4,177 2,086 1,091 5,324 26,402
Securities Lending Income...................... 1,168 455 4 64 374
Fund Shares Sold............................... 9,311 3,987 2,897 7,239 2,518
Futures Margin Variation....................... 308 110 -- 145 73
Unrealized Gain on Foreign Currency Contracts..... -- -- -- -- 7
Prepaid Expenses and Other Assets................. 140 86 105 76 57
-------------- -------------- ------------ -------------- --------------
Total Assets............................... 20,878,346 7,450,887 1,176,151 9,801,376 5,583,470
-------------- -------------- ------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... 2,780,278 797,576 11,587 306,998 329,214
Investment Securities Purchased................ 14,836 7,551 4,422 -- 5,139
Fund Shares Redeemed........................... 23,563 3,357 385 8,014 3,521
Due to Advisor................................. 5,143 2,703 186 1,175 854
Unrealized Loss on Foreign Currency Contracts..... -- -- -- -- 1
Accrued Expenses and Other Liabilities............ 1,566 692 39 838 520
-------------- -------------- ------------ -------------- --------------
Total Liabilities.......................... 2,825,386 811,879 16,619 317,025 339,249
-------------- -------------- ------------ -------------- --------------
NET ASSETS........................................ $ 18,052,960 $ 6,639,008 $ 1,159,532 $ 9,484,351 $ 5,244,221
============== ============== ============ ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets
of $18,052,960; $6,639,008; $1,159,532;
$9,484,351 and $5,244,221 and shares
outstanding of 518,965,542, 311,711,208,
89,156,369, 249,753,857 and 231,022,099,
respectively $ 34.79 $ 21.30 $ 13.01 $ 37.97 $ 22.70
============== ============== ============ ============== ==============
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............................... $ 13,906,356 $ 4,527,481 $ 1,038,064 $ 6,406,672 $ 4,438,799
============== ============== ============ ============== ==============
Foreign Currencies at Cost........................ $ -- $ -- $ -- $ -- $ 16,410
============== ============== ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 13,773,861 $ 4,364,172 $ 1,048,822 $ 6,544,286 $ 4,577,423
Total Distributable Earnings (Loss)............... 4,279,099 2,274,836 110,710 2,940,065 666,798
-------------- -------------- ------------ -------------- --------------
NET ASSETS........................................ $ 18,052,960 $ 6,639,008 $ 1,159,532 $ 9,484,351 $ 5,244,221
============== ============== ============ ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL ASIA PACIFIC
INTERNATIONAL GLOBAL SMALL SMALL JAPANESE SMALL SMALL
CORE EQUITY COMPANY COMPANY COMPANY COMPANY
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value........................................... -- $ 35,736 $ 12,555,008 $ 591,607 $ 378,521
Investments at Value (including $2,389,399, $0,
$0, $0 and $0 of securities on loan,
respectively)................................... $ 29,428,257 -- -- -- --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of
$2,082,136, $0, $0, $0 and $0).................. 2,082,255 -- -- -- --
Segregated Cash for Futures Contracts............. 10,868 -- 1,732 -- --
Foreign Currencies at Value....................... 74,808 -- -- -- --
Cash.............................................. 274,465 53 70,644 -- --
Receivables:
Investment Securities Sold..................... 11,712 -- -- -- --
Dividends, Interest and Tax Reclaims........... 153,723 -- -- -- --
Securities Lending Income...................... 3,957 -- -- -- --
Fund Shares Sold............................... 23,011 9 7,999 10 --
Futures Margin Variation....................... 483 -- 77 -- --
Unrealized Gain on Foreign Currency Contracts..... 43 -- -- -- --
Prepaid Expenses and Other Assets................. 351 12 127 15 13
-------------- ------------ -------------- -------------- --------------
Total Assets............................... 32,063,933 35,810 12,635,587 591,632 378,534
-------------- ------------ -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... 2,082,182 -- -- -- --
Investment Securities Purchased................ 54,613 -- -- -- --
Fund Shares Redeemed........................... 27,631 28 7,427 153 2
Due to Advisor................................. 6,421 -- 4,158 193 124
Unrealized Loss on Foreign Currency Contracts..... 7 -- -- -- --
Accrued Expenses and Other Liabilities............ 2,670 12 552 27 20
-------------- ------------ -------------- -------------- --------------
Total Liabilities.......................... 2,173,524 40 12,137 373 146
-------------- ------------ -------------- -------------- --------------
NET ASSETS........................................ $ 29,890,409 $ 35,770 $ 12,623,450 $ 591,259 $ 378,388
============== ============ ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets
of $29,890,409; $35,770; $12,623,450; $591,259
and $378,388 and shares outstanding of
2,251,509,152, 3,200,168, 696,678,668,
25,110,875 and 17,150,056, respectively......... $ 13.28 $ 11.18 $ 18.12 $ 23.55 $ 22.06
============== ============ ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... 7,000,000,000 100,000,000 3,000,000,000 1,000,000,000 1,000,000,000
============== ============ ============== ============== ==============
Investments in Affiliated Investment Companies at
Cost............................................ $ -- $ 36,302 N/A N/A N/A
============== ============ ============== ============== ==============
Investments at Cost............................... $ 26,683,815 N/A N/A N/A N/A
============== ============ ============== ============== ==============
Foreign Currencies at Cost........................ $ 75,080 $ -- $ -- $ -- $ --
============== ============ ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 27,387,527 $ 35,511 $ 11,559,420 $ 547,314 $ 392,901
Total Distributable Earnings (Loss)............... 2,502,882 259 1,064,030 43,945 (14,513)
-------------- ------------ -------------- -------------- --------------
NET ASSETS........................................ $ 29,890,409 $ 35,770 $ 12,623,450 $ 591,259 $ 378,388
============== ============ ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
CONTINENTAL INTERNATIONAL DFA GLOBAL DFA
UNITED KINGDOM SMALL REAL ESTATE REAL ESTATE INTERNATIONAL
SMALL COMPANY COMPANY SECURITIES SECURITIES SMALL CAP
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO* VALUE PORTFOLIO*
-------------- -------------- -------------- -------------- ----------------
ASSETS:
Investments in Affiliated Investment Companies at
Value........................................... $ 31,178 $ 643,850 -- $ 4,131,169 --
Investments at Value (including $0, $0, $218,105,
$83,942 and $1,032,216 of securities on loan,
respectively)................................... -- -- $ 5,601,064 4,158,232 $ 13,525,051
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0, $0,
$185,502, $86,612 and $797,262)................. -- -- 185,512 86,622 797,328
Segregated Cash for Futures Contracts............. -- -- 1,619 -- 7,321
Foreign Currencies at Value....................... -- -- 20,637 -- 52,626
Cash.............................................. -- -- 32,148 12,590 141,559
Receivables:
Investment Securities/Affiliated Investment
Companies Sold............................... -- -- 6,262 -- 23,339
Dividends and Interest......................... -- -- 31,476 2,284 88,652
Securities Lending Income...................... -- -- 251 14 1,544
Fund Shares Sold............................... -- 66 1,743 8,727 5,545
Futures Margin Variation....................... -- -- 72 -- 326
Unrealized Gain on Foreign Currency Contracts..... -- -- -- -- 8
Prepaid Expenses and Other Assets................. 11 24 44 86 183
-------------- -------------- -------------- -------------- --------------
Total Assets............................... 31,189 643,940 5,880,828 8,399,724 14,643,482
-------------- -------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... -- -- 185,524 86,641 797,276
Investment Securities/Affiliated
Investment Companies Purchased............... -- -- -- 6,728 29,765
Fund Shares Redeemed........................... 5 39 5,639 3,899 5,782
Due to Advisor................................. 8 215 1,172 612 7,344
Unrealized Loss on Foreign Currency Contracts..... -- -- -- -- 2
Accrued Expenses and Other Liabilities............ 13 23 584 315 1,861
-------------- -------------- -------------- -------------- --------------
Total Liabilities.......................... 26 277 192,919 98,195 842,030
-------------- -------------- -------------- -------------- --------------
NET ASSETS........................................ $ 31,163 $ 643,663 $ 5,687,909 $ 8,301,529 $ 13,801,452
============== ============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets
of $31,163; $643,663; $5,687,909; $8,301,529
and $13,801,452 and shares outstanding of
1,115,794, 25,628,403, 1,117,747,508,
723,474,388 and 738,458,667, respectively....... $ 27.93 $ 25.12 $ 5.09 $ 11.47 $ 18.69
============== ============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... 1,000,000,000 1,000,000,000 4,000,000,000 3,000,000,000 4,600,000,000
============== ============== ============== ============== ==============
Investments in Affiliated Investment Companies at
Cost............................................ N/A N/A $ -- $ 3,450,190 $ --
============== ============== ============== ============== ==============
Investments at Cost............................... N/A N/A $ 5,069,184 $ 3,663,555 $ 12,723,655
============== ============== ============== ============== ==============
Foreign Currencies at Cost........................ $ -- $ -- $ 20,651 $ -- $ 52,812
============== ============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 26,872 $ 587,977 $ 5,976,269 $ 7,103,891 $ 13,012,293
Total Distributable Earnings (Loss)............... 4,291 55,686 (288,360) 1,197,638 789,159
-------------- -------------- -------------- -------------- --------------
NET ASSETS........................................ $ 31,163 $ 643,663 $ 5,687,909 $ 8,301,529 $ 13,801,452
============== ============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(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..... -- -- $ 282,114 --
Investments at Value (including $216,361, $28,555, $0 and
$6,614 of securities on loan, respectively)............... $ 2,566,841 $ 435,663 -- $ 548,239
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $171,689, $28,429, $0 and $1,935) 171,701 28,429 -- 1,935
Foreign Currencies at Value................................. 5,768 514 -- 1,395
Cash........................................................ 2,853 2,360 95 1,437
Receivables:
Investment Securities Sold............................... 876 81 -- 615
Dividends, Interest and Tax Reclaims..................... 15,425 1,690 -- 3,119
Securities Lending Income................................ 391 14 -- 16
Fund Shares Sold......................................... 1,428 973 127 407
Unrealized Gain on Foreign Currency Contracts............... 1 2 -- --
Prepaid Expenses and Other Assets........................... 89 51 11 44
-------------- ------------ -------------- --------------
Total Assets......................................... 2,765,373 469,777 282,347 557,207
-------------- ------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 171,691 28,429 -- 1,935
Investment Securities Purchased.......................... 4,727 2,494 -- 420
Fund Shares Redeemed..................................... 1,152 172 1,105 86
Due to Advisor........................................... 952 95 75 267
Accrued Expenses and Other Liabilities...................... 276 47 12 65
-------------- ------------ -------------- --------------
Total Liabilities.................................... 178,798 31,237 1,192 2,773
-------------- ------------ -------------- --------------
NET ASSETS.................................................. $ 2,586,575 $ 438,540 $ 281,155 $ 554,434
============== ============ ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$2,586,575; $438,540; $281,155 and $554,434 and shares
outstanding of 219,651,643, 41,602,357, 24,662,486 and
43,268,059, respectively.................................. $ 11.78 $ 10.54 $ 11.40 $ 12.81
============== ============ ============== ==============
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...... $ -- $ -- $ 264,096 $ --
============== ============ ============== ==============
Investments at Cost......................................... $ 2,312,969 $ 424,908 N/A $ 543,478
============== ============ ============== ==============
Foreign Currencies at Cost.................................. $ 5,791 $ 513 $ -- $ 1,402
============== ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 2,335,639 $ 430,174 $ 262,180 $ 542,942
Total Distributable Earnings (Loss)......................... 250,936 8,366 18,975 11,492
-------------- ------------ -------------- --------------
NET ASSETS.................................................. $ 2,586,575 $ 438,540 $ 281,155 $ 554,434
============== ============ ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(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..... -- $ 882,568 $ 416,627 $ 6,098,527
Investments at Value (including $243,893, $0, $0 and $0 of
securities on loan, respectively)......................... $ 3,606,840 -- -- --
Temporary Cash Investments at Value & Cost.................. -- 630 -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $189,721, $0, $0 and $0)......... 189,732 -- -- --
Segregated Cash for Futures Contracts....................... -- -- 548 --
Foreign Currencies at Value................................. 5,054 -- -- --
Cash........................................................ 7,144 -- 11,522 --
Receivables:
Investment Securities Sold............................... 1,968 -- -- --
Dividends, Interest and Tax Reclaims..................... 16,363 1 -- --
Securities Lending Income................................ 436 -- -- --
Fund Shares Sold......................................... 6,537 544 168 3,151
Due from Advisor......................................... -- 7 -- --
Futures Margin Variation................................. -- -- 24 --
Unrealized Gain on Forward Currency Contracts............... -- -- 514 --
Prepaid Expenses and Other Assets........................... 74 31 15 58
-------------- -------------- -------------- --------------
Total Assets......................................... 3,834,148 883,781 429,418 6,101,736
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 189,731 -- -- --
Investment Securities Purchased.......................... 1,429 -- -- --
Fund Shares Redeemed..................................... 11,218 7,007 112 6,320
Due to Advisor........................................... 953 -- 13 1,615
Unrealized Loss on Forward Currency Contracts............... -- -- 29 --
Unrealized Loss on Foreign Currency Contracts............... 1 -- -- --
Accrued Expenses and Other Liabilities...................... 397 18 18 245
-------------- -------------- -------------- --------------
Total Liabilities.................................... 203,729 7,025 172 8,180
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 3,630,419 $ 876,756 $ 429,246 $ 6,093,556
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$3,630,419; $876,756; $429,246 and $6,093,556 and shares
outstanding of 320,638,373, 53,565,427, 26,344,502 and
215,039,052, respectively................................. $ 11.32 $ 16.37 $ 16.29 $ 28.34
============== ============== ============== ==============
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...... $ -- $ 767,832 $ 337,135 N/A
============== ============== ============== ==============
Investments at Cost......................................... $ 3,406,055 $ -- $ -- N/A
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ 5,057 $ -- $ -- $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 3,429,181 $ 768,458 $ 350,574 $ 4,382,589
Total Distributable Earnings (Loss)......................... 201,238 108,298 78,672 1,710,967
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 3,630,419 $ 876,756 $ 429,246 $ 6,093,556
============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
+ See Note C to the Financial Statements for additional information about the
Due from Advisor receivable.
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING
EMERGING EMERGING MARKETS CORE EMERGING
MARKETS SMALL MARKETS VALUE EQUITY MARKETS TARGETED
CAP PORTFOLIO PORTFOLIO PORTFOLIO* VALUE PORTFOLIO*
-------------- -------------- -------------- ----------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... $ 7,022,075 $ 18,498,093 -- --
Investments at Value (including $0, $0, $1,456,871 and
$2,114 of securities on loan, respectively)............... -- -- $ 28,678,111 $ 116,908
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $0, $647,589 and $728)....... -- -- 647,679 728
Segregated Cash for Futures Contracts....................... -- -- 10,919 --
Foreign Currencies at Value................................. -- -- 65,715 997
Cash........................................................ -- -- 238,160 601
Receivables:
Investment Securities/Affiliated Investment Companies
Sold................................................... -- -- 12,471 128
Dividends and Interest................................... -- -- 43,506 164
Securities Lending Income................................ -- -- 4,873 4
Fund Shares Sold......................................... 4,553 6,632 19,656 113
Futures Margin Variation................................. -- -- 361 --
Unrealized Gain on Foreign Currency Contracts............... -- -- 21 --
Deferred Offering Costs..................................... -- -- -- 44
Prepaid Expenses and Other Assets........................... 59 154 250 21
-------------- -------------- -------------- ------------
Total Assets......................................... 7,026,687 18,504,879 29,721,722 119,708
-------------- -------------- -------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... -- -- 647,652 728
Investment Securities/Affiliated Investment Companies
Purchased.............................................. -- -- 32,100 1,207
Fund Shares Redeemed..................................... 2,912 5,969 15,950 3
Due to Advisor........................................... 2,625 6,134 11,278 64
Unrealized Loss on Foreign Currency Contracts............... -- -- 1 1
Deferred Taxes Payable...................................... -- -- 2,028 21
Accrued Expenses and Other Liabilities...................... 224 764 4,386 31
-------------- -------------- -------------- ------------
Total Liabilities.................................... 5,761 12,867 713,395 2,055
-------------- -------------- -------------- ------------
NET ASSETS.................................................. $ 7,020,926 $ 18,492,012 $ 29,008,327 $ 117,653
============== ============== ============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $29,945; $0
and $0 and shares outstanding of 0, 1,040,050, 0 and 0,
respectively.............................................. N/A $ 28.79 N/A N/A
============== ============== ============== ============
NUMBER OF SHARES AUTHORIZED................................. N/A 200,000,000 N/A N/A
============== ============== ============== ============
Institutional Class Shares -- based on net assets of
$7,020,926; $18,462,067; $29,008,327 and $117,653 and
shares outstanding of 341,116,684, 636,758,571,
1,370,731,712 and 10,823,806, respectively................ $ 20.58 $ 28.99 $ 21.16 $ 10.87
============== ============== ============== ============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 3,000,000,000 5,000,000,000 500,000,000
============== ============== ============== ============
Investments at Cost......................................... N/A N/A $ 24,799,992 $ 108,978
============== ============== ============== ============
Foreign Currencies at Cost.................................. $ -- $ -- $ 66,297 $ 996
============== ============== ============== ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 6,697,717 $ 17,974,529 $ 26,073,831 $ 109,157
Total Distributable Earnings (Loss)......................... 323,209 517,483 2,934,496 8,496
-------------- -------------- -------------- ------------
NET ASSETS.................................................. $ 7,020,926 $ 18,492,012 $ 29,008,327 $ 117,653
============== ============== ============== ============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
ENHANCED U.S.
LARGE U.S. LARGE CAP
COMPANY EQUITY U.S. LARGE CAP U.S. TARGETED
PORTFOLIO# PORTFOLIO# VALUE 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).................... -- -- $ 317,644 --
Interest.............................................. -- -- 2,512 --
Income from Securities Lending........................ -- -- 800 --
Expenses Allocated from Affiliated Investment
Companies........................................... -- -- (13,490) --
-------- -------- ---------- --------
Total Net Investment Income Received
from Affiliated Investment Companies......... -- -- 307,466 --
-------- -------- ---------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$0, $0, $0 and $102, respectively).................. -- $ 14,648 -- $ 88,522
Interest.............................................. $ 3,661 -- -- --
Income from Securities Lending........................ 4 58 -- 2,206
-------- -------- ---------- --------
Total Fund Investment Income................... 3,665 14,706 -- 90,728
-------- -------- ---------- --------
FUND EXPENSES
Investment Management Fees............................ 313 1,105 30,827 18,217
Accounting & Transfer Agent Fees...................... 27 102 973 486
S&P 500(R) Fees....................................... 3 -- -- --
Custodian Fees........................................ 4 10 -- 80
Shareholder Servicing Fees
Class R1 Shares................................... -- -- -- 24
Class R2 Shares................................... -- -- -- 121
Filing Fees........................................... 13 25 150 94
Shareholders' Reports................................. 11 18 277 193
Directors'/Trustees' Fees & Expenses.................. 1 5 94 40
Professional Fees..................................... 3 10 32 77
Other................................................. 4 38 60 133
-------- -------- ---------- --------
Total Fund Expenses............................ 379 1,313 32,413 19,465
-------- -------- ---------- --------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)............................................ (144) -- (12,332) --
-------- -------- ---------- --------
Net Expenses.......................................... 235 1,313 20,081 19,465
-------- -------- ---------- --------
NET INVESTMENT INCOME (LOSS).......................... 3,430 13,393 287,385 71,263
-------- -------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................... (1,143) (3,020) -- 195,653
Affiliated Investment Companies Shares Sold....... -- -- -- (6)
Transactions Allocated from Affiliated
Investment Company**............................ -- -- 417,196 --
Futures........................................... (14,206) 466 -- (2,413)
Foreign Currency Transactions..................... (20) -- -- --
Forward Currency Contracts........................ 1,946 -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency........ 2,886 134,021 -- 196,287
Affiliated Investment Companies Shares............ -- 3 -- 88
Transactions Allocated from Affiliated
Investment Company.............................. -- -- 358,503 --
Futures........................................... 40,220 -- -- 6,971
Translation of Foreign
Currency-Denominated Amounts.................... (1) -- -- --
Forward Currency Contracts........................ (27) -- -- --
-------- -------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............... 29,655 131,470 775,699 396,580
-------- -------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $ 33,085 $144,863 $1,063,084 $467,843
======== ======== ========== ========
--------
** 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.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(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 $141, $123, $146 and $30,
respectively)........................................................ $ 119,576 $ 225,970 $ 239,283 $ 40,943
Income from Securities Lending......................................... 2,971 3,436 4,118 1,004
--------- ---------- ---------- --------
Total Investment Income......................................... 122,547 229,406 243,401 41,947
--------- ---------- ---------- --------
EXPENSES
Investment Management Fees............................................. 35,461 20,178 24,967 6,712
Accounting & Transfer Agent Fees....................................... 784 1,235 1,251 272
Custodian Fees......................................................... 102 126 138 30
Filing Fees............................................................ 125 198 218 42
Shareholders' Reports.................................................. 245 175 195 67
Directors'/Trustees' Fees & Expenses................................... 54 89 94 18
Professional Fees...................................................... 106 164 175 34
Other.................................................................. 185 280 296 60
--------- ---------- ---------- --------
Total Expenses.................................................. 37,062 22,445 27,334 7,235
--------- ---------- ---------- --------
Net Expenses........................................................... 37,062 22,445 27,334 7,235
--------- ---------- ---------- --------
NET INVESTMENT INCOME (LOSS)........................................... 85,485 206,961 216,067 34,712
--------- ---------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... 586,452 160,953 192,634 63,035
Affiliated Investment Companies Shares Sold........................ 2 (3) (5) (1)
Futures............................................................ (3,040) 2,546 (4,838) 2,204
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... (397,545) 1,658,628 1,558,897 151,372
Affiliated Investment Companies Shares............................. 112 109 127 32
Futures............................................................ 6,431 18,378 22,739 1,554
--------- ---------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 192,412 1,840,611 1,769,554 218,196
--------- ---------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........... $ 277,897 $2,047,572 $1,985,621 $252,908
========= ========== ========== ========
--------
** 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.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
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#
-------------- -------------- ------------- ---------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $63, $17,
$0, $19 and $7,618, respectively).................... $122,005 $ 48,203 $ 8,901 $ 187,563 $ 78,729
Income from Securities Lending......................... 7,097 2,368 24 442 1,351
-------- --------- -------- ---------- --------
Total Investment Income......................... 129,102 50,571 8,925 188,005 80,080
-------- --------- -------- ---------- --------
FUND EXPENSES
Investment Management Fees............................. 29,679 15,691 899 7,550 4,827
Accounting & Transfer Agent Fees....................... 805 374 70 464 288
Custodian Fees......................................... 111 56 7 45 196
Filing Fees............................................ 99 59 68 62 40
Shareholders' Reports.................................. 217 84 12 163 86
Directors'/Trustees' Fees & Expenses................... 65 24 3 34 18
Professional Fees...................................... 124 46 4 63 40
Other.................................................. 213 81 14 99 76
-------- --------- -------- ---------- --------
Total Fund Expenses............................. 31,313 16,415 1,077 8,480 5,571
-------- --------- -------- ---------- --------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)............................................. -- -- 46 (485) --
Fees Paid Indirectly (Note C).......................... -- -- -- -- (114)
-------- --------- -------- ---------- --------
Net Expenses........................................... 31,313 16,415 1,123 7,995 5,457
-------- --------- -------- ---------- --------
NET INVESTMENT INCOME (LOSS)........................... 97,789 34,156 7,802 180,010 74,623
-------- --------- -------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................... 328,481 225,002 (3,639) (30,451) (67,965)
Affiliated Investment Companies Shares Sold........ 19 1 -- 4 (6)
Futures............................................ (1,294) (5,420) (52) (6,732) (1,849)
Foreign Currency Transactions...................... -- -- -- -- (652)
In-Kind Redemptions................................ -- -- -- 50,622 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......... 225,280 (112,806) 105,724 899,947 376,743
Affiliated Investment Companies Shares............. 200 66 1 17 20
Futures............................................ 8,867 6,144 -- 4,100 4,753
Translation of Foreign Currency-Denominated
Amounts.......................................... -- -- -- -- (11)
-------- --------- -------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................ 561,553 112,987 102,034 917,507 311,033
-------- --------- -------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.............................................. $659,342 $ 147,143 $109,836 $1,097,517 $385,656
======== ========= ======== ========== ========
--------
** 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.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
INTERNATIONAL ASIA PACIFIC
INTERNATIONAL GLOBAL SMALL SMALL JAPANESE SMALL SMALL
CORE EQUITY COMPANY COMPANY COMPANY COMPANY
PORTFOLIO# PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
------------- ------------ ------------- -------------- ------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated
Investment Companies
Dividends (Net of Foreign Taxes Withheld of
$0, $17, $14,097, $801 and $83, respectively)....... -- $ 171 $153,003 $ 7,207 $ 5,839
Income from Securities Lending........................ -- 25 15,972 874 678
Expenses Allocated from Affiliated Investment
Companies........................................... -- (11) (7,465) (369) (240)
---------- ------ -------- -------- -------
Income Distributions Received from Affiliated
Investment Companies................................... -- 87 -- -- --
---------- ------ -------- -------- -------
Total Net Investment Income Received
from Affiliated Investment Companies......... -- 272 161,510 7,712 6,277
---------- ------ -------- -------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$40,060, $0, $0, $0 and $0,respectively)............ $ 434,082 -- -- -- --
Income from Securities Lending........................ 18,167 -- -- -- --
---------- ------ -------- -------- -------
Total Fund Investment Income................... 452,249 -- -- -- --
---------- ------ -------- -------- -------
FUND EXPENSES
Investment Management Fees............................ 36,998 72 24,420 1,458 890
Accounting & Transfer Agent Fees...................... 1,505 11 391 30 24
Custodian Fees........................................ 1,212 1 2 -- --
Filing Fees........................................... 298 14 94 13 11
Shareholders' Reports................................. 309 4 228 6 5
Directors'/Trustees' Fees & Expenses.................. 104 -- 48 2 2
Professional Fees..................................... 225 -- 35 -- --
Other................................................. 428 -- 37 2 --
---------- ------ -------- -------- -------
Total Fund Expenses............................ 41,079 102 25,255 1,511 932
---------- ------ -------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)............................................ 31 (67) -- (292) (178)
Fees Paid Indirectly (Note C)......................... (583) -- -- -- --
---------- ------ -------- -------- -------
Net Expenses.......................................... 40,527 35 25,255 1,219 754
---------- ------ -------- -------- -------
NET INVESTMENT INCOME (LOSS).......................... 411,722 237 136,255 6,493 5,523
---------- ------ -------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from
Investment Securities............................... -- 587 -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**...................... (190,728) -- -- -- --
Affiliated Investment Companies Shares Sold....... 4 (237) -- -- --
Transactions Allocated from Affiliated
Investment Company**............................ -- 721 194,248 3,900 1,984
Futures........................................... (943) -- (1,000) -- --
Foreign Currency Transactions..................... 2,144 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency........ 1,462,548 -- 108 -- --
Affiliated Investment Companies Shares............ 96 306 -- -- --
Transactions Allocated from Affiliated
Investment Company.............................. -- 190 242,534 (21,064) 25,627
Futures........................................... 23,259 -- 6,908 -- --
Translation of Foreign
Currency-Denominated Amounts.................... (48) -- -- -- --
---------- ------ -------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)............... 1,296,332 1,567 442,798 (17,164) 27,611
---------- ------ -------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $1,708,054 $1,804 $579,053 $(10,671) $33,134
========== ====== ======== ======== =======
--------
** 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.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA
UNITED CONTINENTAL INTERNATIONAL DFA GLOBAL DFA
KINGDOM SMALL SMALL REAL ESTATE REAL ESTATE INTERNATIONAL
COMPANY COMPANY SECURITIES SECURITIES SMALL CAP
PORTFOLIO* PORTFOLIO* PORTFOLIO# PORTFOLIO# VALUE PORTFOLIO#
------------- ----------- ------------- ----------- ----------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated
Investment Companies
Dividends (Net of Foreign Taxes Withheld of
$1, $1,034, $0, $0 and $0, respectively)............ $ 509 $ 6,259 -- -- --
Income from Securities Lending........................ 3 852 -- -- --
Expenses Allocated from Affiliated Investment
Companies........................................... (18) (380) -- -- --
------ ------- --------- -------- --------
Income Distributions Received from Affiliated
Investment Companies................................... -- -- -- $170,005 --
------ ------- --------- -------- --------
Total Net Investment Income Received
from Affiliated Investment Companies......... 494 6,731 -- 170,005 --
------ ------- --------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$0, $0, $14,746, $5 and $14,835,
respectively)....................................... -- -- $ 117,368 79,664 $180,797
Income from Securities Lending........................ -- -- 1,609 130 9,623
------ ------- --------- -------- --------
Total Fund Investment Income................... -- -- 118,977 79,794 190,420
------ ------- --------- -------- --------
FUND EXPENSES
Investment Management Fees............................ 78 1,534 6,784 7,693 42,486
Accounting & Transfer Agent Fees...................... 10 36 254 281 737
Custodian Fees........................................ -- -- 237 12 872
Filing Fees........................................... 9 18 34 69 123
Shareholders' Reports................................. 4 8 75 178 223
Directors'/Trustees' Fees & Expenses.................. -- 2 21 29 51
Professional Fees..................................... 1 1 48 26 120
Other................................................. 1 3 149 47 248
------ ------- --------- -------- --------
Total Fund Expenses............................ 103 1,602 7,602 8,335 44,860
------ ------- --------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)............................................ (29) (307) -- (3,958) --
Fees Paid Indirectly (Note C)......................... -- -- (123) -- (321)
------ ------- --------- -------- --------
Net Expenses.......................................... 74 1,295 7,479 4,377 44,539
------ ------- --------- -------- --------
NET INVESTMENT INCOME (LOSS).......................... 420 5,436 111,498 245,422 145,881
------ ------- --------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................... -- -- (102,659) 4,056 43,249
Affiliated Investment Companies Shares Sold....... -- -- 1 23,983 8
Transactions Allocated from Affiliated
Investment Company**............................ 55 49,188 -- -- --
Futures........................................... -- -- (1,258) (135) (2,562)
Foreign Currency Transactions..................... -- -- 834 -- (522)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency........ -- -- 551,631 398,356 78,543
Affiliated Investment Companies Shares............ -- -- 9 225,017 56
Transactions Allocated from Affiliated
Investment Company.............................. 1,604 (9,834) -- -- --
Futures........................................... -- -- 3,208 -- 7,897
Translation of Foreign
Currency-Denominated Amounts.................... -- -- 85 -- (166)
------ ------- --------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............... 1,659 39,354 451,851 651,277 126,503
------ ------- --------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $2,079 $44,790 $ 563,349 $896,699 $272,384
====== ======= ========= ======== ========
--------
** 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.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(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, $392 and $0, respectively).................. -- -- $ 3,694 --
Interest.............................................. -- -- 11 --
Income from Securities Lending........................ -- -- 72 --
Expenses Allocated from Affiliated Investment
Companies........................................... -- -- (224) --
-------- ------- ------- -------
Income Distributions Received from Affiliated
Investment Companies................................... -- -- 332 --
-------- ------- ------- -------
Total Net Investment Income Received
from Affiliated Investment Companies......... -- -- 3,885 --
-------- ------- ------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$3,476, $545, $0 and $719, respectively)............ $ 36,945 $ 5,739 -- $ 6,822
Income from Securities Lending........................ 1,985 66 -- 121
-------- ------- ------- -------
Total Fund Investment Income................... 38,930 5,805 -- 6,943
-------- ------- ------- -------
FUND EXPENSES
Investment Management Fees............................ 5,475 433 609 1,435
Accounting & Transfer Agent Fees...................... 172 36 17 45
Custodian Fees........................................ 148 34 -- 105
Filing Fees........................................... 61 27 12 34
Shareholders' Reports................................. 51 11 5 12
Directors'/Trustees' Fees & Expenses.................. 10 1 -- 2
Professional Fees..................................... 23 2 2 18
Other................................................. 50 5 4 20
-------- ------- ------- -------
Total Fund Expenses............................ 5,990 549 649 1,671
-------- ------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)............................................ -- 58 (278) --
Fees Paid Indirectly (Note C)......................... (64) (21) -- (30)
-------- ------- ------- -------
Net Expenses.......................................... 5,926 586 371 1,641
-------- ------- ------- -------
NET INVESTMENT INCOME (LOSS).......................... 33,004 5,219 3,514 5,302
-------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from
Investment Securities............................... -- -- 766 --
Net Realized Gain (Loss) on:
Investment Securities Sold**...................... (14,545) (3,545) -- 3,466
Affiliated Investment Companies Shares Sold....... (1) (1) (628) --
Transactions Allocated from Affiliated
Investment Company**............................ -- -- 682 --
Futures........................................... (1,747) 255 (109) (308)
Foreign Currency Transactions..................... (520) (52) -- (66)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency........ 103,233 34,472 -- 23,747
Affiliated Investment Companies Shares............ 11 -- 265 --
Transactions Allocated from Affiliated
Investment Company.............................. -- -- 10,739 --
Translation of Foreign
Currency-Denominated Amounts.................... (56) (10) -- (6)
-------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)............... 86,375 31,119 11,715 26,833
-------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $119,379 $36,338 $15,229 $32,135
======== ======= ======= =======
--------
** 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.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
SELECTIVELY
WORLD EX U.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 $6,164,
respectively)...................................................... -- -- -- $ 50,895
Interest............................................................. -- -- -- 23
Income from Securities Lending....................................... -- -- -- 2,203
Expenses Allocated from Affiliated Investment Companies.............. -- -- -- (3,930)
-------- ------- ------- --------
Income Distributions Received from Affiliated Investment Companies...... -- $ 7,151 $ 3,858 --
-------- ------- ------- --------
Total Net Investment Income Received from Affiliated
Investment Companies........................................ -- 7,151 3,858 49,191
-------- ------- ------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $4,554, $0, $0 and $0,
respectively)...................................................... $ 46,002 -- -- --
Income from Securities Lending....................................... 2,037 -- -- --
Total Fund Investment Income.................................. 48,039 -- -- --
FUND EXPENSES
Investment Management Fees........................................... 5,306 1,172 604 12,005
Accounting & Transfer Agent Fees..................................... 204 32 27 146
Custodian Fees....................................................... 349 -- 1 --
Filing Fees.......................................................... 49 21 13 47
Shareholders' Reports................................................ 54 7 7 104
Directors'/Trustees' Fees & Expenses................................. 13 3 2 22
Professional Fees.................................................... 40 2 1 9
Other................................................................ 58 4 1 14
-------- ------- ------- --------
Total Fund Expenses........................................... 6,073 1,241 656 12,347
-------- ------- ------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)...................................... 9 (987) (528) (2,859)
Fees Paid Indirectly (Note C)........................................ (100) -- -- --
-------- ------- ------- --------
Net Expenses......................................................... 5,982 254 128 9,488
-------- ------- ------- --------
NET INVESTMENT INCOME (LOSS)......................................... 42,057 6,897 3,730 39,703
-------- ------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment Securities....... -- 2,509 1,971 --
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................... (11,038) -- -- --
Affiliated Investment Companies Shares Sold...................... (1) (2,690) (3,060) --
Transactions Allocated from Affiliated Investment Company**...... -- -- -- (15,692)
Futures.......................................................... (1,060) (63) (2,076) --
Foreign Currency Transactions.................................... (140) -- -- --
Forward Currency Contracts....................................... -- -- 2,569 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 238,349 -- 2 --
Affiliated Investment Companies Shares........................... 9 61,804 28,836 --
Transactions Allocated from Affiliated Investment Company........ -- -- -- 626,514
Futures.......................................................... -- -- 2,381 --
Translation of Foreign Currency-Denominated Amounts.............. (48) -- -- --
Forward Currency Contracts....................................... -- -- (1,116) --
-------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 226,071 61,560 29,507 610,822
-------- ------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......... $268,128 $68,457 $33,237 $650,525
======== ======= ======= ========
--------
** 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.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
EMERGING
EMERGING EMERGING MARKETS CORE EMERGING
MARKETS SMALL MARKETS VALUE EQUITY MARKETS TARGETED
CAP PORTFOLIO* PORTFOLIO* PORTFOLIO# VALUE PORTFOLIO(A)#
-------------- ------------- ------------ -------------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated
Investment Companies
Dividends (Net of Foreign Taxes Withheld of
$5,896, $20,799, $0 and $0, respectively)........... $ 49,800 $ 153,892 -- --
Interest.............................................. 26 157 -- --
Income from Securities Lending........................ 19,952 7,373 -- --
Expenses Allocated from Affiliated Investment
Companies........................................... (8,253) (11,922) -- --
-------- ---------- ---------- ------
Total Net Investment Income Received
from Affiliated Investment Companies......... 61,525 149,500 -- --
-------- ---------- ---------- ------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$0, $0, $30,292 and $95, respectively).............. -- -- $ 233,608 $ 872
Income from Securities Lending........................ -- -- 27,802 14
-------- ---------- ---------- ------
Total Fund Investment Income................... -- -- 261,410 886
-------- ---------- ---------- ------
FUND EXPENSES
Investment Management Fees............................ 21,697 43,414 63,678 325
Accounting & Transfer Agent Fees...................... 212 324 1,409 13
Custodian Fees........................................ -- 1 4,478 29
Shareholder Servicing Fees
Class R2 Shares................................... -- 35 -- --
Filing Fees........................................... 54 94 188 10
Shareholders' Reports................................. 85 173 361 8
Directors'/Trustees' Fees & Expenses.................. 26 67 104 --
Professional Fees..................................... 10 28 251 2
Organizational & Offering Costs....................... -- -- -- 37
Other................................................. 17 44 419 1
-------- ---------- ---------- ------
Total Fund Expenses............................ 22,101 44,180 70,888 425
-------- ---------- ---------- ------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recoveredby Advisor
(Note C)............................................ (6,677) -- -- (31)
Class R2 Shares................................... -- (14) -- --
Institutional Class Shares........................ -- (8,669) -- --
Fees Paid Indirectly (Note C)......................... -- -- (664) (2)
-------- ---------- ---------- ------
Net Expenses.......................................... 15,424 35,497 70,224 392
-------- ---------- ---------- ------
NET INVESTMENT INCOME (LOSS).......................... 46,101 114,003 191,186 494
-------- ---------- ---------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................... -- -- (191,846) 158
Affiliated Investment Companies Shares Sold....... -- -- 9 --
Transactions Allocated from Affiliated
Investment Company**............................ 73,008 100,918 -- --
Futures........................................... -- -- 2,305 39
Foreign Currency Transactions..................... -- -- 1,387 (40)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency........ -- -- 3,159,593 7,910
Affiliated Investment Companies Shares............ -- -- 56 --
Transactions Allocated from Affiliated
Investment Company.............................. 769,601 1,327,074 -- --
Futures........................................... -- -- 21,428 --
Translation of Foreign
Currency-Denominated Amounts.................... -- -- (33) (1)
-------- ---------- ---------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)............... 842,609 1,427,992 2,992,899 8,066
-------- ---------- ---------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $888,710 $1,541,995 $3,184,085 $8,560
======== ========== ========== ======
--------
** Net of foreign capital gain taxes withheld of $0, $0, $1 and $0,
respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
(a)The Portfolio commenced operations on November 14, 2018.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP EQUITY U.S. LARGE CAP VALUE
COMPANY PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- ---------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- --------- ----------- ---------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)....................... $ 3,430 $ 6,789 $ 13,393 $ 23,192 $ 287,385 $ 505,087
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/............... (1,143) (2,528) (3,020) 4,178 -- --
Affiliated Investment Companies Shares
Sold......................................... -- (1) -- (5) -- --
Transactions Allocated from Affiliated
Investment Company*,**....................... -- -- -- -- 417,196 1,280,400
Futures........................................ (14,206) 51,936 466 21 -- --
Foreign Currency Transactions.................. (20) (33) -- -- -- --
Forward Currency Contracts..................... 1,946 2,456 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency..................................... 2,886 (3,976) 134,021 54,720 -- --
Affiliated Investment Companies
Shares....................................... -- -- 3 2 -- --
Transactions Allocated from Affiliated
Investment Company........................... -- -- -- -- 358,503 (1,151,639)
Futures........................................ 40,220 (34,076) -- -- -- --
Translation of Foreign Currency-
Denominated Amounts.......................... (1) 3 -- -- -- --
Forward Currency Contracts..................... (27) (448) -- -- -- --
-------- --------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations................................ 33,085 20,122 144,863 82,108 1,063,084 633,848
-------- --------- ---------- ---------- ----------- -----------
Distributions:
Institutional Class Shares..................... (18,057) (55,242) (13,679) (22,158) (1,446,389) (1,599,355)
-------- --------- ---------- ---------- ----------- -----------
Total Distributions......................... (18,057) (55,242) (13,679) (22,158) (1,446,389) (1,599,355)
-------- --------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued...................................... 48,217 104,340 328,886 400,167 2,973,915 5,451,856
Shares Issued in Lieu of Cash Distributions........ 18,017 55,182 12,497 20,444 1,363,715 1,507,556
Shares Redeemed.................................... (61,831) (119,686) (275,044) (236,226) (3,005,123) (4,458,440)
-------- --------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions................ 4,403 39,836 66,339 184,385 1,332,507 2,500,972
-------- --------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net
Assets.................................... 19,431 4,716 197,523 244,335 949,202 1,535,465
NET ASSETS
Beginning of Period................................ 327,063 322,347 1,457,218 1,212,883 25,268,336 23,732,871
-------- --------- ---------- ---------- ----------- -----------
End of Period...................................... $346,494 $ 327,063 $1,654,741 $1,457,218 $26,217,538 $25,268,336
======== ========= ========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................................... 3,855 7,678 20,017 23,452 86,027 139,106
Shares Issued in Lieu of Cash Distributions........ 1,565 4,245 769 1,202 41,450 39,063
Shares Redeemed.................................... (4,951) (8,983) (16,754) (13,769) (87,483) (113,759)
-------- --------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed....................... 469 2,940 4,032 10,885 39,994 64,410
======== ========= ========== ========== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. TARGETED VALUE U.S. SMALL CAP VALUE U.S. CORE EQUITY 1
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 71,263 $ 133,663 $ 85,485 $ 157,417 $ 206,961 $ 359,365
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/........ 195,653 450,081 586,452 833,947 160,953 159,334
Affiliated Investment Companies
Shares Sold........................... (6) (120) 2 (150) (3) (157)
Futures................................. (2,413) 10,338 (3,040) 8,130 2,546 22,597
Foreign Currency Transactions........... -- (10) -- (5) -- (2)
In-Kind Redemptions..................... -- 16,160 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.............................. 196,287 (761,255) (397,545) (1,207,909) 1,658,628 582,991
Affiliated Investment Companies
Shares................................ 88 2 112 (29) 109 1
Futures................................. 6,971 (3,019) 6,431 (7,825) 18,378 (12,157)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 467,843 (154,160) 277,897 (216,424) 2,047,572 1,111,972
----------- ----------- ----------- ----------- ----------- -----------
Distributions:
Class R1 Shares......................... (2,170) (2,923) -- -- -- --
Class R2 Shares......................... (4,652) (7,940) -- -- -- --
Institutional Class Shares.............. (473,173) (575,420) (848,542) (834,889) (357,964) (460,863)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (479,995) (586,283) (848,542) (834,889) (357,964) (460,863)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 1,604,473 2,212,541 2,074,843 2,623,124 3,304,862 5,010,981
Shares Issued in Lieu of Cash
Distributions............................. 454,873 552,460 772,136 765,814 349,969 450,061
Shares Redeemed............................. (1,293,880) (2,301,827) (2,129,753) (2,770,877) (2,784,435) (3,245,167)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share
Transactions....................... 765,466 463,174 717,226 618,061 870,396 2,215,875
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in
Net Assets......................... 753,314 (277,269) 146,581 (433,252) 2,560,004 2,866,984
NET ASSETS
Beginning of Period......................... 10,463,162 10,740,431 14,732,615 15,165,867 23,629,726 20,762,742
----------- ----------- ----------- ----------- ----------- -----------
End of Period............................... $11,216,476 $10,463,162 $14,879,196 $14,732,615 $26,189,730 $23,629,726
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 73,911 87,535 63,331 67,506 149,759 213,759
Shares Issued in Lieu of Cash
Distributions............................. 22,449 22,442 25,188 20,311 16,346 19,536
Shares Redeemed............................. (59,565) (90,819) (64,964) (71,140) (126,558) (138,602)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 36,795 19,158 23,555 16,677 39,547 94,693
=========== =========== =========== =========== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. CORE EQUITY 2 U.S. VECTOR EQUITY U.S. SMALL CAP
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ---------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ----------- ----------- ---------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ 216,067 $ 379,407 $ 34,712 $ 66,134 $ 97,789 $ 190,744
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............ 192,634 287,280 63,035 112,491 328,481 630,926
Affiliated Investment Companies
Shares Sold............................. (5) (115) (1) (52) 19 (358)
Futures................................... (4,838) 26,827 2,204 1,014 (1,294) 14,477
Foreign Currency Transactions............. -- (4) -- -- -- (6)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ 1,558,897 218,021 151,372 (137,731) 225,280 (714,753)
Affiliated Investment Companies
Shares.................................. 127 (15) 32 (17) 200 (18)
Futures................................... 22,739 (16,600) 1,554 631 8,867 (5,817)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................... 1,985,621 894,801 252,908 42,470 659,342 115,195
----------- ----------- ---------- ---------- ----------- -----------
Distributions:
Institutional Class Shares................ (488,834) (577,402) (138,994) (226,006) (677,037) (828,617)
----------- ----------- ---------- ---------- ----------- -----------
Total Distributions.................... (488,834) (577,402) (138,994) (226,006) (677,037) (828,617)
----------- ----------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................. 3,341,927 4,612,048 769,974 801,656 2,081,275 3,281,164
Shares Issued in Lieu of Cash
Distributions............................... 477,329 567,939 130,374 223,582 641,516 786,942
Shares Redeemed............................... (2,655,304) (3,335,154) (889,924) (954,936) (1,955,587) (2,983,020)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share
Transactions......................... 1,163,952 1,844,833 10,424 70,302 767,204 1,085,086
----------- ----------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in
Net Assets........................... 2,660,739 2,162,232 124,338 (113,234) 749,509 371,664
NET ASSETS
Beginning of Period........................... 24,677,650 22,515,418 4,610,769 4,724,003 17,303,451 16,931,787
----------- ----------- ---------- ---------- ----------- -----------
End of Period................................. $27,338,389 $24,677,650 $4,735,107 $4,610,769 $18,052,960 $17,303,451
=========== =========== ========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................. 164,069 209,626 44,185 41,129 64,218 88,622
Shares Issued in Lieu of Cash
Distributions............................... 24,270 26,310 7,938 11,712 21,059 21,913
Shares Redeemed............................... (128,602) (151,440) (50,697) (48,909) (60,408) (80,602)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................. 59,737 84,496 1,426 3,932 24,869 29,933
=========== =========== ========== ========== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. HIGH RELATIVE DFA REAL ESTATE SECURITIES
U.S. MICRO CAP PORTFOLIO PROFITABILITY PORTFOLIO PORTFOLIO
---------------------- ---------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ---------- ----------- -------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income
(Loss).......................... $ 34,156 $ 49,928 $ 7,802 $ 6,528 $ 180,010 $ 399,946
Net Realized Gain (Loss)
on:
Investment Securities
Sold/*,**/.................. 225,002 264,588 (3,639) (2,077) (30,451) (46,559)
Affiliated Investment
Companies Shares Sold....... 1 (61) -- (3) 4 (37)
Futures....................... (5,420) 7,709 (52) 59 (6,732) 8,922
Foreign Currency
Transactions................ -- (3) -- -- -- --
In-Kind Redemptions........... -- -- -- -- 50,622 80,654
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign Currency........ (112,806) (242,170) 105,724 35 899,947 (196,570)
Affiliated Investment
Companies Shares............ 66 (7) 1 1 17 (2)
Futures....................... 6,144 (3,647) -- -- 4,100 (2,811)
---------- ---------- ---------- -------- ----------- -----------
Net Increase
(Decrease) in Net
Assets Resulting
from Operations.......... 147,143 76,337 109,836 4,543 1,097,517 243,543
---------- ---------- ---------- -------- ----------- -----------
Distributions:
Institutional Class
Shares...................... (283,740) (328,523) (7,057) (5,717) (149,660) (439,618)
---------- ---------- ---------- -------- ----------- -----------
Total Distributions........ (283,740) (328,523) (7,057) (5,717) (149,660) (439,618)
---------- ---------- ---------- -------- ----------- -----------
Capital Share
Transactions (1):
Shares Issued..................... 698,594 990,936 467,544 637,379 1,111,773 1,859,208
Shares Issued in Lieu of
Cash Distributions.............. 261,766 302,813 7,052 5,712 123,356 351,943
Shares Redeemed................... (663,071) (869,977) (140,571) (60,262) (1,276,293) (1,718,594)
---------- ---------- ---------- -------- ----------- -----------
Net Increase
(Decrease) from
Capital Share
Transactions............. 297,289 423,772 334,025 582,829 (41,164) 492,557
---------- ---------- ---------- -------- ----------- -----------
Total Increase
(Decrease) in Net
Assets................... 160,692 171,586 436,804 581,655 906,693 296,482
NET ASSETS
Beginning of Period............... 6,478,316 6,306,730 722,728 141,073 8,577,658 8,281,176
---------- ---------- ---------- -------- ----------- -----------
End of Period..................... $6,639,008 $6,478,316 $1,159,532 $722,728 $ 9,484,351 $ 8,577,658
========== ========== ========== ======== =========== ===========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued..................... 34,784 43,334 39,681 52,575 31,172 54,826
Shares Issued in Lieu of
Cash Distributions.............. 13,888 13,706 609 468 3,552 10,160
Shares Redeemed................... (33,063) (38,021) (12,131) (4,950) (36,255) (50,388)
---------- ---------- ---------- -------- ----------- -----------
Net Increase
(Decrease) from
Shares Issued and
Redeemed................. 15,609 19,019 28,159 48,093 (1,531) 14,598
========== ========== ========== ======== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
LARGE CAP INTERNATIONAL INTERNATIONAL CORE GLOBAL SMALL
PORTFOLIO EQUITY PORTFOLIO COMPANY PORTFOLIO
---------------------- ------------------------ -------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ---------- ----------- ----------- ----------- -------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 74,623 $ 135,824 $ 411,722 $ 753,667 $ 237 $ 403
Capital Gain Distributions Received from
Investment Securities.............................. -- -- -- -- 587 333
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/................. (67,965) 9,278 (190,728) 37,602 -- --
Affiliated Investment Companies Shares
Sold........................................... (6) (31) 4 (83) (237) (93)
Transactions Allocated from Affiliated
Investment Company*,**......................... -- -- -- -- 721 (602)
Futures.......................................... (1,849) 5,207 (943) 42,294 -- 15
Foreign Currency Transactions.................... (652) (1,098) 2,144 (6,317) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................................... 376,743 (492,554) 1,462,548 (3,538,139) -- --
Affiliated Investment Companies Shares........... 20 35 96 (17) 306 (772)
Transactions Allocated from Affiliated
Investment Company............................. -- -- -- -- 190 (1,701)
Futures.......................................... 4,753 (3,535) 23,259 (17,544) -- --
Translation of Foreign Currency-
Denominated Amounts............................ (11) (201) (48) (811) -- --
---------- ---------- ----------- ----------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 385,656 (347,075) 1,708,054 (2,729,348) 1,804 (2,417)
---------- ---------- ----------- ----------- ------- -------
Distributions:
Institutional Class Shares....................... (52,104) (132,270) (297,074) (711,406) (308) (350)
---------- ---------- ----------- ----------- ------- -------
Total Distributions........................... (52,104) (132,270) (297,074) (711,406) (308) (350)
---------- ---------- ----------- ----------- ------- -------
Capital Share Transactions (1):
Shares Issued........................................ 1,019,278 1,048,667 5,441,043 8,724,881 8,411 22,726
Shares Issued in Lieu of Cash Distributions.......... 46,307 116,674 282,294 674,993 308 350
Shares Redeemed...................................... (742,322) (821,680) (4,418,497) (4,228,499) (5,825) (3,950)
---------- ---------- ----------- ----------- ------- -------
Net Increase (Decrease) from Capital
Share Transactions.......................... 323,263 343,661 1,304,840 5,171,375 2,894 19,126
---------- ---------- ----------- ----------- ------- -------
Total Increase (Decrease) in Net
Assets...................................... 656,815 (135,684) 2,715,820 1,730,621 4,390 16,359
NET ASSETS
Beginning of Period.................................. 4,587,406 4,723,090 27,174,589 25,443,968 31,380 15,021
---------- ---------- ----------- ----------- ------- -------
End of Period........................................ $5,244,221 $4,587,406 $29,890,409 $27,174,589 $35,770 $31,380
========== ========== =========== =========== ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 48,793 44,730 439,660 611,977 815 1,939
Shares Issued in Lieu of Cash Distributions.......... 2,229 5,040 23,614 48,289 31 31
Shares Redeemed...................................... (35,522) (35,059) (360,563) (299,311) (572) (346)
---------- ---------- ----------- ----------- ------- -------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... 15,500 14,711 102,711 360,955 274 1,624
========== ========== =========== =========== ======= =======
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL SMALL JAPANESE SMALL ASIA PACIFIC SMALL
COMPANY PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO
------------------------ --------------------- --------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ----------- ----------- --------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 136,255 $ 305,199 $ 6,493 $ 10,186 $ 5,523 $ 12,981
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated
Investment Company*,**......................... 194,248 549,889 3,900 36,946 1,984 (13,453)
Futures.......................................... (1,000) 17,382 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................................... 108 -- -- -- -- --
Transactions Allocated from Affiliated
Investment Company............................. 242,534 (2,214,609) (21,064) (101,251) 25,627 (33,087)
Futures.......................................... 6,908 (9,491) -- -- -- --
----------- ----------- -------- --------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 579,053 (1,351,630) (10,671) (54,119) 33,134 (33,559)
----------- ----------- -------- --------- -------- --------
Distributions:
Institutional Class Shares....................... (740,835) (711,038) (39,387) (15,936) (11,260) (13,370)
----------- ----------- -------- --------- -------- --------
Total Distributions........................... (740,835) (711,038) (39,387) (15,936) (11,260) (13,370)
----------- ----------- -------- --------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................ 1,902,140 2,606,895 38,156 141,296 11,726 103,070
Shares Issued in Lieu of Cash Distributions.......... 712,536 680,889 36,290 14,541 10,374 12,186
Shares Redeemed...................................... (2,485,648) (2,059,202) (55,779) (111,110) (11,921) (54,145)
----------- ----------- -------- --------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions.......................... 129,028 1,228,582 18,667 44,727 10,179 61,111
----------- ----------- -------- --------- -------- --------
Total Increase (Decrease) in Net
Assets...................................... (32,754) (834,086) (31,391) (25,328) 32,053 14,182
NET ASSETS
Beginning of Period.................................. 12,656,204 13,490,290 622,650 647,978 346,335 332,153
----------- ----------- -------- --------- -------- --------
End of Period........................................ $12,623,450 $12,656,204 $591,259 $ 622,650 $378,388 $346,335
=========== =========== ======== ========= ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 111,807 124,547 1,648 4,906 572 4,371
Shares Issued in Lieu of Cash Distributions.......... 44,701 33,057 1,637 505 522 527
Shares Redeemed...................................... (145,395) (98,779) (2,400) (3,870) (567) (2,282)
----------- ----------- -------- --------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... 11,113 58,825 885 1,541 527 2,616
=========== =========== ======== ========= ======== ========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
UNITED KINGDOM SMALL CONTINENTAL SMALL DFA INTERNATIONAL REAL
COMPANY PORTFOLIO COMPANY PORTFOLIO ESTATE SECURITIES PORTFOLIO
------------------- --------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ------- ----------- --------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 420 $ 1,170 $ 5,436 $ 15,590 $ 111,498 $ 245,747
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/................. -- -- -- -- (102,659) (55,861)
Affiliated Investment Companies Shares
Sold........................................... -- -- -- -- 1 (50)
Transactions Allocated from Affiliated
Investment Company*,**......................... 55 2,228 49,188 19,862 -- --
Futures.......................................... -- -- -- -- (1,258) 6,053
Foreign Currency Transactions.................... -- -- -- -- 834 3,300
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency....... -- -- -- -- 551,631 (212,037)
Affiliated Investment Companies Shares........... -- -- -- -- 9 6
Transactions Allocated from Affiliated
Investment Company............................. 1,604 (7,070) (9,834) (119,115) -- --
Futures.......................................... -- -- -- -- 3,208 (1,430)
Translation of Foreign Currency-Denominated
Amounts........................................ -- -- -- -- 85 (239)
------- ------- --------- --------- ---------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 2,079 (3,672) 44,790 (83,663) 563,349 (14,511)
------- ------- --------- --------- ---------- -----------
Distributions:
Institutional Class Shares....................... (1,692) (3,924) (21,094) (20,414) (302,662) (241,977)
------- ------- --------- --------- ---------- -----------
Total Distributions........................... (1,692) (3,924) (21,094) (20,414) (302,662) (241,977)
------- ------- --------- --------- ---------- -----------
Capital Share Transactions (1):
Shares Issued........................................ 1,072 2,809 99,162 207,831 591,761 1,129,099
Shares Issued in Lieu of Cash Distributions.......... 1,517 3,396 20,000 19,301 297,390 238,291
Shares Redeemed...................................... (8,164) (7,435) (144,846) (69,751) (904,436) (1,166,148)
------- ------- --------- --------- ---------- -----------
Net Increase (Decrease) from Capital
Share Transactions.......................... (5,575) (1,230) (25,684) 157,381 (15,285) 201,242
------- ------- --------- --------- ---------- -----------
Total Increase (Decrease) in Net
Assets...................................... (5,188) (8,826) (1,988) 53,304 245,402 (55,246)
NET ASSETS
Beginning of Period.................................. 36,351 45,177 645,651 592,347 5,442,507 5,497,753
------- ------- --------- --------- ---------- -----------
End of Period........................................ $31,163 $36,351 $ 643,663 $ 645,651 $5,687,909 $ 5,442,507
======= ======= ========= ========= ========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 42 91 4,406 7,354 120,393 219,592
Shares Issued in Lieu of Cash Distributions.......... 66 114 925 709 64,510 46,632
Shares Redeemed...................................... (341) (239) (6,201) (2,541) (189,862) (228,031)
------- ------- --------- --------- ---------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... (233) (34) (870) 5,522 (4,959) 38,193
======= ======= ========= ========= ========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA GLOBAL REAL ESTATE DFA INTERNATIONAL SMALL INTERNATIONAL VECTOR EQUITY
SECURITIES PORTFOLIO CAP VALUE PORTFOLIO PORTFOLIO
------------------------ ------------------------ --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ----------- ----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................... $ 245,422 $ 319,485 $ 145,881 $ 333,887 $ 33,004 $ 63,232
Capital Gain Distributions Received from
Investment Securities......................... -- 5,030 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/............ 4,056 (30,218) 43,249 489,396 (14,545) 81,370
Affiliated Investment Companies
Shares Sold............................... 23,983 13,679 8 (64) (1) (4)
Futures..................................... (135) -- (2,562) 19,832 (1,747) (84)
Foreign Currency Transactions............... -- -- (522) (11,795) (520) (430)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 398,356 (6,013) 78,543 (2,949,087) 103,233 (401,480)
Affiliated Investment Companies
Shares.................................... 225,017 (177,027) 56 (36) 11 (6)
Futures..................................... -- -- 7,897 (7,629) -- --
Translation of Foreign Currency-
Denominated Amounts....................... -- -- (166) (512) (56) (65)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 896,699 124,936 272,384 (2,126,008) 119,379 (257,467)
----------- ----------- ----------- ----------- ---------- ----------
Distributions:
Institutional Class Shares.................. (351,905) (255,497) (616,000) (896,785) (97,827) (69,245)
----------- ----------- ----------- ----------- ---------- ----------
Total Distributions...................... (351,905) (255,497) (616,000) (896,785) (97,827) (69,245)
----------- ----------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 1,089,871 2,076,669 2,085,486 2,575,335 702,599 587,591
Shares Issued in Lieu of Cash
Distributions................................. 335,724 245,163 556,119 810,215 93,072 68,621
Shares Redeemed................................. (1,144,784) (1,469,129) (2,284,232) (2,737,533) (671,865) (418,135)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............. 280,811 852,703 357,373 648,017 123,806 238,077
----------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................. 825,605 722,142 13,757 (2,374,776) 145,358 (88,635)
NET ASSETS
Beginning of Period............................. 7,475,924 6,753,782 13,787,695 16,162,471 2,441,217 2,529,852
----------- ----------- ----------- ----------- ---------- ----------
End of Period................................... $ 8,301,529 $ 7,475,924 $13,801,452 $13,787,695 $2,586,575 $2,441,217
=========== =========== =========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 99,547 193,699 118,434 116,242 64,167 44,843
Shares Issued in Lieu of Cash
Distributions................................. 32,690 22,410 33,421 36,559 8,921 5,242
Shares Redeemed................................. (106,641) (137,791) (130,126) (123,463) (61,404) (31,849)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................... 25,596 78,318 21,729 29,338 11,684 18,236
=========== =========== =========== =========== ========== ==========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
128
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
-------------------------- -------------------- ---------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- -------- ----------- -------- ----------- ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 5,219 $ 4,407 $ 3,514 $ 6,776 $ 5,302 $ 10,453
Capital Gain Distributions Received
from Investment Securities................ -- -- 766 772 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/........ (3,545) (1,478) -- -- 3,466 14,758
Affiliated Investment Companies
Shares Sold........................... (1) -- (628) (152) -- (1)
Transactions Allocated from
Affiliated Investment
Company*,**........................... -- -- 682 4,866 -- --
Futures................................. 255 167 (109) -- (308) 22
Foreign Currency Transactions........... (52) 35 -- -- (66) (268)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency...................... 34,472 (27,436) -- -- 23,747 (98,264)
Affiliated Investment Companies
Shares................................ -- -- 265 (4,644) -- --
Transactions Allocated from
Affiliated Investment Company......... -- -- 10,739 (30,618) -- --
Translation of Foreign
Currency-Denominated Amounts.......... (10) (7) -- -- (6) (8)
-------- -------- -------- -------- --------- ---------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 36,338 (24,312) 15,229 (23,000) 32,135 (73,308)
-------- -------- -------- -------- --------- ---------
Distributions:
Institutional Class Shares.............. (3,225) (3,960) (7,673) (8,118) (14,079) (18,759)
-------- -------- -------- -------- --------- ---------
Total Distributions.................. (3,225) (3,960) (7,673) (8,118) (14,079) (18,759)
-------- -------- -------- -------- --------- ---------
Capital Share Transactions (1):
Shares Issued............................... 182,636 252,625 67,430 78,125 245,029 215,731
Shares Issued in Lieu of Cash
Distributions............................. 3,224 3,958 7,666 8,111 14,048 18,713
Shares Redeemed............................. (47,301) (29,236) (42,165) (61,001) (182,854) (148,726)
-------- -------- -------- -------- --------- ---------
Net Increase (Decrease) from
Capital Share Transactions......... 138,559 227,347 32,931 25,235 76,223 85,718
-------- -------- -------- -------- --------- ---------
Total Increase (Decrease) in
Net Assets......................... 171,672 199,075 40,487 (5,883) 94,279 (6,349)
NET ASSETS
Beginning of Period......................... 266,868 67,793 240,668 246,551 460,155 466,504
-------- -------- -------- -------- --------- ---------
End of Period............................... $438,540 $266,868 $281,155 $240,668 $ 554,434 $ 460,155
======== ======== ======== ======== ========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 18,730 23,561 6,186 6,253 20,451 15,217
Shares Issued in Lieu of Cash
Distributions............................. 328 374 738 657 1,213 1,301
Shares Redeemed............................. (4,944) (2,797) (3,823) (4,751) (15,157) (10,739)
-------- -------- -------- -------- --------- ---------
Net Increase (Decrease) from
Shares Issued and Redeemed......... 14,114 21,138 3,101 2,159 6,507 5,779
======== ======== ======== ======== ========= =========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
WORLD EX U.S. CORE EQUITY WORLD CORE EQUITY SELECTIVELY HEDGED
PORTFOLIO PORTFOLIO GLOBAL EQUITY PORTFOLIO
------------------------ --------------------- ---------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ---------- ----------- --------- ----------- ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 42,057 $ 81,701 $ 6,897 $ 13,553 $ 3,730 $ 7,842
Capital Gain Distributions Received from
Investment Securities.............................. -- -- 2,509 1,843 1,971 1,607
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/................. (11,038) 21,093 -- -- -- 1
Affiliated Investment Companies Shares
Sold........................................... (1) (7) (2,690) 1,952 (3,060) 2,046
Futures.......................................... (1,060) 1,743 (63) 145 (2,076) 3,877
Foreign Currency Transactions.................... (140) (951) -- -- -- --
Forward Currency Contracts....................... -- -- -- -- 2,569 4,871
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign
Currency....................................... 238,349 (472,935) -- -- 2 13
Affiliated Investment Companies Shares........... 9 (1) 61,804 (39,888) 28,836 (27,187)
Futures.......................................... -- -- -- -- 2,381 (2,628)
Translation of Foreign Currency-
Denominated Amounts............................ (48) (79) -- -- -- --
Forward Currency Contracts....................... -- -- -- -- (1,116) 178
---------- ---------- -------- --------- -------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 268,128 (369,436) 68,457 (22,395) 33,237 (9,380)
---------- ---------- -------- --------- -------- ---------
Distributions:
Institutional Class Shares....................... (48,817) (75,944) (12,170) (14,502) (16,865) (11,171)
---------- ---------- -------- --------- -------- ---------
Total Distributions........................... (48,817) (75,944) (12,170) (14,502) (16,865) (11,171)
---------- ---------- -------- --------- -------- ---------
Capital Share Transactions (1):
Shares Issued........................................ 789,969 1,408,140 132,763 346,536 52,637 114,026
Shares Issued in Lieu of Cash Distributions.......... 47,153 72,834 12,074 14,069 16,808 11,131
Shares Redeemed...................................... (555,805) (711,170) (65,880) (129,087) (59,766) (103,615)
---------- ---------- -------- --------- -------- ---------
Net Increase (Decrease) from Capital
Share Transactions.......................... 281,317 769,804 78,957 231,518 9,679 21,542
---------- ---------- -------- --------- -------- ---------
Total Increase (Decrease) in Net
Assets...................................... 500,628 324,424 135,244 194,621 26,051 991
NET ASSETS
Beginning of Period.................................. 3,129,791 2,805,367 741,512 546,891 403,195 402,204
---------- ---------- -------- --------- -------- ---------
End of Period........................................ $3,630,419 $3,129,791 $876,756 $ 741,512 $429,246 $ 403,195
========== ========== ======== ========= ======== =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 74,884 116,093 8,935 20,931 3,538 6,816
Shares Issued in Lieu of Cash Distributions.......... 4,674 6,147 832 856 1,185 679
Shares Redeemed...................................... (52,766) (59,215) (4,344) (7,697) (4,042) (6,176)
---------- ---------- -------- --------- -------- ---------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... 26,792 63,025 5,423 14,090 681 1,319
========== ========== ======== ========= ======== =========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $(1), $0 and $0, respectively.
See accompanying Notes to Financial Statements.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS EMERGING MARKETS EMERGING MARKETS VALUE
PORTFOLIO SMALL CAP PORTFOLIO PORTFOLIO
----------------------- ----------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................... $ 39,703 $ 127,713 $ 46,101 $ 172,421 $ 114,003 $ 453,039
Net Realized Gain (Loss) on:
Transactions Allocated from
Affiliated Investment
Company*,**............................... (15,692) 76,077 73,008 185,571 100,918 304,582
Change in Unrealized Appreciation
(Depreciation) of:
Transactions Allocated from
Affiliated Investment Company............. 626,514 (937,174) 769,601 (1,598,746) 1,327,074 (2,444,307)
---------- ----------- ---------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 650,525 (733,384) 888,710 (1,240,754) 1,541,995 (1,686,686)
---------- ----------- ---------- ----------- ----------- -----------
Distributions:
Class R2 Shares............................. -- -- -- -- (298) (632)
Institutional Class Shares.................. (34,000) (115,293) (248,942) (339,983) (195,858) (438,799)
---------- ----------- ---------- ----------- ----------- -----------
Total Distributions...................... (34,000) (115,293) (248,942) (339,983) (196,156) (439,431)
---------- ----------- ---------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................... 832,653 1,740,732 637,656 1,502,030 2,007,377 2,709,737
Shares Issued in Lieu of Cash
Distributions................................. 30,550 104,589 232,932 321,912 184,862 416,976
Shares Redeemed................................. (780,360) (2,235,370) (793,836) (1,188,516) (1,502,626) (3,958,464)
---------- ----------- ---------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions............. 82,843 (390,049) 76,752 635,426 689,613 (831,751)
---------- ----------- ---------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................. 699,368 (1,238,726) 716,520 (945,311) 2,035,452 (2,957,868)
NET ASSETS
Beginning of Period............................. 5,394,188 6,632,914 6,304,406 7,249,717 16,456,560 19,414,428
---------- ----------- ---------- ----------- ----------- -----------
End of Period................................... $6,093,556 $ 5,394,188 $7,020,926 $ 6,304,406 $18,492,012 $16,456,560
========== =========== ========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 31,148 59,520 32,323 66,017 70,844 88,155
Shares Issued in Lieu of Cash
Distributions................................. 1,194 3,693 12,571 14,324 6,920 14,033
Shares Redeemed................................. (29,172) (75,814) (40,560) (52,180) (53,696) (128,806)
---------- ----------- ---------- ----------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................... 3,170 (12,601) 4,334 28,161 24,068 (26,618)
========== =========== ========== =========== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $(144), respectively.
See accompanying Notes to Financial Statements.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS CORE EMERGING MARKETS TARGETED
EQUITY PORTFOLIO VALUE PORTFOLIO
------------------------ -------------------------
PERIOD
NOV 14,
SIX MONTHS YEAR 2018(A)
ENDED ENDED TO
APR 30, OCT 31, APR 30,
2019 2018 2019
----------- ----------- -------------------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 191,186 $ 640,665 $ 494
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/.................................. (191,846) 31,925 158
Affiliated Investment Companies Shares Sold....................... 9 (73) --
Futures........................................................... 2,305 23,201 39
Foreign Currency Transactions..................................... 1,387 (8,571) (40)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ 3,159,593 (4,701,470) 7,910
Affiliated Investment Companies Shares............................ 56 (27) --
Futures........................................................... 21,428 (14,163) --
Translation of Foreign Currency-Denominated Amounts............... (33) (112) (1)
----------- ----------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... 3,184,085 (4,028,625) 8,560
----------- ----------- --------
Distributions:
Institutional Class Shares........................................ (202,687) (593,704) (64)
----------- ----------- --------
Total Distributions............................................ (202,687) (593,704) (64)
----------- ----------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 3,557,676 7,226,472 114,217
Shares Issued in Lieu of Cash Distributions........................... 191,145 559,808 64
Shares Redeemed....................................................... (3,094,651) (4,876,914) (5,124)
----------- ----------- --------
Net Increase (Decrease) from Capital Share Transactions........ 654,170 2,909,366 109,157
----------- ----------- --------
Total Increase (Decrease) in Net Assets........................ 3,635,568 (1,712,963) 117,653
NET ASSETS
Beginning of Period................................................... 25,372,759 27,085,722 --
----------- ----------- --------
End of Period......................................................... $29,008,327 $25,372,759 $117,653
=========== =========== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 177,591 325,137 11,301
Shares Issued in Lieu of Cash Distributions........................... 9,911 26,402 6
Shares Redeemed....................................................... (156,020) (222,685) (484)
----------- ----------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........ 31,482 128,854 10,823
=========== =========== ========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $(1) and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $(5) and $0, respectively.
See accompanying Notes to Financial Statements.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period................. $ 13.03 $ 14.54 $ 12.22 $ 12.54 $ 13.65 $ 11.70
-------- -------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)...................... 0.14 0.26 0.18 0.10 0.07 0.07
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.14 0.52 2.63 0.45 0.53 1.94
-------- -------- -------- -------- -------- --------
Total from Investment Operations.............. 1.28 0.78 2.81 0.55 0.60 2.01
-------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income............................. (0.19) (0.25) (0.13) (0.08) (0.05) (0.06)
Net Realized Gains................................ (0.57) (2.04) (0.36) (0.79) (1.66) --
-------- -------- -------- -------- -------- --------
Total Distributions........................... (0.76) (2.29) (0.49) (0.87) (1.71) (0.06)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period....................... $ 13.55 $ 13.03 $ 14.54 $ 12.22 $ 12.54 $ 13.65
======== ======== ======== ======== ======== ========
Total Return......................................... 10.86%(B) 5.62% 23.53% 4.75% 5.25% 17.18%
-------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands)................ $346,494 $327,063 $322,347 $238,413 $203,641 $216,719
Ratio of Expenses to Average Net Assets.............. 0.15%(C) 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))............................ 0.24%(C) 0.23% 0.24% 0.24% 0.24% 0.23%
Ratio of Net Investment Income to Average............
Net Assets......................................... 2.19%(C) 1.94% 1.36% 0.80% 0.53% 0.55%
Portfolio Turnover Rate.............................. 55%(B) 91% 122% 119% 223% 202%
-------- -------- -------- -------- -------- --------
U.S. LARGE CAP EQUITY PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period................. $ 16.75 $ 15.93 $ 13.06 $ 12.86 $ 12.65 $ 11.07
---------- ---------- ---------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)...................... 0.15 0.28 0.26 0.25 0.23 0.21
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.43 0.81 2.87 0.19 0.21 1.57
---------- ---------- ---------- -------- -------- --------
Total from Investment Operations.............. 1.58 1.09 3.13 0.44 0.44 1.78
---------- ---------- ---------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income............................. (0.16) (0.27) (0.26) (0.24) (0.21) (0.20)
Net Realized Gains................................ -- -- -- -- (0.02) --
---------- ---------- ---------- -------- -------- --------
Total Distributions........................... (0.16) (0.27) (0.26) (0.24) (0.23) (0.20)
---------- ---------- ---------- -------- -------- --------
Net Asset Value, End of Period....................... $ 18.17 $ 16.75 $ 15.93 $ 13.06 $ 12.86 $ 12.65
========== ========== ========== ======== ======== ========
Total Return......................................... 9.52%(B) 6.82% 24.16% 3.51% 3.49% 16.19%
---------- ---------- ---------- -------- -------- --------
Net Assets, End of Period (thousands)................ $1,654,741 $1,457,218 $1,212,883 $851,323 $699,144 $274,955
Ratio of Expenses to Average Net Assets.............. 0.18%(C) 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))............................ 0.18%(C) 0.17% 0.17% 0.17% 0.19% 0.20%
Ratio of Net Investment Income to Average............
Net Assets......................................... 1.82%(C) 1.64% 1.74% 1.99% 1.77% 1.75%
Portfolio Turnover Rate.............................. 10%(B) 7% 11% 12% 12% 1%
---------- ---------- ---------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
133
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 37.41 $ 38.84 $ 32.63 $ 33.27 $ 33.75 $ 29.72
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.41 0.78 0.74 0.70 0.69 0.56
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.97 0.35 6.99 0.71 (0.32) 4.02
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations..... 1.38 1.13 7.73 1.41 0.37 4.58
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................... (0.34) (0.73) (0.70) (0.70) (0.66) (0.55)
Net Realized Gains....................... (1.80) (1.83) (0.82) (1.35) (0.19) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (2.14) (2.56) (1.52) (2.05) (0.85) (0.55)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period.............. $ 36.65 $ 37.41 $ 38.84 $ 32.63 $ 33.27 $ 33.75
=========== =========== =========== =========== =========== ===========
Total Return................................ 4.37%(B) 2.79% 24.11% 4.58% 1.16% 15.49%
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands)....... $26,217,538 $25,268,336 $23,732,871 $17,673,253 $15,807,935 $15,146,981
Ratio of Expenses to Average
Net Assets (D)............................ 0.27%(C) 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) (D)............ 0.37%(C) 0.37% 0.37% 0.37% 0.30% 0.27%
Ratio of Net Investment Income to
Average Net Assets........................ 2.33%(C) 1.98% 2.03% 2.24% 2.04% 1.75%
----------- ----------- ----------- ----------- ----------- -----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES
-----------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ------- ------- ------- ------- -------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 23.45 $ 25.15 $ 21.26 $ 21.58 $ 23.19 $ 22.63
------- ------- ------- ------- ------- -------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)............. 0.14 0.28 0.25 0.24 0.26 0.18
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.69 (0.63) 4.66 0.60 (0.61) 1.86
------- ------- ------- ------- ------- -------
Total from Investment Operations..... 0.83 (0.35) 4.91 0.84 (0.35) 2.04
------- ------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.................... (0.12) (0.26) (0.24) (0.27) (0.25) (0.16)
Net Realized Gains....................... (0.94) (1.09) (0.78) (0.89) (1.01) (1.32)
------- ------- ------- ------- ------- -------
Total Distributions.................. (1.06) (1.35) (1.02) (1.16) (1.26) (1.48)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period.............. $ 23.22 $ 23.45 $ 25.15 $ 21.26 $ 21.58 $ 23.19
======= ======= ======= ======= ======= =======
Total Return................................ 4.20%(B) (1.61%) 23.32% 4.21% (1.33%) 9.47%
------- ------- ------- ------- ------- -------
Net Assets, End of Period (thousands)....... $52,278 $47,848 $54,960 $35,661 $40,159 $16,971
Ratio of Expenses to Average Net Assets..... 0.47%(C) 0.47% 0.47% 0.47% 0.47% 0.47%
Ratio of Net Investment Income to
Average Net Assets........................ 1.27%(C) 1.10% 1.03% 1.16% 1.15% 0.79%
Portfolio Turnover Rate..................... 5%(B) 23% 23% 28% 15% 10%
------- ------- ------- ------- ------- -------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES
---------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- -------- -------- -------- -------- -------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 23.32 $ 25.03 $ 21.16 $ 21.51 $ 23.12 $ 22.57
------- -------- -------- -------- -------- -------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)............. 0.13 0.24 0.21 0.20 0.23 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.69 (0.63) 4.65 0.60 (0.61) 1.84
------- -------- -------- -------- -------- -------
Total from Investment Operations..... 0.82 (0.39) 4.86 0.80 (0.38) 1.99
------- -------- -------- -------- -------- -------
Less Distributions:
-------------------
Net Investment Income.................... (0.10) (0.23) (0.21) (0.26) (0.22) (0.12)
Net Realized Gains....................... (0.94) (1.09) (0.78) (0.89) (1.01) (1.32)
------- -------- -------- -------- -------- -------
Total Distributions.................. (1.04) (1.32) (0.99) (1.15) (1.23) (1.44)
------- -------- -------- -------- -------- -------
Net Asset Value, End of Period.............. $ 23.10 $ 23.32 $ 25.03 $ 21.16 $ 21.51 $ 23.12
======= ======== ======== ======== ======== =======
Total Return................................ 4.17%(B) (1.79%) 23.17% 4.04% (1.49%) 9.30%
------- -------- -------- -------- -------- -------
Net Assets, End of Period (thousands)....... $90,324 $108,168 $156,809 $147,945 $135,412 $82,977
Ratio of Expenses to Average Net Assets..... 0.62%(C) 0.62% 0.62% 0.62% 0.63% 0.62%
Ratio of Net Investment Income to
Average Net Assets........................ 1.14%(C) 0.95% 0.90% 1.00% 1.02% 0.64%
Portfolio Turnover Rate..................... 5%(B) 23% 23% 28% 15% 10%
------- -------- -------- -------- -------- -------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
136
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period............ $ 23.46 $ 25.16 $ 21.26 $ 21.56 $ 23.16 $ 22.60
----------- ----------- ----------- ---------- ---------- ----------
Income (loss) from Investment Operations(A)
-------------------------------------------
Net Investment Income (Loss)................. 0.15 0.30 0.27 0.25 0.29 0.21
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.69 (0.63) 4.67 0.60 (0.61) 1.85
----------- ----------- ----------- ---------- ---------- ----------
Total from Investment Operations......... 0.84 (0.33) 4.94 0.85 (0.32) 2.06
----------- ----------- ----------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income........................ (0.13) (0.28) (0.26) (0.26) (0.27) (0.18)
Net Realized Gains........................... (0.94) (1.09) (0.78) (0.89) (1.01) (1.32)
----------- ----------- ----------- ---------- ---------- ----------
Total Distributions...................... (1.07) (1.37) (1.04) (1.15) (1.28) (1.50)
----------- ----------- ----------- ---------- ---------- ----------
Net Asset Value, End of Period.................. $ 23.23 $ 23.46 $ 25.16 $ 21.26 $ 21.56 $ 23.16
=========== =========== =========== ========== ========== ==========
Total Return.................................... 4.26%(B) (1.52%) 23.46% 4.29% (1.20%) 9.58%
----------- ----------- ----------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........... $11,073,874 $10,307,146 $10,528,662 $7,884,683 $6,987,896 $5,490,959
Ratio of Expenses to Average Net Assets......... 0.37%(C) 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average Net
Assets........................................ 1.37%(C) 1.20% 1.13% 1.24% 1.28% 0.90%
Portfolio Turnover Rate......................... 5%(B) 23% 23% 28% 15% 10%
----------- ----------- ----------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
137
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 36.39 $ 39.07 $ 32.75 $ 33.08 $ 35.82 $ 34.48
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.20 0.39 0.31 0.32 0.41 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.26 (0.90) 7.71 1.06 (1.44) 2.93
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations..... 0.46 (0.51) 8.02 1.38 (1.03) 3.16
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................... (0.17) (0.37) (0.30) (0.33) (0.38) (0.22)
Net Realized Gains....................... (1.95) (1.80) (1.40) (1.38) (1.33) (1.60)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (2.12) (2.17) (1.70) (1.71) (1.71) (1.82)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period.............. $ 34.73 $ 36.39 $ 39.07 $ 32.75 $ 33.08 $ 35.82
=========== =========== =========== =========== =========== ===========
Total Return................................ 2.03%(B) (1.48%) 24.67% 4.49% (2.83%) 9.49%
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands)....... $14,879,196 $14,732,615 $15,165,867 $12,613,185 $11,680,262 $11,512,306
Ratio of Expenses to Average Net Assets..... 0.52%(C) 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to
Average Net Assets........................ 1.21%(C) 1.00% 0.83% 1.01% 1.18% 0.66%
Portfolio Turnover Rate..................... 10%(B) 27% 24% 19% 17% 9%
----------- ----------- ----------- ----------- ----------- -----------
U.S. CORE EQUITY 1 PORTFOLIO
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 22.77 $ 22.01 $ 18.00 $ 17.90 $ 17.71 $ 15.74
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.20 0.36 0.33 0.33 0.31 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 1.68 0.88 4.12 0.30 0.26 2.02
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations..... 1.88 1.24 4.45 0.63 0.57 2.29
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................... (0.20) (0.35) (0.35) (0.32) (0.30) (0.25)
Net Realized Gains....................... (0.14) (0.13) (0.09) (0.21) (0.08) (0.07)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (0.34) (0.48) (0.44) (0.53) (0.38) (0.32)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period.............. $ 24.31 $ 22.77 $ 22.01 $ 18.00 $ 17.90 $ 17.71
=========== =========== =========== =========== =========== ===========
Total Return................................ 8.48%(B) 5.59% 24.93% 3.68% 3.26% 14.72%
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands)....... $26,189,730 $23,629,726 $20,762,742 $14,960,159 $13,275,774 $10,780,830
Ratio of Expenses to Average Net Assets..... 0.19%(C) 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets........................ 1.74%(C) 1.55% 1.64% 1.88% 1.71% 1.61%
Portfolio Turnover Rate..................... 2%(B) 3% 3% 4% 4% 5%
----------- ----------- ----------- ----------- ----------- -----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
138
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 2 PORTFOLIO
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period......... $ 21.25 $ 20.90 $ 17.19 $ 17.26 $ 17.34 $ 15.62
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.18 0.34 0.31 0.31 0.30 0.26
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 1.38 0.53 3.83 0.25 0.02 1.86
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations...... 1.56 0.87 4.14 0.56 0.32 2.12
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income..................... (0.19) (0.32) (0.31) (0.30) (0.28) (0.24)
Net Realized Gains........................ (0.23) (0.20) (0.12) (0.33) (0.12) (0.16)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions................... (0.42) (0.52) (0.43) (0.63) (0.40) (0.40)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period............... $ 22.39 $ 21.25 $ 20.90 $ 17.19 $ 17.26 $ 17.34
=========== =========== =========== =========== =========== ===========
Total Return................................. 7.60%(B) 4.16% 24.36% 3.47% 1.92% 13.78%
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands)........ $27,338,389 $24,677,650 $22,515,418 $16,851,046 $15,200,564 $12,919,176
Ratio of Expenses to Average Net Assets...... 0.22%(C) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average
Net Assets 1.73%(C) 1.53% 1.59% 1.87% 1.68% 1.55%
Portfolio Turnover Rate...................... 2%(B) 5% 5% 4% 5% 6%
----------- ----------- ----------- ----------- ----------- -----------
U.S. VECTOR EQUITY PORTFOLIO
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period......... $ 18.40 $ 19.16 $ 15.93 $ 16.22 $ 17.04 $ 15.62
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.14 0.26 0.24 0.25 0.25 0.21
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.80 (0.10) 3.65 0.24 (0.30) 1.62
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations...... 0.94 0.16 3.89 0.49 (0.05) 1.83
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income..................... (0.13) (0.25) (0.23) (0.25) (0.24) (0.19)
Net Realized Gains........................ (0.42) (0.67) (0.43) (0.53) (0.53) (0.22)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions................... (0.55) (0.92) (0.66) (0.78) (0.77) (0.41)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period............... $ 18.79 $ 18.40 $ 19.16 $ 15.93 $ 16.22 $ 17.04
========== ========== ========== ========== ========== ==========
Total Return................................. 5.60%(B) 0.69% 24.73% 3.28% (0.18%) 11.91%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........ $4,735,107 $4,610,769 $4,724,003 $3,822,647 $3,651,529 $3,501,319
Ratio of Expenses to Average Net Assets...... 0.32%(C) 0.32% 0.32% 0.32% 0.32% 0.32%
Ratio of Net Investment Income to Average
Net Assets 1.55%(C) 1.35% 1.36% 1.64% 1.50% 1.26%
Portfolio Turnover Rate...................... 3%(B) 10% 10% 10% 10% 10%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
139
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO
------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period.......... $ 35.02 $ 36.48 $ 30.14 $ 30.84 $ 31.38 $ 30.03
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................ 0.19 0.39 0.35 0.34 0.35 0.26
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.95 (0.08) 7.17 0.77 0.33 2.27
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment Operations....... 1.14 0.31 7.52 1.11 0.68 2.53
----------- ----------- ----------- ----------- ----------- ----------
Less Distributions:
-------------------
Net Investment Income...................... (0.17) (0.37) (0.35) (0.35) (0.33) (0.24)
Net Realized Gains......................... (1.20) (1.40) (0.83) (1.46) (0.89) (0.94)
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions.................... (1.37) (1.77) (1.18) (1.81) (1.22) (1.18)
----------- ----------- ----------- ----------- ----------- ----------
Net Asset Value, End of Period................ $ 34.79 $ 35.02 $ 36.48 $ 30.14 $ 30.84 $ 31.38
=========== =========== =========== =========== =========== ==========
Total Return.................................. 3.81%(B) 0.77% 25.21% 3.89% 2.34% 8.67%
----------- ----------- ----------- ----------- ----------- ----------
Net Assets, End of Period (thousands)......... $18,052,960 $17,303,451 $16,931,787 $12,977,199 $10,616,542 $9,247,716
Ratio of Expenses to Average Net Assets....... 0.37%(C) 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average Net
Assets...................................... 1.15%(C) 1.06% 1.04% 1.16% 1.10% 0.86%
Portfolio Turnover Rate....................... 6%(B) 13% 14% 10% 11% 9%
----------- ----------- ----------- ----------- ----------- ----------
U.S. MICRO CAP PORTFOLIO
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period.......... $ 21.88 $ 22.76 $ 18.58 $ 19.00 $ 20.10 $ 19.64
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................ 0.11 0.17 0.16 0.16 0.16 0.14
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.27 0.12 5.12 0.60 0.02 1.35
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations....... 0.38 0.29 5.28 0.76 0.18 1.49
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income...................... (0.10) (0.16) (0.16) (0.16) (0.16) (0.13)
Net Realized Gains......................... (0.86) (1.01) (0.94) (1.02) (1.12) (0.90)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (0.96) (1.17) (1.10) (1.18) (1.28) (1.03)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period................ $ 21.30 $ 21.88 $ 22.76 $ 18.58 $ 19.00 $ 20.10
========== ========== ========== ========== ========== ==========
Total Return.................................. 2.32%(B) 1.29% 28.91% 4.32% 1.11% 7.88%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $6,639,008 $6,478,316 $6,306,730 $5,128,323 $5,007,091 $5,029,027
Ratio of Expenses to Average Net Assets....... 0.52%(C) 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net
Assets...................................... 1.09%(C) 0.74% 0.75% 0.88% 0.82% 0.69%
Portfolio Turnover Rate....................... 7%(B) 19% 15% 15% 14% 12%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
---------------------------------- --------------
PERIOD
SIX MONTHS YEAR MAY 16, SIX MONTHS
ENDED ENDED 2017(A) TO ENDED
APR 30, OCT 31, OCT 31, APR 30,
2019 2018 2017 2019
----------- -------- ---------- -----------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 11.85 $ 10.93 $ 10.00 $ 34.14
---------- -------- -------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 0.10 0.19 0.07 0.72
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 1.16 0.89 0.91 3.71
---------- -------- -------- ----------
Total from Investment Operations........... 1.26 1.08 0.98 4.43
---------- -------- -------- ----------
Less Distributions:
-------------------
Net Investment Income.......................... (0.10) (0.16) (0.05) (0.60)
Net Realized Gains............................. -- -- -- --
---------- -------- -------- ----------
Total Distributions........................ (0.10) (0.16) (0.05) (0.60)
---------- -------- -------- ----------
Net Asset Value, End of Period.................... $ 13.01 $ 11.85 $ 10.93 $ 37.97
========== ======== ======== ==========
Total Return...................................... 10.70%(B) 9.88% 9.84%(B) 13.14%(B)
---------- -------- -------- ----------
Net Assets, End of Period (thousands)............. $1,159,532 $722,728 $141,073 $9,484,351
Ratio of Expenses to Average Net Assets........... 0.25%(C) 0.25% 0.23%(C)(E) 0.18%(C)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid Indirectly)) 0.24%(C) 0.27% 0.35%(C)(E) 0.19%(C)
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.74%(C) 1.58% 1.45%(C)(E) 4.05%(C)
Portfolio Turnover Rate........................... 4%(B) 7% 0%(B) 2%(B)
---------- -------- -------- ----------
DFA REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period.............. $ 34.99 $ 34.32 $ 33.04 $ 32.24 $ 27.77
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 1.60 0.84 1.09 0.90 0.72
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (0.69) 1.12 1.18 0.95 4.62
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 0.91 1.96 2.27 1.85 5.34
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......................... (1.65) (0.98) (0.99) (1.05) (0.87)
Net Realized Gains............................. (0.11) (0.31) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions........................ (1.76) (1.29) (0.99) (1.05) (0.87)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.................... $ 34.14 $ 34.99 $ 34.32 $ 33.04 $ 32.24
========== ========== ========== ========== ==========
Total Return...................................... 2.63% 5.86% 6.89% 5.89% 19.80%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $8,577,658 $8,281,176 $7,260,180 $6,553,192 $6,607,759
Ratio of Expenses to Average Net Assets........... 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)) 0.19% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average Net
Assets.......................................... 4.66% 2.43% 3.15% 2.75% 2.48%
Portfolio Turnover Rate........................... 3% 1% 3% 4% 0%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
141
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LARGE CAP INTERNATIONAL PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 21.29 $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 22.20
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.33 0.66 0.58 0.57 0.58 0.75
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 1.31 (2.25) 4.00 (0.86) (1.24) (0.62)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 1.64 (1.59) 4.58 (0.29) (0.66) 0.13
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................... (0.23) (0.64) (0.58) (0.55) (0.57) (0.74)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.23) (0.64) (0.58) (0.55) (0.57) (0.74)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............. $ 22.70 $ 21.29 $ 23.52 $ 19.52 $ 20.36 $ 21.59
========== ========== ========== ========== ========== ==========
Total Return................................ 7.81%(B) (6.97%) 23.79% (1.30%) (3.10%) 0.47%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....... $5,244,221 $4,587,406 $4,723,090 $3,527,775 $3,150,334 $3,127,847
Ratio of Expenses to Average Net Assets..... 0.23%(C) 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%(C) 0.23% 0.25% 0.28% 0.29% 0.28%
Ratio of Net Investment Income to
Average Net Assets........................ 3.09%(C) 2.78% 2.72% 2.95% 2.71% 3.35%
Portfolio Turnover Rate..................... 4%(B) 8% 10% 10% 10% 4%
---------- ---------- ---------- ---------- ---------- ----------
INTERNATIONAL CORE EQUITY PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 12.65 $ 14.23 $ 11.58 $ 11.69 $ 12.15 $ 12.57
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.19 0.38 0.34 0.32 0.32 0.38
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.58 (1.60) 2.63 (0.15) (0.45) (0.43)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations..... 0.77 (1.22) 2.97 0.17 (0.13) (0.05)
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................... (0.14) (0.36) (0.32) (0.28) (0.33) (0.37)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (0.14) (0.36) (0.32) (0.28) (0.33) (0.37)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period.............. $ 13.28 $ 12.65 $ 14.23 $ 11.58 $ 11.69 $ 12.15
=========== =========== =========== =========== =========== ===========
Total Return................................ 6.19%(B) (8.79%) 26.02% 1.62% (1.10%) (0.55%)
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands)....... $29,890,409 $27,174,589 $25,443,968 $16,983,011 $14,420,568 $12,294,542
Ratio of Expenses to Average Net Assets..... 0.30%(C) 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%(C) 0.30% 0.32% 0.38% 0.38% 0.38%
Ratio of Net Investment Income to
Average Net Assets........................ 3.00%(C) 2.67% 2.62% 2.83% 2.63% 3.01%
Portfolio Turnover Rate..................... 3%(B) 4% 6% 2% 4% 7%
----------- ----------- ----------- ----------- ----------- -----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
142
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL SMALL COMPANY PORTFOLIO
-------------------------------- ---------------
PERIOD
SIX MONTHS YEAR JAN 18, SIX MONTHS
ENDED ENDED 2017(A) TO ENDED
APR 30, OCT 31, OCT 31, APR 30,
2019 2018 2017 2019
----------- ------- ---------- -----------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 10.73 $ 11.53 $ 10.00 $ 18.46
------- ------- ------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 0.08 0.19 0.14 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 0.48 (0.75) 1.39 0.57
------- ------- ------- -----------
Total from Investment Operations........... 0.56 (0.56) 1.53 0.76
------- ------- ------- -----------
Less Distributions:
-------------------
Net Investment Income.......................... (0.11) (0.17) -- (0.28)
Net Realized Gains............................. -- (0.07) -- (0.82)
------- ------- ------- -----------
Total Distributions........................ (0.11) (0.24) -- (1.10)
------- ------- ------- -----------
Net Asset Value, End of Period.................... $ 11.18 $ 10.73 $ 11.53 $ 18.12
======= ======= ======= ===========
Total Return...................................... 5.33%(B) (5.02%) 15.30%(B) 4.91%(B)
------- ------- ------- -----------
Net Assets, End of Period (thousands)............. $35,770 $31,380 $15,021 $12,623,450
Ratio of Expenses to Average Net Assets *(D)...... 0.49%(C) 0.49% 0.42%(C)(E) 0.54%(C)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) *(D)...................... 0.91%(C) 0.90% 1.14%(C)(E) 0.54%(C)
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.48%(C) 1.58% 1.74%(C)(E) 2.23%(C)
------- ------- ------- -----------
* 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%(C) 0.26% 0.27% 0.12%(C)
------- ------- ------- -----------
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 Period.............. $ 21.52 $ 17.78 $ 17.78 $ 18.24 $ 19.40
----------- ----------- ----------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 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 Period.................... $ 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 Period (thousands)............. $12,656,204 $13,490,290 $10,387,361 $9,323,492 $8,844,517
Ratio of Expenses to Average Net Assets *(D)...... 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) *(D)...................... 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%
----------- ----------- ----------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
143
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
JAPANESE SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period............... $ 25.70 $ 28.56 $ 23.01 $ 20.46 $ 19.15 $ 19.33
--------- -------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................... 0.26 0.43 0.37 0.32 0.25 0.24
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... (0.78) (2.59) 5.61 2.51 1.36 0.13
--------- -------- -------- -------- -------- --------
Total from Investment Operations............ (0.52) (2.16) 5.98 2.83 1.61 0.37
--------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income........................... (0.28) (0.70) (0.43) (0.28) (0.30) (0.55)
Net Realized Gains.............................. (1.35) -- -- -- -- --
--------- -------- -------- -------- -------- --------
Total Distributions......................... (1.63) (0.70) (0.43) (0.28) (0.30) (0.55)
--------- -------- -------- -------- -------- --------
Net Asset Value, End of Period..................... $ 23.55 $ 25.70 $ 28.56 $ 23.01 $ 20.46 $ 19.15
========= ======== ======== ======== ======== ========
Total Return....................................... (1.59%)(B) (7.82%) 26.56% 14.04% 8.62% 2.00%
--------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands).............. $ 591,259 $622,650 $647,978 $509,413 $463,997 $508,190
Ratio of Expenses to Average Net Assets (D)........ 0.54%(C) 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) (D)..................................... 0.64%(C) 0.63% 0.64% 0.64% 0.57% 0.55%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.23%(C) 1.49% 1.50% 1.57% 1.27% 1.25%
--------- -------- -------- -------- -------- --------
ASIA PACIFIC SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period............... $ 20.83 $ 23.71 $ 21.27 $ 19.06 $ 22.88 $ 24.82
--------- -------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................... 0.32 0.84 0.74 0.71 0.75 0.83
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 1.59 (2.76) 2.45 2.24 (3.51) (1.81)
--------- -------- -------- -------- -------- --------
Total from Investment Operations............ 1.91 (1.92) 3.19 2.95 (2.76) (0.98)
--------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income........................... (0.68) (0.96) (0.75) (0.74) (1.06) (0.96)
Net Realized Gains.............................. -- -- -- -- -- --
--------- -------- -------- -------- -------- --------
Total Distributions......................... (0.68) (0.96) (0.75) (0.74) (1.06) (0.96)
--------- -------- -------- -------- -------- --------
Net Asset Value, End of Period..................... $ 22.06 $ 20.83 $ 23.71 $ 21.27 $ 19.06 $ 22.88
========= ======== ======== ======== ======== ========
Total Return....................................... 9.53%(B) (8.51%) 15.70% 16.18% (12.19%) (3.84%)
--------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands).............. $ 378,388 $346,335 $332,153 $251,575 $200,270 $364,117
Ratio of Expenses to Average Net Assets (D)........ 0.56%(C) 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) (D)..................................... 0.66%(C) 0.64% 0.64% 0.64% 0.57% 0.55%
Ratio of Net Investment Income to Average Net
Assets........................................... 3.10%(C) 3.57% 3.41% 3.57% 3.67% 3.53%
--------- -------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
144
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
UNITED KINGDOM SMALL COMPANY PORTFOLIO
-----------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ------- ------- ------- ------- -------
(UNAUDITED)
Net Asset Value, Beginning of Period................... $ 26.95 $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 36.96
-------- ------- ------- ------- ------- -------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)........................ 0.35 0.85 0.87 1.18 1.06 0.95
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 1.89 (3.65) 6.67 (6.55) 1.95 (0.65)
-------- ------- ------- ------- ------- -------
Total from Investment Operations................ 2.24 (2.80) 7.54 (5.37) 3.01 0.30
-------- ------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income............................... (0.19) (0.79) (0.93) (1.29) (1.05) (0.93)
Net Realized Gains.................................. (1.07) (2.13) (1.15) (1.63) (2.38) (0.41)
-------- ------- ------- ------- ------- -------
Total Distributions............................. (1.26) (2.92) (2.08) (2.92) (3.43) (1.34)
-------- ------- ------- ------- ------- -------
Net Asset Value, End of Period......................... $ 27.93 $ 26.95 $ 32.67 $ 27.21 $ 35.50 $ 35.92
======== ======= ======= ======= ======= =======
Total Return........................................... 9.30%(B) (9.34%) 29.28% (16.20%) 9.43% 0.73%
-------- ------- ------- ------- ------- -------
Net Assets, End of Period (thousands).................. $ 31,163 $36,351 $45,177 $32,323 $35,637 $35,050
Ratio of Expenses to Average Net Assets (D)............ 0.59%(C) 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) (D)..... 0.77%(C) 0.68% 0.71% 0.71% 0.62% 0.62%
Ratio of Net Investment Income to Average Net Assets... 2.68%(C) 2.75% 2.93% 3.87% 2.99% 2.50%
-------- ------- ------- ------- ------- -------
CONTINENTAL SMALL COMPANY PORTFOLIO
---------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period................... $ 24.37 $ 28.24 $ 21.48 $ 20.74 $ 19.34 $ 20.26
-------- -------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)........................ 0.21 0.61 0.45 0.43 0.43 0.42
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 1.38 (3.68) 6.73 0.72 1.38 (0.90)
-------- -------- -------- -------- -------- --------
Total from Investment Operations................ 1.59 (3.07) 7.18 1.15 1.81 (0.48)
-------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income............................... (0.04) (0.59) (0.42) (0.41) (0.41) (0.44)
Net Realized Gains.................................. (0.80) (0.21) -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions............................. (0.84) (0.80) (0.42) (0.41) (0.41) (0.44)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period......................... $ 25.12 $ 24.37 $ 28.24 $ 21.48 $ 20.74 $ 19.34
======== ======== ======== ======== ======== ========
Total Return........................................... 7.09%(B) (11.14%) 33.68% 5.70% 9.37% (2.68%)
-------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands).................. $643,663 $645,651 $592,347 $292,117 $278,024 $168,961
Ratio of Expenses to Average Net Assets (D)............ 0.55%(C) 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) (D)..... 0.65%(C) 0.64% 0.66% 0.64% 0.58% 0.56%
Ratio of Net Investment Income to Average Net Assets... 1.77%(C) 2.16% 1.78% 2.08% 2.09% 1.97%
-------- -------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
145
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ----------- ---------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of
Period.......................... $ 4.85 $ 5.07 $ 5.23 $ 5.27 $ 5.63 $ 5.48
----------- ---------- ----------- ---------- ----------- -----------
Income from Investment
Operations (A)
----------------------
Net Investment Income
(Loss)....................... 0.10 0.22 0.21 0.20 0.19 0.22
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.41 (0.22) 0.04 (0.15) (0.22) 0.19
----------- ---------- ----------- ---------- ----------- -----------
Total from Investment
Operations............... 0.51 -- 0.25 0.05 (0.03) 0.41
----------- ---------- ----------- ---------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.......... (0.27) (0.22) (0.41) (0.09) (0.33) (0.26)
Net Realized Gains............. -- -- -- -- -- --
----------- ---------- ----------- ---------- ----------- -----------
Total Distributions........ (0.27) (0.22) (0.41) (0.09) (0.33) (0.26)
----------- ---------- ----------- ---------- ----------- -----------
Net Asset Value, End of Period.... $ 5.09 $ 4.85 $ 5.07 $ 5.23 $ 5.27 $ 5.63
=========== ========== =========== ========== =========== ===========
Total Return...................... 11.18%(B) (0.24%) 5.46% 1.05% (0.37%) 8.21%
----------- ---------- ----------- ---------- ----------- -----------
Net Assets, End of Period
(thousands)..................... $ 5,687,909 $5,442,507 $ 5,497,753 $4,181,623 $ 3,540,092 $ 3,088,376
Ratio of Expenses to Average
Net Assets *.................... 0.28%(C) 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%(C) 0.28% 0.28% 0.28% 0.32% 0.38%
Ratio of Net Investment
Income to Average Net Assets.... 4.11%(C) 4.27% 4.19% 3.71% 3.64% 4.14%
Portfolio Turnover Rate........... 5%(B) 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 N/A
----------- ---------- ----------- ---------- ----------- -----------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period.......................... $ 10.71 $ 10.90 $ 10.84 $ 10.59 $ 10.63 $ 9.59
----------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations (A)
----------------------
Net Investment Income
(Loss)....................... 0.35 0.48 0.43 0.27 0.44 0.31
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.91 (0.26) 0.15 0.23 (0.09) 1.05
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... 1.26 0.22 0.58 0.50 0.35 1.36
----------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.50) (0.34) (0.49) (0.25) (0.39) (0.32)
Net Realized Gains............. (--) (0.07) (0.03) -- -- --
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.50) (0.41) (0.52) (0.25) (0.39) (0.32)
----------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.... $ 11.47 $ 10.71 $ 10.90 $ 10.84 $ 10.59 $ 10.63
=========== ========== ========== ========== ========== ==========
Total Return...................... 12.40%(B) 1.91% 5.82% 4.87% 3.44% 14.98%
----------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $ 8,301,529 $7,475,924 $6,753,782 $4,888,955 $4,059,916 $3,305,472
Ratio of Expenses to Average
Net Assets *.................... 0.24%(C)(D) 0.24%(D) 0.24%(D) 0.24%(D) 0.27%(D) 0.32%(D)
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor and
(Fees Paid Indirectly)) *....... 0.34%(C)(D) 0.35%(D) 0.37%(D) 0.38%(D) 0.45%(D) 0.55%(D)
Ratio of Net Investment
Income to Average Net Assets.... 6.38%(C) 4.42% 4.03% 2.45% 4.16% 3.21%
Portfolio Turnover Rate........... 4%(B) 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%(C) 0.13% 0.15% 0.16% 0.22% 0.26%
----------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
146
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
------------ ----------- ------------ ------------ ------------ ------------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................... $ 19.24 $ 23.51 $ 19.31 $ 19.44 $ 19.55 $ 20.17
------------ ----------- ------------ ------------ ------------ ------------
Income from Investment
Operations (A)
----------------------
Net Investment Income (Loss)........ 0.20 0.47 0.39 0.44 0.38 0.37
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 0.14 (3.44) 4.72 0.29 0.22 (0.34)
------------ ----------- ------------ ------------ ------------ ------------
Total from Investment
Operations.................... 0.34 (2.97) 5.11 0.73 0.60 0.03
------------ ----------- ------------ ------------ ------------ ------------
Less Distributions:
-------------------
Net Investment Income............... (0.27) (0.56) (0.29) (0.58) (0.37) (0.35)
Net Realized Gains.................. (0.62) (0.74) (0.62) (0.28) (0.34) (0.30)
------------ ----------- ------------ ------------ ------------ ------------
Total Distributions............. (0.89) (1.30) (0.91) (0.86) (0.71) (0.65)
------------ ----------- ------------ ------------ ------------ ------------
Net Asset Value, End of Period......... $ 18.69 $ 19.24 $ 23.51 $ 19.31 $ 19.44 $ 19.55
============ =========== ============ ============ ============ ============
Total Return........................... 2.30%(B) (13.37%) 27.49% 4.09% 3.31% 0.13%
------------ ----------- ------------ ------------ ------------ ------------
Net Assets, End of Period
(thousands).......................... $ 13,801,452 $13,787,695 $ 16,162,471 $ 13,009,729 $ 12,577,575 $ 11,684,771
Ratio of Expenses to Average Net
Assets............................... 0.69%(C) 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))......................... 0.69%(C) 0.68% 0.68% 0.68% 0.69% 0.68%
Ratio of Net Investment Income to
Average Net Assets................... 2.23%(C) 2.10% 1.85% 2.38% 1.94% 1.78%
Portfolio Turnover Rate................ 9%(B) 23% 21% 19% 18% 8%
------------ ----------- ------------ ------------ ------------ ------------
INTERNATIONAL VECTOR EQUITY PORTFOLIO
----------------------------------------------------------------------------
SIX
MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- -----------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................... $ 11.74 $ 13.33 $ 10.78 $ 10.76 $ 11.26 $ 11.75
---------- ---------- ---------- ---------- ---------- -----------
Income from Investment
Operations (A)
----------------------
Net Investment Income (Loss)........ 0.15 0.32 0.28 0.28 0.28 0.32
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 0.36 (1.56) 2.57 0.05 (0.41) (0.43)
---------- ---------- ---------- ---------- ---------- -----------
Total from Investment
Operations.................... 0.51 (1.24) 2.85 0.33 (0.13) (0.11)
---------- ---------- ---------- ---------- ---------- -----------
Less Distributions:
-------------------
Net Investment Income............... (0.12) (0.30) (0.28) (0.27) (0.27) (0.30)
Net Realized Gains.................. (0.35) (0.05) (0.02) (0.04) (0.10) (0.08)
---------- ---------- ---------- ---------- ---------- -----------
Total Distributions............. (0.47) (0.35) (0.30) (0.31) (0.37) (0.38)
---------- ---------- ---------- ---------- ---------- -----------
Net Asset Value, End of Period......... $ 11.78 $ 11.74 $ 13.33 $ 10.78 $ 10.76 $ 11.26
========== ========== ========== ========== ========== ===========
Total Return........................... 4.84%(B) (9.52%) 26.83% 3.21% (1.14%) (1.05%)
---------- ---------- ---------- ---------- ---------- -----------
Net Assets, End of Period
(thousands).......................... $2,586,575 $2,441,217 $2,529,852 $1,856,474 $1,594,914 $ 1,305,553
Ratio of Expenses to Average Net
Assets............................... 0.49%(C) 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))......................... 0.49%(C) 0.48% 0.49% 0.49% 0.50% 0.49%
Ratio of Net Investment Income to
Average Net Assets................... 2.71%(C) 2.40% 2.36% 2.73% 2.50% 2.64%
Portfolio Turnover Rate................ 6%(B) 12% 5% 4% 8% 8%
---------- ---------- ---------- ---------- ---------- -----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
147
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL HIGH RELATIVE PROFITABILITY
PORTFOLIO
--------------------------------- ----------------
PERIOD
SIX MONTHS YEAR MAY 16, SIX MONTHS
ENDED ENDED 2017(A) ENDED
APR 30, OCT 31, TO OCT 31, APR 30,
2019 2018 2017 2019
----------- -------- ---------- -----------
(UNAUDITED) (UNAUDITED)
Net Asset Value, Beginning of Period.............. $ 9.71 $ 10.68 $ 10.00 $ 11.16
-------- -------- ------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 0.15 0.26 0.08 0.15
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 0.77 (1.01) 0.66 0.44
-------- -------- ------- --------
Total from Investment Operations........... 0.92 (0.75) 0.74 0.59
-------- -------- ------- --------
Less Distributions:
-------------------
Net Investment Income.......................... (0.09) (0.22) (0.06) (0.12)
Net Realized Gains............................. -- -- -- (0.23)
-------- -------- ------- --------
Total Distributions........................ (0.09) (0.22) (0.06) (0.35)
-------- -------- ------- --------
Net Asset Value, End of Period.................... $ 10.54 $ 9.71 $ 10.68 $ 11.40
======== ======== ======= ========
Total Return...................................... 9.54%(B) (7.20%) 7.38%(B) 5.54%(B)
-------- -------- ------- --------
Net Assets, End of Period (thousands)............. $438,540 $266,868 $67,793 $281,155
Ratio of Expenses to Average Net Assets *......... 0.35%(C) 0.35% 0.31%(C)(E) 0.53%(C)(D)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly)) *.................................. 0.32%(C) 0.35% 0.65%(C)(E) 0.74%(C)(D)
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.01%(C) 2.41% 1.76%(C)(E) 2.71%(C)
Portfolio Turnover Rate........................... 3%(B) 9% 2% 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 N/A 0.24%(C)
-------- -------- ------- --------
WORLD EX U.S. VALUE PORTFOLIO
---------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015 2014
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Period.............. $ 12.71 $ 10.31 $ 10.28 $ 11.43 $ 11.93
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 0.34 0.31 0.31 0.30 0.42
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (1.48) 2.33 0.03 (1.18) (0.50)
-------- -------- -------- -------- --------
Total from Investment Operations........... (1.14) 2.64 0.34 (0.88) (0.08)
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......................... (0.41) (0.24) (0.31) (0.27) (0.42)
Net Realized Gains............................. -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions........................ (0.41) (0.24) (0.31) (0.27) (0.42)
-------- -------- -------- -------- --------
Net Asset Value, End of Period.................... $ 11.16 $ 12.71 $ 10.31 $ 10.28 $ 11.43
======== ======== ======== ======== ========
Total Return...................................... (9.22%) 25.97% 3.54% (7.77%) (0.81%)
-------- -------- -------- -------- --------
Net Assets, End of Period (thousands)............. $240,668 $246,551 $188,154 $155,301 $113,951
Ratio of Expenses to Average Net Assets *......... 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)) *.................................. 0.74% 0.75% 0.76% 0.75% 0.76%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.72% 2.69% 3.20% 2.69% 3.54%
Portfolio Turnover Rate........................... 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:............................... 0.24% 0.25% 0.26% 0.25% 0.23%
-------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
148
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD EX U.S. TARGETED VALUE PORTFOLIO
----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period................ $ 12.52 $ 15.06 $ 12.04 $ 11.44 $ 12.08 $ 12.46
-------- -------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)..................... 0.13 0.31 0.28 0.25 0.23 0.23
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.58 (2.29) 3.01 0.55 (0.58) (0.22)
-------- -------- -------- -------- -------- --------
Total from Investment Operations............. 0.71 (1.98) 3.29 0.80 (0.35) 0.01
-------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income............................ (0.06) (0.30) (0.27) (0.20) (0.26) (0.24)
Net Realized Gains............................... (0.36) (0.26) -- -- (0.03) (0.15)
-------- -------- -------- -------- -------- --------
Total Distributions.......................... (0.42) (0.56) (0.27) (0.20) (0.29) (0.39)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period...................... $ 12.81 $ 12.52 $ 15.06 $ 12.04 $ 11.44 $ 12.08
======== ======== ======== ======== ======== ========
Total Return........................................ 6.03%(B) (13.56%) 27.61% 7.18% (2.88%) 0.06%
-------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands)............... $554,434 $460,155 $466,504 $281,212 $227,731 $151,096
Ratio of Expenses to Average Net Assets *........... 0.68%(C) 0.66% 0.67% 0.76% 0.65% 0.69%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor and
(Fees Paid Indirectly)) *......................... 0.68%(C) 0.66% 0.67% 0.77% 1.06% 1.17%
Ratio of Net Investment Income to Average Net Assets 2.14%(C) 2.08% 2.04% 2.18% 1.95% 1.84%
Portfolio Turnover Rate............................. 18%(B) 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 N/A 0.45% 0.51%
-------- -------- -------- -------- -------- --------
WORLD EX U.S. CORE EQUITY PORTFOLIO
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period................ $ 10.65 $ 12.15 $ 9.93 $ 9.83 $ 10.49 $ 10.77
---------- ---------- ---------- ---------- ---------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)..................... 0.14 0.31 0.27 0.26 0.26 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.69 (1.52) 2.21 0.08 (0.72) (0.27)
---------- ---------- ---------- ---------- ---------- --------
Total from Investment Operations............. 0.83 (1.21) 2.48 0.34 (0.46) 0.01
---------- ---------- ---------- ---------- ---------- --------
Less Distributions:
-------------------
Net Investment Income............................ (0.11) (0.29) (0.26) (0.24) (0.20) (0.28)
Net Realized Gains............................... (0.05) -- -- -- -- (0.01)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions.......................... (0.16) (0.29) (0.26) (0.24) (0.20) (0.29)
---------- ---------- ---------- ---------- ---------- --------
Net Asset Value, End of Period...................... $ 11.32 $ 10.65 $ 12.15 $ 9.93 $ 9.83 $ 10.49
========== ========== ========== ========== ========== ========
Total Return........................................ 8.02%(B) (10.22%) 25.33% 3.58% (4.50%) (0.04%)
---------- ---------- ---------- ---------- ---------- --------
Net Assets, End of Period (thousands)............... $3,630,419 $3,129,791 $2,805,367 $1,656,445 $1,170,828 $406,648
Ratio of Expenses to Average Net Assets *........... 0.37%(C) 0.39% 0.40% 0.47% 0.47% 0.47%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor and
(Fees Paid Indirectly)) *......................... 0.37%(C) 0.37% 0.40% 0.47% 0.52% 0.88%
Ratio of Net Investment Income to Average Net Assets 2.54%(C) 2.56% 2.48% 2.67% 2.54% 2.59%
Portfolio Turnover Rate............................. 3%(B) 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 N/A 0.03% 0.43%
---------- ---------- ---------- ---------- ---------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
149
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD CORE EQUITY PORTFOLIO
---------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- -------- -------- -------- -------- -------
(UNAUDITED)
Net Asset Value, Beginning of Period................... $ 15.40 $ 16.06 $ 13.14 $ 12.94 $ 13.33 $ 12.71
-------- -------- -------- -------- -------- -------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)........................ 0.13 0.31 0.29 0.27 0.26 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 1.09 (0.64) 2.98 0.20 (0.35) 0.87
-------- -------- -------- -------- -------- -------
Total from Investment Operations................ 1.22 (0.33) 3.27 0.47 (0.09) 1.04
-------- -------- -------- -------- -------- -------
Less Distributions:
-------------------
Net Investment Income............................... (0.14) (0.30) (0.30) (0.26) (0.26) (0.24)
Net Realized Gains.................................. (0.11) (0.03) (0.05) (0.01) (0.04) (0.18)
-------- -------- -------- -------- -------- -------
Total Distributions............................. (0.25) (0.33) (0.35) (0.27) (0.30) (0.42)
-------- -------- -------- -------- -------- -------
Net Asset Value, End of Period......................... $ 16.37 $ 15.40 $ 16.06 $ 13.14 $ 12.94 $ 13.33
======== ======== ======== ======== ======== =======
Total Return........................................... 8.14%(B) (2.16%) 25.14% 3.73% (0.61%) 8.36%
-------- -------- -------- -------- -------- -------
Net Assets, End of Period (thousands).................. $876,756 $741,512 $546,891 $370,229 $202,655 $75,707
Ratio of Expenses to Average Net Assets *(D)........... 0.33%(C) 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)*(D)..... 0.59%(C) 0.59% 0.60% 0.64% 0.65% 0.97%
Ratio of Net Investment Income to Average Net Assets... 1.77%(C) 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%(C) 0.27% 0.28% 0.31% 0.32% 0.31%
-------- -------- -------- -------- -------- -------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
----------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- -------- -------- -------- -------- --------
(UNAUDITED)
Net Asset Value, Beginning of Period................... $ 15.71 $ 16.52 $ 13.67 $ 13.50 $ 14.20 $ 13.63
-------- -------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)........................ 0.14 0.31 0.29 0.26 0.27 0.27
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 1.08 (0.66) 2.98 0.30 (0.34) 0.76
-------- -------- -------- -------- -------- --------
Total from Investment Operations................ 1.22 (0.35) 3.27 0.56 (0.07) 1.03
-------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income............................... (0.44) (0.27) (0.30) (0.35) (0.42) (0.32)
Net Realized Gains.................................. (0.20) (0.19) (0.12) (0.04) (0.21) (0.14)
-------- -------- -------- -------- -------- --------
Total Distributions............................. (0.64) (0.46) (0.42) (0.39) (0.63) (0.46)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period......................... $ 16.29 $ 15.71 $ 16.52 $ 13.67 $ 13.50 $ 14.20
======== ======== ======== ======== ======== ========
Total Return........................................... 8.43%(B) (2.28%) 24.54% 4.32% (0.34%) 7.83%
-------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands).................. $429,246 $403,195 $402,204 $289,904 $245,106 $147,276
Ratio of Expenses to Average Net Assets *(D)........... 0.35%(C) 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)*(D)..... 0.62%(C) 0.60% 0.62% 0.64% 0.66% 0.69%
Ratio of Net Investment Income to Average Net Assets... 1.85%(C) 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%(C) 0.29% 0.29% 0.32% 0.33% 0.34%
-------- -------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
150
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period......... $ 25.46 $ 29.55 $ 24.12 $ 22.17 $ 26.64 $ 26.97
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.19 0.61 0.49 0.45 0.49 0.56
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 2.85 (4.14) 5.43 1.95 (4.54) (0.20)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations...... 3.04 (3.53) 5.92 2.40 (4.05) 0.36
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income..................... (0.16) (0.56) (0.49) (0.45) (0.42) (0.53)
Net Realized Gains........................ -- -- -- -- -- (0.16)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions................... (0.16) (0.56) (0.49) (0.45) (0.42) (0.69)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period............... $ 28.34 $ 25.46 $ 29.55 $ 24.12 $ 22.17 $ 26.64
========== ========== ========== ========== ========== ==========
Total Return................................. 12.02%(B) (12.14%) 24.83% 11.01% (15.24%) 1.33%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........ $6,093,556 $5,394,188 $6,632,914 $4,915,400 $4,321,530 $4,073,698
Ratio of Expenses to Average Net Assets (D).. 0.48%(C) 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) (D).................. 0.58%(C) 0.57% 0.60% 0.66% 0.60% 0.56%
Ratio of Net Investment Income to Average
Net Assets................................. 1.39%(C) 2.08% 1.88% 2.04% 1.97% 2.11%
---------- ---------- ---------- ---------- ---------- ----------
EMERGING MARKETS SMALL CAP PORTFOLIO
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period......... $ 18.72 $ 23.49 $ 20.39 $ 18.51 $ 21.42 $ 21.10
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.14 0.53 0.49 0.45 0.43 0.43
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 2.48 (4.22) 3.58 2.04 (2.53) 0.62
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations...... 2.62 (3.69) 4.07 2.49 (2.10) 1.05
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income..................... (0.22) (0.53) (0.51) (0.47) (0.41) (0.40)
Net Realized Gains........................ (0.54) (0.55) (0.46) (0.14) (0.40) (0.33)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions................... (0.76) (1.08) (0.97) (0.61) (0.81) (0.73)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period............... $ 20.58 $ 18.72 $ 23.49 $ 20.39 $ 18.51 $ 21.42
========== ========== ========== ========== ========== ==========
Total Return................................. 14.40%(B) (16.45%) 21.00% 13.96% (9.88%) 5.12%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........ $7,020,926 $6,304,406 $7,249,717 $5,459,509 $4,845,174 $4,860,603
Ratio of Expenses to Average Net Assets (D).. 0.71%(C) 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) (D).................. 0.91%(C) 0.90% 0.93% 0.92% 0.78% 0.72%
Ratio of Net Investment Income to Average
Net Assets................................. 1.38%(C) 2.31% 2.32% 2.43% 2.16% 2.02%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
151
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES
-----------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ------- ------- ------- ------- -------
(UNAUDITED)
Net Asset Value, Beginning of Period................... $ 26.64 $ 30.13 $ 24.71 $ 22.18 $ 27.79 $ 29.27
------- ------- ------- ------- ------- -------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)........................ 0.15 0.63 0.31 0.46 0.49 0.59
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 2.30 (3.48) 5.60 2.75 (5.61) (1.10)
------- ------- ------- ------- ------- -------
Total from Investment Operations................ 2.45 (2.85) 5.91 3.21 (5.12) (0.51)
------- ------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income............................... (0.30) (0.64) (0.49) (0.68) (0.49) (0.55)
Net Realized Gains.................................. -- -- -- -- -- (0.42)
------- ------- ------- ------- ------- -------
Total Distributions............................. (0.30) (0.64) (0.49) (0.68) (0.49) (0.97)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period......................... $ 28.79 $ 26.64 $ 30.13 $ 24.71 $ 22.18 $ 27.79
======= ======= ======= ======= ======= =======
Total Return........................................... 9.30%(B) (9.66%) 24.11% 14.98% (18.49%) (1.75%)
------- ------- ------- ------- ------- -------
Net Assets, End of Period (thousands).................. $29,945 $25,150 $31,198 $97,923 $74,076 $99,066
Ratio of Expenses to Average Net Assets (D)............ 0.80%(C) 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) (D)........................... 0.90%(C) 0.90% 0.91% 0.91% 0.84% 0.80%
Ratio of Net Investment Income to Average Net Assets... 1.07%(C) 2.07% 1.19% 2.08% 1.93% 2.09%
------- ------- ------- ------- ------- -------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
152
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period......... $ 26.81 $ 30.32 $ 24.84 $ 22.22 $ 27.81 $ 29.28
----------- ----------- ----------- ----------- ----------- -----------
Income (loss) from Investment Operations(A)
-------------------------------------------
Net Investment Income (Loss).............. 0.18 0.73 0.61 0.51 0.54 0.66
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 2.32 (3.53) 5.40 2.77 (5.60) (1.10)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations...... 2.50 (2.80) 6.01 3.28 (5.06) (0.44)
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income..................... (0.32) (0.71) (0.53) (0.66) (0.53) (0.61)
Net Realized Gains........................ -- -- -- -- -- (0.42)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions................... (0.32) (0.71) (0.53) (0.66) (0.53) (1.03)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period............... $ 28.99 $ 26.81 $ 30.32 $ 24.84 $ 22.22 $ 27.81
=========== =========== =========== =========== =========== ===========
Total Return................................. 9.43%(B) (9.45%) 24.41% 15.23% (18.27%) (1.51%)
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands)........ $18,462,067 $16,431,410 $19,383,230 $16,304,321 $14,834,888 $18,647,276
Ratio of Expenses to Average Net Assets (D).. 0.55%(C) 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)) (D)........................... 0.65%(C) 0.64% 0.67% 0.66% 0.59% 0.55%
Ratio of Net Investment Income to Average
Net Assets................................. 1.31%(C) 2.37% 2.23% 2.31% 2.12% 2.35%
----------- ----------- ----------- ----------- ----------- -----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
153
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 18.95 $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 20.09
----------- ----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.14 0.50 0.42 0.37 0.39 0.42
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 2.22 (3.47) 3.95 1.59 (3.29) (0.03)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations..... 2.36 (2.97) 4.37 1.96 (2.90) 0.39
----------- ----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................... (0.15) (0.46) (0.39) (0.37) (0.37) (0.40)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (0.15) (0.46) (0.39) (0.37) (0.37) (0.40)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period.............. $ 21.16 $ 18.95 $ 22.38 $ 18.40 $ 16.81 $ 20.08
=========== =========== =========== =========== =========== ===========
Total Return................................ 12.54%(B) (13.48%) 24.02% 11.87% (14.49%) 1.89%
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands)....... $29,008,327 $25,372,759 $27,085,722 $18,712,966 $14,856,878 $15,727,547
Ratio of Expenses to Average Net Assets..... 0.52%(C) 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%(C) 0.52% 0.56% 0.61% 0.62% 0.61%
Ratio of Net Investment Income to
Average Net Assets........................ 1.41%(C) 2.25% 2.08% 2.20% 2.06% 2.10%
Portfolio Turnover Rate..................... 2%(B) 4% 4% 3% 5% 2%
----------- ----------- ----------- ----------- ----------- -----------
EMERGING
MARKETS TARGETED
VALUE PORTFOLIO
----------------
PERIOD
NOV 14,
2018(A) TO
APR 30,
2019
----------------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 10.00
--------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.05
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.83
--------
Total from Investment Operations..... 0.88
--------
Less Distributions:
-------------------
Net Investment Income.................... (0.01)
--------
Total Distributions.................. (0.01)
--------
Net Asset Value, End of Period.............. $ 10.87
========
Total Return................................ 8.79%(B)
--------
Net Assets, End of Period (thousands)....... $117,653
Ratio of Expenses to Average Net Assets..... 0.85%(C)(E)
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly))......................... 0.91%(C)(E)
Ratio of Net Investment Income to
Average Net Assets........................ 1.06%(C)(E)
Portfolio Turnover Rate..................... 2%(B)
--------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
154
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of one hundred and
two operational portfolios, of which thirty-five (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 each
invest in three Underlying Funds within the Fund. As of April 30, 2019, the
following Portfolios were the owner of record of the following approximate
percentages of the total outstanding shares of the following Master/Underlying
Funds as detailed below:
PERCENTAGE
OWNERSHIP
FEEDER FUNDS MASTER/UNDERLYING FUNDS AT 04/30/19
------------ ---------------------------------------- -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 87%
Japanese Small Company Portfolio The Japanese Small Company Series 17%
Asia Pacific Small Company The Asia Pacific Small Company Series
Portfolio 22%
United Kingdom Small Company The United Kingdom Small Company Series
Portfolio 2%
Continental Small Company The Continental Small Company Series
Portfolio 12%
Emerging Markets Portfolio The Emerging Markets Series 99%
Emerging Markets Small Cap The Emerging Markets Small Cap Series
Portfolio 99%
Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 99%
PERCENTAGE
OWNERSHIP
FUNDS OF FUNDS UNDERLYING FUNDS AT 04/30/19
-------------- ---------------------------------------- -----------
International Small Company The Continental Small Company Series
Portfolio 88%
The Japanese Small Company Series 83%
The United Kingdom Small Company Series 97%
The Asia Pacific Small Company Series 78%
The Canadian Small Company Series 97%
Global Small Company Portfolio U.S. Small Cap Portfolio --
The Continental Small Company Series --
The Japanese Small Company Series --
155
PERCENTAGE
OWNERSHIP
FUNDS OF FUNDS UNDERLYING FUNDS AT 04/30/19
-------------- --------------------------------------------------- -----------
The Asia Pacific Small Company Series --
The Canadian Small Company Series --
The Emerging Markets Small Cap Series --
The United Kingdom Small Company Series --
DFA Global Real Estate DFA Real Estate Securities Portfolio
Securities Portfolio* 13%
DFA International Real Estate Securities Portfolio 51%
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --
DFA International Small Cap Value Portfolio --
The DFA International Value Series --
World Core Equity Portfolio U.S. Core Equity 1 Portfolio 2%
International Core Equity Portfolio 1%
Emerging Markets Core Equity Portfolio --
Selectively Hedged Global U.S. Core Equity 2 Portfolio
Equity Portfolio 1%
International Core Equity Portfolio --
Emerging Markets Core Equity Portfolio --
* DFA Global Real Estate Securities Portfolio invests in two Underlying Funds
as indicated and securities listed on its Summary Schedule of Investments.
To achieve its investment objective, each Feeder Fund and Fund of Funds
invests substantially all of its assets 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.)
156
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Enhanced U.S. Large Company Portfolio, U.S. Large Cap
Equity Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value
Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S.
Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio,
DFA Real Estate Securities Portfolio and U.S. High Relative Profitability
Portfolio (the "Domestic Equity Portfolios") and Large Cap International
Portfolio, International Core Equity Portfolio, DFA International Real Estate
Securities Portfolio, DFA Global Real 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, International High Relative
Profitability Portfolio and Emerging Markets Targeted Value Portfolio (the
"International Equity Portfolios"), including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Domestic Equity Portfolios and the International Equity
Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
the Domestic Equity Portfolios and the International Equity Portfolios value
the securities within the range of the most recent quoted bid and ask prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Generally, securities issued by open-end
management investment companies are valued using their respective net asset
values or public offering prices, as appropriate, for purchase orders placed at
the close of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time 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
157
(including restricted securities), or for which market quotations have become
unreliable, are valued in good faith at fair value in accordance with
procedures adopted by the Board of Directors of the Fund. These valuations are
generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. Over-the-counter derivative contracts, which include forward
currency contracts, do not require material subjectivity as pricing inputs are
observed from quoted markets and are categorized as Level 2 in the hierarchy.
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. To facilitate the translation the Portfolios enter into foreign
currency contracts. A foreign currency contract is a spot agreement between two
parties to buy and sell currencies at current market exchange rates, for
settlement generally within two business days. 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)
158
the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of April 30, 2019, 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, Emerging
Markets Core Equity Portfolio and Emerging Markets Targeted Value 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 six months ended April 30, 2019, 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%
159
U.S. Core Equity 2 Portfolio..................................... 0.20%
U.S. Vector Equity Portfolio..................................... 0.30%
U.S. Small Cap Portfolio......................................... 0.35%
U.S. Micro Cap Portfolio......................................... 0.50%
U.S. High Relative Profitability Portfolio....................... 0.20%
DFA Real Estate Securities Portfolio............................. 0.17%
Large Cap International Portfolio................................ 0.20%
International Core Equity Portfolio.............................. 0.27%
Global Small Company Portfolio................................... 0.45%
International Small Company Portfolio............................ 0.40%
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%
Emerging Markets Targeted Value Portfolio........................ 0.70%
Due to administrative oversight, the Expense Limitation Amount (as defined
below) for the World Core Equity Portfolio was applied incorrectly and the
World Core Equity Portfolio overpaid its investment management fee in the
amount (in thousands) of $52 during the period ended April 30, 2019. The
Advisor will reimburse the Portfolio for the overpayment.
Pursuant to Amended and Restated Fee Waiver and/or Expense Assumption
Agreements (each, a "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, 2020, 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 six months
ended April 30, 2019, 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 six months ended April 30,
2019, and the previously waived fees/expenses assumed subject to future
recovery by the Advisor as of April 30, 2019, 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 waived
and/or assumed
160
expenses can be recaptured only if the expense ratio following such recapture
would be less than the expense cap that was in place when such prior year
expenses were waived and/or assumed, and less than the current expense cap in
place for a Portfolio. 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.
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
EXPENSE OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
INSTITUTIONAL LIMITATION WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
CLASS SHARES AMOUNT EXPENSES ASSUMED ASSUMED) RECOVERY
------------- ---------- ---------------- ----------------- -----------------
Enhanced U.S. Large
Company Portfolio (1).. 0.15% -- $ 144 $ 589
U.S. Large Cap Equity
Portfolio (1).......... 0.19% -- -- --
U.S. Large Cap Value
Portfolio (2).......... 0.25% -- 12,332 --
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% $ 56 (46) 84
DFA Real Estate
Securities
Portfolio (1).......... 0.18% -- 485 2,264
Large Cap International
Portfolio (1).......... 0.24% -- -- --
International Core
Equity Portfolio (1)... 0.30% 279 (31) 1,818
Global Small Company
Portfolio (4).......... 0.49% -- 67 229
International Small
Company Portfolio (5).. 0.45% -- -- --
Japanese Small Company
Portfolio (6).......... 0.47% -- 292 --
Asia Pacific Small
Company Portfolio (6).. 0.47% -- 178 --
United Kingdom Small
Company Portfolio (6).. 0.47% -- 29 33
Continental Small
Company Portfolio (6).. 0.47% -- 307 --
DFA International Real
Estate Securities
Portfolio (7).......... 0.29% -- -- --
DFA Global Real Estate
Securities
Portfolio (8).......... 0.24% -- 3,958 22,622
International Vector
Equity Portfolio (1)... 0.60% -- -- --
International High
Relative Profitability
Portfolio (4).......... 0.35% 61 (58) 13
World ex U.S. Value
Portfolio (9).......... 0.60% -- 278 --
World ex U.S. Targeted
Value Portfolio (10)... 0.80% -- -- --
World ex U.S. Core
Equity Portfolio (11).. 0.39% 9 (9) --
World Core Equity
Portfolio (12)......... 0.32% -- 987 52
161
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
EXPENSE OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
INSTITUTIONAL LIMITATION WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
CLASS SHARES AMOUNT EXPENSES ASSUMED ASSUMED) RECOVERY
------------- ---------- ---------------- ----------------- -----------------
Selectively Hedged
Global Equity
Portfolio (13)......... 0.40% -- $ 528 --
Emerging Markets
Portfolio (14)......... 0.49% -- 2,859 --
Emerging Markets Small
Cap Portfolio (2)...... 0.65% -- 6,677 --
Emerging Markets Value
Portfolio (2).......... 0.50% -- 8,669 --
Emerging Markets Core
Equity Portfolio (1)... 0.54% -- -- --
Emerging Markets
Targeted Value
Portfolio (4).......... 0.85% -- 31 $31
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% -- 14 --
(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.
(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.
162
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.
(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.
163
(12)Effective February 28, 2019, 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"). From June 27, 2014 to February 27, 2019,
the Expense Limitation Amount was 0.35% of the average net assets of such
class of the Portfolio on an annualized basis. Prior to June 27, 2014, the
Expense Limitation Amount was 0.40% of the average net assets of such class
of the Portfolio on an annualized basis. At any time that the Portfolio
Expenses of a class of the Portfolio are less than the Expense Limitation
Amount for such class of shares of the Portfolio, the Advisor retains the
right to recover any fees previously waived and/or expenses previously
assumed to the extent that such recovery is within thirty-six months and
will not cause the annualized Portfolio Expenses for such class of shares
of the Portfolio to exceed the applicable Expense Limitation Amount.
(13)The Advisor has contractually agreed to waive up to the full amount of the
Portfolio's management fee of 0.30% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through
its investment in its 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.
164
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 six months ended April 30, 2019, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Large Cap International Portfolio............ $114
International Core Equity Portfolio.......... 583
DFA International Real Estate Securities
Portfolio.................................. 123
DFA International Small Cap Value Portfolio.. 321
International Vector Equity Portfolio........ 64
International High Relative Profitability
Portfolio.................................. 21
World ex U.S. Targeted Value Portfolio....... 30
World ex U.S. Core Equity Portfolio.......... 100
Emerging Markets Core Equity Portfolio....... 664
Emerging Markets Targeted Value Portfolio.... 2
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2019, the total related amount paid by the
Fund to the CCO was $169 (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 April 30, 2019, 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.................. $ 11
U.S. Large Cap Equity Portfolio........................ 14
U.S. Large Cap Value Portfolio......................... 561
U.S. Targeted Value Portfolio.......................... 206
U.S. Small Cap Value Portfolio......................... 448
U.S. Core Equity 1 Portfolio........................... 367
U.S. Core Equity 2 Portfolio........................... 463
U.S. Vector Equity Portfolio........................... 118
U.S. Small Cap Portfolio............................... 335
U.S. Micro Cap Portfolio............................... 207
U.S. High Relative Profitability Portfolio............. 2
DFA Real Estate Securities Portfolio................... 210
Large Cap International Portfolio...................... 120
International Core Equity Portfolio.................... 460
Global Small Company Portfolio......................... --
International Small Company Portfolio.................. 350
Japanese Small Company Portfolio....................... 15
Asia Pacific Small Company Portfolio................... 9
United Kingdom Small Company Portfolio................. 2
165
Continental Small Company Portfolio.................. $ 10
DFA International Real Estate Securities Portfolio... 100
DFA Global Real Estate Securities Portfolio.......... 105
DFA International Small Cap Value Portfolio.......... 477
International Vector Equity Portfolio................ 43
International High Relative Profitability Portfolio.. 1
World ex U.S. Value Portfolio........................ 4
World ex U.S. Targeted Value Portfolio............... 5
World ex U.S. Core Equity Portfolio.................. 29
World Core Equity Portfolio.......................... 6
Selectively Hedged Global Equity Portfolio........... 5
Emerging Markets Portfolio........................... 161
Emerging Markets Small Cap Portfolio................. 149
Emerging Markets Value Portfolio..................... 620
Emerging Markets Core Equity Portfolio............... 475
Emerging Markets Targeted Value Portfolio............ --
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2019, the Portfolios transactions related
to investment securities, other than short-term securities, in-kind redemptions
and U.S. government securities (with respect to the Equity Portfolios) (amounts
in thousands), were as follows:
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- ------- ---------- ----------
Enhanced U.S. Large
Company Portfolio........ $84,058 $70,038 $ 87,576 $ 99,277
U.S. Large Cap Equity
Portfolio................ -- -- 231,566 152,148
U.S. Targeted Value
Portfolio................ -- -- 1,163,484 809,552
U.S. Small Cap Value
Portfolio................ -- -- 1,868,695 1,842,493
U.S. Core Equity 1
Portfolio................ -- -- 1,201,841 479,841
U.S. Core Equity 2
Portfolio................ -- -- 1,562,570 564,427
U.S. Vector Equity
Portfolio................ -- -- 130,660 208,137
U.S. Small Cap Portfolio... -- -- 1,088,814 991,504
U.S. Micro Cap Portfolio... -- -- 557,584 440,418
U.S. High Relative
Profitability Portfolio.. -- -- 372,566 39,599
DFA Real Estate Securities
Portfolio................ -- -- 199,860 193,198
Large Cap International
Portfolio................ -- -- 553,115 213,091
International Core Equity
Portfolio................ -- -- 2,045,865 736,995
DFA International Real
Estate Securities
Portfolio................ -- -- 254,624 485,637
DFA Global Real Estate
Securities Portfolio..... -- -- 145,079 18,885
DFA International Small
Cap Value Portfolio...... -- -- 1,154,901 1,261,803
International Vector
Equity Portfolio......... -- -- 210,002 155,409
International High
Relative Profitability
Portfolio................ -- -- 149,212 9,221
World ex U.S. Targeted
Value Portfolio.......... -- -- 150,873 87,971
World ex U.S. Core Equity
Portfolio................ -- -- 372,658 94,046
166
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- ----- ---------- --------
Emerging Markets Core
Equity Portfolio......... -- -- $1,161,829 $620,244
Emerging Markets Targeted
Value Portfolio.......... -- -- 110,577 1,855
For the six months ended April 30, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
The amounts presented below may differ from the respective amounts presented
in the corresponding Schedule of Investments/Summary Schedule of Portfolio
Holdings, Statement of Assets and Liabilities or Statement of Operations due to
rounding.
NET
REALIZED CHANGE
GAIN/ IN
PROCEEDS (LOSS) UNREALIZED BALANCE AT SHARES CAPITAL
BALANCE AT PURCHASES FROM ON APPRECIATION/ APRIL 30, AS OF DIVIDEND GAIN
OCTOBER 31, 2018 AT COST SALES SALES DEPRECIATION 2019 APRIL 30, 2019 INCOME DISTRIBUTIONS
---------------- ---------- ---------- -------- ------------- ---------- -------------- -------- -------------
ENHANCED U.S.
LARGE
COMPANY
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 2,270 $ 25,071 $ 24,923 -- -- $ 2,418 209 $ 44 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $ 2,270 $ 25,071 $ 24,923 -- -- $ 2,418 209 $ 44 --
========== ========== ========== === ==== ========== ======= ======= ==
U.S. LARGE CAP
EQUITY
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 40,426 $ 100,005 $ 99,326 -- $ 3 $ 41,108 3,553 $ 438 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $ 40,426 $ 100,005 $ 99,326 -- $ 3 $ 41,108 3,553 $ 438 --
========== ========== ========== === ==== ========== ======= ======= ==
U.S. TARGETED
VALUE
PORTFOLIO
The DFA Short
Term
Investment
Fund $1,345,682 $2,108,020 $2,353,465 $(6) $ 88 $1,100,319 95,093 $14,072 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $1,345,682 $2,108,020 $2,353,465 $(6) $ 88 $1,100,319 95,093 $14,072 --
========== ========== ========== === ==== ========== ======= ======= ==
U.S. SMALL CAP
VALUE
PORTFOLIO
The DFA Short
Term
Investment
Fund $1,667,171 $2,549,835 $2,716,020 $ 2 $112 $1,501,100 129,730 $19,074 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $1,667,171 $2,549,835 $2,716,020 $ 2 $112 $1,501,100 129,730 $19,074 --
========== ========== ========== === ==== ========== ======= ======= ==
U.S. CORE
EQUITY 1
PORTFOLIO
The DFA Short
Term
Investment
Fund $1,470,055 $3,195,064 $3,027,363 $(3) $109 $1,637,862 141,549 $17,322 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $1,470,055 $3,195,064 $3,027,363 $(3) $109 $1,637,862 141,549 $17,322 --
========== ========== ========== === ==== ========== ======= ======= ==
167
NET
REALIZED CHANGE
GAIN/ IN
PROCEEDS (LOSS) UNREALIZED BALANCE AT SHARES CAPITAL
BALANCE AT PURCHASES FROM ON APPRECIATION/ APRIL 30, AS OF DIVIDEND GAIN
OCTOBER 31, 2018 AT COST SALES SALES DEPRECIATION 2019 APRIL 30, 2019 INCOME DISTRIBUTIONS
---------------- ---------- ---------- -------- ------------- ---------- -------------- -------- -------------
U.S. CORE
EQUITY 2
PORTFOLIO
The DFA Short
Term
Investment
Fund $1,747,162 $3,862,709 $3,700,135 $(5) $127 $1,909,858 165,056 $19,924 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $1,747,162 $3,862,709 $3,700,135 $(5) $127 $1,909,858 165,056 $19,924 --
========== ========== ========== === ==== ========== ======= ======= ==
U.S. VECTOR
EQUITY
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 376,160 $ 775,907 $ 772,537 $(1) $ 32 $ 379,561 32,803 $ 5,102 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $ 376,160 $ 775,907 $ 772,537 $(1) $ 32 $ 379,561 32,803 $ 5,102 --
========== ========== ========== === ==== ========== ======= ======= ==
U.S. SMALL CAP
PORTFOLIO
The DFA Short
Term
Investment
Fund $2,515,622 $4,560,152 $4,295,830 $19 $200 $2,780,163 240,270 $31,488 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $2,515,622 $4,560,152 $4,295,830 $19 $200 $2,780,163 240,270 $31,488 --
========== ========== ========== === ==== ========== ======= ======= ==
U.S. MICRO CAP
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 958,074 $1,184,350 $1,344,875 $ 1 $ 66 $ 797,616 68,932 $10,000 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $ 958,074 $1,184,350 $1,344,875 $ 1 $ 66 $ 797,616 68,932 $10,000 --
========== ========== ========== === ==== ========== ======= ======= ==
U.S. HIGH
RELATIVE
PROFITABILITY
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 9,440 $ 75,836 $ 73,693 -- $ 1 $ 11,584 1,001 -- --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $ 9,440 $ 75,836 $ 73,693 -- $ 1 $ 11,584 1,001 -- --
========== ========== ========== === ==== ========== ======= ======= ==
DFA REAL
ESTATE
SECURITIES
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 359,453 $1,161,249 $1,213,797 $ 4 $ 17 $ 306,926 26,525 $ 3,285 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $ 359,453 $1,161,249 $1,213,797 $ 4 $ 17 $ 306,926 26,525 $ 3,285 --
========== ========== ========== === ==== ========== ======= ======= ==
LARGE CAP
INTERNATIONAL
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 206,350 $ 906,019 $ 783,135 $(6) $ 20 $ 329,248 28,455 $ 2,366 --
---------- ---------- ---------- --- ---- ---------- ------- ------- --
TOTAL $ 206,350 $ 906,019 $ 783,135 $(6) $ 20 $ 329,248 28,455 $ 2,366 --
========== ========== ========== === ==== ========== ======= ======= ==
168
NET CHANGE
REALIZED IN
PROCEEDS GAIN/ UNREALIZED BALANCE AT SHARES CAPITAL
BALANCE AT PURCHASES FROM (LOSS) ON APPRECIATION/ APRIL 30, AS OF DIVIDEND GAIN
OCTOBER 31, 2018 AT COST SALES SALES DEPRECIATION 2019 APRIL 30, 2019 INCOME DISTRIBUTIONS
---------------- ---------- ---------- --------- ------------- ---------- -------------- -------- -------------
INTERNATIONAL
CORE EQUITY
PORTFOLIO
The DFA Short
Term
Investment
Fund $1,604,446 $3,443,369 $2,965,660 $ 4 $ 96 $2,082,255 179,955 $ 19,587 --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $1,604,446 $3,443,369 $2,965,660 $ 4 $ 96 $2,082,255 179,955 $ 19,587 --
========== ========== ========== ======== ======== ========== ======= ======== ====
GLOBAL SMALL
COMPANY
PORTFOLIO
DFA US Small
Cap Portfolio $ 17,009 $ 3,492 $ 1,177 $ (237) $ 306 $ 19,393 557 $ 87 $587
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 17,009 $ 3,492 $ 1,177 $ (237) $ 306 $ 19,393 557 $ 87 $587
========== ========== ========== ======== ======== ========== ======= ======== ====
DFA
INTERNATIONAL
REAL ESTATE
SECURITIES
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 214,317 $ 946,349 $ 975,164 $ 1 $ 9 $ 185,512 16,032 $ 2,292 --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 214,317 $ 946,349 $ 975,164 $ 1 $ 9 $ 185,512 16,032 $ 2,292 --
========== ========== ========== ======== ======== ========== ======= ======== ====
DFA GLOBAL
REAL ESTATE
SECURITIES
PORTFOLIO
DFA
International
Real Estate
Securities
Portfolio $2,584,363 $ 380,344 $ 194,400 $(24,567) $152,977 $2,898,717 569,492 $148,006 --
DFA Real
Estate
Securities
Portfolio 1,355,084 1 243,212 48,541 72,038 1,232,452 32,459 21,999 --
The DFA Short
Term
Investment
Fund 89,035 362,784 365,208 9 2 86,622 7,486 1,154 --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $4,028,482 $ 743,129 $ 802,820 $ 23,983 $225,017 $4,217,791 609,437 $171,159 --
========== ========== ========== ======== ======== ========== ======= ======== ====
DFA
INTERNATIONAL
SMALL CAP
VALUE
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 948,096 $1,067,957 $1,218,789 $ 8 $ 56 $ 797,328 68,907 $ 10,164 --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 948,096 $1,067,957 $1,218,789 $ 8 $ 56 $ 797,328 68,907 $ 10,164 --
========== ========== ========== ======== ======== ========== ======= ======== ====
INTERNATIONAL
VECTOR
EQUITY
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 166,426 $ 301,790 $ 296,525 $ (1) $ 11 $ 171,701 14,839 $ 1,859 --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 166,426 $ 301,790 $ 296,525 $ (1) $ 11 $ 171,701 14,839 $ 1,859 --
========== ========== ========== ======== ======== ========== ======= ======== ====
169
NET
REALIZED CHANGE
GAIN/ IN
PROCEEDS (LOSS) UNREALIZED BALANCE AT SHARES CAPITAL
BALANCE AT PURCHASES FROM ON APPRECIATION/ APRIL 30, AS OF DIVIDEND GAIN
OCTOBER 31, 2018 AT COST SALES SALES DEPRECIATION 2019 APRIL 30, 2019 INCOME DISTRIBUTIONS
---------------- --------- -------- -------- ------------- ---------- -------------- -------- -------------
INTERNATIONAL
HIGH
RELATIVE
PROFITABILITY
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 12,685 $ 90,169 $ 74,424 $ (1) -- $ 28,429 2,457 -- --
-------- -------- -------- ------- ------- -------- ------ ------ ------
TOTAL $ 12,685 $ 90,169 $ 74,424 $ (1) -- $ 28,429 2,457 -- --
======== ======== ======== ======= ======= ======== ====== ====== ======
WORLD EX U.S.
VALUE
PORTFOLIO
DFA
International
Small Cap
Value
Portfolio $ 23,071 $ 6,574 $ 3,487 $ (628) $ 265 $ 25,795 1,380 $ 331 $ 766
-------- -------- -------- ------- ------- -------- ------ ------ ------
TOTAL $ 23,071 $ 6,574 $ 3,487 $ (628) $ 265 $ 25,795 1,380 $ 331 $ 766
======== ======== ======== ======= ======= ======== ====== ====== ======
WORLD EX U.S.
TARGETED
VALUE
PORTFOLIO
The DFA Short
Term
Investment
Fund $ 4,659 $ 6,027 $ 8,751 -- -- $ 1,935 167 $ 41 --
-------- -------- -------- ------- ------- -------- ------ ------ ------
TOTAL $ 4,659 $ 6,027 $ 8,751 -- -- $ 1,935 167 $ 41 --
======== ======== ======== ======= ======= ======== ====== ====== ======
WORLD EX U.S.
CORE EQUITY
PORTFOLIO
The DFA Short
Term
Investment
Fund $130,312 $369,432 $310,020 $ (1) $ 9 $189,732 16,397 $1,720 --
-------- -------- -------- ------- ------- -------- ------ ------ ------
TOTAL $130,312 $369,432 $310,020 $ (1) $ 9 $189,732 16,397 $1,720 --
======== ======== ======== ======= ======= ======== ====== ====== ======
WORLD CORE
EQUITY
PORTFOLIO
U.S. Core
Equity 1
Portfolio $404,139 $ 55,010 $ 13,244 $(1,534) $35,031 $479,402 19,720 $3,663 $2,509
International
Core Equity
Portfolio 255,226 32,860 3,419 (629) 16,113 300,151 22,602 2,819 --
Emerging
Markets Core
Equity
Portfolio 81,772 13,831 2,722 (527) 10,661 103,015 4,868 660 --
-------- -------- -------- ------- ------- -------- ------ ------ ------
TOTAL $741,137 $101,701 $ 19,385 $(2,690) $61,805 $882,568 47,190 $7,142 $2,509
======== ======== ======== ======= ======= ======== ====== ====== ======
SELECTIVELY
HEDGED
GLOBAL
EQUITY
PORTFOLIO
U.S. Core
Equity 2
Portfolio $181,750 $ 19,658 $ 8,243 $(1,002) $12,570 $204,733 9,144 $1,692 $1,971
International
Core Equity
Portfolio 130,496 7,538 7,967 (1,343) 7,780 136,504 10,279 1,430 --
Emerging
Markets Core
Equity
Portfolio 66,401 4,892 3,673 (715) 8,486 75,391 3,563 540 --
-------- -------- -------- ------- ------- -------- ------ ------ ------
TOTAL $378,647 $ 32,088 $ 19,883 $(3,060) $28,836 $416,628 22,986 $3,662 $1,971
======== ======== ======== ======= ======= ======== ====== ====== ======
170
NET
REALIZED CHANGE
GAIN/ IN
PROCEEDS (LOSS) UNREALIZED BALANCE AT SHARES CAPITAL
BALANCE AT PURCHASES FROM ON APPRECIATION/ APRIL 30, AS OF DIVIDEND GAIN
OCTOBER 31, 2018 AT COST SALES SALES DEPRECIATION 2019 APRIL 30, 2019 INCOME DISTRIBUTIONS
---------------- ---------- ---------- -------- ------------- ---------- -------------- -------- -------------
EMERGING
MARKETS CORE
EQUITY
PORTFOLIO
The DFA Short
Term
Investment
Fund $733,703 $1,738,149 $1,824,238 $ 9 $56 $647,679 55,974 $10,125 --
-------- ---------- ---------- --- --- -------- ------ ------- --
TOTAL $733,703 $1,738,149 $1,824,238 $ 9 $56 $647,679 55,974 $10,125 --
======== ========== ========== === === ======== ====== ======= ==
EMERGING
MARKETS
TARGETED
VALUE
PORTFOLIO
The DFA Short
Term
Investment
Fund -- $ 6,290 $ 5,562 -- -- $ 728 63 -- --
-------- ---------- ---------- --- --- -------- ------ ------- --
TOTAL -- $ 6,290 $ 5,562 -- -- $ 728 63 -- --
======== ========== ========== === === ======== ====== ======= ==
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings as appropriate, in the period that the differences arise. Accordingly,
the permanent differences as of October 31, 2018, primarily attributable to
realized gains on securities considered to be "passive foreign investment
companies," non-deductible expenses, realized foreign capital gains tax,
tax-equalization, non-deductible 90-day stock issuance cost, net foreign
currency gains/losses, distributions received from real estate investment
trusts and distribution redesignations, were reclassified to the accounts
mentioned above. These reclassifications had no effect on net assets or net
asset value per share.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2017, and October 31, 2018, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ----------
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
171
NET INVESTMENT
INCOME AND LONG-TERM
SHORT-TERM CAPITAL TAX EXEMPT
CAPITAL GAINS GAINS INCOME TOTAL
-------------- --------- ---------- --------
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
Global Small Company Portfolio
2017.................................... -- -- -- --
2018.................................... 269 81 -- 350
International Small Company Portfolio
2017.................................... 224,540 251,076 -- 475,616
2018.................................... 335,310 375,728 -- 711,038
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
172
NET INVESTMENT
INCOME AND LONG-TERM TAX
SHORT-TERM CAPITAL EXEMPT
CAPITAL GAINS GAINS INCOME TOTAL
-------------- --------- ------ --------
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
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
173
NET INVESTMENT
INCOME AND LONG-TERM TAX
SHORT-TERM CAPITAL EXEMPT
CAPITAL GAINS GAINS INCOME TOTAL
-------------- --------- ------ --------
Emerging Markets Core Equity Portfolio
2017.................................... $449,166 -- -- $449,166
2018.................................... 593,704 -- -- 593,704
Emerging Markets Targeted Value Portfolio commenced operations on
November 14, 2018, and did not pay any distributions for the years ended
October 31, 2017 and October 31, 2018.
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)
Global Small Company Portfolio............... -- -- --
International 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)
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)
174
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
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 TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
----------------- ------------- ------------- -------------- -------------
Enhanced U.S. Large Company Portfolio... $ 8,086 $ 8,489 -- $ (5,049) $ 11,526
U.S. Large Cap Equity Portfolio......... 2,608 -- $ (7,319) 308,854 304,143
U.S. Large Cap Value Portfolio.......... -- 1,212,987 -- 6,083,694 7,296,681
U.S. Targeted Value Portfolio........... 25,174 393,217 -- 1,450,990 1,869,381
U.S. Small Cap Value Portfolio.......... 16,454 770,011 -- 3,126,951 3,913,416
U.S. Core Equity 1 Portfolio............ 36,643 148,728 -- 7,560,850 7,746,221
U.S. Core Equity 2 Portfolio............ 45,900 263,318 -- 8,153,732 8,462,950
U.S. Vector Equity Portfolio............ 4,317 105,122 -- 1,464,498 1,573,937
U.S. Small Cap Portfolio................ 36,923 555,631 -- 3,704,534 4,297,088
U.S. Micro Cap Portfolio................ -- 254,466 -- 2,157,150 2,411,616
U.S. High Relative Profitability
Portfolio............................. 745 -- (2,369) 9,555 7,931
DFA Real Estate Securities Portfolio.... 23,070 -- (42,891) 2,012,218 1,992,397
Large Cap International Portfolio....... 19,811 -- (12,549) 326,092 333,354
International Core Equity Portfolio..... 165,491 -- (252,331) 1,179,546 1,092,706
Global Small Company Portfolio.......... 197 -- (279) (2,130) (2,212)
International Small Company Portfolio... 195,298 517,618 -- 534,015 1,246,931
Japanese Small Company Portfolio........ 6,173 31,506 -- 55,739 93,418
Asia Pacific Small Company Portfolio.... 9,543 -- (17,952) (30,197) (38,606)
United Kingdom Small Company Portfolio.. 137 1,437 -- 2,995 4,569
Continental Small Company Portfolio..... 1,001 19,389 -- (6,556) 13,834
DFA International Real Estate
Securities Portfolio.................. 258,919 -- (255,224) (552,655) (548,960)
DFA Global Real Estate Securities
Portfolio............................. 156,841 -- (2,159) 498,248 652,930
DFA International Small Cap Value
Portfolio............................. 78,546 428,575 -- 634,402 1,141,523
International Vector Equity Portfolio... 20,059 72,076 -- 137,286 229,421
International High Relative
Profitability Portfolio............... 525 -- (1,545) (23,727) (24,747)
World ex U.S. Value Portfolio........... 1,245 5,004 -- 3,800 10,049
World ex U.S. Targeted Value Portfolio.. 756 11,822 -- (19,140) (6,562)
World ex U.S. Core Equity Portfolio..... 22,035 15,897 -- (55,982) (18,050)
World Core Equity Portfolio............. 620 4,776 -- 46,620 52,016
175
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
Selectively Hedged
Global Equity
Portfolio......... $ 9,794 $ 4,519 -- $ 47,990 $ 62,303
Emerging Markets
Portfolio......... 24,407 -- $ (156,404) 1,223,071 1,091,074
Emerging Markets
Small Cap
Portfolio......... 64,108 173,891 -- (553,887) (315,888)
Emerging Markets
Value Portfolio... 168,442 -- (1,087,131) 72,401 (846,288)
Emerging Markets
Core Equity
Portfolio......... 130,314 -- (798,349) 617,399 (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
Global Small Company Portfolio......................... -- 279 279
International Small Company Portfolio.................. -- -- --
Japanese Small Company Portfolio....................... -- -- --
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.................... -- -- --
176
2019 UNLIMITED TOTAL
---- ---------- ----------
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 April 30, 2019, 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........ $ 323,365 $ 1,325 $ (3,050) $ (1,725)
U.S. Large Cap Equity
Portfolio................ 1,270,275 480,586 (37,576) 443,010
U.S. Large Cap Value
Portfolio................ 19,723,833 6,475,423 -- 6,475,423
U.S. Targeted Value
Portfolio................ 10,662,619 2,469,348 (808,083) 1,661,265
U.S. Small Cap Value
Portfolio................ 13,634,064 3,818,348 (1,061,398) 2,756,950
U.S. Core Equity 1
Portfolio................ 18,579,693 10,164,122 (947,561) 9,216,561
U.S. Core Equity 2
Portfolio................ 19,526,449 10,837,114 (1,127,851) 9,709,263
U.S. Vector Equity
Portfolio................ 3,496,533 1,884,785 (269,503) 1,615,282
U.S. Small Cap Portfolio... 16,907,317 5,298,146 (1,311,739) 3,986,407
U.S. Micro Cap Portfolio... 5,389,898 2,444,454 (393,914) 2,050,540
U.S. High Relative
Profitability Portfolio.. 1,056,776 140,742 (25,462) 115,280
DFA Real Estate Securities
Portfolio................ 6,902,792 3,224,687 (259,941) 2,964,746
Large Cap International
Portfolio................ 4,788,277 1,075,782 (349,929) 725,853
International Core Equity
Portfolio................ 28,858,658 5,537,332 (2,792,770) 2,744,562
Global Small Company
Portfolio................ 35,814 471 (566) (95)
International Small
Company Portfolio........ 11,822,237 1,102,512 (223,658) 878,854
Japanese Small Company
Portfolio................ 557,046 48,330 -- 48,330
Asia Pacific Small Company
Portfolio................ 380,145 6,972 -- 6,972
United Kingdom Small
Company Portfolio........ 28,284 3,447 -- 3,447
Continental Small Company
Portfolio................ 613,232 32,573 -- 32,573
177
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
DFA International Real
Estate Securities
Portfolio............. $ 5,787,258 $ 959,229 $ (427,339) $ 531,890
DFA Global Real Estate
Securities Portfolio.. 7,271,256 1,296,920 (134,239) 1,162,681
DFA International Small
Cap Value Portfolio... 13,705,480 2,345,505 (1,544,042) 801,463
International Vector
Equity Portfolio...... 2,497,910 541,633 (287,750) 253,883
International High
Relative
Profitability
Portfolio............. 453,339 30,801 (20,045) 10,756
World ex U.S. Value
Portfolio............. 264,419 18,661 -- 18,661
World ex U.S. Targeted
Value Portfolio....... 545,549 56,430 (51,670) 4,760
World ex U.S. Core
Equity Portfolio...... 3,605,071 533,697 (332,900) 200,797
World Core Equity
Portfolio............. 774,775 114,735 -- 114,735
Selectively Hedged
Global Equity
Portfolio............. 339,799 80,007 (29) 79,978
Emerging Markets
Portfolio............. 4,245,546 1,870,394 -- 1,870,394
Emerging Markets Small
Cap Portfolio......... 6,808,525 290,666 -- 290,666
Emerging Markets Value
Portfolio............. 17,111,894 1,539,155 -- 1,539,155
Emerging Markets Core
Equity Portfolio...... 25,537,818 7,226,455 (3,348,246) 3,878,209
Emerging Markets
Targeted Value
Portfolio............. 109,706 11,922 (3,991) 7,931
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2019 OCTOBER 31, 2018
-------------- ----------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
------- ------ -------- ------
U.S. TARGETED VALUE PORTFOLIO
Class R1 Shares
Shares Issued.................................. $ 6,928 318 $ 21,616 851
Shares Issued in Lieu of Cash Distributions.... 2,170 107 2,923 119
Shares Redeemed................................ (4,755) (214) (28,235) (1,114)
------- ---- -------- ------
Net Increase (Decrease) -- Class R1 Shares........ $ 4,343 211 $ (3,696) (144)
======= ==== ======== ======
178
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2019 OCTOBER 31, 2018
-------------------- ---------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- --------
Class R2 Shares
Shares Issued........................ $ 12,438 559 $ 38,144 1,523
Shares Issued in Lieu of Cash
Distributions...................... 4,653 231 7,940 325
Shares Redeemed...................... (33,776) (1,517) (85,609) (3,475)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2
Shares................................ $ (16,685) (727) $ (39,525) (1,627)
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................ $ 1,585,107 73,034 $ 2,152,781 85,162
Shares Issued in Lieu of Cash
Distributions...................... 448,050 22,111 541,597 21,998
Shares Redeemed...................... (1,255,349) (57,833) (2,187,982) (86,229)
----------- ------- ----------- --------
Net Increase (Decrease) --
Institutional Class Shares............ $ 777,808 37,312 $ 506,396 20,931
=========== ======= =========== ========
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2019 OCTOBER 31, 2018
-------------------- ---------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- --------
EMERGING MARKETS VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................ $ 3,814 137 $ 6,653 219
Shares Issued in Lieu of Cash
Distributions...................... 298 11 632 21
Shares Redeemed...................... (1,467) (52) (10,333) (332)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2
Shares................................ $ 2,645 96 $ (3,048) (92)
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................ $ 2,003,563 70,707 $ 2,703,084 87,936
Shares Issued in Lieu of Cash
Distributions...................... 184,564 6,909 416,344 14,012
Shares Redeemed...................... (1,501,159) (53,644) (3,948,131) (128,474)
----------- ------- ----------- --------
Net Increase (Decrease) --
Institutional Class Shares............ $ 686,968 23,972 $ (828,703) (26,526)
=========== ======= =========== ========
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.
179
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. The Enhanced U.S. Large Company Portfolio typically hedges its
foreign currency exposure. 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 of forward currency contracts. 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 forward
currency contracts. 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 Portfolio 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.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2019 (amounts in
thousands):
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- --------
Enhanced U.S. Large Company Portfolio............. $73,682 $323,386
U.S. Targeted Value Portfolio..................... -- 78,618
U.S. Small Cap Value Portfolio.................... -- 130,425
U.S. Core Equity 1 Portfolio...................... -- 185,025
U.S. Core Equity 2 Portfolio...................... -- 206,485
U.S. Vector Equity Portfolio...................... -- 34,467
U.S. Small Cap Portfolio.......................... -- 113,259
U.S. Micro Cap Portfolio.......................... -- 57,463
180
FORWARD
CURRENCY
CONTRACTS FUTURES
--------- --------
DFA Real Estate Securities Portfolio................. $ -- $ 54,743
Large Cap International Portfolio.................... -- 37,429
International Core Equity Portfolio.................. -- 214,193
International Small Company Portfolio................ -- 63,475
DFA International Real Estate Securities Portfolio... -- 31,960
DFA International Small Cap Value Portfolio.......... -- 109,213
International High Relative Profitability Portfolio.. -- 161
World ex U.S. Targeted Value Portfolio............... -- 2,234
World ex U.S. Core Equity Portfolio.................. -- 7,296
Selectively Hedged Global Equity Portfolio........... 125,572 15,691
Emerging Markets Core Equity Portfolio............... -- 206,265
Emerging Markets Targeted Value Portfolio............ -- 218
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2019 (amounts in
thousands):
ASSET DERIVATIVES VALUE
--------------------------------------------
TOTAL VALUE FORWARD
AT CURRENCY EQUITY
APRIL 30, 2019 CONTRACTS (1) CONTRACTS *,(2)
-------------- ------------- ---------------
Enhanced U.S. Large Company Portfolio... $21,179 $494 $20,685
U.S. Targeted Value Portfolio........... 4,852 -- 4,852
U.S. Small Cap Value Portfolio.......... 3,944 -- 3,944
U.S. Core Equity 1 Portfolio............ 13,031 -- 13,031
U.S. Core Equity 2 Portfolio............ 13,721 -- 13,721
U.S. Vector Equity Portfolio............ 2,185 -- 2,185
U.S. Small Cap Portfolio................ 8,883 -- 8,883
U.S. Micro Cap Portfolio................ 3,430 -- 3,430
DFA Real Estate Securities Portfolio.... 3,633 -- 3,633
Large Cap International Portfolio....... 2,229 -- 2,229
International Core Equity Portfolio..... 14,630 -- 14,630
International Small Company Portfolio... 328 -- 328
DFA International Real Estate
Securities Portfolio.................. 2,228 -- 2,228
DFA International Small Cap Value
Portfolio............................. 6,216 -- 6,216
Selectively Hedged Global Equity
Portfolio............................. 1,273 514 759
Emerging Markets Core Equity Portfolio.. 13,152 -- 13,152
LIABILITY DERIVATIVES VALUE
---------------------------
TOTAL VALUE FORWARD
AT CURRENCY
APRIL 30, 2019 CONTRACTS (3)
-------------- -------------
Enhanced U.S. Large Company Portfolio.................. $(72) $(72)
Selectively Hedged Global Equity Portfolio............. (29) (29)
181
(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/Payables:
Futures Margin Variation.
(3)Presented on Statements of Assets and Liabilities as Unrealized Loss on
Forward Currency Contracts.
* 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 six months ended April 30, 2019 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (1) CONTRACTS (2)
-------- ------------- -------------
Enhanced U.S. Large Company Portfolio........ $(12,260) $1,946 $(14,206)*
U.S. Large Cap Equity Portfolio.............. 466 -- 466*
U.S. Targeted Value Portfolio................ (2,413) -- (2,413)
U.S. Small Cap Value Portfolio............... (3,040) -- (3,040)
U.S. Core Equity 1 Portfolio................. 2,546 -- 2,546
U.S. Core Equity 2 Portfolio................. (4,838) -- (4,838)
U.S. Vector Equity Portfolio................. 2,204 -- 2,204
U.S. Small Cap Portfolio..................... (1,294) -- (1,294)
U.S. Micro Cap Portfolio..................... (5,420) -- (5,420)
U.S. High Relative Profitability Portfolio... (52) -- (52)*
DFA Real Estate Securities Portfolio......... (6,732) -- (6,732)
Large Cap International Portfolio............ (1,849) -- (1,849)
International Core Equity Portfolio.......... (943) -- (943)
International Small Company Portfolio........ (1,000) -- (1,000)
DFA International Real Estate Securities
Portfolio.................................. (1,258) -- (1,258)
DFA Global Real Estate Securities Portfolio.. (135) -- (135)*
DFA International Small Cap Value Portfolio.. (2,562) -- (2,562)
International Vector Equity Portfolio........ (1,747) -- (1,747)*
International High Relative Profitability
Portfolio.................................. 255 -- 255*
World ex U.S. Value Portfolio................ (109) -- (109)*
World ex U.S. Targeted Value Portfolio....... (308) -- (308)*
World ex U.S. Core Equity Portfolio.......... (1,060) -- (1,060)*
World Core Equity Portfolio.................. (63) -- (63)*
Selectively Hedged Global Equity Portfolio... 493 2,569 (2,076)
Emerging Markets Core Equity Portfolio....... 2,305 -- 2,305
Emerging Markets Targeted Value Portfolio.... 39 -- 39*
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
-----------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (3) CONTRACTS (4)
-------- ------------- -------------
Enhanced U.S. Large Company Portfolio........ $ 40,193 $ (27) $ 40,220
182
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
-----------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (3) CONTRACTS (4)
------- ------------- -------------
U.S. Targeted Value Portfolio....................... $ 6,971 -- $ 6,971
U.S. Small Cap Value Portfolio...................... 6,431 -- 6,431
U.S. Core Equity 1 Portfolio........................ 18,378 -- 18,378
U.S. Core Equity 2 Portfolio........................ 22,739 -- 22,739
U.S. Vector Equity Portfolio........................ 1,554 -- 1,554
U.S. Small Cap Portfolio............................ 8,867 -- 8,867
U.S. Micro Cap Portfolio............................ 6,144 -- 6,144
DFA Real Estate Securities Portfolio................ 4,100 -- 4,100
Large Cap International Portfolio................... 4,753 -- 4,753
International Core Equity Portfolio................. 23,259 -- 23,259
International Small Company Portfolio............... 6,908 -- 6,908
DFA International Real Estate Securities Portfolio.. 3,208 -- 3,208
DFA International Small Cap Value Portfolio......... 7,897 -- 7,897
Selectively Hedged Global Equity Portfolio.......... 1,265 $(1,116) 2,381
Emerging Markets Core Equity Portfolio.............. 21,428 -- 21,428
(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 April 30, 2019, there were no futures contracts outstanding. During
the six months ended April 30, 2019, 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, 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.
183
The following table presents the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of April 30, 2019
(amounts in thousands):
GROSS AMOUNTS NOT GROSS AMOUNTS NOT
OFFSET IN THE OFFSET IN THE
STATEMENTS OF STATEMENTS OF
ASSETS AND LIABILITIES ASSETS AND LIABILITIES
---------------------- ----------------------
NET
NET AMOUNTS
AMOUNTS OF
OF ASSETS LIABILITIES
GROSS PRESENTED GROSS PRESENTED
AMOUNTS IN THE AMOUNTS IN THE
OF STATEMENTS OF STATEMENTS
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED OF ASSETS FINANCIAL CASH NET
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED (E)
----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- ------
ASSETS LIABILITIES
---------------------------------------------------- -----------------------------------------------------
ENHANCED U.S.
LARGE
COMPANY
PORTFOLIO
Citibank, N.A..... $267 $267 -- -- $267 -- -- -- -- --
HSBC Bank......... 52 52 -- -- 52 -- -- -- -- --
Royal Bank of
Scotland........ 174 174 $(72) -- 102 $72 $72 $(72) -- --
---- ---- ---- -- ---- --- --- ---- -- ---
Total $493 $493 $(72) -- $421 $72 $72 $(72) -- --
==== ==== ==== == ==== === === ==== == ===
SELECTIVELY
HEDGED GLOBAL
EQUITY
PORTFOLIO
Bank of America
Corp............ -- -- -- -- -- $ 7 $ 7 -- -- $ 7
Citibank, N.A..... $184 $184 $(21) -- $163 21 21 $(21) -- --
State Street Bank
and Trust....... 285 285 -- -- 285 -- -- -- -- --
JP Morgan......... 45 45 -- -- 45 -- -- -- -- --
---- ---- ---- -- ---- --- --- ---- -- ---
Total $514 $514 $(21) -- $493 $28 $28 $(21) -- $ 7
==== ==== ==== == ==== === === ==== == ===
(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 April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. 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 April 8, 2020.
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 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. 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 3, 2020.
184
For the six months ended April 30, 2019, borrowings by the Portfolios under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
MAXIMUM
WEIGHTED WEIGHTED AMOUNT OUTSTANDING
AVERAGE AVERAGE NUMBER OF INTEREST BORROWED BORROWINGS
INTEREST LOAN DAYS EXPENSE DURING THE AS OF
RATE BALANCE OUTSTANDING* INCURRED PERIOD 04/30/2019
-------- -------- ------------ -------- ---------- -----------
U.S. Large Cap Equity Portfolio......... 3.11% $ 7,339 29 $19 $ 29,727 --
U.S. High Relative Profitability
Portfolio............................. 3.15% 8,330 9 7 12,562 --
Global Small Company Portfolio.......... 3.06% 110 33 -- 412 --
International Small Company Portfolio... 3.15% 2,008 1 -- 2,008 --
DFA International Real Estate
Securities Portfolio.................. 3.11% 39,852 23 80 97,642 --
DFA Global Real Estate Securities
Portfolio............................. 3.09% 8,568 24 17 26,204 --
DFA International Small Cap Value
Portfolio............................. 2.98% 16,501 11 15 110,411 --
International Vector Equity Portfolio... 3.15% 7,247 9 6 12,563 --
World ex U.S. Value Portfolio........... 3.11% 956 30 2 10,385 --
World ex U.S. Targeted Value Portfolio.. 2.95% 4,698 27 10 21,220 --
World ex U.S. Core Equity Portfolio..... 2.98% 5,213 8 3 18,667 --
World Core Equity Portfolio............. 2.99% 1,443 22 3 5,444 --
* Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2019, that each Portfolio's
available line of credit was used.
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 six
months ended April 30, 2019.
J. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2019, 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),
185
common Directors and/or common Officers. At its regularly scheduled meetings,
the CCO certifies to the Board that the 17a-7 transactions entered into by the
Portfolios complied with the Rule 17a-7 Procedures adopted by the Board of
Directors of the Fund.
For the six months ended April 30, 2019, 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.............. $ 20,138 $ 21,267 $ (3,306)
U.S. Targeted Value Portfolio................ 106,096 91,923 2,514
U.S. Small Cap Value Portfolio............... 133,099 253,842 38,051
U.S. Core Equity 1 Portfolio................. 30,829 16,495 (11,666)
U.S. Core Equity 2 Portfolio................. 39,961 38,572 (15,659)
U.S. Vector Equity Portfolio................. 10,887 27,589 5,110
U.S. Small Cap Portfolio..................... 103,935 50,372 (1,906)
U.S. Micro Cap Portfolio..................... 73,099 48,867 10,624
U.S. High Relative Profitability Portfolio... 21,715 6,506 (58)
DFA Real Estate Securities Portfolio......... 553 7,277 (2,620)
Large Cap International Portfolio............ 52,972 17,256 (7,797)
International Core Equity Portfolio.......... 30,507 42,903 (30,107)
DFA Global Real Estate Securities Portfolio.. 3,913 -- --
DFA International Small Cap Value Portfolio.. 34,123 145,759 17,627
International Vector Equity Portfolio........ 16,785 12,441 (3,441)
International High Relative Profitability
Portfolio.................................. 11,000 949 (533)
World ex U.S. Targeted Value Portfolio....... 9,727 4,088 361
World ex U.S. Core Equity Portfolio.......... 18,694 2,936 (210)
Emerging Markets Core Equity Portfolio....... 2,640 4,054 (1,008)
K. SECURITIES LENDING:
As of April 30, 2019, 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):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
U.S. Large Cap Equity Portfolio............................. $ 13,283
U.S. Targeted Value Portfolio............................... 694,543
U.S. Small Cap Value Portfolio.............................. 1,003,444
U.S. Core Equity 1 Portfolio................................ 848,500
U.S. Core Equity 2 Portfolio................................ 1,093,803
U.S. Vector Equity Portfolio................................ 209,554
U.S. Small Cap Portfolio.................................... 1,510,374
U.S. Micro Cap Portfolio.................................... 375,709
U.S. High Relative Profitability Portfolio.................. 13,942
DFA Real Estate Securities Portfolio........................ 163,980
Large Cap International Portfolio........................... 30,584
186
NON-CASH
COLLATERAL
MARKET
VALUE
----------
International Core Equity Portfolio......................... $459,226
DFA International Real Estate Securities Portfolio.......... 46,487
DFA International Small Cap Value Portfolio................. 297,175
International Vector Equity Portfolio....................... 58,678
International High Relative Profitability Portfolio......... 1,602
World ex U.S. Targeted Value Portfolio...................... 5,581
World ex U.S. Core Equity Portfolio......................... 73,029
Emerging Markets Core Equity Portfolio...................... 893,018
Emerging Markets Targeted Value Portfolio................... 1,550
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, a
Portfolio could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to their stated investment policies, each Portfolio 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.
187
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2019:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2019
-----------------------------------------------
OVERNIGHT BETWEEN
AND 30 & 90
CONTINUOUS <30 DAYS DAYS >90 DAYS TOTAL
---------- -------- ------- -------- ----------
SECURITIES LENDING TRANSACTIONS
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Bonds............................................ $ 2,418 -- -- -- $ 2,418
U.S. LARGE CAP EQUITY PORTFOLIO
Common Stocks.................................... 41,108 -- -- -- 41,108
U.S. TARGETED VALUE PORTFOLIO
Common Stocks, Preferred Stocks.................. 1,100,319 -- -- -- 1,100,319
U.S. SMALL CAP VALUE PORTFOLIO
Common Stocks, Rights/Warrants................... 1,501,100 -- -- -- 1,501,100
U.S. CORE EQUITY 1 PORTFOLIO
Common Stocks.................................... 1,637,862 -- -- -- 1,637,862
U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks.................................... 1,909,858 -- -- -- 1,909,858
U.S. VECTOR EQUITY PORTFOLIO
Common Stocks, Rights/Warrants................... 379,561 -- -- -- 379,561
U.S. SMALL CAP PORTFOLIO
Common Stocks, Rights/Warrants................... 2,780,163 -- -- -- 2,780,163
U.S. MICRO CAP PORTFOLIO
Common Stocks, Preferred Stocks.................. 797,616 -- -- -- 797,616
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
Common Stocks.................................... 11,584 -- -- -- 11,584
DFA REAL ESTATE SECURITIES PORTFOLIO
Common Stocks.................................... 306,926 -- -- -- 306,926
LARGE CAP INTERNATIONAL PORTFOLIO
Common Stocks.................................... 329,248 -- -- -- 329,248
INTERNATIONAL CORE EQUITY PORTFOLIO
Common Stocks, Rights/Warrants................... 2,082,255 -- -- -- 2,082,255
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Common Stocks.................................... 185,512 -- -- -- 185,512
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
Common Stocks.................................... 86,622 -- -- -- 86,622
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Common Stocks.................................... 797,328 -- -- -- 797,328
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Common Stocks, Rights/Warrants................... 171,701 -- -- -- 171,701
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
Common Stocks.................................... 28,429 -- -- -- 28,429
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Common Stocks.................................... 1,935 -- -- -- 1,935
188
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2019
-----------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- --------
SECURITIES LENDING TRANSACTIONS
WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks.......................... $189,732 -- -- -- $189,732
EMERGING MARKETS CORE EQUITY PORTFOLIO
Common Stocks.......................... 647,679 -- -- -- 647,679
EMERGING MARKETS TARGETED VALUE PORTFOLIO
Common Stocks.......................... 728 -- -- -- 728
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 six months ended April 30, 2019, the following Portfolio realized
net gains (losses) on in-kind redemptions as follows:
DFA Real Estate Securities Portfolio........................ $50,622
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. Management has evaluated the
requirements of this update and does not expect any material impact to the
Fund's financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolios' early adoption of certain of the ASU
2018-13 disclosure requirements are reflected within these financial statements
prepared as of April 30, 2019. Management does not believe that adoption of the
remaining disclosure requirements within ASU 2018-13 will materially impact the
Portfolios' financial statements.
189
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 the 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.
P. OTHER:
As of April 30, 2019, 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........ 3 62%
U.S. Large Cap Equity Portfolio-Institutional Class.............. 4 87%
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........................... 7 85%
U.S. Targeted Value Portfolio-Institutional Class................ 3 58%
U.S. Small Cap Value Portfolio-Institutional Class............... 4 70%
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 84%
U.S. Small Cap Portfolio-Institutional Class..................... 3 54%
U.S. Micro Cap Portfolio-Institutional Class..................... 4 75%
U.S. High Relative Profitability Portfolio-Institutional Class... 3 90%
DFA Real Estate Securities Portfolio-Institutional Class......... 4 73%
Large Cap International Portfolio-Institutional Class............ 3 64%
International Core Equity Portfolio-Institutional Class.......... 4 70%
Global Small Company Portfolio-Institutional Class............... 5 97%
International Small Company Portfolio-Institutional Class........ 3 64%
Japanese Small Company Portfolio-Institutional Class............. 4 88%
Asia Pacific Small Company Portfolio-Institutional Class......... 3 94%
United Kingdom Small Company Portfolio-Institutional Class....... 4 95%
Continental Small Company Portfolio-Institutional Class.......... 3 93%
DFA International Real Estate Securities Portfolio-Institutional
Class.......................................................... 4 90%
DFA Global Real Estate Securities Portfolio-Institutional Class.. 3 65%
DFA International Small Cap Value Portfolio-Institutional Class.. 4 71%
International Vector Equity Portfolio-Institutional Class........ 3 81%
International High Relative Profitability
Portfolio-Institutional Class.................................. 3 91%
World ex U.S. Value Portfolio-Institutional Class................ 6 83%
World ex U.S. Targeted Value Portfolio-Institutional Class....... 3 98%
World ex U.S. Core Equity Portfolio-Institutional Class.......... 3 73%
World Core Equity Portfolio-Institutional Class.................. 6 81%
Selectively Hedged Global Equity Portfolio-Institutional Class... 4 95%
Emerging Markets Portfolio-Institutional Class................... 3 54%
190
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
Emerging Markets Small Cap Portfolio-Institutional Class......... 3 54%
Emerging Markets Value Portfolio-Class R2........................ 2 91%
Emerging Markets Value Portfolio-Institutional Class............. 2 35%
Emerging Markets Core Equity Portfolio-Institutional Class....... 3 61%
Emerging Markets Targeted Value Portfolio-Institutional Class.... 4 100%
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 filed a petition
for certiorari with the Supreme Court of the United States (the "Supreme
Court"), seeking review of the Second Circuit's ruling. Thereafter, the
individual creditor plaintiffs moved the Second Circuit to review its prior
ruling in light of the Supreme Court's decision in MERIT MANAGEMENT GROUP, LP
v. FTI CONSULTING, INC., 138 S.Ct. 883 (2018) ("Merit Mgmt."), which addressed
the scope of the Bankruptcy Code's safe harbor for securities transactions. The
Second Circuit agreed to review the matter and withdrew its mandate with
respect to the affirmance of the dismissal order. Consequently, the Supreme
Court dismissed the individual creditor plaintiffs' petition for certiorari.
The Second Circuit's 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 has
advised that he intends to appeal the dismissal order to the Second Circuit.
The Trustee also moved for leave from the District Court to file an amended
complaint to assert new constructive fraudulent transfer claims against the
shareholder defendants in light of the Merit Mgmt. decision. The District Court
denied the motion, ruling that the proposed amendment would unduly prejudice
the shareholder defendants and would be futile because the Trustee's proposed
constructive fraudulent transfer claims would be barred by the Bankruptcy
Code's safe harbor for securities transactions, notwithstanding the Merit Mgmt.
decision.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible to predict with
any reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits.
Until The U.S. Large Cap Value Series can do so, no reduction of the net asset
value of The U.S. Large Cap Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full
recovery the plaintiffs seek, the amount would be less than 1% of the net asset
value of The U.S. Large Cap Value Series at this time.
191
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.
192
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS PAID-IN
FISCAL YEAR, FROM THE SALE SURPLUS
AND ACCUMULATED OF SECURITIES OR OTHER
UNDISTRIBUTED NET OR OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- --------
Enhanced U.S. Large Company Portfolio December 18, 2018.......... 83% 0% 17%
U.S. Large Cap Equity Portfolio December 18, 2018................ 91% 0% 9%
U.S. Large Cap Value Portfolio December 18, 2018................. 89% 0% 11%
U.S. Targeted Value Portfolio December 18, 2018.................. 88% 0% 12%
U.S. Small Cap Value Portfolio December 18, 2018................. 59% 0% 41%
U.S. Core Equity 1 Portfolio December 17, 2018................... 90% 0% 10%
U.S. Core Equity 2 Portfolio December 17, 2018................... 91% 0% 9%
U.S. Vector Equity Portfolio December 18, 2018................... 93% 0% 7%
U.S. Small Cap Portfolio December 17, 2018....................... 80% 0% 20%
U.S. Micro Cap Portfolio December 18, 2018....................... 70% 0% 30%
U.S. High Relative Profitability Portfolio December 18, 2018..... 74% 0% 26%
DFA Real Estate Securities Portfolio December 17, 2018........... 61% 0% 39%
Large Cap International Portfolio December 17, 2018.............. 76% 0% 24%
International Core Equity Portfolio December 17, 2018............ 70% 0% 30%
International Small Company Portfolio December 18, 2018.......... 33% 0% 67%
Japanese Small Company Portfolio December 18, 2018............... 0% 0% 100%
193
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
CONTINUED
ESTIMATED % BREAKDOWN OF DISTRIBUTION
SOURCES
---------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS PAID-IN
FISCAL YEAR, FROM THE SALE SURPLUS
AND ACCUMULATED OF SECURITIES OR OTHER
UNDISTRIBUTED NET OR OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- --------
Asia Pacific Small Company Portfolio December 18, 2018........... 25% 0% 75%
United Kingdom Small Company Portfolio December 18, 2018......... 0% 0% 100%
Continental Small Company Portfolio December 18, 2018............ 0% 0% 100%
DFA International Real Estate Securities Portfolio December 17,
2018........................................................... 0% 0% 100%
DFA Global Real Estate Securities Portfolio December 18, 2018.... 98% 0% 2%
DFA International Small Cap Value Portfolio December 17, 2018.... 45% 0% 55%
International Vector Equity Portfolio December 17, 2018.......... 63% 0% 37%
International High Relative Profitability Portfolio December 18,
2018........................................................... 86% 0% 14%
World ex U.S. Value Portfolio December 18, 2018.................. 79% 0% 21%
World ex U.S. Targeted Value Portfolio December 18, 2018......... 86% 0% 14%
World ex U.S. Core Equity Portfolio December 18, 2018............ 68% 0% 32%
Selectively Hedged Global Equity Portfolio December 18, 2018..... 87% 0% 13%
Emerging Markets Portfolio December 18, 2018..................... 17% 0% 83%
Emerging Markets Small Cap Portfolio December 18, 2018........... 12% 0% 88%
Emerging Markets Value Portfolio December 18, 2018............... 25% 0% 75%
December 31, 2018............................................. 0% 0% 100%
Emerging Markets Core Equity Portfolio December 17, 2018......... 56% 0% 44%
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.
194
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses 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.
SIX MONTHS ENDED APRIL 30, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- -------- ---------- ----------
DFA COMMODITY STRATEGY PORTFOLIO
--------------------------------
Actual Fund Return.......................................... $1,000.00 $991.60 0.33% $1.63
195
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.16 0.33% $1.66
--------
(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 (181), then divided by
the number of days in the year (365) to reflect the six-month period.
196
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-PORT. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-PORT 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 April 1, 2019. 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................................. 38.1%
Government................................ 20.1%
Foreign Corporate......................... 18.9%
Foreign Government........................ 21.6%
Supranational............................. 1.3%
-----
100.0%
197
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (79.4%)
AUSTRALIA -- (3.4%)
Commonwealth Bank of Australia
2.300%, 09/06/19................................................. 2,100 $ 2,097,632
(OMEGA) 2.250%, 03/10/20................................................. 5,000 4,982,008
2.300%, 03/12/20................................................. 3,000 2,991,381
5.000%, 03/19/20................................................. 5,000 5,098,849
2.400%, 11/02/20................................................. 2,246 2,237,085
Macquarie Group, Ltd.
(OMEGA) 6.250%, 01/14/21................................................. 4,842 5,093,321
National Australia Bank, Ltd.
(OMEGA) 2.400%, 12/09/19................................................. 9,500 9,487,069
2.125%, 05/22/20................................................. 745 740,789
2.625%, 07/23/20................................................. 4,052 4,050,113
Westpac Banking Corp.
2.300%, 05/26/20................................................. 17,774 17,706,918
2.100%, 05/13/21................................................. 1,000 987,558
-----------
TOTAL AUSTRALIA........................................................... 55,472,723
-----------
AUSTRIA -- (0.1%)
Oesterreichische Kontrollbank AG
1.875%, 01/20/21................................................. 1,500 1,486,441
-----------
BELGIUM -- (2.2%)
Dexia Credit Local SA
1.875%, 01/29/20................................................. 5,000 4,975,787
0.200%, 03/16/21................................................. EUR 16,250 18,368,683
Solvay Finance America LLC
(OMEGA) 3.400%, 12/03/20................................................. 12,000 12,066,707
-----------
TOTAL BELGIUM............................................................. 35,411,177
-----------
CANADA -- (15.1%)
Canada Housing Trust No 1
(OMEGA) 1.450%, 06/15/20................................................. CAD 52,000 38,686,184
CPPIB Capital, Inc.
1.400%, 06/04/20................................................. CAD 6,000 4,460,342
Nutrien, Ltd.
6.500%, 05/15/19................................................. 1,446 1,447,841
Province of Alberta Canada
1.900%, 12/06/19................................................. 5,000 4,981,203
1.250%, 06/01/20................................................. CAD 39,000 28,945,062
Province of British Columbia Canada
3.700%, 12/18/20................................................. CAD 30,000 23,091,513
Province of Manitoba Canada
# 2.050%, 11/30/20................................................. 15,000 14,893,536
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
Province of Ontario Canada
4.200%, 06/02/20................................................. CAD 40,000 $ 30,634,023
4.000%, 06/02/21................................................. CAD 7,000 5,461,641
Province of Quebec Canada
4.500%, 12/01/20................................................. CAD 50,000 38,925,879
Royal Bank of Canada
2.980%, 05/07/19................................................. CAD 7,000 5,226,461
2.150%, 03/06/20................................................. 5,708 5,688,922
2.350%, 10/30/20................................................. 5,913 5,886,850
Toronto-Dominion Bank (The)
2.563%, 06/24/20................................................. CAD 39,000 29,285,952
2.500%, 12/14/20................................................. 1,000 998,098
3.250%, 06/11/21................................................. 10,000 10,121,161
------------
TOTAL CANADA.............................................................. 248,734,668
------------
DENMARK -- (0.3%)
Danske Bank A.S.
(OMEGA) 2.800%, 03/10/21................................................. 5,400 5,343,157
------------
FINLAND -- (0.1%)
Municipality Finance P.L.C.
1.750%, 05/21/19................................................. 1,150 1,149,503
------------
FRANCE -- (3.3%)
BNP Paribas SA
2.375%, 05/21/20................................................. 2,720 2,711,528
BPCE SA
2.650%, 02/03/21................................................. 330 329,213
Credit Agricole SA
(OMEGA) 2.750%, 06/10/20................................................. 5,000 4,998,165
Electricite de France SA
(OMEGA) 2.350%, 10/13/20................................................. 5,000 4,970,309
Orange SA
1.625%, 11/03/19................................................. 2,000 1,988,538
Sanofi
4.000%, 03/29/21................................................. 17,450 17,898,602
0.875%, 09/22/21................................................. EUR 5,000 5,737,329
Societe Generale SA
2.625%, 09/16/20................................................. 2,000 1,996,077
Total Capital International SA
# 2.100%, 06/19/19................................................. 13,208 13,198,373
------------
TOTAL FRANCE.............................................................. 53,828,134
------------
GERMANY -- (4.0%)
Bayer U.S. Finance LLC
2.375%, 10/08/19................................................. 1,500 1,495,113
BMW US Capital LLC
(OMEGA) 2.000%, 04/11/21................................................. 3,000 2,960,527
198
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
GERMANY -- (Continued)
Daimler Finance North America LLC
(OMEGA) 2.250%, 03/02/20................................................. 2,925 $ 2,912,174
#(OMEGA) 2.700%, 08/03/20................................................. 3,060 3,052,398
Deutsche Bank AG
# 2.950%, 08/20/20................................................. 7,018 6,963,990
# 3.125%, 01/13/21................................................. 3,889 3,829,863
Deutsche Telekom International Finance BV
(OMEGA) 1.500%, 09/19/19................................................. 3,000 2,984,061
EMD Finance LLC
(OMEGA) 2.400%, 03/19/20................................................. 1,150 1,145,230
Erste Abwicklungsanstalt
1.375%, 10/30/19................................................. 25,000 24,856,700
State of North Rhine-Westphalia Germany
1.625%, 01/22/20................................................. 3,650 3,626,436
Volkswagen Group of America Finance LLC
(OMEGA) 2.125%, 05/23/19................................................. 10,000 9,996,170
2.400%, 05/22/20................................................. 2,000 1,988,942
-----------
TOTAL GERMANY.............................................................. 65,811,604
-----------
JAPAN -- (1.8%)
American Honda Finance Corp.
2.250%, 08/15/19................................................. 610 609,375
Mitsubishi UFJ Financial Group, Inc.
2.950%, 03/01/21................................................. 882 884,714
Mizuho Financial Group, Inc.
2.632%, 04/12/21................................................. 2,000 1,992,052
MUFG Bank, Ltd.
2.350%, 09/08/19................................................. 850 848,867
Sumitomo Mitsui Banking Corp.
2.650%, 07/23/20................................................. 2,250 2,249,033
Toyota Motor Credit Corp.
1.400%, 05/20/19................................................. 5,168 5,164,873
# 2.125%, 07/18/19................................................. 1,080 1,078,942
2.150%, 03/12/20................................................. 16,893 16,850,177
-----------
TOTAL JAPAN 29,678,033
-----------
NETHERLANDS -- (3.7%)
BNG Bank NV
2.500%, 02/28/20................................................. 1,800 1,800,081
(OMEGA) 1.750%, 10/05/20................................................. 24,800 24,559,192
ING Bank NV
(OMEGA) 2.500%, 10/01/19................................................. 3,000 2,996,311
Nederlandse Waterschapsbank NV
1.625%, 03/04/20................................................. 4,362 4,330,088
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NETHERLANDS -- (Continued)
Shell International Finance BV
# 4.300%, 09/22/19................................................. 12,204 $12,278,632
1.875%, 05/10/21................................................. 15,000 14,794,765
-----------
TOTAL NETHERLANDS......................................................... 60,759,069
-----------
NORWAY -- (1.9%)
Norway Government Bond
(OMEGA) 3.750%, 05/25/21................................................. NOK 150,000 18,225,432
Equinor ASA
2.900%, 11/08/20................................................. 3,192 3,207,278
Kommunalbanken A.S.
1.750%, 05/28/19................................................. 5,000 4,997,170
1.625%, 01/15/20................................................. 5,450 5,417,333
-----------
TOTAL NORWAY.............................................................. 31,847,213
-----------
SPAIN -- (1.7%)
Iberdrola Finance Ireland DAC
(OMEGA) 5.000%, 09/11/19................................................. 2,000 2,014,093
Santander Holdings USA, Inc.
2.650%, 04/17/20................................................. 4,992 4,979,164
Santander UK Group Holdings P.L.C.
2.875%, 10/16/20................................................. 9,000 8,980,074
3.125%, 01/08/21................................................. 1,808 1,807,438
Telefonica Emisiones SA
5.462%, 02/16/21................................................. 8,000 8,356,574
Telefonica Emisiones SAU
5.134%, 04/27/20................................................. 2,200 2,248,140
-----------
TOTAL SPAIN 28,385,483
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.3%)
Council Of Europe Development Bank
1.750%, 11/14/19................................................. 7,000 6,972,233
European Investment Bank
1.125%, 02/18/20................................................. CAD 20,020 14,859,362
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS.............................. 21,831,595
-----------
SWEDEN -- (4.4%)
Kommuninvest I Sverige AB
1.000%, 09/15/21................................................. SEK 400,000 43,096,719
Svensk Exportkredit AB
1.875%, 06/17/19................................................. 17,000 16,983,680
Svenska Handelsbanken AB
2.250%, 06/17/19................................................. 5,000 4,996,875
(OMEGA) 5.125%, 03/30/20................................................. 6,708 6,851,715
-----------
TOTAL SWEDEN 71,928,989
-----------
199
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SWITZERLAND -- (0.7%)
Credit Suisse AG
3.000%, 10/29/21................................................. 1,500 $ 1,508,392
Nestle Finance International, Ltd.
2.125%, 09/10/21................................................. EUR 2,875 3,404,822
UBS AG Stamford CT
2.375%, 08/14/19................................................. 720 719,521
2.350%, 03/26/20................................................. 6,000 5,983,886
-----------
TOTAL SWITZERLAND.................................................... 11,616,621
-----------
UNITED KINGDOM -- (1.1%)
Barclays P.L.C.
2.875%, 06/08/20................................................. 5,000 4,986,980
3.250%, 01/12/21................................................. 1,085 1,084,999
HSBC USA, Inc.
2.750%, 08/07/20................................................. 10,000 10,002,619
Lloyds Banking Group P.L.C.
# 3.100%, 07/06/21................................................. 1,000 1,002,687
-----------
TOTAL UNITED KINGDOM................................................. 17,077,285
-----------
UNITED STATES -- (34.3%)
3M Co.
1.625%, 06/15/19................................................. 3,200 3,196,008
AbbVie, Inc.
2.500%, 05/14/20................................................. 11,317 11,280,037
Allergan Funding SCS
3.000%, 03/12/20................................................. 5,000 5,001,800
Allergan, Inc.
3.375%, 09/15/20................................................. 1,570 1,578,432
American Express Credit Corp.
2.375%, 05/26/20................................................. 6,210 6,188,810
2.600%, 09/14/20................................................. 1,600 1,597,878
American International Group, Inc.
2.300%, 07/16/19................................................. 1,500 1,498,609
3.375%, 08/15/20................................................. 3,470 3,494,967
6.400%, 12/15/20................................................. 7,000 7,385,859
Amgen, Inc.
2.200%, 05/11/20................................................. 9,990 9,947,094
Anthem, Inc.
4.350%, 08/15/20................................................. 1,128 1,148,863
2.500%, 11/21/20................................................. 11,465 11,407,141
Aon Corp.
5.000%, 09/30/20................................................. 1,000 1,032,077
Aon P.L.C.
2.800%, 03/15/21................................................. 3,380 3,379,022
Apple, Inc.
# 1.900%, 02/07/20................................................. 31,000 30,847,275
Autodesk, Inc.
3.125%, 06/15/20................................................. 1,355 1,359,060
AutoZone, Inc.
2.500%, 04/15/21................................................. 2,045 2,030,007
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Bank of America Corp.
2.625%, 10/19/20................................................. 1,670 $ 1,671,177
Berkshire Hathaway, Inc.
2.100%, 08/14/19................................................. 2,800 2,795,153
Best Buy Co., Inc.
# 5.500%, 03/15/21................................................. 6,000 6,231,357
Burlington Northern Santa Fe LLC
4.700%, 10/01/19................................................. 250 252,046
CA, Inc.
5.375%, 12/01/19................................................. 5,245 5,310,316
Campbell Soup Co.
4.250%, 04/15/21................................................. 8,000 8,184,183
Capital One Bank USA NA
2.300%, 06/05/19................................................. 1,242 1,241,934
Capital One NA
2.400%, 09/05/19................................................. 6,536 6,526,826
Cardinal Health, Inc.
4.625%, 12/15/20................................................. 5,150 5,288,374
Celgene Corp.
2.875%, 02/19/21................................................. 10,000 9,998,518
Chevron Corp.
2.193%, 11/15/19................................................. 15,000 14,969,226
1.961%, 03/03/20................................................. 8,000 7,956,438
Cisco Systems, Inc.
1.400%, 09/20/19................................................. 12,330 12,273,891
Citigroup, Inc.
2.650%, 10/26/20................................................. 2,575 2,571,450
# 2.700%, 03/30/21................................................. 4,790 4,783,910
Citizens Bank NA
# 2.550%, 05/13/21................................................. 8,000 7,963,535
Comerica, Inc.
2.125%, 05/23/19................................................. 4,000 3,998,710
Discovery Communications LLC
2.750%, 11/15/19................................................. 1,500 1,496,487
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20................................................. 2,000 2,002,356
Dow Chemical Co. (The)
4.250%, 11/15/20................................................. 9,625 9,803,327
Eastman Chemical Co.
2.700%, 01/15/20................................................. 1,207 1,206,106
Enterprise Products Operating LLC
5.200%, 09/01/20................................................. 3,839 3,959,059
Eversource Energy
2.500%, 03/15/21................................................. 4,556 4,532,320
Exelon Corp.
2.850%, 06/15/20................................................. 1,205 1,205,312
Exelon Generation Co. LLC
4.000%, 10/01/20................................................. 4,282 4,342,016
Exxon Mobil Corp.
# 1.912%, 03/06/20................................................. 3,950 3,929,419
200
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
2.222%, 03/01/21................................................. 3,000 $ 2,989,273
Fidelity National Information Services, Inc.
3.625%, 10/15/20................................................. 1,214 1,225,173
2.250%, 08/15/21................................................. 4,325 4,275,810
Fifth Third Bancorp
2.875%, 07/27/20................................................. 4,000 4,007,069
General Electric Co.
# 4.375%, 09/16/20................................................. 7,000 7,126,334
General Mills, Inc.
2.200%, 10/21/19................................................. 3,500 3,488,511
General Motors Financial Co., Inc.
3.150%, 01/15/20................................................. 7,000 7,012,569
4.200%, 03/01/21................................................. 500 508,865
Goldman Sachs Group, Inc. (The)
2.300%, 12/13/19................................................. 600 598,315
2.600%, 04/23/20................................................. 2,075 2,071,824
6.000%, 06/15/20................................................. 8,000 8,273,579
Harley-Davidson Financial Services, Inc.
(OMEGA) 2.150%, 02/26/20................................................. 585 580,760
2.400%, 06/15/20................................................. 2,600 2,574,720
(OMEGA) 2.850%, 01/15/21................................................. 6,000 5,963,036
Harris Corp.
2.700%, 04/27/20................................................. 1,205 1,203,144
Hewlett Packard Enterprise Co.
3.600%, 10/15/20................................................. 12,000 12,112,864
Huntington National Bank
2.875%, 08/20/20................................................. 2,000 2,003,645
Integrys Holding, Inc.
4.170%, 11/01/20................................................. 4,060 4,113,803
Intercontinental Exchange, Inc.
2.750%, 12/01/20................................................. 3,519 3,521,252
International Business Machines Corp.
2.250%, 02/19/21................................................. 3,615 3,588,509
John Deere Capital Corp.
2.800%, 03/04/21................................................. 1,000 1,002,474
JPMorgan Chase & Co.
# 2.750%, 06/23/20................................................. 7,900 7,906,471
4.350%, 08/15/21................................................. 750 776,119
Keurig Dr Pepper, Inc.
3.200%, 11/15/21................................................. 630 630,456
KeyCorp
2.900%, 09/15/20................................................. 3,128 3,137,860
Kraft Heinz Foods Co.
2.800%, 07/02/20................................................. 14,365 14,345,876
Kroger Co. (The)
1.500%, 09/30/19................................................. 1,565 1,557,129
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
2.950%, 11/01/21................................................. 2,334 $ 2,340,254
Lam Research Corp.
2.750%, 03/15/20................................................. 1,098 1,097,391
LG&E & KU Energy LLC
# 3.750%, 11/15/20................................................. 1,244 1,256,968
Liberty Mutual Group, Inc.
5.000%, 06/01/21................................................. 980 1,016,676
LyondellBasell Industries NV
6.000%, 11/15/21................................................. 5,000 5,327,377
Marriott International, Inc.
2.875%, 03/01/21................................................. 1,000 999,620
Marsh & McLennan Cos. Inc.
# 4.800%, 07/15/21................................................. 1,526 1,585,323
Merck & Co., Inc.
1.850%, 02/10/20................................................. 20,744 20,638,884
Microsoft Corp.
1.100%, 08/08/19................................................. 4,930 4,911,327
# 1.850%, 02/12/20................................................. 7,000 6,966,728
Molson Coors Brewing Co.
2.250%, 03/15/20................................................. 12,857 12,790,816
Mondelez International Holdings Netherlands BV
1.625%, 10/28/19................................................. 2,000 1,988,643
Mylan N.V.
3.150%, 06/15/21................................................. 1,214 1,214,013
Nasdaq, Inc.
5.550%, 01/15/20................................................. 1,850 1,886,003
NetApp, Inc.
3.375%, 06/15/21................................................. 4,880 4,921,220
NextEra Energy Capital Holdings, Inc.
2.700%, 09/15/19................................................. 1,500 1,498,524
Occidental Petroleum Corp.
4.100%, 02/01/21................................................. 650 661,454
Omnicom Group, Inc. / Omnicom Capital, Inc.
4.450%, 08/15/20................................................. 2,190 2,236,666
Oracle Corp.
# 2.250%, 10/08/19................................................. 27,680 27,627,659
Pfizer, Inc.
# 2.100%, 05/15/19................................................. 16,217 16,214,243
Philip Morris International, Inc.
2.000%, 02/21/20................................................. 1,116 1,109,904
2.900%, 11/15/21................................................. 5,159 5,183,074
PNC Bank NA
2.300%, 06/01/20................................................. 2,400 2,391,978
# 2.600%, 07/21/20................................................. 4,116 4,115,070
Progressive Corp. (The)
3.750%, 08/23/21................................................. 1,576 1,603,638
Regions Financial Corp.
# 3.200%, 02/08/21................................................. 4,400 4,430,928
Republic Services, Inc.
5.500%, 09/15/19................................................. 1,167 1,178,283
201
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Roper Technologies, Inc.
3.000%, 12/15/20................................................. 5,070 $ 5,076,947
Sempra Energy
2.850%, 11/15/20................................................. 6,000 5,993,002
Southern Power Co.
2.375%, 06/01/20................................................. 1,645 1,637,746
Southwest Airlines Co.
2.750%, 11/06/19................................................. 5,480 5,479,038
SunTrust Banks, Inc.
2.500%, 05/01/19................................................. 1,735 1,735,000
TD Ameritrade Holding Corp.
5.600%, 12/01/19................................................. 1,000 1,016,844
Thermo Fisher Scientific, Inc.
4.500%, 03/01/21................................................. 12,082 12,449,649
TWDC Enterprises 18 Corp.
2.150%, 09/17/20................................................. 2,500 2,487,315
UnitedHealth Group, Inc.
2.125%, 03/15/21................................................. 7,305 7,243,204
Verizon Communications, Inc.
2.625%, 02/21/20................................................. 1,288 1,288,000
4.600%, 04/01/21................................................. 2,500 2,590,359
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19................................................. 470 469,779
Walmart, Inc.
2.850%, 06/23/20................................................. 22,556 22,647,380
Walt Disney Co.
(OMEGA) 4.500%, 02/15/21................................................. 3,624 3,742,629
Wells Fargo & Co.
2.550%, 12/07/20................................................. 1,450 1,445,930
4.600%, 04/01/21................................................. 5,000 5,166,607
Xcel Energy, Inc.
2.400%, 03/15/21................................................. 2,622 2,604,092
FACE
AMOUNT^ VALUE+
------- --------------
(000)
UNITED STATES -- (Continued)
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20................................................. 1,021 $ 1,018,998
--------------
TOTAL UNITED STATES.......................................................................... 564,747,008
--------------
TOTAL BONDS.................................................................................. 1,305,108,703
--------------
U.S. TREASURY OBLIGATIONS -- (20.0%)
U.S. Treasury Bill
2.410%, 05/07/19................................................. 32,000 31,987,355
2.410%, 05/21/19................................................. 30,000 29,960,188
U.S. Treasury Notes
1.250%, 08/31/19................................................. 19,000 18,920,586
1.250%, 10/31/19................................................. 26,000 25,848,672
1.500%, 10/31/19................................................. 55,000 54,748,633
1.000%, 11/30/19................................................. 14,000 13,884,062
1.875%, 12/31/19................................................. 25,180 25,083,508
~(double left angle quote) 1.625%, 07/31/20................................................. 130,000 128,842,247
--------------
TOTAL U.S. TREASURY OBLIGATIONS.............................................................. 329,275,251
--------------
TOTAL INVESTMENT SECURITIES.................................................................. 1,634,383,954
--------------
SHARES
-------
SECURITIES LENDING COLLATERAL -- (0.6%)
@(S) The DFA Short Term Investment Fund 921,331 10,660,717
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,653,906,919).................................................................... $1,645,044,671
==============
As of April 30, 2019, 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 consolidated financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- ---------------- --------------------------------------- ---------- --------------
USD 120,933,782 CAD 160,968,947 State Street Bank and Trust 07/09/19 $ 571,469
USD 112,149,755 CAD 149,710,211 Citibank, N.A. 07/15/19 190,938
---------
TOTAL APPRECIATION $ 762,407
CAD 15,551,907 USD 11,669,232 National Australia Bank Ltd. 07/09/19 $ (40,508)
USD 27,656,318 EUR 24,609,526 State Street Bank and Trust 05/31/19 (12,665)
USD 43,196,014 SEK 411,798,965 Barclays Capital 05/31/19 (263,525)
202
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- -------------------- --------------------------------------- ---------- --------------
USD 18,169,780 NOK 157,439,271 State Street Bank and Trust 06/05/19 $ (103,473)
-----------
TOTAL (DEPRECIATION) $ (420,171)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $ 342,236
===========
As of April 30, 2019, DFA Commodity Strategy Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
Brent Crude Oil Futures........................... 26 05/31/19 $ 1,851,523 $ 1,873,560 $ 22,037
CBOT Wheat Futures................................ 25 07/12/19 560,710 535,938 (24,772)
Coffee Futures.................................... 13 07/19/19 453,179 454,106 927
COMEX Gold 100 Troy Oz. Futures................... 20 06/26/19 2,554,462 2,571,400 16,938
Copper Futures.................................... 23 07/29/19 1,689,997 1,669,800 (20,197)
Corn Futures...................................... 63 07/12/19 1,158,470 1,141,875 (16,595)
Cotton............................................ 8 07/09/19 314,292 307,120 (7,172)
Gas Oil........................................... 10 07/11/19 635,933 638,500 2,567
Gasoline Rbob Futures............................. 8 06/28/19 667,186 683,155 15,969
KCBT Hard Red Winter Wheat Futures................ 11 07/12/19 232,511 216,700 (15,811)
Lean Cattle Futures............................... 17 06/28/19 832,702 776,900 (55,802)
Lean Hogs Futures................................. 15 06/14/19 582,688 529,350 (53,338)
LME Nickel Futures................................ 32 05/15/19 2,402,433 2,332,320 (70,113)
LME Nickel Futures................................ 19 07/17/19 1,484,476 1,389,774 (94,702)
LME Prime Aluminium Futures....................... 45 07/17/19 2,113,093 2,017,125 (95,968)
LME Prime Aluminium Futures....................... 75 05/15/19 3,504,041 3,324,375 (179,666)
LME Zinc Futures.................................. 41 05/15/19 2,802,058 2,987,875 185,817
LME Zinc Futures.................................. 25 07/17/19 1,800,932 1,776,250 (24,682)
Natural Gas Futures............................... 60 06/26/19 1,608,787 1,570,200 (38,587)
NYMEX NY Harbor ULSD Futures...................... 6 06/28/19 526,198 524,588 (1,610)
Silver Futures.................................... 10 07/29/19 749,931 749,200 (731)
Soybean Futures................................... 27 07/12/19 1,217,545 1,152,900 (64,645)
Soybean Meal Futures.............................. 22 07/12/19 682,295 660,220 (22,075)
Soybean Oil Futures............................... 37 07/12/19 644,371 618,936 (25,435)
Sugar Futures..................................... 46 06/28/19 652,929 635,757 (17,172)
Wti Crude Futures................................. 32 06/20/19 2,056,420 2,047,360 (9,060)
------------ ------------ ---------
TOTAL............................................. $ 33,779,162 $ 33,185,284 $(593,878)
SHORT POSITION CONTRACTS:
LME Nickel Futures................................ (32) 05/15/19 (2,505,786) (2,332,320) 173,466
LME Nickel Futures................................ (11) 07/17/19 (861,931) (804,606) 57,325
LME Prime Aluminium Futures....................... (75) 05/15/19 (3,533,371) (3,324,375) 208,996
LME Prime Aluminium Futures....................... (26) 07/17/19 (1,213,663) (1,165,450) 48,213
LME Zinc Futures.................................. (14) 07/17/19 (1,004,140) (994,700) 9,440
LME Zinc Futures.................................. (41) 05/15/19 (2,898,899) (2,987,875) (88,976)
------------ ------------ ---------
TOTAL............................................. $(12,017,790) $(11,609,326) $ 408,464
------------ ------------ ---------
TOTAL FUTURES CONTRACTS........................... $ 21,761,372 $ 21,575,958 $(185,414)
============ ============ =========
203
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
As of April 30, 2019, 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 Bank of America Discount Rate
Index (1) Corp. USD 225,770,167 plus 0.14% 06/28/19 -- -- (538,908) (538,908)
BofA Merrill 3 Month USD
Lynch Total UST 13-Week
Return Bill High
Index (2) Bank of America Discount Rate
Corp. USD 163,838,272 plus 0.14% 06/28/19 -- -- (417,477) (417,477)
Citi 3 Month USD
Commodities UST 13-Week
Pre-Roll RS Bill High
Total Return Discount Rate
Index (3) Citibank, N.A. USD 222,487,905 plus 0.14% 06/28/19 -- -- (569,205) (569,205)
Citi Custom 3 Month USD
CIVICS H UST 13-Week
Total Return Bill High
Index (4) Discount Rate
Citibank, N.A. USD 180,342,112 plus 0.14% 06/28/19 -- -- (427,345) (427,345)
Credit 3 Month USD
Suisse UST 13-Week
Custom 141 Bill High
Total Return Discount Rate
Index (5) Credit Suisse USD 321,989,848 plus 0.14% 05/31/19 -- -- (753,430) (753,430)
Credit 3 Month USD
Suisse UST 13-Week
Custom 57 Bill High
Total Return Discount Rate
Index (6) Credit Suisse USD 180,448,153 plus 0.14% 05/31/19 -- -- (391,854) (391,854)
UBS 3 Month USD
UBSIB190 UST 13-Week
Custom Bill High
Strategy (7) Discount Rate
UBS AG USD 407,454,011 plus 0.14% 07/31/19 -- -- (884,481) (884,481)
-- -- ----------- -----------
TOTAL -- -- $(3,982,700) $(3,982,700)
== == =========== ===========
* 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 April 30, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 9.56% 21,601,264
ICE Brent Crude Oil Futures 8.66% 19,546,698
NYMEX Reformulated Gasoline Blend Futures 3.28% 7,414,262
ICE Gasoil Futures 2.94% 6,637,112
NYMEX NY Harbor ULSD Futures 2.42% 5,462,778
NYMEX Henry Hub Natural Gas Futures 7.24% 16,342,888
CBOT Soybean Futures 5.31% 11,982,592
204
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CBOT Soybean Oil Futures 2.89% 6,532,997
CBOT Soybean Meal Futures 3.06% 6,902,494
CBOT Corn Futures 5.33% 12,027,107
CBOT Wheat Futures 2.48% 5,608,329
KCBT Hard Red Winter Wheat Futures 0.97% 2,181,301
CME Live Cattle Futures 3.54% 7,988,438
CME Lean Hogs Futures 2.63% 5,939,651
COMEX Gold 100 Troy Oz. Futures 11.69% 26,387,672
COMEX Silver Futures 3.52% 7,958,202
COMEX Copper Futures 7.68% 17,347,536
LME Primary Aluminum Futures 4.00% 9,028,231
LME Nickel Futures 2.83% 6,382,893
LME Zinc Futures 3.47% 7,827,979
NYBOT CSC No. 11 World Sugar Futures 2.93% 6,609,872
NYBOT CSC 'C' Coffee Futures 2.14% 4,835,456
NYBOT CTN No. 2 Cotton Futures 1.43% 3,224,415
-----------
Total Notional Amount 225,770,167
===========
(2) The following table represents the individual positions within the Total
Return Swap as of April 30, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 11.63% 19,059,574
ICE Brent Crude Oil Futures 10.57% 17,314,798
NYMEX Reformulated Gasoline Blend Futures 3.93% 6,433,808
ICE Gasoil Futures 2.94% 4,824,305
NYMEX NY Harbor ULSD Futures 2.42% 3,972,942
NYMEX Henry Hub Natural Gas Futures 7.25% 11,874,712
CBOT Soybean Futures 4.26% 6,975,933
CBOT Soybean Oil Futures 2.32% 3,801,484
CBOT Soybean Meal Futures 2.45% 4,012,352
CBOT Corn Futures 4.26% 6,977,226
CBOT Wheat Futures 2.00% 3,281,828
KCBT Hard Red Winter Wheat Futures 0.77% 1,269,153
CME Live Cattle Futures 4.36% 7,144,435
CME Lean Hogs Futures 2.93% 4,795,183
COMEX Gold 100 Troy Oz. Futures 11.66% 19,101,512
COMEX Silver Futures 2.83% 4,630,346
COMEX Copper Futures 7.70% 12,616,584
LME Primary Aluminum Futures 3.21% 5,252,924
LME Nickel Futures 2.83% 4,642,224
LME Zinc Futures 4.17% 6,831,867
NYBOT CSC No. 11 World Sugar Futures 2.36% 3,867,968
NYBOT CSC 'C' Coffee Futures 1.72% 2,813,429
NYBOT CTN No. 2 Cotton Futures 1.43% 2,343,685
-----------
Total Notional Amount 163,838,272
===========
205
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
(3) The following table represents the individual positions within the Total
Return Swap as of April 30, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 11.63% 25,882,380
ICE Brent Crude Oil Futures 10.57% 23,513,024
NYMEX Reformulated Gasoline Blend Futures 3.93% 8,736,936
ICE Gasoil Futures 2.94% 6,551,275
NYMEX NY Harbor ULSD Futures 2.42% 5,395,147
NYMEX Henry Hub Natural Gas Futures 7.25% 16,125,535
CBOT Soybean Futures 4.26% 9,473,127
CBOT Soybean Oil Futures 2.32% 5,162,311
CBOT Soybean Meal Futures 2.45% 5,448,664
CBOT Corn Futures 4.26% 9,474,883
CBOT Wheat Futures 2.00% 4,456,633
KCBT Hard Red Winter Wheat Futures 0.77% 1,723,476
CME Live Cattle Futures 4.36% 9,701,948
CME Lean Hogs Futures 2.93% 6,511,727
COMEX Gold 100 Troy Oz. Futures 11.66% 25,939,333
COMEX Silver Futures 2.83% 6,287,884
COMEX Copper Futures 7.70% 17,132,977
LME Primary Aluminum Futures 3.21% 7,133,328
LME Nickel Futures 2.83% 6,304,013
LME Zinc Futures 4.17% 9,277,489
NYBOT CSC No. 11 World Sugar Futures 2.36% 5,252,596
NYBOT CSC 'C' Coffee Futures 1.72% 3,820,559
NYBOT CTN No. 2 Cotton Futures 1.43% 3,182,660
-----------
Total Notional Amount 222,487,905
===========
(4) The following table represents the individual positions within the Total
Return Swap as of April 30, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 9.56% 17,254,795
ICE Brent Crude Oil Futures 8.66% 15,613,635
NYMEX Reformulated Gasoline Blend Futures 3.28% 5,922,410
ICE Gasoil Futures 2.94% 5,301,634
NYMEX NY Harbor ULSD Futures 2.42% 4,363,592
NYMEX Henry Hub Natural Gas Futures 7.24% 13,054,475
CBOT Soybean Futures 5.31% 9,571,530
CBOT Soybean Oil Futures 2.89% 5,218,468
CBOT Soybean Meal Futures 3.06% 5,513,617
CBOT Corn Futures 5.33% 9,607,088
CBOT Wheat Futures 2.48% 4,479,856
KCBT Hard Red Winter Wheat Futures 0.97% 1,742,393
CME Live Cattle Futures 3.54% 6,381,054
CME Lean Hogs Futures 2.63% 4,744,512
COMEX Gold 100 Troy Oz. Futures 11.69% 21,078,111
COMEX Silver Futures 3.52% 6,356,903
COMEX Copper Futures 7.68% 13,856,973
LME Primary Aluminum Futures 4.00% 7,211,627
LME Nickel Futures 2.83% 5,098,567
LME Zinc Futures 3.47% 6,252,882
NYBOT CSC No. 11 World Sugar Futures 2.93% 5,279,875
206
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYBOT CSC 'C' Coffee Futures 2.14% 3,862,496
NYBOT CTN No. 2 Cotton Futures 1.43% 2,575,619
-----------
Total Notional Amount 180,342,112
===========
(5) The following table represents the individual positions within the Total
Return Swap as of April 30, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 11.63% 37,457,602
ICE Brent Crude Oil Futures 10.57% 34,028,614
NYMEX Reformulated Gasoline Blend Futures 3.93% 12,644,304
ICE Gasoil Futures 2.94% 9,481,163
NYMEX NY Harbor ULSD Futures 2.42% 7,807,987
NYMEX Henry Hub Natural Gas Futures 7.25% 23,337,262
CBOT Soybean Futures 4.26% 13,709,737
CBOT Soybean Oil Futures 2.32% 7,471,021
CBOT Soybean Meal Futures 2.45% 7,885,438
CBOT Corn Futures 4.26% 13,712,278
CBOT Wheat Futures 2.00% 6,449,747
KCBT Hard Red Winter Wheat Futures 0.77% 2,494,255
CME Live Cattle Futures 4.36% 14,040,893
CME Lean Hogs Futures 2.93% 9,423,929
COMEX Gold 100 Troy Oz. Futures 11.66% 37,540,026
COMEX Silver Futures 2.83% 9,099,976
COMEX Copper Futures 7.70% 24,795,257
LME Primary Aluminum Futures 3.21% 10,323,524
LME Nickel Futures 2.83% 9,123,320
LME Zinc Futures 4.17% 13,426,605
NYBOT CSC No. 11 World Sugar Futures 2.36% 7,601,683
NYBOT CSC 'C' Coffee Futures 1.72% 5,529,205
NYBOT CTN No. 2 Cotton Futures 1.43% 4,606,022
-----------
Total Notional Amount 321,989,848
===========
(6) The following table represents the individual positions within the Total
Return Swap as of April 30, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 9.56% 17,264,940
ICE Brent Crude Oil Futures 8.66% 15,622,815
NYMEX Reformulated Gasoline Blend Futures 3.28% 5,925,893
ICE Gasoil Futures 2.94% 5,304,752
NYMEX NY Harbor ULSD Futures 2.42% 4,366,158
NYMEX Henry Hub Natural Gas Futures 7.24% 13,062,151
CBOT Soybean Futures 5.31% 9,577,158
CBOT Soybean Oil Futures 2.89% 5,221,537
CBOT Soybean Meal Futures 3.06% 5,516,859
CBOT Corn Futures 5.33% 9,612,737
CBOT Wheat Futures 2.48% 4,482,490
KCBT Hard Red Winter Wheat Futures 0.97% 1,743,418
CME Live Cattle Futures 3.54% 6,384,806
207
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CME Lean Hogs Futures 2.63% 4,747,302
COMEX Gold 100 Troy Oz. Futures 11.69% 21,090,505
COMEX Silver Futures 3.52% 6,360,641
COMEX Copper Futures 7.68% 13,865,121
LME Primary Aluminum Futures 4.00% 7,215,867
LME Nickel Futures 2.83% 5,101,565
LME Zinc Futures 3.47% 6,256,559
NYBOT CSC No. 11 World Sugar Futures 2.93% 5,282,979
NYBOT CSC 'C' Coffee Futures 2.14% 3,864,767
NYBOT CTN No. 2 Cotton Futures 1.43% 2,577,133
-----------
Total Notional Amount 180,448,153
===========
(7) The following table represents the individual positions within the Total
Return Swap as of April 30, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 9.56% 38,984,435
ICE Brent Crude Oil Futures 8.66% 35,276,496
NYMEX Reformulated Gasoline Blend Futures 3.28% 13,380,734
ICE Gasoil Futures 2.94% 11,978,191
NYMEX NY Harbor ULSD Futures 2.42% 9,858,835
NYMEX Henry Hub Natural Gas Futures 7.24% 29,494,487
CBOT Soybean Futures 5.31% 21,625,334
CBOT Soybean Oil Futures 2.89% 11,790,290
CBOT Soybean Meal Futures 3.06% 12,457,132
CBOT Corn Futures 5.33% 21,705,672
CBOT Wheat Futures 2.48% 10,121,514
KCBT Hard Red Winter Wheat Futures 0.97% 3,936,658
CME Live Cattle Futures 3.54% 14,416,966
CME Lean Hogs Futures 2.63% 10,719,462
COMEX Gold 100 Troy Oz. Futures 11.69% 47,622,603
COMEX Silver Futures 3.52% 14,362,400
COMEX Copper Futures 7.68% 31,307,604
LME Primary Aluminum Futures 4.00% 16,293,511
LME Nickel Futures 2.83% 11,519,393
LME Zinc Futures 3.47% 14,127,382
NYBOT CSC No. 11 World Sugar Futures 2.93% 11,929,028
NYBOT CSC 'C' Coffee Futures 2.14% 8,726,688
NYBOT CTN No. 2 Cotton Futures 1.43% 5,819,196
-----------
Total Notional Amount 407,454,011
===========
Summary of the Portfolio's investments as of April 30, 2019, 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................................................ -- $55,472,723 -- $55,472,723
Austria.................................................. -- 1,486,441 -- 1,486,441
Belgium.................................................. -- 35,411,177 -- 35,411,177
208
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------- -------------- ------- --------------
Canada................................................... -- $ 248,734,668 -- $ 248,734,668
Denmark.................................................. -- 5,343,157 -- 5,343,157
Finland.................................................. -- 1,149,503 -- 1,149,503
France................................................... -- 53,828,134 -- 53,828,134
Germany.................................................. -- 65,811,604 -- 65,811,604
Japan.................................................... -- 29,678,033 -- 29,678,033
Netherlands.............................................. -- 60,759,069 -- 60,759,069
Norway................................................... -- 31,847,213 -- 31,847,213
Spain.................................................... -- 28,385,483 -- 28,385,483
Supranational Organization Obligations................... -- 21,831,595 -- 21,831,595
Sweden................................................... -- 71,928,989 -- 71,928,989
Switzerland.............................................. -- 11,616,621 -- 11,616,621
United Kingdom........................................... -- 17,077,285 -- 17,077,285
United States............................................ -- 564,747,008 -- 564,747,008
U.S. Treasury Obligations................................... -- 329,275,251 -- 329,275,251
Securities Lending Collateral............................... -- 10,660,717 -- 10,660,717
Forward Currency Contracts**................................ -- 342,236 -- 342,236
Futures Contracts**......................................... $(185,414) -- -- (185,414)
Swap Agreements**........................................... -- (3,982,700) -- (3,982,700)
--------- -------------- -- --------------
TOTAL....................................................... $(185,414) $1,641,404,207 -- $1,641,218,793
========= ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
209
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
COMMODITY STRATEGY
PORTFOLIO*
------------------
ASSETS:
Investments at Value (including $10,415 of securities on loan,
respectively).................................................. $ 1,634,384
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $10,660).............................. 10,661
Foreign Currencies at Value...................................... 2
Segregated Cash for Swaps Contracts.............................. 21,596
Cash............................................................. 63,398
Receivables:
Investment Securities Sold.................................... 134
Dividends and Interest........................................ 11,119
Securities Lending Income..................................... 1
Fund Shares Sold.............................................. 1,766
Futures Margin Variation...................................... 157
Unrealized Gain on Forward Currency Contracts.................... 762
Prepaid Expenses and Other Assets................................ 41
--------------
Total Assets.............................................. 1,744,021
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. 10,686
Fund Shares Redeemed.......................................... 3,695
Due to Advisor................................................ 434
Unrealized Loss on Swap Contracts................................ 3,983
Unrealized Loss on Forward Currency Contracts.................... 420
Accrued Expenses and Other Liabilities........................... 187
--------------
Total Liabilities......................................... 19,405
--------------
NET ASSETS....................................................... $ 1,724,616
==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 310,983,167
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 5.55
==============
Investments at Cost.............................................. $ 1,643,247
==============
Foreign Currencies at Cost....................................... $ 2
==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 1,784,524
Total Distributable Earnings (Loss).............................. (59,908)
--------------
NET ASSETS....................................................... $ 1,724,616
==============
(1) NUMBER OF SHARES AUTHORIZED.................................. 1,800,000,000
==============
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
210
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(AMOUNTS IN THOUSANDS)
DFA
COMMODITY STRATEGY
PORTFOLIO#
------------------
INVESTMENT INCOME
Interest.................................................... $ 21,451
Income from Securities Lending.............................. 13
--------
Total Investment Income................................. 21,464
--------
EXPENSES
Investment Management Fees.................................. 3,333
Accounting & Transfer Agent Fees............................ 110
Custodian Fees.............................................. 30
Filing Fees................................................. 32
Shareholders' Reports....................................... 44
Directors'/Trustees' Fees & Expenses........................ 7
Professional Fees........................................... 20
Other....................................................... 24
--------
Total Expenses.......................................... 3,600
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note D)................. (592)
Fees Paid Indirectly (Note D)............................... (8)
--------
Net Expenses................................................ 3,000
--------
Net Investment Income (Loss)................................ 18,464
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ (4,913)
Affiliated Investment Companies Shares Sold............. 2
Futures................................................. (6,958)
Swap Contracts.......................................... (81,903)
Forward Currency Contracts.............................. 12,766
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 13,792
Futures................................................. 3,500
Swap Contracts.......................................... 24,787
Translation of Foreign Currency-Denominated Amounts..... (30)
Forward Currency Contracts.............................. (3,053)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... (42,010)
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $(23,546)
========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
211
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA COMMODITY STRATEGY
PORTFOLIO
----------------------
SIX MONTHS YEAR
ENDED ENDED
APR 30, OCT 31,
2019 2018
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 18,464 $ 31,518
Net Realized Gain (Loss) on:....................................
Investment Securities Sold*,**.............................. (4,913) (20,480)
Affiliated Investment Companies Shares Sold................. 2 (5)
Futures..................................................... (6,958) 1,465
Swap Contracts.............................................. (81,903) (40,002)
Foreign Currency Transactions............................... -- (23)
Forward Currency Contracts.................................. 12,766 19,451
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 13,792 (15,936)
Affiliated Investment Companies Shares...................... -- 3
Futures..................................................... 3,500 (6,725)
Swap Contracts.............................................. 24,787 (33,259)
Translation of Foreign Currency-Denominated Amounts......... (30) 17
Forward Currency Contracts.................................. (3,053) 391
---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ (23,546) (63,585)
---------- ----------
Distributions:
Institutional Class Shares.................................. (28,228) (44,439)
---------- ----------
Total Distributions...................................... (28,228) (44,439)
---------- ----------
Capital Share Transactions (1):
Shares Issued................................................... 450,128 851,258
Shares Issued in Lieu of Cash Distributions..................... 25,202 40,250
Shares Redeemed................................................. (694,928) (515,817)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions........................................... (219,598) 375,691
---------- ----------
Total Increase (Decrease) in Net Assets.................. (271,372) 267,667
NET ASSETS
Beginning of Period............................................. 1,995,988 1,728,321
---------- ----------
End of Period................................................... $1,724,616 $1,995,988
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 81,638 142,902
Shares Issued in Lieu of Cash Distributions..................... 4,666 7,068
Shares Redeemed................................................. (126,928) (87,468)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... (40,624) 62,502
========== ==========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0.
See accompanying Notes to Financial Statements.
212
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA COMMODITY STRATEGY PORTFOLIO
-----------------------------------------------------
SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016
----------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period.................................. $ 5.68 $ 5.98 $ 5.88 $ 5.93
---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)....................................... 0.06 0.10 0.07 0.05
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.11) (0.25) 0.11 (0.07)
---------- ---------- ---------- ----------
Total from Investment Operations............................... (0.05) (0.15) 0.18 (0.02)
---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.08) (0.15) (0.08) (0.03)
Net Realized Gains................................................. -- -- -- --
---------- ---------- ---------- ----------
Total Distributions............................................ (0.08) (0.15) (0.08) (0.03)
---------- ---------- ---------- ----------
Net Asset Value, End of Period........................................ $ 5.55 $ 5.68 $ 5.98 $ 5.88
========== ========== ========== ==========
Total Return.......................................................... (0.84%)(B) (2.43%) 3.15% (0.26%)
---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)................................. $1,724,616 $1,995,988 $1,728,321 $1,598,097
Ratio of Expenses to Average Net Assets............................... 0.33%(C) 0.32% 0.33% 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%(C) 0.39% 0.39% 0.40%
Ratio of Net Investment Income to Average Net Assets.................. 2.02%(C) 1.61% 1.17% 0.95%
Portfolio Turnover Rate............................................... 6%(B) 78% 102% 159%
---------- ---------- ---------- ----------
----------- ----------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2015 2014
---------- ----------
Net Asset Value, Beginning of Period.................................. $ 8.00 $ 8.30
---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)....................................... 0.05 0.06
Net Gains (Losses) on Securities (Realized and Unrealized)......... (2.05) (0.31)
---------- ----------
Total from Investment Operations............................... (2.00) (0.25)
---------- ----------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.06) (0.04)
Net Realized Gains................................................. (0.01) (0.01)
---------- ----------
Total Distributions............................................ (0.07) (0.05)
---------- ----------
Net Asset Value, End of Period........................................ $ 5.93 $ 8.00
========== ==========
Total Return.......................................................... (25.16%) (3.08%)
---------- ----------
Net Assets, End of Period (thousands)................................. $1,207,071 $1,194,191
Ratio of Expenses to Average Net Assets............................... 0.34% 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))................................. 0.40% 0.39%
Ratio of Net Investment Income to Average Net Assets.................. 0.77% 0.65%
Portfolio Turnover Rate............................................... 124% 104%
---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
213
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the 1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of one hundred and two operational
portfolios, one of which, DFA Commodity Strategy Portfolio (the "Portfolio"),
is included in this section of the report. The remaining operational portfolios
are presented in separate reports. The Portfolio is an investment company, and
accordingly, follows the accounting and reporting guidance under 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 Portfolio's own
assumptions in determining the fair value of investments)
Debt securities held by the Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. These
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.
214
Futures contracts held by the Portfolio are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy. Swap
agreements will be valued at the price provided by an independent third-party
pricing service or source. If a price is not available from an independent
third-party pricing service or source, the swap agreement will be valued in
good faith at fair value in accordance with procedures adopted by the Board.
These securities are generally categorized as Level 2 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolio's investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Schedule
of Investments. The 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. To facilitate the translation the Portfolio enters
into foreign currency contracts. A foreign currency contract is a spot
agreement between two parties to buy and sell currencies at current market
exchange rates, for settlement generally within two business days. 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.
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 who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of April 30, 2019, 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 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.
215
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.
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Portfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
The Subsidiary is classified as a controlled foreign corporation under
Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of April 30, 2019, the Portfolio held a $394,685,549 investment in the
Subsidiary, representing 22.89% of the Portfolio's total net assets. The
accompanying consolidated financial statements include all assets, liabilities,
revenues and expenses of the Portfolio and its wholly-owned Subsidiary.
Intercompany balances and transactions have been eliminated in consolidation.
D. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the six months ended April 30, 2019, 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, 2020, 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
waived and/or assumed expenses can be recaptured only if the expense ratio
following such recapture would be less than the expense cap
216
that was in place when such prior year expenses were waived and/or assumed, and
less than the current expense cap in place for the Portfolio. As of April 30,
2019, 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 six months ended April 30, 2019, approximately $592 (in thousands)
of the Subsidiary's management fees were waived pursuant to the Subsidiary fee
waiver agreement.
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 six months ended April 30, 2019, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Commodity Strategy Portfolio............................ $8
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2019, the total related amount paid by the
Fund to the CCO was $169 (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 April 30, 2019, 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............................ $29
F. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2019, the Portfolio made the following
purchases and sales of investment securities, other than short-term securities
and in-kind redemptions (amounts in thousands), were as follows:
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- --------
DFA Commodity Strategy Portfolio............................ $29,724 $373,351 $67,281 $244,946
For the six months ended April 30, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
The amounts presented below may differ from the respective amounts presented
in the corresponding Schedule of Investments/Summary Schedule of Portfolio
Holdings, Statement of Assets and Liabilities or Statement of Operations due to
rounding.
217
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION
---------------- --------- ---------- ------------ -------------
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Short Term Investment Fund $13,866 $284,317 $287,524 $2 --
------- -------- -------- -- --
TOTAL $13,866 $284,317 $287,524 $2 --
======= ======== ======== == ==
BALANCE AT SHARES AS OF DIVIDEND CAPITAL GAIN
APRIL 30, 2019 APRIL 30, 2019 INCOME DISTRIBUTIONS
-------------- -------------- -------- -------------
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Short Term Investment Fund $10,661 921 $171 --
------- --- ---- --
TOTAL $10,661 921 $171 --
======= === ==== ==
G. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent 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)
218
As of October 31, 2018, the components of distributable earnings
(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
DFA Commodity Strategy Portfolio.................. $22,967 -- $(7,142) $(23,868) $(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. Additionally, such losses must be used prior to the losses
incurred in the years preceding enactment. As of October 31, 2018, the
Portfolio had the following capital loss carryforwards available to offset
future realized capital gains with no expiration date (amounts in thousands):
UNLIMITED TOTAL
--------- ------
DFA Commodity Strategy Portfolio............................ $7,142 $7,142
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 April 30, 2019, 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............................ $2,502,978 $3,489 $(837,683) $(834,194)
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.
219
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 of forward currency contracts. 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 forward currency
contracts.
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
two-party 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
(whether as a single debt instrument or as part of an index of debt
instruments) 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.
220
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 reasonably
expects a swap cannot be sold or disposed of in current market conditions in
seven calendar days or less without the sale or disposition significantly
changing the market value of investment, the Portfolio will treat the swap as
illiquid and subject to its overall limit on illiquid investments of 15% of the
Portfolio's net assets.
The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and
implementing rules adopted by the Commodity Futures Trading Commission ("CFTC")
currently require the clearing and exchange-trading of the most common types of
credit default index swaps and interest rate swaps, and it is expected that
additional categories of swaps will in the future be designated as subject to
mandatory clearing and trade execution requirements. Central clearing is
intended to reduce counterparty credit risk and increase liquidity, but central
clearing does not eliminate these risks completely. There is also a risk of
loss by the Portfolio of the initial and variation margin deposits in the event
of bankruptcy of the FCM with which the Portfolio has an open position, or the
central counterparty in a swap contract. The assets of the Portfolio may not be
fully protected in the event of the bankruptcy of the FCM or central
counterparty because the Portfolio might be limited to recovering only a pro
rata share of all available funds and margin segregated on behalf of an FCM's
customers.
FUTURES ACTIVITIES:
The Portfolio may enter into commodity, foreign currency, interest rate and
commodity or securities index futures contracts and purchase and write (sell)
related options traded on exchanges designated by the CFTC or, consistent with
CFTC regulations, on foreign exchanges.
5. FUTURES CONTRACTS: A commodity futures contract provides for the future
sale by one party and the future purchase by the other party of a specified
amount of a commodity, such as an energy, agricultural or metal commodity, at a
specified price, date, time and place. A foreign currency futures contract
provides for the future sale by one party and the future purchase by the other
party of a certain amount of a specified non-U.S. currency at a specified
price, date, time and place. An interest rate futures contract provides for the
future sale by one party and the purchase by the other party of a certain
amount of a specific interest rate sensitive financial instrument (debt
security) at a specified price, date, time and place. Securities and
commodities indexes are typically capitalization or production weighted,
respectively. A securities index or commodities index futures contract is an
agreement to be settled by delivery of an amount of cash equal to a specified
multiplier times the difference between the value of the index at the close of
the last trading day on the contract and the price at which the agreement is
made. The clearing house of the exchange on which a futures contract is entered
into becomes the counterparty to each purchaser and seller of the futures
contract.
Payments, known as "variation margin," to and from the broker, will be made
daily as the currency, financial instrument or index underlying the futures
contract fluctuates, making the long and short positions in the futures
contract more or less valuable, a process known as "marking-to-market." As a
result of the small margin deposit that is required, a small change in the
market price of a futures contract can produce major losses.
221
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.
An option on a currency, interest rate or commodity or securities index
futures contract, as contrasted with the direct investment in such a contract,
gives the purchaser the right, in return for the premium paid, to assume a
position in a futures contract at a specified exercise price at any time prior
to the expiration date of the option. The writer of the option is required upon
exercise to assume an offsetting futures position (a short position if the
option is a call and a long position if the option is a put). Upon exercise of
an option, the delivery of the futures position by the writer of the option to
the holder of the option will be accompanied by delivery of the accumulated
balance in the writer's futures margin account, which represents the amount by
which the market price of the futures contract exceeds, in the case of a call,
or is less than, in the case of a put, the exercise price of the option on the
futures contract. The potential loss related to the purchase of an option on a
futures contract is limited to the premium paid for the option (plus
transaction costs). The value of the option changes daily, and that change is
reflected in the net asset value of the Portfolio.
The Portfolio may enter into options and futures transactions for several
purposes, including generating current income to offset expenses or increase
return, and as hedges to reduce investment risk, generally by making an
investment expected to move in the opposite direction of a portfolio position.
A hedge is designed to offset a loss in a portfolio position with a gain in the
hedged position; at the same time, however, a properly correlated hedge will
result in a gain in the portfolio position being offset by a loss in the hedged
position.
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2019 (amounts in
thousands):
FORWARD
CURRENCY SWAP
CONTRACTS FUTURES CONTRACTS
--------- ------- ----------
DFA Commodity Strategy Portfolio............................ $368,054 $59,265 $1,798,427
222
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2019 (amounts in
thousands):
ASSET DERIVATIVES VALUE
------------------------------------------
TOTAL VALUE FORWARD COMMODITY
AT CURRENCY FUTURES
APRIL 30, 2019 CONTRACTS (1) CONTRACTS (2)
-------------- ------------- -------------
DFA Commodity Strategy Portfolio............................ $1,504 $762 $742
LIABILITY DERIVATIVES VALUE
-------------------------------------------------------
TOTAL VALUE FORWARD COMMODITY
AT CURRENCY FUTURES SWAP
APRIL 30, 2019 CONTRACTS (3) CONTRACTS (4) CONTRACTS (5)
-------------- ------------- ------------- -------------
DFA Commodity Strategy Portfolio............................ $(5,330) $(420) $(927) $(3,983)
(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/Payables:
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 Receivables/Payables:
Futures Margin Variation.
(5)Presented on Statements of Assets and Liabilities as Unrealized Loss on Swap
Contracts.
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2019 (amounts in
thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES
--------------------------------------------------
FORWARD COMMODITY
CURRENCY FUTURES SWAP
TOTAL CONTRACTS (1) CONTRACTS (2) CONTRACTS (3)
-------- ------------- ------------- -------------
DFA Commodity Strategy Portfolio............................ $(76,095) $12,766 $(6,958) $(81,903)
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
--------------------------------------------------
FORWARD COMMODITY
CURRENCY FUTURES SWAP
TOTAL CONTRACTS (4) CONTRACTS (5) CONTRACTS (6)
-------- ------------- ------------- -------------
DFA Commodity Strategy Portfolio............................ $ 25,234 $(3,053) $ 3,500 $ 24,787
(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 Net Realized Gain (Loss) on: Swap
Contracts.
(4)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Forward Currency Contracts.
(5)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
(6)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Swap Contracts.
223
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and forward currency contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
Statement of Assets and Liabilities.
The following table presents the Portfolio's gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolio as of April 30, 2019
(amounts in thousands):
NET
AMOUNTS
OF GROSS AMOUNTS NOT
ASSETS OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS
GROSS IN THE AND LIABILITIES
AMOUNTS OF STATEMENTS ----------------------
RECOGNIZED OF ASSETS FINANCIAL CASH NET
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION (a) LIABILITIES (b) RECEIVED (c)
----------- ---------- ----------- ----------- ---------- ------
ASSETS
----------------------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO
Credit Suisse......................................................... -- -- -- -- --
State Street Bank and Trust........................................... $571 $571 $(116) -- $455
Citibank, N.A......................................................... 191 191 (191) -- --
National Australia Bank Ltd........................................... -- -- -- -- --
Barclays Capital...................................................... -- -- -- -- --
Bank of America Corp.................................................. -- -- -- -- --
UBS AG................................................................ -- -- -- -- --
---- ---- ----- -- ----
Total $762 $762 $(307) -- $455
==== ==== ===== == ====
NET
AMOUNTS
OF GROSS AMOUNTS NOT
LIABILITIES OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS
GROSS IN THE AND LIABILITIES
AMOUNTS OF STATEMENTS ----------------------
RECOGNIZED OF ASSETS FINANCIAL CASH NET
LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION (a) LIABILITIES (d) PLEDGED (e)
----------- ----------- ----------- ----------- ---------- ------
LIABILITIES
-----------------------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO
Credit Suisse......................................................... $1,145 $1,145 $(1,145) -- --
State Street Bank and Trust........................................... 116 116 (116) -- --
Citibank, N.A......................................................... 997 997 (997) -- --
National Australia Bank Ltd........................................... 41 41 -- -- $ 41
Barclays Capital...................................................... 264 264 -- -- 264
Bank of America Corp.................................................. 956 956 (956) -- --
UBS AG................................................................ 884 884 (884) -- --
------ ------ ------- -- ----
Total $4,403 $4,403 $(4,098) -- $305
====== ====== ======= == ====
(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 April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. 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
224
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 April 8, 2020.
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 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. 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 agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
There were no borrowings by the Portfolio under the lines of credit during
the six months ended April 30, 2019.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolio may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolio did not use the interfund lending program during the six
months ended April 30, 2019.
J. SECURITIES LENDING:
As of April 30, 2019, 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 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
225
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 April 30, 2019:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2019
----------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- -------
SECURITIES LENDING TRANSACTIONS
DFA COMMODITY STRATEGY PORTFOLIO
Bonds.................................................... $10,661 -- -- -- $10,661
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. Management has evaluated the
requirements of this update and does not expect any material impact to the
Fund's 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 April 30, 2019. 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 the 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.
226
M. OTHER:
As of April 30, 2019, the following number of shareholders held the
following approximate percentages 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.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
- ------------ --------------
DFA Commodity Strategy Portfolio............................ 3 62%
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.
227
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 APRIL 30, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
DFA INTERNATIONAL VALUE PORTFOLIO (2)
-------------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,042.90 0.68% $3.44
Institutional Class Shares......... $1,000.00 $1,043.90 0.43% $2.18
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.42 0.68% $3.41
Institutional Class Shares......... $1,000.00 $1,022.66 0.43% $2.16
228
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
U.S. LARGE COMPANY PORTFOLIO
----------------------------
Actual Fund Return................. $1,000.00 $1,097.70 0.08% $0.42
Hypothetical 5% Annual Return...... $1,000.00 $1,024.40 0.08% $0.40
--------
(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 (181), 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 allocation of the Feeder Fund's portion
of the expenses of its Master Fund (Affiliated Investment Company).
229
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-PORT. For
Dimensional Investment Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-PORT 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 April 1, 2019. 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 FUND
AFFILIATED INVESTMENT
COMPANY
---------------------
DFA International Value Portfolio....... 100.0%
DOMESTIC EQUITY PORTFOLIO
U.S. LARGE COMPANY PORTFOLIO
Communication Services............... 10.3%
Consumer Discretionary............... 10.3%
Consumer Staples..................... 7.2%
Energy............................... 5.2%
Financials........................... 13.3%
Health Care.......................... 13.6%
Industrials.......................... 9.5%
Information Technology............... 21.7%
Materials............................ 2.7%
Real Estate.......................... 3.0%
Utilities............................ 3.2%
-----
100.0%
230
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company.................. $9,658,693,229
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES $9,658,693,229
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
231
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (98.5%)
COMMUNICATION SERVICES -- (10.2%)
* Alphabet, Inc., Class A.......................................... 115,641 $ 138,648,933 1.5%
* Alphabet, Inc., Class C.......................................... 118,737 141,116,550 1.5%
AT&T, Inc........................................................ 2,814,883 87,148,778 0.9%
Comcast Corp., Class A........................................... 1,745,256 75,970,994 0.8%
* Facebook, Inc., Class A.......................................... 921,501 178,218,293 1.9%
* Netflix, Inc..................................................... 168,619 62,480,084 0.7%
Verizon Communications, Inc...................................... 1,596,722 91,316,531 1.0%
Walt Disney Co. (The)............................................ 674,567 92,395,442 1.0%
Other Securities................................................. 111,971,425 1.0%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 979,267,030 10.3%
-------------- ----
CONSUMER DISCRETIONARY -- (10.2%)
* Amazon.com, Inc.................................................. 159,389 307,066,096 3.2%
Home Depot, Inc. (The)........................................... 436,468 88,908,532 0.9%
McDonald's Corp.................................................. 295,386 58,359,412 0.6%
Other Securities................................................. 523,799,740 5.6%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 978,133,780 10.3%
-------------- ----
CONSUMER STAPLES -- (7.1%)
Coca-Cola Co. (The).............................................. 1,486,381 72,921,852 0.8%
PepsiCo, Inc..................................................... 542,707 69,493,631 0.7%
Philip Morris International, Inc................................. 600,177 51,951,321 0.5%
Procter & Gamble Co. (The)....................................... 965,838 102,842,430 1.1%
Walmart, Inc..................................................... 549,735 56,534,747 0.6%
Other Securities................................................. 330,306,708 3.5%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 684,050,689 7.2%
-------------- ----
ENERGY -- (5.1%)
Chevron Corp..................................................... 734,317 88,162,099 0.9%
Exxon Mobil Corp................................................. 1,636,593 131,385,686 1.4%
Other Securities................................................. 275,659,079 2.9%
-------------- ----
TOTAL ENERGY......................................................... 495,206,864 5.2%
-------------- ----
FINANCIALS -- (13.1%)
Bank of America Corp............................................. 3,468,238 106,058,718 1.1%
* Berkshire Hathaway, Inc., Class B................................ 751,168 162,785,617 1.7%
Citigroup, Inc................................................... 908,241 64,212,639 0.7%
JPMorgan Chase & Co.............................................. 1,264,817 146,782,013 1.5%
Wells Fargo & Co................................................. 1,581,669 76,568,596 0.8%
Other Securities................................................. 701,929,663 7.4%
-------------- ----
TOTAL FINANCIALS..................................................... 1,258,337,246 13.2%
-------------- ----
HEALTH CARE -- (13.4%)
Abbott Laboratories.............................................. 678,077 53,947,806 0.6%
AbbVie, Inc...................................................... 569,340 45,199,903 0.5%
Amgen, Inc....................................................... 240,162 43,065,850 0.5%
Johnson & Johnson................................................ 1,028,752 145,259,782 1.5%
Medtronic P.L.C.................................................. 517,631 45,970,809 0.5%
232
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (Continued)
Merck & Co., Inc................................................. 996,792 $ 78,457,498 0.8%
Pfizer, Inc...................................................... 2,144,624 87,093,181 0.9%
Thermo Fisher Scientific, Inc.................................... 155,350 43,101,857 0.5%
UnitedHealth Group, Inc.......................................... 370,663 86,390,425 0.9%
Other Securities................................................. 664,754,435 6.9%
-------------- -----
TOTAL HEALTH CARE...................................................... 1,293,241,546 13.6%
-------------- -----
INDUSTRIALS -- (9.3%)
Boeing Co. (The)................................................. 202,972 76,660,495 0.8%
Honeywell International, Inc..................................... 281,452 48,868,511 0.5%
Union Pacific Corp............................................... 279,075 49,407,438 0.5%
United Technologies Corp......................................... 312,844 44,614,683 0.5%
Other Securities................................................. 680,058,313 7.2%
-------------- -----
TOTAL INDUSTRIALS...................................................... 899,609,440 9.5%
-------------- -----
INFORMATION TECHNOLOGY -- (21.4%)
Accenture P.L.C., Class A........................................ 246,034 44,943,031 0.5%
* Adobe, Inc....................................................... 188,305 54,467,221 0.6%
Apple, Inc....................................................... 1,730,406 347,240,572 3.7%
Broadcom, Inc.................................................... 152,917 48,688,773 0.5%
Cisco Systems, Inc............................................... 1,701,130 95,178,223 1.0%
Intel Corp....................................................... 1,737,938 88,704,356 0.9%
International Business Machines Corp............................. 343,528 48,186,673 0.5%
Mastercard, Inc., Class A........................................ 348,696 88,652,471 0.9%
Microsoft Corp................................................... 2,963,724 387,062,224 4.1%
Oracle Corp...................................................... 983,899 54,439,132 0.6%
* PayPal Holdings, Inc............................................. 453,301 51,118,754 0.5%
* salesforce.com, Inc.............................................. 295,295 48,827,028 0.5%
Texas Instruments, Inc........................................... 362,183 42,676,023 0.4%
# Visa, Inc., Class A.............................................. 675,800 111,121,794 1.2%
Other Securities................................................. 544,985,216 5.7%
-------------- -----
TOTAL INFORMATION TECHNOLOGY........................................... 2,056,291,491 21.6%
-------------- -----
MATERIALS -- (2.6%)
Other Securities................................................. 252,711,516 2.7%
-------------- -----
REAL ESTATE -- (2.9%)
Other Securities................................................. 280,614,216 3.0%
-------------- -----
UTILITIES -- (3.2%)
Other Securities................................................. 306,670,460 3.2%
-------------- -----
TOTAL COMMON STOCKS.................................................... 9,484,134,278 99.8%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market Fund,
2.370%......................................................... 9,911,415 9,911,415 0.1%
-------------- -----
SECURITIES LENDING COLLATERAL -- (1.4%)
@(S) The DFA Short Term Investment Fund............................... 11,374,817 131,618,013 1.4%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,176,716,281).............................................. $9,625,663,706 101.3%
============== =====
233
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
As of April 30, 2019, 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.... 116 06/21/19 $17,024,824 $17,101,300 $76,476
----------- ----------- -------
TOTAL FUTURES CONTRACTS... $17,024,824 $17,101,300 $76,476
=========== =========== =======
Summary of the Portfolio's investments as of April 30, 2019, 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....... $ 979,267,030 -- -- $ 979,267,030
Consumer Discretionary....... 978,133,780 -- -- 978,133,780
Consumer Staples............. 684,050,689 -- -- 684,050,689
Energy....................... 495,206,864 -- -- 495,206,864
Financials................... 1,258,337,246 -- -- 1,258,337,246
Health Care.................. 1,293,241,546 -- -- 1,293,241,546
Industrials.................. 899,609,440 -- -- 899,609,440
Information Technology....... 2,056,291,491 -- -- 2,056,291,491
Materials.................... 252,711,516 -- -- 252,711,516
Real Estate.................. 280,614,216 -- -- 280,614,216
Utilities.................... 306,670,460 -- -- 306,670,460
Temporary Cash Investments...... 9,911,415 -- -- 9,911,415
Securities Lending Collateral... -- $131,618,013 -- 131,618,013
Futures Contracts**............. 76,476 -- -- 76,476
-------------- ------------ -- --------------
TOTAL........................... $9,494,122,169 $131,618,013 -- $9,625,740,182
============== ============ == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
234
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(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............................................ $ 9,658,693 --
Investments at Value (including $0 and $256,831 of securities on loan, respectively)............. -- $ 9,484,135
Temporary Cash Investments at Value & Cost....................................................... -- 9,911
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0 and
$131,605)...................................................................................... -- 131,618
Segregated Cash for Futures Contracts............................................................ -- 731
Receivables:
Dividends and Interest........................................................................ -- 8,213
Securities Lending Income..................................................................... -- 42
Fund Shares Sold.............................................................................. 7,206 3,742
Futures Margin Variation...................................................................... -- 138
Prepaid Expenses and Other Assets................................................................ 132 112
-------------- ------------
Total Assets.............................................................................. 9,666,031 9,638,642
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................................................. -- 131,604
Fund Shares Redeemed.......................................................................... 7,443 7,561
Due to Advisor................................................................................ 1,587 359
Accrued Expenses and Other Liabilities........................................................... 456 1,261
-------------- ------------
Total Liabilities......................................................................... 9,486 140,785
-------------- ------------
NET ASSETS....................................................................................... $ 9,656,545 $ 9,497,857
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $1,814 and $0 and shares outstanding of 102,300 and 0,
respectively................................................................................... $ 17.74 N/A
============== ============
NUMBER OF SHARES AUTHORIZED...................................................................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $9,654,731 and $9,497,857 and shares
outstanding of 542,717,599 and 417,744,489, respectively....................................... $ 17.79 $ 22.74
============== ============
NUMBER OF SHARES AUTHORIZED...................................................................... 1,500,000,000 900,000,000
============== ============
Investments at Cost.............................................................................. N/A $ 4,035,201
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................................. $ 9,205,551 $ 4,119,307
Total Distributable Earnings (Loss).............................................................. 450,994 5,378,550
-------------- ------------
NET ASSETS....................................................................................... $ 9,656,545 $ 9,497,857
============== ============
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
235
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(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 $16,675 and $0, respectively)................. $168,653 --
Income from Securities Lending............................................................ 2,388 --
Expenses Allocated from Affiliated Investment Companies................................... (9,788) --
-------- --------
Total Net Investment Income Allocated from Affiliated Investment Companies:........ 161,253 --
-------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $0, respectively)...................... -- $ 91,705
Income from Securities Lending............................................................ -- 250
-------- --------
Total Fund Investment Income....................................................... -- 91,955
-------- --------
FUND EXPENSES
Investment Management Fees................................................................ 18,368 2,587
Accounting & Transfer Agent Fees.......................................................... 355 452
S&P 500(R) Fees........................................................................... -- 51
Custodian Fees............................................................................ 1 52
Shareholder Servicing Fees
Class R2 Shares....................................................................... 2 --
Filing Fees............................................................................... 94 70
Shareholders' Reports..................................................................... 170 80
Directors'/Trustees' Fees & Expenses...................................................... 36 32
Professional Fees......................................................................... 28 112
Other..................................................................................... 23 97
-------- --------
Total Fund Expenses................................................................ 19,077 3,533
-------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................ -- (84)
Class R2 Shares....................................................................... (2) --
Institutional Class Shares............................................................ (9,182) --
-------- --------
Net Expenses.............................................................................. 9,893 3,449
-------- --------
NET INVESTMENT INCOME (LOSS).............................................................. 151,360 88,506
-------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:..............................................................
Investment Securities Sold**.......................................................... -- 39,204
Affiliated Investment Companies Shares Sold........................................... -- (3)
Transactions Allocated from Affiliated Investment Company**........................... (25,830) --
Futures............................................................................... -- (563)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................................ -- 727,875
Affiliated Investment Companies Shares................................................ -- 10
Transactions Allocated from Affiliated Investment Company............................. 271,486 --
Futures............................................................................... -- 1
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................... 245,656 766,524
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............................. $397,016 $855,030
======== ========
--------
** 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.
236
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
------------------------ -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................................ $ 151,360 $ 305,317 $ 88,506 $ 162,776
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.................................. -- -- 39,204 88,590
Affiliated Investment Companies Shares Sold..................... -- -- (3) (21)
Transactions Allocated from Affiliated Investment
Company*,**................................................... (25,830) 328,393 -- --
Futures......................................................... -- -- (563) 1,735
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... -- -- 727,875 336,695
Affiliated Investment Companies Shares.......................... -- -- 10 (9)
Transactions Allocated from Affiliated Investment Company....... 271,486 (1,489,950) -- --
Futures......................................................... -- -- 1 (7)
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. 397,016 (856,240) 855,030 589,759
----------- ----------- ---------- -----------
Distributions:
Class R2 Shares................................................. (55) (102) -- --
Institutional Class Shares...................................... (345,010) (298,099) (135,726) (177,012)
----------- ----------- ---------- -----------
Total Distributions.......................................... (345,065) (298,201) (135,726) (177,012)
----------- ----------- ---------- -----------
Capital Share Transactions (1):
Shares Issued....................................................... 1,204,509 2,071,557 1,015,180 1,451,585
Shares Issued in Lieu of Cash Distributions......................... 336,301 289,379 125,645 162,780
Shares Redeemed..................................................... (1,359,658) (1,624,192) (879,341) (1,506,221)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Capital Share
Transactions............................................... 181,152 736,744 261,484 108,144
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets...................... 233,103 (417,697) 980,788 520,891
NET ASSETS
Beginning of Period................................................. 9,423,442 9,841,139 8,517,069 7,996,178
----------- ----------- ---------- -----------
End of Period....................................................... $ 9,656,545 $ 9,423,442 $9,497,857 $ 8,517,069
=========== =========== ========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................................... 71,459 104,257 49,194 68,274
Shares Issued in Lieu of Cash Distributions......................... 20,849 14,892 6,232 7,714
Shares Redeemed..................................................... (80,634) (81,550) (42,107) (70,464)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed................................................... 11,674 37,599 13,319 5,524
=========== =========== ========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
237
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 SHARES
--------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ------- ------- ------- ------- -------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................... $17.68 $19.89 $16.27 $16.93 $ 18.48 $ 19.46
------ ------ ------ ------ ------- -------
Income from Investment
Operations(A)
----------------------
Net Investment Income (Loss)........ 0.26 0.54 0.55 0.53 0.51 0.74
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 0.43 (2.21) 3.61 (0.65) (1.55) (0.93)
------ ------ ------ ------ ------- -------
Total from Investment
Operations.................... 0.69 (1.67) 4.16 (0.12) (1.04) (0.19)
------ ------ ------ ------ ------- -------
Less Distributions:
-------------------
Net Investment Income............... (0.11) (0.54) (0.54) (0.54) (0.51) (0.79)
Net Realized Gains.................. (0.52) -- -- -- -- --
------ ------ ------ ------ ------- -------
Total Distributions............. (0.63) (0.54) (0.54) (0.54) (0.51) (0.79)
------ ------ ------ ------ ------- -------
Net Asset Value, End of Period......... $17.74 $17.68 $19.89 $16.27 $ 16.93 $ 18.48
====== ====== ====== ====== ======= =======
Total Return........................... 4.29%(B) (8.59%) 25.99% (0.43%) (5.78%) (1.21%)
------ ------ ------ ------ ------- -------
Net Assets, End of Period
(thousands).......................... $1,814 $1,477 $3,508 $3,308 $10,404 $11,200
Ratio of Expenses to Average Net
Assets (D)........................... 0.68%(C) 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) (D)...................... 0.88%(C) 0.88% 0.88% 0.88% 0.73% 0.68%
Ratio of Net Investment Income to
Average Net Assets................... 3.11%(C) 2.72% 3.07% 3.4% 2.81% 3.79%
------ ------ ------ ------ ------- -------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
238
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................... $ 17.74 $ 19.94 $ 16.30 $ 16.92 $ 18.47 $ 19.45
---------- ---------- ---------- ---------- ---------- ----------
Income (loss) from Investment
Operations(A)
-----------------------------
Net Investment Income (Loss)........ 0.28 0.60 0.56 0.55 0.56 0.84
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 0.43 (2.21) 3.66 (0.63) (1.56) (0.98)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 0.71 (1.61) 4.22 (0.08) (1.00) (0.14)
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income............... (0.14) (0.59) (0.58) (0.54) (0.55) (0.84)
Net Realized Gains.................. (0.52) -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............. (0.66) (0.59) (0.58) (0.54) (0.55) (0.84)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period......... $ 17.79 $ 17.74 $ 19.94 $ 16.30 $ 16.92 $ 18.47
========== ========== ========== ========== ========== ==========
Total Return........................... 4.39%(B) (8.32%) 26.36% (0.20%) (5.58%) (0.97%)
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands).......................... $9,654,731 $9,421,965 $9,837,631 $7,270,665 $6,795,481 $6,991,214
Ratio of Expenses to Average Net
Assets (D)........................... 0.43%(C) 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)) (D)..................... 0.63%(C) 0.63% 0.63% 0.63% 0.49% 0.43%
Ratio of Net Investment Income to
Average Net Assets................... 3.30%(C) 3.01% 3.12% 3.51% 3.10% 4.29%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
239
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of Period........ $ 21.06 $ 20.05 $ 16.67 $ 16.42 $ 15.94 $ 13.87
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.21 0.41 0.37 0.35 0.33 0.29
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 1.80 1.05 3.50 0.38 0.47 2.07
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 2.01 1.46 3.87 0.73 0.80 2.36
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................... (0.20) (0.39) (0.39) (0.34) (0.32) (0.29)
Net Realized Gains....................... (0.13) (0.06) (0.10) (0.14) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.33) (0.45) (0.49) (0.48) (0.32) (0.29)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............. $ 22.74 $ 21.06 $ 20.05 $ 16.67 $ 16.42 $ 15.94
========== ========== ========== ========== ========== ==========
Total Return................................ 9.77%(B) 7.25% 23.55% 4.54% 5.09% 17.17%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....... $9,497,857 $8,517,069 $7,996,178 $6,365,936 $5,810,743 $5,668,374
Ratio of Expenses to Average Net Assets..... 0.08%(C) 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%(C) 0.08% 0.08% 0.08% 0.09% 0.08%
Ratio of Net Investment Income to
Average Net Assets........................ 2.05%(C) 1.90% 1.99% 2.17% 2.05% 1.95%
Portfolio Turnover Rate..................... 2%(B) 5% 7% 9% 2% 3%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
240
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of twelve
portfolios, two of which, DFA International Value Portfolio and U.S. Large
Company Portfolio (the "Portfolios"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
The Portfolios are investment companies, and accordingly, follow the accounting
and reporting guidance under the Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC"), Topic 946, "Financial
Services-Investment Companies."
DFA International Value Portfolio (the "Feeder Fund") invests substantially
all of its assets in The DFA International Value Series (the "Series"), a
corresponding series of The DFA Investment Trust Company. As of April 30, 2019,
the Feeder Fund owned 76% 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 interests in the net
assets of the Series. These valuations are 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
241
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 April 30, 2019, 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 six months ended April 30, 2019, the Feeder
Fund's and the U.S. Large Company Portfolio'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%
242
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, 2020, 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 six months
ended April 30, 2019, 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 six months ended April 30,
2019, and the previously waived fees/expenses assumed subject to future
recovery by the Advisor as of April 30, 2019, 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% -- $9,182 --
U.S. Large Company Portfolio (2)........ 0.08% $50 84 $454
CLASS R2 SHARES
---------------
DFA International Value Portfolio (3)... 0.79% -- 2 --
(1)The Advisor has contractually agreed to permanently waive all or a portion
of the management fee of the Portfolio to the extent necessary to limit the
total management fees paid to the Advisor by the Portfolio, including the
proportionate share of the management fees the Portfolio pays indirectly
through its investment in other funds managed by the Advisor, except for the
fees paid indirectly through its investment of securities lending cash
collateral in the DFA Short Term Investment Fund, to the rate listed above
as a percentage of the average net assets of the Institutional Class of the
Portfolio on an annualized basis.
(2)The Advisor has contractually agreed to waive all or a portion of its
management fee to the extent necessary to reduce the ordinary operating
expenses (excluding expenses incurred through 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 is within thirty-six months and will not cause the
annualized Portfolio Expenses of the Portfolio to exceed the applicable
Annualized Expense Ratio identified above.
(3)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 is within thirty-six months and 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.
243
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the six months ended April 30, 2019, the total related amounts paid by the
Fund to the CCO were $16 (in thousands). The total related amounts paid by each
Portfolio are included in Other Expenses on the Statements of Operations.
D. DEFERRED COMPENSATION:
As of April 30, 2019, 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....... $299
U.S. Large Company Portfolio............ 335
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2019, 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............ $420,284 $164,739
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
The amounts presented below may differ from the respective amounts presented
in the corresponding Schedule of Investments/Summary Schedule of Portfolio
Holdings, Statement of Assets and Liabilities or Statement of Operations due to
rounding.
NET
REALIZED CHANGE IN BALANCE SHARES
BALANCE AT PROCEEDS GAIN/ UNREALIZED AT AS OF CAPITAL
OCTOBER 31, PURCHASES FROM (LOSS) APPRECIATION/ APRIL 30, APRIL 30, DIVIDEND GAIN
2018 AT COST SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- --------- -------- -------- ------------- --------- --------- -------- -------------
U.S. LARGE COMPANY
PORTFOLIO
The DFA Short Term
Investment Fund... $164,037 $684,552 $716,978 $(3) $10 $131,618 11,375 $1,788 --
-------- -------- -------- --- --- -------- ------ ------ --
TOTAL $164,037 $684,552 $716,978 $(3) $10 $131,618 11,375 $1,788 --
======== ======== ======== === === ======== ====== ====== ==
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
244
appreciation, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of 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, 2018, and October 31, 2017, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
DFA 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 Portfolio used the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amount in thousands):
DFA International Value Portfolio....... $54,014
245
As of April 30, 2019, 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....... $9,292,737 $ 399,734 -- $ 399,734
U.S. Large Company Portfolio............ 4,301,695 5,575,371 $(126,424) 5,448,947
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2019 OCTOBER 31, 2018
-------------------- --------------------
(UNAUDITED)
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- -------
DFA INTERNATIONAL VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................ $ 300 18 $ 2,206 111
Shares Issued in Lieu of Cash
Distributions...................... 55 3 102 5
Shares Redeemed...................... (45) (3) (3,878) (209)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2
Shares................................ $ 310 18 $ (1,570) (93)
=========== ======= =========== =======
Institutional Class Shares
Shares Issued........................ $ 1,204,209 71,441 $ 2,069,351 104,146
Shares Issued in Lieu of Cash
Distributions...................... 336,246 20,846 289,277 14,887
Shares Redeemed...................... (1,359,613) (80,631) (1,620,314) (81,341)
----------- ------- ----------- -------
Net Increase (Decrease) --
Institutional Class Shares............ $ 180,842 11,656 $ 738,314 37,692
=========== ======= =========== =======
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
246
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 six months ended April 30, 2019 (amounts in
thousands):
FUTURES
-------
U.S. Large Company Portfolio....... $30,404
The following is a summary of the U.S. Large Company Portfolio's derivative
instrument holdings categorized by primary risk exposure as of April 30, 2019
(amounts in thousands):
ASSET DERIVATIVES VALUE
------------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2019 CONTRACTS *,(1)
-------------- ---------------
U.S. Large Company Portfolio....... $76 $76
(1)Presented on Statements of Assets and Liabilities as Receivables/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 Portfolio's direct investment in derivative instrument
holdings categorized by primary risk exposure for the six months ended
April 30, 2019 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
----------------------
EQUITY
TOTAL CONTRACTS (1)
----- -------------
U.S. Large Company Portfolio....... $(563) $(563)
247
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
---------------------------------
EQUITY
TOTAL CONTRACTS (2)
----- -------------
U.S. Large Company Portfolio....... $1 $1
(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.
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 April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. 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 April 8, 2020.
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 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. 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 agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
For the six months ended April 30, 2019, borrowings by the Portfolios under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
MAXIMUM
AMOUNT OUTSTANDING
WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED BORROWINGS
AVERAGE AVERAGE DAYS EXPENSE DURING AS OF
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD 04/30/2019
------------- ------------ ------------ -------- ---------- -----------
U.S. Large Company Portfolio....... 3.16% $2,884 14 $4 $7,611 --
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2019, that each Portfolio's available
line of credit was used.
Pursuant to an exemptive order issued by the SEC (the "Order"), the U.S.
Large Company Portfolio may participate in an interfund lending program among
certain portfolios managed by the Advisor (portfolios that operate as feeder
funds do not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
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.
248
The U.S. Large Company Portfolio did not use the interfund lending program
during the six months ended April 30, 2019.
J. SECURITIES LENDING:
As of April 30, 2019, 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 (amount in thousands):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
U.S. Large Company Portfolio....... $130,583
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
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.
249
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2019:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2019
-----------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- --------
SECURITIES LENDING
TRANSACTIONS
U.S. LARGE COMPANY
PORTFOLIO
Common Stocks......... $131,618 -- -- -- $131,618
K. SHAREHOLDER SERVICING FEES:
The Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the DFA International Value Portfolio's Class R2 Shares.
L. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
M. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. Management has evaluated the
requirements of this update and does not expect any material impact to the
Fund's financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolios' early adoption of certain of the ASU
2018-13 disclosure requirements are reflected within these financial statements
prepared as of April 30, 2019. 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 the 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.
250
N. OTHER:
As of April 30, 2019, 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........ 5 98%
DFA International Value Portfolio-Institutional
Class........................................... 4 72%
U.S. Large Company Portfolio-Institutional Class.. 3 69%
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.
251
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS PAID-IN
FISCAL YEAR, FROM THE SALE SURPLUS
AND ACCUMULATED OF SECURITIES OR OTHER
UNDISTRIBUTED NET OR OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- --------
DFA International Value Portfolio
December 18, 2018..................... 64% 0% 36%
U.S. Large Company Portfolio
December 17, 2018..................... 88% 0% 12%
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.
252
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return, and "Expenses Paid During Period" reflects
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return.................... $1,000.00 $1,044.40 0.11% $0.56
Hypothetical 5% Annual Return......... $1,000.00 $1,024.25 0.11% $0.55
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return.................... $1,000.00 $1,044.80 0.22% $1.12
Hypothetical 5% Annual Return......... $1,000.00 $1,023.70 0.22% $1.10
253
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
THE JAPANESE SMALL COMPANY SERIES
---------------------------------
Actual Fund Return.................... $1,000.00 $ 985.80 0.13% $0.64
Hypothetical 5% Annual Return......... $1,000.00 $1,024.15 0.13% $0.65
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------
Actual Fund Return.................... $1,000.00 $1,097.60 0.14% $0.73
Hypothetical 5% Annual Return......... $1,000.00 $1,024.10 0.14% $0.70
THE UNITED KINGDOM SMALL COMPANY
SERIES
--------------------------------
Actual Fund Return.................... $1,000.00 $1,095.40 0.12% $0.62
Hypothetical 5% Annual Return......... $1,000.00 $1,024.20 0.12% $0.60
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------
Actual Fund Return.................... $1,000.00 $1,073.00 0.13% $0.67
Hypothetical 5% Annual Return......... $1,000.00 $1,024.15 0.13% $0.65
THE CANADIAN SMALL COMPANY SERIES
---------------------------------
Actual Fund Return.................... $1,000.00 $ 994.00 0.12% $0.59
Hypothetical 5% Annual Return......... $1,000.00 $1,024.20 0.12% $0.60
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return.................... $1,000.00 $1,121.70 0.14% $0.74
Hypothetical 5% Annual Return......... $1,000.00 $1,024.10 0.14% $0.70
THE EMERGING MARKETS SMALL CAP SERIES
-------------------------------------
Actual Fund Return.................... $1,000.00 $1,146.80 0.25% $1.33
Hypothetical 5% Annual Return......... $1,000.00 $1,023.56 0.25% $1.25
--------
(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 (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
254
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-PORT. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-PORT 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 April 1, 2019. 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.................. 9.4%
Consumer Discretionary.................. 7.3%
Consumer Staples........................ 5.2%
Energy.................................. 14.6%
Financials.............................. 22.6%
Health Care............................. 14.4%
Industrials............................. 10.6%
Information Technology.................. 10.6%
Materials............................... 4.7%
Real Estate............................. 0.3%
Utilities............................... 0.3%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Communication Services.................. 3.8%
Consumer Discretionary.................. 15.3%
Consumer Staples........................ 3.7%
Energy.................................. 13.3%
Financials.............................. 29.7%
Health Care............................. 4.0%
Industrials............................. 9.9%
Information Technology.................. 2.3%
Materials............................... 13.5%
Real Estate............................. 3.1%
Utilities............................... 1.4%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Communication Services.................. 2.9%
Consumer Discretionary.................. 18.4%
Consumer Staples........................ 7.1%
Energy.................................. 1.1%
Financials.............................. 8.4%
Health Care............................. 5.1%
Industrials............................. 30.1%
Information Technology.................. 13.9%
Materials............................... 10.2%
Real Estate............................. 1.6%
Utilities............................... 1.2%
-----
100.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
Communication Services.................. 8.9%
Consumer Discretionary.................. 19.4%
Consumer Staples........................ 7.4%
Energy.................................. 2.5%
Financials.............................. 11.6%
Health Care............................. 5.8%
Industrials............................. 14.2%
Information Technology.................. 7.3%
Materials............................... 12.8%
Real Estate............................. 7.4%
Utilities............................... 2.7%
-----
100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
Communication Services.................. 6.4%
Consumer Discretionary.................. 21.6%
Consumer Staples........................ 5.2%
Energy.................................. 4.4%
Financials.............................. 13.9%
Health Care............................. 3.3%
Industrials............................. 27.6%
Information Technology.................. 5.9%
Materials............................... 6.5%
Real Estate............................. 3.1%
Utilities............................... 2.1%
-----
100.0%
THE CONTINENTAL SMALL COMPANY SERIES
Communication Services.................. 6.4%
Consumer Discretionary.................. 9.9%
Consumer Staples........................ 5.1%
Energy.................................. 3.6%
Financials.............................. 12.3%
Health Care............................. 7.1%
Industrials............................. 27.5%
Information Technology.................. 10.3%
Materials............................... 7.3%
Real Estate............................. 6.8%
Utilities............................... 3.7%
-----
100.0%
255
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
THE CANADIAN SMALL COMPANY SERIES
Communication Services.................. 2.4%
Consumer Discretionary.................. 6.3%
Consumer Staples........................ 5.1%
Energy.................................. 19.4%
Financials.............................. 10.0%
Health Care............................. 1.8%
Industrials............................. 11.1%
Information Technology.................. 3.9%
Materials............................... 27.9%
Real Estate............................. 4.7%
Utilities............................... 7.4%
-----
100.0%
THE EMERGING MARKETS SERIES
Communication Services.................. 9.2%
Consumer Discretionary.................. 10.0%
Consumer Staples........................ 7.9%
Energy.................................. 7.5%
Financials.............................. 22.5%
Health Care............................. 2.4%
Industrials............................. 7.3%
Information Technology.................. 17.9%
Materials............................... 10.0%
Real Estate............................. 2.6%
Utilities............................... 2.7%
-----
100.0%
THE EMERGING MARKETS SMALL CAP SERIES
Communication Services.................. 3.8%
Consumer Discretionary.................. 15.1%
Consumer Staples........................ 8.1%
Energy.................................. 1.4%
Financials.............................. 8.3%
Health Care............................. 6.9%
Industrials............................. 15.0%
Information Technology.................. 16.1%
Materials............................... 12.2%
Real Estate............................. 7.4%
Utilities............................... 5.7%
-----
100.0%
256
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (96.8%)
COMMUNICATION SERVICES -- (9.1%)
AT&T, Inc.................................... 35,433,006 $1,097,005,866 3.6%
* Charter Communications, Inc., Class A........ 940,732 349,190,311 1.2%
Comcast Corp., Class A....................... 21,941,529 955,114,757 3.2%
Other Securities............................. 414,624,150 1.3%
-------------- ----
TOTAL COMMUNICATION SERVICES..................... 2,815,935,084 9.3%
-------------- ----
CONSUMER DISCRETIONARY -- (7.1%)
Ford Motor Co................................ 16,051,999 167,743,390 0.6%
General Motors Co............................ 6,055,833 235,874,695 0.8%
Royal Caribbean Cruises, Ltd................. 1,239,713 149,930,890 0.5%
Other Securities............................. 1,650,971,075 5.4%
-------------- ----
TOTAL CONSUMER DISCRETIONARY..................... 2,204,520,050 7.3%
-------------- ----
CONSUMER STAPLES -- (5.1%)
Mondelez International, Inc., Class A........ 3,530,822 179,542,299 0.6%
Walgreens Boots Alliance, Inc................ 3,401,321 182,208,766 0.6%
Walmart, Inc................................. 5,346,820 549,866,969 1.8%
Other Securities............................. 661,490,871 2.2%
-------------- ----
TOTAL CONSUMER STAPLES........................... 1,573,108,905 5.2%
-------------- ----
ENERGY -- (14.1%)
Chevron Corp................................. 8,332,828 1,000,439,330 3.3%
ConocoPhillips............................... 5,133,675 324,037,566 1.1%
Exxon Mobil Corp............................. 14,447,635 1,159,856,138 3.8%
Kinder Morgan, Inc........................... 7,052,891 140,140,944 0.5%
Marathon Petroleum Corp...................... 3,692,836 224,782,927 0.7%
Occidental Petroleum Corp.................... 3,079,335 181,311,245 0.6%
Valero Energy Corp........................... 2,510,791 227,628,312 0.7%
Other Securities............................. 1,118,701,647 3.7%
-------------- ----
TOTAL ENERGY..................................... 4,376,898,109 14.4%
-------------- ----
FINANCIALS -- (21.9%)
Bank of America Corp......................... 17,339,347 530,237,201 1.7%
Bank of New York Mellon Corp. (The).......... 3,775,210 187,476,929 0.6%
* Berkshire Hathaway, Inc., Class B............ 2,954,909 640,358,329 2.1%
Capital One Financial Corp................... 2,121,634 196,951,284 0.6%
Citigroup, Inc............................... 7,147,502 505,328,391 1.7%
Goldman Sachs Group, Inc. (The).............. 1,573,221 323,957,668 1.1%
JPMorgan Chase & Co.......................... 8,086,435 938,430,782 3.1%
Morgan Stanley............................... 5,549,021 267,740,263 0.9%
PNC Financial Services Group, Inc. (The)..... 1,313,525 179,860,978 0.6%
Travelers Cos., Inc. (The)................... 1,165,331 167,516,331 0.6%
Wells Fargo & Co............................. 15,105,491 731,256,819 2.4%
Other Securities............................. 2,115,464,492 7.0%
-------------- ----
TOTAL FINANCIALS................................. 6,784,579,467 22.4%
-------------- ----
HEALTH CARE -- (13.9%)
Abbott Laboratories.......................... 4,087,436 325,196,408 1.1%
257
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
HEALTH CARE -- (Continued)
Anthem, Inc...................................................... 1,376,563 $ 362,077,366 1.2%
* Cigna Corp....................................................... 1,485,867 236,015,114 0.8%
CVS Health Corp.................................................. 5,855,936 318,445,800 1.1%
Danaher Corp..................................................... 1,886,239 249,813,493 0.8%
Medtronic P.L.C.................................................. 4,359,974 387,209,291 1.3%
Pfizer, Inc...................................................... 24,583,746 998,345,925 3.3%
Thermo Fisher Scientific, Inc.................................... 1,073,774 297,918,596 1.0%
Other Securities................................................. 1,131,276,788 3.6%
--------------- ----
TOTAL HEALTH CARE.................................................... 4,306,298,781 14.2%
--------------- ----
INDUSTRIALS -- (10.2%)
Delta Air Lines, Inc............................................. 2,950,569 171,988,667 0.6%
Eaton Corp. P.L.C................................................ 1,816,899 150,475,575 0.5%
FedEx Corp....................................................... 1,023,792 193,967,632 0.6%
Norfolk Southern Corp............................................ 1,385,379 282,645,024 0.9%
Republic Services, Inc........................................... 1,904,674 157,745,101 0.5%
Stanley Black & Decker, Inc...................................... 1,036,769 151,990,335 0.5%
* United Continental Holdings, Inc................................. 1,791,923 159,230,278 0.5%
United Technologies Corp......................................... 2,077,962 296,338,161 1.0%
Other Securities................................................. 1,601,793,037 5.3%
--------------- ----
TOTAL INDUSTRIALS.................................................... 3,166,173,810 10.4%
--------------- ----
INFORMATION TECHNOLOGY -- (10.3%)
Broadcom, Inc.................................................... 457,974 145,818,922 0.5%
Cisco Systems, Inc............................................... 4,131,076 231,133,702 0.8%
Fidelity National Information Services, Inc...................... 1,231,562 142,774,983 0.5%
HP, Inc.......................................................... 9,619,949 191,917,982 0.6%
Intel Corp....................................................... 22,465,295 1,146,628,657 3.8%
* Micron Technology, Inc........................................... 5,266,057 221,490,357 0.7%
Other Securities................................................. 1,112,561,335 3.6%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 3,192,325,938 10.5%
--------------- ----
MATERIALS -- (4.5%)
Nucor Corp....................................................... 2,517,086 143,650,098 0.5%
Other Securities................................................. 1,268,707,050 4.2%
--------------- ----
TOTAL MATERIALS...................................................... 1,412,357,148 4.7%
--------------- ----
REAL ESTATE -- (0.3%)
Other Securities................................................. 87,404,723 0.3%
--------------- ----
UTILITIES -- (0.3%)
Other Securities................................................. 94,445,605 0.3%
--------------- ----
TOTAL COMMON STOCKS.................................................. 30,014,047,620 99.0%
--------------- ----
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money Market Fund,
2.370%......................................................... 276,182,719 276,182,719 0.9%
--------------- ----
258
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- --------------- ---------------
SECURITIES LENDING COLLATERAL -- (2.3%)
@(S) The DFA Short Term Investment
Fund.......................... 60,841,593 $ 703,998,078 2.3%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $23,161,639,466).............. $30,994,228,417 102.2%
=============== =====
As of April 30, 2019, 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... 1,445 06/21/19 $200,416,238 $213,029,125 $12,612,887
------------ ------------ -----------
TOTAL FUTURES CONTRACTS.. $200,416,238 $213,029,125 $12,612,887
============ ============ ===========
Summary of the Series' investments as of April 30, 2019, 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....... $ 2,815,935,084 -- -- $ 2,815,935,084
Consumer Discretionary....... 2,204,520,050 -- -- 2,204,520,050
Consumer Staples............. 1,573,108,905 -- -- 1,573,108,905
Energy....................... 4,376,898,109 -- -- 4,376,898,109
Financials................... 6,784,579,467 -- -- 6,784,579,467
Health Care.................. 4,306,298,781 -- -- 4,306,298,781
Industrials.................. 3,166,173,810 -- -- 3,166,173,810
Information Technology....... 3,192,325,938 -- -- 3,192,325,938
Materials.................... 1,412,357,148 -- -- 1,412,357,148
Real Estate.................. 87,404,723 -- -- 87,404,723
Utilities.................... 94,445,605 -- -- 94,445,605
Temporary Cash Investments...... 276,182,719 -- -- 276,182,719
Securities Lending Collateral... -- $703,998,078 -- 703,998,078
Futures Contracts**............. 12,612,887 -- -- 12,612,887
--------------- ------------ -- ---------------
TOTAL........................... $30,302,843,226 $703,998,078 -- $31,006,841,304
=============== ============ == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
259
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (93.8%)
AUSTRALIA -- (5.7%)
# Australia & New Zealand Banking Group, Ltd... 10,445,267 $ 200,388,023 1.6%
National Australia Bank, Ltd................. 3,921,197 70,013,084 0.5%
Other Securities............................. 479,670,205 3.8%
-------------- ----
TOTAL AUSTRALIA.................................. 750,071,312 5.9%
-------------- ----
AUSTRIA -- (0.1%)
Other Securities............................. 9,197,125 0.1%
-------------- ----
BELGIUM -- (0.9%)
Other Securities............................. 123,103,927 1.0%
-------------- ----
CANADA -- (8.2%)
Bank of Montreal............................. 1,395,536 110,205,478 0.9%
Canadian Natural Resources, Ltd.............. 2,862,125 85,806,507 0.7%
Suncor Energy, Inc........................... 3,145,721 103,738,099 0.8%
Other Securities............................. 765,180,995 6.0%
-------------- ----
TOTAL CANADA..................................... 1,064,931,079 8.4%
-------------- ----
DENMARK -- (1.6%)
Vestas Wind Systems A.S...................... 774,838 70,110,338 0.6%
Other Securities............................. 139,084,579 1.1%
-------------- ----
TOTAL DENMARK.................................... 209,194,917 1.7%
-------------- ----
FINLAND -- (0.7%)
Other Securities............................. 86,712,680 0.7%
-------------- ----
FRANCE -- (9.7%)
# AXA SA....................................... 2,698,893 71,970,160 0.6%
BNP Paribas SA............................... 1,990,380 105,954,082 0.8%
Cie de Saint-Gobain.......................... 1,557,425 63,854,347 0.5%
# Cie Generale des Etablissements Michelin SCA. 637,668 82,457,178 0.7%
Orange SA.................................... 5,978,647 93,437,594 0.7%
# Peugeot SA................................... 3,133,702 82,162,147 0.7%
Renault SA................................... 1,007,824 68,760,191 0.5%
# Total SA..................................... 6,874,996 382,186,256 3.0%
Other Securities............................. 314,311,691 2.5%
-------------- ----
TOTAL FRANCE..................................... 1,265,093,646 10.0%
-------------- ----
GERMANY -- (6.2%)
Bayer AG..................................... 1,485,062 98,808,321 0.8%
Bayerische Motoren Werke AG.................. 1,225,665 104,559,550 0.8%
Daimler AG................................... 3,530,733 231,743,105 1.8%
Other Securities............................. 375,034,573 3.0%
-------------- ----
TOTAL GERMANY.................................... 810,145,549 6.4%
-------------- ----
HONG KONG -- (3.3%)
CK Hutchison Holdings, Ltd................... 7,657,984 80,515,350 0.6%
Sun Hung Kai Properties, Ltd................. 4,291,920 74,071,412 0.6%
260
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
HONG KONG -- (Continued)
Other Securities........................ $ 272,660,389 2.2%
-------------- ----
TOTAL HONG KONG............................. 427,247,151 3.4%
-------------- ----
IRELAND -- (0.3%)
Other Securities........................ 40,685,748 0.3%
-------------- ----
ISRAEL -- (0.5%)
Other Securities........................ 59,148,620 0.5%
-------------- ----
ITALY -- (1.9%)
Other Securities........................ 245,896,950 2.0%
-------------- ----
JAPAN -- (20.7%)
Hitachi, Ltd............................ 2,597,600 86,391,566 0.7%
Honda Motor Co., Ltd.................... 4,590,300 128,082,826 1.0%
Mitsubishi Corp......................... 2,386,000 65,728,752 0.5%
Mitsubishi UFJ Financial Group, Inc..... 11,934,650 59,214,066 0.5%
Sumitomo Mitsui Financial Group, Inc.... 2,857,600 103,862,905 0.8%
Toyota Motor Corp....................... 3,388,190 209,764,343 1.7%
Other Securities........................ 2,056,034,565 16.2%
-------------- ----
TOTAL JAPAN................................. 2,709,079,023 21.4%
-------------- ----
NETHERLANDS -- (3.6%)
# ING Groep NV............................ 6,111,967 77,988,856 0.6%
Koninklijke Ahold Delhaize NV........... 5,195,538 125,220,704 1.0%
# Koninklijke DSM NV...................... 631,262 72,198,472 0.6%
Other Securities........................ 195,176,011 1.5%
-------------- ----
TOTAL NETHERLANDS........................... 470,584,043 3.7%
-------------- ----
NEW ZEALAND -- (0.2%)
Other Securities........................ 23,328,938 0.2%
-------------- ----
NORWAY -- (0.8%)
Other Securities........................ 108,663,429 0.9%
-------------- ----
PORTUGAL -- (0.0%)
Other Security.......................... 5,381,120 0.1%
-------------- ----
SINGAPORE -- (1.1%)
Other Securities........................ 144,328,182 1.1%
-------------- ----
SPAIN -- (2.5%)
Banco Santander SA...................... 46,001,071 233,196,700 1.8%
Repsol SA............................... 3,644,863 61,848,581 0.5%
Other Securities........................ 33,425,248 0.3%
-------------- ----
TOTAL SPAIN................................. 328,470,529 2.6%
-------------- ----
SWEDEN -- (2.4%)
Other Securities........................ 308,630,980 2.4%
-------------- ----
SWITZERLAND -- (8.3%)
Cie Financiere Richemont SA............. 1,165,784 85,221,543 0.7%
Novartis AG............................. 2,588,680 212,116,609 1.7%
261
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
SWITZERLAND -- (Continued)
UBS Group AG............................ 6,275,625 $ 84,152,716 0.7%
Zurich Insurance Group AG............... 445,436 141,990,622 1.1%
Other Securities........................ 567,427,900 4.4%
--------------- -----
TOTAL SWITZERLAND............................. 1,090,909,390 8.6%
--------------- -----
UNITED KINGDOM -- (14.9%)
Anglo American P.L.C.................... 5,039,458 130,772,421 1.0%
Aviva P.L.C............................. 16,319,347 91,651,527 0.7%
BP P.L.C., Sponsored ADR................ 3,666,922 160,354,499 1.3%
British American Tobacco P.L.C.......... 2,179,454 85,323,269 0.7%
Glencore P.L.C.......................... 26,606,474 105,562,725 0.8%
HSBC Holdings P.L.C..................... 13,949,143 121,538,391 1.0%
# HSBC Holdings P.L.C., Sponsored ADR..... 2,687,511 117,094,854 0.9%
Lloyds Banking Group P.L.C.............. 181,694,609 148,596,224 1.2%
Royal Dutch Shell P.L.C., Sponsored
ADR, Class A.......................... 3,293,873 209,259,728 1.7%
# Royal Dutch Shell P.L.C., Sponsored
ADR, Class B.......................... 3,161,550 205,152,979 1.6%
Vodafone Group P.L.C.................... 58,351,986 108,235,575 0.9%
Vodafone Group P.L.C., Sponsored ADR.... 4,011,201 74,287,448 0.6%
Other Securities........................ 387,667,371 3.0%
--------------- -----
TOTAL UNITED KINGDOM.......................... 1,945,497,011 15.4%
--------------- -----
UNITED STATES -- (0.2%)
Other Securities........................ 28,937,048 0.2%
--------------- -----
TOTAL COMMON STOCKS........................... 12,255,238,397 97.0%
--------------- -----
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Volkswagen AG........................... 689,777 120,436,504 0.9%
Other Securities........................ 33,407,159 0.3%
--------------- -----
TOTAL GERMANY................................. 153,843,663 1.2%
--------------- -----
TOTAL INVESTMENT SECURITIES................... 12,409,082,060
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (5.0%)
@(S) The DFA Short Term Investment Fund...... 56,599,536 654,913,232 5.2%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $12,499,891,299)...................... $13,063,995,292 103.4%
=============== =====
As of April 30, 2019, 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.......... 44 06/21/19 $ 4,018,498 $ 4,217,400 $ 198,902
S&P 500(R) Emini Index... 724 06/21/19 100,416,643 106,735,700 6,319,057
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.. $104,435,141 $110,953,100 $6,517,959
============ ============ ==========
262
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2019, 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.................... -- $ 750,071,312 -- $ 750,071,312
Austria...................... -- 9,197,125 -- 9,197,125
Belgium...................... -- 123,103,927 -- 123,103,927
Canada....................... $1,064,931,079 -- -- 1,064,931,079
Denmark...................... 2,381,847 206,813,070 -- 209,194,917
Finland...................... -- 86,712,680 -- 86,712,680
France....................... -- 1,265,093,646 -- 1,265,093,646
Germany...................... 13,904,173 796,241,376 -- 810,145,549
Hong Kong.................... -- 427,247,151 -- 427,247,151
Ireland...................... 6,686,558 33,999,190 -- 40,685,748
Israel....................... -- 59,148,620 -- 59,148,620
Italy........................ 37,083,898 208,813,052 -- 245,896,950
Japan........................ 59,483,401 2,649,595,622 -- 2,709,079,023
Netherlands.................. 30,812,663 439,771,380 -- 470,584,043
New Zealand.................. -- 23,328,938 -- 23,328,938
Norway....................... 200,100 108,463,329 -- 108,663,429
Portugal..................... -- 5,381,120 -- 5,381,120
Singapore.................... -- 144,328,182 -- 144,328,182
Spain........................ 354,300 328,116,229 -- 328,470,529
Sweden....................... -- 308,630,980 -- 308,630,980
Switzerland.................. 98,770,116 992,139,274 -- 1,090,909,390
United Kingdom............... 883,819,630 1,061,677,381 -- 1,945,497,011
United States................ 28,937,048 -- -- 28,937,048
Preferred Stocks
Germany...................... -- 153,843,663 -- 153,843,663
Securities Lending Collateral... -- 654,913,232 -- 654,913,232
Futures Contracts**............. 6,517,959 -- -- 6,517,959
-------------- --------------- -- ---------------
TOTAL........................... $2,233,882,772 $10,836,630,479 -- $13,070,513,251
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
263
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (96.7%)
COMMUNICATION SERVICES -- (2.8%)
Other Securities............................. $ 98,840,560 2.8%
------------ ----
CONSUMER DISCRETIONARY -- (17.8%)
Autobacs Seven Co., Ltd...................... 553,000 9,644,305 0.3%
DCM Holdings Co., Ltd........................ 813,400 8,062,569 0.2%
Other Securities............................. 622,585,449 17.7%
------------ ----
TOTAL CONSUMER DISCRETIONARY..................... 640,292,323 18.2%
------------ ----
CONSUMER STAPLES -- (6.9%)
Milbon Co., Ltd.............................. 168,752 8,639,664 0.3%
Morinaga Milk Industry Co., Ltd.............. 294,800 9,760,883 0.3%
Other Securities............................. 229,679,406 6.5%
------------ ----
TOTAL CONSUMER STAPLES........................... 248,079,953 7.1%
------------ ----
ENERGY -- (1.1%)
# Iwatani Corp................................. 293,300 9,192,515 0.3%
Other Securities............................. 30,260,652 0.8%
------------ ----
TOTAL ENERGY..................................... 39,453,167 1.1%
------------ ----
FINANCIALS -- (8.1%)
Daishi Hokuetsu Financial Group, Inc......... 293,700 8,644,070 0.3%
Hokuhoku Financial Group, Inc................ 921,300 10,161,429 0.3%
Jafco Co., Ltd............................... 232,900 8,816,619 0.3%
# Shiga Bank, Ltd. (The)....................... 338,200 8,093,591 0.2%
Other Securities............................. 254,992,174 7.2%
------------ ----
TOTAL FINANCIALS................................. 290,707,883 8.3%
------------ ----
HEALTH CARE -- (4.9%)
Mani, Inc.................................... 170,700 9,863,654 0.3%
Miraca Holdings, Inc......................... 472,500 12,110,780 0.4%
Other Securities............................. 154,309,814 4.3%
------------ ----
TOTAL HEALTH CARE................................ 176,284,248 5.0%
------------ ----
INDUSTRIALS -- (29.1%)
Daiseki Co., Ltd............................. 302,863 8,320,277 0.2%
Duskin Co., Ltd.............................. 346,300 8,546,394 0.3%
Fujikura, Ltd................................ 1,953,600 8,060,828 0.2%
Funai Soken Holdings, Inc.................... 308,470 8,002,785 0.2%
Hanwa Co., Ltd............................... 285,000 8,214,671 0.2%
Hazama Ando Corp............................. 1,528,900 10,281,112 0.3%
Inaba Denki Sangyo Co., Ltd.................. 201,800 8,220,969 0.2%
#* Kawasaki Kisen Kaisha, Ltd................... 684,200 9,946,187 0.3%
Kumagai Gumi Co., Ltd........................ 299,100 8,776,101 0.3%
Meitec Corp.................................. 216,400 10,071,077 0.3%
# Nichias Corp................................. 480,100 9,281,448 0.3%
Nikkon Holdings Co., Ltd..................... 385,300 9,092,278 0.3%
Nishimatsu Construction Co., Ltd............. 389,300 8,444,730 0.2%
Nisshinbo Holdings, Inc...................... 972,780 8,684,328 0.3%
264
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
INDUSTRIALS -- (Continued)
Nomura Co., Ltd......................... 318,800 $ 8,917,729 0.3%
Okumura Corp............................ 247,480 8,006,256 0.2%
Shinmaywa Industries, Ltd............... 707,200 8,732,442 0.3%
SMS Co., Ltd............................ 551,200 10,697,555 0.3%
Sumitomo Mitsui Construction Co., Ltd... 1,393,140 9,092,070 0.3%
Tadano, Ltd............................. 825,100 8,729,780 0.3%
Tsubakimoto Chain Co.................... 208,840 7,784,444 0.2%
Ushio, Inc.............................. 799,700 9,721,789 0.3%
Other Securities........................ 850,533,165 23.9%
-------------- -----
TOTAL INDUSTRIALS............................. 1,046,158,415 29.7%
-------------- -----
INFORMATION TECHNOLOGY -- (13.4%)
Amano Corp.............................. 379,800 9,925,195 0.3%
# Infomart Corp........................... 769,400 11,194,230 0.3%
Iriso Electronics Co., Ltd.............. 154,500 8,040,836 0.2%
Justsystems Corp........................ 270,000 7,748,460 0.2%
Lasertec Corp........................... 210,200 9,551,290 0.3%
Oki Electric Industry Co., Ltd.......... 694,400 8,139,537 0.2%
Tokyo Seimitsu Co., Ltd................. 315,100 9,152,729 0.3%
Topcon Corp............................. 862,100 10,476,108 0.3%
Ulvac, Inc.............................. 361,900 12,191,101 0.4%
Other Securities........................ 396,447,221 11.2%
-------------- -----
TOTAL INFORMATION TECHNOLOGY.................. 482,866,707 13.7%
-------------- -----
MATERIALS -- (9.9%)
ADEKA Corp.............................. 665,700 10,001,126 0.3%
Kureha Corp............................. 141,650 8,479,560 0.2%
# Mitsui Mining & Smelting Co., Ltd....... 484,900 12,611,807 0.4%
Nippon Light Metal Holdings Co., Ltd.... 4,755,800 10,512,940 0.3%
Sumitomo Osaka Cement Co., Ltd.......... 234,999 9,576,189 0.3%
Toagosei Co., Ltd....................... 871,100 9,509,470 0.3%
Tokyo Ohka Kogyo Co., Ltd............... 242,500 7,765,614 0.2%
Toyobo Co., Ltd......................... 715,200 9,332,148 0.3%
Other Securities........................ 277,836,700 7.8%
-------------- -----
TOTAL MATERIALS............................... 355,625,554 10.1%
-------------- -----
REAL ESTATE -- (1.6%)
Other Securities........................ 55,706,129 1.6%
-------------- -----
UTILITIES -- (1.1%)
Other Securities........................ 39,956,887 1.1%
-------------- -----
TOTAL COMMON STOCKS........................... 3,473,971,826 98.7%
-------------- -----
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (3.3%)
@(S) The DFA Short Term Investment Fund...... 10,295,555 119,129,871 3.4%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,311,087,347)....................... $3,593,101,697 102.1%
============== =====
265
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2019, 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....... -- $ 98,840,560 -- $ 98,840,560
Consumer Discretionary....... $2,622,874 637,669,449 -- 640,292,323
Consumer Staples............. -- 248,079,953 -- 248,079,953
Energy....................... -- 39,453,167 -- 39,453,167
Financials................... -- 290,707,883 -- 290,707,883
Health Care.................. -- 176,284,248 -- 176,284,248
Industrials.................. -- 1,046,158,415 -- 1,046,158,415
Information Technology....... -- 482,866,707 -- 482,866,707
Materials.................... -- 355,625,554 -- 355,625,554
Real Estate.................. -- 55,706,129 -- 55,706,129
Utilities.................... -- 39,956,887 -- 39,956,887
Securities Lending Collateral... -- 119,129,871 -- 119,129,871
---------- -------------- -- --------------
TOTAL........................... $2,622,874 $3,590,478,823 -- $3,593,101,697
========== ============== == ==============
See accompanying Notes to Financial Statements.
266
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (95.0%)
AUSTRALIA -- (51.3%)
ALS, Ltd................................ 2,248,565 $ 12,604,830 0.7%
Altium, Ltd............................. 688,857 16,462,526 1.0%
Ansell, Ltd............................. 874,039 16,640,182 1.0%
Appen, Ltd.............................. 685,679 12,282,560 0.7%
Beach Energy, Ltd....................... 6,100,551 9,148,070 0.5%
Breville Group, Ltd..................... 830,596 11,257,259 0.7%
carsales.com, Ltd....................... 1,702,940 16,178,085 1.0%
Cleanaway Waste Management, Ltd......... 10,528,922 16,719,843 1.0%
# Corporate Travel Management, Ltd........ 545,523 10,264,542 0.6%
# Credit Corp. Group, Ltd................. 560,652 9,432,978 0.6%
CSR, Ltd................................ 3,957,955 9,942,775 0.6%
Downer EDI, Ltd......................... 2,028,028 11,072,805 0.7%
DuluxGroup, Ltd......................... 2,924,888 20,107,769 1.2%
GrainCorp, Ltd., Class A................ 1,833,496 11,627,510 0.7%
# Healthscope, Ltd........................ 5,420,705 9,365,533 0.6%
# Independence Group NL................... 3,525,457 11,114,293 0.7%
# InvoCare, Ltd........................... 975,382 10,524,258 0.6%
# IOOF Holdings, Ltd...................... 2,254,189 10,318,717 0.6%
IRESS, Ltd.............................. 1,095,248 11,070,199 0.7%
# JB Hi-Fi, Ltd........................... 862,756 15,680,993 0.9%
# Metcash, Ltd............................ 7,684,060 15,548,215 0.9%
Mineral Resources, Ltd.................. 1,194,671 13,141,851 0.8%
Monadelphous Group, Ltd................. 726,646 9,704,084 0.6%
nib holdings, Ltd....................... 3,369,261 13,658,663 0.8%
# Nine Entertainment Co. Holdings, Ltd.... 11,745,187 14,477,785 0.9%
Orora, Ltd.............................. 6,055,609 12,939,752 0.8%
OZ Minerals, Ltd........................ 2,477,965 17,448,010 1.0%
Pendal Group, Ltd....................... 1,960,399 12,626,707 0.7%
# Perpetual, Ltd.......................... 353,370 10,201,748 0.6%
Premier Investments, Ltd................ 829,371 9,985,023 0.6%
Regis Resources, Ltd.................... 3,349,243 11,331,219 0.7%
* Saracen Mineral Holdings, Ltd........... 6,775,200 13,364,005 0.8%
# Sims Metal Management, Ltd.............. 1,382,214 10,067,792 0.6%
# Spark Infrastructure Group.............. 9,801,431 15,635,284 0.9%
Steadfast Group, Ltd.................... 5,773,132 13,879,219 0.8%
Technology One, Ltd..................... 1,774,751 11,006,789 0.7%
* Vocus Group, Ltd........................ 3,878,951 10,685,734 0.6%
Webjet, Ltd............................. 897,139 10,661,960 0.6%
Other Securities........................ 437,954,054 25.1%
------------ ----
TOTAL AUSTRALIA............................. 916,133,621 53.6%
------------ ----
CANADA -- (0.0%)
Other Security.......................... 390,998 0.0%
------------ ----
CHINA -- (0.2%)
Other Securities........................ 3,634,425 0.2%
------------ ----
HONG KONG -- (27.3%)
HKBN, Ltd............................... 6,569,500 11,764,776 0.7%
Hopewell Holdings, Ltd.................. 3,604,500 17,827,682 1.1%
267
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
HONG KONG -- (Continued)
IGG, Inc................................ 12,149,000 $ 15,403,135 0.9%
# Luk Fook Holdings International, Ltd.... 3,863,000 13,841,104 0.8%
Vitasoy International Holdings, Ltd..... 2,209,000 11,122,740 0.7%
VTech Holdings, Ltd..................... 1,289,400 11,780,847 0.7%
Other Securities........................ 405,071,821 23.6%
-------------- -----
TOTAL HONG KONG............................... 486,812,105 28.5%
-------------- -----
NEW ZEALAND -- (6.4%)
Chorus, Ltd............................. 2,976,900 11,914,380 0.7%
Infratil, Ltd........................... 4,020,366 11,652,402 0.7%
Mainfreight, Ltd........................ 459,650 10,749,200 0.6%
SKYCITY Entertainment Group, Ltd........ 4,719,639 12,861,540 0.8%
Trade Me Group, Ltd..................... 2,239,106 9,621,049 0.6%
Other Securities........................ 56,862,428 3.3%
-------------- -----
TOTAL NEW ZEALAND............................. 113,660,999 6.7%
-------------- -----
SINGAPORE -- (9.8%)
Other Securities........................ 174,015,566 10.2%
-------------- -----
TOTAL COMMON STOCKS........................... 1,694,647,714 99.2%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................ 1,560 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES................... 1,694,649,274
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (5.0%)
@(S) The DFA Short Term Investment Fund...... 7,783,244 90,059,920 5.3%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,759,922,077)..................... $1,784,709,194 104.5%
============== =====
Summary of the Series' investments as of April 30, 2019, 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............. -- $ 916,133,621 -- $ 916,133,621
Canada................ $390,998 -- -- 390,998
China................. -- 3,634,425 -- 3,634,425
Hong Kong............. 321,561 486,490,544 -- 486,812,105
New Zealand........... -- 113,660,999 -- 113,660,999
Singapore............. 14,042 174,001,524 -- 174,015,566
Rights/Warrants
Hong Kong............. -- 1,560 -- 1,560
Securities Lending
Collateral............. -- 90,059,920 -- 90,059,920
-------- -------------- -------- --------------
TOTAL.................... $726,601 $1,783,982,593 -- $1,784,709,194
======== ============== ======== ==============
See accompanying Notes to Financial Statements.
268
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (99.2%)
COMMUNICATION SERVICES -- (6.4%)
Auto Trader Group P.L.C................. 4,801,178 $ 35,492,046 1.5%
Cineworld Group P.L.C................... 5,201,644 21,585,272 0.9%
Entertainment One, Ltd.................. 2,492,334 15,523,642 0.6%
Inmarsat P.L.C.......................... 2,400,987 17,116,231 0.7%
Other Securities........................ 61,292,985 2.6%
------------ ----
TOTAL COMMUNICATION SERVICES................ 151,010,176 6.3%
------------ ----
CONSUMER DISCRETIONARY -- (21.4%)
B&M European Value Retail SA............ 5,334,358 27,500,076 1.1%
Bellway P.L.C........................... 860,052 34,924,504 1.5%
Bovis Homes Group P.L.C................. 1,262,993 18,311,818 0.8%
Greene King P.L.C....................... 2,728,082 22,847,410 1.0%
Greggs P.L.C............................ 734,900 17,259,023 0.7%
Inchcape P.L.C.......................... 2,863,449 22,988,943 1.0%
JD Sports Fashion P.L.C................. 2,029,276 16,681,031 0.7%
Merlin Entertainments P.L.C............. 4,473,988 21,395,018 0.9%
Moneysupermarket.com Group P.L.C........ 3,912,801 18,585,395 0.8%
SSP Group P.L.C......................... 2,923,877 26,576,348 1.1%
WH Smith P.L.C.......................... 718,011 19,209,836 0.8%
Other Securities........................ 263,701,377 10.9%
------------ ----
TOTAL CONSUMER DISCRETIONARY................ 509,980,779 21.3%
------------ ----
CONSUMER STAPLES -- (5.2%)
Britvic P.L.C........................... 1,760,993 21,022,606 0.9%
Fevertree Drinks P.L.C.................. 414,912 17,059,779 0.7%
Tate & Lyle P.L.C....................... 3,470,820 34,787,259 1.5%
Other Securities........................ 50,847,976 2.1%
------------ ----
TOTAL CONSUMER STAPLES...................... 123,717,620 5.2%
------------ ----
ENERGY -- (4.3%)
John Wood Group P.L.C................... 3,091,313 18,952,064 0.8%
Tullow Oil P.L.C........................ 9,672,607 28,361,260 1.2%
Other Securities........................ 55,901,004 2.3%
------------ ----
TOTAL ENERGY................................ 103,214,328 4.3%
------------ ----
FINANCIALS -- (13.8%)
Beazley P.L.C........................... 3,039,405 22,902,309 1.0%
Close Brothers Group P.L.C.............. 1,032,305 20,929,857 0.9%
CYBG P.L.C.............................. 6,092,424 16,165,895 0.7%
Hiscox, Ltd............................. 880,627 19,261,692 0.8%
IG Group Holdings P.L.C................. 2,463,141 16,385,306 0.7%
Intermediate Capital Group P.L.C........ 1,891,309 29,227,307 1.2%
Man Group P.L.C......................... 10,998,653 22,537,062 0.9%
Phoenix Group Holdings P.L.C............ 2,445,112 23,112,287 1.0%
Other Securities........................ 157,460,544 6.5%
------------ ----
TOTAL FINANCIALS............................ 327,982,259 13.7%
------------ ----
269
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
HEALTH CARE -- (3.3%)
* BTG P.L.C............................... 2,027,017 $ 22,098,966 0.9%
Other Securities........................ 55,787,254 2.4%
-------------- ----
TOTAL HEALTH CARE............................. 77,886,220 3.3%
-------------- ----
INDUSTRIALS -- (27.3%)
Aggreko P.L.C........................... 1,607,013 17,915,344 0.8%
Babcock International Group P.L.C....... 2,995,017 20,559,743 0.9%
BBA Aviation P.L.C...................... 7,186,917 25,539,590 1.1%
* Cobham P.L.C............................ 16,450,293 24,803,343 1.0%
Diploma P.L.C........................... 752,989 15,746,971 0.7%
G4S P.L.C............................... 8,580,996 24,252,553 1.0%
Grafton Group P.L.C..................... 1,602,051 18,464,389 0.8%
Hays P.L.C.............................. 9,878,691 19,584,251 0.8%
HomeServe P.L.C......................... 1,967,670 27,888,245 1.2%
Howden Joinery Group P.L.C.............. 4,476,142 29,725,561 1.2%
IMI P.L.C............................... 1,817,981 24,967,382 1.0%
IWG P.L.C............................... 4,123,173 18,309,774 0.8%
Meggitt P.L.C........................... 3,974,849 28,284,320 1.2%
Pagegroup P.L.C......................... 2,344,376 16,481,507 0.7%
Rotork P.L.C............................ 5,721,728 23,337,341 1.0%
Travis Perkins P.L.C.................... 1,643,485 29,988,227 1.3%
Other Securities........................ 284,649,551 11.7%
-------------- ----
TOTAL INDUSTRIALS............................. 650,498,092 27.2%
-------------- ----
INFORMATION TECHNOLOGY -- (5.9%)
Electrocomponents P.L.C................. 3,231,445 27,248,613 1.1%
Spectris P.L.C.......................... 786,835 28,271,770 1.2%
Other Securities........................ 84,851,953 3.6%
-------------- ----
TOTAL INFORMATION TECHNOLOGY.................. 140,372,336 5.9%
-------------- ----
MATERIALS -- (6.5%)
RPC Group P.L.C......................... 2,589,442 26,689,032 1.1%
Victrex P.L.C........................... 625,988 19,912,150 0.8%
Other Securities........................ 107,836,588 4.6%
-------------- ----
TOTAL MATERIALS............................... 154,437,770 6.5%
-------------- ----
REAL ESTATE -- (3.0%)
Other Securities........................ 72,102,705 3.0%
-------------- ----
UTILITIES -- (2.1%)
Pennon Group P.L.C...................... 2,915,542 28,482,980 1.2%
Other Securities........................ 20,185,856 0.8%
-------------- ----
TOTAL UTILITIES............................... 48,668,836 2.0%
-------------- ----
TOTAL COMMON STOCKS........................... 2,359,871,121 98.7%
-------------- ----
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (0.8%)
@(S) The DFA Short Term Investment Fund...... 1,636,823 18,939,683 0.8%
-------------- ----
TOTAL INVESTMENTS--(100.0%)
(Cost $2,218,764,430)....................... $2,378,810,804 99.5%
============== ====
270
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2019, 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....... -- $ 151,010,176 -- $ 151,010,176
Consumer Discretionary....... -- 509,980,779 -- 509,980,779
Consumer Staples............. -- 123,717,620 -- 123,717,620
Energy....................... -- 103,214,328 -- 103,214,328
Financials................... -- 327,982,259 -- 327,982,259
Health Care.................. -- 77,886,220 -- 77,886,220
Industrials.................. -- 650,498,092 -- 650,498,092
Information Technology....... -- 140,372,336 -- 140,372,336
Materials.................... -- 154,437,770 -- 154,437,770
Real Estate.................. -- 72,102,705 -- 72,102,705
Utilities.................... -- 48,668,836 -- 48,668,836
Securities Lending Collateral... -- 18,939,683 -- 18,939,683
-- -------------- -- --------------
TOTAL........................... -- $2,378,810,804 -- $2,378,810,804
== ============== == ==============
See accompanying Notes to Financial Statements.
271
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (91.3%)
AUSTRIA -- (3.0%)
# ANDRITZ AG.............................. 510,397 $ 24,374,529 0.4%
Other Securities........................ 159,548,557 2.9%
------------ ----
TOTAL AUSTRIA............................... 183,923,086 3.3%
------------ ----
BELGIUM -- (4.1%)
Ackermans & van Haaren NV............... 174,099 28,051,355 0.5%
* Argenx SE............................... 195,734 25,084,753 0.5%
* Galapagos NV............................ 220,186 25,291,182 0.5%
Other Securities........................ 170,988,413 3.0%
------------ ----
TOTAL BELGIUM............................... 249,415,703 4.5%
------------ ----
DENMARK -- (5.1%)
# Ambu A.S., Class B...................... 755,139 21,726,594 0.4%
GN Store Nord A.S....................... 418,163 21,433,061 0.4%
Royal Unibrew A.S....................... 364,385 26,147,290 0.5%
SimCorp A.S............................. 277,672 27,259,105 0.5%
Topdanmark A.S.......................... 475,380 25,649,109 0.5%
Other Securities........................ 187,874,547 3.2%
------------ ----
TOTAL DENMARK............................... 310,089,706 5.5%
------------ ----
FINLAND -- (5.5%)
# Huhtamaki Oyj........................... 732,278 28,003,154 0.5%
Kesko Oyj, Class B...................... 447,808 23,285,971 0.4%
# Metso Oyj............................... 700,671 26,217,174 0.5%
Nokian Renkaat Oyj...................... 833,611 27,942,455 0.5%
# Orion Oyj, Class B...................... 680,891 22,703,962 0.4%
# Valmet Oyj.............................. 919,512 25,329,801 0.5%
Other Securities........................ 179,505,495 3.2%
------------ ----
TOTAL FINLAND............................... 332,988,012 6.0%
------------ ----
FRANCE -- (11.2%)
# Edenred................................. 693,381 32,691,352 0.6%
Euronext NV............................. 368,245 25,586,440 0.5%
Eutelsat Communications SA.............. 1,246,264 22,523,516 0.4%
Ingenico Group SA....................... 419,926 35,441,818 0.6%
Rexel SA................................ 2,315,771 31,132,984 0.6%
Rubis SCA............................... 544,052 29,841,360 0.5%
Other Securities........................ 504,337,959 9.0%
------------ ----
TOTAL FRANCE................................ 681,555,429 12.2%
------------ ----
GERMANY -- (16.3%)
Bechtle AG.............................. 225,300 23,193,822 0.4%
CTS Eventim AG & Co. KGaA............... 442,453 22,724,048 0.4%
* Dialog Semiconductor P.L.C.............. 621,432 24,176,299 0.4%
Freenet AG.............................. 981,903 23,070,010 0.4%
Hugo Boss AG............................ 488,688 34,146,665 0.6%
K+S AG.................................. 1,567,865 31,925,446 0.6%
Lanxess AG.............................. 561,292 32,503,778 0.6%
272
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
GERMANY -- (Continued)
Nemetschek SE........................... 147,899 $ 27,361,339 0.5%
Rheinmetall AG.......................... 339,164 39,081,174 0.7%
TAG Immobilien AG....................... 1,024,715 23,076,543 0.4%
TLG Immobilien AG....................... 722,981 21,299,555 0.4%
Other Securities........................ 687,156,773 12.3%
------------ ----
TOTAL GERMANY............................... 989,715,452 17.7%
------------ ----
IRELAND -- (0.5%)
Other Securities........................ 30,916,472 0.5%
------------ ----
ISRAEL -- (2.8%)
Other Securities........................ 169,958,935 3.0%
------------ ----
ITALY -- (9.6%)
#* Banco BPM SpA........................... 12,445,367 29,626,415 0.5%
Hera SpA................................ 6,378,888 22,707,242 0.4%
Italgas SpA............................. 3,818,401 23,851,645 0.4%
* Saipem SpA.............................. 5,016,428 25,445,731 0.5%
# Unione di Banche Italiane SpA........... 7,724,232 24,114,133 0.4%
Other Securities........................ 455,079,581 8.2%
------------ ----
TOTAL ITALY................................. 580,824,747 10.4%
------------ ----
NETHERLANDS -- (6.0%)
# Aalberts NV............................. 686,058 26,992,853 0.5%
ASM International NV.................... 328,973 22,429,178 0.4%
IMCD NV................................. 340,422 27,524,564 0.5%
SBM Offshore NV......................... 1,376,758 25,547,688 0.5%
Signify NV.............................. 712,323 21,376,410 0.4%
Other Securities........................ 240,432,817 4.2%
------------ ----
TOTAL NETHERLANDS........................... 364,303,510 6.5%
------------ ----
NORWAY -- (2.5%)
Other Securities........................ 149,122,220 2.7%
------------ ----
PORTUGAL -- (1.2%)
Other Securities........................ 71,422,098 1.3%
------------ ----
SPAIN -- (5.4%)
Acciona SA.............................. 206,462 23,945,626 0.4%
Cellnex Telecom SA...................... 981,389 30,230,783 0.5%
Other Securities........................ 277,146,918 5.0%
------------ ----
TOTAL SPAIN................................. 331,323,327 5.9%
------------ ----
SWEDEN -- (7.2%)
Other Securities........................ 439,276,449 7.9%
------------ ----
SWITZERLAND -- (10.9%)
Georg Fischer AG........................ 28,475 27,693,978 0.5%
Helvetia Holding AG..................... 44,844 28,497,194 0.5%
OC Oerlikon Corp. AG.................... 1,622,924 21,210,174 0.4%
PSP Swiss Property AG................... 325,433 33,206,495 0.6%
VAT Group AG............................ 198,115 24,623,674 0.4%
273
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SWITZERLAND -- (Continued)
Other Securities........................ $ 527,435,737 9.5%
-------------- -----
TOTAL SWITZERLAND............................. 662,667,252 11.9%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Security.......................... 2,960,228 0.0%
-------------- -----
TOTAL COMMON STOCKS........................... 5,550,462,626 99.3%
-------------- -----
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Other Securities........................ 30,038,063 0.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................ 44,060 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES................... 5,580,544,749
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (8.2%)
@(S) The DFA Short Term Investment Fund...... 43,031,340 497,915,630 8.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $5,402,747,530)..................... $6,078,460,379 108.7%
============== =====
Summary of the Series' investments as of April 30, 2019, 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................................... -- $183,923,086 -- $183,923,086
Belgium................................... $9,504,131 239,911,572 -- 249,415,703
Denmark................................... -- 310,089,706 -- 310,089,706
Finland................................... 5,397,935 327,590,077 -- 332,988,012
France.................................... -- 681,555,429 -- 681,555,429
Germany................................... -- 989,715,452 -- 989,715,452
Ireland................................... -- 30,916,472 -- 30,916,472
Israel.................................... 1,019,715 168,939,220 -- 169,958,935
Italy..................................... -- 580,824,747 -- 580,824,747
Netherlands............................... 309,073 363,994,437 -- 364,303,510
Norway.................................... -- 149,122,220 -- 149,122,220
Portugal.................................. -- 71,422,098 -- 71,422,098
Spain..................................... -- 331,323,327 -- 331,323,327
Sweden.................................... -- 439,276,449 -- 439,276,449
Switzerland............................... -- 662,667,252 -- 662,667,252
United Kingdom............................ -- 2,960,228 -- 2,960,228
274
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------------- ------- --------------
Preferred Stocks
Germany...................... -- $ 30,038,063 -- $ 30,038,063
Rights/Warrants
Sweden....................... -- 9,338 -- 9,338
Switzerland.................. -- 34,722 -- 34,722
Securities Lending Collateral... -- 497,915,630 -- 497,915,630
----------- -------------- -- --------------
TOTAL........................... $16,230,854 $6,062,229,525 -- $6,078,460,379
=========== ============== == ==============
See accompanying Notes to Financial Statements.
275
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (88.2%)
COMMUNICATION SERVICES -- (2.1%)
# Cineplex, Inc........................... 401,438 $ 7,676,974 0.7%
Other Securities........................ 18,660,557 1.7%
------------ ----
TOTAL COMMUNICATION SERVICES................ 26,337,531 2.4%
------------ ----
CONSUMER DISCRETIONARY -- (5.5%)
* Great Canadian Gaming Corp.............. 418,284 16,076,318 1.4%
# Linamar Corp............................ 322,683 12,240,614 1.1%
Other Securities........................ 41,538,482 3.8%
------------ ----
TOTAL CONSUMER DISCRETIONARY................ 69,855,414 6.3%
------------ ----
CONSUMER STAPLES -- (4.5%)
Cott Corp............................... 909,370 14,091,603 1.2%
Maple Leaf Foods, Inc................... 368,672 8,602,438 0.8%
North West Co., Inc. (The).............. 349,536 7,383,645 0.7%
Premium Brands Holdings Corp............ 182,119 10,947,259 1.0%
Other Securities........................ 15,337,402 1.3%
------------ ----
TOTAL CONSUMER STAPLES...................... 56,362,347 5.0%
------------ ----
ENERGY -- (17.1%)
Enerflex, Ltd........................... 661,336 9,147,239 0.8%
# Enerplus Corp........................... 1,620,918 14,833,511 1.3%
Gibson Energy, Inc...................... 851,118 14,033,886 1.3%
* Parex Resources, Inc.................... 1,044,698 17,795,035 1.6%
Pason Systems, Inc...................... 481,001 7,162,775 0.6%
ShawCor, Ltd............................ 495,943 7,359,369 0.7%
Whitecap Resources, Inc................. 2,833,976 11,401,904 1.0%
Other Securities........................ 135,089,580 12.1%
------------ ----
TOTAL ENERGY................................ 216,823,299 19.4%
------------ ----
FINANCIALS -- (8.9%)
# Canadian Western Bank................... 643,831 14,436,578 1.3%
# ECN Capital Corp........................ 2,446,608 7,834,551 0.7%
Element Fleet Management Corp........... 2,883,697 17,887,230 1.6%
# Genworth MI Canada, Inc................. 297,480 9,243,929 0.8%
#* Home Capital Group, Inc................. 541,770 7,659,270 0.7%
# Laurentian Bank of Canada............... 326,390 10,339,622 0.9%
Other Securities........................ 44,715,427 4.0%
------------ ----
TOTAL FINANCIALS............................ 112,116,607 10.0%
------------ ----
HEALTH CARE -- (1.6%)
Other Securities........................ 20,390,388 1.8%
------------ ----
INDUSTRIALS -- (9.8%)
Aecon Group, Inc........................ 501,802 7,172,881 0.6%
* ATS Automation Tooling Systems, Inc..... 552,999 8,854,093 0.8%
# NFI Group, Inc.......................... 330,420 8,356,072 0.8%
Stantec, Inc............................ 601,433 15,061,638 1.3%
TFI International, Inc.................. 556,989 18,293,286 1.6%
276
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
INDUSTRIALS -- (Continued)
Other Securities........................ $ 66,346,829 6.0%
-------------- ----
TOTAL INDUSTRIALS........................... 124,084,799 11.1%
-------------- ----
INFORMATION TECHNOLOGY -- (3.5%)
* Descartes Systems Group, Inc. (The)..... 356,870 14,251,359 1.3%
* Kinaxis, Inc............................ 139,674 7,632,704 0.7%
Other Securities........................ 21,999,095 1.9%
-------------- ----
TOTAL INFORMATION TECHNOLOGY................ 43,883,158 3.9%
-------------- ----
MATERIALS -- (24.6%)
Alamos Gold, Inc., Class A.............. 2,957,288 13,730,185 1.2%
* B2Gold Corp............................. 6,133,819 16,665,747 1.5%
* Centerra Gold, Inc...................... 1,682,253 8,563,833 0.8%
* Detour Gold Corp........................ 1,259,316 11,185,982 1.0%
Hudbay Minerals, Inc.................... 1,922,188 12,798,326 1.2%
* IAMGOLD Corp............................ 3,323,246 9,996,776 0.9%
#* Ivanhoe Mines, Ltd., Class A............ 3,744,528 9,111,862 0.8%
Labrador Iron Ore Royalty Corp.......... 384,556 8,898,437 0.8%
# OceanaGold Corp......................... 4,416,629 12,395,704 1.1%
Osisko Gold Royalties, Ltd.............. 956,253 10,806,657 1.0%
Pan American Silver Corp................ 1,525,893 19,431,017 1.7%
* SSR Mining, Inc......................... 826,105 9,508,501 0.9%
# Stella-Jones, Inc....................... 307,602 10,504,435 0.9%
Yamana Gold, Inc........................ 6,834,589 14,998,650 1.3%
Other Securities........................ 142,426,129 12.7%
-------------- ----
TOTAL MATERIALS............................. 311,022,241 27.8%
-------------- ----
REAL ESTATE -- (4.1%)
Colliers International Group, Inc....... 224,919 14,451,763 1.3%
FirstService Corp....................... 170,482 14,835,255 1.3%
# Tricon Capital Group, Inc............... 1,029,132 8,181,127 0.7%
Other Securities........................ 14,909,059 1.4%
-------------- ----
TOTAL REAL ESTATE........................... 52,377,204 4.7%
-------------- ----
UTILITIES -- (6.5%)
Capital Power Corp...................... 724,420 16,330,137 1.5%
Innergex Renewable Energy, Inc.......... 740,781 7,829,706 0.7%
# Northland Power, Inc.................... 513,208 9,124,889 0.8%
Superior Plus Corp...................... 1,170,310 10,203,195 0.9%
TransAlta Corp.......................... 2,047,057 13,813,089 1.2%
# TransAlta Renewables, Inc............... 906,016 9,380,042 0.9%
Other Securities........................ 15,618,049 1.4%
-------------- ----
TOTAL UTILITIES............................. 82,299,107 7.4%
-------------- ----
TOTAL COMMON STOCKS......................... 1,115,552,095 99.8%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................ 356,902 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES................. 1,115,908,997
--------------
277
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (11.8%)
@(S) The DFA Short Term Investment
Fund........................... 12,859,477 $ 148,797,008 13.3%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,501,829,776)................ $1,264,706,005 113.1%
============== =====
Summary of the Series' investments as of April 30, 2019, 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....... $ 26,337,531 -- -- $ 26,337,531
Consumer Discretionary....... 69,848,653 $ 6,761 -- 69,855,414
Consumer Staples............. 56,362,347 -- -- 56,362,347
Energy....................... 216,172,618 650,681 -- 216,823,299
Financials................... 112,116,607 -- -- 112,116,607
Health Care.................. 20,390,388 -- -- 20,390,388
Industrials.................. 124,084,799 -- -- 124,084,799
Information Technology....... 43,883,158 -- -- 43,883,158
Materials.................... 311,014,524 7,717 -- 311,022,241
Real Estate.................. 52,377,204 -- -- 52,377,204
Utilities.................... 82,299,107 -- -- 82,299,107
Rights/Warrants
Energy....................... -- 632 -- 632
Materials.................... -- 356,270 -- 356,270
Securities Lending Collateral... -- 148,797,008 -- 148,797,008
-------------- ------------ -- --------------
TOTAL........................... $1,114,886,936 $149,819,069 -- $1,264,706,005
============== ============ == ==============
See accompanying Notes to Financial Statements.
278
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (95.9%)
BRAZIL -- (6.1%)
Ambev SA, ADR................................ 5,984,451 $ 28,186,764 0.5%
Petroleo Brasileiro SA....................... 2,884,877 22,042,517 0.4%
Vale SA...................................... 3,260,013 41,653,268 0.7%
Vale SA, Sponsored ADR....................... 1,665,739 21,288,138 0.3%
Other Securities............................. 269,661,734 4.3%
-------------- ----
TOTAL BRAZIL..................................... 382,832,421 6.2%
-------------- ----
CHILE -- (1.2%)
Other Securities............................. 74,256,495 1.2%
-------------- ----
CHINA -- (17.5%)
* Alibaba Group Holding, Ltd., Sponsored ADR... 538,538 99,936,497 1.6%
China Construction Bank Corp., Class H....... 48,066,590 42,373,835 0.7%
China Mobile, Ltd., Sponsored ADR............ 902,501 43,022,223 0.7%
China Overseas Land & Investment, Ltd........ 5,578,000 20,898,824 0.3%
CNOOC, Ltd., Sponsored ADR................... 104,426 18,972,116 0.3%
Industrial & Commercial Bank of China, Ltd.,
Class H.................................... 37,297,185 28,053,442 0.5%
Ping An Insurance Group Co. of China, Ltd.,
Class H.................................... 3,690,000 44,666,184 0.7%
Tencent Holdings, Ltd........................ 3,697,300 182,231,202 3.0%
Other Securities............................. 614,155,521 9.9%
-------------- ----
TOTAL CHINA...................................... 1,094,309,844 17.7%
-------------- ----
COLOMBIA -- (0.4%)
Other Securities............................. 26,651,672 0.4%
-------------- ----
CZECH REPUBLIC -- (0.2%)
Other Securities............................. 10,420,989 0.2%
-------------- ----
EGYPT -- (0.1%)
Other Securities............................. 8,248,926 0.1%
-------------- ----
GREECE -- (0.3%)
Other Securities............................. 17,155,055 0.3%
-------------- ----
HUNGARY -- (0.5%)
Other Securities............................. 29,404,664 0.5%
-------------- ----
INDIA -- (13.6%)
HDFC Bank, Ltd............................... 1,383,984 46,006,901 0.8%
Hindustan Unilever, Ltd...................... 992,915 25,013,151 0.4%
Housing Development Finance Corp., Ltd....... 1,308,824 37,558,103 0.6%
Infosys, Ltd................................. 3,610,458 38,758,739 0.6%
Infosys, Ltd., Sponsored ADR................. 1,695,776 18,246,550 0.3%
ITC, Ltd..................................... 4,651,620 20,171,803 0.3%
Reliance Industries, Ltd..................... 3,145,620 63,001,853 1.0%
Tata Consultancy Services, Ltd............... 1,381,009 44,807,519 0.7%
Other Securities............................. 553,244,971 9.0%
-------------- ----
TOTAL INDIA...................................... 846,809,590 13.7%
-------------- ----
279
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
INDONESIA -- (2.7%)
Bank Rakyat Indonesia Persero Tbk PT.... 63,168,800 $ 19,421,570 0.3%
Other Securities........................ 149,073,453 2.4%
------------ ----
TOTAL INDONESIA............................. 168,495,023 2.7%
------------ ----
MALAYSIA -- (2.9%)
Public Bank Bhd......................... 3,656,014 19,903,116 0.3%
Other Securities........................ 159,169,584 2.6%
------------ ----
TOTAL MALAYSIA.............................. 179,072,700 2.9%
------------ ----
MEXICO -- (3.6%)
# America Movil S.A.B. de C.V., Series L.. 48,207,854 35,778,745 0.6%
Grupo Financiero Banorte S.A.B. de C.V.. 2,860,580 18,125,193 0.3%
# Grupo Mexico S.A.B. de C.V., Series B... 6,360,255 18,670,369 0.3%
Wal-Mart de Mexico S.A.B. de C.V........ 7,198,435 21,149,811 0.3%
Other Securities........................ 131,747,322 2.2%
------------ ----
TOTAL MEXICO................................ 225,471,440 3.7%
------------ ----
PERU -- (0.3%)
Other Securities........................ 19,383,304 0.3%
------------ ----
PHILIPPINES -- (1.4%)
Other Securities........................ 89,688,896 1.5%
------------ ----
POLAND -- (1.6%)
Other Securities........................ 98,829,705 1.6%
------------ ----
RUSSIA -- (1.8%)
Sberbank of Russia PJSC, Sponsored ADR.. 1,818,206 26,062,001 0.4%
Other Securities........................ 86,130,618 1.4%
------------ ----
TOTAL RUSSIA................................ 112,192,619 1.8%
------------ ----
SOUTH AFRICA -- (7.2%)
Absa Group, Ltd......................... 2,048,444 23,597,404 0.4%
AngloGold Ashanti, Ltd., Sponsored ADR.. 1,637,102 19,317,804 0.3%
FirstRand, Ltd.......................... 4,821,116 22,943,864 0.4%
# MTN Group, Ltd.......................... 4,040,869 29,276,612 0.5%
Naspers, Ltd., Class N.................. 269,196 69,250,754 1.1%
Sanlam, Ltd............................. 3,708,837 19,859,275 0.3%
Sasol, Ltd., Sponsored ADR.............. 742,393 24,498,969 0.4%
Standard Bank Group, Ltd................ 2,064,368 28,830,652 0.5%
Other Securities........................ 214,950,739 3.4%
------------ ----
TOTAL SOUTH AFRICA.......................... 452,526,073 7.3%
------------ ----
SOUTH KOREA -- (15.5%)
Hana Financial Group, Inc............... 580,821 18,319,521 0.3%
Samsung Electronics Co., Ltd............ 4,912,950 193,163,506 3.1%
Samsung Electronics Co., Ltd., GDR...... 52,509 51,978,277 0.9%
SK Hynix, Inc........................... 821,484 55,590,456 0.9%
Other Securities........................ 646,096,439 10.5%
------------ ----
TOTAL SOUTH KOREA........................... 965,148,199 15.7%
------------ ----
280
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
TAIWAN -- (15.0%)
Hon Hai Precision Industry Co., Ltd..... 9,612,322 $ 27,061,841 0.4%
# Largan Precision Co., Ltd............... 133,860 20,095,388 0.3%
Taiwan Semiconductor Manufacturing Co.,
Ltd................................... 22,792,808 191,369,111 3.1%
Taiwan Semiconductor Manufacturing Co.,
Ltd., Sponsored ADR................... 1,789,741 78,426,451 1.3%
Other Securities........................ 620,320,838 10.1%
-------------- -----
TOTAL TAIWAN.................................. 937,273,629 15.2%
-------------- -----
THAILAND -- (3.2%)
PTT PCL................................. 16,434,000 25,094,988 0.4%
Other Securities........................ 177,327,749 2.9%
-------------- -----
TOTAL THAILAND................................ 202,422,737 3.3%
-------------- -----
TURKEY -- (0.8%)
Other Securities........................ 51,418,506 0.8%
-------------- -----
TOTAL COMMON STOCKS........................... 5,992,012,487 97.1%
-------------- -----
PREFERRED STOCKS -- (1.8%)
BRAZIL -- (1.7%)
Banco Bradesco SA....................... 2,296,111 20,834,875 0.3%
Itau Unibanco Holding SA................ 4,269,308 36,834,228 0.6%
Petroleo Brasileiro SA.................. 2,860,161 19,774,799 0.3%
Other Securities........................ 26,403,911 0.5%
-------------- -----
TOTAL BRAZIL.................................. 103,847,813 1.7%
-------------- -----
CHILE -- (0.0%)
Other Security.......................... 1,413,439 0.0%
-------------- -----
COLOMBIA -- (0.1%)
Other Securities........................ 5,724,032 0.1%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Security.......................... 208,929 0.0%
-------------- -----
TOTAL PREFERRED STOCKS........................ 111,194,213 1.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................ 992,875 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES................... 6,104,199,575
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.3%)
@(S) The DFA Short Term Investment Fund...... 12,258,452 141,842,552 2.3%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,301,030,994)..................... $6,246,042,127 101.2%
============== =====
281
THE EMERGING MARKETS SERIES
CONTINUED
As of April 30, 2019, The Emerging Markets Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R).. 650 06/21/19 $33,804,604 $35,106,500 $1,301,896
S&P 500(R) Emini Index.......... 49 06/21/19 6,853,285 7,223,825 370,540
----------- ----------- ----------
TOTAL FUTURES CONTRACTS......... $40,657,889 $42,330,325 $1,672,436
=========== =========== ==========
Summary of the Series' investments as of April 30, 2019, 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....................... $ 382,832,421 -- -- $ 382,832,421
Chile........................ 74,256,495 -- -- 74,256,495
China........................ 257,305,215 $ 837,004,629 -- 1,094,309,844
Colombia..................... 26,651,672 -- -- 26,651,672
Czech Republic............... -- 10,420,989 -- 10,420,989
Egypt........................ 542,458 7,706,468 -- 8,248,926
Greece....................... -- 17,155,055 -- 17,155,055
Hungary...................... -- 29,404,664 -- 29,404,664
India........................ 36,805,079 810,004,511 -- 846,809,590
Indonesia.................... 5,263,544 163,231,479 -- 168,495,023
Malaysia..................... -- 179,072,700 -- 179,072,700
Mexico....................... 225,471,440 -- -- 225,471,440
Peru......................... 19,383,304 -- -- 19,383,304
Philippines.................. 2,885,016 86,803,880 -- 89,688,896
Poland....................... -- 98,829,705 -- 98,829,705
Russia....................... 17,106,339 95,086,280 -- 112,192,619
South Africa................. 59,423,775 393,102,298 -- 452,526,073
South Korea.................. 30,462,600 934,685,599 -- 965,148,199
Taiwan....................... 88,812,700 848,460,929 -- 937,273,629
Thailand..................... 202,422,737 -- -- 202,422,737
Turkey....................... 385,434 51,033,072 -- 51,418,506
Preferred Stocks
Brazil....................... 103,847,813 -- -- 103,847,813
Chile........................ 1,413,439 -- -- 1,413,439
Colombia..................... 5,724,032 -- -- 5,724,032
South Korea.................. -- 208,929 -- 208,929
Rights/Warrants
India........................ -- 821,388 -- 821,388
South Korea.................. -- 171,487 -- 171,487
Securities Lending Collateral... -- 141,842,552 -- 141,842,552
Futures Contracts**............. 1,672,436 -- -- 1,672,436
-------------- -------------- -- --------------
TOTAL........................... $1,542,667,949 $4,705,046,614 -- $6,247,714,563
============== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
282
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (94.7%)
BRAZIL -- (7.7%)
* Azul SA, ADR..................................................... 461,836 $ 11,989,225 0.2%
BR Malls Participacoes SA........................................ 8,819,000 27,664,099 0.4%
Cia de Saneamento de Minas Gerais-COPASA......................... 700,092 12,319,591 0.2%
Cia de Saneamento do Parana...................................... 845,507 16,905,396 0.2%
* Cia Siderurgica Nacional SA...................................... 5,378,927 19,945,831 0.3%
CVC Brasil Operadora e Agencia de Viagens SA..................... 1,279,587 18,532,490 0.3%
Cyrela Brazil Realty SA Empreendimentos e Participacoes.......... 3,078,900 13,961,093 0.2%
EDP - Energias do Brasil SA...................................... 3,355,514 14,984,328 0.2%
Equatorial Energia SA............................................ 1,832,058 38,359,634 0.6%
Estacio Participacoes SA......................................... 3,056,890 21,189,531 0.3%
MRV Engenharia e Participacoes SA................................ 3,320,154 12,286,204 0.2%
Sul America SA................................................... 2,954,999 23,512,786 0.3%
Transmissora Alianca de Energia Eletrica SA...................... 3,505,351 23,466,748 0.3%
Other Securities................................................. 300,316,724 4.2%
-------------- ----
TOTAL BRAZIL......................................................... 555,433,680 7.9%
-------------- ----
CHILE -- (1.7%)
Parque Arauco SA................................................. 5,935,365 16,387,320 0.2%
Other Securities................................................. 103,000,636 1.5%
-------------- ----
TOTAL CHILE.......................................................... 119,387,956 1.7%
-------------- ----
CHINA -- (17.1%)
3SBio, Inc....................................................... 6,733,500 12,449,665 0.2%
# Alibaba Pictures Group, Ltd...................................... 59,170,000 13,299,236 0.2%
Far East Horizon, Ltd............................................ 11,914,000 13,243,295 0.2%
Kingboard Holdings, Ltd.......................................... 4,077,921 13,295,945 0.2%
# Kingdee International Software Group Co., Ltd.................... 15,099,200 18,533,768 0.3%
Kingsoft Corp., Ltd.............................................. 4,644,000 11,895,212 0.2%
KWG Group Holdings, Ltd.......................................... 10,440,950 12,245,803 0.2%
* Li Ning Co., Ltd................................................. 13,365,500 24,281,313 0.4%
Shenzhen International Holdings, Ltd............................. 7,648,867 16,533,846 0.2%
* Vipshop Holdings, Ltd., ADR...................................... 1,952,438 16,810,491 0.3%
* YY, Inc., ADR.................................................... 213,182 18,037,329 0.3%
Other Securities................................................. 1,057,133,547 14.8%
-------------- ----
TOTAL CHINA.......................................................... 1,227,759,450 17.5%
-------------- ----
COLOMBIA -- (0.3%)
Other Securities................................................. 19,554,766 0.3%
-------------- ----
GREECE -- (0.3%)
Other Securities................................................. 23,674,446 0.3%
-------------- ----
HONG KONG -- (0.0%)
Other Securities................................................. 2,151,950 0.0%
-------------- ----
HUNGARY -- (0.2%)
Other Securities................................................. 12,103,469 0.2%
-------------- ----
283
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
INDIA -- (10.6%)
Other Securities................................................. $ 760,698,080 10.8%
-------------- ----
INDONESIA -- (2.9%)
Other Securities................................................. 211,855,564 3.0%
-------------- ----
MALAYSIA -- (3.2%)
Other Securities................................................. 230,579,192 3.3%
-------------- ----
MEXICO -- (3.0%)
# Alsea S.A.B. de C.V.............................................. 5,525,277 12,340,084 0.2%
# Grupo Aeroportuario del Centro Norte S.A.B. de C.V............... 3,537,370 21,784,650 0.3%
# Megacable Holdings S.A.B. de C.V................................. 2,879,356 12,651,837 0.2%
# Regional S.A.B. de C.V........................................... 2,221,228 12,021,363 0.2%
Other Securities................................................. 158,936,048 2.2%
-------------- ----
TOTAL MEXICO......................................................... 217,733,982 3.1%
-------------- ----
PHILIPPINES -- (1.3%)
Other Securities................................................. 96,687,685 1.4%
-------------- ----
POLAND -- (1.2%)
Other Securities................................................. 88,316,051 1.3%
-------------- ----
RUSSIA -- (0.1%)
Other Securities................................................. 4,973,740 0.1%
-------------- ----
SINGAPORE -- (0.0%)
Other Security................................................... 91,081 0.0%
-------------- ----
SOUTH AFRICA -- (7.0%)
African Rainbow Minerals, Ltd.................................... 1,208,962 14,401,024 0.2%
# AVI, Ltd......................................................... 3,729,371 23,968,792 0.4%
Barloworld, Ltd.................................................. 2,368,295 21,154,744 0.3%
Clicks Group, Ltd................................................ 1,797,110 24,595,487 0.4%
# Foschini Group, Ltd. (The)....................................... 1,192,037 15,445,212 0.2%
#* Impala Platinum Holdings, Ltd.................................... 5,690,288 22,884,594 0.3%
Life Healthcare Group Holdings, Ltd.............................. 7,682,011 14,011,840 0.2%
* Northam Platinum, Ltd............................................ 3,302,942 13,769,003 0.2%
# Pick n Pay Stores, Ltd........................................... 4,055,742 19,691,131 0.3%
SPAR Group, Ltd. (The)........................................... 2,053,140 27,876,462 0.4%
# Telkom SA SOC, Ltd............................................... 2,845,745 16,937,175 0.3%
Truworths International, Ltd..................................... 4,396,568 23,311,535 0.3%
Other Securities................................................. 262,142,433 3.6%
-------------- ----
TOTAL SOUTH AFRICA................................................... 500,189,432 7.1%
-------------- ----
SOUTH KOREA -- (16.1%)
Other Securities................................................. 1,160,385,284 16.5%
-------------- ----
TAIWAN -- (17.4%)
# Walsin Technology Corp........................................... 2,159,793 13,354,593 0.2%
Other Securities................................................. 1,235,459,922 17.6%
-------------- ----
TOTAL TAIWAN......................................................... 1,248,814,515 17.8%
-------------- ----
THAILAND -- (3.6%)
Other Securities................................................. 258,656,034 3.7%
-------------- ----
284
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
TURKEY -- (1.0%)
Other Securities........ $ 71,761,026 1.0%
-------------- -----
TOTAL COMMON STOCKS........... 6,810,807,383 97.0%
-------------- -----
PREFERRED STOCKS -- (1.8%)
BRAZIL -- (1.8%)
Banco do Estado do Rio
Grande do Sul SA...... 1,957,792 12,192,824 0.2%
Cia Energetica de Minas
Gerais................ 5,786,382 21,751,873 0.3%
Cia Energetica de Sao
Paulo................. 2,043,355 13,455,262 0.2%
Other Securities........ 77,584,553 1.1%
-------------- -----
TOTAL BRAZIL.................. 124,984,512 1.8%
-------------- -----
CHILE -- (0.0%)
Other Security.......... 1,574,770 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities........ 1,921,495 0.0%
-------------- -----
TOTAL PREFERRED STOCKS........ 128,480,777 1.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........ 528,546 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES... 6,939,816,706
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (3.5%)
@(S) The DFA Short Term
Investment Fund....... 21,799,826 252,245,784 3.6%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $6,909,001,073)....... $7,192,062,490 102.4%
============== =====
As of April 30, 2019, The Emerging Markets Small Cap Series had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R).. 650 06/21/19 $33,805,254 $35,106,500 $1,301,246
S&P 500(R) Emini Index.......... 88 06/21/19 12,493,609 12,973,400 479,791
----------- ----------- ----------
TOTAL FUTURES CONTRACTS......... $46,298,863 $48,079,900 $1,781,037
=========== =========== ==========
Summary of the Series' investments as of April 30, 2019, 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............................. $555,433,680 -- -- $ 555,433,680
Chile.............................. 119,387,956 -- -- 119,387,956
China.............................. 93,322,215 $1,134,437,235 -- 1,227,759,450
285
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Colombia..................... $ 19,554,766 -- -- $ 19,554,766
Greece....................... -- $ 23,674,446 -- 23,674,446
Hong Kong.................... 34,220 2,117,730 -- 2,151,950
Hungary...................... -- 12,103,469 -- 12,103,469
India........................ 5,338,776 755,359,304 -- 760,698,080
Indonesia.................... 493,122 211,362,442 -- 211,855,564
Malaysia..................... -- 230,579,192 -- 230,579,192
Mexico....................... 217,713,068 20,914 -- 217,733,982
Philippines.................. -- 96,687,685 -- 96,687,685
Poland....................... -- 88,316,051 -- 88,316,051
Russia....................... 4,973,740 -- -- 4,973,740
Singapore.................... -- 91,081 -- 91,081
South Africa................. 12,586,386 487,603,046 -- 500,189,432
South Korea.................. 48,988 1,160,336,296 -- 1,160,385,284
Taiwan....................... 88,400 1,248,726,115 -- 1,248,814,515
Thailand..................... 258,351,562 304,472 -- 258,656,034
Turkey....................... -- 71,761,026 -- 71,761,026
Preferred Stocks
Brazil....................... 124,984,512 -- -- 124,984,512
Chile........................ 1,574,770 -- -- 1,574,770
Colombia..................... 1,921,495 -- -- 1,921,495
Rights/Warrants
Brazil....................... -- 17,753 -- 17,753
Hong Kong.................... -- 3,496 -- 3,496
Indonesia.................... -- 245,564 -- 245,564
South Korea.................. -- 261,733 -- 261,733
Securities Lending Collateral... -- 252,245,784 -- 252,245,784
Futures Contracts**............. 1,781,037 -- -- 1,781,037
-------------- -------------- -- --------------
TOTAL........................... $1,417,588,693 $5,776,254,834 -- $7,193,843,527
============== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
286
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE JAPANESE THE ASIA
THE U.S. LARGE THE DFA SMALL PACIFIC SMALL
CAP VALUE INTERNATIONAL COMPANY COMPANY
SERIES* VALUE SERIES* SERIES* SERIES*
-------------- ------------- ------------ -------------
ASSETS:
Investments at Value (including
$935,183, $622,830, $212,620 and
$254,133 of securities on loan,
respectively)..................... $30,014,048 $12,409,082 $3,473,972 $1,694,649
Temporary Cash Investments at
Value & Cost...................... 276,183 -- -- --
Collateral from Securities on Loan
Invested in Affiliate at Value
(including cost of $703,934,
$654,878, $119,117 and $90,052)... 703,998 654,913 119,130 90,060
Segregated Cash for Futures
Contracts......................... 9,103 4,759 -- --
Foreign Currencies at Value......... 7 33,211 254 3,446
Cash................................ -- 123,105 3,013 903
Receivables:
Investment Securities Sold....... -- 22,124 3,669 7,724
Dividends and Interest........... 39,398 94,005 38,084 1,264
Securities Lending Income........ 134 708 661 512
Futures Margin Variation......... 405 203 -- --
Unrealized Gain on Foreign
Currency Contracts................ -- 14 -- --
Prepaid Expenses and Other Assets... 39 16 4 2
----------- ----------- ---------- ----------
Total Assets................. 31,043,315 13,342,140 3,638,787 1,798,560
----------- ----------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned. 703,931 654,900 119,158 90,044
Investment Securities Purchased.. 21,862 44,204 -- 19
Due to Advisor................... 2,469 2,076 289 141
Unrealized Loss on Foreign
Currency Contracts................ -- 1 -- --
Accrued Expenses and Other
Liabilities....................... 2,415 1,308 510 254
----------- ----------- ---------- ----------
Total Liabilities............ 730,677 702,489 119,957 90,458
----------- ----------- ---------- ----------
NET ASSETS.......................... $30,312,638 $12,639,651 $3,518,830 $1,708,102
=========== =========== ========== ==========
Investments at Cost................. $22,181,523 $11,845,013 $3,191,970 $1,669,870
=========== =========== ========== ==========
Foreign Currencies at Cost.......... $ 8 $ 33,305 $ 254 $ 3,445
=========== =========== ========== ==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
287
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE
THE UNITED CONTINENTAL THE CANADIAN
KINGDOM SMALL SMALL SMALL THE EMERGING THE EMERGING
COMPANY COMPANY COMPANY MARKETS MARKETS SMALL
SERIES* SERIES* SERIES* SERIES* CAP SERIES*
------------- ----------- ------------ ------------ -------------
ASSETS:
Investments at
Value (including
$17,774,
$573,632,
$193,496,
$224,349 and
$698,381 of
securities on
loan,
respectively).......... $2,359,871 $5,580,545 $1,115,909 $6,104,199 $6,939,817
Collateral from
Securities on
Loan Invested in
Affiliate at
Value (including
cost of $18,936,
$497,869,
$148,781,
$141,826 and
$252,219).............. 18,940 497,916 148,797 141,843 252,246
Segregated Cash for
Futures Contracts...... -- -- -- 1,999 2,244
Foreign Currencies
at Value............... 71 2,223 553 31,282 49,446
Cash..................... 10,718 -- 757 32,057 25,847
Receivables:
Investment
Securities Sold..... 3,075 4,719 59 4,603 5,277
Dividends,
Interest and
Tax Reclaims........ 16,486 18,287 916 8,997 11,611
Securities
Lending Income...... 33 1,515 355 458 3,326
Unrealized Gain on
Foreign Currency
Contracts.............. -- -- -- -- 1
Prepaid Expenses
and Other Assets....... 3 5 1 7 8
---------- ---------- ---------- ---------- ----------
Total Assets...... 2,409,197 6,105,210 1,267,347 6,325,445 7,289,823
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of
Securities
Loaned.............. 18,940 497,927 148,774 141,834 252,189
Investment
Securities
Purchased........... -- -- -- 7,138 8,906
Due to Advisor........ 196 458 94 511 1,168
Line of Credit........ -- 16,411 -- -- --
Futures Margin
Variation........... -- -- -- 35 24
Unrealized Loss on
Foreign Currency
Contracts.............. -- -- -- -- 2
Deferred Taxes
Payable................ -- -- -- 5,698 --
Accrued Expenses
and Other
Liabilities............ 224 646 124 959 1,295
---------- ---------- ---------- ---------- ----------
Total
Liabilities..... 19,360 515,442 148,992 156,175 263,584
---------- ---------- ---------- ---------- ----------
NET ASSETS............... $2,389,837 $5,589,768 $1,118,355 $6,169,270 $7,026,239
========== ========== ========== ========== ==========
Investments at Cost...... $2,199,828 $4,904,878 $1,353,048 $4,159,205 $6,656,782
========== ========== ========== ========== ==========
Foreign Currencies
at Cost................ $ 71 $ 2,222 $ 551 $ 31,462 $ 49,584
========== ========== ========== ========== ==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
288
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE JAPANESE THE ASIA
THE U.S. LARGE THE DFA SMALL PACIFIC SMALL
CAP VALUE INTERNATIONAL COMPANY COMPANY
SERIES# VALUE SERIES# SERIES# SERIES#
-------------- ------------- ------------ -------------
INVESTMENT INCOME
Dividends (Net of
Foreign Taxes
Withheld of $0,
$21,757, $4,868 and
$395, respectively).......... $ 370,467 $219,846 $ 43,808 $ 27,716
Income from
Securities Lending........... 925 3,108 5,323 3,214
---------- -------- --------- --------
Total
Investment
Income................ 371,392 222,954 49,131 30,930
---------- -------- --------- --------
EXPENSES
Investment Management
Fees......................... 14,269 11,950 1,773 843
Accounting & Transfer
Agent Fees................... 597 259 83 46
Custodian Fees................. 146 486 298 201
Shareholders' Reports.......... -- 3 5 5
Directors'/Trustees'
Fees & Expenses.............. 109 46 14 7
Professional Fees.............. 190 92 29 13
Other.......................... 297 173 60 26
---------- -------- --------- --------
Total Expenses.......... 15,608 13,009 2,262 1,141
---------- -------- --------- --------
Fees Paid Indirectly
(Note C)..................... -- (275) (16) (8)
---------- -------- --------- --------
Net Expenses................... 15,608 12,734 2,246 1,133
---------- -------- --------- --------
NET INVESTMENT INCOME
(LOSS)....................... 355,784 210,220 46,885 29,797
---------- -------- --------- --------
REALIZED AND UNREALIZED
GAIN (LOSS)
Net Realized Gain
(Loss) on:
Investment
Securities
Sold**................... 496,183 (24,686) 21,832 6,420
Affiliated
Investment
Companies
Shares Sold.............. 32 6 -- 3
Futures.................... (15,917) (4,510) -- --
Foreign Currency
Transactions............. -- (192) (58) (138)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment
Securities and
Foreign Currency......... 399,563 345,308 (129,802) 119,802
Affiliated
Investment
Companies Shares......... 41 (7) 12 7
Futures.................... 26,331 13,309 -- --
Translation of
Foreign
Currency-Denominated
Amounts.................. -- (395) (331) 38
---------- -------- --------- --------
NET REALIZED AND
UNREALIZED GAIN
(LOSS)....................... 906,233 328,833 (108,347) 126,132
---------- -------- --------- --------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS...................... $1,262,017 $539,053 $ (61,462) $155,929
========== ======== ========= ========
--------
** 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.
289
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE
THE UNITED CONTINENTAL THE CANADIAN THE EMERGING
KINGDOM SMALL SMALL SMALL THE EMERGING MARKETS
COMPANY COMPANY COMPANY MARKETS SMALL CAP
SERIES# SERIES# SERIES# SERIES# SERIES#
------------- ----------- ------------ ------------ ------------
INVESTMENT INCOME
Dividends (Net of Foreign
Taxes Withheld of $46,
$8,850, $1,978, $6,235
and $5,900, respectively)....... $ 36,531 $ 53,581 $ 11,352 $ 51,504 $ 49,854
Income from Securities
Lending......................... 197 7,327 2,441 2,229 19,963
-------- -------- -------- -------- --------
Total Investment
Income................... 36,728 60,908 13,793 53,733 69,817
-------- -------- -------- -------- --------
EXPENSES
Investment Management Fees........ 1,106 2,638 545 2,892 6,681
Accounting & Transfer
Agent Fees...................... 55 120 31 131 149
Custodian Fees.................... 60 420 41 999 1,295
Shareholders' Reports............. 5 5 5 5 5
Directors'/Trustees'
Fees & Expenses................. 8 20 5 22 26
Professional Fees................. 17 42 8 57 83
Other............................. 32 87 15 81 103
-------- -------- -------- -------- --------
Total Expenses............. 1,283 3,332 650 4,187 8,342
-------- -------- -------- -------- --------
Fees Paid Indirectly
(Note C)........................ (28) (58) (15) (212) (85)
-------- -------- -------- -------- --------
Net Expenses...................... 1,255 3,274 635 3,975 8,257
-------- -------- -------- -------- --------
NET INVESTMENT INCOME
(LOSS).......................... 35,473 57,634 13,158 49,758 61,560
-------- -------- -------- -------- --------
REALIZED AND UNREALIZED GAIN
(LOSS)
Net Realized Gain (Loss)
on:
Investment Securities
Sold**...................... 62,689 228,084 (66,264) (12,998) 74,965
Affiliated Investment
Companies Shares Sold....... 2 3 -- 6 3
Futures....................... -- -- -- 2,085 (1,378)
Foreign Currency
Transactions................ (106) (38) 153 259 (533)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign Currency........ 113,785 95,642 41,971 624,082 765,084
Affiliated Investment
Companies Shares............ 2 34 12 6 22
Futures....................... -- -- -- 4,378 4,880
Translation of Foreign
Currency-Denominated
Amounts..................... 179 (27) 7 (12) 32
-------- -------- -------- -------- --------
NET REALIZED AND
UNREALIZED GAIN (LOSS).......... 176,551 323,698 (24,121) 617,806 843,075
-------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS......................... $212,024 $381,332 $(10,963) $667,564 $904,635
======== ======== ======== ======== ========
--------
** 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.
290
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL THE JAPANESE SMALL
SERIES VALUE SERIES COMPANY SERIES
------------------------ ------------------------ ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ----------- ----------- ----------- ----------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 355,784 $ 633,952 $ 210,220 $ 420,496 $ 46,885 $ 80,378
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /....... 496,183 1,506,250 (24,686) 410,722 21,832 229,342
Affiliated Investment Companies
Shares Sold........................... 32 (48) 6 (107) -- (137)
Futures................................. (15,917) 32,885 (4,510) 13,338 -- --
Foreign Currency Transactions........... -- -- (192) (5,911) (58) (2,149)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency...................... 399,563 (1,356,683) 345,308 (1,897,300) (129,802) (628,895)
Affiliated Investment Companies
Shares................................ 41 (15) (7) 55 12 71
Futures................................. 26,331 (21,778) 13,309 (9,675) -- --
Translation of Foreign Currency-
Denominated Amounts................... -- -- (395) (613) (331) 280
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 1,262,017 794,563 539,053 (1,068,995) (61,462) (321,110)
----------- ----------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions............................... 2,611,532 2,333,386 438,560 1,051,133 52,591 364,251
Withdrawals................................. (2,803,706) (1,561,700) (491,302) (560,948) (306,396) (198,093)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... (192,174) 771,686 (52,742) 490,185 (253,805) 166,158
----------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 1,069,843 1,566,249 486,311 (578,810) (315,267) (154,952)
NET ASSETS
Beginning of Period......................... 29,242,795 27,676,546 12,153,340 12,732,150 3,834,097 3,989,049
----------- ----------- ----------- ----------- ---------- ----------
End of Period............................... $30,312,638 $29,242,795 $12,639,651 $12,153,340 $3,518,830 $3,834,097
=========== =========== =========== =========== ========== ==========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
291
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE ASIA PACIFIC SMALL THE UNITED KINGDOM SMALL THE CONTINENTAL SMALL
COMPANY SERIES COMPANY SERIES COMPANY SERIES
---------------------- ---------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ---------- ----------- ---------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 29,797 $ 76,219 $ 35,473 $ 76,805 $ 57,634 $ 152,247
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /....... 6,420 (55,523) 62,689 85,120 228,084 319,242
Affiliated Investment Companies
Shares Sold........................... 3 (60) 2 (9) 3 (101)
Futures................................. -- (134) -- -- -- 161
Foreign Currency Transactions........... (138) (898) (106) (1,153) (38) (2,498)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency...................... 119,802 (175,750) 113,785 (373,044) 95,642 (1,131,028)
Affiliated Investment Companies
Shares................................ 7 42 2 -- 34 78
Translation of Foreign Currency-
Denominated Amounts................... 38 (7) 179 (181) (27) (371)
---------- ---------- ---------- ---------- ---------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 155,929 (156,111) 212,024 (212,462) 381,332 (662,270)
---------- ---------- ---------- ---------- ---------- -----------
Transactions in Interest:
Contributions............................... 22,840 199,024 83,684 120,516 201,212 480,253
Withdrawals................................. (201,038) (128,247) (94,696) (49,141) (415,036) (146,782)
---------- ---------- ---------- ---------- ---------- -----------
Net Increase (Decrease) from
Transactions in Interest........... (178,198) 70,777 (11,012) 71,375 (213,824) 333,471
---------- ---------- ---------- ---------- ---------- -----------
Total Increase (Decrease) in
Net Assets......................... (22,269) (85,334) 201,012 (141,087) 167,508 (328,799)
NET ASSETS
Beginning of Period......................... 1,730,371 1,815,705 2,188,825 2,329,912 5,422,260 5,751,059
---------- ---------- ---------- ---------- ---------- -----------
End of Period............................... $1,708,102 $1,730,371 $2,389,837 $2,188,825 $5,589,768 $ 5,422,260
========== ========== ========== ========== ========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
292
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE CANADIAN SMALL THE EMERGING MARKETS THE EMERGING MARKETS
COMPANY SERIES SERIES SMALL CAP SERIES
---------------------- ----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, APR 30, OCT 31, APR 30, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ---------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 13,158 $ 25,307 $ 49,758 $ 149,893 $ 61,560 $ 206,734
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /....... (66,264) 27,505 (12,998) 83,224 74,965 190,607
Affiliated Investment Companies
Shares Sold........................... -- (19) 6 (12) 3 3
Futures................................. -- -- 2,085 (2,079) (1,378) (241)
Foreign Currency Transactions........... 153 120 259 (1,530) (533) (5,175)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency...................... 41,971 (185,376) 624,082 (948,414) 765,084 (1,594,871)
Affiliated Investment Companies
Shares................................ 12 (3) 6 7 22 (30)
Futures................................. -- -- 4,378 (3,369) 4,880 (4,231)
Translation of Foreign Currency-
Denominated Amounts................... 7 6 (12) (32) 32 (34)
---------- ---------- ---------- ----------- ---------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... (10,963) (132,460) 667,564 (722,312) 904,635 (1,207,238)
---------- ---------- ---------- ----------- ---------- -----------
Transactions in Interest:
Contributions............................... 98,792 136,490 614,886 667,220 185,270 667,652
Withdrawals................................. (116,285) (47,441) (582,829) (1,198,466) (369,968) (407,569)
---------- ---------- ---------- ----------- ---------- -----------
Net Increase (Decrease) from
Transactions in Interest........... (17,493) 89,049 32,057 (531,246) (184,698) 260,083
---------- ---------- ---------- ----------- ---------- -----------
Total Increase (Decrease) in
Net Assets......................... (28,456) (43,411) 699,621 (1,253,558) 719,937 (947,155)
NET ASSETS
Beginning of Period......................... 1,146,811 1,190,222 5,469,649 6,723,207 6,306,302 7,253,457
---------- ---------- ---------- ----------- ---------- -----------
End of Period............................... $1,118,355 $1,146,811 $6,169,270 $ 5,469,649 $7,026,239 $ 6,306,302
========== ========== ========== =========== ========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
293
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE CAP VALUE SERIES
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Total Return................................. 4.44%(B) 2.95% 24.31% 4.75% 1.32% 15.67%
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands)........ $30,312,638 $29,242,795 $27,676,546 $20,916,568 $19,094,057 $18,376,682
Ratio of Expenses to Average Net Assets...... 0.11%(C) 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor)...................... 0.11%(C) 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average
Net Assets................................. 2.49%(C) 2.14% 2.19% 2.39% 2.20% 1.90%
Portfolio Turnover Rate...................... 5%(B) 13% 15% 15% 16% 15%
----------- ----------- ----------- ----------- ----------- -----------
THE DFA INTERNATIONAL VALUE SERIES
-------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ---------- ---------- ----------
(UNAUDITED)
Total Return................................. 4.48%(B) (8.10%) 26.53% (0.10%) (5.35%) (0.72%)
----------- ----------- ----------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........ $12,639,651 $12,153,340 $12,732,150 $9,729,540 $9,227,905 $9,343,666
Ratio of Expenses to Average Net Assets...... 0.22%(C) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor)...................... 0.22%(C) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average
Net Assets................................. 3.52%(C) 3.21% 3.33% 3.72% 3.31% 4.50%
Portfolio Turnover Rate...................... 9%(B) 20% 17% 17% 21% 17%
----------- ----------- ----------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
294
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE JAPANESE SMALL COMPANY SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return................................. (1.42%)(B) (7.46%) 27.10% 14.53% 9.04% 2.46%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........ $3,518,830 $3,834,097 $3,989,049 $3,132,594 $2,631,688 $2,505,409
Ratio of Expenses to Average Net Assets...... 0.13%(C) 0.12% 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.13%(C) 0.12% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average
Net Assets................................. 2.64%(C) 1.90% 1.90% 1.99% 1.69% 1.71%
Portfolio Turnover Rate...................... 6%(B) 17% 13% 10% 6% 9%
---------- ---------- ---------- ---------- ---------- ----------
THE ASIA PACIFIC SMALL COMPANY SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return................................. 9.76%(B) (8.14%) 16.21% 16.69% (11.83%) (3.46%)
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........ $1,708,102 $1,730,371 $1,815,705 $1,555,736 $1,228,274 $1,453,786
Ratio of Expenses to Average Net Assets...... 0.14%(C) 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.14%(C) 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average
Net Assets................................. 3.53%(C) 3.96% 3.82% 4.00% 4.17% 3.96%
Portfolio Turnover Rate...................... 5%(B) 18% 14% 10% 7% 7%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
295
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return................................. 9.54%(B) (8.90%) 29.87% (15.82%) 9.95% 1.22%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........ $2,389,837 $2,188,825 $2,329,912 $1,683,465 $2,084,113 $1,995,898
Ratio of Expenses to Average Net Assets...... 0.12%(C) 0.11% 0.12% 0.12% 0.11% 0.11%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.12%(C) 0.11% 0.12% 0.12% 0.11% 0.11%
Ratio of Net Investment Income to Average
Net Assets................................. 3.21%(C) 3.23% 3.40% 4.36% 3.44% 2.98%
Portfolio Turnover Rate...................... 9%(B) 14% 9% 15% 10% 8%
---------- ---------- ---------- ---------- ---------- ----------
THE CONTINENTAL SMALL COMPANY SERIES
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return................................. 7.30%(B) (10.78%) 34.27% 6.10% 9.81% (2.25%)
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........ $5,589,768 $5,422,260 $5,751,059 $4,147,925 $3,653,743 $3,152,277
Ratio of Expenses to Average Net Assets...... 0.13%(C) 0.12% 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.13%(C) 0.12% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average
Net Assets................................. 2.18%(C) 2.51% 2.33% 2.49% 2.44% 2.40%
Portfolio Turnover Rate...................... 10%(B) 15% 13% 9% 14% 13%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
296
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE CANADIAN SMALL COMPANY SERIES
----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- -------- -------- --------
(UNAUDITED)
Total Return................................. (0.60%)(B) (10.44%) 12.10% 20.77% (25.00%) (3.83%)
---------- ---------- ---------- -------- -------- --------
Net Assets, End of Period (thousands)........ $1,118,355 $1,146,811 $1,190,222 $933,264 $623,132 $849,429
Ratio of Expenses to Average Net Assets...... 0.12%(C) 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.12%(C) 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average
Net Assets................................. 2.41%(C) 2.11% 2.14% 2.52% 2.73% 2.42%
Portfolio Turnover Rate...................... 10%(B) 14% 22% 8% 18% 5%
---------- ---------- ---------- -------- -------- --------
THE EMERGING MARKETS SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return................................. 12.17%(B) (11.83%) 25.26% 11.44% (14.86%) 1.74%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)........ $6,169,270 $5,469,649 $6,723,207 $4,997,731 $4,403,555 $4,185,451
Ratio of Expenses to Average Net Assets...... 0.14%(C) 0.14% 0.15% 0.15% 0.16% 0.15%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.14%(C) 0.14% 0.15% 0.15% 0.16% 0.15%
Ratio of Net Investment Income to Average
Net Assets................................. 1.72%(C) 2.40% 2.23% 2.45% 2.39% 2.51%
Portfolio Turnover Rate...................... 3%(B) 12% 8% 5% 9% 5%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
297
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE EMERGING MARKETS SMALL CAP SERIES
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Total Return.................................. 14.68%(B) (16.06%) 21.55% 14.45% (9.42%) 5.60%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $7,026,239 $6,306,302 $7,253,457 $5,515,647 $4,898,307 $4,921,438
Ratio of Expenses to Average Net Assets....... 0.25%(C) 0.24% 0.27% 0.26% 0.26% 0.26%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............ 0.25%(C) 0.24% 0.27% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to Average Net
Assets...................................... 1.84%(C) 2.77% 2.78% 2.89% 2.62% 2.48%
Portfolio Turnover Rate....................... 6%(B) 12% 15% 18% 18% 9%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
298
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940, The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports. The Series are investment
companies, and accordingly, follow the accounting and reporting guidance under
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
Portfolio and the International Equity Portfolios value the securities within
the range of the most recent quoted bid and ask prices. Price information on
listed securities is taken from the exchange where the security is primarily
traded. Generally, securities issued by open-end management investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
299
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Domestic Equity Portfolio and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair-value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of Trustees of
the International Equity Portfolios has determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Equity Portfolios utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). When an
International Equity Portfolio uses fair value pricing, the values assigned to
the International Equity Portfolio's foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The 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. To facilitate the translation the Series enter
into foreign currency contracts. A foreign currency contract is a spot
agreement between two parties to buy and sell currencies at current market
exchange rates, for settlement generally within two business days. 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.
300
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 April 30, 2019, 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 and 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 six months ended April 30, 2019, investment
management fees were accrued daily and paid monthly to the Advisor based on the
following effective annual rates of average daily net assets:
301
The U.S. Large Cap Value Series.............. 0.10%
The DFA International Value Series........... 0.20%
The Japanese Small Company Series............ 0.10%
The Asia Pacific Small Company Series........ 0.10%
The United Kingdom Small Company Series...... 0.10%
The Continental Small Company Series......... 0.10%
The Canadian Small Company Series............ 0.10%
The Emerging Markets Series.................. 0.10%
The Emerging Markets Small Cap Series........ 0.20%
EARNED INCOME CREDIT:
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 six months ended April 30, 2019, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series........... $275
The Japanese Small Company Series............ 16
The Asia Pacific Small Company Series........ 8
The United Kingdom Small Company Series...... 28
The Continental Small Company Series......... 58
The Canadian Small Company Series............ 15
The Emerging Markets Series.................. 212
The Emerging Markets Small Cap Series........ 85
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the six months ended April 30, 2019, the total related amounts paid by the
Trust to the CCO were $41 (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 April 30, 2019, 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.............. $685
The DFA International Value Series........... 405
The Japanese Small Company Series............ 102
The Asia Pacific Small Company Series........ 52
The United Kingdom Small Company Series...... 66
The Continental Small Company Series......... 134
The Canadian Small Company Series............ 32
The Emerging Markets Series.................. 167
The Emerging Markets Small Cap Series........ 151
302
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2019, the Series' transactions related to
investment securities, other than short-term securities, in-kind redemptions
and U.S. government securities (amounts in thousands), were as follows:
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series.............. $2,022,253 $1,421,302
The DFA International Value Series........... $1,203,760 $1,083,587
The Japanese Small Company Series............ $ 213,873 $ 433,194
The Asia Pacific Small Company Series........ $ 86,688 $ 238,548
The United Kingdom Small Company Series...... $ 240,171 $ 198,108
The Continental Small Company Series......... $ 549,119 $ 676,764
The Canadian Small Company Series............ $ 109,741 $ 107,367
The Emerging Markets Series.................. $ 288,627 $ 191,080
The Emerging Markets Small Cap Series........ $ 392,426 $ 521,503
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
The amounts presented below may differ from the respective amounts presented
in the corresponding Schedule of Investments/Summary Schedule of Portfolio
Holdings, Statement of Assets and Liabilities or Statement of Operations due to
rounding.
NET
REALIZED CHANGE IN SHARES
BALANCE AT GAIN/ UNREALIZED BALANCE AT AS OF
OCTOBER 31, PURCHASES PROCEEDS (LOSS) APPRECIATION/ APRIL 30, APRIL 30, DIVIDEND CAPITAL GAIN
2018 AT COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- ---------- ---------- -------- ------------- ---------- --------- -------- -------------
THE U.S. LARGE
CAP VALUE
SERIES
The DFA Short
Term
Investment
Fund......... $516,726 $2,716,366 $2,529,167 $32 $41 $703,998 60,842 $7,843 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL.......... $516,726 $2,716,366 $2,529,167 $32 $41 $703,998 60,842 $7,843 --
======== ========== ========== === === ======== ====== ====== ==
THE DFA
INTERNATIONAL
VALUE SERIES
The DFA Short
Term
Investment
Fund......... $488,072 $2,844,181 $2,677,339 $ 6 $(7) $654,913 56,600 $6,159 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL.......... $488,072 $2,844,181 $2,677,339 $ 6 $(7) $654,913 56,600 $6,159 --
======== ========== ========== === === ======== ====== ====== ==
THE JAPANESE
SMALL
COMPANY
SERIES
The DFA Short
Term
Investment
Fund......... $218,283 $ 322,356 $ 421,521 -- $12 $119,130 10,296 $2,152 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL.......... $218,283 $ 322,356 $ 421,521 -- $12 $119,130 10,296 $2,152 --
======== ========== ========== === === ======== ====== ====== ==
THE ASIA
PACIFIC
SMALL
COMPANY
SERIES
The DFA Short
Term
Investment
Fund......... $102,269 $ 133,980 $ 146,199 $ 3 $ 7 $ 90,060 7,783 $1,279 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL.......... $102,269 $ 133,980 $ 146,199 $ 3 $ 7 $ 90,060 7,783 $1,279 --
======== ========== ========== === === ======== ====== ====== ==
303
NET
REALIZED CHANGE IN SHARES
BALANCE AT GAIN/ UNREALIZED BALANCE AT AS OF
OCTOBER 31, PURCHASES PROCEEDS (LOSS) APPRECIATION/ APRIL 30, APRIL 30, DIVIDEND CAPITAL GAIN
2018 AT COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- --------- ---------- -------- ------------- ---------- --------- -------- -------------
THE UNITED
KINGDOM
SMALL
COMPANY
SERIES
The DFA Short
Term
Investment
Fund......... $ 25,540 $122,644 $129,248 $ 2 $ 2 $ 18,940 1,637 $ 429 --
-------- -------- -------- --- --- -------- ------ ------ --
TOTAL.......... $ 25,540 $122,644 $129,248 $ 2 $ 2 $ 18,940 1,637 $ 429 --
======== ======== ======== === === ======== ====== ====== ==
THE
CONTINENTAL
SMALL
COMPANY
SERIES
The DFA Short
Term
Investment
Fund......... $589,645 $702,689 $794,455 $ 3 $34 $497,916 43,031 $6,072 --
-------- -------- -------- --- --- -------- ------ ------ --
TOTAL.......... $589,645 $702,689 $794,455 $ 3 $34 $497,916 43,031 $6,072 --
======== ======== ======== === === ======== ====== ====== ==
THE CANADIAN
SMALL
COMPANY
SERIES
The DFA Short
Term
Investment
Fund......... $154,044 $454,974 $460,233 -- $12 $148,797 12,859 $1,979 --
-------- -------- -------- --- --- -------- ------ ------ --
TOTAL.......... $154,044 $454,974 $460,233 -- $12 $148,797 12,859 $1,979 --
======== ======== ======== === === ======== ====== ====== ==
THE EMERGING
MARKETS
SERIES
The DFA Short
Term
Investment
Fund......... $135,212 $389,336 $382,717 $ 6 $ 6 $141,843 12,258 $1,626 --
-------- -------- -------- --- --- -------- ------ ------ --
TOTAL.......... $135,212 $389,336 $382,717 $ 6 $ 6 $141,843 12,258 $1,626 --
======== ======== ======== === === ======== ====== ====== ==
THE EMERGING
MARKETS
SMALL CAP
SERIES
The DFA Short
Term
Investment
Fund......... $308,694 $378,684 $435,157 $ 3 $22 $252,246 21,800 $3,738 --
-------- -------- -------- --- --- -------- ------ ------ --
TOTAL.......... $308,694 $378,684 $435,157 $ 3 $22 $252,246 21,800 $3,738 --
======== ======== ======== === === ======== ====== ====== ==
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 April 30, 2019, 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......... $23,161,639 $8,927,588 $(1,094,999) $7,832,589
The DFA International Value Series...... 12,499,891 1,563,341 (999,237) 564,104
304
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
The Japanese Small Company Series............ $3,311,087 $ 684,678 $ (402,664) $ 282,014
The Asia Pacific Small Company Series........ 1,759,922 365,079 (340,291) 24,788
The United Kingdom Small Company Series...... 2,218,764 517,452 (357,406) 160,046
The Continental Small Company Series......... 5,402,748 1,373,345 (697,632) 675,713
The Canadian Small Company Series............ 1,501,830 145,854 (382,978) (237,124)
The Emerging Markets Series.................. 4,301,031 2,317,469 (372,458) 1,945,011
The Emerging Markets Small Cap Series........ 6,909,001 1,540,412 (1,257,351) 283,061
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. 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, a Series deposits cash or pledges U.S. Government securities
to a broker in an amount equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by the Series as unrealized gains or
losses until the contracts are closed. When the contracts are closed, the
Series 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.
305
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 six months ended April 30, 2019 (amounts in
thousands):
FUTURES
--------
The U.S. Large Cap Value Series......... $196,199
The DFA International Value Series...... 101,862
The Emerging Markets Series............. 41,141
The Emerging Markets Small Cap Series... 45,692
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2019 (amounts in
thousands):
ASSET DERIVATIVES VALUE
------------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2019 CONTRACTS *,(1)
-------------- ---------------
The U.S. Large Cap Value Series......... $12,613 $12,613
The DFA International Value Series...... 6,518 6,518
The Emerging Markets Series............. 1,672 1,672
The Emerging Markets Small Cap Series... 1,781 1,781
(1)Presented on Statements of Assets and Liabilities as Receivables/Payables:
Futures Margin Variation.
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the six months ended April 30, 2019 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
----------------------
EQUITY
TOTAL CONTRACTS (1)
-------- -------------
The U.S. Large Cap Value Series......... $(15,917) $(15,917)
The DFA International Value Series...... (4,510) (4,510)
The Emerging Markets Series............. 2,085 2,085
The Emerging Markets Small Cap Series... (1,378) (1,378)
306
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
---------------------------------
EQUITY
TOTAL CONTRACTS (2)
------- -------------
The U.S. Large Cap Value Series......... $26,331 $26,331
The DFA International Value Series...... 13,309 13,309
The Emerging Markets Series............. 4,378 4,378
The Emerging Markets Small Cap Series... 4,880 4,880
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(2)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. 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 April 8, 2020.
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 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. 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 agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
For the six months ended April 30, 2019, 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 OUTSTANDING
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING BORROWINGS
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD AS OF 04/30/2019
------------- ------------ ------------ -------- --------------- ----------------
The Japanese Small Company Series............ 3.07% $1,506 27 $ 3 $ 4,590 --
The Asia Pacific Small Company Series........ 3.12% 821 6 -- 4,122 --
The United Kingdom Small Company Series...... 3.13% 227 8 -- 485 --
The Continental Small Company Series......... 2.99% 3,058 7 2 16,411 $16,411
The Emerging Markets Series.................. 2.95% 50 1 -- 50 --
307
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT OUTSTANDING
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING BORROWINGS
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD AS OF 04/30/2019
------------- ------------ ------------ -------- --------------- ----------------
The Emerging Markets Small Cap Series... 3.05% $4,453 20 $7 $14,882 --
* Number of Days Outstanding represents the total single or consecutive days
during the six months ended April 30, 2019. that each Series' available line
of credit was used.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
For the six months ended April 30, 2019, activity by the Series under the
interfund lending program was as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT OUTSTANDING
BORROWER OR AVERAGE AVERAGE LOAN DAYS EXPENSE/ BORROWED/LOANED BORROWINGS
LENDER INTEREST RATE BALANCE OUTSTANDING* INCOME DURING THE PERIOD AS OF 04/30/2019
----------- ------------- ------------ ------------ -------- ----------------- ----------------
The Emerging Markets Small
Cap Series............... Borrower 2.80% -- 2 -- -- --
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2019, that the Series' interfund
lending program was used.
I. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2019, 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 CCO certifies to the Board that the 17a-7 transactions entered
into by the Series complied with the Rule 17a-7 Procedures adopted by the Board
of Trustees of the Trust.
For the six months ended April 30, 2019, 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......... $67,784 $87,076 $(21,717)
The DFA International Value Series...... 46,259 53,218 (2,774)
The Japanese Small Company Series....... 24,898 34,662 1,057
The Asia Pacific Small Company Series... 9,962 37,426 (1,808)
The Continental Small Company Series.... 25,639 22,259 4,811
The Canadian Small Company Series....... 7,602 2,493 (84)
The Emerging Markets Series............. 2,380 1,006 (213)
308
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- ------ --------------------
The Emerging Markets Small Cap Series. $1,322 $3,565 $(572)
J. SECURITIES LENDING:
As of April 30, 2019, 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):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
The U.S. Large Cap Value Series....... $257,733
The DFA International Value Series.... 47,603
The Japanese Small Company Series..... 104,398
The Asia Pacific Small Company Series. 187,500
The Continental Small Company Series.. 122,366
The Canadian Small Company Series..... 48,914
The Emerging Markets Series........... 106,898
The Emerging Markets Small Cap Series. 498,330
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 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.
309
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of April 30, 2019:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2019
-----------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- --------
SECURITIES LENDING TRANSACTIONS
THE U.S. LARGE CAP VALUE SERIES
Common Stocks........................ $703,998 -- -- -- $703,998
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks........................ 654,913 -- -- -- 654,913
THE JAPANESE SMALL COMPANY SERIES
Common Stocks........................ 119,130 -- -- -- 119,130
THE ASIA PACIFIC SMALL COMPANY SERIES
Common Stocks........................ 90,060 -- -- -- 90,060
THE UNITED KINGDOM SMALL COMPANY SERIES
Common Stocks........................ 18,940 -- -- -- 18,940
THE CONTINENTAL SMALL COMPANY SERIES
Common Stocks, Rights/Warrants....... 497,916 -- -- -- 497,916
THE CANADIAN SMALL COMPANY SERIES
Common Stocks, Rights/Warrants....... 148,797 -- -- -- 148,797
THE EMERGING MARKETS SERIES
Common Stocks........................ 141,843 -- -- -- 141,843
THE EMERGING MARKETS SMALL CAP SERIES
Common Stocks........................ 252,246 -- -- -- 252,246
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. Management has evaluated the
requirements of this update and does not expect any material impact to the
Fund's 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
310
disclosure requirements are reflected within these financial statements
prepared as of April 30, 2019. 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 the 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 filed a petition
for certiorari with the Supreme Court of the United States (the "Supreme
Court"), seeking review of the Second Circuit's ruling. Thereafter, the
individual creditor plaintiffs moved the Second Circuit to review its prior
ruling in light of the Supreme Court's decision in MERIT MANAGEMENT GROUP, LP
v. FTI CONSULTING, INC., 138 S.Ct. 883 (2018) ("Merit Mgmt."), which addressed
the scope of the Bankruptcy Code's safe harbor for securities transactions. The
Second Circuit agreed to review the matter and withdrew its mandate with
respect to the affirmance of the dismissal order. Consequently, the Supreme
Court dismissed the individual creditor plaintiffs' petition for certiorari.
The Second Circuit's 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 has
advised that he intends to appeal the dismissal order to the Second Circuit.
The Trustee also moved for leave from the District Court to file an amended
complaint to assert new constructive fraudulent transfer claims against the
shareholder defendants in light of the Merit Mgmt. decision. The District Court
denied the motion, ruling that the proposed amendment would unduly prejudice
the shareholder defendants and would be futile because the Trustee's proposed
constructive fraudulent transfer claims would be barred by the Bankruptcy
Code's safe harbor for securities transactions, notwithstanding the Merit Mgmt.
decision.
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
311
Cap Value Series will be made relating to the Lawsuits. However, even if the
plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs
seek, the amount would be less than 1% of the net asset value of The U.S. Large
Cap Value Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses incurred by The U.S. Large Cap Value
Series.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
312
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.
313
SIX MONTHS ENDED APRIL 30, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,096.30 0.14% $0.73
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,024.10 0.14% $0.70
(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 (181), then
divided by the number of days in the year (365) to reflect the six-month
period.
314
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-PORT. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-PORT 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 April 1, 2019. 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.................... 4.5%
Consumer Discretionary.................... 7.2%
Consumer Staples.......................... 3.1%
Energy.................................... 15.8%
Financials................................ 29.1%
Health Care............................... 1.2%
Industrials............................... 9.1%
Information Technology.................... 8.2%
Materials................................. 16.2%
Real Estate............................... 4.2%
Utilities................................. 1.4%
-----
100.0%
315
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
COMMON STOCKS -- (96.1%)
BRAZIL -- (7.4%)
Banco do Brasil SA................................ 6,586,246 $ 83,447,171 0.5%
Petroleo Brasileiro SA, Sponsored ADR............. 14,367,145 198,266,601 1.1%
# Petroleo Brasileiro SA, Sponsored ADR............. 11,860,183 180,630,587 1.0%
Vale SA........................................... 27,795,565 355,144,685 1.9%
Vale SA, Sponsored ADR............................ 14,048,492 179,539,726 1.0%
Other Securities.................................. 409,342,896 2.0%
-------------- ----
TOTAL BRAZIL.......................................... 1,406,371,666 7.5%
-------------- ----
CHILE -- (1.3%)
Other Securities.................................. 253,085,223 1.3%
-------------- ----
CHINA -- (16.9%)
Bank of China, Ltd., Class H...................... 307,333,817 146,753,426 0.8%
China Construction Bank Corp., Class H............ 494,824,101 436,219,728 2.3%
China Mobile, Ltd................................. 29,011,500 276,810,379 1.5%
China Overseas Land & Investment, Ltd............. 29,202,000 109,409,729 0.6%
China Petroleum & Chemical Corp., ADR............. 1,082,399 83,063,284 0.5%
China Resources Land, Ltd......................... 18,796,000 81,859,525 0.4%
CNOOC, Ltd........................................ 90,082,000 163,618,954 0.9%
Industrial & Commercial Bank of China, Ltd.,
Class H......................................... 314,498,996 236,553,494 1.3%
PetroChina Co., Ltd., Class H..................... 132,694,000 84,113,886 0.5%
Other Securities.................................. 1,596,724,899 8.3%
-------------- ----
TOTAL CHINA........................................... 3,215,127,304 17.1%
-------------- ----
COLOMBIA -- (0.2%)
Other Securities.................................. 37,488,559 0.2%
-------------- ----
CZECH REPUBLIC -- (0.2%)
Other Security.................................... 38,466,566 0.2%
-------------- ----
GREECE -- (0.0%)
Other Securities.................................. 11,392,496 0.1%
-------------- ----
HUNGARY -- (0.3%)
Other Securities.................................. 51,048,261 0.3%
-------------- ----
INDIA -- (13.3%)
* Axis Bank, Ltd.................................... 10,042,110 110,435,566 0.6%
ICICI Bank, Ltd., Sponsored ADR................... 7,765,802 88,918,431 0.5%
Reliance Industries, Ltd.......................... 34,682,789 694,642,069 3.7%
Other Securities.................................. 1,632,661,539 8.7%
-------------- ----
TOTAL INDIA........................................... 2,526,657,605 13.5%
-------------- ----
INDONESIA -- (2.7%)
Other Securities.................................. 512,494,301 2.7%
-------------- ----
MALAYSIA -- (2.8%)
Other Securities.................................. 528,665,885 2.8%
-------------- ----
316
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
MEXICO -- (3.2%)
Grupo Financiero Banorte S.A.B. de C.V.. 16,569,450 $ 104,987,268 0.6%
Grupo Mexico S.A.B. de C.V., Series B... 37,305,803 109,510,250 0.6%
Other Securities........................ 398,575,771 2.1%
-------------- ----
TOTAL MEXICO................................ 613,073,289 3.3%
-------------- ----
PHILIPPINES -- (1.1%)
Other Securities........................ 210,358,900 1.1%
-------------- ----
POLAND -- (1.3%)
Other Securities........................ 240,738,951 1.3%
-------------- ----
RUSSIA -- (2.1%)
Gazprom PJSC, Sponsored ADR............. 22,632,193 113,145,869 0.6%
Lukoil PJSC, Sponsored ADR(BYZDW2900)... 1,526,223 129,586,499 0.7%
Lukoil PJSC, Sponsored ADR(BYZF386)..... 1,402,353 119,901,181 0.7%
Other Securities........................ 42,950,605 0.2%
-------------- ----
TOTAL RUSSIA................................ 405,584,154 2.2%
-------------- ----
SINGAPORE -- (0.0%)
Other Security.......................... 150,351 0.0%
-------------- ----
SOUTH AFRICA -- (6.7%)
Absa Group, Ltd......................... 8,396,833 96,728,767 0.5%
# MTN Group, Ltd.......................... 21,421,193 155,199,279 0.8%
# Sasol, Ltd.............................. 3,327,411 110,391,586 0.6%
Standard Bank Group, Ltd................ 16,505,640 230,515,279 1.2%
Other Securities........................ 676,112,704 3.7%
-------------- ----
TOTAL SOUTH AFRICA.......................... 1,268,947,615 6.8%
-------------- ----
SOUTH KOREA -- (16.5%)
Hana Financial Group, Inc............... 3,990,767 125,871,708 0.7%
Hyundai Mobis Co., Ltd.................. 512,294 102,189,901 0.6%
Hyundai Motor Co........................ 1,066,375 126,579,226 0.7%
KB Financial Group, Inc................. 2,237,478 88,347,642 0.5%
KB Financial Group, Inc., ADR........... 3,003,621 118,733,099 0.6%
Kia Motors Corp......................... 2,598,979 100,746,534 0.6%
LG Electronics, Inc..................... 1,568,275 101,894,041 0.6%
POSCO................................... 694,466 152,007,145 0.8%
# POSCO, Sponsored ADR.................... 1,487,744 82,078,836 0.5%
Shinhan Financial Group Co., Ltd........ 2,592,282 97,975,006 0.5%
SK Innovation Co., Ltd.................. 880,786 137,718,665 0.8%
Other Securities........................ 1,910,341,196 9.9%
-------------- ----
TOTAL SOUTH KOREA........................... 3,144,482,999 16.8%
-------------- ----
TAIWAN -- (16.1%)
# Cathay Financial Holding Co., Ltd....... 89,008,000 128,889,397 0.7%
China Steel Corp........................ 139,388,320 112,626,574 0.6%
CTBC Financial Holding Co., Ltd......... 158,940,073 108,882,159 0.6%
Fubon Financial Holding Co., Ltd........ 88,876,471 131,340,683 0.7%
Hon Hai Precision Industry Co., Ltd..... 65,155,192 183,433,254 1.0%
Mega Financial Holding Co., Ltd......... 96,252,796 92,408,266 0.5%
Taiwan Cement Corp...................... 64,501,697 87,731,793 0.5%
# United Microelectronics Corp............ 197,526,681 86,131,100 0.5%
317
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
TAIWAN -- (Continued)
Other Securities...................... $ 2,140,236,409 11.3%
--------------- -----
TOTAL TAIWAN................................ 3,071,679,635 16.4%
--------------- -----
THAILAND -- (3.1%)
PTT PCL............................... 98,695,400 150,709,499 0.8%
Other Securities...................... 447,385,930 2.4%
--------------- -----
TOTAL THAILAND.............................. 598,095,429 3.2%
--------------- -----
TURKEY -- (0.9%)
Other Securities...................... 175,091,631 0.9%
--------------- -----
TOTAL COMMON STOCKS......................... 18,309,000,820 97.7%
--------------- -----
PREFERRED STOCKS -- (1.1%)
BRAZIL -- (1.0%)
Petroleo Brasileiro SA................ 17,582,289 121,561,770 0.7%
Other Securities...................... 79,819,259 0.4%
--------------- -----
TOTAL BRAZIL................................ 201,381,029 1.1%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities...................... 13,832,724 0.1%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Security........................ 460,256 0.0%
--------------- -----
TOTAL PREFERRED STOCKS...................... 215,674,009 1.2%
--------------- -----
RIGHTS/WARRANTS -- (0.1%)
Other Securities...................... 8,162,045 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES................. 18,532,836,874
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.7%)
@(S) The DFA Short Term Investment Fund.... 44,287,987 512,456,292 2.7%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $17,429,703,368).................... $19,045,293,166 101.6%
=============== =====
As of April 30, 2019, Dimensional Emerging Markets Value Fund had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R)..... 650 06/21/19 $ 33,805,254 $ 35,106,500 $1,301,246
S&P 500(R) Emini Index............. 601 06/21/19 86,822,447 88,602,425 1,779,978
------------ ------------ ----------
TOTAL FUTURES CONTRACTS............ $120,627,701 $123,708,925 $3,081,224
============ ============ ==========
318
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of April 30, 2019, 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............... $1,396,627,194 $ 9,744,472 -- $ 1,406,371,666
Chile................ 253,085,223 -- -- 253,085,223
China................ 293,869,031 2,921,258,273 -- 3,215,127,304
Colombia............. 37,488,559 -- -- 37,488,559
Czech Republic....... -- 38,466,566 -- 38,466,566
Greece............... -- 11,392,496 -- 11,392,496
Hungary.............. -- 51,048,261 -- 51,048,261
India................ 120,473,910 2,406,183,695 -- 2,526,657,605
Indonesia............ 505,980 511,988,321 -- 512,494,301
Malaysia............. -- 528,665,885 -- 528,665,885
Mexico............... 613,073,289 -- -- 613,073,289
Philippines.......... -- 210,358,900 -- 210,358,900
Poland............... -- 240,738,951 -- 240,738,951
Russia............... 151,809,866 253,774,288 -- 405,584,154
Singapore............ -- 150,351 -- 150,351
South Africa......... 148,703,568 1,120,244,047 -- 1,268,947,615
South Korea.......... 351,967,821 2,792,515,178 -- 3,144,482,999
Taiwan............... 31,734,499 3,039,945,136 -- 3,071,679,635
Thailand............. 598,052,205 43,224 -- 598,095,429
Turkey............... -- 175,091,631 -- 175,091,631
Preferred Stocks
Brazil............... 201,381,029 -- -- 201,381,029
Colombia............. 13,832,724 -- -- 13,832,724
South Korea.......... -- 460,256 -- 460,256
Rights/Warrants
Hong Kong............ -- 4,850 -- 4,850
India................ -- 7,193,128 -- 7,193,128
Indonesia............ -- 270,462 -- 270,462
South Korea.......... -- 693,605 -- 693,605
Securities Lending
Collateral............ -- 512,456,292 -- 512,456,292
Futures Contracts**..... 3,081,224 -- -- 3,081,224
-------------- --------------- -- ---------------
TOTAL................... $4,215,686,122 $14,832,688,268 -- $19,048,374,390
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
319
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DIMENSIONAL
EMERGING
MARKETS
VALUE FUND
-----------
ASSETS:
Investments at Value (including $826,408 of securities on loan)*... $18,532,837
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $512,390)..................................... 512,456
Segregated Cash for Futures Contracts.............................. 5,476
Foreign Currencies at Value........................................ 78,816
Cash............................................................... 119,672
Receivables:
Investment Securities Sold...................................... 27,205
Dividends and Interest.......................................... 16,874
Securities Lending Income....................................... 1,380
Futures Margin Variation........................................ 120
Prepaid Expenses and Other Assets.................................. 20
-----------
Total Assets................................................ 19,294,856
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................ 512,413
Investment Securities Purchased................................. 38,700
Due to Advisor.................................................. 1,554
Deferred Taxes Payable............................................. 1,063
Accrued Expenses and Other Liabilities............................. 3,223
-----------
Total Liabilities........................................... 556,953
-----------
NET ASSETS......................................................... $18,737,903
===========
Investments at Cost................................................ $16,917,314
===========
Foreign Currencies at Cost......................................... $ 79,387
===========
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
320
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(AMOUNTS IN THOUSANDS)
DIMENSIONAL
EMERGING
MARKETS
VALUE FUND#
-----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $21,073)............ $ 156,071
Income from Securities Lending.................................. 7,470
----------
Total Investment Income..................................... 163,541
----------
EXPENSES
Investment Management Fees...................................... 8,796
Accounting & Transfer Agent Fees................................ 398
Custodian Fees.................................................. 2,727
Directors'/Trustees' Fees & Expenses............................ 68
Professional Fees............................................... 179
Other........................................................... 314
----------
Total Expenses.............................................. 12,482
----------
Fees Paid Indirectly (Note C)................................... (404)
----------
Net Expenses.................................................... 12,078
----------
NET INVESTMENT INCOME (LOSS).................................... 151,463
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 100,874
Affiliated Investment Companies Shares Sold................. 4
Futures..................................................... 5,284
Foreign Currency Transactions............................... (2,639)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 1,331,379
Affiliated Investment Companies Shares...................... 43
Futures..................................................... 11,985
Translation of Foreign Currency-Denominated Amounts......... (46)
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 1,446,884
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $1,598,347
==========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
321
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DIMENSIONAL EMERGING
MARKETS VALUE FUND
------------------------
SIX MONTHS YEAR
ENDED ENDED
APR 30, OCT 31,
2019 2018
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 151,463 $ 536,296
Net Realized Gain (Loss) on:
Investment Securities Sold*/,/**.............. 100,874 306,868
Affiliated Investment Companies Shares
Sold........................................ 4 (45)
Futures....................................... 5,284 7,329
Foreign Currency Transactions................. (2,639) (7,429)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................... 1,331,379 (2,460,561)
Affiliated Investment Companies Shares........ 43 4
Futures....................................... 11,985 (12,284)
Translation of Foreign
Currency-Denominated Amounts................ (46) 34
----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from Operations......... 1,598,347 (1,629,788)
----------- -----------
Transactions in Interest:
Contributions..................................... 1,150,774 1,168,085
Withdrawals....................................... (696,125) (2,465,601)
----------- -----------
Net Increase (Decrease) from
Transactions in Interest................. 454,649 (1,297,516)
----------- -----------
Total Increase (Decrease) in Net
Assets................................... 2,052,996 (2,927,304)
NET ASSETS
Beginning of Period............................... 16,684,907 19,612,211
----------- -----------
End of Period..................................... $18,737,903 $16,684,907
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0.
See accompanying Notes to Financial Statements.
322
DIMENSIONAL EMERGING MARKETS VALUE FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2014
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Total Return................. 9.63%(B) (9.06%) 24.89% 15.80% (17.95%) (1.09%)
----------- ----------- ----------- ----------- ----------- -----------
Net Assets, End of Period
(thousands)................ $18,737,903 $16,684,907 $19,612,211 $16,647,507 $15,088,058 $18,927,517
Ratio of Expenses to Average
Net Assets................. 0.14%(C) 0.14% 0.16% 0.16% 0.15% 0.15%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly)........... 0.14%(C) 0.14% 0.16% 0.16% 0.15% 0.15%
Ratio of Net Investment
Income to Average Net
Assets..................... 1.72%(C) 2.78% 2.64% 2.72% 2.54% 2.76%
Portfolio Turnover Rate...... 6%(B) 13% 14% 12% 14% 12%
----------- ----------- ----------- ----------- ----------- -----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
323
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund (the "Fund") is an open-end
management investment company registered under the Investment Company Act of
1940. The Fund meets the definition as an investment company and follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies." The Fund consists of one series.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, 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
324
exchanges and the pricing of the Fund's shares (at the close of the NYSE), the
Fund will fair-value its foreign investments when it is determined that the
market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Fund's
foreign investments since the last 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.
To facilitate the translation the Fund enters into foreign currency contracts.
A foreign currency contract is a spot agreement between two parties to buy and
sell currencies at current market exchange rates, for settlement generally
within two business days. 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
April 30, 2019, 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 $638 (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
325
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of April 30, 2019, none of the Trustees have requested or received a
distribution of proceeds of a deferred fee account.
4. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Fund estimates the character of
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 six months ended April 30, 2019, 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 six months ended April 30, 2019, expenses reduced were the following
(amount in thousands):
FEES PAID
INDIRECTLY
----------
Dimensional Emerging Markets Value Fund.. $404
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Fund; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For
the six months ended April 30, 2019, the total related amounts paid by the Fund
to the CCO were $8 (in thousands) and are included in Other Expenses on the
Statement of Operations.
326
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2019, 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.. $1,614,562 $999,839
There were no purchases or sales of long-term U.S. government securities.
For the six months ended April 30, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, were as follows (amounts
in thousands):
The amounts presented below may differ from the respective amounts presented
in the corresponding Schedule of Investments/Summary Schedule of Portfolio
Holdings, Statement of Assets and Liabilities or Statement of Operations due to
rounding.
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION
---------------- ---------- ---------- ------------ -------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
The DFA Short Term Investment Fund................ $317,651 $1,401,865 $1,207,107 $4 $43
-------- ---------- ---------- -- ---
TOTAL $317,651 $1,401,865 $1,207,107 $4 $43
======== ========== ========== == ===
BALANCE AT SHARES AS OF DIVIDEND CAPITAL GAIN
APRIL 30, 2019 APRIL 30, 2019 INCOME DISTRIBUTIONS
-------------- -------------- -------- -------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
The DFA Short Term Investment Fund................ $512,456 44,288 $6,983 --
-------- ------ ------ --
TOTAL $512,456 44,288 $6,983 --
======== ====== ====== ==
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 April 30, 2019, 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.. $17,429,703 $4,005,245 $(2,389,655) $1,615,590
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.
327
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.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the six months ended April 30, 2019 (amount in
thousands):
FUTURES
--------
Dimensional Emerging Markets Value Fund.. $107,862
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2019 (amounts in
thousands):
ASSET DERIVATIVES VALUE
------------------------------
TOTAL VALUE
AT EQUITY
APRIL 30, 2019 CONTRACTS *,(1)
-------------- ---------------
Dimensional Emerging Markets Value Fund.. $3,081 $3,081
328
(1)Presented on Statements of Assets and Liabilities as Receivables/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 for the six months ended April 30, 2019 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
-----------------------
EQUITY
TOTAL CONTRACTS (1)
------ -------------
Dimensional Emerging Markets Value Fund.. $5,284 $5,284
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
---------------------------------
EQUITY
TOTAL CONTRACTS (2)
------- -------------
Dimensional Emerging Markets Value Fund.. $11,985 $11,985
(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 April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. 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 April 8, 2020.
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 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. 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 agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
329
For the six months ended April 30, 2019, 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 OUTSTANDING
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING BORROWINGS
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD AS OF 04/30/2019
------------- ------------ ------------ -------- --------------- ----------------
Dimensional Emerging Markets Value Fund.. 2.95% $55 3 -- $55 --
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2019, that the Fund's available line of
credit was used.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Fund may
participate in an interfund lending program among certain portfolios managed by
the Advisor (portfolios that operate as feeder funds do not participate in the
program). The program allows the participating portfolios to borrow money from
and loan money to each other for temporary or emergency purposes, subject to
the conditions in the Order. A loan can only be made through the program if the
interfund loan rate on that day is more favorable to both the borrowing and
lending portfolios as compared to rates available through short-term bank loans
or investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objectives and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice.
The Fund did not use the interfund lending program during the six months
ended April 30, 2019.
H. AFFILIATED TRADES:
Cross trades for the six months ended April 30, 2019, 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 CCO certifies to the Board that the 17a-7 transactions entered
into by the Fund complied with the Rule 17a-7 Procedures adopted by the Board
of Trustees of the Fund.
For the six months ended April 30, 2019, 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.. $2,027 $741 $(246)
I. SECURITIES LENDING:
As of April 30, 2019, 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):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
Dimensional Emerging Markets Value Fund.. $414,672
330
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 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 April 30, 2019:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF APRIL 30, 2019
-----------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- --------
SECURITIES LENDING TRANSACTIONS
DIMENSIONAL EMERGING MARKETS VALUE FUND
Common Stocks........................ $512,456 -- -- -- $512,456
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Trustees 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.
331
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. Management has evaluated the
requirements of this update and does not expect any material impact to the
Fund's 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 April 30, 2019. 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 the 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.
332
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.
333
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 18-19, 2018 (the "Meeting"), the
Boards of Directors of DFA Investment Dimensions Group Inc. and Dimensional
Investment Group Inc., and the Boards of Trustees of The DFA Investment Trust
Company and Dimensional Emerging Markets Value Fund (together, the "Board")
considered the continuation of the investment management agreements for each
portfolio/series (collectively, the "Funds") and, if applicable, a Fund's
sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. or
DFAAustralia Limited serves as a sub-advisor. (The investment management
agreements and the sub-advisory agreements are referred to as the "Management
Agreements," and the Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by Access
Data Inc. (the "Access Data Reports"), and issues related to the continuation
of the Management Agreements. Also in advance of the Meeting, management
provided additional materials to address and respond to questions that the
Independent Board Members posed after their review and analysis of materials
provided by the Advisor and the Access Data Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Management Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment global advisory capabilities. The Board evaluated the Advisor's
portfolio management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment advisory services provided by the Advisor, including
administrative services. After analyzing the caliber of services provided by
the Advisor to each Fund, both quantitatively and qualitatively, including the
impact of these services on investment performance, the Board concluded that
the nature, extent and quality of services provided to each Fund were
consistent with the operational requirements of the Fund and met the needs of
the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Access
Data Reports, which compared the performance of each Fund with other funds in
its respective peer group and investment category. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of each Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Funds. The Board determined, among other things, that after
considering each Fund's investment strategies and the expectations of its
shareholder base, the performance of each Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Access Data Reports. The Board
concluded that the effective management fees and total expenses of each Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund. The Board considered the
334
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
CONTINUED
profitability to the Advisor of managing and servicing the Funds and the
Advisor's unregistered clients, such as collective trusts, group trusts and
separate accounts. Upon closely examining the Advisor's profitability, the
Board concluded, among other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of management fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of management fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
335
[Graphic] Recycled Recyclable DFA043019-001S
00230813
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) The Registrant's schedule of investments is provided below.
DIMENSIONAL EMERGING MARKETS VALUE FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
COMMON STOCKS -- (96.1%)
BRAZIL -- (7.4%)
Aliansce Shopping Centers SA....................... 1,046,014 $ 5,068,543
Alliar Medicos A Frente SA......................... 240,800 920,556
Banco Bradesco SA, ADR............................. 1,690,361 15,314,669
Banco Bradesco SA.................................. 526,862 4,165,342
Banco BTG Pactual SA............................... 394,925 4,167,707
Banco do Brasil SA................................. 6,586,246 83,447,171
Banco Santander Brasil SA.......................... 1,461,877 16,780,772
BrasilAgro - Co. Brasileira de Propriedades
Agricolas........................................ 230,784 912,283
Camil Alimentos S.A................................ 447,847 788,081
* Cia Siderurgica Nacional SA........................ 1,582,944 5,869,783
Construtora Tenda SA............................... 1,227,432 5,625,195
Cosan SA........................................... 1,023,272 12,231,455
CSU Cardsystem SA.................................. 167,100 291,491
Cyrela Brazil Realty SA Empreendimentos e
Participacoes.................................... 2,756,617 12,499,720
Direcional Engenharia SA........................... 1,348,561 2,833,935
Duratex SA......................................... 4,116,770 10,436,024
Embraer SA......................................... 1,042,062 5,219,479
Embraer SA, Sponsored ADR.......................... 968,215 19,373,982
Enauta Participacoes SA............................ 1,308,838 4,472,834
* Even Construtora e Incorporadora SA................ 1,733,656 2,878,300
Ez Tec Empreendimentos e Participacoes SA.......... 876,264 4,829,272
Fras-Le SA......................................... 87,200 112,972
# * Gafisa SA, ADR..................................... 165,084 486,997
# Gerdau SA, Sponsored ADR........................... 7,033,312 25,179,257
Gerdau SA.......................................... 1,370,145 4,060,362
Guararapes Confeccoes SA........................... 5,682 208,798
* Helbor Empreendimentos SA.......................... 2,472,026 800,661
Industrias Romi SA................................. 147,100 337,260
International Meal Co. Alimentacao SA, Class A..... 1,106,764 2,080,245
Iochpe-Maxion SA................................... 1,407,439 7,135,724
JBS SA............................................. 12,549,075 63,271,840
JHSF Participacoes SA.............................. 1,415,274 880,689
Kroton Educacional SA.............................. 12,403,907 30,842,899
* LOG Commercial Properties e Participacoes SA....... 205,741 920,329
* Magnesita Refratarios SA........................... 643,250 9,744,472
Marcopolo SA....................................... 13,800 10,488
* Marisa Lojas SA.................................... 761,846 1,564,066
* Mills Estruturas e Servicos de Engenharia SA....... 460,746 553,445
Movida Participacoes SA............................ 604,527 1,848,532
MRV Engenharia e Participacoes SA.................. 3,861,033 14,287,723
* Paranapanema SA.................................... 1,650,689 589,366
* Petro Rio SA....................................... 258,799 1,217,730
Petroleo Brasileiro SA, Sponsored ADR.............. 14,367,145 198,266,601
# Petroleo Brasileiro SA, Sponsored ADR.............. 11,860,183 180,630,587
Petroleo Brasileiro SA............................. 7,641,396 58,385,714
* Profarma Distribuidora de Produtos Farmaceuticos
SA.............................................. 17,900 18,808
Qualicorp Consultoria e Corretora de Seguros SA.... 484,700 2,126,148
Restoque Comercio e Confeccoes de Roupas SA........ 100 753
Santos Brasil Participacoes SA..................... 1,256,600 1,220,996
* Sao Carlos Empreendimentos e Participacoes SA...... 62,800 520,517
Sao Martinho SA.................................... 102,089 497,024
Ser Educacional SA................................. 515,281 3,031,683
SLC Agricola SA.................................... 576,217 6,039,764
* Springs Global Participacoes SA.................... 113,500 248,646
Sul America SA..................................... 2,321,731 18,473,899
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
BRAZIL -- (Continued)
* Suzano Papel e Celulose SA, Sponsored ADR.......... 445,972 $ 9,204,860
T4F Entretenimento SA.............................. 215,500 328,655
* Tecnisa SA......................................... 1,518,714 511,260
* Terra Santa Agro SA................................ 800 2,673
Trisul SA.......................................... 219,400 271,935
Tupy SA............................................ 730,506 3,260,273
Usinas Siderurgicas de Minas Gerais SA............. 566,200 1,524,846
Vale SA, Sponsored ADR............................. 14,048,492 179,539,726
Vale SA............................................ 27,795,565 355,144,685
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao S.A.................... 617,637 2,795,914
* Vulcabras Azaleia SA............................... 41,400 65,250
--------------
TOTAL BRAZIL........................................... 1,406,371,666
--------------
CHILE -- (1.3%)
Besalco SA......................................... 512,877 469,487
CAP SA............................................. 1,154,544 13,190,405
Cementos BIO BIO SA................................ 665,307 905,674
Cencosud SA........................................ 14,786,503 28,053,531
* Cia Pesquera Camanchaca SA......................... 1,334,309 140,109
* Cia Sud Americana de Vapores SA.................... 54,421,171 1,737,171
Cristalerias de Chile SA........................... 264,624 2,090,268
Empresa Nacional de Telecomunicaciones SA.......... 676,541 7,084,852
Empresas CMPC SA................................... 11,266,670 37,923,747
Empresas COPEC SA.................................. 2,575,783 32,325,639
Empresas Hites SA.................................. 1,895,532 1,210,420
* Empresas La Polar SA............................... 18,316,480 692,310
Enel Americas SA, ADR.............................. 3,876,008 33,876,310
Enel Americas SA................................... 26,545,785 4,658,152
Enel Chile SA, ADR................................. 2,519,077 12,670,957
Grupo Security SA.................................. 3,661,063 1,489,182
Inversiones Aguas Metropolitanas SA................ 4,382,127 6,760,497
Itau CorpBanca..................................... 910,863,357 8,136,311
Itau CorpBanca, ADR................................ 3,677 48,996
# Latam Airlines Group SA, Sponsored ADR............. 922,994 9,063,801
Latam Airlines Group SA............................ 1,753,047 17,385,526
Masisa SA.......................................... 39,714,473 2,862,632
PAZ Corp. SA....................................... 2,208,690 3,261,022
Ripley Corp. SA.................................... 11,549,485 9,946,915
Salfacorp SA....................................... 3,686,682 4,828,122
Sigdo Koppers SA................................... 196,163 371,589
* SMU SA............................................. 449,171 118,709
Sociedad Matriz SAAM SA............................ 54,597,593 5,259,845
Socovesa SA........................................ 5,535,586 3,254,864
Vina Concha y Toro SA.............................. 1,552,271 3,268,180
--------------
TOTAL CHILE............................................ 253,085,223
--------------
CHINA -- (16.9%)
# 361 Degrees International, Ltd..................... 6,238,000 1,373,111
* A8 New Media Group, Ltd............................ 986,000 33,467
Agile Group Holdings, Ltd.......................... 13,764,999 20,795,784
Agricultural Bank of China, Ltd., Class H.......... 130,489,000 60,310,160
Air China, Ltd., Class H........................... 10,422,000 12,430,115
Ajisen China Holdings, Ltd......................... 1,465,000 623,412
* Aluminum Corp. of China, Ltd., Class H............. 19,804,000 7,703,087
AMVIG Holdings, Ltd................................ 3,673,100 889,980
Angang Steel Co., Ltd., Class H.................... 6,478,640 4,359,240
* Anton Oilfield Services Group...................... 11,998,000 1,654,306
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
CHINA -- (Continued)
Asia Cement China Holdings Corp.................... 4,370,000 $ 5,188,473
# * Asian Citrus Holdings, Ltd......................... 4,633,000 66,441
AVIC International Holdings, Ltd., Class H......... 2,272,000 1,435,548
BAIC Motor Corp., Ltd., Class H.................... 12,237,500 8,590,333
Bank of China, Ltd., Class H....................... 307,333,817 146,753,426
Bank of Chongqing Co., Ltd., Class H............... 3,051,500 1,981,630
Bank of Communications Co., Ltd., Class H.......... 29,388,574 24,787,094
Bank of Tianjin Co., Ltd., Class H................. 29,000 16,623
* Baoye Group Co., Ltd., Class H..................... 2,099,120 1,436,320
# BBMG Corp., Class H................................ 13,275,000 4,675,769
Beijing Capital International Airport Co., Ltd.,
Class H.......................................... 3,930,000 3,498,423
# Beijing Capital Land, Ltd., Class H................ 6,287,060 2,637,170
# * Beijing Enterprises Clean Energy Group, Ltd........ 4,880,000 78,458
Beijing Enterprises Holdings, Ltd.................. 2,426,500 12,929,167
* Beijing Enterprises Medical & Health Group, Ltd.... 3,048,000 94,040
# Beijing North Star Co., Ltd., Class H.............. 3,694,000 1,466,071
* Beijing Properties Holdings, Ltd................... 456,000 14,064
# Beijing Urban Construction Design & Development
Group Co., Ltd., Class H......................... 65,000 22,626
# Best Pacific International Holdings, Ltd........... 210,000 78,963
Bosideng International Holdings, Ltd............... 9,076,000 2,498,478
* Boyaa Interactive International, Ltd............... 1,806,000 479,687
Brilliance China Automotive Holdings, Ltd.......... 6,956,000 7,662,354
BYD Electronic International Co., Ltd.............. 2,661,500 4,771,520
C C Land Holdings, Ltd............................. 19,499,429 4,501,595
Cabbeen Fashion, Ltd............................... 1,005,000 298,403
* Capital Environment Holdings, Ltd.................. 8,486,000 213,899
# * CAR, Inc........................................... 1,718,000 1,391,506
# * Carnival Group International Holdings, Ltd......... 14,690,000 89,882
Carrianna Group Holdings Co., Ltd.................. 3,478,391 399,412
* CECEP COSTIN New Materials Group, Ltd.............. 132,000 1,893
Central China Real Estate, Ltd..................... 5,981,350 2,978,972
* Century Sunshine Group Holdings, Ltd............... 12,740,000 349,621
* CGN Meiya Power Holdings Co., Ltd.................. 12,014,000 1,801,532
Changshouhua Food Co., Ltd......................... 91,000 38,514
* Changyou.com, Ltd., ADR............................ 2,306 44,852
# Chaowei Power Holdings, Ltd........................ 4,715,000 2,170,244
* Chigo Holding, Ltd................................. 19,830,000 264,495
* Chiho Environmental Group, Ltd..................... 518,000 74,009
China Aerospace International Holdings, Ltd........ 15,130,000 1,043,761
China Agri-Industries Holdings, Ltd................ 16,891,500 5,444,634
# China Aircraft Leasing Group Holdings, Ltd......... 49,000 56,235
China Aoyuan Group, Ltd............................ 9,176,000 11,138,098
* China Beidahuang Industry Group Holdings, Ltd...... 408,000 11,841
China BlueChemical, Ltd., Class H.................. 15,166,878 5,169,506
China Cinda Asset Management Co., Ltd., Class H.... 50,276,000 13,408,089
China CITIC Bank Corp., Ltd., Class H.............. 33,474,112 21,479,095
China Coal Energy Co., Ltd., Class H............... 10,180,000 4,494,062
China Communications Construction Co., Ltd.,
Class H.......................................... 23,080,327 22,230,537
China Communications Services Corp., Ltd.,
Class H......................................... 9,655,071 7,787,149
China Construction Bank Corp., Class H............. 494,824,101 436,219,728
China Dongxiang Group Co., Ltd..................... 19,415,000 2,873,699
China Eastern Airlines Corp., Ltd., Class H........ 5,502,000 3,909,758
China Electronics Optics Valley Union Holding Co.,
Ltd.............................................. 2,644,000 196,045
China Energy Engineering Corp., Ltd., Class H...... 1,236,000 148,141
China Everbright Bank Co., Ltd., Class H........... 11,539,000 5,699,335
China Everbright, Ltd.............................. 7,131,869 13,001,805
China Fiber Optic Network System Group, Ltd........ 3,598,000 96,316
China Financial Services Holdings, Ltd............. 1,884,000 124,838
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
China Galaxy Securities Co., Ltd., Class H......... 11,765,500 $ 7,709,284
* China Glass Holdings, Ltd.......................... 5,100,000 416,711
* China Greenfresh Group Co., Ltd.................... 2,720,000 298,376
China Hanking Holdings, Ltd........................ 127,000 16,182
# China Harmony New Energy Auto Holding, Ltd......... 4,896,500 1,738,670
* China High Precision Automation Group, Ltd......... 429,000 12,509
# China High Speed Transmission Equipment Group Co.,
Ltd.............................................. 1,889,000 1,432,007
China Hongqiao Group, Ltd.......................... 10,475,000 8,635,065
China Huarong Asset Management Co., Ltd., Class H.. 67,837,000 14,548,212
* China Huiyuan Juice Group, Ltd..................... 5,210,483 251,597
# China International Capital Corp., Ltd., Class H... 3,462,400 7,447,156
China International Marine Containers Group Co.,
Ltd., Class H.................................... 1,614,600 2,036,473
* China ITS Holdings Co., Ltd........................ 1,707,147 52,788
China Jinmao Holdings Group, Ltd................... 23,178,580 15,028,314
China Lesso Group Holdings, Ltd.................... 6,946,000 4,918,642
* China Longevity Group Co., Ltd..................... 1,152,649 37,761
China Machinery Engineering Corp., Class H......... 4,498,000 2,179,751
# China Merchants Land, Ltd.......................... 10,958,000 1,913,587
China Merchants Port Holdings Co., Ltd............. 6,449,903 13,045,811
China Merchants Securities Co., Ltd., Class H...... 222,000 303,887
China Minsheng Banking Corp., Ltd., Class H........ 28,809,400 21,651,751
China Mobile, Ltd.................................. 29,011,500 276,810,379
China Mobile, Ltd., Sponsored ADR.................. 1,343,555 64,047,267
China National Building Material Co., Ltd.,
Class H......................................... 31,301,250 29,132,559
China New Town Development Co., Ltd................ 11,705,522 279,800
China NT Pharma Group Co., Ltd..................... 86,500 9,267
China Oil & Gas Group, Ltd......................... 11,660,000 715,024
China Oilfield Services, Ltd., Class H............. 7,678,000 8,222,513
China Oriental Group Co., Ltd...................... 6,528,000 4,008,658
China Overseas Grand Oceans Group, Ltd............. 12,582,500 6,709,999
China Overseas Land & Investment, Ltd.............. 29,202,000 109,409,729
China Petroleum & Chemical Corp., ADR.............. 1,082,399 83,063,284
China Petroleum & Chemical Corp., Class H.......... 73,021,575 56,132,329
* China Properties Group, Ltd........................ 4,538,000 670,514
China Railway Construction Corp., Ltd., Class H.... 13,191,014 15,586,768
China Railway Group, Ltd., Class H................. 20,920,000 16,501,151
* China Rare Earth Holdings, Ltd..................... 5,740,600 241,715
China Reinsurance Group Corp., Class H............. 17,570,000 3,584,985
China Resources Cement Holdings, Ltd............... 14,368,000 14,406,206
China Resources Land, Ltd.......................... 18,796,000 81,859,525
China Resources Medical Holdings Co., Ltd.......... 623,500 453,261
* China Rundong Auto Group, Ltd...................... 22,000 3,368
* China Saite Group Co., Ltd......................... 546,000 21,573
China Sanjiang Fine Chemicals Co., Ltd............. 3,394,000 883,909
China SCE Group Holdings, Ltd...................... 14,316,000 6,766,617
# * China Shengmu Organic Milk, Ltd.................... 309,000 14,186
China Shenhua Energy Co., Ltd., Class H............ 23,531,500 52,086,043
China Shineway Pharmaceutical Group, Ltd........... 1,055,000 1,055,095
# * China Silver Group, Ltd............................ 4,278,000 371,201
China Singyes Solar Technologies Holdings, Ltd..... 953,400 120,317
China South City Holdings, Ltd..................... 30,906,000 4,690,555
China Southern Airlines Co., Ltd., Class H......... 11,774,000 10,236,095
China Starch Holdings, Ltd......................... 15,290,000 389,994
China State Construction International Holdings,
Ltd.............................................. 6,160,000 6,393,192
China Sunshine Paper Holdings Co., Ltd............. 1,374,500 220,937
China Taifeng Beddings Holdings, Ltd............... 640,000 16,521
China Taiping Insurance Holdings Co., Ltd.......... 3,069,600 9,335,021
China Traditional Chinese Medicine Holdings Co.,
Ltd.............................................. 44,000 24,976
China Travel International Investment Hong Kong,
Ltd.............................................. 19,141,631 4,424,087
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
# China Unicom Hong Kong, Ltd., ADR.................. 5,927,101 $ 70,354,689
China Vast Industrial Urban Development Co., Ltd... 498,000 214,575
China XLX Fertiliser, Ltd.......................... 1,072,000 382,659
# * China Yurun Food Group, Ltd........................ 4,336,000 736,902
China ZhengTong Auto Services Holdings, Ltd........ 7,878,000 4,370,273
China Zhongwang Holdings, Ltd...................... 13,848,554 7,562,195
Chongqing Machinery & Electric Co., Ltd., Class H.. 7,384,000 697,113
Chongqing Rural Commercial Bank Co., Ltd.,
Class H......................................... 21,368,000 12,499,550
* Chu Kong Petroleum & Natural Gas Steel Pipe
Holdings, Ltd.................................... 1,188,000 104,688
Chu Kong Shipping Enterprise Group Co., Ltd........ 526,000 120,029
CIFI Holdings Group Co., Ltd....................... 14,666,000 9,745,627
* CITIC Dameng Holdings, Ltd......................... 4,333,000 246,113
CITIC Resources Holdings, Ltd...................... 9,744,000 920,505
CITIC Securities Co., Ltd., Class H................ 1,257,500 2,725,669
CITIC, Ltd......................................... 19,505,483 28,404,932
Citychamp Watch & Jewellery Group, Ltd............. 1,596,000 354,237
Clear Media, Ltd................................... 101,000 83,747
CNOOC, Ltd......................................... 90,082,000 163,618,954
CNOOC, Ltd., Sponsored ADR......................... 199,068 36,166,674
* Cogobuy Group...................................... 713,000 262,481
# * Comba Telecom Systems Holdings, Ltd................ 11,682,267 2,837,495
Concord New Energy Group, Ltd...................... 35,200,000 1,727,307
* Coolpad Group, Ltd................................. 5,085,893 72,729
* COSCO SHIPPING Development Co., Ltd., Class H...... 4,215,000 569,941
# COSCO SHIPPING Energy Transportation Co., Ltd.,
Class H.......................................... 6,372,000 4,119,856
COSCO SHIPPING International Hong Kong Co., Ltd.... 4,282,000 1,491,669
COSCO SHIPPING Ports, Ltd.......................... 13,430,656 13,395,506
* Coslight Technology International Group Co., Ltd... 978,000 286,717
Cosmo Lady China Holdings Co., Ltd................. 153,000 47,247
# CPMC Holdings, Ltd................................. 3,356,000 1,416,153
CRCC High-Tech Equipment Corp., Ltd., Class H...... 1,883,500 478,200
# CT Environmental Group, Ltd........................ 9,748,000 422,486
* Ctrip.com International, Ltd., ADR................. 312,304 13,756,991
* DaChan Food Asia, Ltd.............................. 1,354,958 71,255
Dah Chong Hong Holdings, Ltd....................... 8,042,108 2,943,367
* Daphne International Holdings, Ltd................. 2,622,000 83,597
Dawnrays Pharmaceutical Holdings, Ltd.............. 189,000 34,444
* Digital China Holdings, Ltd........................ 323,000 154,101
* Dongfang Electric Corp., Ltd., Class H............. 471,600 360,348
Dongfeng Motor Group Co., Ltd., Class H............ 12,986,000 12,616,127
Dongyue Group, Ltd................................. 4,662,000 3,398,664
* Dynasty Fine Wines Group, Ltd...................... 8,362,600 1,535,048
E-Commodities Holdings, Ltd........................ 4,884,000 343,155
Embry Holdings, Ltd................................ 539,000 157,614
EVA Precision Industrial Holdings, Ltd............. 4,310,000 445,278
# Everbright Securities Co., Ltd., Class H........... 995,000 955,874
* Evergreen International Holdings, Ltd.............. 687,000 37,830
Fantasia Holdings Group Co., Ltd................... 12,997,015 2,465,609
Far East Horizon, Ltd.............................. 4,615,000 5,129,915
Fosun International, Ltd........................... 11,099,183 17,241,497
# Fufeng Group, Ltd.................................. 8,739,000 4,630,070
# * GCL New Energy Holdings, Ltd....................... 9,334,000 351,071
# * GCL-Poly Energy Holdings, Ltd...................... 92,029,000 6,576,517
Gemdale Properties & Investment Corp., Ltd......... 15,276,000 2,048,508
# Genertec Universal Medical Group Co., Ltd.......... 4,271,500 3,405,829
GF Securities Co., Ltd., Class H................... 4,127,000 5,587,115
* Glorious Property Holdings, Ltd.................... 22,989,000 1,130,135
Goldlion Holdings, Ltd............................. 1,962,000 799,427
Goldpac Group, Ltd................................. 1,145,000 321,250
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
CHINA -- (Continued)
# * GOME Retail Holdings, Ltd.......................... 80,257,000 $ 9,217,186
# Grand Baoxin Auto Group, Ltd....................... 4,723,500 1,655,252
# Great Wall Motor Co., Ltd., Class H................ 16,351,500 13,315,040
Greenland Hong Kong Holdings, Ltd.................. 7,541,575 3,100,181
Greentown China Holdings, Ltd...................... 5,869,091 5,320,824
Guangdong Yueyun Transportation Co., Ltd.,
Class H......................................... 225,000 91,480
# Guangshen Railway Co., Ltd., Sponsored ADR......... 319,904 5,870,238
# Guangzhou Automobile Group Co., Ltd., Class H...... 8,892,000 9,576,922
Guangzhou R&F Properties Co., Ltd., Class H........ 8,149,114 16,211,743
* Guodian Technology & Environment Group Corp.,
Ltd., Class H.................................... 1,412,000 64,811
* Guolian Securities Co., Ltd., Class H.............. 171,500 62,485
# Guorui Properties, Ltd............................. 2,790,000 585,636
Guotai Junan Securities Co., Ltd., Class H......... 236,600 505,466
Haitong Securities Co., Ltd., Class H.............. 11,612,800 14,976,959
* Hanergy Thin Film Power Group, Ltd................. 14,642,000 6,999,222
Harbin Bank Co., Ltd., Class H..................... 1,489,000 341,509
# Harbin Electric Co., Ltd., Class H................. 5,567,474 2,982,327
# * HC Group, Inc...................................... 1,447,000 738,779
* Hengdeli Holdings, Ltd............................. 13,844,000 723,882
* Hi Sun Technology China, Ltd....................... 6,210,000 1,069,617
Hilong Holding, Ltd................................ 5,833,000 706,372
HKC Holdings, Ltd.................................. 1,208,155 972,175
* Honghua Group, Ltd................................. 5,861,000 501,076
Honworld Group, Ltd................................ 547,500 307,708
Hopefluent Group Holdings, Ltd..................... 1,624,000 487,039
Hopson Development Holdings, Ltd................... 5,194,000 5,703,508
# * Hua Han Health Industry Holdings, Ltd.............. 23,012,000 466,412
# Hua Hong Semiconductor, Ltd........................ 2,382,000 5,646,132
Huaneng Renewables Corp., Ltd., Class H............ 33,002,000 9,513,148
Huatai Securities Co., Ltd., Class H............... 4,174,800 7,867,914
Huishang Bank Corp., Ltd., Class H................. 1,351,900 578,667
# * Hydoo International Holding, Ltd................... 1,112,000 53,695
Industrial & Commercial Bank of China, Ltd.,
Class H.......................................... 314,498,996 236,553,494
Inner Mongolia Yitai Coal Co., Ltd., Class H....... 10,500 9,303
# * Jiangnan Group, Ltd................................ 10,086,000 533,202
Jiangxi Copper Co., Ltd., Class H.................. 5,828,000 7,730,670
# Jiayuan International Group, Ltd................... 3,504,000 1,568,253
Jilin Jiutai Rural Commercial Bank Corp., Ltd.,
Class H.......................................... 37,000 16,459
# Jingrui Holdings, Ltd.............................. 1,133,000 407,818
# * JinkoSolar Holding Co., Ltd., ADR.................. 219,323 4,268,026
Joy City Property, Ltd............................. 10,296,000 1,469,061
Ju Teng International Holdings, Ltd................ 6,520,249 1,906,933
K Wah International Holdings, Ltd.................. 2,184,233 1,370,882
* Kai Yuan Holdings, Ltd............................. 41,600,000 287,474
Kaisa Group Holdings, Ltd.......................... 6,307,632 2,678,458
# Kangda International Environmental Co., Ltd........ 4,786,000 671,654
Kasen International Holdings, Ltd.................. 209,000 169,793
Kingboard Holdings, Ltd............................ 5,960,345 19,433,535
Kingboard Laminates Holdings, Ltd.................. 766,000 805,595
Kunlun Energy Co., Ltd............................. 23,804,000 25,178,875
KWG Group Holdings, Ltd............................ 9,703,000 11,380,289
* Labixiaoxin Snacks Group, Ltd...................... 2,175,000 121,615
Lai Fung Holdings, Ltd............................. 808,588 1,012,988
Le Saunda Holdings, Ltd............................ 120,000 10,704
Lee & Man Paper Manufacturing, Ltd................. 2,802,000 2,274,357
Legend Holdings Corp., Class H..................... 845,800 2,307,053
* Leoch International Technology, Ltd................ 2,305,000 190,767
* Lianhua Supermarket Holdings Co., Ltd., Class H.... 529,000 105,992
LK Technology Holdings, Ltd........................ 785,000 98,263
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
CHINA -- (Continued)
Longfor Group Holdings, Ltd........................ 9,774,500 $36,141,432
Lonking Holdings, Ltd.............................. 15,258,000 5,188,356
# Maanshan Iron & Steel Co., Ltd., Class H........... 13,546,000 6,244,135
Maoye International Holdings, Ltd.................. 7,604,000 611,079
Metallurgical Corp. of China, Ltd., Class H........ 7,884,000 2,182,285
Min Xin Holdings, Ltd.............................. 708,418 445,240
* Mingfa Group International Co., Ltd................ 608,000 4,363
Minmetals Land, Ltd................................ 11,587,205 2,228,506
MOBI Development Co., Ltd.......................... 303,000 44,522
Modern Land China Co., Ltd......................... 2,673,200 443,959
# * Munsun Capital Group, Ltd.......................... 4,091,500 54,105
* Nature Home Holding Co., Ltd....................... 668,000 118,356
* New World Department Store China, Ltd.............. 3,343,000 703,397
Nine Dragons Paper Holdings, Ltd................... 9,899,000 9,161,905
# * North Mining Shares Co., Ltd....................... 5,170,000 20,471
NVC Lighting Holdings, Ltd......................... 5,114,000 453,957
Orient Securities Co., Ltd., Class H............... 852,000 616,195
Overseas Chinese Town Asia Holdings, Ltd........... 1,014,000 430,323
Ozner Water International Holding, Ltd............. 349,000 72,114
# * Panda Green Energy Group, Ltd...................... 3,744,000 158,220
Parkson Retail Group, Ltd.......................... 6,361,500 519,647
# PAX Global Technology, Ltd......................... 4,039,000 1,886,512
People's Insurance Co. Group of China, Ltd. (The),
Class H.......................................... 4,446,000 1,820,586
PetroChina Co., Ltd., ADR.......................... 75,718 4,792,192
PetroChina Co., Ltd., Class H...................... 132,694,000 84,113,886
PICC Property & Casualty Co., Ltd., Class H........ 15,719,000 17,660,766
Poly Culture Group Corp., Ltd., Class H............ 297,300 350,138
Poly Property Group Co., Ltd....................... 15,643,488 6,563,357
Postal Savings Bank of China Co., Ltd., Class H.... 12,790,000 7,783,098
Pou Sheng International Holdings, Ltd.............. 5,061,000 1,187,636
Powerlong Real Estate Holdings, Ltd................ 11,011,000 5,362,852
Prosperity International Holdings HK, Ltd.......... 1,612,000 38,837
* PW Medtech Group, Ltd.............................. 1,439,000 245,556
* Qingdao Port International Co., Ltd., Class H...... 484,000 336,185
Qingling Motors Co., Ltd., Class H................. 6,468,000 1,938,500
# Qinhuangdao Port Co., Ltd., Class H................ 209,000 46,063
Qunxing Paper Holdings Co., Ltd.................... 5,020,071 241,891
* Real Gold Mining, Ltd.............................. 3,137,500 105,186
Red Star Macalline Group Corp., Ltd., Class H...... 984,743 933,690
Regal International Airport Group Co., Ltd.,
Class H.......................................... 729,000 590,652
* Renhe Commercial Holdings Co., Ltd................. 43,919,000 1,452,499
# * REXLot Holdings, Ltd............................... 67,831,618 181,581
* Ronshine China Holdings, Ltd....................... 1,277,500 1,759,300
* Royale Furniture Holdings, Ltd..................... 582,000 77,885
# * Sany Heavy Equipment International Holdings Co.,
Ltd.............................................. 4,972,000 2,378,511
# Seaspan Corp....................................... 574,922 5,829,709
# * Semiconductor Manufacturing International Corp..... 10,248,698 10,973,372
# * Semiconductor Manufacturing International Corp.,
ADR.............................................. 966,923 5,153,700
Shandong Chenming Paper Holdings, Ltd., Class H.... 2,097,227 1,088,765
Shandong Xinhua Pharmaceutical Co., Ltd., Class H.. 104,000 55,189
Shanghai Electric Group Co., Ltd., Class H......... 7,500,000 2,927,570
Shanghai Industrial Holdings, Ltd.................. 3,809,918 8,961,143
# Shanghai Industrial Urban Development Group, Ltd... 12,082,000 2,419,667
Shanghai Jin Jiang International Hotels Group Co.,
Ltd., Class H.................................... 9,100,000 2,254,431
Shanghai La Chapelle Fashion Co., Ltd., Class H.... 81,000 41,409
Shanghai Pharmaceuticals Holding Co., Ltd.,
Class H......................................... 2,950,000 6,177,917
* Shanghai Prime Machinery Co., Ltd., Class H........ 6,602,000 942,492
Shengjing Bank Co., Ltd., Class H.................. 444,500 258,280
Shenguan Holdings Group, Ltd....................... 3,610,000 185,806
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
Shenzhen Investment, Ltd........................... 25,444,650 $10,125,036
Shimao Property Holdings, Ltd...................... 9,482,535 28,902,790
* Shougang Concord International Enterprises Co.,
Ltd.............................................. 54,246,416 2,214,175
Shougang Fushan Resources Group, Ltd............... 18,894,594 4,580,101
Shui On Land, Ltd.................................. 28,914,303 7,045,373
# * Shunfeng International Clean Energy, Ltd........... 12,548,000 431,078
Sihuan Pharmaceutical Holdings Group, Ltd.......... 7,119,000 1,918,212
# * Silver Grant International Industries, Ltd......... 6,324,804 1,211,008
SIM Technology Group, Ltd.......................... 7,297,000 274,753
# * Sinofert Holdings, Ltd............................. 7,484,000 925,927
# * Sinolink Worldwide Holdings, Ltd................... 9,156,508 900,854
Sino-Ocean Group Holding, Ltd...................... 25,352,102 11,389,204
Sinopec Engineering Group Co., Ltd., Class H....... 6,411,500 6,200,086
Sinopec Kantons Holdings, Ltd...................... 5,530,000 2,470,942
Sinopec Shanghai Petrochemical Co., Ltd., Class H.. 2,000 906
Sinotrans, Ltd., Class H........................... 11,567,000 4,752,629
# Sinotruk Hong Kong, Ltd............................ 5,172,335 11,228,309
Skyworth Digital Holdings, Ltd..................... 13,555,083 4,007,147
* SOHO China, Ltd.................................... 17,012,888 6,170,841
Springland International Holdings, Ltd............. 4,416,000 923,238
* SPT Energy Group, Inc.............................. 2,392,000 237,742
* SRE Group, Ltd..................................... 21,316,285 275,336
* Starrise Media Holdings, Ltd....................... 270,000 46,030
Sun King Power Electronics Group................... 148,000 24,392
# * Sunshine 100 China Holdings, Ltd................... 187,000 38,019
# Tarena International, Inc., ADR.................... 2,806 14,254
* Taung Gold International, Ltd...................... 5,980,000 33,520
TCL Electronics Holdings, Ltd...................... 2,639,666 1,414,373
# * Technovator International, Ltd..................... 2,134,000 307,577
* Tenwow International Holdings, Ltd................. 2,993,000 54,368
Texhong Textile Group, Ltd......................... 1,049,500 1,421,939
Tian An China Investment Co., Ltd.................. 4,449,000 2,443,778
# Tian Ge Interactive Holdings, Ltd.................. 655,000 203,030
Tiangong International Co., Ltd.................... 2,716,000 709,996
Tianjin Port Development Holdings, Ltd............. 15,187,657 1,762,646
# Tianneng Power International, Ltd.................. 2,584,000 2,426,559
Time Watch Investments, Ltd........................ 92,000 12,335
# Tomson Group, Ltd.................................. 3,384,526 1,298,592
# Tongda Group Holdings, Ltd......................... 19,680,000 2,133,349
Tonly Electronics Holdings, Ltd.................... 41,330 35,829
# Top Spring International Holdings, Ltd............. 146,000 42,040
TPV Technology, Ltd................................ 6,438,496 1,495,338
Trigiant Group, Ltd................................ 2,750,000 497,816
United Energy Group, Ltd........................... 3,434,000 643,983
* V1 Group, Ltd...................................... 6,098,000 193,888
Wasion Holdings, Ltd............................... 4,016,000 2,050,806
Weiqiao Textile Co., Class H....................... 3,211,000 1,297,941
West China Cement, Ltd............................. 23,346,000 3,279,725
Wisdom Sports Group................................ 440,000 29,758
Xiamen International Port Co., Ltd., Class H....... 8,442,000 1,207,052
* Xinchen China Power Holdings, Ltd.................. 3,245,000 175,838
Xingda International Holdings, Ltd................. 6,739,842 2,141,404
Xingfa Aluminium Holdings, Ltd..................... 435,000 366,168
Xinhua Winshare Publishing and Media Co., Ltd.,
Class H.......................................... 1,323,000 1,016,258
* Xinjiang Xinxin Mining Industry Co., Ltd.,
Class H......................................... 2,068,000 179,374
Xinyuan Real Estate Co., Ltd., ADR................. 105,240 468,318
* Yanchang Petroleum International, Ltd.............. 19,330,000 268,853
Yanzhou Coal Mining Co., Ltd., Class H............. 11,792,000 12,589,323
Yip's Chemical Holdings, Ltd....................... 842,000 287,908
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
# * Youyuan International Holdings, Ltd................ 3,645,251 $ 1,115,565
* YuanShengTai Dairy Farm, Ltd....................... 363,000 8,423
Yuexiu Property Co., Ltd........................... 51,974,786 12,064,434
Yuzhou Properties Co., Ltd......................... 15,413,040 8,146,525
Zhengzhou Coal Mining Machinery Group Co., Ltd.,
Class H.......................................... 473,600 238,806
# * Zhong An Real Estate, Ltd.......................... 14,249,600 526,956
Zhuhai Holdings Investment Group, Ltd.............. 1,404,000 156,082
Zoomlion Heavy Industry Science and Technology
Co., Ltd., Class H............................... 7,258,800 4,260,606
--------------
TOTAL CHINA............................................. 3,215,127,304
--------------
COLOMBIA -- (0.2%)
Almacenes Exito SA................................. 1,836,636 8,236,673
Banco de Bogota SA................................. 2,143 45,654
Cementos Argos SA.................................. 76,280 190,390
* Corp. Financiera Colombiana SA..................... 13,672 106,391
Grupo Argos SA..................................... 1,497,443 8,521,751
Grupo de Inversiones Suramericana SA............... 1,682,817 18,737,002
Grupo Nutresa SA................................... 188,247 1,560,355
Mineros SA......................................... 128,115 90,343
--------------
TOTAL COLOMBIA.......................................... 37,488,559
--------------
CZECH REPUBLIC -- (0.2%)
CEZ A.S............................................ 1,651,447 38,466,566
--------------
GREECE -- (0.0%)
Aegean Airlines SA................................. 4,638 43,858
* Alpha Bank AE...................................... 121,090 188,522
Bank of Greece..................................... 25,557 377,070
* Ellaktor SA........................................ 1,001,517 1,924,607
* Eurobank Ergasias SA............................... 3,358,252 2,813,648
Fourlis Holdings SA................................ 32,716 197,493
* GEK Terna Holding Real Estate Construction SA...... 12,077 69,644
Hellenic Petroleum SA.............................. 40,427 375,024
* Intracom Holdings SA............................... 835,372 835,601
* LAMDA Development SA............................... 24,397 186,266
Mytilineos Holdings SA............................. 91,198 987,540
* National Bank of Greece SA......................... 1,298,800 2,857,470
* Piraeus Bank SA.................................... 233,708 476,433
Terna Energy SA.................................... 7,594 59,320
--------------
TOTAL GREECE............................................ 11,392,496
--------------
HUNGARY -- (0.3%)
MOL Hungarian Oil & Gas P.L.C...................... 3,564,546 41,048,114
OTP Bank P.L.C..................................... 131,267 5,837,571
Richter Gedeon Nyrt................................ 209,789 4,162,576
--------------
TOTAL HUNGARY........................................... 51,048,261
--------------
INDIA -- (13.3%)
* 5Paisa Capital, Ltd................................ 37,764 156,184
Aarti Drugs, Ltd................................... 16,264 145,021
ACC, Ltd........................................... 399,879 9,383,844
Adani Enterprises, Ltd............................. 1,573,170 2,865,268
* Adani Gas, Ltd..................................... 3,374,526 6,403,489
* Adani Green Energy, Ltd............................ 2,292,136 1,310,974
* Adani Power, Ltd................................... 5,015,882 3,214,479
* Adani Transmissions, Ltd........................... 674,212 2,114,024
* Aditya Birla Capital, Ltd.......................... 2,509,481 3,524,078
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDIA -- (Continued)
* Aditya Birla Fashion and Retail, Ltd............... 578,245 $ 1,810,736
Alembic, Ltd....................................... 517,596 310,539
* Allahabad Bank..................................... 1,291,820 866,874
Allcargo Logistics, Ltd............................ 507,319 783,707
Ambuja Cements, Ltd................................ 4,818,079 15,259,370
* Amtek Auto, Ltd.................................... 941,223 38,161
Anant Raj, Ltd..................................... 831,469 363,939
* Andhra Bank........................................ 2,343,184 833,027
Andhra Sugars, Ltd. (The).......................... 14,835 73,478
* Anveshan Heavy Engineering, Ltd.................... 73,554 488,941
Apar Industries, Ltd............................... 155,271 1,497,855
Apollo Tyres, Ltd.................................. 3,968,756 11,719,512
* Arvind Fashions, Ltd............................... 413,216 5,940,959
Arvind, Ltd........................................ 2,290,392 2,731,525
Ashiana Housing, Ltd............................... 51,567 86,774
Ashoka Buildcon, Ltd............................... 601,302 1,070,277
Astra Microwave Products, Ltd...................... 107,891 135,325
Aurobindo Pharma, Ltd.............................. 1,151,205 13,521,573
* Axis Bank, Ltd..................................... 10,042,110 110,435,566
* Bajaj Hindusthan Sugar, Ltd........................ 1,112,982 132,814
Bajaj Holdings & Investment, Ltd................... 388,303 17,250,484
Balmer Lawrie & Co., Ltd........................... 602,759 1,469,108
Balrampur Chini Mills, Ltd......................... 2,398,306 5,210,923
Banco Products India, Ltd.......................... 125,222 266,861
* Bank of Baroda..................................... 5,782,021 9,692,093
* Bank of Maharashtra................................ 969,657 251,827
Bannari Amman Sugars, Ltd.......................... 295 5,992
BEML, Ltd.......................................... 259,434 3,252,320
Bharat Electronics, Ltd............................ 6,189,860 7,746,604
Bharat Heavy Electricals, Ltd...................... 6,623,591 6,728,794
Bharti Airtel, Ltd................................. 17,589,710 80,864,400
Bharti Infratel, Ltd............................... 1,288,478 4,864,950
Birla Corp., Ltd................................... 181,577 1,309,101
Bodal Chemicals, Ltd............................... 178,198 311,766
Brigade Enterprises, Ltd........................... 282,044 914,670
BSE, Ltd........................................... 106,298 948,454
Can Fin Homes, Ltd................................. 369,568 1,688,585
* Canara Bank........................................ 1,877,228 7,008,925
Capacit'e Infraprojects, Ltd....................... 26,378 86,189
Ceat, Ltd.......................................... 367,118 5,548,505
* Central Bank of India.............................. 70,316 31,773
Century Textiles & Industries, Ltd................. 12,794 168,767
* CG Power and Industrial Solutions, Ltd............. 5,625,807 3,046,271
Chambal Fertilizers & Chemicals, Ltd............... 1,839,878 4,109,983
Chennai Super Kings Cricket, Ltd................... 5,080,767 30,819
Cipla, Ltd......................................... 488,243 3,951,873
City Union Bank, Ltd............................... 1,583,412 4,643,851
* Claro India, Ltd................................... 81,406 117,509
* Coffee Day Enterprises, Ltd........................ 140,892 527,517
Container Corp. Of India, Ltd...................... 403,681 2,871,848
* Corp. Bank......................................... 1,646,469 651,719
* Cox & Kings Financial Service, Ltd................. 447,522 243,534
Cox & Kings, Ltd................................... 1,277,114 2,222,160
Cyient, Ltd........................................ 124,698 1,057,282
DB Corp., Ltd...................................... 134,428 361,848
* DB Realty, Ltd..................................... 280,877 59,471
DCB Bank, Ltd...................................... 2,729,055 8,308,041
DCM Shriram, Ltd................................... 449,761 2,829,257
Deepak Fertilisers & Petrochemicals Corp., Ltd..... 355,569 691,235
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDIA -- (Continued)
Delta Corp., Ltd................................... 51,743 $ 182,192
Dewan Housing Finance Corp., Ltd................... 1,845,369 3,525,275
Dhampur Sugar Mills, Ltd........................... 276,624 886,615
Digicontent, Ltd................................... 200,067 62,706
Dilip Buildcon, Ltd................................ 5,030 38,853
Dish TV India, Ltd................................. 2,132,040 1,103,450
* Dishman Carbogen Amcis, Ltd........................ 939,398 3,078,990
DLF, Ltd........................................... 5,287,405 13,084,507
Dr Reddy's Laboratories, Ltd., ADR................. 263,337 11,031,187
Dr Reddy's Laboratories, Ltd....................... 496,386 20,893,357
eClerx Services, Ltd............................... 2,417 39,789
Edelweiss Financial Services, Ltd.................. 1,092,164 2,338,218
EID Parry India, Ltd............................... 1,017,629 2,830,173
EIH, Ltd........................................... 770,630 2,091,826
Electrosteel Castings, Ltd......................... 948,259 266,594
Engineers India, Ltd............................... 678,889 1,089,756
* Eros International Media, Ltd...................... 366,181 376,137
Essel Propack, Ltd................................. 1,207,533 2,351,732
Excel Industries, Ltd.............................. 1,169 17,793
* FDC, Ltd........................................... 66,849 168,893
Federal Bank, Ltd.................................. 13,994,525 18,688,672
Finolex Cables, Ltd................................ 508,817 3,220,523
Finolex Industries, Ltd............................ 127,851 852,131
Firstsource Solutions, Ltd......................... 2,891,369 2,110,350
* Fortis Healthcare, Ltd............................. 2,206,119 4,406,880
* Future Enterprises, Ltd............................ 1,595,393 780,279
* Future Retail, Ltd................................. 408,418 2,446,688
GAIL India, Ltd.................................... 7,319,114 37,378,403
Gateway Distriparks, Ltd........................... 387,484 737,384
Gati, Ltd.......................................... 614,254 717,203
General Insurance Corp. of India................... 52,226 180,187
GHCL, Ltd.......................................... 401,634 1,446,957
GIC Housing Finance, Ltd........................... 173,759 645,353
Glenmark Pharmaceuticals, Ltd...................... 793,749 7,238,963
GOCL Corp., Ltd.................................... 1,597 7,485
* Godawari Power and Ispat, Ltd...................... 28,059 88,999
Godfrey Phillips India, Ltd........................ 70,572 1,116,926
Granules India, Ltd................................ 2,038,393 3,278,183
Grasim Industries, Ltd............................. 2,263,752 29,319,512
Great Eastern Shipping Co., Ltd. (The)............. 831,168 3,444,348
Greaves Cotton, Ltd................................ 340,138 728,963
Greenply Industries, Ltd........................... 9,992 24,302
* GTL Infrastructure, Ltd............................ 591,437 7,661
Gujarat Alkalies & Chemicals, Ltd.................. 278,639 1,927,835
Gujarat Ambuja Exports, Ltd........................ 143,135 432,110
Gujarat Fluorochemicals, Ltd....................... 389,580 5,856,348
Gujarat Mineral Development Corp., Ltd............. 1,179,090 1,253,599
Gujarat Narmada Valley Fertilizers & Chemicals,
Ltd.............................................. 677,138 3,040,102
Gujarat Pipavav Port, Ltd.......................... 297,915 375,588
Gujarat State Fertilizers & Chemicals, Ltd......... 2,160,587 3,054,659
Gujarat State Petronet, Ltd........................ 2,069,544 5,892,607
HBL Power Systems, Ltd............................. 233,016 80,177
HCL Technologies, Ltd.............................. 79,232 1,344,680
HeidelbergCement India, Ltd........................ 396,490 1,040,347
Hikal, Ltd......................................... 308,026 784,656
HIL, Ltd........................................... 19,693 524,009
Himachal Futuristic Communications, Ltd............ 8,946,866 2,843,740
Himatsingka Seide, Ltd............................. 387,504 1,186,150
Hindalco Industries, Ltd........................... 12,648,144 37,412,552
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDIA -- (Continued)
Hinduja Global Solutions, Ltd...................... 74,046 $ 658,028
Honda SIEL Power Products, Ltd..................... 3,435 52,211
* Housing Development & Infrastructure, Ltd.......... 4,112,310 1,366,091
HSIL, Ltd.......................................... 460,561 1,780,068
HT Media, Ltd...................................... 800,270 451,461
Huhtamaki PPL, Ltd................................. 6,622 21,427
I G Petrochemicals, Ltd............................ 19,941 84,375
ICICI Bank, Ltd., Sponsored ADR.................... 7,765,802 88,918,431
* IDFC First Bank, Ltd............................... 12,664,396 9,051,501
IDFC, Ltd.......................................... 10,842,370 6,222,209
* IFCI, Ltd.......................................... 8,590,624 1,309,601
IIFL Holdings, Ltd................................. 2,626,942 16,283,196
* IL&FS Transportation Networks, Ltd................. 529,814 37,769
India Cements, Ltd. (The).......................... 3,596,922 5,521,509
India Glycols, Ltd................................. 118,892 433,279
Indiabulls Housing Finance, Ltd.................... 3,206,046 31,870,179
Indiabulls Integrated Services, Ltd................ 2,045 8,814
* Indiabulls Real Estate, Ltd........................ 2,831,621 4,636,238
* Indian Bank........................................ 746,740 2,716,370
Indian Hotels Co., Ltd. (The)...................... 3,280,419 7,263,741
Indian Hume Pipe Co., Ltd.......................... 2,945 11,264
Indo Count Industries, Ltd......................... 394,566 230,794
Indoco Remedies, Ltd............................... 52,819 151,153
INEOS Styrolution India, Ltd....................... 32,615 256,010
Infibeam Avenues, Ltd.............................. 734,288 440,563
Infosys, Ltd....................................... 686,667 7,371,460
Ingersoll-Rand India, Ltd.......................... 49,395 431,889
* Inox Leisure, Ltd.................................. 18,187 81,924
* Inox Wind, Ltd..................................... 45,583 42,016
Insecticides India, Ltd............................ 13,709 123,262
* Intellect Design Arena, Ltd........................ 387,096 1,254,848
* International Paper APPM, Ltd...................... 25,252 160,708
ITD Cementation India, Ltd......................... 169,769 302,561
J Kumar Infraprojects, Ltd......................... 162,706 282,309
Jagran Prakashan, Ltd.............................. 460,647 752,301
Jai Corp., Ltd..................................... 581,912 973,152
Jain Irrigation Systems, Ltd....................... 4,545,937 3,544,669
* Jaiprakash Associates, Ltd......................... 12,787,902 993,821
* Jammu & Kashmir Bank, Ltd. (The)................... 3,109,430 2,702,098
* Jaypee Infratech, Ltd.............................. 1,697,229 56,164
JB Chemicals & Pharmaceuticals, Ltd................ 390,870 1,936,849
Jindal Poly Films, Ltd............................. 212,093 769,993
Jindal Saw, Ltd.................................... 2,045,495 2,387,439
* Jindal Stainless Hisar, Ltd........................ 10,311 12,904
* Jindal Stainless, Ltd.............................. 222,465 119,053
* Jindal Steel & Power, Ltd.......................... 4,313,643 11,053,396
JK Cement, Ltd..................................... 205,774 2,690,302
JK Lakshmi Cement, Ltd............................. 398,674 2,126,686
JK Paper, Ltd...................................... 912,990 1,809,531
JK Tyre & Industries, Ltd.......................... 1,011,114 1,260,610
JM Financial, Ltd.................................. 3,377,135 4,323,275
JMC Projects India, Ltd............................ 131,140 213,956
* JSW Energy, Ltd.................................... 5,211,739 5,214,459
JSW Steel, Ltd..................................... 12,679,661 56,519,231
Jubilant Life Sciences, Ltd........................ 1,061,040 10,057,616
Kalpataru Power Transmission, Ltd.................. 674,556 4,516,943
Kalyani Steels, Ltd................................ 81,065 228,566
Karnataka Bank, Ltd. (The)......................... 2,633,673 4,791,133
Karur Vysya Bank, Ltd. (The)....................... 3,026,301 3,383,485
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
Kaveri Seed Co., Ltd............................... 69,940 $ 446,590
KCP, Ltd. (The).................................... 226,777 290,184
* Kiri Industries, Ltd............................... 121,540 948,536
Kirloskar Brothers, Ltd............................ 64,949 157,891
Kirloskar Oil Engines, Ltd......................... 294,687 694,682
KNR Constructions, Ltd............................. 166,080 573,299
Kolte-Patil Developers, Ltd........................ 175,156 580,731
* KPIT Engineering, Ltd.............................. 2,056,795 3,053,237
* KPIT Technologies, Ltd............................. 2,056,795 2,786,773
KPR Mill, Ltd...................................... 33,394 287,014
KRBL, Ltd.......................................... 96,906 465,467
L&T Finance Holdings, Ltd.......................... 5,551,958 10,447,371
Lakshmi Machine Works, Ltd......................... 1,659 137,825
* Lakshmi Vilas Bank, Ltd. (The)..................... 673,471 728,806
Larsen & Toubro, Ltd............................... 2,728,847 52,883,406
Laurus Labs, Ltd................................... 42,971 237,173
LG Balakrishnan & Bros, Ltd........................ 18,860 99,530
LIC Housing Finance, Ltd........................... 2,997,338 21,397,631
Linde India, Ltd................................... 60,036 415,114
LT Foods, Ltd...................................... 835,299 412,080
Lumax Auto Technologies, Ltd....................... 31,726 55,934
Lupin, Ltd......................................... 2,218,773 27,793,810
Magma Fincorp, Ltd................................. 420,814 753,344
Maharashtra Scooters, Ltd.......................... 6,710 352,552
Maharashtra Seamless, Ltd.......................... 186,256 1,272,206
Mahindra & Mahindra Financial Services, Ltd........ 2,045,375 11,731,903
Mahindra & Mahindra, Ltd........................... 5,958,500 55,358,620
* Mahindra CIE Automotive, Ltd....................... 135,869 445,985
Mahindra Lifespace Developers, Ltd................. 254,946 1,397,880
Maithan Alloys, Ltd................................ 17,220 127,777
* Majesco, Ltd....................................... 15,115 113,490
Man Infraconstruction, Ltd......................... 232,063 117,220
Manappuram Finance, Ltd............................ 6,463,052 10,935,120
Mangalam Cement, Ltd............................... 7,882 31,961
Manpasand Beverages Ltd............................ 61,017 95,801
Marksans Pharma, Ltd............................... 1,625,109 550,585
Mastek, Ltd........................................ 106,954 736,085
* Max India, Ltd..................................... 489,573 494,034
McLeod Russel India, Ltd........................... 509,828 447,197
Meghmani Organics, Ltd............................. 977,465 933,530
Merck, Ltd......................................... 59,636 3,189,054
Mirza International, Ltd........................... 72,490 56,718
MOIL, Ltd.......................................... 460,725 1,015,997
Monte Carlo Fashions, Ltd.......................... 5,789 26,789
Motilal Oswal Financial Services, Ltd.............. 4,389 44,738
Mphasis, Ltd....................................... 501,866 6,959,948
MPS, Ltd........................................... 3,844 26,822
MRF, Ltd........................................... 11,739 8,970,331
Munjal Showa, Ltd.................................. 11,077 24,772
Muthoot Finance, Ltd............................... 957,558 8,221,854
* Nagarjuna Fertilizers & Chemicals, Ltd............. 597,736 53,282
National Aluminium Co., Ltd........................ 5,916,629 4,424,369
National Fertilizers, Ltd.......................... 33,882 17,427
Nava Bharat Ventures, Ltd.......................... 711,659 1,043,935
Navin Fluorine International, Ltd.................. 19,225 185,582
NCC, Ltd........................................... 7,162,268 10,214,207
* Neuland Laboratories, Ltd.......................... 2,923 29,781
* NIIT, Ltd.......................................... 894,660 1,353,800
Nilkamal, Ltd...................................... 58,652 1,120,342
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDIA -- (Continued)
NOCIL, Ltd......................................... 551,407 $ 1,062,826
Nucleus Software Exports, Ltd...................... 25,508 138,622
Oberoi Realty, Ltd................................. 684,793 4,993,282
Odisha Cement, Ltd................................. 284,948 4,688,142
Omaxe, Ltd......................................... 611,880 1,828,061
Orient Cement, Ltd................................. 621,657 941,155
* Oriental Bank of Commerce.......................... 975,550 1,348,820
Parag Milk Foods, Ltd.............................. 103,725 358,621
PC Jeweller, Ltd................................... 2,648,612 4,521,228
Persistent Systems, Ltd............................ 302,263 2,759,880
Petronet LNG, Ltd.................................. 4,844,788 16,735,162
Phillips Carbon Black, Ltd......................... 526,465 1,191,221
Piramal Enterprises, Ltd........................... 726,943 24,579,979
PNB Housing Finance, Ltd........................... 128,312 1,307,150
PNC Infratech, Ltd................................. 265,114 573,791
Polyplex Corp., Ltd................................ 87,179 642,453
Power Finance Corp., Ltd........................... 7,489,036 12,414,161
Power Mech Projects, Ltd........................... 22,671 289,418
* Prabhat Dairy, Ltd................................. 136,781 137,055
Praj Industries, Ltd............................... 913,652 1,793,787
* Prakash Industries, Ltd............................ 651,250 651,110
Prestige Estates Projects, Ltd..................... 601,586 2,279,846
PTC India Financial Services, Ltd.................. 2,742,677 640,954
PTC India, Ltd..................................... 2,964,013 2,940,833
* Punjab National Bank............................... 9,035,323 11,049,110
Puravankara, Ltd................................... 495,974 520,630
Quick Heal Technologies, Ltd....................... 66,350 199,978
Rain Industries Ltd................................ 885,256 1,459,084
Rajesh Exports, Ltd................................ 562,821 5,421,775
Rallis India, Ltd.................................. 449,676 956,924
Ramco Industries, Ltd.............................. 133,835 401,509
* Ramco Systems, Ltd................................. 20,610 65,809
Ramkrishna Forgings, Ltd........................... 30,402 222,902
Rashtriya Chemicals & Fertilizers, Ltd............. 2,038,995 1,672,342
Ratnamani Metals & Tubes, Ltd...................... 6,971 88,317
Raymond, Ltd....................................... 453,217 5,031,931
REC, Ltd........................................... 9,747,321 20,651,086
Redington India, Ltd............................... 2,467,332 3,658,934
Reliance Capital, Ltd.............................. 1,546,388 2,911,894
* Reliance Communications, Ltd....................... 9,652,161 257,167
Reliance Home Finance, Ltd......................... 1,766,396 658,129
# Reliance Industries, Ltd., GDR..................... 98,068 3,949,084
Reliance Industries, Ltd........................... 34,682,789 694,642,069
Reliance Industries, Ltd., GDR..................... 14,730 589,936
* Reliance Power, Ltd................................ 8,848,791 762,616
Repco Home Finance, Ltd............................ 349,634 2,103,578
Rico Auto Industries, Ltd.......................... 173,157 159,568
* Ruchi Soya Industries, Ltd......................... 456,150 49,176
S Chand & Co., Ltd................................. 5,198 11,082
Sadbhav Engineering, Ltd........................... 53,649 184,960
* Sanghi Industries, Ltd............................. 133,780 117,693
Sarda Energy & Minerals, Ltd....................... 55,259 220,265
Sasken Technologies, Ltd........................... 19,299 209,389
* Sequent Scientific, Ltd............................ 503,560 501,851
Seshasayee Paper & Boards, Ltd..................... 11,959 154,830
Sharda Cropchem, Ltd............................... 28,099 147,270
* Shilpa Medicare, Ltd............................... 4,373 24,422
* Shipping Corp. of India, Ltd....................... 1,519,213 754,285
* Shree Renuka Sugars, Ltd........................... 334,703 51,740
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDIA -- (Continued)
Shriram City Union Finance, Ltd.................... 26,024 $ 614,725
Shriram Transport Finance Co., Ltd................. 1,388,143 22,154,358
* Sical Logistics, Ltd............................... 3,268 5,575
Simplex Infrastructures, Ltd....................... 88,696 204,161
Sintex Industries, Ltd............................. 1,475,571 167,667
* Sintex Plastics Technology, Ltd.................... 4,798,319 1,235,337
Siyaram Silk Mills, Ltd............................ 5,861 30,033
SML ISUZU, Ltd..................................... 16,035 182,202
Sobha, Ltd......................................... 788,048 5,419,459
* Solara Active Pharma Sciences, Ltd................. 1,685 9,253
Somany Ceramics, Ltd............................... 18,040 110,209
South Indian Bank, Ltd. (The)...................... 11,308,588 2,521,920
Srei Infrastructure Finance, Ltd................... 1,890,601 705,785
SRF, Ltd........................................... 223,833 8,255,574
Srikalahasthi Pipes, Ltd........................... 77,761 243,357
Star Cement, Ltd................................... 104,969 159,511
* State Bank of India................................ 10,858,864 48,614,244
* Steel Authority of India, Ltd...................... 4,978,791 3,996,101
Strides Pharma Science, Ltd........................ 488,075 3,367,588
Sun Pharmaceutical Industries, Ltd................. 4,862,927 31,872,729
Sunteck Realty, Ltd................................ 278,532 1,858,161
Surya Roshni, Ltd.................................. 119,025 409,152
Sutlej Textiles and Industries, Ltd................ 7,506 4,042
Suven Life Sciences, Ltd........................... 70,978 269,595
* Syndicate Bank..................................... 2,092,900 1,127,752
TAKE Solutions, Ltd................................ 549,686 1,159,937
Tamil Nadu Newsprint & Papers, Ltd................. 298,482 827,995
Tata Chemicals, Ltd................................ 779,795 6,455,251
Tata Global Beverages, Ltd......................... 3,294,311 9,907,338
# * Tata Motors, Ltd., Sponsored ADR................... 103,766 1,597,996
* Tata Motors, Ltd................................... 20,086,473 62,015,439
Tata Steel, Ltd.................................... 5,048,396 40,621,270
Tech Mahindra, Ltd................................. 694,611 8,352,882
* Techno Electric & Engineering Co., Ltd............. 51,972 177,754
* Tejas Networks, Ltd................................ 119,614 326,320
Texmaco Rail & Engineering, Ltd.................... 477,074 464,593
Thirumalai Chemicals, Ltd.......................... 160,281 198,451
Thomas Cook India, Ltd............................. 60,365 216,148
* TI Financial Holdings, Ltd......................... 490,492 3,655,039
Tide Water Oil Co India, Ltd....................... 2,390 172,368
Time Technoplast, Ltd.............................. 1,163,979 1,522,395
Tinplate Co. of India, Ltd. (The).................. 292,174 600,741
Titagarh Wagons, Ltd............................... 207,006 184,615
Tourism Finance Corp. of India, Ltd................ 31,946 52,017
Transport Corp. of India, Ltd...................... 155,588 649,040
Trident, Ltd....................................... 824,020 776,592
Triveni Engineering & Industries, Ltd.............. 408,524 385,764
Tube Investments of India, Ltd..................... 473,033 2,584,966
TV Today Network, Ltd.............................. 29,230 129,434
* TV18 Broadcast, Ltd................................ 6,730,550 3,040,493
TVS Srichakra, Ltd................................. 1,572 48,916
* UCO Bank........................................... 2,330,376 600,251
Uflex, Ltd......................................... 378,232 1,240,527
UFO Moviez India, Ltd.............................. 21,281 67,351
Unichem Laboratories, Ltd.......................... 329,973 907,130
* Union Bank of India................................ 2,045,981 2,448,334
* Unitech, Ltd....................................... 11,023,990 206,067
* Usha Martin, Ltd................................... 368,127 172,616
VA Tech Wabag, Ltd................................. 189,424 781,167
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
INDIA -- (Continued)
Vadafone Idea, Ltd................................. 46,457,267 $ 10,319,570
Vardhman Textiles, Ltd............................. 237,835 3,839,775
Vedanta, Ltd....................................... 19,112,519 46,023,530
Vedanta, Ltd., ADR................................. 896,603 8,571,528
Vindhya Telelinks, Ltd............................. 22,265 416,340
Visaka Industries, Ltd............................. 17,061 97,375
* Vodafone Idea, Ltd................................. 20,291,680 4,477,915
Welspun Corp., Ltd................................. 961,041 1,842,180
Welspun Enterprises, Ltd........................... 669,556 1,081,830
Welspun India, Ltd................................. 1,732,918 1,323,775
West Coast Paper Mills, Ltd........................ 190,931 671,318
Wipro, Ltd......................................... 11,623,435 49,950,335
* Wockhardt, Ltd..................................... 316,401 1,872,533
Yes Bank, Ltd...................................... 20,223,842 48,505,828
* Zee Media Corp., Ltd............................... 374,089 79,844
Zensar Technologies, Ltd........................... 834,111 2,790,739
* Zuari Agro Chemicals, Ltd.......................... 23,149 58,422
--------------
TOTAL INDIA............................................ 2,526,657,605
--------------
INDONESIA -- (2.7%)
Adaro Energy Tbk PT................................ 205,631,200 18,864,180
Adhi Karya Persero Tbk PT.......................... 25,122,600 3,072,823
* Agung Podomoro Land Tbk PT......................... 83,425,700 1,012,792
AKR Corporindo Tbk PT.............................. 1,265,700 395,687
* Alam Sutera Realty Tbk PT.......................... 163,979,200 3,865,007
Aneka Tambang Tbk PT............................... 108,397,777 6,598,741
Asahimas Flat Glass Tbk PT......................... 4,414,900 1,750,926
Astra Agro Lestari Tbk PT.......................... 4,173,267 3,185,594
Astra Graphia Tbk PT............................... 436,900 38,960
Astra International Tbk PT......................... 6,250,700 3,346,114
Astra Otoparts Tbk PT.............................. 614,000 67,659
* Astrindo Nusantara Infrastructure Tbk PT........... 119,031,500 417,260
* Bakrie and Brothers Tbk PT......................... 5,548,865 19,472
* Bakrie Telecom Tbk PT.............................. 160,430,200 56,291
* Bank Bukopin Tbk................................... 53,579,833 1,173,813
Bank Danamon Indonesia Tbk PT...................... 30,265,454 18,805,800
Bank Mandiri Persero Tbk PT........................ 139,635,462 76,073,939
Bank Negara Indonesia Persero Tbk PT............... 97,785,841 65,991,534
* Bank Pan Indonesia Tbk PT.......................... 102,406,801 9,306,852
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk
PT............................................... 35,943,500 5,125,534
* Bank Pembangunan Daerah Jawa Timur Tbk PT.......... 32,278,300 1,540,991
* Bank Permata Tbk PT................................ 17,865,700 1,179,326
Bank Tabungan Negara Persero Tbk PT................ 53,985,527 9,613,294
Barito Pacific Tbk PT.............................. 41,511,700 11,747,560
Bekasi Fajar Industrial Estate Tbk PT.............. 60,308,300 1,253,603
* Berlian Laju Tanker Tbk PT......................... 128,161,466 449,689
BISI International Tbk PT.......................... 13,394,400 1,409,459
Blue Bird Tbk PT................................... 58,800 13,576
* Buana Lintas Lautan Tbk PT......................... 7,179,500 99,346
* Bumi Serpong Damai Tbk PT.......................... 79,997,800 8,064,055
* Centratama Telekomunikasi Indonesia Tbk PT......... 6,763,500 41,305
Ciputra Development Tbk PT......................... 157,343,578 12,483,994
* City Retail Developments Tbk PT.................... 1,000,000 9,131
* Clipan Finance Indonesia Tbk PT.................... 1,352,100 31,545
* Delta Dunia Makmur Tbk PT.......................... 36,250,300 1,374,933
* Eagle High Plantations Tbk PT...................... 121,823,200 1,367,123
Elnusa Tbk PT...................................... 59,038,100 1,597,392
* Energi Mega Persada Tbk PT......................... 11,397,301 48,012
Erajaya Swasembada Tbk PT.......................... 18,961,200 1,931,342
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
INDONESIA -- (Continued)
* Gajah Tunggal Tbk PT............................... 22,458,400 $ 1,167,237
* Garuda Indonesia Persero Tbk PT.................... 44,829,481 1,466,327
Global Mediacom Tbk PT............................. 116,334,000 3,283,514
* Hanson International Tbk PT........................ 42,319,300 294,007
Harum Energy Tbk PT................................ 11,545,600 1,086,813
Hexindo Adiperkasa Tbk PT.......................... 721,744 157,011
Indah Kiat Pulp & Paper Corp. Tbk PT............... 34,810,100 18,096,003
Indika Energy Tbk PT............................... 20,402,200 2,444,784
Indo Tambangraya Megah Tbk PT...................... 4,231,200 5,714,003
Indofood Sukses Makmur Tbk PT...................... 60,822,600 29,697,432
Indomobil Multi Jasa Tbk PT........................ 1,109,800 48,308
Indomobil Sukses Internasional Tbk PT.............. 1,420,400 280,361
* Indo-Rama Synthetics Tbk PT........................ 180,100 59,100
Industri dan Perdagangan Bintraco Dharma Tbk PT.... 621,900 113,538
* Intiland Development Tbk PT........................ 93,291,800 2,171,566
Japfa Comfeed Indonesia Tbk PT..................... 37,729,250 4,134,548
Jaya Real Property Tbk PT.......................... 111,025,100 4,636,851
* Kawasan Industri Jababeka Tbk PT................... 263,200,556 4,619,913
KMI Wire & Cable Tbk PT............................ 7,493,500 232,345
* Krakatau Steel Persero Tbk PT...................... 6,180,600 190,124
* Lippo Cikarang Tbk PT.............................. 4,630,600 601,835
Lippo Karawaci Tbk PT.............................. 189,951,449 4,364,582
Malindo Feedmill Tbk PT............................ 12,350,200 1,044,569
* Matahari Putra Prima Tbk PT........................ 2,187,900 31,061
* Medco Energi Internasional Tbk PT.................. 110,730,466 6,832,471
Media Nusantara Citra Tbk PT....................... 43,150,200 2,848,665
Metrodata Electronics Tbk PT....................... 5,464,850 414,352
* MNC Investama Tbk PT............................... 318,720,600 1,835,696
Modernland Realty Tbk PT........................... 89,667,000 1,909,864
* Multipolar Tbk PT.................................. 45,937,700 406,472
* Multistrada Arah Sarana Tbk PT..................... 1,773,100 103,865
Pabrik Kertas Tjiwi Kimia Tbk PT................... 2,824,400 1,999,037
Pan Brothers Tbk PT................................ 39,179,650 1,387,146
* Panin Financial Tbk PT............................. 202,496,000 5,746,950
* Paninvest Tbk PT................................... 25,830,500 2,438,329
Perusahaan Perkebunan London Sumatra Indonesia Tbk
PT............................................... 48,369,784 3,701,189
PP Persero Tbk PT.................................. 36,178,400 6,106,091
PP Properti Tbk PT................................. 29,431,800 301,487
Puradelta Lestari Tbk PT........................... 23,048,100 413,885
Ramayana Lestari Sentosa Tbk PT.................... 27,546,700 3,451,863
Salim Ivomas Pratama Tbk PT........................ 45,823,200 1,332,173
Sampoerna Agro PT.................................. 11,367,341 1,955,829
Selamat Sempurna Tbk PT............................ 23,068,400 2,428,639
Semen Baturaja Persero Tbk PT...................... 7,305,800 502,617
Semen Indonesia Persero Tbk PT..................... 19,945,300 18,933,830
* Sentul City Tbk PT................................. 296,761,600 2,399,516
* Siloam International Hospitals Tbk PT.............. 1,503,000 430,745
Sinar Mas Agro Resources & Technology Tbk PT....... 7,704,700 1,991,842
Sri Rejeki Isman Tbk PT............................ 146,730,000 3,459,947
Summarecon Agung Tbk PT............................ 20,050,500 1,574,388
* Surya Esa Perkasa Tbk PT........................... 4,650,600 118,102
Surya Semesta Internusa Tbk PT..................... 47,439,000 2,248,722
Tempo Scan Pacific Tbk PT.......................... 1,055,200 128,861
* Tiga Pilar Sejahtera Food Tbk...................... 41,727,122 184,478
Timah Tbk PT....................................... 50,543,560 4,866,156
Tiphone Mobile Indonesia Tbk PT.................... 7,827,700 370,638
* Trada Alam Minera Tbk PT........................... 98,501,800 809,547
* Trias Sentosa Tbk PT............................... 336,500 9,220
Tunas Baru Lampung Tbk PT.......................... 26,890,100 1,594,710
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
INDONESIA -- (Continued)
Tunas Ridean Tbk PT................................ 34,967,000 $ 2,840,131
Ultrajaya Milk Industry & Trading Co. Tbk PT....... 19,136,500 1,719,835
Unggul Indah Cahaya Tbk PT......................... 288,335 111,874
United Tractors Tbk PT............................. 15,431,600 29,468,649
* Vale Indonesia Tbk PT.............................. 24,058,000 5,156,759
* Visi Media Asia Tbk PT............................. 7,098,000 67,273
Waskita Beton Precast Tbk PT....................... 113,134,800 3,498,885
Waskita Karya Persero Tbk PT....................... 64,376,600 9,599,114
Wijaya Karya Beton Tbk PT.......................... 36,183,000 1,549,735
Wijaya Karya Persero Tbk PT........................ 36,848,800 6,269,289
* XL Axiata Tbk PT................................... 37,138,300 7,614,949
------------
TOTAL INDONESIA......................................... 512,494,301
------------
MALAYSIA -- (2.8%)
Aeon Co. M Bhd..................................... 1,627,500 567,240
AFFIN Bank Bhd..................................... 10,401,418 5,638,057
# AirAsia Group Bhd.................................. 21,600,700 14,269,534
# * AirAsia X Bhd...................................... 1,246,100 70,902
Alliance Bank Malaysia Bhd......................... 15,072,700 14,810,560
Allianz Malaysia Bhd............................... 67,900 223,395
AMMB Holdings Bhd.................................. 20,478,562 22,139,260
# Ann Joo Resources Bhd.............................. 2,197,300 935,909
APM Automotive Holdings Bhd........................ 721,300 527,623
Batu Kawan Bhd..................................... 2,000,350 8,129,136
* Benalec Holdings Bhd............................... 2,321,900 115,263
* Berjaya Assets Bhd................................. 604,700 43,917
* Berjaya Corp. Bhd.................................. 40,886,578 2,623,475
Berjaya Food Bhd................................... 121,800 52,441
# * Berjaya Land Bhd................................... 12,046,600 670,420
BIMB Holdings Bhd.................................. 1,075,907 1,207,542
Boustead Holdings Bhd.............................. 11,788,191 3,650,356
# Boustead Plantations Bhd........................... 3,092,200 598,169
* Bumi Armada Bhd.................................... 29,247,800 1,662,919
Cahya Mata Sarawak Bhd............................. 401,600 324,473
Can-One Bhd........................................ 401,400 311,760
# CB Industrial Product Holding Bhd.................. 1,722,100 487,512
Chin Teck Plantations BHD.......................... 309,100 497,998
# CIMB Group Holdings Bhd............................ 58,737,666 74,917,155
CJ Century Logistics Holdings Bhd, Class B......... 71,300 7,602
* Coastal Contracts Bhd.............................. 2,691,400 683,858
CSC Steel Holdings Bhd............................. 1,737,656 471,085
Cypark Resources Bhd............................... 693,750 280,350
* Dagang NeXchange Bhd............................... 909,800 61,740
* Dayang Enterprise Holdings Bhd..................... 3,469,100 1,183,699
DRB-Hicom Bhd...................................... 9,386,100 4,954,199
# * Eastern & Oriental Bhd............................. 10,841,813 2,292,375
# * Eco World Development Group Bhd.................... 4,264,100 954,718
# Ekovest BHD........................................ 13,316,200 2,839,048
Engtex Group Bhd................................... 775,500 156,658
Evergreen Fibreboard Bhd........................... 6,661,289 604,743
FAR East Holdings BHD.............................. 1,534,860 1,062,270
* FGV Holdings Bhd................................... 21,118,000 6,375,879
# Gabungan AQRS Bhd.................................. 3,962,274 1,438,787
Gadang Holdings Bhd................................ 5,114,000 1,021,540
Gamuda Bhd......................................... 13,061,400 11,056,294
Genting Bhd........................................ 22,808,200 38,854,763
Genting Malaysia Bhd............................... 23,206,300 17,861,189
# George Kent Malaysia Bhd........................... 3,849,400 1,174,957
Glomac Bhd......................................... 4,821,890 443,860
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MALAYSIA -- (Continued)
GuocoLand Malaysia Bhd........................... 2,319,700 $ 415,442
HAP Seng Consolidated Bhd........................ 3,358,782 8,030,496
Hap Seng Plantations Holdings Bhd................ 2,818,200 1,129,058
# Hengyuan Refining Co. Bhd........................ 1,136,100 1,629,073
HeveaBoard Bhd................................... 2,287,600 401,524
# Hiap Teck Venture Bhd............................ 9,625,500 641,059
Hong Leong Financial Group Bhd................... 2,908,334 13,519,207
Hong Leong Industries Bhd........................ 379,600 970,211
* Hua Yang Bhd..................................... 581,410 54,197
I-Bhd............................................ 84,900 8,626
# IGB Bhd.......................................... 3,067,495 2,016,170
IJM Corp. Bhd.................................... 28,436,918 16,099,746
Insas Bhd........................................ 5,629,600 1,083,857
# IOI Properties Group Bhd......................... 8,273,625 2,742,793
* Iris Corp. Bhd................................... 18,898,200 846,705
* Iskandar Waterfront City Bhd..................... 3,662,100 904,739
# * JAKS Resources Bhd............................... 7,885,900 1,460,199
Jaya Tiasa Holdings Bhd.......................... 5,444,733 809,825
JCY International Bhd............................ 7,912,200 373,842
Keck Seng Malaysia Bhd........................... 2,454,400 2,834,756
Kenanga Investment Bank Bhd...................... 2,123,487 300,756
Kimlun Corp. Bhd................................. 912,902 320,416
# * KNM Group Bhd.................................... 24,453,390 1,275,362
* Kretam Holdings Bhd.............................. 3,429,400 336,921
# * KSL Holdings Bhd................................. 7,658,051 1,577,155
Kumpulan Fima BHD................................ 1,536,200 616,606
# Kumpulan Perangsang Selangor Bhd................. 1,874,707 754,222
Land & General Bhd............................... 31,014,620 1,204,690
* Landmarks Bhd.................................... 2,119,208 245,877
LBS Bina Group Bhd............................... 8,370,780 1,244,631
# * Lion Industries Corp. Bhd........................ 3,076,300 439,507
Lotte Chemical Titan Holding Bhd................. 258,800 221,153
# Magni-Tech Industries Bhd........................ 16,900 19,032
# Magnum Bhd....................................... 6,044,000 3,554,610
Mah Sing Group Bhd............................... 14,040,162 3,261,128
Malayan Banking Bhd.............................. 10,883,301 24,352,505
Malayan Flour Mills Bhd.......................... 4,901,775 888,553
* Malayan United Industries Bhd.................... 881,500 39,484
Malaysia Airports Holdings Bhd................... 601,254 1,110,430
# Malaysia Building Society Bhd.................... 14,808,404 3,565,622
* Malaysia Marine and Heavy Engineering Holdings
Bhd............................................ 2,335,400 443,890
* Malaysian Bulk Carriers Bhd...................... 4,315,625 607,034
Malaysian Pacific Industries Bhd................. 205,275 486,536
# Malaysian Resources Corp. Bhd.................... 24,219,700 6,039,015
Malton Bhd....................................... 3,899,500 571,562
Matrix Concepts Holdings Bhd..................... 683,200 317,546
# MBM Resources BHD................................ 1,944,003 1,415,854
# * Media Prima Bhd.................................. 6,626,700 737,832
Mega First Corp. Bhd............................. 1,864,700 1,782,491
MISC Bhd......................................... 12,569,904 20,999,544
Mitrajaya Holdings Bhd........................... 496,730 47,446
* MK Land Holdings Bhd............................. 224,000 10,031
MKH Bhd.......................................... 4,298,778 1,417,488
# MMC Corp. Bhd.................................... 10,572,580 2,685,320
# * MNRB Holdings Bhd................................ 5,589,959 1,378,820
* MPHB Capital Bhd................................. 178,400 45,359
# Muda Holdings Bhd................................ 1,409,900 621,443
* Mudajaya Group Bhd............................... 4,766,526 375,536
Muhibbah Engineering M Bhd....................... 4,202,300 2,901,446
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MALAYSIA -- (Continued)
# * Mulpha International Bhd........................... 1,983,560 $ 1,156,838
* Naim Holdings Bhd.................................. 2,121,850 570,224
* OCK Group Bhd...................................... 108,300 13,513
# Oriental Holdings BHD.............................. 3,258,979 5,351,583
# OSK Holdings Bhd................................... 11,566,506 2,756,857
Pacific & Orient Bhd............................... 199,452 48,223
Panasonic Manufacturing Malaysia Bhd............... 216,880 1,982,729
Pantech Group Holdings Bhd......................... 4,490,772 625,000
Paramount Corp. Bhd................................ 1,758,925 900,727
* Parkson Holdings Bhd............................... 4,355,328 268,915
# Petron Malaysia Refining & Marketing Bhd........... 233,600 385,062
# PIE Industrial Bhd................................. 181,200 68,473
# Pos Malaysia Bhd................................... 1,282,500 568,176
PPB Group Bhd...................................... 4,206,039 19,047,025
Protasco Bhd....................................... 1,079,229 73,087
RHB Bank Bhd....................................... 11,623,200 16,767,255
* Rimbunan Sawit Bhd................................. 6,810,000 402,020
* Sapura Energy Bhd.................................. 41,938,100 3,287,300
# Sarawak Oil Palms Bhd.............................. 677,967 429,276
Selangor Dredging Bhd.............................. 623,900 104,894
Selangor Properties Bhd............................ 75,300 114,042
Shangri-La Hotels Malaysia Bhd..................... 511,500 674,288
SHL Consolidated Bhd............................... 178,600 106,316
Sime Darby Bhd..................................... 19,859,700 11,154,897
Sime Darby Property Bhd............................ 5,860,700 1,573,756
SP Setia Bhd Group................................. 8,245,073 4,525,423
Star Media Group Bhd............................... 1,601,100 273,384
* Sumatec Resources Bhd.............................. 2,855,100 6,946
Sunway Bhd......................................... 16,829,369 6,802,281
Supermax Corp. Bhd................................. 1,740,400 636,374
Suria Capital Holdings Bhd......................... 989,280 340,101
Ta Ann Holdings Bhd................................ 2,438,126 1,386,573
TA Enterprise Bhd.................................. 17,599,500 2,767,436
TA Global Bhd...................................... 14,845,680 969,147
Tan Chong Motor Holdings Bhd....................... 3,394,200 1,337,599
TDM Bhd............................................ 7,441,814 377,818
TH Plantations Bhd................................. 849,700 111,397
Thong Guan Industries Bhd.......................... 114,200 74,358
TIME dotCom Bhd.................................... 2,715,380 5,877,714
* Tiong NAM Logistics Holdings....................... 1,474,262 212,285
Tropicana Corp. Bhd................................ 7,650,546 1,609,703
TSH Resources Bhd.................................. 95,400 23,804
Tune Protect Group Bhd............................. 1,821,900 306,812
UEM Edgenta Bhd.................................... 1,330,200 930,230
# UEM Sunrise Bhd.................................... 18,699,245 4,209,449
# United Malacca Bhd................................. 960,500 1,245,255
UOA Development Bhd................................ 8,522,800 4,656,910
# * Velesto Energy Bhd................................. 16,557,527 1,182,915
* Vivocom International Holdings Bhd................. 3,725,667 17,982
* Vizione Holdings Bhd............................... 1,111,771 298,734
VS Industry Bhd.................................... 16,271,100 4,495,542
* Wah Seong Corp. Bhd................................ 3,549,983 635,290
# WCT Holdings Bhd................................... 11,987,862 3,073,538
WTK Holdings Bhd................................... 4,434,150 681,466
Yinson Holdings Bhd................................ 471,200 551,785
# YNH Property Bhd................................... 5,092,450 2,046,591
YTL Corp. Bhd...................................... 58,955,243 16,090,140
* YTL Land & Development Bhd......................... 444,000 41,419
------------
TOTAL MALAYSIA.......................................... 528,665,885
------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MEXICO -- (3.2%)
ALEATICA S.A.B. de C.V............................. 43,335 $ 48,003
# Alfa S.A.B. de C.V., Class A....................... 32,768,205 33,014,082
# Alpek S.A.B. de C.V................................ 4,125,775 5,059,897
Arca Continental S.A.B. de C.V..................... 1,350,793 7,681,766
# Banco del Bajio SA................................. 818,806 1,760,037
Banco Santander Mexico SA Institucion de Banca
Multiple Grupo Financiero Santand, ADR........... 2,006,184 16,912,131
Banco Santander Mexico SA Institucion de Banca
Multiple Grupo Financiero Santand, Class B....... 5,479,867 9,200,679
# Becle S.A.B. de C.V................................ 1,245,274 1,921,996
* Bio Pappel S.A.B. de C.V........................... 418,232 529,691
# * Cemex S.A.B. de C.V................................ 4,082,443 1,890,723
# * Cemex S.A.B. de C.V., Sponsored ADR................ 8,230,918 37,862,220
Coca-Cola Femsa S.A.B. de C.V., Sponsored ADR...... 108,685 6,968,882
Coca-Cola Femsa S.A.B. de C.V...................... 1,106,840 7,040,011
Consorcio ARA S.A.B. de C.V., Series *............. 8,345,931 2,223,204
* Corp Interamericana de Entretenimiento S.A.B. de
C.V., Class B.................................... 1,519,014 1,074,093
Corp. Actinver S.A.B. de C.V....................... 105,133 72,371
Corpovael S.A. de C.V.............................. 800 633
Credito Real S.A.B. de C.V. SOFOM ER............... 1,437,906 1,661,070
Cydsa S.A.B. de C.V................................ 5,874 8,614
# Dine S.A.B. de C.V................................. 1,027,267 536,182
# El Puerto de Liverpool S.A.B. de C.V............... 729,806 4,721,204
Fomento Economico Mexicano S.A.B. de C.V.,
Sponsored ADR.................................... 673,264 65,703,833
* Genomma Lab Internacional S.A.B. de C.V., Class B.. 1,430,400 1,145,361
Gentera S.A.B. de C.V.............................. 1,760,597 1,609,429
* Grupo Aeromexico S.A.B. de C.V..................... 1,712,815 1,741,930
# Grupo Carso S.A.B. de C.V., Series A1.............. 5,636,112 21,881,175
# Grupo Cementos de Chihuahua S.A.B. de C.V.......... 2,025,875 11,603,144
Grupo Comercial Chedraui S.A. de C.V............... 3,281,329 6,456,123
Grupo Elektra S.A.B. de C.V........................ 243,767 12,987,020
* Grupo Famsa S.A.B. de C.V., Class A................ 2,095,552 718,497
Grupo Financiero Banorte S.A.B. de C.V............. 16,569,450 104,987,268
Grupo Financiero Inbursa S.A.B. de C.V............. 15,558,740 23,775,854
* Grupo Gigante S.A.B. de C.V., Series *............. 471,076 751,674
# Grupo Herdez S.A.B. de C.V., Series *.............. 977,438 2,104,113
Grupo Industrial Saltillo S.A.B. de C.V............ 1,363,406 1,528,260
Grupo KUO S.A.B. de C.V., Class B.................. 2,034,528 5,203,901
Grupo Lala S.A.B. de C.V........................... 285,453 381,553
Grupo Mexico S.A.B. de C.V., Series B.............. 37,305,803 109,510,250
* Grupo Pochteca S.A.B. de C.V....................... 67,810 22,695
Grupo Posadas S.A.B. de C.V........................ 328,713 624,213
# Grupo Rotoplas S.A.B. de C.V....................... 152,319 148,963
Grupo Sanborns S.A.B. de C.V....................... 1,389,018 1,377,460
# * Grupo Simec S.A.B. de C.V., Series B............... 953,957 2,926,620
* Grupo Sports World S.A.B. de C.V................... 293,561 294,060
Grupo Televisa S.A.B., Sponsored ADR............... 655,016 6,641,862
# Grupo Televisa S.A.B., Series CPO.................. 1,720,049 3,504,018
# * Hoteles City Express S.A.B. de C.V................. 441,758 454,627
Industrias Bachoco S.A.B. de C.V., Sponsored ADR... 30,390 1,489,110
Industrias Bachoco S.A.B. de C.V., Series B........ 1,571,410 6,428,128
# * Industrias CH S.A.B. de C.V., Series B............. 1,906,973 8,929,435
# Industrias Penoles S.A.B. de C.V................... 451,576 5,192,788
# * La Comer S.A.B. de C.V............................. 4,997,412 5,720,291
Medica Sur S.A.B. de C.V., Class B................. 1,000 1,345
# Mexichem S.A.B. de C.V............................. 10,214,475 23,723,455
* Minera Frisco S.A.B. de C.V., Class A1............. 7,052,683 1,506,685
Nemak S.A.B. de C.V................................ 3,726,648 2,048,327
* Organizacion Cultiba S.A.B. de C.V................. 157,421 139,504
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
MEXICO -- (Continued)
# * Organizacion Soriana S.A.B. de C.V., Class B....... 14,107,819 $ 17,086,180
Promotora y Operadora de Infraestructura S.A.B. de
C.V.............................................. 398,758 4,047,159
Promotora y Operadora de Infraestructura S.A.B. de
C.V., Class L.................................... 3,563 23,399
Qualitas Controladora S.A.B. de C.V................ 817,311 2,175,012
# TV Azteca S.A.B. de C.V............................ 9,572,299 1,040,152
Unifin Financiera S.A.B. de C.V. SOFOM ENR......... 440,722 985,698
# Vitro S.A.B. de C.V., Series A..................... 1,511,386 4,265,229
------------
TOTAL MEXICO............................................ 613,073,289
------------
PHILIPPINES -- (1.1%)
8990 Holdings, Inc................................. 1,057,900 292,131
ACR Mining Corp.................................... 105,455 6,792
Alliance Global Group, Inc......................... 37,464,706 10,756,814
Alsons Consolidated Resources, Inc................. 19,066,000 523,299
* Apex Mining Co., Inc............................... 2,248,000 56,071
* Atlas Consolidated Mining & Development Corp....... 5,118,500 283,842
Bank of the Philippine Islands..................... 2,582,373 4,207,462
BDO Unibank, Inc................................... 13,112,928 33,760,276
Belle Corp......................................... 4,041,000 188,002
Cebu Air, Inc...................................... 2,569,180 4,042,479
* CEMEX Holdings Philippines, Inc.................... 18,739,000 780,248
Century Properties Group, Inc...................... 25,977,400 249,267
China Banking Corp................................. 972,632 495,345
Cosco Capital, Inc................................. 17,705,600 2,538,436
DMCI Holdings, Inc................................. 3,290,900 704,958
* East West Banking Corp............................. 5,191,600 1,159,483
* EEI Corp........................................... 2,125,400 377,332
Emperador, Inc..................................... 1,340,900 191,242
* Empire East Land Holdings, Inc..................... 18,975,000 178,837
Filinvest Development Corp......................... 460,900 132,669
Filinvest Land, Inc................................ 151,950,031 4,489,609
First Philippine Holdings Corp..................... 3,887,080 5,876,600
* Global Ferronickel Holdings, Inc................... 7,872,176 229,658
GT Capital Holdings, Inc........................... 358,827 5,961,346
Integrated Micro-Electronics, Inc.................. 1,963,900 392,014
International Container Terminal Services, Inc..... 1,481,870 3,595,072
JG Summit Holdings, Inc............................ 13,312,510 16,856,361
Lopez Holdings Corp................................ 28,101,500 2,598,392
LT Group, Inc...................................... 17,465,000 5,377,597
Megaworld Corp..................................... 132,413,100 14,235,860
Metro Retail Stores Group, Inc..................... 1,545,000 101,788
Metropolitan Bank & Trust Co....................... 8,514,784 12,138,288
Nickel Asia Corp................................... 16,862,940 776,601
Pepsi-Cola Products Philippines, Inc............... 1,602,000 39,546
Petron Corp........................................ 23,046,800 2,740,924
Philex Mining Corp................................. 4,679,000 278,387
* Philippine National Bank........................... 4,319,133 4,350,227
* Philippine National Construction Corp.............. 398,900 7,035
Philippine Savings Bank............................ 1,869,373 2,079,595
Phinma Energy Corp................................. 23,376,000 717,733
Phoenix Petroleum Philippines, Inc................. 1,527,700 353,524
Pilipinas Shell Petroleum Corp..................... 170,230 147,790
Premium Leisure Corp............................... 7,012,000 98,303
RFM Corp........................................... 976,000 90,893
Rizal Commercial Banking Corp...................... 6,264,706 3,125,169
Robinsons Land Corp................................ 32,419,008 15,231,230
Robinsons Retail Holdings, Inc..................... 312,740 468,082
San Miguel Corp.................................... 6,239,056 21,623,888
San Miguel Food and Beverage, Inc.................. 253,200 563,255
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
PHILIPPINES -- (Continued)
Security Bank Corp................................. 2,005,054 $ 6,926,883
SSI Group, Inc..................................... 2,648,000 155,023
STI Education Systems Holdings, Inc................ 13,050,000 167,784
* Top Frontier Investment Holdings, Inc.............. 628,532 3,239,169
* Travellers International Hotel Group, Inc.......... 2,808,200 303,464
Union Bank Of Philippines.......................... 4,413,349 5,160,662
Vista Land & Lifescapes, Inc....................... 63,669,468 8,936,163
------------
TOTAL PHILIPPINES....................................... 210,358,900
------------
POLAND -- (1.3%)
* AB SA.............................................. 5,573 26,684
Agora SA........................................... 465,665 1,524,658
* Alior Bank SA...................................... 319,821 4,925,834
Alumetal SA........................................ 6,054 72,112
Amica SA........................................... 6,556 222,738
Asseco Poland SA................................... 1,103,475 15,324,539
Bank Handlowy w Warszawie SA....................... 35,592 579,431
* Bank Millennium SA................................. 4,115,409 10,397,936
Bank Pekao SA...................................... 6,427 191,821
* Boryszew SA........................................ 273,031 322,529
Ciech SA........................................... 136,582 1,712,553
Cognor SA.......................................... 156,283 76,704
* Cyfrowy Polsat SA.................................. 813,860 5,650,134
* Enea SA............................................ 2,462,151 4,929,615
Firma Oponiarska Debica SA......................... 59,770 1,347,746
* Getin Holding SA................................... 755,545 272,842
# * Getin Noble Bank SA................................ 948,327 119,488
Grupa Azoty SA..................................... 236,563 2,563,053
Grupa Kety SA...................................... 46,979 4,260,194
Grupa Lotos SA..................................... 1,270,205 27,675,183
* Impexmetal SA...................................... 2,378,349 2,589,137
# * Jastrzebska Spolka Weglowa SA...................... 175,136 2,666,189
Kernel Holding SA.................................. 477,026 6,625,823
* KGHM Polska Miedz SA............................... 1,293,233 34,917,838
LC Corp. SA........................................ 1,411,591 937,561
# * Lubelski Wegiel Bogdanka SA........................ 52,381 555,836
mBank SA........................................... 23,560 2,733,472
* Netia SA........................................... 2,014,102 2,624,872
* PGE Polska Grupa Energetyczna SA................... 6,784,656 16,890,634
* PKP Cargo SA....................................... 99,453 1,161,498
* Polnord SA......................................... 5,709 10,250
Polski Koncern Naftowy Orlen S.A................... 2,468,268 63,371,460
Powszechna Kasa Oszczednosci Bank Polski SA........ 1,707,753 17,577,669
Stalexport Autostrady SA........................... 189,773 173,085
Stalprodukt SA..................................... 3,659 330,715
* Tauron Polska Energia SA........................... 11,188,556 5,074,676
# Trakcja SA......................................... 455,344 302,442
------------
TOTAL POLAND............................................ 240,738,951
------------
RUSSIA -- (2.1%)
* AFI Development P.L.C., GDR........................ 16,827 3,135
Etalon Group P.L.C., GDR........................... 102,930 190,420
Gazprom PJSC, Sponsored ADR........................ 22,632,193 113,145,869
Gazprom PJSC, Sponsored ADR........................ 1,009,968 5,070,039
Lukoil PJSC, Sponsored ADR(BYZF386)................ 1,402,353 119,901,181
Lukoil PJSC, Sponsored ADR(BYZDW2900).............. 1,526,223 129,586,499
Magnitogorsk Iron & Steel Works PJSC, GDR.......... 650,611 5,796,608
Ros Agro P.L.C., GDR............................... 1,124 12,881
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
RUSSIA -- (Continued)
Rosneft Oil Co. PJSC, GDR.......................... 3,253,460 $ 21,642,016
RusHydro PJSC, ADR................................. 6,661,504 5,242,177
VEON, Ltd.......................................... 172,170 402,878
VTB Bank PJSC, GDR................................. 4,113,307 4,590,451
------------
TOTAL RUSSIA............................................ 405,584,154
------------
SINGAPORE -- (0.0%)
* Pacc Offshore Services Holdings, Ltd............... 1,129,525 150,351
------------
SOUTH AFRICA -- (6.7%)
Absa Group, Ltd.................................... 8,396,833 96,728,767
* Adcorp Holdings, Ltd............................... 946,143 1,448,059
AECI, Ltd.......................................... 1,762,421 11,779,745
African Oxygen, Ltd................................ 152,803 234,300
* African Phoenix Investments, Ltd................... 9,747,006 390,414
African Rainbow Minerals, Ltd...................... 1,985,204 23,647,535
Alexander Forbes Group Holdings, Ltd............... 6,539,178 2,495,448
Allied Electronics Corp., Ltd., Class A............ 128,358 184,961
Alviva Holdings, Ltd............................... 1,043,350 1,199,880
Anglo American Platinum, Ltd....................... 230,610 11,665,963
AngloGold Ashanti, Ltd............................. 1,921,898 22,866,469
AngloGold Ashanti, Ltd., Sponsored ADR............. 3,390,165 40,003,947
* ArcelorMittal South Africa, Ltd.................... 2,595,706 553,299
* Ascendis Health, Ltd............................... 171,417 53,130
Aspen Pharmacare Holdings, Ltd..................... 1,864,971 13,438,765
Assore, Ltd........................................ 101,418 2,632,265
Astral Foods, Ltd.................................. 42,426 538,252
# * Aveng, Ltd......................................... 85,419,618 119,671
Barloworld, Ltd.................................... 4,026,341 35,965,204
# * Blue Label Telecoms, Ltd........................... 3,405,788 1,170,741
# * Brait SE........................................... 2,567,253 4,123,230
Caxton and CTP Publishers and Printers, Ltd........ 2,959,784 1,661,664
Clover Industries, Ltd............................. 1,515,598 2,423,147
* DataTec, Ltd....................................... 4,630,574 10,605,173
# DRDGOLD, Ltd....................................... 5,442,943 1,069,228
* enX Group, Ltd..................................... 391,330 353,608
# * EOH Holdings, Ltd.................................. 527,922 754,486
Exxaro Resources, Ltd.............................. 2,604,099 29,799,238
Gold Fields, Ltd................................... 2,282,800 8,603,216
# Gold Fields, Ltd., Sponsored ADR................... 12,618,767 47,320,376
* Grindrod Shipping Holdings, Ltd.................... 180,623 931,996
Grindrod, Ltd...................................... 7,282,414 3,903,879
* Harmony Gold Mining Co., Ltd....................... 1,956,999 3,352,917
# * Harmony Gold Mining Co., Ltd., Sponsored ADR....... 491,788 855,711
Hudaco Industries, Ltd............................. 168,404 1,571,938
Hulamin, Ltd....................................... 1,953,365 593,922
# * Impala Platinum Holdings, Ltd...................... 5,427,700 21,828,545
Imperial Logistics, Ltd............................ 2,349,675 10,278,611
Investec, Ltd...................................... 3,180,915 20,354,478
Invicta Holdings, Ltd.............................. 93,463 175,673
KAP Industrial Holdings, Ltd....................... 7,152,927 3,684,995
Kumba Iron Ore, Ltd................................ 377,577 11,355,217
Lewis Group, Ltd................................... 1,552,682 3,404,501
Liberty Holdings, Ltd.............................. 1,745,199 12,634,155
Life Healthcare Group Holdings, Ltd................ 2,150,101 3,921,743
Long4Life, Ltd..................................... 1,083,039 376,944
Merafe Resources, Ltd.............................. 24,677,197 2,358,081
# Metair Investments, Ltd............................ 1,669,284 2,749,327
MMI Holdings, Ltd.................................. 16,965,267 21,213,639
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SOUTH AFRICA -- (Continued)
Motus Holdings Ltd................................. 42,547 $ 264,576
Mpact, Ltd......................................... 2,843,639 4,717,215
# MTN Group, Ltd..................................... 21,421,193 155,199,279
Murray & Roberts Holdings, Ltd..................... 6,948,515 7,406,198
* Nampak, Ltd........................................ 5,601,515 4,108,726
# Nedbank Group, Ltd................................. 3,285,941 61,294,951
Novus Holdings, Ltd................................ 267,647 74,205
# Old Mutual, Ltd.................................... 5,071,720 8,157,835
# Omnia Holdings, Ltd................................ 746,296 3,031,019
Peregrine Holdings, Ltd............................ 1,540,786 2,086,825
* PPC, Ltd........................................... 9,875,599 3,441,589
Raubex Group, Ltd.................................. 2,256,689 3,432,589
# RCL Foods, Ltd..................................... 159,113 153,151
Reunert, Ltd....................................... 1,200,060 6,507,375
Rhodes Food Group Pty, Ltd......................... 23,326 29,385
* Royal Bafokeng Platinum, Ltd....................... 574,255 1,360,139
Sappi, Ltd......................................... 7,787,230 37,184,522
# Sasol, Ltd......................................... 3,327,411 110,391,586
# Sasol, Ltd., Sponsored ADR......................... 1,548,605 51,103,965
# * Sibanye Gold, Ltd.................................. 10,071,562 9,482,158
# * Sibanye Gold, Ltd., Sponsored ADR.................. 2,498,559 9,419,569
Standard Bank Group, Ltd........................... 16,505,640 230,515,279
# * Steinhoff International Holdings NV................ 23,998,309 3,451,422
* Super Group, Ltd................................... 4,871,573 12,549,578
# Telkom SA SOC, Ltd................................. 5,022,540 29,892,923
Tongaat Hulett, Ltd................................ 1,558,340 2,330,221
Trencor, Ltd....................................... 1,646,638 2,916,467
Tsogo Sun Holdings, Ltd............................ 2,766,053 4,163,540
Wilson Bayly Holmes-Ovcon, Ltd..................... 621,792 4,904,875
--------------
TOTAL SOUTH AFRICA...................................... 1,268,947,615
--------------
SOUTH KOREA -- (16.5%)
# Aekyung Petrochemical Co., Ltd..................... 182,088 1,425,920
AJ Networks Co., Ltd............................... 71,995 377,393
# * AJ Rent A Car Co., Ltd............................. 156,989 1,507,583
# * Ajin Industrial Co., Ltd........................... 98,707 221,832
AK Holdings, Inc................................... 27,619 1,221,819
ALUKO Co., Ltd..................................... 13,515 31,223
* APS Holdings Corp.................................. 38,646 144,215
# Asia Cement Co., Ltd............................... 20,519 1,783,087
# ASIA Holdings Co., Ltd............................. 14,861 1,635,885
# Asia Paper Manufacturing Co., Ltd.................. 73,595 2,687,912
* Asiana Airlines, Inc............................... 1,218,203 6,904,227
# AUK Corp........................................... 400,076 945,754
# Austem Co., Ltd.................................... 335,589 969,992
Avaco Co., Ltd..................................... 48,579 289,051
Baiksan Co., Ltd................................... 17,172 133,589
BGF Co., Ltd....................................... 282,831 1,995,641
Bixolon Co., Ltd................................... 32,698 173,952
# * Bluecom Co., Ltd................................... 78,495 281,579
BNK Financial Group, Inc........................... 3,074,361 18,449,411
# Bookook Securities Co., Ltd........................ 34,569 633,584
* Bubang Co., Ltd.................................... 10,960 27,379
Busan City Gas Co., Ltd............................ 2,708 89,890
BYC Co., Ltd....................................... 752 165,951
Byucksan Corp...................................... 323,207 772,837
# Capro Corp......................................... 401,917 1,583,070
Castec Korea Co., Ltd.............................. 17,797 54,762
Chinyang Holdings Corp............................. 105,928 231,108
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# Chokwang Paint, Ltd.............................. 75,208 $ 452,800
# Chongkundang Holdings Corp....................... 17,451 1,140,205
# Chosun Refractories Co., Ltd..................... 9,716 716,468
CJ CheilJedang Corp.............................. 18,041 4,867,040
CJ Corp.......................................... 123,555 12,636,926
CJ Hello Co., Ltd................................ 474,905 3,518,496
CKD Bio Corp..................................... 28,938 609,859
# Cosmax BTI, Inc.................................. 40,113 791,029
CROWNHAITAI Holdings Co., Ltd.................... 49,193 502,490
Cymechs, Inc..................................... 6,384 61,769
# D.I Corp......................................... 267,068 1,067,978
# Dae Dong Industrial Co., Ltd..................... 187,650 948,342
Dae Han Flour Mills Co., Ltd..................... 14,982 2,652,112
# Dae Hyun Co., Ltd................................ 338,986 770,325
# Dae Won Kang Up Co., Ltd......................... 368,376 1,614,412
# * Dae Young Packaging Co., Ltd..................... 812,054 879,159
# Daechang Co., Ltd................................ 656,070 621,602
Daechang Forging Co., Ltd........................ 3,535 124,314
Daeduck Electronics Co........................... 499,842 4,537,689
# Daegu Department Store........................... 71,060 431,607
# Daehan Steel Co., Ltd............................ 185,618 1,035,045
# Dae-Il Corp...................................... 146,397 791,752
Daekyo Co., Ltd.................................. 184,455 975,020
Daelim B&Co Co., Ltd............................. 17,858 77,984
# * Daelim C&S Co., Ltd.............................. 22,478 211,899
Daelim Industrial Co., Ltd....................... 317,354 26,332,355
Daeryuk Can Co., Ltd............................. 2,323 11,636
Daesang Corp..................................... 316,559 7,200,378
Daesang Holdings Co., Ltd........................ 180,337 1,264,467
Daewon San Up Co., Ltd........................... 61,406 357,456
* Daewoo Engineering & Construction Co., Ltd....... 1,803,514 7,794,360
* Daewoo Shipbuilding & Marine Engineering Co.,
Ltd............................................ 319,791 7,970,507
* Dahaam E-Tec Co., Ltd............................ 3,535 82,463
# Daishin Securities Co., Ltd...................... 545,344 5,959,793
# Daou Data Corp................................... 138,815 1,148,107
# Daou Technology, Inc............................. 474,297 9,003,353
# * Dayou Automotive Seat Technology Co., Ltd........ 117,031 119,111
# * Dayou Plus Co., Ltd.............................. 51,812 42,593
DB Financial Investment Co., Ltd................. 426,045 1,866,552
DB HiTek Co., Ltd................................ 176,891 2,424,152
DB Insurance Co., Ltd............................ 79,293 4,645,374
* DB, Inc.......................................... 426,494 318,193
DCM Corp......................................... 5,497 55,052
# * Deutsch Motors, Inc.............................. 200,743 1,347,709
# Development Advance Solution Co., Ltd............ 97,050 598,648
# DGB Financial Group, Inc......................... 2,027,056 14,612,452
# Display Tech Co., Ltd............................ 43,544 151,292
DMS Co., Ltd..................................... 191,327 928,514
Dong A Eltek Co., Ltd............................ 90,795 695,071
Dong Ah Tire & Rubber Co., Ltd................... 5,165 57,930
Dong-A Socio Holdings Co., Ltd................... 5,512 510,114
# Dong-Ah Geological Engineering Co., Ltd.......... 84,391 1,318,116
# Dongbang Transport Logistics Co., Ltd............ 302,271 551,951
Dongbu Corp...................................... 30,646 216,634
Dong-Il Corp..................................... 19,321 1,652,372
# Dongil Industries Co., Ltd....................... 19,900 1,050,884
# Dongkuk Industries Co., Ltd...................... 429,695 1,045,674
* Dongkuk Steel Mill Co., Ltd...................... 1,017,464 6,588,691
# DONGSUNG Corp.................................... 218,586 1,055,092
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# Dongwha Enterprise Co., Ltd........................ 26,388 $ 412,481
Dongwha Pharm Co., Ltd............................. 37,344 313,010
Dongwon Development Co., Ltd....................... 453,393 1,845,511
Dongwon Industries Co., Ltd........................ 8,471 1,938,027
# Dongwoo Farm To Table Co., Ltd..................... 14,971 55,544
# Dongyang E&P, Inc.................................. 37,218 320,308
Doosan Bobcat, Inc................................. 258,678 7,093,170
Doosan Corp........................................ 83,771 7,364,891
# * Doosan Heavy Industries & Construction Co., Ltd.... 969,262 5,809,122
# * Doosan Infracore Co., Ltd.......................... 2,430,780 15,145,289
# DRB Holding Co., Ltd............................... 117,552 649,048
# DTR Automotive Corp................................ 50,162 1,499,298
DY Corp............................................ 211,585 1,054,640
e Tec E&C, Ltd..................................... 10,099 957,549
Eagon Holdings Co., Ltd............................ 385,141 1,028,231
# Eagon Industrial, Ltd.............................. 105,000 930,494
# Easy Bio, Inc...................................... 552,747 3,828,199
# e-LITECOM Co., Ltd................................. 87,616 518,277
E-MART, Inc........................................ 233,776 34,477,742
# ENF Technology Co., Ltd............................ 112,574 1,832,780
# Eugene Corp........................................ 714,143 3,773,777
# Eugene Investment & Securities Co., Ltd............ 1,113,895 2,615,585
* Eusu Holdings Co., Ltd............................. 84,644 641,280
# EVERDIGM Corp...................................... 36,984 190,201
# * FarmStory Co., Ltd................................. 739,942 960,978
Fine Semitech Corp................................. 23,873 161,573
# * Fine Technix Co., Ltd.............................. 193,415 292,769
# Fursys, Inc........................................ 28,479 895,011
# Gaon Cable Co., Ltd................................ 28,266 447,899
Geumhwa PSC Co., Ltd............................... 490 14,558
# GMB Korea Corp..................................... 105,900 705,611
# Golfzon Newdin Holdings Co., Ltd................... 311,182 989,581
GS Engineering & Construction Corp................. 593,061 20,634,515
# GS Global Corp..................................... 712,614 1,623,240
GS Holdings Corp................................... 730,481 32,553,755
GS Home Shopping, Inc.............................. 2,245 329,344
Gwangju Shinsegae Co., Ltd......................... 6,906 1,169,196
Haitai Confectionery & Foods Co., Ltd.............. 6,605 57,739
# * Halla Corp......................................... 263,583 917,715
Halla Holdings Corp................................ 126,761 4,807,247
# Han Kuk Carbon Co., Ltd............................ 231,961 1,682,920
Hana Financial Group, Inc.......................... 3,990,767 125,871,708
# Hana Micron, Inc................................... 200,404 912,351
Handsome Co., Ltd.................................. 146,627 5,378,501
Hanil Cement Co., Ltd.............................. 24,093 3,029,822
# Hanil Holdings Co., Ltd............................ 20,065 979,743
# * Hanjin Heavy Industries & Construction Co., Ltd.... 571,915 805,376
# * Hanjin Heavy Industries & Construction Holdings
Co., Ltd......................................... 179,841 565,126
# Hanjin Kal Corp.................................... 360,307 11,421,647
# Hanjin Transportation Co., Ltd..................... 144,886 5,242,506
Hankook Tire Co., Ltd.............................. 602,727 20,508,340
# Hankuk Paper Manufacturing Co., Ltd................ 38,692 621,656
Hansae Yes24 Holdings Co., Ltd..................... 4,416 36,513
Hanshin Construction............................... 85,445 1,334,973
# * Hansol Holdings Co., Ltd........................... 524,455 2,096,086
# Hansol HomeDeco Co., Ltd........................... 1,063,396 1,337,530
Hansol Paper Co., Ltd.............................. 253,221 3,241,410
# * Hansol Technics Co., Ltd........................... 201,562 1,081,433
* Hanwha Aerospace Co., Ltd.......................... 367,791 9,735,609
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Hanwha Chemical Corp............................... 1,417,649 $ 25,053,495
Hanwha Corp........................................ 722,482 18,330,997
# Hanwha Galleria Timeworld Co., Ltd................. 5,778 150,904
Hanwha General Insurance Co., Ltd.................. 691,548 2,977,303
# * Hanwha Investment & Securities Co., Ltd............ 1,308,017 2,644,984
Hanwha Life Insurance Co., Ltd..................... 4,538,676 15,516,746
Hanyang Eng Co., Ltd............................... 153,087 2,054,239
# Hanyang Securities Co., Ltd........................ 97,444 596,284
# * Harim Co., Ltd..................................... 178,051 534,668
# Harim Holdings Co., Ltd............................ 133,945 1,540,254
HDC Holdings Co., Ltd.............................. 466,485 6,878,768
HDC Hyundai Engineering Plastics Co., Ltd.......... 126,055 601,783
# * Heung-A Shipping Co., Ltd.......................... 2,197,266 660,756
# * Heungkuk Fire & Marine Insurance Co., Ltd.......... 137,832 579,453
Hite Jinro Co., Ltd................................ 340,172 5,914,846
Hitejinro Holdings Co., Ltd........................ 114,200 898,323
# HJ Magnolia Yongpyong Hotel & Resort Corp.......... 77,198 471,989
# HS R&A Co., Ltd.................................... 501,663 956,799
# * HSD Engine Co., Ltd................................ 77,848 265,340
# * Humax Co., Ltd..................................... 182,229 1,076,433
* Huneed Technologies................................ 48,132 384,661
Husteel Co., Ltd................................... 16,188 168,235
# Huvis Corp......................................... 195,376 1,356,963
# Hwa Shin Co., Ltd.................................. 247,915 748,199
# Hwacheon Machine Tool Co., Ltd..................... 14,514 532,575
# Hwangkum Steel & Technology Co., Ltd............... 114,189 864,726
HwaSung Industrial Co., Ltd........................ 114,076 1,461,021
Hy-Lok Corp........................................ 55,372 934,554
* Hyosung Advanced Materials Corp.................... 2,061 228,679
Hyosung Chemical Corp.............................. 1,451 172,004
Hyosung Corp....................................... 15,145 973,871
Hyosung TNC Co., Ltd............................... 2,944 418,844
# Hyundai BNG Steel Co., Ltd......................... 147,362 1,295,032
# Hyundai Construction Equipment Co., Ltd............ 151,125 6,348,857
Hyundai Corp Holdings, Inc......................... 44,874 547,812
# Hyundai Corp....................................... 61,068 1,223,746
Hyundai Department Store Co., Ltd.................. 235,472 20,476,112
# * Hyundai Electric & Energy System Co., Ltd.......... 20,968 424,565
Hyundai Engineering & Construction Co., Ltd........ 744,173 33,482,821
Hyundai Glovis Co., Ltd............................ 31,115 4,256,510
Hyundai Greenfood Co., Ltd......................... 453,956 5,424,084
# * Hyundai Heavy Industries Co., Ltd.................. 343,598 36,689,284
Hyundai Heavy Industries Holdings Co., Ltd......... 121,522 35,595,860
Hyundai Home Shopping Network Corp................. 55,879 4,786,962
Hyundai Hy Communications & Networks Co., Ltd...... 436,902 1,582,914
Hyundai Livart Furniture Co., Ltd.................. 77,880 1,395,890
Hyundai Marine & Fire Insurance Co., Ltd........... 221,095 7,236,462
# Hyundai Mipo Dockyard Co., Ltd..................... 237,881 11,473,757
Hyundai Mobis Co., Ltd............................. 512,294 102,189,901
Hyundai Motor Co................................... 1,066,375 126,579,226
Hyundai Motor Securities Co., Ltd.................. 230,719 2,012,825
Hyundai Steel Co................................... 1,155,612 45,892,826
# Hyundai Wia Corp................................... 184,792 7,906,459
# IDIS Holdings Co., Ltd............................. 42,253 562,099
# * Iljin Electric Co., Ltd............................ 239,602 726,227
Iljin Holdings Co., Ltd............................ 120,743 409,485
# Ilshin Spinning Co., Ltd........................... 17,863 1,583,566
# Ilsung Pharmaceuticals Co., Ltd.................... 9,407 745,648
iMarketKorea, Inc.................................. 190,417 1,587,817
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Industrial Bank of Korea........................... 3,427,427 $ 41,561,514
INITECH Co., Ltd................................... 31,597 164,326
# * Intergis Co., Ltd.................................. 49,180 103,650
# Interpark Holdings Corp............................ 507,741 1,079,654
INTOPS Co., Ltd.................................... 191,036 2,674,390
# Inzi Controls Co., Ltd............................. 173,688 1,067,465
# INZI Display Co., Ltd.............................. 244,705 416,881
* Iones Co., Ltd..................................... 83,897 549,468
# IS Dongseo Co., Ltd................................ 78,490 2,443,635
# ISC Co., Ltd....................................... 103,788 1,025,641
# ISU Chemical Co., Ltd.............................. 145,929 1,263,484
# Jahwa Electronics Co., Ltd......................... 103,866 1,159,665
JB Financial Group Co., Ltd........................ 1,744,618 8,501,135
# Kangnam Jevisco Co., Ltd........................... 41,716 969,184
# KAON Media Co., Ltd................................ 110,468 964,175
KB Financial Group, Inc............................ 2,237,478 88,347,642
KB Financial Group, Inc., ADR...................... 3,003,621 118,733,099
* KB Metal Co., Ltd.................................. 33,213 56,626
# * KBI Dongkook Industrial Co., Ltd................... 661,873 519,887
KC Co., Ltd........................................ 98,742 1,375,429
# KC Green Holdings Co., Ltd......................... 90,159 453,366
KCC Corp........................................... 52,982 16,101,966
KCC Engineering & Construction Co., Ltd............ 60,568 382,043
KCTC............................................... 3,399 9,965
# * KEC Corp........................................... 1,304,851 1,428,529
# Keyang Electric Machinery Co., Ltd................. 264,942 881,107
# KG Chemical Corp................................... 98,299 1,212,903
# KG Eco Technology Service Co., Ltd................. 436,927 1,491,690
# KGMobilians Co., Ltd............................... 149,720 925,339
# * KH Vatec Co., Ltd.................................. 153,792 1,100,031
Kia Motors Corp.................................... 2,598,979 100,746,534
# KISCO Corp......................................... 262,696 1,349,796
# KISCO Holdings Co., Ltd............................ 66,442 772,402
# Kishin Corp........................................ 107,298 367,807
KISWIRE, Ltd....................................... 94,457 2,074,795
# KIWOOM Securities Co., Ltd......................... 112,009 7,901,691
# * KleanNara Co., Ltd................................. 110,992 267,304
KMH Co., Ltd....................................... 98,465 646,758
# * Kodaco Co., Ltd.................................... 291,772 548,251
# Kolon Corp......................................... 55,393 1,295,130
# Kolon Global Corp.................................. 41,349 433,853
Kolon Industries, Inc.............................. 232,624 9,223,214
# Komelon Corp....................................... 33,167 230,482
# Kook Soon Dang Brewery Co., Ltd.................... 112,565 427,990
# Korea Alcohol Industrial Co., Ltd.................. 160,870 1,224,626
Korea Asset In Trust Co., Ltd...................... 205,206 745,469
# Korea Autoglass Corp............................... 82,390 1,411,609
# Korea Cast Iron Pipe Industries Co., Ltd........... 33,557 293,162
# * Korea Circuit Co., Ltd............................. 149,135 774,432
Korea Electric Terminal Co., Ltd................... 36,311 1,806,258
Korea Export Packaging Industrial Co., Ltd......... 4,498 88,011
* Korea Flange Co., Ltd.............................. 303,789 457,329
Korea Investment Holdings Co., Ltd................. 590,627 34,673,010
* Korea Line Corp.................................... 102,990 2,113,401
Korea Petrochemical Ind Co., Ltd................... 43,313 5,575,864
# Korea Petroleum Industries Co...................... 1,552 157,425
Korea Real Estate Investment & Trust Co., Ltd...... 824,777 1,838,410
Korean Air Lines Co., Ltd.......................... 635,027 18,035,019
Korean Reinsurance Co.............................. 1,205,708 9,414,080
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# Kortek Corp........................................ 140,429 $ 1,839,707
# KPX Chemical Co., Ltd.............................. 23,339 1,130,050
# KSS LINE, Ltd...................................... 140,622 872,159
KT Skylife Co., Ltd................................ 175,369 1,771,785
# KT Submarine Co., Ltd.............................. 22,384 71,438
# * KTB Investment & Securities Co., Ltd............... 733,359 1,991,653
# KTCS Corp.......................................... 403,554 829,557
Ktis Corp.......................................... 218,841 483,399
# Kukdo Chemical Co., Ltd............................ 38,571 1,526,490
# Kukdong Oil & Chemicals Co., Ltd................... 26,930 87,087
# Kumho Industrial Co., Ltd.......................... 7,575 93,100
# * Kumho Tire Co., Inc................................ 772,971 2,992,445
# Kumkang Kind Co., Ltd.............................. 19,221 400,660
# Kwang Dong Pharmaceutical Co., Ltd................. 32,278 203,517
# Kyeryong Construction Industrial Co., Ltd.......... 50,723 1,094,920
Kyobo Securities Co., Ltd.......................... 317,865 2,829,964
# Kyungbang Co., Ltd................................. 147,273 1,410,879
Kyungchang Industrial Co., Ltd..................... 8,656 10,514
Kyung-In Synthetic Corp............................ 109,258 607,524
# LEADCORP, Inc. (The)............................... 182,863 959,743
* Lee Ku Industrial Co., Ltd......................... 102,941 191,433
LF Corp............................................ 324,942 6,939,274
LG Corp............................................ 792,305 49,545,333
# * LG Display Co., Ltd., ADR.......................... 4,048,932 33,808,582
* LG Display Co., Ltd................................ 1,617,796 27,510,239
LG Electronics, Inc................................ 1,568,275 101,894,041
# LG Hausys, Ltd..................................... 73,396 3,821,437
LG International Corp.............................. 376,771 6,140,781
LG Uplus Corp...................................... 1,672,864 20,491,193
# LMS Co., Ltd....................................... 47,891 270,110
LOT Vacuum Co., Ltd................................ 98,332 938,014
Lotte Chemical Corp................................ 236,303 54,446,538
Lotte Chilsung Beverage Co., Ltd................... 861 1,275,850
Lotte Confectionery Co., Ltd....................... 54 8,485
Lotte Corp......................................... 86,233 3,623,634
LOTTE Fine Chemical Co., Ltd....................... 184,639 7,610,301
Lotte Food Co., Ltd................................ 1,198 646,844
# LOTTE Himart Co., Ltd.............................. 111,258 4,528,211
# * Lotte Non-Life Insurance Co., Ltd.................. 744,668 1,756,690
Lotte Shopping Co., Ltd............................ 122,576 18,714,613
LS Corp............................................ 211,167 8,965,927
* Lumens Co., Ltd.................................... 440,737 857,013
# * LVMC Holdings...................................... 173,671 396,761
Maeil Holdings Co., Ltd............................ 11,288 122,709
# Mando Corp......................................... 182,954 5,237,804
MegaStudy Co., Ltd................................. 32,163 368,643
* Melfas, Inc........................................ 5,474 12,120
Meritz Financial Group, Inc........................ 215,934 2,444,324
# Meritz Securities Co., Ltd......................... 4,846,908 21,035,454
# Mi Chang Oil Industrial Co., Ltd................... 7,099 483,425
Mirae Asset Daewoo Co., Ltd........................ 4,797,673 32,107,892
Mirae Asset Life Insurance Co., Ltd................ 791,081 3,589,542
MK Electron Co., Ltd............................... 223,969 1,645,365
# * MNTech Co., Ltd.................................... 248,755 877,738
Mobase Co., Ltd.................................... 159,085 782,834
# Moorim P&P Co., Ltd................................ 367,245 1,920,783
# Moorim Paper Co., Ltd.............................. 304,607 935,986
# Motonic Corp....................................... 100,277 1,084,996
# Muhak Co., Ltd..................................... 80,921 941,074
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Namyang Dairy Products Co., Ltd.................... 4,517 $ 2,375,521
* Neowiz............................................. 33,577 376,308
# * NEOWIZ HOLDINGS Corp............................... 76,012 879,135
* New Power Plasma Co., Ltd.......................... 23,576 388,519
# Nexen Corp......................................... 251,411 1,369,798
# Nexen Tire Corp.................................... 361,168 3,112,744
NH Investment & Securities Co., Ltd................ 2,039,549 24,063,464
* NHN Corp........................................... 88,217 6,349,547
Nice Information & Telecommunication, Inc.......... 4,203 76,769
# Nong Shim Holdings Co., Ltd........................ 25,423 1,876,410
NongShim Co., Ltd.................................. 29,301 7,040,341
# NOROO Paint & Coatings Co., Ltd.................... 116,553 784,655
# NPC................................................ 116,690 398,189
NS Shopping Co., Ltd............................... 76,038 931,262
OCI Co., Ltd....................................... 247,400 19,736,557
Opto Device Technology Co., Ltd.................... 58,130 288,420
Orange Life Insurance, Ltd......................... 124,488 3,796,035
Orion Holdings Corp................................ 180,047 2,947,198
Paik Kwang Industrial Co., Ltd..................... 239,367 621,501
* Pan Ocean Co., Ltd................................. 2,482,134 10,136,110
Pang Rim Co., Ltd.................................. 29,400 60,144
Pan-Pacific Co., Ltd............................... 106,975 269,166
# Poongsan Corp...................................... 336,983 8,037,166
# Poongsan Holdings Corp............................. 60,932 2,125,565
# POSCO, Sponsored ADR............................... 1,487,744 82,078,836
POSCO.............................................. 694,466 152,007,145
# POSCO Coated & Color Steel Co., Ltd................ 32,979 548,397
Posco International Corp........................... 601,331 9,427,818
Protec Co., Ltd.................................... 33,803 586,830
# PS TEC Co., Ltd.................................... 35,164 137,607
Pulmuone Co., Ltd.................................. 4,780 527,860
# Pyeong Hwa Automotive Co., Ltd..................... 156,969 1,480,680
# * RFTech Co., Ltd.................................... 195,968 1,110,339
S&T Dynamics Co., Ltd.............................. 296,345 1,950,414
# S&T Holdings Co., Ltd.............................. 111,470 1,259,365
S&T Motiv Co., Ltd................................. 115,765 3,778,710
Sajo Industries Co., Ltd........................... 38,017 1,920,052
# Sam Young Electronics Co., Ltd..................... 155,438 1,694,083
Sambo Corrugated Board Co., Ltd.................... 34,495 353,521
# Sambo Motors Co., Ltd.............................. 160,079 969,602
# Samho Development Co., Ltd......................... 211,521 917,087
Samho International Co., Ltd....................... 5,198 80,687
# SAMHWA Paints Industrial Co., Ltd.................. 107,642 557,357
# Samick Musical Instruments Co., Ltd................ 716,750 1,366,027
# Samji Electronics Co., Ltd......................... 140,335 1,299,864
Samjin LND Co., Ltd................................ 92,054 202,504
# Samkee Automotive Co., Ltd......................... 104,071 246,611
Samkwang Glass Co., Ltd............................ 2,678 98,830
Sammok S-Form Co., Ltd............................. 66,256 788,779
# * SAMPYO Cement Co., Ltd............................. 345,858 1,077,374
Samsung C&T Corp................................... 456,123 40,091,817
Samsung Card Co., Ltd.............................. 335,569 10,668,127
Samsung Fire & Marine Insurance Co., Ltd........... 53,985 14,053,975
* Samsung Heavy Industries Co., Ltd.................. 4,070,394 28,709,010
Samsung Life Insurance Co., Ltd.................... 851,300 61,922,201
Samsung SDI Co., Ltd............................... 52,377 10,634,941
Samsung Securities Co., Ltd........................ 825,273 25,220,442
SAMT Co., Ltd...................................... 655,192 1,032,485
# Samyang Corp....................................... 42,469 2,236,240
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Samyang Holdings Corp.............................. 62,869 $ 4,325,686
# Samyang Tongsang Co., Ltd.......................... 22,283 1,148,205
# SAVEZONE I&C Corp.................................. 94,588 311,788
* SBS Media Holdings Co., Ltd........................ 488,064 995,280
Seah Besteel Corp.................................. 223,999 3,767,653
# SeAH Holdings Corp................................. 12,963 1,072,637
SeAH Steel Corp.................................... 24,338 1,342,706
# SeAH Steel Holdings Corp........................... 23,988 1,150,882
Sebang Co., Ltd.................................... 153,120 1,916,280
Sebang Global Battery Co., Ltd..................... 101,308 4,145,512
Sebo Manufacturing Engineer Corp................... 39,565 364,201
# Sejong Industrial Co., Ltd......................... 200,279 1,265,370
# * Sejoong Co., Ltd................................... 74,223 220,178
# * Sekonix Co., Ltd................................... 133,733 863,756
# S-Energy Co., Ltd.................................. 40,484 183,790
# Seohan Co., Ltd.................................... 661,074 1,008,094
Seohee Construction Co., Ltd....................... 2,314,254 2,483,960
SEOWONINTECH Co., Ltd.............................. 16,998 80,438
# Seoyon Co., Ltd.................................... 131,812 531,159
Seoyon E-Hwa Co., Ltd.............................. 92,868 586,023
Sewon Precision Industry Co., Ltd.................. 1,457 10,599
# * SFA Semicon Co., Ltd............................... 621,936 1,309,643
* SG Corp............................................ 29,677 20,713
# * SG&G Corp.......................................... 291,585 507,943
# Shindaeyang Paper Co., Ltd......................... 24,283 1,725,774
Shinhan Financial Group Co., Ltd................... 2,592,282 97,975,006
# Shinhan Financial Group Co., Ltd., ADR............. 1,406,701 53,313,967
# Shinsegae Engineering & Construction Co., Ltd...... 16,765 439,425
Shinsegae Food Co., Ltd............................ 1,939 149,199
Shinsegae Information & Communication Co., Ltd..... 3,820 461,921
Shinsegae, Inc..................................... 87,988 25,639,696
# * Shinsung Tongsang Co., Ltd......................... 881,967 721,700
# * Shinwha Intertek Corp.............................. 125,015 253,921
# * Shinwon Corp....................................... 181,086 303,645
Shinyoung Securities Co., Ltd...................... 46,987 2,366,644
# * Signetics Corp..................................... 799,767 1,096,066
# Silla Co., Ltd..................................... 70,200 895,156
SIMMTECH Co., Ltd.................................. 197,539 1,160,724
# Simmtech Holding Co., Ltd.......................... 3,959 6,865
SIMPAC, Inc........................................ 143,838 316,658
Sindoh Co., Ltd.................................... 61,585 2,645,642
SK Discovery Co., Ltd.............................. 192,652 5,014,089
# SK Gas, Ltd........................................ 60,978 4,478,520
SK Innovation Co., Ltd............................. 880,786 137,718,665
SK Networks Co., Ltd............................... 1,836,089 9,213,207
# SK Securities Co., Ltd............................. 2,864,051 1,739,703
SKC Co., Ltd....................................... 307,350 9,410,779
SL Corp............................................ 211,707 4,405,695
* SNU Precision Co., Ltd............................. 11,913 30,588
# * Ssangyong Motor Co................................. 375,901 1,702,049
# Sun Kwang Co., Ltd................................. 32,999 507,568
Sunchang Corp...................................... 54,825 257,975
# Sung Kwang Bend Co., Ltd........................... 156,885 1,566,328
* Sungchang Enterprise Holdings, Ltd................. 326,002 584,829
# Sungdo Engineering & Construction Co., Ltd......... 148,317 775,878
# Sungshin Cement Co., Ltd........................... 336,014 2,843,784
Sungwoo Hitech Co., Ltd............................ 839,253 3,501,860
# Sunjin Co., Ltd.................................... 36,614 401,662
# Tae Kyung Industrial Co., Ltd...................... 152,886 765,923
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SOUTH KOREA -- (Continued)
Taekwang Industrial Co., Ltd....................... 5,258 $ 6,746,685
* Taewoong Co., Ltd.................................. 117,534 1,027,102
# Taeyoung Engineering & Construction Co., Ltd....... 586,789 6,422,029
Tailim Packaging Co., Ltd.......................... 192,898 886,974
# * TBH Global Co., Ltd................................ 197,666 463,472
* Thinkware Systems Corp............................. 85,996 595,358
# * TK Chemical Corp................................... 764,480 1,805,956
# TK Corp............................................ 120,940 1,202,366
# Tong Yang Moolsan Co., Ltd......................... 300,253 438,192
Tongyang Life Insurance Co., Ltd................... 592,249 2,299,387
* Tongyang pile, Inc................................. 7,975 41,473
# Tongyang, Inc...................................... 358,717 611,739
# Top Engineering Co., Ltd........................... 180,980 1,323,257
# Tovis Co., Ltd..................................... 164,140 982,815
# TS Corp............................................ 65,988 1,168,349
* T'way Holdings, Inc................................ 59,858 129,814
Ubiquoss Holdings, Inc............................. 30,750 648,979
# UIL Co., Ltd....................................... 82,914 378,568
Uju Electronics Co., Ltd........................... 61,425 477,030
# Unid Co., Ltd...................................... 78,309 3,373,164
Uniquest Corp...................................... 16,606 100,714
Viatron Technologies, Inc.......................... 2,049 21,251
# Visang Education, Inc.............................. 52,293 332,787
# * WillBes & Co. (The)................................ 804,229 988,801
# * Wonik Holdings Co., Ltd............................ 504,277 2,144,352
# * Woongjin Co., Ltd.................................. 243,455 466,936
# * Woongjin Energy Co., Ltd........................... 118,888 93,022
# * Woongjin Thinkbig Co., Ltd......................... 472,438 1,198,769
* Woori Financial Group, Inc., Sponsored ADR......... 10,679 382,415
Woori Financial Group, Inc......................... 5,361,552 63,568,459
# Woorison F&G Co., Ltd.............................. 249,469 612,720
Wooshin Systems Co., Ltd........................... 26,128 140,297
# * WooSung Feed Co., Ltd.............................. 255,261 799,603
# Y G-1 Co., Ltd..................................... 252,253 2,422,155
* YeaRimDang Publishing Co., Ltd..................... 206,798 1,067,543
# Yoosung Enterprise Co., Ltd........................ 197,921 493,027
# YooSung T&S Co., Ltd............................... 196,580 571,194
Youlchon Chemical Co., Ltd......................... 125,980 1,538,429
# Young Poong Corp................................... 3,825 2,538,524
# Young Poong Precision Corp......................... 130,166 1,069,530
Youngone Corp...................................... 79,606 2,518,387
# Youngone Holdings Co., Ltd......................... 19,511 1,085,948
* Yuanta Securities Korea Co., Ltd................... 1,042,264 2,967,960
YuHwa Securities Co., Ltd.......................... 29,804 323,707
# Zeus Co., Ltd...................................... 74,697 1,021,535
--------------
TOTAL SOUTH KOREA....................................... 3,144,482,999
--------------
TAIWAN -- (16.1%)
# Ability Enterprise Co., Ltd........................ 2,942,330 1,359,300
AcBel Polytech, Inc................................ 1,454,000 1,060,780
# Acer, Inc.......................................... 27,094,109 18,417,199
# ACES Electronic Co., Ltd........................... 1,404,000 1,101,780
* Acon Holding, Inc.................................. 2,183,000 556,297
A-DATA Technology Co., Ltd......................... 908,000 1,470,172
Advanced International Multitech Co., Ltd.......... 444,000 661,798
# Advanced Optoelectronic Technology, Inc............ 551,000 317,578
Advancetek Enterprise Co., Ltd..................... 186,639 96,099
# * AGV Products Corp.................................. 5,743,211 1,310,670
AimCore Technology Co., Ltd........................ 386,223 202,884
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
Airmate Cayman International Co., Ltd.............. 12,000 $ 8,766
Alcor Micro Corp................................... 522,000 298,543
# Allis Electric Co., Ltd............................ 1,447,000 734,140
# Alpha Networks, Inc................................ 4,590,313 2,967,897
# Altek Corp......................................... 4,122,365 3,583,281
# Ambassador Hotel (The)............................. 1,493,000 1,058,441
# AMPOC Far-East Co., Ltd............................ 1,326,000 1,350,618
# * AmTRAN Technology Co., Ltd......................... 10,964,956 4,241,963
Apacer Technology, Inc............................. 497,210 543,321
APCB, Inc.......................................... 2,072,000 2,097,075
# * Apex International Co., Ltd........................ 2,038,263 3,376,589
Apex Medical Corp.................................. 28,000 24,027
Apex Science & Engineering......................... 211,536 56,918
Ardentec Corp...................................... 2,953,058 3,030,229
# Asia Cement Corp................................... 24,769,589 33,526,023
Asia Electronic Material Co., Ltd.................. 23,000 15,159
* Asia Pacific Telecom Co., Ltd...................... 8,189,000 2,143,884
Asia Plastic Recycling Holding, Ltd................ 2,759,942 680,270
Asia Polymer Corp.................................. 4,774,830 2,203,699
Asia Tech Image, Inc............................... 41,000 60,194
# Asia Vital Components Co., Ltd..................... 3,574,984 4,979,173
# ASROCK, Inc........................................ 204,000 411,786
Asustek Computer, Inc.............................. 4,485,000 34,288,507
# AU Optronics Corp., Sponsored ADR.................. 8,902,653 31,070,259
# AU Optronics Corp.................................. 51,158,812 18,296,369
Audix Corp......................................... 1,081,332 1,385,547
# Avermedia Technologies............................. 2,331,000 924,988
* Avision, Inc....................................... 599,555 71,423
AVY Precision Technology, Inc...................... 985,934 1,036,801
Bank of Kaohsiung Co., Ltd......................... 6,178,412 1,932,426
# BES Engineering Corp............................... 19,220,443 4,854,996
Bin Chuan Enterprise Co., Ltd...................... 87,000 52,958
# Biostar Microtech International Corp............... 2,187,055 683,616
Bright Led Electronics Corp........................ 1,317,000 521,846
# * Cameo Communications, Inc.......................... 2,551,197 692,599
Capital Securities Corp............................ 27,366,158 8,239,164
# Career Technology MFG. Co., Ltd.................... 825,192 907,077
* Carnival Industrial Corp........................... 3,948,000 741,683
# Casetek Holdings, Ltd.............................. 2,209,933 3,701,000
Catcher Technology Co., Ltd........................ 3,569,000 28,296,219
Cathay Chemical Works.............................. 812,000 503,627
# Cathay Financial Holding Co., Ltd.................. 89,008,000 128,889,397
Cathay Real Estate Development Co., Ltd............ 8,492,694 6,916,220
CCP Contact Probes Co., Ltd........................ 9,000 9,685
# Celxpert Energy Corp............................... 362,000 385,778
Central Reinsurance Co., Ltd....................... 1,898,366 1,093,936
Chain Chon Industrial Co., Ltd..................... 767,000 214,543
# ChainQui Construction Development Co., Ltd......... 853,737 807,063
# * Champion Building Materials Co., Ltd............... 4,563,828 973,704
Chang Hwa Commercial Bank, Ltd..................... 69,936,278 41,894,456
Chang Wah Electromaterials, Inc.................... 38,800 225,034
Channel Well Technology Co., Ltd................... 235,000 206,798
CHC Healthcare Group............................... 561,000 732,084
Chen Full International Co., Ltd................... 188,000 239,845
# Cheng Loong Corp................................... 12,927,659 8,268,109
# * Cheng Mei Materials Technology Corp................ 2,619,000 1,090,001
Cheng Uei Precision Industry Co., Ltd.............. 6,284,635 7,637,163
Chenming Mold Industry Corp........................ 522,000 313,131
# Chia Chang Co., Ltd................................ 1,624,000 2,352,039
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
TAIWAN -- (Continued)
# Chia Hsin Cement Corp............................. 5,290,191 $ 2,568,800
# Chien Kuo Construction Co., Ltd................... 3,395,247 1,137,917
# Chilisin Electronics Corp......................... 1,720,000 5,499,937
China Airlines, Ltd............................... 43,583,353 13,826,182
China Bills Finance Corp.......................... 3,151,000 1,504,113
China Chemical & Pharmaceutical Co., Ltd.......... 3,394,264 2,071,954
China Development Financial Holding Corp.......... 120,595,734 38,872,781
China Electric Manufacturing Corp................. 4,019,200 1,298,695
# China General Plastics Corp....................... 784,037 576,980
China Glaze Co., Ltd.............................. 1,537,799 510,461
China Life Insurance Co., Ltd..................... 17,055,450 14,200,435
China Man-Made Fiber Corp......................... 14,394,272 4,536,625
China Metal Products.............................. 4,188,969 5,094,936
China Motor Corp.................................. 5,881,749 5,281,803
# * China Petrochemical Development Corp.............. 31,041,397 11,724,699
China Steel Corp.................................. 139,388,320 112,626,574
# China Steel Structure Co., Ltd.................... 1,078,219 920,527
China Wire & Cable Co., Ltd....................... 1,332,600 894,840
# Chinese Maritime Transport, Ltd................... 1,370,270 1,435,949
Chin-Poon Industrial Co., Ltd..................... 3,405,815 4,241,351
Chipbond Technology Corp.......................... 487,000 1,105,198
ChipMOS Techinologies, Inc........................ 2,829,085 2,466,500
ChipMOS Technologies, Inc., ADR................... 38,574 664,240
Chun YU Works & Co., Ltd.......................... 3,083,000 2,346,197
Chun Yuan Steel................................... 5,982,287 2,022,722
Chung Hsin Electric & Machinery Manufacturing
Corp............................................ 5,598,250 3,770,081
# * Chung Hung Steel Corp............................. 9,865,000 3,930,648
# Chung Hwa Pulp Corp............................... 6,011,353 1,856,561
Chyang Sheng Dyeing & Finishing Co., Ltd.......... 223,000 110,521
Clevo Co.......................................... 1,405,000 1,338,175
# * CMC Magnetics Corp................................ 22,145,621 5,058,923
CoAsia Microelectronics Corp...................... 421,797 129,118
Coland Holdings, Ltd.............................. 116,000 105,185
Collins Co., Ltd.................................. 1,584,224 548,663
Compal Electronics, Inc........................... 54,866,332 35,466,326
Compeq Manufacturing Co., Ltd..................... 10,178,000 8,434,132
Compucase Enterprise.............................. 14,000 12,814
# Concord Securities Co., Ltd....................... 2,118,440 504,129
# Continental Holdings Corp......................... 5,867,540 2,925,710
* Contrel Technology Co., Ltd....................... 1,062,000 675,083
Coretronic Corp................................... 6,773,800 10,545,717
# Coxon Precise Industrial Co., Ltd................. 1,417,000 879,539
Creative Sensor, Inc.............................. 503,000 360,701
* CSBC Corp. Taiwan................................. 2,065,177 1,742,582
CTBC Financial Holding Co., Ltd................... 158,940,073 108,882,159
CviLux Corp....................................... 116,000 96,138
CX Technology Co., Ltd............................ 42,162 31,715
Cyberlink Corp.................................... 35,000 84,999
CyberTAN Technology, Inc.......................... 969,000 515,137
# DA CIN Construction Co., Ltd...................... 2,433,579 1,654,227
* Danen Technology Corp............................. 816,000 39,393
# Darwin Precisions Corp............................ 5,864,635 3,665,909
* Delpha Construction Co., Ltd...................... 1,147,015 630,971
Depo Auto Parts Ind Co., Ltd...................... 416,000 930,984
# Dimerco Express Corp.............................. 188,000 132,709
# * D-Link Corp....................................... 8,376,552 3,911,601
Donpon Precision, Inc............................. 55,000 42,736
* Dynamic Electronics Co., Ltd...................... 3,862,324 1,174,478
Dynapack International Technology Corp............ 1,005,000 1,617,484
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
E Ink Holdings, Inc................................ 1,082,000 $ 1,299,186
E.Sun Financial Holding Co., Ltd................... 90,872,938 74,616,451
* Edimax Technology Co., Ltd......................... 2,270,902 820,390
* Edison Opto Corp................................... 1,335,000 692,037
Edom Technology Co., Ltd........................... 880,046 393,590
Elite Semiconductor Memory Technology, Inc......... 1,077,000 1,139,239
Elitegroup Computer Systems Co., Ltd............... 4,455,395 1,725,430
Emerging Display Technologies Corp................. 45,000 21,851
* ENG Electric Co., Ltd.............................. 834,997 96,310
# EnTie Commercial Bank Co., Ltd..................... 2,385,232 1,095,877
Epileds Technologies, Inc.......................... 338,000 192,592
# Epistar Corp....................................... 12,943,869 11,337,339
# Eson Precision Ind. Co., Ltd....................... 723,000 878,790
Eternal Materials Co., Ltd......................... 1,746,513 1,444,827
* E-Ton Solar Tech Co., Ltd.......................... 1,027,543 94,914
Eva Airways Corp................................... 24,708,345 12,117,672
* Everest Textile Co., Ltd........................... 3,887,378 1,434,280
Evergreen International Storage & Transport Corp... 8,141,000 3,626,300
Evergreen Marine Corp. Taiwan, Ltd................. 23,836,707 10,464,755
Everlight Chemical Industrial Corp................. 531,950 287,716
Everlight Electronics Co., Ltd..................... 3,183,000 3,187,554
Excellence Opto, Inc............................... 96,000 61,932
# Excelsior Medical Co., Ltd......................... 1,206,726 1,919,963
EZconn Corp........................................ 185,000 237,795
Far Eastern Department Stores, Ltd................. 10,965,445 5,822,068
Far Eastern International Bank..................... 30,506,804 11,359,848
Far Eastern New Century Corp....................... 33,657,528 36,753,857
# Farglory F T Z Investment Holding Co., Ltd......... 1,093,000 627,051
Farglory Land Development Co., Ltd................. 3,818,264 4,712,936
# * Federal Corp....................................... 5,848,160 2,054,646
# * First Copper Technology Co., Ltd................... 1,924,750 645,122
First Financial Holding Co., Ltd................... 90,979,349 64,953,682
First Hotel........................................ 1,769,857 822,072
First Insurance Co., Ltd. (The).................... 3,503,064 1,639,076
# * First Steamship Co., Ltd........................... 7,971,360 3,167,247
# * FIT Holding Co., Ltd............................... 185,150 146,258
# FocalTech Systems Co., Ltd......................... 874,000 711,998
Forest Water Environment Engineering Co., Ltd...... 8,000 15,120
# Formosa Advanced Technologies Co., Ltd............. 2,188,000 2,497,990
Formosa Laboratories, Inc.......................... 958,154 1,287,503
Formosa Taffeta Co., Ltd........................... 7,598,511 9,164,502
Formosan Rubber Group, Inc......................... 4,164,957 2,319,940
Formosan Union Chemical............................ 3,321,572 1,506,078
# Founding Construction & Development Co., Ltd....... 2,943,418 1,532,395
Foxconn Technology Co., Ltd........................ 8,843,142 19,839,777
Froch Enterprise Co., Ltd.......................... 2,446,734 1,105,388
# FSP Technology, Inc................................ 1,706,292 1,152,092
Fubon Financial Holding Co., Ltd................... 88,876,471 131,340,683
# Fulgent Sun International Holding Co., Ltd......... 307,487 663,583
# Fullerton Technology Co., Ltd...................... 1,395,200 962,199
# Fulltech Fiber Glass Corp.......................... 5,946,690 3,037,853
Fwusow Industry Co., Ltd........................... 2,613,119 1,547,640
G Shank Enterprise Co., Ltd........................ 1,890,902 1,452,874
# Gemtek Technology Corp............................. 4,854,962 4,090,643
* Genesis Photonics, Inc............................. 27,810 1,063
Getac Technology Corp.............................. 727,065 1,095,075
# Giantplus Technology Co., Ltd...................... 3,474,100 1,338,110
# Gigabyte Technology Co., Ltd....................... 5,548,287 8,931,526
# * Gigastorage Corp................................... 4,569,600 889,868
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
TAIWAN -- (Continued)
Global Brands Manufacture, Ltd..................... 4,322,951 $ 2,026,912
# Global Lighting Technologies, Inc.................. 1,051,000 1,328,338
Globe Union Industrial Corp........................ 3,161,625 1,786,896
Gloria Material Technology Corp.................... 6,638,116 4,245,815
# * Gold Circuit Electronics, Ltd...................... 5,204,965 2,114,705
Goldsun Building Materials Co., Ltd................ 16,068,261 4,323,269
Good Will Instrument Co., Ltd...................... 235,746 211,439
# Grand Fortune Securities Co., Ltd.................. 791,000 216,714
# Grand Ocean Retail Group, Ltd...................... 934,000 959,289
# Grand Pacific Petrochemical........................ 13,491,000 9,301,928
Great China Metal Industry......................... 902,000 734,263
Great Wall Enterprise Co., Ltd..................... 6,035,828 6,859,301
* Green Energy Technology, Inc....................... 1,424,880 14,749
# Green Seal Holding, Ltd............................ 466,000 558,981
# GTM Holdings Corp.................................. 1,753,900 1,044,651
# Hannstar Board Corp................................ 4,883,635 5,195,595
# HannStar Display Corp.............................. 38,369,435 9,935,958
# * HannsTouch Solution, Inc........................... 3,678,481 1,794,041
# Hanpin Electron Co., Ltd........................... 286,000 351,252
# Harvatek Corp...................................... 2,130,553 1,116,326
Hey Song Corp...................................... 2,920,500 2,999,864
Highwealth Construction Corp....................... 1,126,000 1,803,605
# Hiroca Holdings, Ltd............................... 932,000 2,260,355
* HiTi Digital, Inc.................................. 83,000 12,336
# Hitron Technology, Inc............................. 1,927,098 1,334,728
Ho Tung Chemical Corp.............................. 12,005,475 2,700,116
Hocheng Corp....................................... 3,317,300 851,920
Hold-Key Electric Wire & Cable Co., Ltd............ 76,124 21,086
Hon Hai Precision Industry Co., Ltd................ 65,155,192 183,433,254
# Hong Pu Real Estate Development Co., Ltd........... 2,776,655 1,742,830
Hong TAI Electric Industrial....................... 2,620,000 831,151
# Hong YI Fiber Industry Co.......................... 810,000 528,401
Horizon Securities Co., Ltd........................ 4,594,000 984,794
# Hsin Kuang Steel Co., Ltd.......................... 1,100,124 1,089,097
Hsing TA Cement Co................................. 1,632,614 903,772
# * HTC Corp........................................... 5,642,000 7,644,947
# HUA ENG Wire & Cable Co., Ltd...................... 4,595,035 1,405,213
Hua Nan Financial Holdings Co., Ltd................ 62,091,204 40,604,923
# Huaku Development Co., Ltd......................... 2,563,000 6,481,599
# Huang Hsiang Construction Corp..................... 1,195,000 1,077,566
Hung Ching Development & Construction Co., Ltd..... 1,447,468 1,041,916
# Hung Sheng Construction, Ltd....................... 4,960,670 3,622,531
Huxen Corp......................................... 268,281 404,156
* Hwa Fong Rubber Industrial Co., Ltd................ 265,000 104,251
Hwacom Systems, Inc................................ 333,000 199,948
* Ichia Technologies, Inc............................ 2,184,260 1,221,512
* I-Chiun Precision Industry Co., Ltd................ 2,275,000 668,127
* Ideal Bike Corp.................................... 53,254 10,444
Infortrend Technology, Inc......................... 1,104,000 455,798
# Innolux Corp....................................... 144,747,544 46,447,009
Inpaq Technology Co., Ltd.......................... 213,000 236,448
Integrated Service Technology, Inc................. 10,000 13,802
International CSRC Investment Holdings Co.......... 9,043,510 12,306,453
Inventec Corp...................................... 31,534,277 25,336,083
ITE Technology, Inc................................ 1,908,479 2,166,473
Jarllytec Co., Ltd................................. 805,000 1,766,483
Jess-Link Products Co., Ltd........................ 1,110,500 1,147,258
Jih Sun Financial Holdings Co., Ltd................ 10,570,918 3,360,891
# Jinli Group Holdings, Ltd.......................... 1,705,722 973,839
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
Johnson Health Tech Co., Ltd....................... 150,000 $ 214,796
# K Laser Technology, Inc............................ 1,931,601 891,178
# Kaulin Manufacturing Co., Ltd...................... 1,571,656 857,496
KEE TAI Properties Co., Ltd........................ 1,968,000 738,588
# Kenmec Mechanical Engineering Co., Ltd............. 1,954,000 907,995
# Kindom Construction Corp........................... 4,633,000 3,162,218
King Chou Marine Technology Co., Ltd............... 243,100 302,515
# King Yuan Electronics Co., Ltd..................... 16,319,805 15,136,051
King's Town Bank Co., Ltd.......................... 11,647,012 12,461,459
King's Town Construction Co., Ltd.................. 360,380 301,369
# * Kinko Optical Co., Ltd............................. 1,407,000 1,377,759
Kinpo Electronics.................................. 20,881,375 7,442,900
# Kinsus Interconnect Technology Corp................ 2,969,000 4,484,383
KNH Enterprise Co., Ltd............................ 1,619,078 576,560
# Kung Sing Engineering Corp......................... 3,317,000 785,700
* Kuo Toong International Co., Ltd................... 1,048,160 747,395
Kuoyang Construction Co., Ltd...................... 5,878,811 2,280,978
Kwong Fong Industries Corp......................... 1,204,649 578,287
KYE Systems Corp................................... 2,869,909 818,996
L&K Engineering Co., Ltd........................... 2,117,000 1,884,205
# LAN FA Textile..................................... 2,812,713 697,538
* Leader Electronics, Inc............................ 1,966,056 533,852
# Lealea Enterprise Co., Ltd......................... 9,384,941 3,055,523
Ledtech Electronics Corp........................... 172,000 48,329
LEE CHI Enterprises Co., Ltd....................... 2,361,900 769,033
* Leofoo Development Co., Ltd........................ 3,315,908 680,801
LES Enphants Co., Ltd.............................. 877,000 246,920
# Lextar Electronics Corp............................ 4,289,000 2,433,200
* Li Peng Enterprise Co., Ltd........................ 7,696,381 1,817,452
Lida Holdings, Ltd................................. 273,000 514,316
Lien Hwa Industrial Corp........................... 7,897,494 8,665,797
Lingsen Precision Industries, Ltd.................. 5,568,480 1,728,877
Lite-On Semiconductor Corp......................... 2,622,729 2,945,852
Lite-On Technology Corp............................ 25,616,738 36,144,126
Long Bon International Co., Ltd.................... 1,697,100 947,863
# Long Chen Paper Co., Ltd........................... 9,820,463 5,759,311
* Lucky Cement Corp.................................. 2,487,000 566,518
* LuxNet Corp........................................ 93,888 68,891
# Macronix International............................. 21,473,605 16,708,118
Materials Analysis Technology, Inc................. 57,000 139,964
# Mayer Steel Pipe Corp.............................. 2,046,456 1,056,543
Maywufa Co., Ltd................................... 252,070 106,132
Mega Financial Holding Co., Ltd.................... 96,252,796 92,408,266
# Mercuries & Associates Holding, Ltd................ 3,493,514 1,978,875
# * Mercuries Life Insurance Co., Ltd.................. 12,080,999 4,341,823
MIN AIK Technology Co., Ltd........................ 1,446,600 742,821
# Mitac Holdings Corp................................ 9,358,660 9,703,820
* Mosel Vitelic, Inc................................. 234,190 157,007
# * Motech Industries, Inc............................. 3,980,658 1,103,724
# MPI Corp........................................... 191,000 435,057
Nan Ren Lake Leisure Amusement Co., Ltd............ 1,652,000 401,629
# Nan Ya Printed Circuit Board Corp.................. 3,428,000 5,162,157
# Nanya Technology Corp.............................. 15,746,000 33,440,413
* New Asia Construction & Development Corp........... 1,810,304 362,261
# New Era Electronics Co., Ltd....................... 203,000 150,377
# Nien Hsing Textile Co., Ltd........................ 1,772,061 1,617,126
Niko Semiconductor Co., Ltd........................ 77,000 76,111
# Nishoku Technology, Inc............................ 264,000 464,819
O-Bank Co., Ltd.................................... 890,000 227,770
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
TAIWAN -- (Continued)
# * Ocean Plastics Co., Ltd............................ 265,000 $ 232,904
OptoTech Corp...................................... 2,486,387 1,873,354
* Orient Semiconductor Electronics, Ltd.............. 1,705,670 885,315
# Pacific Construction Co............................ 2,487,452 917,807
# * Pan Jit International, Inc......................... 1,379,000 1,217,417
# Pan-International Industrial Corp.................. 6,396,444 5,462,976
# * Paragon Technologies Co., Ltd...................... 817,191 499,970
# Pegatron Corp...................................... 28,024,998 52,980,367
# * Phihong Technology Co., Ltd........................ 3,918,882 1,302,565
Plastron Precision Co., Ltd........................ 33,536 16,367
# Plotech Co., Ltd................................... 517,000 289,118
Pou Chen Corp...................................... 22,855,550 27,804,869
# President Securities Corp.......................... 12,224,324 5,321,974
Prince Housing & Development Corp.................. 7,234,018 2,610,134
Promate Electronic Co., Ltd........................ 157,000 164,668
* Promise Technology, Inc............................ 909,000 236,495
# P-Two Industries, Inc.............................. 110,000 171,560
# Qisda Corp......................................... 23,225,171 14,792,468
# Qualipoly Chemical Corp............................ 290,593 277,189
Quanta Storage, Inc................................ 1,830,000 3,370,953
Quintain Steel Co., Ltd............................ 2,530,473 664,293
Radiant Opto-Electronics Corp...................... 2,734,000 9,240,207
* Radium Life Tech Co., Ltd.......................... 9,105,124 3,992,291
Rich Development Co., Ltd.......................... 7,068,054 2,076,362
* Ritek Corp......................................... 14,529,095 4,865,321
# * Rotam Global Agrosciences, Ltd..................... 415,693 254,524
Ruentex Development Co., Ltd....................... 4,426,320 6,079,934
Ruentex Industries, Ltd............................ 2,643,600 6,318,504
Sampo Corp......................................... 4,177,340 2,258,145
San Fang Chemical Industry Co., Ltd................ 23,000 17,689
# San Far Property, Ltd.............................. 467,800 290,125
Sanyang Motor Co., Ltd............................. 2,721,624 1,774,922
# Sesoda Corp........................................ 1,687,713 1,425,984
Shan-Loong Transportation Co., Ltd................. 456,000 444,170
Sharehope Medicine Co., Ltd........................ 107,400 98,417
# Sheng Yu Steel Co., Ltd............................ 1,512,000 944,667
ShenMao Technology, Inc............................ 978,000 632,179
# Shih Her Technologies, Inc......................... 411,000 621,764
* Shih Wei Navigation Co., Ltd....................... 2,302,577 702,169
# Shihlin Electric & Engineering Corp................ 4,479,000 6,055,782
# Shin Kong Financial Holding Co., Ltd............... 101,314,259 28,706,060
Shin Zu Shing Co., Ltd............................. 1,789,000 6,815,448
* Shining Building Business Co., Ltd................. 1,158,692 380,803
# Shinkong Insurance Co., Ltd........................ 3,041,412 3,823,002
Shinkong Synthetic Fibers Corp..................... 18,384,754 8,090,884
# * Shuttle, Inc....................................... 4,367,015 1,693,336
Sigurd Microelectronics Corp....................... 5,300,047 5,292,381
# * Silicon Integrated Systems Corp.................... 4,978,808 1,426,131
* Silitech Technology Corp........................... 824,803 391,753
Sincere Navigation Corp............................ 4,232,740 2,357,091
Sinher Technology, Inc............................. 231,000 372,407
Sinon Corp......................................... 5,544,877 3,383,186
SinoPac Financial Holdings Co., Ltd................ 96,201,115 37,082,838
Sinphar Pharmaceutical Co., Ltd.................... 180,000 116,817
Sirtec International Co., Ltd...................... 454,200 363,166
# Siward Crystal Technology Co., Ltd................. 2,461,875 1,660,324
# * Solar Applied Materials Technology Co.............. 1,734,922 1,054,199
Solomon Technology Corp............................ 539,000 415,201
Solteam Electronics Co., Ltd....................... 39,390 35,645
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
Southeast Cement Co., Ltd.......................... 2,940,700 $ 1,547,478
Spirox Corp........................................ 505,563 427,463
Stark Technology, Inc.............................. 543,160 986,623
Sunko INK Co., Ltd................................. 76,000 22,884
Sunplus Technology Co., Ltd........................ 6,888,620 2,834,673
Sunrex Technology Corp............................. 1,466,108 890,446
# Sunspring Metal Corp............................... 667,000 759,317
# Supreme Electronics Co., Ltd....................... 4,212,441 4,206,029
Sweeten Real Estate Development Co., Ltd........... 1,282,925 1,113,294
Synnex Technology International Corp............... 6,193,550 7,728,547
Systex Corp........................................ 1,007,801 2,215,830
T3EX Global Holdings Corp.......................... 309,499 279,827
# Ta Ya Electric Wire & Cable........................ 7,159,329 2,531,044
Tah Hsin Industrial Corp........................... 1,342,900 1,338,313
TAI Roun Products Co., Ltd......................... 63,000 23,045
# * Tai Tung Communication Co., Ltd.................... 558,000 338,284
Taichung Commercial Bank Co., Ltd.................. 32,235,685 12,520,448
# Taiflex Scientific Co., Ltd........................ 2,075,960 2,677,079
# Tainan Enterprises Co., Ltd........................ 1,134,183 887,608
# Tainan Spinning Co., Ltd........................... 16,557,485 6,460,316
* Tainergy Tech Co., Ltd............................. 2,172,000 330,239
Tai-Saw Technology Co., Ltd........................ 158,000 105,281
# Taishin Financial Holding Co., Ltd................. 90,218,066 40,909,287
# Taisun Enterprise Co., Ltd......................... 2,234,423 1,417,353
# * Taita Chemical Co., Ltd............................ 2,481,864 824,564
# Taiwan Business Bank............................... 40,032,240 16,529,367
Taiwan Cement Corp................................. 64,501,697 87,731,793
# Taiwan Chinsan Electronic Industrial Co., Ltd...... 272,000 336,666
# Taiwan Cogeneration Corp........................... 2,535,333 2,206,942
Taiwan Cooperative Financial Holding Co., Ltd...... 74,943,734 49,741,959
# Taiwan Fertilizer Co., Ltd......................... 5,781,000 8,418,287
Taiwan Fire & Marine Insurance Co., Ltd............ 1,382,000 905,789
Taiwan FU Hsing Industrial Co., Ltd................ 667,000 878,458
Taiwan Glass Industry Corp......................... 13,706,982 5,483,794
Taiwan Hon Chuan Enterprise Co., Ltd............... 941,932 1,512,614
Taiwan Hopax Chemicals Manufacturing Co., Ltd...... 1,732,000 1,088,692
# * Taiwan Land Development Corp....................... 8,958,322 2,536,211
# * Taiwan Line Tek Electronic......................... 146,771 139,822
Taiwan Navigation Co., Ltd......................... 1,695,000 1,067,448
Taiwan PCB Techvest Co., Ltd....................... 4,075,946 5,000,580
# Taiwan Pulp & Paper Corp........................... 3,216,660 1,972,285
Taiwan Shin Kong Security Co., Ltd................. 39,000 48,283
# Taiwan Surface Mounting Technology Corp............ 3,706,991 7,021,650
# Taiwan TEA Corp.................................... 8,595,092 4,338,990
# Taiyen Biotech Co., Ltd............................ 1,213,217 1,249,388
Te Chang Construction Co., Ltd..................... 80,260 74,900
Teco Electric and Machinery Co., Ltd............... 18,598,725 13,937,111
Test-Rite International Co., Ltd................... 1,514,266 1,039,492
* Tex-Ray Industrial Co., Ltd........................ 501,000 166,068
Thye Ming Industrial Co., Ltd...................... 26,000 26,982
Ton Yi Industrial Corp............................. 3,458,600 1,405,085
Tong Yang Industry Co., Ltd........................ 1,778,000 2,539,812
# * Tong-Tai Machine & Tool Co., Ltd................... 2,705,447 1,839,919
Topoint Technology Co., Ltd........................ 1,969,459 1,288,421
# TPK Holding Co., Ltd............................... 4,404,000 8,163,548
Tripod Technology Corp............................. 2,828,000 9,080,110
Tsann Kuen Enterprise Co., Ltd..................... 215,000 143,013
* TSEC Corp.......................................... 1,723,684 380,759
# Tung Ho Steel Enterprise Corp...................... 12,473,274 8,924,294
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
TAIWAN -- (Continued)
TXC Corp........................................... 1,351,000 $ 1,576,862
# TYC Brother Industrial Co., Ltd.................... 1,566,723 1,386,779
# * Tycoons Group Enterprise........................... 6,125,337 1,296,422
# Tyntek Corp........................................ 2,284,097 1,273,062
UDE Corp........................................... 368,000 355,394
U-Ming Marine Transport Corp....................... 2,256,000 2,362,094
# Unimicron Technology Corp.......................... 20,059,363 22,420,175
# Union Bank Of Taiwan............................... 12,464,532 4,419,749
Unitech Computer Co., Ltd.......................... 1,357,739 914,431
# Unitech Printed Circuit Board Corp................. 7,514,466 4,615,358
# United Microelectronics Corp....................... 197,526,681 86,131,100
* United Renewable Energy Co., Ltd................... 19,156,450 6,526,636
* Unity Opto Technology Co., Ltd..................... 2,924,000 928,071
Univacco Technology, Inc........................... 46,000 38,139
Universal Cement Corp.............................. 5,909,583 3,806,063
# * Unizyx Holding Corp................................ 4,026,000 3,008,699
# UPC Technology Corp................................ 12,564,831 5,136,919
USI Corp........................................... 8,187,827 3,142,779
Usun Technology Co., Ltd........................... 191,100 189,841
Ve Wong Corp....................................... 1,564,806 1,308,005
# Victory New Materials, Ltd. Co..................... 1,083,170 731,835
Waffer Technology Corp............................. 69,000 29,056
# * Wah Hong Industrial Corp........................... 509,516 427,498
Wah Lee Industrial Corp............................ 2,043,000 3,578,483
Walsin Lihwa Corp.................................. 36,558,412 20,544,416
# Walton Advanced Engineering, Inc................... 3,931,853 1,426,928
Wan Hai Lines, Ltd................................. 8,094,000 4,271,139
Waterland Financial Holdings Co., Ltd.............. 32,750,337 11,026,124
Weikeng Industrial Co., Ltd........................ 2,633,514 1,744,373
# Well Shin Technology Co., Ltd...................... 1,094,080 1,913,986
# * Wha Yu Industrial Co., Ltd......................... 302,000 180,961
# Winbond Electronics Corp........................... 48,008,572 25,003,534
Winstek Semiconductor Co., Ltd..................... 247,000 209,098
Wintek Corp........................................ 20,783,484 230,763
Wisdom Marine Lines Co., Ltd....................... 3,199,953 3,044,827
Wistron Corp....................................... 44,399,343 36,858,981
WPG Holdings, Ltd.................................. 9,139,284 12,062,337
# WT Microelectronics Co., Ltd....................... 7,706,751 10,182,301
# * WUS Printed Circuit Co., Ltd....................... 2,864,739 2,377,866
* Yang Ming Marine Transport Corp.................... 11,742,759 3,336,723
# YC Co., Ltd........................................ 5,824,177 2,582,247
YC INOX Co., Ltd................................... 4,636,833 3,925,906
Yea Shin International Development Co., Ltd........ 1,184,825 727,445
# Yeong Guan Energy Technology Group Co., Ltd........ 1,042,000 2,762,287
# YFY, Inc........................................... 19,902,847 7,669,285
# Yi Jinn Industrial Co., Ltd........................ 2,884,142 1,317,515
# Yieh Phui Enterprise Co., Ltd...................... 14,597,025 4,452,381
# Young Fast Optoelectronics Co., Ltd................ 1,400,000 790,156
# Youngtek Electronics Corp.......................... 1,155,047 1,729,215
Yuanta Financial Holding Co., Ltd.................. 124,148,918 72,007,417
# Yulon Motor Co., Ltd............................... 12,331,572 7,787,956
Yung Chi Paint & Varnish Manufacturing Co., Ltd.... 243,687 579,319
Yungshin Construction & Development Co., Ltd....... 47,000 53,334
Zenitron Corp...................................... 2,495,000 1,846,111
# Zero One Technology Co., Ltd....................... 638,000 581,035
Zhen Ding Technology Holding, Ltd.................. 4,263,000 15,251,563
# Zig Sheng Industrial Co., Ltd...................... 6,209,352 1,787,889
# Zinwell Corp....................................... 742,000 551,397
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
ZongTai Real Estate Development Co., Ltd........... 2,169,159 $ 1,336,873
--------------
TOTAL TAIWAN........................................... 3,071,679,635
--------------
THAILAND -- (3.1%)
AAPICO Hitech PCL.................................. 123,300 78,402
AAPICO Hitech PCL.................................. 769,560 489,336
AJ Plast PCL....................................... 1,465,000 456,594
Ananda Development PCL............................. 5,845,600 728,754
AP Thailand PCL.................................... 14,294,830 3,537,327
Asia Aviation PCL.................................. 6,854,200 914,609
Asia Aviation PCL.................................. 405,600 54,122
Asia Plus Group Holdings PCL....................... 4,806,900 463,751
Bangchak Corp. PCL................................. 4,858,500 4,946,006
Bangkok Airways PCL................................ 4,748,400 1,755,086
Bangkok Bank PCL................................... 1,676,453 10,659,983
Bangkok Insurance PCL.............................. 212,828 2,159,946
Bangkok Land PCL................................... 92,545,196 4,551,165
Bangkok Life Assurance PCL......................... 626,500 554,381
Bangkok Ranch PCL.................................. 3,511,800 409,206
Bank of Ayudhya PCL................................ 95,100 114,686
Banpu PCL.......................................... 22,464,750 11,540,232
Better World Green PCL............................. 4,460,000 153,673
Cal-Comp Electronics Thailand PCL.................. 24,568,414 1,462,177
Charoen Pokphand Foods PCL......................... 29,602,800 25,267,856
Charoong Thai Wire & Cable PCL..................... 1,135,900 282,863
Esso Thailand PCL.................................. 6,673,600 2,320,343
* G J Steel PCL...................................... 24,256,975 106,374
GFPT PCL........................................... 4,175,200 2,027,114
Golden Land Property Development PCL............... 3,261,500 847,939
Hana Microelectronics PCL.......................... 4,793,400 4,879,734
ICC International PCL.............................. 2,483,400 3,189,331
Ichitan Group PCL.................................. 3,906,600 482,130
IRPC PCL........................................... 84,238,700 14,908,337
* Italian-Thai Development PCL....................... 17,118,800 1,254,753
Kang Yong Electric PCL............................. 200 2,556
Kasikornbank PCL................................... 9,218,201 55,150,396
KGI Securities Thailand PCL........................ 6,533,800 888,228
Khon Kaen Sugar Industry PCL....................... 9,647,207 906,550
Kiatnakin Bank PCL................................. 3,675,600 7,598,734
Krung Thai Bank PCL................................ 28,970,000 17,150,603
Lalin Property PCL................................. 204,200 30,958
LH Financial Group PCL............................. 16,993,446 793,116
LPN Development PCL................................ 9,316,501 2,042,772
* MCOT PCL........................................... 836,800 280,462
Millcon Steel PCL.................................. 5,225,313 170,222
* Nation Multimedia Group PCL........................ 2,644,800 16,569
Padaeng Industry PCL............................... 978,200 367,687
Polyplex Thailand PCL.............................. 4,213,625 1,887,387
* Precious Shipping PCL.............................. 9,282,350 2,413,266
Property Perfect PCL............................... 48,579,000 1,247,761
Pruksa Holding PCL................................. 4,115,200 2,423,360
PTT Exploration & Production PCL................... 10,295,800 43,053,698
PTT Global Chemical PCL............................ 27,055,141 58,262,833
PTT PCL............................................ 98,695,400 150,709,499
Quality Houses PCL................................. 22,802,697 2,114,205
Regional Container Lines PCL....................... 3,650,000 521,347
Rojana Industrial Park PCL......................... 7,855,473 1,316,422
Saha Pathana Inter-Holding PCL..................... 2,585,400 5,668,849
Saha Pathanapibul PCL.............................. 1,572,733 2,697,169
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
THAILAND -- (Continued)
Saha-Union PCL..................................... 2,362,200 $ 3,366,644
Sahaviriya Steel Industries PCL.................... 90,527,440 26,655
Samart Telcoms PCL................................. 113,900 32,110
Sansiri PCL........................................ 35,600,066 1,594,615
SC Asset Corp. PCL................................. 22,412,553 2,120,154
* SCG Ceramics PCL................................... 456,027 30,283
Sena Development PCL............................... 1,331,366 155,135
Siam Commercial Bank PCL (The)..................... 13,026,500 53,452,514
Siam Future Development PCL........................ 6,946,495 1,359,925
Somboon Advance Technology PCL..................... 1,951,200 1,179,582
Sri Ayudhya Capital PCL............................ 48,600 66,601
Sri Trang Agro-Industry PCL........................ 8,901,340 3,652,547
Srithai Superware PCL.............................. 15,468,500 571,741
Star Petroleum Refining PCL........................ 14,535,500 4,826,196
* STP & I PCL........................................ 822,000 180,235
Supalai PCL........................................ 4,484,700 3,104,522
* Super Energy Corp. PCL............................. 64,425,000 1,271,347
SVI PCL............................................ 3,742,300 562,664
Syntec Construction PCL............................ 4,736,800 373,899
* Tata Steel Thailand PCL............................ 38,442,300 915,149
* Thai Airways International PCL..................... 9,568,411 3,806,384
Thai Oil PCL....................................... 8,820,600 19,133,173
Thai Rayon PCL..................................... 58,700 72,398
Thai Stanley Electric PCL.......................... 43,100 317,259
Thai Stanley Electric PCL, Class F................. 174,600 1,285,231
Thai Wacoal PCL.................................... 85,000 125,137
Thaicom PCL........................................ 4,450,700 913,143
Thanachart Capital PCL............................. 3,778,100 6,272,179
Thitikorn PCL...................................... 1,723,300 555,990
Thoresen Thai Agencies PCL......................... 6,672,278 1,118,142
TMB Bank PCL....................................... 86,309,700 5,461,099
TPI Polene PCL..................................... 49,955,140 3,098,236
True Corp. PCL..................................... 96,286,700 15,532,545
Unique Engineering & Construction PCL.............. 121,700 39,264
Univentures PCL.................................... 5,184,000 1,022,998
Vinythai PCL....................................... 2,767,517 2,188,874
------------
TOTAL THAILAND.......................................... 598,095,429
------------
TURKEY -- (0.9%)
# * Akbank Turk A.S.................................... 26,900,488 27,656,424
* Akenerji Elektrik Uretim A.S....................... 1,914,170 179,877
# Albaraka Turk Katilim Bankasi A.S.................. 5,662,530 1,358,687
Anadolu Anonim Turk Sigorta Sirketi................ 2,861,153 1,988,742
Anadolu Cam Sanayii A.S............................ 2,322,784 1,196,588
Anadolu Efes Biracilik Ve Malt Sanayii A.S......... 340,548 1,131,567
# * Bagfas Bandirma Gubre Fabrikalari A.S.............. 375,466 339,287
* Bera Holding A.S................................... 343,720 102,605
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S...... 527,749 814,940
* Boyner Perakende Ve Tekstil Yatirimlari A.S........ 42,167 33,796
# * Cimsa Cimento Sanayi VE Ticaret A.S................ 463,012 509,488
# Dogan Sirketler Grubu Holding A.S.................. 11,546,424 2,054,588
Dogus Otomotiv Servis ve Ticaret A.S............... 174,498 134,887
Eczacibasi Yatirim Holding Ortakligi A.S........... 282,215 357,383
EIS Eczacibasi Ilac ve Sinai ve Finansal
Yatirimlar Sanayi ve Ticaret A.S................. 1,908,942 897,236
# Enka Insaat ve Sanayi A.S.......................... 3,732,394 3,360,887
* Global Yatirim Holding A.S......................... 1,043,752 508,061
# * Gozde Girisim Sermayesi Yatirim Ortakligi A.S...... 1,934,165 1,080,545
* GSD Holding AS..................................... 3,552,612 536,713
# * Ihlas Holding A.S.................................. 13,565,247 1,136,078
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TURKEY -- (Continued)
* Kardemir Karabuk Demir Celik Sanayi ve
Ticaret A.S., Class A....................... 118,805 $ 45,052
# * Kardemir Karabuk Demir Celik Sanayi ve
Ticaret A.S., Class D....................... 2,862,066 1,086,398
* Metro Ticari ve Mali Yatirimlar Holding A.S... 345,341 45,752
# * Pegasus Hava Tasimaciligi A.S................. 487,086 2,527,903
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret
A.S........................................ 373,835 203,033
# * Sekerbank Turk AS............................. 1,352,044 229,209
Selcuk Ecza Deposu Ticaret ve Sanayi A.S...... 1,806,234 1,215,558
Trakya Cam Sanayii A.S........................ 7,144,157 3,799,017
* Turcas Petrol A.S............................. 40,811 9,535
* Turk Hava Yollari AO.......................... 8,452,774 20,303,179
# Turkiye Garanti Bankasi A.S................... 30,412,959 41,756,928
# Turkiye Halk Bankasi A.S...................... 10,941,829 10,753,176
# * Turkiye Is Bankasi, Class C................... 21,102,595 19,002,782
* Turkiye Sinai Kalkinma Bankasi A.S............ 17,218,531 2,166,688
Turkiye Sise ve Cam Fabrikalari A.S........... 3,786,290 3,874,062
Turkiye Vakiflar Bankasi TAO, Class D......... 19,837,906 13,474,373
# * Yapi ve Kredi Bankasi A.S..................... 26,524,830 9,220,607
---------------
TOTAL TURKEY....................................... 175,091,631
---------------
TOTAL COMMON STOCKS................................ 18,309,000,820
---------------
PREFERRED STOCKS -- (1.1%)
BRAZIL -- (1.0%)
Banco ABC Brasil S.A.......................... 1,189,798 5,901,806
Banco do Estado do Rio Grande do Sul SA,
Class B..................................... 2,435,168 15,165,847
* Banco Pan SA.................................. 1,756,692 1,518,754
Cia Brasileira de Distribuicao................ 1,063,256 26,167,199
Cia Ferro Ligas da Bahia - FERBASA............ 700,234 3,780,560
Eucatex SA Industria e Comercio............... 256,928 298,136
Gerdau SA..................................... 494,320 1,783,843
Grazziotin SA................................. 6,400 37,410
Marcopolo SA.................................. 4,267,200 3,830,697
Petroleo Brasileiro SA........................ 17,582,289 121,561,770
Randon SA Implementos e Participacoes......... 2,241,400 4,858,815
Schulz SA..................................... 93,480 171,650
Unipar Carbocloro SA.......................... 461,207 4,562,557
Usinas Siderurgicas de Minas Gerais SA,
Class A..................................... 5,335,052 11,741,985
---------------
TOTAL BRAZIL....................................... 201,381,029
---------------
COLOMBIA -- (0.1%)
Avianca Holdings SA........................... 1,653,949 751,970
Grupo Argos SA................................ 374,078 1,781,737
Grupo de Inversiones Suramericana SA.......... 1,047,979 11,299,017
---------------
TOTAL COLOMBIA..................................... 13,832,724
---------------
SOUTH KOREA -- (0.0%)
# * CJ Corp....................................... 14,663 460,256
---------------
TOTAL PREFERRED STOCKS............................. 215,674,009
---------------
RIGHTS/WARRANTS -- (0.1%)
BRAZIL -- (0.0%)
* Terra Santa Agro SA Right 06/03/19............ 165 0
---------------
HONG KONG -- (0.0%)
* China International Marine Containers Co.,
Ltd. Rights 05/03/19........................ 12,816 0
* Haitong Securities Co., Ltd. Rights 05/23/19.. 414,742 0
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
HONG KONG -- (Continued)
* Prosperity International Holdings HK, Ltd.
Rights 05/14/19............................... 644,800 $ 4,850
---------------
TOTAL HONG KONG........................................ 4,850
---------------
INDIA -- (0.1%)
* Bharti Airtel, Ltd. Rights 05/17/19............. 4,988,126 7,193,128
---------------
INDONESIA -- (0.0%)
* Medco Energi Internasional Tbk PT Warrants
12/11/20...................................... 14,598,798 270,462
---------------
MALAYSIA -- (0.0%)
* Sunway Bhd Warrants 10/03/24.................... 1 0
---------------
POLAND -- (0.0%)
* Hawe SA Rights 09/30/15......................... 952,876 0
---------------
SOUTH KOREA -- (0.0%)
* Doosan Heavy Industries & Construction Co.,
Ltd. Rights 05/09/2019........................ 562,663 693,605
---------------
TOTAL RIGHTS/WARRANTS.................................. 8,162,045
---------------
TOTAL INVESTMENT SECURITIES............................ 18,532,836,874
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.7%)
@ (S) The DFA Short Term Investment Fund.............. 44,287,987 512,456,292
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $17,429,703,368).............................. $19,045,293,166
===============
ADR American Depositary Receipt
GDR Global Depositary Receipt
P.L.C. Public Limited Company
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 April 30, 2019, Dimensional Emerging Markets Value Fund had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R)... 650 06/21/19 $ 33,805,254 $ 35,106,500 $1,301,246
S&P 500(R) Emini Index........... 601 06/21/19 86,822,447 88,602,425 1,779,978
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.......... $120,627,701 $123,708,925 $3,081,224
============ ============ ==========
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of April 30, 2019, 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....................... $1,396,627,194 $ 9,744,472 -- $ 1,406,371,666
Chile........................ 253,085,223 -- -- 253,085,223
China........................ 293,869,031 2,921,258,273 -- 3,215,127,304
Colombia..................... 37,488,559 -- -- 37,488,559
Czech Republic............... -- 38,466,566 -- 38,466,566
Greece....................... -- 11,392,496 -- 11,392,496
Hungary...................... -- 51,048,261 -- 51,048,261
India........................ 120,473,910 2,406,183,695 -- 2,526,657,605
Indonesia.................... 505,980 511,988,321 -- 512,494,301
Malaysia..................... -- 528,665,885 -- 528,665,885
Mexico....................... 613,073,289 -- -- 613,073,289
Philippines.................. -- 210,358,900 -- 210,358,900
Poland....................... -- 240,738,951 -- 240,738,951
Russia....................... 151,809,866 253,774,288 -- 405,584,154
Singapore.................... -- 150,351 -- 150,351
South Africa................. 148,703,568 1,120,244,047 -- 1,268,947,615
South Korea.................. 351,967,821 2,792,515,178 -- 3,144,482,999
Taiwan....................... 31,734,499 3,039,945,136 -- 3,071,679,635
Thailand..................... 598,052,205 43,224 -- 598,095,429
Turkey....................... -- 175,091,631 -- 175,091,631
Preferred Stocks
Brazil....................... 201,381,029 -- -- 201,381,029
Colombia..................... 13,832,724 -- -- 13,832,724
South Korea.................. -- 460,256 -- 460,256
Rights/Warrants
Hong Kong.................... -- 4,850 -- 4,850
India........................ -- 7,193,128 -- 7,193,128
Indonesia.................... -- 270,462 -- 270,462
South Korea.................. -- 693,605 -- 693,605
Securities Lending Collateral... -- 512,456,292 -- 512,456,292
Futures Contracts**............. 3,081,224 -- -- 3,081,224
-------------- --------------- -- ---------------
TOTAL........................... $4,215,686,122 $14,832,688,268 -- $19,048,374,390
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Co-Principal Executive Officers
and Principal Financial Officer believe that the disclosure controls
and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940, as amended) are effectively designed to ensure
that information required to be disclosed by the Registrant in the
Report is recorded, processed, summarized and reported by the filing
date, including ensuring that information required to be disclosed in
the Report is accumulated and communicated to the Registrant's
officers that are making certifications in the Report, as appropriate,
to allow timely decisions regarding required disclosure. The
Registrant's management, including the Co-Principal Executive Officers
and the Principal Financial Officer, recognizes that any set of
controls and procedures, no matter how well designed and operated, can
provide only reasonable assurance of achieving the desired control
objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 13. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Emerging Markets Value Fund
By: /s/ David P. Butler
--------------------------
David P. Butler
Co-Chief Executive Officer
Date: July 5, 2019
By: /s/ Gerard K. O'Reilly
--------------------------
Gerard K. O'Reilly
Co-Chief Executive
Officer and
Chief Investment Officer
Date: July 5, 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: July 5, 2019
By: /s/ Gerard K. O'Reilly
--------------------------
Gerard K. O'Reilly
Co-Principal Executive
Officer
Dimensional Emerging
Markets Value Fund
Date: July 5, 2019
By: /s/ Gregory K. Hinkle
--------------------------
Gregory K. Hinkle
Principal Financial
Officer
Dimensional Emerging
Markets Value Fund
Date: July 5, 2019